-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JzusY9Spg1TdWyA1zcex+NzUZfSkZiC8lv2rvXZuDcZ6AmvS3x89gQOvQbHnhd0v m6fiAzhkRripXO6RI1JEZQ== 0000875626-08-000929.txt : 20080407 0000875626-08-000929.hdr.sgml : 20080407 20080407134057 ACCESSION NUMBER: 0000875626-08-000929 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20080131 FILED AS OF DATE: 20080407 DATE AS OF CHANGE: 20080407 EFFECTIVENESS DATE: 20080407 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 08742448 BUSINESS ADDRESS: STREET 1: 1001 WARRENVILLE ROAD, SUITE 300 CITY: LISLE STATE: IL ZIP: 60532 BUSINESS PHONE: 630-241-4141 MAIL ADDRESS: STREET 1: 1001 WARRENVILLE ROAD, SUITE 300 CITY: LISLE STATE: IL ZIP: 60532 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value Opportunities AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth Opportunities AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financial AlphaDEX Fund C000048899 First Trust Financial AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU N-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL REPORT TO SHAREHOLDERS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ------------ First Trust Exchange-Traded AlphaDEX(TM) Fund ------------------------------------------------------ (Exact name of registrant as specified in charter) 1001 Warrenville Road, Suite 300 Lisle, Illinois 60532 ------------------------------------------------------ (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 1001 Warrenville Road, Suite 300 Lisle, Illinois 60532 ------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 630-241-4141 -------------- Date of fiscal year end: July 31 --------- Date of reporting period: January 31, 2008 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund Semi-Annual Report January 31, 2008 - -------------------------------------------------------------------------------- Sector Series - ------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund First Trust Consumer Staples AlphaDEX(TM) Fund First Trust Energy AlphaDEX(TM) Fund First Trust Financials AlphaDEX(TM) Fund First Trust Health Care AlphaDEX(TM) Fund First Trust Industrials/Producer Durables AlphaDEX(TM) Fund First Trust Materials AlphaDEX(TM) Fund First Trust Technology AlphaDEX(TM) Fund First Trust Utilities AlphaDEX(TM) Fund Core Series - ----------- First Trust Large Cap Core AlphaDEX(TM) Fund First Trust Mid Cap Core AlphaDEX(TM) Fund First Trust Small Cap Core AlphaDEX(TM) Fund Style Series - ------------ First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Multi Cap Series - ---------------- First Trust Multi Cap Value AlphaDEX(TM) Fund First Trust Multi Cap Growth AlphaDEX(TM) Fund [LOGO OMITTED] AlphaDEX(TM) Family of ETFs AlphaDEX(TM) is a trademark of First Trust Portolios L.P. - -------------------------------------------------------------------------------- Front Cover - -------------------------------------------------------------------------------- Table of Contents - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 Shareholder Letter 2 Market Overview 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(TM) Fund 4 First Trust Consumer Staples AlphaDEX(TM) Fund 5 First Trust Energy AlphaDEX(TM) Fund 6 First Trust Financials AlphaDEX(TM) Fund 7 First Trust Health Care AlphaDEX(TM) Fund 8 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 9 First Trust Materials AlphaDEX(TM) Fund 10 First Trust Technology AlphaDEX(TM) Fund 11 First Trust Utilities AlphaDEX(TM) Fund 12 First Trust Large Cap Core AlphaDEX(TM) Fund 13 First Trust Mid Cap Core AlphaDEX(TM) Fund 14 First Trust Small Cap Core AlphaDEX(TM) Fund 15 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 16 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 17 First Trust Multi Cap Value AlphaDEX(TM) Fund 18 First Trust Multi Cap Growth AlphaDEX(TM) Fund 19 Notes to Fund Performance Overview 20 Understanding Your Fund Expenses 21 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(TM) Fund 23 First Trust Consumer Staples AlphaDEX(TM) Fund 26 First Trust Energy AlphaDEX(TM) Fund 27 First Trust Financials AlphaDEX(TM) Fund 28 First Trust Health Care AlphaDEX(TM) Fund 31 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 33 First Trust Materials AlphaDEX(TM) Fund 34 First Trust Technology AlphaDEX(TM) Fund 35 First Trust Utilities AlphaDEX(TM) Fund 37 First Trust Large Cap Core AlphaDEX(TM) Fund 38 First Trust Mid Cap Core AlphaDEX(TM) Fund 44 First Trust Small Cap Core AlphaDEX(TM) Fund 49 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 56 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 60 First Trust Multi Cap Value AlphaDEX(TM) Fund 64 First Trust Multi Cap Growth AlphaDEX(TM) Fund 72 Statements of Assets and Liabilities 80 Statements of Operations 84 Statements of Changes in Net Assets 88 Financial Highlights 94 Notes to Financial Statements 102 Additional Information 109 Risk Considerations 111 Caution Regarding Forward-Looking Statements This report contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. Performance and Risk Disclosure There is no assurance that any Fund (individually called a "Fund" and collectively, the "Funds") of the Trust will achieve its investment objective. Each Fund of the Trust is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and market price will fluctuate and Fund shares may be worth more or less than their original cost. How to Read This Report This report contains information that may help you evaluate your investment. It includes details about the portfolios and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus. Page 1 - -------------------------------------------------------------------------------- Shareholder Letter - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund Semi-Annual Report January 31, 2008 Dear Shareholders: The year 2007 was a somewhat challenging one for the financial markets and for many investors. Yet, regardless of the market, First Trust Advisors L.P. ("First Trust") believes that in order to be successful in reaching your financial goals, you should be invested for the long-term. We also believe that investors should seek professional help from a financial advisor who understands many types of markets, knows the range of investments available, and is committed to bringing you investments suitable for your particular situation. Our goal at First Trust has always been to offer a wide range of investment products, including our family of exchange-traded funds, to help financial advisors give you the tools to meet your financial objectives. We have continued to expand our product line to ensure that you have many choices for your portfolio. This report contains detailed information about your investment in one (or more) of the Funds in the First Trust Exchange-Traded AlphaDEX(TM) Fund family. It contains such current information as the performance of the Fund(s) and a market recap of the period this report covers. I encourage you to read this report and discuss it with your financial advisor. First Trust has been through many types of markets and remains committed to bringing you quality investment solutions regardless of the inevitable ups and downs the market experiences. We offer a variety of products that we believe can fit many financial plans to help investors seeking long-term investment success. As well, we are committed to giving you updated information about your investments so you and your financial advisor can discuss your particular situation and current portfolio. We continue to value our relationship with you and we thank you for the opportunity to assist you in achieving your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(TM) Fund Page 2 - -------------------------------------------------------------------------------- Market Overview - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund Semi-Annual Report January 31, 2008 (PHOTO OMMITTED) ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 21 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. MARKET OVERVIEW. All of the major U.S. stock indices declined over the past six months. The S&P 500 Index posted a total return of -4.32%, while the S&P MidCap 400 Index and Russell 2000 Index of small-caps returned -5.45% and -7.50%, respectively. While returns were disappointing across the board, we did note six months ago that we believed large-caps were poised to outperform their mid- and small-cap counterparts and they did. We believe that could continue as the U.S. moves through the late stages of the current economic expansion, which has entered into its seventh year. The past two expansions lasted 7.7 years and 10.0 years, respectively, according to the National Bureau of Economic Research. Growth stocks outperformed value stocks in all three market cap groups over the past six months and for all of 2007 - something they had not accomplished since the late 1990s. The six-month style/market cap index returns were as follows: S&P 500/Citigroup Growth (-3.92%); S&P 500/Citigroup Value (-4.56%); S&P Midcap 400/Citigroup Growth (-3.68%); S&P Midcap 400/Citigroup Value (-7.09%); Russell 2000 Growth (-6.20%); and Russell 2000 Value (-8.88%). Since it is not uncommon for one style to outperform the other over a multi-year period, which value stocks did from the second quarter 1999 through the end of 2006, it would not be extraordinary at all for growth to top value for more than just one year, in our opinion. On the sector front, only five of the ten major sectors that comprise the S&P 500 posted gains: S&P Utilities (+6.12%); S&P Consumer Staples (+5.51%); S&P Materials (+3.16%); S&P Energy (+1.36%); and S&P Health Care (+0.50%). With U.S. economic growth slowing to a near standstill by January 2008, three of the aforementioned sectors (utilities, consumer staples & health care) should rank amongst the leaders due to their defensive and/or non-cyclical nature. The other two (energy & materials) were beneficiaries of the five federal funds rate cuts initiated by the Federal Reserve from September 2007 through January 2008. As we have learned, those rate cuts totaling 2.25 percentage points brought about a noticeable sell-off in the U.S. dollar, which pushed energy and material/commodity prices higher. The dollar declined 4.82% against a basket of major currencies between the first rate cut on September 18, 2007, and January 31, 2008. Why have stocks struggled so much? It can be summed up in two words: subprime mortgages. The subprime mortgage meltdown is the most influential event to hit the markets since the dot-com bomb at the start of this decade. Its influence is being felt throughout the globe. Banks as far away as India and China have sustained losses from investing in subprime mortgages via collateralized debt obligations or other structured investment vehicles. Anyone who follows the markets closely has seen the fallout in our own financial sector (banks, brokerage and insurance). Subprime mortgages have financed the purchase of approximately 8.6%, or 5.98 million, of all homes in the U.S. Only a little over 1% of all homes in the U.S. are in the foreclosure process. Standard & Poor's reported it believes the financial community has surpassed the halfway point in its writedowns. In our opinion, the primary problem plaguing the U.S. economy is not a lack of liquidity, but rather an excessive use of leverage. As we just noted, the largest contributor to this leverage problem (subprime mortgages) is being addressed. There is plenty of capital on the sidelines to fuel this economic expansion. Assets in retail money market funds alone total a record $3.4 trillion, according to the Investment Company Institute. A record $1.6 trillion in cash holdings is sitting on the books of U.S. nonfinancial companies, up $600 billion from five years ago, according to Moody's. These sources of capital coupled with the additional monetary and fiscal stimulus coming from the government could prove to be the catalyst equity investors have been waiting for. Page 3 - -------------------------------------------------------------------------------- Fund Performance Overview - -------------------------------------------------------------------------------- FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND The First Trust Consumer Discretionary AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the American Stock Exchange LLC (the "AMEX") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Discretionary and Services Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -11.88% -17.04% Market Price -12.14% -17.24% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Consumer Discretionary Index -11.55% -16.51% Russell 1000(R) Consumer Discretionary and Services Index -7.62% -12.19% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund's net asset value ("NAV") returned -11.88% versus - -7.62% for the Russell 1000(R) Consumer Discretionary and Services Index over the six months ended January 31, 2008. The top contributor to fund performance was the education services industry followed by the toy industry. Only four of the 27 represented industries posted positive contributions to return over the six-month period. The Russell 1000(R) Consumer Discretionary and Services Index had only two out of its 29 industries with positive contributions to return. The biggest drag on performance relative to the benchmark came from the retail industry. Almost one-third of the Fund and benchmark holdings over the period were allocated to the retail industry. However, the benchmark contribution to return from the retail industry was over 100 basis points greater than that for the Fund. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were GameStop Corp., Class A, Copart, Inc. and Apollo Group, Inc., Class A. The worst-performing stocks, by percentage loss, were McClatchy Co., Class A, Getty Images, Inc., and Idearc, Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 75.32% Industrials 9.66 Information Technology 8.97 Consumer Staples 5.82 Materials 0.23 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- OfficeMax, Inc. 1.54% Leggett & Platt, Inc. 1.40 Sears Holdings Corp. 1.39 Liz Claiborne, Inc. 1.38 Mohawk Industries, Inc. 1.38 Macy's, Inc. 1.37 Urban Outfitters, Inc. 1.36 Dillard's, Inc., Class A 1.36 Whirlpool Corp. 1.34 AutoNation, Inc. 1.33 ------- Total 13.85% ======= - -------------------------- The StrataQuant(TM) Consumer Discretionary Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXG - First Trust Consumer Staples AlphaDEX(TM) Fund The First Trust Consumer Staples AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Staples Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -6.68% -10.83% Market Price -6.84% -10.98% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Consumer Staples Index -6.30% -10.29% Russell 1000(R) Consumer Staples Index 3.71% 1.43% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of -6.68% over the six-month period, trailing the Russell 1000(R) Consumer Staples Index return of 3.71%. Tobacco and beverage brewers were the top contributors to return as investors shifted towards more defensive industries over the six-month period. The Fund was hurt by overweight positions relative to the benchmark in the drug and grocery & foods industries. Rising commodity costs and shrinking margins hurt both industries resulting in over 700 basis points of negative contribution to return. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were PepsiAmericas, Inc., Hormel Foods Corp. and Loews Corp.-Carolina Group. The worst-performing stocks, by percentage loss, were SUPERVALU, Inc., Del Monte Foods Co. and Tyson Foods, Inc, Class A. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Colgate-Palmolive Co. 5.92% Church & Dwight Co., Inc. 5.90 Coca-Cola (The) Co. 5.77 Tyson Foods, Inc., Class A 5.57 Pepsi Bottling Group (The), Inc. 5.29 Rite Aid Corp. 5.08 SUPERVALU, Inc. 4.80 Loews Corp. - Carolina Group 4.61 Kroger (The) Co. 4.57 Del Monte Foods Co. 4.54 ------- Total 52.05% ======= - -------------------------- The StrataQuant(TM) Consumer Staples Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Consumer Staples Index in connection with the trading of the Fund. Page 5 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXN - First Trust Energy AlphaDEX(TM) Fund The First Trust Energy AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmarks (Russell 1000(R) Integrated Oils Index and Russell 1000(R) Other Energy Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV 2.16% 5.93% Market Price 2.01% 5.83% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Energy Index 2.42% 6.38% Russell 1000(R) Integrated Oils Index 2.89% 10.47% Russell 1000(R) Other Energy Index 0.09% 4.10% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of 2.16% over the six-month period versus returns of 2.89% for the Russell 1000(R) Integrated Oils Index and 0.09% for the Russell 1000(R) Other Energy Index. The portfolio's holdings in the other energy sector accounted for approximately 88% of the Fund and outperformed the Russell 1000(R) Other Energy Index by about 120 basis points. The portfolio's holdings in the integrated oils sector also outperformed, returning approximately 50 basis points more than the Russell 1000(R) Integrated Oils Index over the six-month period. Crude producers and integrated domestic were the top two industries by contribution to return. The oil well equipment & servicing industry had the most negative contribution to return. Outperformance in the industry relative to the benchmark helped offset an overweight position limiting the overall impact on the Fund. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Continental Resources, Inc., Helmerich & Payne, Inc. and Hess Corp. The worst-performing stocks, by percentage loss, were Western Refining, Inc., ENSCO International, Inc. and Rowan Cos., Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Energy 98.81% Utilities 1.19 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Unit Corp. 3.61% Massey Energy Co. 3.46 Patterson-UTI Energy, Inc. 3.34 Nabors Industries Ltd. 3.31 Helmerich & Payne, Inc. 3.26 Cimarex Energy Co. 3.20 SEACOR Holdings, Inc. 3.17 Western Refining, Inc. 2.94 ENSCO International, Inc. 2.86 Valero Energy Corp. 2.81 ------- Total 31.96% ======= - -------------------------- The StrataQuant(TM) Energy Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Energy Index in connection with the trading of the Fund. Page 6 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXO - FIRST TRUST FINANCIALS ALPHADEX(TM) FUND The First Trust Financials AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Financial Services Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -11.35% -20.61% Market Price -11.68% -20.82% INDEX PERFORMANCE StrataQuant(TM) Financials Index -10.78% -19.83% Russell 1000(R) Index -4.27% -7.39% Russell 1000(R) Financial Services Index -10.42% -20.11% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of -11.35% over the six-month period, trailing the Russell 1000(R) Financial Services Index return of - -10.42%. The New York City banks industry had the only positive contribution to return, but a small weight (0.73% average weight) limited its impact on overall Fund performance. The miscellaneous financial and securities brokerage & services industries had the most negative contribution to return over the six-month period. The two industries combined contribution to return trailed the benchmark's respective industries by approximately 150 basis points. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Blackrock, Inc., NASDAQ Stock Market, Inc. and Assurant, Inc. The worst-performing stocks, by percentage loss, were Countrywide Financial Corp., Ambac Financial Group, Inc. and PMI Group (The), Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Financials 91.24% Information Technology 4.83 Industrials 3.39 Health Care 0.54 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- E*TRADE Financial Corp. 1.43% Capital One Financial Corp. 1.18 Washington Mutual, Inc. 1.16 Ryder System, Inc. 1.13 Colonial Properties Trust 1.11 IndyMac Bancorp, Inc. 1.09 American Capital Strategies Ltd. 1.09 Fidelity National Financial, Inc., Class A 1.07 AmeriCredit Corp. 1.06 Axis Capital Holdings Ltd. 1.05 ------- Total 11.37 ======= - -------------------------- The StrataQuant(TM) Financials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Financials Index in connection with the trading of the Fund. Page 7 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXH - FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND The First Trust Health Care AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Health Care Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -0.98% -3.55% Market Price -1.28% -3.75% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Health Care Index -0.63% -2.97% Russell 1000(R) Health Care Index 0.54% -6.58% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of -0.98% over the six-month period, trailing the Russell 1000(R) Health Care Index return of 0.54%. Health care services and medical & dental instruments & suppliers comprised roughly one-third of the portfolio and were the top two contributors to the Fund's return. Both industries were overweight and outperformed relative to the benchmark. Health care management services and drugs & pharmaceuticals had the most negative contribution to return. Combined, the two industries accounted for roughly 230 basis points of relative underperformance over the period. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Express Scripts, Inc., Respironics, Inc. and Intuitive Surgical, Inc. The worst-performing stocks, by percentage loss, were Wellcare Health Plans, Inc., King Pharmaceuticals, Inc. and Vertex Pharmaceuticals, Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Health Care 95.56% Consumer Staples 2.45 Industrials 1.99 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Humana, Inc. 2.66% King Pharmaceuticals, Inc. 2.55 Respironics, Inc. 2.49 Gilead Sciences, Inc. 2.48 Medco Health Solutions, Inc. 2.46 CVS Caremark Corp. 2.45 McKesson Corp. 2.39 Henry Schein, Inc. 2.36 Express Scripts, Inc. 2.30 LifePoint Hospitals, Inc. 2.26 ------- Total 24.40% ======= - -------------------------- The StrataQuant(TM) Health Care Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Health Care Index in connection with the trading of the Fund. Page 8 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Producer Durables Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -7.05% -12.30% Market Price -7.45% -12.45% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Industrials Index -6.73% -11.80% Russell 1000(R) Producer Durables Index -4.84% -2.07% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of -7.05% over the six-month period, trailing the Russell 1000(R) Producer Durables Index return of - -4.84%. The agricultural machinery industry was the best performing industry with a 220 basis point contribution to return. The industry also outperformed the benchmark industry by approximately 50 basis points. The production technology equipment industry had the most negative contribution to return, followed by the electrical equipment & components industry. The two industries combined for approximately 300 basis points of negative contribution to return. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were AGCO Corp., Deere & Co. and NVR, Inc. The worst-performing stocks, by percentage loss, were General Cable Corp., Ryland Group, Inc. and Terex Corp. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Industrials 74.06% Information Technology 13.05 Consumer Discretionary 7.83 Telecommunication Services 2.92 Health Care 2.14 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- NVR, Inc. 4.42% Gardner Denver, Inc. 3.61 Alliant Techsystems, Inc. 3.42 Toll Brothers, Inc. 3.41 Donaldson Co., Inc. 3.32 AGCO Corp. 3.26 Flowserve Corp. 3.14 Lexmark International, Inc., Class A 3.05 General Cable Corp. 2.91 Manitowoc (The) Co., Inc. 2.87 ------- Total 33.41% ======= - -------------------------- The StrataQuant(TM) Industrials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Industrials Index in connection with the trading of the Fund. Page 9 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXZ - FIRST TRUST MATERIALS ALPHADEX(TM) FUND The First Trust Materials AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Materials and Processing Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV 2.23% 3.10% Market Price 2.13% 3.00% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Materials Index 2.55% 3.61% Russell 1000(R) Materials and Processing Index 2.55% 3.80% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund posted an NAV return of 2.23% over the six-month period, trailing the 2.55% return of the Russell 1000(R) Materials and Processing Index. Fertilizers, steel, and fishing & ranching were the top performing industries and collectively contributed 400 basis points of return over the six-month period. Chemicals and building materials had the most negative contribution to return and trailed the benchmark. Chemicals had an underweight position relative to the benchmark, limiting its impact on overall portfolio performance. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Mosaic (The) Co., Monsanto Co. and Cleveland-Cliffs, Inc. The worst-performing stocks, by percentage loss, were Owens Corning, Inc, Armstrong World Industries, Inc. and URS Corp. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Materials 70.97% Industrials 25.45 Consumer Staples 3.58 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Owens Corning, Inc. 3.19% Westlake Chemical Corp. 3.14 AK Steel Holding Corp. 3.06 Owens-Illinois, Inc. 3.02 International Paper Co. 2.96 Mosaic (The) Co. 2.86 Shaw Group (The), Inc. 2.77 Sealed Air Corp. 2.68 Harsco Corp. 2.63 Steel Dynamics, Inc. 2.60 ------- Total 28.91% ======= - -------------------------- The StrataQuant(TM) Materials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Materials Index in connection with the trading of the Fund. Page 10 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXL - FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND The First Trust Technology AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Technology Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -11.77% -9.70% Market Price -11.93% -9.95% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Technology Index -11.45% -9.22% Russell 1000(R) Technology Index -6.78% -4.67% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund returned -11.77% at NAV over the six-month period, trailing the Russell 1000(R) Technology Index return of -6.78%. All seven of the industries represented in the Fund over the six-month period posted negative returns. The semiconductors/ components, computer services software & systems and computer technology industries were the biggest drags performance. The three industries had a combined negative contribution to return of approximately 870 basis points. An underweight position in computer technology helped contribution to return by 30 basis points versus the benchmark. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were BEA Systems, Inc., Western Digital Corp. and NAVTEQ Corp. The worst-performing stocks, by percentage loss, were VeriFone Holdings, Inc., Vishay Intertechnology, Inc. and First Solar, Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Information Technology 85.87% Industrials 10.60 Health Care 2.40 Consumer Discretionary 1.13 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Electronic Data Systems Corp. 2.63% ADC Telecommunications, Inc. 2.58 Vishay Intertechnology, Inc. 2.50 BEA Systems, Inc. 2.40 Western Digital Corp. 2.38 Harris Corp. 2.37 Amphenol Corp., Class A 2.34 Computer Sciences Corp. 2.32 Salesforce.com, Inc. 2.27 MEMC Electronic Materials, Inc. 2.19 ------- Total 23.98% ======= - -------------------------- The StrataQuant(TM) Technology Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Technology Index in connection with the trading of the Fund. Page 11 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXU - FIRST TRUST UTILITIES ALPHADEX(TM) FUND The First Trust Utilities AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Utilities Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -4.31% -12.10% Market Price -4.32% -12.12% INDEX PERFORMANCE Russell 1000(R) Index -4.27% -7.39% StrataQuant(TM) Utilities Index -3.79% -11.44% Russell 1000(R) Utilities Index -5.39% -9.38% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The Fund returned -4.31% at NAV over the six-month period, outperforming the Russell 1000(R) Utilities Index return of -5.39%. Electrical utilities (130 basis point contribution to return), gas utilities (40 basis point contribution to return), and miscellaneous utilities (17 basis point contribution to return) were the three out of five industries with positive contribution to return. The telecommunications industry was the worst performing industry and accounted for approximately -530 basis points of contribution to return. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Puget Energy, Inc., Energen Corp. and FirstEnergy Corp. The worst-performing stocks, by percentage loss, were Sprint Nextel Corp., Leap Wireless International, Inc. and United States Cellular Corp. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Utilities 84.79% Telecommunication Services 13.05 Consumer Discretionary 2.16 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- NiSource, Inc. 3.63% DTE Energy Co. 3.50 Mirant Corp. 3.41 Exelon Corp. 3.37 Duke Energy Corp. 3.34 Constellation Energy Group 3.31 Alliant Energy Corp. 3.28 Pinnacle West Capital Corp. 3.27 CenturyTel, Inc. 3.21 Sprint Nextel Corp. 2.90 ------- Total 33.22% ======= - -------------------------- The StrataQuant(TM) Utilities Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Utilities Index in connection with the trading of the Fund. Page 12 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND The First Trust Large Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FEX." The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard &Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), to objectively identify and select stocks from the S&P 500 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500 Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -5.63% -9.78% Market Price -5.91% -10.08% INDEX PERFORMANCE S&P 500 Index -4.32% -7.28% Defined Large Cap Core Index -5.30% -9.29% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. Utilities and energy were the only sectors that produced a positive contribution to return over the six-month period. The information technology and financials sectors had the largest negative impact on performance on an absolute basis. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Monsanto Co., Hess Corp. and Deere & Co. The worst-performing stocks, by percentage loss, were MGIC Investment Corp., Sprint Nextel Corp. and XL Capital Ltd, Class A. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Financials 19.05% Consumer Discretionary 18.49 Industrials 12.86 Energy 9.47 Health Care 9.27 Information Technology 8.88 Materials 7.80 Consumer Staples 6.51 Utilities 6.11 Telecommunication Services 1.56 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- OfficeMax, Inc. 0.57% Washington Mutual, Inc. 0.55 Sealed Air Corp. 0.54 Brunswick Corp. 0.53 E*TRADE Financial Corp. 0.53 Family Dollar Stores, Inc. 0.52 Leggett & Platt, Inc. 0.52 Big Lots, Inc. 0.51 J.C. Penney Co., Inc. 0.51 Macy's, Inc. 0.51 ------- Total 5.29% ======= - -------------------------- The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Large Cap Core Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 13 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FNX - FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND The First Trust Mid Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FNX." The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P MidCap 400 Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -6.87% -11.28% Market Price -6.95% -11.38% INDEX PERFORMANCE Defined Mid Cap Core Index -6.59% -10.89% S&P MidCap 400 Index -5.45% -9.08% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. Utilities and energy were the only sectors that produced positive contributions to return over the six-month period. The industrials and information technology sectors had the largest negative impact on performance on an absolute basis. The financials and consumer discretionary sectors also weighed negatively on performance. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Kindred Healthcare, Inc., DeVry, Inc. and GameStop Corp. The worst-performing stocks, by percentage loss, were Radian Group, Inc., PMI Group (The), Inc. and RF Micro Devices, Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Industrials 19.47% Consumer Discretionary 19.40 Information Technology 12.59 Health Care 10.96 Financials 10.50 Energy 8.77 Materials 7.86 Utilities 6.36 Consumer Staples 3.89 Telecommunication Services 0.20 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Werner Enterprises, Inc. 0.71% Charming Shoppes, Inc. 0.70 Rent-A-Center, Inc. 0.69 Bob Evans Farms, Inc. 0.65 IndyMac Bancorp, Inc. 0.65 Fidelity National Financial, Inc., Class A 0.64 Mohawk Industries, Inc. 0.63 YRC Worldwide, Inc. 0.63 BorgWarner, Inc. 0.62 AmeriCredit Corp. 0.61 ------- Total 6.53% ======= - -------------------------- The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Mid Cap Core Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 14 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND The First Trust Small Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P SmallCap 600 Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -10.15% -15.24% Market Price -10.19% -15.37% INDEX PERFORMANCE Defined Small Cap Core Index -9.73% -14.65% S&P SmallCap 600 Index -8.01% -12.29% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. Health care and utilities were the only two sectors to have a positive contribution to return over the six-month period. An underweight position in financials helped performance relative to the benchmark. The information technology and consumer discretionary sectors had the largest negative impact on performance over the period on an absolute basis. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were EDO Corp., Concur Technologies, Inc. and Franklin Bank Corp. The worst-performing stocks, by percentage loss, were Zumiez, Triad Guaranty, Inc. and Finish Line (The), Inc, Class A. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 19.76% Information Technology 18.50 Industrials 18.22 Financials 13.11 Health Care 12.33 Energy 6.17 Materials 4.98 Consumer Staples 4.42 Utilities 2.38 Telecommunication Services 0.13 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Arkansas Best Corp. 0.55% Stein Mart, Inc. 0.53 Old Dominion Freight Line, Inc. 0.49 LandAmerica Financial Group, Inc. 0.49 Building Materials Holding Corp. 0.48 Universal Forest Products, Inc. 0.48 Corus Bankshares, Inc. 0.47 Tuesday Morning Corp. 0.47 Brown Shoe Co., Inc. 0.44 PAREXEL International Corp. 0.44 ------- Total 4.84% ======= - -------------------------- The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Small Cap Core Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 15 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Value Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -6.66% -11.79% Market Price -7.04% -11.96% INDEX PERFORMANCE S&P 500 Index -4.32% -7.28% Defined Large Cap Value Opportunities Index -6.23% -11.28% S&P 500/Citigroup Value Index -4.57% -8.52% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The utilities and consumer staples sectors were the only sectors to have a positive contribution to return over the six-month period. The financials and consumer discretionary sectors had the most negative impact on performance on an absolute basis. The information technology and materials sectors also hurt overall performance. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Hess Corp., Archer Daniels Midland Co. and Big Lots, Inc. The worst-performing stocks, by percentage loss, were MGIC Investment Corp., Sprint Nextel Corp. and XL Capital Ltd, Class A. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Financials 26.34% Consumer Discretionary 25.38 Utilities 9.86 Industrials 8.82 Materials 8.46 Information Technology 7.66 Energy 5.27 Consumer Staples 3.40 Telecommunication Services 2.70 Health Care 2.11 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- E*TRADE Financial Corp. 1.21% OfficeMax, Inc. 1.04 Washington Mutual, Inc. 1.01 Sealed Air Corp. 0.98 Brunswick Corp. 0.96 Ryder System, Inc. 0.96 Family Dollar Stores, Inc. 0.95 Leggett & Platt, Inc. 0.94 Big Lots, Inc. 0.94 J.C. Penney Co., Inc. 0.93 ------- Total 9.92% ======= - -------------------------- The Defined Large Cap Value Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Large Cap Value Opportunities Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 16 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Growth Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -4.10% -6.59% Market Price -4.36% -6.69% INDEX PERFORMANCE S&P 500 Index -4.32% -7.28% Defined Large Cap Growth Opportunities Index -3.78% -6.12% S&P 500/Citigroup Growth Index -4.00% -5.91% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The energy sector was the largest contributor to return on an absolute basis over the six-month period. Materials stocks also contributed positively to performance. The information technology and consumer discretionary sectors had the most negative impact on performance on an absolute basis. The industrials and health care sectors also weighed negatively on performance. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Monsanto Co., Deere & Co. and Express Scripts, Inc. The worst-performing stocks, by percentage loss, were Terex Corp., SanDisk Corp. and Ciena Corp. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Industrials 17.34% Health Care 17.03 Energy 14.42 Financials 11.85 Consumer Discretionary 10.53 Consumer Staples 9.81 Information Technology 9.63 Materials 6.97 Utilities 2.24 Telecommunication Services 0.18 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Humana, Inc. 1.12% L-3 Communications Holdings, Inc. 1.10 State Street Corp. 1.07 Monsanto Co. 1.06 Medco Health Solutions, Inc. 1.04 CVS Caremark Corp. 1.03 Costco Wholesale Corp. 1.03 Archer-Daniels-Midland Co. 1.00 Best Buy Co., Inc. 0.98 Express Scripts, Inc. 0.97 ------- Total 10.40% ======= - -------------------------- The Defined Large Cap Growth Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Large Cap Growth Opportunities Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 17 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND The First Trust Multi Cap Value AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAB." The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Value Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -7.66% -13.97% Market Price -8.20% -14.17% INDEX PERFORMANCE S&P Composite 1500 Index -4.52% -7.62% Defined Multi Cap Value Index -7.27% -13.45% S&P Composite 1500/Citigroup Value Index -4.96% -9.07% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The utilities sector was the biggest contributor to performance on an absolute basis over the six-month period. The energy and health care sectors also contributed positively to performance. The information technology and consumer discretionary sectors had the largest negative impact on performance on an absolute basis. Poor performance from the financials sector also hurt performance, although an underweight position relative to the benchmark limited the impact. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Hess Corp., Kindred Healthcare, Inc. and Archer Daniels Midland Co. The worst-performing stocks, by percentage loss, were MGIC Investment Corp., PMI Group (The), Inc. and Radian Group, Inc. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 24.88% Financials 21.72 Industrials 13.50 Information Technology 10.29 Utilities 9.17 Materials 7.49 Energy 5.21 Health Care 3.12 Consumer Staples 3.11 Telecommunication Services 1.51 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- E*TRADE Financial Corp. 0.61% Office Max, Inc. 0.52 Washington Mutual, Inc. 0.51 Sealed Air Corp. 0.49 Brunswick Corp. 0.48 Ryder System, Inc. 0.48 Family Dollar Stores, Inc. 0.47 Leggett & Platt, Inc. 0.47 Big Lots, Inc. 0.47 J.C. Penney Co., Inc. 0.47 ------- Total 4.97% ======= - -------------------------- The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Multi Cap Value Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 18 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAD - First Trust Multi Cap Growth AlphaDEX(TM) Fund The First Trust Multi Cap Growth AlphaDEX(TM) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAD." The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Growth Index).
- --------------------------------------------------------------------------------------------------------- Performance as of January 31, 2008 Six Months Since Fund Inception Ended January 31, 2008 (May 8, 2007) FUND PERFORMANCE NAV -5.92% -7.84% Market Price -6.19% -7.97% INDEX PERFORMANCE S&P Composite 1500 Index -4.52% -7.62% Defined Multi Cap Growth Index -5.63% -7.34% S&P Composite 1500/Citigroup Growth Index -4.08% -6.03% - ---------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) FUND RECAP. The energy sector was the biggest contributor to performance on an absolute basis over the six-month period. The materials and utilities sectors also contributed positively to portfolio performance. The information technology and consumer discretionary sectors had the largest negative impact on performance over the period on an absolute basis. The top three performing stocks in the Fund over the six months ended January 31, 2008, by contribution to return, were Monsanto Co., Deere & Co. and Express Scripts, Inc. The worst-performing stocks, by percentage loss, were Terex Corp., Wellcare Health Plans, Inc. and SanDisk Corp. - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2008 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Industrials 18.62% Health Care 18.08 Information Technology 13.67 Energy 12.74 Consumer Discretionary 11.74 Financials 8.80 Consumer Staples 7.64 Materials 7.17 Utilities 1.45 Telecommunication Services 0.09 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2008 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Humana, Inc. 0.56% L-3 Communications Holdings, Inc. 0.55 State Street Corp. 0.53 Monsanto Co. 0.53 Medco Health Solutions, Inc. 0.52 CVS Caremark Corp. 0.52 Costco Wholesale Corp. 0.51 Archer-Daniels-Midland Co. 0.50 Best Buy Co., Inc. 0.49 Express Scripts, Inc. 0.49 ------- Total 5.20% ======= - -------------------------- The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&Pto calculate and maintain the Defined Multi Cap Growth Index. STANDARD&POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &Poor's and Standard &Poor's does not make any representation regarding the advisability of investing in the Fund. Page 19 - -------------------------------------------------------------------------------- Notes to Fund Performance Overview - -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after their inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future results. Page 20 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Understanding Your Fund Expenses January 31, 2008 (Unaudited) Aa shareholder of First Trust Consumer Discretionary AlphaDEX(TM) Fund, First Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund, First Trust Financials AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM) Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust Materials AlphaDEX(TM) Fund, First Trust Technology AlphaDEX(TM) Fund, First Trust Utilities AlphaDEX(TM) Fund, First Trust Large Cap Core AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund, First Trust Small Cap Core AlphaDEX(TM) Fund, First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, First Trust Multi Cap Value AlphaDEX(TM) Fund, or First Trust Multi Cap Growth AlphaDEX(TM) Fund (collectively, the "Funds"), you incur two types of costs: (1)transaction costs; and (2)ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 31, 2008. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which are not the Fund's actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE PERIOD ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS AUGUST 1, 2007 TO AUGUST 1, 2007 JANUARY 31, 2008 IN THE PERIOD (a) JANUARY 31, 2008 (b) First Trust Consumer Discretionary AlphaDEX(TM) Fund Actual $1,000.00 $ 881.20 0.70% $3.31 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 First Trust Consumer Staples AlphaDEX(TM) Fund Actual $1,000.00 $ 933.20 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 First Trust Energy AlphaDEX(TM) Fund Actual $1,000.00 $1,021.60 0.70% $3.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 First Trust Financials AlphaDEX(TM) Fund Actual $1,000.00 $ 886.50 0.70% $3.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 First Trust Health Care AlphaDEX(TM) Fund Actual $1,000.00 $ 990.20 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
Page 21 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Understanding Your Fund Expenses January 31, 2008 (Unaudited)
ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE PERIOD ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS AUGUST 1, 2007 TO AUGUST 1, 2007 JANUARY 31, 2008 IN THE PERIOD (a) JANUARY 31, 2008 (b) FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND Actual $1,000.00 $ 929.50 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MATERIALS ALPHADEX(TM) FUND Actual $1,000.00 $1,022.30 0.70% $3.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND Actual $1,000.00 $ 882.30 0.70% $3.31 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST UTILITIES ALPHADEX(TM) FUND Actual $1,000.00 $ 956.90 0.70% $3.44 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $ 943.70 0.70% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $ 931.30 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $ 898.50 0.70% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES AlphaDEX(TM) Fund Actual $1,000.00 $ 933.40 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Actual $1,000.00 $ 959.00 0.70% $3.45 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Actual $1,000.00 $ 923.40 0.70% $3.38 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Actual $1,000.00 $ 940.80 0.70% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
(a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio of 0.70%, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). Page 22 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.9% CHEMICALS--0.2% 88 International Flavors & Fragrances, Inc. $ 3,750 ------------- COMMERCIAL SERVICES & SUPPLIES--6.6% 1,540 Allied Waste Industries, Inc. (b) 15,169 213 Brink's (The) Co. 12,914 379 Cintas Corp. 12,439 399 Copart, Inc. (b) 16,311 431 Corrections Corp. of America (b) 11,439 75 Manpower, Inc. 4,220 131 Monster Worldwide, Inc. (b) 3,648 225 R.R. Donnelley & Sons Co. 7,850 271 Republic Services, Inc. 8,130 157 Robert Half International, Inc. 4,361 390 Waste Management, Inc. 12,652 ------------- 109,133 ------------- DIVERSIFIED CONSUMER SERVICES--1.2% 242 Apollo Group, Inc., Class A (b) 19,297 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.6% 427 Dolby Laboratories, Inc., Class A (b) 18,399 225 Tech Data Corp. (b) 7,736 ------------- 26,135 ------------- FOOD & STAPLES RETAILING--2.8% 251 BJ's Wholesale Club, Inc. (b) 8,142 304 Costco Wholesale Corp. 20,654 357 Wal-Mart Stores, Inc. 18,164 ------------- 46,960 ------------- HOTELS, RESTAURANTS & LEISURE--11.7% 595 Burger King Holdings, Inc. 15,678 381 Carnival Corp. 16,951 537 Cheesecake Factory (The), Inc. (b) 11,733 97 International Game Technology 4,139 103 International Speedway Corp., Class A 4,217 82 Las Vegas Sands Corp. (b) 7,189 288 McDonald's Corp. 15,422 101 MGM MIRAGE (b) 7,395 295 Orient-Express Hotels Ltd., Class A 15,266 118 Panera Bread Co., Class A (b) 4,458 214 Penn National Gaming, Inc. (b) 11,160 400 Royal Caribbean Cruises Ltd. 16,112 128 Scientific Games Corp., Class A (b) 3,046 460 Tim Hortons, Inc. 15,755 720 Wyndham Worldwide Corp. 16,964 114 Wynn Resorts Ltd. 13,108 443 Yum! Brands, Inc. 15,133 ------------- 193,726 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HOUSEHOLD DURABLES--7.6% 183 Black & Decker (The) Corp. $ 13,275 359 Jarden Corp. (b) 8,989 1,216 Leggett & Platt, Inc. 23,129 285 Mohawk Industries, Inc. (b) 22,777 328 Newell Rubbermaid, Inc. 7,911 176 Snap-on, Inc. 8,645 350 Stanley Works (The) 17,976 260 Whirlpool Corp. 22,129 ------------- 124,831 ------------- HOUSEHOLD PRODUCTS--0.5% 122 Kimberly-Clark Corp. 8,009 ------------- INTERNET & CATALOG RETAIL--1.9% 229 Amazon.com, Inc. (b) 17,792 134 Expedia, Inc. (b) 3,085 158 IAC/InterActiveCorp. (b) 4,099 445 Liberty Media Corp. - Interactive, Class A (b) 7,080 ------------- 32,056 ------------- INTERNET SOFTWARE & SERVICES--2.2% 256 eBay, Inc. (b) 6,884 31 Google, Inc., Class A (b) 17,493 338 VeriSign, Inc. (b) 11,465 ------------- 35,842 ------------- IT SERVICES--3.9% 236 Accenture Ltd., Class A 8,170 1,289 Convergys Corp. (b) 19,993 443 Hewitt Associates, Inc., Class A (b) 16,466 573 Iron Mountain, Inc. (b) 19,705 ------------- 64,334 ------------- LEISURE EQUIPMENT & PRODUCTS--2.2% 663 Hasbro, Inc. 17,218 891 Mattel, Inc. 18,720 ------------- 35,938 ------------- MACHINERY--0.2% 78 Toro (The) Co. 3,849 ------------- MEDIA--19.8% 467 CBS Corp., Class B 11,764 183 Central European Media Enterprises Ltd., Class A (b) 17,347 246 Clear Channel Communications, Inc. 7,555 307 Clear Channel Outdoor Holdings, Inc., Class A (b) 6,822 562 CTC Media, Inc. (b) 15,000 367 DIRECTV Group (The), Inc. (b) 8,287 338 Discovery Holding Co., Class A (b) 7,848 112 DISH Network Corp., Class A (b) 3,163 166 DreamWorks Animation SKG, Inc., Class A (b) 4,059 See Notes to Financial Statements Page 23 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 189 E.W. Scripps (The) Co., Class A $ 7,696 544 Gannett Co., Inc. 20,127 732 Getty Images, Inc. (b) 18,300 981 Harte-Hanks, Inc. 15,716 192 Hearst-Argyle Television, Inc. 4,092 725 Idearc, Inc. 11,789 297 John Wiley & Sons, Inc., Class A 11,708 433 Liberty Global, Inc., Class A (b) 17,498 36 Liberty Media Corp. - Capital, Series A (b) 3,874 77 Meredith Corp. 3,618 414 News Corp., Class A 7,825 179 Omnicom Group, Inc. 8,121 349 R.H. Donnelley Corp. (b) 10,494 704 Regal Entertainment Group, Class A 13,052 1,400 Sirius Satellite Radio, Inc. (b) 4,480 615 Time Warner Cable, Inc., Class A (b) 15,473 1,285 Time Warner, Inc. 20,225 386 Viacom, Inc., Class B (b) 14,961 990 Virgin Media, Inc. 16,553 394 Walt Disney (The) Co. 11,792 5 Washington Post (The) Co., Class B 3,720 347 XM Satellite Radio Holdings, Inc., Class A (b) 4,303 ------------- 327,262 ------------- MULTILINE RETAIL--5.5% 1,130 Dillard's, Inc., Class A 22,408 820 Macy's, Inc. 22,665 1,022 Saks, Inc. (b) 18,447 208 Sears Holdings Corp. (b) 22,982 85 Target Corp. 4,724 ------------- 91,226 ------------- PERSONAL PRODUCTS--2.5% 519 Alberto-Culver Co. 13,904 429 Avon Products, Inc. 15,024 292 Estee Lauder (The) Cos., Inc., Class A 12,322 ------------- 41,250 ------------- ROAD & RAIL--2.0% 1,632 Avis Budget Group, Inc. (b) 21,787 801 Hertz Global Holdings, Inc. (b) 11,951 ------------- 33,738 ------------- SOFTWARE--1.3% 714 Activision, Inc. (b) 18,471 73 Electronic Arts, Inc. (b) 3,458 ------------- 21,929 ------------- SPECIALTY RETAIL--20.7% 159 Abercrombie & Fitch Co., Class A 12,671 335 Advance Auto Parts, Inc. 11,953 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ SPECIALTY RETAIL (CONTINUED) 830 AnnTaylor Stores Corp. (b) $ 20,875 1,355 AutoNation, Inc. (b) 22,059 71 AutoZone, Inc. (b) 8,582 493 Barnes & Noble, Inc. 16,737 144 Bed Bath & Beyond, Inc. (b) 4,643 403 Best Buy Co., Inc. 19,670 430 CarMax, Inc. (b) 9,589 459 Dick's Sporting Goods, Inc. (b) 14,940 932 Foot Locker, Inc. 12,759 342 GameStop Corp., Class A (b) 17,692 399 Gap (The), Inc. 7,629 112 Guess?, Inc. 4,179 630 Home Depot (The), Inc. 19,322 1,027 OfficeMax, Inc. 25,439 262 O'Reilly Automotive, Inc. (b) 7,711 729 Penske Automotive Group, Inc. 13,239 1,258 RadioShack Corp. 21,826 332 Ross Stores, Inc. 9,678 552 Staples, Inc. 13,215 184 Tiffany & Co. 7,342 443 TJX (The) Cos., Inc. 13,981 118 Tractor Supply Co. (b) 4,548 778 Urban Outfitters, Inc. (b) 22,562 ------------- 342,841 ------------- TEXTILES, APPAREL & LUXURY GOODS--4.7% 231 Crocs, Inc. (B) 8,036 468 Hanesbrands, Inc. (b) 11,985 1,042 Liz Claiborne, Inc. 22,810 264 NIKE, Inc., Class B 16,305 247 VF Corp. 19,110 ------------- 78,246 ------------- TRADING COMPANIES & DISTRIBUTORS--0.8% 105 Fastenal Co. 4,243 105 MSC Industrial Direct Co., Inc., Class A 4,312 107 WESCO International, Inc. (b) 4,520 ------------- 13,075 ------------- TOTAL COMMON STOCKS--99.9% (Cost $1,860,846) 1,653,427 ------------- MONEY MARKET FUNDS--4.0% 25,000 Federated Treasury Obligation--2.10% (c) 25,000 40,400 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) 40,400 ------------- TOTAL MONEY MARKET FUNDS (Cost $65,400) 65,400 ------------- Page 24 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) DESCRIPTION VALUE ------------------------------------------------- TOTAL INVESTMENTS--103.9% (Cost $1,926,246) $ 1,718,827 NET OTHER ASSETS AND LIABILITIES--(3.9%) (64,968) ------------- NET ASSETS--100.0% $ 1,653,859 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.0% BEVERAGES--23.8% 522 Anheuser-Busch Cos., Inc. $ 24,283 1,106 Brown-Forman Corp., Class B 69,656 2,596 Coca-Cola (The) Co. 153,606 1,155 Constellation Brands, Inc., Class A (b) 24,140 1,439 Hansen Natural Corp. (b) 55,488 1,587 Molson Coors Brewing Co., Class B 70,891 4,038 Pepsi Bottling Group (The), Inc. 140,724 820 PepsiAmericas, Inc. 20,205 1,080 PepsiCo, Inc. 73,645 ------------- 632,638 ------------- FOOD & STAPLES RETAILING--21.8% 4,772 Kroger (The) Co. 121,447 45,689 Rite Aid Corp. (b) 135,239 3,726 Safeway, Inc. 115,469 4,247 SUPERVALU, Inc. 127,665 2,008 Whole Foods Market, Inc. 79,196 ------------- 579,016 ------------- FOOD PRODUCTS--28.5% 2,679 ConAgra Foods, Inc. 57,679 13,475 Del Monte Foods Co. 120,871 479 General Mills, Inc. 26,158 1,365 H.J. Heinz Co. 58,094 1,574 Hormel Foods Corp. 60,977 1,593 J.M. Smucker (The) Co. 74,441 521 Kellogg Co. 24,956 2,162 McCormick & Co., Inc. 72,903 1,701 Sara Lee Corp. 23,916 945 Smithfield Foods, Inc. (b) 26,318 10,394 Tyson Foods, Inc., Class A 148,114 1,089 Wm. Wrigley Jr. Co. 62,541 ------------- 756,968 ------------- HOUSEHOLD PRODUCTS--19.0% 2,947 Church & Dwight Co., Inc. 156,839 1,257 Clorox (The) Co. 77,079 2,044 Colgate-Palmolive Co. 157,389 1,736 Procter & Gamble (The) Co. 114,489 ------------- 505,796 ------------- PERSONAL PRODUCTS--2.3% 1,582 Herbalife Ltd. 62,774 ------------- TOBACCO--4.6% 1,494 Loews Corp. - Carolina Group 122,702 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ TOTAL COMMON STOCKS--100.0% (Cost $2,961,324) $ 2,659,894 MONEY MARKET FUND--1.9% 49,864 J.P. Morgan Institutional Treasury Money Market Fund -- 2.03% (c) (Cost $49,864) 49,864 ------------- TOTAL INVESTMENTS--101.9% (Cost $3,011,188) 2,709,758 NET OTHER ASSETS AND LIABILITIES--(1.9%) (50,692) ------------- NET ASSETS--100.0% $ 2,659,066 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 26 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.9% ENERGY EQUIPMENT & SERVICES--44.1% 2,916 Cameron International Corp. (b) $ 117,398 988 Diamond Offshore Drilling, Inc. 111,575 824 Dresser-Rand Group, Inc. (b) 26,121 2,941 ENSCO International, Inc. 150,344 2,474 FMC Technologies, Inc. (b) 119,148 1,263 Grant Prideco, Inc. (b) 62,872 849 Halliburton Co. 28,161 3,380 Helix Energy Solutions Group, Inc. (b) 124,959 4,378 Helmerich & Payne, Inc. 171,705 6,404 Nabors Industries Ltd. (b) 174,317 1,910 National Oilwell Varco, Inc. (b) 115,039 1,863 Noble Corp. 81,544 1,042 Oceaneering International, Inc. (b) 59,998 8,985 Patterson-UTI Energy, Inc. 175,926 2,070 Pride International, Inc. (b) 65,640 3,555 Rowan Cos., Inc. 121,012 327 Schlumberger Ltd. 24,675 1,892 SEACOR Holdings, Inc. (b) 166,874 1,899 Smith International, Inc. 102,945 934 Superior Energy Services, Inc. (b) 37,444 3,793 Unit Corp. (b) 190,106 1,533 Weatherford International Ltd. (b) 94,755 ------------- 2,322,558 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.2% 1,619 NRG Energy, Inc. (b) 62,477 ------------- OIL, GAS & CONSUMABLE FUELS--54.6% 2,136 Anadarko Petroleum Corp. 125,148 652 Apache Corp. 62,227 1,562 Arch Coal, Inc. 68,728 2,684 Chesapeake Energy Corp. 99,925 1,127 Chevron Corp. 95,232 4,124 Cimarex Energy Co. 168,300 1,192 ConocoPhillips 95,741 980 CONSOL Energy, Inc. 71,540 3,538 Denbury Resources, Inc. (b) 89,511 1,183 Devon Energy Corp. 100,531 361 EOG Resources, Inc. 31,588 343 Exxon Mobil Corp. 29,635 632 Forest Oil Corp. (b) 28,579 2,004 Foundation Coal Holdings, Inc. 104,809 1,729 Frontier Oil Corp. 60,982 2,882 Marathon Oil Corp. 135,022 4,906 Massey Energy Co. 182,405 610 Newfield Exploration Co. (b) 30,427 404 Noble Energy, Inc. 29,322 911 Occidental Petroleum Corp. 61,830 1,708 Peabody Energy Corp. 92,266 2,598 Plains Exploration & Production Co. (b) 126,367 2,355 Quicksilver Resources, Inc. (b) 133,835 1,365 Range Resources Corp. 71,280 2,518 Southwestern Energy Co. (b) 140,781 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS (CONTINUED) 2,725 St. Mary Land & Exploration Co. $ 96,002 444 Sunoco, Inc. 27,617 1,470 Tesoro Corp. 57,404 2,504 Valero Energy Corp. 148,212 3,513 W&T Offshore, Inc. 99,383 7,244 Western Refining, Inc. 154,659 898 Williams (The) Cos., Inc. 28,709 626 XTO Energy, Inc. 32,514 ------------- 2,880,511 ------------- TOTAL COMMON STOCKS--99.9% (Cost $5,669,392) 5,265,546 MONEY MARKET FUND--1.1% 60,159 J.P. Morgan Institutional Treasury Money Market Fund -- 2.03% (c) (Cost $60,159) 60,159 ------------- TOTAL INVESTMENTS--101.0% (Cost $5,729,551) 5,325,705 NET OTHER ASSETS AND LIABILITIES--(1.0%) (54,532) ------------- NET ASSETS--100.0% $ 5,271,173 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 27 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.9% CAPITAL MARKETS--17.3% 53 Affiliated Managers Group, Inc. (b)$ 5,210 144 Allied Capital Corp. 3,187 484 American Capital Strategies Ltd. 17,022 254 Bank of New York Mellon Corp. 11,844 140 Bear Stearns (The) Cos., Inc. 12,642 74 BlackRock, Inc. 16,361 364 Charles Schwab (The) Corp. 8,117 4,498 E*TRADE Financial Corp. (b) 22,356 273 Eaton Vance Corp. 10,175 226 Federated Investors, Inc., Class B 9,621 27 Franklin Resources, Inc. 2,814 58 Goldman Sachs Group (The) Inc. 11,645 395 Invesco Ltd. 10,752 261 Investment Technology Group, Inc. (b) 12,259 377 Janus Capital Group, Inc. 10,183 134 Jefferies Group, Inc. 2,709 152 Lazard Ltd., Class A 6,007 169 Legg Mason, Inc. 12,168 95 Lehman Brothers Holdings, Inc. 6,096 115 Merrill Lynch & Co., Inc. 6,486 175 Morgan Stanley 8,650 209 Northern Trust Corp. 15,332 385 SEI Investments Co. 10,665 197 State Street Corp. 16,178 204 T. Rowe Price Group, Inc. 10,320 618 TD Ameritrade Holding Corp. (b) 11,594 ------------- 270,393 ------------- COMMERCIAL BANKS--15.7% 229 Associated Banc-Corp. 6,453 131 BancorpSouth, Inc. 3,212 61 Bank of Hawaii Corp. 3,073 202 BB&T Corp. 7,329 52 City National Corp. 2,958 916 Colonial BancGroup (The), Inc. 14,381 214 Comerica, Inc. 9,335 244 Commerce Bancorp, Inc. 9,299 69 Commerce Bancshares, Inc. 3,064 61 Cullen/Frost Bankers, Inc. 3,321 384 East West Bancorp, Inc. 9,239 123 Fifth Third Bancorp. 3,333 43 First Citizens BancShares, Inc., Class A 5,863 342 First Horizon National Corp. 7,411 553 Fulton Financial Corp. 6,973 420 Huntington Bancshares, Inc. 5,649 529 KeyCorp 13,833 76 M&T Bank Corp. 6,975 468 Marshall & Ilsley Corp. 13,057 753 National City Corp. 13,396 47 PNC Financial Services Group, Inc. 3,084 877 Popular, Inc. 11,857 393 Regions Financial Corp. 9,919 99 SunTrust Banks, Inc. 6,826 129 Synovus Financial Corp. 1,704 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMERCIAL BANKS (CONTINUED) 346 TCF Financial Corp. $ 7,353 98 U.S. Bancorp 3,327 127 UnionBanCal Corp. 6,231 245 Wachovia Corp. 9,538 291 Webster Financial Corp. 9,856 103 Wells Fargo & Co. 3,503 237 Whitney Holding Corp. 6,361 88 Wilmington Trust Corp. 3,069 266 Zions Bancorporation 14,560 ------------- 245,342 ------------- COMMERCIAL SERVICES & SUPPLIES--0.2% 85 Equifax, Inc. 3,153 ------------- CONSUMER FINANCE--3.4% 1,248 AmeriCredit Corp. (b) 16,611 338 Capital One Financial Corp. 18,525 822 Discover Financial Services 14,385 28 Student Loan (The) Corp. 3,316 ------------- 52,837 ------------- DIVERSIFIED FINANCIAL SERVICES--6.2% 225 Bank of America Corp. 9,979 516 CIT Group, Inc. 14,427 316 Citigroup, Inc. 8,918 23 CME Group, Inc. 14,235 83 IntercontinentalExchange, Inc. (b) 11,617 213 JPMorgan Chase & Co. 10,128 323 NASDAQ Stock Market, Inc. (b) 14,944 46 Nymex Holdings, Inc. 5,290 106 NYSE Euronext 8,337 ------------- 97,875 ------------- HEALTH CARE PROVIDERS & SERVICES--0.5% 173 CIGNA Corp. 8,505 ------------- INSURANCE--36.0% 201 ACE Ltd. 11,726 198 AFLAC, Inc. 12,143 23 Alleghany Corp. (b) 8,694 318 Allied World Assurance Holdings Ltd. 15,146 237 Allstate (The) Corp. 11,677 241 Ambac Financial Group, Inc. 2,825 429 American Financial Group, Inc. 11,896 106 American International Group, Inc. 5,847 51 American National Insurance Co. 6,396 65 Aon Corp. 2,829 227 Arch Capital Group Ltd. (b) 15,994 128 Arthur J. Gallagher & Co. 3,252 93 Assurant, Inc. 6,035 410 Axis Capital Holdings Ltd. 16,416 293 Chubb (The) Corp. 15,174 404 Cincinnati Financial Corp. 15,570 Page 28 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 368 CNA Financial Corp. $ 12,508 987 Conseco, Inc. (b) 11,883 383 Endurance Specialty Holdings Ltd. 15,519 119 Erie Indemnity Co., Class A 6,025 159 Everest Re Group Ltd. 16,169 849 Fidelity National Financial, Inc., Class A 16,717 363 First American Corp. 15,809 365 Genworth Financial, Inc., Class A 8,884 203 Hanover Insurance Group, Inc. 9,247 107 Hartford Financial Services Group (The), Inc. 8,642 432 HCC Insurance Holdings, Inc. 12,036 106 Lincoln National Corp. 5,762 185 Loews Corp. 8,638 13 Markel Corp. (b) 6,019 117 Marsh & McLennan Cos., Inc. 3,229 857 MBIA, Inc. 13,284 249 Mercury General Corp. 11,974 50 MetLife, Inc. 2,949 207 Nationwide Financial Services, Class A 9,143 603 Old Republic International Corp. 9,003 577 OneBeacon Insurance Group Ltd. 12,215 193 PartnerRe Ltd. 15,301 406 Philadelphia Consolidated Holding Co. (b) 14,535 232 Principal Financial Group, Inc. 13,830 485 Progressive (The) Corp. 9,002 151 Protective Life Corp. 6,001 67 Prudential Financial, Inc. 5,653 118 Reinsurance Group of America, Inc. 6,840 265 RenaissanceRe Holdings Ltd. 15,102 287 SAFECO Corp. 15,317 123 StanCorp Financial Group, Inc. 6,053 102 Torchmark Corp. 6,228 171 Transatlantic Holdings, Inc. 11,662 297 Travelers (The) Cos., Inc. 14,286 65 Unitrin, Inc. 2,675 261 Unum Group 5,904 536 W.R. Berkley Corp. 16,219 18 White Mountains Insurance Group Ltd. 8,730 317 XL Capital Ltd., Class A 14,265 ------------- 564,878 ------------- IT SERVICES--4.5% 83 Alliance Data Systems Corp. (b) 4,197 70 Automatic Data Processing, Inc. 2,840 38 DST Systems, Inc. (b) 2,717 75 Fidelity National Information Services, Inc. 3,184 168 Fiserv, Inc. (b) 8,630 200 Global Payments, Inc. 7,480 74 MasterCard, Inc., Class A 15,318 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ IT SERVICES (CONTINUED) 685 Metavante Technologies, Inc. (b) $ 15,173 111 Total System Services, Inc. 2,564 383 Western Union Co. 8,579 ------------- 70,682 ------------- REAL ESTATE INVESTMENT TRUSTS--7.4% 135 Boston Properties, Inc. 12,409 176 CapitalSource, Inc. 2,888 706 Colonial Properties Trust 17,397 38 Federal Realty Investment Trust 2,804 208 Health Care REIT, Inc. 8,921 192 Hospitality Properties Trust 6,518 364 Host Hotels & Resorts, Inc. 6,093 1,203 HRPT Properties Trust 9,564 357 iStar Financial, Inc. 9,525 108 Liberty Property Trust 3,468 67 Plum Creek Timber Co., Inc. 2,797 147 ProLogis 8,724 42 Public Storage 3,287 131 Rayonier, Inc. 5,544 63 Taubman Centers, Inc. 3,159 274 Ventas, Inc. 12,111 ------------- 115,209 ------------- ROAD & RAIL--1.1% 340 Ryder System, Inc. 17,700 ------------- SOFTWARE--0.3% 193 Fair Isaac Corp. 4,922 ------------- THRIFTS & MORTGAGE FINANCE--5.2% 1,040 Countrywide Financial Corp. 7,238 273 Freddie Mac 8,296 619 Hudson City Bancorp, Inc. 10,139 2,084 IndyMac Bancorp, Inc. 17,026 174 People's United Financial, Inc. 2,939 1,202 PMI Group (The), Inc. 11,419 272 Sovereign Bancorp, Inc. 3,392 147 Washington Federal, Inc. 3,590 911 Washington Mutual, Inc. 18,148 ------------- 82,187 ------------- TRADING COMPANIES & DISTRIBUTORS--2.1% 435 GATX Corp. 16,356 870 United Rentals, Inc. (b) 15,878 ------------- 32,234 ------------- TOTAL COMMON STOCKS--99.9% (Cost $1,879,088) 1,565,917 ------------- See Notes to Financial Statements Page 29 FIRST TRUST FINANCIAL ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MONEY MARKET FUNDS--3.3% 25,000 Federated Treasury Obligation--2.10% (c) $ 25,000 26,385 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) 26,385 ------------- TOTAL MONEY MARKET FUNDS (Cost $51,385) 51,385 ------------- TOTAL INVESTMENTS--103.2% (Cost $1,930,473) 1,617,302 NET OTHER ASSETS AND LIABILITIES--(3.2%) (49,821) ------------- NET ASSETS--100.0% $ 1,567,481 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 30 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.1% BIOTECHNOLOGY--9.1% 829 Amgen, Inc. (b) $ 38,623 338 Biogen Idec, Inc. (b) 20,601 268 Cephalon, Inc. (b) 17,589 1,034 Genzyme Corp. (b) 80,786 2,092 Gilead Sciences, Inc. (b) 95,584 895 ImClone Systems, Inc. (b) 38,906 3,855 Millennium Pharmaceuticals, Inc. (b) 58,480 ------------- 350,569 ------------- COMMERCIAL SERVICES & SUPPLIES--2.0% 1,296 Stericycle, Inc. (b) 76,801 ------------- FOOD & STAPLES RETAILING--2.5% 2,421 CVS Caremark Corp. 94,588 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--22.1% 663 Baxter International, Inc. 40,271 793 Beckman Coulter, Inc. 52,735 461 Becton, Dickinson and Co. 39,890 1,655 Boston Scientific Corp. (b) 20,075 609 C.R. Bard, Inc. 58,811 1,283 DENTSPLY International, Inc. 53,001 306 Gen-Probe, Inc. (b) 17,488 1,806 Hospira, Inc. (b) 74,245 1,313 IDEXX Laboratories, Inc. (b) 74,014 298 Intuitive Surgical, Inc. (b) 75,692 1,078 Kinetic Concepts, Inc. (b) 53,663 1,099 ResMed, Inc. (b) 51,191 1,470 Respironics, Inc. (b) 96,299 474 St. Jude Medical, Inc. (b) 19,202 1,030 Stryker Corp. 68,979 1,107 Varian Medical Systems, Inc. (b) 57,553 ------------- 853,109 ------------- HEALTH CARE PROVIDERS & SERVICES--38.6% 1,334 Aetna, Inc. 71,049 858 AmerisourceBergen Corp. 40,026 333 Cardinal Health, Inc. 19,304 2,611 Community Health Systems, Inc. (b) 83,813 1,299 Coventry Health Care, Inc. (b) 73,497 683 DaVita, Inc. (b) 36,438 1,318 Express Scripts, Inc. (b) 88,952 797 Health Net, Inc. (b) 37,053 1,567 Henry Schein, Inc. (b) 91,090 1,278 Humana, Inc. (b) 102,624 255 Laboratory Corp. of America Holdings (b) 18,839 3,236 LifePoint Hospitals, Inc. (b) 87,372 547 Lincare Holdings, Inc. (b) 18,275 1,469 McKesson Corp. 92,239 1,898 Medco Health Solutions, Inc. (b) 95,053 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 2,532 Omnicare, Inc. $ 56,058 1,130 Pediatrix Medical Group, Inc. (b) 76,942 364 Quest Diagnostics, Inc. 17,952 1,376 Sierra Health Services, Inc. (b) 59,140 3,789 Tenet Healthcare Corp. (b) 16,785 1,654 UnitedHealth Group, Inc. 84,089 1,504 Universal Health Services, Inc., Class B 70,884 1,741 VCA Antech, Inc. (b) 67,307 1,097 WellPoint, Inc. (b) 85,785 ------------- 1,490,566 ------------- HEALTH CARE TECHNOLOGY--1.4% 683 Cerner Corp. (b) 35,789 835 IMS Health, Inc. 19,948 ------------- 55,737 ------------- LIFE SCIENCES TOOLS & SERVICES--11.0% 1,170 Charles River Laboratories International, Inc. (b) 72,657 889 Covance, Inc. (b) 73,929 824 Invitrogen Corp. (b) 70,592 526 Millipore Corp. (b) 36,899 1,430 Pharmaceutical Product Development, Inc. 62,005 583 Techne Corp. (b) 37,895 1,335 Thermo Fisher Scientific, Inc. (b) 68,739 ------------- 422,716 ------------- PHARMACEUTICALS--13.4% 686 Abbott Laboratories 38,622 899 Allergan, Inc. 60,404 1,087 Barr Pharmaceuticals, Inc. (b) 56,731 361 Eli Lilly and Co. 18,599 577 Johnson & Johnson 36,501 9,399 King Pharmaceuticals, Inc. (b) 98,595 994 Merck & Co., Inc. 46,002 847 Pfizer, Inc. 19,811 723 Schering-Plough Corp. 14,149 3,257 Warner Chilcott Ltd., Class A (b) 55,206 1,418 Watson Pharmaceuticals, Inc. (b) 37,024 871 Wyeth 34,666 ------------- 516,310 ------------- TOTAL COMMON STOCKS--100.1% (Cost $3,877,987) 3,860,396 MONEY MARKET FUND--1.3% 50,017 J.P. Morgan Institutional Treasury Money Market Fund -- 2.03% (c) (Cost $50,017) 50,017 ------------- See Notes to Financial Statements Page 31 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) DESCRIPTION VALUE ------------------------------------------------- TOTAL INVESTMENTS--101.4% (Cost $3,928,004) $ 3,910,413 NET OTHER ASSETS AND LIABILITIES--(1.4%) (53,091) ------------- NET ASSETS--100.0% $ 3,857,322 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 32 See Notes to Financial Statements FIRST TRUST INDUSTRIAL/PRODUCER DURABLES ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--18.2% 1,416 Alliant Techsystems, Inc. (b) $ 149,884 3,045 BE Aerospace, Inc. (b) 117,567 335 Boeing (The) Co. 27,865 1,825 Goodrich Corp. 114,154 835 Lockheed Martin Corp. 90,113 1,117 Northrop Grumman Corp. 88,645 1,062 Raytheon Co. 69,179 895 Rockwell Collins, Inc. 56,564 1,148 United Technologies Corp. 84,275 ------------- 798,246 ------------- COMMERCIAL SERVICES & SUPPLIES--3.8% 3,177 Covanta Holding Corp. (b) 80,664 5,537 Steelcase, Inc., Class A 84,882 ------------- 165,546 ------------- COMMUNICATIONS EQUIPMENT--1.8% 1,786 CommScope, Inc. (b) 79,209 ------------- COMPUTERS & PERIPHERALS--3.1% 3,697 Lexmark International, Inc., Class A (b) 133,868 ------------- ELECTRICAL EQUIPMENT--12.7% 2,752 AMETEK, Inc. 121,198 1,219 Cooper Industries Ltd., Class A 54,294 2,275 Emerson Electric Co. 115,661 2,198 General Cable Corp. (b) 127,506 1,249 Hubbell, Inc., Class B 59,552 1,405 Roper Industries, Inc. 78,568 ------------- 556,779 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--4.5% 797 Agilent Technologies, Inc. (b) 27,026 1,133 Mettler-Toledo International, Inc. (b) 112,508 2,360 Molex, Inc. 56,734 ------------- 196,268 ------------- HOUSEHOLD DURABLES--7.8% 307 NVR, Inc. (b) 193,871 6,425 Toll Brothers, lnc. (b) 149,574 ------------- 343,445 ------------- LIFE SCIENCES TOOLS & SERVICES--2.1% 1,630 Waters Corp. (b) 93,644 ------------- MACHINERY--38.1% 2,370 AGCO Corp. (b) 142,721 404 Caterpillar, Inc. 28,741 2,530 Cummins, Inc. 122,148 1,469 Danaher Corp. 109,367 1,384 Deere & Co. 121,460 3,474 Donaldson Co., Inc. 145,560 636 Dover Corp. 25,669 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MACHINERY (CONTINUED) 1,675 Flowserve Corp. $ 137,551 4,882 Gardner Denver, Inc. (b) 158,371 1,784 IDEX Corp. 55,714 1,204 Illinois Tool Works, Inc. 60,682 630 Ingersoll-Rand Co. Ltd., Class A 24,898 1,958 Joy Global, Inc. 123,452 2,321 Kennametal, Inc. 71,092 1,235 Lincoln Electric Holdings, Inc. 76,138 3,299 Manitowoc (The) Co., Inc. 125,758 726 Pall Corp. 26,782 856 Parker Hannifin Corp. 57,874 841 Pentair, Inc. 26,710 447 Terex Corp. (b) 26,266 ------------- 1,666,954 ------------- OFFICE ELECTRONICS--1.4% 3,980 Xerox Corp. 61,292 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.3% 3,187 Novellus Systems, Inc. (b) 75,723 792 Varian Semiconductor Equipment Associates, Inc. (b) 25,510 ------------- 101,233 ------------- TRADING COMPANIES & DISTRIBUTORS--1.3% 736 W.W. Grainger, Inc. 58,564 ------------- WIRELESS TELECOMMUNICATION SERVICES--2.9% 688 AMERICAN TOWER CORP., CLASS A (b) 25,821 2,112 Crown Castle International Corp. (b) 76,433 866 SBA Communications Corp. (b) 25,642 ------------- 127,896 ------------- TOTAL COMMON STOCKS--100.0% (Cost $4,653,350) 4,382,944 MONEY MARKET FUND--1.2% 50,402 J.P. Morgan Institutional Treasury Money Market Fund--2.03 % (c) (Cost $50,402) 50,402 ------------- TOTAL INVESTMENTS--101.2% (Cost $4,703,752) 4,433,346 NET OTHER ASSETS AND LIABILITIES--(1.2%) (53,535) ------------- NET ASSETS--100.0% $ 4,379,811 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 33 FIRST TRUST MATERIALS ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.2% AEROSPACE & DEFENSE--1.4% 366 Precision Castparts Corp. $ 41,651 ------------- BUILDING PRODUCTS--8.6% 1,266 Armstrong World Industries, Inc. (b) 46,475 1,769 Lennox International, Inc. 65,736 4,535 Owens Corning, Inc. (b) 98,591 362 Trane, Inc. 16,210 1,025 USG Corp. (b) 37,515 ------------- 264,527 ------------- CHEMICALS--31.3% 514 Air Products and Chemicals, Inc. 46,270 1,406 Airgas, Inc. 65,252 1,069 Ashland, Inc. 48,672 1,523 Cabot Corp. 45,279 1,731 Celanese Corp., Class A 64,359 1,190 Cytec Industries, Inc. 67,366 1,287 Dow Chemical (The) Co. 49,755 383 E.I. du Pont de Nemours and Co. 17,304 277 Eastman Chemical Co. 18,301 715 Ecolab, Inc. 34,499 677 Lubrizol (The) Corp. 35,617 656 Monsanto Co. 73,761 971 Mosaic (The) Co. (b) 88,371 700 Nalco Holding Co. 14,658 241 PPG Industries, Inc. 15,928 413 Praxair, Inc. 33,416 319 Rohm and Haas Co. 17,019 2,499 RPM International, Inc. 54,078 929 Sigma-Aldrich Corp. 46,134 1,625 Valspar (The) Corp. 32,549 4,828 Westlake Chemical Corp. 97,042 ------------- 965,630 ------------- COMMERCIAL SERVICES & SUPPLIES--0.5% 318 Avery Dennison Corp. 16,479 ------------- CONSTRUCTION & ENGINEERING--8.9% 503 Fluor Corp. 61,200 958 Jacobs Engineering Group, Inc. (b) 73,230 644 Quanta Services, Inc. (b) 14,116 1,515 Shaw Group (The), Inc. (b) 85,597 935 URS Corp. (b) 41,047 ------------- 275,190 ------------- CONTAINERS & PACKAGING--13.8% 376 Ball Corp. 17,255 1,853 Bemis Co., Inc. 50,365 2,856 Crown Holdings, Inc. (b) 70,029 1,850 Owens-Illinois, Inc. (b) 93,239 1,299 Packaging Corp. of America 31,488 3,170 Sealed Air Corp. 82,895 1,121 Sonoco Products Co. 34,594 2,433 Temple-Inland, Inc. 45,619 ------------- 425,484 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ FOOD PRODUCTS--2.6% 364 Archer-Daniels-Midland Co. $ 16,034 145 Bunge Ltd. 17,178 1,380 Corn Products International, Inc. 46,644 ------------- 79,856 ------------- HOUSEHOLD PRODUCTS--1.0% 327 Energizer Holdings, Inc. (b) 30,614 ------------- INDUSTRIAL CONGLOMERATES--2.4% 1,552 McDermott International, Inc. (b) 73,223 ------------- MACHINERY--3.7% 1,429 Harsco Corp. 81,339 1,115 Timken (The) Co. 33,706 ------------- 115,045 ------------- METALS & MINING--22.5% 1,981 AK Steel Holding Corp. 94,652 1,002 Alcoa, Inc. 33,166 1,218 Carpenter Technology Corp. 75,078 727 Cleveland-Cliffs, Inc. 74,038 2,491 Commercial Metals Co. 70,620 715 Freeport-McMoRan Copper & Gold, Inc. 63,656 750 Newmont Mining Corp. 40,755 857 Nucor Corp. 49,535 1,353 Reliance Steel & Aluminum Co. 66,581 161 Southern Copper Corp. 15,108 1,537 Steel Dynamics, Inc. 80,155 303 United States Steel Corp. 30,939 ------------- 694,283 ------------- PAPER & FOREST PRODUCTS--3.5% 2,832 International Paper Co. 91,332 540 MeadWestvaco Corp. 15,120 ------------- 106,452 ------------- TOTAL COMMON STOCKS--100.2% (Cost $3,234,989) 3,088,434 MONEY MARKET FUND--1.5% 46,358 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) (Cost $46,358) 46,358 ------------- TOTAL INVESTMENTS--101.7% (Cost $3,281,347) 3,134,792 NET OTHER ASSETS AND LIABILITIES--(1.7%) (52,129) ------------- NET ASSETS--100.0% $ 3,082,663 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 34 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.1% AEROSPACE & DEFENSE--6.1% 1,385 DRS Technologies, Inc. $ 74,333 845 General Dynamics Corp. 71,369 709 L-3 Communications Holdings, Inc. 78,578 ------------- 224,280 ------------- COMMUNICATIONS EQUIPMENT--10.5% 6,474 ADC Telecommunications, Inc. (b) 95,750 1,102 Ciena Corp. (b) 29,897 694 Cisco Systems, Inc. (b) 17,003 1,567 Corning, Inc. 37,718 1,606 Harris Corp. 87,832 1,413 JDS Uniphase Corp. (b) 14,709 1,698 Juniper Networks, Inc. (b) 46,101 478 QUALCOMM, Inc. 20,277 5,746 Tellabs, Inc. (b) 39,188 ------------- 388,475 ------------- COMPUTERS & PERIPHERALS--13.9% 508 Apple, Inc. (b) 68,763 2,560 Brocade Communications Systems, Inc. (b) 17,638 767 Dell, Inc. (b) 15,371 3,042 EMC Corp. (b) 48,277 1,489 Hewlett-Packard Co. 65,144 348 International Business Machines Corp. 37,354 3,970 QLogic Corp. (b) 56,771 3,948 Seagate Technology 80,026 2,073 Sun Microsystems, Inc. (b) 36,278 3,332 Western Digital Corp. (b) 88,130 ------------- 513,752 ------------- ELECTRICAL EQUIPMENT--4.6% 377 First Solar, Inc. (b) 68,528 817 Rockwell Automation, Inc. 46,585 772 SunPower Corp., Class A (b) 53,337 ------------- 168,450 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--17.0% 2,171 Amphenol Corp., Class A 86,710 1,913 Arrow Electronics, Inc. (b) 65,463 2,149 Avnet, Inc. (b) 76,526 5,601 AVX Corp. 72,981 4,166 Ingram Micro, Inc., Class A (b) 74,071 3,692 Jabil Circuit, Inc. 48,919 1,691 National Instruments Corp. 45,420 20,649 Sanmina-SCI Corp. (b) 32,419 1,243 Trimble Navigation Ltd. (b) 32,877 8,822 Vishay Intertechnology, Inc. (b) 92,543 ------------- 627,929 ------------- HOUSEHOLD DURABLES--1.1% 581 Garmin Ltd. 41,919 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ INTERNET SOFTWARE & SERVICES--0.4% 543 Akamai Technologies, Inc. (b) $ 16,399 ------------- IT SERVICES--7.0% 1,250 Affiliated Computer Services, Inc., Class A (b) 60,938 554 Cognizant Technology Solutions Corp., Class A (b) 15,457 2,035 Computer Sciences Corp. (b) 86,121 4,856 Electronic Data Systems Corp. 97,605 ------------- 260,121 ------------- LIFE SCIENCES TOOLS & SERVICES--2.4% 1,108 Applera Corp. - Applied Biosystems Group 34,935 2,166 PerkinElmer, Inc. 53,912 ------------- 88,847 ------------- OFFICE ELECTRONICS--0.4% 542 Zebra Technologies Corp., Class A (b) 16,645 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--13.8% 684 Cree, Inc. (b) 20,212 2,794 Cypress Semiconductor Corp. (b) 59,373 2,604 Fairchild Semiconductor International, Inc. (b) 31,899 1,661 Integrated Device Technology, Inc. (b) 12,374 2,114 Intel Corp. 44,817 1,659 International Rectifier Corp. (b) 46,170 1,535 Intersil Corp., Class A 35,351 1,138 MEMC Electronic Materials, Inc. (b) 81,322 10,367 Micron Technology, Inc. (b) 72,880 2,209 NVIDIA Corp. (b) 54,320 1,795 Rambus, Inc. (b) 34,931 502 Silicon Laboratories, Inc. (b) 15,682 ------------- 509,331 ------------- SOFTWARE--22.9% 880 Adobe Systems, Inc. (b) 30,738 545 Amdocs Ltd. (b) 18,034 1,133 Autodesk, Inc. (b) 46,623 4,763 BEA Systems, Inc. (b) 89,019 1,582 BMC Software, Inc. (b) 50,687 753 CA, Inc. 16,589 2,209 Cadence Design Systems, Inc. (b) 22,421 1,483 Citrix Systems, Inc. (b) 51,341 4,232 Compuware Corp. (b) 35,972 1,783 Intuit, Inc. (b) 54,720 2,004 McAfee, Inc. (b) 67,455 2,111 Microsoft Corp. 68,819 994 NAVTEQ Corp. (b) 73,457 3,329 Oracle Corp. (b) 68,411 1,803 Red Hat, Inc. (b) 33,680 1,606 Salesforce.com, Inc. (b) 83,962 1,164 Symantec Corp. (b) 20,871 See Notes to Financial Statements Page 35 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 725 Synopsys, Inc. (b) $ 15,965 ------------- 848,764 ------------- TOTAL COMMON STOCKS--100.1% (Cost $4,045,171) 3,704,912 MONEY MARKET FUND--1.3% 49,564 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) (Cost $49,564) 49,564 ------------- Total Investments--101.4% (Cost $4,094,735) 3,754,476 NET OTHER ASSETS AND LIABILITIES--(1.4%) (52,490) ------------- NET ASSETS--100.0% $ 3,701,986 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 36 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.0% DIVERSIFIED TELECOMMUNICATION SERVICES--6.8% 266 AT&T, Inc. $ 10,238 1,467 CenturyTel, Inc. 54,148 224 Embarq Corp. 10,147 5,207 Qwest Communications International, Inc. 30,617 254 Verizon Communications, Inc. 9,865 ------------- 115,015 ------------- ELECTRIC UTILITIES--26.5% 696 Allegheny Energy, Inc. 38,134 475 American Electric Power Co., Inc. 20,344 746 DPL, Inc. 20,709 3,016 Duke Energy Corp. 56,278 414 Edison International 21,594 745 Exelon Corp. 56,761 153 FirstEnergy Corp. 10,897 1,245 Great Plains Energy, Inc. 34,711 754 Pepco Holdings, Inc. 19,197 1,435 Pinnacle West Capital Corp. 55,133 849 PPL Corp. 41,533 914 Progress Energy, Inc. 41,285 1,303 Sierra Pacific Resources 19,506 286 Southern Co. 10,396 ------------- 446,478 ------------- GAS UTILITIES--11.1% 588 AGL Resources, Inc. 22,256 1,578 Atmos Energy Corp. 45,321 568 Energen Corp. 35,727 237 National Fuel Gas Co. 10,217 204 Questar Corp. 10,386 1,507 Southern Union Co. 40,960 812 UGI Corp. 21,615 ------------- 186,482 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--9.1% 2,069 AES (The) Corp. (b) 39,477 594 Constellation Energy Group 55,812 1,561 Mirant Corp. (b) 57,507 ------------- 152,796 ------------- MEDIA--2.2% 1,999 Comcast Corp., Class A (b) 36,302 ------------- MULTI-UTILITIES--38.1% 1,495 Alliant Energy Corp. 55,166 408 Ameren Corp. 18,282 646 CenterPoint Energy, Inc. 10,342 636 CMS Energy Corp. 9,966 747 Consolidated Edison, Inc. 32,554 466 Dominion Resources, Inc. 20,038 1,384 DTE Energy Co. 59,028 1,341 Energy East Corp. 33,860 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MULTI-UTILITIES (CONTINUED) 1,603 MDU Resources Group, Inc. $ 41,550 3,221 NiSource, Inc. 61,167 611 NSTAR 19,815 1,006 OGE Energy Corp. 32,926 847 PG&E Corp. 34,761 1,331 Puget Energy, Inc. 34,806 866 SCANA Corp. 32,293 178 Sempra Energy 9,950 2,571 TECO Energy, Inc. 42,859 1,525 Vectren Corp. 41,861 227 Wisconsin Energy Corp. 10,335 1,961 Xcel Energy, Inc. 40,769 ------------- 642,328 ------------- WIRELESS TELECOMMUNICATION SERVICES--6.2% 4,634 Sprint Nextel Corp. 48,796 354 Telephone and Data Systems, Inc. 18,670 526 United States Cellular Corp. (b) 37,399 ------------- 104,865 ------------- TOTAL COMMON STOCKS--100.0% (Cost $1,854,583) 1,684,266 ------------- MONEY MARKET FUNDS--2.9% 35,000 Federated Treasury Obligation--2.10% (c) 35,000 13,952 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) 13,952 ------------- TOTAL MONEY MARKET FUNDS (Cost $48,952) 48,952 ------------- Total Investments--102.9% (Cost $1,903,535) 1,733,218 NET OTHER ASSETS AND LIABILITIES--(2.9%) (49,037) ------------- NET ASSETS--100.0% $ 1,684,181 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 37 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.6% AEROSPACE & DEFENSE--3.0% 115 Boeing (The) Co. $ 9,566 452 General Dynamics Corp. 38,176 723 Goodrich Corp. 45,224 655 Honeywell International, Inc. 38,691 481 L-3 Communications Holdings, Inc. 53,308 287 Lockheed Martin Corp. 30,973 384 Northrop Grumman Corp. 30,474 291 Precision Castparts Corp. 33,116 280 Rockwell Collins, Inc. 17,696 395 United Technologies Corp. 28,997 ------------- 326,221 ------------- AIR FREIGHT & LOGISTICS--1.1% 559 C.H. Robinson Worldwide, Inc. 31,047 451 Expeditors International of Washington, Inc. 21,328 572 FedEx Corp. 53,470 143 United Parcel Service, Inc., Class B 10,462 ------------- 116,307 ------------- AIRLINES--0.4% 3,301 Southwest Airlines Co. 38,721 ------------- AUTO COMPONENTS--0.3% 357 Goodyear Tire & Rubber (The) Co. (b) 8,986 559 Johnson Controls, Inc. 19,772 ------------- 28,758 ------------- BEVERAGES--1.4% 192 Anheuser-Busch Cos., Inc. 8,932 272 Brown-Forman Corp., Class B 17,131 656 Coca-Cola (The) Co. 38,816 425 Constellation Brands, Inc., Class A (b) 8,883 391 Molson Coors Brewing Co., Class B 17,466 1,293 Pepsi Bottling Group (The), Inc. 45,060 265 PepsiCo, Inc. 18,070 ------------- 154,358 ------------- BIOTECHNOLOGY--1.0% 177 Biogen Idec, Inc. (b) 10,788 541 Genzyme Corp. (b) 42,268 1,109 Gilead Sciences, Inc. (b) 50,671 ------------- 103,727 ------------- BUILDING PRODUCTS--0.2% 431 Trane, Inc. 19,300 ------------- CAPITAL MARKETS--4.6% 1,548 American Capital Strategies Ltd. 54,443 456 Bear Stearns (The) Cos., Inc. 41,177 1,183 Charles Schwab (The) Corp. 26,381 11,346 E*TRADE Financial Corp. (b) 56,391 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CAPITAL MARKETS (CONTINUED) 734 Federated Investors, Inc., Class B $ 31,246 187 Goldman Sachs Group (The), Inc. 37,544 1,227 Janus Capital Group, Inc. 33,141 413 Legg Mason, Inc. 29,736 308 Lehman Brothers Holdings, Inc. 19,764 188 Merrill Lynch & Co., Inc. 10,603 379 Morgan Stanley 18,734 667 Northern Trust Corp. 48,931 628 State Street Corp. 51,571 661 T. Rowe Price Group, Inc. 33,440 ------------- 493,102 ------------- CHEMICALS--3.8% 408 Air Products and Chemicals, Inc. 36,728 849 Ashland, Inc. 38,655 1,295 Dow Chemical (The) Co. 50,065 457 E.I. du Pont de Nemours & Co. 20,647 495 Eastman Chemical Co. 32,705 787 Ecolab, Inc. 37,973 2,081 Hercules, Inc. 36,480 457 Monsanto Co. 51,385 287 PPG Industries, Inc. 18,968 455 Praxair, Inc. 36,814 189 Rohm and Haas Co. 10,083 737 Sigma-Aldrich Corp. 36,599 ------------- 407,102 ------------- COMMERCIAL BANKS--3.6% 656 BB&T Corp. 23,800 463 Comerica, Inc. 20,196 528 Commerce Bancorp, Inc. 20,122 401 Fifth Third Bancorp 10,867 1,109 First Horizon National Corp. 24,032 1,364 Huntington Bancshares, Inc. 18,346 1,717 KeyCorp 44,900 247 M&T Bank Corp. 22,667 1,141 Marshall & Ilsley Corp. 31,834 2,447 National City Corp. 43,532 1,277 Regions Financial Corp. 32,231 323 SunTrust Banks, Inc. 22,271 795 Wachovia Corp. 30,949 333 Wells Fargo & Co. 11,325 647 Zions Bancorporation 35,417 ------------- 392,489 ------------- COMMERCIAL SERVICES & SUPPLIES--1.3% 3,655 Allied Waste Industries, Inc. (b) 36,001 379 Avery Dennison Corp. 19,640 899 Cintas Corp. 29,505 267 R.R. Donnelley & Sons Co. 9,316 745 Robert Half International, Inc. 20,696 924 Waste Management, Inc. 29,975 ------------- 145,133 ------------- Page 38 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT--0.4% 420 Corning, Inc. $ 10,109 909 Juniper Networks, Inc. (b) 24,680 1,540 Tellabs, Inc. (b) 10,503 ------------- 45,292 ------------- COMPUTERS & PERIPHERALS--1.0% 257 Apple, Inc. (b) 34,788 1,087 EMC Corp. (b) 17,251 797 Hewlett-Packard Co. 34,868 93 International Business Machines Corp. 9,983 556 Sun Microsystems, Inc. (b) 9,730 ------------- 106,620 ------------- CONSTRUCTION & ENGINEERING--0.8% 351 Fluor Corp. 42,706 533 Jacobs Engineering Group, Inc. (b) 40,743 ------------- 83,449 ------------- CONSTRUCTION MATERIALS--0.4% 509 Vulcan Materials Co. 39,936 ------------- CONSUMER FINANCE--0.9% 852 Capital One Financial Corp. 46,698 2,671 Discover Financial Services 46,743 ------------- 93,441 ------------- CONTAINERS & PACKAGING--1.0% 224 Ball Corp. 10,279 1,471 Bemis Co., Inc. 39,982 2,205 Sealed Air Corp. 57,661 ------------- 107,922 ------------- DISTRIBUTORS--0.2% 435 Genuine Parts Co. 19,110 ------------- DIVERSIFIED CONSUMER SERVICES--0.4% 575 Apollo Group, Inc., Class A (b) 45,851 ------------- DIVERSIFIED FINANCIAL SERVICES--2.7% 732 Bank of America Corp. 32,464 1,676 CIT Group, Inc. 46,861 1,027 Citigroup, Inc. 28,982 75 CME Group, Inc. 46,418 265 IntercontinentalExchange, Inc. (b) 37,089 692 JPMorgan Chase & Co. 32,905 855 Leucadia National Corp. 37,765 344 NYSE Euronext 27,056 ------------- 289,540 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.2% 484 AT&T, Inc. 18,629 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 1,231 CenturyTel, Inc. $ 45,436 791 Citizens Communications Co. 9,073 203 Embarq Corp. 9,196 4,309 Qwest Communications International, Inc. 25,337 461 Verizon Communications, Inc. 17,905 ------------- 125,576 ------------- ELECTRIC UTILITIES--2.4% 475 Allegheny Energy, Inc. 26,025 649 American Electric Power Co., Inc. 27,797 1,997 Duke Energy Corp. 37,264 566 Edison International 29,523 84 Entergy Corp. 9,087 279 FirstEnergy Corp. 19,870 148 FPL Group, Inc. 9,543 1,030 Pepco Holdings, Inc. 26,224 949 Pinnacle West Capital Corp. 36,461 624 Progress Energy, Inc. 28,186 260 Southern Co. 9,451 ------------- 259,431 ------------- ELECTRICAL EQUIPMENT--0.7% 571 Cooper Industries Ltd., Class A 25,432 711 Emerson Electric Co. 36,147 292 Rockwell Automation, Inc. 16,650 ------------- 78,229 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.5% 275 Agilent Technologies, Inc. (b) 9,325 1,319 Jabil Circuit, Inc. 17,477 1,107 Molex, Inc. 26,612 ------------- 53,414 ------------- ENERGY EQUIPMENT & SERVICES--3.3% 124 Baker Hughes, Inc. 8,051 856 ENSCO International, Inc. 43,759 797 Halliburton Co. 26,436 1,863 Nabors Industries Ltd. (b) 50,712 695 National Oilwell Varco, Inc. (b) 41,860 903 Noble Corp. 39,524 1,293 Rowan Cos., Inc. 44,014 307 Schlumberger Ltd. 23,166 691 Smith International, Inc. 37,459 71 Transocean, Inc. (b) 8,705 587 Weatherford International Ltd. (b) 36,282 ------------- 359,968 ------------- FOOD & STAPLES RETAILING--2.4% 732 Costco Wholesale Corp. 49,732 1,284 CVS Caremark Corp. 50,167 754 Kroger (The) Co. 19,189 See Notes to Financial Statements Page 39 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 883 Safeway, Inc. $ 27,364 1,073 SUPERVALU, Inc. 32,254 323 Sysco Corp. 9,383 264 Walgreen Co. 9,269 848 Wal-Mart Stores, Inc. 43,146 493 Whole Foods Market, Inc. 19,444 ------------- 259,948 ------------- FOOD PRODUCTS--1.4% 1,099 Archer-Daniels-Midland Co. 48,411 847 ConAgra Foods, Inc. 18,236 176 General Mills, Inc. 9,611 192 Kellogg Co. 9,197 308 Kraft Foods, Inc., Class A 9,012 265 McCormick & Co., Inc. 8,936 2,627 Tyson Foods, Inc., Class A 37,435 172 Wm. Wrigley Jr. Co. 9,878 ------------- 150,716 ------------- GAS UTILITIES--0.4% 713 Nicor, Inc. 29,233 187 Questar Corp. 9,520 ------------- 38,753 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.5% 347 Baxter International, Inc. 21,077 241 Becton, Dickinson and Co. 20,854 319 C.R. Bard, Inc. 30,806 944 Hospira, Inc. (b) 38,807 248 St. Jude Medical, Inc. (b) 10,046 539 Stryker Corp. 36,097 ------------- 157,687 ------------- HEALTH CARE PROVIDERS & SERVICES--3.5% 884 Aetna, Inc. 47,082 563 CIGNA Corp. 27,677 680 Coventry Health Care, Inc. (b) 38,474 699 Express Scripts, Inc. (b) 47,176 677 Humana, Inc. (b) 54,363 133 Laboratory Corp. of America Holdings (b) 9,826 1,006 Medco Health Solutions, Inc. (b) 50,380 191 Quest Diagnostics, Inc. 9,420 877 UnitedHealth Group, Inc. 44,587 581 WellPoint, Inc. (b) 45,434 ------------- 374,419 ------------- HOTELS, RESTAURANTS & LEISURE--1.6% 905 Carnival Corp. 40,264 684 McDonald's Corp. 36,628 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE (CONTINUED) 229 Starwood Hotels & Resorts Worldwide, Inc. $ 10,362 389 Wendy's International, Inc. 9,499 1,709 Wyndham Worldwide Corp. 40,265 1,052 Yum! Brands, Inc. 35,936 ------------- 172,954 ------------- HOUSEHOLD DURABLES--1.8% 279 Fortune Brands, Inc. 19,508 2,926 Leggett & Platt, Inc. 55,652 389 Newell Rubbermaid, Inc. 9,383 417 Snap-on, Inc. 20,483 831 Stanley Works (The) 42,680 493 Whirlpool Corp. 41,959 ------------- 189,665 ------------- HOUSEHOLD PRODUCTS--0.7% 155 Clorox (The) Co. 9,505 516 Colgate-Palmolive Co. 39,732 145 Kimberly-Clark Corp. 9,519 275 Procter & Gamble (The) Co. 18,136 ------------- 76,892 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.7% 1,412 AES (The) Corp. (b) 26,941 497 Constellation Energy Group 46,698 ------------- 73,639 ------------- INDUSTRIAL CONGLOMERATES--0.5% 239 3M Co. 19,036 716 Textron, Inc. 40,132 ------------- 59,168 ------------- INSURANCE--5.5% 652 ACE Ltd. 38,038 483 AFLAC, Inc. 29,622 771 Allstate (The) Corp. 37,987 781 Ambac Financial Group, Inc. 9,153 345 American International Group, Inc. 19,030 844 Aon Corp. 36,731 151 Assurant, Inc. 9,798 738 Chubb (The) Corp. 38,221 1,019 Cincinnati Financial Corp. 39,272 1,187 Genworth Financial, Inc., Class A 28,892 231 Hartford Financial Services Group (The), Inc. 18,658 345 Lincoln National Corp. 18,754 600 Loews Corp. 28,014 380 Marsh & McLennan Cos., Inc. 10,488 2,739 MBIA, Inc. 42,455 164 MetLife, Inc. 9,671 585 Principal Financial Group, Inc. 34,872 216 Prudential Financial, Inc. 18,224 Page 40 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 333 Torchmark Corp. $ 20,333 948 Travelers (The) Cos., Inc. 45,599 847 Unum Group 19,159 1,015 XL Capital Ltd., Class A 45,675 ------------- 598,646 ------------- INTERNET & CATALOG RETAIL--0.6% 551 Amazon.com, Inc. (b) 42,813 955 Expedia, Inc. (b) 21,984 ------------- 64,797 ------------- INTERNET SOFTWARE & SERVICES--0.6% 304 eBay, Inc. (b) 8,175 73 Google, Inc., Class A (b) 41,194 536 VeriSign, Inc. (b) 18,181 ------------- 67,550 ------------- IT SERVICES--2.0% 669 Affiliated Computer Services, Inc., Class A (b) 32,614 815 Computer Sciences Corp. (b) 34,491 3,100 Convergys Corp. (b) 48,081 2,461 Electronic Data Systems Corp. 49,466 243 Fidelity National Information Services, Inc. 10,315 363 Fiserv, Inc. (b) 18,647 1,244 Western Union Co. 27,866 ------------- 221,480 ------------- LEISURE EQUIPMENT & PRODUCTS--1.3% 2,993 Brunswick Corp. 56,837 1,575 Hasbro, Inc. 40,903 2,116 Mattel, Inc. 44,457 ------------- 142,197 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 297 Applera Corp. - Applied Biosystems Group 9,364 275 Millipore Corp. (b) 19,291 387 PerkinElmer, Inc. 9,632 699 Thermo Fisher Scientific, Inc. (b) 35,992 645 Waters Corp. (b) 37,056 ------------- 111,335 ------------- MACHINERY--3.2% 277 Caterpillar, Inc. 19,706 801 Cummins, Inc. 38,672 459 Danaher Corp. 34,173 548 Deere & Co. 48,093 312 Eaton Corp. 25,821 564 Illinois Tool Works, Inc. 28,426 217 Ingersoll-Rand Co. Ltd., Class A 8,576 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MACHINERY (CONTINUED) 305 ITT Corp. $ 18,126 1,045 Manitowoc (The) Co., Inc. 39,835 185 PACCAR, Inc. 8,680 500 Pall Corp. 18,445 677 Parker Hannifin Corp. 45,772 153 Terex Corp. (b) 8,990 ------------- 343,315 ------------- MEDIA--2.6% 1,108 CBS Corp., Class B 27,911 292 Clear Channel Communications, Inc. 8,967 1,655 Comcast Corp., Class A (b) 30,055 871 DIRECTV Group (The), Inc. (b) 19,667 224 E.W. Scripps (The) Co., Class A 9,121 1,308 Gannett Co., Inc. 48,396 183 Meredith Corp. 8,599 492 News Corp., Class A 9,299 212 Omnicom Group, Inc. 9,618 3,091 Time Warner, Inc. 48,653 917 Viacom, Inc., Class B (b) 35,543 624 Walt Disney (The) Co. 18,676 13 Washington Post (The) Co., Class B 9,672 ------------- 284,177 ------------- METALS & MINING--1.9% 827 Alcoa, Inc. 27,374 349 Allegheny Technologies, Inc. 24,570 499 Freeport-McMoRan Copper & Gold, Inc. 44,425 825 Newmont Mining Corp. 44,830 340 Nucor Corp. 19,652 423 United States Steel Corp. 43,193 ------------- 204,044 ------------- MULTILINE RETAIL--3.1% 3,191 Big Lots, Inc. (b) 55,396 2,717 Dillard's, Inc., Class A 53,878 2,653 Family Dollar Stores, Inc. 55,793 1,160 J. C. Penney Co., Inc. 54,996 1,972 Macy's, Inc. 54,506 548 Nordstrom, Inc. 21,317 604 Target Corp. 33,570 ------------- 329,456 ------------- MULTI-UTILITIES--2.6% 372 Ameren Corp. 16,669 588 CenterPoint Energy, Inc. 9,414 580 CMS Energy Corp. 9,089 619 Consolidated Edison, Inc. 26,976 636 Dominion Resources, Inc. 27,348 1,161 DTE Energy Co. 49,516 2,132 NiSource, Inc. 40,486 701 PG&E Corp. 28,769 325 Sempra Energy 18,168 See Notes to Financial Statements Page 41 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 1,755 TECO Energy, Inc. $ 29,256 1,339 Xcel Energy, Inc. 27,838 ------------- 283,529 ------------- OFFICE ELECTRONICS--0.3% 1,866 Xerox Corp. 28,736 ------------- OIL, GAS & CONSUMABLE FUELS--6.1% 777 Anadarko Petroleum Corp. 45,524 375 Apache Corp. 35,790 771 Chesapeake Energy Corp. 28,704 547 Chevron Corp. 46,222 228 ConocoPhillips 18,313 423 CONSOL Energy, Inc. 30,879 227 Devon Energy Corp. 19,290 225 EOG Resources, Inc. 19,688 215 Exxon Mobil Corp. 18,576 505 Hess Corp. 45,869 839 Marathon Oil Corp. 39,307 601 Murphy Oil Corp. 44,198 380 Noble Energy 27,580 392 Occidental Petroleum Corp. 26,605 653 Peabody Energy Corp. 35,275 784 Range Resources Corp. 40,940 390 Spectra Energy Corp. 8,908 417 Sunoco, Inc. 25,937 1,069 Tesoro Corp. 41,744 432 Valero Energy Corp. 25,570 588 XTO Energy, Inc. 30,541 ------------- 655,460 ------------- PAPER & FOREST PRODUCTS--0.7% 1,576 International Paper Co. 50,826 644 MeadWestvaco Corp. 18,032 136 Weyerhaeuser Co. 9,210 ------------- 78,068 ------------- PERSONAL PRODUCTS--0.4% 764 Avon Products, Inc. 26,755 461 Estee Lauder (The) Cos., Inc., Class A 19,454 ------------- 46,209 ------------- PHARMACEUTICALS--2.3% 359 Abbott Laboratories 20,212 313 Allergan, Inc. 21,030 379 Barr Pharmaceuticals, Inc. (b) 19,780 188 Eli Lilly and Co. 9,686 301 Johnson & Johnson 19,041 4,983 King Pharmaceuticals, Inc. (b) 52,271 520 Merck & Co., Inc. 24,066 2,864 Mylan, Inc. 42,702 443 Pfizer, Inc. 10,362 371 Watson Pharmaceuticals, Inc. (b) 9,687 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ PHARMACEUTICALS (CONTINUED) 456 Wyeth $ 18,149 ------------- 246,986 ------------- REAL ESTATE INVESTMENT TRUSTS--0.6% 439 Boston Properties, Inc. 40,352 476 ProLogis 28,251 ------------- 68,603 ------------- ROAD & RAIL--1.4% 241 Burlington Northern Santa Fe Corp. 20,851 687 CSX Corp. 33,306 599 Norfolk Southern Corp. 32,580 857 Ryder System, Inc. 44,615 160 Union Pacific Corp. 20,005 ------------- 151,357 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.2% 317 Analog Devices, Inc. 8,990 1,701 Applied Materials, Inc. 30,482 377 Intel Corp. 7,992 419 KLA-Tencor Corp. 17,506 576 MEMC Electronic Materials, Inc. (b) 41,161 320 Microchip Technology, Inc. 10,211 5,555 Micron Technology, Inc. (b) 39,052 1,096 Novellus Systems, Inc. (b) 26,041 1,184 NVIDIA Corp. (b) 29,115 603 Texas Instruments, Inc. 18,651 460 Xilinx, Inc. 10,060 ------------- 239,261 ------------- SOFTWARE--1.8% 236 Adobe Systems, Inc. (b) 8,243 405 Autodesk, Inc. (b) 16,666 565 BMC Software, Inc. (b) 18,103 404 CA, Inc. 8,900 795 Citrix Systems, Inc. (b) 27,523 1,134 Compuware Corp. (b) 9,639 172 Electronic Arts, Inc. (b) 8,148 637 Intuit, Inc. (b) 19,550 1,132 Microsoft Corp. 36,902 1,784 Oracle Corp. (b) 36,661 ------------- 190,335 ------------- SPECIALTY RETAIL--5.4% 377 Abercrombie & Fitch Co., Class A 30,043 3,259 AutoNation, Inc. (b) 53,057 84 AutoZone, Inc. (b) 10,154 969 Best Buy Co., Inc. 47,297 821 GameStop Corp., Class A (b) 42,470 1,420 Gap (The), Inc. 27,150 1,495 Home Depot (The), Inc. 45,852 2,696 Limited Brands, Inc. 51,467 3,668 Office Depot, Inc. (b) 54,396 Page 42 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 2,470 OfficeMax, Inc. $ 61,183 3,027 RadioShack Corp. 52,518 520 Sherwin-Williams (The) Co. 29,749 1,309 Staples, Inc. 31,337 219 Tiffany & Co. 8,738 1,052 TJX (The) Cos., Inc. 33,201 ------------- 578,612 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 1,979 Liz Claiborne, Inc. 43,320 627 NIKE, Inc., Class B 38,724 587 VF Corp. 45,416 ------------- 127,460 ------------- THRIFTS & MORTGAGE FINANCE--1.0% 2,252 Countrywide Financial Corp. 15,674 2,011 Hudson City Bancorp, Inc. 32,940 2,959 Washington Mutual, Inc. 58,943 ------------- 107,557 ------------- TOBACCO--0.1% 152 Reynolds American, Inc. 9,626 ------------- TRADING COMPANIES & DISTRIBUTORS--0.2% 231 W.W. Grainger, Inc. 18,381 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% 236 American Tower Corp., Class A (b) 8,857 3,068 Sprint Nextel Corp. 32,306 ------------- 41,163 ------------- TOTAL COMMON STOCKS--99.6% (Cost $11,053,932) 10,725,178 MONEY MARKET FUND--0.8% 82,651 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) (Cost $82,651) 82,651 ------------- TOTAL INVESTMENTS--100.4% (Cost $11,136,583) 10,807,829 NET OTHER ASSETS AND LIABILITIES--(0.4%) (45,256) ------------- NET ASSETS--100.0% $ 10,762,573 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--1.4% 413 Alliant Techsystems, Inc. (b) $ 43,716 887 BE Aerospace, Inc. (b) 34,247 692 DRS Technologies, Inc. 37,140 ------------- 115,103 ------------- AIRLINES--1.2% 3,933 AirTran Holdings, Inc. (b) 33,942 1,877 Alaska Air Group, Inc. (b) 47,488 1,591 JetBlue Airways Corp. (b) 10,994 ------------- 92,424 ------------- AUTO COMPONENTS--1.4% 800 ArvinMeritor, Inc. 10,864 970 BorgWarner, Inc. 49,092 528 Gentex Corp. 8,374 2,843 Modine Manufacturing Co. 43,896 ------------- 112,226 ------------- AUTOMOBILES--0.2% 494 Thor Industries, Inc. 17,448 ------------- BEVERAGES--0.6% 424 Hansen Natural Corp. (b) 16,349 1,409 PepsiAmericas, Inc. 34,718 ------------- 51,067 ------------- BIOTECHNOLOGY--0.5% 131 Cephalon, Inc. (b) 8,598 1,880 Millennium Pharmaceuticals, Inc. (b) 28,519 ------------- 37,117 ------------- CAPITAL MARKETS--1.6% 827 Eaton Vance Corp. 30,822 407 Jefferies Group, Inc. 8,230 1,150 Raymond James Financial, Inc. 32,304 875 SEI Investments Co. 24,238 1,040 Waddell & Reed Financial, Inc., Class A 34,506 ------------- 130,100 ------------- CHEMICALS--4.4% 721 Airgas, Inc. 33,462 228 Albemarle Corp. 8,267 1,126 Cabot Corp. 33,476 426 CF Industries Holdings, Inc. 45,551 762 Cytec Industries, Inc. 43,137 688 FMC Corp. 36,574 347 Lubrizol (The) Corp. 18,256 280 Minerals Technologies, Inc. 15,232 486 Olin Corp. 9,958 1,387 RPM International, Inc. 30,015 664 Sensient Technologies Corp. 17,636 983 Terra Industries, Inc. (b) 44,304 833 Valspar (The) Corp. 16,685 ------------- 352,553 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMERCIAL BANKS--1.8% 347 Associated Banc-Corp. $ 9,778 709 Cathay General Bancorp 18,384 158 City National Corp. 8,987 1,387 Colonial BancGroup (The), Inc. 21,776 455 First Community Bancorp, Inc. 16,166 559 SVB Financial Group (b) 27,057 921 Synovus Financial Corp. 12,166 524 TCF Financial Corp. 11,135 587 Webster Financial Corp. 19,882 ------------- 145,331 ------------- COMMERCIAL SERVICES & SUPPLIES--4.1% 471 Brink's (The) Co. 28,557 882 Copart, Inc. (b) 36,056 285 Deluxe Corp. 6,931 869 Herman Miller, Inc. 27,617 536 HNI Corp. 18,042 2,515 Kelly Services, Inc., Class A 43,308 998 Korn/Ferry International (b) 16,058 660 Manpower, Inc. 37,132 724 Mine Safety Appliances Co. 32,312 687 Navigant Consulting, Inc. (b) 8,134 299 Republic Services, Inc. 8,970 1,467 Rollins, Inc. 26,098 632 Stericycle, Inc. (b) 37,452 ------------- 326,667 ------------- COMMUNICATIONS EQUIPMENT--2.3% 3,019 ADC Telecommunications, Inc. (b) 44,650 439 ADTRAN, Inc. 9,136 403 Avocent Corp. (b) 6,690 572 CommScope, Inc. (b) 25,368 1,057 Dycom Industries, Inc. (b) 24,966 1,072 Foundry Networks, Inc. (b) 14,794 749 Harris Corp. 40,963 361 Plantronics, Inc. 6,895 338 Polycom, Inc. (b) 8,535 ------------- 181,997 ------------- COMPUTERS & PERIPHERALS--1.3% 1,341 Imation Corp. 34,745 4,442 Palm, Inc. 24,076 1,554 Western Digital Corp. (b) 41,103 ------------- 99,924 ------------- CONSTRUCTION & ENGINEERING--0.7% 778 Granite Construction, Inc. 29,618 716 Quanta Services, Inc. (b) 15,695 173 URS Corp. (b) 7,595 ------------- 52,908 ------------- CONSUMER FINANCE--0.6% 3,670 AmeriCredit Corp. (b) 48,848 ------------- Page 44 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING--0.7% 333 Packaging Corp. of America $ 8,072 575 Sonoco Products Co. 17,745 1,801 Temple-Inland, Inc. 33,768 ------------- 59,585 ------------- DIVERSIFIED CONSUMER SERVICES--2.3% 610 Corinthian Colleges, Inc. (b) 5,155 723 DeVry, Inc. 39,902 401 Matthews International Corp., Class A 19,597 1,343 Regis Corp. 34,018 3,341 Service Corp. International 40,192 246 Sotheby's 7,643 220 Strayer Education, Inc. 37,968 ------------- 184,475 ------------- ELECTRIC UTILITIES--1.6% 961 Great Plains Energy, Inc. 26,793 412 Hawaiian Electric Industries, Inc. 9,262 800 IDACORP, Inc. 26,112 300 Northeast Utilities 8,316 1,659 Sierra Pacific Resources 24,835 1,448 Westar Energy, Inc. 35,273 ------------- 130,591 ------------- ELECTRICAL EQUIPMENT--1.2% 802 AMETEK, Inc. 35,319 364 Hubbell, Inc., Class B 17,356 450 Roper Industries, Inc. 25,164 383 Thomas & Betts Corp. (b) 17,331 ------------- 95,170 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.7% 1,012 Amphenol Corp., Class A 40,419 956 Arrow Electronics, Inc. (b) 32,714 805 Avnet, Inc. (b) 28,666 1,561 Ingram Micro, Inc., Class A (b) 27,755 2,832 KEMET Corp. (b) 14,755 563 National Instruments Corp. 15,122 249 Tech Data Corp. (b) 8,561 4,114 Vishay Intertechnology, Inc. (b) 43,156 ------------- 211,148 ------------- ENERGY EQUIPMENT & SERVICES--4.5% 975 Cameron International Corp. (b) 39,254 574 Exterran Holdings, Inc. (b) 37,448 828 FMC Technologies, Inc. (b) 39,876 507 Grant Prideco, Inc. (b) 25,238 1,171 Helmerich & Payne, Inc. 45,927 2,405 Patterson-UTI Energy, Inc. 47,089 1,108 Pride International, Inc. (b) 35,135 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES (CONTINUED) 1,091 Superior Energy Services, Inc. (b) $ 43,738 856 Tidewater, Inc. 45,334 ------------- 359,039 ------------- FOOD & STAPLES RETAILING--0.7% 1,110 BJ's Wholesale Club, Inc. (b) 36,009 542 Ruddick Corp. 18,471 ------------- 54,480 ------------- FOOD PRODUCTS--1.3% 1,022 Corn Products International, Inc. 34,544 928 Hormel Foods Corp. 35,951 365 J.M. Smucker (The) Co. 17,056 236 Lancaster Colony Corp. 8,227 325 Smithfield Foods, Inc. (b) 9,051 ------------- 104,829 ------------- GAS UTILITIES--1.2% 499 AGL Resources, Inc. 18,887 438 Energen Corp. 27,550 176 Equitable Resources, Inc. 9,812 201 National Fuel Gas Co. 8,665 860 WGL Holdings, Inc. 27,727 ------------- 92,641 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.8% 387 Beckman Coulter, Inc. 25,736 626 DENTSPLY International, Inc. 25,860 204 Edwards Lifesciences Corp. (b) 9,439 149 Gen-Probe, Inc. (b) 8,515 168 Hillenbrand Industries, Inc. 8,689 684 Hologic, Inc. (b) 44,022 145 Intuitive Surgical, Inc. (b) 36,830 526 Kinetic Concepts, Inc. (b) 26,184 536 ResMed Inc. (b) 24,967 651 STERIS Corp. 16,132 ------------- 226,374 ------------- HEALTH CARE PROVIDERS & SERVICES--3.7% 1,273 Community Health Systems, Inc. (b) 40,863 389 Health Net, Inc. (b) 18,085 612 Henry Schein, Inc. (b) 35,576 1,503 Kindred Healthcare, Inc. (b) 41,393 1,263 LifePoint Hospitals, Inc. (b) 34,101 267 Lincare Holdings, Inc. (b) 8,920 823 Omnicare, Inc. 18,221 289 Psychiatric Solutions, Inc. (b) 8,719 550 Universal Health Services, Inc., Class B 25,922 849 VCA Antech, Inc. (b) 32,822 664 WellCare Health Plans, Inc. (b) 31,201 ------------- 295,823 ------------- See Notes to Financial Statements Page 45 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY--0.2% 333 Cerner Corp. (b) $ 17,449 ------------- HOTELS, RESTAURANTS & LEISURE--2.7% 1,743 Bob Evans Farms, Inc. 51,838 276 Boyd Gaming Corp. 7,377 1,920 Brinker International, Inc. 35,731 290 CBRL Group, Inc. 9,068 792 Cheesecake Factory (The), Inc. (b) 17,305 319 Chipotle Mexican Grill, Inc. (b) 38,835 189 LIFE TIME FITNESS, Inc. (b) 8,380 4,814 Ruby Tuesday, Inc. 37,020 282 Scientific Games Corp., Class A (b) 6,712 ------------- 212,266 ------------- HOUSEHOLD DURABLES--1.3% 1,850 American Greetings Corp., Class A 37,962 631 Mohawk Industries, Inc. (b) 50,430 18 NVR, Inc. (b) 11,367 ------------- 99,759 ------------- HOUSEHOLD PRODUCTS--0.8% 694 Church & Dwight Co., Inc. 36,934 251 Energizer Holdings, Inc. (b) 23,499 ------------- 60,433 ------------- INDUSTRIAL CONGLOMERATES--0.4% 1,014 Carlisle Cos., Inc. 33,766 ------------- INSURANCE--4.8% 975 American Financial Group, Inc. 27,037 783 Commerce Group (The), Inc. 28,305 468 Everest Re Group Ltd. 47,591 2,570 Fidelity National Financial, Inc., Class A 50,603 825 First American Corp. 35,929 410 Hanover Insurance Group, Inc. 18,676 1,309 HCC Insurance Holdings, Inc. 36,469 991 Horace Mann Educators Corp. 18,205 565 Mercury General Corp. 27,171 1,828 Old Republic International Corp. 27,292 458 Protective Life Corp. 18,201 559 StanCorp Financial Group, Inc. 27,508 196 Unitrin, Inc. 8,065 315 W.R. Berkley Corp. 9,532 ------------- 380,584 ------------- INTERNET & CATALOG RETAIL--0.6% 1,763 Netflix, Inc. (b) 44,339 ------------- IT SERVICES--2.4% 2,401 Acxiom Corp. 25,475 250 Alliance Data Systems Corp. (b) 12,643 1,275 CSG Systems International, Inc. (b) 16,269 114 DST Systems, Inc. (b) 8,151 605 Global Payments, Inc. 22,627 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ IT SERVICES (CONTINUED) 1,610 Metavante Technologies, Inc. (b) $ 35,661 611 MoneyGram International, Inc. 3,263 3,432 MPS Group, Inc. (b) 34,492 1,275 SRA International, Inc., Class A (b) 34,972 ------------- 193,553 ------------- LEISURE EQUIPMENT & PRODUCTS--0.2% 1,077 Callaway Golf Co. 19,300 ------------- LIFE SCIENCES TOOLS & SERVICES--2.8% 571 Charles River Laboratories International, Inc. (b) 35,459 434 Covance, Inc. (b) 36,091 402 Invitrogen Corp. (b) 34,439 698 Pharmaceutical Product Development, Inc. 30,265 284 Techne Corp. (b) 18,460 575 Varian, Inc. (b) 31,194 430 Ventana Medical Systems, Inc. (b) 38,292 ------------- 224,200 ------------- MACHINERY--6.2% 690 AGCO Corp. (b) 41,552 438 Crane Co. 17,901 1,012 Donaldson Co., Inc. 42,403 1,673 Federal Signal Corp. 19,390 488 Flowserve Corp. 40,075 733 Harsco Corp. 41,722 520 IDEX Corp. 16,240 571 Joy Global, Inc. 36,002 744 Kennametal, Inc. 22,789 264 Lincoln Electric Holdings, Inc. 16,276 486 Nordson Corp. 24,242 397 Oshkosh Truck Corp. 18,167 539 Pentair, Inc. 17,119 456 SPX Corp. 45,873 857 Timken (The) Co. 25,907 1,691 Trinity Industries, Inc. 47,888 545 Wabtec Corp. 18,743 ------------- 492,289 ------------- MARINE--0.1% 182 Alexander & Baldwin, Inc. 8,306 ------------- MEDIA--2.7% 2,153 Belo Corp., Class A 35,761 1,628 Harte-Hanks, Inc. 26,081 438 John Wiley & Sons, Inc., Class A 17,266 3,204 Lee Enterprises, Inc. 38,255 1,767 Media General, Inc., Class A 33,608 1,076 Scholastic Corp. (b) 36,875 3,212 Valassis Communications, Inc. (b) 30,707 ------------- 218,553 ------------- Page 46 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) METALS & MINING--2.7% 624 Carpenter Technology Corp. $ 38,463 466 Cleveland-Cliffs, Inc. 47,458 638 Commercial Metals Co. 18,087 866 Reliance Steel & Aluminum Co. 42,616 788 Steel Dynamics, Inc. 41,094 1,575 Worthington Industries, Inc. 25,814 ------------- 213,532 ------------- MULTILINE RETAIL--0.4% 1,809 Saks, Inc. (b) 32,652 ------------- MULTI-UTILITIES--3.6% 1,154 Alliant Energy Corp. 42,583 639 Black Hills Corp. 24,755 1,035 Energy East Corp. 26,134 1,020 MDU Resources Group, Inc. 26,438 518 NSTAR 16,799 776 OGE Energy Corp. 25,398 1,313 PNM Resources, Inc. 25,367 1,027 Puget Energy, Inc. 26,856 668 SCANA Corp. 24,910 971 Vectren Corp. 26,654 385 Wisconsin Energy Corp. 17,529 ------------- 283,423 ------------- OFFICE ELECTRONICS--0.1% 271 Zebra Technologies Corp., Class A (b) 8,322 ------------- OIL, GAS & CONSUMABLE FUELS--4.3% 627 Arch Coal, Inc. 27,588 224 Bill Barrett Corp. (b) 9,356 221 Cimarex Energy Co. 9,019 1,262 Denbury Resources, Inc. (b) 31,929 844 Encore Acquisition Co. (b) 27,514 369 Forest Oil Corp. (b) 16,686 463 Frontier Oil Corp. 16,330 356 Newfield Exploration Co. (b) 17,757 631 Overseas Shipholding Group, Inc. 41,154 384 Pioneer Natural Resources Co. 16,090 695 Plains Exploration & Production Co. (b) 33,805 788 Quicksilver Resources, Inc. (b) 44,782 842 Southwestern Energy Co. (b) 47,076 ------------- 339,086 ------------- PERSONAL PRODUCTS--0.3% 765 Alberto-Culver Co. 20,494 ------------- PHARMACEUTICALS--0.9% 1,565 Par Pharmaceutical Cos., Inc. (b) 30,017 1,341 Perrigo Co. 41,356 ------------- 71,373 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS--0.5% 291 Hospitality Properties Trust $ 9,879 422 Potlatch Corp. 18,117 199 Rayonier, Inc. 8,422 ------------- 36,418 ------------- ROAD & RAIL--2.9% 2,888 Avis Budget Group, Inc. (b) 38,555 904 Con-way, Inc. 44,016 681 J.B. Hunt Transport Services, Inc. 21,179 547 Kansas City Southern (b) 19,626 2,756 Werner Enterprises, Inc. 56,139 2,747 YRC Worldwide, Inc. (b) 50,298 ------------- 229,813 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.6% 1,303 Cypress Semiconductor Corp. (b) 27,689 651 Fairchild Semiconductor International, Inc. (b) 7,975 276 International Rectifier Corp. (b) 7,681 767 Intersil Corp., Class A 17,664 1,086 Lam Research Corp. (b) 41,691 8,220 RF Micro Devices, Inc. (b) 26,551 ------------- 129,251 ------------- SOFTWARE--2.2% 1,580 Activision, Inc. (b) 40,874 694 Advent Software, Inc. (b) 31,341 552 Cadence Design Systems, Inc. (b) 5,603 386 Jack Henry & Associates, Inc. 9,488 751 McAfee, Inc. (b) 25,279 1,052 Parametric Technology Corp. (b) 17,305 1,439 Sybase, Inc. (b) 40,609 362 Synopsys, Inc. (b) 7,971 ------------- 178,470 ------------- SPECIALTY RETAIL--6.5% 741 Advance Auto Parts, Inc. 26,439 1,417 Aeropostale, Inc. (b) 39,917 1,836 AnnTaylor Stores Corp. (b) 46,175 817 Barnes & Noble, Inc. 27,737 475 CarMax, Inc. (b) 10,593 8,676 Charming Shoppes, Inc. (b) 55,961 4,210 Coldwater Creek, Inc. (b) 27,070 2,699 Collective Brands, Inc. (b) 47,556 1,015 Dick's Sporting Goods, Inc. (b) 33,038 2,062 Foot Locker, Inc. 28,229 248 Guess?, Inc. 9,253 289 O'Reilly Automotive, Inc. (b) 8,505 1,596 PetSmart, Inc. 36,501 3,233 Rent-A-Center, Inc. (b) 55,285 734 Ross Stores, Inc. 21,396 1,377 Urban Outfitters, Inc. (b) 39,933 ------------- 513,588 ------------- See Notes to Financial Statements Page 47 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS--1.1% 691 Hanesbrands, Inc. (b) $ 17,697 1,019 Phillips-Van Heusen Corp. 42,940 809 Warnaco Group (The), Inc. (b) 29,035 ------------- 89,672 ------------- THRIFTS & MORTGAGE FINANCE--1.2% 780 First Niagara Financial Group, Inc. 9,922 6,311 IndyMac Bancorp, Inc. 51,560 3,534 PMI Group (The), Inc. 33,573 ------------- 95,055 ------------- TOBACCO--0.2% 367 Universal Corp. 18,280 ------------- TRADING COMPANIES & DISTRIBUTORS--1.3% 232 Fastenal Co. 9,375 1,024 GATX Corp. 38,502 232 MSC Industrial Direct Co., Inc., Class A 9,528 2,557 United Rentals, Inc. (b) 46,666 ------------- 104,071 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 300 Telephone and Data Systems, Inc. 15,822 ------------- TOTAL COMMON STOCKS --100.0% (Cost $8,527,752) 7,961,987 MONEY MARKET FUND--0.6% 47,860 J.p. Morgan Institutional Treasury MONEY MARKET FUND--2.03% (c) (Cost $47,860) 47,860 ------------- TOTAL INVESTMENTS--100.6% (Cost $8,575,612) 8,009,847 NET OTHER ASSETS And LIABILITIES--(0.6%) (48,525) ------------- NET ASSETS--100.0% $ 7,961,322 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.8% AEROSPACE & DEFENSE--2.2% 782 AAR Corp. (b) $ 23,038 438 Applied Signal Technology, Inc. 5,852 607 Cubic Corp. 16,304 474 Curtiss-Wright Corp. 19,766 460 Esterline Technologies Corp. (b) 21,431 1,020 GenCorp, Inc. (b) 11,975 519 Moog, Inc., Class A (b) 23,894 446 Teledyne Technologies, Inc. (b) 23,027 361 Triumph Group, Inc. 19,494 ------------- 164,781 ------------- AIR FREIGHT & LOGISTICS--0.2% 191 Forward Air Corp. 5,921 224 Hub Group, Inc., Class A (b) 6,525 ------------- 12,446 ------------- AIRLINES--0.8% 3,393 Frontier Airlines Holdings, Inc. (b) 10,179 7,701 Mesa Air Group, Inc. (b) 27,030 886 Skywest, Inc. 23,054 ------------- 60,263 ------------- AUTO COMPONENTS--0.7% 2,336 Spartan Motors, Inc. 20,954 2,916 Standard Motor Products, Inc. 24,086 327 Superior Industries International, Inc. 5,958 ------------- 50,998 ------------- AUTOMOBILES--0.3% 1,340 Monaco Coach Corp. 13,628 566 Winnebago Industries, Inc. 11,920 ------------- 25,548 ------------- BEVERAGES--0.1% 158 Boston Beer (The) Co., Inc., Class A (b) 5,615 ------------- BIOTECHNOLOGY--1.0% 690 LifeCell Corp. (b) 27,261 603 Martek Biosciences Corp. (b) 17,186 739 Regeneron Pharmaceuticals, Inc. (b) 14,987 777 Savient Pharmaceuticals, Inc. (b) 15,035 ------------- 74,469 ------------- BUILDING PRODUCTS--1.6% 1,043 Apogee Enterprises, Inc. 18,200 772 Gibraltar Industries, Inc. 10,190 1,911 Griffon Corp. (b) 20,830 144 Lennox International, Inc. 5,351 1,033 NCI Building Systems, Inc. (b) 29,709 1,010 Universal Forest Products, Inc. 36,563 ------------- 120,843 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CAPITAL MARKETS--1.3% 500 Investment Technology Group, Inc. (b) $ 23,485 880 optionsXpress Holdings, Inc. 23,865 385 Piper Jaffray Cos., Inc. (b) 18,241 939 SWS Group, Inc. 14,414 1,675 TradeStation Group, Inc. (b) 18,258 ------------- 98,263 ------------- CHEMICALS--1.6% 276 A. Schulman, Inc. 5,628 3,595 Georgia Gulf Corp. 28,041 1,060 H.B. Fuller Co. 22,006 1,601 Material Sciences Corp. (b) 10,374 697 Penford Corp. 15,592 2,712 PolyOne Corp. (b) 16,706 542 Quaker Chemical Corp. 10,840 2,063 Tronox, Inc., Class B 15,101 ------------- 124,288 ------------- COMMERCIAL BANKS--4.1% 306 Alabama National BanCorporation 23,945 659 Boston Private Financial Holdings, Inc. 15,045 855 Cascade Bancorp 11,030 1,289 Central Pacific Financial Corp. 24,491 299 Community Bank System, Inc. 6,524 491 East West Bancorp, Inc. 11,813 2,448 First BanCorp 23,403 559 First Commonwealth Financial Corp. 6,484 320 Frontier Financial Corp. 6,515 317 Glacier Bancorp, Inc. 5,899 2,761 Hanmi Financial Corp. 23,745 364 PrivateBancorp, Inc. 13,395 202 Prosperity Bancshares, Inc. 5,808 556 Provident Bankshares Corp. 11,526 529 Signature Bank (b) 17,727 381 South Financial Group (The), Inc. 6,584 1,063 Sterling Financial Corp. 18,911 323 Susquehanna Bancshares, Inc. 6,854 310 UMB Financial Corp. 13,060 776 Umpqua Holdings Corp. 12,726 212 United Bankshares, Inc. 6,818 753 United Community Banks, Inc. 14,540 455 Whitney Holding Corp. 12,212 359 Wintrust Financial Corp. 13,656 ------------- 312,711 ------------- COMMERCIAL SERVICES & SUPPLIES--5.1% 1,167 ABM Industries, Inc. 24,180 210 Administaff, Inc. 6,302 934 Angelica Corp. 16,158 1,352 Bowne & Co., Inc. 16,630 736 CDI Corp. 14,315 498 Consolidated Graphics., Inc. (b) 25,054 476 G&K Services, Inc., Class A 19,026 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 1,124 Healthcare Services Group, Inc. $ 27,268 481 Heidrick & Struggles International, Inc. 13,218 1,094 Interface, Inc., Class A 17,460 963 Mobile Mini, Inc. (b) 14,638 2,546 On Assignment, Inc. (b) 14,156 517 School Specialty, Inc. (b) 16,782 4,086 Spherion Corp. (b) 27,294 830 Tetra Tech, Inc. (b) 16,343 1,643 TrueBlue, Inc. (b) 23,446 386 United Stationers, Inc. (b) 21,330 565 Viad Corp. 15,114 1,303 Volt Information Sciences, Inc. (b) 24,327 578 Waste Connections, Inc. (b) 16,854 385 Watson Wyatt Worldwide, Inc., Class A 18,923 ------------- 388,818 ------------- COMMUNICATIONS EQUIPMENT--2.1% 2,980 Arris Group, Inc. (b) 26,195 406 Bel Fuse, Inc., Class B 10,994 493 Black Box Corp. 16,397 724 Blue Coat Systems, Inc. (b) 19,454 441 Comtech Telecommunications Corp. (b) 19,757 1,258 Digi International, Inc. (b) 14,731 834 NETGEAR, Inc. (b) 22,234 1,413 Network Equipment Technologies, Inc. (b) 10,513 1,484 Tollgrade Communications, Inc. (b) 9,008 518 ViaSat, Inc. (b) 10,759 ------------- 160,042 ------------- COMPUTERS & PERIPHERALS--0.7% 904 Hutchinson Technology, Inc. (b) 14,256 409 Intevac, Inc. (b) 4,454 734 Novatel Wireless, Inc. (b) 11,744 691 Stratasys, Inc. (b) 15,271 434 Synaptics, Inc. (b) 11,501 ------------- 57,226 ------------- CONSTRUCTION & ENGINEERING--0.5% 504 EMCOR Group, Inc. (b) 11,053 492 Shaw Group (The), Inc. (b) 27,798 ------------- 38,851 ------------- CONSTRUCTION MATERIALS--0.1% 85 Texas Industries, Inc. 4,817 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CONSUMER FINANCE--0.4% 553 Cash America International, Inc. $ 17,979 2,394 Rewards Network, Inc. (b) 11,778 ------------- 29,757 ------------- CONTAINERS & PACKAGING--1.0% 727 AptarGroup, Inc. 27,423 2,292 Chesapeake Corp. (b) 10,176 822 Myers Industries, Inc. 9,659 936 Rock-Tenn Co., Class A 26,760 ------------- 74,018 ------------- DISTRIBUTORS--0.9% 480 Audiovox Corp., Class A (b) 4,925 5,379 Building Materials Holding Corp. 36,631 1,415 LKQ Corp. (b) 25,314 ------------- 66,870 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 172 Bright Horizons Family Solutions, Inc. (b) 7,322 211 Coinstar, Inc. (b) 6,488 505 CPI Corp. 10,252 215 Pre-Paid Legal Services, Inc. (b) 11,943 ------------- 36,005 ------------- DIVERSIFIED FINANCIAL SERVICES--0.1% 267 Financial Federal Corp. 6,419 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.1% 1,360 General Communication, Inc., Class A (b) 9,806 ------------- ELECTRIC UTILITIES--1.0% 451 ALLETE, Inc. 17,359 193 Central Vermont Public Service Corp. 5,622 856 Cleco Corp. 22,128 698 El Paso Electric Co. (b) 16,354 161 UIL Holdings Corp. 5,498 377 Unisource Energy Corp. 11,076 ------------- 78,037 ------------- ELECTRICAL EQUIPMENT--1.7% 679 A.O. Smith Corp. 23,765 264 Acuity Brands, Inc. 12,015 353 Baldor Electric Co. 10,689 134 Belden, Inc. 5,668 509 Brady Corp., Class A 15,458 529 Regal-Beloit Corp. 20,060 1,145 Vicor Corp. 14,095 438 Woodward Governor Co. 27,497 ------------- 129,247 ------------- Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS--5.6% 287 Anixter International, Inc. (b) $ 20,107 1,678 Benchmark Electronics, Inc. (b) 29,784 1,937 Brightpoint, Inc. (b) 24,639 916 Checkpoint Systems, Inc. (b) 21,764 2,995 CTS Corp. 31,746 264 Daktronics, Inc. 5,409 300 Electro Scientific Industries, Inc. (b) 4,932 219 FARO Technologies, Inc. (b) 5,230 950 FLIR Systems, Inc. (b) 28,766 1,102 Gerber Scientific, Inc. (b) 9,720 978 Insight Enterprises, Inc. (b) 16,890 310 Itron, Inc. (b) 25,544 361 Littelfuse, Inc. (b) 10,971 1,477 Mercury Computer Systems, Inc. (b) 12,259 1,086 Methode Electronics, Inc. 13,162 279 MTS Systems Corp. 9,377 1,395 Newport Corp. (b) 14,648 421 Park Electrochemical Corp. 9,969 2,789 Planar Systems, Inc. (b) 15,786 680 Plexus Corp. (b) 15,361 888 RadiSys Corp. (b) 12,068 274 Rogers Corp. (b) 8,552 919 ScanSource, Inc. (b) 29,096 911 SYNNEX Corp. (b) 19,404 208 Technitrol, Inc. 4,713 197 Trimble Navigation Ltd. (b) 5,211 2,041 TTM Technologies, Inc. (b) 20,757 ------------- 425,865 ------------- ENERGY EQUIPMENT & SERVICES--4.6% 297 Atwood Oceanics, Inc. (b) 24,678 813 Basic Energy Services, Inc. (b) 14,545 525 Bristow Group, Inc. (b) 26,434 428 Dril-Quip, Inc. (b) 20,775 563 Gulf Island Fabrication, Inc. 14,086 573 Helix Energy Solutions Group, Inc. (b) 21,184 529 Hornbeck Offshore Services, Inc. (b) 20,462 1,885 ION Geophysical Corp. (b) 23,374 415 Lufkin Industries, Inc. 21,941 1,363 Matrix Service Co. (b) 24,561 439 NATCO Group, Inc., Class A (b) 20,097 353 Oceaneering International, Inc. (b) 20,326 2,504 Pioneer Drilling Co. (b) 26,067 321 SEACOR Holdings, Inc. (b) 28,311 561 Superior Well Services, Inc. (b) 10,934 1,146 TETRA Technologies, Inc. (b) 17,935 318 W-H Energy Services, Inc. (b) 15,471 ------------- 351,181 ------------- FOOD & STAPLES RETAILING--1.6% 664 Andersons (The), Inc. 30,245 1,005 Casey's General Stores, Inc. 26,130 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ FOOD & STAPLES RETAILING (CONTINUED) 190 Great Atlantic & Pacific Tea (The) Co., Inc. (b) $ 5,675 253 Longs Drug Stores Corp. 11,641 169 Nash Finch Co. 6,030 443 Performance Food Group Co. (b) 14,012 260 Spartan Stores, Inc. 4,571 938 United Natural Foods, Inc. (b) 22,493 ------------- 120,797 ------------- FOOD PRODUCTS--1.9% 1,016 Flowers Foods, Inc. 24,384 744 Hain Celestial Group (The), Inc. (b) 20,088 571 J & J Snack Foods Corp. 14,281 291 Lance, Inc. 5,334 489 Ralcorp Holdings, Inc. (b) 26,606 881 Sanderson Farms, Inc. 29,611 1,035 TreeHouse Foods, Inc. (b) 21,600 ------------- 141,904 ------------- GAS UTILITIES--1.1% 636 Atmos Energy Corp. 18,267 347 Laclede Group (The), Inc. 11,652 122 Northwest Natural Gas Co. 5,775 227 Piedmont Natural Gas Co., Inc. 5,691 165 South Jersey Industries, Inc. 5,780 405 Southern Union Co. 11,008 599 Southwest Gas Corp. 17,101 218 UGI Corp. 5,803 ------------- 81,077 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.6% 411 American Medical Systems Holdings, Inc. (b) 5,873 176 Analogic Corp. 10,395 248 ArthroCare Corp. (b) 9,927 257 CONMED Corp. (b) 6,245 163 Datascope Corp. 5,284 298 Greatbatch, Inc. (b) 6,729 378 Haemonetics Corp. (b) 22,620 406 IDEXX Laboratories, Inc. (b) 22,886 525 Immucor, Inc. (b) 15,141 284 Integra LifeSciences Holdings (b) 11,814 398 Kensey Nash Corp. (b) 10,806 593 Meridian Bioscience, Inc. 18,626 1,284 Merit Medical Systems, Inc. (b) 20,647 1,224 Possis Medical, Inc. (b) 17,112 454 Respironics, Inc. (b) 29,742 329 SurModics, Inc. (b) 14,364 683 Symmetry Medical, Inc. (b) 12,431 8,309 Theragenics Corp. (b) 32,155 116 Vital Signs, Inc. 5,626 ------------- 278,423 ------------- See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--4.3% 613 Amedisys, Inc. (b) $ 26,132 816 AMERIGROUP Corp. (b) 30,615 346 AMN Healthcare Services, Inc. (b) 5,405 879 AmSurg Corp. (b) 22,643 1,084 Centene Corp. (b) 25,951 213 Chemed Corp. 10,912 836 Cross Country Healthcare, Inc. (b) 10,559 312 Gentiva Health Services, Inc. (b) 5,766 912 HealthExtras, Inc. (b) 25,217 509 Healthways, Inc. (b) 28,656 192 inVentiv Health, Inc. (b) 6,315 953 LHC Group, Inc. (b) 21,976 250 Matria Healthcare, Inc. (b) 7,215 484 MedCath Corp. (b) 12,042 769 Molina Healthcare, Inc. (b) 26,230 1,076 Odyssey HealthCare, Inc. (b) 9,480 262 Pediatrix Medical Group, Inc. (b) 17,840 912 PSS World Medical, Inc. (b) 15,768 236 Res-Care, Inc. (b) 5,279 425 Sierra Health Services, Inc. (b) 18,267 ------------- 332,268 ------------- HEALTH CARE TECHNOLOGY--0.5% 884 Omnicell, Inc. (b) 22,170 1,094 Phase Forward, Inc. (b) 18,872 ------------- 41,042 ------------- HOTELS, RESTAURANTS & LEISURE--3.7% 512 Buffalo Wild Wings, Inc. (b) 12,887 764 California Pizza Kitchen, Inc. (b) 10,261 901 CKE Restaurants, Inc. 11,821 462 Jack in the Box, Inc. (b) 13,504 1,510 Landry's Restaurants, Inc. 30,971 1,155 Marcus (The) Corp. 20,455 2,140 Multimedia Games, Inc. (b) 16,542 1,589 O'Charley's, Inc. 22,039 166 Panera Bread Co., Class A (b) 6,271 262 Papa John's International, Inc. (b) 6,626 819 Peet's Coffee & Tea, Inc. (b) 17,969 558 Red Robin Gourmet Burgers, Inc. (b) 19,463 2,662 Ruth's Chris Steak House, Inc. (b) 22,041 543 Sonic Corp. (b) 12,044 2,183 Steak n Shake (The) Co. (b) 19,079 1,076 Texas Roadhouse, Inc. (Class A) (b) 12,987 812 WMS Industries, Inc. (b) 30,370 ------------- 285,330 ------------- HOUSEHOLD DURABLES--1.0% 626 Ethan Allen Interiors, Inc. 19,375 750 La-Z-Boy, Inc. 5,715 452 National Presto Industries, Inc. 25,334 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HOUSEHOLD DURABLES (CONTINUED) 727 Russ Berrie and Co., Inc. (b) $ 10,491 712 Universal Electronics, Inc. (b) 16,953 ------------- 77,868 ------------- HOUSEHOLD PRODUCTS--0.6% 5,549 Central Garden & Pet Co., Class A (b) 27,579 470 WD-40 Co. 15,867 ------------- 43,446 ------------- INDUSTRIAL CONGLOMERATES--0.5% 1,364 Standex International Corp. 24,812 740 Tredegar Corp. 10,256 ------------- 35,068 ------------- INSURANCE--3.6% 337 Delphi Financial Group, Inc., Class A 10,575 147 Hilb Rogal & Hobbs Co. 5,318 711 LandAmerica Financial Group, Inc. 37,086 458 Navigators Group (The), Inc. (b) 26,440 302 Philadelphia Consolidated Holding Corp. (b) 10,812 1,019 Presidential Life Corp. 18,688 217 ProAssurance Corp. (b) 12,521 419 RLI Corp. 23,632 812 Safety Insurance Group, Inc. 31,684 217 SCPIE Holdings, Inc. (b) 5,681 1,035 Selective Insurance Group, Inc. 24,747 456 Stewart Information Services Corp. 15,609 712 Tower Group, Inc. 20,805 818 United Fire & Casualty Co. 27,305 133 Zenith National Insurance Corp. 5,296 ------------- 276,199 ------------- INTERNET & CATALOG RETAIL--0.3% 175 Blue Nile, Inc. (b) 9,669 983 PetMed Express, Inc. (b) 12,140 ------------- 21,809 ------------- INTERNET SOFTWARE & SERVICES--0.5% 371 Bankrate, Inc. (b) 20,119 178 DealerTrack Holdings, Inc. (b) 4,799 373 Knot (The), Inc. (b) 5,461 378 Perficient, Inc. (b) 5,250 ------------- 35,629 ------------- IT SERVICES--2.2% 266 CACI International Inc., Class A (b) 11,595 3,895 CIBER, Inc. (b) 18,774 1,674 Cybersource Corp. (b) 28,040 3,868 Gevity HR, Inc. 27,153 679 ManTech International Corp., Class A (b) 27,771 154 MAXIMUS, Inc. 5,433 Page 52 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 433 SI International, Inc. (b) $ 11,834 639 StarTek, Inc. (b) 5,527 1,322 Sykes Enterprises, Inc. (b) 20,874 335 Wright Express Corp. (b) 10,030 ------------- 167,031 ------------- LEISURE EQUIPMENT & PRODUCTS--1.6% 2,491 Arctic Cat, Inc. 23,042 1,260 JAKKS Pacific, Inc. (b) 29,686 1,535 MarineMax, Inc. (b) 23,746 3,680 Nautilus, Inc. 17,112 249 Polaris Industries, Inc. 10,817 636 RC2 Corp. (b) 11,944 718 Sturm, Ruger & Co., Inc. (b) 6,440 ------------- 122,787 ------------- LIFE SCIENCES TOOLS & SERVICES--1.5% 215 Dionex Corp. (b) 15,072 934 Enzo Biochem, Inc. (b) 8,724 608 Kendle International, Inc. (b) 25,773 616 PAREXEL International Corp. (b) 33,516 759 Pharmanet Development Group, Inc. (b) 30,937 ------------- 114,022 ------------- MACHINERY--3.7% 481 Albany International Corp., Class A 16,840 320 Astec Industries, Inc. (b) 9,878 178 Barnes Group, Inc. 4,744 640 Cascade Corp. 33,037 313 CLARCOR, Inc. 11,741 194 EnPro Industries, Inc. (b) 5,820 901 Gardner Denver, Inc. (b) 29,228 327 Kaydon Corp. 14,287 421 Lindsay Corp. 25,689 2,262 Lydall, Inc. (b) 20,539 821 Mueller Industries, Inc. 22,988 393 Robbins & Myers, Inc. 26,048 219 Toro (The) Co. 10,805 267 Valmont Industries, Inc. 22,348 1,547 Wabash National Corp. 14,217 599 Watts Water Technologies, Inc., Class A 17,784 ------------- 285,993 ------------- MARINE--0.3% 512 Kirby Corp. (b) 23,542 ------------- MEDIA--0.1% 410 Live Nation, Inc. (b) 4,469 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ METALS & MINING--1.4% 875 A.M. Castle & Co. $ 18,533 826 AMCOL International Corp. 20,254 482 Brush Engineered Materials, Inc. (b) 13,795 441 Century Aluminum Co. (b) 22,927 458 Quanex Corp. 24,003 86 RTI International Metals, Inc. (b) 4,752 ------------- 104,264 ------------- MULTILINE RETAIL--0.8% 3,089 Fred's, Inc. 29,129 5,867 Tuesday Morning Corp. 35,437 ------------- 64,566 ------------- MULTI-UTILITIES--0.3% 552 Avista Corp. 11,122 267 CH Energy Group, Inc. 10,304 ------------- 21,426 ------------- OIL, GAS & CONSUMABLE FUELS--1.5% 295 Cabot Oil & Gas Corp. 11,414 273 Penn Virginia Corp. 11,633 302 Petroleum Development Corp. (b) 17,365 462 St. Mary Land & Exploration Co. 16,276 634 Stone Energy Corp. (b) 25,994 676 Swift Energy Co. (b) 29,169 205 World Fuel Services Corp. 5,424 ------------- 117,275 ------------- PAPER & FOREST PRODUCTS--0.9% 1,904 Buckeye Technologies, Inc. (b) 25,038 612 Neenah Paper, Inc. 16,585 230 Schweitzer-Mauduit International, Inc. 5,483 2,647 Wausau Paper Corp. 23,691 ------------- 70,797 ------------- PERSONAL PRODUCTS--0.3% 315 Chattem, Inc. (b) 24,167 ------------- PHARMACEUTICALS--1.3% 1,181 Alpharma, Inc., Class A (b) 24,234 302 Bradley Pharmaceuticals, Inc. (b) 6,007 3,775 Salix Pharmaceuticals, Ltd. (b) 26,236 291 Sciele Pharma, Inc. (b) 6,961 3,746 ViroPharma, Inc. (b) 33,189 ------------- 96,627 ------------- REAL ESTATE INVESTMENT TRUSTS--1.2% 1,314 Colonial Properties Trust 32,376 253 Entertainment Properties Trust 12,524 416 Extra Space Storage, Inc. 6,298 See Notes to Financial Statements Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 237 LTC Properties, Inc. $ 6,174 1,751 Medical Properties Trust, Inc. 22,133 254 National Retail Properties, Inc. 5,771 262 Senior Housing Properties Trust 5,866 ------------- 91,142 ------------- ROAD & RAIL--1.3% 1,356 Arkansas Best Corp. 41,752 420 Heartland Express, Inc. 6,825 282 Landstar System, Inc. 14,108 1,287 Old Dominion Freight Line, Inc. (b) 37,516 ------------- 100,201 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.7% 2,274 Advanced Energy Industries, Inc. (b) 24,582 594 AMIS Holdings, Inc. (b) 4,342 553 ATMI, Inc. (b) 14,544 2,587 Axcelis Technologies, Inc. (b) 10,322 1,351 Brooks Automation, Inc. (b) 16,604 166 Cabot Microelectronics Corp. (b) 5,740 389 Cohu, Inc. 5,816 458 Cymer, Inc. (b) 12,371 594 Diodes, Inc. (b) 13,751 240 FEI Co. (b) 5,438 1,883 Kopin Corp. (b) 6,346 2,112 Micrel, Inc. 12,883 269 Microsemi Corp. (b) 6,112 1,554 MKS Instruments, Inc. (b) 28,904 1,591 Pericom Semiconductor Corp. (b) 21,574 2,385 Photronics, Inc. (b) 29,072 2,102 Rudolph Technologies, Inc. (b) 21,546 1,400 Skyworks Solutions, Inc. (b) 11,270 457 Standard Microsystems Corp. (b) 13,673 190 Supertex, Inc. (b) 3,747 322 Varian Semiconductor Equipment Associates, Inc. (b) 10,372 ------------- 279,009 ------------- SOFTWARE--3.7% 717 ANSYS, Inc. (b) 25,030 849 Blackbaud, Inc. 23,492 1,377 Captaris, Inc. (b) 4,640 821 Concur Technologies, Inc. (b) 28,784 342 EPIQ Systems, Inc. (b) 5,045 1,321 Informatica Corp. (b) 25,509 1,454 JDA Software Group, Inc. (b) 25,867 451 Manhattan Associates, Inc. (b) 11,180 339 MICROS Systems, Inc. (b) 20,876 1,386 Phoenix Technologies Ltd. (b) 21,067 530 Progress Software Corp. (b) 15,646 1,726 Radiant Systems, Inc. (b) 20,988 2,479 Secure Computing Corp. (b) 22,187 166 SPSS, Inc. (b) 5,486 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ SOFTWARE (CONTINUED) 322 Take-Two Interactive Software, Inc. (b) $ 5,294 422 THQ, Inc. (b) 7,600 923 Tyler Technologies, Inc. (b) 12,350 ------------- 281,041 ------------- SPECIALTY RETAIL--7.0% 1,546 Aaron Rents, Inc. 29,560 1,238 Big 5 Sporting Goods Corp. 14,745 1,961 Brown Shoe Co., Inc. 33,728 1,579 Cabela's, Inc., Class A (b) 23,290 1,899 Cato (The) Corp., Class A 31,087 1,842 Charlotte Russe Holding, Inc. (b) 33,211 918 Children's Place Retail Stores (The), Inc. (b) 17,020 12,291 Finish Line (The), Inc., Class A 27,532 315 Genesco, Inc. (b) 10,508 1,252 Group 1 Automotive, Inc. 33,103 195 Gymboree (The) Corp. (b) 7,453 1,985 Haverty Furniture Cos., Inc. 20,307 5,111 Hot Topic, Inc. (b) 28,366 1,819 Jo-Ann Stores, Inc. (b) 23,047 209 Jos. A. Bank Clothiers, Inc. (b) 5,693 2,166 Lithia Motors, Inc., Class A 33,118 1,102 Men's Wearhouse (The), Inc. 28,090 1,555 Pep Boys-Manny, Moe & Jack (The) 16,996 1,536 Sonic Automotive, Inc., Class A 30,797 6,275 Stein Mart, Inc. 40,096 449 Tween Brands, Inc. (b) 14,381 1,852 Zale Corp. (b) 30,373 ------------- 532,501 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.8% 162 Crocs, Inc. (b) 5,636 192 Deckers Outdoor Corp. (b) 23,278 709 Fossil, Inc. (b) 24,092 303 Iconix Brand Group, Inc. (b) 6,299 1,319 Maidenform Brands, Inc. (b) 16,356 941 Movado Group, Inc. 22,791 1,154 Oxford Industries, Inc. 26,277 2,080 Quiksilver, Inc. (b) 19,822 1,525 Skechers U.S.A., Inc., Class A (b) 30,531 626 UniFirst Corp. 25,566 485 Wolverine World Wide, Inc. 12,275 ------------- 212,923 ------------- THRIFTS & MORTGAGE FINANCE--2.4% 253 Anchor BanCorp Wisconsin, Inc. 6,325 3,449 BankUnited Financial Corp., Class A 20,453 2,788 Corus Bankshares, Inc. 35,462 765 Downey Financial Corp. 26,393 664 FirstFed Financial Corp. (b) 27,855 3,414 Flagstar Bancorp, Inc. 28,166 5,521 Franklin Bank Corp. (b) 32,463 Page 54 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 607 Triad Guaranty, Inc. (b) $ 4,243 ------------- 181,360 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 410 Applied Industrial Technologies, Inc. 12,378 324 Watsco, Inc. 11,949 ------------- 24,327 ------------- TOTAL COMMON STOCKS--99.8% (Cost $8,291,188) 7,597,514 MONEY MARKET FUND--0.4% 33,342 J.P. Morgan Institutional Treasury Money Market Fund -- 2.03% (c) (Cost $33,342) 33,342 ------------- TOTAL INVESTMENTS--100.2% (Cost $8,324,530) 7,630,856 NET OTHER ASSETS AND LIABILITIEs--(0.2%) (13,855) ------------- NET ASSETs--100.0% $ 7,617,001 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.8% AEROSPACE & DEFENSE--0.5% 518 Northrop Grumman Corp. $ 41,108 ------------- 762 FedEx Corp. 71,231 192 United Parcel Service, Inc., Class B 14,047 ------------- 85,278 ------------- AIRLINES--0.7% 4,453 Southwest Airlines Co. 52,234 ------------- BEVERAGES--0.5% 575 Constellation Brands, Inc., Class A (b) 12,018 526 Molson Coors Brewing Co., Class B 23,496 ------------- 35,514 ------------- CAPITAL MARKETS--4.4% 2,060 American Capital Strategies Ltd. 72,450 615 Bear Stearns (The) Cos., Inc. 55,535 19,127 E*TRADE Financial Corp. (b) 95,061 743 Legg Mason, Inc. 53,496 415 Lehman Brothers Holdings, Inc. 26,631 253 Merrill Lynch & Co., Inc. 14,269 512 Morgan Stanley 25,308 ------------- 342,750 ------------- CHEMICALS--3.7% 1,145 Ashland, Inc. 52,131 1,722 Dow Chemical (The) Co. 66,572 924 E.I. du Pont de Nemours and Co. 41,746 666 Eastman Chemical Co. 44,003 2,807 Hercules, Inc. 49,207 387 PPG Industries, Inc. 25,577 256 Rohm and Haas Co. 13,658 ------------- 292,894 ------------- COMMERCIAL BANKS--6.9% 885 BB&T Corp. 32,108 624 Comerica, Inc. 27,219 540 Fifth Third Bancorp. 14,634 1,496 First Horizon National Corp. 32,418 1,840 Huntington Bancshares, Inc. 24,748 2,317 KeyCorp 60,590 333 M&T Bank Corp. 30,559 1,538 Marshall & Ilsley Corp. 42,910 3,300 National City Corp. 58,707 207 PNC Financial Services Group, Inc. 13,583 1,723 Regions Financial Corp. 43,489 435 SunTrust Banks, Inc. 29,993 1,428 Wachovia Corp. 55,592 450 Wells Fargo & Co. 15,305 1,163 Zions Bancorporation 63,662 ------------- 545,517 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--2.5% 4,929 Allied Waste Industries, Inc. (b) $ 48,551 511 Avery Dennison Corp. 26,480 1,212 Cintas 39,778 360 R.R. Donnelley & Sons Co. 12,560 1,004 Robert Half International, Inc. 27,891 1,247 Waste Management, Inc. 40,453 ------------- 195,713 ------------- COMMUNICATIONS EQUIPMENT--0.4% 566 Corning, Inc. 13,624 2,077 Tellabs, Inc. (b) 14,165 ------------- 27,789 ------------- COMPUTERS & PERIPHERALS--0.2% 749 Sun Microsystems, Inc. (b) 13,108 ------------- CONSTRUCTION MATERIALS--0.7% 687 Vulcan Materials Co. 53,902 ------------- CONSUMER FINANCE--1.6% 1,149 Capital One Financial Corp. 62,977 3,602 Discover Financial Services 63,035 ------------- 126,012 ------------- CONTAINERS & PACKAGING--1.7% 1,984 Bemis Co., Inc. 53,925 2,935 Sealed Air Corp. 76,750 ------------- 130,675 ------------- DISTRIBUTORS--0.3% 587 Genuine Parts Co. 25,787 ------------- DIVERSIFIED FINANCIAL SERVICES--2.4% 987 Bank of America Corp. 43,773 2,261 CIT Group, Inc. 63,219 1,384 Citigroup, Inc. 39,056 933 JPMorgan Chase & Co. 44,364 ------------- 190,412 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.1% 654 AT&T, Inc. 25,172 1,638 CenturyTel, Inc. 60,459 1,067 Citizens Communications Co. 12,238 274 Embarq Corp. 12,412 5,811 Qwest Communications International, Inc. 34,169 621 Verizon Communications, Inc. 24,120 ------------- 168,570 ------------- ELECTRIC UTILITIES--4.3% 875 American Electric Power Co., Inc. 37,476 2,693 Duke Energy Corp. 50,251 764 Edison International 39,850 Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 114 Entergy Corp. $ 12,333 375 FirstEnergy Corp. 26,708 201 FPL Group, Inc. 12,960 1,389 Pepco Holdings, Inc. 35,364 1,281 Pinnacle West Capital Corp. 49,216 1,122 Progress Energy, Inc. 50,681 701 Southern Co. 25,481 ------------- 340,320 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8% 1,778 Jabil Circuit, Inc. 23,559 1,493 Molex, Inc. 35,891 ------------- 59,450 ------------- ENERGY EQUIPMENT & SERVICES--2.3% 1,139 ENSCO International, Inc. 58,226 2,479 Nabors Industries Ltd. (b) 67,478 1,721 Rowan Cos., Inc. 58,583 ------------- 184,287 ------------- FOOD & STAPLES RETAILING--1.7% 1,017 Kroger (The) Co. 25,883 1,191 Safeway, Inc. 36,909 1,448 SUPERVALU, Inc. 43,527 713 Walgreen Co. 25,033 ------------- 131,352 ------------- FOOD PRODUCTS--1.1% 1,142 ConAgra Foods, Inc. 24,587 416 Kraft Foods, Inc., Class A 12,172 3,544 Tyson Foods, Inc., Class A 50,502 ------------- 87,261 ------------- GAS UTILITIES--0.5% 962 Nicor, Inc. 39,442 ------------- HOTELS, RESTAURANTS & LEISURE--1.7% 1,221 Carnival Corp. 54,322 309 Starwood Hotels & Resorts Worldwide, Inc. 13,982 525 Wendy's International, Inc. 12,821 2,306 Wyndham Worldwide Corp. 54,329 ------------- 135,454 ------------- HOUSEHOLD DURABLES--3.4% 375 Fortune Brands, Inc. 26,220 3,894 Leggett & Platt, Inc. 74,063 525 Newell Rubbermaid, Inc. 12,663 563 Snap-on, Inc. 27,655 1,121 Stanley Works (The) 57,575 831 Whirlpool Corp. 70,726 ------------- 268,902 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--0.3% 322 3M Co. $ 25,647 ------------- INSURANCE--8.7% 879 ACE Ltd. 51,281 1,040 Allstate (The) Corp. 51,241 1,054 Ambac Financial Group, Inc. 12,353 465 American International Group, Inc. 25,649 203 Assurant, Inc. 13,173 1,244 Chubb (The) Corp. 64,427 1,718 Cincinnati Financial Corp. 66,212 1,601 Genworth Financial, Inc., Class A 38,968 467 Hartford Financial Services Group (The), Inc. 37,720 467 Lincoln National Corp. 25,386 809 Loews Corp. 37,772 513 Marsh & McLennan Cos., Inc. 14,159 3,645 MBIA, Inc. 56,498 221 MetLife, Inc. 13,032 449 Torchmark Corp. 27,416 1,262 Travelers (The) Cos., Inc. 60,702 1,142 Unum Group 25,832 1,350 XL Capital Ltd., Class A 60,750 ------------- 682,571 ------------- IT SERVICES--2.8% 903 Affiliated Computer Services, Inc., Class A (b) 44,021 1,098 Computer Sciences Corp. (b) 46,467 4,125 Convergys Corp. (b) 63,979 3,275 Electronic Data Systems Corp. 65,828 ------------- 220,295 ------------- LEISURE EQUIPMENT & PRODUCTS--2.4% 3,982 Brunswick Corp. 75,618 2,123 Hasbro, Inc. 55,134 2,853 Mattel, Inc. 59,942 ------------- 190,694 ------------- MACHINERY--0.9% 294 Dover Corp. 11,866 761 Illinois Tool Works, Inc. 38,354 292 Ingersoll-Rand Co., Ltd., Class A 11,540 249 PACCAR, Inc. 11,683 ------------- 73,443 ------------- MEDIA--3.7% 1,495 CBS Corp., Class B 37,659 393 Clear Channel Communications, Inc. 12,069 2,231 Comcast Corp., Class A (b) 40,515 1,175 DIRECTV Group (The), Inc. (b) 26,532 302 E.W. Scripps (The) Co., Class A 12,297 1,741 Gannett Co., Inc. 64,417 247 Meredith Corp. 11,607 4,113 Time Warner, Inc. 64,738 See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 842 Walt Disney (The) Co. $ 25,201 ------------- 295,035 ------------- METALS & MINING--0.9% 1,115 Alcoa, Inc. 36,907 471 Allegheny Technologies, Inc. 33,158 ------------- 70,065 ------------- MULTILINE RETAIL--5.8% 4,246 Big Lots, Inc. (b) 73,711 3,616 Dillard's, Inc., Class A 71,705 3,531 Family Dollar Stores, Inc. 74,257 1,544 J. C. Penney Co., Inc. 73,201 2,624 Macy's, Inc. 72,527 1,109 Nordstrom, Inc. 43,140 815 Target Corp. 45,298 ------------- 453,839 ------------- MULTI-UTILITIES--5.0% 501 Ameren Corp. 22,450 792 CenterPoint Energy, Inc. 12,680 782 CMS Energy Corp. 12,254 834 Consolidated Edison, Inc. 36,346 858 Dominion Resources, Inc. 36,894 1,544 DTE Energy Co. 65,851 2,876 NiSource, Inc. 54,615 945 PG&E Corp. 38,783 439 Sempra Energy 24,540 3,157 TECO Energy, Inc. 52,627 1,805 Xcel Energy, Inc. 37,526 ------------- 394,566 ------------- OFFICE ELECTRONICS--0.5% 2,516 Xerox Corp. 38,746 ------------- OIL, GAS & CONSUMABLE FUELS--2.9% 728 Chevron Corp. 61,516 1,116 Marathon Oil Corp. 52,285 705 Occidental Petroleum Corp. 47,848 526 Spectra Energy Corp. 12,014 1,424 Tesoro Corp. 55,607 ------------- 229,270 ------------- PAPER & FOREST PRODUCTS--1.5% 2,097 International Paper Co. 67,629 1,302 MeadWestvaco Corp. 36,456 184 Weyerhaeuser Co. 12,460 ------------- 116,545 ------------- PHARMACEUTICALS--2.1% 6,631 King Pharmaceuticals, Inc. (b) 69,559 3,864 Mylan, Inc. 57,612 597 Pfizer, Inc. 13,964 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ PHARMACEUTICALS (CONTINUED) 615 Wyeth $ 24,477 ------------- 165,612 ------------- REAL ESTATE INVESTMENT TRUSTS--0.7% 591 Boston Properties, Inc. 54,325 ------------- Road & Rail--2.8% 326 Burlington Northern Santa Fe Corp. 28,206 926 CSX Corp. 44,892 807 Norfolk Southern Corp. 43,893 1,445 Ryder System, Inc. 75,227 216 Union Pacific Corp. 27,006 ------------- 219,224 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.9% 429 Analog Devices, Inc. 12,166 2,294 Applied Materials, Inc. 41,108 564 KLA-Tencor Corp. 23,564 432 Microchip Technology, Inc. 13,785 7,493 Micron Technology, Inc. (b) 52,677 1,970 Novellus Systems, Inc. (b) 46,807 813 Texas Instruments, Inc. 25,146 621 Xilinx, Inc. 13,581 ------------- 228,834 ------------- SOFTWARE--0.2% 1,529 Compuware Corp. (b) 12,997 ------------- SPECIALTY RETAIL--6.2% 4,336 AutoNation, Inc. (b) 70,590 2,017 Home Depot (The), Inc. 61,861 3,587 Limited Brands, Inc. 68,476 4,881 Office Depot, Inc. (b) 72,386 3,286 OfficeMax, Inc. 81,395 4,027 RadioShack Corp. 69,868 702 Sherwin-Williams (The) Co. 40,161 590 Tiffany & Co. 23,541 ------------- 488,278 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.7% 3,337 Liz Claiborne, Inc. 73,047 791 VF Corp. 61,200 ------------- 134,247 ------------- THRIFTS & MORTGAGE FINANCE--1.6% 4,557 Countrywide Financial Corp. 31,717 1,191 Sovereign Bancorp, Inc. 14,852 3,991 Washington Mutual, Inc. 79,500 ------------- 126,069 ------------- TOBACCO--0.2% 206 Reynolds American, Inc. 13,046 ------------- Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES--0.5% 4,137 Sprint Nextel Corp. $ 43,563 ------------- TOTAL COMMON STOCKs--99.8% (Cost $8,441,629) 7,850,642 MONEY MARKET FUND--0.8% 60,717 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) Cost $60,717) 60,717 ------------- TOTAL INVESTMENTS--100.6% (Cost $8,502,346) 7,911,359 NET OTHER ASSETs and Liabilities--(0.6%) (47,015) ------------- NET ASSETS--100.0% $ 7,864,344 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.9% AEROSPACE & DEFENSE--6.0% 261 Boeing (The) Co. $ 21,710 1,027 General Dynamics Corp. 86,740 1,664 Goodrich Corp. 104,083 1,484 Honeywell International, Inc. 87,660 1,109 L-3 Communications Holdings, Inc. 122,911 651 Lockheed Martin Corp. 70,256 659 Precision Castparts Corp. 74,994 635 Rockwell Collins, Inc. 40,132 896 United Technologies Corp. 65,775 ------------- 674,261 ------------- AIR FREIGHT & LOGISTICS--1.1% 1,267 C.H. Robinson Worldwide, Inc. 70,369 1,023 Expeditors International of Washington, Inc. 48,378 ------------- 118,747 ------------- AUTO COMPONENTS--0.6% 810 Goodyear Tire & Rubber (The) Co. (b) 20,388 1,268 Johnson Controls, Inc. 44,849 ------------- 65,237 ------------- BEVERAGES--2.2% 437 Anheuser-Busch Cos., Inc. 20,329 617 Brown-Forman Corp., Class B 38,859 1,117 Coca-Cola (The) Co. 66,093 2,316 Pepsi Bottling Group (The), Inc. 80,713 602 PepsiCo, Inc. 41,050 ------------- 247,044 ------------- BIOTECHNOLOGY--1.9% 401 Biogen Idec, Inc. (b) 24,441 1,228 Genzyme Corp. (b) 95,944 1,986 Gilead Sciences, Inc. (b) 90,740 ------------- 211,125 ------------- BUILDING PRODUCTS--0.4% 978 Trane, Inc. 43,795 ------------- CAPITAL MARKETS--4.9% 2,683 Charles Schwab (The) Corp. 59,831 1,110 Federated Investors, Inc., Class B 47,253 425 Goldman Sachs Group (The), Inc. 85,327 2,782 Janus Capital Group, Inc. 75,142 1,193 Northern Trust Corp. 87,518 1,447 State Street Corp. 118,827 1,501 T. Rowe Price Group, Inc. 75,936 ------------- 549,834 ------------- CHEMICALS--3.9% 927 Air Products and Chemicals, Inc. 83,449 1,339 Ecolab, Inc. 64,607 1,052 Monsanto Co. 118,286 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CHEMICALS (CONTINUED) 1,030 Praxair, Inc. $ 83,337 1,674 Sigma-Aldrich Corp. 83,131 ------------- 432,810 ------------- COMMERCIAL BANKS--0.4% 1,198 Commerce Bancorp, Inc. 45,656 ------------- COMMUNICATIONS EQUIPMENT--0.3% 1,376 Juniper Networks, Inc. (b) 37,358 ------------- COMPUTERS & PERIPHERALS--2.0% 593 Apple, Inc. (b) 80,269 2,466 EMC Corp. (b) 39,135 1,811 Hewlett-Packard Co. 79,231 211 International Business Machines Corp. 22,649 ------------- 221,284 ------------- CONSTRUCTION & ENGINEERING--1.7% 806 Fluor Corp. 98,066 1,229 Jacobs Engineering Group, Inc. (b) 93,945 ------------- 192,011 ------------- CONTAINERS & PACKAGING--0.2% 508 Ball Corp. 23,312 ------------- DIVERSIFIED CONSUMER SERVICES--0.9% 1,303 Apollo Group, Inc., Class A (b) 103,901 ------------- DIVERSIFIED FINANCIAL SERVICES--2.8% 171 CME Group, Inc. 105,832 610 IntercontinentalExchange, Inc. (b) 85,376 1,455 Leucadia National Corp. 64,267 781 NYSE Euronext 61,426 ------------- 316,901 ------------- ELECTRIC UTILITIES--0.5% 1,078 Allegheny Energy, Inc. 59,064 ------------- ELECTRICAL EQUIPMENT--1.2% 864 Cooper Industries Ltd., Class A 38,483 1,613 Emerson Electric Co. 82,004 331 Rockwell Automation, Inc. 18,874 ------------- 139,361 ------------- ENERGY EQUIPMENT & SERVICES--4.5% 282 Baker Hughes, Inc. 18,310 1,808 Halliburton Co. 59,971 1,600 National Oilwell Varco, Inc. (b) 96,368 2,079 Noble Corp. 90,998 697 Schlumberger Ltd. 52,596 1,591 Smith International, Inc. 86,248 160 Transocean, Inc. (b) 19,616 1,332 Weatherford International Ltd. (b) 82,331 ------------- 506,438 ------------- Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING--3.3% 1,684 Costco Wholesale Corp. $ 114,411 2,956 CVS Caremark Corp. 115,491 732 Sysco Corp. 21,265 1,923 Wal-Mart Stores, Inc. 97,842 560 Whole Foods Market, Inc. 22,086 ------------- 371,095 ------------- FOOD PRODUCTS--1.8% 2,531 Archer-Daniels-Midland Co. 111,490 401 General Mills, Inc. 21,899 436 Kellogg Co. 20,884 603 McCormick & Co., Inc. 20,333 390 Wm. Wrigley Jr. Co. 22,398 ------------- 197,004 ------------- GAS UTILITIES--0.2% 422 Questar Corp. 21,484 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.2% 787 Baxter International, Inc. 47,802 547 Becton, Dickinson and Co. 47,332 723 C.R. Bard, Inc. 69,820 2,143 Hospira, Inc. (b) 88,099 562 St. Jude Medical, Inc. (b) 22,767 1,223 Stryker Corp. 81,904 ------------- 357,724 ------------- HEALTH CARE PROVIDERS & SERVICES--7.5% 2,035 Aetna, Inc. 108,384 1,276 CIGNA Corp. 62,728 1,543 Coventry Health Care, Inc. (b) 87,303 1,610 Express Scripts, Inc. (b) 108,659 1,560 Humana, Inc. (b) 125,268 303 Laboratory Corp. of America Holdings (b) 22,386 2,318 Medco Health Solutions, Inc. (b) 116,085 2,019 UnitedHealth Group, Inc. 102,646 1,339 WellPoint, Inc. (b) 104,710 ------------- 838,169 ------------- HOTELS, RESTAURANTS & LEISURE--1.3% 1,164 McDonald's Corp. 62,332 2,388 Yum! Brands, Inc. 81,574 ------------- 143,906 ------------- HOUSEHOLD PRODUCTS--1.6% 351 Clorox (The) Co. 21,523 1,172 Colgate-Palmolive Co. 90,244 330 Kimberly-Clark Corp. 21,665 622 Procter & Gamble (The) Co. 41,021 ------------- 174,453 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.5% 3,205 AES (The) Corp. (b) $ 61,151 1,146 Constellation Energy Group 107,679 ------------- 168,830 ------------- INDUSTRIAL CONGLOMERATES--0.8% 1,648 Textron, Inc. 92,370 ------------- INSURANCE--2.4% 1,094 AFLAC, Inc. 67,095 1,916 Aon Corp. 83,384 1,328 Principal Financial Group, Inc. 79,162 491 Prudential Financial, Inc. 41,426 ------------- 271,067 ------------- INTERNET & CATALOG RETAIL--1.3% 1,268 Amazon.com, Inc. (b) 98,524 2,168 Expedia, Inc. (b) 49,907 ------------- 148,431 ------------- INTERNET SOFTWARE & SERVICES--1.4% 688 eBay, Inc. (b) 18,500 170 Google, Inc., Class A (b) 95,931 1,215 VeriSign, Inc. (b) 41,213 ------------- 155,644 ------------- IT SERVICES--1.2% 549 Fidelity National Information Services, Inc. 23,305 824 Fiserv, Inc. (b) 42,329 2,823 Western Union Co. 63,235 ------------- 128,869 ------------- LIFE SCIENCES TOOLS & SERVICES--2.1% 674 Applera Corp. - Applied Biosystems Group 21,251 624 Millipore Corp. (b) 43,774 878 PerkinElmer, Inc. 21,853 1,585 Thermo Fisher Scientific, Inc. (b) 81,612 1,156 Waters Corp. (b) 66,412 ------------- 234,902 ------------- MACHINERY--5.7% 630 Caterpillar, Inc. 44,818 1,845 Cummins, Inc. 89,077 1,042 Danaher Corp. 77,577 981 Deere & Co. 86,093 707 Eaton Corp. 58,511 692 ITT Corp. 41,126 2,406 Manitowoc (The) Co., Inc. 91,716 1,133 Pall Corp. 41,796 1,214 Parker Hannifin Corp. 82,079 See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 348 Terex Corp. (b) $ 20,448 ------------- 633,241 ------------- MEDIA--1.3% 1,115 News Corp., Class A 21,074 481 Omnicom Group, Inc. 21,823 2,081 Viacom, Inc., Class B (b) 80,659 29 Washington Post (The) Co., Class B 21,576 ------------- 145,132 ------------- METALS & MINING--2.9% 1,147 Freeport-McMoRan Copper & Gold, Inc. 102,117 1,404 Newmont Mining Corp. 76,293 772 Nucor Corp. 44,622 972 United States Steel Corp. 99,251 ------------- 322,283 ------------- OIL, GAS & CONSUMABLE FUELS--9.9% 1,789 Anadarko Petroleum Corp. 104,818 850 Apache Corp. 81,124 1,749 Chesapeake Energy Corp. 65,115 518 ConocoPhillips 41,606 958 CONSOL Energy, Inc. 69,934 514 Devon Energy Corp. 43,680 512 EOG Resources, Inc. 44,800 488 Exxon Mobil Corp. 42,163 1,165 Hess Corp. 105,817 1,385 Murphy Oil Corp. 101,853 862 Noble Energy 62,564 1,483 Peabody Energy Corp. 80,112 1,780 Range Resources Corp. 92,952 631 Sunoco, Inc. 39,248 979 Valero Energy Corp. 57,947 1,335 XTO Energy, Inc. 69,340 ------------- 1,103,073 ------------- PERSONAL PRODUCTS--0.9% 1,734 Avon Products, Inc. 60,724 1,048 Estee Lauder (The) Cos., Inc., Class A 44,226 ------------- 104,950 ------------- PHARMACEUTICALS--2.3% 814 Abbott Laboratories 45,828 711 Allergan, Inc. 47,772 861 Barr Pharmaceuticals, Inc. (b) 44,936 428 Eli Lilly and Co. 22,051 343 Johnson & Johnson 21,698 1,180 Merck & Co., Inc. 54,610 842 Watson Pharmaceuticals, Inc. (b) 21,985 ------------- 258,880 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS--0.6% 1,082 ProLogis $ 64,217 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.5% 857 Intel Corp. 18,168 1,328 MEMC Electronic Materials, Inc. (b) 94,899 2,015 NVIDIA Corp. (b) 49,549 ------------- 162,616 ------------- SOFTWARE--3.3% 535 Adobe Systems, Inc. (b) 18,688 918 Autodesk, Inc. (b) 37,776 1,282 BMC Software, Inc. (b) 41,075 1,803 Citrix Systems, Inc. (b) 62,420 391 Electronic Arts, Inc. (b) 18,522 1,446 Intuit, Inc. (b) 44,378 2,567 Microsoft Corp. 83,683 3,036 Oracle Corp. (b) 62,390 ------------- 368,932 ------------- SPECIALTY RETAIL--4.3% 857 Abercrombie & Fitch Co., Class A 68,294 191 AutoZone, Inc. (b) 23,088 2,232 Best Buy Co., Inc. 108,944 1,892 GameStop Corp., Class A (b) 97,873 3,221 Gap (The), Inc. 61,586 2,971 Staples, Inc. 71,126 1,591 TJX (The) Cos., Inc. 50,212 ------------- 481,123 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.8 1,423 NIKE, Inc., Class B 87,884 ------------- THRIFTS & MORTGAGE FINANCE--0.7% 4,564 Hudson City Bancorp, Inc. 74,758 ------------- TRADING COMPANIES & DISTRIBUTORS--0.4% 522 W.W. Grainger, Inc. 41,536 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 536 American Tower Corp., Class A (b) 20,116 ------------- TOTAL COMMON STOCKS--99.9% (Cost $11,415,882) 11,160,828 MONEY MARKET FUND--1.0% 113,502 J.P. Morgan Institutional Treasury MONEY MARKET FUND--2.03% (c) (Cost $113,502) 113,502 ------------- Page 62 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) DESCRIPTION VALUE ------------------------------------------------- TOTAL INVESTMENTs--100.9% (Cost $11,529,384) $ 11,274,330 NET OTHER ASSETS AND LIABILITIES--(0.9%) (105,454) ------------- NET ASSETs--100.0% $ 11,168,876 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing securities. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--0.3% 154 Applied Signal Technology, Inc. $ 2,057 255 Northrop Grumman Corp. 20,237 ------------- 22,294 ------------- AIR FREIGHT & LOGISTICS--0.6% 375 FedEx Corp. 35,055 67 Forward Air Corp. 2,077 95 United Parcel Service, Inc., Class B 6,950 ------------- 44,082 ------------- AIRLINES--1.2% 2,650 AirTran Holdings, Inc. (b) 22,870 978 Alaska Air Group, Inc. (b) 24,743 1,190 Frontier Airlines Holdings, Inc. (b) 3,570 804 JetBlue Airways Corp. (b) 5,556 2,756 Mesa Air Group, Inc. (b) 9,674 2,193 Southwest Airlines Co. 25,723 ------------- 92,136 ------------- AUTO COMPONENTS--0.7% 404 ArvinMeritor, Inc. 5,486 267 Gentex Corp. 4,235 1,481 Modine Manufacturing Co. 22,868 819 Spartan Motors, Inc. 7,346 1,044 Standard Motor Products, Inc. 8,623 115 Superior Industries International, Inc. 2,095 ------------- 50,653 ------------- AUTOMOBILES--0.2% 480 Monaco Coach Corp. 4,882 250 Thor Industries, Inc. 8,830 203 Winnebago Industries, Inc. 4,275 ------------- 17,987 ------------- BEVERAGES--0.2% 283 Constellation Brands, Inc., Class A (b) 5,915 259 Molson Coors Brewing Co., Class B 11,569 ------------- 17,484 ------------- BUILDING PRODUCTS--0.6% 366 Apogee Enterprises, Inc. 6,387 276 Gibraltar Industries, Inc. 3,643 684 Griffon Corp. (b) 7,456 50 Lennox International, Inc. 1,858 370 NCI Building Systems, Inc. (b) 10,641 361 Universal Forest Products, Inc. 13,068 ------------- 43,053 ------------- CAPITAL MARKETS--2.3% 1,015 American Capital Strategies Ltd. 35,698 303 Bear Stearns (The) Cos., Inc. 27,361 9,420 E*TRADE Financial Corp. (b) 46,817 366 Legg Mason, Inc. 26,352 204 Lehman Brothers Holdings, Inc. 13,091 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CAPITAL MARKETS (CONTINUED) 125 Merrill Lynch & Co., Inc. $ 7,050 252 Morgan Stanley 12,456 135 Piper Jaffray Cos., Inc. (b) 6,396 336 SWS Group, Inc. 5,158 ------------- 180,379 ------------- CHEMICALS--3.7% 97 A. Schulman, Inc. 1,978 115 Albemarle Corp. 4,170 564 Ashland, Inc. 25,678 569 Cabot Corp. 16,916 397 Cytec Industries, Inc. 22,474 848 Dow Chemical (The), Co. 32,783 455 E.I. du Pont de Nemours and Co. 20,557 328 Eastman Chemical Co. 21,671 1,287 Georgia Gulf Corp. 10,039 379 H.B. Fuller Co. 7,868 1,383 Hercules, Inc. 24,244 175 Lubrizol (The) Corp. 9,207 573 Material Sciences Corp. (b) 3,713 245 Olin Corp. 5,020 245 Penford Corp. 5,481 951 PolyOne Corp. (b) 5,858 190 PPG Industries, Inc. 12,557 194 Quaker Chemical Corp. 3,880 126 Rohm and Haas Co. 6,722 935 RPM International, Inc. 20,233 335 Sensient Technologies Corp. 8,898 724 Tronox, Inc., Class B 5,300 651 Valspar (The) Corp. 13,040 ------------- 288,287 ------------- COMMERCIAL BANKS--5.5% 175 Associated Banc-Corp. 4,932 436 BB&T Corp. 15,818 306 Cascade Bancorp 3,947 358 Cathay General Bancorp 9,283 461 Central Pacific Financial Corp. 8,759 80 City National Corp. 4,550 701 Colonial BancGroup (The), Inc. 11,006 307 Comerica, Inc. 13,391 105 Community Bank System, Inc. 2,291 176 East West Bancorp, Inc. 4,235 266 Fifth Third Bancorp. 7,209 859 First BanCorp 8,212 196 First Commonwealth Financial Corp. 2,274 230 First Community Bancorp 8,172 737 First Horizon National Corp. 15,971 112 Frontier Financial Corp. 2,280 988 Hanmi Financial Corp. 8,497 906 Huntington Bancshares, Inc. 12,186 1,141 KeyCorp 29,836 164 M&T Bank Corp. 15,050 758 Marshall & Ilsley Corp. 21,148 1,625 National City Corp. 28,909 102 PNC Financial Services Group, Inc. 6,693 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 293 Provident Bankshares Corp. $ 6,074 848 Regions Financial Corp. 21,404 134 South Financial Group (The), Inc. 2,316 373 Sterling Financial Corp. 6,636 214 SunTrust Banks, Inc. 14,755 113 Susquehanna Bancshares, Inc. 2,398 931 Synovus Financial Corp. 12,299 529 TCF Financial Corp. 11,241 278 Umpqua Holdings Corp. 4,559 74 United Bankshares, Inc. 2,380 270 United Community Banks, Inc. 5,214 703 Wachovia Corp. 27,368 459 Webster Financial Corp. 15,546 222 Wells Fargo & Co. 7,550 163 Whitney Holding Corp. 4,375 129 Wintrust Financial Corp. 4,907 573 Zions Bancorporation 31,365 ------------- 425,036 ------------- COMMERCIAL SERVICES & SUPPLIES--3.3% 418 ABM Industries, Inc. 8,661 74 Administaff, Inc. 2,221 2,428 Allied Waste Industries, Inc. (b) 23,915 328 Angelica Corp. 5,674 252 Avery Dennison Corp. 13,059 258 CDI Corp. 5,018 597 Cintas Corp. 19,594 178 Consolidated Graphics., Inc. (b) 8,955 144 Deluxe Corp. 3,502 167 G&K Services, Inc., Class A 6,675 169 Heidrick & Struggles International, Inc. 4,644 271 HNI Corp. 9,122 1,311 Kelly Services, Inc., Class A 22,575 333 Manpower, Inc. 18,735 338 Mobile Mini, Inc. (b) 5,138 1,215 On Assignment, Inc. (b) 6,755 177 R.R. Donnelley & Sons Co. 6,176 495 Robert Half International, Inc. 13,751 181 School Specialty, Inc. (b) 5,875 1,462 Spherion Corp. (b) 9,766 588 Trueblue, Inc. (b) 8,390 184 United Stationers, Inc. (b) 10,168 198 Viad Corp. 5,297 466 Volt Information Sciences, Inc. (b) 8,700 614 Waste Management, Inc. 19,918 ------------- 252,284 ------------- COMMUNICATIONS EQUIPMENT--0.9% 1,573 ADC Telecommunications, Inc. (b) 23,264 222 ADTRAN, Inc. 4,620 1,067 Arris Group, Inc. (b) 9,379 407 Avocent Corp. (b) 6,756 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMUNICATIONS EQUIPMENT (CONTINUED) 214 Bel Fuse, Inc., Class B $ 5,795 173 Black Box Corp. 5,754 279 Corning, Inc. 6,716 1,023 Tellabs, Inc. (b) 6,977 531 Tollgrade Communications, Inc. (b) 3,223 ------------- 72,484 ------------- COMPUTERS & PERIPHERALS--0.6% 164 Diebold, Inc. 4,244 699 Imation Corp. 18,111 263 Novatel Wireless, Inc. (b) 4,208 2,314 Palm, Inc. 12,542 369 Sun Microsystems, Inc. (b) 6,458 ------------- 45,563 ------------- CONSTRUCTION & ENGINEERING--0.3% 180 EMCOR Group, Inc. (b) 3,947 406 Granite Construction, Inc. 15,457 87 URS Corp. (b) 3,819 ------------- 23,223 ------------- CONSTRUCTION MATERIALS--0.4% 30 Texas Industries, Inc. 1,700 338 Vulcan Materials Co. 26,520 ------------- 28,220 ------------- CONSUMER FINANCE--1.2% 1,912 AmeriCredit Corp. (b) 25,449 566 Capital One Financial Corp. 31,022 194 Cash America International, Inc. 6,307 1,774 Discover Financial Services 31,045 ------------- 93,823 ------------- CONTAINERS & PACKAGING--1.6% 977 Bemis Co., Inc. 26,555 1,206 Chesapeake Corp. (b) 5,355 433 Myers Industries, Inc. 5,088 168 Packaging Corp. of America 4,072 335 Rock-Tenn Co., Class A 9,578 1,445 Sealed Air Corp. 37,786 449 Sonoco Products Co. 13,856 910 Temple-Inland, Inc. 17,063 ------------- 119,353 ------------- DISTRIBUTORS--0.4% 168 Audiovox Corp., Class A (b) 1,724 1,925 Building Materials Holding Corp. 13,109 289 Genuine Parts Co. 12,696 ------------- 27,529 ------------- DIVERSIFIED CONSUMER SERVICES--0.3% 181 CPI Corp. 3,674 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 875 Regis Corp. $ 22,164 ------------- 25,838 ------------- DIVERSIFIED FINANCIAL SERVICES--1.2% 486 Bank of America Corp. 21,554 1,113 CIT Group, Inc. 31,119 682 Citigroup, Inc. 19,246 94 Financial Federal Corp. 2,260 460 JPMorgan Chase & Co. 21,873 ------------- 96,052 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.1% 322 AT&T, Inc. 12,394 807 CenturyTel, Inc. 29,785 525 Citizens Communications Co. 6,022 135 Embarq Corp. 6,116 487 General Communication, Inc., Class A (b) 3,511 2,862 Qwest Communications International, Inc. 16,829 306 Verizon Communications, Inc. 11,885 ------------- 86,542 ------------- ELECTRIC UTILITIES--3.4% 158 ALLETE, Inc. 6,081 431 American Electric Power Co., Inc. 18,460 138 Central Vermont Public Service Corp. 4,020 306 Cleco Corp. 7,910 1,326 Duke Energy Corp. 24,743 376 Edison International 19,612 56 Entergy Corp. 6,058 185 FirstEnergy Corp. 13,176 99 FPL Group, Inc. 6,384 500 Great Plains Energy, Inc. 13,940 208 Hawaiian Electric Industries, Inc. 4,676 417 IDACORP, Inc. 13,611 151 Northeast Utilities 4,186 684 Pepco Holdings, Inc. 17,415 631 Pinnacle West Capital Corp. 24,243 552 Progress Energy, Inc. 24,933 864 Sierra Pacific Resources 12,934 345 Southern Co. 12,541 56 UIL Holdings Corp. 1,912 198 Unisource Energy Corp. 5,817 731 Westar Energy, Inc. 17,807 ------------- 260,459 ------------- ELECTRICAL EQUIPMENT--0.5% 243 A.O. Smith Corp. 8,505 95 Acuity Brands, Inc. 4,323 96 Belden, Inc. 4,061 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ ELECTRICAL EQUIPMENT (CONTINUED) 184 Hubbell, Inc., Class B $ 8,774 189 Regal-Beloit Corp. 7,167 193 Thomas & Betts Corp. (b) 8,733 ------------- 41,563 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.3% 483 Arrow Electronics, Inc. (b) 16,528 542 Avnet, Inc. (b) 19,301 601 Benchmark Electronics, Inc. (b) 10,668 1,072 CTS Corp. 11,363 105 Electro Scientific Industries, Inc. (b) 1,726 394 Gerber Scientific, Inc. (b) 3,475 813 Ingram Micro, Inc., Class A (b) 14,455 343 Insight Enterprises, Inc. (b) 5,924 876 Jabil Circuit, Inc. 11,607 2,213 KEMET Corp. (b) 11,530 129 Littelfuse, Inc. (b) 3,920 381 Methode Electronics, Inc. 4,618 735 Molex, Inc. 17,669 489 Newport Corp. (b) 5,135 151 Park Electrochemical Corp. 3,576 435 SYNNEX Corp. (b) 9,266 126 Tech Data Corp. (b) 4,332 149 Technitrol, Inc. 3,376 2,143 Vishay Intertechnology, Inc. (b) 22,479 ------------- 180,948 ------------- ENERGY EQUIPMENT & SERVICES--2.9% 561 ENSCO International, Inc. 28,678 149 Lufkin Industries, Inc. 7,878 1,221 Nabors Industries Ltd. (b) 33,236 1,253 Patterson-UTI Energy, Inc. 24,534 896 Pioneer Drilling Co. (b) 9,327 560 Pride International, Inc. (b) 17,758 847 Rowan Cos., Inc. 28,832 115 SEACOR Holdings, Inc. (b) 10,143 710 Superior Energy Services, Inc. (b) 28,464 402 TETRA Technologies, Inc. (b) 6,291 446 Tidewater, Inc. 23,620 111 W-H Energy Services, Inc. (b) 5,400 ------------- 224,161 ------------- FOOD & STAPLES RETAILING--1.2% 67 Great Atlantic & Pacific Tea (The) Co. (b) 2,001 501 Kroger (The) Co. 12,750 91 Longs Drug Stores Corp. 4,187 59 Nash Finch Co. 2,105 158 Performance Food Group Co. (b) 4,998 274 Ruddick Corp. 9,338 587 Safeway, Inc. 18,191 91 Spartan Stores, Inc. 1,600 713 SUPERVALU, Inc. 21,433 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 351 Walgreen Co. $ 12,324 ------------- 88,927 ------------- FOOD PRODUCTS--1.4% 562 ConAgra Foods, Inc. 12,100 516 Corn Products International, Inc. 17,441 200 J & J Snack Foods Corp. 5,002 184 J.M. Smucker (The) Co. 8,598 205 Kraft Foods, Inc., Class A 5,998 119 Lancaster Colony Corp. 4,148 102 Lance, Inc. 1,870 315 Sanderson Farms, Inc. 10,587 328 Smithfield Foods, Inc. (b) 9,135 370 TreeHouse Foods, Inc. (b) 7,722 1,745 Tyson Foods, Inc., Class A 24,866 ------------- 107,467 ------------- GAS UTILITIES--1.1% 252 AGL Resources, Inc. 9,538 223 Atmos Energy Corp. 6,405 124 Laclede Group (The), Inc. 4,164 102 National Fuel Gas Co. 4,397 474 Nicor, Inc. 19,433 43 Northwest Natural Gas Co. 2,036 106 ONEOK, Inc. 4,982 80 Piedmont Natural Gas Co. 2,006 58 South Jersey Industries, Inc. 2,032 213 Southern Union Co. 5,789 286 Southwest Gas Corp. 8,165 156 UGI Corp. 4,153 448 WGL Holdings, Inc. 14,444 ------------- 87,544 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.3% 57 Datascope Corp. 1,848 103 Edwards Lifesciences Corp. (b) 4,766 104 Greatbatch, Inc. (b) 2,348 85 Hillenbrand Industries, Inc. 4,396 2,974 Theragenics Corp. (b) 11,509 41 Vital Signs, Inc. 1,989 ------------- 26,856 ------------- HEALTH CARE PROVIDERS & SERVICES--1.3% 299 Cross Country Healthcare, Inc. (b) 3,776 110 Gentiva Health Services, Inc. (b) 2,033 759 Kindred Healthcare, Inc. (b) 20,903 822 LifePoint Hospitals, Inc. (b) 22,194 88 Matria Healthcare, Inc. (b) 2,540 173 MedCath Corp. (b) 4,304 643 Omnicare, Inc. 14,236 83 Res-Care, Inc. (b) 1,857 287 Universal Health Services, Inc., Class B 13,526 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 346 WellCare Health Plans, Inc. (b) $ 16,259 ------------- 101,628 ------------- HOTELS, RESTAURANTS & LEISURE--2.8% 908 Bob Evans Farms, Inc. 27,005 139 Boyd Gaming Corp. 3,715 970 Brinker International, Inc. 18,052 183 Buffalo Wild Wings, Inc. (b) 4,606 274 California Pizza Kitchen, Inc. (b) 3,680 601 Carnival Corp. 26,738 146 CBRL Group, Inc. 4,565 323 CKE Restaurants, Inc. 4,238 165 Jack in the Box, Inc. (b) 4,823 540 Landry's Restaurants, Inc. 11,075 551 Marcus (The) Corp. 9,758 751 Multimedia Games, Inc. (b) 5,805 569 O'Charley's, Inc. 7,892 196 Red Robin Gourmet Burgers, Inc. (b) 6,836 2,508 Ruby Tuesday, Inc. 19,287 953 Ruth's Chris Steak House, Inc. (b) 7,891 152 Starwood Hotels & Resorts Worldwide, Inc. 6,878 781 Steak n Shake (The) Co. (b) 6,826 259 Wendy's International, Inc. 6,325 1,136 Wyndham Worldwide Corp. 26,764 ------------- 212,759 ------------- HOUSEHOLD DURABLES--2.7% 935 American Greetings Corp., Class A 19,186 220 Ethan Allen Interiors, Inc. 6,809 185 Fortune Brands, Inc. 12,935 263 La-Z-Boy, Inc. 2,004 1,918 Leggett & Platt, Inc. 36,481 132 Libbey, Inc. 2,043 329 Mohawk Industries, Inc. (b) 26,294 202 National Presto Industries, Inc. 11,322 258 Newell Rubbermaid, Inc. 6,223 260 Russ Berrie and Co., Inc. (b) 3,752 277 Snap-on, Inc. 13,606 552 Stanley Works (The) 28,351 410 Whirlpool Corp. 34,895 ------------- 203,901 ------------- HOUSEHOLD PRODUCTS--0.1% 1,986 Central Garden & Pet Co., Class A (b) 9,870 ------------- INDUSTRIAL CONGLOMERATES--0.5% 159 3M Co. 12,664 512 Carlisle Cos., Inc. 17,050 488 Standex International Corp. 8,877 265 Tredegar Corp. 3,673 ------------- 42,264 ------------- See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INSURANCE--7.9% 433 ACE Ltd. $ 25,261 512 Allstate (The) Corp. 25,226 519 Ambac Financial Group, Inc. 6,083 657 American Financial Group, Inc. 18,219 229 American International Group, Inc. 12,632 100 Assurant, Inc. 6,489 613 Chubb (The) Corp. 31,747 846 Cincinnati Financial Corp. 32,604 527 Commerce Group (The), Inc. 19,051 121 Delphi Financial Group, Inc., Class A 3,797 244 Everest Re Group Ltd. 24,812 1,298 Fidelity National Financial, Inc., Class A 25,558 556 First American Corp. 24,214 788 Genworth Financial, Inc., Class A 19,180 207 Hanover Insurance Group, Inc. 9,429 230 Hartford Financial Services Group (The), Inc. 18,577 661 HCC Insurance Holdings, Inc. 18,415 501 Horace Mann Educators Corp. 9,203 255 LandAmerica Financial Group, Inc. 13,301 230 Lincoln National Corp. 12,503 399 Loews Corp. 18,629 253 Marsh & McLennan Cos., Inc. 6,983 1,795 MBIA, Inc. 27,823 381 Mercury General Corp. 18,322 109 MetLife, Inc. 6,428 952 Old Republic International Corp. 14,213 486 Presidential Life Corp. 8,913 78 ProAssurance Corp. (b) 4,501 231 Protective Life Corp. 9,180 187 RLI Corp. 10,547 291 Safety Insurance Group, Inc. 11,355 76 SCPIE Holdings, Inc. (b) 1,990 370 Selective Insurance Group 8,847 163 Stewart Information Services Corp. 5,579 221 Torchmark Corp. 13,494 622 Travelers (The) Cos., Inc. 29,918 293 United Fire & Casualty Co. 9,780 99 Unitrin, Inc. 4,074 562 Unum Group 12,712 665 XL Capital Ltd., Class A 29,925 ------------- 609,514 ------------- INTERNET SOFTWARE & SERVICES--0.0% 131 Knot (The), Inc. (b) 1,918 ------------- IT SERVICES--2.7% 1,617 Acxiom Corp. 17,156 445 Affiliated Computer Services, Inc., Class A (b) 21,694 1,394 CIBER, Inc. (b) 6,719 541 Computer Sciences Corp. (b) 22,895 2,032 Convergys Corp. (b) 31,516 997 CSG Systems International, Inc. (b) 12,722 1,613 Electronic Data Systems Corp. 32,421 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ IT SERVICES (CONTINUED) 1,385 Gevity HR, Inc. $ 9,723 813 Metavante Technologies, Inc. (b) 18,008 309 MoneyGram International, Inc. 1,650 2,235 MPS Group, Inc. (b) 22,462 155 SI International, Inc. (b) 4,236 457 Startek, Inc. (b) 3,953 ------------- 205,155 ------------- LEISURE EQUIPMENT & PRODUCTS--1.9% 892 Arctic Cat, Inc. 8,251 1,961 Brunswick Corp. 37,238 544 Callaway Golf Co. 9,748 1,046 Hasbro, Inc. 27,165 451 JAKKS Pacific, Inc. (b) 10,626 550 MarineMax, Inc. (b) 8,509 1,405 Mattel, Inc. 29,519 1,291 Nautilus, Inc 6,003 223 RC2 Corp. (b) 4,188 514 Sturm, Ruger & Co., Inc. (b) 4,611 ------------- 145,858 ------------- MACHINERY--2.2% 168 Astec Industries, Inc. (b) 5,186 62 Barnes Group, Inc. 1,652 229 Cascade Corp. 11,821 145 Dover Corp. 5,852 1,308 Federal Signal Corp. 15,160 323 Gardner Denver, Inc. (b) 10,478 375 Illinois Tool Works, Inc. 18,900 144 Ingersoll-Rand Co. Ltd., Class A 5,691 388 Kennametal, Inc. 11,884 810 Lydall, Inc. (b) 7,355 294 Mueller Industries, Inc. 8,232 123 PACCAR, Inc. 5,771 272 Pentair, Inc. 8,639 447 Timken (The) Co. 13,513 881 Trinity Industries, Inc. 24,950 814 Wabash National Corp. 7,481 210 Watts Water Technologies, Inc., Class A 6,235 ------------- 168,800 ------------- MARINE--0.1% 92 Alexander & Baldwin, Inc. 4,199 ------------- MEDIA--3.0% 1,088 Belo Corp., Class A 18,072 736 CBS Corp., Class B 18,540 194 Clear Channel Communications, Inc. 5,958 1,099 Comcast Corp., Class A (b) 19,958 579 DIRECTV Group (The), Inc. (b) 13,074 149 E.W. Scripps (The) Co., Class A 6,067 857 Gannett Co., Inc. 31,708 848 Harte-Hanks, Inc. 13,585 1,669 Lee Enterprises, Inc. 19,928 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 144 Live Nation, Inc. (b) $ 1,570 893 Media General, Inc., Class A 16,985 122 Meredith Corp. 5,733 544 Scholastic Corp. (b) 18,643 2,026 Time Warner, Inc. 31,888 414 Walt Disney (The) Co. 12,391 ------------- 234,100 ------------- METALS & MINING--0.7% 313 A.M. Castle & Co. 6,629 549 Alcoa, Inc. 18,172 232 Allegheny Technologies, Inc. 16,333 30 RTI International Metals, Inc. (b) 1,658 821 Worthington Industries, Inc. 13,456 ------------- 56,248 ------------- MULTILINE RETAIL--3.3% 596 99 Cents Only Stores (b) 4,959 2,091 Big Lots, Inc. (b) 36,300 1,781 Dillard's, Inc., Class A 35,317 1,739 Family Dollar Stores, Inc. 36,570 1,106 Fred's, Inc. 10,430 760 J. C. Penney Co., Inc. 36,032 1,293 Macy's, Inc. 35,739 546 Nordstrom, Inc. 21,239 401 Target Corp. 22,288 2,100 Tuesday Morning Corp. 12,684 ------------- 251,558 ------------- MULTI-UTILITIES--4.7% 601 Alliant Energy Corp. 22,177 247 Ameren Corp. 11,068 1,272 Aquila, Inc. (b) 4,465 198 Avista Corp. 3,990 333 Black Hills Corp. 12,900 390 CenterPoint Energy, Inc. 6,244 141 CH Energy Group, Inc. 5,441 385 CMS Energy Corp. 6,033 411 Consolidated Edison, Inc. 17,911 423 Dominion Resources, Inc. 18,189 761 DTE Energy Co. 32,456 539 Energy East Corp. 13,610 531 MDU Resources Group, Inc. 13,764 1,416 NiSource, Inc. 26,890 262 NSTAR 8,497 404 OGE Energy Corp. 13,223 466 PG&E Corp. 19,125 884 PNM Resources, Inc. 17,079 535 Puget Energy, Inc. 13,990 348 SCANA Corp. 12,977 216 Sempra Energy 12,074 1,555 TECO Energy, Inc. 25,922 506 Vectren Corp. 13,890 195 Wisconsin Energy Corp. 8,878 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MULTI-UTILITIES (CONTINUED) 889 Xcel Energy, Inc. $ 18,482 ------------- 359,275 ------------- OFFICE ELECTRONICS--0.3% 1,239 Xerox Corp. 19,081 137 Zebra Technologies Corp., Class A (b) 4,207 ------------- 23,288 ------------- OIL, GAS & CONSUMABLE FUELS--2.3% 358 Chevron Corp. 30,251 187 Forest Oil Corp. (b) 8,456 549 Marathon Oil Corp. 25,721 347 Occidental Petroleum Corp. 23,551 329 Overseas Shipholding Group, Inc. 21,457 453 Plains Exploration & Production Co. (b) 22,034 259 Spectra Energy Corp. 5,916 242 Swift Energy Co. (b) 10,442 701 Tesoro Corp. 27,374 72 World Fuel Services Corp. 1,905 ------------- 177,107 ------------- PAPER & FOREST PRODUCTS--1.1% 681 Buckeye Technologies, Inc. (b) 8,955 1,033 International Paper Co. 33,314 641 MeadWestvaco Corp. 17,948 292 Neenah Paper, Inc. 7,913 81 Schweitzer-Mauduit International, Inc. 1,931 947 Wausau Paper Corp. 8,476 91 Weyerhaeuser Co. 6,163 ------------- 84,700 ------------- PHARMACEUTICALS--1.4% 423 Alpharma, Inc., Class A (b) 8,680 3,266 King Pharmaceuticals, Inc. (b) 34,261 1,903 Mylan, Inc. 28,374 294 Pfizer, Inc. 6,877 1,351 Salix Pharmaceuticals, Ltd. (b) 9,389 1,341 ViroPharma, Inc. (b) 11,881 303 Wyeth 12,059 ------------- 111,521 ------------- REAL ESTATE INVESTMENT TRUSTS--1.2% 291 Boston Properties, Inc. 26,749 470 Colonial Properties Trust 11,581 91 Entertainment Properties Trust 4,505 294 Hospitality Properties Trust 9,981 83 LTC Properties, Inc. 2,162 614 Medical Properties Trust, Inc. 7,761 89 National Retail Properties, Inc. 2,022 330 Potlatch Corp. 14,167 See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 201 Rayonier, Inc. $ 8,506 92 Senior Housing Properties Trust 2,060 ------------- 89,494 ------------- ROAD & RAIL--3.2% 485 Arkansas Best Corp. 14,933 1,459 Avis Budget Group, Inc. (b) 19,478 161 Burlington Northern Santa Fe Corp. 13,930 457 Con-way, Inc. 22,251 456 CSX Corp. 22,107 276 Kansas City Southern (b) 9,903 398 Norfolk Southern Corp. 21,647 461 Old Dominion Freight Line, Inc. (b) 13,438 711 Ryder System, Inc. 37,015 106 Union Pacific Corp. 13,253 1,436 Werner Enterprises, Inc. 29,251 1,431 YRC Worldwide, Inc. (b) 26,202 ------------- 243,408 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.2% 814 Advanced Energy Industries, Inc. (b) 8,799 211 Analog Devices, Inc. 5,984 1,130 Applied Materials, Inc. 20,250 926 Axcelis Technologies, Inc. (b) 3,695 645 Brooks Automation, Inc. (b) 7,927 58 Cabot Microelectronics Corp. (b) 2,006 136 Cohu, Inc. 2,033 161 Cymer, Inc. (b) 4,349 329 Fairchild Semiconductor International, Inc. (b) 4,030 84 FEI Co. (b) 1,903 419 Integrated Device Technology, Inc. (b) 3,122 279 International Rectifier Corp. (b) 7,765 387 Intersil Corp., Class A 8,913 278 KLA-Tencor Corp. 11,615 660 Kopin Corp. (b) 2,224 566 Lam Research Corp. (b) 21,729 741 Micrel, Inc. 4,520 213 Microchip Technology, Inc. 6,797 3,690 Micron Technology, Inc. (b) 25,940 556 MKS Instruments, Inc. (b) 10,342 970 Novellus Systems, Inc. (b) 23,046 854 Photronics, Inc. (b) 10,410 4,283 RF Micro Devices, Inc. (b) 13,834 752 Rudolph Technologies, Inc. (b) 7,708 306 Semtech Corp. (b) 3,908 67 Supertex, Inc. (b) 1,321 401 Texas Instruments, Inc. 12,403 306 Xilinx, Inc. 6,692 ------------- 243,265 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ SOFTWARE--0.3% 279 Cadence Design Systems, Inc. (b) $ 2,832 483 Captaris, Inc. (b) 1,628 753 Compuware Corp. (b) 6,401 531 Parametric Technology Corp. (b) 8,734 ------------- 19,595 ------------- SPECIALTY RETAIL--7.8% 553 Aaron Rents, Inc. 10,573 957 AnnTaylor Stores Corp. (b) 24,069 2,136 AutoNation, Inc. (b) 34,774 426 Barnes & Noble, Inc. 14,463 434 Big 5 Sporting Goods Corp. 5,169 702 Brown Shoe Co., Inc. 12,074 565 Cabela's, Inc. (b) 8,334 680 Cato (The) Corp., Class A 11,132 659 Charlotte Russe Holding, Inc. (b) 11,882 4,520 Charming Shoppes, Inc. (b) 29,154 328 Children's Place Retail Stores (The), Inc. (b) 6,081 2,836 Coldwater Creek, Inc. (b) 18,235 1,406 Collective Brands, Inc. (b) 24,774 4,400 Finish Line (The) Inc., Class A 9,856 1,074 Foot Locker, Inc. 14,703 113 Genesco, Inc. (b) 3,770 448 Group 1 Automotive, Inc. 11,845 696 Haverty Furniture Cos., Inc. 7,120 993 Home Depot (The), Inc. 30,455 1,829 Hot Topic, Inc. (b) 10,151 651 Jo-Ann Stores, Inc. (b) 8,248 1,767 Limited Brands, Inc. 33,732 775 Lithia Motors, Inc., Class A 11,850 395 Men's Wearhouse (The), Inc. 10,069 2,404 Office Depot, Inc. (b) 35,650 1,619 OfficeMax, Inc. 40,102 545 Pep Boys-Manny, Moe & Jack (The) 5,957 806 PetSmart, Inc. 18,433 1,984 RadioShack Corp. 34,422 1,684 Rent-A-Center, Inc. (b) 28,796 346 Sherwin-Williams (The) Co. 19,795 550 Sonic Automotive, Inc., Class A 11,028 2,246 Stein Mart, Inc. 14,352 291 Tiffany & Co. 11,611 236 Tween Brands, Inc. (b) 7,559 663 Zale Corp. (b) 10,873 ------------- 601,091 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.9% 1,643 Liz Claiborne, Inc. 35,965 463 Maidenform Brands, Inc. (b) 5,741 421 Movado Group, Inc. 10,197 413 Oxford Industries, Inc. 9,404 515 Phillips-Van Heusen Corp. 21,702 730 Quiksilver, Inc. (b) 6,957 546 Skechers U.S.A., Inc., Class A (b) 10,931 224 UniFirst Corp. 9,148 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 390 VF Corp. $ 30,174 174 Wolverine World Wide, Inc. 4,404 ------------- 144,623 ------------- THRIFTS & MORTGAGE FINANCE--2.3% 89 Anchor BanCorp Wisconsin, Inc. 2,225 1,234 BankUnited Financial Corp., Class A 7,318 998 Corus Bankshares, Inc. 12,695 2,244 Countrywide Financial Corp. 15,618 274 Downey Financial Corp. 9,453 394 First Niagara Financial Group, Inc. 5,012 297 FirstFed Financial Corp. (b) 12,459 1,222 Flagstar Bancorp, Inc. 10,082 1,976 Franklin Bank Corp. (b) 11,619 3,188 IndyMac Bancorp, Inc. 26,045 1,841 PMI Group (The), Inc. 17,490 587 Sovereign Bancorp, Inc. (b) 7,320 213 Triad Guaranty, Inc. (b) 1,489 1,966 Washington Mutual, Inc. 39,162 ------------- 177,987 ------------- TOBACCO--0.2% 101 Reynolds American, Inc. 6,396 185 Universal Corp. 9,215 ------------- 15,611 ------------- TRADING COMPANIES & DISTRIBUTORS--0.8% 147 Applied Industrial Technologies, Inc. 4,438 517 GATX Corp. 19,439 234 MSC Industrial Direct Co., Inc., Class A 9,610 1,332 United Rentals, Inc. (b) 24,310 116 Watsco, Inc. 4,278 ------------- 62,075 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% 2,038 Sprint Nextel Corp. 21,461 152 Telephone and Data Systems, Inc. 8,016 ------------- 29,477 ------------- TOTAL COMMON STOCKS--100.0% (Cost $8,456,816) 7,700,516 MONEY MARKET FUND--0.6% 47,266 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) (Cost $47,266) 47,266 ------------- DESCRIPTION VALUE ------------------------------------------------- TOTAL INVESTMENTS--100.6% (Cost $8,504,082) $ 7,747,782 NET OTHER ASSETS AND LIABILITIES--(0.6%) (46,038) ------------- NET ASSETS--100.0% $ 7,701,744 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS--99.6% AEROSPACE & DEFENSE--4.9% 267 AAR Corp. (b) $ 7,866 198 Alliant Techsystems, Inc. (b) 20,958 426 BE Aerospace, Inc. (b) 16,448 64 Boeing (The) Co. 5,324 207 Cubic Corp. 5,560 162 Curtiss-Wright Corp. 6,755 320 DRS Technologies, Inc. 17,174 157 Esterline Technologies Corp. (b) 7,315 170 GenCorp, Inc. (b) 1,996 253 General Dynamics Corp. 21,368 410 Goodrich Corp. 25,645 366 Honeywell International, Inc. 21,620 273 L-3 Communications Holdings, Inc. 30,256 161 Lockheed Martin Corp. 17,375 177 Moog, Inc., Class A (b) 8,149 162 Precision Castparts Corp. 18,436 157 Rockwell Collins, Inc. 9,922 152 Teledyne Technologies, Inc. (b) 7,848 123 Triumph Group, Inc. 6,642 221 United Technologies Corp. 16,224 ------------- 272,881 ------------- AIR FREIGHT & LOGISTICS--0.6% 312 C.H. Robinson Worldwide, Inc. 17,328 252 Expeditors International of Washington, Inc. 11,917 74 Hub Group, Inc., Class A (b) 2,156 ------------- 31,401 ------------- AIRLINES--0.1% 302 SkyWest, Inc. 7,858 ------------- AUTO COMPONENTS--0.7% 465 BorgWarner, Inc. 23,533 200 Goodyear Tire & Rubber (The) Co. (b) 5,034 313 Johnson Controls, Inc. 11,071 ------------- 39,638 ------------- BEVERAGES--1.5% 108 Anheuser-Busch Cos., Inc. 5,024 53 Boston Beer (The) Co., Inc., Class A (b) 1,884 152 Brown-Forman Corp., Class B 9,573 275 Coca-Cola (The) Co. 16,272 98 Hansen Natural Corp. (b) 3,779 571 Pepsi Bottling Group (The), Inc. 19,898 676 PepsiAmericas, Inc. 16,657 148 PepsiCo, Inc. 10,092 ------------- 83,179 ------------- BIOTECHNOLOGY--1.6% 99 Biogen Idec, Inc. (b) 6,034 61 Cephalon, Inc. (b) 4,003 303 Genzyme Corp. (b) 23,673 490 Gilead Sciences, Inc. (b) 22,388 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ BIOTECHNOLOGY (CONTINUED) 235 LifeCell Corp. (b) $ 9,285 201 Martek Biosciences Corp. (b) 5,729 580 Millennium Pharmaceuticals, Inc. (b) 8,799 168 Regeneron Pharmaceuticals, Inc. (b) 3,407 177 Savient Pharmaceuticals, Inc. (b) 3,425 ------------- 86,743 ------------- BUILDING PRODUCTS--0.2% 241 Trane, Inc. 10,792 ------------- CAPITAL MARKETS--3.8% 661 Charles Schwab (The) Corp. 14,740 298 Eaton Vance Corp. 11,106 274 Federated Investors, Inc., Class B 11,664 105 Goldman Sachs Group (The), Inc. 21,081 170 Investment Technology Group, Inc. (b) 7,985 686 Janus Capital Group, Inc. 18,529 189 Jefferies Group, Inc. 3,822 294 Northern Trust Corp. 21,568 300 optionsXpress Holdings, Inc. 8,136 414 Raymond James Financial, Inc. 11,629 420 SEI Investments Co. 11,634 357 State Street Corp. 29,317 370 T. Rowe Price Group, Inc. 18,718 418 TradeStation Group, Inc. (b) 4,556 482 Waddell & Reed Financial, Inc., Class A 15,993 ------------- 210,478 ------------- CHEMICALS--3.4% 228 Air Products and Chemicals, Inc. 20,525 334 Airgas, Inc. 15,501 205 CF Industries Holdings, Inc. 21,920 330 Ecolab, Inc. 15,923 319 FMC Corp. 16,958 130 Minerals Technologies, Inc. 7,072 259 Monsanto Co. 29,121 254 Praxair, Inc. 20,551 413 Sigma-Aldrich Corp. 20,510 472 Terra Industries, Inc. (b) 21,273 ------------- 189,354 ------------- COMMERCIAL BANKS--1.0% 104 Alabama National BanCorp. 8,138 219 Boston Private Financial Holdings, Inc. 5,000 295 Commerce Bancorp, Inc. 11,242 106 Glacier Bancorp, Inc. 1,973 124 PrivateBancorp, Inc. 4,563 67 Prosperity Bancshares, Inc. 1,926 176 Signature Bank (b) 5,898 268 SVB Financial Group (b) 12,971 106 UMB Financial Corp. 4,466 ------------- 56,177 ------------- Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES--2.4% 337 Bowne & Co., Inc. $ 4,145 226 Brink's (The) Co. 13,702 409 Copart, Inc. (b) 16,721 280 Healthcare Services Group, Inc. 6,793 417 Herman Miller, Inc. 13,252 364 Interface, Inc., Class A 5,809 231 Korn/Ferry International (b) 3,717 335 Mine Safety Appliances Co. 14,951 318 Navigant Consulting, Inc. (b) 3,765 139 Republic Services, Inc. 4,170 704 Rollins, Inc. 12,524 293 Stericycle, Inc. (b) 17,364 276 Tetra Tech, Inc. (b) 5,434 192 Waste Connections, Inc. (b) 5,599 128 Watson Wyatt Worldwide, Inc., Class A 6,291 ------------- 134,237 ------------- COMMUNICATIONS EQUIPMENT--1.7% 181 Blue Coat Systems, Inc. (b) 4,863 275 CommScope, Inc. (b) 12,196 110 Comtech Telecommunications Corp. (b) 4,928 418 Digi International, Inc. (b) 4,895 326 Dycom Industries, Inc. (b) 7,700 496 Foundry Networks, Inc. (b) 6,845 360 Harris Corp. 19,689 339 Juniper Networks, Inc. (b) 9,204 284 NETGEAR, Inc. (b) 7,571 482 Network Equipment Technologies, Inc. (b) 3,586 167 Plantronics, Inc. 3,190 156 Polycom, Inc. (b) 3,939 172 ViaSat, Inc. (b) 3,572 ------------- 92,178 ------------- COMPUTERS & PERIPHERALS--1.6% 146 Apple, Inc. (b) 19,762 608 EMC Corp. (b) 9,649 446 Hewlett-Packard Co. 19,513 226 Hutchinson Technology, Inc. (b) 3,564 52 International Business Machines Corp. 5,582 136 Intevac, Inc. (b) 1,481 230 Stratasys, Inc. (b) 5,083 144 Synaptics, Inc. (b) 3,816 746 Western Digital Corp. (b) 19,731 ------------- 88,181 ------------- CONSTRUCTION & ENGINEERING--1.2% 199 Fluor Corp. 24,212 303 Jacobs Engineering Group, Inc. (b) 23,161 331 Quanta Services, Inc. (b) 7,256 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ CONSTRUCTION & ENGINEERING (CONTINUED) 168 Shaw Group (The), Inc. (b) $ 9,492 ------------- 64,121 ------------- CONSUMER FINANCE--0.1% 816 Rewards Network, Inc. (b) 4,015 ------------- CONTAINERS & PACKAGING--0.3% 248 AptarGroup, Inc. 9,355 125 Ball Corp. 5,736 ------------- 15,091 ------------- DISTRIBUTORS--0.2% 482 LKQ Corp. (b) 8,623 ------------- DIVERSIFIED CONSUMER SERVICES--1.9% 321 Apollo Group, Inc., Class A (b) 25,596 57 Bright Horizons Family Solutions, Inc. (b) 2,426 70 Coinstar, Inc. (b) 2,153 282 Corinthian Colleges, Inc. (b) 2,383 335 DeVry, Inc. 18,489 185 Matthews International Corp., Class A 9,041 73 Pre-Paid Legal Services, Inc. (b) 4,055 1,604 Service Corp. International 19,296 114 Sotheby's 3,542 102 Strayer Education, Inc. 17,603 ------------- 104,584 ------------- DIVERSIFIED FINANCIAL SERVICES--1.4% 42 CME Group, Inc. 25,994 151 IntercontinentalExchange, Inc. (b) 21,134 359 Leucadia National Corp. 15,857 193 NYSE Euronext 15,179 ------------- 78,164 ------------- ELECTRIC UTILITIES--0.4% 266 Allegheny Energy, Inc. 14,574 232 El Paso Electric Co. (b) 5,436 ------------- 20,010 ------------- ELECTRICAL EQUIPMENT--1.6% 371 AMETEK, Inc. 16,339 121 Baldor Electric Co. 3,664 169 Brady Corp., Class A 5,133 213 Cooper Industries Ltd., Class A 9,487 398 Emerson Electric Co. 20,233 82 Rockwell Automation, Inc. 4,676 216 Roper Industries, Inc. 12,079 381 Vicor Corp. 4,690 149 Woodward Governor Co. 9,354 ------------- 85,655 ------------- See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS--2.0% 486 Amphenol Corp., Class A $ 19,411 95 Anixter International, Inc. (b) 6,656 660 Brightpoint, Inc. (b) 8,395 312 Checkpoint Systems, Inc. (b) 7,413 88 Daktronics, Inc. 1,803 73 FARO Technologies, Inc. (b) 1,743 324 FLIR Systems, Inc. (b) 9,811 106 Itron, Inc. (b) 8,734 504 Mercury Computer Systems, Inc. (b) 4,183 95 MTS Systems Corp. 3,193 130 National Instruments Corp. 3,492 927 Planar Systems, Inc. (b) 5,247 226 Plexus Corp. (b) 5,105 303 RadiSys Corp. (b) 4,118 94 Rogers Corp. (b) 2,934 313 ScanSource, Inc. (b) 9,910 65 Trimble Navigation Ltd. (b) 1,719 696 TTM Technologies, Inc. (b) 7,078 ------------- 110,945 ------------- ENERGY EQUIPMENT & SERVICES--5.2% 101 Atwood Oceanics, Inc. (b) 8,392 69 Baker Hughes, Inc. 4,480 270 Basic Energy Services, Inc. (b) 4,830 179 Bristow Group, Inc. (b) 9,013 468 Cameron International Corp. (b) 18,842 146 Dril-Quip, Inc. (b) 7,087 213 Exterran Holdings, Inc. (b) 13,896 397 FMC Technologies, Inc. (b) 19,120 244 Grant Prideco, Inc. (b) 12,146 128 Gulf Island Fabrication, Inc. 3,203 446 Halliburton Co. 14,794 195 Helix Energy Solutions Group, Inc. (b) 7,209 562 Helmerich & Payne, Inc. 22,042 132 Hornbeck Offshore Services, Inc. (b) 5,106 643 ION Geophysical Corp. (b) 7,973 465 Matrix Service Co. (b) 8,379 150 NATCO Group, Inc., Class A (b) 6,867 394 National Oilwell Varco, Inc. (b) 23,730 513 Noble Corp. 22,453 120 Oceaneering International, Inc. (b) 6,910 172 Schlumberger Ltd. 12,979 392 Smith International, Inc. 21,250 191 Superior Well Services, Inc. (b) 3,723 39 Transocean, Inc. (b) 4,781 328 Weatherford International Ltd. (b) 20,274 ------------- 289,479 ------------- FOOD & STAPLES RETAILING--2.4% 226 Andersons (The), Inc. 10,294 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ FOOD & STAPLES RETAILING (CONTINUED) 400 BJ's Wholesale Club, Inc. (b) $ 12,976 342 Casey's General Stores, Inc. 8,892 415 Costco Wholesale Corp. 28,195 729 CVS Caremark Corp. 28,482 181 Sysco Corp. 5,258 320 United Natural Foods, Inc. (b) 7,674 474 Wal-Mart Stores, Inc. 24,117 138 Whole Foods Market, Inc. 5,443 ------------- 131,331 ------------- FOOD PRODUCTS--1.6% 624 Archer-Daniels-Midland Co. 27,488 347 Flowers Foods, Inc. 8,328 99 General Mills, Inc. 5,406 254 Hain Celestial Group (The), Inc. (b) 6,858 334 Hormel Foods Corp. 12,940 107 Kellogg Co. 5,125 149 McCormick & Co., Inc. 5,024 167 Ralcorp Holdings, Inc. (b) 9,086 96 Wm. Wrigley Jr. Co. 5,513 ------------- 85,768 ------------- GAS UTILITIES--0.3% 135 Energen Corp. 8,491 82 Equitable Resources, Inc. 4,572 104 Questar Corp. 5,295 ------------- 18,358 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.4% 137 American Medical Systems Holdings, Inc. (b) 1,958 60 Analogic Corp. 3,544 84 ArthroCare Corp. (b) 3,363 194 Baxter International, Inc. 11,784 119 Beckman Coulter, Inc. 7,914 135 Becton, Dickinson and Co. 11,682 178 C.R. Bard, Inc. 17,189 86 CONMED Corp. (b) 2,090 300 DENTSPLY International, Inc. 12,393 69 Gen-Probe, Inc. (b) 3,943 94 Haemonetics Corp. (b) 5,625 253 Hologic, Inc. (b) 16,283 528 Hospira, Inc. (b) 21,705 138 IDEXX Laboratories, Inc. (b) 7,779 175 Immucor, Inc. (b) 5,047 97 Integra LifeSciences Holdings (b) 4,035 69 Intuitive Surgical, Inc. (b) 17,526 136 Kensey Nash Corp. (b) 3,692 162 Kinetic Concepts, Inc. (b) 8,064 197 Meridian Bioscience, Inc. 6,188 427 Merit Medical Systems, Inc. (b) 6,866 407 Possis Medical, Inc. (b) 5,690 257 ResMed, Inc. (b) 11,971 155 Respironics, Inc. (b) 10,154 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 139 St. Jude Medical, Inc. (b) $ 5,631 151 STERIS Corp. 3,742 302 Stryker Corp. 20,224 75 SurModics, Inc. (b) 3,275 233 Symmetry Medical, Inc. (b) 4,241 ------------- 243,598 ------------- HEALTH CARE PROVIDERS & SERVICES--6.4% 502 Aetna, Inc. 26,737 209 Amedisys, Inc. (b) 8,910 278 AMERIGROUP Corp. (b) 10,431 115 AMN Healthcare Services, Inc. (b) 1,796 300 AmSurg Corp. (b) 7,728 370 Centene Corp. (b) 8,858 73 Chemed Corp. 3,740 315 CIGNA Corp. 15,485 472 Community Health Systems, Inc. (b) 15,151 380 Coventry Health Care, Inc. (b) 21,500 397 Express Scripts, Inc. (b) 26,794 90 Health Net, Inc. (b) 4,184 311 HealthExtras, Inc. (b) 8,599 139 Healthways, Inc. (b) 7,826 283 Henry Schein, Inc. (b) 16,451 385 Humana, Inc. (b) 30,916 64 inVentiv Health, Inc. (b) 2,105 75 Laboratory Corp. of America Holdings (b) 5,541 238 LHC Group, Inc. (b) 5,488 572 Medco Health Solutions, Inc. (b) 28,646 262 Molina Healthcare, Inc. (b) 8,937 367 Odyssey HealthCare, Inc. (b) 3,233 87 Pediatrix Medical Group, Inc. (b) 5,924 303 PSS World Medical, Inc. (b) 5,239 134 Psychiatric Solutions, Inc. (b) 4,043 141 Sierra Health Services, Inc. (b) 6,060 498 UnitedHealth Group, Inc. 25,318 393 VCA Antech, Inc. (b) 15,193 330 WellPoint, Inc. (b) 25,806 ------------- 356,639 ------------- HEALTH CARE TECHNOLOGY--0.4% 154 Cerner Corp. (b) 8,069 220 Omnicell, Inc. (b) 5,518 373 Phase Forward, Inc. (b) 6,434 ------------- 20,021 ------------- HOTELS, RESTAURANTS & LEISURE--1.6% 367 Cheesecake Factory (The), Inc. (b) 8,019 153 Chipotle Mexican Grill, Inc., Class A (b) 18,626 287 McDonald's Corp. 15,369 55 Panera Bread Co., Class A (b) 2,078 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE (CONTINUED) 87 Papa John's International, Inc. (b) $ 2,200 279 Peet's Coffee & Tea, Inc. (b) 6,121 131 Scientific Games Corp., Class A (b) 3,118 90 Sonic Corp. (b) 1,996 367 Texas Roadhouse, Inc. (b) 4,430 221 WMS Industries, Inc. (b) 8,265 589 Yum! Brands, Inc. 20,121 ------------- 90,343 ------------- HOUSEHOLD DURABLES--0.1% 243 Universal Electronics, Inc. (b) 5,786 ------------- HOUSEHOLD PRODUCTS--1.4% 321 Church & Dwight Co., Inc. 17,084 86 Clorox (The) Co. 5,274 289 Colgate-Palmolive Co. 22,252 121 Energizer Holdings, Inc. (b) 11,328 81 Kimberly-Clark Corp. 5,318 153 Procter & Gamble (The) Co. 10,090 156 WD-40 Co. 5,267 ------------- 76,613 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.8% 790 AES (The) Corp. (b) 15,073 283 Constellation Energy Group 26,591 ------------- 41,664 ------------- Industrial Conglomerates--0.4% 406 Textron, Inc. 22,756 ------------- INSURANCE--1.8% 270 AFLAC, Inc. 16,559 473 Aon Corp. 20,586 49 Hilb Rogal and Hobbs Co. 1,773 156 Navigators Group (The), Inc. (b) 9,006 103 Philadelphia Consolidated Holding Co. (b) 3,687 327 Principal Financial Group, Inc. 19,492 121 Prudential Financial, Inc. 10,209 173 StanCorp Financial Group, Inc. 8,513 243 Tower Group, Inc. 7,100 44 Zenith National Insurance Corp. 1,752 ------------- 98,677 ------------- INTERNET & CATALOG RETAIL--1.1% 313 Amazon.com, Inc. (b) 24,320 60 Blue Nile, Inc. (b) 3,315 534 Expedia, Inc. (b) 12,293 846 Netflix, Inc. (b) 21,277 164 PetMed Express, Inc. (b) 2,025 ------------- 63,230 ------------- See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES--0.8% 123 Bankrate, Inc. (b) $ 6,670 59 DealerTrack Holdings, Inc. (b) 1,591 170 eBay, Inc. (b) 4,571 42 Google, Inc., Class A (b) 23,701 300 VeriSign, Inc. (b) 10,176 ------------- 46,709 ------------- IT SERVICES--1.7% 116 Alliance Data Systems Corp. (b) 5,866 44 CACI International Inc., Class A (b) 1,918 571 CyberSource Corp. (b) 9,564 53 DST Systems, Inc. (b) 3,790 135 Fidelity National Information Services, Inc. 5,731 203 Fiserv, Inc. (b) 10,428 187 Global Payments, Inc. 6,994 231 ManTech International Corp., Class A (b) 9,448 51 MAXIMUS, Inc. 1,799 459 SRA International, Inc., Class A (b) 12,590 451 Sykes Enterprises, Inc. (b) 7,121 696 Western Union Co. 15,591 114 Wright Express Corp. (b) 3,413 ------------- 94,253 ------------- LEISURE EQUIPMENT & PRODUCTS--0.1% 85 Polaris Industries, Inc. 3,692 ------------- LIFE SCIENCES TOOLS & SERVICES--3.4% 166 Applera Corp. - Applied Biosystems Group 5,234 264 Charles River Laboratories International, Inc. (b) 16,394 201 Covance, Inc. (b) 16,715 72 Dionex Corp. (b) 5,047 318 Enzo Biochem, Inc. (b) 2,970 145 Invitrogen Corp. (b) 12,422 207 Kendle International, Inc. (b) 8,775 154 Millipore Corp. (b) 10,803 210 PAREXEL International Corp. (b) 11,426 217 PerkinElmer, Inc. 5,401 335 Pharmaceutical Product Development, Inc. 14,526 259 Pharmanet Development Group, Inc. (b) 10,557 132 Techne Corp. (b) 8,580 391 Thermo Fisher Scientific, Inc. (b) 20,133 207 Varian, Inc. (b) 11,230 155 Ventana Medical Systems, Inc. (b) 13,803 285 Waters Corp. (b) 16,373 ------------- 190,389 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ MACHINERY--6.5% 331 AGCO Corp. (b) $ 19,933 109 Albany International Corp., Class A 3,816 155 Caterpillar, Inc. 11,027 107 CLARCOR, Inc. 4,014 203 Crane Co. 8,297 455 Cummins, Inc. 21,967 257 Danaher Corp. 19,134 242 Deere & Co. 21,238 375 Donaldson Co., Inc. 15,713 174 Eaton Corp. 14,400 234 Flowserve Corp. 19,216 352 Harsco Corp. 20,036 241 IDEX Corp. 7,526 171 ITT Corp. 10,163 264 Joy Global, Inc. 16,645 74 Kaydon Corp. 3,233 122 Lincoln Electric Holdings, Inc. 7,521 143 Lindsay Corp. 8,726 593 Manitowoc (The) Co., Inc. 22,605 233 Nordson Corp. 11,622 92 Oshkosh Truck Corp. 4,210 279 Pall Corp. 10,292 299 Parker Hannifin Corp. 20,215 134 Robbins & Myers, Inc. 8,882 219 SPX Corp. 22,031 86 Terex Corp. (b) 5,053 75 Toro (The) Co. 3,701 91 Valmont Industries, Inc. 7,617 252 Wabtec Corp. 8,666 ------------- 357,499 ------------- MARINE--0.1% 175 Kirby Corp. (b) 8,047 ------------- MEDIA--1.0% 203 John Wiley & Sons, Inc., Class A 8,002 275 News Corp., Class A 5,198 119 Omnicom Group, Inc. 5,399 1,157 Valassis Communications, Inc. (b) 11,061 513 Viacom, Inc., Class B (b) 19,884 7 Washington Post (The) Co., Class B 5,208 ------------- 54,752 ------------- METALS & MINING--3.4% 281 AMCOL International Corp. 6,890 110 Brush Engineered Materials, Inc. (b) 3,148 300 Carpenter Technology Corp. 18,492 150 Century Aluminum Co. (b) 7,799 172 Cleveland-Cliffs, Inc. 17,516 295 Commercial Metals Co. 8,363 283 Freeport-McMoRan Copper & Gold, Inc. 25,196 346 Newmont Mining Corp. 18,802 190 Nucor Corp. 10,982 156 Quanex Corp. 8,176 416 Reliance Steel & Aluminum Co. 20,471 378 Steel Dynamics, Inc. 19,713 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 240 United States Steel Corp. $ 24,506 ------------- 190,054 ------------- MULTILINE RETAIL--0.3% 837 Saks, Inc. (b) 15,108 ------------- OIL, GAS & CONSUMABLE FUELS--7.4% 441 Anadarko Petroleum Corp. 25,838 210 Apache Corp. 20,042 301 Arch Coal, Inc. 13,244 104 Bill Barrett Corp. (b) 4,344 100 Cabot Oil & Gas Corp. 3,869 431 Chesapeake Energy Corp. 16,046 102 Cimarex Energy Co. 4,163 128 ConocoPhillips 10,281 236 CONSOL Energy, Inc. 17,228 584 Denbury Resources, Inc. (b) 14,775 127 Devon Energy Corp. 10,792 405 Encore Acquisition Co. (b) 13,203 126 EOG Resources, Inc. 11,025 120 Exxon Mobil Corp. 10,368 214 Frontier Oil Corp. 7,548 287 Hess Corp. 26,069 341 Murphy Oil Corp. 25,077 165 Newfield Exploration Co. (b) 8,230 213 Noble Energy, Inc. 15,460 366 Peabody Energy Corp. 19,771 93 Penn Virginia Corp. 3,963 69 Petroleum Development Corp. (b) 3,968 89 Pioneer Natural Resources Co. 3,729 378 Quicksilver Resources, Inc. (b) 21,482 439 Range Resources Corp. 22,925 404 Southwestern Energy Co. (b) 22,588 154 St. Mary Land & Exploration Co. 5,425 216 Stone Energy Corp. (b) 8,856 156 Sunoco, Inc. 9,703 241 Valero Energy Corp. 14,265 329 XTO Energy, Inc. 17,088 ------------- 411,365 ------------- PERSONAL PRODUCTS--0.8% 354 Alberto-Culver Co. 9,484 428 Avon Products, Inc. 14,988 107 Chattem, Inc. (b) 8,209 258 Estee Lauder (The) Cos., Inc., Class A 10,888 ------------- 43,569 ------------- PHARMACEUTICALS--1.8% 201 Abbott Laboratories 11,316 175 Allergan, Inc. 11,758 212 Barr Pharmaceuticals, Inc. (b) 11,064 100 Bradley Pharmaceuticals, Inc. (b) 1,989 106 Eli Lilly and Co. 5,461 SHARES DESCRIPTION VALUE - ------------------------------------------------------------ PHARMACEUTICALS (CONTINUED) 84 Johnson & Johnson $ 5,314 291 Merck & Co., Inc. 13,467 724 Par Pharmaceutical Cos., Inc. (b) 13,887 497 Perrigo Co. 15,328 97 Sciele Pharma, Inc. (b) 2,320 208 Watson Pharmaceuticals, Inc. (b) 5,431 ------------- 97,335 ------------- REAL ESTATE INVESTMENT TRUSTS--0.3% 138 Extra Space Storage, Inc. 2,089 267 ProLogis 15,847 ------------- 17,936 ------------- ROAD & RAIL--0.3% 140 Heartland Express, Inc. 2,275 315 J.B. Hunt Transport Services, Inc. 9,797 47 Landstar System, Inc. 2,351 ------------- 14,423 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.4% 197 AMIS Holdings, Inc. (b) 1,440 126 ATMI, Inc. (b) 3,314 625 Cypress Semiconductor Corp. (b) 13,281 197 Diodes, Inc. (b) 4,561 211 Intel Corp. 4,473 327 MEMC Electronic Materials, Inc. (b) 23,367 89 Microsemi Corp. (b) 2,022 497 NVIDIA Corp. (b) 12,221 434 Pericom Semiconductor Corp. (b) 5,885 233 Skyworks Solutions, Inc. (b) 1,876 104 Standard Microsystems Corp. (b) 3,112 53 Varian Semiconductor Equipment Associates, Inc. (b) 1,707 ------------- 77,259 ------------- SOFTWARE--4.4% 759 Activision, Inc. (b) 19,634 132 Adobe Systems, Inc. (b) 4,611 321 Advent Software, Inc. (b) 14,496 245 ANSYS, Inc. (b) 8,553 226 Autodesk, Inc. (b) 9,300 289 Blackbaud, Inc. 7,997 316 BMC Software, Inc. (b) 10,125 445 Citrix Systems, Inc. (b) 15,405 280 Concur Technologies, Inc. (b) 9,817 96 Electronic Arts, Inc. (b) 4,548 114 EPIQ Systems, Inc. (b) 1,682 450 Informatica Corp. (b) 8,690 356 Intuit, Inc. (b) 10,926 179 Jack Henry & Associates, Inc. 4,400 396 JDA Software Group, Inc. (b) 7,045 154 Manhattan Associates, Inc. (b) 3,818 361 McAfee, Inc. (b) 12,151 116 MICROS Systems, Inc. (b) 7,143 See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Portfolio of Investments (a) (Continued) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 633 Microsoft Corp. $ 20,635 748 Oracle Corp. (b) 15,371 315 Phoenix Technologies Ltd. (b) 4,788 176 Progress Software Corp. (b) 5,196 471 Radiant Systems, Inc. (b) 5,727 845 Secure Computing Corp. (b) 7,563 55 SPSS, Inc. (b) 1,818 518 Sybase, Inc. (b) 14,618 107 Take-Two Interactive Software, Inc. (b) 1,759 144 THQ, Inc. (b) 2,593 153 Tyler Technologies, Inc. (b) 2,047 ------------- 242,456 ------------- SPECIALTY RETAIL--3.5% 211 Abercrombie & Fitch Co., Class A 16,815 229 Advance Auto Parts, Inc. 8,171 656 Aeropostale, Inc. (b) 18,480 47 AutoZone, Inc. (b) 5,681 550 Best Buy Co., Inc. 26,845 220 CarMax, Inc. (b) 4,906 313 Dick's Sporting Goods, Inc. (b) 10,188 466 GameStop Corp., Class A (b) 24,105 794 Gap (The), Inc. 15,181 115 Guess ?, Inc. 4,291 65 Gymboree (The) Corp. (b) 2,484 70 Jos. A. Bank Clothiers, Inc. (b) 1,907 134 O'Reilly Automotive, Inc. (b) 3,944 170 Ross Stores, Inc. 4,956 733 Staples, Inc. 17,548 392 TJX (The) Cos., Inc. 12,372 638 Urban Outfitters, Inc. (b) 18,502 ------------- 196,376 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 54 Crocs, Inc. (b) 1,879 65 Deckers Outdoor Corp. (b) 7,881 242 Fossil, Inc. (b) 8,223 320 Hanesbrands, Inc. (b) 8,195 101 Iconix Brand Group, Inc. (b) 2,100 351 NIKE, Inc., Class B 21,677 389 Warnaco Group (The), Inc. (b) 13,961 ------------- 63,916 ------------- Thrifts & Mortgage Finance--0.3% 1,125 Hudson City Bancorp, Inc. 18,428 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 108 Fastenal Co. 4,364 129 W.W. Grainger, Inc. 10,265 ------------- 14,629 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES--0.1% 132 American Tower Corp., Class A (b) $ 4,954 ------------- TOTAL COMMON STOCKS--99.6% (Cost $5,631,595) 5,501,717 MONEY MARKET FUND--1.2% 64,009 J.P. Morgan Institutional Treasury Money Market Fund--2.03% (c) (Cost $64,009) 64,009 ------------- TOTAL INVESTMENTS--100.8% (Cost $5,695,604) 5,565,726 NET OTHER ASSETS AND LIABILITIES--(0.8%) (41,680) ------------- NET ASSETS--100.0% $ 5,524,046 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2008. Page 78 See Notes to Financial Statements This page intentionally left blank. Page 79 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Assets and Liabilities January 31, 2008 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ASSETS: Investments at value ................................................ $ 1,718,827 $ 2,709,758 $ 5,325,705 Cash ............................................................... -- -- -- Receivables: Dividends..................................................... 458 3,149 146 Interest....................................................... 176 148 176 From investment advisor....................................... 11,834 9,195 9,608 ------------- ------------- ------------- Total Assets............................................... 1,731,295 2,722,250 5,335,635 ------------- ------------- ------------- LIABILITIES: Due to Custodian.................................................... 53 103 217 Payables: Investment securities purchased ............................... 13,634 -- -- Investment advisory fees ...................................... 666 1,150 2,303 Licensing fees................................................. 1,067 1,711 2,983 Accrued expenses and other liabilities .............................. 62,016 60,220 58,959 ------------- ------------- ------------- Total Liabilities........................................... 77,436 63,184 64,462 ------------- ------------- ------------- NET ASSETS........................................................... $ 1,653,859 $ 2,659,066 $ 5,271,173 ============= ============= ============= NET ASSETS consist of: Paid-in capital ..................................................... $ 1,999,040 $ 3,021,090 $ 5,434,348 Par value ........................................................... 1,000 1,500 2,500 Accumulated net investment income (loss) ............................ (203) 3,150 (593) Accumulated net realized gain (loss) on investments ................. (138,559) (65,244) 238,764 Net unrealized appreciation (depreciation) on investments ........... (207,419) (301,430) (403,846) ------------- ------------- ------------- NET ASSETS .......................................................... $ 1,653,859 $ 2,659,066 $ 5,271,173 ============= ============= ============= NET ASSET VALUE, per share........................................... $ 16.54 $ 17.73 $ 21.08 ============= ============= ============= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)... 100,002 150,002 250,002 ------------- ------------- ------------- Investments at cost ................................................. $ 1,926,246 $ 3,011,188 $ 5,729,551 ============= ============= =============
Page 80 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ----------------- ----------------- $ 1,617,302 $ 3,910,413 $ 4,433,346 $ 3,134,792 $ 3,754,476 -- -- -- -- -- 1,615 506 805 1,472 792 159 158 151 143 158 12,500 9,920 9,706 10,312 10,250 ------------- ------------- ------------- ------------- ------------- 1,631,576 3,920,997 4,444,008 3,146,719 3,765,676 ------------- ------------- ------------- ------------- ------------- 47 151 185 117 161 -- -- -- -- -- 625 1,685 1,845 1,275 1,598 1,009 2,166 2,591 1,842 2,297 62,414 59,673 59,576 60,822 59,634 ------------- ------------- ------------- ------------- ------------- 64,095 63,675 64,197 64,056 63,690 ------------- ------------- ------------- ------------- ------------- $ 1,567,481 $ 3,857,322 $ 4,379,811 $ 3,082,663 $ 3,701,986 ============= ============= ============= ============= ============= $ 1,999,040 $ 3,946,584 $ 5,016,552 $ 3,080,728 $ 4,183,208 1,000 2,000 2,500 1,500 2,050 4,340 (6,802) 661 (348) (7,553) (123,728) (66,869) (369,496) 147,338 (135,460) (313,171) (17,591) (270,406) (146,555) (340,259) ------------- ------------- ------------- ------------- ------------- $ 1,567,481 $ 3,857,322 $ 4,379,811 $ 3,082,663 $ 3,701,986 ============= ============= ============= ============= ============= $ 15.67 $ 19.29 $ 17.52 $ 20.55 $ 18.06 ============= ============= ============= ============= ============= 100,002 200,002 250,002 150,002 205,000 ------------- ------------- ------------- ------------- ------------- $ 1,930,473 $ 3,928,004 $ 4,703,752 $ 3,281,347 $ 4,094,735 ============= ============= ============= ============= =============
See Notes to Financial Statements Page 81 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Assets and Liabilities (Continued) January 31, 2008 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ASSETS: Investments at value ................................................. $ 1,733,218 $ 10,807,829 $ 8,009,847 Cash ................................................................. -- -- -- Receivables: Dividends....................................................... 3,586 7,216 3,464 Interest........................................................ 126 152 178 From investment advisor......................................... 9,769 13,057 13,655 ------------- ------------- ------------- Total Assets................................................. 1,746,699 10,828,254 8,027,144 ------------- ------------- ------------- LIABILITIES: Due to Custodian...................................................... 42 341 220 Payables: Investment securities purchased ................................ -- -- -- Investment advisory fees ....................................... 540 3,890 2,933 Licensing....................................................... 1,427 3,561 2,507 Accrued expenses and other liabilities ............................... 60,509 57,889 60,162 ------------- ------------- ------------- Total Liabilities............................................ 62,518 65,681 65,822 ------------- ------------- ------------- NET ASSETS............................................................ $ 1,684,181 $ 10,762,573 $ 7,961,322 ============= ============= ============= NET ASSETS consist of: Paid-in capital ...................................................... $ 1,903,870 $ 11,442,798 $ 8,805,659 Par value ............................................................ 1,000 4,000 3,000 Accumulated net investment income (loss) ............................. 1,644 4,536 1,939 Accumulated net realized gain (loss) on investments .................. (52,016) (360,007) (283,511) Net unrealized appreciation (depreciation) on investments ............ (170,317) (328,754) (565,765) ------------- ------------- ------------- NET ASSETS ........................................................... $ 1,684,181 $ 10,762,573 $ 7,961,322 ============= ============= ============= NET ASSET VALUE, per share............................................ $ 16.84 $ 26.91 $ 26.54 ============= ============= ============= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).... 100,002 400,002 300,002 ------------- ------------- ------------- Investments at cost .................................................. $ 1,903,535 $ 11,136,583 $ 8,575,612 ============= ============= =============
Page 82 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ----------------- ----------------- $ 7,630,856 $ 7,911,359 $ 11,274,330 $ 7,747,782 $ 5,565,726 30,485 -- -- -- 7,962 2,858 6,889 4,529 6,760 1,813 116 161 159 147 173 20,288 10,040 10,089 11,329 11,420 ------------- ------------- ------------- ------------- ------------- 7,684,603 7,928,449 11,289,107 7,766,018 5,587,094 ------------- ------------- ------------- ------------- ------------- -- 205 372 312 -- -- -- 55,056 -- -- 3,060 2,597 4,280 3,072 2,392 2,472 2,357 3,666 2,734 2,612 62,070 58,946 56,857 58,156 58,044 ------------- ------------- ------------- ------------- ------------- 67,602 64,105 120,231 64,274 63,048 ------------- ------------- ------------- ------------- ------------- $ 7,617,001 $ 7,864,344 $ 11,168,876 $ 7,701,744 $ 5,524,046 ============= ============= ============= ============= ============= $ 8,830,884 $ 8,636,440 $ 12,146,114 $ 8,620,321 $ 6,439,464 3,000 3,000 4,000 3,000 2,000 864 6,972 (829) 7,021 1,305 (524,073) (191,081) (725,355) (172,298) (788,845) (693,674) (590,987) (255,054) (756,300) (129,878) ------------- ------------- ------------- ------------- ------------- $ 7,617,001 $ 7,864,344 $ 11,168,876 $ 7,701,744 $ 5,524,046 ============= ============= ============= ============= ============= $ 25.39 $ 26.21 $ 27.92 $ 25.67 $ 27.62 ============= ============= ============= ============= ============= 300,002 300,002 400,002 300,002 200,002 ------------- ------------- ------------- ------------- ------------- $ 8,324,530 $ 8,502,346 $ 11,529,384 $ 8,504,082 $ 5,695,604 ============= ============= ============= ============= =============
See Notes to Financial Statements Page 83 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Operations For the Six Months Ended January 31, 2008 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- INVESTMENT INCOME: Dividends (a)......................................................... $ 10,774 $ 24,322 $ 46,456 Interest.............................................................. 507 273 328 ---------------- ---------------- ---------------- Total investment income......................................... 11,281 24,595 46,784 ---------------- ---------------- ---------------- EXPENSES: Audit and tax fees.................................................... 15,669 15,669 15,669 Legal fees............................................................ 12,602 12,602 12,602 Printing fees......................................................... 7,623 7,623 7,623 Listing fees.......................................................... 6,150 6,149 6,149 Investment advisory fees.............................................. 4,480 7,284 13,591 Accounting and administration fees.................................... 4,066 2,291 3,294 Custodian fees........................................................ 1,971 1,133 1,470 Trustees' fees and expenses........................................... 1,251 1,251 1,251 Licensing fees........................................................ 896 1,457 2,718 Registration and filing fees.......................................... 46 46 46 Transfer agent fees................................................... 45 73 136 Other expenses........................................................ 2,793 2,793 2,793 ---------------- ---------------- ---------------- Total expenses.................................................. 57,592 58,371 67,342 Less fees waived and expenses reimbursed by the investment advisor........................................ (51,320) (48,174) (48,315) ---------------- ---------------- ---------------- Net expenses.................................................... 6,272 10,197 19,027 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 5,009 14,398 27,757 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (193,479) (177,684) (95,789) In-kind redemptions............................................. 57,379 115,508 334,561 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. (136,100) (62,176) 238,772 Net change in unrealized appreciation (depreciation) on investments... (92,476) (142,842) (150,593) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) .............................. (228,576) (205,018) 88,179 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ (223,567) $ (190,620) $ 115,936 ================ ================ ================
(a) Net of foreign withholding tax of $31 for the First Trust Financials AlphaDEX(TM) Fund. Page 84 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ----------------- ----------------- $ 23,917 $ 6,820 $ 22,342 $ 18,982 $ 6,901 549 351 275 271 305 ------------------ ------------------ ------------------ ------------------ ------------------ 24,466 7,171 22,617 19,253 7,206 ------------------ ------------------ ------------------ ------------------ ------------------ 15,669 15,669 15,669 15,669 15,669 12,602 12,602 12,602 12,602 12,602 7,623 7,623 7,623 7,623 7,623 6,150 6,150 6,150 6,149 6,150 4,220 9,981 11,754 7,884 10,542 4,674 3,156 3,208 3,027 3,229 2,106 1,467 1,414 1,712 1,791 1,251 1,251 1,251 1,251 1,251 844 1,996 2,351 1,577 2,108 46 46 46 46 46 42 100 118 79 105 2,793 2,793 2,793 2,793 2,793 ------------------ ------------------ ------------------ ------------------ ------------------ 58,020 62,834 64,979 60,412 63,909 (52,111) (48,861) (48,523) (49,374) (49,150) ------------------ ------------------ ------------------ ------------------ ------------------ 5,909 13,973 16,456 11,038 14,759 ------------------ ------------------ ------------------ ------------------ ------------------ 18,557 (6,802) 6,161 8,215 (7,553) ------------------ ------------------ ------------------ ------------------ ------------------ (144,024) (230,963) (422,513) (88,860) (227,162) 23,471 189,104 87,563 241,814 105,046 ------------------ ------------------ ------------------ ------------------ ------------------ (120,553) (41,859) (334,950) 152,954 (122,116) (100,683) 7,482 (4,219) (92,513) (344,251) ------------------ ------------------ ------------------ ------------------ ------------------ (221,236) (34,377) (339,169) 60,441 (466,367) ------------------ ------------------ ------------------ ------------------ ------------------ $ (202,679) $ (41,179) $ (333,008) $ 68,656 $ (473,920) ================== ================== ================== ================== ==================
See Notes to Financial Statements Page 85 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Operations (Continued) For the Six Months Ended January 31, 2008 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- INVESTMENT INCOME: Dividends (a)........................................................ $ 38,384 $ 75,416 $ 36,646 Interest.............................................................. 199 336 434 ---------------- ---------------- ---------------- Total investment income........................................ 38,583 75,752 37,080 ---------------- ---------------- ---------------- EXPENSES: Audit and tax fees................................................... 15,669 15,669 15,669 Legal fees........................................................... 12,602 12,602 12,602 Printing fees........................................................ 7,623 7,623 7,623 Listing fees......................................................... 6,150 6,150 6,149 Investment advisory fees............................................. 5,922 19,005 14,929 Accounting and administration fees................................... 2,284 3,879 5,154 Custodian fees....................................................... 1,525 5,118 4,166 Trustees' fees and expenses.......................................... 1,251 1,251 1,251 Licensing fees....................................................... 1,184 3,801 2,986 Registration and filing fees......................................... 46 46 46 Transfer agent fees.................................................. 59 190 149 Other expenses....................................................... 2,793 2,793 2,793 ---------------- ---------------- ---------------- Total expenses................................................. 57,108 78,127 73,517 Less fees waived and expenses reimbursed by the investment advisor....................................... (48,817) (51,520) (52,616) ---------------- ---------------- ---------------- Net expenses................................................... 8,291 26,607 20,901 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 30,292 49,145 16,179 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................... (56,001) (405,435) (436,859) In-kind redemptions............................................ 4,930 60,530 169,633 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. (51,071) (344,905) (267,226) Net change in unrealized appreciation (depreciation) on investments.. 66,241 (83,958) (111,234) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ............................. 15,170 (428,863) (378,460) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 45,462 $ (379,718) $ (362,281) ================ ================ ================
(a) Net of foreign withholding tax of $16 for the First Trust Small Cap Core AlphaDEX(TM) Fund and $9 for the First Trust Multi Cap Value AlphaDEX(TM) Fund. Page 86 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund ----------------- ----------------- ----------------- ----------------- ----------------- $ 26,003 $ 69,141 $ 61,789 $ 63,112 $ 30,736 295 366 369 312 438 ----------------- ----------------- ----------------- ----------------- ----------------- 26,298 69,507 62,158 63,424 31,174 ----------------- ----------------- ----------------- ----------------- ----------------- 15,669 15,669 15,669 15,669 15,669 12,602 12,602 12,602 12,602 12,602 7,623 7,623 7,623 7,623 7,623 6,149 6,149 6,149 6,150 6,149 14,746 14,150 20,776 14,840 16,764 10,902 2,270 2,972 2,378 2,625 6,043 2,847 3,118 4,034 4,169 1,251 1,251 1,251 1,251 1,251 2,949 2,830 4,155 2,968 3,353 46 46 46 46 46 147 141 208 148 168 2,793 2,793 2,793 2,793 2,793 ----------------- ----------------- ----------------- ----------------- ----------------- 80,920 68,371 77,362 70,502 73,212 (60,275) (48,561) (48,275) (49,727) (49,743) ----------------- ----------------- ----------------- ----------------- ----------------- 20,645 19,810 29,087 20,775 23,469 ----------------- ----------------- ----------------- ----------------- ----------------- 5,653 49,697 33,071 42,649 7,705 ----------------- ----------------- ----------------- ----------------- ----------------- (691,948) (258,345) (860,327) (361,351) (816,026) 189,250 72,602 134,971 197,622 53,742 ----------------- ----------------- ----------------- ----------------- ----------------- (502,698) (185,743) (725,356) (163,729) (762,284) (157,837) (59,473) (22,709) (422,051) 434,581 ----------------- ----------------- ----------------- ----------------- ----------------- (660,535) (245,216) (748,065) (585,780) (327,703) ----------------- ----------------- ----------------- ----------------- ----------------- $ (654,882) $ (195,519) $ (714,994) $ (543,131) $ (319,998) ================= ================= ================= ================= =================
See Notes to Financial Statements Page 87 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Changes in Net Assets
First Trust First Trust Consumer Consumer Discretionary Staples AlphaDEX(TM) Fund AlphaDEX(TM) Fund -------------------------------------- -------------------------------------- For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)................. $ 5,009 $ 188 $ 14,398 $ 5,552 Net realized gain (loss) .................... (136,100) (2,459) (62,176) 17,598 Net change in unrealized appreciation (depreciation) (92,476) (114,943) (142,842) (158,588) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations................. (223,567) (117,214) (190,620) (135,438) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................ (5,400) -- (16,800) -- Net realized gain............................ -- -- -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders.......... (5,400) -- (16,800) -- ------------ ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.................... 953,918 2,000,040 1,985,991 4,005,824 Value of shares repurchased.................. (953,918) -- (1,985,991) (1,003,900) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from shareholder transactions... -- 2,000,040 -- 3,001,924 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets........ (228,967) 1,882,826 (207,420) 2,866,486 NET ASSETS: Beginning of Period.......................... 1,882,826 -- 2,866,486 -- ------------ ------------ ------------ ------------ End of Period................................ $ 1,653,859 $ 1,882,826 $ 2,659,066 $ 2,866,486 ============ ============ ============ ============ Accumulated net investment income (loss) at end of period........................ $ (203) $ 188 $ 3,150 $ 5,552 ============ ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period...... 100,002 -- 150,002 -- Shares sold.................................. 50,000 100,002 100,000 200,002 Shares repurchased........................... (50,000) -- (100,000) (50,000) ------------ ------------ ------------ ------------ Shares outstanding, end of period............ 100,002 100,002 150,002 150,002 ============ ============ ============ ============
(a) Inception date. Page 88 See Notes to Financial Statements
First Trust First Trust First Trust Energy Financials Health Care AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund - ------------------------------------ ------------------------------------ ------------------------------------ For the For the Period For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 - ----------------- ---------------- ----------------- ---------------- ----------------- ---------------- $ 27,757 $ (174) $ 18,557 $ 6,584 $ (6,802) $ (1,425) 238,772 91,222 (120,553) (3,175) (41,859) (25,010) (150,593) (253,253) (100,683) (212,488) 7,482 (25,073) ------------ ------------ ------------ ------------ ------------ ------------ 115,936 (162,205) (202,679) (209,079) (41,179) (51,508) ------------ ------------ ------------ ------------ ------------ ------------ (28,350) -- (20,801) -- -- -- (900) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ (29,250) -- (20,801) -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ 4,483,364 6,438,163 926,276 2,000,040 4,014,681 2,000,040 (4,483,364) (1,091,471) (926,276) -- (2,064,712) -- ------------ ------------ ------------ ------------ ------------ ------------ -- 5,346,692 -- 2,000,040 1,949,969 2,000,040 ------------ ------------ ------------ ------------ ------------ ------------ 86,686 5,184,487 (223,480) 1,790,961 1,908,790 1,948,532 5,184,487 -- 1,790,961 -- 1,948,532 -- ------------ ------------ ------------ ------------ ------------ ------------ $ 5,271,173 $ 5,184,487 $ 1,567,481 $ 1,790,961 $ 3,857,322 $ 1,948,532 ============ ============ ============ ============ ============ ============ $ (593) $ -- $ 4,340 $ 6,584 $ (6,802) $ -- ============ ============ ============ ============ ============ ============ 250,002 -- 100,002 -- 100,002 -- 200,000 300,002 50,000 100,002 200,000 100,002 (200,000) (50,000) (50,000) -- (100,000) -- ------------ ------------ ------------ ------------ ------------ ------------ 250,002 250,002 100,002 100,002 200,002 100,002 ============ ============ ============ ============ ============ ============
First Trust Industrials/ Producer Durables AlphaDEX(TM) Fund - ------------------------------------ For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 - ----------------- ---------------- $ 6,161 $ (742) (334,950) (34,546) (4,219) (266,187) ------------ ------------ (333,008) (301,475) ------------ ------------ (5,500) -- -- -- ------------ ------------ (5,500) -- ------------ ------------ 1,933,032 5,019,794 (1,933,032) -- ------------ ------------ -- 5,019,794 ------------ ------------ (338,508) 4,718,319 4,718,319 -- ------------ ------------ $ 4,379,811 $ 4,718,319 ============ ============ $ 661 $ -- ============ ============ 250,002 -- 100,000 250,002 (100,000) -- ------------ ------------ 250,002 250,002 ============ ============ See Notes to Financial Statements Page 89 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Changes in Net Assets (Continued)
First Trust First Trust Materials Technology AlphaDEX(TM) Fund AlphaDEX(TM) Fund -------------------------------------- -------------------------------------- For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).................. $ 8,215 $ 2,537 $ (7,553) $ (2,303) Net realized gain (loss) ..................... 152,954 54,276 (122,116) 47,247 Net change in unrealized appreciation (depreciation) (92,513) (54,042) (344,251) 3,992 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations.................. 68,656 2,771 (473,920) 48,936 ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (11,100) -- -- -- Net realized gain............................. -- -- -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders.......... (11,100) -- -- -- ------------ ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold..................... 2,139,506 4,071,138 3,125,019 3,148,212 Value of shares repurchased................... (2,139,506) (1,048,802) (1,098,049) (1,048,212) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from shareholder transactions.............. -- 3,022,336 2,026,970 2,100,000 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets......... 57,556 3,025,107 1,553,050 2,148,936 NET ASSETS: Beginning of Period........................... 3,025,107 -- 2,148,936 -- ------------ ------------ ------------ ------------ End of Period................................. $ 3,082,663 $ 3,025,107 $ 3,701,986 $ 2,148,936 ============ ============ ============ ============ Accumulated net investment income (loss) at end of period......................... $ (348) $ 2,537 $ (7,553) $ -- ============ ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period....... 150,002 -- 105,000 -- Shares sold................................... 100,000 200,002 150,000 155,000 Shares repurchased............................ (100,000) (50,000) (50,000) (50,000) ------------ ------------ ------------ ------------ Shares outstanding, end of period............. 150,002 150,002 205,000 105,000 ============ ============ ============ ============
(a) Inception date. Page 90 See Notes to Financial Statements
First Trust First Trust First Trust Utilities Large Cap Core Mid Cap Core AlphaDEX(TM) Fund AlphaDEX(TM) Fund AlphaDEX(TM) Fund - ------------------------------------ ------------------------------------ ------------------------------------ For the For the Period For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 - ----------------- ---------------- ----------------- ---------------- ----------------- ---------------- $ 30,292 $ 11,354 $ 49,145 $ 4,291 $ 16,179 $ 1,760 (51,071) 31,163 (344,905) 108,804 (267,226) 149,817 66,241 (236,558) (83,958) (244,796) (111,234) (454,531) ------------ ------------ ------------ ------------ ------------ ------------ 45,462 (194,041) (379,718) (131,701) (362,281) (302,954) ------------ ------------ ------------ ------------ ------------ ------------ (40,002) -- (48,900) -- (16,000) -- -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ (40,002) -- (48,900) -- (16,000) -- ------------ ------------ ------------ ------------ ------------ ------------ 1,846,429 3,917,512 11,341,372 6,064,190 5,655,177 9,115,197 (2,923,921) (967,258) (3,018,540) (3,064,130) (3,031,019) (3,096,798) ------------ ------------ ------------ ------------ ------------ ------------ (1,077,492) 2,950,254 8,322,832 3,000,060 2,624,158 6,018,399 ------------ ------------ ------------ ------------ ------------ ------------ (1,072,032) 2,756,213 7,894,214 2,868,359 2,245,877 5,715,445 2,756,213 -- 2,868,359 -- 5,715,445 -- ------------ ------------ ------------ ------------ ------------ ------------ $ 1,684,181 $ 2,756,213 $ 10,762,573 $ 2,868,359 $ 7,961,322 $ 5,715,445 ============ ============ ============ ============ ============ ============ $ 1,644 $ 11,354 $ 4,536 $ 4,291 $ 1,939 $ 1,760 ============ ============ ============ ============ ============ ============ 150,002 -- 100,002 -- 200,002 -- 100,000 200,002 400,000 200,002 200,000 300,002 (150,000) (50,000) (100,000) (100,000) (100,000) (100,000) ------------ ------------ ------------ ------------ ------------ ------------ 100,002 150,002 400,002 100,002 300,002 200,002 ============ ============ ============ ============ ============ ============
First Trust Small Cap Core AlphaDEX(TM) Fund - ------------------------------------ For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 - ----------------- ---------------- $ 5,653 $ 3,211 (502,698) 143,005 (157,837) (535,837) ------------ ------------ (654,882) (389,621) ------------ ------------ (8,000) -- -- -- ------------ ------------ (8,000) -- ------------ ------------ 5,623,252 9,134,960 (3,003,800) (3,084,908) ------------ ------------ 2,619,452 6,050,052 ------------ ------------ 1,956,570 5,660,431 5,660,431 -- ------------ ------------ $ 7,617,001 $ 5,660,431 ============ ============ $ 864 $ 3,211 ============ ============ 200,002 -- 200,000 300,002 (100,000) (100,000) ------------ ------------ 300,002 200,002 ============ ============ See Notes to Financiak Statements Page 91 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Statements of Changes in Net Assets (Continued)
First Trust First Trust Large Cap Value Large Cap Growth Opportunities Opportunities AlphaDEX(TM) Fund AlphaDEX(TM) Fund ------------------------------------- ------------------------------------- For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 ---------------- ---------------- ---------------- --------------- OPERATIONS: Net investment income (loss).................. $ 49,697 $ 7,676 $ 33,071 $ (688) Net realized gain (loss) ..................... (185,743) 123,586 (725,356) 84,544 Net change in unrealized appreciation (depreciation) (59,473) (531,514) (22,709) (232,345) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations.................. (195,519) (400,252) (714,994) (148,489) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (50,401) -- (33,900) -- Net realized gain............................. -- -- -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders............. (50,401) -- (33,900) -- ------------ ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold..................... 5,364,395 9,133,000 9,224,464 9,069,027 Value of shares repurchased................... (2,923,373) (3,063,506) (3,151,252) (3,075,980) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from shareholder transactions.............. 2,441,022 6,069,494 6,073,212 5,993,047 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets......... 2,195,102 5,669,242 5,324,318 5,844,558 NET ASSETS: Beginning of Period........................... 5,669,242 -- 5,844,558 -- ------------ ------------ ------------ ------------ End of Period................................. $ 7,864,344 $ 5,669,242 $ 11,168,876 $ 5,844,558 ============ ============ ============ ============ Accumulated net investment income (loss) at end of period......................... $ 6,972 $ 7,676 $ (829) $ -- ============ ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period....... 200,002 -- 200,002 -- Shares sold................................... 200,000 300,002 300,000 300,002 Shares repurchased............................ (100,000) (100,000) (100,000) (100,000) ------------ ------------ ------------ ------------ Shares outstanding, end of period............. 300,002 200,002 400,002 200,002 ============ ============ ============ ============
(a) Inception date. Page 92 See Notes to Financial Statements First Trust First Trust Multi Cap Value Multi Cap Growth AlphaDEX(TM) Fund AlphaDEX(TM) Fund - ------------------------------------ ------------------------------------ For the For the Period For the For the Period Six Months Ended May 8, 2007 (a) Six Months Ended May 8, 2007 (a) January 31, 2008 through January 31, 2008 through (Unaudited) July 31, 2007 (Unaudited) July 31, 2007 - ----------------- ---------------- ----------------- ---------------- $ 42,649 $ 6,372 $ 7,705 $ (2,017) (163,729) 123,208 (762,284) 119,915 (422,051) (334,249) 434,581 (564,459) ------------ ------------ ------------ ------------ (543,131) (204,669) (319,998) (446,561) ------------ ------------ ------------ ------------ (42,000) -- (6,400) -- -- -- -- -- ------------ ------------ ------------ ------------ (42,000) -- (6,400) -- ------------ ------------ ------------ ------------ 10,762,281 6,057,410 3,178,098 12,375,183 (5,270,797) (3,057,350) (6,145,756) (3,110,520) ------------ ------------ ------------ ------------ 5,491,484 3,000,060 (2,967,658) 9,264,663 ------------ ------------ ------------ ------------ 4,906,353 2,795,391 (3,294,056) 8,818,102 2,795,391 -- 8,818,102 -- ------------ ------------ ------------ ------------ $ 7,701,744 $ 2,795,391 $ 5,524,046 $ 8,818,102 ============ ============ ============ ============ $ 7,021 $ 6,372 $ 1,305 $ -- ============ ============ ============ ============ 100,002 -- 300,002 -- 400,000 200,002 100,000 400,002 (200,000) (100,000) (200,000) (100,000) ------------ ------------ ------------ ------------ 300,002 100,002 200,002 300,002 ============ ============ ============ ============ See Notes to Financial Statements Page 93 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 18.83 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.05 0.00 (b)(f) Net realized and unrealized gain (loss) (2.29) (1.17) ---------- ---------- Total from investment operations (2.24) (1.17) Distributions paid to shareholders from: Net investment income (0.05) -- ---------- ---------- Net asset value, end of period $ 16.54 $ 18.83 ========== ========== TOTAL RETURN (c) (11.88)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,654 $ 1,883 Ratios to average net assets: Ratio of total expenses to average net assets 6.44%(d) 11.39%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.56%(d) 0.04%(d) Portfolio turnover rate (e) 28% 34% FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 19.11 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.10 0.04 (b) Net realized and unrealized gain (loss) (1.37) (0.93) ---------- ---------- Total from investment operations (1.27) (0.89) Distributions paid to shareholders from: Net investment income (0.11) -- ---------- ---------- Net asset value, end of period $ 17.73 $ 19.11 ========== ========== TOTAL RETURN (c) (6.68)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,659 $ 2,866 Ratios to average net assets: Ratio of total expenses to average net assets 4.02%(d) 9.34%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.99%(d) 0.98%(d) Portfolio turnover rate (e) 30% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share.
Page 94 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST ENERGY ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 20.74 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.11 (0.00)(b)(f) Net realized and unrealized gain (loss) 0.35 0.74 ---------- ---------- Total from investment operations 0.46 0.74 ---------- ---------- Distributions paid to shareholders from: Net investment income (0.12) -- Net realized gain (0.00)(f) -- ---------- ---------- Total distributions (0.12) -- ---------- ---------- Net asset value, end of period $ 21.08 $ 20.74 ========== ========== TOTAL RETURN (c) 2.16% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,271 $ 5,184 Ratios to average net assets: Ratio of total expenses to average net assets 2.48%(d) 9.49%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 1.02%(d) (0.03)%(d) Portfolio turnover rate (e) 2% 1% FIRST TRUST FINANCIALS ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 17.91 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.19 0.07(b) Net realized and unrealized gain (loss) (2.22) (2.16) ---------- ---------- Total from investment operations (2.03) (2.09) Distributions paid to shareholders from: Net investment income (0.21) -- ---------- ---------- Net asset value, end of period $ 15.67 $ 17.91 ========== ========== TOTAL RETURN (c) (11.35)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,567 $ 1,791 Ratios to average net assets: Ratio of total expenses to average net assets 6.89%(d) 11.58%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 2.20%(d) 1.46%(d) Portfolio turnover rate (e) 24% 26% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 95 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 19.48 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) (0.03) (0.01)(b) Net realized and unrealized gain (loss) (0.16) (0.51) ---------- ---------- Total from investment operations (0.19) (0.52) ---------- ---------- Net asset value, end of period $ 19.29 $ 19.48 ========== ========== TOTAL RETURN (c) (0.98)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,857 $ 1,949 Ratios to average net assets: Ratio of total expenses to average net assets 3.16%(d) 11.48%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets (0.34)%(d) (0.31)%(d) Portfolio turnover rate (e) 29% 30% FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 18.87 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.02 (0.00)(b) (f) Net realized and unrealized gain (loss) (1.35) (1.13) ---------- ---------- Total from investment operations (1.33) (1.13) Distributions paid to shareholders from: Net investment income (0.02) -- ---------- ---------- Net asset value, end of period $ 17.52 $ 18.87 ========== ========== TOTAL RETURN (c) (7.05)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,380 $ 4,718 Ratios to average net assets: Ratio of total expenses to average net assets 2.77%(d) 10.09%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.26%(d) (0.14)%(d) Portfolio turnover rate (e) 23% 24% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share.
Page 96 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST MATERIALS ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 20.17 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.05 0.02(b) Net realized and unrealized gain (loss) 0.40 0.15 ---------- ---------- Total from investment operations 0.45 0.17 Distributions paid to shareholders from: Net investment income (0.07) -- ---------- ---------- Net asset value, end of period $ 20.55 $ 20.17 ========== ========== TOTAL RETURN (c) 2.23% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,083 $ 3,025 Ratios to average net assets: Ratio of total expenses to average net assets 3.84%(d) 9.56%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.52%(d) 0.46%(d) Portfolio turnover rate (e) 10% 1% FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 20.47 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) (0.04) (0.02)(b) Net realized and unrealized gain (loss) (2.37) 0.49 ---------- ---------- Total from investment operations (2.41) 0.47 ---------- ---------- Net asset value, end of period $ 18.06 $ 20.47 ========== ========== TOTAL RETURN (c) (11.77)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,702 $ 2,149 Ratios to average net assets: Ratio of total expenses to average net assets 3.04%(d) 10.64%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets (0.36)%(d) (0.47)%(d) Portfolio turnover rate (e) 25% 6% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 97 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST UTILITIES ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 18.37 $ 20.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.74 0.09 (b) Net realized and unrealized gain (loss) (1.47) (1.72) ---------- ---------- Total from investment operations (0.73) (1.63) Distributions paid to shareholders from: Net investment income (0.80) -- ---------- ---------- Net asset value, end of period $ 16.84 $ 18.37 ========== ========== TOTAL RETURN (c) (4.31)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,684 $ 2,756 Ratios to average net assets: Ratio of total expenses to average net assets 4.86%(d) 10.12%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 2.56%(d) 2.18%(d) Portfolio turnover rate (e) 13% 1% FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 28.68 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.13 0.04 (b) Net realized and unrealized gain (loss) (1.74) (1.36) ---------- ---------- Total from investment operations (1.61) (1.32) Distributions paid to shareholders from: Net investment income (0.16) -- ---------- ---------- Net asset value, end of period $ 26.91 $ 28.68 ========== ========== TOTAL RETURN (c) (5.63)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,763 $ 2,868 Ratios to average net assets: Ratio of total expenses to average net assets 2.06%(d) 7.86%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 1.30%(d) 0.62%(d) Portfolio turnover rate (e) 31% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.
Page 98 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 28.58 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.08 0.01 (b) Net realized and unrealized gain (loss) (2.04) (1.43) ---------- ---------- Total from investment operations (1.96) (1.42) Distributions paid to shareholders from: Net investment income (0.08) -- ---------- ---------- Net asset value, end of period $ 26.54 $ 28.58 ========== ========== TOTAL RETURN (c) (6.87)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,961 $ 5,715 Ratios to average net assets: Ratio of total expenses to average net assets 2.47%(d) 5.98%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.54%(d) 0.19%(d) Portfolio turnover rate (e) 29% 1% FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 28.30 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.03 0.02 (b) Net realized and unrealized gain (loss) (2.90) (1.72) ---------- ---------- Total from investment operations (2.87) (1.70) Distributions paid to shareholders from: Net investment income (0.04) -- ---------- ---------- Net asset value, end of period $ 25.39 $ 28.30 ========== ========== TOTAL RETURN (c) (10.15)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,617 $ 5,660 Ratios to average net assets: Ratio of total expenses to average net assets 2.75%(d) 7.25%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.19%(d) 0.42%(d) Portfolio turnover rate (e) 44% 2% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 99 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 28.35 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.23 0.06 (b) Net realized and unrealized gain (loss) (2.12) (1.71) ---------- ---------- Total from investment operations (1.89) (1.65) Distributions paid to shareholders from: Net investment income (0.25) -- ---------- ---------- Net asset value, end of period $ 26.21 $ 28.35 ========== ========== TOTAL RETURN (c) (6.66)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,864 $ 5,669 Ratios to average net assets: Ratio of total expenses to average net assets 2.42%(d) 6.95%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 1.76%(d) 0.97%(d) Portfolio turnover rate (e) 26% 1% FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 29.22 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.11 (0.00)(b)(f) Net realized and unrealized gain (loss) (1.30) (0.78) ---------- ---------- Total from investment operations (1.19) (0.78) Distributions paid to shareholders from: Net investment income (0.11) -- ---------- ---------- Net asset value, end of period $ 27.92 $ 29.22 ========== ========== TOTAL RETURN (c) (4.10)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 11,169 $ 5,845 Ratios to average net assets: Ratio of total expenses to average net assets 1.87%(d) 5.98%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.80%(d) (0.07)%(d) Portfolio turnover rate (e) 47% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share.
Page 100 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND Financial Highlights For a share outstanding throughout the period FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND
For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 27.95 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.10 0.06 (b) Net realized and unrealized gain (loss) (2.24) (2.11) ---------- ---------- Total from investment operations (2.14) (2.05) Distributions paid to shareholders from: Net investment income (0.14) -- ---------- ---------- Net asset value, end of period $ 25.67 $ 27.95 ========== ========== TOTAL RETURN (c) (7.66)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,702 $ 2,795 Ratios to average net assets: Ratio of total expenses to average net assets 2.38%(d) 7.91%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 1.44%(d) 0.93%(d) Portfolio turnover rate (e) 3% 2% FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND For the For the Period Six Months Ended May 8, 2007 (a) January 31, 2008 through (Unaudited) July 31, 2007 ------------------- ------------------- Net asset value, beginning of period $ 29.39 $ 30.00 ---------- ---------- Income from investment operations: Net investment income (loss) 0.04 (0.01)(b) Net realized and unrealized gain (loss) (1.78) (0.60) ---------- ---------- Total from investment operations (1.74) (0.61) Distributions paid to shareholders from: Net investment income (0.03) -- ---------- ---------- Net asset value, end of period $ 27.62 $ 29.39 ========== ========== TOTAL RETURN (c) (5.92)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,524 $ 8,818 Ratios to average net assets: Ratio of total expenses to average net assets 2.19%(d) 6.01%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70%(d) Ratio of net investment income (loss) to average net assets 0.23%(d) (0.21)%(d) Portfolio turnover rate (e) 38% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 101 - ------------------------------------------------------------------------------- Notes to Financial Statements - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of sixteen funds: First Trust Consumer Discretionary AlphaDEX(TM) Fund - (AMEX ticker "FXD") First Trust Consumer Staples AlphaDEX(TM) Fund - (AMEX ticker "FXG") First Trust Energy AlphaDEX(TM) Fund - (AMEX ticker "FXN") First Trust Financials AlphaDEX(TM) Fund - (AMEX ticker "FXO") First Trust Health Care AlphaDEX(TM) Fund - (AMEX ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(TM) Fund - (AMEX ticker "FXR") First Trust Materials AlphaDEX(TM) Fund - (AMEX ticker "FXZ") First Trust Technology AlphaDEX(TM) Fund - (AMEX ticker "FXL") First Trust Utilities AlphaDEX(TM) Fund - (AMEX ticker "FXU") First Trust Large Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FEX") First Trust Mid Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FNX") First Trust Small Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund - (AMEX ticker "FTA") First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund - (AMEX ticker "FTC") First Trust Multi Cap Value AlphaDEX(TM) Fund - (AMEX ticker "FAB") First Trust Multi Cap Growth AlphaDEX(TM) Fund - (AMEX ticker "FAD") Each fund represents a separate series of beneficial interest in the Trust (individually, each a "Fund" and collectively, the "Funds"). Each Fund's shares are listed and traded on the American Stock Exchange ("AMEX"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of shares called a "Creation Unit". Each Creation Unit consists of 50,000 shares for the First Trust Consumer Discretionary AlphaDEX(TM) Fund, the First Trust Consumer Staples AlphaDEX(TM) Fund, the First Trust Energy AlphaDEX(TM) Fund, the First Trust Financials AlphaDEX(TM) Fund, the First Trust Health Care AlphaDEX(TM) Fund, the First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, the First Trust Materials AlphaDEX(TM) Fund, the First Trust Technology AlphaDEX(TM) Fund, and the First Trust Utilities AlphaDEX(TM) Fund and 100,000 shares for the First Trust Large Cap Core AlphaDEX(TM) Fund, the First Trust Mid Cap Core AlphaDEX(TM) Fund, the First Trust Small Cap Core AlphaDEX(TM) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund, the First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, the First Trust Multi Cap Value AlphaDEX(TM) Fund, and the First Trust Multi Cap Growth AlphaDEX(TM) Fund. Creation Units are issued and redeemed principally in-kind for securities included in the relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(TM) Fund StrataQuantTM Consumer Discretionary Index First Trust Consumer Staples AlphaDEX(TM) Fund StrataQuantTM Consumer Staples Index First Trust Energy AlphaDEX(TM) Fund StrataQuantTM Energy Index First Trust Financials AlphaDEX(TM) Fund StrataQuantTM Financials Index First Trust Health Care AlphaDEX(TM) Fund StrataQuantTM Health Care Index First Trust Industrials/Producer Durables AlphaDEX(TM) Fund StrataQuantTM Industrials Index First Trust Materials AlphaDEX(TM) Fund StrataQuantTM Materials Index First Trust Technology AlphaDEX(TM) Fund StrataQuantTM Technology Index First Trust Utilities AlphaDEX(TM) Fund StrataQuantTM Utilities Index First Trust Large Cap Core AlphaDEX(TM) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(TM) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(TM) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(TM) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(TM) Fund Defined Multi Cap Growth Index
2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Page 102 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) A. PORTFOLIO VALUATION The NAV of each Fund's shares 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 computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust's Board of Trustees. Portfolio securities listed on any exchange other than The NASDAQ Stock Market, Inc. ("NASDAQ(R)") 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 asked prices on such day. Securities traded on the NASDAQ(R) are valued at the NASDAQ(R) Official Closing Price as determined by NASDAQ(R). Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ(R), are valued at the closing bid prices. Short-term investments that mature in less than 60 days are valued at amortized cost. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. The Funds may hold publicly-traded master limited partnerships ("MLPs"). Distributions from such investments may include a return of capital component from the MLP to the extent of the cost basis of such MLP investments. Cumulative distributions received in excess of the Fund's cost basis in an MLP generally are recorded as dividend income. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds. As of July 31, 2007, the components of distributable earnings on a tax basis for the Funds were as follows:
Undistributed Accumulated Net Unrealized Ordinary Capital Appreciation Income Gain (Loss) (Depreciation) --------------- --------------- ---------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 188 $ (2,058) $ (115,344) First Trust Consumer Staples AlphaDEX(TM) Fund 5,552 (3,068) (158,588) First Trust Energy AlphaDEX(TM) Fund 892 -- (253,253) First Trust Financials AlphaDEX(TM) Fund 6,584 (2,757) (212,906) First Trust Health Care AlphaDEX(TM) Fund -- (18,355) (31,728) First Trust Industrials/Producer Durables AlphaDEX(TM) Fund -- (23,631) (277,102) First Trust Materials AlphaDEX(TM) Fund 2,537 (4,424) (55,234) First Trust Technology AlphaDEX(TM) Fund -- (12,398) 3,046 First Trust Utilities AlphaDEX(TM) Fund 11,354 (945) (236,558) First Trust Large Cap Core AlphaDEX(TM) Fund 4,291 (15,102) (244,796) First Trust Mid Cap Core AlphaDEX(TM) Fund 1,760 (7,911) (462,906) First Trust Small Cap Core AlphaDEX(TM) Fund 3,211 (14,770) (542,442) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 7,676 (1,854) (534,998) First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -- -- (232,345) First Trust Multi Cap Value AlphaDEX(TM) Fund 6,372 (8,569) (334,249) First Trust Multi Cap Growth AlphaDEX(TM) Fund -- (26,562) (564,459)
D. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. In June 2006, Financial Accounting Page 103 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) Standards Board ("FASB") Interpretation No. 48, "Accounting for Uncertainty in Income Taxes," an Interpretation of FASB Statement 109 ("FIN 48") was issued and is effective for fiscal years beginning after December 15, 2006. This interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. As of January 31, 2008, management has evaluated the application of FIN 48 to each Fund, and has determined that there is no material impact resulting from the adoption of this interpretation on the Funds' financial statements. At July 31, 2007 for federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains through the year indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains to offset will not be distributed to shareholders. The following Funds incurred and elected to defer net capital losses as follows: Capital Loss Available through July 31, 2015 ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,058 First Trust Consumer Staples AlphaDEX(TM) Fund 3,068 First Trust Energy AlphaDEX(TM) Fund -- First Trust Financials AlphaDEX(TM) Fund 2,757 First Trust Health Care AlphaDEX(TM) Fund 18,355 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 23,631 First Trust Materials AlphaDEX(TM) Fund 4,424 First Trust Technology AlphaDEX(TM) Fund 12,398 First Trust Utilities AlphaDEX(TM) Fund 945 First Trust Large Cap Core AlphaDEX(TM) Fund 15,102 First Trust Mid Cap Core AlphaDEX(TM) Fund 7,911 First Trust Small Cap Core AlphaDEX(TM) Fund 14,770 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 1,854 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -- First Trust Multi Cap Value AlphaDEX(TM) Fund 8,569 First Trust Multi Cap Growth AlphaDEX(TM) Fund 26,562 E. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the average net assets of each Fund. First Trust Portfolios L.P. ("First Trust Portfolios") has entered into licensing agreements with each of the following "Licensors" for the respective Funds:
FUNDS LICENSOR First Trust Consumer Discretionary AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Consumer Staples AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Energy AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Financials AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Health Care AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Industrials/Producer Durables AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Materials AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Technology AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Utilities AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Large Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(TM) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(TM) Fund Standard & Poor's
The Funds are entitled to use each index and corresponding trademarks and trade names pursuant to sublicensing arrangements by and among the Trust on behalf of each Fund, the respective Licensor, First Trust Advisors L.P. ("First Trust" or the "Advisor") and First Trust Portfolios. As such, the Funds pay licensing fees, which are shown on the Statements of Operations. Page 104 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) F. ACCOUNTING PRONOUNCEMENT In September 2006, Statement of Financial Accounting Standards No. 157 Fair Value Measurements ("SFAS 157") was issued by the FASB and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. At this time, management is evaluating the implications of SFAS 157 and its impact on the Funds' financial statements, if any, has not been determined. 3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS First Trust is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in the Funds' portfolios and certain other services necessary for the management of the Funds. For these services, First Trust will receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets. The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse the Funds to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). Each Fund's Expense Cap will be in effect for at least two years from its inception date. Expenses borne by the Advisor are subject to reimbursement by the Funds up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it would result in the Fund exceeding its Expense Cap. For the six months ended January 31, 2008, the advisory fee waivers and reimbursements of expenses (in order to maintain the Expense Caps) were as follows:
Advisory Fee Expense Waivers Reimbursements ---------------- ---------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 4,480 $ 46,840 First Trust Consumer Staples AlphaDEX(TM) Fund 7,284 40,890 First Trust Energy AlphaDEX(TM) Fund 13,591 34,724 First Trust Financials AlphaDEX(TM) Fund 4,220 47,891 First Trust Health Care AlphaDEX(TM) Fund 9,981 38,880 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 11,754 36,769 First Trust Materials AlphaDEX(TM) Fund 7,884 41,490 First Trust Technology AlphaDEX(TM) Fund 10,542 38,608 First Trust Utilities AlphaDEX(TM) Fund 5,922 42,895 First Trust Large Cap Core AlphaDEX(TM) Fund 19,005 32,515 First Trust Mid Cap Core AlphaDEX(TM) Fund 14,929 37,687 First Trust Small Cap Core AlphaDEX(TM) Fund 14,746 45,529 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 14,150 34,411 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 20,776 27,499 First Trust Multi Cap Value AlphaDEX(TM) Fund 14,840 34,887 First Trust Multi Cap Growth AlphaDEX(TM) Fund 16,764 32,979
The Trust has multiple service agreements with the Bank of New York ("BNY"). Under the servicing agreements, BNY will perform custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNY is responsible for custody of the Trust's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNY is responsible for performing transfer agency services for the Trust. The Bank of New York is a subsidiary of the Bank of New York Mellon Corporation, a financial holding company. The Trust, on behalf of the Funds, has entered into an agreement with PFPC, Inc. ("PFPC"), whereby PFPC will provide certain administrative services to the Trust and the Funds in connection with the Board's meetings and other related matters. Page 105 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each subsequent trust added to the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with board or committee meetings. Additionally, the Lead Independent Trustee is paid $10,000 annually and the Audit Committee Chairman is paid $5,000 annually, with such compensation paid by the trusts in the First Trust Fund Complex and divided among those trusts. Trustees are also reimbursed by the trusts in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. Effective January 1, 2008, each of the chairmen of the Nominating and Governance Committee and the Valuation Committee are paid $2,500 annually to serve in such capacities with such compensation paid by the trusts in the First Trust Fund Complex and divided among those trusts. Also effective January 1, 2008, the Lead Independent Trustee and each committee chairman will serve two year terms. 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2008, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 501,462 $ 839,891 First Trust Consumer Staples AlphaDEX(TM) Fund 882,450 1,540,472 First Trust Energy AlphaDEX(TM) Fund 85,923 997,050 First Trust Financials AlphaDEX(TM) Fund 412,612 573,917 First Trust Health Care AlphaDEX(TM) Fund 1,074,576 1,431,358 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 1,101,687 2,009,140 First Trust Materials AlphaDEX(TM) Fund 306,878 753,340 First Trust Technology AlphaDEX(TM) Fund 992,595 1,230,557 First Trust Utilities AlphaDEX(TM) Fund 305,812 562,915 First Trust Large Cap Core AlphaDEX(TM) Fund 2,392,511 4,704,010 First Trust Mid Cap Core AlphaDEX(TM) Fund 1,785,520 2,114,130 First Trust Small Cap Core AlphaDEX(TM) Fund 2,603,276 3,032,166 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 1,517,194 2,134,913 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 3,796,572 5,190,979 First Trust Multi Cap Value AlphaDEX(TM) Fund 194,066 1,516,377 First Trust Multi Cap Growth AlphaDEX(TM) Fund 2,602,535 4,129,005
For the six months ended January 31, 2008, the cost of in-kind purchases and proceeds from in-kind sales were as follows:
Purchases Sales ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 947,521 $ 635,182 First Trust Consumer Staples AlphaDEX(TM) Fund 1,986,260 1,352,937 First Trust Energy AlphaDEX(TM) Fund 3,656,894 2,778,319 First Trust Financials AlphaDEX(TM) Fund 922,861 788,800 First Trust Health Care AlphaDEX(TM) Fund 4,005,228 1,668,366 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 1,935,269 1,036,951 First Trust Materials AlphaDEX(TM) Fund 2,043,339 1,618,483 First Trust Technology AlphaDEX(TM) Fund 3,133,325 898,293 First Trust Utilities AlphaDEX(TM) Fund 1,846,295 2,694,193 First Trust Large Cap Core AlphaDEX(TM) Fund 11,341,723 754,639 First Trust Mid Cap Core AlphaDEX(TM) Fund 5,671,402 2,681,120 First Trust Small Cap Core AlphaDEX(TM) Fund 5,644,133 2,615,995 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 5,387,230 2,344,758 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 9,222,168 1,765,213 First Trust Multi Cap Value AlphaDEX(TM) Fund 10,637,387 3,828,749 First Trust Multi Cap Growth AlphaDEX(TM) Fund 3,181,213 4,610,116
Gains on in-kind transactions are not considered taxable for federal income tax purposes. Page 106 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) As of January 31, 2008, the costs of investments for federal income tax purposes and accumulated net unrealized appreciation (depreciation) on investments were as follows:
Net Unrealized Gross Gross Appreciation Unrealized Unrealized Cost (Depreciation) Appreciation (Depreciation) ______________ ______________ ______________ ______________ First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 1,926,246 $ (207,419) $ 45,041 $ (252,460) First Trust Consumer Staples AlphaDEX(TM) Fund 3,011,188 (301,430) 12,734 (314,164) First Trust Energy AlphaDEX(TM) Fund 5,729,551 (403,846) 105,994 (509,840) First Trust Financials AlphaDEX(TM) Fund 1,930,473 (313,171) 20,008 (333,179) First Trust Health Care AlphaDEX(TM) Fund 3,928,004 (17,591) 188,245 (205,836) First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 4,703,752 (270,406) 112,026 (382,432) First Trust Materials AlphaDEX(TM) Fund 3,281,347 (146,555) 124,418 (270,973) First Trust Technology AlphaDEX(TM) Fund 4,094,735 (340,259) 113,450 (453,709) First Trust Utilities AlphaDEX(TM) Fund 1,903,535 (170,317) 624 (170,941) First Trust Large Cap Core AlphaDEX(TM) Fund 11,136,583 (328,754) 283,955 (612,709) First Trust Mid Cap Core AlphaDEX(TM) Fund 8,575,612 (565,765) 197,485 (763,250) First Trust Small Cap Core AlphaDEX(TM) Fund 8,324,530 (693,674) 205,050 (898,724) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 8,502,346 (590,987) 163,965 (754,952) First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 11,529,384 (255,054) 261,124 (516,178) First Trust Multi Cap Value AlphaDEX(TM) Fund 8,504,082 (756,300) 166,534 (922,834) First Trust Multi Cap Growth AlphaDEX(TM) Fund 5,695,604 (129,878) 215,242 (345,120)
5. CAPITAL Shares are created and redeemed by the Funds only in Creation Unit size aggregations of 50,000 or 100,000 shares, as determined by each Fund. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per Share of each Fund times the number of Shares in a Creation Unit on the transaction date. Purchasers of Creation Units must pay a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee 1-100 $500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund times the number of Shares in a Creation Unit on the transaction date plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below: Page 107 - ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) Number of Securities Redemption in a Creation Unit Transaction Fee 1-100 $500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. The Funds reserve the right to effect redemptions in cash. A shareholder may request a cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios the distributor, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. First Trust Portfolios may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before April 30, 2008. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. Page 108 - ------------------------------------------------------------------------------- Additional Information - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the Funds voted proxies relating to portfolio securities during the period ended June 30, 2007 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. PRIVACY POLICY The open-end and closed-end funds advised by First Trust Advisors L.P. (each a "Fund") consider your privacy an important priority in maintaining our relationship. We are committed to protecting the security and confidentiality of your personal information. Sources of Information We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. Information Collected The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. Disclosure of Information We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. The permitted uses include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. Please note, however, that the California Financial Information Privacy Act contains an "opt out" mechanism that California consumers may use to prevent us from sharing nonpublic personal information with affiliates. Page 109 - ------------------------------------------------------------------------------- Additional Information (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) Confidentiality and Security With regard to our internal security procedures, the Fund restricts access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. Policy Updates and Inquiries As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please contact us at (800) 621-1675. Page 110 - ------------------------------------------------------------------------------- Risk Considerations - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) You should consider each Fund's investment objective, risks, and charges and expenses carefully before investing. You can download each Fund's prospectus at http://www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the particular Fund. Read it carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded AlphaDEX(TM) Fund. RISK CONSIDERATIONS Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of shares called creation units can be purchased from, or redeemed to, the Fund. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of it's corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, the each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index. Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry or sector if the Fund's corresponding index is concentrated in an individual industry or sector. You should be aware that an investment in a portfolio that is concentrated in an individual industry or sector involves additional risk, including limited diversification. Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of its assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which it invests. The First Trust Consumer Discretionary AlphaDEX(TM) Fund, the First Trust Consumer Staples AlphaDEX(TM) Fund, the First Trust Energy AlphaDEX(TM) Fund, the First Trust Financials AlphaDEX(TM) Fund, the First Trust Health Care AlphaDEX(TM) Fund, the First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, the First Trust Materials AlphaDEX(TM) Fund, the First Trust Technology AlphaDEX(TM) Fund, the First Trust Utilities AlphaDEX(TM) Fund, the First Trust Multi Cap Value AlphaDEX(TM) Fund and the First Trust Multi Cap Growth AlphaDEX(TM) Fund may invest in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies. Page 111 - ------------------------------------------------------------------------------- Risk Considerations (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) The First Trust Mid Cap Core AlphaDEX(TM) Fund invests in mid-cap companies and is subject to additional risks because such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies. The First Trust Small Cap Core AlphaDEX(TM) Fund invests in small-cap companies and is subject to additional risks, as the share prices of small-cap companies are often more volatile than those of larger companies. The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund and the First Trust Multi Cap Value AlphaDEX(TM) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund the First Trust Multi Cap Growth AlphaDEX(TM) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. The First Trust Consumer Discretionary AlphaDEX(TM) Fund invests in the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(TM) Fund invests in the securities of companies in the consumer staples sector. Because companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits, these companies may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of foods and soft drinks may be strongly affected by fads, marketing campaigns and other factors affecting supply and demand. The First Trust Energy AlphaDEX(TM) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand as a result of increases in energy efficiency and energy conservation, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, declines in U.S. and Russian crude oil production will likely lead to a greater world dependence on oil from OPEC nations, which may result in more volatile oil prices. The First Trust Financials AlphaDEX(TM) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. Although the barriers which separated the banking, insurance and securities industries were eliminated by legislation, these industries are still extensively regulated at both the federal and state level and may be adversely affected by increased regulations. The First Trust Health Care AlphaDEX(TM) Fund invests in the securities of companies in the health care sector. Because companies in the health care sector are involved in medical services or health care including biotechnology research and production, drugs and pharmaceuticals, and health care facilities and Page 112 - ------------------------------------------------------------------------------- Risk Considerations (Continued) - ------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(TM) Fund January 31, 2008 (Unaudited) services, general problems of these companies include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. The First Trust Materials AlphaDEX(TM) Fund invests in the securities of companies in the materials sector. Because companies in the materials sector are involved in the extracting or processing of raw materials, general risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(TM) Fund invests in the securities of companies in the technology sector. Because companies in the technology sector serve the electronics and computer industries or manufacture products based on the latest applied science, general risks of these companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Technology company stocks, particularly those involved with the Internet, have experienced extreme price and volume fluctuations that often have been unrelated to their operating performance. Also, the stocks of many technology companies have exceptionally high price-to-earning ratios with little or no earnings histories. The First Trust Utilities AlphaDEX(TM) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 113 - -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND - -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 1001 Warrenville Road Lisle, IL 60532 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York 101 Barclay Street New York, NY 10286 BOARD ADMINISTRATOR PFPC, Inc. 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 - -------------------------------------------------------------------------------- Back Cover ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 6. SCHEDULE OF INVESTMENTS. Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(TM) Fund By: /s/ James A. Bowen ----------------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 20, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen ----------------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 20, 2008 By: /s/ Mark R. Bradley ----------------------------------------------------- Name: Mark R. Bradley Title: Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer Date: March 20, 2008 EX-99.CERT 2 certs_302.txt SECTION 302 CERTIFICATIONS EXHIBIT(A)(2) Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(TM) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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 report (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 second fiscal quarter of the period covered by this report 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: March 20, 2008 /s/ James A. Bowen ------------------------------------- James A. Bowen, Chairman of the Board, 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, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(TM) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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 second fiscal quarter of the period covered by this report 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: March 20, 2008 /s/ Mark R. Bradley --------------------------------------- Mark R. Bradley Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 3 certs_906.txt SECTION 906 CERTIFICATIONS EXHIBIT (B) Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act I, James A. Bowen, Chairman of the Board, President and Chief Executive Officer of First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: March 20, 2008 /s/ James A. Bowen ------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) I, Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: March 20, 2008 /s/ Mark R. Bradley ------------------------------------- Mark R. Bradley Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----