N-Q 1 adex_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22019 ------------------- First Trust Exchange-Traded AlphaDEX(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, IL 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: April 30, 2008 -------------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- COMMON STOCKS--100.1% CHEMICALS--0.2% 86 International Flavors & Fragrances, Inc. $ 3,922 ------------- COMMERCIAL SERVICES & SUPPLIES--7.8% 1,407 Allied Waste Industries, Inc. (b) 17,391 283 Brink's (The) Co. 20,587 319 ChoicePoint, Inc. (b) 15,424 400 Cintas Corp. 11,844 294 Copart, Inc. (b) 12,016 414 Corrections Corp. of America (b) 10,557 270 Manpower, Inc. 18,124 130 Republic Services, Inc. 4,133 295 Robert Half International, Inc. 6,992 227 Waste Management, Inc. 8,195 ------------- 125,263 ------------- DIVERSIFIED CONSUMER SERVICES--1.2% 750 Service Corp. International 8,333 246 Weight Watchers International, Inc. 11,281 ------------- 19,614 ------------- DIVERSIFIED FINANCIAL SERVICES--1.2% 1,208 Liberty Media Holdings Capital, Series A (b) 18,567 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.0% 210 Dolby Laboratories, Inc., Class A (b) 8,431 232 Tech Data Corp. (b) 7,798 ------------- 16,229 ------------- FOOD & STAPLES RETAILING--2.9% 107 BJ's Wholesale Club, Inc. (b) 4,079 293 Costco Wholesale Corp. 20,876 361 Wal-Mart Stores, Inc. 20,931 ------------- 45,886 ------------- HOTELS, RESTAURANTS & LEISURE--11.7% 550 Burger King Holdings, Inc. 15,345 376 Carnival Corp. 15,104 523 Cheesecake Factory (The), Inc. (b) 11,835 334 Choice Hotels International, Inc. 11,520 350 Darden Restaurants, Inc. 12,453 95 International Game Technology 3,300 92 International Speedway Corp., Class A 3,903 111 Marriott International, Inc., Class A 3,807 205 McDonald's Corp. 12,214 454 Panera Bread Co., Class A (b) 23,727 578 Royal Caribbean Cruises Ltd. 18,438 73 Starwood Hotels & Resorts Worldwide, Inc. 3,811 335 Tim Hortons, Inc. 11,507 919 Wyndham Worldwide Corp. 19,740 38 Wynn Resorts Ltd. 4,003 See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 409 Yum! Brands, Inc. $ 16,638 ------------- 187,345 ------------- HOUSEHOLD DURABLES--5.6% 230 Black & Decker (The) Corp. 15,095 350 Jarden Corp. (b) 7,462 249 Leggett & Platt, Inc. 4,133 265 Mohawk Industries, Inc. (b) 20,190 332 Newell Rubbermaid, Inc. 6,816 150 Snap-on, Inc. 8,897 240 Stanley Works (The) 11,578 219 Whirlpool Corp. 15,939 ------------- 90,110 ------------- HOUSEHOLD PRODUCTS--0.5% 118 Kimberly-Clark Corp. 7,551 ------------- INTERNET & CATALOG RETAIL--1.3% 107 Amazon.com, Inc. (b) 8,414 174 Expedia, Inc. (b) 4,395 471 Liberty Media Corp.-Interactive, Class A (b) 7,126 ------------- 19,935 ------------- INTERNET SOFTWARE & SERVICES--1.2% 127 eBay, Inc. (b) 3,974 114 VeriSign, Inc. (b) 4,110 394 Yahoo!, Inc. (b) 10,799 ------------- 18,883 ------------- IT SERVICES--3.7% 432 Accenture Ltd., Class A 16,222 1,262 Convergys Corp. (b) 19,838 478 Hewitt Associates, Inc., Class A (b) 19,598 144 Iron Mountain, Inc. (b) 3,956 ------------- 59,614 ------------- LEISURE EQUIPMENT & PRODUCTS--2.7% 430 Eastman Kodak Co. 7,693 681 Hasbro, Inc. 24,216 573 Mattel, Inc. 10,744 ------------- 42,653 ------------- MEDIA--19.0% 517 CBS Corp., Class B 11,927 45 Central European Media Enterprises Ltd., Class A (b) 4,771 260 Clear Channel Communications, Inc. 7,839 411 CTC Media, Inc. (b) 10,633 767 DIRECTV Group (The), Inc. (b) 18,898 442 DreamWorks Animation SKG, Inc., Class A (b) 12,358 See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 654 Gannett Co., Inc. $ 18,716 475 Getty Images, Inc. (b) 15,509 1,112 Harte-Hanks, Inc. 15,190 184 Hearst-Argyle Television, Inc. 3,812 4,178 Idearc, Inc. 13,787 452 Interpublic Group of Cos., Inc. (b) 4,091 383 John Wiley & Sons, Inc., Class A 17,637 335 Liberty Global, Inc., Class A (b) 11,856 403 New York Times (The) Co., Class A 7,859 203 News Corp., Class A 3,634 258 Omnicom Group, Inc. 12,317 3,005 R.H. Donnelley Corp. (b) 14,394 591 Regal Entertainment Group, Class A 11,205 2,659 Sirius Satellite Radio, Inc. (b) 6,834 609 Time Warner Cable, Inc., Class A (b) 20,136 1,356 Time Warner, Inc. 17,052 288 Viacom, Inc., Class B (b) 11,071 1,081 Virgin Media, Inc. 13,945 242 Walt Disney (The) Co. 7,848 11 Washington Post (The) Co., Class B 7,212 327 XM Satellite Radio Holdings, Inc., Class A (b) 3,646 ------------- 304,177 ------------- MULTILINE RETAIL--5.5% 341 Big Lots, Inc. (b) 9,217 1,105 Dillard's, Inc., Class A 22,542 276 Dollar Tree, Inc. (b) 8,722 195 Family Dollar Stores, Inc. 4,173 824 Macy's, Inc. 20,839 305 Saks, Inc. (b) 3,968 112 Sears Holdings Corp. (b) 11,044 150 Target Corp. 7,970 ------------- 88,475 ------------- PERSONAL PRODUCTS--3.2% 693 Alberto-Culver Co. 17,442 385 Avon Products, Inc. 15,023 162 Bare Escentuals, Inc. (b) 3,695 332 Estee Lauder (The) Cos., Inc., Class A 15,143 ------------- 51,303 ------------- ROAD & RAIL--2.0% 1,432 Avis Budget Group, Inc. (b) 19,017 946 Hertz Global Holdings, Inc. (b) 12,166 ------------- 31,183 ------------- SOFTWARE--1.2% 696 Activision, Inc. (b) 18,827 ------------- SPECIALTY RETAIL--21.2% 156 Abercrombie & Fitch Co., Class A 11,592 See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 223 Advance Auto Parts, Inc. $ 7,734 786 AnnTaylor Stores Corp. (b) 19,885 1,016 AutoNation, Inc. (b) 16,266 67 AutoZone, Inc. (b) 8,090 496 Barnes & Noble, Inc. 16,011 258 Bed Bath & Beyond, Inc. (b) 8,385 275 Best Buy Co., Inc. 11,831 783 CarMax, Inc. (b) 16,247 568 Dick's Sporting Goods, Inc. (b) 16,245 1,292 Foot Locker, Inc. 16,344 294 GameStop Corp., Class A (b) 16,182 193 Gap (The), Inc. 3,594 376 Guess?, Inc. 14,393 408 Home Depot (The), Inc. 11,750 222 Limited Brands, Inc. 4,111 166 Lowe's Cos., Inc. 4,182 993 OfficeMax, Inc. 18,142 133 O'Reilly Automotive, Inc. (b) 3,840 391 Penske Automotive Group, Inc. 8,184 1,170 RadioShack Corp. 16,263 634 Ross Stores, Inc. 21,232 516 Staples, Inc. 11,197 91 Tiffany & Co. 3,962 575 TJX (The) Cos., Inc. 18,527 385 Tractor Supply Co. (b) 13,691 606 Urban Outfitters, Inc. (b) 20,755 ------------- 338,635 ------------- TEXTILES, APPAREL & LUXURY GOODS--4.4% 521 Hanesbrands, Inc. (b) 18,245 850 Jones Apparel Group, Inc. 13,456 280 NIKE, Inc., Class B 18,705 201 Phillips-Van Heusen Corp. 8,484 65 Polo Ralph Lauren Corp. 4,037 98 VF Corp. 7,289 ------------- 70,216 ------------- TRADING COMPANIES & DISTRIBUTORS--2.6% 414 Fastenal Co. 20,207 270 MSC Industrial Direct Co., Inc., Class A 13,165 208 WESCO International, Inc. (b) 7,740 ------------- 41,112 ------------- TOTAL COMMON STOCKS--100.1% (Cost $1,771,487) 1,599,500 ------------- MONEY MARKET FUNDS--4.2% 25,000 Federated Treasury Obligation--1.56% (c) 25,000 41,912 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) 41,912 ------------- See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------- -------------- TOTAL MONEY MARKET FUNDS (Cost $66,912) $ 66,912 ------------- TOTAL INVESTMENTS--104.3% (Cost $1,838,399) (d) 1,666,412 NET OTHER ASSETS AND LIABILITIES--(4.3%) (68,597) ------------- NET ASSETS--100.0% $ 1,597,815 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $79,174 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $251,161. See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- COMMON STOCKS--100.0% BEVERAGES--23.7% 393 Brown-Forman Corp., Class B $ 26,732 2,493 Coca-Cola (The) Co. 146,762 2,150 Coca-Cola Enterprises, Inc. 48,375 5,152 Constellation Brands, Inc., Class A (b) 94,591 990 Molson Coors Brewing Co., Class B 54,292 2,685 Pepsi Bottling Group (The), Inc. 90,511 3,566 PepsiAmericas, Inc. 91,646 1,441 PepsiCo, Inc. 98,752 ------------- 651,661 ------------- FOOD & STAPLES RETAILING--20.0% 4,096 Kroger (The) Co. 111,616 17,695 Rite Aid Corp. (b) 47,777 3,545 Safeway, Inc. 112,022 5,061 SUPERVALU, Inc. 167,518 896 Sysco Corp. 27,391 2,390 Walgreen Co. 83,292 ------------- 549,616 ------------- FOOD PRODUCTS--31.7% 766 Campbell Soup Co. 26,657 1,086 ConAgra Foods, Inc. 25,586 5,459 Del Monte Foods Co. 49,240 1,738 General Mills, Inc. 104,975 2,215 H.J. Heinz Co. 104,171 1,028 J.M. Smucker (The) Co. 51,277 1,732 Kellogg Co. 88,626 2,463 McCormick & Co., Inc. 93,077 1,010 Smithfield Foods, Inc. (b) 28,967 6,523 Tyson Foods, Inc., Class A 116,109 2,415 Wm. Wrigley Jr. Co. 183,927 ------------- 872,612 ------------- HOUSEHOLD PRODUCTS--11.0% 2,797 Church & Dwight Co., Inc. 158,925 1,335 Colgate-Palmolive Co. 94,385 742 Procter & Gamble (The) Co. 49,751 ------------- 303,061 ------------- PERSONAL PRODUCTS--5.1% 3,194 Herbalife Ltd. 139,833 ------------- TOBACCO--8.5% 6,835 Altria Group, Inc. 136,701 717 Loews Corp. - Carolina Group 47,085 441 Reynolds American, Inc. 23,748 477 UST, Inc. 24,837 ------------- 232,371 ------------- See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- --------------------------------------------------- -------------- TOTAL COMMON STOCKS--100.0% (Cost $2,823,054) $ 2,749,154 MONEY MARKET FUND--2.4% 64,722 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $64,722) 64,722 ------------- TOTAL INVESTMENTS--102.4% (Cost $2,887,776) (d) 2,813,876 NET OTHER ASSETS AND LIABILITIES--(2.4%) (65,619) ------------- NET ASSETS--100.0% $ 2,748,257 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $91,204 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $165,104. See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST ENERGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% ENERGY EQUIPMENT & SERVICES--41.5% 2,198 BJ Services Co. $ 62,137 1,003 Cameron International Corp. (b) 49,378 164 Diamond Offshore Drilling, Inc. 20,567 1,334 ENSCO International, Inc. 85,016 1,469 FMC Technologies, Inc. (b) 98,717 1,593 Halliburton Co. 73,135 2,652 Helix Energy Solutions Group, Inc. (b) 91,627 1,337 Helmerich & Payne, Inc. 71,864 1,856 Nabors Industries Ltd. (b) 69,674 328 National Oilwell Varco, Inc. (b) 22,452 852 Noble Corp. 47,951 995 Oceaneering International, Inc. (b) 66,446 3,989 Patterson-UTI Energy, Inc. 111,452 1,793 Pride International, Inc. (b) 76,113 2,536 Rowan Cos., Inc. 98,879 1,224 SEACOR Holdings, Inc. (b) 104,175 650 Smith International, Inc. 49,732 2,636 Superior Energy Services, Inc. (b) 116,985 1,209 TETRA Technologies, Inc. (b) 19,658 142 Transocean, Inc. (b) 20,939 1,844 Unit Corp. (b) 117,111 1,153 Weatherford International Ltd. (b) 93,013 ------------- 1,567,021 ------------- GAS UTILITIES--1.2% 709 Equitable Resources, Inc. 47,056 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.8% 5,295 Dynegy, Inc., Class A (b) 45,643 491 NRG Energy, Inc. (b) 21,579 ------------- 67,222 ------------- OIL, GAS & CONSUMABLE FUELS--55.5% 1,326 Anadarko Petroleum Corp. 88,259 346 Apache Corp. 46,599 440 Arch Coal, Inc. 25,238 822 Cabot Oil & Gas Corp. 46,829 1,358 Chesapeake Energy Corp. 70,209 734 Chevron Corp. 70,574 1,526 Cimarex Energy Co. 95,070 1,096 ConocoPhillips 94,420 277 CONSOL Energy, Inc. 22,426 2,195 Denbury Resources, Inc. (b) 67,079 601 Devon Energy Corp. 68,153 226 Exxon Mobil Corp. 21,034 391 Forest Oil Corp. (b) 23,042 830 Foundation Coal Holdings, Inc. 49,783 3,065 Frontier Oil Corp. 76,165 217 Hess Corp. 23,045 2,290 Marathon Oil Corp. 104,355 2,289 Massey Energy Co. 119,783 362 Newfield Exploration Co. (b) 21,995 See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST ENERGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 574 Noble Energy, Inc. $ 49,938 856 Occidental Petroleum Corp. 71,228 390 Pioneer Natural Resources Co. 22,515 2,859 Quicksilver Resources, Inc. (b) 118,620 1,317 Range Resources Corp. 87,422 3,100 Southwestern Energy Co. (b) 131,162 1,085 St. Mary Land & Exploration Co. 47,436 2,127 Valero Energy Corp. 103,904 3,062 W&T Offshore, Inc. 125,237 7,754 Western Refining, Inc. 77,618 1,267 Williams (The) Cos., Inc. 44,979 1,351 XTO Energy, Inc. 83,573 ------------- 2,097,690 ------------- TOTAL COMMON STOCKS--100.0% (Cost $3,609,809) 3,778,989 MONEY MARKET FUND--1.8% 66,984 J. P. Morgan Institutional Treasury Money Market Fund-1.47% (c) (Cost $66,984) 66,984 ------------- TOTAL INVESTMENTS--101.8% (Cost $3,676,793) (d) 3,845,973 NET OTHER ASSETS AND LIABILITIES--(1.8%) (67,850) ------------- NET ASSETS--100.0% $ 3,778,123 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $427,963 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $258,783. See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--99.6% CAPITAL MARKETS--14.1% 220 Allied Capital Corp. $ 4,422 609 American Capital Strategies Ltd. 19,336 78 Ameriprise Financial, Inc. 3,704 290 Bank of New York Mellon Corp. 12,624 1,984 Bear Stearns (The) Cos., Inc. 21,288 102 BlackRock, Inc. 20,583 214 Charles Schwab (The) Corp. 4,622 413 Federated Investors, Inc., Class B 13,827 73 Goldman Sachs Group (The) Inc. 13,970 332 Invesco Ltd. 8,516 450 Investment Technology Group, Inc. (b) 21,717 174 Janus Capital Group, Inc. 4,882 250 Jefferies Group, Inc. 4,700 423 Lazard Ltd., Class A 16,556 372 Legg Mason, Inc. 22,424 429 Lehman Brothers Holdings, Inc. 18,979 1,223 MF Global Ltd. (b) 16,107 177 Morgan Stanley 8,602 244 Northern Trust Corp. 18,083 352 Raymond James Financial, Inc. 10,127 163 SEI Investments Co. 3,793 263 State Street Corp. 18,973 162 T. Rowe Price Group, Inc. 9,487 489 TD Ameritrade Holding Corp. (b) 8,851 ------------- 306,173 ------------- COMMERCIAL BANKS--14.0% 304 Associated Banc-Corp. 8,594 175 BancorpSouth, Inc. 4,205 163 Bank of Hawaii Corp. 8,937 378 BB&T Corp. 12,962 78 BOK Financial Corp. 4,454 163 City National Corp. 7,909 1,678 Colonial BancGroup (The), Inc. 13,659 461 Comerica, Inc. 16,011 96 Commerce Bancshares, Inc. 4,176 76 Cullen/Frost Bankers, Inc. 4,242 911 East West Bancorp, Inc. 12,973 386 Fifth Third Bancorp 8,272 87 First Citizens BancShares, Inc., Class A 12,247 329 Fulton Financial Corp. 4,103 376 Huntington Bancshares, Inc. 3,531 736 KeyCorp 17,760 100 M&T Bank Corp. 9,323 522 Marshall & Ilsley Corp. 13,040 1,218 National City Corp. 7,673 61 PNC Financial Services Group, Inc. 4,230 818 Regions Financial Corp. 17,930 147 SunTrust Banks, Inc. 8,195 1,096 Synovus Financial Corp. 12,977 676 TCF Financial Corp. 11,762 165 UnionBanCal Corp. 8,664 598 Wachovia Corp. 17,432 See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 435 Webster Financial Corp. $ 11,332 139 Wells Fargo & Co. 4,135 489 Whitney Holding Corp. 11,447 260 Wilmington Trust Corp. 8,549 266 Zions Bancorporation 12,329 ------------- 303,053 ------------- COMMERCIAL SERVICES & SUPPLIES--0.6% 352 Equifax, Inc. 13,471 ------------- CONSUMER FINANCE--3.7% 93 American Express Co. 4,466 2,067 AmeriCredit Corp. (b) 28,855 423 Capital One Financial Corp. 22,419 740 Discover Financial Services 13,475 82 Student Loan (The) Corp. 10,429 ------------- 79,644 ------------- DIVERSIFIED CONSUMER SERVICES--0.8% 778 H&R Block, Inc. 17,015 ------------- DIVERSIFIED FINANCIAL SERVICES--3.4% 213 Bank of America Corp. 7,996 1,756 CIT Group, Inc. 19,123 189 Citigroup, Inc. 4,776 31 IntercontinentalExchange, Inc. (b) 4,810 283 JPMorgan Chase & Co. 13,485 178 Leucadia National Corp. 9,117 418 NASDAQ Stock Market, Inc. (b) 15,236 ------------- 74,543 ------------- HEALTH CARE PROVIDERS & SERVICES--0.2% 100 CIGNA Corp. 4,271 ------------- INSURANCE--35.5% 293 ACE Ltd. 17,665 248 Aflac, Inc. 16,534 48 Alleghany Corp. (b) 16,536 524 Allied World Assurance Holdings Ltd. 21,605 336 Allstate (The) Corp. 16,921 633 American Financial Group, Inc. 17,357 93 American International Group, Inc. 4,297 151 American National Insurance Co. 16,879 100 Aon Corp. 4,539 303 Arch Capital Group Ltd. (b) 21,407 171 Arthur J. Gallagher & Co. 4,201 See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 133 Assurant, Inc. $ 8,645 612 Axis Capital Holdings Ltd. 20,753 420 Chubb (The) Corp. 22,247 547 Cincinnati Financial Corp. 19,637 627 CNA Financial Corp. 16,810 1,584 Conseco, Inc. (b) 18,454 568 Endurance Specialty Holdings Ltd. 21,090 158 Erie Indemnity Co., Class A 8,440 232 Everest Re Group Ltd. 20,961 220 Fidelity National Financial, Inc., Class A 3,518 119 First American Corp. 3,903 535 Genworth Financial, Inc., Class A 12,337 393 Hanover Insurance Group, Inc. 17,638 160 Hartford Financial Services Group (The), Inc. 11,403 917 HCC Insurance Holdings, Inc. 22,632 233 Lincoln National Corp. 12,526 402 Loews Corp. 16,928 27 Markel Corp. (b) 11,729 332 Marsh & McLennan Cos., Inc. 9,160 365 Mercury General Corp. 18,210 134 MetLife, Inc. 8,154 171 Nationwide Financial Services, Class A 8,571 939 Old Republic International Corp. 13,475 850 OneBeacon Insurance Group Ltd. 16,711 272 PartnerRe Ltd. 20,123 646 Philadelphia Consolidated Holding Co. (b) 23,824 145 Principal Financial Group, Inc. 7,781 754 Progressive (The) Corp. 13,715 299 Protective Life Corp. 12,743 103 Prudential Financial, Inc. 7,798 148 Reinsurance Group of America, Inc. 7,693 401 RenaissanceRe Holdings Ltd. 20,627 474 SAFECO Corp. 31,635 169 StanCorp Financial Group, Inc. 8,660 202 Torchmark Corp. 13,077 244 Transatlantic Holdings, Inc. 15,823 435 Travelers (The) Cos., Inc. 21,924 229 Unitrin, Inc. 8,688 551 Unum Group 12,789 751 W.R. Berkley Corp. 19,293 34 White Mountains Insurance Group Ltd. 16,187 136 XL Capital Ltd., Class A 4,745 ------------- 768,998 ------------- IT SERVICES--5.4% 286 Automatic Data Processing, Inc. 12,641 229 Broadridge Financial Solutions, Inc. 4,264 317 Fidelity National Information Services, Inc. 11,431 168 Fiserv, Inc. (b) 8,492 See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 391 Global Payments, Inc. 17,306 93 MasterCard, Inc., Class A 25,869 1,041 Metavante Technologies, Inc. (b) 24,536 118 Paychex, Inc. 4,292 380 Western Union Co. 8,740 ------------- 117,571 ------------- REAL ESTATE INVESTMENT TRUSTS--11.6% 263 Annaly Capital Management, Inc. 4,408 112 Apartment Investment & Management Co., Class A 4,142 132 Boston Properties, Inc. 13,265 836 CapitalSource, Inc. 11,746 866 Colonial Properties Trust 20,983 106 Essex Property Trust, Inc. 12,614 52 Federal Realty Investment Trust 4,272 358 Health Care REIT, Inc. 17,345 238 Hospitality Properties Trust 7,647 761 Host Hotels & Resorts, Inc. 13,089 1,801 HRPT Properties Trust 12,481 864 iStar Financial, Inc. 16,632 57 Macerich (The) Co. 4,168 99 Plum Creek Timber Co., Inc. 4,043 275 ProLogis 17,218 235 Public Storage 21,315 186 Rayonier, Inc. 7,818 87 Simon Property Group, Inc. 8,688 233 Taubman Centers, Inc. 13,204 329 UDR, Inc. 8,317 464 Ventas, Inc. 22,531 117 Weingarten Realty Investors 4,316 ------------- 250,242 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--1.6% 747 CB Richard Ellis Group, Inc., Class A (b) 17,271 209 Jones Lang LaSalle, Inc. 16,220 ------------- 33,491 ------------- ROAD & RAIL--0.8% 265 Ryder System, Inc. 18,145 ------------- SOFTWARE--1.3% 150 Factset Research Systems, Inc. 9,005 751 Fair Isaac Corp. 18,602 ------------- 27,607 ------------- See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE--4.8% 323 Capitol Federal Financial $ 12,500 1,960 Guaranty Financial Group, Inc. (b) 14,994 1,177 Hudson City Bancorp, Inc. 22,516 4,196 IndyMac Bancorp, Inc. 13,637 700 People's United Financial, Inc. 11,879 3,576 PMI Group (The), Inc. 20,133 177 Washington Federal, Inc. 4,214 392 Washington Mutual, Inc. 4,818 ------------- 104,691 ------------- TRADING COMPANIES & DISTRIBUTORS--1.8% 414 GATX Corp. 18,216 1,105 United Rentals, Inc. (b) 20,818 ------------- 39,034 ------------- TOTAL COMMON STOCKS--99.6% (Cost $2,412,229) 2,157,949 ------------- MONEY MARKET FUNDS--3.5% 25,000 Federated Treasury Obligation--1.56% (c) 25,000 51,573 J. P. Morgan Institutional Treasury Money Market Fund --1.47% (c) 51,573 ------------- TOTAL MONEY MARKET FUNDS (Cost $76,573) 76,573 ------------- TOTAL INVESTMENTS--103.1% (Cost $2,488,802) (d) 2,234,522 NET OTHER ASSETS AND LIABILITIES--(3.1%) (67,716) ------------- NET ASSETS--100.0% $ 2,166,806 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $55,677 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $309,957. See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.2% BIOTECHNOLOGY--14.9% 1,224 Amgen, Inc. (b) $ 51,249 1,660 Biogen Idec, Inc. (b) 100,745 1,669 Celgene Corp. (b) 103,712 397 Cephalon, Inc. (b) 24,777 1,260 Genentech, Inc. (b) 85,932 1,848 Genzyme Corp. (b) 130,007 2,674 Gilead Sciences, Inc. (b) 138,406 604 ImClone Systems, Inc. (b) 28,177 6,620 Millennium Pharmaceuticals, Inc. (b) 164,639 ------------- 827,644 ------------- COMMERCIAL SERVICES & SUPPLIES--1.0% 994 Stericycle, Inc. (b) 53,060 ------------- FOOD & STAPLES RETAILING--2.5% 3,401 CVS Caremark Corp. 137,298 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--19.5% 1,327 Baxter International, Inc. 82,699 792 Beckman Coulter, Inc. 54,094 1,193 Becton, Dickinson and Co. 106,653 1,062 C.R. Bard, Inc. 100,009 1,326 DENTSPLY International, Inc. 51,542 575 Edwards Lifesciences Corp. (b) 31,867 3,221 Hospira, Inc. (b) 132,543 1,038 IDEXX Laboratories, Inc. (b) 55,222 425 Intuitive Surgical, Inc. (b) 122,935 1,108 Kinetic Concepts, Inc. (b) 43,943 529 Medtronic, Inc. 25,752 606 ResMed, Inc. (b) 26,131 2,369 St. Jude Medical, Inc. (b) 103,714 394 Stryker Corp. 25,543 1,092 Varian Medical Systems, Inc. (b) 51,193 985 Zimmer Holdings, Inc. (b) 73,048 ------------- 1,086,888 ------------- HEALTH CARE PROVIDERS & SERVICES--33.3% 1,216 Aetna, Inc. 53,018 1,248 AmerisourceBergen Corp. 50,606 487 Cardinal Health, Inc. 25,358 4,103 Community Health Systems, Inc. (b) 153,986 2,537 Coventry Health Care, Inc. (b) 113,480 535 DaVita, Inc. (b) 28,039 1,591 Express Scripts, Inc. (b) 111,402 4,838 Health Management Associates, Inc., Class A (b) 34,495 1,782 Henry Schein, Inc. (b) 98,669 570 Humana, Inc. (b) 27,240 1,042 Laboratory Corp. of America Holdings (b) 78,796 5,015 LifePoint Hospitals, Inc. (b) 151,052 977 McKesson Corp. 50,921 1,752 Medco Health Solutions, Inc. (b) 86,794 See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 4,227 Omnicare, Inc. $ 86,019 2,115 Patterson Cos., Inc. (b) 72,333 1,518 Pediatrix Medical Group, Inc. (b) 103,254 565 Quest Diagnostics, Inc. 28,352 24,344 Tenet Healthcare Corp. (b) 155,802 2,566 Universal Health Services, Inc., Class B 160,735 658 WellCare Health Plans, Inc. (b) 28,807 3,123 WellPoint, Inc. (b) 155,369 ------------- 1,854,527 ------------- LIFE SCIENCES TOOLS & SERVICES--11.5% 1,302 Charles River Laboratories International, Inc. (b) 75,581 1,234 Covance, Inc. (b) 103,397 899 Invitrogen Corp. (b) 84,119 760 Millipore Corp. (b) 53,276 2,442 Pharmaceutical Product Development, Inc. 101,148 1,140 Techne Corp. (b) 82,673 2,424 Thermo Fisher Scientific, Inc. (b) 140,277 ------------- 640,471 ------------- PHARMACEUTICALS--17.5% 1,392 Abbott Laboratories 73,428 907 Allergan, Inc. 51,128 1,589 Barr Pharmaceuticals, Inc. (b) 79,815 1,488 Eli Lilly & Co. 71,632 1,068 Endo Pharmaceuticals Holdings, Inc. (b) 26,518 1,919 Forest Laboratories, Inc. (b) 66,608 1,183 Johnson & Johnson 79,367 15,837 King Pharmaceuticals, Inc. (b) 148,710 2,206 Mylan, Inc. 29,053 2,446 Pfizer, Inc. 49,189 5,686 Warner Chilcott Ltd., Class A (b) 97,856 4,700 Watson Pharmaceuticals, Inc. (b) 145,889 1,225 Wyeth 54,476 ------------- 973,669 ------------- TOTAL COMMON STOCKS--100.2% (Cost $5,551,975) 5,573,557 MONEY MARKET FUND--1.0% 54,823 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) 54,823 (Cost $54,823) ------------- TOTAL INVESTMENTS--101.2% (Cost $5,606,798) (d) 5,628,380 NET OTHER ASSETS AND LIABILITIES--(1.2%) (68,208) ------------- NET ASSETS--100.0% $ 5,560,172 ============= See Notes to Quarterly Portfolio of Investments Page 17 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $260,682 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $239,100. See Notes to Quarterly Portfolio of Investments Page 18 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--15.8% 1,385 Alliant Techsystems, Inc. (b) $ 152,322 746 BE Aerospace, Inc. (b) 30,109 453 Goodrich Corp. 30,872 578 Lockheed Martin Corp. 61,291 1,475 Northrop Grumman Corp. 108,516 2,220 Raytheon Co. 142,013 5,173 Spirit Aerosystems Holdings, Inc., Class A (b) 150,896 834 United Technologies Corp. 60,440 ------------- 736,459 ------------- COMMERCIAL SERVICES & SUPPLIES--5.4% 4,172 Covanta Holding Corp. (b) 111,100 12,967 Steelcase, Inc., Class A 143,675 ------------- 254,775 ------------- COMMUNICATIONS EQUIPMENT--3.4% 3,294 CommScope, Inc. (b) 156,630 ------------- COMPUTERS & PERIPHERALS--4.9% 2,083 Diebold, Inc. 81,654 4,668 Lexmark International, Inc., Class A (b) 146,528 ------------- 228,182 ------------- ELECTRICAL EQUIPMENT--12.5% 2,613 AMETEK, Inc. 126,783 1,948 Cooper Industries Ltd., Class A 82,576 1,520 Emerson Electric Co. 79,435 1,942 General Cable Corp. (b) 130,113 1,790 Hubbell, Inc., Class B 80,067 1,316 Roper Industries, Inc. 81,750 ------------- 580,724 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--3.3% 591 Mettler-Toledo International, Inc. (b) 56,299 3,378 Molex, Inc. 95,867 ------------- 152,166 ------------- HOUSEHOLD DURABLES--4.1% 1,077 Centex Corp. 22,423 192 NVR, Inc. (b) 117,792 3,943 Pulte Homes, Inc. 51,417 ------------- 191,632 ------------- MACHINERY--42.1% 2,395 AGCO Corp. (b) 144,011 1,832 Caterpillar, Inc. 150,004 557 Cummins, Inc. 34,896 755 Danaher Corp. 58,905 1,426 Deere & Co. 119,884 See Notes to Quarterly Portfolio of Investments Page 19 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,942 Donaldson Co., Inc. $ 84,555 1,872 Dover Corp. 92,608 1,374 Flowserve Corp. 170,500 3,866 Gardner Denver, Inc. (b) 179,576 719 Graco, Inc. 29,774 850 IDEX Corp. 31,187 1,189 Illinois Tool Works, Inc. 62,173 1,287 Ingersoll-Rand Co. Ltd., Class A 57,117 1,761 Joy Global, Inc. 130,754 4,873 Kennametal, Inc. 169,434 1,213 Lincoln Electric Holdings, Inc. 92,552 2,812 Manitowoc (The) Co., Inc. 106,350 744 Pall Corp. 25,869 1,129 Parker Hannifin Corp. 90,151 1,798 Pentair, Inc. 66,220 918 Terex Corp. (b) 63,966 ------------- 1,960,486 ------------- OFFICE ELECTRONICS--1.5% 5,226 Xerox Corp. 73,007 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.7% 1,337 Applied Materials, Inc. 24,948 6,813 Novellus Systems, Inc. (b) 148,933 ------------- 173,881 ------------- TRADING COMPANIES & DISTRIBUTORS--1.4% 751 W.W. Grainger, Inc. 65,119 ------------- WIRELESS TELECOMMUNICATION SERVICES--1.9% 665 American Tower Corp., Class A (b) 28,874 756 Crown Castle International Corp. (b) 29,371 874 SBA Communications Corp. (b) 28,265 ------------- 86,510 ------------- TOTAL COMMON STOCKS--100.0% (Cost $4,555,899) 4,659,571 MONEY MARKET FUNDS--1.4% 66,858 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $66,858) 66,858 ------------- TOTAL INVESTMENTS--101.4% (Cost $4,622,757) (d) 4,726,429 NET OTHER ASSETS AND LIABILITIES--(1.4%) (67,570) ------------- NET ASSETS--100.0% $ 4,658,859 ============= See Notes to Quarterly Portfolio of Investments Page 20 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $346,670 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $242,998. See Notes to Quarterly Portfolio of Investments Page 21 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--99.9% BUILDING PRODUCTS--6.1% 1,931 Armstrong World Industries, Inc. (b) $ 68,724 957 Lennox International, Inc. 31,715 801 Masco Corp. 14,586 1,899 Owens Corning, Inc. (b) 40,088 1,039 Trane, Inc. 48,324 ------------- 203,437 ------------- CHEMICALS--34.6% 374 Air Products and Chemicals, Inc. 36,813 1,048 Airgas, Inc. 50,440 728 Ashland, Inc. 38,599 1,703 Cabot Corp. 49,659 1,763 Celanese Corp., Class A 78,894 2,165 Chemtura Corp. 14,982 1,279 Cytec Industries, Inc. 75,474 1,869 Dow Chemical (The) Co. 75,040 736 E.I. du Pont de Nemours and Co. 35,998 254 Eastman Chemical Co. 18,669 366 Ecolab, Inc. 16,821 1,240 Lubrizol (The) Corp. 72,317 772 Monsanto Co. 88,023 839 Mosaic (The), Co. (b) 102,786 569 PPG Industries, Inc. 34,920 566 Praxair, Inc. 51,681 882 Rohm and Haas Co. 47,143 2,277 RPM International, Inc. 50,777 1,154 Sigma-Aldrich Corp. 65,801 1,735 Valspar (The) Corp. 38,135 6,596 Westlake Chemical Corp. 110,219 ------------- 1,153,191 ------------- COMMERCIAL SERVICES & SUPPLIES--0.5% 323 Avery Dennison Corp. 15,565 ------------- CONSTRUCTION & ENGINEERING--7.1% 610 Fluor Corp. 93,251 648 Jacobs Engineering Group, Inc. (b) 55,942 686 Quanta Services, Inc. (b) 18,206 1,011 Shaw Group (The), Inc. (b) 49,964 486 URS Corp. (b) 19,605 ------------- 236,968 ------------- CONTAINERS & PACKAGING--14.1% 1,499 Ball Corp. 80,616 1,875 Bemis Co., Inc. 49,313 3,421 Crown Holdings, Inc. (b) 91,819 1,525 Owens-Illinois, Inc. (b) 84,103 606 Pactiv Corp. (b) 14,417 1,364 Sealed Air Corp. 34,496 2,064 Smurfit-Stone Container Corp. (b) 11,208 See Notes to Quarterly Portfolio of Investments Page 22 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 1,203 Sonoco Products Co. $ 39,639 5,414 Temple-Inland, Inc. 63,181 ------------- 468,792 ------------- FOOD PRODUCTS--3.5% 836 Archer-Daniels-Midland Co. 36,834 183 Bunge Ltd. 20,878 1,284 Corn Products International, Inc. 59,553 ------------- 117,265 ------------- HOUSEHOLD PRODUCTS--0.4% 176 Energizer Holdings, Inc. (b) 13,915 ------------- INDUSTRIAL CONGLOMERATES--2.5% 1,570 McDermott International, Inc. (b) 84,121 ------------- MACHINERY--4.0% 861 Harsco Corp. 51,083 2,317 Timken (The) Co. 83,760 ------------- 134,843 ------------- METALS & MINING--23.7% 1,582 AK Steel Holding Corp. 99,318 1,322 Alcoa, Inc. 45,979 615 Carpenter Technology Corp. 31,537 718 Cleveland-Cliffs, Inc. 115,166 2,298 Commercial Metals Co. 71,560 716 Freeport-McMoRan Copper & Gold, Inc. 81,445 760 Newmont Mining Corp. 33,600 1,271 Nucor Corp. 95,961 1,438 Reliance Steel & Aluminum Co. 87,402 153 Southern Copper Corp. 17,558 2,605 Steel Dynamics, Inc. 90,784 125 United States Steel Corp. 19,244 ------------- 789,554 ------------- PAPER & FOREST PRODUCTS--3.4% 2,532 International Paper Co. 66,263 1,751 MeadWestvaco Corp. 46,051 ------------- 112,314 ------------- TOTAL COMMON STOCKS--99.9% (Cost $3,152,786) 3,329,965 MONEY MARKET FUND--2.1% 70,094 J.P. Morgan Institutional Treasury Money Market Fund - 1.47% (c) (Cost $70,094) 70,094 ------------- See Notes to Quarterly Portfolio of Investments Page 23 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------- -------------- TOTAL INVESTMENTS--102.0% (Cost $3,222,880) (d) $ 3,400,059 NET OTHER ASSETS AND LIABILITIES--(2.0%) (67,739) ------------- NET ASSETS--100.0% $ 3,332,320 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $376,295 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $199,116. See Notes to Quarterly Portfolio of Investments Page 24 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--6.8% 1,391 DRS Technologies, Inc. $ 86,854 972 General Dynamics Corp. 87,889 741 L-3 Communications Holdings, Inc. 82,584 ------------- 257,327 ------------- COMMUNICATIONS EQUIPMENT--12.9% 6,709 ADC Telecommunications, Inc. (b) 94,060 6,662 Brocade Communications Systems, Inc. (b) 47,700 1,577 Ciena Corp. (b) 53,318 673 Cisco Systems, Inc. (b) 17,256 2,697 Corning, Inc. 72,037 668 Harris Corp. 36,092 3,632 JDS Uniphase Corp. (b) 51,974 648 Juniper Networks, Inc. (b) 17,898 1,581 QUALCOMM, Inc. 68,283 5,949 Tellabs, Inc. (b) 30,697 ------------- 489,315 ------------- COMPUTERS & PERIPHERALS--15.6% 339 Apple, Inc. (b) 58,969 1,130 EMC Corp. (b) 17,402 1,420 Hewlett-Packard Co. 65,817 704 International Business Machines Corp. 84,973 3,168 QLogic Corp. (b) 50,561 2,155 SanDisk Corp. (b) 58,379 3,871 Seagate Technology 73,046 4,175 Sun Microsystems, Inc. (b) 65,381 1,470 Teradata Corp. (b) 31,296 2,997 Western Digital Corp. (b) 86,883 ------------- 592,707 ------------- ELECTRICAL EQUIPMENT--4.5% 351 First Solar, Inc. (b) 102,489 565 Rockwell Automation, Inc. 30,640 435 SunPower Corp., Class A (b) 37,962 ------------- 171,091 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--14.1% 1,306 Amphenol Corp., Class A 60,311 1,927 Arrow Electronics, Inc. (b) 52,434 1,981 Avnet, Inc. (b) 51,882 5,062 AVX Corp. 66,667 4,096 Ingram Micro, Inc., Class A (b) 69,673 6,854 Jabil Circuit, Inc. 74,571 1,701 Trimble Navigation Ltd. (b) 55,776 472 Tyco Electronics Ltd. 17,658 8,946 Vishay Intertechnology, Inc. (b) 84,539 ------------- 533,511 ------------- See Notes to Quarterly Portfolio of Investments Page 25 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES--0.5% 576 Akamai Technologies, Inc. (b) $ 20,604 ------------- IT SERVICES--6.9% 1,366 Acxiom Corp. 16,160 1,294 Affiliated Computer Services, Inc., Class A (b) 68,543 1,987 Computer Sciences Corp. (b) 86,613 4,868 Electronic Data Systems Corp. 90,350 ------------- 261,666 ------------- LIFE SCIENCES TOOLS & SERVICES--2.6% 1,480 Applera Corp. - Applied Biosystems Group 47,227 2,005 PerkinElmer, Inc. 53,253 ------------- 100,480 ------------- OFFICE ELECTRONICS--0.9% 973 Zebra Technologies Corp., Class A (b) 35,758 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--18.0% 9,316 Atmel Corp. (b) 34,656 1,739 Cree, Inc. (b) 45,214 1,373 Cypress Semiconductor Corp. (b) 38,609 5,440 Fairchild Semiconductor International, Inc. (b) 70,938 5,446 Integrated Device Technology, Inc. (b) 58,218 765 Intel Corp. 17,029 3,770 International Rectifier Corp. (b) 85,804 1,263 Intersil Corp., Class A 33,747 528 Linear Technology Corp. 18,459 3,275 LSI Corp. (b) 20,305 915 MEMC Electronic Materials, Inc. (b) 57,618 495 Microchip Technology, Inc. 18,191 10,861 Micron Technology, Inc. (b) 83,846 819 NVIDIA Corp. (b) 16,830 2,086 Rambus, Inc. (b) 47,895 1,365 Xilinx, Inc. 33,811 ------------- 681,170 ------------- SOFTWARE--17.2% 455 Adobe Systems, Inc. (b) 16,967 997 BMC Software, Inc. (b) 34,656 720 CA, Inc. 15,941 7,589 Cadence Design Systems, Inc. (b) 84,465 8,834 Compuware Corp. (b) 66,608 1,200 Intuit, Inc. (b) 32,364 1,470 McAfee, Inc. (b) 48,878 1,142 Microsoft Corp. 32,570 954 NAVTEQ Corp. (b) 70,796 2,577 Novell, Inc. (b) 16,184 1,657 Oracle Corp. (b) 34,548 1,763 Red Hat, Inc. (b) 36,265 1,401 Salesforce.com, Inc. (b) 93,488 2,926 Symantec Corp. (b) 50,386 See Notes to Quarterly Portfolio of Investments Page 26 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 714 Synopsys, Inc. (b) $ 16,501 ------------- 650,617 ------------- TOTAL COMMON STOCKS--100.0% (Cost $3,934,607) 3,794,246 MONEY MARKET FUNDS--1.7% 65,287 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $65,287) 65,287 ------------- TOTAL INVESTMENTS--101.7% (Cost $3,999,894) (d) 3,859,533 NET OTHER ASSETS AND LIABILITIES--(1.7%) (66,369) ------------- NET ASSETS--100.0% $ 3,793,164 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $224,162 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $364,523. See Notes to Quarterly Portfolio of Investments Page 27 FIRST TRUST UTILITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--99.6% DIVERSIFIED TELECOMMUNICATION SERVICES--9.4% 1,233 AT&T, Inc. $ 47,729 3,907 CenturyTel, Inc. 126,783 588 Embarq Corp. 24,443 17,205 Qwest Communications International, Inc. 88,778 1,303 Verizon Communications, Inc. 50,139 3,952 Windstream Corp. 46,396 ------------- 384,268 ------------- ELECTRIC UTILITIES--26.1% 1,871 American Electric Power Co., Inc. 83,503 922 DPL, Inc. 25,659 7,277 Duke Energy Corp. 133,242 963 Edison International 50,240 1,599 Exelon Corp. 136,684 345 FirstEnergy Corp. 26,096 3,832 Great Plains Energy, Inc. 98,252 989 Hawaiian Electric Industries, Inc. 24,379 1,925 Northeast Utilities 50,666 3,153 Pepco Holdings, Inc. 78,541 3,702 Pinnacle West Capital Corp. 125,646 515 PPL Corp. 24,730 1,870 Progress Energy, Inc. 78,521 7,480 Sierra Pacific Resources 101,952 663 Southern Co. 24,683 ------------- 1,062,794 ------------- GAS UTILITIES--11.1% 2,271 AGL Resources, Inc. 77,214 3,705 Atmos Energy Corp. 102,555 380 Energen Corp. 25,931 501 National Fuel Gas Co. 25,641 836 Questar Corp. 51,857 3,349 Southern Union Co. 85,801 3,128 UGI Corp. 81,328 ------------- 450,327 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--2.2% 1,069 Constellation Energy Group 90,491 ------------- MEDIA--1.2% 2,442 Comcast Corp., Class A 50,183 ------------- MULTI-UTILITIES--42.7% 3,710 Alliant Energy Corp. 139,757 1,770 Ameren Corp. 80,287 1,745 CMS Energy Corp. 25,442 2,380 Consolidated Edison, Inc. 99,008 2,313 Dominion Resources, Inc. 100,361 3,340 DTE Energy Co. 134,635 3,230 Energy East Corp. 73,644 506 Integrys Energy Group, Inc. 24,232 See Notes to Quarterly Portfolio of Investments Page 28 FIRST TRUST UTILITES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 3,847 MDU Resources Group, Inc. $ 111,063 7,535 NiSource, Inc. 134,877 1,553 NSTAR 50,022 3,030 OGE Energy Corp. 99,051 2,566 PG&E Corp. 102,640 1,826 Puget Energy, Inc. 49,685 2,582 SCANA Corp. 101,808 887 Sempra Energy 50,266 8,144 TECO Energy, Inc. 130,385 2,904 Vectren Corp. 82,125 1,073 Wisconsin Energy Corp. 50,925 4,735 Xcel Energy, Inc. 98,488 ------------- 1,738,701 ------------- OIL, GAS & CONSUMABLE FUELS--0.6% 1,038 Spectra Energy Corp. 25,639 ------------- WIRELESS TELECOMMUNICATION SERVICES--6.3% 3,308 Telephone and Data Systems, Inc. 126,696 2,362 United States Cellular Corp. (b) 130,265 ------------- 256,961 ------------- TOTAL COMMON STOCKS--99.6% (Cost $4,205,545) 4,059,364 ------------- MONEY MARKET FUNDS --1.9% 35,000 Federated Treasury Obligation--1.56% (c) 35,000 40,155 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) 40,155 ------------- TOTAL MONEY MARKET FUNDS (Cost $75,155) 75,155 ------------- TOTAL INVESTMENTS--101.5% (Cost $4,280,700) (d) 4,134,519 NET OTHER ASSETS AND LIABILITIES--(1.5%) (60,764) ------------- NET ASSETS--100.0% $ 4,073,755 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $27,560 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $173,741. See Notes to Quarterly Portfolio of Investments Page 29 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.1% 543 General Dynamics Corp. $ 49,098 197 Goodrich Corp. 13,426 802 Honeywell International, Inc. 47,639 525 L-3 Communications Holdings, Inc. 58,510 228 Lockheed Martin Corp. 24,177 436 Northrop Grumman Corp. 32,077 111 Precision Castparts Corp. 13,049 175 Raytheon Co. 11,195 493 United Technologies Corp. 35,728 ------------- 284,899 ------------- AIR FREIGHT & LOGISTICS--1.6% 1,054 C.H. Robinson Worldwide, Inc. 66,064 1,270 Expeditors International of Washington, Inc. 59,169 619 FedEx Corp. 59,344 465 United Parcel Service, Inc., Class B 33,671 ------------- 218,248 ------------- AIRLINES--0.4% 3,651 Southwest Airlines Co. 48,339 ------------- AUTO COMPONENTS--0.4% 439 Goodyear Tire & Rubber (The) Co. (b) 11,756 1,339 Johnson Controls, Inc. 47,214 ------------- 58,970 ------------- AUTOMOBILES--0.2% 3,958 Ford Motor Co. (b) 32,693 ------------- BEVERAGES--1.7% 239 Anheuser-Busch Cos., Inc. 11,759 342 Brown-Forman Corp., Class B 23,263 744 Coca-Cola (The) Co. 43,799 1,403 Coca-Cola Enterprises, Inc. 31,568 1,922 Constellation Brands, Inc., Class A (b) 35,288 431 Molson Coors Brewing Co., Class B 23,636 1,001 Pepsi Bottling Group (The), Inc. 33,744 314 PepsiCo, Inc. 21,518 ------------- 224,575 ------------- BIOTECHNOLOGY--1.5% 734 Biogen Idec, Inc. (b) 44,546 739 Celgene Corp. (b) 45,921 769 Genzyme Corp. (b) 54,099 1,113 Gilead Sciences, Inc. (b) 57,610 ------------- 202,176 ------------- BUILDING PRODUCTS--0.3% 986 Trane, Inc. 45,859 ------------- See Notes to Quarterly Portfolio of Investments Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS--3.2% 1,679 American Capital Strategies Ltd. $ 53,308 4,316 Bear Stearns (The) Cos., Inc. 46,311 867 Federated Investors, Inc., Class B 29,027 205 Goldman Sachs Group (The), Inc. 39,231 486 Janus Capital Group, Inc. 13,637 1,025 Legg Mason, Inc. 61,786 1,203 Lehman Brothers Holdings, Inc. 53,221 681 Northern Trust Corp. 50,469 726 State Street Corp. 52,374 453 T. Rowe Price Group, Inc. 26,528 ------------- 425,892 ------------- CHEMICALS--3.3% 369 Air Products and Chemicals, Inc. 36,321 718 Ashland, Inc. 38,068 1,229 Dow Chemical (The) Co. 49,344 484 E.I. du Pont de Nemours & Co. 23,672 544 Eastman Chemical Co. 39,984 261 Ecolab, Inc. 11,996 619 Hercules, Inc. 11,637 257 International Flavors & Fragrances, Inc. 11,722 514 Monsanto Co. 58,606 561 PPG Industries, Inc. 34,429 538 Praxair, Inc. 49,125 419 Rohm and Haas Co. 22,396 962 Sigma-Aldrich Corp. 54,853 ------------- 442,153 ------------- COMMERCIAL BANKS--2.1% 706 BB&T Corp. 24,209 968 Comerica, Inc. 33,619 541 Fifth Third Bancorp 11,594 1,547 KeyCorp 37,329 141 M&T Bank Corp. 13,145 488 Marshall & Ilsley Corp. 12,190 3,413 National City Corp. 21,502 1,146 Regions Financial Corp. 25,120 205 SunTrust Banks, Inc. 11,429 1,677 Wachovia Corp. 48,884 389 Wells Fargo & Co. 11,573 745 Zions Bancorporation 34,531 ------------- 285,125 ------------- COMMERCIAL SERVICES & SUPPLIES--1.6% 4,188 Allied Waste Industries, Inc. (b) 51,765 460 Avery Dennison Corp. 22,167 1,586 Cintas Corp. 46,961 985 Equifax, Inc. 37,696 468 Monster Worldwide, Inc. (b) 11,386 See Notes to Quarterly Portfolio of Investments Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 879 Robert Half International, Inc. $ 20,832 675 Waste Management, Inc. 24,368 ------------- 215,175 ------------- COMMUNICATIONS EQUIPMENT--0.8% 1,412 Corning, Inc. 37,715 1,691 JDS Uniphase Corp. (b) 24,198 828 QUALCOMM, Inc. 35,761 2,077 Tellabs, Inc. (b) 10,717 ------------- 108,391 ------------- COMPUTERS & PERIPHERALS--1.6% 158 Apple, Inc. (b) 27,484 1,579 EMC Corp. (b) 24,317 992 Hewlett-Packard Co. 45,979 393 International Business Machines Corp. 47,435 1,475 QLogic Corp. (b) 23,541 2,186 Sun Microsystems, Inc. (b) 34,233 513 Teradata Corp. (b) 10,922 ------------- 213,911 ------------- CONSTRUCTION & ENGINEERING--0.9% 406 Fluor Corp. 62,065 615 Jacobs Engineering Group, Inc. (b) 53,093 ------------- 115,158 ------------- CONSTRUCTION MATERIALS--0.4% 682 Vulcan Materials Co. 46,935 ------------- CONSUMER FINANCE--0.6% 920 Capital One Financial Corp. 48,760 1,383 Discover Financial Services 25,184 ------------- 73,944 ------------- CONTAINERS & PACKAGING--1.3% 986 Ball Corp. 53,027 1,780 Bemis Co., Inc. 46,814 1,296 Pactiv Corp. (b) 30,832 1,793 Sealed Air Corp. 45,345 ------------- 176,018 ------------- DISTRIBUTORS--0.3% 844 Genuine Parts Co. 35,836 ------------- DIVERSIFIED CONSUMER SERVICES--0.4% 2,181 H&R Block, Inc. 47,698 ------------- See Notes to Quarterly Portfolio of Investments Page 32 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES--1.3% 597 Bank of America Corp. $ 22,411 3,821 CIT Group, Inc. 41,611 87 IntercontinentalExchange, Inc. (b) 13,498 527 JPMorgan Chase & Co. 25,112 1,268 Leucadia National Corp. 64,947 ------------- 167,579 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.8% 887 AT&T, Inc. 34,336 1,726 CenturyTel, Inc. 56,009 1,079 Citizens Communications Co. 11,567 565 Embarq Corp. 23,487 7,496 Qwest Communications International, Inc. 38,679 936 Verizon Communications, Inc. 36,017 2,841 Windstream Corp. 33,353 ------------- 233,448 ------------- ELECTRIC UTILITIES--2.5% 816 American Electric Power Co., Inc. 36,418 2,536 Duke Energy Corp. 46,434 693 Edison International 36,154 104 Entergy Corp. 11,945 330 FirstEnergy Corp. 24,961 180 FPL Group, Inc. 11,932 1,374 Pepco Holdings, Inc. 34,226 1,635 Pinnacle West Capital Corp. 55,493 246 PPL Corp. 11,813 814 Progress Energy, Inc. 34,180 636 Southern Co. 23,678 ------------- 327,234 ------------- ELECTRICAL EQUIPMENT--0.8% 1,128 Cooper Industries Ltd., Class A 47,816 880 Emerson Electric Co. 45,989 197 Rockwell Automation, Inc. 10,683 ------------- 104,488 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8% 4,786 Jabil Circuit, Inc. 52,072 1,955 Molex, Inc. 55,483 ------------- 107,555 ------------- ENERGY EQUIPMENT & SERVICES--4.4% 165 Baker Hughes, Inc. 13,345 1,588 BJ Services Co. 44,893 815 Cameron International Corp. (b) 40,122 916 ENSCO International, Inc. 58,377 1,458 Halliburton Co. 66,936 1,698 Nabors Industries Ltd. (b) 63,743 388 National Oilwell Varco, Inc. (b) 26,559 See Notes to Quarterly Portfolio of Investments Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 1,155 Noble Corp. $ 65,003 1,393 Rowan Cos., Inc. 54,313 130 Schlumberger Ltd. 13,072 705 Smith International, Inc. 53,940 167 Transocean, Inc. (b) 24,626 791 Weatherford International Ltd. (b) 63,810 ------------- 588,739 ------------- FOOD & STAPLES RETAILING--2.8% 883 Costco Wholesale Corp. 62,914 1,416 CVS Caremark Corp. 57,164 891 Kroger (The) Co. 24,280 1,543 Safeway, Inc. 48,759 1,913 SUPERVALU, Inc. 63,319 780 Sysco Corp. 23,845 594 Walgreen Co. 20,701 1,089 Wal-Mart Stores, Inc. 63,140 343 Whole Foods Market, Inc. 11,196 ------------- 375,318 ------------- FOOD PRODUCTS--2.4% 1,394 Archer-Daniels-Midland Co. 61,421 333 Campbell Soup Co. 11,588 945 ConAgra Foods, Inc. 22,264 756 General Mills, Inc. 45,662 646 Kellogg Co. 33,056 365 Kraft Foods, Inc., Class A 11,545 918 McCormick & Co., Inc. 34,691 810 Sara Lee Corp. 11,753 2,129 Tyson Foods, Inc., Class A 37,896 720 Wm. Wrigley Jr. Co. 54,835 ------------- 324,711 ------------- GAS UTILITIES--0.5% 1,351 Nicor, Inc. 47,447 400 Questar Corp. 24,812 ------------- 72,259 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.1% 587 Baxter International, Inc. 36,582 527 Becton, Dickinson and Co. 47,114 1,759 Boston Scientific Corp. (b) 23,447 470 C.R. Bard, Inc. 44,260 1,341 Hospira, Inc. (b) 55,183 1,048 St. Jude Medical, Inc. (b) 45,881 174 Stryker Corp. 11,280 291 Zimmer Holdings, Inc. (b) 21,581 ------------- 285,328 ------------- See Notes to Quarterly Portfolio of Investments Page 34 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--2.4% 538 Aetna, Inc. $ 23,457 276 AmerisourceBergen Corp. 11,192 279 CIGNA Corp. 11,916 704 Express Scripts, Inc. (b) 49,294 1,009 Humana, Inc. (b) 48,220 461 Laboratory Corp. of America Holdings (b) 34,861 216 McKesson Corp. 11,258 775 Medco Health Solutions, Inc. (b) 38,394 935 Patterson Cos., Inc. (b) 31,977 1,300 WellPoint, Inc. (b) 64,674 ------------- 325,243 ------------- HOTELS, RESTAURANTS & LEISURE--2.1% 1,118 Carnival Corp. 44,910 1,043 Darden Restaurants, Inc. 37,110 329 Marriott International, Inc., Class A 11,285 609 McDonald's Corp. 36,284 219 Starwood Hotels & Resorts Worldwide, Inc. 11,434 491 Wendy's International, Inc. 14,239 2,774 Wyndham Worldwide Corp. 59,586 1,541 Yum! Brands, Inc. 62,687 ------------- 277,535 ------------- HOUSEHOLD DURABLES--1.5% 171 Black & Decker (The) Corp. 11,223 326 Fortune Brands, Inc. 22,044 990 Newell Rubbermaid, Inc. 20,325 2,334 Pulte Homes, Inc. 30,435 445 Snap-on, Inc. 26,393 951 Stanley Works (The) 45,876 522 Whirlpool Corp. 37,991 ------------- 194,287 ------------- HOUSEHOLD PRODUCTS--0.6% 581 Colgate-Palmolive Co. 41,077 175 Kimberly-Clark Corp. 11,198 323 Procter & Gamble (The) Co. 21,657 ------------- 73,932 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.3% 679 AES (The) Corp. (b) 11,787 385 Constellation Energy Group 32,591 ------------- 44,378 ------------- INDUSTRIAL CONGLOMERATES--0.4% 286 3M Co. 21,993 613 Textron, Inc. 37,400 ------------- 59,393 ------------- See Notes to Quarterly Portfolio of Investments Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INSURANCE--4.1% 822 ACE Ltd. $ 49,558 697 Aflac, Inc. 46,469 942 Allstate (The) Corp. 47,439 262 American International Group, Inc. 12,104 186 Assurant, Inc. 12,090 1,159 Chubb (The) Corp. 61,392 1,508 Cincinnati Financial Corp. 54,137 1,500 Genworth Financial, Inc., Class A 34,590 448 Hartford Financial Services Group (The), Inc. 31,929 218 Lincoln National Corp. 11,720 844 Loews Corp. 35,541 465 Marsh & McLennan Cos., Inc. 12,829 188 MetLife, Inc. 11,440 203 Principal Financial Group, Inc. 10,893 145 Prudential Financial, Inc. 10,978 377 Torchmark Corp. 24,407 1,199 Travelers (The) Cos., Inc. 60,430 1,028 Unum Group 23,860 ------------- 551,806 ------------- INTERNET & CATALOG RETAIL--0.2% 317 Amazon.com, Inc. (b) 24,926 ------------- INTERNET SOFTWARE & SERVICES--0.5% 402 Akamai Technologies, Inc. (b) 14,380 379 eBay, Inc. (b) 11,859 341 VeriSign, Inc. (b) 12,293 782 Yahoo!, Inc. (b) 21,434 ------------- 59,966 ------------- IT SERVICES--2.3% 903 Affiliated Computer Services, Inc., Class A (b) 47,832 534 Automatic Data Processing, Inc. 23,603 1,406 Computer Sciences Corp. (b) 61,288 3,809 Convergys Corp. (b) 59,877 3,445 Electronic Data Systems Corp. 63,939 297 Fidelity National Information Services, Inc. 10,710 235 Fiserv, Inc. (b) 11,879 330 Paychex, Inc. 12,002 532 Western Union Co. 12,236 ------------- 303,366 ------------- LEISURE EQUIPMENT & PRODUCTS--0.9% 2,835 Brunswick Corp. 47,287 1,217 Hasbro, Inc. 43,277 1,706 Mattel, Inc. 31,988 ------------- 122,552 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 689 Applera Corp. - Applied Biosystems Group 21,986 336 Millipore Corp. (b) 23,554 See Notes to Quarterly Portfolio of Investments Page 36 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 933 PerkinElmer, Inc. 24,780 1,009 Thermo Fisher Scientific, Inc. (b) 58,391 ------------- 128,711 ------------- MACHINERY--3.0% 733 Caterpillar, Inc. 60,018 483 Cummins, Inc. 30,260 298 Danaher Corp. 23,250 563 Deere & Co. 47,331 542 Dover Corp. 26,813 284 Eaton Corp. 24,947 469 Illinois Tool Works, Inc. 24,524 508 Ingersoll-Rand Co. Ltd., Class A 22,545 1,110 Manitowoc (The) Co., Inc. 41,980 252 PACCAR, Inc. 11,925 654 Parker Hannifin Corp. 52,222 543 Terex Corp. (b) 37,836 ------------- 403,651 ------------- MEDIA--3.3% 2,050 CBS Corp., Class B 47,294 775 Clear Channel Communications, Inc. 23,366 1,756 Comcast Corp., Class A 36,086 2,314 DIRECTV Group (The), Inc. (b) 57,017 269 E.W. Scripps (The) Co., Class A 12,081 1,974 Gannett Co., Inc. 56,496 1,184 Meredith Corp. 38,373 604 News Corp., Class A 10,812 512 Omnicom Group, Inc. 24,443 4,091 Time Warner, Inc. 60,751 857 Viacom, Inc., Class B (b) 32,943 721 Walt Disney (The) Co. 23,382 34 Washington Post (The) Co., Class B 22,290 ------------- 445,334 ------------- METALS & MINING--2.2% 1,256 Alcoa, Inc. 43,684 634 Allegheny Technologies, Inc. 43,638 471 Freeport-McMoRan Copper & Gold, Inc. 53,576 500 Newmont Mining Corp. 22,105 847 Nucor Corp. 63,949 452 United States Steel Corp. 69,585 ------------- 296,537 ------------- MULTILINE RETAIL--2.6% 1,523 Big Lots, Inc. (b) 41,167 3,333 Dillard's, Inc., Class A 67,993 2,322 Family Dollar Stores, Inc. 49,691 1,521 J.C. Penney Co., Inc. 64,643 2,487 Macy's, Inc. 62,896 694 Nordstrom, Inc. 24,470 See Notes to Quarterly Portfolio of Investments Page 37 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 111 Sears Holdings Corp. (b) 10,946 447 Target Corp. 23,749 ------------- 345,555 ------------- MULTI-UTILITIES--3.8% 1,028 Ameren Corp. 46,630 1,586 CenterPoint Energy, Inc. 24,139 1,672 CMS Energy Corp. 24,378 1,140 Consolidated Edison, Inc. 47,424 1,109 Dominion Resources, Inc. 48,120 1,475 DTE Energy Co. 59,456 485 Integrys Energy Group, Inc. 23,227 2,626 NiSource, Inc. 47,005 1,230 PG&E Corp. 49,200 282 Public Service Enterprise Group, Inc. 12,383 637 Sempra Energy 36,099 3,596 TECO Energy, Inc. 57,572 1,702 Xcel Energy, Inc. 35,402 ------------- 511,035 ------------- OFFICE ELECTRONICS--0.3% 3,024 Xerox Corp. 42,245 ------------- OIL, GAS & CONSUMABLE FUELS--7.2% 910 Anadarko Petroleum Corp. 60,570 475 Apache Corp. 63,973 1,243 Chesapeake Energy Corp. 64,263 672 Chevron Corp. 64,612 149 ConocoPhillips 12,836 491 CONSOL Energy, Inc. 39,751 550 Devon Energy Corp. 62,370 680 El Paso Corp. 11,655 377 EOG Resources, Inc. 49,191 268 Exxon Mobil Corp. 24,943 650 Hess Corp. 69,029 1,258 Marathon Oil Corp. 57,327 698 Murphy Oil Corp. 63,057 622 Noble Energy 54,114 619 Occidental Petroleum Corp. 51,507 222 Peabody Energy Corp. 13,571 904 Range Resources Corp. 60,008 995 Spectra Energy Corp. 24,577 216 Sunoco, Inc. 10,025 1,912 Tesoro Corp. 48,068 927 XTO Energy, Inc. 57,344 ------------- 962,791 ------------- See Notes to Quarterly Portfolio of Investments Page 38 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS--0.7% 2,109 International Paper Co. 55,192 1,663 MeadWestvaco Corp. 43,737 ------------- 98,929 ------------- PERSONAL PRODUCTS--0.9% 1,451 Avon Products, Inc. 56,618 1,251 Estee Lauder (The) Cos., Inc., Class A 57,058 ------------- 113,676 ------------- PHARMACEUTICALS--2.7% 616 Abbott Laboratories 32,494 401 Allergan, Inc. 22,604 703 Barr Pharmaceuticals, Inc. (b) 35,312 439 Eli Lilly and Co. 21,133 566 Forest Laboratories, Inc. (b) 19,646 523 Johnson & Johnson 35,088 6,593 King Pharmaceuticals, Inc. (b) 61,909 1,622 Pfizer, Inc. 32,618 1,956 Watson Pharmaceuticals, Inc. (b) 60,714 813 Wyeth 36,154 ------------- 357,672 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 246 Boston Properties, Inc. 24,721 711 Host Hotels & Resorts, Inc. 12,229 577 ProLogis 36,126 ------------- 73,076 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.3% 1,569 CB Richard Ellis Group, Inc., Class A (b) 36,275 ------------- ROAD & RAIL--1.3% 491 Burlington Northern Santa Fe Corp. 50,352 202 CSX Corp. 12,716 625 Norfolk Southern Corp. 37,238 743 Ryder System, Inc. 50,873 181 Union Pacific Corp. 26,279 ------------- 177,458 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.4% 383 Analog Devices, Inc. 12,336 1,160 Applied Materials, Inc. 21,646 1,603 Intel Corp. 35,683 915 KLA-Tencor Corp. 39,967 479 MEMC Electronic Materials, Inc. (b) 30,163 346 Microchip Technology, Inc. 12,716 7,584 Micron Technology, Inc. (b) 58,548 2,725 Novellus Systems, Inc. (b) 59,569 1,201 Texas Instruments, Inc. 35,021 See Notes to Quarterly Portfolio of Investments Page 39 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 477 Xilinx, Inc. $ 11,815 ------------- 317,464 ------------- SOFTWARE--0.9% 348 BMC Software, Inc. (b) 12,096 4,626 Compuware Corp. (b) 34,881 419 Intuit, Inc. (b) 11,300 399 Microsoft Corp. 11,379 1,157 Oracle Corp. (b) 24,124 1,362 Symantec Corp. (b) 23,454 ------------- 117,234 ------------- SPECIALTY RETAIL--5.2% 464 Abercrombie & Fitch Co., Class A 34,480 3,024 AutoNation, Inc. (b) 48,414 199 AutoZone, Inc. (b) 24,029 767 Bed Bath & Beyond, Inc. (b) 24,928 819 Best Buy Co., Inc. 35,233 1,109 GameStop Corp., Class A (b) 61,039 1,725 Gap (The), Inc. 32,120 1,214 Home Depot (The), Inc. 34,963 3,354 Limited Brands, Inc. 62,116 493 Lowe's Cos., Inc. 12,419 5,191 Office Depot, Inc. (b) 65,822 2,997 OfficeMax, Inc. 54,755 3,530 RadioShack Corp. 49,067 665 Sherwin-Williams (The) Co. 36,788 2,048 Staples, Inc. 44,442 271 Tiffany & Co. 11,799 1,734 TJX (The) Cos., Inc. 55,869 ------------- 688,283 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.8% 843 Jones Apparel Group, Inc. 13,345 843 NIKE, Inc., Class B 56,313 438 VF Corp. 32,578 ------------- 102,236 ------------- THRIFTS & MORTGAGE FINANCE--0.5% 3,244 Hudson City Bancorp, Inc. 62,058 ------------- TOBACCO--0.6% 2,584 Altria Group, Inc. 51,679 383 Reynolds American, Inc. 20,625 208 UST, Inc. 10,831 ------------- 83,135 ------------- See Notes to Quarterly Portfolio of Investments Page 40 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS--0.3% 445 W.W. Grainger, Inc. 38,586 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% 289 American Tower Corp., Class A (b) 12,548 ------------- TOTAL COMMON STOCKS--100.0% (Cost $13,279,356) 13,340,527 MONEY MARKET FUND--0.4% 57,484 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) 57,484 (Cost $57,484) ------------- TOTAL INVESTMENTS--100.4% (Cost $13,336,840) (d) 13,398,011 NET OTHER ASSETS AND LIABILITIES--(0.4%) (58,146) ------------- NET ASSETS--100.0% $ 13,339,865 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $805,410 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $744,239. See Notes to Quarterly Portfolio of Investments Page 41 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--1.2% 329 Alliant Techsystems, Inc. (b) $ 36,183 487 BE Aerospace, Inc. (b) 19,655 730 DRS Technologies, Inc. 45,582 ------------- 101,420 ------------- AIRLINES--0.7% 3,868 AirTran Holdings, Inc. (b) 13,190 2,169 Alaska Air Group, Inc. (b) 46,590 ------------- 59,780 ------------- AUTO COMPONENTS--1.2% 791 BorgWarner, Inc. 38,877 992 Gentex Corp. 18,531 985 Lear Corp. (b) 28,141 587 Modine Manufacturing Co. 10,314 ------------- 95,863 ------------- AUTOMOBILES--0.2% 572 Thor Industries, Inc. 17,343 ------------- BEVERAGES--0.3% 241 Hansen Natural Corp. (b) 8,529 667 PepsiAmericas, Inc. 17,142 ------------- 25,671 ------------- BIOTECHNOLOGY--0.5% 1,651 Millennium Pharmaceuticals, Inc. (b) 41,060 ------------- CAPITAL MARKETS--1.0% 1,613 Apollo Investment Corp. 26,098 528 Jefferies Group, Inc. 9,926 370 Raymond James Financial, Inc. 10,645 1,059 Waddell & Reed Financial, Inc., Class A 35,858 ------------- 82,527 ------------- CHEMICALS--4.1% 561 Airgas, Inc. 27,001 466 Albemarle Corp. 17,433 912 Cabot Corp. 26,594 411 CF Industries Holdings, Inc. 54,950 2,319 Chemtura Corp. 16,047 632 Cytec Industries, Inc. 37,294 613 FMC Corp. 38,484 307 Lubrizol (The) Corp. 17,904 136 Minerals Technologies, Inc. 9,213 1,219 RPM International, Inc. 27,184 289 Sensient Technologies Corp. 8,604 See Notes to Quarterly Portfolio of Investments Page 42 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 958 Terra Industries, Inc. (b) $ 36,270 858 Valspar (The) Corp. 18,859 ------------- 335,837 ------------- COMMERCIAL BANKS--1.6% 320 Associated Banc-Corp. 9,046 821 Cathay General Bancorp 13,998 172 City National Corp. 8,345 1,767 Colonial BancGroup (The), Inc. 14,383 951 First Community Bancorp, Inc. (b) 20,437 195 SVB Financial Group (b) 9,489 769 Synovus Financial Corp. 9,105 475 TCF Financial Corp. 8,265 611 Webster Financial Corp. 15,917 324 Westamerica Bancorporation 18,935 ------------- 127,920 ------------- COMMERCIAL SERVICES & SUPPLIES--4.7% 633 Brink's (The) Co. 46,050 536 ChoicePoint, Inc. (b) 25,916 439 Copart, Inc. (b) 17,942 928 Corrections Corp. of America (b) 23,664 886 Deluxe Corp. 18,836 693 Herman Miller, Inc. 16,168 1,266 HNI Corp. 27,561 1,656 Kelly Services, Inc., Class A 36,846 1,511 Korn/Ferry International (b) 28,195 605 Manpower, Inc. 40,614 207 Mine Safety Appliances Co. 7,694 2,880 MPS Group, Inc. (b) 30,902 2,242 Navigant Consulting, Inc. (b) 45,109 291 Republic Services, Inc. 9,251 481 Rollins, Inc. 7,662 165 Stericycle, Inc. (b) 8,808 ------------- 391,218 ------------- COMMUNICATIONS EQUIPMENT--1.9% 3,522 ADC Telecommunications, Inc. (b) 49,378 460 ADTRAN, Inc. 10,884 1,007 Avocent Corp. (b) 19,647 733 CommScope, Inc. (b) 34,854 735 Foundry Networks, Inc. (b) 9,357 351 Harris Corp. 18,965 378 Polycom, Inc. (b) 8,467 ------------- 151,552 ------------- COMPUTERS & PERIPHERALS--0.6% 1,574 Western Digital Corp. (b) 45,630 ------------- See Notes to Quarterly Portfolio of Investments Page 43 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING--1.8% 3,543 Dycom Industries, Inc. (b) $ 50,947 1,041 Granite Construction, Inc. 35,706 307 KBR, Inc. 8,854 1,102 Quanta Services, Inc. (b) 29,247 521 URS Corp. (b) 21,017 ------------- 145,771 ------------- CONSUMER FINANCE--0.7% 4,225 AmeriCredit Corp. (b) 58,981 ------------- CONTAINERS & PACKAGING--1.5% 874 AptarGroup, Inc. 38,587 762 Packaging Corp. of America 16,749 892 Sonoco Products Co. 29,391 3,345 Temple-Inland, Inc. 39,036 ------------- 123,763 ------------- DIVERSIFIED CONSUMER SERVICES--1.5% 407 DeVry, Inc. 23,199 529 Matthews International Corp., Class A 26,154 1,238 Regis Corp. 36,149 1,678 Service Corp. International 18,643 112 Strayer Education, Inc. 20,797 ------------- 124,942 ------------- ELECTRIC UTILITIES--2.2% 332 DPL, Inc. 9,240 1,381 Great Plains Energy, Inc. 35,409 357 Hawaiian Electric Industries, Inc. 8,800 795 IDACORP, Inc. 25,790 1,040 Northeast Utilities 27,373 2,695 Sierra Pacific Resources 36,732 1,495 Westar Energy, Inc. 34,669 ------------- 178,013 ------------- ELECTRICAL EQUIPMENT--1.5% 775 AMETEK, Inc. 37,603 584 Hubbell, Inc., Class B 26,122 429 Roper Industries, Inc. 26,649 936 Thomas & Betts Corp. (b) 35,063 ------------- 125,437 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.4% 457 Amphenol Corp., Class A 21,104 1,012 Arrow Electronics, Inc. (b) 27,537 1,040 Avnet, Inc. (b) 27,238 2,150 Ingram Micro, Inc., Class A (b) 36,572 6,319 KEMET Corp. (b) 25,718 See Notes to Quarterly Portfolio of Investments Page 44 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 326 National Instruments Corp. $ 9,591 259 Tech Data Corp. (b) 8,705 4,696 Vishay Intertechnology, Inc. (b) 44,376 ------------- 200,841 ------------- ENERGY EQUIPMENT & SERVICES--3.4% 132 Exterran Holdings, Inc. (b) 8,816 748 FMC Technologies, Inc. (b) 50,266 908 Helmerich & Payne, Inc. 48,805 1,625 Patterson-UTI Energy, Inc. 45,403 730 Pride International, Inc. (b) 30,989 1,074 Superior Energy Services, Inc. (b) 47,664 772 Tidewater, Inc. 50,349 ------------- 282,292 ------------- FOOD & STAPLES RETAILING--0.7% 1,192 BJ's Wholesale Club, Inc. (b) 45,439 231 Ruddick Corp. 8,940 ------------- 54,379 ------------- FOOD PRODUCTS--1.4% 917 Corn Products International, Inc. 42,531 817 Hormel Foods Corp. 32,198 336 J.M. Smucker (The) Co. 16,760 213 Lancaster Colony Corp. 8,134 661 Smithfield Foods, Inc. (b) 18,957 ------------- 118,580 ------------- GAS UTILITIES--1.3% 744 AGL Resources, Inc. 25,296 273 Energen Corp. 18,630 433 Equitable Resources, Inc. 28,738 180 National Fuel Gas Co. 9,212 191 ONEOK, Inc. 9,191 531 WGL Holdings, Inc. 17,417 ------------- 108,484 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.5% 264 Beckman Coulter, Inc. 18,031 220 DENTSPLY International, Inc. 8,551 191 Edwards Lifesciences Corp. (b) 10,585 327 Hill-Rom Holdings, Inc. 8,218 612 Hologic, Inc. (b) 17,864 131 Intuitive Surgical, Inc. (b) 37,894 184 Kinetic Concepts, Inc. (b) 7,297 634 STERIS Corp. 17,568 ------------- 126,008 ------------- See Notes to Quarterly Portfolio of Investments Page 45 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--3.7% 431 Apria Healthcare Group, Inc. (b) $ 7,594 1,267 Community Health Systems, Inc. (b) 47,551 276 Health Net, Inc. (b) 8,084 593 Henry Schein, Inc. (b) 32,834 1,556 Kindred Healthcare, Inc. (b) 36,924 1,549 LifePoint Hospitals, Inc. (b) 46,656 937 Omnicare, Inc. 19,068 753 Psychiatric Solutions, Inc. (b) 26,137 792 Universal Health Services, Inc., Class B 49,610 655 WellCare Health Plans, Inc. (b) 28,676 ------------- 303,134 ------------- HOTELS, RESTAURANTS & LEISURE--3.0% 1,234 Bob Evans Farms, Inc. 34,638 1,276 Boyd Gaming Corp. 23,925 1,835 Brinker International, Inc. 41,636 714 CBRL Group, Inc. 26,375 781 Cheesecake Factory (The), Inc. (b) 17,674 225 Chipotle Mexican Grill, Inc. (b) 22,079 207 International Speedway Corp., Class A 8,781 545 Life Time Fitness, Inc. (b) 19,811 5,673 Ruby Tuesday, Inc. 48,278 ------------- 243,197 ------------- HOUSEHOLD DURABLES--2.2% 1,376 American Greetings Corp., Class A 24,630 432 Blyth, Inc. 7,275 1,606 Hovnanian Enterprises, Inc., Class A (b) 18,983 583 MDC Holdings, Inc. 25,407 594 Mohawk Industries, Inc. (b) 45,256 57 NVR, Inc. (b) 34,970 1,087 Toll Brothers, lnc. (b) 24,610 ------------- 181,131 ------------- HOUSEHOLD PRODUCTS--0.5% 628 Church & Dwight Co., Inc. 35,683 94 Energizer Holdings, Inc. (b) 7,432 ------------- 43,115 ------------- INDUSTRIAL CONGLOMERATES--0.4% 1,018 Carlisle Cos., Inc. 29,400 ------------- INSURANCE--3.6% 1,332 American Financial Group, Inc. 36,523 472 Commerce Group (The), Inc. 17,200 475 Everest Re Group Ltd. 42,916 464 Fidelity National Financial, Inc., Class A 7,419 621 Hanover Insurance Group, Inc. 27,870 1,875 HCC Insurance Holdings, Inc. 46,276 974 Horace Mann Educators Corp. 16,480 See Notes to Quarterly Portfolio of Investments Page 46 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 576 Mercury General Corp. $ 28,737 1,318 Old Republic International Corp. 18,913 210 Protective Life Corp. 8,950 535 StanCorp Financial Group, Inc. 27,413 241 Unitrin, Inc. 9,144 307 W.R. Berkley Corp. 7,887 ------------- 295,728 ------------- INTERNET & CATALOG RETAIL--0.5% 1,228 NetFlix, Inc. (b) 39,271 ------------- IT SERVICES--2.4% 2,868 Acxiom Corp. 33,928 484 Broadridge Financial Solutions, Inc. 9,012 2,245 CSG Systems International, Inc. (b) 27,165 880 Gartner, Inc. (b) 20,170 617 Global Payments, Inc. 27,308 2,129 Metavante Technologies, Inc. (b) 50,181 321 NeuStar, Inc., Class A (b) 8,831 700 SRA International, Inc., Class A (b) 18,389 ------------- 194,984 ------------- LEISURE EQUIPMENT & PRODUCTS--0.2% 1,159 Callaway Golf Co. 15,925 ------------- LIFE SCIENCES TOOLS & SERVICES--1.8% 433 Charles River Laboratories International, Inc. (b) 25,136 410 Covance, Inc. (b) 34,354 199 Invitrogen Corp. (b) 18,620 812 Pharmaceutical Product Development, Inc. 33,633 379 Techne Corp. (b) 27,485 147 Varian, Inc. (b) 7,487 ------------- 146,715 ------------- MACHINERY--7.2% 711 AGCO Corp. (b) 42,752 633 Crane Co. 25,915 634 Donaldson Co., Inc. 27,604 610 Federal Signal Corp. 8,467 408 Flowserve Corp. 50,630 235 Graco, Inc. 9,731 615 Harsco Corp. 36,488 555 IDEX Corp. 20,363 392 Joy Global, Inc. 29,106 1,157 Kennametal, Inc. 40,229 396 Lincoln Electric Holdings, Inc. 30,215 632 Nordson Corp. 37,307 704 Oshkosh Truck Corp. 28,582 534 Pentair, Inc. 19,667 406 SPX Corp. 49,939 See Notes to Quarterly Portfolio of Investments Page 47 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,145 Timken (The) Co. $ 41,392 1,597 Trinity Industries, Inc. 48,549 1,130 Wabtec Corp. 48,454 ------------- 595,390 ------------- MARINE--0.2% 395 Alexander & Baldwin, Inc. 19,841 ------------- MEDIA--2.9% 266 Getty Images, Inc. (b) 8,685 2,490 Harte-Hanks, Inc. 34,013 643 John Wiley & Sons, Inc., Class A 29,610 4,251 Lee Enterprises, Inc. 32,860 2,428 Media General, Inc., Class A 35,643 1,406 Scholastic Corp. (b) 39,579 3,922 Valassis Communications, Inc. (b) 55,693 ------------- 236,083 ------------- METALS & MINING--2.2% 304 Carpenter Technology Corp. 15,589 355 Cleveland-Cliffs, Inc. 56,942 1,136 Commercial Metals Co. 35,375 711 Reliance Steel & Aluminum Co. 43,215 258 Steel Dynamics, Inc. 8,991 1,009 Worthington Industries, Inc. 18,172 ------------- 178,284 ------------- MULTILINE RETAIL--0.2% 617 Dollar Tree, Inc. (b) 19,497 ------------- MULTI-UTILITIES--4.2% 1,215 Alliant Energy Corp. 45,769 2,651 Aquila, Inc. (b) 9,544 951 Black Hills Corp. 37,099 1,058 Energy East Corp. 24,122 1,387 MDU Resources Group, Inc. 40,043 559 NSTAR 18,005 1,092 OGE Energy Corp. 35,697 2,730 PNM Resources, Inc. 39,558 987 Puget Energy, Inc. 26,856 698 SCANA Corp. 27,522 952 Vectren Corp. 26,923 387 Wisconsin Energy Corp. 18,367 ------------- 349,505 ------------- OFFICE ELECTRONICS--0.2% 511 Zebra Technologies Corp., Class A (b) 18,779 ------------- See Notes to Quarterly Portfolio of Investments Page 48 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS--5.5% 391 Arch Coal, Inc. $ 22,428 540 Bill Barrett Corp. (b) 27,772 777 Cimarex Energy Co. 48,407 1,192 Denbury Resources, Inc. (b) 36,428 1,056 Encore Acquisition Co. (b) 48,185 348 Forest Oil Corp. (b) 20,508 322 Newfield Exploration Co. (b) 19,565 607 Overseas Shipholding Group, Inc. 45,683 693 Pioneer Natural Resources Co. 40,007 641 Plains Exploration & Production Co. (b) 39,921 1,165 Quicksilver Resources, Inc. (b) 48,336 1,263 Southwestern Energy Co. (b) 53,438 ------------- 450,678 ------------- PERSONAL PRODUCTS--0.4% 1,242 Alberto-Culver Co. 31,261 ------------- PHARMACEUTICALS--0.6% 1,128 Perrigo Co. 46,237 ------------- REAL ESTATE INVESTMENT TRUSTS--0.4% 500 Hospitality Properties Trust 16,065 206 Potlatch Corp. 9,231 196 Rayonier, Inc. 8,238 ------------- 33,534 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.3% 330 Jones Lang LaSalle, Inc. 25,611 ------------- ROAD & RAIL--2.2% 3,205 Avis Budget Group, Inc. (b) 42,562 172 Con-way, Inc. 7,955 1,354 J.B. Hunt Transport Services, Inc. 45,996 849 Kansas City Southern (b) 38,273 2,293 Werner Enterprises, Inc. 44,599 ------------- 179,385 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.1% 2,445 Atmel Corp. (b) 9,095 609 Cree, Inc. (b) 15,834 1,802 Cypress Semiconductor Corp. (b) 50,672 2,142 Fairchild Semiconductor International, Inc. (b) 27,932 1,906 Integrated Device Technology, Inc. (b) 20,375 1,187 International Rectifier Corp. (b) 27,016 332 Intersil Corp., Class A 8,871 1,113 Lam Research Corp. (b) 45,455 15,996 RF Micro Devices, Inc. (b) 53,907 ------------- 259,157 ------------- See Notes to Quarterly Portfolio of Investments Page 49 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SOFTWARE--2.5% 427 ACI Worldwide, Inc. (b) $ 9,437 1,246 Activision, Inc. (b) 33,704 200 Advent Software, Inc. (b) 7,972 3,984 Cadence Design Systems, Inc. (b) 44,342 1,035 Jack Henry & Associates, Inc. 27,200 514 McAfee, Inc. (b) 17,091 964 Mentor Graphics Corp. (b) 9,707 1,065 Parametric Technology Corp. (b) 18,563 1,294 Sybase, Inc. (b) 38,069 ------------- 206,085 ------------- SPECIALTY RETAIL--7.2% 500 Advance Auto Parts, Inc. 17,340 1,569 Aeropostale, Inc. (b) 49,880 1,760 AnnTaylor Stores Corp. (b) 44,528 833 Barnes & Noble, Inc. 26,889 4,349 Borders Group, Inc. 27,399 1,315 CarMax, Inc. (b) 27,286 8,809 Charming Shoppes, Inc. (b) 45,454 6,740 Coldwater Creek, Inc. (b) 35,992 3,511 Collective Brands, Inc. (b) 43,431 1,271 Dick's Sporting Goods, Inc. (b) 36,351 2,169 Foot Locker, Inc. 27,438 631 Guess?, Inc. 24,155 298 O'Reilly Automotive, Inc. (b) 8,603 1,665 PetSmart, Inc. 37,263 1,855 Rent-A-Center, Inc. (b) 39,938 1,420 Ross Stores, Inc. 47,556 1,357 Urban Outfitters, Inc. (b) 46,477 351 Williams-Sonoma, Inc. 9,266 ------------- 595,246 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.4% 1,166 Hanesbrands, Inc. (b) 40,833 673 Phillips-Van Heusen Corp. 28,407 1,079 Warnaco Group (The), Inc. (b) 49,786 ------------- 119,026 ------------- THRIFTS & MORTGAGE FINANCE--0.6% 626 First Niagara Financial Group, Inc. 9,033 7,311 PMI Group (The), Inc. 41,161 ------------- 50,194 ------------- TOBACCO--0.2% 260 Universal Corp. 16,689 ------------- TRADING COMPANIES & DISTRIBUTORS--1.8% 741 Fastenal Co. 36,168 871 GATX Corp. 38,324 See Notes to Quarterly Portfolio of Investments Page 50 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 604 MSC Industrial Direct Co., Inc., Class A $ 29,451 2,258 United Rentals, Inc. (b) 42,541 ------------- 146,484 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.5% 1,084 Telephone and Data Systems, Inc. 41,517 ------------- TOTAL COMMON STOCKS--100.0% (Cost $8,285,155) 8,234,395 MONEY MARKET FUND--0.8% 65,421 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $65,421) 65,421 ------------- TOTAL INVESTMENTS--100.8% (Cost $8,350,576) (d) 8,299,816 NET OTHER ASSETS AND LIABILITIES--(0.8)% (64,308) ------------- NET ASSETS--100.0% $ 8,235,508 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $645,125 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $695,885. See Notes to Quarterly Portfolio of Investments Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.0% 401 AAR Corp. (b) $ 9,383 618 Applied Signal Technology, Inc. 7,070 128 Cubic Corp. 3,470 264 Curtiss-Wright Corp. 12,537 362 Esterline Technologies Corp. (b) 20,150 709 GenCorp, Inc. (b) 6,076 346 Moog, Inc., Class A (b) 14,916 233 Teledyne Technologies, Inc. (b) 13,684 192 Triumph Group, Inc. 11,303 ------------- 98,589 ------------- AEROSPACE/DEFENSE--0.4% 757 Orbital Sciences Corp. (b) 20,371 ------------- AIR FREIGHT & LOGISTICS--0.6% 412 Forward Air Corp. 14,045 555 Hub Group, Inc., Class A (b) 18,143 ------------- 32,188 ------------- AIRLINES--0.3% 864 Skywest, Inc. 16,442 ------------- AUTO COMPONENTS--0.6% 863 Spartan Motors, Inc. 8,104 2,981 Standard Motor Products, Inc. 18,124 176 Superior Industries International, Inc. 3,575 ------------- 29,803 ------------- AUTOMOBILES--0.3% 770 Monaco Coach Corp. 4,874 648 Winnebago Industries, Inc. 10,426 ------------- 15,300 ------------- BEVERAGES--0.3% 384 Boston Beer (The) Co., Inc., Class A (b) 17,011 ------------- BIOTECHNOLOGY--1.2% 396 Cubist Pharmaceuticals, Inc. (b) 7,667 434 LifeCell Corp. (b) 22,038 477 Martek Biosciences Corp. (b) 16,819 380 Regeneron Pharmaceuticals, Inc. (b) 7,456 182 Savient Pharmaceuticals, Inc. (b) 3,975 ------------- 57,955 ------------- BUILDING PRODUCTS--1.8% 948 Apogee Enterprises, Inc. 21,151 933 Gibraltar Industries, Inc. 9,750 2,121 Griffon Corp. (b) 19,831 203 Lennox International, Inc. 6,727 See Notes to Quarterly Portfolio of Investments Page 52 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 754 NCI Building Systems, Inc. (b) $ 18,202 134 Simpson Manufacturing Co., Inc. 3,536 340 Universal Forest Products, Inc. 11,801 ------------- 90,998 ------------- CAPITAL MARKETS--0.8% 316 Investment Technology Group, Inc. (b) 15,250 430 Piper Jaffray Cos., Inc. (b) 16,022 597 SWS Group, Inc. 7,833 ------------- 39,105 ------------- CHEMICALS--1.8% 355 A. Schulman, Inc. 7,526 98 Arch Chemicals, Inc. 3,339 536 H.B. Fuller Co. 12,371 940 Material Sciences Corp. (b) 7,464 242 NewMarket Corp. 15,712 201 OM Group, Inc. (b) 11,007 672 Penford Corp. 14,757 1,146 PolyOne Corp. (b) 8,457 3,742 Tronox, Inc., Class B 11,189 ------------- 91,822 ------------- COMMERCIAL BANKS--2.8% 1,145 Cascade Bancorp 10,442 163 Columbia Banking System, Inc. 4,414 822 East West Bancorp, Inc. 11,705 359 First BanCorp 3,694 206 Frontier Financial Corp. 3,296 381 Glacier Bancorp, Inc. 7,841 174 Hancock Holding Co. 7,181 562 Nara Bancorp, Inc. 7,379 201 National Penn Bancshares, Inc. 3,355 232 PrivateBancorp, Inc. 7,886 255 Prosperity Bancshares, Inc. 7,897 1,359 Provident Bankshares Corp. 17,410 246 South Financial Group (The), Inc. 1,486 367 Sterling Bancshares, Inc. 3,813 935 Sterling Financial Corp. 11,416 266 UMB Financial Corp. 13,204 235 Umpqua Holdings Corp. 3,466 215 United Community Banks, Inc. 2,952 294 Whitney Holding Corp. 6,883 104 Wintrust Financial Corp. 3,299 ------------- 139,019 ------------- COMMERCIAL SERVICES & SUPPLIES--5.0% 163 ABM Industries, Inc. 3,413 309 Administaff, Inc. 8,093 610 Angelica Corp. 9,858 718 Bowne & Co., Inc. 11,948 See Notes to Quarterly Portfolio of Investments Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 291 CDI Corp. $ 7,915 260 Consolidated Graphics., Inc. (b) 15,123 410 G&K Services, Inc., Class A 12,927 707 Healthcare Services Group, Inc. 10,789 449 Heidrick & Struggles International, Inc. 13,439 519 Interface, Inc., Class A 6,664 384 Mobile Mini, Inc. (b) 8,160 2,298 On Assignment, Inc. (b) 16,154 347 School Specialty, Inc. (b) 10,216 2,981 Spherion Corp. (b) 14,726 1,037 Sykes Enterprises, Inc. (b) 17,235 374 Tetra Tech, Inc. (b) 7,903 1,086 TrueBlue, Inc. (b) 13,825 229 United Stationers, Inc. (b) 10,097 203 Viad Corp. 6,386 1,076 Volt Information Sciences, Inc. (b) 14,354 356 Waste Connections, Inc. (b) 11,417 321 Watson Wyatt Worldwide, Inc., Class A 18,816 ------------- 249,458 ------------- COMMUNICATIONS EQUIPMENT--1.5% 3,134 Arris Group, Inc. (b) 25,385 393 Bel Fuse, Inc., Class B 10,246 355 Black Box Corp. 10,554 94 Comtech Telecommunications Corp. (b) 3,641 1,265 Digi International, Inc. (b) 10,424 2,785 Tollgrade Communications, Inc. (b) 14,036 ------------- 74,286 ------------- COMPUTERS & PERIPHERALS--0.8% 917 Hutchinson Technology, Inc. (b) 12,966 282 Intevac, Inc. (b) 3,745 1,885 Novatel Wireless, Inc. (b) 16,814 153 Synaptics, Inc. (b) 5,193 ------------- 38,718 ------------- CONSTRUCTION & ENGINEERING--0.6% 329 EMCOR Group, Inc. (b) 8,245 264 Insituform Technologies, Inc., Class A (b) 4,467 310 Shaw Group (The), Inc. (b) 15,320 ------------- 28,032 ------------- CONSTRUCTION MATERIALS--0.2% 553 Headwaters, Inc. (b) 6,321 61 Texas Industries, Inc. 4,722 ------------- 11,043 ------------- CONSUMER FINANCE--0.8% 501 Cash America International, Inc. 20,436 814 Rewards Network, Inc. (b) 3,923 See Notes to Quarterly Portfolio of Investments Page 54 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 458 World Acceptance Corp. (b) $ 18,036 ------------- 42,395 ------------- CONTAINERS & PACKAGING--0.7% 2,276 Chesapeake Corp. (b) 9,969 834 Myers Industries, Inc. 10,492 365 Rock-Tenn Co., Class A 12,384 ------------- 32,845 ------------- DISTRIBUTORS--0.8% 342 Audiovox Corp., Class A (b) 3,735 4,165 Building Materials Holding Corp. 19,409 812 LKQ Corp. (b) 17,669 ------------- 40,813 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 424 Bright Horizons Family Solutions, Inc. (b) 20,102 130 Coinstar, Inc. (b) 4,146 ------------- 24,248 ------------- DIVERSIFIED FINANCIAL SERVICES--0.2% 167 Financial Federal Corp. 3,899 170 Portfolio Recovery Associates, Inc. (b) 7,482 ------------- 11,381 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% 404 FairPoint Communications, Inc. 3,721 1,783 General Communication, Inc., Class A (b) 11,072 ------------- 14,793 ------------- ELECTRIC UTILITIES--1.7% 283 ALLETE, Inc. 11,821 458 Central Vermont Public Service Corp. 10,671 822 Cleco Corp. 19,736 512 El Paso Electric Co. (b) 11,556 363 UIL Holdings Corp. 11,362 656 Unisource Energy Corp. 20,494 ------------- 85,640 ------------- ELECTRICAL EQUIPMENT--1.7% 444 A.O. Smith Corp. 13,737 170 Acuity Brands, Inc. 8,133 261 Baldor Electric Co. 8,456 413 Belden, Inc. 13,935 437 Brady Corp., Class A 14,836 498 Regal-Beloit Corp. 18,472 See Notes to Quarterly Portfolio of Investments Page 55 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 273 Woodward Governor Co. $ 9,590 ------------- 87,159 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--5.6% 228 Anixter International, Inc. (b) 12,989 813 Benchmark Electronics, Inc. (b) 14,455 436 Brightpoint, Inc. (b) 3,994 679 Checkpoint Systems, Inc. (b) 17,606 1,364 CTS Corp. 15,345 443 Electro Scientific Industries, Inc. (b) 7,270 351 FARO Technologies, Inc. (b) 12,369 606 FLIR Systems, Inc. (b) 20,804 1,231 Gerber Scientific, Inc. (b) 11,411 834 Insight Enterprises, Inc. (b) 10,058 202 Itron, Inc. (b) 18,802 209 Littelfuse, Inc. (b) 7,683 1,560 Methode Electronics, Inc. 16,910 226 MTS Systems Corp. 7,770 1,307 Newport Corp. (b) 15,044 282 Park Electrochemical Corp. 7,642 650 Plexus Corp. (b) 15,659 504 ScanSource, Inc. (b) 12,585 516 SYNNEX Corp. (b) 12,322 473 Technitrol, Inc. 9,933 255 Trimble Navigation Ltd. (b) 8,361 1,611 TTM Technologies, Inc. (b) 21,442 611 X-Rite, Inc. (b) 1,540 ------------- 281,994 ------------- ENERGY EQUIPMENT & SERVICES--5.3% 159 Atwood Oceanics, Inc. (b) 16,010 826 Basic Energy Services, Inc. (b) 19,163 340 Bristow Group, Inc. (b) 17,935 91 CARBO Ceramics, Inc. 4,325 79 Dril-Quip, Inc. (b) 4,516 508 Gulf Island Fabrication, Inc. 20,085 116 Helix Energy Solutions Group, Inc. (b) 4,008 399 Hornbeck Offshore Services, Inc. (b) 19,897 1,058 ION Geophysical Corp. (b) 16,854 229 Lufkin Industries, Inc. 17,278 425 Matrix Service Co. (b) 8,547 156 NATCO Group, Inc., Class A (b) 7,894 174 Oceaneering International, Inc. (b) 11,620 1,145 Pioneer Drilling Co. (b) 18,698 214 SEACOR Holdings, Inc. (b) 18,214 834 Superior Well Services, Inc. (b) 19,858 461 TETRA Technologies, Inc. (b) (b) 7,496 193 Unit Corp. (b) 12,257 265 W-H Energy Services, Inc. (b) 20,481 ------------- 265,136 ------------- See Notes to Quarterly Portfolio of Investments Page 56 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING--1.3% 409 Andersons (The), Inc. $ 18,588 646 Casey's General Stores, Inc. 14,296 278 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 7,651 172 Longs Drug Stores Corp. 6,890 107 Nash Finch Co. 3,914 112 Performance Food Group Co. (b) 3,748 350 Spartan Stores, Inc. 7,308 ------------- 62,395 ------------- FOOD PRODUCTS--1.9% 737 Flowers Foods, Inc. 19,081 371 Hain Celestial Group (The), Inc. (b) 9,156 398 J & J Snack Foods Corp. 11,399 186 Lance, Inc. 3,899 314 Ralcorp Holdings, Inc. (b) 19,167 480 Sanderson Farms, Inc. 20,001 479 TreeHouse Foods, Inc. (b) 10,859 ------------- 93,562 ------------- GAS UTILITIES--1.4% 572 Atmos Energy Corp. 15,834 102 Laclede Group (The), Inc. 3,858 168 Northwest Natural Gas Co. 7,538 139 Piedmont Natural Gas Co., Inc. 3,654 104 South Jersey Industries, Inc. 3,797 470 Southern Union Co. 12,041 522 Southwest Gas Corp. 15,070 293 UGI Corp. 7,618 ------------- 69,410 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.8% 157 Abaxis, Inc. (b) 4,000 257 American Medical Systems Holdings, Inc. (b) 3,624 110 Analogic Corp. 6,335 219 ArthroCare Corp. (b) 9,868 427 CONMED Corp. (b) 10,897 1,553 CryoLife, Inc. (b) 16,493 252 Cyberonics, Inc. (b) 3,982 88 Datascope Corp. 3,296 396 Greatbatch, Inc. (b) 7,199 184 Haemonetics Corp. (b) 10,530 148 IDEXX Laboratories, Inc. (b) 7,874 336 Integra LifeSciences Holdings (b) 14,236 252 Kensey Nash Corp. (b) 7,348 142 Mentor Corp. 4,156 437 Meridian Bioscience, Inc. 11,768 1,152 Merit Medical Systems, Inc. (b) 16,947 1,536 Osteotech, Inc. (b) 7,772 87 SurModics, Inc. (b) 3,869 220 Symmetry Medical, Inc. (b) 3,087 3,704 Theragenics Corp. (b) 15,742 72 Vital Signs, Inc. 3,768 See Notes to Quarterly Portfolio of Investments Page 57 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 330 West Pharmaceutical Services, Inc. $ 15,480 ------------- 188,271 ------------- HEALTH CARE PROVIDERS & SERVICES--3.5% 302 Air Methods Corp. (b) 12,110 371 Amedisys, Inc. (b) 19,218 400 AMERIGROUP Corp. (b) 10,396 237 AMN Healthcare Services, Inc. (b) 3,458 462 AmSurg Corp. (b) 11,799 523 Centene Corp. (b) 9,608 86 Chemed Corp. 2,933 885 Cross Country Healthcare, Inc. (b) 10,585 734 HealthExtras, Inc. (b) 20,712 511 HMS Holdings Corp. (b) 13,168 127 inVentiv Health, Inc. (b) 3,776 164 Matria Healthcare, Inc. (b) 4,182 802 MedCath Corp. (b) 14,885 149 Molina Healthcare, Inc. (b) 3,700 405 Odyssey HealthCare, Inc. (b) 3,706 162 Pediatrix Medical Group, Inc. (b) 11,019 219 PSS World Medical, Inc. (b) 3,607 486 RehabCare Group, Inc. (b) 8,262 638 Res-Care, Inc. (b) 10,393 ------------- 177,517 ------------- HEALTH CARE TECHNOLOGY--0.2% 354 Allscripts Healthcare Solutions, Inc. (b) 3,950 182 Omnicell, Inc. (b) 2,188 214 Phase Forward, Inc. (b) 3,938 ------------- 10,076 ------------- HOTELS, RESTAURANTS & LEISURE--5.1% 149 Buffalo Wild Wings, Inc. (b) 4,582 835 California Pizza Kitchen, Inc. (b) 13,018 253 CEC Entertainment, Inc. (b) 9,412 650 CKE Restaurants, Inc. 6,819 229 IHOP Corp. 10,681 272 Jack in the Box, Inc. (b) 7,276 1,121 Landry's Restaurants, Inc. 17,902 190 Marcus (The) Corp. 3,152 2,733 Multimedia Games, Inc. (b) 11,643 1,267 O'Charley's, Inc. 14,697 513 P.F. Chang's China Bistro, Inc. (b) 15,918 348 Panera Bread Co., Class A (b) 18,186 452 Papa John's International, Inc. (b) 12,204 155 Peet's Coffee & Tea, Inc. (b) 3,601 570 Pinnacle Entertainment, Inc. (b) 8,846 486 Red Robin Gourmet Burgers, Inc. (b) 19,964 2,640 Ruth's Chris Steak House, Inc. (b) 19,403 497 Sonic Corp. (b) 10,929 1,854 Steak n Shake (The) Co. (b) 14,684 745 Texas Roadhouse, Inc., Class A (b) 8,791 See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,056 Triarc Cos., Inc., Class B $ 7,498 406 WMS Industries, Inc. (b) 14,693 ------------- 253,899 ------------- HOUSEHOLD DURABLES--1.2% 385 Ethan Allen Interiors, Inc. 10,576 437 La-Z-Boy, Inc. 2,784 567 Meritage Homes Corp. (b) 10,756 279 National Presto Industries, Inc. 15,119 519 Russ Berrie and Co., Inc. (b) 7,276 1,501 Standard Pacific Corp. (b) 7,595 151 Universal Electronics, Inc. (b) 3,881 ------------- 57,987 ------------- HOUSEHOLD PRODUCTS--0.1% 219 WD-40 Co. 6,815 ------------- INDUSTRIAL CONGLOMERATES--0.4% 490 Standex International Corp. 10,330 601 Tredegar Corp. 9,820 ------------- 20,150 ------------- INSURANCE--2.6% 374 Delphi Financial Group, Inc., Class A 10,180 232 Hilb Rogal & Hobbs Co. 6,712 439 Infinity Property & Casualty Corp. 17,016 268 Navigators Group (The), Inc. (b) 13,132 628 Presidential Life Corp. 10,651 136 ProAssurance Corp. (b) 7,198 368 RLI Corp. 17,664 534 Safety Insurance Group, Inc. 19,171 132 SCPIE Holdings, Inc. (b) 3,667 458 Selective Insurance Group, Inc. 9,765 290 Tower Group, Inc. 6,812 293 United Fire & Casualty Co. 9,654 ------------- 131,622 ------------- INTERNET & CATALOG RETAIL--0.2% 67 Blue Nile, Inc. (b) 3,328 658 PetMed Express, Inc. (b) 7,383 ------------- 10,711 ------------- INTERNET SOFTWARE & SERVICES--1.1% 293 Bankrate, Inc. (b) 15,306 163 j2 Global Communications, Inc. (b) 3,488 932 Knot (The), Inc. (b) 10,942 1,378 Perficient, Inc. (b) 12,650 See Notes to Quarterly Portfolio of Investments Page 59 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 584 Websense, Inc. (b) $ 11,359 ------------- 53,745 ------------- IT SERVICES--2.4% 320 CACI International Inc., Class A (b) 16,038 3,723 CIBER, Inc. (b) 23,307 749 Cybersource Corp. (b) 13,594 1,685 Gevity HR, Inc. 11,492 402 ManTech International Corp., Class A (b) 19,204 298 MAXIMUS, Inc. 11,300 760 SI International, Inc. (b) 17,434 396 StarTek, Inc. (b) 3,734 119 Wright Express Corp. (b) 3,927 ------------- 120,030 ------------- LEISURE EQUIPMENT & PRODUCTS--1.0% 1,501 Arctic Cat, Inc. 11,378 662 JAKKS Pacific, Inc. (b) 15,550 178 Polaris Industries, Inc. 8,286 522 RC2 Corp. (b) 9,657 886 Sturm, Ruger & Co., Inc. (b) 6,663 ------------- 51,534 ------------- LIFE SCIENCES TOOLS & SERVICES--0.9% 95 Dionex Corp. (b) 7,431 406 Kendle International, Inc. (b) 17,332 699 PAREXEL International Corp. (b) 17,754 145 Pharmanet Development Group, Inc. (b) 3,460 ------------- 45,977 ------------- MACHINERY--4.3% 303 Albany International Corp., Class A 10,999 282 Astec Industries, Inc. (b) 10,335 477 Barnes Group, Inc. 12,440 204 Briggs & Stratton Corp. 3,105 370 Cascade Corp. 16,003 205 CLARCOR, Inc. 8,602 351 EnPro Industries, Inc. (b) 12,741 492 Gardner Denver, Inc. (b) 22,853 83 Kaydon Corp. 4,347 178 Lindsay Corp. 18,533 1,275 Lydall, Inc. (b) 14,854 632 Mueller Industries, Inc. 20,458 447 Robbins & Myers, Inc. 17,817 208 Valmont Industries, Inc. 20,480 1,623 Wabash National Corp. 13,601 See Notes to Quarterly Portfolio of Investments Page 60 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 390 Watts Water Technologies, Inc., Class A $ 10,479 ------------- 217,647 ------------- MARINE--0.4% 320 Kirby Corp. (b) 17,549 ------------- MEDIA--0.2% 85 Arbitron, Inc. 4,066 602 Live Nation, Inc. (b) 8,302 ------------- 12,368 ------------- METALS & MINING--1.2% 541 A.M. Castle & Co. 16,722 350 AMCOL International Corp. 10,395 275 Century Aluminum Co. (b) 19,055 323 RTI International Metals, Inc. (b) 13,304 ------------- 59,476 ------------- MULTILINE RETAIL--0.7% 1,424 Fred's, Inc. 15,778 3,522 Tuesday Morning Corp. (b) 19,160 ------------- 34,938 ------------- MULTI-UTILITIES--0.4% 373 Avista Corp. 7,658 281 CH Energy Group, Inc. 9,936 ------------- 17,594 ------------- OIL, GAS & CONSUMABLE FUELS--2.5% 215 Cabot Oil & Gas Corp. 12,249 248 Penn Virginia Corp. 13,020 158 Petroleum Development Corp. (b) 11,886 1,052 PetroQuest Energy, Inc. (b) 21,860 379 St. Mary Land & Exploration Co. 16,570 349 Stone Energy Corp. (b) 21,268 405 Swift Energy Co. (b) 21,117 390 World Fuel Services Corp. 9,578 ------------- 127,548 ------------- PAPER & FOREST PRODUCTS--1.0% 1,635 Buckeye Technologies, Inc. (b) 14,109 66 Deltic Timber Corp. 3,482 566 Neenah Paper, Inc. 13,007 315 Schweitzer-Mauduit International, Inc. 6,971 1,767 Wausau Paper Corp. 13,677 ------------- 51,246 ------------- See Notes to Quarterly Portfolio of Investments Page 61 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS--0.4% 165 Chattem, Inc. (b) $ 11,530 1,023 Mannatech, Inc. 6,680 ------------- 18,210 ------------- PHARMACEUTICALS--0.9% 2,905 Salix Pharmaceuticals, Ltd. (b) 20,393 374 Sciele Pharma, Inc. (b) 7,207 2,041 ViroPharma, Inc. (b) 18,696 ------------- 46,296 ------------- REAL ESTATE INVESTMENT TRUSTS--1.1% 759 Colonial Properties Trust 18,390 288 DiamondRock Hospitality Co. 3,672 74 Entertainment Properties Trust 3,949 901 Extra Space Storage, Inc. 15,164 142 LTC Properties, Inc. 3,867 645 Medical Properties Trust, Inc. 7,837 165 National Retail Properties, Inc. 3,780 ------------- 56,659 ------------- ROAD & RAIL--1.5% 573 Arkansas Best Corp. 22,622 512 Heartland Express, Inc. 7,921 665 Knight Transportation, Inc. 11,298 350 Landstar System, Inc. 18,186 573 Old Dominion Freight Line, Inc. (b) 17,591 ------------- 77,618 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.8% 1,376 Advanced Energy Industries, Inc. (b) 19,264 131 ATMI, Inc. (b) 3,857 652 Axcelis Technologies, Inc. (b) 3,521 1,126 Brooks Automation, Inc. (b) 11,665 227 Cabot Microelectronics Corp. (b) 7,729 701 Cymer, Inc. (b) 18,219 167 FEI Co. (b) 3,652 1,372 Kopin Corp. (b) 4,089 3,053 Kulicke & Soffa Industries, Inc. (b) 20,119 787 Micrel, Inc. 7,728 320 Microsemi Corp. (b) 7,840 682 MKS Instruments, Inc. (b) 15,584 746 Pericom Semiconductor Corp. (b) 12,712 1,910 Photronics, Inc. (b) 20,246 747 Rudolph Technologies, Inc. (b) 7,590 1,002 Skyworks Solutions, Inc. (b) 8,707 125 Standard Microsystems Corp. (b) 3,706 358 Supertex, Inc. (b) 7,683 130 Varian Semiconductor Equipment Associates, Inc. (b) 4,762 ------------- 188,673 ------------- See Notes to Quarterly Portfolio of Investments Page 62 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SOFTWARE--3.4% 359 Ansoft Corp. (b) $ 11,904 317 ANSYS, Inc. (b) 12,753 301 Blackbaud, Inc. 7,070 353 Concur Technologies, Inc. (b) 11,698 326 Epicor Software Corp. (b) 2,608 68 Factset Research Systems, Inc. 4,082 855 Informatica Corp. (b) 13,646 800 JDA Software Group, Inc. (b) 15,120 159 Manhattan Associates, Inc. (b) 4,136 434 MICROS Systems, Inc. (b) 15,472 932 Phoenix Technologies Ltd. (b) 10,988 244 Progress Software Corp. (b) 7,376 122 Quality Systems, Inc. 3,919 522 Radiant Systems, Inc. (b) 7,042 282 SPSS, Inc. (b) 11,912 572 Take-Two Interactive Software, Inc. (b) 15,009 1,044 Tyler Technologies, Inc. (b) 15,107 ------------- 169,842 ------------- SPECIALTY RETAIL--7.9% 847 Aaron Rents, Inc. 21,090 2,080 Big 5 Sporting Goods Corp. 19,115 1,210 Brown Shoe Co., Inc. 20,183 1,031 Cabela's, Inc., Class A (b) 13,949 1,221 Cato (The) Corp., Class A 21,062 1,052 Charlotte Russe Holding, Inc. (b) 16,706 594 Children's Place Retail Stores (The), Inc. (b) 13,811 282 Dress Barn (The), Inc. (b) 3,796 3,832 Finish Line (The), Inc., Class A 25,175 631 Genesco, Inc. (b) 13,983 622 Group 1 Automotive, Inc. 16,595 457 Gymboree (The) Corp. (b) 19,752 686 Haverty Furniture Cos., Inc. 6,263 4,233 Hot Topic, Inc. (b) 22,476 991 Jo-Ann Stores, Inc. (b) 18,770 1,795 Lithia Motors, Inc., Class A 16,155 878 MarineMax, Inc. (b) 10,009 784 Men's Wearhouse (The), Inc. 20,878 424 Midas, Inc. (b) 6,585 1,099 Pep Boys-Manny, Moe & Jack (The) 9,803 888 Sonic Automotive, Inc., Class A 18,018 676 Stage Stores, Inc. 10,640 3,246 Stein Mart, Inc. 17,301 369 Tractor Supply Co. (b) 13,122 442 Tween Brands, Inc. (b) 8,398 554 Zale Corp. (b) 11,479 ------------- 395,114 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.9% 102 Deckers Outdoor Corp. (b) 14,083 119 Fossil, Inc. (b) 4,259 210 Iconix Brand Group, Inc. (b) 3,343 448 Maidenform Brands, Inc. (b) 6,675 See Notes to Quarterly Portfolio of Investments Page 63 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 936 Movado Group, Inc. $ 20,443 810 Oxford Industries, Inc. 22,511 669 Perry Ellis International, Inc. (b) 15,280 744 Quiksilver, Inc. (b) 7,239 722 Skechers U.S.A., Inc., Class A (b) 17,075 393 UniFirst Corp. 18,396 503 Wolverine World Wide, Inc. 14,456 ------------- 143,760 ------------- THRIFTS & MORTGAGE FINANCE--1.4% 192 Anchor BanCorp Wisconsin, Inc. 2,916 2,913 BankUnited Financial Corp., Class A 11,448 1,500 Corus Bankshares, Inc. 10,995 397 Downey Financial Corp. 5,614 672 FirstFed Financial Corp. (b) 10,268 1,516 Flagstar Bancorp, Inc. 9,278 6,020 Franklin Bank Corp. (b) 9,331 687 Guaranty Financial Group, Inc. (b) 5,256 2,189 Triad Guaranty, Inc. (b) 4,991 ------------- 70,097 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 244 Applied Industrial Technologies, Inc. 5,895 129 Kaman Corp. 3,496 132 Lawson Products 3,350 88 Watsco, Inc. 3,993 ------------- 16,734 ------------- TOTAL COMMON STOCKS--100.0% (Cost $5,546,858) 5,011,614 MONEY MARKET FUND--1.6% 79,658 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $79,658) 79,658 ------------- TOTAL INVESTMENTS)--101.6% (Cost $5,626,516) (d) 5,091,272 NET OTHER ASSETS AND LIABILITIES--(1.6%) (78,877) ------------- NET ASSETS--100.0% $ 5,012,395 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. See Notes to Quarterly Portfolio of Investments Page 64 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $248,600 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $783,844. See Notes to Quarterly Portfolio of Investments Page 65 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--0.8% 929 Northrop Grumman Corp. $ 68,347 236 Precision Castparts Corp. 27,744 373 Raytheon Co. 23,861 ------------- 119,952 ------------- AIR FREIGHT & LOGISTICS--0.8% 1,333 FedEx Corp. 127,795 ------------- AIRLINES--0.7% 7,771 Southwest Airlines Co. 102,888 ------------- AUTOMOBILES--0.5% 8,423 Ford Motor Co. (b) 69,574 ------------- BEVERAGES--1.3% 2,986 Coca-Cola Enterprises, Inc. 67,185 4,090 Constellation Brands, Inc., Class A (b) 75,093 917 Molson Coors Brewing Co., Class B 50,288 ------------- 192,566 ------------- BUILDING PRODUCTS--0.1% 1,215 Masco Corp. 22,125 ------------- CAPITAL MARKETS--3.8% 3,617 American Capital Strategies Ltd. 114,840 11,777 Bear Stearns (The) Cos., Inc. 126,367 437 Goldman Sachs Group (The), Inc. 83,629 2,207 Legg Mason, Inc. 133,038 2,560 Lehman Brothers Holdings, Inc. 113,254 ------------- 571,128 ------------- CHEMICALS--2.4% 1,528 Ashland, Inc. 81,015 2,615 Dow Chemical (The) Co. 104,992 1,030 E.I. du Pont de Nemours and Co. 50,377 1,194 PPG Industries, Inc. 73,276 891 Rohm and Haas Co. 47,624 ------------- 357,284 ------------- COMMERCIAL BANKS--4.0% 1,503 BB&T Corp. 51,538 2,060 Comerica, Inc. 71,544 1,152 Fifth Third Bancorp. 24,687 3,293 KeyCorp 79,460 299 M&T Bank Corp. 27,876 1,038 Marshall & Ilsley Corp. 25,929 7,264 National City Corp. 45,763 2,440 Regions Financial Corp. 53,485 437 SunTrust Banks, Inc. 24,363 3,569 Wachovia Corp. 104,037 See Notes to Quarterly Portfolio of Investments Page 66 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 828 Wells Fargo & Co. $ 24,633 1,587 Zions Bancorporation 73,557 ------------- 606,872 ------------- COMMERCIAL SERVICES & SUPPLIES--2.5% 8,914 Allied Waste Industries, Inc. (b) 110,178 978 Avery Dennison Corp. 47,130 3,376 Cintas Corp. 99,963 995 Monster Worldwide, Inc. (b) 24,208 1,872 Robert Half International, Inc. 44,366 1,436 Waste Management, Inc. 51,840 ------------- 377,685 ------------- COMMUNICATIONS EQUIPMENT--0.2% 4,420 Tellabs, Inc. (b) 22,807 ------------- COMPUTERS & PERIPHERALS--1.0% 3,360 EMC Corp. (b) 51,744 4,654 Sun Microsystems, Inc. (b) 72,881 1,092 Teradata Corp. (b) 23,249 ------------- 147,874 ------------- CONSTRUCTION MATERIALS--0.7% 1,451 Vulcan Materials Co. 99,858 ------------- CONSUMER FINANCE--1.0% 1,958 Capital One Financial Corp. 103,774 2,943 Discover Financial Services 53,592 ------------- 157,366 ------------- CONTAINERS & PACKAGING--1.3% 3,789 Bemis Co., Inc. 99,650 3,816 Sealed Air Corp. 96,507 ------------- 196,157 ------------- DISTRIBUTORS--0.5% 1,797 Genuine Parts Co. 76,301 ------------- DIVERSIFIED FINANCIAL SERVICES--1.3% 1,271 Bank of America Corp. 47,713 8,132 CIT Group, Inc. 88,558 1,122 JPMorgan Chase & Co. 53,463 ------------- 189,734 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.3% 1,887 AT&T, Inc. 73,046 3,717 CenturyTel, Inc. 120,616 2,297 Citizens Communications Co. 24,624 1,202 Embarq Corp. 49,967 See Notes to Quarterly Portfolio of Investments Page 67 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 15,954 Qwest Communications International, Inc. $ 82,323 1,992 Verizon Communications, Inc. 76,652 6,048 Windstream Corp. 71,004 ------------- 498,232 ------------- ELECTRIC UTILITIES--4.6% 1,736 American Electric Power Co., Inc. 77,478 5,399 Duke Energy Corp. 98,856 1,474 Edison International 76,899 221 Entergy Corp. 25,384 702 FirstEnergy Corp. 53,099 384 FPL Group, Inc. 25,455 2,924 Pepco Holdings, Inc. 72,837 3,522 Pinnacle West Capital Corp. 119,536 525 PPL Corp. 25,211 1,733 Progress Energy, Inc. 72,769 1,353 Southern Co. 50,372 ------------- 697,896 ------------- ELECTRICAL EQUIPMENT--0.7% 2,400 Cooper Industries Ltd., Class A 101,736 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.5% 10,186 Jabil Circuit, Inc. 110,824 4,161 Molex, Inc. 118,089 ------------- 228,913 ------------- ENERGY EQUIPMENT & SERVICES--3.8% 1,973 ENSCO International, Inc. 125,739 3,658 Nabors Industries Ltd. (b) 137,321 825 National Oilwell Varco, Inc. (b) 56,471 2,487 Noble Corp. 139,969 3,000 Rowan Cos., Inc. 116,970 ------------- 576,470 ------------- FOOD & STAPLES RETAILING--1.9% 1,897 Kroger (The) Co. 51,693 3,283 Safeway, Inc. 103,743 4,121 SUPERVALU, Inc. 136,405 ------------- 291,841 ------------- FOOD PRODUCTS--1.2% 2,012 ConAgra Foods, Inc. 47,403 777 Kraft Foods, Inc., Class A 24,577 1,723 Sara Lee Corp. 25,001 4,531 Tyson Foods, Inc., Class A 80,651 ------------- 177,632 ------------- See Notes to Quarterly Portfolio of Investments Page 68 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) GAS UTILITIES--0.7% 2,876 Nicor, Inc. $ 101,005 ------------- HEALTH CARE PROVIDERS & SERVICES--2.4% 1,145 Aetna, Inc. 49,922 588 AmerisourceBergen Corp. 23,843 594 CIGNA Corp. 25,370 2,148 Humana, Inc. (b) 102,653 460 McKesson Corp. 23,975 2,800 WellPoint, Inc. (b) 139,300 ------------- 365,063 ------------- HOTELS, RESTAURANTS & LEISURE--1.7% 2,381 Carnival Corp. 95,645 1,045 Wendy's International, Inc. 30,305 5,974 Wyndham Worldwide Corp. 128,321 ------------- 254,271 ------------- HOUSEHOLD DURABLES--2.0% 693 Fortune Brands, Inc. 46,861 2,107 Newell Rubbermaid, Inc. 43,257 474 Snap-on, Inc. 28,113 2,024 Stanley Works (The) 97,637 1,110 Whirlpool Corp. 80,786 ------------- 296,654 ------------- INDUSTRIAL CONGLOMERATES--0.3% 609 3M Co. 46,832 ------------- INSURANCE--6.6% 1,750 ACE Ltd. 105,507 2,005 Allstate (The) Corp. 100,972 557 American International Group, Inc. 25,733 396 Assurant, Inc. 25,740 2,497 Chubb (The) Corp. 132,265 3,248 Cincinnati Financial Corp. 116,602 3,192 Genworth Financial, Inc., Class A 73,608 954 Hartford Financial Services Group (The), Inc. 67,992 463 Lincoln National Corp. 24,891 1,797 Loews Corp. 75,672 989 Marsh & McLennan Cos., Inc. 27,287 400 MetLife, Inc. 24,340 308 Prudential Financial, Inc. 23,319 2,582 Travelers (The) Cos., Inc. 130,132 2,189 Unum Group 50,807 ------------- 1,004,867 ------------- IT SERVICES--2.8% 3,029 Computer Sciences Corp. (b) 132,034 8,203 Convergys Corp. (b) 128,951 See Notes to Quarterly Portfolio of Investments Page 69 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 7,420 Electronic Data Systems Corp. $ 137,715 632 Fidelity National Information Services, Inc. 22,790 ------------- 421,490 ------------- LEISURE EQUIPMENT & PRODUCTS--1.7% 6,034 Brunswick Corp. 100,648 2,590 Hasbro, Inc. 92,100 3,632 Mattel, Inc. 68,100 ------------- 260,848 ------------- MACHINERY--1.2% 1,153 Dover Corp. 57,039 605 Eaton Corp. 53,143 999 Illinois Tool Works, Inc. 52,238 535 PACCAR, Inc. 25,316 ------------- 187,736 ------------- MEDIA--4.7% 4,364 CBS Corp., Class B 100,677 1,649 Clear Channel Communications, Inc. 49,717 3,737 Comcast Corp., Class A 76,795 4,253 Gannett Co., Inc. 121,721 2,519 Meredith Corp. 81,641 1,276 New York Times (The) Co., Class A 24,882 1,285 News Corp., Class A 23,002 8,812 Time Warner, Inc. 130,858 1,535 Walt Disney (The) Co. 49,780 73 Washington Post (The) Co., Class B 47,859 ------------- 706,932 ------------- METALS & MINING--1.2% 2,672 Alcoa, Inc. 92,932 1,350 Allegheny Technologies, Inc. 92,921 ------------- 185,853 ------------- MULTILINE RETAIL--4.7% 3,241 Big Lots, Inc. (b) 87,604 7,179 Dillard's, Inc., Class A 146,451 4,942 Family Dollar Stores, Inc. 105,759 3,276 J.C. Penney Co., Inc. 139,230 5,357 Macy's, Inc. 135,479 1,478 Nordstrom, Inc. 52,114 951 Target Corp. 50,527 ------------- 717,164 ------------- MULTI-UTILITIES--7.2% 2,188 Ameren Corp. 99,248 3,376 CenterPoint Energy, Inc. 51,383 3,559 CMS Energy Corp. 51,890 See Notes to Quarterly Portfolio of Investments Page 70 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 2,427 Consolidated Edison, Inc. $ 100,963 2,360 Dominion Resources, Inc. 102,400 3,177 DTE Energy Co. 128,065 1,033 Integrys Energy Group, Inc. 49,470 5,590 NiSource, Inc. 100,061 2,617 PG&E Corp. 104,680 599 Public Service Enterprise Group, Inc. 26,302 1,356 Sempra Energy 76,845 7,746 TECO Energy, Inc. 124,013 3,623 Xcel Energy, Inc. 75,358 ------------- 1,090,678 ------------- OFFICE ELECTRONICS--0.6% 6,437 Xerox Corp. 89,925 ------------- OIL, GAS & CONSUMABLE FUELS--5.3% 1,960 Anadarko Petroleum Corp. 130,457 1,447 Chevron Corp. 139,128 1,448 El Paso Corp. 24,819 2,709 Marathon Oil Corp. 123,449 1,324 Noble Energy, Inc. 115,188 1,317 Occidental Petroleum Corp. 109,588 2,118 Spectra Energy Corp. 52,315 4,118 Tesoro Corp. 103,527 ------------- 798,471 ------------- PAPER & FOREST PRODUCTS--1.4% 4,542 International Paper Co. 118,864 3,540 MeadWestvaco Corp. 93,102 ------------- 211,966 ------------- PHARMACEUTICALS--1.7% 14,200 King Pharmaceuticals, Inc. (b) 133,338 2,302 Pfizer, Inc. 46,293 1,731 Wyeth 76,978 ------------- 256,609 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 523 Boston Properties, Inc. 52,556 1,513 Host Hotels & Resorts, Inc. 26,024 ------------- 78,580 ------------- ROAD & RAIL--1.8% 430 CSX Corp. 27,069 1,331 Norfolk Southern Corp. 79,301 1,582 Ryder System, Inc. 108,319 384 Union Pacific Corp. 55,753 ------------- 270,442 ------------- See Notes to Quarterly Portfolio of Investments Page 71 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.6% 816 Analog Devices, Inc. $ 26,283 3,412 Intel Corp. 75,951 1,948 KLA-Tencor Corp. 85,089 736 Microchip Technology, Inc. 27,048 16,141 Micron Technology, Inc. (b) 124,609 5,869 Novellus Systems, Inc. (b) 128,296 2,557 Texas Instruments, Inc. 74,562 ------------- 541,838 ------------- SOFTWARE--0.5% 9,846 Compuware Corp. (b) 74,239 ------------- SPECIALTY RETAIL--5.4% 8,253 AutoNation, Inc. (b) 132,131 2,584 Home Depot (The), Inc. 74,419 7,225 Limited Brands, Inc. 133,807 11,180 Office Depot, Inc. (b) 141,762 6,455 OfficeMax, Inc. 117,933 7,603 RadioShack Corp. 105,682 1,416 Sherwin-Williams (The) Co. 78,333 576 Tiffany & Co. 25,079 ------------- 809,146 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.6% 1,795 Jones Apparel Group, Inc. 28,415 932 VF Corp. 69,322 ------------- 97,737 ------------- TOBACCO--1.0% 5,565 Altria Group, Inc. 111,300 816 Reynolds American, Inc. 43,942 ------------- 155,242 ------------- TRADING COMPANIES & DISTRIBUTORS--0.5% 946 W.W. Grainger, Inc. 82,028 ------------- TOTAL COMMON STOCKS--100.0% (Cost $15,833,268) 15,116,302 MONEY MARKET FUND--0.4% 58,641 J.P. Morgan Institutional Treasury Money Market Fund--1.47 % (c) (Cost $58,641) 58,641 ------------- TOTAL INVESTMENTS--100.4% (Cost $15,891,909) (d) 15,174,943 NET OTHER ASSETS AND LIABILITIES--(0.4%) (55,654) ------------- NET ASSETS--100.0% $ 15,119,289 ============= See Notes to Quarterly Portfolio of Investments Page 72 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $545,761 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,262,727. See Notes to Quarterly Portfolio of Investments Page 73 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--3.7% 2,499 General Dynamics Corp. $ 225,960 906 Goodrich Corp. 61,744 3,692 Honeywell International, Inc. 219,305 2,381 L-3 Communications Holdings, Inc. 265,362 1,049 Lockheed Martin Corp. 111,236 2,270 United Technologies Corp. 164,507 ------------- 1,048,114 ------------- AIR FREIGHT & LOGISTICS--2.3% 4,786 C.H. Robinson Worldwide, Inc. 299,987 4,611 Expeditors International of Washington, Inc. 214,826 2,140 United Parcel Service, Inc., Class B 154,957 ------------- 669,770 ------------- AUTO COMPONENTS--0.9% 2,018 Goodyear Tire & Rubber (The) Co. (b) 54,042 6,163 Johnson Controls, Inc. 217,307 ------------- 271,349 ------------- BEVERAGES--2.2% 1,097 Anheuser-Busch Cos., Inc. 53,972 1,573 Brown-Forman Corp., Class B 106,995 3,422 Coca-Cola (The) Co. 201,454 4,607 Pepsi Bottling Group (The), Inc. 155,302 1,443 PepsiCo, Inc. 98,889 ------------- 616,612 ------------- BIOTECHNOLOGY--3.2% 3,377 Biogen Idec, Inc. (b) 204,950 3,399 Celgene Corp. (b) 211,214 3,493 Genzyme Corp. (b) 245,733 5,053 Gilead Sciences, Inc. (b) 261,543 ------------- 923,440 ------------- BUILDING PRODUCTS--0.7% 4,538 Trane, Inc. 211,062 ------------- CAPITAL MARKETS--2.7% 3,989 Federated Investors, Inc., Class B 133,552 2,238 Janus Capital Group, Inc. 62,798 3,134 Northern Trust Corp. 232,261 3,296 State Street Corp. 237,774 2,083 T. Rowe Price Group, Inc. 121,980 ------------- 788,365 ------------- See Notes to Quarterly Portfolio of Investments Page 74 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CHEMICALS--4.4% 1,698 Air Products and Chemicals, Inc. $ 167,134 2,502 Eastman Chemical Co. 183,897 1,199 Ecolab, Inc. 55,106 2,847 Hercules, Inc. 53,524 1,182 International Flavors & Fragrances, Inc. 53,911 2,335 Monsanto Co. 266,236 2,473 Praxair, Inc. 225,810 4,365 Sigma-Aldrich Corp. 248,892 ------------- 1,254,510 ------------- COMMERCIAL SERVICES & SUPPLIES--0.6% 4,531 Equifax, Inc. 173,401 ------------- COMMUNICATIONS EQUIPMENT--1.6% 6,499 Corning, Inc. 173,588 7,778 JDS Uniphase Corp. (b) 111,303 3,810 QUALCOMM, Inc. 164,554 ------------- 449,445 ------------- COMPUTERS & PERIPHERALS--2.3% 726 Apple, Inc. (b) 126,288 4,562 Hewlett-Packard Co. 211,449 1,809 International Business Machines Corp. 218,345 6,785 QLogic Corp. (b) 108,289 ------------- 664,371 ------------- CONSTRUCTION & ENGINEERING--1.8% 1,845 Fluor Corp. 282,045 2,831 Jacobs Engineering Group, Inc. (b) 244,400 ------------- 526,445 ------------- CONTAINERS & PACKAGING--1.3% 4,534 Ball Corp. 243,839 5,961 Pactiv Corp. (b) 141,812 ------------- 385,651 ------------- DIVERSIFIED CONSUMER SERVICES--0.8% 10,034 H&R Block, Inc. 219,444 ------------- DIVERSIFIED FINANCIAL SERVICES--1.0% 399 IntercontinentalExchange, Inc. (b) 61,905 4,606 Leucadia National Corp. 235,919 ------------- 297,824 ------------- ELECTRICAL EQUIPMENT--0.9% 4,048 Emerson Electric Co. 211,548 See Notes to Quarterly Portfolio of Investments Page 75 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 907 Rockwell Automation, Inc. $ 49,187 ------------- 260,735 ------------- ENERGY EQUIPMENT & SERVICES--5.1% 760 Baker Hughes, Inc. 61,469 7,306 BJ Services Co. 206,541 3,752 Cameron International Corp. (b) 184,711 6,620 Halliburton Co. 303,924 599 Schlumberger Ltd. 60,229 3,243 Smith International, Inc. 248,122 770 Transocean, Inc. (b) 113,544 3,593 Weatherford International Ltd. (b) 289,847 ------------- 1,468,387 ------------- FOOD & STAPLES RETAILING--3.8% 4,008 Costco Wholesale Corp. 285,570 6,428 CVS Caremark Corp. 259,498 3,589 Sysco Corp. 109,716 2,734 Walgreen Co. 95,280 4,943 Wal-Mart Stores, Inc. 286,595 1,579 Whole Foods Market, Inc. 51,539 ------------- 1,088,198 ------------- FOOD PRODUCTS--3.9% 6,326 Archer-Daniels-Midland Co. 278,724 1,534 Campbell Soup Co. 53,383 3,479 General Mills, Inc. 210,132 2,972 Kellogg Co. 152,077 4,226 McCormick & Co., Inc. 159,701 3,315 Wm. Wrigley Jr. Co. 252,470 ------------- 1,106,487 ------------- GAS UTILITIES--0.4% 1,841 Questar Corp. 114,197 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.6% 2,702 Baxter International, Inc. 168,389 2,426 Becton, Dickinson and Co. 216,884 8,093 Boston Scientific Corp. (b) 107,880 2,161 C.R. Bard, Inc. 203,501 6,088 Hospira, Inc. (b) 250,521 4,823 St. Jude Medical, Inc. (b) 211,151 801 Stryker Corp. 51,929 1,338 Zimmer Holdings, Inc. (b) 99,226 ------------- 1,309,481 ------------- See Notes to Quarterly Portfolio of Investments Page 76 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--2.5% 3,239 Express Scripts, Inc. (b) $ 226,795 2,120 Laboratory Corp. of America Holdings (b) 160,314 3,568 Medco Health Solutions, Inc. (b) 176,759 4,304 Patterson Cos., Inc. (b) 147,197 ------------- 711,065 ------------- HOTELS, RESTAURANTS & LEISURE--2.5% 4,800 Darden Restaurants, Inc. 170,784 1,516 Marriott International, Inc., Class A 51,999 2,801 McDonald's Corp. 166,884 1,006 Starwood Hotels & Resorts Worldwide, Inc. 52,523 6,998 Yum! Brands, Inc. 284,678 ------------- 726,868 ------------- HOUSEHOLD DURABLES--0.7% 788 Black & Decker (The) Corp. 51,716 10,737 Pulte Homes, Inc. 140,011 ------------- 191,727 ------------- HOUSEHOLD PRODUCTS--1.4% 2,674 Colgate-Palmolive Co. 189,052 1,614 Kimberly-Clark Corp. 103,280 1,486 Procter & Gamble (The) Co. 99,636 ------------- 391,968 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.7% 3,124 AES (The) Corp. (b) 54,233 1,770 Constellation Energy Group 149,830 ------------- 204,063 ------------- INDUSTRIAL CONGLOMERATES--0.6% 2,819 Textron, Inc. 171,987 ------------- INSURANCE--1.3% 3,207 Aflac, Inc. 213,811 935 Principal Financial Group, Inc. 50,172 1,733 Torchmark Corp. 112,194 ------------- 376,177 ------------- INTERNET & CATALOG RETAIL--0.4% 1,461 Amazon.com, Inc. (b) 114,878 ------------- INTERNET SOFTWARE & SERVICES--1.0% 1,849 Akamai Technologies, Inc. (b) 66,139 1,745 eBay, Inc. (b) 54,601 1,567 VeriSign, Inc. (b) 56,490 See Notes to Quarterly Portfolio of Investments Page 77 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 3,600 Yahoo!, Inc. (b) $ 98,676 ------------- 275,906 ------------- IT SERVICES--1.5% 4,157 Affiliated Computer Services, Inc., Class A (b) 220,196 2,457 Automatic Data Processing, Inc. 108,599 1,083 Fiserv, Inc. (b) 54,746 2,448 Western Union Co. 56,304 ------------- 439,845 ------------- LIFE SCIENCES TOOLS & SERVICES--2.1% 3,170 Applera Corp. - Applied Biosystems Group 101,155 1,545 Millipore Corp. (b) 108,305 4,295 PerkinElmer, Inc. 114,075 4,581 Thermo Fisher Scientific, Inc. (b) 265,102 ------------- 588,637 ------------- MACHINERY--5.0% 3,326 Caterpillar, Inc. 272,334 2,225 Cummins, Inc. 139,396 1,370 Danaher Corp. 106,887 2,590 Deere & Co. 217,741 2,336 Ingersoll-Rand Co. Ltd., Class A 103,672 5,105 Manitowoc (The) Co., Inc. 193,071 3,007 Parker Hannifin Corp. 240,109 2,500 Terex Corp. (b) 174,200 ------------- 1,447,410 ------------- MEDIA--1.8% 10,503 DIRECTV Group (The), Inc. (b) 258,794 2,357 Omnicom Group, Inc. 112,523 3,943 Viacom, Inc., Class B (b) 151,569 ------------- 522,886 ------------- METALS & MINING--3.3% 2,165 Freeport-McMoRan Copper & Gold, Inc. 246,269 2,299 Newmont Mining Corp. 101,639 3,844 Nucor Corp. 290,222 2,052 United States Steel Corp. 315,905 ------------- 954,035 ------------- MULTILINE RETAIL--0.2% 510 Sears Holdings Corp. (b) 50,291 ------------- OIL, GAS & CONSUMABLE FUELS--9.4% 2,155 Apache Corp. 290,235 5,642 Chesapeake Energy Corp. 291,691 See Notes to Quarterly Portfolio of Investments Page 78 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 683 ConocoPhillips $ 58,840 2,258 CONSOL Energy, Inc. 182,808 2,496 Devon Energy Corp. 283,046 1,736 EOG Resources, Inc. 226,513 1,231 Exxon Mobil Corp. 114,569 2,953 Hess Corp. 313,610 3,170 Murphy Oil Corp. 286,378 1,021 Peabody Energy Corp. 62,414 4,104 Range Resources Corp. 272,424 992 Sunoco, Inc. 46,039 4,209 XTO Energy, Inc. 260,369 ------------- 2,688,936 ------------- PERSONAL PRODUCTS--1.8% 6,585 Avon Products, Inc. 256,947 5,679 Estee Lauder (The) Cos., Inc., Class A 259,019 ------------- 515,966 ------------- PHARMACEUTICALS--3.6% 2,833 Abbott Laboratories 149,441 1,847 Allergan, Inc. 104,115 3,234 Barr Pharmaceuticals, Inc. (b) 162,444 2,019 Eli Lilly & Co. 97,195 2,603 Forest Laboratories, Inc. (b) 90,350 2,408 Johnson & Johnson 161,553 8,881 Watson Pharmaceuticals, Inc. (b) 275,666 ------------- 1,040,764 ------------- REAL ESTATE INVESTMENT TRUST--0.6% 2,654 ProLogis 166,167 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.6% 7,219 CB Richard Ellis Group, Inc., Class A (b) 166,903 ------------- ROAD & RAIL--0.8% 2,259 Burlington Northern Santa Fe Corp. 231,660 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.0% 5,338 Applied Materials, Inc. 99,607 2,203 MEMC Electronic Materials, Inc. (b) 138,723 2,193 Xilinx, Inc. 54,321 ------------- 292,651 ------------- SOFTWARE--1.3% 1,601 BMC Software, Inc. (b) 55,651 1,928 Intuit, Inc. (b) 51,998 1,835 Microsoft Corp. 52,334 5,325 Oracle Corp. (b) 111,026 See Notes to Quarterly Portfolio of Investments Page 79 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 6,267 Symantec Corp. (b) $ 107,918 ------------- 378,927 ------------- SPECIALTY RETAIL--5.4% 2,136 Abercrombie & Fitch Co., Class A 158,726 915 AutoZone, Inc. (b) 110,486 5,296 Bed Bath & Beyond, Inc. (b) 172,120 3,768 Best Buy Co., Inc. 162,099 5,035 GameStop Corp., Class A (b) 277,127 7,938 Gap (The), Inc. 147,806 2,270 Lowe's Cos., Inc. 57,181 9,421 Staples, Inc. 204,436 7,874 TJX (The) Cos., Inc. 253,700 ------------- 1,543,681 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.9% 3,829 NIKE, Inc., Class B 255,777 ------------- THRIFTS & MORTGAGE FINANCE--1.0% 14,727 Hudson City Bancorp, Inc. 281,728 ------------- TOBACCO--0.2% 955 UST, Inc. 49,727 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 1,328 American Tower Corp., Class A (b) 57,662 ------------- TOTAL COMMON STOCKS--100.0% (Cost $27,034,001) 28,685,580 MONEY MARKET FUND--0.2% 52,709 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $52,709) 52,709 ------------- TOTAL INVESTMENTS--100.2% (Cost $27,086,710) (d) 28,738,289 NET OTHER ASSETS AND LIABILITIES--(0.2%) (57,266) ------------- NET ASSETS--100.0% $ 28,681,023 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. See Notes to Quarterly Portfolio of Investments Page 80 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,070,168 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $418,589. See Notes to Quarterly Portfolio of Investments Page 81 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--0.5% 318 Applied Signal Technology, Inc. $ 3,638 65 Cubic Corp. 1,762 230 Northrop Grumman Corp. 16,922 59 Precision Castparts Corp. 6,936 92 Raytheon Co. 5,885 97 Triumph Group, Inc. 5,710 ------------- 40,853 ------------- AIR FREIGHT & LOGISTICS--0.4% 330 FedEx Corp. 31,637 ------------- AIRLINES--0.9% 1,916 AirTran Holdings, Inc. (b) 6,534 1,107 Alaska Air Group, Inc. (b) 23,778 444 Skywest, Inc. 8,449 1,926 Southwest Airlines Co. 25,500 ------------- 64,261 ------------- AUTO COMPONENTS--0.5% 488 Lear Corp. (b) 13,942 582 Modine Manufacturing Co. 10,226 1,531 Standard Motor Products, Inc. 9,308 89 Superior Industries International, Inc. 1,808 ------------- 35,284 ------------- AUTOMOBILES--0.5% 2,088 Ford Motor Co. (b) 17,248 395 Monaco Coach Corp. 2,500 425 Thor Industries, Inc. 12,886 326 Winnebago Industries, Inc. 5,245 ------------- 37,879 ------------- BEVERAGES--0.8% 740 Coca-Cola Enterprises, Inc. 16,650 1,014 Constellation Brands, Inc., Class A (b) 18,616 227 Molson Coors Brewing Co., Class B 12,449 495 PepsiAmericas, Inc. 12,722 ------------- 60,437 ------------- BUILDING PRODUCTS--0.7% 487 Apogee Enterprises, Inc. 10,865 470 Gibraltar Industries, Inc. 4,912 1,089 Griffon Corp. (b) 10,182 104 Lennox International, Inc. 3,447 301 Masco Corp. 5,481 387 NCI Building Systems, Inc. (b) 9,342 171 Universal Forest Products, Inc. 5,935 ------------- 50,164 ------------- See Notes to Quarterly Portfolio of Investments Page 82 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS--2.4% 897 American Capital Strategies Ltd. $ 28,480 799 Apollo Investment Corp. 12,928 2,919 Bear Stearns (The) Cos., Inc. 31,321 108 Goldman Sachs Group (The), Inc. 20,668 261 Jefferies Group, Inc. 4,907 547 Legg Mason, Inc. 32,973 635 Lehman Brothers Holdings, Inc. 28,092 221 Piper Jaffray Cos., Inc. (b) 8,234 183 Raymond James Financial, Inc. 5,265 306 SWS Group, Inc. 4,015 ------------- 176,883 ------------- CHEMICALS--3.0% 183 A. Schulman, Inc. 3,880 231 Albemarle Corp. 8,642 49 Arch Chemicals, Inc. 1,669 379 Ashland, Inc. 20,095 602 Cabot Corp. 17,554 1,149 Chemtura Corp. 7,951 313 Cytec Industries, Inc. 18,470 648 Dow Chemical (The) Co. 26,016 255 E.I. du Pont de Nemours and Co. 12,472 270 H.B. Fuller Co. 6,232 152 Lubrizol (The) Corp. 8,865 483 Material Sciences Corp. (b) 3,835 101 OM Group, Inc. (b) 5,531 345 Penford Corp. 7,576 865 PolyOne Corp. (b) 6,384 296 PPG Industries, Inc. 18,166 221 Rohm and Haas Co. 11,812 604 RPM International, Inc. 13,469 143 Sensient Technologies Corp. 4,257 1,922 Tronox, Inc., Class B 5,747 637 Valspar (The) Corp. 14,001 ------------- 222,624 ------------- COMMERCIAL BANKS--3.3% 158 Associated Banc-Corp. 4,467 373 BB&T Corp. 12,790 577 Cascade Bancorp 5,262 610 Cathay General Bancorp 10,401 85 City National Corp. 4,124 875 Colonial BancGroup (The), Inc. 7,123 82 Columbia Banking System, Inc. 2,221 511 Comerica, Inc. 17,747 422 East West Bancorp, Inc. 6,009 285 Fifth Third Bancorp 6,108 181 First BanCorp 1,862 471 First Community Bancorp 10,122 104 Frontier Financial Corp. 1,664 816 KeyCorp 19,689 74 M&T Bank Corp. 6,899 257 Marshall & Ilsley Corp. 6,420 See Notes to Quarterly Portfolio of Investments Page 83 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 1,801 National City Corp. $ 11,346 101 National Penn Bancshares, Inc. 1,686 698 Provident Bankshares Corp. 8,941 605 Regions Financial Corp. 13,262 124 South Financial Group (The), Inc. 749 185 Sterling Bancshares, Inc. 1,922 480 Sterling Financial Corp. 5,861 108 SunTrust Banks, Inc. 6,021 381 Synovus Financial Corp. 4,511 235 TCF Financial Corp. 4,089 118 Umpqua Holdings Corp. 1,741 108 United Community Banks, Inc. 1,483 885 Wachovia Corp. 25,797 303 Webster Financial Corp. 7,893 205 Wells Fargo & Co. 6,099 151 Whitney Holding Corp. 3,535 53 Wintrust Financial Corp. 1,681 393 Zions Bancorporation 18,215 ------------- 247,740 ------------- COMMERCIAL SERVICES & SUPPLIES--3.5% 82 ABM Industries, Inc. 1,717 159 Administaff, Inc. 4,164 2,210 Allied Waste Industries, Inc. (b) 27,316 307 Angelica Corp. 4,961 243 Avery Dennison Corp. 11,710 361 Bowne & Co., Inc. 6,007 150 CDI Corp. 4,080 837 Cintas Corp. 24,784 439 Deluxe Corp. 9,333 210 G&K Services, Inc., Class A 6,621 230 Heidrick & Struggles International, Inc. 6,884 343 Herman Miller, Inc. 8,002 627 HNI Corp. 13,650 820 Kelly Services, Inc., Class A 18,245 300 Manpower, Inc. 20,139 197 Mobile Mini, Inc. (b) 4,186 247 Monster Worldwide, Inc. (b) 6,010 1,427 MPS Group, Inc. (b) 15,312 1,180 On Assignment, Inc. (b) 8,295 464 Robert Half International, Inc. 10,997 175 School Specialty, Inc. (b) 5,152 1,531 Spherion Corp. (b) 7,563 558 TrueBlue, Inc. (b) 7,103 116 United Stationers, Inc. (b) 5,114 104 Viad Corp. 3,272 552 Volt Information Sciences, Inc. (b) 7,364 356 Waste Management, Inc. 12,852 ------------- 260,833 ------------- COMMUNICATIONS EQUIPMENT--1.4% 1,798 ADC Telecommunications, Inc. (b) 25,208 228 ADTRAN, Inc. 5,394 1,610 Arris Group, Inc. (b) 13,041 See Notes to Quarterly Portfolio of Investments Page 84 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 499 Avocent Corp. (b) $ 9,735 198 Bel Fuse, Inc., Class B 5,162 179 Black Box Corp. 5,322 363 CommScope, Inc. (b) 17,261 649 Digi International, Inc. (b) 5,348 364 Foundry Networks, Inc. (b) 4,634 1,096 Tellabs, Inc. (b) 5,655 1,430 Tollgrade Communications, Inc. (b) 7,207 ------------- 103,967 ------------- COMPUTERS & PERIPHERALS--0.7% 833 EMC Corp. (b) 12,828 471 Hutchinson Technology, Inc. (b) 6,660 968 Novatel Wireless, Inc. (b) 8,635 1,154 Sun Microsystems, Inc. (b) 18,071 77 Synaptics, Inc. (b) 2,613 271 Teradata Corp. (b) 5,770 ------------- 54,577 ------------- CONSTRUCTION & ENGINEERING--0.8% 1,808 Dycom Industries, Inc. (b) 25,999 169 EMCOR Group, Inc. (b) 4,235 515 Granite Construction, Inc. 17,665 133 Insituform Technologies, Inc., Class A (b) 2,250 258 URS Corp. (b) 10,408 ------------- 60,557 ------------- CONSTRUCTION MATERIALS--0.4% 31 Texas Industries, Inc. 2,400 360 Vulcan Materials Co. 24,775 ------------- 27,175 ------------- CONSUMER FINANCE--0.9% 2,157 AmeriCredit Corp. (b) 30,112 485 Capital One Financial Corp. 25,705 730 Discover Financial Services 13,293 ------------- 69,110 ------------- CONTAINERS & PACKAGING--1.4% 939 Bemis Co., Inc. 24,696 1,146 Chesapeake Corp. (b) 5,019 420 Myers Industries, Inc. 5,284 378 Packaging Corp. of America 8,308 184 Rock-Tenn Co., Class A 6,243 946 Sealed Air Corp. 23,924 442 Sonoco Products Co. 14,564 1,707 Temple-Inland, Inc. 19,921 ------------- 107,959 ------------- See Notes to Quarterly Portfolio of Investments Page 85 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) DISTRIBUTORS--0.4% 172 Audiovox Corp., Class A (b) $ 1,878 2,139 Building Materials Holding Corp. 9,968 445 Genuine Parts Co. 18,895 ------------- 30,741 ------------- DIVERSIFIED CONSUMER SERVICES--0.4% 613 Regis Corp. 17,900 831 Service Corp. International 9,232 ------------- 27,132 ------------- DIVERSIFIED FINANCIAL SERVICES--0.7% 315 Bank of America Corp. 11,825 2,016 CIT Group, Inc. 21,954 84 Financial Federal Corp. 1,961 278 JPMorgan Chase & Co. 13,247 ------------- 48,987 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.8% 468 AT&T, Inc. 18,116 921 CenturyTel, Inc. 29,887 569 Citizens Communications Co. 6,100 298 Embarq Corp. 12,388 204 FairPoint Communications, Inc. 1,879 1,221 General Communication, Inc., Class A (b) 7,582 3,955 Qwest Communications International, Inc. 20,408 494 Verizon Communications, Inc. 19,009 1,499 Windstream Corp. 17,598 ------------- 132,967 ------------- ELECTRIC UTILITIES--4.1% 143 ALLETE, Inc. 5,973 430 American Electric Power Co., Inc. 19,191 231 Central Vermont Public Service Corp. 5,382 422 Cleco Corp. 10,132 164 DPL, Inc. 4,564 1,338 Duke Energy Corp. 24,499 365 Edison International 19,042 258 El Paso Electric Co. (b) 5,823 55 Entergy Corp. 6,317 174 FirstEnergy Corp. 13,161 95 FPL Group, Inc. 6,298 684 Great Plains Energy, Inc. 17,538 177 Hawaiian Electric Industries, Inc. 4,363 394 IDACORP, Inc. 12,781 515 Northeast Utilities 13,555 725 Pepco Holdings, Inc. 18,060 873 Pinnacle West Capital Corp. 29,629 130 PPL Corp. 6,243 430 Progress Energy, Inc. 18,056 335 Southern Co. 12,472 See Notes to Quarterly Portfolio of Investments Page 86 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 1,335 Sierra Pacific Resources $ 18,196 183 UIL Holdings Corp. 5,728 337 Unisource Energy Corp. 10,528 741 Westar Energy, Inc. 17,184 ------------- 304,715 ------------- ELECTRICAL EQUIPMENT--1.2% 228 A.O. Smith Corp. 7,054 87 Acuity Brands, Inc. 4,162 134 Baldor Electric Co. 4,342 212 Belden, Inc. 7,153 595 Cooper Industries Ltd., Class A 25,222 289 Hubbell, Inc., Class B 12,927 256 Regal-Beloit Corp. 9,495 464 Thomas & Betts Corp. (b) 17,381 ------------- 87,736 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.9% 501 Arrow Electronics, Inc. (b) 13,632 515 Avnet, Inc. (b) 13,488 522 Benchmark Electronics, Inc. (b) 9,281 700 CTS Corp. 7,875 227 Electro Scientific Industries, Inc. (b) 3,725 620 Gerber Scientific, Inc. (b) 5,747 1,065 Ingram Micro, Inc., Class A (b) 18,116 428 Insight Enterprises, Inc. (b) 5,162 2,525 Jabil Circuit, Inc. 27,472 3,130 KEMET Corp. (b) 12,739 801 Methode Electronics, Inc. 8,683 1,031 Molex, Inc. 29,259 116 MTS Systems Corp. 3,988 161 National Instruments Corp. 4,737 671 Newport Corp. (b) 7,723 145 Park Electrochemical Corp. 3,930 260 SYNNEX Corp. (b) 6,209 257 Tech Data Corp. (b) 8,638 238 Technitrol, Inc. 4,998 2,397 Vishay Intertechnology, Inc. (b) 22,652 308 X-Rite, Inc. (b) 776 ------------- 218,830 ------------- ENERGY EQUIPMENT & SERVICES--2.9% 489 ENSCO International, Inc. 31,164 907 Nabors Industries Ltd. (b) 34,049 205 National Oilwell Varco, Inc. (b) 14,032 617 Noble Corp. 34,724 829 Patterson-UTI Energy, Inc. 23,162 362 Pride International, Inc. (b) 15,367 744 Rowan Cos., Inc. 29,009 110 SEACOR Holdings, Inc. (b) 9,362 394 Tidewater, Inc. 25,697 ------------- 216,566 ------------- See Notes to Quarterly Portfolio of Investments Page 87 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING--1.3% 332 Casey's General Stores, Inc. $ 7,347 143 Great Atlantic & Pacific Tea (The) Co. (b) 3,935 470 Kroger (The) Co. 12,808 88 Longs Drug Stores Corp. 3,525 54 Nash Finch Co. 1,975 56 Performance Food Group Co. (b) 1,874 114 Ruddick Corp. 4,412 814 Safeway, Inc. 25,722 180 Spartan Stores, Inc. 3,758 1,022 SUPERVALU, Inc. 33,829 ------------- 99,185 ------------- FOOD PRODUCTS--1.4% 499 ConAgra Foods, Inc. 11,756 454 Corn Products International, Inc. 21,057 201 J & J Snack Foods Corp. 5,757 167 J.M. Smucker (The) Co. 8,330 193 Kraft Foods, Inc., Class A 6,105 105 Lancaster Colony Corp. 4,010 94 Lance, Inc. 1,970 427 Sara Lee Corp. 6,196 327 Smithfield Foods, Inc. (b) 9,378 328 TreeHouse Foods, Inc. (b) 7,436 1,123 Tyson Foods, Inc., Class A 19,989 ------------- 101,984 ------------- GAS UTILITIES--1.3% 368 AGL Resources, Inc. 12,512 294 Atmos Energy Corp. 8,138 105 Laclede Group (The), Inc. 3,971 89 National Fuel Gas Co. 4,555 713 Nicor, Inc. 25,041 86 Northwest Natural Gas Co. 3,859 94 ONEOK, Inc. 4,523 70 Piedmont Natural Gas Co. 1,840 52 South Jersey Industries, Inc. 1,899 237 Southern Union Co. 6,072 268 Southwest Gas Corp. 7,737 150 UGI Corp. 3,900 394 WGL Holdings, Inc. 12,923 ------------- 96,970 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.6% 112 ArthroCare Corp. (b) 5,047 44 Datascope Corp. 1,648 204 Greatbatch, Inc. (b) 3,709 836 Hill-Rom Holdings, Inc. 21,008 71 Mentor Corp. 2,078 789 Osteotech, Inc. (b) 3,992 See Notes to Quarterly Portfolio of Investments Page 88 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,378 Theragenics Corp. (b) $ 10,107 ------------- 47,589 ------------- HEALTH CARE PROVIDERS & SERVICES--2.6% 284 Aetna, Inc. 12,382 146 AmerisourceBergen Corp. 5,920 269 Centene Corp. (b) 4,942 44 Chemed Corp. 1,500 147 CIGNA Corp. 6,278 446 Cross Country Healthcare, Inc. (b) 5,334 137 Health Net, Inc. (b) 4,013 532 Humana, Inc. (b) 25,424 771 Kindred Healthcare, Inc. (b) 18,296 791 LifePoint Hospitals, Inc. (b) 23,825 168 Matria Healthcare, Inc. (b) 4,284 114 McKesson Corp. 5,942 412 MedCath Corp. (b) 7,647 204 Odyssey HealthCare, Inc. (b) 1,867 464 Omnicare, Inc. 9,442 250 RehabCare Group, Inc. (b) 4,250 321 Res-Care, Inc. (b) 5,229 325 WellCare Health Plans, Inc. (b) 14,229 694 WellPoint, Inc. (b) 34,526 ------------- 195,330 ------------- HEALTH CARE TECHNOLOGY--0.0% 178 Allscripts Healthcare Solutions, Inc. (b) 1,986 91 Omnicell, Inc. (b) 1,094 ------------- 3,080 ------------- HOTELS, RESTAURANTS & LEISURE--3.0% 611 Bob Evans Farms, Inc. 17,151 632 Boyd Gaming Corp. 11,850 909 Brinker International, Inc. 20,625 420 California Pizza Kitchen, Inc. (b) 6,548 590 Carnival Corp. 23,700 334 CKE Restaurants, Inc. 3,504 102 International Speedway Corp., Class A 4,327 205 Jack in the Box, Inc. (b) 5,484 575 Landry's Restaurants, Inc. 9,183 270 Life Time Fitness, Inc. (b) 9,815 96 Marcus (The) Corp. 1,593 1,403 Multimedia Games, Inc. (b) 5,977 651 O'Charley's, Inc. 7,552 293 Pinnacle Entertainment, Inc. (b) 4,547 2,895 Ruby Tuesday, Inc. 24,635 1,356 Ruth's Chris Steak House, Inc. (b) 9,967 952 Steak n Shake (The) Co. (b) 7,540 382 Texas Roadhouse, Inc., Class A (b) 4,508 542 Triarc Cos., Inc., Class B 3,848 259 Wendy's International, Inc. 7,511 See Notes to Quarterly Portfolio of Investments Page 89 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,481 Wyndham Worldwide Corp. $ 31,811 ------------- 221,676 ------------- HOUSEHOLD DURABLES--1.8% 682 American Greetings Corp., Class A 12,208 214 Blyth, Inc. 3,604 194 Ethan Allen Interiors, Inc. 5,329 172 Fortune Brands, Inc. 11,631 220 La-Z-Boy, Inc. 1,401 303 Mohawk Industries, Inc. (b) 23,086 143 National Presto Industries, Inc. 7,749 522 Newell Rubbermaid, Inc. 10,717 267 Russ Berrie and Co., Inc. (b) 3,743 117 Snap-on, Inc. 6,939 502 Stanley Works (The) 24,215 155 Universal Electronics, Inc. (b) 3,984 275 Whirlpool Corp. 20,015 ------------- 134,621 ------------- INDUSTRIAL CONGLOMERATES--0.5% 151 3M Co. 11,612 649 Carlisle Cos., Inc. 18,743 247 Standex International Corp. 5,207 303 Tredegar Corp. 4,951 ------------- 40,513 ------------- INSURANCE--5.7% 434 ACE Ltd. 26,166 497 Allstate (The) Corp. 25,029 660 American Financial Group, Inc. 18,097 138 American International Group, Inc. 6,376 98 Assurant, Inc. 6,370 619 Chubb (The) Corp. 32,787 805 Cincinnati Financial Corp. 28,900 234 Commerce Group (The), Inc. 8,527 189 Delphi Financial Group, Inc., Class A 5,145 243 Everest Re Group Ltd. 21,955 230 Fidelity National Financial, Inc., Class A 3,678 791 Genworth Financial, Inc., Class A 18,240 307 Hanover Insurance Group, Inc. 13,778 236 Hartford Financial Services Group (The), Inc. 16,820 957 HCC Insurance Holdings, Inc. 23,619 119 Hilb Rogal & Hobbs Co. 3,443 482 Horace Mann Educators Corp. 8,155 115 Lincoln National Corp. 6,182 445 Loews Corp. 18,739 245 Marsh & McLennan Cos., Inc. 6,760 285 Mercury General Corp. 14,219 99 MetLife, Inc. 6,024 653 Old Republic International Corp. 9,371 316 Presidential Life Corp. 5,359 70 ProAssurance Corp. (b) 3,705 See Notes to Quarterly Portfolio of Investments Page 90 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 104 Protective Life Corp. $ 4,432 76 Prudential Financial, Inc. 5,754 189 RLI Corp. 9,072 274 Safety Insurance Group, Inc. 9,837 67 SCPIE Holdings, Inc. (b) 1,861 231 Selective Insurance Group, Inc. 4,925 640 Travelers (The) Cos. 32,256 147 United Fire & Casualty Co. 4,844 119 Unitrin, Inc. 4,515 543 Unum Group 12,603 ------------- 427,543 ------------- INTERNET SOFTWARE & SERVICES--0.2% 469 Knot (The), Inc. (b) 5,506 694 Perficient, Inc. (b) 6,371 ------------- 11,877 ------------- IT SERVICES--2.6% 1,421 Acxiom Corp. 16,810 1,912 CIBER, Inc. (b) 11,969 751 Computer Sciences Corp. (b) 32,736 2,034 Convergys Corp. (b) 31,974 1,112 CSG Systems International, Inc. (b) 13,455 1,839 Electronic Data Systems Corp. 34,133 157 Fidelity National Information Services, Inc. 5,661 865 Gevity HR, Inc. 5,899 1,086 Metavante Technologies, Inc. (b) 25,597 159 NeuStar, Inc., Class A (b) 4,374 391 SI International, Inc. (b) 8,970 200 Startek, Inc. (b) 1,886 ------------- 193,464 ------------- LEISURE EQUIPMENT & PRODUCTS--1.3% 756 Arctic Cat, Inc. 5,730 1,496 Brunswick Corp. 24,952 574 Callaway Golf Co. 7,887 642 Hasbro, Inc. 22,830 340 JAKKS Pacific, Inc. (b) 7,987 900 Mattel, Inc. 16,875 357 RC2 Corp. (b) 6,605 455 Sturm, Ruger & Co., Inc. (b) 3,422 ------------- 96,288 ------------- MACHINERY--2.7% 240 Barnes Group, Inc. 6,259 103 Briggs & Stratton Corp. 1,568 190 Cascade Corp. 8,218 286 Dover Corp. 14,148 150 Eaton Corp. 13,176 302 Federal Signal Corp. 4,192 See Notes to Quarterly Portfolio of Investments Page 91 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 275 IDEX Corp. $ 10,090 248 Illinois Tool Works, Inc. 12,968 42 Kaydon Corp. 2,200 738 Kennametal, Inc. 25,659 655 Lydall, Inc. (b) 7,631 325 Mueller Industries, Inc. 10,520 349 Oshkosh Truck Corp. 14,169 133 PACCAR, Inc. 6,294 264 Pentair, Inc. 9,723 567 Timken (The) Co. 20,497 815 Trinity Industries, Inc. 24,776 834 Wabash National Corp. 6,989 197 Watts Water Technologies, Inc., Class A 5,293 ------------- 204,370 ------------- MARINE--0.1% 196 Alexander & Baldwin, Inc. 9,845 ------------- MEDIA--3.4% 1,082 CBS Corp., Class B 24,962 409 Clear Channel Communications, Inc. 12,331 926 Comcast Corp., Class A 19,029 1,054 Gannett Co., Inc. 30,165 1,233 Harte-Hanks, Inc. 16,843 2,169 Lee Enterprises, Inc. 16,766 309 Live Nation, Inc. (b) 4,261 1,203 Media General, Inc., Class A 17,660 625 Meredith Corp. 20,256 316 New York Times (The) Co., Class A 6,162 319 News Corp., Class A 5,710 717 Scholastic Corp. (b) 20,184 2,184 Time Warner, Inc. 32,433 381 Walt Disney (The) Co. 12,356 18 Washington Post (The) Co., Class B 11,801 ------------- 250,919 ------------- METALS & MINING--1.1% 278 A.M. Castle & Co. 8,593 662 Alcoa, Inc. 23,024 335 Allegheny Technologies, Inc. 23,058 151 Carpenter Technology Corp. 7,743 166 RTI International Metals, Inc. (b) 6,838 500 Worthington Industries, Inc. 9,005 ------------- 78,261 ------------- MULTILINE RETAIL--2.7% 803 Big Lots, Inc. (b) 21,705 1,779 Dillard's, Inc., Class A 36,292 1,225 Family Dollar Stores, Inc. 26,215 731 Fred's, Inc. 8,099 812 J.C. Penney Co., Inc. 34,510 1,328 Macy's, Inc. 33,585 See Notes to Quarterly Portfolio of Investments Page 92 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 366 Nordstrom, Inc. $ 12,905 338 Saks, Inc. (b) 4,397 236 Target Corp. 12,539 1,808 Tuesday Morning Corp. (b) 9,836 ------------- 200,083 ------------- MULTI-UTILITIES--6.1% 620 Alliant Energy Corp. 23,355 542 Ameren Corp. 24,585 1,313 Aquila, Inc. (b) 4,727 282 Avista Corp. 5,789 471 Black Hills Corp. 18,374 837 CenterPoint Energy, Inc. 12,739 142 CH Energy Group, Inc. 5,021 882 CMS Energy Corp. 12,860 602 Consolidated Edison, Inc. 25,043 585 Dominion Resources, Inc. 25,383 787 DTE Energy Co. 31,725 524 Energy East Corp. 11,947 256 Integrys Energy Group, Inc. 12,260 687 MDU Resources Group, Inc. 19,834 1,386 NiSource, Inc. 24,809 277 NSTAR 8,922 541 OGE Energy Corp. 17,685 649 PG&E Corp. 25,961 1,352 PNM Resources, Inc. 19,590 149 Public Service Enterprise Group, Inc. 6,543 489 Puget Energy, Inc. 13,306 346 SCANA Corp. 13,643 336 Sempra Energy 19,041 1,920 TECO Energy, Inc. 30,740 471 Vectren Corp. 13,320 192 Wisconsin Energy Corp. 9,112 898 Xcel Energy, Inc. 18,678 ------------- 454,992 ------------- OFFICE ELECTRONICS--0.4% 1,596 Xerox Corp. 22,296 127 Zebra Technologies Corp., Class A (b) 4,667 ------------- 26,963 ------------- OIL, GAS & CONSUMABLE FUELS--3.4% 486 Anadarko Petroleum Corp. 32,348 359 Chevron Corp. 34,518 359 El Paso Corp. 6,153 172 Forest Oil Corp. (b) 10,136 672 Marathon Oil Corp. 30,623 328 Noble Energy, Inc. 28,536 326 Occidental Petroleum Corp. 27,126 310 Overseas Shipholding Group, Inc. 23,331 525 Spectra Energy Corp. 12,968 See Notes to Quarterly Portfolio of Investments Page 93 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 179 Stone Energy Corp. (b) $ 10,908 208 Swift Energy Co. (b) 10,845 1,021 Tesoro Corp. 25,668 ------------- 253,160 ------------- PAPER & FOREST PRODUCTS--1.0% 839 Buckeye Technologies, Inc. (b) 7,241 1,126 International Paper Co. 29,468 878 MeadWestvaco Corp. 23,091 291 Neenah Paper, Inc. 6,687 162 Schweitzer-Mauduit International, Inc. 3,585 907 Wausau Paper Corp. 7,020 ------------- 77,092 ------------- PHARMACEUTICALS--1.1% 3,520 King Pharmaceuticals, Inc. (b) 33,052 571 Pfizer, Inc. 11,483 1,492 Salix Pharmaceuticals, Ltd. (b) 10,474 1,048 ViroPharma, Inc. (b) 9,600 429 Wyeth 19,078 ------------- 83,687 ------------- REAL ESTATE INVESTMENT TRUSTS--0.7% 130 Boston Properties, Inc. 13,063 390 Colonial Properties Trust 9,450 145 DiamondRock Hospitality Co. 1,849 37 Entertainment Properties Trust 1,974 248 Hospitality Properties Trust 7,968 375 Host Hotels & Resorts, Inc. 6,450 71 LTC Properties, Inc. 1,933 331 Medical Properties Trust, Inc. 4,022 83 National Retail Properties, Inc. 1,902 97 Rayonier, Inc. 4,077 ------------- 52,688 ------------- ROAD & RAIL--1.7% 294 Arkansas Best Corp. 11,607 1,588 Avis Budget Group, Inc. (b) 21,089 85 Con-way, Inc. 3,931 107 CSX Corp. 6,736 330 Norfolk Southern Corp. 19,661 392 Ryder System, Inc. 26,840 95 Union Pacific Corp. 13,793 1,170 Werner Enterprises, Inc. 22,757 ------------- 126,414 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.8% 706 Advanced Energy Industries, Inc. (b) 9,884 202 Analog Devices, Inc. 6,506 2,423 Atmel Corp. (b) 9,014 See Notes to Quarterly Portfolio of Investments Page 94 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 66 ATMI, Inc. (b) $ 1,943 328 Axcelis Technologies, Inc. (b) 1,771 567 Brooks Automation, Inc. (b) 5,874 117 Cabot Microelectronics Corp. (b) 3,984 360 Cymer, Inc. (b) 9,356 920 Cypress Semiconductor Corp. (b) 25,870 1,061 Fairchild Semiconductor International, Inc. (b) 13,835 172 FEI Co. (b) 3,762 944 Integrated Device Technology, Inc. (b) 10,091 846 Intel Corp. 18,832 588 International Rectifier Corp. (b) 13,383 164 Intersil Corp., Class A 4,382 483 KLA-Tencor Corp. 21,097 691 Kopin Corp. (b) 2,059 1,568 Kulicke & Soffa Industries, Inc. (b) 10,333 568 Lam Research Corp. (b) 23,197 404 Micrel, Inc. 3,967 182 Microchip Technology, Inc. 6,689 4,001 Micron Technology, Inc. (b) 30,889 350 MKS Instruments, Inc. (b) 7,998 1,455 Novellus Systems, Inc. (b) 31,807 981 Photronics, Inc. (b) 10,399 8,164 RF Micro Devices, Inc. (b) 27,513 384 Rudolph Technologies, Inc. (b) 3,901 294 Semtech Corp. (b) 4,775 515 Skyworks Solutions, Inc. (b) 4,475 63 Standard Microsystems Corp. (b) 1,868 184 Supertex, Inc. (b) 3,949 634 Texas Instruments, Inc. 18,487 65 Varian Semiconductor Equipment Associates, Inc. (b) 2,381 ------------- 354,271 ------------- SOFTWARE--0.8% 99 Advent Software, Inc. (b) 3,946 2,033 Cadence Design Systems, Inc. (b) 22,628 2,441 Compuware Corp. (b) 18,405 80 Manhattan Associates, Inc. (b) 2,081 477 Mentor Graphics Corp. (b) 4,803 528 Parametric Technology Corp. (b) 9,203 ------------- 61,066 ------------- SPECIALTY RETAIL--7.4% 435 Aaron Rents, Inc. 10,832 898 AnnTaylor Stores Corp. (b) 22,719 2,046 AutoNation, Inc. (b) 32,756 413 Barnes & Noble, Inc. 13,332 1,068 Big 5 Sporting Goods Corp. 9,815 2,154 Borders Group, Inc. (b) 13,570 622 Brown Shoe Co., Inc. 10,375 662 Cabela's, Inc. (b) 8,957 627 Cato (The) Corp., Class A 10,816 540 Charlotte Russe Holding, Inc. (b) 8,575 4,496 Charming Shoppes, Inc. (b) 23,199 See Notes to Quarterly Portfolio of Investments Page 95 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 305 Children's Place Retail Stores (The), Inc. (b) $ 7,091 3,339 Coldwater Creek, Inc. (b) 17,830 1,792 Collective Brands, Inc. (b) 22,167 1,968 Finish Line (The), Inc., Class A 12,930 1,433 Foot Locker, Inc. 18,127 324 Genesco, Inc. (b) 7,180 399 Group 1 Automotive, Inc. 10,645 518 Haverty Furniture Cos., Inc. 4,729 641 Home Depot (The), Inc. 18,461 2,173 Hot Topic, Inc. (b) 11,539 509 Jo-Ann Stores, Inc. (b) 9,640 1,791 Limited Brands, Inc. 33,170 922 Lithia Motors, Inc., Class A 8,298 601 MarineMax, Inc. (b) 6,851 403 Men's Wearhouse (The), Inc. 10,732 2,772 Office Depot, Inc. (b) 35,150 1,600 OfficeMax, Inc. 29,232 553 Pep Boys-Manny, Moe & Jack (The) 4,933 825 PetSmart, Inc. 18,464 1,885 RadioShack Corp. 26,202 919 Rent-A-Center, Inc. (b) 19,786 351 Sherwin-Williams (The) Co. 19,417 456 Sonic Automotive, Inc., Class A 9,252 1,667 Stein Mart, Inc. 8,885 143 Tiffany & Co. 6,226 223 Tween Brands, Inc. (b) 4,237 279 Zale Corp. (b) 5,781 ------------- 551,901 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 106 Iconix Brand Group, Inc. (b) 1,688 445 Jones Apparel Group, Inc. 7,044 230 Maidenform Brands, Inc. (b) 3,427 481 Movado Group, Inc. 10,505 416 Oxford Industries, Inc. 11,561 343 Perry Ellis International, Inc. (b) 7,834 334 Phillips-Van Heusen Corp. 14,098 371 Skechers U.S.A., Inc., Class A (b) 8,774 202 UniFirst Corp. 9,456 231 VF Corp. 17,181 ------------- 91,568 ------------- THRIFTS & MORTGAGE FINANCE--0.8% 97 Anchor BanCorp Wisconsin, Inc. 1,473 1,496 BankUnited Financial Corp., Class A 5,879 770 Corus Bankshares, Inc. 5,644 204 Downey Financial Corp. 2,885 310 First Niagara Financial Group, Inc. 4,473 345 FirstFed Financial Corp. (b) 5,272 764 Flagstar Bancorp, Inc. 4,676 3,092 Franklin Bank Corp. (b) 4,793 See Notes to Quarterly Portfolio of Investments Page 96 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 353 Guaranty Financial Group, Inc. (b) $ 2,700 3,731 PMI Group (The), Inc. 21,005 1,103 Triad Guaranty, Inc. (b) 2,515 ------------- 61,315 ------------- TOBACCO--0.6% 1,380 Altria Group, Inc. 27,599 202 Reynolds American, Inc. 10,878 129 Universal Corp. 8,281 ------------- 46,758 ------------- TRADING COMPANIES & DISTRIBUTORS--0.9% 125 Applied Industrial Technologies, Inc. 3,020 432 GATX Corp. 19,008 65 Kaman Corp. 1,762 67 Lawson Products 1,700 1,153 United Rentals, Inc. (b) 21,723 235 W.W. Grainger, Inc. 20,377 44 Watsco, Inc. 1,996 ------------- 69,586 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.3% 553 Telephone and Data Systems, Inc. 21,180 ------------- TOTAL COMMON STOCKS-100.0% (Cost $8,250,532) 7,465,853 MONEY MARKET FUNDS--0.8% 61,769 J.P. Morgan Institutional Treasury Money Market Fund--1.47% (c) (Cost $61,769) 61,769 ------------- TOTAL INVESTMENTS--100.8% (Cost $8,312,301) (d) 7,527,622 NET OTHER ASSETS AND LIABILITIES--(0.8%) (60,155) ------------- NET ASSETS--100.0% $ 7,467,467 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $271,498 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,056,177. See Notes to Quarterly Portfolio of Investments Page 97 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--3.5% 205 AAR Corp. (b) $ 4,797 243 Alliant Techsystems, Inc. (b) 26,725 360 BE Aerospace, Inc. (b) 14,530 208 Curtiss-Wright Corp. 9,878 540 DRS Technologies, Inc. 33,718 285 Esterline Technologies Corp. (b) 15,863 543 GenCorp, Inc. (b) 4,654 374 General Dynamics Corp. 33,817 135 Goodrich Corp. 9,200 552 Honeywell International, Inc. 32,789 356 L-3 Communications Holdings, Inc. 39,676 157 Lockheed Martin Corp. 16,648 265 Moog, Inc., Class A (b) 11,424 595 Orbital Sciences Corp (b) 16,011 183 Teledyne Technologies, Inc. (b) 10,748 339 United Technologies Corp. 24,567 ------------- 305,045 ------------- AIR FREIGHT & LOGISTICS--1.4% 716 C.H. Robinson Worldwide, Inc. 44,879 689 Expeditors International of Washington, Inc. 32,101 316 Forward Air Corp. 10,772 436 Hub Group, Inc., Class A (b) 14,253 320 United Parcel Service, Inc., Class B 23,171 ------------- 125,176 ------------- AUTO COMPONENTS--0.9% 585 BorgWarner, Inc. 28,753 353 Gentex Corp. 6,594 302 Goodyear Tire & Rubber (The) Co. (b) 8,088 922 Johnson Controls, Inc. 32,509 661 Spartan Motors, Inc. 6,207 ------------- 82,151 ------------- BEVERAGES--1.3% 164 Anheuser-Busch Cos., Inc. 8,069 302 Boston Beer (The) Co., Inc., Class A (b) 13,379 235 Brown-Forman Corp., Class B 15,985 512 Coca-Cola (The) Co. 30,141 172 Hansen Natural Corp. (b) 6,087 689 Pepsi Bottling Group (The), Inc. 23,226 216 PepsiCo, Inc. 14,802 ------------- 111,689 ------------- BIOTECHNOLOGY--2.4% 505 Biogen Idec, Inc. (b) 30,648 508 Celgene Corp. (b) 31,567 304 Cubist Pharmaceuticals, Inc. (b) 5,885 522 Genzyme Corp. (b) 36,723 See Notes to Quarterly Portfolio of Investments Page 98 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 756 Gilead Sciences, Inc. (b) $ 39,132 266 LifeCell Corp. (b) 13,507 366 Martek Biosciences Corp. (b) 12,905 1,175 Millennium Pharmaceuticals, Inc. (b) 29,222 291 Regeneron Pharmaceuticals, Inc. (b) 5,709 140 Savient Pharmaceuticals, Inc. (b) 3,058 ------------- 208,356 ------------- BUILDING PRODUCTS--0.4% 103 Simpson Manufacturing Co., Inc. 2,718 679 Trane, Inc. 31,580 ------------- 34,298 ------------- CAPITAL MARKETS--1.7% 597 Federated Investors, Inc., Class B 19,988 242 Investment Technology Group, Inc. (b) 11,679 335 Janus Capital Group, Inc. 9,400 469 Northern Trust Corp. 34,758 493 State Street Corp. 35,564 312 T. Rowe Price Group, Inc. 18,271 566 Waddell & Reed Financial, Inc., Class A 19,165 ------------- 148,825 ------------- CHEMICALS--3.7% 254 Air Products and Chemicals, Inc. 25,001 400 Airgas, Inc. 19,252 304 CF Industries Holding, Inc. 40,644 374 Eastman Chemical Co. 27,489 179 Ecolab, Inc. 8,227 453 FMC Corp. 28,439 426 Hercules, Inc. 8,009 177 International Flavors & Fragrances, Inc. 8,073 96 Minerals Technologies, Inc. 6,503 349 Monsanto Co. 39,793 190 NewMarket Corp. 12,337 370 Praxair, Inc. 33,785 653 Sigma-Aldrich Corp. 37,234 708 Terra Industries, Inc. (b) 26,805 ------------- 321,591 ------------- COMMERCIAL BANKS--0.7% 146 Glacier Bancorp, Inc. 3,005 133 Hancock Holding Co. 5,489 430 Nara Bancorp, Inc. 5,646 178 PrivateBancorp, Inc. 6,050 195 Prosperity Bancshares, Inc. 6,039 139 SVB Financial Group (b) 6,764 See Notes to Quarterly Portfolio of Investments Page 99 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 209 UMB Financial Corp. $ 10,375 239 Westamerica Bancorporation 13,967 ------------- 57,335 ------------- COMMERCIAL SERVICES & SUPPLIES--2.7% 468 Brink's (The) Co. 34,046 382 ChoicePoint, Inc. (b) 18,470 154 Consolidated Graphics, Inc. (b) 8,958 325 Copart, Inc. (b) 13,283 457 Corrections Corp. of America (b) 11,654 678 Equifax, Inc. 25,947 542 Healthcare Services Group, Inc. 8,271 398 Interface, Inc., Class A 5,110 744 Korn/Ferry International (b) 13,883 1,657 Navigant Consulting, Inc. (b) 33,339 207 Republic Services, Inc. 6,581 342 Rollins, Inc. 5,448 118 Stericycle, Inc. (b) 6,299 816 Sykes Enterprises, Inc. (b) 13,562 287 Tetra Tech, Inc. (b) 6,064 280 Waste Connections, Inc. (b) 8,980 253 Watson Wyatt Worldwide, Inc., Class A 14,831 ------------- 234,726 ------------- COMMUNICATIONS EQUIPMENT--1.0% 72 Comtech Telecommunications Corp. (b) 2,789 972 Corning, Inc. 25,961 125 Harris Corp. 6,754 1,163 JDS Uniphase Corp. (b) 16,643 269 Polycom, Inc. (b) 6,026 570 QUALCOMM, Inc. 24,618 ------------- 82,791 ------------- COMPUTERS & PERIPHERALS--1.6% 109 Apple, Inc. (b) 18,961 682 Hewlett-Packard Co. 31,611 271 International Business Machines Corp. 32,710 216 Intevac, Inc. (b) 2,868 1,015 QLogic Corp. (b) 16,199 1,163 Western Digital Corp. (b) 33,715 ------------- 136,064 ------------- CONSTRUCTION & ENGINEERING--1.2% 276 Fluor Corp. 42,192 423 Jacobs Engineering Group, Inc. (b) 36,518 543 Quanta Services, Inc. (b) 14,411 183 Shaw Group (The), Inc. (b) 9,044 ------------- 102,165 ------------- See Notes to Quarterly Portfolio of Investments Page 100 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS--0.1% 424 Headwaters, Inc. (b) $ 4,846 ------------- CONSUMER FINANCE--0.4% 394 Cash America International, Inc. 16,071 624 Rewards Network, Inc. (b) 3,008 351 World Acceptance Corp. (b) 13,822 ------------- 32,901 ------------- CONTAINERS & PACKAGING--1.0% 646 AptarGroup, Inc. 28,521 678 Ball Corp. 36,463 891 Pactiv Corp. (b) 21,197 ------------- 86,181 ------------- DISTRIBUTORS--0.2% 638 LKQ Corp. (b) 13,883 ------------- DIVERSIFIED CONSUMER SERVICES--1.2% 333 Bright Horizons Family Solutions, Inc. (b) 15,788 99 Coinstar, Inc. (b) 3,157 301 DeVry, Inc. 17,157 1,500 H&R Block, Inc. 32,804 377 Matthews International Corp., Class A 18,639 82 Strayer Education, Inc. 15,227 ------------- 102,772 ------------- DIVERSIFIED FINANCIAL SERVICES--0.6% 60 IntercontinentalExchange, Inc. (b) 9,309 689 Leucadia National Corp. 35,291 130 Portfolio Recovery Associates, Inc. (b) 5,721 ------------- 50,321 ------------- ELECTRICAL EQUIPMENT--1.2% 573 AMETEK, Inc. 27,802 334 Brady Corp., Class A 11,339 605 Emerson Electric Co. 31,618 136 Rockwell Automation, Inc. 7,375 306 Roper Industries, Inc. 19,009 209 Woodward Governor Co. 7,342 ------------- 104,485 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.5% 338 Amphenol Corp., Class A 15,609 175 Anixter International, Inc. (b) 9,970 334 Brightpoint, Inc. (b) 3,059 534 Checkpoint Systems, Inc. (b) 13,847 276 FARO Technologies, Inc. (b) 9,726 372 FLIR Systems, Inc. (b) 12,771 159 Itron, Inc. (b) 14,800 See Notes to Quarterly Portfolio of Investments Page 101 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 160 Littelfuse, Inc. (b) $ 5,882 511 Plexus Corp. (b) 12,310 396 ScanSource, Inc. (b) 9,888 196 Trimble Navigation Ltd. (b) 6,427 1,267 TTM Technologies, Inc. (b) 16,863 ------------- 131,152 ------------- ENERGY EQUIPMENT & SERVICES--6.0% 122 Atwood Oceanics, Inc. (b) 12,284 114 Baker Hughes, Inc. 9,220 650 Basic Energy Services, Inc. (b) 15,080 1,093 BJ Services Co. 30,899 267 Bristow Group, Inc. (b) 14,084 561 Cameron International Corp. (b) 27,618 70 CARBO Ceramics, Inc. 3,327 60 Dril-Quip, Inc. (b) 3,430 94 Exterran Holdings, Inc. (b) 6,278 553 FMC Technologies, Inc. (b) 37,162 300 Gulf Island Fabrication, Inc. 11,862 990 Halliburton Co. 45,450 89 Helix Energy Solutions Group, Inc. (b) 3,075 671 Helmerich & Payne, Inc. 36,066 314 Hornbeck Offshore Services, Inc. (b) 15,659 810 ION Geophysical Corp. (b) 12,903 135 Lufkin Industries, Inc. 10,186 325 Matrix Service Co. (b) 6,536 120 NATCO Group, Inc., Class A (b) 6,072 137 Oceaneering International, Inc. (b) 9,149 901 Pioneer Drilling Co. (b) 14,713 90 Schlumberger Ltd. 9,050 485 Smith International, Inc. 37,107 794 Superior Energy Services, Inc. (b) 35,238 656 Superior Well Services, Inc. (b) 15,619 353 TETRA Technologies, Inc. (b) 5,740 115 Transocean, Inc. (b) 16,958 152 Unit Corp. (b) 9,654 537 Weatherford International Ltd. (b) 43,320 208 W-H Energy Services, Inc. (b) 16,076 ------------- 519,815 ------------- FOOD & STAPLES RETAILING--2.4% 322 Andersons (The), Inc. 14,635 881 BJ's Wholesale Club, Inc. (b) 33,584 599 Costco Wholesale Corp. 42,679 961 CVS Caremark Corp. 38,796 537 Sysco Corp. 16,416 409 Walgreen Co. 14,254 739 Wal-Mart Stores, Inc. 42,846 236 Whole Foods Market, Inc. 7,703 ------------- 210,913 ------------- See Notes to Quarterly Portfolio of Investments Page 102 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS--2.8% 946 Archer-Daniels-Midland Co. $ 41,681 229 Campbell Soup Co. 7,969 580 Flowers Foods, Inc. 15,016 520 General Mills, Inc. 31,408 292 Hain Celestial Group (The), Inc. (b) 7,207 604 Hormel Foods Corp. 23,804 444 Kellogg Co. 22,719 632 McCormick & Co., Inc. 23,883 247 Ralcorp Holdings, Inc. (b) 15,077 377 Sanderson Farms, Inc. 15,710 496 Wm. Wrigley Jr. Co. 37,775 ------------- 242,249 ------------- GAS UTILITIES--0.6% 202 Energen Corp. 13,784 309 Equitable Resources, Inc. 20,509 275 Questar Corp. 17,058 ------------- 51,351 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.4% 121 Abaxis, Inc. (b) 3,083 197 American Medical Systems Holdings, Inc. (b) 2,778 84 Analogic Corp. 4,838 404 Baxter International, Inc. 25,177 94 Beckman Coulter, Inc. 6,420 363 Becton, Dickinson and Co. 32,452 1,210 Boston Scientific Corp. (b) 16,129 323 C.R. Bard, Inc. 30,417 336 CONMED Corp. (b) 8,575 1,190 CryoLife, Inc. (b) 12,638 193 Cyberonics, Inc. (b) 3,049 157 DENTSPLY International, Inc. 6,103 136 Edwards Lifesciences Corp. (b) 7,537 144 Haemonetics Corp. (b) 8,241 453 Hologic, Inc. (b) 13,223 910 Hospira, Inc. (b) 37,448 114 IDEXX Laboratories, Inc. (b) 6,065 257 Integra LifeSciences Holdings (b) 10,889 97 Intuitive Surgical, Inc. (b) 28,058 193 Kensey Nash Corp. (b) 5,628 131 Kinetic Concepts, Inc. (b) 5,195 334 Meridian Bioscience, Inc. 8,995 906 Merit Medical Systems, Inc. (b) 13,327 721 St. Jude Medical, Inc. (b) 31,565 469 STERIS Corp. 12,996 120 Stryker Corp. 7,780 67 SurModics, Inc. (b) 2,979 168 Symmetry Medical, Inc. (b) 2,357 See Notes to Quarterly Portfolio of Investments Page 103 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 55 Vital Signs, Inc. $ 2,878 253 West Pharmaceutical Services, Inc. 11,868 200 Zimmer Holdings, Inc. (b) 14,832 ------------- 383,520 ------------- HEALTH CARE PROVIDERS & SERVICES--3.5% 231 Air Methods Corp. (b) 9,263 284 Amedisys, Inc. (b) 14,711 315 AMERIGROUP Corp. (b) 8,187 181 AMN Healthcare Services, Inc. (b) 2,641 363 AmSurg Corp. (b) 9,271 307 Apria Healthcare Group, Inc. (b) 5,409 937 Community Health Systems, Inc. (b) 35,165 484 Express Scripts, Inc. (b) 33,889 450 HealthExtras, Inc. (b) 12,699 438 Henry Schein, Inc. (b) 24,252 392 HMS Holdings Corp. (b) 10,102 97 inVentiv Health, Inc. (b) 2,884 317 Laboratory Corp. of America Holdings (b) 23,972 534 Medco Health Solutions, Inc. (b) 26,454 114 Molina Healthcare, Inc. (b) 2,831 644 Patterson Cos., Inc. (b) 22,025 128 Pediatrix Medical Group, Inc. (b) 8,707 168 PSS World Medical, Inc. (b) 2,767 536 Psychiatric Solutions, Inc. (b) 18,605 469 Universal Health Services, Inc., Class B 29,378 ------------- 303,212 ------------- HEALTH CARE TECHNOLOGY--0.0% 164 Phase Forward, Inc. (b) 3,018 ------------- HOTELS, RESTAURANTS & LEISURE--2.9% 114 Buffalo Wild Wings, Inc. (b) 3,506 508 CBRL Group, Inc. 18,766 194 CEC Entertainment, Inc. (b) 7,217 577 Cheesecake Factory (The), Inc. (b) 13,058 160 Chipotle Mexican Grill, Inc., Class A (b) 15,701 718 Darden Restaurants, Inc. 25,546 180 IHOP Corp. 8,395 227 Marriott International, Inc., Class A 7,786 419 McDonald's Corp. 24,964 393 P.F. Chang's China Bistro, Inc. (b) 12,195 267 Panera Bread Co., Class A (b) 13,953 356 Papa John's International, Inc. (b) 9,612 119 Peet's Coffee & Tea, Inc. (b) 2,764 382 Red Robin Gourmet Burgers, Inc. (b) 15,693 391 Sonic Corp. (b) 8,598 150 Starwood Hotels & Resorts Worldwide, Inc. 7,832 See Notes to Quarterly Portfolio of Investments Page 104 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 311 WMS Industries, Inc. (b) $ 11,255 1,046 Yum! Brands, Inc. 42,550 ------------- 249,391 ------------- HOUSEHOLD DURABLES--1.3% 118 Black & Decker Corp. 7,744 1,187 Hovnanian Enterprises, Inc., Class A (b) 14,030 415 M.D.C. Holdings, Inc. 18,086 446 Meritage Homes Corp. (b) 8,461 42 NVR, Inc. (b) 25,767 1,606 Pulte Homes, Inc. 20,942 575 Standard Pacific Corp. (b) 2,910 774 Toll Brothers, lnc. (b) 17,523 ------------- 115,463 ------------- HOUSEHOLD PRODUCTS--1.1% 464 Church & Dwight Co., Inc. 26,364 400 Colgate-Palmolive Co. 28,280 67 Energizer Holdings, Inc. (b) 5,297 241 Kimberly-Clark Corp. 15,422 222 Procter & Gamble (The) Co. 14,885 168 WD-40 Co. 5,228 ------------- 95,476 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.4% 467 AES (The) Corp. (b) 8,107 265 Constellation Energy Group 22,432 ------------- 30,539 ------------- INDUSTRIAL CONGLOMERATES--0.3% 422 Textron, Inc. 25,746 ------------- INSURANCE--1.3% 480 Aflac, Inc. 32,002 345 Infinity Property & Casualty Corp. 13,372 206 Navigators Group (The), Inc. (b) 10,094 140 Principal Financial Group, Inc. 7,512 381 StanCorp Financial Group, Inc. 19,522 259 Torchmark Corp. 16,768 222 Tower Group, Inc. 5,215 219 W.R. Berkley Corp. 5,626 ------------- 110,111 ------------- See Notes to Quarterly Portfolio of Investments Page 105 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL--0.6% 218 Amazon.com, Inc. (b) $ 17,141 52 Blue Nile, Inc. (b) 2,583 908 Netflix, Inc. (b) 29,038 504 PetMed Express, Inc. (b) 5,655 ------------- 54,417 ------------- INTERNET SOFTWARE & SERVICES--0.7% 277 Akamai Technologies, Inc. (b) 9,908 224 Bankrate, Inc. (b) 11,702 261 eBay, Inc. (b) 8,167 125 j2 Global Communications, Inc. (b) 2,675 234 VeriSign, Inc. (b) 8,436 459 Websense, Inc. (b) 8,928 538 Yahoo!, Inc. (b) 14,746 ------------- 64,562 ------------- IT SERVICES--1.9% 622 Affiliated Computer Services, Inc., Class A (b) 32,948 367 Automatic Data Processing, Inc. 16,221 344 Broadridge Financial Solutions, Inc. 6,405 245 CACI International Inc., Class A (b) 12,279 589 CyberSource Corp. (b) 10,690 162 Fiserv, Inc. (b) 8,189 313 Gartner, Inc. (b) 7,174 439 Global Payments, Inc. 19,431 316 ManTech International Corp., Class A (b) 15,095 234 MAXIMUS, Inc. 8,873 517 SRA International, Inc., Class A (b) 13,582 366 Western Union Co. 8,418 91 Wright Express Corp. (b) 3,003 ------------- 162,308 ------------- LEISURE EQUIPMENT & PRODUCTS--0.1% 136 Polaris Industries, Inc. 6,331 ------------- LIFE SCIENCES TOOLS & SERVICES--2.6% 474 Applera Corp. - Applied Biosystems Group 15,125 308 Charles River Laboratories International, Inc. (b) 17,879 219 Covance, Inc. (b) 18,350 73 Dionex Corp. (b) 5,710 147 Invitrogen Corp. (b) 13,755 319 Kendle International, Inc. (b) 13,618 231 Millipore Corp. (b) 16,193 550 PAREXEL International Corp. (b) 13,970 642 PerkinElmer, Inc. 17,052 600 Pharmaceutical Product Development, Inc. 24,852 111 Pharmanet Development Group, Inc. (b) 2,648 See Notes to Quarterly Portfolio of Investments Page 106 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 270 Techne Corp. (b) $ 19,580 685 Thermo Fisher Scientific, Inc. (b) 39,642 105 Varian, Inc. (b) 5,348 ------------- 223,722 ------------- MACHINERY--6.6% 525 AGCO Corp. (b) 31,568 238 Albany International Corp., Class A 8,639 222 Astec Industries, Inc. (b) 8,136 497 Caterpillar, Inc. 40,694 157 CLARCOR, Inc. 6,588 450 Crane Co. 18,423 333 Cummins, Inc. 20,862 205 Danaher Corp. 15,994 387 Deere & Co. 32,535 312 Donaldson Co., Inc. 13,584 179 EnPro Industries, Inc. (b) 6,498 301 Flowserve Corp. 37,351 301 Gardner Denver, Inc. (b) 13,981 167 Graco, Inc. 6,915 454 Harsco Corp. 26,936 349 Ingersoll-Rand Co. Ltd., Class A 15,489 279 Joy Global, Inc. 20,716 195 Lincoln Electric Holdings, Inc. 14,879 140 Lindsay Corp. 14,577 763 Manitowoc (The) Co., Inc. 28,857 337 Nordson Corp. 19,893 450 Parker Hannifin Corp. 35,933 342 Robbins & Myers, Inc. 13,632 300 SPX Corp. 36,900 374 Terex Corp. (b) 26,060 163 Valmont Industries, Inc. 16,049 835 Wabtec Corp. 35,805 ------------- 567,494 ------------- MARINE--0.2% 252 Kirby Corp. (b) 13,820 ------------- MEDIA--1.7% 65 Arbitron, Inc. 3,110 1,571 DIRECTV Group (The), Inc. (b) 38,709 189 Getty Images, Inc. (b) 6,171 458 John Wiley & Sons, Inc., Class A 21,091 353 Omnicom Group, Inc. 16,852 2,899 Valassis Communications, Inc. (b) 41,165 590 Viacom, Inc., Class B (b) 22,680 ------------- 149,778 ------------- See Notes to Quarterly Portfolio of Investments Page 107 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) METALS & MINING--3.1% 276 AMCOL International Corp. $ 8,197 217 Century Aluminum Co. (b) 15,036 262 Cleveland-Cliffs, Inc. 42,025 840 Commercial Metals Co. 26,158 324 Freeport-McMoRan Copper & Gold, Inc. 36,855 344 Newmont Mining Corp. 15,208 575 Nucor Corp. 43,412 525 Reliance Steel & Aluminum Co. 31,910 183 Steel Dynamics, Inc. 6,378 307 United States Steel Corp. 47,262 ------------- 272,441 ------------- MULTILINE RETAIL--0.3% 456 Dollar Tree, Inc. (b) 14,410 76 Sears Holdings Corp. (b) 7,494 ------------- 21,904 ------------- OFFICE ELECTRONICS--0.2% 378 Zebra Technologies Corp., Class A (b) 13,892 ------------- OIL, GAS & CONSUMABLE FUELS--8.5% 322 Apache Corp. 43,367 289 Arch Coal, Inc. 16,577 385 Bill Barrett Corp. (b) 19,801 169 Cabot Oil & Gas Corp. 9,628 844 Chesapeake Energy Corp. 43,635 460 Cimarex Energy Co. 28,658 102 ConocoPhillips 8,787 338 CONSOL Energy, Inc. 27,364 881 Denbury Resources, Inc. (b) 26,923 373 Devon Energy Corp. 42,298 781 Encore Acquisition Co. (b) 35,637 260 EOG Resources, Inc. 33,925 184 Exxon Mobil Corp. 17,125 442 Hess Corp. 46,939 474 Murphy Oil Corp. 42,821 238 Newfield Exploration Co. (b) 14,461 153 Peabody Energy Corp. 9,353 195 Penn Virginia Corp. 10,238 124 Petroleum Development Corp. (b) 9,329 827 PetroQuest Energy, Inc. (b) 17,185 512 Pioneer Natural Resources Co. 29,558 473 Plains Exploration & Production Co. (b) 29,458 861 Quicksilver Resources, Inc. (b) 35,723 614 Range Resources Corp. 40,757 934 Southwestern Energy Co. (b) 39,518 290 St. Mary Land & Exploration Co. 12,679 See Notes to Quarterly Portfolio of Investments Page 108 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 148 Sunoco, Inc. $ 6,869 199 World Fuel Services Corp. 4,887 629 XTO Energy, Inc. 38,910 ------------- 742,410 ------------- PAPER & FOREST PRODUCTS--0.0% 50 Deltic Timber Corp. 2,638 ------------- PERSONAL PRODUCTS--1.3% 918 Alberto-Culver Co. 23,106 985 Avon Products, Inc. 38,435 130 Chattem, Inc. (b) 9,084 849 Estee Lauder (The) Cos., Inc., Class A 38,723 784 Mannatech, Inc. 5,120 ------------- 114,468 ------------- PHARMACEUTICALS--2.2% 424 Abbott Laboratories 22,366 276 Allergan, Inc. 15,558 484 Barr Pharmaceuticals, Inc. (b) 24,311 302 Eli Lilly and Co. 14,538 389 Forest Laboratories, Inc. (b) 13,502 360 Johnson & Johnson 24,152 834 Perrigo Co. 34,187 287 Sciele Pharma, Inc. (b) 5,530 1,328 Watson Pharmaceuticals, Inc. (b) 41,222 ------------- 195,366 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 691 Extra Space Storage, Inc. 11,630 147 Potlatch Corp. 6,587 397 ProLogis 24,856 ------------- 43,073 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.5% 1,080 CB Richard Ellis Group, Inc., Class A (b) 24,970 235 Jones Lang LaSalle, Inc. 18,238 ------------- 43,208 ------------- ROAD & RAIL--1.4% 338 Burlington Northern Santa Fe Corp. 34,662 196 Heartland Express, Inc. 3,032 801 J.B. Hunt Transport Services, Inc. 27,210 627 Kansas City Southern (b) 28,265 See Notes to Quarterly Portfolio of Investments Page 109 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 340 Knight Transportation, Inc. $ 5,777 214 Landstar System, Inc. 11,119 451 Old Dominion Freight Line, Inc. (b) 13,846 ------------- 123,911 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.8% 798 Applied Materials, Inc. 14,891 450 Cree, Inc. (b) 11,700 330 MEMC Electronic Materials, Inc. (b) 20,779 245 Microsemi Corp. (b) 6,003 586 Pericom Semiconductor Corp. (b) 9,985 328 Xilinx, Inc. 8,125 ------------- 71,483 ------------- SOFTWARE--3.1% 304 ACI Worldwide, Inc. (b) 6,718 921 Activision, Inc. (b) 24,913 282 Ansoft Corp. (b) 9,351 249 ANSYS, Inc. (b) 10,017 230 Blackbaud, Inc. 5,403 239 BMC Software, Inc. (b) 8,308 277 Concur Technologies, Inc. (b) 9,180 250 Epicor Software Corp. (b) 2,000 52 Factset Research Systems, Inc. 3,122 655 Informatica Corp. (b) 10,454 288 Intuit, Inc. (b) 7,767 737 Jack Henry & Associates, Inc. 19,368 613 JDA Software Group, Inc. (b) 11,586 380 McAfee, Inc. (b) 12,635 332 MICROS Systems, Inc. (b) 11,836 274 Microsoft Corp. 7,814 796 Oracle Corp. (b) 16,597 714 Phoenix Technologies Ltd. (b) 8,418 93 Progress Software Corp. (b) 2,811 94 Quality Systems, Inc. 3,019 200 Radiant Systems, Inc. (b) 2,698 222 SPSS, Inc. (b) 9,377 957 Sybase, Inc. (b) 28,156 937 Symantec Corp. (b) 16,135 438 Take-Two Interactive Software, Inc. (b) 11,493 800 Tyler Technologies, Inc. (b) 11,576 ------------- 270,752 ------------- SPECIALTY RETAIL--5.2% 319 Abercrombie & Fitch Co., Class A 23,705 369 Advance Auto Parts, Inc. 12,797 928 Aeropostale, Inc. (b) 29,501 137 AutoZone, Inc. (b) 16,543 792 Bed Bath & Beyond, Inc. (b) 25,740 564 Best Buy Co., Inc. 24,263 936 CarMax, Inc. (b) 19,422 See Notes to Quarterly Portfolio of Investments Page 110 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE -------- -------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 679 Dick's Sporting Goods, Inc. (b) $ 19,419 216 Dress Barn, Inc. (b) 2,907 753 GameStop Corp., Class A (b) 41,446 1,187 Gap (The), Inc. 22,102 449 Guess?, Inc. 17,188 360 Gymboree (The) Corp. (b) 15,559 339 Lowe's Cos., Inc. 8,539 325 Midas, Inc. (b) 5,047 212 O'Reilly Automotive, Inc. (b) 6,120 1,050 Ross Stores, Inc. 35,165 345 Stage Stores, Inc. 5,430 1,409 Staples, Inc. 30,575 1,177 TJX (The) Cos., Inc. 37,923 218 Tractor Supply Co. (b) 7,752 1,003 Urban Outfitters, Inc. (b) 34,353 250 Williams-Sonoma, Inc. 6,600 ------------- 448,096 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.6% 80 Deckers Outdoor Corp. (b) 11,046 92 Fossil, Inc. (b) 3,293 862 Hanesbrands, Inc. (b) 30,187 573 NIKE, Inc., Class B 38,276 570 Quiksilver, Inc. (b) 5,546 797 Warnaco Group (The), Inc. (b) 36,774 385 Wolverine World Wide, Inc. 11,065 ------------- 136,187 ------------- THRIFTS & MORTGAGE FINANCE--0.5% 2,202 Hudson City Bancorp, Inc. 42,124 ------------- TOBACCO--0.1% 143 UST, Inc. 7,446 ------------- TRADING COMPANIES & DISTRIBUTORS--0.5% 548 Fastenal Co. 26,748 298 MSC Industrial Direct Co., Class A 14,530 ------------- 41,278 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% 199 American Tower Corp., Class A (b) 8,641 ------------- TOTAL COMMON STOCKS - 100.0% (Cost $8,057,794) 8,659,307 MONEY MARKET--0.8% 70,281 J.P. Morgan Institutional Treasury Money Market Fund - 1.47% (c) (Cost $70,281) 70,281 ------------- See Notes to Quarterly Portfolio of Investments Page 111 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) APRIL 30, 2008 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------- -------------- TOTAL INVESTMENTS--100.8% (Cost $8,128,075) (d) $ 8,729,588 NET OTHER ASSETS AND LIABILITIES--(0.8%) (70,935) ------------- NET ASSETS--100.0% $ 8,658,653 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of April 30, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $772,934 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $171,421. See Notes to Quarterly Portfolio of Investments Page 112 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS APRIL 30, 2008 (UNAUDITED) 1. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") is an open-end management investment company that currently consists of sixteen AlphaDEX(TM) funds (each a "Fund" or collectively the "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's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued 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. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2008 (UNAUDITED) security upon its current sale. The use of fair value prices by a Fund generally results in the prices used by a Fund differing from the closing sale prices on the applicable exchange and fair value prices may not reflect the actual value of a security. A variety of factors may be considered in determining the fair value of such securities. Valuing a Fund's securities using fair value pricing will result in using prices for the securities that may differ from current market valuations. Use of fair value prices and certain current market valuations could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of such index. B. SECURITIES TRANSACTIONS: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Page 114 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND ADDITIONAL INFORMATION APRIL 30, 2008 (UNAUDITED) Each of the 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 and First Trust Utilities AlphaDEX(TM) Fund are entitled to use an index and corresponding trademarks and trade names pursuant to sublicense arrangements by and among the Trust on behalf of each Fund, the American Stock Exchange LLC ("AMEX"), First Trust Advisors L.P. and First Trust Portfolios L.P. Each of the 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 and First Trust Multi Cap Growth AlphaDEX(TM) Fund are entitled to use an index and corresponding trademarks and trade names pursuant to sublicense arrangements by and among the Trust on behalf of each Fund, Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), First Trust Advisors L.P. and First Trust Portfolios L.P. Each index is the exclusive property of AMEX or S&P, as applicable. Each Fund is not sponsored, endorsed, sold or promoted by S&P or AMEX, and neither AMEX nor S&P make any representation regarding the advisability of investing in any Fund. Page 115 ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(TM) Fund ------------------------------------------------ By: /s/ James A. Bowen --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 26, 2008 --------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 26, 2008 --------------------------------------------------------- By: /s/ Mark R. Bradley ---------------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: June 26, 2008 ---------------------------------------------------------