-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EHYSn5PIgVfA23Bl+d5GSW7CDqGEueeAebCcu6TXwj2WXs6uyOa8yyUsll6wqckF 2hpRlmHEf2FhbHOO28LDeA== 0001445546-09-000991.txt : 20090410 0001445546-09-000991.hdr.sgml : 20090410 20090409195024 ACCESSION NUMBER: 0001445546-09-000991 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20090131 FILED AS OF DATE: 20090410 DATE AS OF CHANGE: 20090409 EFFECTIVENESS DATE: 20090410 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 09743866 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value Opportunities AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth Opportunities AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financial AlphaDEX Fund C000048899 First Trust Financial AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU N-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL REPORT TO SHAREHOLDERS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ------------ First Trust Exchange-Traded AlphaDEX(R) Fund ------------------------------------------------------ (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------ (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: July 31 --------- Date of reporting period: January 31, 2009 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2009 - -------------------------------------------------------------------------------- Sector Series - ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund First Trust Consumer Staples AlphaDEX(R) Fund First Trust Energy AlphaDEX(R) Fund First Trust Financials AlphaDEX(R) Fund First Trust Health Care AlphaDEX(R) Fund First Trust Industrials/Producer Durables AlphaDEX(R) Fund First Trust Materials AlphaDEX(R) Fund First Trust Technology AlphaDEX(R) Fund First Trust Utilities AlphaDEX(R) Fund Core Series - ----------- First Trust Large Cap Core AlphaDEX(R) Fund First Trust Mid Cap Core AlphaDEX(R) Fund First Trust Small Cap Core AlphaDEX(R) Fund Style Series - ------------ First Trust Large Cap Value Opportunities AlphaDEX(R) Fund First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Multi Cap Series - ---------------- First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Multi Cap Growth AlphaDEX(R) Fund [LOGO OMITTED] AlphaDEX(R) Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. - -------------------------------------------------------------------------------- Front Cover - -------------------------------------------------------------------------------- Table of Contents - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 Shareholder Letter 2 Market Overview 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund 4 First Trust Consumer Staples AlphaDEX(R) Fund 6 First Trust Energy AlphaDEX(R) Fund 8 First Trust Financials AlphaDEX(R) Fund 10 First Trust Health Care AlphaDEX(R) Fund 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 14 First Trust Materials AlphaDEX(R) Fund 16 First Trust Technology AlphaDEX(R) Fund 18 First Trust Utilities AlphaDEX(R) Fund 20 First Trust Large Cap Core AlphaDEX(R) Fund 22 First Trust Mid Cap Core AlphaDEX(R) Fund 24 First Trust Small Cap Core AlphaDEX(R) Fund 26 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 28 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 30 First Trust Multi Cap Value AlphaDEX(R) Fund 32 First Trust Multi Cap Growth AlphaDEX(R) Fund 34 Notes to Fund Performance Overview 36 Understanding Your Fund Expenses 37 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund 39 First Trust Consumer Staples AlphaDEX(R) Fund 42 First Trust Energy AlphaDEX(R) Fund 43 First Trust Financials AlphaDEX(R) Fund 44 First Trust Health Care AlphaDEX(R) Fund 47 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 49 First Trust Materials AlphaDEX(R) Fund 51 First Trust Technology AlphaDEX(R) Fund 53 First Trust Utilities AlphaDEX(R) Fund 55 First Trust Large Cap Core AlphaDEX(R) Fund 56 First Trust Mid Cap Core AlphaDEX(R) Fund 62 First Trust Small Cap Core AlphaDEX(R) Fund 67 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 73 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 77 First Trust Multi Cap Value AlphaDEX(R) Fund 81 First Trust Multi Cap Growth AlphaDEX(R) Fund 89 Statements of Assets and Liabilities 96 Statements of Operations 100 Statements of Changes in Net Assets 104 Financial Highlights 110 Notes to Financial Statements 118 Additional Information 126 Risk Considerations 127 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Caution Regarding Forward-Looking Statements This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. Performance and Risk Disclosure There is no assurance that any series of the Trust described in this report (individually, each series is referred to as a "Fund" and collectively, the "Funds") will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. How to Read This Report This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 - -------------------------------------------------------------------------------- Shareholder Letter - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2009 Dear Shareholders: 2008 brought all sorts of challenges to investors. Throughout the year, the financial sector was plagued with failures in banking, insurance and by brokerage firms. By year's end, after a meltdown in the credit markets, historically high levels of volatility in the stock market, and the resulting turmoil to the overall economy, the Dow Jones Industrial Average's (the "Dow") total return was -31.92% (as of 12/31/08). In fact, 2008 was the Dow's third worst calendar year since its inception in 1896. For the year, the negative total return performance of the Dow was surpassed only by 1931 and 1907, two years in which the U.S. was also enduring a major banking crisis. Of the thirty stocks in the Dow, only two were up in 2008. Yet, regardless of the market, First Trust Advisors L.P. ("First Trust") has always believed that in order to be successful in reaching your financial goals, you should be invested for the long term. A long-term investor understands that the market, from a historical perspective, has always experienced ups and downs. But history has shown that the patient investor is typically rewarded over the long term. While no one has the ability to predict when the markets will recover, we believe that staying invested in quality products and having a long-term perspective can help investors reach their financial goals. The report you hold contains detailed information about the Funds that comprise the First Trust Exchange-Traded AlphaDEX(R) Fund for the period covered by this report. It contains each Fund's performance review and financial statements for the period. I encourage you to read this document and discuss it with your financial advisor. First Trust has been through many types of markets and remains committed to bringing you quality investment solutions regardless of the inevitable ups and downs experienced in the market. We offer a variety of products that may fit many financial plans to help those investors seeking long-term investment success. As well, we are committed to making available up-to-date reports about your investments so you and your financial advisor have current information on your portfolio. We continue to value our relationship with you, and we thank you for the opportunity to assist you in achieving your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(R) Fund Page 2 - -------------------------------------------------------------------------------- Market Overview - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2009 [PHOTO OMITTED] Robert F. Carey, CFA Senior Vice President and Chief Investment Officer First Trust Advisors L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 21 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. State of the Economy The combination of the subprime mortgage meltdown, corresponding credit crunch, historically low levels of consumer confidence and significant job losses pushed the U.S. economy, which was already in recession, into a deeper one in the fourth quarter of 2008. The U.S. economy shrank by an annualized 6.2% in the fourth quarter of 2008, the worst showing since 1982. The recession actually commenced in December 2007, according to the National Bureau of Economic Research (NBER). Perhaps the most troublesome indicator at year-end was the acceleration in job losses. While the U.S. lost 2.6 million jobs in 2008, 1.1 million of them came in the last two months of 2008. The number of losses totaled 2.8 million for the six-month period ended January 31, 2009. A close second would be the ongoing deterioration of the housing market, both in terms of declining home values and record-high foreclosure activity. Filings surpassed 3 million in 2008, up 81% from 2007, according to RealtyTrac.com. For the 12-month period ended December 31, 2008, home prices were down 18.2% nationwide, according to the S&P/Case-Shiller 20-city home price index. Most economists acknowledge that a recovery cannot begin until home prices stabilize. The Obama Administration is planning to establish a $75 billion fund to help up to 9 million homeowners stave off foreclosure. At the present time, the government is in the midst of implementing a three-pronged approach to combat the challenges mentioned above. First, the Federal Reserve Bank (the "Fed") has cut the federal funds target rate to an all-time low of 0-0.25% and grown its balance sheet to nearly $3 trillion to boost liquidity in the markets. Second, the Treasury Department has already tapped approximately one-half of the $700 billion appropriated to the Troubled Asset Relief Program (TARP). It took just 77 days to invest approximately $350 billion with a little over half ($168 billion) disseminated across 116 banking institutions. The Obama Administration has stated that it intends to use some of the remaining $350 billion from TARP to buy "toxic" securities from these troubled institutions in an effort to free-up lending. Finally, the Obama Administration passed into law a $787 billion fiscal stimulus package in mid-February aimed at saving or creating 3.5 million jobs. The plan is comprised of approximately 36% tax breaks and 64% spending programs. All in all, the government is throwing an unprecedented amount of monetary/fiscal stimulus at the problem. U.S. Stocks and Bonds The major U.S. stock indices posted bear market returns across the board for the six-month period ended January 31, 2009. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were down 33.9%, 37.3%, and 36.6%, respectively, according to Bloomberg. None of the 10 major sectors in the S&P 500 Index finished in positive territory. The top performing sector was Health Care (-17.0%), while the poorest was Financials (-56.2%). The S&P 500 Index posted five consecutive quarters of negative earnings growth through the fourth quarter of 2008, according to Standard & Poor's. If we had to pick one word to sum up the market over the past year volatile would be as appropriate as any. The VIX Volatility Index ("VIX") reached an all-time high of 80.86 on November 20, 2008. The VIX stood at 44.84 on January 30, 2009, down 45% from the high. Since the peak in the S&P 500 Index on October 9, 2007, the average reading for the VIX has been 31.62, according to Bloomberg. If the VIX can manage to work its way down into the 30s we could see higher stock prices, according to Bespoke Investment Group. In the U.S. bond market, the only two groups that finished up over the past six months were Treasuries and GNMAs. The Barclays Capital U.S. Treasury: Intermediate Index and GNMA 30 Year Index posted total returns of 5.14% and 5.16%, respectively. At the other end of the risk spectrum, the Barclays Capital U.S. Corporate High Yield Index posted the poorest return declining 22.0%.This suggests that investors are still leery of the recession. Foreign Stocks and Bonds The old adage says that when the U.S. sneezes the rest of the world catches a cold. This was certainly the case for the six-month period ended January 31, 2009. The U.S. recession not only derailed the global growth story but the bull market in foreign stocks and bonds as well. The Barclays Capital Global Emerging Markets Index of debt securities fell 16.9% (USD), while the Barclays Capital Global Aggregate Index of higher quality debt declined 2.8% (USD). On the equities front, the MSCI Emerging Markets Index and MSCI World Index (excluding U.S. equities) returned -48.8% (USD) and -41.2% (USD), respectively. Despite all of the economic setbacks in the U.S., the dollar gained 14.8% against a basket of major currencies. Page 3 - -------------------------------------------------------------------------------- Fund Performance Overview - -------------------------------------------------------------------------------- FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by NYSE Euronext or its affiliates ("NYSE Euronext") to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Discretionary and Services Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -39.05% -47.59% -38.14% -56.52% Market Price -38.89% -47.44% -38.10% -56.47% Index Performance StrataQuant(R) Consumer Discretionary Index -38.75% -47.22% -37.66% -55.94% Russell 1000(R) Consumer Discretionary and Services Index -31.64% -38.02% -29.37% -45.28% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXD's six-month net asset value ("NAV") return of -39.05% underperformed the benchmark Russell 1000(R) Consumer Discretionary and Services Index return of - -31.64% by -7.41%. The Media industry was the largest detractor from the Fund's total return, where stocks such as Liberty Media (-64.8%) and News Corp (-54.6%) were hurt by declining ad revenues in addition to falling with the overall market. Retailers such as AnnTaylor (-78.3%) and Office Depot (-68.3%) were also hurt by the slowdown in consumer spending and detracted significantly from the portfolio's total return. On a relative basis, underweight holdings in the largest market cap stocks, such as McDonald's (-1.5%) and Home Depot (-8.0%), were the main source of underperformance as these stocks outperformed their smaller cap peers in the Fund and benchmark. Overweight holdings in positive-performing stocks, such as Apollo Group (+41.3%) and ITT Educational Services (+38.3%), contributed positively to relative performance in the Fund's portfolio during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Apollo Group, Inc., Class A MGM MIRAGE ITT Educational Services, Inc. Wyndham Worldwide Corp. Dollar Tree, Inc. AnnTaylor Stores Corp. AutoNation, Inc. Ticketmaster Entertainment, Inc. Family Dollar Stores, Inc. Royal Caribbean Cruises Ltd. - -------------------------------------------------------------------------------- The StrataQuant(R) Consumer Discretionary Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust PortfoliosL.P. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 80.58% Industrials 9.87 Consumer Staples 4.74 Information Technology 4.23 Energy 0.32 Materials 0.26 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- ITT Educational Services, Inc. 1.83% Liberty Media Corp. - Capital, Series A 1.65 Family Dollar Stores, Inc. 1.51 Apollo Group, Inc., Class A 1.51 Dollar Tree, Inc. 1.45 PetSmart, Inc. 1.44 Strayer Education, Inc. 1.43 Williams-Sonoma, Inc. 1.43 Accenture Ltd., Class A 1.36 DIRECTV Group (The), Inc. 1.35 ------- Total 14.96% ======= Page 5 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXG - First Trust Consumer Staples AlphaDEX(R) Fund The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Staples Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -21.44% -19.91% -17.64% -28.59% Market Price -21.50% -19.79% -17.68% -28.64% Index Performance StrataQuant(R) Consumer Staples Index -21.30% -19.46% -17.09% -27.75% Russell 1000(R) Consumer Staples Index -17.12% -17.04% -9.47% -15.85% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXG's six-month NAV return of -21.44% underperformed the benchmark Russell 1000(R) Consumer Staples Index return of -17.12% by -4.32%. Though generally resilient in contracting cycles, consumer staples stocks still produced negative returns as investors fled the stock market. Within the sector, the Food Products industry was the largest detractor from absolute return, where companies such as H.J. Heinz (-26.2%) and Campbell Soup (-15.4%) contributed to the portfolio's poor performance. Though still producing negative returns, companies in the Household Products industry such as Procter & Gamble (-15.7%) and Church & Dwight (-2.7%) detracted the least from the total return of the Fund; the Fund also benefited on a relative basis from being underweight Procter & Gamble while being overweight the outperforming Church & Dwight. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks J.M. Smucker (The) Co. Campbell Soup Co. Hansen Natural Corp. Kroger (The) Co. Anheuser-Busch H.J. Heinz Co. Wrigley (Wm) Jr. SUPERVALU, Inc. Kraft Foods, Inc. NBTY, Inc. - -------------------------------------------------------------------------------- The StrataQuant(R) Consumer Staples Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund. Page 6 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXG - First Trust Consumer Staples AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - ------------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- NBTY, Inc. 6.76% Dean Foods Co. 6.03 J.M. Smucker (The) Co. 5.84 Hansen Natural Corp. 5.60 General Mills, Inc. 5.46 SUPERVALU, Inc. 5.39 Kroger (The) Co. 4.77 McCormick & Co., Inc. 4.51 Colgate-Palmolive Co. 4.26 Church & Dwight Co., Inc. 4.25 ------- Total 52.87% ======= Page 7 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXN - First Trust Energy AlphaDEX(R) Fund The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Integrated Oils Index and Russell 1000(R) Other Energy Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -54.40% -48.39% -29.40% -45.33% Market Price -53.54% -47.37% -28.66% -44.32% Index Performance StrataQuant(R) Energy Index -54.28% -48.08% -28.98% -44.77% Russell 1000(R) Integrated Oils Index -17.22% -17.70% -5.33% -9.06% Russell 1000(R) Other Energy Index -53.36% -46.69% -28.46% -44.06% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXN's six-month NAV return of -54.40% slightly underperformed the Russell 1000(R) Other Energy Index return of -53.36%, and more significantly underperformed the Russell 1000(R) Integrated Oils Index return of -17.22%. The drop in commodity prices (front month oil futures dropped -66.4%, and front month natural gas prices dropped -51.6%) was a significant contributor to the negative return in the portfolio as the bleak economic forecast and demand outlook hurt the performance of energy-related stocks. A higher weight in smaller companies with more exposure to drilling, exploration and production hurt the performance of the Fund's portfolio due to their greater sensitivity to commodity prices. An underweight allocation to the larger and more diversified integrated oil companies such as Exxon Mobil was a leading contributor to relative underperformance. An overweight (1.8% vs. 0.3%) holding of Sunoco contributed positively to relative performance in the Fund as the stock was up +16.0% during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Sunoco, Inc. Mariner Energy, Inc. Reliant Energy, Inc. Oil States International, Inc. Exxon Mobil Corp. Rowan Cos., Inc. NRG Energy, Inc. Key Energy Services, Inc. Holly Corp. Helix Energy Solutions Group, Inc. - -------------------------------------------------------------------------------- The StrataQuant(R) Energy Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXN - First Trust Energy AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Energy 96.08% Utilities 3.92 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Sunoco, Inc. 3.06% Pride International, Inc. 2.90 Oil States International, Inc. 2.81 Mariner Energy, Inc. 2.79 ENSCO International, Inc. 2.77 Exxon Mobil Corp. 2.75 Unit Corp. 2.68 Plains Exploration & Production Co. 2.61 Valero Energy Corp. 2.56 Patterson-UTI Energy, Inc. 2.39 ------- Total 27.32% ======= Page 9 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXO - First Trust Financials AlphaDEX(R) Fund The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Financial Services Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -38.58% -50.77% -41.83% -60.92% Market Price -37.47% -49.80% -41.26% -60.25% Index Performance StrataQuant(R) Financials Index -38.36% -50.41% -41.25% -60.24% Russell 1000(R) Financial Services Index -51.63% -62.08% -49.54% -69.46% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXO's six-month NAV return of -38.58% outperformed the benchmark Russell 1000(R) Financial Services Index return of -51.63% by +13.05%. The crisis in the financial system was felt across the Financials sector as all industries delivered negative returns in both the Fund and the benchmark index. REITs were the largest detractor from portfolio performance and one of the worst-performing industries as they faced multiple headwinds such as declining property values, declining consumer spending and tightening credit markets. The Insurance industry also performed poorly and was a significant detractor from portfolio performance as stocks such as Genworth Financial (-85.2%) and Hartford Financial (-78.2%) faced credit downgrades and investment losses during the period. Asset managers and investment banks in the Capital Markets industry were another significant detractor from portfolio performance. Relative to the benchmark, positive stock selection in the Fund led to outperformance during the period, as the Fund was underweight in some of the worst-performing stocks in the benchmark (such as AIG and Bank of America). In addition to overweighting stocks that performed well, such as PartnerRe and W.R. Berkley, the Fund's weighting methodology limited exposure to some of the worst-performing stocks such as Citigroup and JPMorgan Chase; both of these factors contributed to the Fund's outperformance during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks W.R. Berkley Corp. United Rentals, Inc. PartnerRe Ltd. Lincoln National Corp. Annaly Capital Management, Inc. CIT Group, Inc. RenaissanceRe Holdings Ltd. Janus Capital Group, Inc. UnionBanCal Regions Financial Corp. - -------------------------------------------------------------------------------- The StrataQuant(R) Financials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXO - First Trust Financials AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Financials 79.05% Information Technology 13.22 Industrials 5.23 Consumer Discretionary 1.45 Health Care 1.05 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- MF Global Ltd. 1.35% Dun & Bradstreet (The) Corp. 1.30 Developers Diversified Realty Corp. 1.30 Fidelity National Information Services, Inc. 1.29 Goldman Sachs Group (The), Inc. 1.26 HRPT Properties Trust 1.24 Automatic Data Processing, Inc. 1.22 Brown & Brown, Inc. 1.21 H&R Block, Inc. 1.20 Capitol Federal Financial 1.20 ------- Total 12.57% ======= Page 11 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXH - First Trust Health Care AlphaDEX(R) Fund The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Health Care Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -22.56% -24.00% -16.40% -26.70% Market Price -22.56% -23.84% -16.40% -26.70% Index Performance StrataQuant(R) Health Care Index -22.25% -23.29% -15.66% -25.57% Russell 1000(R) Health Care Index -17.73% -19.70% -15.26% -24.96% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXH's six-month NAV return of -22.56% underperformed the benchmark Russell 1000(R) Health Care Index return of -17.73% by -4.83%. Though the sector was one of the best performing during the period across the broad market, negative returns were still realized in both the Fund and the sector. Within the Fund, the Health Care Providers & Services industry was among the worst performers and detracted -11.4% from absolute return. The industry was hurt by a weaker economic outlook (higher unemployment leads to an increasing number of uninsured patients) which contributed to the poor performance of facility operators such as Tenet Healthcare (-78.6%) and Community Health (-43.5%). Within the Fund, a higher weight in facility providers, combined with their poor performance, was the main source of relative underperformance during the period. The Fund benefited on both an absolute and relative basis from a position in Lasik equipment maker Advanced Medical Optics, which was acquired by Abbott Laboratories for a 143% premium. The higher than benchmark weight (0.5% vs. 0.1%), combined with the substantial premium, contributed positively to relative performance in the Fund's portfolio. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Advanced Medical Optics, Inc. Community Health Systems, Inc. HLTH Corp. Covance, Inc. UnitedHealth Group, Inc. Varian Medical Systems, Inc. Health Net, Inc. Coventry Health Care, Inc. Endo Pharmaceuticals Holdings, Inc. Tenet Healthcare Corp. - -------------------------------------------------------------------------------- The StrataQuant(R) Health Care Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXH - First Trust Health Care AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Health Care 95.68% Consumer Staples 2.14 Industrials 1.72 Information Technology 0.46 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Advanced Medical Optics, Inc. 4.57% Mylan, Inc. 2.63 HLTH Corp. 2.49 Medco Health Solutions, Inc. 2.46 AmerisourceBergen Corp. 2.34 Humana, Inc. 2.33 Coventry Health Care, Inc. 2.33 Omnicare, Inc. 2.31 Gilead Sciences, Inc. 2.28 Celgene Corp. 2.20 ------- Total 25.94% ======= Page 13 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Producer Durables Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -43.50% -43.36% -33.20% -50.32% Market Price -43.40% -43.26% -33.20% -50.32% Index Performance StrataQuant(R) Industrials Index -43.32% -42.97% -32.72% -49.70% Russell 1000(R) Producer Durables Index -37.28% -41.37% -27.32% -42.50% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review The tightening economy and reduced growth prospects roiled stocks in the Industrials sector, causing FXR to return -43.50% on an NAV basis, and underperform the benchmark Russell 1000(R) Producer Durables Index return of - -37.28% by -6.22%. The turmoil in the sector is evidenced by the fact that no constituents in the benchmark produced a positive return, and only two holdings in the Fund produced positive returns during the period. Stocks in the Machinery industry (-30.5%) were the primary detractor from portfolio performance where industrial, construction, and farm machinery makers all struggled to deal with weaker outlooks from decreased demand, much tighter credit markets, and losses from foreign operations due to a stronger U.S. dollar. The industry detracted - -19.9% from total return during the period due to poor performance from producers such as mining equipment maker Bucyrus International (-67.0%), heavy truck maker Terex (-75.0%), and farm equipment maker AGCO (-64.5%). The Electrical Equipment industry and Aerospace & Defense industry were also significant detractors from the Fund's performance during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks American Tower Corp., Class A AGCO Corp. Goodrich Corp. Thomas & Betts Corp. Rockwell Collins, Inc. Steelcase, Inc., Class A Boeing (The) Co. Bucyrus International, Inc. Raytheon Co. Terex Corp. - -------------------------------------------------------------------------------- The StrataQuant(R) Industrials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Industrials 79.83% Information Technology 15.32 Consumer Discretionary 4.19 Telecommunication Services 0.66 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Spirit Aerosystems Holdings, Inc., Class A 4.72% BE Aerospace, Inc. 4.44 Raytheon Co. 3.50 ITT Corp. 3.48 Alliant Techsystems, Inc. 3.33 Gardner Denver, Inc. 3.29 W.W. Grainger, Inc. 3.27 Thomas & Betts Corp. 3.14 Diebold, Inc. 3.12 Northrop Grumman Corp. 2.74 ------- Total 35.03% ======= Page 15 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXZ- First Trust Materials AlphaDEX(R) Fund The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Materials and Processing Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -52.39% -49.03% -31.00% -47.45% Market Price -52.32% -48.88% -30.92% -47.35% Index Performance StrataQuant(R) Materials Index -52.16% -48.62% -30.48% -46.76% Russell 1000(R) Materials and Processing Index -48.33% -48.44% -30.07% -46.22% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXZ's six-month NAV return of -52.39% underperformed the benchmark Russell 1000(R) Materials and Processing Index return of -48.33% by -4.06%. The slide in commodity prices and slowing global demand hurt the performance of the sector and contributed to negative returns across all industries in both the Fund and the benchmark. The main contributor to the poor return in the sector was the Chemicals industry, where stocks such as Eastman Chemical (-48.1%), Cytec Industries (-61.9%), and Dow Chemical (-63.8%), which would normally benefit from lower input prices (such as oil and natural gas), were instead hurt by volatility and a weakened demand outlook (end-users destocking inventories). Stocks in the Metals & Mining and Containers & Packaging industries were also significant detractors from the Fund's total return. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Archer-Daniels-Midland Co. Domtar Corp. Nucor Corp. Temple-Inland, Inc. URS Corp. United States Steel Corp. Scotts Miracle-Gro (The) Co., Class A Ashland, Inc. Corn Products International, Inc. Smurfit-Stone Container Corp. - -------------------------------------------------------------------------------- The StrataQuant(R) Materials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXZ - First Trust Materials AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Materials 75.59% Industrials 17.66 Consumer Staples 4.43 Consumer Discretionary 2.32 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Temple-Inland, Inc. 3.43% Reliance Steel & Aluminum Co. 3.22 Scotts Miracle-Gro (The) Co., Class A 3.15 Schnitzer Steel Industries, Inc., Class A 3.03 Freeport-McMoRan Copper & Gold, Inc. 2.98 Steel Dynamics, Inc. 2.76 Ball Corp. 2.67 Rohm and Haas Co. 2.59 Nucor Corp. 2.56 URS Corp. 2.42 ------- Total 28.81% ======= Page 17 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXL- First Trust Technology AlphaDEX(R) Fund The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Technology Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -40.95% -42.36% -31.37% -47.95% Market Price -40.86% -42.14% -31.34% -47.90% Index Performance StrataQuant(R) Technology Index -40.47% -41.67% -30.69% -47.04% Russell 1000(R) Technology Index -35.47% -35.94% -24.65% -38.79% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXL's six-month NAV return of -40.95% underperformed the benchmark Russell 1000(R) Technology Index return of -35.47% by -5.48%. The contracting economy negatively affected stocks in the Information Technology sector where decreased consumer and business demand drove the poor performance. Semiconductor stocks were the worst hit, where slumping demand for PCs and cell phones hurt sales outlooks for component makers such as Micron Technology (-23.8%) and Fairchild Semiconductor International (-62.6%); the industry contributed -9.7% to the Fund's total return. Slowing demand for PCs also hurt component makers such as Seagate Technology (-74.3%) and Western Digital (-49.0%) in the Computers & Peripherals industry. Also within the industry, companies such as Sun Microsystems (-53.4%) were hurt by decreased corporate investment in large-scale technology and software. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Tellabs, Inc. Tyco Electronics Ltd. SAIC, Inc. PerkinElmer, Inc. DRS Technologies Jabil Circuit, Inc. Harris Corp. Fairchild Semiconductor International, Inc. Synopsys, Inc. Seagate Technology - -------------------------------------------------------------------------------- The StrataQuant(R) Technology Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXL - First Trust Technology AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Information Technology 93.92% Industrials 4.42 Health Care 1.66 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Brocade Communications Systems, Inc. 3.12% Avnet, Inc. 2.49 Computer Sciences Corp. 2.40 SAIC, Inc. 2.32 Intersil Corp., Class A 2.32 Arrow Electronics, Inc. 2.32 Affiliated Computer Services, Inc., Class A 2.29 F5 Networks, Inc. 2.22 QUALCOMM, Inc. 2.21 Fairchild Semiconductor International, Inc. 2.13 ------- Total 23.82% ======= Page 19 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXU- First Trust Utilities AlphaDEX(R) Fund The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Utilities Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -21.70% -24.23% -20.89% -33.40% Market Price -21.62% -24.01% -20.82% -33.30% Index Performance StrataQuant(R) Utilities Index -21.41% -23.67% -20.21% -32.40% Russell 1000(R) Utilities Index -21.91% -26.86% -21.12% -33.73% Russell 1000(R) Index -34.70% -39.04% -28.08% -43.54% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXU's six-month NAV return of -21.70% outperformed the benchmark Russell 1000(R) Utilities Index return of -21.91% by +0.21%. Though Utilities stocks were among the best performers across the market, the majority of industries within the sector still produced negative returns and detracted from Fund performance. A combination of factors including milder summer weather, tighter credit markets, and volatile commodity markets negatively affected the performance of Multi-Utilities, Gas Utilities, and Electric Utilities. Multi-Utilities companies such as Dominion Resources Inc. (-16.4%) and NiSource (-41.1%) were a particular drain on performance. Telecomm stocks also detracted significantly from portfolio return during the period where stocks such as Level 3 Communications were hurt by reduced outlooks. The Fund's portfolio benefited from being underweight in Exelon Corp. (0.5% vs. 4.9%) as the stock was down significantly during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks NV Energy, Inc. CenturyTel, Inc. Energy East Corp. Southern Union Co. Consolidated Edison, Inc. Energen Corp. NSTAR Level 3 Communications, Inc. Verizon Communications, Inc. NiSource, Inc. - -------------------------------------------------------------------------------- The StrataQuant(R) Utilities Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FXU - First Trust Utilities AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Utilities 73.09% Telecommunication Services 21.84 Energy 5.07 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- CenterPoint Energy, Inc. 3.60% Questar Corp. 3.53 Energen Corp. 3.39 CenturyTel, Inc. 3.38 Southern Union Co. 3.36 Alliant Energy Corp. 3.36 CMS Energy Corp. 3.16 MetroPCS Communications, Inc. 3.11 Mirant Corp. 3.09 Qwest Communications International, Inc. 3.01 ------- Total 32.99% ======= Page 21 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FEX - First Trust Large Cap Core AlphaDEX(R) Fund The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX." The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), to objectively identify and select stocks from the S&P 500 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500 Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -35.87% -40.97% -30.46% -46.75% Market Price -35.71% -40.67% -30.38% -46.63% Index Performance Defined Large Cap Core Index -35.61% -40.50% -29.93% -46.03% S&P 500 Index -33.95% -38.63% -27.75% -43.10% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FEX's six-month NAV return of -35.87% underperformed the benchmark S&P 500 Index return of -33.95% by -1.92%. The effects of a deepening recession were felt across the Fund as all sectors produced negative returns in both the Fund and the benchmark. The slowdown in consumer spending was especially felt in the Consumer Discretionary sector, causing it to be the largest drag on portfolio performance. The ongoing mortgage and credit crises in the financial market hurt the performance of the Financials sector, causing it to be the second largest detractor from portfolio performance. The slide in commodity prices, as well as a slowdown in industrial production, also hurt performance in the Industrials, Energy, and Materials sectors. On a relative basis, outperformance in the Financials sector was realized as the Fund benefited from being underweight in some of the worst-performing stocks such as Citigroup and Bank of America. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Apollo Group, Inc., Class A Wyndham Worldwide Corp. Archer-Daniels-Midland Co. CIT Group, Inc. Sunoco, Inc. Manitowoc (The) Co., Inc. Family Dollar Stores, Inc. Ashland, Inc. AutoZone, Inc. AK Steel Holding Corp. - -------------------------------------------------------------------------------- The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 22 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FEX - First Trust Large Cap Core AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 18.06% Industrials 14.45 Health Care 12.52 Information Technology 12.06 Energy 10.24 Consumer Staples 9.72 Materials 7.75 Utilities 6.84 Financials 6.82 Telecommunication Services 1.54 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Noble Corp. 0.59% SUPERVALU, Inc. 0.58 Mylan, Inc. 0.55 Valero Energy Corp. 0.54 National Oilwell Varco, Inc. 0.52 Dean Foods Co. 0.52 Medco Health Solutions, Inc. 0.52 Sunoco, Inc. 0.51 Family Dollar Stores, Inc. 0.51 Apollo Group, Inc., Class A 0.51 ------- Total 5.35% ======= Page 23 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FNX - First Trust Mid Cap Core AlphaDEX(R) Fund The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNX." The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P MidCap 400 Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -36.89% -37.32% -28.71% -44.39% Market Price -36.86% -37.25% -28.71% -44.39% Index Performance Defined Mid Cap Core Index -36.72% -36.87% -28.23% -43.75% S&P MidCap 400 Index -37.29% -36.97% -27.46% -42.70% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FNX's six-month NAV return of -36.89% slightly outperformed the benchmark S&P MidCap 400 Index return of -37.29% by +0.40%. The effects of a deepening recession were felt as all sectors produced negative returns in both the Fund and the benchmark. The slowdown in consumer spending was especially felt in the Consumer Discretionary sector, causing it to be the largest drag on portfolio performance. Specialty retailers such as AnnTaylor and Borders were among the hardest hit in the sector. Slowing production schedules and a reduced demand outlook hurt the performance of the Industrials and Information Technology sectors and were a drag on performance. The Financials sector was the main source of relative outperformance as the Fund benefited from avoiding the poor performing REITs industry, which accounts for a significant weight in the benchmark. The Fund also benefited on both an absolute and relative basis from a position in Lasik equipment maker Advanced Medical Optics, which was acquired by Abbott Laboratories for a 143% premium. The higher than benchmark weight (0.2% vs. 0.1%), combined with the substantial premium, was a significant source of absolute and relative outperformance of the Fund's portfolio. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Advanced Medical Optics, Inc. Borders Group, Inc. Alaska Air Group, Inc. Temple-Inland, Inc. Corinthian Colleges, Inc. American Greetings Corp., Class A NetFlix, Inc. Lear Corp. Career Education Corp. AnnTaylor Stores Corp. - -------------------------------------------------------------------------------- The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 24 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FNX - First Trust Mid Cap Core AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 21.42% Industrials 16.61 Health Care 13.48 Information Technology 13.11 Materials 9.38 Energy 7.62 Financials 6.15 Consumer Staples 6.08 Utilities 5.73 Telecommunication Services 0.42 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Advanced Medical Optics, Inc. 1.56% ITT Educational Services, Inc. 0.76 BE Aerospace, Inc. 0.74 Terra Industries, Inc. 0.72 Netflix, Inc. 0.71 NBTY, Inc. 0.71 Temple-Inland, Inc. 0.69 WellCare Health Plans, Inc. 0.68 Corinthian Colleges, Inc. 0.67 Scotts Miracle-Gro (The) Co., Class A 0.64 ------- Total 7.88% ======= Page 25 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FYX - First Trust Small Cap Core AlphaDEX(R) Fund The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P SmallCap 600 Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -39.15% -40.50% -32.61% -49.57% Market Price -38.81% -40.29% -32.54% -49.47% Index Performance Defined Small Cap Core Index -38.87% -39.97% -32.00% -48.76% S&P SmallCap 600 Index -36.54% -36.73% -28.79% -44.50% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FYX's six-month NAV return of -39.15% underperformed the benchmark S&P SmallCap 600 Index return of -36.54% by -2.61%. The Consumer Discretionary sector was the largest drag on portfolio performance as the value of retailers and consumer producers were hurt due to the slowdown in consumer spending. Stocks in the Industrials and Information Technology sectors were also significant detractors from portfolio performance as a global slowdown in demand for industrial and electronic products hurt performance. The Financials sector was the main source of relative outperformance as the Fund benefited from avoiding the poor-performing REITs industry, which accounts for a significant weight in the benchmark (0.8% vs. 5.8%). - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Spartan Motors, Inc. Sonic Automotive, Inc., Class A Hot Topic, Inc. Stone Energy Corp. World Fuel Services Corp. Tuesday Morning Corp. SI International, Inc. Technitrol, Inc. Green Mountain Coffee Roasters, Inc. National Financial Partners Corp. - -------------------------------------------------------------------------------- The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 26 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FYX - First Trust Small Cap Core AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 19.93% Information Technology 19.65 Industrials 19.51 Health Care 14.97 Financials 10.03 Consumer Staples 5.08 Materials 4.88 Energy 2.94 Utilities 2.59 Telecommunication Services 0.42 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Osteotech, Inc. 0.77% SYNNEX Corp. 0.58 Theragenics Corp. 0.47 Atwood Oceanics, Inc. 0.47 Odyssey HealthCare, Inc. 0.46 Robbins & Myers, Inc. 0.46 Gevity HR, Inc. 0.46 EPIQ Systems, Inc. 0.45 Sanderson Farms, Inc. 0.45 CACI International Inc., Class A 0.43 ------- Total 5.00% ======= Page 27 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Value Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -36.46% -43.39% -33.00% -50.07% Market Price -36.50% -43.32% -33.03% -50.10% Index Performance Defined Large Cap Value Opportunities Index -36.16% -42.92% -32.45% -49.36% S&P 500/Citigroup Value Index -37.26% -44.68% -32.48% -49.39% S&P 500 Index -33.95% -38.63% -27.75% -43.10% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FTA's six-month NAV return of -36.46% outperformed the benchmark S&P 500/Citigroup Value Index return of -37.26% by +0.80%. The effect of a slowdown in consumer spending contributed to poor performance from retailers and consumer producers in the Consumer Discretionary sector, causing it to be the most significant drag on portfolio performance. The crisis in the financial system contributed to the Financials sector also being a significant detractor from absolute performance. However, underweight positions and avoidance of some of the worst performing large-cap financial stocks such as Bank of America and Citigroup contributed to relative outperformance during the period. The weak outlook for global economic growth contributed to poor performance in the Materials and Industrials sectors, which were also significant detractors from absolute return of the Fund during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Archer-Daniels-Midland Co. International Paper Co. Qwest Communications International, Inc. CIT Group, Inc. Tesoro Corp. Dow Chemical (The) Co. Tellabs, Inc. Manitowoc (The) Co., Inc. Allegheny Energy, Inc. Ashland, Inc. - -------------------------------------------------------------------------------- The Defined Large Cap Value Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 28 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 20.77% Energy 13.83 Industrials 13.27 Utilities 12.05 Information Technology 10.21 Materials 8.89 Financials 8.61 Health Care 4.94 Consumer Staples 4.89 Telecommunication Services 2.54 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Noble Corp. 1.12% SUPERVALU, Inc. 1.09 Valero Energy Corp. 1.01 National Oilwell Varco, Inc. 0.98 Corning, Inc. 0.97 Computer Sciences Corp. 0.95 Tesoro Corp. 0.95 MeadWestvaco Corp. 0.95 Goodyear Tire & Rubber (The) Co. 0.94 Weatherford International Ltd. 0.93 ------- Total 9.89% ======= Page 29 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Growth Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -35.54% -38.58% -27.41% -42.63% Market Price -35.47% -38.44% -27.36% -42.56% Index Performance Defined Large Cap Growth Opportunities Index -35.35% -38.15% -26.91% -41.93% S&P 500/Citigroup Growth Index -30.79% -32.45% -22.99% -36.43% S&P 500 Index -33.95% -38.63% -27.75% -43.10% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FTC's six-month NAV return of -35.54% underperformed the benchmark S&P 500/Citigroup Growth Index return of -30.79% by -4.75%. The Energy sector was among the worst-performing sectors, and was the largest detractor from absolute return in the Fund. The drop in commodity prices during the six-month period was a primary contributor to poor returns in the sector as front month oil futures dropped -66.4% and front month natural gas prices dropped -51.6%. An underweight position in Exxon Mobil (0.8% vs. 8.6% in the benchmark) contributed -2.4% to relative underperformance as it was one of the best-performing stocks in the sector during the period. The Industrials and Information Technology sectors were also significant detractors from portfolio performance amid a weakening global outlook for economic growth. Though returns in the Consumer Discretionary and Financials sector were negative and the Fund was relatively overweight, the Fund benefited from a positive selection effect in the two sectors leading to relative outperformance during the period. The Fund's portfolio also benefited from being underweight (13.8% vs. 24.1%) in the poor-performing Information Technology sector. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Apollo Group, Inc., Class Cummins, Inc. Sunoco, Inc. PerkinElmer, Inc. Family Dollar Stores, Inc. Avon Products, Inc. AutoZone, Inc. United States Steel Corp. UST AK Steel Holding Corp. - -------------------------------------------------------------------------------- The Defined Large Cap Growth Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 30 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Health Care 21.35% Consumer Staples 15.97 Industrials 15.92 Consumer Discretionary 14.94 Information Technology 14.01 Materials 6.56 Energy 6.04 Financials 4.58 Utilities 0.42 Telecommunication Services 0.21 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Mylan, Inc. 1.20% Dean Foods Co. 1.13 Medco Health Solutions, Inc. 1.12 Sunoco, Inc. 1.12 Family Dollar Stores, Inc. 1.12 Apollo Group, Inc., Class A 1.12 Abbott Laboratories 1.09 Biogen Idec, Inc. 1.07 Humana, Inc. 1.07 Affiliated Computer Services, Inc., Class A 1.05 ------- Total 11.09% ======= Page 31 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAB - First Trust Multi Cap Value AlphaDEX(R) Fund The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB." The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Value Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -36.81% -42.20% -33.16% -50.27% Market Price -36.72% -42.03% -33.13% -50.24% Index Performance Defined Multi Cap Value Index -36.52% -41.71% -32.60% -49.55% S&P Composite 1500/Citigroup Value Index -37.12% -43.83% -32.12% -48.92% S&P Composite 1500 Index -34.31% -38.42% -27.77% -43.08% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FAB's six-month NAV return of -36.81% narrowly outperformed the benchmark S&P Composite 1500/Citigroup Value Index return of -37.12% by +0.31%. The slowdown in consumer spending hurt the performance of stocks in the Consumer Discretionary sector, causing it to be the worst-performing sector as well as the largest detractor from portfolio performance. Retailers, producers of consumer goods, and media stocks were among the worst performers as earning and sales outlooks were reduced sharply during the period. Deteriorating global growth prospects hurt the performance of manufacturers and producers in the Industrials sector, contributing to the sector's -5.8% contribution to absolute return. Amidst the financial turmoil, credit downgrades and investment losses in the Insurance industry contributed to the poor performance of the Financials sector which detracted -5.1% from absolute return. On a relative basis, an underweight allocation, combined with positive stock selection, helped the Financials sector contribute to relative outperformance. Specifically, the Fund avoided (or held at a reduced weight) some of the worst-performing stocks such as Citigroup, JPMorgan Chase, and Bank of America, which contributed +5.4% to outperformance. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Advanced Medical Optics, Inc. International Paper Co. Alaska Air Group, Inc. CIT Group, Inc. Archer-Daniels-Midland Co. Dow Chemical (The) Co. Hot Topic, Inc. Manitowoc (The) Co., Inc. URS Corp. Ashland, Inc. - -------------------------------------------------------------------------------- The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 32 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAB - First Trust Multi Cap Value AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Consumer Discretionary 20.63% Industrials 16.28 Information Technology 11.84 Energy 11.75 Materials 9.87 Utilities 9.06 Health Care 7.94 Financials 7.10 Consumer Staples 3.97 Telecommunication Services 1.56 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Advanced Medical Optics, Inc. 0.91% Noble Corp. 0.56 SUPERVALU, Inc. 0.55 Valero Energy Corp. 0.51 National Oilwell Varco, Inc. 0.49 Corning, Inc. 0.48 Computer Sciences Corp. 0.48 Tesoro Corp. 0.48 MeadWestvaco Corp. 0.47 Goodyear Tire & Rubber (The) Co. 0.47 ------- Total 5.40% ======= Page 33 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD." The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Growth Index).
- ------------------------------------------------------------------------------------------------------------------------------------ Performance as of January 31, 2009 - ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/09 01/31/09 to 01/31/09 to 01/31/09 Fund Performance NAV -37.32% -37.27% -27.09% -42.19% Market Price -37.28% -37.18% -27.09% -42.19% Index Performance Defined Multi Cap Growth Index -37.12% -36.82% -26.57% -41.46% S&P Composite 1500/Citigroup Growth Index -31.62% -32.89% -23.34% -36.94% S&P Composite 1500 Index -34.31% -38.42% -27.77% -43.08% - ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FAD's six-month NAV return of -37.32% underperformed the benchmark S&P Composite 1500/Citigroup Growth Index return of -31.62% by -5.70%. The weakening outlook for global economic growth hurt the demand prospects for producers and manufacturers in the Industrials sector, causing it to be the largest detractor from portfolio performance. The drop in commodity prices caused the Energy sector to be the second largest detractor from absolute return as front month oil futures dropped -66.4% and front month natural gas prices dropped -51.6%. On a relative basis, the benefit of being underweight in the poor-performing Energy sector (8.0% vs. 20.4%) was largely offset by the detriment of being underweight in Exxon Mobil (0.4% vs. 7.7%) as it was one of the best performers in the sector during the period. - -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks - -------------------------------------------------------------------------------- (by contribution to return over the six months ended January 31, 2009) Top-Performing Stocks Bottom-Performing Stocks Apollo Group, Inc., Class A Valassis Communications, Inc. AirTran Holdings, Inc. Pioneer Natural Resources Co. NetFlix, Inc. United States Steel Corp. Sunoco, Inc. SVB Financial Group Corinthian Colleges, Inc. AK Steel Holding Corp. - -------------------------------------------------------------------------------- The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 34 - -------------------------------------------------------------------------------- Fund Performance Overview (Continued) - -------------------------------------------------------------------------------- FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund (Continued) - ------------------------------------------------------------- Portfolio Sector Allocation as of January 31, 2009 - ------------------------------------------------------------- % of Total Sector Long-Term Investments - -------------------------------------------------------------- Health Care 19.20% Consumer Discretionary 17.78 Industrials 16.09 Information Technology 15.75 Consumer Staples 12.45 Financials 7.45 Materials 5.41 Energy 3.87 Utilities 1.78 Telecommunication Services 0.22 ------- Total 100.00% ======= - ------------------------------------------------------------- Top Ten Portfolio Holdings as of January 31, 2009 - ------------------------------------------------------------- % of Total Security Long-Term Investments - ------------------------------------------------------------- Mylan, Inc. 0.61% Dean Foods Co. 0.57 Medco Health Solutions, Inc. 0.57 Sunoco, Inc. 0.57 Family Dollar Stores, Inc. 0.57 Apollo Group, Inc., Class A 0.57 Abbott Laboratories 0.55 Biogen Idec, Inc. 0.54 Humana, Inc. 0.54 Affiliated Computer Services, Inc., Class A 0.53 ------- Total 5.62% ======= Page 35 - -------------------------------------------------------------------------------- Notes to Fund Performance Overview - -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after their inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future results. Page 36 First Trust Exchange-Traded AlphaDEX(R) Fund Understanding Your Fund Expenses January 31, 2009 (Unaudited) As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, First Trust Utilities AlphaDEX(R) Fund, First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, or First Trust Multi Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 31, 2009. Actual Expenses The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. Hypothetical Example for Comparison Purposes The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions or creation and redemption transaction fees paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio Expense Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month August 1, 2008 January 31, 2009 Period (a) Period (b) First Trust Consumer Discretionary AlphaDEX(R) Fund Actual $1,000.00 $609.50 0.70% $2.84 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Consumer Staples AlphaDEX(R) Fund Actual $1,000.00 $785.60 0.70% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Energy AlphaDEX(R) Fund Actual $1,000.00 $456.00 0.70% $2.57 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Financials AlphaDEX(R) Fund Actual $1,000.00 $614.20 0.70% $2.85 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Health Care AlphaDEX(R) Fund Actual $1,000.00 $774.40 0.70% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
Page 37 First Trust Exchange-Traded AlphaDEX(R) Fund Understanding Your Fund Expenses (Continued) January 31, 2009 (Unaudited)
Annualized Expense Ratio Expense Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month August 1, 2008 January 31, 2009 Period (a) Period (b) First Trust Industrials/Producer Durables AlphaDEX(R) Fund Actual $1,000.00 $565.00 0.70% $2.76 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Materials AlphaDEX(R) Fund Actual $1,000.00 $476.10 0.70% $2.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Technology AlphaDEX(R) Fund Actual $1,000.00 $590.50 0.70% $2.81 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Utilities AlphaDEX(R) Fund Actual $1,000.00 $783.00 0.70% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Core AlphaDEX(R) Fund Actual $1,000.00 $641.30 0.70% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Mid Cap Core AlphaDEX(R) Fund Actual $1,000.00 $631.10 0.70% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Small Cap Core AlphaDEX(R) Fund Actual $1,000.00 $608.50 0.70% $2.84 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Actual $1,000.00 $635.40 0.70% $2.89 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Actual $1,000.00 $644.60 0.70% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Multi Cap Value AlphaDEX(R) Fund Actual $1,000.00 $631.90 0.70% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Multi Cap Growth AlphaDEX(R) Fund Actual $1,000.00 $626.80 0.70% $2.87 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2008 through January 31, 2009), multiplied by 184/365 (to reflect the one-half year period). Page 38 First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.2% Chemicals--0.3% 316 International Flavors & Fragrances, Inc. $ 9,044 ------------- COMMERCIAL SERVICES & SUPPLIES--4.4% 350 Brink's (The) Co. 9,251 810 Cintas Corp. 18,428 346 Copart, Inc. (b) 8,335 575 Corrections Corp. of America (b) 7,924 1,521 Iron Mountain, Inc. (b) 31,119 2,158 R.R. Donnelley & Sons Co. 21,062 759 Republic Services, Inc. 19,628 1,135 Waste Management, Inc. 35,400 ------------- 151,147 ------------- DISTRIBUTORS--0.5% 1,613 LKQ Corp. (b) 18,630 ------------- DIVERSIFIED CONSUMER SERVICES--7.3% 637 Apollo Group, Inc., Class A (b) 51,890 851 DeVry, Inc. 45,597 514 ITT Educational Services, Inc. (b) 62,969 5,896 Service Corp. International 26,827 228 Strayer Education, Inc. 49,346 639 Weight Watchers International, Inc. 14,576 ------------- 251,205 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--1.3% 574 Dolby Laboratories, Inc., Class A (b) 14,671 1,642 Tech Data Corp. (b) 29,737 ------------- 44,408 ------------- ENERGY EQUIPMENT & SERVICES--0.3% 251 IHS, Inc., Class A (b) 10,994 ------------- FOOD & STAPLES RETAILING--2.4% 275 BJ's Wholesale Club, Inc. (b) 7,887 717 Costco Wholesale Corp. 32,287 871 Wal-Mart Stores, Inc. 41,041 ------------- 81,215 ------------- HOTELS, RESTAURANTS & LEISURE--15.6% 7,954 Boyd Gaming Corp. 38,259 892 Brinker International, Inc. 9,785 1,575 Burger King Holdings, Inc. 35,044 1,205 Carnival Corp. 21,919 303 Chipotle Mexican Grill, Inc. (b) 14,471 1,252 Choice Hotels International, Inc. 32,953 1,733 Darden Restaurants, Inc. 45,440 655 International Speedway Corp., Class A 15,248 5,436 Interval Leisure Group, Inc. (b) 27,234 484 Marriott International, Inc., Class A 7,894 605 McDonald's Corp. 35,102 3,549 MGM MIRAGE (b) 28,392 4,911 Orient-Express Hotels Ltd., Class A 31,038 935 Panera Bread Co., Class A (b) 43,926 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE (Continued) 3,552 Royal Caribbean Cruises Ltd. $ 23,052 536 Scientific Games Corp., Class A (b) 6,738 994 Starbucks Corp. (b) 9,383 1,304 Tim Hortons, Inc. 32,039 7,456 Wyndham Worldwide Corp. 45,706 1,194 Yum! Brands, Inc. 34,172 ------------- 537,795 ------------- HOUSEHOLD DURABLES--4.0% 450 Black & Decker (The) Corp. 13,010 1,751 Harman International Industries, Inc. 28,173 2,548 Jarden Corp. (b) 26,576 1,923 Newell Rubbermaid, Inc. 15,538 239 Snap-on, Inc. 7,213 552 Stanley Works (The) 17,256 910 Whirlpool Corp. 30,420 ------------- 138,186 ------------- HOUSEHOLD PRODUCTS--0.8% 556 Kimberly-Clark Corp. 28,617 ------------- INTERNET & CATALOG RETAIL--4.2% 183 Amazon.com, Inc. (b) 10,764 3,556 Expedia, Inc. (b) 31,755 9,391 Liberty Media Corp. - Interactive, Class A (b) 29,488 398 Priceline.com, Inc. (b) 26,702 7,607 Ticketmaster Entertainment, Inc. (b) 45,261 ------------- 143,970 ------------- INTERNET SOFTWARE & SERVICES--0.7% 619 Sohu.com, Inc. (b) 24,481 ------------- IT SERVICES--2.2% 1,489 Accenture Ltd., Class A 46,992 1,467 Convergys Corp. (b) 11,047 663 Hewitt Associates, Inc., Class A (b) 18,816 ------------- 76,855 ------------- LEISURE EQUIPMENT & PRODUCTS--1.9% 5,718 Eastman Kodak Co. 25,903 1,290 Hasbro, Inc. 31,127 588 Mattel, Inc. 8,344 ------------- 65,374 ------------- MACHINERY--0.5% 570 Toro Co. 16,878 ------------- MEDIA--14.9% 7,941 Clear Channel Outdoor Holdings, Inc., Class A (b) 41,134 2,229 Comcast Corp., Class A 32,655 2,132 DIRECTV Group (The), Inc. (b) 46,690 745 DreamWorks Animation SKG, Inc., Class A (b) 16,353 13,258 E.W. Scripps (The) Co., Class A 21,345 4,835 Hearst-Argyle Television, Inc. 19,050 4,750 Interpublic Group of Cos., Inc. (b) 15,818 1,057 John Wiley & Sons, Inc., Class A 37,450 See Notes to Financial Statements Page 39 First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) MEDIA (Continued) 1,182 Liberty Global, Inc., Class A (b) $ 17,222 10,368 Liberty Media Corp. - Capital, Series A (b) 56,919 406 McGraw-Hill (The) Cos., Inc. 8,928 1,712 Meredith Corp. 27,341 5,372 News Corp., Class A 34,327 349 Omnicom Group, Inc. 9,036 1,366 Time Warner Cable, Inc., Class A (b) 25,449 3,740 Time Warner, Inc. 34,894 987 Viacom, Inc., Class B (b) 14,558 5,872 Virgin Media, Inc. 26,659 829 Walt Disney (The) Co. 17,144 24 Washington Post (The) Co., Class B 9,373 ------------- 512,345 ------------- MULTILINE RETAIL--7.6% 649 Big Lots, Inc. (b) 8,729 1,168 Dollar Tree, Inc. (b) 49,885 1,873 Family Dollar Stores, Inc. 52,013 1,910 J. C. Penney Co., Inc. 31,993 520 Kohl's Corp. (b) 19,089 4,718 Macy's, Inc. 42,226 4,295 Saks, Inc. (b) 10,823 754 Sears Holdings Corp. (b) 30,854 545 Target Corp. 17,004 ------------- 262,616 ------------- PERSONAL PRODUCTS--1.6% 1,535 Alberto-Culver Co. 37,546 391 Avon Products, Inc. 7,996 304 Estee Lauder (The) Cos., Inc., Class A 7,980 ------------- 53,522 ------------- PROFESSIONAL SERVICES--2.1% 211 FTI Consulting, Inc. (b) 8,653 862 Manpower, Inc. 24,533 778 Monster Worldwide, Inc. (b) 7,165 1,807 Robert Half International, Inc. 30,629 ------------- 70,980 ------------- ROAD & RAIL--0.9% 5,779 Hertz Global Holdings, Inc. (b) 29,242 ------------- SPECIALTY RETAIL--21.5% 1,118 Advance Auto Parts, Inc. 36,592 4,019 American Eagle Outfitters, Inc. 36,211 8,464 AnnTaylor Stores Corp. (b) 41,643 350 AutoZone, Inc. (b) 46,512 1,953 Barnes & Noble, Inc. 32,068 1,153 Bed Bath & Beyond, Inc. (b) 26,784 669 Best Buy Co., Inc. 18,745 1,333 Dick's Sporting Goods, Inc. (b) 14,676 5,125 Foot Locker, Inc. 37,720 434 GameStop Corp., Class A (b) 10,755 1,405 Gap (The), Inc. 15,848 409 Home Depot (The), Inc. 8,806 2,918 Limited Brands, Inc. 23,111 2,269 Lowe's Cos., Inc. 41,455 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ SPECIALTY RETAIL (Continued) 12,625 Office Depot, Inc. (b) $ 27,270 1,589 O'Reilly Automotive, Inc. (b) 46,192 3,815 Penske Automotive Group, Inc. 28,307 2,647 PetSmart, Inc. 49,685 2,454 RadioShack Corp. 28,123 1,265 Ross Stores, Inc. 37,216 5,633 Signet Jewelers Ltd. 39,656 2,099 Staples, Inc. 33,458 457 TJX (The) Cos., Inc. 8,875 6,213 Williams-Sonoma, Inc. 49,208 ------------- 738,916 ------------- TEXTILES, APPAREL & LUXURY GOODS--3.1% 906 Coach, Inc. (b) 13,228 1,605 Jones Apparel Group, Inc. 5,553 575 NIKE, Inc., Class B 26,019 1,869 Phillips-Van Heusen Corp. 35,548 207 Polo Ralph Lauren Corp. 8,493 343 VF Corp. 19,215 ------------- 108,056 ------------- TRADING COMPANIES & DISTRIBUTORS--2.1% 540 Fastenal Co. 18,457 511 MSC Industrial Direct Co., Inc., Class A 17,507 1,956 WESCO International, Inc. (b) 36,030 ------------- 71,994 ------------- TOTAL COMMON STOCKS--100.2% (Cost $5,294,971) 3,446,470 MONEY MARKET FUND--0.8% 27,346 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $27,346) 27,346 ------------- TOTAL INVESTMENTS--101.0% (Cost $5,322,317) (d) 3,473,816 NET OTHER ASSETS AND LIABILITIES --(1.0%) (32,763) ------------- NET ASSETS--100.0% $ 3,441,053 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $55,311 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,903,812. Page 40 See Notes to Financial Statements First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) - ------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 3,473,816 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 3,473,816 ================= See Notes to Financial Statements Page 41 First Trust Consumer Staples AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% BEVERAGES--16.5% 4,300 Brown-Forman Corp., Class B $ 195,263 4,890 Coca-Cola (The) Co. 208,901 4,541 Dr. Pepper Snapple Group, Inc. (b) 74,699 12,839 Hansen Natural Corp. (b) 430,107 3,278 Pepsi Bottling Group (The), Inc. 63,233 8,457 PepsiAmericas, Inc. 136,411 3,144 PepsiCo, Inc. 157,923 ------------- 1,266,537 ------------- FOOD & STAPLES RETAILING--18.2% 16,300 Kroger (The) Co. 366,750 7,244 Safeway, Inc. 155,239 23,588 SUPERVALU, Inc. 413,734 9,651 Sysco Corp. 215,121 8,974 Walgreen Co. 245,977 ------------- 1,396,821 ------------- FOOD PRODUCTS--38.1% 7,377 Campbell Soup Co. 224,039 23,955 Dean Foods Co. (b) 463,291 24,116 Del Monte Foods Co. 160,613 7,086 General Mills, Inc. 419,137 4,580 H.J. Heinz Co. 167,170 6,373 Hershey (The) Co. 237,585 2,374 Hormel Foods Corp. 70,816 9,928 J.M. Smucker (The) Co. 448,249 5,049 Kellogg Co. 220,591 10,809 McCormick & Co., Inc. 346,320 19,657 Tyson Foods, Inc., Class A 173,964 ------------- 2,931,775 ------------- HOUSEHOLD PRODUCTS--16.5% 6,137 Church & Dwight Co., Inc. 326,673 6,198 Clorox (The) Co. 310,830 5,025 Colgate-Palmolive Co. 326,825 5,571 Procter & Gamble (The) Co. 303,620 ------------- 1,267,948 ------------- PERSONAL PRODUCTS--7.7% 3,404 Herbalife Ltd. 69,816 27,507 NBTY, Inc. (b) 519,057 ------------- 588,873 ------------- TOBACCO--3.0% 4,900 Altria Group, Inc. 81,045 1,310 Lorillard, Inc. 77,893 1,831 Reynolds American, Inc. 69,908 ------------- 228,846 ------------- TOTAL COMMON STOCKS--100.0% (Cost $8,481,214) 7,680,800 MONEY MARKET FUND--0.3% 26,755 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $26,755) 26,755 ------------- DESCRIPTION VALUE ---------------------------------------------------------- TOTAL INVESTMENTS--100.3% (Cost $8,507,969) (d) $ 7,707,555 NET OTHER ASSETS AND LIABILITIES--(0.3%) (22,192) ------------- NET ASSETS--100.0% $ 7,685,363 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $32,022 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $832,436. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 7,707,555 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 7,707,555 ================= Page 42 See Notes to Financial Statements First Trust Energy AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2008 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.1% ENERGY EQUIPMENT & SERVICES--34.5% 10,698 BJ Services Co. $ 117,678 1,406 Cameron International Corp. (b) 32,563 1,670 Dresser-Rand Group, Inc. (b) 32,532 5,497 ENSCO International, Inc. 150,397 4,397 Exterran Holdings, Inc. (b) 97,438 1,209 FMC Technologies, Inc. (b) 35,774 21,553 Helix Energy Solutions Group, Inc. (b) 110,998 5,488 Helmerich & Payne, Inc. 123,260 19,711 Hercules Offshore, Inc. (b) 73,325 35,385 Key Energy Services, Inc. (b) 120,663 10,429 Nabors Industries Ltd. (b) 114,198 989 Oceaneering International, Inc. (b) 34,081 8,349 Oil States International, Inc. (b) 152,870 13,558 Patterson-UTI Energy, Inc. 129,614 9,766 Pride International, Inc. (b) 157,428 9,813 Rowan Cos., Inc. 124,233 1,404 SEACOR Holdings, Inc. (b) 91,316 1,809 Superior Energy Services, Inc. (b) 28,184 5,840 Unit Corp. (b) 145,650 ------------- 1,872,202 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--3.4% 31,209 Dynegy, Inc., Class A (b) 65,851 2,676 NRG Energy, Inc. (b) 62,511 10,799 Reliant Energy, Inc. (b) 54,967 ------------- 183,329 ------------- GAS UTILITIES--0.5% 859 EQT Corp. 29,404 ------------- OIL, GAS & CONSUMABLE FUELS--61.7% 1,780 Alpha Natural Resources, Inc. (b) 29,050 2,429 Anadarko Petroleum Corp. 89,241 1,675 Apache Corp. 125,625 2,401 Cabot Oil & Gas Corp. 66,003 7,720 Chesapeake Energy Corp. 122,053 1,267 Chevron Corp. 89,349 3,497 Cimarex Energy Co. 86,865 3,430 CNX Gas Corp. (b) 88,768 2,410 ConocoPhillips 114,547 1,391 Continental Resources, Inc. (b) 28,752 1,900 Devon Energy Corp. 117,040 7,971 El Paso Corp. 65,203 3,669 Encore Acquisition Co. (b) 99,723 1,407 EOG Resources, Inc. 95,352 1,954 Exxon Mobil Corp. 149,442 7,570 Forest Oil Corp. (b) 113,550 4,942 Frontier Oil Corp. 70,572 1,163 Hess Corp. 64,674 3,423 Holly Corp. 79,996 4,562 Marathon Oil Corp. 124,223 15,299 Mariner Energy, Inc. (b) 151,461 1,408 Murphy Oil Corp. 62,205 6,321 Newfield Exploration Co. (b) 121,300 1,902 Noble Energy, Inc. 93,065 1,040 Occidental Petroleum Corp. 56,732 1,843 Petrohawk Energy Corp. (b) 36,326 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS (Continued) 7,716 Pioneer Natural Resources Co. $ 112,962 6,714 Plains Exploration & Production Co. (b) 141,800 838 Range Resources Corp. 30,034 3,232 Southwestern Energy Co. (b) 102,293 4,610 St. Mary Land & Exploration Co. 89,204 3,590 Sunoco, Inc. 166,290 4,740 Tesoro Corp. 81,670 5,769 Valero Energy Corp. 139,148 2,011 W&T Offshore, Inc. 25,278 861 Whiting Petroleum Corp. (b) 24,969 1,990 Williams (The) Cos., Inc. 28,159 1,770 XTO Energy, Inc. 65,649 ------------- 3,348,573 ------------- TOTAL COMMON STOCKS--100.1% (Cost $7,810,659) 5,433,508 MONEY MARKET FUND--0.6% 31,949 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $31,949) 31,949 ------------- TOTAL INVESTMENTS--100.7% (Cost $7,842,608) (d) 5,465,457 NET OTHER ASSETS AND LIABILITIES--(0.7%) (36,787) ------------- NET ASSETS--100.0% $ 5,428,670 ============= (a) All percentages shown in Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $52,566 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,429,717. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 5,465,457 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 5,465,457 ================= See Notes to Financial Statements Page 43 First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% CAPITAL MARKETS--14.8% 4,300 Allied Capital Corp. $ 6,708 3,570 American Capital Ltd. 10,210 1,533 Ameriprise Financial, Inc. 30,890 817 Bank of New York Mellon Corp. 21,030 267 BlackRock, Inc. 29,050 1,431 Charles Schwab (The) Corp. 19,447 10,059 E*TRADE Financial Corp. (b) 11,467 551 Eaton Vance Corp. 10,546 682 Federated Investors, Inc., Class B 13,313 725 Franklin Resources, Inc. 35,105 707 Goldman Sachs Group (The), Inc. 57,076 3,204 Invesco Ltd. 37,775 2,037 Investment Technology Group, Inc. (b) 44,162 7,435 Janus Capital Group, Inc. 39,034 1,556 Lazard Ltd., Class A 41,234 528 Legg Mason, Inc. 8,480 22,682 MF Global Ltd. (b) 61,241 1,442 Morgan Stanley 29,172 687 Northern Trust Corp. 39,516 2,091 Raymond James Financial, Inc. 38,704 911 State Street Corp. 21,199 326 T. Rowe Price Group, Inc. 8,991 3,247 TD Ameritrade Holding Corp. (b) 36,496 1,496 Waddell & Reed Financial, Inc., Class A 21,124 ------------- 671,970 ------------- COMMERCIAL BANKS--7.3% 1,105 Associated Banc-Corp. 17,293 843 BB&T Corp. 16,683 5,008 CapitalSource, Inc. 18,229 2,331 Comerica, Inc. 38,835 2,801 Fifth Third Bancorp 6,694 151 First Citizens BancShares, Inc., Class A 21,119 2,405 Fulton Financial Corp. 16,883 4,677 Huntington Bancshares, Inc. 13,470 1,358 KeyCorp 9,886 403 M&T Bank Corp. 15,681 848 Marshall & Ilsley Corp. 4,842 472 PNC Financial Services Group, Inc. 15,349 2,242 Popular, Inc. 6,143 7,501 Regions Financial Corp. 25,953 1,566 SunTrust Banks, Inc. 19,199 2,787 Synovus Financial Corp. 11,037 1,694 TCF Financial Corp. 20,989 1,679 Webster Financial Corp. 7,018 1,447 Whitney Holding Corp. 18,797 1,888 Zions Bancorporation 28,169 ------------- 332,269 ------------- CONSUMER FINANCE--3.8% 1,931 American Express Co. 32,306 1,514 AmeriCredit Corp. (b) 7,131 1,872 Capital One Financial Corp. 29,652 4,855 Discover Financial Services 34,713 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CONSUMER FINANCE (Continued) 1,300 SLM Corp. (b) $ 14,885 1,129 Student Loan (The) Corp. 52,996 ------------- 171,683 ------------- DIVERSIFIED CONSUMER SERVICES--1.2% 2,628 H&R Block, Inc. 54,478 ------------- DIVERSIFIED FINANCIAL SERVICES--7.8% 3,286 Bank of America Corp. 21,622 13,151 CIT Group, Inc. 36,691 1,724 Citigroup, Inc. 6,120 172 CME Group, Inc. 29,913 561 IntercontinentalExchange, Inc. (b) 31,938 734 JPMorgan Chase & Co. 18,724 3,015 Leucadia National Corp. 47,999 1,783 Moody's Corp. 38,192 1,303 MSCI, Inc., Class A (b) 22,620 2,416 NASDAQ OMX Group (The), Inc. (b) 52,717 2,181 NYSE Euronext 47,982 ------------- 354,518 ------------- HEALTH CARE PROVIDERS & SERVICES--1.1% 2,746 CIGNA Corp. 47,671 ------------- INSURANCE--21.2% 1,009 Aflac, Inc. 23,419 82 Alleghany Corp. (b) 22,339 1,140 Allied World Assurance Holdings Ltd. 42,978 2,022 American Financial Group, Inc. 34,334 7,368 American International Group, Inc. 9,431 486 American National Insurance Co. 27,143 660 Arch Capital Group Ltd. (b) 39,699 1,194 Assurant, Inc. 31,522 1,589 Axis Capital Holdings Ltd. 38,549 2,857 Brown & Brown, Inc. 54,655 702 Chubb (The) Corp. 29,891 1,232 Cincinnati Financial Corp. 27,018 1,407 CNA Financial Corp. 16,363 2,233 Conseco, Inc. (b) 5,203 1,516 Endurance Specialty Holdings Ltd. 41,326 952 Erie Indemnity Co., Class A 33,748 400 First American Corp. 8,736 8,175 Genworth Financial, Inc., Class A 18,966 269 Hanover Insurance Group, Inc. 10,873 704 Hartford Financial Services Group (The), Inc. 9,265 1,339 HCC Insurance Holdings, Inc. 31,346 3,169 Lincoln National Corp. 47,947 1,268 Loews Corp. 30,939 1,327 MetLife, Inc. 38,125 1,025 Principal Financial Group, Inc. 17,005 806 Protective Life Corp. 6,674 1,529 Prudential Financial, Inc. 39,372 540 Reinsurance Group of America, Inc. 19,240 Page 44 See Notes to Financial Statements First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 858 StanCorp Financial Group, Inc. $ 22,154 518 Torchmark Corp. 15,540 894 Transatlantic Holdings, Inc. 28,742 1,024 Travelers (The) Cos., Inc. 39,567 726 Unitrin, Inc. 9,264 1,926 Unum Group 27,272 1,926 W.R. Berkley Corp. 51,000 3,126 XL Capital Ltd., Class A 9,065 ------------- 958,710 ------------- IT SERVICES--12.0% 770 Alliance Data Systems Corp. (b) 32,024 1,518 Automatic Data Processing, Inc. 55,148 2,857 Broadridge Financial Solutions, Inc. 38,541 943 DST Systems, Inc. (b) 29,959 3,670 Fidelity National Information Services, Inc. 58,389 1,642 Fiserv, Inc. (b) 52,134 4,358 Genpact Ltd. (b) 35,692 1,411 Global Payments, Inc. 48,976 1,216 Lender Processing Services, Inc. 31,519 251 MasterCard, Inc., Class A 34,081 2,872 Metavante Technologies, Inc. (b) 41,673 1,363 Paychex, Inc. 33,107 2,559 Total System Services, Inc. 32,397 1,613 Western Union Co. 22,034 ------------- 545,674 ------------- MEDIA--0.3% 326 Morningstar, Inc. (b) 11,302 ------------- PROFESSIONAL SERVICES--2.2% 773 Dun & Bradstreet (The) Corp. 58,748 1,745 Equifax, Inc. 43,136 ------------- 101,884 ------------- REAL ESTATE INVESTMENT TRUSTS--19.4% 988 AMB Property Corp. 15,927 1,458 Annaly Capital Management, Inc. 22,074 191 AvalonBay Communities, Inc. 9,896 3,001 Brandywine Realty Trust 17,916 738 Camden Property Trust 19,454 5,511 CBL & Associates Properties, Inc. 22,430 12,234 Developers Diversified Realty Corp. 58,723 1,409 Digital Realty Trust, Inc. 44,947 886 Douglas Emmett, Inc. 8,240 2,111 Duke Realty Corp. 19,442 467 Essex Property Trust, Inc. 30,845 745 Federal Realty Investment Trust 37,719 35,869 General Growth Properties, Inc. 23,315 1,666 HCP, Inc. 38,884 1,415 Health Care REIT, Inc. 53,501 3,112 Hospitality Properties Trust 41,763 7,887 Host Hotels & Resorts, Inc. 42,432 17,716 HRPT Properties Trust 56,337 5,187 iStar Financial, Inc. 5,446 691 Kilroy Realty Corp. 15,796 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (Continued) 1,266 Kimco Realty Corp. $ 18,205 507 Liberty Property Trust 10,140 472 Mack-Cali Realty Corp. 9,591 2,079 Nationwide Health Properties, Inc. 53,077 1,031 Plum Creek Timber Co., Inc. 31,724 4,298 ProLogis 43,023 146 Public Storage 9,033 1,143 Rayonier, Inc. 33,650 2,305 SL Green Realty Corp. 36,212 1,378 Ventas, Inc. 38,405 559 Weingarten Realty Investors 9,050 ------------- 877,197 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--2.2% 13,820 CB Richard Ellis Group, Inc., Class A (b) 49,752 2,155 Jones Lang LaSalle, Inc. 50,880 ------------- 100,632 ------------- ROAD & RAIL--1.1% 1,540 Ryder System, Inc. 52,021 ------------- SOFTWARE--1.2% 1,350 FactSet Research Systems, Inc. 53,730 ------------- THRIFTS & MORTGAGE FINANCE--2.6% 1,309 Capitol Federal Financial 54,193 3,741 Hudson City Bancorp, Inc. 43,396 3,324 MGIC Investment Corp. 9,174 773 Washington Federal, Inc. 9,492 ------------- 116,255 ------------- TRADING COMPANIES & DISTRIBUTORS--1.8% 1,928 GATX Corp. 46,465 6,547 United Rentals, Inc. (b) 36,532 ------------- 82,997 ------------- TOTAL COMMON STOCKS--100.0% (Cost $7,023,975) 4,532,991 MONEY MARKET FUND--0.6% 27,551 Morgan Stanley Institutional Treasury Money Market Fund -- 0.18% (c) (Cost $27,551) 27,551 ------------- TOTAL INVESTMENTS--100.6% (Cost $7,051,526) (d) 4,560,542 NET OTHER ASSETS AND LIABILITIES--(0.6%) (27,224) ------------- NET ASSETS--100.0% $ 4,533,318 ============= See Notes to Financial Statements Page 45 First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (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 January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,460 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,500,444. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,560,542 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 4,560,542 ================= Page 46 See Notes to Financial Statements First Trust Health Care AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% BIOTECHNOLOGY--14.3% 3,470 Abraxis BioScience, Inc. (b) $ 240,853 4,802 Biogen Idec, Inc. (b) 233,617 5,172 Celgene Corp. (b) 273,857 2,969 Cephalon, Inc. (b) 229,147 2,759 Genentech, Inc. (b) 224,141 3,446 Genzyme Corp. (b) 237,498 5,591 Gilead Sciences, Inc. (b) 283,856 1,882 Vertex Pharmaceuticals, Inc. (b) 62,200 ------------- 1,785,169 ------------- COMMERCIAL SERVICES & SUPPLIES--1.7% 4,392 Stericycle, Inc. (b) 214,857 ------------- FOOD & STAPLES RETAILING--2.1% 9,948 CVS Caremark Corp. 267,402 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--17.8% 25,953 Advanced Medical Optics, Inc. (b) 570,186 2,134 Baxter International, Inc. 125,159 1,672 Becton, Dickinson & Co. 121,504 2,715 C. R. Bard, Inc. 232,323 2,025 DENTSPLY International, Inc. 54,493 4,163 Edwards Lifesciences Corp. (b) 239,331 1,335 Gen-Probe, Inc. (b) 60,102 10,422 Hill-Rom Holdings, Inc. 146,742 2,132 Hospira, Inc. (b) 53,087 4,577 ResMed, Inc. (b) 182,622 3,470 St. Jude Medical, Inc. (b) 126,204 10,460 Cooper (The) Cos., Inc. 198,426 2,829 Zimmer Holdings, Inc. (b) 102,976 ------------- 2,213,155 ------------- HEALTH CARE PROVIDERS & SERVICES--35.1% 4,013 Aetna, Inc. 124,403 8,018 AmerisourceBergen Corp. 291,215 20,496 Brookdale Senior Living, Inc. 139,373 1,659 Cardinal Health, Inc. 62,461 11,766 Community Health Systems, Inc. (b) 219,318 19,215 Coventry Health Care, Inc. (b) 290,723 4,614 DaVita, Inc. (b) 216,858 2,080 Express Scripts, Inc. (b) 111,821 63,892 Health Management Associates, Inc., Class A (b) 101,588 15,753 Health Net, Inc. (b) 230,466 3,117 Henry Schein, Inc. (b) 116,669 7,669 Humana, Inc. (b) 290,885 3,551 Laboratory Corp. of America Holdings (b) 210,219 7,511 LifePoint Hospitals, Inc. (b) 169,298 6,370 Lincare Holdings, Inc. (b) 153,199 2,953 McKesson Corp. 130,523 6,822 Medco Health Solutions, Inc. (b) 306,513 3,608 MEDNAX, Inc. (b) 121,121 10,300 Omnicare, Inc. 287,988 5,508 Quest Diagnostics, Inc. 271,820 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES (Continued) 8,599 UnitedHealth Group, Inc. $ 243,610 3,044 Universal Health Services, Inc., Class B 115,215 4,072 WellPoint, Inc. (b) 168,784 ------------- 4,374,070 ------------- HEALTH CARE TECHNOLOGY--3.3% 1,487 Cerner Corp. (b) 50,142 27,335 HLTH Corp. (b) 311,072 3,772 IMS Health, Inc. 54,769 ------------- 415,983 ------------- INTERNET SOFTWARE & SERVICES--0.5% 2,424 WebMD Health Corp., Class A (b) 56,819 ------------- LIFE SCIENCES TOOLS & SERVICES--4.4% 6,548 Charles River Laboratories International, Inc. (b) 159,837 2,195 Illumina, Inc. (b) 60,055 2,453 Life Technologies Corp. (b) 62,453 1,971 Pharmaceutical Product Development, Inc. 47,087 2,659 TECHNE Corp. 159,460 1,678 Thermo Fisher Scientific, Inc. (b) 60,291 ------------- 549,183 ------------- PHARMACEUTICALS--20.8% 4,286 Abbott Laboratories 237,616 1,418 Allergan, Inc. 54,054 12,298 Bristol-Myers Squibb Co. 263,300 4,260 Eli Lilly & Co. 156,853 11,048 Endo Pharmaceuticals Holdings, Inc. (b) 248,249 4,490 Forest Laboratories, Inc. (b) 112,430 2,867 Johnson & Johnson 165,397 16,154 King Pharmaceuticals, Inc. (b) 141,186 28,910 Mylan, Inc. (b) 327,550 8,849 Perrigo Co. 259,718 3,229 Pfizer, Inc. 47,079 13,431 Schering-Plough Corp. 235,848 7,887 Warner Chilcott Ltd., Class A (b) 108,446 8,609 Watson Pharmaceuticals, Inc. (b) 234,854 ------------- 2,592,580 ------------- TOTAL COMMON STOCKS--100.0% (Cost $13,152,522) 12,469,218 MONEY MARKET --0.4% 44,042 Morgan Stanley Institutional Treasury Money Market Fund -- 0.18% (c) (Cost $44,042) 44,042 ------------- See Notes to Financial Statements Page 47 First Trust Health Care AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) DESCRIPTION VALUE ---------------------------------------------------------- TOTAL INVESTMENTS--100.4% (Cost $13,196,564) (d) $ 12,513,260 NET OTHER ASSETS AND LIABILITIES--(0.4%) (49,055) ------------- NET ASSETS--100.0% $ 12,464,205 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $533,575 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,216,879. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 12,513,260 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 12,513,260 ================ Page 48 See Notes to Financial Statements First Trust Industrials/Producer Durables AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--99.9% AEROSPACE & DEFENSE--26.2% 1,420 Alliant Techsystems, Inc. (b) $ 114,750 15,842 BE Aerospace, Inc. (b) 153,192 519 Boeing (The) Co. 21,959 2,393 Goodrich Corp. 92,513 527 Lockheed Martin Corp. 43,235 1,967 Northrop Grumman Corp. 94,652 2,387 Raytheon Co. 120,830 567 Rockwell Collins, Inc. 21,365 11,979 Spirit Aerosystems Holdings, Inc., Class A (b) 162,915 1,653 United Technologies Corp. 79,327 ------------ 904,738 ------------ COMMERCIAL SERVICES & SUPPLIES--5.1% 4,035 Covanta Holding Corp. (b) 69,765 1,739 Pitney Bowes, Inc. 38,710 15,765 Steelcase, Inc., Class A 68,105 ------------ 176,580 ------------ COMPUTERS & PERIPHERALS--4.8% 4,337 Diebold, Inc. 107,470 2,470 Lexmark International, Inc., Class A (b) 58,490 ------------ 165,960 ------------ ELECTRICAL EQUIPMENT--11.0% 1,467 AMETEK, Inc. 46,885 2,273 Cooper Industries Ltd., Class A 61,166 1,815 Emerson Electric Co. 59,351 2,711 Hubbell, Inc., Class B 84,041 510 Roper Industries, Inc. 20,981 5,071 Thomas & Betts Corp. (b) 108,469 ------------ 380,893 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--5.0% 1,042 Itron, Inc. (b) 68,043 329 Mettler-Toledo International, Inc. (b) 21,905 6,114 Molex, Inc. 81,744 ------------ 171,692 ------------ HOUSEHOLD DURABLES--4.2% 146 NVR, Inc. (b) 62,209 8,106 Pulte Homes, Inc. 82,276 ------------ 144,485 ------------ MACHINERY--34.1% 3,756 AGCO Corp. (b) 79,928 992 Caterpillar, Inc. 30,603 5,139 Crane Co. 89,521 829 Cummins, Inc. 19,879 783 Danaher Corp. 43,793 578 Deere & Co. 20,080 1,974 Donaldson Co., Inc. 61,431 1,345 Dover Corp. 38,037 1,291 Flowserve Corp. 68,823 5,219 Gardner Denver, Inc. (b) 113,618 800 Harsco Corp. 18,976 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ MACHINERY (Continued) 917 IDEX Corp. $ 20,733 1,264 Illinois Tool Works, Inc. 41,282 5,106 Ingersoll-Rand Co. Ltd., Class A 82,768 2,649 ITT Corp. 119,946 2,994 Kennametal, Inc. 48,024 1,305 Lincoln Electric Holdings, Inc. 53,727 1,558 Pall Corp. 40,617 1,041 Parker Hannifin Corp. 39,777 2,807 Pentair, Inc. 64,196 7,034 Terex Corp. (b) 83,283 ------------ 1,179,042 ------------ OFFICE ELECTRONICS--1.1% 5,558 Xerox Corp. 36,905 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.4% 2,033 KLA-Tencor Corp. 40,741 3,123 Lam Research Corp. (b) 63,116 1,795 Novellus Systems, Inc. (b) 24,753 5,249 Teradyne, Inc. (b) 25,248 ------------ 153,858 ------------ TRADING COMPANIES & DISTRIBUTORS--3.3% 1,545 W.W. Grainger, Inc. 112,708 ------------ WIRELESS TELECOMMUNICATION SERVICES--0.7% 755 American Tower Corp., Class A (b) 22,907 ------------ TOTAL COMMON STOCKS--99.9% (Cost $4,730,927) 3,449,768 MONEY MARKET FUND--1.1% 39,294 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $39,294) 39,294 ------------ TOTAL INVESTMENTS--101.0% (Cost $4,770,221) (d) 3,489,062 NET OTHER ASSETS AND LIABILITIES--(1.0%) (35,410) ------------ NET ASSETS--100.0% $ 3,453,652 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $101 and the aggregate gross unrealized depreciation for all securities in which there was excess of tax cost over value was $1,281,260. See Notes to Financial Statements Page 49 First Trust Industrials/Producer Durables AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 3,489,062 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 3,489,062 ================ Page 50 See Notes to Financial Statements First Trust Materials AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.2% Aerospace & Defense--0.6% 375 Precision Castparts Corp. $ 24,356 ------------- BUILDING PRODUCTS--3.4% 3,331 Armstrong World Industries, Inc. 55,228 2,974 Lennox International, Inc. 83,599 ------------- 138,827 ------------- CHEMICALS--29.1% 1,847 Airgas, Inc. 65,218 1,000 Albemarle Corp. 22,250 9,138 Ashland, Inc. 73,287 4,708 Cabot Corp. 62,899 5,794 Celanese Corp., Class A 61,706 4,526 Cytec Industries, Inc. 92,511 6,364 Dow Chemical (The) Co. 73,759 1,897 E.I. du Pont de Nemours and Co. 43,555 2,272 Eastman Chemical Co. 58,958 1,366 Ecolab, Inc. 46,389 1,073 FMC Corp. 47,877 20,938 Huntsman Corp. 55,695 1,073 Intrepid Potash, Inc. (b) 21,868 1,319 Lubrizol (The) Corp. 45,004 317 Monsanto Co. 24,111 1,932 Nalco Holding Co. 18,953 1,697 PPG Industries, Inc. 63,773 375 Praxair, Inc. 23,348 1,943 Rohm and Haas Co. 107,234 4,040 Scotts Miracle-Gro (The) Co., Class A 130,169 1,136 Sigma-Aldrich Corp. 40,987 1,232 Valspar (The) Corp. 21,375 ------------- 1,200,926 ------------- COMMERCIAL SERVICES & SUPPLIES--0.4% 681 Avery Dennison Corp. 16,501 ------------- CONSTRUCTION & ENGINEERING--10.8% 3,907 Aecom Technology Corp. (b) 98,886 1,606 Fluor Corp. 62,473 1,498 Jacobs Engineering Group, Inc. (b) 57,928 3,159 KBR, Inc. 44,731 2,425 Quanta Services, Inc. (b) 51,847 1,089 Shaw Group (The), Inc. (b) 30,274 2,944 URS Corp. (b) 100,244 ------------- 446,383 ------------- CONSTRUCTION MATERIALS--0.4% 230 Martin Marietta Materials, Inc. 18,520 ------------- CONTAINERS & PACKAGING--15.3% 2,725 AptarGroup, Inc. 83,985 2,886 Ball Corp. 110,649 942 Bemis Co., Inc. 21,261 5,002 Crown Holdings, Inc. (b) 93,788 667 Greif, Inc. Class A 20,183 1,757 Owens-Illinois, Inc. (b) 33,383 3,567 Packaging Corp. of America 50,651 3,215 Sealed Air Corp. 43,563 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CONTAINERS & PACKAGING (Continued) 376,608 Smurfit-Stone Container Corp. (b) $ 12,466 962 Sonoco Products Co. 22,059 25,009 Temple-Inland, Inc. 141,801 ------------- 633,789 ------------- FOOD PRODUCTS--4.0% 1,665 Archer-Daniels-Midland Co. 45,588 1,855 Bunge Ltd. 79,653 1,664 Corn Products International, Inc. 38,522 ------------- 163,763 ------------- HOUSEHOLD PRODUCTS--0.5% 412 Energizer Holdings, Inc. (b) 19,624 ------------- MACHINERY--2.5% 4,892 Timken (The) Co. 72,842 783 Valmont Industries, Inc. 31,774 ------------- 104,616 ------------- METALS & MINING--25.2% 8,529 Alcoa, Inc. 66,441 4,676 Carpenter Technology Corp. 77,154 6,068 Commercial Metals Co. 69,782 4,912 Freeport-McMoRan Copper & Gold, Inc. 123,487 1,769 Newmont Mining Corp. 70,371 2,599 Nucor Corp. 106,013 6,021 Reliance Steel & Aluminum Co. 133,244 3,188 Schnitzer Steel Industries, Inc., Class A 125,192 10,738 Steel Dynamics, Inc. 114,038 8,175 Titanium Metals Corp. 57,634 3,227 United States Steel Corp. 96,907 ------------- 1,040,263 ------------- PAPER & FOREST PRODUCTS--5.7% 57,506 Domtar Corp. (b) 85,683 8,139 International Paper Co. 74,228 6,437 MeadWestvaco Corp. 74,927 ------------- 234,838 ------------- SPECIALTY RETAIL--2.3% 2,009 Sherwin-Williams (The) Co. 95,930 ------------- TOTAL COMMON STOCKS--100.2% (Cost $5,720,822) 4,138,336 MONEY MARKET FUND--0.6% 25,709 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $25,709) 25,709 ------------- TOTAL INVESTMENTS--100.8% (Cost $5,746,531) (d) 4,164,045 NET OTHER ASSETS AND LIABILITIES--(0.8%) (34,293) ------------- NET ASSETS--100.0% $ 4,129,752 ============= See Notes to Financial Statements Page 51 First Trust Materials AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (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 January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $28,143 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,610,629. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,164,045 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 4,164,045 ================= Page 52 See Notes to Financial Statements First Trust Technology AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.9% 754 General Dynamics Corp. $ 42,774 1,177 L-3 Communications Holdings, Inc. 93,007 ------------ 135,781 ------------ COMMUNICATIONS EQUIPMENT--13.8% 3,720 ADC Telecommunications, Inc. (b) 18,860 38,756 Brocade Communications Systems, Inc. (b) 147,660 1,249 Cisco Systems, Inc. (b) 18,698 4,378 EchoStar Corp. (b) 65,933 4,747 F5 Networks, Inc. (b) 105,241 2,281 Harris Corp. 98,744 11,892 JDS Uniphase Corp. (b) 43,168 3,718 Juniper Networks, Inc. (b) 52,647 3,029 QUALCOMM, Inc. 104,652 ------------ 655,603 ------------ COMPUTERS & PERIPHERALS--11.4% 239 Apple, Inc. (b) 21,541 6,219 EMC Corp. (b) 68,658 2,392 Hewlett-Packard Co. 83,122 774 International Business Machines Corp. 70,937 4,604 NCR Corp. (b) 57,780 3,107 NetApp, Inc. (b) 46,077 3,230 QLogic Corp. (b) 36,564 24,495 Seagate Technology 92,836 2,927 Teradata Corp. (b) 38,432 1,778 Western Digital Corp. (b) 26,101 ------------ 542,048 ------------ ELECTRICAL EQUIPMENT--1.6% 148 First Solar, Inc. (b) 21,134 2,020 Rockwell Automation, Inc. 52,601 ------------ 73,735 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--17.1% 849 Amphenol Corp., Class A 22,201 5,759 Arrow Electronics, Inc. (b) 109,824 5,958 Avnet, Inc. (b) 118,089 10,933 AVX Corp. 99,709 2,830 FLIR Systems, Inc. (b) 70,665 6,484 Ingram Micro, Inc., Class A (b) 79,559 16,077 Jabil Circuit, Inc. 93,568 3,564 National Instruments Corp. 76,519 3,014 Trimble Navigation Ltd. (b) 44,667 6,695 Tyco Electronics Ltd. 94,801 ------------ 809,602 ------------ INTERNET SOFTWARE & SERVICES--1.8% 1,349 Akamai Technologies, Inc. (b) 18,185 816 Equinix, Inc (b) 43,533 67 Google, Inc., Class A (b) 22,682 ------------ 84,400 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ IT SERVICES--10.4% 2,361 Affiliated Computer Services, Inc., Class A (b) $ 108,275 2,404 Cognizant Technology Solutions Corp., Class A (b) 45,027 3,087 Computer Sciences Corp. (b) 113,725 5,672 NeuStar, Inc., Class A (b) 77,253 5,570 SAIC, Inc. (b) 109,952 51,065 Unisys Corp. (b) 38,299 ------------ 492,531 ------------ LIFE SCIENCES TOOLS & SERVICES--1.7% 6,240 PerkinElmer, Inc. 78,749 ------------ OFFICE ELECTRONICS--1.1% 3,213 Zebra Technologies Corp., Class A (b) 54,075 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--20.0% 3,896 Altera Corp. 59,920 27,735 Atmel Corp. (b) 92,634 3,837 Broadcom Corp., Class A (b) 60,816 2,735 Cree, Inc. (b) 54,509 9,711 Cypress Semiconductor Corp. (b) 43,797 22,191 Fairchild Semiconductor International, Inc. (b) 100,968 15,475 Integrated Device Technology, Inc. (b) 88,827 5,922 Intel Corp. 76,394 11,808 Intersil Corp., Class A 109,931 920 Linear Technology Corp. 21,546 6,185 LSI Corp. (b) 19,668 3,050 Marvell Technology Group Ltd. (b) 22,235 24,662 Micron Technology, Inc. (b) 91,743 2,726 Rambus, Inc. (b) 24,698 1,751 Silicon Laboratories, Inc. (b) 40,326 2,436 Xilinx, Inc. 41,047 ------------ 949,059 ------------ SOFTWARE--18.2% 4,747 Amdocs Ltd. (b) 80,319 730 ANSYS, Inc. (b) 18,148 3,226 BMC Software, Inc. (b) 81,714 3,513 CA, Inc. 63,199 3,683 Citrix Systems, Inc. (b) 77,490 6,431 Compuware Corp. (b) 41,802 2,737 Intuit, Inc. (b) 61,993 3,140 McAfee, Inc. (b) 95,738 1,047 Microsoft Corp. 17,904 5,231 Novell, Inc. (b) 19,355 6,285 Nuance Communications, Inc. (b) 61,970 4,896 Oracle Corp. (b) 82,399 4,925 Red Hat, Inc. (b) 72,151 3,211 Symantec Corp. (b) 49,225 1,098 Synopsys, Inc. (b) 20,313 860 VMware, Inc., Class A (b) 17,802 ------------ 861,522 ------------ See Notes to Financial Statements Page 53 First Trust Technology AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ TOTAL COMMON STOCKS--100.0% (Cost $6,989,655) $ 4,737,105 MONEY MARKET FUND--0.7% 33,048 Morgan Stanley Institutional Treasury Money Market Fund -- 0.18% (c) (Cost $33,048) 33,048 ------------- TOTAL INVESTMENTS--100.7% (Cost $7,022,703) (d) 4,770,153 NET OTHER ASSETS AND LIABILITIES--(0.7%) (33,187) ------------- NET ASSETS--100.0% $ 4,736,966 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009 (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $897 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,253,447. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,770,153 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 4,770,153 ================= Page 54 See Notes to Financial Statements First Trust Utilities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--99.8% DIVERSIFIED TELECOMMUNICATION SERVICES--12.2% 11,769 AT&T, Inc. $ 289,753 22,501 CenturyTel, Inc. 610,677 6,840 Embarq Corp. 244,325 12,793 Frontier Communications Corp. 103,751 168,943 Qwest Communications International, Inc. 543,996 3,298 Verizon Communications, Inc. 98,511 36,460 Windstream Corp. 316,473 ------------- 2,207,486 ------------- ELECTRIC UTILITIES--23.3% 3,302 Allegheny Energy, Inc. 109,758 10,079 American Electric Power Co., Inc. 315,977 21,540 DPL, Inc. 464,187 16,388 Duke Energy Corp. 248,278 15,316 Edison International 498,843 5,918 Entergy Corp. 451,898 5,063 FirstEnergy Corp. 253,099 17,353 Great Plains Energy, Inc. 330,922 4,647 Northeast Utilities 110,599 49,743 NV Energy, Inc. 533,743 18,887 Pepco Holdings, Inc. 336,377 10,440 Pinnacle West Capital Corp. 349,427 3,643 PPL Corp. 111,694 2,806 Progress Energy, Inc. 108,648 ------------- 4,223,450 ------------- GAS UTILITIES--12.0% 3,566 AGL Resources, Inc. 109,940 10,379 Atmos Energy Corp. 254,804 20,967 Energen Corp. 612,446 10,706 National Fuel Gas Co. 320,752 8,447 ONEOK, Inc. 246,821 18,812 Questar Corp. 639,232 ------------- 2,183,995 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--5.6% 13,569 AES (The) Corp. (b) 107,331 13,369 Constellation Energy Group, Inc. 351,605 32,589 Mirant Corp. (b) 559,553 ------------- 1,018,489 ------------- MULTI-UTILITIES--32.0% 21,074 Alliant Energy Corp. 607,563 10,085 Ameren Corp. 335,326 48,728 CenterPoint Energy, Inc. 651,982 48,661 CMS Energy Corp. 571,767 6,319 Consolidated Edison, Inc. 257,499 13,792 DTE Energy Co. 475,824 22,797 MDU Resources Group, Inc. 453,432 56,058 NiSource, Inc. 542,641 13,011 OGE Energy Corp. 321,111 2,888 PG&E Corp. 111,679 8,433 Public Service Enterprise Group, Inc. 266,230 3,141 SCANA Corp. 107,705 5,770 Sempra Energy 252,957 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ MULTI-UTILITIES (Continued) 39,835 TECO Energy, Inc. $ 478,418 4,471 Vectren Corp. 115,307 13,260 Xcel Energy, Inc. 244,780 ------------- 5,794,221 ------------- OIL, GAS & CONSUMABLE FUELS--5.1% 47,159 Southern Union Co. 607,879 21,311 Spectra Energy Corp. 309,223 ------------- 917,102 ------------- WIRELESS TELECOMMUNICATION SERVICES--9.6% 9,148 Leap Wireless International, Inc. (b) 230,530 41,411 MetroPCS Communications, Inc. (b) 562,776 15,495 Telephone and Data Systems, Inc. 472,752 11,377 United States Cellular Corp. (b) 477,265 ------------- 1,743,323 ------------- TOTAL COMMON STOCks--99.8% (Cost $20,230,933) 18,088,066 MONEY MARKET FUND--0.3% 53,076 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $53,076) 53,076 ------------- TOTAL INVESTMENTS--100.1% (Cost $20,284,009) (d) 18,141,142 NET OTHER ASSETS AND LIABILITIES --(0.1%) (22,372) ------------- NET ASSETS--100.0% $ 18,118,770 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $172,871 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,315,738. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 18,141,142 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- --------------- Total $ 18,141,142 =============== See Notes to Financial Statements Page 55 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.1% AEROSPACE & DEFENSE--2.6% 230 Boeing Co. (The) $ 9,731 340 General Dynamics Corp. 19,288 1,057 Goodrich Corp. 40,864 597 Honeywell International, Inc. 19,588 398 L-3 Communications Holdings, Inc. 31,450 349 Lockheed Martin Corp. 28,632 870 Northrop Grumman Corp. 41,864 659 Precision Castparts Corp. 42,802 192 Raytheon Co. 9,719 500 Rockwell Collins, Inc. 18,840 ------------- 262,778 ------------- AIR FREIGHT & LOGISTICS--1.3% 889 C.H. Robinson Worldwide, Inc. 40,876 1,176 Expeditors International of Washington, Inc. 32,705 610 FedEx Corp. 31,073 710 United Parcel Service, Inc., Class B 30,168 ------------- 134,822 ------------- AIRLINES--0.2% 2,272 Southwest Airlines Co. 15,972 ------------- AUTO COMPONENTS--0.7% 8,198 Goodyear Tire & Rubber (The) Co. (b) 50,581 1,617 Johnson Controls, Inc. 20,229 ------------- 70,810 ------------- AUTOMOBILES--0.3% 2,884 Harley-Davidson, Inc. 35,127 ------------- BEVERAGES--1.2% 570 Brown-Forman Corp., Class B 25,884 649 Coca-Cola (The) Co. 27,726 621 Constellation Brands, Inc., Class A (b) 9,017 1,205 Dr Pepper Snapple Group, Inc. (b) 19,822 870 Pepsi Bottling Group (The), Inc. 16,782 357 PepsiCo, Inc. 17,932 ------------- 117,163 ------------- BIOTECHNOLOGY--2.5% 508 Amgen, Inc. (b) 27,864 1,028 Biogen Idec, Inc. (b) 50,012 885 Celgene Corp. (b) 46,861 508 Cephalon, Inc. (b) 39,207 590 Genzyme Corp. (b) 40,663 958 Gilead Sciences, Inc. (b) 48,638 ------------- 253,245 ------------- CAPITAL MARKETS--1.0% 419 Ameriprise Financial, Inc. 8,443 1,155 Federated Investors, Inc., Class B 22,546 2,033 Invesco Ltd. 23,969 4,876 Janus Capital Group, Inc. 25,599 187 Northern Trust Corp. 10,756 276 T. Rowe Price Group, Inc. 7,612 ------------- 98,925 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CHEMICALS--3.0% 195 Air Products and Chemicals, Inc. $ 9,809 996 CF Industries Holding, Inc. 46,812 3,243 Dow Chemical (The) Co. 37,586 1,548 E.I. du Pont de Nemours & Co. 35,542 1,544 Eastman Chemical Co. 40,067 557 Ecolab, Inc. 18,916 329 International Flavors & Fragrances, Inc. 9,416 139 Monsanto Co. 10,572 461 PPG Industries, Inc. 17,324 329 Praxair, Inc. 20,484 792 Rohm and Haas Co. 43,710 464 Sigma-Aldrich Corp. 16,741 ------------- 306,979 ------------- COMMERCIAL BANKS--0.8% 356 BB&T Corp. 7,045 493 Comerica, Inc. 8,213 3,705 First Horizon National Corp. 35,272 1,278 Huntington Bancshares, Inc. 3,681 2,459 Regions Financial Corp. 8,508 331 SunTrust Banks, Inc. 4,058 798 Zions Bancorporation 11,906 ------------- 78,683 ------------- COMMERCIAL SERVICES & SUPPLIES--1.6% 897 Avery Dennison Corp. 21,734 1,264 Cintas Corp. 28,756 768 Pitney Bowes, Inc. 17,096 2,884 R.R. Donnelley & Sons Co. 28,148 790 Republic Services, Inc. 20,429 752 Stericycle, Inc. (b) 36,788 296 Waste Management, Inc. 9,232 ------------- 162,183 ------------- COMMUNICATIONS EQUIPMENT--2.1% 4,383 Ciena Corp. (b) 27,350 5,136 Corning, Inc. 51,924 771 Harris Corp. 33,377 5,363 JDS Uniphase Corp. (b) 19,468 1,118 Juniper Networks, Inc. (b) 15,831 1,093 QUALCOMM, Inc. 37,763 7,128 Tellabs, Inc. (b) 29,439 ------------- 215,152 ------------- COMPUTERS & PERIPHERALS--1.6% 1,870 EMC Corp. (b) 20,645 1,079 Hewlett-Packard Co. 37,495 233 International Business Machines Corp. 21,354 1,092 Lexmark International, Inc., Class A (b) 25,859 701 NetApp, Inc. (b) 10,396 2,913 QLogic Corp. (b) 32,975 1,320 Teradata Corp. (b) 17,332 ------------- 166,056 ------------- CONSTRUCTION & ENGINEERING--0.5% 654 Fluor Corp. 25,441 Page 56 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) CONSTRUCTION & ENGINEERING (Continued) 611 Jacobs Engineering Group, Inc. (b) $ 23,627 ------------- 49,068 ------------- CONSUMER FINANCE--0.4% 528 American Express Co. 8,833 921 Capital One Financial Corp. 14,589 3,082 Discover Financial Services 22,036 ------------- 45,458 ------------- CONTAINERS & PACKAGING--1.5% 1,176 Ball Corp. 45,088 827 Bemis Co., Inc. 18,665 1,075 Owens-Illinois, Inc. (b) 20,425 1,967 Pactiv Corp. (b) 42,527 1,966 Sealed Air Corp. 26,639 ------------- 153,344 ------------- DISTRIBUTORS--0.1% 259 Genuine Parts Co. 8,293 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 639 Apollo Group, Inc., Class A (b) 52,053 ------------- DIVERSIFIED FINANCIAL SERVICES--1.1% 1,391 Bank of America Corp. 9,153 8,625 CIT Group, Inc. 24,064 237 IntercontinentalExchange, Inc. (b) 13,492 1,978 Leucadia National Corp. (b) 31,489 487 Moody's Corp. 10,432 1,188 NASDAQ OMX Group (The), Inc. (b) 25,922 ------------- 114,552 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.4% 1,030 AT&T, Inc. 25,359 1,791 CenturyTel, Inc. 48,607 545 Embarq Corp. 19,467 2,690 Qwest Communications International, Inc. 8,662 577 Verizon Communications, Inc. 17,235 3,192 Windstream Corp. 27,707 ------------- 147,037 ------------- ELECTRIC UTILITIES--2.2% 289 Allegheny Energy, Inc. 9,606 883 American Electric Power Co., Inc. 27,682 1,956 Duke Energy Corp. 29,633 914 Edison International 29,769 118 Entergy Corp. 9,010 403 FirstEnergy Corp. 20,146 195 FPL Group, Inc. 10,052 1,653 Pepco Holdings, Inc. 29,440 914 Pinnacle West Capital Corp. 30,593 319 PPL Corp. 9,781 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ ELECTRIC UTILITIES (Continued) 492 Progress Energy, Inc. $ 19,050 ------------- 224,762 ------------- ELECTRICAL EQUIPMENT--0.8% 1,340 Cooper Industries Ltd., Class A 36,060 802 Emerson Electric Co. 26,225 608 Rockwell Automation, Inc. 15,832 ------------- 78,117 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--1.3% 958 FLIR Systems, Inc. (b) 23,921 5,801 Jabil Circuit, Inc. 33,762 2,703 Molex, Inc. 36,139 3,019 Tyco Electronics Ltd. 42,749 ------------- 136,571 ------------- ENERGY EQUIPMENT & SERVICES--2.3% 2,153 Halliburton Co. 37,139 2,003 National Oilwell Varco, Inc. (b) 52,959 2,215 Noble Corp. 60,138 3,079 Rowan Cos., Inc. 38,980 4,524 Weatherford International Ltd. (b) 49,900 ------------- 239,116 ------------- FOOD & STAPLES RETAILING--3.4% 745 Costco Wholesale Corp. 33,547 1,703 CVS Caremark Corp. 45,777 1,853 Kroger (The) Co. 41,693 1,235 Safeway, Inc. 26,466 3,353 SUPERVALU, Inc. 58,811 1,280 Sysco Corp. 28,531 1,190 Walgreen Co. 32,618 873 Wal-Mart Stores, Inc. 41,136 4,148 Whole Foods Market, Inc. 42,517 ------------- 351,096 ------------- FOOD PRODUCTS--3.4% 1,358 Archer-Daniels-Midland Co. 37,182 978 Campbell Soup Co. 29,702 2,723 Dean Foods Co. (b) 52,662 806 General Mills, Inc. 47,674 781 H.J. Heinz Co. 28,507 1,127 Hershey (The) Co. 42,015 225 J.M. Smucker (The) Co. 10,159 669 Kellogg Co. 29,229 1,229 McCormick & Co., Inc. 39,377 3,353 Tyson Foods, Inc., Class A 29,674 ------------- 346,181 ------------- GAS UTILITIES--0.4% 291 Equitable Resources, Inc. 9,961 563 Nicor, Inc. 19,260 299 Questar Corp. 10,160 ------------- 39,381 ------------- See Notes to Financial Statements Page 57 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) HEALTH CARE EQUIPMENT & SUPPLIES--1.8% 548 Baxter International, Inc. $ 32,140 429 Becton, Dickinson & Co. 31,175 465 C.R. Bard, Inc. 39,790 270 Covidien Ltd. 10,352 693 DENTSPLY International, Inc. 18,649 365 Hospira, Inc. (b) 9,089 890 St. Jude Medical, Inc. (b) 32,369 279 Varian Medical Systems, Inc. (b) 10,359 ------------- 183,923 ------------- HEALTH CARE PROVIDERS & SERVICES--4.5% 687 Aetna, Inc. 21,297 284 Cardinal Health, Inc. 10,693 1,743 CIGNA Corp. 30,258 3,289 Coventry Health Care, Inc. (b) 49,763 790 DaVita, Inc. (b) 37,130 534 Express Scripts, Inc. (b) 28,708 1,313 Humana, Inc. (b) 49,802 608 Laboratory Corp. of America Holdings (b) 35,994 252 McKesson Corp. 11,138 1,168 Medco Health Solutions, Inc. (b) 52,477 942 Quest Diagnostics, Inc. 46,488 1,472 UnitedHealth Group, Inc. 41,702 929 WellPoint, Inc. (b) 38,507 ------------- 453,957 ------------- HEALTH CARE TECHNOLOGY--0.1% 646 IMS Health, Inc. 9,380 ------------- HOTELS, RESTAURANTS & LEISURE--2.0% 2,013 Carnival Corp. 36,616 348 Darden Restaurants, Inc. 9,125 823 International Game Technology 8,724 504 Marriott International, Inc., Class A 8,220 629 McDonald's Corp. 36,495 1,640 Starwood Hotels & Resorts Worldwide, Inc. 24,797 7,472 Wyndham Worldwide Corp. 45,802 1,243 Yum! Brands, Inc. 35,575 ------------- 205,354 ------------- HOUSEHOLD DURABLES--2.1% 234 Black & Decker (The) Corp. 6,765 712 Fortune Brands, Inc. 22,784 2,341 Harman International Industries, Inc. 37,667 718 KB HOME 7,661 3,003 Newell Rubbermaid, Inc. 24,264 3,582 Pulte Homes, Inc. 36,357 497 Snap-on, Inc. 14,999 861 Stanley Works (The) 26,915 1,184 Whirlpool Corp. 39,582 ------------- 216,994 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HOUSEHOLD PRODUCTS--1.1% 714 Colgate-Palmolive Co. $ 46,438 557 Kimberly-Clark Corp. 28,669 634 Procter & Gamble (The) Co. 34,553 ------------- 109,660 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.1% 4,752 AES (The) Corp. (b) 37,588 1,170 Constellation Energy Group, Inc. 30,771 19,577 Dynegy, Inc., Class A (b) 41,308 ------------- 109,667 ------------- INDUSTRIAL CONGLOMERATES--0.9% 340 3M Co. 18,289 604 General Electric Co. 7,327 2,823 Textron, Inc. 25,492 1,812 Tyco International Ltd. 38,087 ------------- 89,195 ------------- INSURANCE--2.0% 427 Aflac, Inc. 9,911 857 Aon Corp. 31,752 326 Assurant, Inc. 8,606 768 Chubb (The) Corp. 32,702 337 Cincinnati Financial Corp. 7,390 1,559 Lincoln National Corp. 23,588 347 Loews Corp. 8,467 561 MetLife, Inc. 16,118 1,322 Progressive (The) Corp. (b) 16,062 647 Prudential Financial, Inc. 16,660 219 Torchmark Corp. 6,570 433 Travelers (The) Cos., Inc. 16,731 526 Unum Group 7,448 ------------- 202,005 ------------- INTERNET & CATALOG RETAIL--0.6% 381 Amazon.com, Inc. (b) 22,410 4,752 Expedia, Inc. (b) 42,436 ------------- 64,846 ------------- IT SERVICES--2.4% 1,065 Affiliated Computer Services, Inc., Class A (b) 48,841 995 Automatic Data Processing, Inc. 36,148 542 Cognizant Technology Solutions Corp., Class A (b) 10,152 1,393 Computer Sciences Corp. (b) 51,318 3,054 Convergys Corp. (b) 22,997 1,805 Fidelity National Information Services, Inc. 28,718 807 Fiserv, Inc. (b) 25,622 68 MasterCard, Inc., Class A 9,233 373 Paychex, Inc. 9,060 ------------- 242,089 ------------- LEISURE EQUIPMENT & PRODUCTS--0.6% 7,439 Eastman Kodak Co. 33,698 336 Hasbro, Inc. 8,108 Page 58 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) LEISURE EQUIPMENT & PRODUCTS (Continued) 1,224 Mattel, Inc. $ 17,369 ------------- 59,175 ------------- LIFE SCIENCES TOOLS & SERVICES--0.8% 840 Life Technologies Corp. (b) 21,386 190 Millipore Corp. (b) 10,480 2,111 PerkinElmer, Inc. 26,641 574 Thermo Fisher Scientific, Inc. (b) 20,624 ------------- 79,131 ------------- MACHINERY--3.9% 439 Caterpillar, Inc. 13,543 1,831 Cummins, Inc. 43,907 519 Danaher Corp. 29,028 256 Deere & Co. 8,893 595 Dover Corp. 16,827 788 Eaton Corp. 34,688 760 Flowserve Corp. 40,516 559 Illinois Tool Works, Inc. 18,257 2,821 Ingersoll-Rand Co. Ltd., Class A 45,728 851 ITT Corp. 38,533 5,651 Manitowoc (The) Co., Inc. 31,081 342 PACCAR, Inc. 9,025 689 Pall Corp. 17,962 1,150 Parker Hannifin Corp. 43,942 ------------- 391,930 ------------- MEDIA--2.7% 2,319 Comcast Corp., Class A 33,973 2,136 DIRECTV Group (The), Inc. (b) 46,779 7,416 Interpublic Group of Cos (The), Inc. (b) 24,695 2,287 Meredith Corp. 36,523 5,385 News Corp., Class A 34,410 364 Omnicom Group, Inc. 9,424 4,865 Time Warner, Inc. 45,391 513 Viacom, Inc., Class B (b) 7,567 1,294 Walt Disney (The) Co. 26,760 25 Washington Post (The) Co., Class B 9,764 ------------- 275,286 ------------- METALS & MINING--2.4% 5,252 AK Steel Holding Corp. 42,384 4,347 Alcoa, Inc. 33,863 1,917 Allegheny Technologies, Inc. 42,347 962 Newmont Mining Corp. 38,268 1,059 Nucor Corp. 43,197 1,316 United States Steel Corp. 39,519 ------------- 239,578 ------------- MULTILINE RETAIL--2.5% 2,703 Big Lots, Inc. (b) 36,355 1,877 Family Dollar Stores, Inc. 52,124 2,485 J. C. Penney Co., Inc. 41,624 811 Kohl's Corp. (b) 29,772 4,728 Macy's, Inc. 42,316 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ MULTILINE RETAIL (Continued) 2,942 Nordstrom, Inc. $ 37,334 567 Target Corp. 17,690 ------------- 257,215 ------------- MULTI-UTILITIES--3.2% 883 Ameren Corp. 29,360 776 CenterPoint Energy, Inc. 10,383 2,904 CMS Energy Corp. 34,122 503 Consolidated Edison, Inc. 20,497 273 Dominion Resources, Inc. 9,604 1,097 DTE Energy Co. 37,847 227 Integrys Energy Group, Inc. 9,477 3,569 NiSource, Inc. 34,548 506 PG&E Corp. 19,567 550 SCANA Corp. 18,860 689 Sempra Energy 30,206 3,171 TECO Energy, Inc. 38,083 233 Wisconsin Energy Corp. 10,387 1,055 Xcel Energy, Inc. 19,475 ------------- 322,416 ------------- OFFICE ELECTRONICS--0.2% 3,684 Xerox Corp. 24,462 ------------- OIL, GAS & CONSUMABLE FUELS--7.9% 254 Anadarko Petroleum Corp. 9,332 131 Apache Corp. 9,825 662 Chevron Corp. 46,684 945 ConocoPhillips 44,916 298 Devon Energy Corp. 18,357 5,000 El Paso Corp. 40,900 147 EOG Resources, Inc. 9,962 613 Exxon Mobil Corp. 46,882 182 Hess Corp. 10,121 1,788 Marathon Oil Corp. 48,687 1,420 Massey Energy Co. 21,556 442 Murphy Oil Corp. 19,528 994 Noble Energy 48,636 816 Occidental Petroleum Corp. 44,513 1,721 Peabody Energy Corp. 43,025 3,024 Pioneer Natural Resources Co. 44,271 285 Range Resources Corp. 10,214 1,352 Southwestern Energy Co. (b) 42,791 1,865 Spectra Energy Corp. 27,061 1,127 Sunoco, Inc. 52,203 2,973 Tesoro Corp. 51,225 2,262 Valero Energy Corp. 54,560 3,380 Williams (The) Cos., Inc. 47,827 277 XTO Energy, Inc. 10,274 ------------- 803,350 ------------- PAPER & FOREST PRODUCTS--0.9% 4,148 International Paper Co. 37,830 4,374 MeadWestvaco Corp. 50,913 ------------- 88,743 ------------- PERSONAL PRODUCTS--0.2% 407 Avon Products, Inc. 8,323 See Notes to Financial Statements Page 59 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) PERSONAL PRODUCTS (Continued) 633 Estee Lauder (The) Cos., Inc., Class A $ 16,616 ------------- 24,939 ------------- PHARMACEUTICALS--2.9% 917 Abbott Laboratories 50,838 485 Allergan, Inc. 18,488 769 Forest Laboratories, Inc. (b) 19,256 491 Johnson & Johnson 28,326 3,687 King Pharmaceuticals, Inc. (b) 32,224 4,948 Mylan, Inc. (b) 56,061 1,105 Pfizer, Inc. 16,111 1,473 Watson Pharmaceuticals, Inc. (b) 40,183 783 Wyeth 33,646 ------------- 295,133 ------------- PROFESSIONAL SERVICES--0.9% 380 Dun & Bradstreet (The) Corp. 28,880 738 Equifax, Inc. 18,243 1,619 Monster Worldwide, Inc. (b) 14,911 1,881 Robert Half International, Inc. 31,883 ------------- 93,917 ------------- REAL ESTATE INVESTMENT TRUSTS--1.2% 8,024 Developers Diversified Realty Corp. 38,515 3,879 Host Hotels & Resorts, Inc. 20,869 2,114 ProLogis 21,161 615 Public Storage 38,050 ------------- 118,595 ------------- ROAD & RAIL--1.3% 517 Burlington Northern Santa Fe Corp. 34,251 904 CSX Corp. 26,180 416 Norfolk Southern Corp. 15,958 1,010 Ryder System, Inc. 34,118 409 Union Pacific Corp. 17,910 ------------- 128,417 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.4% 1,172 Altera Corp. 18,025 1,544 Analog Devices, Inc. 30,849 966 Applied Materials, Inc. 9,051 1,154 Broadcom Corp., Class A (b) 18,291 2,003 Intel Corp. 25,839 898 KLA-Tencor Corp. 17,996 2,976 LSI Corp. (b) 9,464 502 Microchip Technology, Inc. 9,523 11,124 Micron Technology, Inc. (b) 41,382 793 Novellus Systems, Inc. (b) 10,935 3,639 NVIDIA Corp. (b) 28,930 2,319 Teradyne, Inc. (b) 11,154 549 Xilinx, Inc. 9,251 ------------- 240,690 ------------- SOFTWARE--2.0% 1,091 BMC Software, Inc. (b) 27,635 1,056 CA, Inc. 18,997 1,246 Citrix Systems, Inc. (b) 26,216 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ SOFTWARE (Continued) 1,450 Compuware Corp. (b) $ 9,425 823 Intuit, Inc. (b) 18,641 1,416 McAfee, Inc. (b) 43,175 504 Microsoft Corp. 8,618 1,656 Oracle Corp. (b) 27,870 1,448 Symantec Corp. (b) 22,198 ------------- 202,775 ------------- SPECIALTY RETAIL--4.7% 351 AutoZone, Inc. (b) 46,645 1,540 Bed Bath & Beyond, Inc. (b) 35,774 1,044 Best Buy Co., Inc. 29,253 452 GameStop Corp., Class A (b) 11,201 2,924 Gap (The), Inc. 32,983 2,126 Home Depot (The), Inc. 45,773 3,900 Limited Brands, Inc. 30,888 2,275 Lowe's Cos., Inc. 41,564 16,424 Office Depot, Inc. (b) 35,476 3,279 RadioShack Corp. 37,577 819 Sherwin-Williams (The) Co. 39,107 2,185 Staples, Inc. 34,829 1,657 Tiffany & Co. 34,383 952 TJX (The) Cos., Inc. 18,488 ------------- 473,941 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 942 Coach, Inc. (b) 13,753 1,670 Jones Apparel Group, Inc. 5,778 768 NIKE, Inc., Class B 34,752 862 Polo Ralph Lauren Corp. 35,368 536 VF Corp. 30,027 ------------- 119,678 ------------- THRIFTS & MORTGAGE FINANCE--0.3% 3,067 Hudson City Bancorp, Inc. 35,577 ------------- TOBACCO--0.4% 1,300 Altria Group, Inc. 21,502 485 Reynolds American, Inc. 18,517 ------------- 40,019 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 562 Fastenal Co. 19,209 621 W.W. Grainger, Inc. 45,302 ------------- 64,511 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% 334 American Tower Corp., Class A (b) 10,134 ------------- TOTAL COMMON STOCKS--100.1% (Cost $13,436,941) 10,179,606 MONEY MARKET FUND--0.3% 33,659 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $33,659) 33,659 ------------- Page 60 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) DESCRIPTION VALUE ---------------------------------------------------------- TOTAL INVESTMENTS--100.4% (Cost $13,470,600) (d) $ 10,213,265 NET OTHER ASSETS AND LIABILITIES--(0.4%) (38,696) ------------- NET ASSETS--100.0% $ 10,174,569 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $107,305 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,364,640. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 10,213,265 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 10,213,265 ================ See Notes to Financial Statements Page 61 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.1% AEROSPACE & DEFENSE--1.3% 453 Alliant Techsystems, Inc. (b) $ 36,607 5,050 BE Aerospace, Inc. (b) 48,833 ------------- 85,440 ------------- AIRLINES--0.5% 1,328 Alaska Air Group, Inc. (b) 35,006 ------------- AUTO COMPONENTS--0.6% 8,176 ArvinMeritor, Inc. 14,308 714 BorgWarner, Inc. 12,052 1,759 Gentex Corp. 14,758 ------------- 41,118 ------------- BEVERAGES--0.8% 1,158 Hansen Natural Corp. (b) 38,793 763 PepsiAmericas, Inc. 12,307 ------------- 51,100 ------------- BIOTECHNOLOGY--0.4% 124 United Therapeutics Corp. (b) 8,426 511 Vertex Pharmaceuticals, Inc. (b) 16,888 ------------- 25,314 ------------- CAPITAL MARKETS--0.6% 2,503 Apollo Investment Corp. 16,394 453 Raymond James Financial, Inc. 8,385 1,005 Waddell & Reed Financial, Inc., Class A 14,191 ------------- 38,970 ------------- CHEMICALS--5.5% 797 Airgas, Inc. 28,142 1,045 Albemarle Corp. 23,251 3,695 Ashland, Inc. 29,634 2,031 Cabot Corp. 27,134 1,830 Cytec Industries, Inc. 37,405 521 FMC Corp. 23,247 640 Lubrizol (The) Corp. 21,837 570 Minerals Technologies, Inc. 21,552 2,148 Olin Corp. 30,179 1,307 Scotts Miracle-Gro (The) Co., Class A 42,112 651 Sensient Technologies Corp. 13,997 2,330 Terra Industries, Inc. 47,719 859 Valspar (The) Corp. 14,904 ------------- 361,113 ------------- COMMERCIAL BANKS--1.7% 371 Associated Banc-Corp 5,806 344 Bank of Hawaii Corp. 12,339 1,308 Cathay General Bancorp 16,612 530 Commerce Bancshares, Inc. 18,524 307 Cullen/Frost Bankers, Inc. 13,437 1,137 TCF Financial Corp. 14,087 1,151 Valley National Bancorp 14,986 564 Webster Financial Corp. 2,358 304 Westamerica Bancorporation 12,990 ------------- 111,139 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--2.8% 1,445 Brink's (The) Co. $ 38,190 612 Clean Harbors, Inc. (b) 32,748 286 Copart, Inc. (b) 6,890 475 Corrections Corp. of America (b) 6,546 1,038 Deluxe Corp. 11,968 1,471 HNI Corp. 19,432 325 Mine Safety Appliances Co. 6,377 2,148 Rollins, Inc. 33,509 984 Waste Connections, Inc. (b) 28,556 ------------- 184,216 ------------- COMMUNICATIONS EQUIPMENT--1.8% 10,220 3Com Corp. (b) 23,813 1,420 ADC Telecommunications, Inc. (b) 7,199 1,044 ADTRAN, Inc. 15,817 1,301 Avocent Corp. (b) 18,669 500 CommScope, Inc. (b) 7,210 1,359 F5 Networks, Inc. (b) 30,128 1,150 Polycom, Inc. (b) 16,158 ------------- 118,994 ------------- COMPUTERS & PERIPHERALS--0.4% 1,099 NCR Corp. (b) 13,792 678 Western Digital Corp. (b) 9,953 ------------- 23,745 ------------- CONSTRUCTION & ENGINEERING--1.7% 3,780 Dycom Industries, Inc. (b) 25,742 884 Granite Construction, Inc. 31,134 1,022 KBR, Inc. 14,472 1,177 Quanta Services, Inc. (b) 25,164 379 Shaw Group (The), Inc. (b) 10,536 191 URS Corp. (b) 6,504 ------------- 113,552 ------------- CONSTRUCTION MATERIALS--0.2% 160 Martin Marietta Materials, Inc. 12,883 ------------- CONSUMER FINANCE--0.1% 2,033 AmeriCredit Corp. (b) 9,575 ------------- CONTAINERS & PACKAGING--2.1% 882 AptarGroup, Inc. 27,183 929 Greif, Inc., Class A 28,112 1,731 Packaging Corp. of America 24,580 671 Sonoco Products Co. 15,386 8,091 Temple-Inland, Inc. 45,876 ------------- 141,137 ------------- DISTRIBUTORS--0.2% 1,332 LKQ Corp. (b) 15,385 ------------- DIVERSIFIED CONSUMER SERVICES--4.8% 1,772 Brink's Home Security Holdings, Inc. (b) 40,526 1,732 Career Education Corp. (b) 37,758 2,372 Corinthian Colleges, Inc. (b) 44,308 676 DeVry, Inc. 36,220 409 ITT Educational Services, Inc. (b) 50,106 Page 62 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) DIVERSIFIED CONSUMER SERVICES (Continued) 424 Matthews International Corp., Class A $ 16,511 2,138 Regis Corp. 24,053 6,251 Service Corp. International 28,442 181 Strayer Education, Inc. 39,174 ------------- 317,098 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.1% 4,024 Cincinnati Bell, Inc. (b) 5,593 ------------- ELECTRIC UTILITIES--1.5% 340 DPL, Inc. 7,327 1,205 Great Plains Energy, Inc. 22,979 351 Hawaiian Electric Industries, Inc. 7,610 527 IDACORP, Inc. 15,341 323 Northeast Utilities 7,687 2,356 NV Energy, Inc. 25,280 757 Westar Energy, Inc. 15,201 ------------- 101,425 ------------- ELECTRICAL EQUIPMENT--1.0% 514 AMETEK, Inc. 16,427 713 Hubbell, Inc., Class B 22,103 179 Roper Industries, Inc. 7,364 323 Thomas & Betts Corp. (b) 6,909 675 Woodward Governor Co. 13,885 ------------- 66,688 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--2.2% 1,649 Arrow Electronics, Inc. (b) 31,446 1,706 Avnet, Inc. (b) 33,812 1,740 Ingram Micro, Inc., Class A (b) 21,350 115 Mettler-Toledo International, Inc. (b) 7,657 638 National Instruments Corp. 13,698 1,306 Tech Data Corp. (b) 23,652 719 Trimble Navigation Ltd. (b) 10,656 ------------- 142,271 ------------- ENERGY EQUIPMENT & SERVICES--1.7% 1,459 Exterran Holdings, Inc. (b) 32,331 2,430 Pride International, Inc. (b) 39,172 964 Tidewater, Inc. 40,112 ------------- 111,615 ------------- FOOD & STAPLES RETAILING--0.7% 1,134 BJ's Wholesale Club, Inc. (b) 32,523 562 Ruddick Corp. 13,516 ------------- 46,039 ------------- FOOD PRODUCTS--2.3% 808 Corn Products International, Inc. 18,705 1,594 Flowers Foods, Inc. 34,255 1,000 Hormel Foods Corp. 29,830 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ FOOD PRODUCTS (Continued) 665 Ralcorp Holdings, Inc. (b) $ 39,382 1,213 Tootsie Roll Industries, Inc. 28,954 ------------- 151,126 ------------- GAS UTILITIES--2.2% 248 AGL Resources, Inc. 7,646 1,059 Energen Corp. 30,933 496 National Fuel Gas Co. 14,860 533 ONEOK, Inc. 15,574 1,590 UGI Corp. 40,339 1,188 WGL Holdings, Inc. 38,135 ------------- 147,487 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.2% 4,700 Advanced Medical Optics, Inc. (b) 103,259 177 Beckman Coulter, Inc. 8,800 565 Edwards Lifesciences Corp. (b) 32,482 363 Gen-Probe, Inc. (b) 16,342 944 Hill-Rom Holdings, Inc. 13,292 594 Hologic, Inc. (b) 7,003 215 IDEXX Laboratories, Inc. (b) 7,052 521 Masimo Corp. (b) 14,468 622 ResMed, Inc. (b) 24,818 650 STERIS Corp. 17,290 1,195 Thoratec Corp. (b) 34,619 ------------- 279,425 ------------- HEALTH CARE PROVIDERS & SERVICES--5.1% 1,598 Community Health Systems, Inc. (b) 29,787 13,017 Health Management Associates, Inc., Class A (b) 20,697 2,853 Health Net, Inc. (b) 41,739 423 Henry Schein, Inc. (b) 15,833 2,386 Kindred Healthcare, Inc. (b) 32,378 1,360 LifePoint Hospitals, Inc. (b) 30,654 865 Lincare Holdings, Inc. (b) 20,803 1,399 Omnicare, Inc. 39,116 1,116 Psychiatric Solutions, Inc. (b) 29,016 620 Universal Health Services, Inc., Class B 23,467 391 VCA Antech, Inc. (b) 7,359 3,020 WellCare Health Plans, Inc. (b) 44,636 ------------- 335,485 ------------- HEALTH CARE TECHNOLOGY--0.1% 202 Cerner Corp. (b) 6,811 ------------- HOTELS, RESTAURANTS & LEISURE--2.3% 1,521 Bob Evans Farms, Inc. 26,709 6,568 Boyd Gaming Corp. 31,592 2,307 Cheesecake Factory (The), Inc. (b) 20,025 376 Chipotle Mexican Grill, Inc., Class A (b) 17,958 541 International Speedway Corp., Class A 12,594 2,399 Life Time Fitness, Inc. (b) 35,529 See Notes to Financial Statements Page 63 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 443 Scientific Games Corp., Class A (b) $ 5,569 ------------- 149,976 ------------- HOUSEHOLD DURABLES--1.6% 5,130 American Greetings Corp., Class A 22,263 513 M.D.C. Holdings, Inc. 15,718 51 NVR, Inc. (b) 21,731 440 Ryland (The) Group, Inc. 6,864 1,087 Toll Brothers, lnc. (b) 18,501 1,026 Tupperware Brands Corp. 21,095 ------------- 106,172 ------------- HOUSEHOLD PRODUCTS--0.7% 554 Church & Dwight Co., Inc. 29,489 287 Energizer Holdings, Inc. (b) 13,670 ------------- 43,159 ------------- INDUSTRIAL CONGLOMERATES--0.4% 1,501 Carlisle Cos., Inc. 28,024 ------------- INSURANCE--2.8% 679 American Financial Group, Inc. 11,529 1,115 Brown & Brown, Inc. 21,330 904 Hanover Insurance Group, Inc. 36,540 1,161 HCC Insurance Holdings, Inc. 27,179 507 Mercury General Corp. 19,641 726 Reinsurance Group of America, Inc. 25,867 558 StanCorp Financial Group, Inc. 14,408 1,002 W.R. Berkley Corp. 26,533 ------------- 183,027 ------------- INTERNET & CATALOG RETAIL--1.0% 1,299 NetFlix, Inc. (b) 46,946 316 Priceline.com, Inc. (b) 21,200 ------------- 68,146 ------------- INTERNET SOFTWARE & SERVICES--0.1% 313 Digital River, Inc. (b) 7,753 ------------- IT SERVICES--3.3% 2,873 Acxiom Corp. 27,322 167 Alliance Data Systems Corp. (b) 6,946 619 Broadridge Financial Solutions, Inc. 8,350 1,742 Gartner, Inc. (b) 24,667 474 Global Payments, Inc. 16,453 264 Lender Processing Services, Inc. 6,843 717 ManTech International Corp., Class A (b) 38,452 964 Metavante Technologies, Inc. (b) 13,988 1,218 NeuStar, Inc., Class A (b) 16,589 1,994 SAIC, Inc. (b) 39,361 1,351 SRA International, Inc., Class A (b) 22,062 ------------- 221,033 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS--0.3% 2,508 Callaway Golf Co. $ 19,086 ------------- LIFE SCIENCES TOOLS & SERVICES--2.0% 10,391 Affymetrix, Inc. (b) 33,044 413 Bio-Rad Laboratories, Inc., Class A (b) 26,242 1,186 Charles River Laboratories International, Inc. (b) 28,950 169 Covance, Inc. (b) 6,523 268 Pharmaceutical Product Development, Inc. 6,403 361 Techne Corp. 21,649 232 Varian, Inc. (b) 6,459 ------------- 129,270 ------------- MACHINERY--4.8% 1,646 AGCO Corp. (b) 35,028 1,802 Crane Co. 31,392 692 Donaldson Co., Inc. 21,535 1,892 Federal Signal Corp. 12,771 1,122 Harsco Corp. 26,614 322 IDEX Corp. 7,280 1,050 Kennametal, Inc. 16,842 305 Lincoln Electric Holdings, Inc. 12,557 481 Nordson Corp. 14,531 3,495 Oshkosh Truck Corp. 25,234 984 Pentair, Inc. 22,504 575 SPX Corp. 24,213 448 Terex Corp. (b) 5,304 1,978 Timken (The) Co. 29,452 493 Trinity Industries, Inc. 5,674 782 Wabtec Corp. 23,405 ------------- 314,336 ------------- MARINE--0.4% 1,240 Alexander & Baldwin, Inc. 27,330 ------------- MEDIA--2.1% 615 DreamWorks Animation SKG, Inc., Class A (b) 13,499 6,224 Harte-Hanks, Inc. 39,211 655 John Wiley & Sons, Inc., Class A 23,207 1,263 Marvel Entertainment, Inc. (b) 34,745 2,288 Scholastic Corp. 24,939 ------------- 135,601 ------------- METALS & MINING--1.6% 1,891 Carpenter Technology Corp. 31,202 2,617 Commercial Metals Co. 30,096 695 Steel Dynamics, Inc. 7,381 3,524 Worthington Industries, Inc. 35,450 ------------- 104,129 ------------- MULTILINE RETAIL--1.3% 3,553 99 Cents Only Stores (b) 29,774 929 Dollar Tree, Inc. (b) 39,678 5,320 Saks, Inc. (b) 13,406 ------------- 82,858 ------------- Page 64 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) MULTI-UTILITIES--1.5% 799 Alliant Energy Corp. $ 23,035 576 Black Hills Corp. 15,264 1,080 MDU Resources Group, Inc. 21,481 213 NSTAR 7,204 603 OGE Energy Corp. 14,882 285 Puget Energy, Inc. 8,379 311 Vectren Corp. 8,021 ------------- 98,266 ------------- OFFICE ELECTRONICS--0.1% 383 Zebra Technologies Corp., Class A (b) 6,446 ------------- OIL, GAS & CONSUMABLE FUELS--5.9% 1,907 Arch Coal, Inc. 28,967 1,838 Bill Barrett Corp. (b) 40,638 1,450 Cimarex Energy Co. 36,018 658 Comstock Resources, Inc. (b) 25,090 304 Encore Acquisition Co. (b) 8,263 2,355 Forest Oil Corp. (b) 35,325 1,230 Frontier Oil Corp. 17,564 3,807 Mariner Energy, Inc. (b) 37,689 1,966 Newfield Exploration Co. (b) 37,728 922 Overseas Shipholding Group, Inc. 32,915 4,971 Patriot Coal Corp. (b) 25,501 1,671 Plains Exploration & Production Co. (b) 35,292 2,383 Southern Union Co. 30,717 ------------- 391,707 ------------- PERSONAL PRODUCTS--1.2% 1,268 Alberto-Culver Co. 31,015 2,482 NBTY, Inc. (b) 46,836 ------------- 77,851 ------------- PHARMACEUTICALS--1.7% 1,501 Endo Pharmaceuticals Holdings, Inc. (b) 33,727 1,118 Medicis Pharmaceutical Corp., Class A 15,574 1,202 Perrigo Co. 35,279 1,357 Valeant Pharmaceuticals International (b) 29,447 ------------- 114,027 ------------- PROFESSIONAL SERVICES--1.5% 174 FTI Consulting, Inc. (b) 7,136 1,791 Kelly Services, Inc., Class A 16,226 680 Korn/Ferry International (b) 6,392 457 Manpower, Inc. 13,006 4,126 MPS Group, Inc. (b) 24,962 1,958 Navigant Consulting, Inc. (b) 28,059 ------------- 95,781 ------------- REAL ESTATE INVESTMENT TRUSTS--0.9% 332 AMB Property Corp. 5,352 709 Duke Realty Corp. 6,530 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (Continued) 1,045 Hospitality Properties Trust $ 14,024 597 Potlatch Corp. 15,038 248 Rayonier, Inc. 7,301 900 SL Green Realty Corp. 14,139 ------------- 62,384 ------------- ROAD & RAIL--1.4% 584 Con-way, Inc. 12,866 1,183 J.B.Hunt Transport Services, Inc. 26,345 1,223 Kansas City Southern (b) 22,210 2,240 Werner Enterprises, Inc. 33,600 ------------- 95,021 ------------- SEMICONDUCTORS & SEMICONDUCTOr EQUIPMENT--2.5% 7,445 Atmel Corp. (b) 24,866 489 Cree, Inc. (b) 9,746 7,942 Fairchild Semiconductor International, Inc. (b) 36,136 4,154 Integrated Device Technology, Inc. (b) 23,844 4,226 Intersil Corp., Class A 39,344 9,958 RF Micro Devices, Inc. (b) 10,755 1,378 Semtech Corp. (b) 16,192 313 Silicon Laboratories, Inc. (b) 7,208 ------------- 168,091 ------------- SOFTWARE--2.7% 1,465 ACI Worldwide, Inc. (b) 24,889 278 ANSYS, Inc. (b) 6,911 527 FactSet Research Systems, Inc. 20,975 921 Fair Isaac Corp. 11,697 1,200 Jack Henry & Associates, Inc. 21,360 1,842 Macrovision Solutions Corp. (b) 24,149 614 Parametric Technology Corp. (b) 5,526 941 Sybase, Inc. (b) 25,698 839 Synopsys, Inc. (b) 15,522 2,580 Wind River Systems, Inc. (b) 20,563 ------------- 177,290 ------------- SPECIALTY RETAIL--6.3% 923 Advance Auto Parts, Inc. 30,210 482 Aeropostale, Inc. (b) 10,175 4,149 American Eagle Outfitters, Inc. 37,382 6,731 AnnTaylor Stores Corp. (b) 33,117 2,071 Barnes & Noble, Inc. 34,006 986 CarMax, Inc. (b) 8,154 1,858 Chico's FAS, Inc. (b) 7,358 2,725 Coldwater Creek, Inc. (b) 7,685 1,325 Collective Brands, Inc. (b) 14,138 1,101 Dick's Sporting Goods, Inc. (b) 12,122 4,233 Foot Locker, Inc. 31,155 1,263 O'Reilly Automotive, Inc. (b) 36,715 14,655 Pacific Sunwear of California, Inc. (b) 18,319 1,684 PetSmart, Inc. 31,609 1,760 Rent-A-Center, Inc. (b) 26,136 1,306 Ross Stores, Inc. 38,423 See Notes to Financial Statements Page 65 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 4,941 Williams-Sonoma, Inc. $ 39,132 ------------- 415,836 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.0% 609 Hanesbrands, Inc. (b) 5,475 1,543 Phillips-Van Heusen Corp. 29,348 672 Timberland (The) Co., Class A (b) 7,385 652 Under Armour, Inc., Class A (b) 12,062 396 Warnaco Group (The), Inc. (b) 8,965 ------------- 63,235 ------------- TOBACCO--0.5% 1,040 Universal Corp. 31,803 ------------- TRADING COMPANIES & DISTRIBUTORS--0.8% 752 GATX Corp. 18,123 422 MSC Industrial Direct Co., Inc., Class A 14,458 3,407 United Rentals, Inc. (b) 19,011 ------------- 51,592 ------------- WATER UTILITIES--0.5% 1,509 Aqua America, Inc. 31,297 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.3% 734 Telephone and Data Systems, Inc. 22,394 ------------- TOTAL COMMON STOCKS--100.1% (Cost $8,576,939) 6,602,671 MONEY MARKET FUND--0.4% 27,041 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $27,041) 27,041 ------------- TOTAL INVESTMENTS--100.5% (Cost $8,603,980) (d) 6,629,712 NET OTHER ASSETS AND LIABILITIES--(0.5%) (31,540) ------------- NET ASSETS--100.0% $ 6,598,172 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $213,131 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,187,399. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 6,629,712 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 6,629,712 ================ Page 66 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--3.0% 1,048 AAR Corp. (b) $ 19,011 1,076 Applied Signal Technology, Inc. 18,873 352 Axsys Technologies, Inc. (b) 15,030 426 Cubic Corp. 11,570 231 Curtiss-Wright Corp. 7,461 407 Esterline Technologies Corp. (b) 14,689 1,049 GenCorp, Inc. (b) 3,042 422 Moog, Inc., Class A (b) 12,643 593 Orbital Sciences Corp. (b) 9,945 260 Teledyne Technologies, Inc. (b) 7,246 364 Triumph Group, Inc. 16,482 ------------ 135,992 ------------ AIR FREIGHT & LOGISTICS--0.4% 477 Forward Air Corp. 9,664 436 Hub Group, Inc., Class A (b) 9,897 ------------ 19,561 ------------ AIRLINES--0.4% 1,038 Skywest, Inc. 16,245 ------------ AUTO COMPONENTS--0.9% 4,080 Spartan Motors, Inc. 17,707 4,462 Standard Motor Products, Inc. 10,486 1,101 Superior Industries International, Inc. 11,307 ------------ 39,500 ------------ BEVERAGES--0.1% 136 Boston Beer (The) Co., Inc., Class A (b) 3,433 ------------ BIOTECHNOLOGY--1.3% 3,659 ArQule, Inc. (b) 14,453 799 Cubist Pharmaceuticals, Inc. (b) 17,106 509 Martek Biosciences Corp. (b) 13,463 841 Regeneron Pharmaceuticals, Inc. (b) 14,701 ------------ 59,723 ------------ BUILDING PRODUCTS--1.5% 1,863 Apogee Enterprises, Inc. 19,096 1,293 Gibraltar Industries, Inc. 13,227 120 Lennox International, Inc. 3,373 1,184 NCI Building Systems, Inc. (b) 13,723 1,236 Quanex Building Products Corp. 10,494 417 Simpson Manufacturing Co., Inc. 8,369 ------------ 68,282 ------------ CAPITAL MARKETS--1.2% 111 Greenhill & Co., Inc. 7,217 340 Investment Technology Group, Inc. (b) 7,371 1,612 LaBranche & Co., Inc. (b) 11,058 421 Stifel Financial Corp. (b) 14,752 815 SWS Group, Inc. 11,940 ------------ 52,338 ------------ CHEMICALS--2.7% 227 A. Schulman, Inc. 3,439 444 Arch Chemicals, Inc. 9,950 775 Balchem Corp. 17,306 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CHEMICALS (Continued) 754 Calgon Carbon Corp. (b) $ 9,478 958 H.B. Fuller Co. 13,383 442 NewMarket Corp. 13,923 914 OM Group, Inc. (b) 17,713 4,902 PolyOne Corp. (b) 10,049 704 Quaker Chemical Corp. 8,033 164 Stepan Co. 6,017 999 Zep, Inc. 10,979 ------------ 120,270 ------------ COMMERCIAL BANKS--3.4% 324 Columbia Banking System, Inc. 2,884 725 East West Bancorp, Inc. 6,880 1,386 First BanCorp 9,854 210 First Financial Bankshares, Inc. 9,322 1,771 Frontier Financial Corp. 3,135 406 Glacier Bancorp, Inc. 6,232 255 Hancock Holding Co. 6,979 573 Home Bancshares, Inc. 11,798 1,787 Independent Bank Corp. - MI 2,841 443 Independent Bank Corp. - MA 8,213 785 Nara Bancorp, Inc. 4,639 266 National Penn Bancshares, Inc. 2,575 357 PrivateBancorp, Inc. 5,205 261 Prosperity Bancshares, Inc. 7,060 326 S&T Bancorp., Inc. 8,290 269 Signature Bank (b) 6,911 1,270 Sterling Bancshares, Inc. 7,061 1,316 Sterling Financial Corp. 2,435 243 Susquehanna Bancshares, Inc. 2,673 266 Tompkins Financial Corp. 13,340 1,683 UCBH Holdings, Inc. 3,921 267 Umpqua Holdings Corp. 2,617 853 United Community Banks, Inc. 4,393 241 Whitney Holding Corp. 3,131 850 Wilshire Bancorp, Inc. 5,831 375 Wintrust Financial Corp. 5,014 ------------ 153,234 ------------ COMMERCIAL SERVICES & SUPPLIES--3.3% 1,319 ATC Technology Corp. (b) 17,213 663 Bowne & Co., Inc. 1,856 852 Consolidated Graphics, Inc. (b) 13,726 764 G&K Services, Inc., Class A 14,096 428 Geo Group (The), Inc. (b) 6,334 727 Healthcare Services Group 11,138 4,159 Interface, Inc., Class A 16,969 535 Mobile Mini, Inc. (b) 6,762 1,009 Sykes Enterprises, Inc. (b) 16,860 799 Tetra Tech, Inc. (b) 18,561 346 United Stationers, Inc. (b) 9,691 624 Viad Corp. 13,872 ------------ 147,078 ------------ COMMUNICATIONS EQUIPMENT--3.3% 1,942 Arris Group, Inc. (b) 13,827 364 Bel Fuse, Inc., Class B 5,547 443 Black Box Corp. 9,671 See Notes to Financial Statements Page 67 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) COMMUNICATIONS EQUIPMENT (Continued) 460 Blue Coat Systems, Inc. (b) $ 4,411 337 Comtech Telecommunications Corp. (b) 13,076 1,428 Digi International, Inc. (b) 10,853 597 EMS Technologies, Inc. (b) 14,328 2,752 Harmonic, Inc. (b) 14,173 338 NETGEAR, Inc. (b) 3,759 2,938 PC-Tel, Inc. 18,979 1,954 Symmetricom, Inc. (b) 7,249 868 Tekelec (b) 10,781 1,615 Tollgrade Communications, Inc. (b) 9,302 641 ViaSat, Inc. (b) 14,205 ------------ 150,161 ------------ COMPUTERS & PERIPHERALS--0.6% 291 Intermec, Inc. (b) 3,614 3,328 Novatel Wireless, Inc. (b) 18,437 233 Synaptics, Inc. (b) 5,492 ------------ 27,543 ------------ CONSTRUCTION & ENGINEERING--0.6% 516 EMCOR Group, Inc. (b) 10,624 980 Insituform Technologies, Inc., Class A (b) 18,385 ------------ 29,009 ------------ CONSTRUCTION MATERIALS--0.2% 336 Texas Industries, Inc. 7,631 ------------ CONSUMER FINANCE--1.0% 565 Cash America International, Inc. 10,328 1,013 First Cash Financial Services, Inc. (b) 17,040 4,471 Rewards Network, Inc. (b) 11,803 195 World Acceptance Corp. (b) 3,734 ------------ 42,905 ------------ CONTAINERS & PACKAGING--0.3% 1,930 Myers Industries, Inc. 12,101 113 Rock-Tenn Co., Class A 3,522 ------------ 15,623 ------------ DISTRIBUTORS--0.1% 770 Audiovox Corp., Class A (b) 3,473 ------------ DIVERSIFIED CONSUMER SERVICES--1.2% 263 Capella Education Co. (b) 14,552 396 Coinstar, Inc. (b) 9,100 463 Hillenbrand, Inc. 8,561 207 Pre-Paid Legal Services, Inc. (b) 6,959 899 Universal Technical Institute, Inc. (b) 15,760 ------------ 54,932 ------------ DIVERSIFIED FINANCIAL SERVICES--0.1% 228 Portfolio Recovery Associates, Inc. (b) 5,379 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--0.4% 2,354 FairPoint Communications, Inc. $ 6,426 1,908 General Communication, Inc., Class A (b) 12,536 ------------ 18,962 ------------ ELECTRIC UTILITIES--1.0% 239 ALLETE, Inc. 7,433 324 Central Vermont Public Service Corp. 7,322 338 Cleco Corp. 7,723 853 El Paso Electric Co. (b) 14,109 257 UIL Holdings Corp. 6,793 131 UniSource Energy Corp. 3,699 ------------ 47,079 ------------ ELECTRICAL EQUIPMENT--1.5% 392 A.O. Smith Corp. 10,772 221 Acuity Brands, Inc. 5,938 649 Baldor Electric Co. 9,092 739 Belden, Inc. 9,651 483 Brady Corp., Class A 10,104 1,608 Magnetek, Inc. (b) 3,216 508 Regal-Beloit Corp. 17,253 ------------ 66,026 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--5.3% 1,800 Agilysys, Inc. 6,426 641 Anixter International, Inc. (b) 17,294 1,209 Benchmark Electronics, Inc. (b) 14,194 2,662 Brightpoint, Inc. (b) 12,458 1,961 Checkpoint Systems, Inc. (b) 17,551 522 Cognex Corp. 6,817 3,503 CTS Corp. 18,005 458 FARO Technologies, Inc. (b) 6,879 3,021 Gerber Scientific, Inc. (b) 9,486 121 Itron, Inc. (b) 7,901 698 Littelfuse, Inc. (b) 10,679 2,863 Methode Electronics, Inc. 13,227 290 MTS Systems Corp. 7,595 2,277 Newport Corp. (b) 12,182 204 Park Electrochemical Corp. 3,580 683 Plexus Corp. (b) 9,876 1,396 RadiSys Corp. (b) 6,603 417 Rogers Corp. (b) 10,217 601 ScanSource, Inc. (b) 11,251 1,703 SYNNEX Corp. (b) 26,142 5,546 Technitrol, Inc. 12,201 ------------ 240,564 ------------ ENERGY EQUIPMENT & SERVICES--1.9% 1,263 Atwood Oceanics, Inc. (b) 21,028 296 Basic Energy Services, Inc. (b) 2,842 576 Bristow Group, Inc. (b) 13,933 109 CARBO Ceramics, Inc. 3,919 1,339 Gulf Island Fabrication, Inc. 16,858 2,013 Matrix Service Co. (b) 10,649 207 Oil States International, Inc. (b) 3,790 Page 68 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) ENERGY EQUIPMENT & SERVICES (Continued) 174 SEACOR Holdings, Inc. (b) $ 11,317 ------------ 84,336 ------------ FOOD & STAPLES RETAILING--1.9% 1,171 Andersons (The), Inc. 19,193 848 Casey's General Stores, Inc. 18,020 2,462 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 17,529 86 Nash Finch Co. 3,701 830 Spartan Stores, Inc. 15,421 866 United Natural Foods, Inc. (b) 13,458 ------------ 87,322 ------------ FOOD PRODUCTS--2.5% 672 Cal-Maine Foods, Inc. 18,198 703 Darling International, Inc. (b) 3,227 383 Diamond Foods, Inc. 9,835 499 Green Mountain Coffee Roasters, Inc. (b) 19,092 404 Hain Celestial Group (The), Inc. (b) 6,149 538 J & J Snack Foods Corp. 18,782 558 Sanderson Farms, Inc. 20,187 709 TreeHouse Foods, Inc. (b) 18,711 ------------ 114,181 ------------ GAS UTILITIES--1.4% 489 Atmos Energy Corp. 12,005 412 Laclede Group (The), Inc. 18,700 87 Northwest Natural Gas Co. 3,736 609 Piedmont Natural Gas Co. 15,779 459 Southwest Gas Corp. 11,824 ------------ 62,044 ------------ HEALTH CARE EQUIPMENT & SUPPLIES--5.0% 283 Analogic Corp. 7,075 484 CONMED Corp. (b) 7,575 941 Cooper (The) Cos., Inc. 17,850 1,193 CryoLife, Inc. (b) 9,830 699 Cyberonics, Inc. (b) 10,758 729 Greatbatch, Inc. (b) 16,986 273 Haemonetics Corp. (b) 16,148 349 ICU Medical, Inc. (b) 10,648 290 Immucor, Inc. (b) 8,036 326 Integra LifeSciences Holdings (b) 9,043 497 Invacare Corp. 9,473 199 Kensey Nash Corp. (b) 4,113 303 Meridian Bioscience, Inc. 6,442 861 Merit Medical Systems, Inc. (b) 13,251 298 Natus Medical, Inc. (b) 2,307 11,420 Osteotech, Inc. (b) 34,716 335 Palomar Medical Technologies, Inc. (b) 2,965 153 SurModics, Inc. (b) 3,034 16,495 Theragenics Corp. (b) 21,278 204 West Pharmaceutical Services, Inc. 6,777 409 Zoll Medical Corp. (b) 6,548 ------------ 224,853 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--6.6% 241 Air Methods Corp. (b) $ 4,700 373 Amedisys, Inc. (b) 15,379 1,825 AMN Healthcare Services, Inc. (b) 12,410 662 AmSurg Corp. (b) 12,969 793 Catalyst Health Solutions, Inc. (b) 17,462 196 Centene Corp. (b) 3,475 291 Chemed Corp. 11,678 351 CorVel Corp. (b) 6,192 1,317 Cross Country Healthcare, Inc. (b) 9,864 660 Gentiva Health Services, Inc. (b) 16,685 966 HealthSpring, Inc. (b) 16,828 612 HMS Holdings Corp. (b) 18,941 334 inVentiv Health, Inc. (b) 3,186 211 Landauer, Inc. 14,470 939 LCA-Vision, Inc. 2,366 536 LHC Group, Inc. (b) 14,263 493 Magellan Health Services, Inc. (b) 17,856 1,479 MedCath Corp. (b) 9,303 365 MEDNAX, Inc. (b) 12,253 438 Molina Healthcare, Inc. (b) 7,683 430 MWI Veterinary Supply, Inc. (b) 9,000 2,086 Odyssey HealthCare, Inc. (b) 20,692 103 Owens & Minor, Inc. 4,096 1,025 PSS World Medical, Inc. (b) 16,277 764 RehabCare Group, Inc. (b) 10,658 771 Res-Care, Inc. (b) 10,447 ------------ 299,133 ------------ HEALTH CARE TECHNOLOGY--0.5% 1,088 Eclipsys Corp. (b) 9,531 948 Omnicell, Inc. (b) 7,404 308 Phase Forward, Inc. (b) 4,158 ------------ 21,093 ------------ HOTELS, RESTAURANTS & LEISURE--5.2% 602 Buffalo Wild Wings, Inc. (b) 13,521 1,440 California Pizza Kitchen, Inc. (b) 14,918 318 CEC Entertainment, Inc. (b) 7,422 889 CKE Restaurants, Inc. 7,379 562 Cracker Barrel Old Country Store, Inc. 9,874 668 DineEquity, Inc. 5,905 2,148 Interval Leisure Group, Inc. (b) 10,761 699 Jack in the Box, Inc. (b) 15,790 1,331 Landry's Restaurants, Inc. 8,598 238 Marcus (The) Corp. 2,459 331 Monarch Casino & Resort, Inc. (b) 3,389 6,487 Multimedia Games, Inc. (b) 11,093 922 P.F. Chang's China Bistro, Inc. (b) 16,347 369 Panera Bread Co., Class A (b) 17,337 419 Papa John's International, Inc. (b) 7,965 664 Peet's Coffee & Tea, Inc. (b) 13,492 1,005 Pinnacle Entertainment, Inc. (b) 6,814 917 Red Robin Gourmet Burgers, Inc. (b) 11,169 12,372 Ruby Tuesday, Inc. (b) 15,341 1,556 Shuffle Master, Inc. (b) 5,275 317 Sonic Corp. (b) 3,088 See Notes to Financial Statements Page 69 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 649 Steak n Shake (The) Co. (b) $ 3,712 1,992 Texas Roadhouse, Inc., Class A (b) 15,199 430 WMS Industries, Inc. (b) 9,555 ------------ 236,403 ------------ HOUSEHOLD DURABLES--0.7% 1,152 Bassett Furniture Industries, Inc. 3,790 1,074 Ethan Allen Interiors, Inc. 12,234 317 Meritage Homes Corp. (b) 3,493 100 National Presto Industries, Inc. 6,714 476 Universal Electronics, Inc. (b) 5,369 ------------ 31,600 ------------ HOUSEHOLD PRODUCTS--0.1% 136 WD-40 Co. 3,410 ------------ INDUSTRIAL CONGLOMERATES--0.3% 389 Standex International Corp. 5,971 425 Tredegar Corp. 7,013 ------------ 12,984 ------------ INSURANCE--3.0% 241 American Physicians Capital, Inc. 10,247 752 Amerisafe, Inc. (b) 14,085 209 Delphi Financial Group, Inc., Class A 3,171 330 Infinity Property & Casualty Corp. 12,672 6,349 National Financial Partners Corp. 16,317 211 Navigators Group (The), Inc. (b) 10,833 390 Presidential Life Corp. 3,771 146 ProAssurance Corp. (b) 6,900 189 RLI Corp. 10,677 304 Safety Insurance Group, Inc. 10,646 673 Selective Insurance Group, Inc. 10,331 684 Tower Group, Inc. 17,147 245 Zenith National Insurance Corp. 6,870 ------------ 133,667 ------------ INTERNET & CATALOG RETAIL--1.0% 158 Blue Nile, Inc. (b) 3,195 265 NutriSystem, Inc. 3,416 1,095 PetMed Express, Inc. (b) 15,812 393 Stamps.com, Inc. (b) 3,215 3,006 Ticketmaster Entertainment, Inc. (b) 17,885 ------------ 43,523 ------------ INTERNET SOFTWARE & SERVICES--1.3% 406 Bankrate, Inc. (b) 13,544 511 InfoSpace, Inc. (b) 4,093 1,225 Interwoven, Inc. (b) 19,319 385 j2 Global Communications, Inc. (b) 7,538 464 Knot (The), Inc. (b) 3,192 808 Perficient, Inc. (b) 3,159 774 Websense, Inc. (b) 8,669 ------------ 59,514 ------------ IT SERVICES--2.5% 428 CACI International Inc., Class A (b) 19,324 3,210 CIBER, Inc. (b) 13,996 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ IT SERVICES (Continued) 1,105 CSG Systems International, Inc. (b) $ 16,023 644 Cybersource Corp. (b) 7,683 547 Forrester Research, Inc. (b) 11,421 10,225 Gevity HR, Inc. 20,552 662 Heartland Payment Systems, Inc. 6,004 641 Integral Systems, Inc. (b) 7,006 110 MAXIMUS, Inc. 4,088 1,735 StarTek, Inc. (b) 8,050 ------------ 114,147 ------------ LEISURE EQUIPMENT & PRODUCTS--1.3% 3,223 Arctic Cat, Inc. 13,827 936 JAKKS Pacific, Inc. (b) 17,167 404 Polaris Industries, Inc. 8,593 644 Pool Corp. 10,207 724 RC2 Corp. (b) 4,206 647 Sturm, Ruger & Co., Inc. (b) 4,277 ------------ 58,277 ------------ LIFE SCIENCES TOOLS & SERVICES--0.5% 1,671 Cambrex Corp. (b) 5,464 86 Dionex Corp. (b) 4,355 150 Kendle International, Inc. (b) 2,865 1,193 PAREXEL International Corp. (b) 11,799 ------------ 24,483 ------------ MACHINERY--4.2% 203 Actuant Corp., Class A 3,345 902 Albany International Corp., Class A 9,029 616 Astec Industries, Inc. (b) 15,135 1,065 Barnes Group, Inc. 12,035 439 Briggs & Stratton Corp. 6,493 517 Cascade Corp. 11,834 561 CIRCOR International, Inc. 12,482 349 CLARCOR, Inc. 10,589 538 EnPro Industries, Inc. (b) 9,845 165 Gardner Denver, Inc. (b) 3,592 1,417 John Bean Technologies Corp. 13,745 225 Kaydon Corp. 6,120 364 Lindsay Corp. 9,464 3,356 Lydall, Inc. (b) 12,384 616 Mueller Industries, Inc. 12,394 1,194 Robbins & Myers, Inc. 20,643 234 Toro (The) Co. 6,929 126 Valmont Industries, Inc. 5,113 858 Wabash National Corp. 2,420 309 Watts Water Technologies, Inc., Class A 6,885 ------------ 190,476 ------------ MARINE--0.2% 423 Kirby Corp. (b) 10,144 ------------ MEDIA--0.5% 581 Arbitron, Inc. 8,727 2,690 Live Nation, Inc. (b) 14,068 ------------ 22,795 ------------ Page 70 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) METALS & MINING --0.9% 553 AMCOL International Corp. $ 8,013 947 Olympic Steel, Inc. 15,029 1,349 RTI International Metals, Inc. (b) 17,955 ------------ 40,997 ------------ MULTILINE RETAIL--0.4% 359 Fred's, Inc., Class A 3,683 11,840 Tuesday Morning Corp. (b) 13,972 ------------ 17,655 ------------ MULTI-UTILITIES--0.2% 398 Avista Corp. 7,578 ------------ OIL, GAS & CONSUMABLE FUELS--1.1% 423 Holly Corp. 9,886 149 Penn Virginia Corp. 3,069 160 Petroleum Development Corp. (b) 2,760 1,751 Stone Energy Corp. (b) 15,024 522 World Fuel Services Corp. 17,627 ------------ 48,366 ------------ PAPER & FOREST PRODUCTS--0.8% 5,302 Buckeye Technologies, Inc. (b) 15,483 1,747 Neenah Paper, Inc. 11,757 386 Schweitzer-Mauduit International, Inc. 8,260 ------------ 35,500 ------------ PERSONAL PRODUCTS--0.3% 216 Chattem, Inc. (b) 14,602 ------------ Pharmaceuticals--1.0% 1,404 Noven Pharmaceuticals, Inc. (b) 13,942 288 Par Pharmaceutical Cos., Inc. (b) 3,545 1,311 Salix Pharmaceuticals Ltd. (b) 10,488 1,482 ViroPharma, Inc. (b) 17,784 ------------ 45,759 ------------ PROFESSIONAL SERVICES--2.3% 356 Administaff, Inc. 7,508 1,193 CDI Corp. 12,789 717 Heidrick & Struggles International, Inc. 10,898 2,042 On Assignment, Inc. (b) 9,454 606 School Specialty, Inc. (b) 9,999 8,733 Spherion Corp. (b) 12,488 1,613 TrueBlue, Inc. (b) 13,711 2,136 Volt Information Sciences, Inc. (b) 11,385 323 Watson Wyatt Worldwide, Inc., Class A 15,020 ------------ 103,252 ------------ REAL ESTATE INVESTMENT TRUSTS--1.3% 659 BioMed Realty Trust, Inc. 7,275 545 Cedar Shopping Centers, Inc. 3,341 463 Colonial Properties Trust 3,403 2,284 DiamondRock Hospitality Co. 9,364 389 Entertainment Properties Trust 8,811 694 Kite Realty Group Trust 3,213 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (Continued) 699 LaSalle Hotel Properties $ 5,823 190 LTC Properties, Inc. 3,931 1,223 Medical Properties Trust, Inc. 5,565 225 National Retail Properties, Inc. 3,247 215 Senior Housing Properties Trust 3,479 ------------ 57,452 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 405 Forestar Real Estate Group, Inc. (b) 4,516 ------------ Road & Rail--1.3% 385 Arkansas Best Corp. 9,005 980 Heartland Express, Inc. 13,191 718 Knight Transportation, Inc. 9,578 301 Landstar System, Inc. 10,797 678 Old Dominion Freight Line, Inc. (b) 17,004 ------------ 59,575 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.0% 988 Actel Corp. (b) 8,912 388 Advanced Energy Industries, Inc. (b) 3,484 444 Cabot Microelectronics Corp. (b) 10,105 318 Cohu, Inc. 3,174 176 Cymer, Inc. (b) 3,590 2,591 Cypress Semiconductor Corp. (b) 11,685 2,315 Exar Corp. (b) 15,674 205 FEI Co. (b) 3,731 262 Hittite Microwave Corp. (b) 6,712 1,892 Kopin Corp. (b) 2,989 528 Micrel, Inc. 4,013 305 Microsemi Corp. (b) 2,562 1,093 Rudolph Technologies, Inc. (b) 3,071 3,484 Skyworks Solutions, Inc. (b) 15,052 945 Standard Microsystems Corp. (b) 13,088 161 Supertex, Inc. (b) 3,653 3,366 TriQuint Semiconductor, Inc. (b) 6,799 1,291 Ultratech, Inc. (b) 14,460 609 Veeco Instruments, Inc. (b) 2,941 ------------ 135,695 ------------ SOFTWARE--3.5% 286 Blackbaud, Inc. 3,183 1,175 Catapult Communications Corp. (b) 8,108 470 Concur Technologies, Inc. (b) 11,604 804 Epicor Software Corp. (b) 2,846 1,155 EPIQ Systems, Inc. (b) 20,466 843 Informatica Corp. (b) 10,757 588 JDA Software Group, Inc. (b) 6,586 488 Manhattan Associates, Inc. (b) 7,486 401 Progress Software Corp. (b) 6,841 442 Quality Systems, Inc. 16,478 4,582 Radiant Systems, Inc. (b) 15,854 2,083 Smith Micro Software, Inc. (b) 11,040 286 SPSS, Inc. (b) 7,344 2,553 Take-Two Interactive Software, Inc. (b) 17,921 967 Tyler Technologies, Inc. (b) 12,175 ------------ 158,689 ------------ See Notes to Financial Statements Page 71 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) SPECIALTY RETAIL--6.1% 725 Aaron Rents, Inc. $ 15,849 2,963 Big 5 Sporting Goods Corp. 15,585 1,823 Brown Shoe Co., Inc. 8,550 354 Buckle (The), Inc. 7,487 3,310 Cabela's, Inc. (b) 18,569 511 Cato (The) Corp., Class A 6,761 2,974 Charlotte Russe Holding, Inc. (b) 15,316 356 Children's Place Retail Stores (The), Inc. (b) 6,696 2,757 Christopher & Banks Corp. 10,697 719 Dress Barn (The), Inc. (b) 6,198 1,141 Genesco, Inc. (b) 17,571 1,075 Group 1 Automotive, Inc. 10,718 296 Gymboree (The) Corp. (b) 7,252 414 Haverty Furniture Cos., Inc. 3,320 491 Hibbett Sports, Inc. (b) 6,683 2,082 Hot Topic, Inc. (b) 17,780 748 Jo-Ann Stores, Inc. (b) 9,552 590 Jos. A. Bank Clothiers, Inc. (b) 16,201 1,425 Men's Wearhouse (The), Inc. 16,601 368 Midas, Inc. (b) 3,220 2,804 Pep Boys-Manny, Moe & Jack (The) 8,104 4,849 Sonic Automotive, Inc., Class A 9,843 534 Tractor Supply Co. (b) 18,001 4,468 Tween Brands, Inc. (b) 12,019 4,637 Zale Corp. (b) 5,750 ------------ 274,323 ------------ TEXTILES, APPAREL & LUXURY GOODS--2.6% 1,002 Carter's, Inc. (b) 17,023 48 Deckers Outdoor Corp. (b) 2,508 1,184 Iconix Brand Group, Inc. (b) 9,792 380 Maidenform Brands, Inc. (b) 3,401 2,055 Movado Group, Inc. 15,782 2,201 Oxford Industries, Inc. 14,659 3,044 Perry Ellis International, Inc. (b) 11,689 1,505 Skechers U.S.A., Inc., Class A (b) 14,990 310 True Religion Apparel, Inc. (b) 3,537 520 UniFirst Corp. 13,645 354 Volcom, Inc. (b) 2,935 367 Wolverine World Wide, Inc. 6,657 ------------ 116,618 ------------ THRIFTS & MORTGAGE FINANCE--0.1% 1,399 Anchor BanCorp Wisconsin, Inc. 2,826 ------------ TOBACCO--0.1% 2,626 Alliance One International, Inc. (b) 6,302 ------------ TRADING COMPANIES & DISTRIBUTORS--0.5% 612 Applied Industrial Technologies, Inc . 9,664 426 Kaman Corp. 8,132 101 Watsco, Inc. 3,338 ------------ 21,134 ------------ TOTAL COMMON STOCKS--100.0% (Cost $6,548,878) $ 4,510,167 MONEY MARKET FUND--1.1% 50,705 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $50,705) 50,705 ------------ TOTAL INVESTMENTS--101.1% (Cost $6,599,583) (d) 4,560,872 NET OTHER ASSETS AND LIABILITIES--(1.1%) (51,385) ------------ NET ASSETS--100.0% $ 4,509,487 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized gross appreciation for all securities which there was an excess of value over tax cost was $79,089 and the aggregate unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,117,800. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,560,872 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 4,560,872 ================ Page 72 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.1% AEROSPACE & DEFENSE--3.0% 603 Boeing (The) Co. $ 25,513 2,848 Goodrich Corp. 110,104 1,606 Honeywell International, Inc. 52,693 2,341 Northrop Grumman Corp. 112,649 1,772 Precision Castparts Corp. 115,091 504 Raytheon Co. 25,512 ------------- 441,562 ------------- AIRLINES--0.3% 6,115 Southwest Airlines Co. 42,988 ------------- AUTO COMPONENTS--1.3% 22,073 Goodyear Tire & Rubber (The) Co. (b) 136,191 4,248 Johnson Controls, Inc. 53,142 ------------- 189,333 ------------- AUTOMOBILES--0.7% 7,765 Harley-Davidson, Inc. 94,578 ------------- BEVERAGES--0.4% 3,244 Dr. Pepper Snapple Group, Inc. (b) 53,364 ------------- CAPITAL MARKETS--1.5% 1,101 Ameriprise Financial, Inc. 22,185 3,108 Federated Investors, Inc. 60,668 3,650 Invesco Ltd. 43,034 13,128 Janus Capital Group, Inc. 68,922 726 T. Rowe Price Group, Inc. 20,023 ------------- 214,832 ------------- CHEMICALS--3.5% 511 Air Products and Chemicals, Inc. 25,703 2,681 CF Industries Holding, Inc. 126,008 8,733 Dow Chemical (The) Co. 101,215 4,167 E.I. du Pont de Nemours and Co. 95,674 4,156 Eastman Chemical Co. 107,849 1,242 PPG Industries, Inc. 46,674 ------------- 503,123 ------------- COMMERCIAL BANKS--0.8% 936 BB&T Corp. 18,523 1,295 Comerica, Inc. 21,575 3,357 Huntington Bancshares, Inc. 9,668 6,622 Regions Financial Corp. 22,912 870 SunTrust Banks, Inc. 10,666 2,151 Zions Bancorporation 32,094 ------------- 115,438 ------------- COMMERCIAL SERVICES & SUPPLIES--1.6% 2,357 Avery Dennison Corp. 57,110 3,321 Cintas Corp. 75,553 7,763 R.R. Donnelley & Sons Co. 75,767 776 Waste Management, Inc. 24,203 ------------- 232,633 ------------- COMMUNICATIONS EQUIPMENT--1.8% 11,513 Ciena Corp. (b) 71,841 13,828 Corning, Inc. 139,801 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT (Continued) 14,441 JDS Uniphase Corp. (b) $ 52,421 ------------- 264,063 ------------- COMPUTERS & PERIPHERALS--0.3% 3,554 Teradata Corp. (b) 46,664 ------------- CONSUMER FINANCE--0.8% 1,386 American Express Co. 23,188 2,419 Capital One Financial Corp. 38,317 8,094 Discover Financial Services 57,872 ------------- 119,377 ------------- CONTAINERS & PACKAGING--0.8% 2,226 Bemis Co., Inc. 50,241 5,163 Sealed Air Corp. 69,958 ------------- 120,199 ------------- DISTRIBUTORS--0.2% 679 Genuine Parts Co. 21,742 ------------- DIVERSIFIED FINANCIAL SERVICES--1.4% 3,744 Bank of America Corp. 24,636 23,220 CIT Group, Inc. 64,784 5,324 Leucadia National Corp. 84,757 1,280 Moody's Corp. 27,418 ------------- 201,595 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.5% 2,707 AT&T, Inc. 66,646 4,822 CenturyTel, Inc. 130,870 1,466 Embarq Corp. 52,366 7,064 Qwest Communications International, Inc. 22,746 758 Verizon Communications, Inc. 22,641 8,384 Windstream Corp. 72,773 ------------- 368,042 ------------- ELECTRIC UTILITIES--4.1% 759 Allegheny Energy, Inc. 25,229 2,318 American Electric Power Co., Inc. 72,669 5,139 Duke Energy Corp. 77,856 2,402 Edison International 78,233 309 Entergy Corp. 23,595 1,085 FirstEnergy Corp. 54,239 511 FPL Group, Inc. 26,342 4,343 Pepco Holdings, Inc. 77,349 2,401 Pinnacle West Capital Corp. 80,362 838 PPL Corp. 25,693 1,323 Progress Energy, Inc. 51,227 ------------- 592,794 ------------- ELECTRICAL EQUIPMENT--0.7% 3,607 Cooper Industries Ltd., Class A 97,064 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--2.1% 15,618 Jabil Circuit, Inc. 90,897 7,275 Molex, Inc. 97,267 See Notes to Financial Statements Page 73 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (Continued) 8,129 Tyco Electronics Ltd. $ 115,106 ------------- 303,270 ------------- ENERGY EQUIPMENT & SERVICES--4.5% 5,799 Halliburton Co. 100,033 5,392 National Oilwell Varco, Inc. (b) 142,564 5,965 Noble Corp. 161,949 8,288 Rowan Cos., Inc. 104,926 12,179 Weatherford International Ltd. (b) 134,334 ------------- 643,806 ------------- FOOD & STAPLES RETAILING--2.4% 3,245 Safeway, Inc. 69,540 9,026 SUPERVALU, Inc. 158,316 11,167 Whole Foods Market, Inc. 114,462 ------------- 342,318 ------------- FOOD PRODUCTS--1.4% 3,657 Archer-Daniels-Midland Co. 100,129 593 J.M. Smucker (The) Co. 26,774 8,806 Tyson Foods, Inc., Class A 77,933 ------------- 204,836 ------------- GAS UTILITIES--0.4% 1,517 Nicor, Inc. 51,897 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% 710 Covidien Ltd. 27,221 ------------- HEALTH CARE PROVIDERS & SERVICES--2.6% 746 Cardinal Health, Inc. 28,087 4,578 CIGNA Corp. 79,474 8,856 Coventry Health Care, Inc. (b) 133,991 664 McKesson Corp. 29,349 2,502 WellPoint, Inc. (b) 103,708 ------------- 374,609 ------------- HOTELS, RESTAURANTS & LEISURE--2.2% 4,335 Carnival Corp. 78,854 912 Darden Restaurants, Inc. 23,913 2,163 International Game Technology 22,928 4,309 Starwood Hotels & Resorts Worldwide, Inc. 65,152 20,119 Wyndham Worldwide Corp. 123,329 ------------- 314,176 ------------- HOUSEHOLD DURABLES--3.1% 1,869 Fortune Brands, Inc. 59,808 6,301 Harman International Industries, Inc . 101,383 7,887 Newell Rubbermaid, Inc. 63,727 1,339 Snap-on, Inc. 40,411 2,262 Stanley Works (The) 70,710 3,187 Whirlpool Corp. 106,542 ------------- 442,581 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--2.0% 12,794 AES (The) Corp. (b) $ 101,201 3,074 Constellation Energy Group, Inc. 80,846 52,711 Dynegy, Inc., Class A (b) 111,220 ------------- 293,267 ------------- INDUSTRIAL CONGLOMERATES--1.3% 1,587 General Electric Co. 19,250 7,601 Textron, Inc. 68,637 4,881 Tyco International Ltd. 102,599 ------------- 190,486 ------------- INSURANCE--1.9% 857 Assurant, Inc. 22,625 885 Cincinnati Financial Corp. 19,408 4,094 Lincoln National Corp. 61,942 910 Loews Corp. 22,204 1,512 MetLife, Inc. 43,440 1,742 Prudential Financial, Inc. 44,857 1,166 Travelers (The) Cos., Inc. 45,054 1,382 Unum Group 19,569 ------------- 279,099 ------------- INTERNET & CATALOG RETAIL--0.8% 12,794 Expedia, Inc. (b) 114,250 ------------- IT SERVICES--1.9% 3,750 Computer Sciences Corp. (b) 138,151 8,223 Convergys Corp. (b) 61,919 4,741 Fidelity National Information Services, Inc. 75,429 ------------- 275,499 ------------- LEISURE EQUIPMENT & PRODUCTS--1.1% 20,027 Eastman Kodak Co. 90,722 881 Hasbro, Inc. 21,259 3,294 Mattel, Inc. 46,742 ------------- 158,723 ------------- LIFE SCIENCES TOOLS & SERVICES--1.3% 2,261 Life Technologies Corp. (b) 57,565 5,545 PerkinElmer, Inc. 69,978 1,547 Thermo Fisher Scientific, Inc. (b) 55,584 ------------- 183,127 ------------- MACHINERY--4.6% 4,930 Cummins, Inc. 118,221 1,601 Dover Corp. 45,276 2,121 Eaton Corp. 93,366 2,047 Flowserve Corp. 109,126 7,595 Ingersoll-Rand Co. Ltd., Class A 123,115 15,217 Manitowoc (The) Co., Inc. 83,694 2,478 Parker Hannifin Corp. 94,684 ------------- 667,482 ------------- MEDIA--3.3% 19,479 Interpublic (The) Group of Cos., Inc. (b) 64,865 Page 74 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) MEDIA (Continued) 6,158 Meredith Corp. $ 98,343 14,497 News Corp., Class A 92,636 13,099 Time Warner, Inc. 122,214 3,400 Walt Disney (The) Co. 70,312 66 Washington Post (The) Co., Class B 25,777 ------------- 474,147 ------------- METALS & MINING--2.9% 14,139 AK Steel Holding Corp. 114,102 11,703 Alcoa, Inc. 91,166 5,162 Allegheny Technologies, Inc. 114,029 3,542 United States Steel Corp. 106,366 ------------- 425,663 ------------- MULTILINE RETAIL--3.3% 7,275 Big Lots, Inc. (b) 97,849 6,689 J. C. Penney Co., Inc. 112,041 12,732 Macy's, Inc. 113,951 7,920 Nordstrom, Inc. 100,505 1,527 Target Corp. 47,642 ------------- 471,988 ------------- MULTI-UTILITIES--5.6% 2,319 Ameren Corp. 77,107 2,037 CenterPoint Energy, Inc. 27,255 7,630 CMS Energy Corp. 89,653 1,354 Consolidated Edison, Inc. 55,176 717 Dominion Resources, Inc. 25,224 2,163 DTE Energy Co. 74,624 598 Integrys Energy Group, Inc. 24,967 9,610 NiSource, Inc. 93,024 1,362 PG&E Corp. 52,669 1,481 SCANA Corp. 50,783 1,236 Sempra Energy 54,186 8,536 TECO Energy, Inc. 102,516 612 Wisconsin Energy Corp. 27,283 2,842 Xcel Energy, Inc. 52,463 ------------- 806,930 ------------- OFFICE ELECTRONICS--0.4% 9,678 Xerox Corp. 64,262 ------------- OIL, GAS & CONSUMABLE FUELS--9.4% 2,544 ConocoPhillips 120,916 13,464 El Paso Corp. 110,136 4,816 Marathon Oil Corp. 131,140 3,822 Massey Energy Co. 58,018 2,677 Noble Energy, Inc. 130,986 2,197 Occidental Petroleum Corp. 119,846 3,391 Peabody Energy Corp. 84,775 8,144 Pioneer Natural Resources Co. 119,228 4,901 Spectra Energy Corp. 71,114 8,005 Tesoro Corp. 137,925 6,089 Valero Energy Corp. 146,866 9,101 Williams (The) Cos., Inc. 128,779 ------------- 1,359,729 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ PAPER & FOREST PRODUCTS--1.6% 11,167 International Paper Co. $ 101,843 11,776 MeadWestvaco Corp. 137,073 ------------- 238,916 ------------- PHARMACEUTICALS--0.9% 9,927 King Pharmaceuticals, Inc. (b) 86,762 2,976 Pfizer, Inc. 43,390 ------------- 130,152 ------------- PROFESSIONAL SERVICES--0.3% 4,360 Monster Worldwide, Inc. (b) 40,156 ------------- REAL ESTATE INVESTMENT TRUSTS--2.2% 21,603 Developers Diversified Realty Corp. 103,695 10,190 Host Hotels & Resorts, Inc. 54,822 5,553 ProLogis 55,586 1,658 Public Storage 102,580 ------------- 316,683 ------------- ROAD & RAIL--1.4% 2,376 CSX Corp. 68,809 2,718 Ryder System, Inc. 91,814 1,103 Union Pacific Corp. 48,300 ------------- 208,923 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.2% 4,056 Analog Devices, Inc. 81,039 2,538 Applied Materials, Inc. 23,781 5,262 Intel Corp. 67,880 2,419 KLA-Tencor Corp. 48,477 1,317 Microchip Technology, Inc. 24,983 29,219 Micron Technology, Inc. (b) 108,696 2,084 Novellus Systems, Inc. (b) 28,738 6,532 NVIDIA Corp. (b) 51,929 6,093 Teradyne, Inc. (b) 29,307 ------------- 464,830 ------------- SOFTWARE--0.4% 3,899 Symantec Corp. (b) 59,772 ------------- SPECIALTY RETAIL--3.7% 2,744 Best Buy Co., Inc. 76,887 7,873 Gap (The), Inc. 88,807 10,500 Limited Brands, Inc. 83,160 44,220 Office Depot, Inc. (b) 95,515 8,829 RadioShack Corp. 101,181 4,461 Tiffany & Co. 92,566 ------------- 538,116 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.3% 4,388 Jones Apparel Group, Inc. 15,182 2,322 Polo Ralph Lauren Corp. 95,272 1,408 VF Corp. 78,876 ------------- 189,330 ------------- TOBACCO--0.7% 3,500 Altria Group, Inc. 57,890 See Notes to Financial Statements Page 75 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) TOBACCO (Continued) 1,308 Reynolds American, Inc. $ 49,939 ------------- 107,829 ------------- TOTAL INVESTMENTS--100.1% (Cost $20,157,317) (c) 14,483,464 NET OTHER ASSETS AND LIABILITIES--(0.1%) (16,521) ------------- NET ASSETS--100.0% $ 14,466,943 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $60,083 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,733,936. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 14,483,464 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- --------------- Total $ 14,483,464 =============== Page 76 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.1% 906 General Dynamics Corp. $ 51,397 1,091 L-3 Communications Holdings, Inc. 86,212 958 Lockheed Martin Corp. 78,594 1,334 Rockwell Collins, Inc. 50,265 ------------- 266,468 ------------- AIR FREIGHT & LOGISTICS--2.8% 2,439 C.H. Robinson Worldwide, Inc. 112,146 3,135 Expeditors International of Washington, Inc. 87,184 1,626 FedEx Corp. 82,828 1,891 United Parcel Service, Inc., Class B 80,349 ------------- 362,507 ------------- BEVERAGES--2.5% 1,564 Brown-Forman Corp., Class B 71,021 1,779 Coca-Cola (The) Co. 75,999 1,653 Constellation Brands, Inc., Class A (b) 24,002 3,577 Pepsi Bottling Group (The), Inc. 69,000 1,470 PepsiCo, Inc. 73,838 ------------- 313,860 ------------- BIOTECHNOLOGY--5.4% 1,394 Amgen, Inc. (b) 76,461 2,818 Biogen Idec, Inc. (b) 137,096 2,428 Celgene Corp. (b) 128,563 1,354 Cephalon, Inc. (b) 104,502 1,571 Genzyme Corp. (b) 108,273 2,624 Gilead Sciences, Inc. (b) 133,220 ------------- 688,115 ------------- CAPITAL MARKETS--0.2% 500 Northern Trust Corp. 28,760 ------------- CHEMICALS--2.5% 1,484 Ecolab, Inc. 50,397 877 International Flavors & Fragrances, Inc. 25,100 371 Monsanto Co. 28,218 879 Praxair, Inc. 54,727 2,172 Rohm and Haas Co. 119,872 1,235 Sigma-Aldrich Corp. 44,559 ------------- 322,873 ------------- COMMERCIAL BANKS--0.7% 9,867 First Horizon National Corp. 93,934 ------------- COMMERCIAL SERVICES & SUPPLIES--1.8% 2,047 Pitney Bowes, Inc. 45,566 2,104 Republic Services, Inc. 54,409 2,577 Stericycle, Inc. (b) 126,068 ------------- 226,043 ------------- COMMUNICATIONS EQUIPMENT--2.5% 2,116 Harris Corp. 91,602 2,978 Juniper Networks, Inc. (b) 42,168 2,911 QUALCOMM, Inc. 100,575 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT (Continued) 19,544 Tellabs, Inc. (b) $ 80,717 ------------- 315,062 ------------- COMPUTERS & PERIPHERALS--3.1% 4,981 EMC Corp. (b) 54,990 2,874 Hewlett-Packard Co. 99,872 620 International Business Machines Corp. 56,823 2,993 Lexmark International, Inc., Class A (b) 70,874 1,866 NetApp, Inc. (b) 27,673 7,760 QLogic Corp. (b) 87,843 ------------- 398,075 ------------- CONSTRUCTION & ENGINEERING--1.1% 1,795 Fluor Corp. 69,825 1,674 Jacobs Engineering Group, Inc. (b) 64,734 ------------- 134,559 ------------- CONTAINERS & PACKAGING--2.3% 3,227 Ball Corp. 123,723 2,946 Owens-Illinois, Inc. (b) 55,974 5,394 Pactiv Corp. (b) 116,618 ------------- 296,315 ------------- DIVERSIFIED CONSUMER SERVICES--1.1% 1,752 Apollo Group, Inc., Class A (b) 142,718 ------------- DIVERSIFIED FINANCIAL SERVICES--0.8% 633 IntercontinentalExchange, Inc. (b) 36,037 3,259 NASDAQ OMX Group (The), Inc. (b) 71,111 ------------- 107,148 ------------- ELECTRICAL EQUIPMENT--0.9% 2,199 Emerson Electric Co. 71,907 1,617 Rockwell Automation, Inc. 42,107 ------------- 114,014 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--0.5% 2,625 FLIR Systems, Inc. (b) 65,546 ------------- FOOD & STAPLES RETAILING--4.8% 1,987 Costco Wholesale Corp. 89,475 4,670 CVS Caremark Corp. 125,530 5,082 Kroger (The) Co. 114,345 3,510 Sysco Corp. 78,238 3,264 Walgreen Co. 89,466 2,394 Wal-Mart Stores, Inc. 112,805 ------------- 609,859 ------------- FOOD PRODUCTS--5.7% 2,683 Campbell Soup Co. 81,483 7,468 Dean Foods Co. (b) 144,431 2,209 General Mills, Inc. 130,662 2,142 H.J. Heinz Co. 78,183 3,002 Hershey (The) Co. 111,915 See Notes to Financial Statements Page 77 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) FOOD PRODUCTS (Continued) 1,836 Kellogg Co. $ 80,215 3,274 McCormick & Co., Inc. 104,899 ------------- 731,788 ------------- GAS UTILITIES--0.4% 777 EQT Corp. 26,597 798 Questar Corp. 27,116 ------------- 53,713 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.7% 1,503 Baxter International, Inc. 88,151 1,177 Becton, Dickinson & Co. 85,533 1,238 C.R. Bard, Inc. 105,935 1,847 DENTSPLY International, Inc. 49,703 972 Hospira, Inc. (b) 24,203 2,443 St. Jude Medical, Inc. (b) 88,851 744 Varian Medical Systems, Inc. (b) 27,625 ------------- 470,001 ------------- HEALTH CARE PROVIDERS & SERVICES--6.6% 1,830 Aetna, Inc. 56,730 2,104 DaVita, Inc. (b) 98,888 1,465 Express Scripts, Inc. (b) 78,758 3,600 Humana, Inc. (b) 136,548 1,619 Laboratory Corp. of America Holdings (b) 95,845 3,202 Medco Health Solutions, Inc. (b) 143,866 2,585 Quest Diagnostics, Inc. 127,570 3,921 UnitedHealth Group, Inc. 111,082 ------------- 849,287 ------------- HEALTH CARE TECHNOLOGY--0.2% 1,720 IMS Health, Inc. 24,974 ------------- HOTELS, RESTAURANTS & LEISURE--1.7% 1,341 Marriott International, Inc., Class A 21,872 1,677 McDonald's Corp. 97,299 3,311 Yum! Brands, Inc. 94,761 ------------- 213,932 ------------- HOUSEHOLD DURABLES--1.1% 624 Black & Decker (The) Corp. 18,040 1,914 KB HOME 20,422 9,542 Pulte Homes, Inc. 96,852 ------------- 135,314 ------------- HOUSEHOLD PRODUCTS--2.5% 1,958 Colgate-Palmolive Co. 127,347 1,978 Kimberly-Clark Corp. 101,808 1,687 Procter & Gamble (The) Co. 91,942 ------------- 321,097 ------------- INDUSTRIAL CONGLOMERATES--0.4% 906 3M Co. 48,734 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ INSURANCE--2.0% 1,138 Aflac, Inc. $ 26,413 2,283 Aon Corp. 84,585 2,045 Chubb (The) Corp. 87,076 3,521 Progressive (The) Corp. 42,780 583 Torchmark Corp. 17,490 ------------- 258,344 ------------- INTERNET & CATALOG RETAIL--0.5% 1,017 Amazon.com, Inc. (b) 59,820 ------------- IT SERVICES--2.9% 2,921 Affiliated Computer Services, Inc., Class A (b) 133,956 2,651 Automatic Data Processing, Inc. 96,311 1,444 Cognizant Technology Solutions Corp., Class A (b) 27,046 2,214 Fiserv, Inc. (b) 70,295 182 MasterCard, Inc., Class A 24,712 992 Paychex, Inc. 24,096 ------------- 376,416 ------------- LIFE SCIENCES TOOLS & SERVICES--0.2% 506 Millipore Corp. (b) 27,911 ------------- MACHINERY--2.8% 1,167 Caterpillar, Inc. 36,002 1,422 Danaher Corp. 79,532 680 Deere & Co. 23,623 1,488 Illinois Tool Works, Inc. 48,598 2,268 ITT Corp. 102,696 912 PACCAR, Inc. 24,068 1,834 Pall Corp. 47,812 ------------- 362,331 ------------- MEDIA--2.1% 6,179 Comcast Corp., Class A 90,522 5,858 DIRECTV Group (The), Inc. (b) 128,291 969 Omnicom Group, Inc. 25,087 1,368 Viacom, Inc., Class B (b) 20,178 ------------- 264,078 ------------- METALS & MINING--1.7% 2,563 Newmont Mining Corp. 101,956 2,905 Nucor Corp. 118,495 ------------- 220,451 ------------- MULTILINE RETAIL--1.8% 5,148 Family Dollar Stores, Inc. 142,960 2,224 Kohl's Corp. (b) 81,643 ------------- 224,603 ------------- OIL, GAS & CONSUMABLE FUELS--6.1% 676 Anadarko Petroleum Corp. 24,836 350 Apache Corp. 26,250 1,814 Chevron Corp. 127,923 794 Devon Energy Corp. 48,910 392 EOG Resources, Inc. 26,566 1,681 Exxon Mobil Corp. 128,563 Page 78 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) OIL, GAS & CONSUMABLE FUELS (Continued) 486 Hess Corp. $ 27,026 1,176 Murphy Oil Corp. 51,956 758 Range Resources Corp. 27,167 3,600 Southwestern Energy Co. (b) 113,940 3,088 Sunoco, Inc. 143,036 739 XTO Energy, Inc. 27,410 ------------- 773,583 ------------- PERSONAL PRODUCTS--0.5% 1,085 Avon Products, Inc. 22,188 1,684 Estee Lauder (The) Cos., Inc., Class A 44,205 ------------- 66,393 ------------- PHARMACEUTICALS--5.2% 2,515 Abbott Laboratories 139,432 1,293 Allergan, Inc. 49,289 2,047 Forest Laboratories, Inc. (b) 51,257 1,346 Johnson & Johnson 77,651 13,570 Mylan, Inc. (b) 153,747 3,925 Watson Pharmaceuticals, Inc. (b) 107,074 2,147 Wyeth 92,257 ------------- 670,707 ------------- PROFESSIONAL SERVICES--1.7% 1,043 Dun & Bradstreet (The) Corp. 79,268 1,966 Equifax, Inc. 48,600 5,009 Robert Half International, Inc. 84,902 ------------- 212,770 ------------- ROAD & RAIL--1.0% 1,378 Burlington Northern Santa Fe Corp. 91,292 1,108 Norfolk Southern Corp. 42,503 ------------- 133,795 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.1% 3,121 Altera Corp. 48,001 3,073 Broadcom Corp., Class A (b) 48,706 7,925 LSI Corp. (b) 25,202 1,463 Xilinx, Inc. 24,652 ------------- 146,561 ------------- SOFTWARE--3.8% 2,992 BMC Software, Inc. (b) 75,787 2,814 CA, Inc. 50,624 3,416 Citrix Systems, Inc. (b) 71,873 3,863 Compuware Corp. (b) 25,110 2,192 Intuit, Inc. (b) 49,649 3,882 McAfee, Inc. (b) 118,361 1,341 Microsoft Corp. 22,931 4,542 Oracle Corp. (b) 76,442 ------------- 490,777 ------------- SPECIALTY RETAIL--5.8% 962 AutoZone, Inc. (b) 127,839 4,103 Bed Bath & Beyond, Inc. (b) 95,313 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ SPECIALTY RETAIL (Continued) 1,204 GameStop Corp., Class A (b) $ 29,835 5,830 Home Depot (The), Inc. 125,520 6,236 Lowe's Cos., Inc. 113,932 2,246 Sherwin-Williams (The) Co. 107,247 5,820 Staples, Inc. 92,771 2,535 TJX (The) Cos., Inc. 49,230 ------------- 741,687 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.0% 2,511 Coach, Inc. (b) 36,661 2,045 NIKE, Inc., Class B 92,536 ------------- 129,197 ------------- THRIFTS & MORTGAGE FINANCE--0.8% 8,409 Hudson City Bancorp, Inc. 97,544 ------------- TRADING COMPANIES & DISTRIBUTORS--1.4% 1,496 Fastenal Co. 51,133 1,702 W.W. Grainger, Inc. 124,161 ------------- 175,294 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 889 American Tower Corp., Class A (b) 26,972 ------------- TOTAL COMMON STOCKS--100.0% (Cost $14,532,093) 12,793,930 MONEY MARKET FUND--0.4% 49,131 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $49,131) 49,131 ------------- TOTAL INVESTMENTS--100.4% (Cost $14,581,224) (d) 12,843,061 NET OTHER ASSETS AND LIABILITIES --(0.4%) (52,258) ------------- NET ASSETS--100.0% $ 12,790,803 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $199,466 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,937,629. See Notes to Financial Statements Page 79 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 12,843,061 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 12,843,061 ================ Page 80 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--100.1% AEROSPACE & DEFENSE--2.1% 1,936 BE Aerospace, Inc. (b) $ 18,721 91 Boeing Co. 3,850 353 GenCorp, Inc. (b) 1,024 429 Goodrich Corp. 16,585 242 Honeywell International, Inc. 7,940 353 Northrop Grumman Corp. 16,986 267 Precision Castparts Corp. 17,342 76 Raytheon Co. 3,847 122 Triumph Group, Inc. 5,524 ------------- 91,819 ------------- AIRLINES--0.1% 921 Southwest Airlines Co. 6,475 ------------- AUTO COMPONENTS--1.3% 3,040 ArvinMeritor, Inc. 5,320 274 BorgWarner, Inc. 4,625 674 Gentex Corp. 5,655 3,326 Goodyear Tire & Rubber (The) Co. (b) 20,521 640 Johnson Controls, Inc. 8,006 1,400 Spartan Motors, Inc. 6,076 1,499 Standard Motor Products, Inc. 3,523 378 Superior Industries International, Inc. 3,882 ------------- 57,608 ------------- AUTOMOBILES--0.4% 1,170 HARLEY-DAVIDSON, INC. 14,251 215 Winnebago Industries, Inc. 1,189 ------------- 15,440 ------------- BEVERAGES--0.3% 488 Dr. Pepper Snapple Group, Inc. (b) 8,028 293 PepsiAmericas, Inc. 4,726 ------------- 12,754 ------------- BUILDING PRODUCTS--0.5% 639 Apogee Enterprises, Inc. 6,550 554 Gibraltar Industries, Inc. 5,667 80 Lennox International, Inc. 2,249 407 NCI Building Systems, Inc. (b) 4,717 424 Quanex Building Products Corp. 3,600 48 Universal Forest Products, Inc. 1,008 ------------- 23,791 ------------- CAPITAL MARKETS--1.2% 166 Ameriprise Financial, Inc. 3,345 931 Apollo Investment Corp. 6,098 468 Federated Investors, Inc., Class B 9,135 551 Invesco Ltd. 6,496 175 Investment Technology Group, Inc. (b) 3,794 1,978 Janus Capital Group, Inc. 10,386 169 Raymond James Financial, Inc. 3,128 109 T. Rowe Price Group, Inc. 3,006 385 Waddell & Reed Financial, Inc., Class A 5,436 ------------- 50,824 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CHEMICALS--4.5% 152 A. Schulman, Inc. $ 2,303 77 Air Products and Chemicals, Inc. 3,873 389 Albemarle Corp. 8,655 152 Arch Chemicals, Inc. 3,406 1,417 Ashland, Inc. 11,364 779 Cabot Corp. 10,407 404 CF Industries Holding, Inc. 18,988 702 Cytec Industries, Inc. 14,349 1,316 Dow Chemical (The) Co. 15,252 627 E.I. du Pont de Nemours and Co. 14,396 626 Eastman Chemical Co. 16,245 322 H.B. Fuller Co. 4,498 238 Lubrizol (The) Corp. 8,121 212 Minerals Technologies, Inc. 8,016 149 NewMarket Corp. 4,694 313 OM Group, Inc. (b) 6,066 1,647 PolyOne Corp. (b) 3,376 187 PPG Industries, Inc. 7,027 241 Quaker Chemical Corp. 2,750 250 Sensient Technologies Corp. 5,375 55 Stepan Co. 2,018 894 Terra Industries, Inc. 18,309 330 Valspar (The) Corp. 5,726 ------------- 195,214 ------------- COMMERCIAL BANKS--0.8% 138 Associated Banc-Corp. 2,160 141 BB&T Corp. 2,790 1,395 Colonial BancGroup (The), Inc. 1,102 109 Columbia Banking System, Inc. 970 195 Comerica, Inc. 3,249 595 Frontier Financial Corp. 1,053 300 Fulton Financial Corp. 2,106 506 Huntington Bancshares, Inc. 1,457 600 Independent Bank Corp. 954 90 National Penn Bancshares, Inc. 871 998 Regions Financial Corp. 3,453 427 Sterling Bancshares, Inc. 2,374 451 Sterling Financial Corp. 834 131 SunTrust Banks, Inc. 1,606 82 Susquehanna Bancshares, Inc. 902 90 Umpqua Holdings Corp. 882 210 Webster Financial Corp. 878 162 Whitney Holding Corp. 2,104 126 Wintrust Financial Corp. 1,685 324 Zions Bancorporation 4,835 ------------- 36,265 ------------- COMMERCIAL SERVICES & SUPPLIES--2.1% 452 ATC Technology Corp. (b) 5,899 355 Avery Dennison Corp. 8,602 446 Bowne & Co., Inc. 1,249 554 Brink's (The) Co. 14,643 500 Cintas Corp. 11,375 293 Consolidated Graphics, Inc. (b) 4,720 176 Corrections Corp. of America (b) 2,425 398 Deluxe Corp. 4,589 257 G&K Services, Inc., Class A 4,742 547 HNI Corp. 7,226 See Notes to Financial Statements Page 81 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) COMMERCIAL SERVICES & SUPPLIES (Continued) 1,426 Interface, Inc., Class A $ 5,818 249 Mine Safety Appliances Co. 4,885 180 Mobile Mini, Inc. (b) 2,275 1,170 R.R. Donnelley & Sons Co. 11,419 116 Waste Management, Inc. 3,618 ------------- 93,485 ------------- COMMUNICATIONS EQUIPMENT--1.7% 528 ADC Telecommunications, Inc. (b) 2,677 401 ADTRAN, Inc. 6,075 152 Black Box Corp. 3,318 155 Blue Coat Systems, Inc. (b) 1,486 1,735 Ciena Corp. (b) 10,826 2,084 Corning, Inc. 21,070 489 Digi International, Inc. (b) 3,716 925 Harmonic, Inc. (b) 4,764 2,176 JDS Uniphase Corp. (b) 7,899 1,008 PC-Tel, Inc. 6,512 441 Polycom, Inc. (b) 6,196 ------------- 74,539 ------------- COMPUTERS & PERIPHERALS--0.4% 421 NCR Corp. (b) 5,284 1,118 Novatel Wireless, Inc. (b) 6,194 535 Teradata Corp. (b) 7,024 ------------- 18,502 ------------- CONSTRUCTION & ENGINEERING--0.6% 1,449 Dycom Industries, Inc. (b) 9,867 177 EMCOR Group, Inc. (b) 3,644 392 KBR, Inc. 5,551 141 Shaw Group (The), Inc. (b) 3,920 71 URS Corp. (b) 2,418 ------------- 25,400 ------------- CONSTRUCTION MATERIALS--0.1% 115 Texas Industries, Inc. 2,612 ------------- CONSUMER FINANCE--0.6% 209 American Express Co. 3,497 365 Capital One Financial Corp. 5,782 190 Cash America International, Inc. 3,473 1,220 Discover Financial Services 8,722 1,533 Rewards Network, Inc. (b) 4,047 ------------- 25,521 ------------- CONTAINERS & PACKAGING--1.5% 336 Bemis Co., Inc. 7,584 356 Greif, Inc., Class A 10,773 649 Myers Industries, Inc. 4,069 644 Packaging Corp. of America 9,145 38 Rock-Tenn Co., Class A 1,184 778 Sealed Air Corp. 10,542 257 Sonoco Products Co. 5,893 3,102 Temple-Inland, Inc. 17,588 ------------- 66,778 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ DISTRIBUTORS--0.1% 259 Audiovox Corp., Class A (b) $ 1,168 102 Genuine Parts Co. 3,266 ------------- 4,434 ------------- DIVERSIFIED CONSUMER SERVICES--0.9% 679 Brink's Home Security Holdings, Inc. (b) 15,530 156 Hillenbrand, Inc. 2,884 820 Regis Corp. 9,225 2,397 Service Corp. International 10,906 ------------- 38,545 ------------- DIVERSIFIED FINANCIAL SERVICES--0.7% 564 Bank of America Corp. 3,711 3,499 CIT Group, Inc. 9,762 55 Financial Federal Corp. 1,195 802 Leucadia National Corp. (b) 12,768 193 Moody's Corp. 4,134 ------------- 31,570 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.4% 408 AT&T, Inc. 10,045 727 CenturyTel, Inc. 19,731 1,497 Cincinnati Bell, Inc. (b) 2,081 221 Embarq Corp. 7,894 791 FairPoint Communications, Inc. 2,159 1,064 Qwest Communications International, Inc. 3,426 114 Verizon Communications, Inc. 3,405 1,263 Windstream Corp. 10,963 ------------- 59,704 ------------- ELECTRIC UTILITIES--3.2% 114 Allegheny Energy, Inc. 3,789 80 ALLETE, Inc. 2,488 349 American Electric Power Co., Inc. 10,941 109 Central Vermont Public Service Corp. 2,463 114 Cleco Corp. 2,605 126 DPL, Inc. 2,715 775 Duke Energy Corp. 11,742 362 Edison International 11,791 47 Entergy Corp. 3,589 163 FirstEnergy Corp. 8,148 77 FPL Group, Inc. 3,969 449 Great Plains Energy, Inc. 8,562 131 Hawaiian Electric Industries, Inc. 2,840 203 IDACORP, Inc. 5,909 120 Northeast Utilities 2,856 876 NV Energy, Inc. 9,399 655 Pepco Holdings, Inc. 11,667 362 Pinnacle West Capital Corp. 12,117 126 PPL Corp. 3,863 199 Progress Energy, Inc. 7,705 86 UIL Holdings Corp. 2,273 44 UniSource Energy Corp. 1,243 Page 82 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) ELECTRIC UTILITIES (Continued) 290 Westar Energy, Inc. $ 5,823 ------------- 138,497 ------------- ELECTRICAL EQUIPMENT--1.1% 134 A.O. Smith Corp. 3,682 74 Acuity Brands, Inc. 1,988 290 Baldor Electric Co. 4,063 248 Belden, Inc. 3,239 166 Brady Corp., Class A 3,473 414 C&D Technologies, Inc. (b) 1,234 543 Cooper Industries Ltd., Class A 14,612 265 Hubbell, Inc., Class B 8,215 540 Magnetek, Inc. (b) 1,080 259 Woodward Governor Co. 5,328 ------------- 46,914 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--3.7% 605 Agilysys, Inc. 2,160 220 Anixter International, Inc. (b) 5,936 632 Arrow Electronics, Inc. (b) 12,052 654 Avnet, Inc. (b) 12,962 407 Benchmark Electronics, Inc. (b) 4,778 1,192 Brightpoint, Inc. (b) 5,579 673 Checkpoint Systems, Inc. (b) 6,023 175 Cognex Corp. 2,286 1,201 CTS Corp. 6,173 1,015 Gerber Scientific, Inc. (b) 3,187 647 Ingram Micro, Inc., Class A (b) 7,939 2,354 Jabil Circuit, Inc. 13,700 239 Littelfuse, Inc. (b) 3,657 982 Methode Electronics, Inc. 4,537 1,096 Molex, Inc. 14,654 97 MTS Systems Corp. 2,540 765 Newport Corp. (b) 4,093 469 RadiSys Corp. (b) 2,218 143 Rogers Corp. (b) 3,504 206 ScanSource, Inc. (b) 3,856 584 SYNNEX Corp. (b) 8,964 486 Tech Data Corp. (b) 8,801 1,902 Technitrol, Inc. 4,184 1,225 Tyco Electronics Ltd. 17,346 ------------- 161,129 ------------- ENERGY EQUIPMENT & SERVICES--3.8% 433 Atwood Oceanics, Inc. (b) 7,209 193 Bristow Group, Inc. (b) 4,669 699 Exterran Holdings, Inc. (b) 15,490 459 Gulf Island Fabrication, Inc. 5,779 873 Halliburton Co. 15,059 677 Matrix Service Co. (b) 3,581 812 National Oilwell Varco, Inc. (b) 21,469 899 Noble Corp. 24,408 932 Pride International, Inc. (b) 15,024 1,249 Rowan Cos., Inc. 15,812 370 Tidewater, Inc. 15,396 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES (Continued) 1,835 Weatherford International Ltd. (b) $ 20,240 ------------- 164,136 ------------- FOOD & STAPLES RETAILING--1.6% 402 Andersons (The), Inc. 6,589 828 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 5,895 58 Nash Finch Co. 2,496 216 Ruddick Corp. 5,195 489 Safeway, Inc. 10,479 1,360 SUPERVALU, Inc. 23,854 1,683 Whole Foods Market, Inc. 17,251 ------------- 71,759 ------------- FOOD PRODUCTS--0.9% 551 Archer-Daniels-Midland Co. 15,087 300 Corn Products International, Inc. 6,945 89 J.M. Smucker (The) Co. 4,018 205 Smithfield Foods, Inc. (b) 2,433 1,327 Tyson Foods, Inc., Class A 11,744 ------------- 40,227 ------------- GAS UTILITIES--1.2% 92 AGL Resources, Inc. 2,836 168 Atmos Energy Corp. 4,124 507 Energen Corp. 14,810 277 National Fuel Gas Co. 8,300 32 New Jersey Resources Corp. 1,283 229 Nicor, Inc. 7,834 29 Northwest Natural Gas Co. 1,245 205 ONEOK, Inc. 5,990 157 Southwest Gas Corp. 4,044 ------------- 50,466 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.1% 1,803 Advanced Medical Optics, Inc. (b) 39,613 95 Analogic Corp. 2,375 317 Cooper (The) Cos., Inc. 6,013 107 Covidien Ltd. 4,102 362 Hill-Rom Holdings, Inc. 5,097 167 Invacare Corp. 3,183 67 Kensey Nash Corp. (b) 1,385 3,917 Osteotech, Inc. (b) 11,908 249 STERIS Corp. 6,623 5,657 Theragenics Corp. (b) 7,298 137 Zoll Medical Corp. (b) 2,193 ------------- 89,790 ------------- HEALTH CARE PROVIDERS & SERVICES--3.9% 613 AMN Healthcare Services, Inc. (b) 4,168 113 Cardinal Health, Inc. 4,254 132 Centene Corp. (b) 2,340 690 CIGNA Corp. 11,978 594 Community Health Systems, Inc. (b) 11,072 118 CorVel Corp. (b) 2,082 1,334 Coventry Health Care, Inc. (b) 20,183 590 Cross Country Healthcare, Inc. (b) 4,419 See Notes to Financial Statements Page 83 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) HEALTH CARE PROVIDERS & SERVICES (Continued) 4,840 Health Management Associates, Inc., Class A (b) $ 7,696 1,094 Health Net, Inc. (b) 16,005 915 Kindred Healthcare, Inc. (b) 12,417 522 LifePoint Hospitals, Inc. (b) 11,766 100 McKesson Corp. 4,420 497 MedCath Corp. (b) 3,126 125 MEDNAX, Inc. (b) 4,196 35 Owens & Minor, Inc. 1,392 83 PharMerica Corp. (b) 1,365 262 RehabCare Group, Inc. (b) 3,655 230 Universal Health Services, Inc., Class B 8,706 1,158 WellCare Health Plans, Inc. (b) 17,115 377 WellPoint, Inc. (b) 15,627 ------------- 167,982 ------------- HEALTH CARE TECHNOLOGY--0.1% 366 Eclipsys Corp. (b) 3,206 103 Phase Forward, Inc. (b) 1,391 ------------- 4,597 ------------- HOTELS, RESTAURANTS & LEISURE--2.8% 583 Bob Evans Farms, Inc. 10,237 2,519 Boyd Gaming Corp. 12,117 654 Carnival Corp. 11,896 858 Cheesecake Factory (The), Inc. (b) 7,447 138 Darden Restaurants, Inc. 3,618 224 DineEquity, Inc. 1,980 326 International Game Technology 3,456 207 International Speedway Corp., Class A 4,819 737 Interval Leisure Group, Inc. (b) 3,692 447 Landry's Restaurants, Inc. 2,888 920 Life Time Fitness, Inc. (b) 13,626 80 Marcus (The) Corp. 826 2,180 Multimedia Games, Inc. (b) 3,728 308 Red Robin Gourmet Burgers, Inc. (b) 3,751 4,243 Ruby Tuesday, Inc. 5,261 164 Scientific Games Corp., Class A (b) 2,061 213 Sonic Corp. (b) 2,075 649 Starwood Hotels & Resorts Worldwide, Inc. 9,813 218 Steak n Shake (The) Co. (b) 1,247 3,031 Wyndham Worldwide Corp. 18,581 ------------- 123,119 ------------- HOUSEHOLD DURABLES--2.0% 1,967 American Greetings Corp., Class A 8,537 387 Bassett Furniture Industries, Inc. 1,273 361 Ethan Allen Interiors, Inc. 4,112 282 Fortune Brands, Inc. 9,024 950 Harman International Industries, Inc. 15,286 52 National Presto Industries, Inc. 3,491 1,189 Newell Rubbermaid, Inc. 9,607 202 Snap-on, Inc. 6,096 341 Stanley Works (The) 10,660 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HOUSEHOLD DURABLES (Continued) 160 Universal Electronics, Inc. (b) $ 1,805 480 Whirlpool Corp. 16,046 ------------- 85,937 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.0% 1,928 AES (The) Corp. (b) 15,250 463 Constellation Energy Group, Inc. 12,177 7,943 Dynegy, Inc., Class A (b) 16,760 ------------- 44,187 ------------- INDUSTRIAL CONGLOMERATES--1.0% 576 Carlisle Cos., Inc. 10,754 239 General Electric Co. 2,899 200 Standex International Corp. 3,070 1,146 Textron, Inc. 10,348 143 Tredegar Corp. 2,360 735 Tyco International Ltd. 15,450 ------------- 44,881 ------------- INSURANCE--1.6% 260 American Financial Group, Inc. 4,415 129 Assurant, Inc. 3,406 133 Cincinnati Financial Corp. 2,917 71 Delphi Financial Group, Inc., Class A 1,077 100 First American Corp. 2,184 617 Lincoln National Corp. 9,336 137 Loews Corp. 3,343 228 MetLife, Inc. 6,550 2,177 National Financial Partners Corp. 5,595 263 Presidential Life Corp. 2,543 201 Protective Life Corp. 1,664 263 Prudential Financial, Inc. 6,772 104 Safety Insurance Group, Inc. 3,642 175 Travelers (The) Cos., Inc. 6,762 181 Unitrin, Inc. 2,310 209 Unum Group 2,959 82 Zenith National Insurance Corp. 2,299 ------------- 67,774 ------------- INTERNET & CATALOG RETAIL--0.6% 53 Blue Nile, Inc. (b) 1,072 1,928 Expedia, Inc. (b) 17,217 1,031 Ticketmaster Entertainment, Inc. (b) 6,134 ------------- 24,423 ------------- IT SERVICES--1.6% 1,069 Acxiom Corp. 10,166 1,078 CIBER, Inc. (b) 4,700 565 Computer Sciences Corp. (b) 20,815 1,239 Convergys Corp. (b) 9,330 715 Fidelity National Information Services, Inc. 11,376 3,436 Gevity HR, Inc. 6,906 98 Lender Processing Services, Inc. 2,540 37 MAXIMUS, Inc. 1,375 892 Startek, Inc. (b) 4,139 ------------- 71,347 ------------- Page 84 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) LEISURE EQUIPMENT & PRODUCTS--1.1% 1,083 Arctic Cat, Inc. $ 4,646 933 Callaway Golf Co. 7,100 3,018 Eastman Kodak Co. 13,672 133 Hasbro, Inc. 3,209 320 JAKKS Pacific, Inc. (b) 5,869 497 Mattel, Inc. 7,052 139 Polaris Industries, Inc. 2,957 372 RC2 Corp. (b) 2,161 ------------- 46,666 ------------- LIFE SCIENCES TOOLS & SERVICES--1.5% 3,985 Affymetrix, Inc. (b) 12,673 860 Cambrex Corp. (b) 2,812 455 Charles River Laboratories International, Inc. (b) 11,107 62 Covance, Inc. (b) 2,393 341 Life Technologies Corp. (b) 8,682 534 PAREXEL International Corp. (b) 5,281 836 PerkinElmer, Inc. 10,550 233 Thermo Fisher Scientific, Inc. (b) 8,372 86 Varian, Inc. (b) 2,394 ------------- 64,264 ------------- MACHINERY--5.5% 631 AGCO Corp. (b) 13,428 309 Albany International Corp., Class A 3,093 358 Barnes Group, Inc. 4,045 148 Briggs & Stratton Corp. 2,189 174 Cascade Corp. 3,983 241 CIRCOR International, Inc. 5,362 691 Crane Co. 12,037 743 Cummins, Inc. 17,817 241 Dover Corp. 6,815 319 Eaton Corp. 14,042 185 EnPro Industries, Inc. (b) 3,386 726 Federal Signal Corp. 4,901 308 Flowserve Corp. 16,419 431 Harsco Corp. 10,223 1,144 Ingersoll-Rand Co. Ltd., Class A 18,543 486 John Bean Technologies Corp. 4,714 76 Kaydon Corp. 2,067 391 Kennametal, Inc. 6,272 125 Lindsay Corp. 3,250 1,152 Lydall, Inc. (b) 4,251 2,293 Manitowoc (The) Co., Inc. 12,612 185 Nordson Corp. 5,589 1,340 Oshkosh Truck Corp. 9,675 373 Parker Hannifin Corp. 14,252 366 Pentair, Inc. 8,370 409 Robbins & Myers, Inc. 7,072 214 SPX Corp. 9,012 758 Timken (The) Co. 11,287 576 Wabash National Corp. 1,624 159 Watts Water Technologies, Inc., Class A 3,543 ------------- 239,873 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ MARINE--0.3% 475 Alexander & Baldwin, Inc. $ 10,469 190 Kirby Corp. (b) 4,556 ------------- 15,025 ------------- MEDIA--2.4% 195 Arbitron, Inc. 2,929 587 E.W. Scripps (The) Co., Class A 945 2,387 Harte-Hanks, Inc. 15,038 2,935 Interpublic Group of Cos (The)., Inc. (b) 9,774 903 Live Nation, Inc. (b) 4,723 928 Meredith Corp. 14,820 2,184 News Corp., Class A 13,956 877 Scholastic Corp. 9,559 1,973 Time Warner, Inc. 18,407 512 Walt Disney (The) Co. 10,588 10 Washington Post (The) Co., Class B 3,906 ------------- 104,645 ------------- METALS & MINING--2.6% 2,130 AK Steel Holding Corp. 17,188 1,763 Alcoa, Inc. 13,734 777 Allegheny Technologies, Inc. 17,164 190 AMCOL International Corp. 2,753 725 Carpenter Technology Corp. 11,963 1,004 Commercial Metals Co. 11,546 325 Olympic Steel, Inc. 5,158 463 RTI International Metals, Inc. (b) 6,163 534 United States Steel Corp. 16,036 1,352 Worthington Industries, Inc. 13,601 ------------- 115,306 ------------- MULTILINE RETAIL--1.9% 1,096 Big Lots, Inc. (b) 14,741 120 Fred's, Inc., Class A 1,231 1,008 J. C. Penney Co., Inc. 16,884 1,918 Macy's, Inc. 17,166 1,194 Nordstrom, Inc. 15,152 1,978 Saks, Inc. (b) 4,985 230 Target Corp. 7,176 4,061 Tuesday Morning Corp. (b) 4,792 ------------- 82,127 ------------- MULTI-UTILITIES--3.7% 297 Alliant Energy Corp. 8,563 349 Ameren Corp. 11,604 134 Avista Corp. 2,551 221 Black Hills Corp. 5,857 307 CenterPoint Energy, Inc. 4,108 25 CH Energy Group, Inc. 1,265 1,149 CMS Energy Corp. 13,501 204 Consolidated Edison, Inc. 8,313 108 Dominion Resources, Inc. 3,799 326 DTE Energy Co. 11,247 90 Integrys Energy Group, Inc. 3,758 402 MDU Resources Group, Inc. 7,996 1,448 NiSource, Inc. 14,016 79 NSTAR 2,672 231 OGE Energy Corp. 5,701 See Notes to Financial Statements Page 85 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) MULTI-UTILITIES (Continued) 205 PG&E Corp. $ 7,927 106 Puget Energy, Inc. 3,116 223 SCANA Corp. 7,647 186 Sempra Energy 8,154 1,286 TECO Energy, Inc. 15,444 115 Vectren Corp. 2,966 92 Wisconsin Energy Corp. 4,101 428 Xcel Energy, Inc. 7,901 ------------- 162,207 ------------- OFFICE ELECTRONICS--0.3% 1,459 Xerox Corp. 9,688 294 Zebra Technologies Corp., Class A (b) 4,948 ------------- 14,636 ------------- OIL, GAS & CONSUMABLE FUELS--8.0% 914 Arch Coal, Inc. 13,884 705 Bill Barrett Corp. (b) 15,588 557 Cimarex Energy Co. 13,836 384 ConocoPhillips 18,252 2,029 El Paso Corp. 16,597 903 Forest Oil Corp. (b) 13,545 218 Holly Corp. 5,095 726 Marathon Oil Corp. 19,768 1,460 Mariner Energy, Inc. (b) 14,454 576 Massey Energy Co. 8,744 754 Newfield Exploration Co. (b) 14,469 403 Noble Energy, Inc. 19,718 331 Occidental Petroleum Corp. 18,056 354 Overseas Shipholding Group, Inc. 12,638 1,906 Patriot Coal Corp. (b) 9,778 511 Peabody Energy Corp. 12,775 1,227 Pioneer Natural Resources Co. 17,963 641 Plains Exploration & Production Co. (b) 13,538 914 Southern Union Co. 11,781 739 Spectra Energy Corp. 10,723 601 Stone Energy Corp. (b) 5,157 1,207 Tesoro Corp. 20,796 918 Valero Energy Corp. 22,141 1,371 Williams (The) Cos., Inc. 19,400 ------------- 348,696 ------------- PAPER & FOREST PRODUCTS--1.2% 1,819 Buckeye Technologies, Inc. (b) 5,311 1,683 International Paper Co. 15,349 1,774 MeadWestvaco Corp. 20,650 749 Neenah Paper, Inc. 5,041 198 Schweitzer-Mauduit International, Inc. 4,237 ------------- 50,588 ------------- PERSONAL PRODUCTS--0.4% 951 NBTY, Inc. (b) 17,945 ------------- SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ PHARMACEUTICALS--0.4% 1,496 King Pharmaceuticals, Inc. (b) $ 13,075 449 Pfizer, Inc. 6,546 ------------- 19,621 ------------- PROFESSIONAL SERVICES--1.3% 120 Administaff, Inc. 2,531 511 CDI Corp. 5,478 241 Heidrick & Struggles International, Inc. 3,663 666 Kelly Services, Inc., Class A 6,034 175 Manpower, Inc. 4,981 657 Monster Worldwide, Inc. (b) 6,051 1,582 MPS Group, Inc. (b) 9,570 701 On Assignment, Inc. (b) 3,246 208 School Specialty, Inc. (b) 3,432 2,995 Spherion Corp. (b) 4,283 542 TrueBlue, Inc. (b) 4,607 717 Volt Information Sciences, Inc. (b) 3,822 ------------- 57,698 ------------- REAL ESTATE INVESTMENT TRUSTS--2.1% 124 AMB Property Corp. 1,999 221 BioMed Realty Trust, Inc. 2,440 183 Cedar Shopping Centers, Inc. 1,122 156 Colonial Properties Trust 1,147 3,256 Developers Diversified Realty Corp. 15,629 783 DiamondRock Hospitality Co. 3,210 264 Duke Realty Corp. 2,431 133 Entertainment Properties Trust 3,012 401 Hospitality Properties Trust 5,381 1,535 Host Hotels & Resorts, Inc. 8,258 233 Kite Realty Group Trust 1,079 360 LaSalle Hotel Properties 2,999 64 LTC Properties, Inc. 1,324 411 Medical Properties Trust, Inc. 1,870 151 National Retail Properties, Inc. 2,179 174 Pennsylvania Real Estate Investment Trust 771 229 Potlatch Corp. 5,769 837 ProLogis 8,378 250 Public Storage 15,468 92 Rayonier, Inc. 2,708 72 Senior Housing Properties Trust 1,165 335 SL Green Realty Corp. 5,263 ------------- 93,602 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.0% 137 Forestar Group, Inc. (b) 1,528 ------------- ROAD & RAIL--1.0% 132 Arkansas Best Corp. 3,087 358 CSX Corp. 10,368 455 Kansas City Southern (b) 8,263 409 Ryder System, Inc. 13,816 167 Union Pacific Corp. 7,313 ------------- 42,847 ------------- Page 86 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.2% 260 Advanced Energy Industries, Inc. (b) $ 2,335 611 Analog Devices, Inc. 12,208 383 Applied Materials, Inc. 3,589 152 Cabot Microelectronics Corp. (b) 3,460 889 Cypress Semiconductor Corp. (b) 4,009 3,046 Fairchild Semiconductor International, Inc. (b) 13,859 1,545 Integrated Device Technology, Inc. (b) 8,868 793 Intel Corp. 10,230 1,621 Intersil Corp., Class A 15,092 365 KLA-Tencor Corp. 7,315 198 Microchip Technology, Inc. 3,756 4,403 Micron Technology, Inc. (b) 16,379 205 Microsemi Corp. (b) 1,722 314 Novellus Systems, Inc. (b) 4,330 984 NVIDIA Corp. (b) 7,823 3,703 RF Micro Devices, Inc. (b) 3,999 367 Rudolph Technologies, Inc. (b) 1,031 1,195 Skyworks Solutions, Inc. (b) 5,162 318 Standard Microsystems Corp. (b) 4,404 54 Supertex, Inc. (b) 1,225 918 Teradyne, Inc. (b) 4,416 1,154 TriQuint Semiconductor, Inc. (b) 2,331 205 Veeco Instruments, Inc. (b) 990 ------------- 138,533 ------------- SOFTWARE--0.9% 789 Cadence Design Systems, Inc. (b) 2,982 354 Fair Isaac Corp. 4,496 198 JDA Software Group, Inc. (b) 2,218 164 Manhattan Associates, Inc. (b) 2,516 134 Progress Software Corp. (b) 2,286 1,964 Radiant Systems, Inc. (b) 6,795 588 Symantec Corp. (b) 9,014 876 Take-Two Interactive Software, Inc. (b) 6,150 166 Taleo Corp, Class A (b) 1,399 ------------- 37,856 ------------- SPECIALTY RETAIL--5.6% 1,591 American Eagle Outfitters, Inc. 14,335 2,581 AnnTaylor Stores Corp. (b) 12,699 794 Barnes & Noble, Inc. 13,037 414 Best Buy Co., Inc. 11,600 996 Big 5 Sporting Goods Corp. 5,239 613 Brown Shoe Co., Inc. 2,875 182 Buckle (The), Inc. 3,849 1,135 Cabela's, Inc. (b) 6,367 367 CarMax, Inc. (b) 3,035 172 Cato (The) Corp., Class A 2,276 1,020 Charlotte Russe Holding, Inc. (b) 5,253 926 Christopher & Banks Corp. 3,593 1,014 Coldwater Creek, Inc. (b) 2,859 509 Collective Brands, Inc. (b) 5,431 1,623 Foot Locker, Inc. 11,945 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ SPECIALTY RETAIL (Continued) 1,186 Gap (The), Inc. $ 13,378 391 Genesco, Inc. (b) 6,021 481 Group 1 Automotive, Inc. 4,796 139 Haverty Furniture Cos., Inc. 1,115 335 Jo-Ann Stores, Inc. (b) 4,278 1,582 Limited Brands, Inc. 12,529 489 Men's Wearhouse (The), Inc. 5,697 124 Midas, Inc. (b) 1,085 6,664 Office Depot, Inc. (b) 14,394 5,450 Pacific Sunwear of California, Inc. (b) 6,813 1,256 Pep Boys-Manny, Moe & Jack (The) 3,630 1,330 RadioShack Corp. 15,242 675 Rent-A-Center, Inc. (b) 10,024 1,663 Sonic Automotive, Inc., Class A 3,376 1,148 Stein Mart, Inc. 1,343 672 Tiffany & Co. 13,944 1,532 Tween Brands, Inc. (b) 4,121 1,895 Williams-Sonoma, Inc. 15,008 1,558 Zale Corp. (b) 1,932 ------------- 243,119 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.7% 227 Hanesbrands, Inc. (b) 2,041 407 Iconix Brand Group, Inc. (b) 3,366 661 Jones Apparel Group, Inc. 2,287 705 Movado Group, Inc. 5,414 755 Oxford Industries, Inc. 5,028 1,044 Perry Ellis International, Inc. (b) 4,009 591 Phillips-Van Heusen Corp. 11,241 350 Polo Ralph Lauren Corp. 14,361 705 Quiksilver, Inc. (b) 1,481 516 Skechers U.S.A., Inc., Class A (b) 5,139 175 UniFirst Corp. 4,592 212 VF Corp. 11,876 188 Wolverine World Wide, Inc. 3,410 ------------- 74,245 ------------- THRIFTS & MORTGAGE FINANCE--0.1% 470 Anchor BanCorp Wisconsin, Inc. 949 223 BankAtlantic Bancorp, Inc., Class A 517 1,827 Flagstar Bancorp, Inc. (b) 1,097 ------------- 2,563 ------------- TOBACCO--0.7% 882 Alliance One International, Inc. (b) 2,117 528 Altria Group, Inc. 8,733 197 Reynolds American, Inc. 7,521 399 Universal Corp. 12,202 ------------- 30,573 ------------- TRADING COMPANIES & DISTRIBUTORS--0.5% 275 Applied Industrial Technologies, Inc. 4,342 280 GATX Corp. 6,748 143 Kaman Corp. 2,730 1,306 United Rentals, Inc. (b) 7,287 34 Watsco, Inc. 1,124 ------------- 22,231 ------------- See Notes to Financial Statements Page 87 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) WIRELESS TELECOMMUNICATION SERVICES--0.2% 273 Telephone and Data Systems, Inc. $ 8,329 ------------- TOTAL COMMON STOCKS--100.1% (Cost $5,884,301) 4,363,168 MONEY MARKET FUND--0.6% 26,089 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $26,089) 26,089 ------------- TOTAL INVESTMENTS--100.7% (Cost $5,910,390) (d) 4,389,257 NET OTHER ASSETS AND LIABILITIES--(0.7%) (28,946) ------------- NET ASSETS--100.0% $ 4,360,311 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009. (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $51,521 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,572,654. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,389,257 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ---------------- Total $ 4,389,257 ================ Page 88 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS--99.9% AEROSPACE & DEFENSE--2.5% 497 AAR Corp. (b) $ 9,016 243 Alliant Techsystems, Inc. (b) 19,637 510 Applied Signal Technology, Inc. 8,945 167 Axsys Technologies, Inc. (b) 7,131 197 Cubic Corp. 5,351 110 Curtiss-Wright Corp. 3,553 193 Esterline Technologies Corp. (b) 6,965 186 General Dynamics Corp. 10,552 224 L-3 Communications Holdings, Inc. 17,700 197 Lockheed Martin Corp. 16,162 200 Moog, Inc., Class A (b) 5,992 274 Orbital Sciences Corp. (b) 4,595 274 Rockwell Collins, Inc. 10,324 120 Teledyne Technologies, Inc. (b) 3,344 ------------ 129,267 ------------ AIR FREIGHT & LOGISTICS--1.6% 501 C.H. Robinson Worldwide, Inc. 23,037 644 Expeditors International of Washington, Inc. 17,910 334 FedEx Corp. 17,014 221 Forward Air Corp. 4,477 202 Hub Group, Inc., Class A (b) 4,585 388 United Parcel Service, Inc., Class B 16,486 ------------ 83,509 ------------ AIRLINES--0.5% 712 Alaska Air Group, Inc. (b) 18,768 491 SkyWest, Inc. 7,684 ------------ 26,452 ------------ BEVERAGES--1.7% 63 Boston Beer (The) Co., Inc., Class A (b) 1,590 321 Brown-Forman Corp., Class B 14,577 365 Coca-Cola (The) Co. 15,593 339 Constellation Brands, Inc. Class A (b) 4,922 621 Hansen Natural Corp. (b) 20,804 735 Pepsi Bottling Group (The), Inc. 14,178 302 PepsiCo, Inc. 15,169 ------------ 86,833 ------------ BIOTECHNOLOGY--3.4% 286 Amgen, Inc. (b) 15,687 1,733 ArQule, Inc. (b) 6,845 579 Biogen Idec, Inc. (b) 28,169 498 Celgene Corp. (b) 26,369 278 Cephalon, Inc. (b) 21,456 378 Cubist Pharmaceuticals, Inc. (b) 8,093 323 Genzyme Corp. (b) 22,261 539 Gilead Sciences, Inc. (b) 27,365 177 Martek Biosciences Corp. (b) 4,682 398 Regeneron Pharmaceuticals, Inc. (b) 6,957 264 Vertex Pharmaceuticals, Inc. (b) 8,725 ------------ 176,609 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ BUILDING PRODUCTS--0.1% 193 Simpson Manufacturing Co., Inc. $ 3,874 ------------ CAPITAL MARKETS--0.5% 52 Greenhill & Co., Inc. 3,381 763 LaBranche & Co., Inc. (b) 5,234 103 Northern Trust Corp. 5,925 199 Stifel Financial Corp. (b) 6,973 386 SWS Group, Inc. 5,655 ------------ 27,168 ------------ CHEMICALS--2.9% 412 Airgas, Inc. 14,548 367 Balchem Corp. 8,195 349 Calgon Carbon Corp. (b) 4,387 305 Ecolab, Inc. 10,358 269 FMC Corp. 12,003 180 International Flavors & Fragrances, Inc. 5,152 76 Monsanto Co. 5,781 1,152 Olin Corp. 16,186 180 Praxair, Inc. 11,207 446 Rohm and Haas Co. 24,614 701 Scotts Miracle-Gro (The) Co., Class A 22,585 253 Sigma-Aldrich Corp. 9,128 473 Zep, Inc. 5,198 ------------ 149,342 ------------ COMMERCIAL BANKS--2.3% 178 Bank of Hawaii Corp. 6,385 676 Cathay General Bancorp 8,585 274 Commerce Bancshares, Inc. 9,575 158 Cullen/Frost Bankers, Inc. 6,916 229 East West Bancorp, Inc. 2,173 656 First BanCorp 4,664 97 First Financial Bankshares, Inc. 4,306 2,026 First Horizon National Corp. 19,287 192 Glacier Bancorp, Inc. 2,947 118 Hancock Holding Co. 3,230 271 Home Bancshares, Inc. 5,580 205 Independent Bank Corp. 3,801 182 Nara Bancorp, Inc. 1,076 165 PrivateBancorp, Inc. 2,406 124 Prosperity Bancshares, Inc. 3,354 151 S&T Bancorp., Inc. 3,840 62 Signature Bank (b) 1,593 588 TCF Financial Corp. 7,285 126 Tompkins Financial Corp. 6,319 778 UCBH Holdings, Inc. 1,813 394 United Community Banks, Inc. 2,029 595 Valley National Bancorp 7,747 79 Westamerica Bancorporation 3,376 403 Wilshire Bancorp, Inc. 2,765 ------------ 121,052 ------------ COMMERCIAL SERVICES & SUPPLIES--2.6% 328 Clean Harbors, Inc. (b) 17,551 148 Copart, Inc. (b) 3,565 203 Geo Group (The), Inc. (b) 3,004 See Notes to Financial Statements Page 89 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) COMMERCIAL SERVICES & SUPPLIES (Continued) 230 Healthcare Services Group $ 3,524 420 Pitney Bowes, Inc. 9,349 432 Republic Services, Inc. 11,172 1,152 Rollins, Inc. 17,971 529 Stericycle, Inc. (b) 25,879 382 SYKES Enterprises, Inc. (b) 6,383 379 Tetra Tech, Inc. (b) 8,804 160 United Stationers, Inc. (b) 4,482 296 Viad Corp. 6,580 509 Waste Connections, Inc. (b) 14,771 ------------ 133,035 ------------ COMMUNICATIONS EQUIPMENT--2.8% 5,283 3Com Corp. (b) 12,309 920 Arris Group, Inc. (b) 6,550 673 Avocent Corp. (b) 9,658 172 Bel Fuse, Inc., Class B 2,621 160 Comtech Telecommunications Corp. (b) 6,208 283 EMS Technologies, Inc. (b) 6,792 703 F5 Networks, Inc. (b) 15,586 435 Harris Corp. 18,831 612 Juniper Networks, Inc. (b) 8,666 156 NETGEAR, Inc. (b) 1,735 598 QUALCOMM, Inc. 20,661 926 Symmetricom, Inc. (b) 3,435 274 Tekelec (b) 3,403 4,013 Tellabs, Inc. (b) 16,574 765 Tollgrade Communications, Inc. (b) 4,406 304 ViaSat, Inc. (b) 6,737 ------------ 144,172 ------------ COMPUTERS & PERIPHERALS--1.8% 1,023 EMC Corp. (b) 11,294 590 Hewlett-Packard Co. 20,502 134 Intermec, Inc. (b) 1,664 127 International Business Machines Corp. 11,640 615 Lexmark International, Inc., Class A (b) 14,563 383 NetApp, Inc. (b) 5,680 1,593 QLogic Corp. (b) 18,032 108 Synaptics, Inc. (b) 2,546 351 Western Digital Corp. (b) 5,153 ------------ 91,074 ------------ CONSTRUCTION & ENGINEERING--1.3% 368 Fluor Corp. 14,315 474 Granite Construction, Inc. 16,695 464 Insituform Technologies, Inc., Class A (b) 8,705 344 Jacobs Engineering Group, Inc. (b) 13,302 608 Quanta Services, Inc. (b) 12,999 ------------ 66,016 ------------ CONSTRUCTION MATERIALS--0.1% 83 Martin Marietta Materials, Inc. 6,683 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ CONSUMER FINANCE--0.3% 1,051 AmeriCredit Corp. (b) $ 4,950 480 First Cash Financial Services, Inc. (b) 8,073 90 World Acceptance Corp. (b) 1,724 ------------ 14,747 ------------ CONTAINERS & PACKAGING--1.5% 456 AptarGroup, Inc. 14,054 663 Ball Corp. 25,419 605 Owens-Illinois, Inc. (b) 11,495 1,108 Pactiv Corp. (b) 23,955 ------------ 74,923 ------------ DISTRIBUTORS--0.2% 689 LKQ Corp. (b) 7,958 ------------ DIVERSIFIED CONSUMER SERVICES --3.3% 360 Apollo Group, Inc., Class A (b) 29,325 124 Capella Education Co. (b) 6,861 895 Career Education Corp. (b) 19,511 91 Coinstar, Inc. (b) 2,091 1,272 Corinthian Colleges, Inc. (b) 23,761 363 DeVry, Inc. 19,450 219 ITT Educational Services, Inc. (b) 26,829 219 Matthews International Corp., Class A 8,528 98 Pre-Paid Legal Services, Inc. (b) 3,295 97 Strayer Education, Inc. 20,994 426 Universal Technical Institute, Inc. (b) 7,468 ------------ 168,113 ------------ DIVERSIFIED FINANCIAL SERVICES--0.5% 130 IntercontinentalExchange, Inc. (b) 7,401 108 Portfolio Recovery Associates, Inc. (b) 2,548 669 NASDAQ OMX Group (The), Inc. (b) 14,597 ------------ 24,546 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES--0.1% 904 General Communication, Inc., Class A (b) 5,939 ------------ ELECTRIC UTILITIES--0.1% 404 El Paso Electric Co. (b) 6,682 ------------ ELECTRICAL EQUIPMENT--0.9% 266 AMETEK, Inc. 8,501 452 Emerson Electric Co. 14,781 241 Regal-Beloit Corp. 8,184 332 Rockwell Automation, Inc. 8,645 92 Roper Industries, Inc. 3,785 167 Thomas & Betts Corp. (b) 3,572 ------------ 47,468 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--0.8% 106 FARO Technologies, Inc. (b) 1,592 539 FLIR Systems, Inc. (b) 13,459 57 Itron, Inc. (b) 3,722 Page 90 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (Continued) 60 Mettler-Toledo International, Inc. (b) $ 3,995 330 National Instruments Corp. 7,085 316 Plexus Corp. (b) 4,569 372 Trimble Navigation Ltd. (b) 5,513 ------------ 39,935 ------------ ENERGY EQUIPMENT & SERVICES--0.1% 50 CARBO Ceramics, Inc. 1,798 95 Oil States International, Inc. (b) 1,739 55 SEACOR Holdings, Inc. (b) 3,577 ------------ 7,114 ------------ FOOD & STAPLES RETAILING--3.2% 608 BJ's Wholesale Club, Inc. (b) 17,437 321 Casey's General Stores, Inc. 6,821 408 Costco Wholesale Corp. 18,372 959 CVS Caremark Corp. 25,779 1,043 Kroger (The) Co. 23,468 393 Spartan Stores, Inc. 7,302 721 Sysco Corp. 16,071 410 United Natural Foods, Inc. (b) 6,371 670 Walgreen Co. 18,365 492 Wal-Mart Stores, Inc. 23,183 ------------ 163,169 ------------ FOOD PRODUCTS--5.2% 318 Cal-Maine Foods, Inc. 8,611 551 Campbell Soup Co. 16,734 1,533 Dean Foods Co. (b) 29,649 181 Diamond Foods, Inc. 4,648 659 Flowers Foods, Inc. 14,162 454 General Mills, Inc. 26,854 236 Green Mountain Coffee Roasters, Inc. (b) 9,029 440 H.J. Heinz Co. 16,060 192 Hain Celestial Group (The), Inc. (b) 2,922 616 Hershey (The) Co. 22,964 517 Hormel Foods Corp. 15,422 255 J & J Snack Foods Corp. 8,902 377 Kellogg Co. 16,471 672 McCormick & Co., Inc. 21,531 357 Ralcorp Holdings, Inc. (b) 21,142 264 Sanderson Farms, Inc. 9,552 627 Tootsie Roll Industries, Inc. 14,966 336 TreeHouse Foods, Inc. (b) 8,867 ------------ 268,486 ------------ GAS UTILITIES--1.3% 160 EQT Corp. 5,477 195 Laclede Group (The), Inc. 8,851 289 Piedmont Natural Gas Co., Inc. 7,488 164 Questar Corp. 5,573 853 UGI Corp. 21,640 637 WGL Holdings, Inc. 20,448 ------------ 69,477 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES--4.2% 309 Baxter International, Inc. $ 18,123 91 Beckman Coulter, Inc. 4,525 242 Becton, Dickinson & Co. 17,586 254 C.R. Bard, Inc. 21,734 224 CONMED Corp. (b) 3,506 377 CryoLife, Inc. (b) 3,106 221 Cyberonics, Inc. (b) 3,401 379 DENTSPLY International, Inc. 10,199 292 Edwards Lifesciences Corp. (b) 16,787 187 Gen-Probe, Inc. (b) 8,419 345 Greatbatch, Inc. (b) 8,039 95 Haemonetics Corp. (b) 5,619 200 Hospira, Inc. (b) 4,980 162 ICU Medical, Inc. (b) 4,943 111 IDEXX Laboratories, Inc. (b) 3,641 138 Immucor, Inc. (b) 3,824 151 Integra LifeSciences Holdings (b) 4,189 269 Masimo Corp. (b) 7,470 144 Meridian Bioscience, Inc. 3,061 408 Merit Medical Systems, Inc. (b) 6,279 155 Palomar Medical Technologies, Inc. (b) 1,372 321 ResMed, Inc. (b) 12,808 502 St. Jude Medical, Inc. (b) 18,258 641 Thoratec Corp. (b) 18,569 153 Varian Medical Systems, Inc. (b) 5,681 97 West Pharmaceutical Services, Inc. 3,222 ------------ 219,341 ------------ HEALTH CARE PROVIDERS & SERVICES--6.5% 376 Aetna, Inc. 11,656 112 Air Methods Corp. (b) 2,184 177 Amedisys, Inc. (b) 7,298 313 AmSurg Corp. (b) 6,132 375 Catalyst Health Solutions, Inc. (b) 8,258 135 Chemed Corp. 5,418 432 DaVita, Inc. (b) 20,304 301 Express Scripts, Inc. (b) 16,182 312 Gentiva Health Services, Inc. (b) 7,887 458 Healthspring, Inc. (b) 7,978 219 Henry Schein, Inc. (b) 8,197 290 HMS Holdings Corp. (b) 8,976 739 Humana, Inc. (b) 28,030 155 inVentiv Health, Inc. (b) 1,479 332 Laboratory Corp. of America Holdings (b) 19,654 100 Landauer, Inc. 6,858 434 LCA-Vision, Inc. 1,094 254 LHC Group, Inc. (b) 6,759 447 Lincare Holdings, Inc. (b) 10,750 233 Magellan Health Services, Inc. (b) 8,439 658 Medco Health Solutions, Inc. (b) 29,564 208 Molina Healthcare, Inc. (b) 3,648 199 MWI Veterinary Supply, Inc. (b) 4,165 988 Odyssey HealthCare, Inc. (b) 9,801 750 Omnicare, Inc. 20,970 389 PSS World Medical, Inc. (b) 6,177 577 Psychiatric Solutions, Inc. (b) 15,002 See Notes to Financial Statements Page 91 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) HEALTH CARE PROVIDERS & SERVICES (Continued) 531 Quest Diagnostics, Inc. $ 26,205 356 Res-Care, Inc. (b) 4,824 805 UnitedHealth Group, Inc. 22,806 ------------ 336,695 ------------ HEALTH CARE TECHNOLOGY--0.2% 104 Cerner Corp. (b) 3,507 353 IMS Health, Inc. 5,126 299 Omnicell, Inc. (b) 2,335 ------------ 10,968 ------------ HOTELS, RESTAURANTS & LEISURE--2.3% 209 Buffalo Wild Wings, Inc. (b) 4,694 682 California Pizza Kitchen, Inc. (b) 7,066 151 CEC Entertainment, Inc. (b) 3,524 130 Chipotle Mexican Grill, Inc. (b) 6,209 206 CKE Restaurants, Inc. 1,710 178 Cracker Barrel Old Country Store, Inc. 3,127 331 Jack in the Box, Inc. (b) 7,477 275 Marriott International, Inc., Class A 4,485 344 McDonald's Corp. 19,959 153 Monarch Casino & Resort, Inc. (b) 1,567 349 P.F. Chang's China Bistro, Inc. (b) 6,188 175 Panera Bread Co., Class A (b) 8,222 198 Papa John's International, Inc. (b) 3,764 315 Peet's Coffee & Tea, Inc. (b) 6,401 476 Pinnacle Entertainment, Inc. (b) 3,227 360 Shuffle Master, Inc. (b) 1,220 691 Texas Roadhouse, Inc., Class A (b) 5,272 199 WMS Industries, Inc. (b) 4,422 680 Yum! Brands, Inc. 19,462 ------------ 117,996 ------------ HOUSEHOLD DURABLES--1.4% 128 Black & Decker (The) Corp. 3,700 393 KB HOME 4,193 265 M.D.C. Holdings, Inc. 8,120 147 Meritage Homes Corp. (b) 1,620 26 NVR, Inc. (b) 11,078 1,959 Pulte Homes, Inc. 19,885 227 Ryland Group (The) , Inc. 3,541 562 Toll Brothers, lnc. (b) 9,565 531 Tupperware Brands Corp. 10,917 ------------ 72,619 ------------ HOUSEHOLD PRODUCTS--1.7% 286 Church & Dwight Co., Inc. 15,224 402 Colgate-Palmolive Co. 26,146 148 Energizer Holdings, Inc. (b) 7,049 406 Kimberly-Clark Corp. 20,897 346 Procter & Gamble (The) Co. 18,857 63 WD-40 Co. 1,579 ------------ 89,752 ------------ INDUSTRIAL CONGLOMERATES--0.2% 186 3M Co. 10,005 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ INSURANCE--3.4% 234 Aflac, Inc. $ 5,431 76 American Physicians Capital, Inc. 3,232 356 Amerisafe, Inc. (b) 6,668 469 Aon Corp. 17,376 576 Brown & Brown, Inc. 11,019 420 Chubb (The) Corp. 17,884 374 Hanover Insurance Group, Inc. 15,117 600 HCC Insurance Holdings, Inc. 14,046 156 Infinity Property & Casualty Corp. 5,990 262 Mercury General Corp. 10,150 98 Navigators Group (The), Inc. (b) 5,031 34 ProAssurance Corp. (b) 1,607 723 Progressive (The) Corp. 8,784 375 Reinsurance Group of America, Inc. 13,361 88 RLI Corp. 4,971 319 Selective Insurance Group, Inc. 4,897 288 StanCorp Financial Group, Inc. 7,436 120 Torchmark Corp. 3,600 324 Tower Group, Inc. 8,123 518 W.R. Berkley Corp. 13,717 ------------ 178,440 ------------ INTERNET & CATALOG RETAIL--1.1% 209 Amazon.com, Inc. (b) 12,293 697 NetFlix, Inc. (b) 25,189 122 NutriSystem, Inc. 1,573 518 PetMed Express, Inc. (b) 7,480 164 Priceline.com, Inc. (b) 11,003 182 Stamps.com, Inc. (b) 1,489 ------------ 59,027 ------------ INTERNET SOFTWARE & SERVICES--0.5% 192 Bankrate, Inc. (b) 6,405 162 Digital River, Inc. (b) 4,013 236 Infospace, Inc. 1,890 425 Interwoven, Inc. (b) 6,702 182 j2 Global Communications, Inc. (b) 3,564 214 Knot (The), Inc. (b) 1,472 358 Websense, Inc. (b) 4,010 ------------ 28,056 ------------ IT SERVICES--3.8% 600 Affiliated Computer Services, Inc., Class A (b) 27,515 86 Alliance Data Systems Corp. (b) 3,577 544 Automatic Data Processing, Inc. 19,764 320 Broadridge Financial Solutions, Inc. 4,317 203 CACI International Inc., Class A (b) 9,165 296 Cognizant Technology Solutions Corp., Class A (b) 5,544 523 CSG Systems International, Inc. (b) 7,584 149 Cybersource Corp. (b) 1,778 455 Fiserv, Inc. (b) 14,446 190 Forrester Research, Inc. (b) 3,967 901 Gartner, Inc. (b) 12,758 245 Global Payments, Inc. 8,504 209 Heartland Payment Systems, Inc. 1,896 303 Integral Systems, Inc. (b) 3,312 384 ManTech International Corp., Class A (b) 20,594 Page 92 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) IT SERVICES (Continued) 37 MasterCard, Inc., Class A $ 5,024 249 Metavante Technologies, Inc. (b) 3,613 630 NeuStar, Inc., Class A (b) 8,581 204 Paychex, Inc. 4,955 1,069 SAIC, Inc. (b) 21,102 698 SRA International, Inc., Class A (b) 11,398 ------------ 199,394 ------------ LEISURE EQUIPMENT & PRODUCTS--0.1% 203 Pool Corp. 3,218 299 Sturm, Ruger & Co., Inc. (b) 1,976 ------------ 5,194 ------------ LIFE SCIENCES TOOLS & SERVICES--0.7% 213 Bio-Rad Laboratories, Inc. Class A (b) 13,534 69 Kendle International, Inc. (b) 1,318 104 Millipore Corp. (b) 5,737 138 Pharmaceutical Product Development, Inc. 3,297 187 Techne Corp. 11,214 ------------ 35,100 ------------ MACHINERY--2.6% 94 Actuant Corp., Class A 1,549 292 Astec Industries, Inc. (b) 7,174 240 Caterpillar, Inc. 7,404 161 CLARCOR, Inc. 4,885 292 Danaher Corp. 16,332 140 Deere & Co. 4,864 358 Donaldson Co., Inc. 11,141 76 Gardner Denver, Inc. (b) 1,655 166 IDEX Corp. 3,753 305 Illinois Tool Works, Inc. 9,961 466 ITT Corp. 21,100 158 Lincoln Electric Holdings, Inc. 6,505 292 Mueller Industries, Inc. 5,875 187 PACCAR, Inc. 4,935 377 Pall Corp. 9,828 111 Toro (The) Co. 3,287 255 Trinity Industries, Inc. 2,935 29 Valmont Industries, Inc. 1,177 404 Wabtec Corp. 12,092 ------------ 136,452 ------------ MEDIA--1.8% 1,269 Comcast Corp., Class A 18,591 1,203 DIRECTV Group (The), Inc. (b) 26,346 318 DreamWorks Animation SKG, Inc., Class A (b) 6,980 339 John Wiley & Sons, Inc., Class A 12,011 677 Marvel Entertainment, Inc. (b) 18,624 199 Omnicom Group, Inc. 5,152 281 Viacom, Inc., Class B (b) 4,145 ------------ 91,849 ------------ SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ METALS & MINING--0.9% 526 Newmont Mining Corp. $ 20,924 596 Nucor Corp. 24,311 359 Steel Dynamics, Inc. 3,813 ------------ 49,048 ------------ MULTILINE RETAIL--1.6% 1,905 99 Cents Only Stores (b) 15,964 498 Dollar Tree, Inc. (b) 21,270 1,057 Family Dollar Stores, Inc. 29,353 457 Kohl's Corp. (b) 16,776 ------------ 83,363 ------------ OFFICE ELECTRONICS--0.1% 198 Zebra Technologies Corp., Class A (b) 3,332 ------------ OIL, GAS & CONSUMABLE FUELS--3.7% 139 Anadarko Petroleum Corp. 5,107 72 Apache Corp. 5,400 373 Chevron Corp. 26,304 340 Comstock Resources, Inc. (b) 12,964 163 Devon Energy Corp. 10,041 157 Encore Acquisition Co. (b) 4,267 80 EOG Resources, Inc. 5,422 345 Exxon Mobil Corp. 26,386 636 Frontier Oil Corp. 9,082 100 Hess Corp. 5,561 241 Murphy Oil Corp. 10,647 156 Range Resources Corp. 5,591 739 Southwestern Energy Co. (b) 23,389 634 Sunoco, Inc. 29,367 247 World Fuel Services Corp. 8,341 152 XTO Energy, Inc. 5,638 ------------ 193,507 ------------ PERSONAL PRODUCTS--0.7% 655 Alberto-Culver Co. 16,021 223 Avon Products, Inc. 4,560 102 Chattem, Inc. (b) 6,895 346 Estee Lauder (The) Cos., Inc., Class A 9,083 ------------ 36,559 ------------ PHARMACEUTICALS--4.2% 516 Abbott Laboratories 28,607 266 Allergan, Inc. 10,140 805 Endo Pharmaceuticals Holdings, Inc. (b) 18,088 420 Forest Laboratories, Inc. (b) 10,517 276 Johnson & Johnson 15,922 578 Medicis Pharmaceutical Corp., Class A 8,052 2,786 Mylan, Inc. (b) 31,565 487 Noven Pharmaceuticals, Inc. (b) 4,836 133 Par Pharmaceutical Cos., Inc. (b) 1,637 644 Perrigo Co. 18,901 606 Salix Pharmaceuticals, Ltd. (b) 4,848 701 Valeant Pharmaceuticals International (b) 15,212 See Notes to Financial Statements Page 93 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) PHARMACEUTICALS (Continued) 562 ViroPharma, Inc. (b) $ 6,744 806 Watson Pharmaceuticals, Inc. (b) 21,988 441 Wyeth 18,950 ------------ 216,007 ------------ PROFESSIONAL SERVICES--1.4% 214 Dun & Bradstreet (The) Corp. 16,264 404 Equifax, Inc. 9,987 90 FTI Consulting, Inc. (b) 3,691 352 Korn/Ferry International (b) 3,309 1,012 Navigant Consulting, Inc. (b) 14,502 1,029 Robert Half International, Inc. 17,441 153 Watson Wyatt Worldwide, Inc., Class A 7,115 ------------ 72,309 ------------ ROAD & RAIL--1.6% 283 Burlington Northern Santa Fe Corp. 18,749 302 Con-way, Inc. 6,653 464 Heartland Express, Inc. 6,245 459 J.B. Hunt Transport Services, Inc. 10,222 332 Knight Transportation, Inc. 4,429 139 Landstar System, Inc. 4,986 228 Norfolk Southern Corp. 8,746 321 Old Dominion Freight Line, Inc. (b) 8,051 926 Werner Enterprises, Inc. 13,890 ------------ 81,971 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.5% 312 Actel Corp. (b) 2,814 641 Altera Corp. 9,859 3,849 Atmel Corp. (b) 12,855 631 Broadcom Corp., Class A (b) 10,001 253 Cree, Inc. (b) 5,042 803 Exar Corp. (b) 5,436 95 FEI Co. (b) 1,729 61 Hittite Microwave Corp. (b) 1,563 875 Kopin Corp. (b) 1,383 1,627 LSI Corp. (b) 5,174 244 Micrel, Inc. 1,854 713 Semtech Corp. (b) 8,378 162 Silicon Laboratories, Inc. (b) 3,731 448 Ultratech, Inc. (b) 5,018 300 Xilinx, Inc. 5,055 ------------ 79,892 ------------ SOFTWARE--4.4% 758 ACI Worldwide, Inc. (b) 12,878 144 ANSYS, Inc. (b) 3,580 614 BMC Software, Inc. (b) 15,552 578 CA, Inc. 10,398 557 Catapult Communications Corp. (b) 3,843 701 Citrix Systems, Inc. (b) 14,749 793 Compuware Corp. (b) 5,155 223 Concur Technologies, Inc. (b) 5,506 372 Epicor Software Corp. (b) 1,317 547 EPIQ Systems, Inc. (b) 9,693 SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ SOFTWARE (Continued) 272 FactSet Research Systems, Inc. $ 10,826 390 Informatica Corp. (b) 4,976 450 Intuit, Inc. (b) 10,193 621 Jack Henry & Associates, Inc. 11,054 952 Macrovision Solutions Corp. (b) 12,481 797 McAfee, Inc. (b) 24,300 275 Microsoft Corp. 4,703 933 Oracle Corp. (b) 15,701 317 Parametric Technology Corp. (b) 2,853 210 Quality Systems, Inc. 7,829 658 Smith Micro Software, Inc. (b) 3,487 66 SPSS, Inc. (b) 1,695 486 Sybase, Inc. (b) 13,273 434 Synopsys, Inc. (b) 8,029 447 Tyler Technologies, Inc. (b) 5,628 1,334 Wind River Systems, Inc. (b) 10,632 ------------ 230,331 ------------ SPECIALTY RETAIL--5.2% 343 Aaron Rents, Inc. 7,498 477 Advance Auto Parts, Inc. 15,612 198 AutoZone, Inc. (b) 26,311 842 Bed Bath & Beyond, Inc. (b) 19,560 961 Chico's FAS, Inc. (b) 3,806 82 Children's Place Retail Stores (The), Inc. (b) 1,542 569 Dick's Sporting Goods, Inc. (b) 6,265 340 Dress Barn (The), Inc. (b) 2,931 247 GameStop Corp., Class A (b) 6,121 140 Gymboree (The) Corp. (b) 3,430 114 Hibbett Sports, Inc. (b) 1,552 1,197 Home Depot (The), Inc. 25,771 986 Hot Topic, Inc. (b) 8,420 205 Jos. A. Bank Clothiers, Inc. (b) 5,629 1,281 Lowe's Cos., Inc. 23,404 677 O'Reilly Automotive, Inc. (b) 19,680 871 PetSmart, Inc. 16,349 540 Ross Stores, Inc. 15,887 461 Sherwin-Williams (The) Co. 22,013 1,195 Staples, Inc. 19,048 521 TJX (The) Cos., Inc. 10,118 253 Tractor Supply Co. (b) 8,529 ------------ 269,476 ------------ TEXTILES, APPAREL & LUXURY GOODS--0.9% 380 Carter's, Inc. (b) 6,456 516 Coach, Inc. (b) 7,534 22 Deckers Outdoor Corp. (b) 1,149 176 Maidenform Brands, Inc. (b) 1,575 420 NIKE, Inc., Class B 19,005 348 Timberland (The) Co., Class A (b) 3,825 337 Under Armour, Inc. (b) 6,235 ------------ 45,779 ------------ THRIFTS & MORTGAGE FINANCE--0.4% 1,727 Hudson City Bancorp, Inc. 20,033 ------------ Page 94 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2009 (Unaudited) SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------ COMMON STOCKS (Continued) TRADING COMPANIES & DISTRIBUTORS--0.8% 307 Fastenal Co. $ 10,493 218 MSC Industrial Direct Co., Inc., Class A 7,469 350 W.W. Grainger, Inc. 25,532 ------------ 43,494 ------------ WATER UTILITIES--0.3% 780 Aqua America, Inc. 16,177 ------------ WIRELESS TELECOMMUNICATION SERVICES--0.1% 183 American Tower Corp., Class A (b) 5,552 ------------ TOTAL COMMON STOCKS--99.9% (Cost $5,765,394) 5,181,361 MONEY MARKET FUND--0.7% 34,397 Morgan Stanley Institutional Treasury Money Market Fund--0.18% (c) (Cost $34,397) 34,397 ------------ TOTAL INVESTMENTS--100.6% (Cost $5,799,791) (d) 5,215,758 NET OTHER ASSETS AND LIABILITIES--(0.6%) (29,013) ------------ NET ASSETS--100.0% $ 5,186,745 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2009 (d) Aggregate cost for federal income tax and financial reporting purposes. As of January 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $127,700 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $711,733. - -------------------------------------------------------------------------------- SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2009 is as follows (See Note 2A - Portfolio Valuation in the Notes to Financial Statements): Valuation Inputs Investments - ---------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 5,215,758 Level 2 - Other Significant Observable Inputs -- Level 3 - Significant Unobservable Inputs -- ----------------- Total $ 5,215,758 ================= See Notes to Financial Statements Page 95 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Assets and Liabilities January 31, 2009 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ----------------- ------------------- ------------------- ASSETS: Investments at value $ 3,473,816 $ 7,707,555 $ 5,465,457 Cash -- -- -- Receivables: Capital shares sold -- -- -- Dividends 2,788 13,022 226 Interest 3 3 3 From investment advisor 1,410 -- 568 Prepaid expenses 252 210 169 --------------- --------------- --------------- Total Assets 3,478,269 7,720,790 5,466,423 --------------- --------------- --------------- LIABILITIES: Due to Custodian -- -- -- Payables: Capital shares redeemed -- -- -- Investment securities purchased -- -- -- Audit and tax fees 19,596 19,596 19,596 Printing fees 4,783 5,118 5,558 Licensing fees 2,687 3,758 3,653 Investment advisory fees -- 76 -- Accrued expenses and other liabilities 10,150 6,879 8,946 --------------- --------------- --------------- Total Liabilities 37,216 35,427 37,753 --------------- --------------- --------------- NET ASSETS $ 3,441,053 $ 7,685,363 $ 5,428,670 =============== =============== =============== NET ASSETS consist of: Paid-in capital $ 7,513,784 $ 10,035,625 $ 11,643,590 Par value 4,000 5,500 5,000 Accumulated net investment income (loss) 2,112 11,061 923 Accumulated net realized gain (loss) on investments (2,230,342) (1,566,409) (3,843,692) Net unrealized appreciation (depreciation) on investments (1,848,501) (800,414) (2,377,151) --------------- --------------- --------------- NET ASSETS $ 3,441,053 $ 7,685,363 $ 5,428,670 =============== =============== =============== NET ASSET VALUE, per share $ 8.60 $ 13.97 $ 10.86 =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) 400,002 550,002 500,002 --------------- --------------- --------------- Investments at cost $ 5,322,317 $ 8,507,969 $ 7,842,608 =============== =============== ===============
Page 96 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - ------------------- ------------------- ------------------- ------------------- ------------------- $ 4,560,542 $ 12,513,260 $ 3,489,062 $ 4,164,045 $ 4,770,153 2,117 -- -- -- -- 9,484 -- -- -- 1,041,709 8,137 4,120 1,875 2,430 2,162 2 4 4 3 3 1,375 -- 1,427 1,068 630 201 459 135 225 362 -------------- --------------- --------------- --------------- --------------- 4,581,858 12,517,843 3,492,503 4,167,771 5,815,019 -------------- --------------- --------------- --------------- --------------- -- -- -- -- -- -- -- -- -- 1,041,066 12,293 -- -- -- -- 19,596 19,596 19,596 19,596 19,596 5,235 3,291 6,306 5,848 3,830 2,537 6,543 2,133 2,775 4,809 -- 3,194 -- -- -- 8,879 21,014 10,816 9,800 8,752 -------------- --------------- --------------- --------------- --------------- 48,540 53,638 38,851 38,019 1,078,053 -------------- --------------- --------------- --------------- --------------- $ 4,533,318 $ 12,464,205 $ 3,453,652 $ 4,129,752 $ 4,736,966 ============== =============== =============== =============== =============== $ 8,431,978 $ 16,029,964 $ 6,268,269 $ 8,878,149 $ 10,867,300 6,000 8,500 3,500 4,000 4,550 23,143 (11,070) 328 1,607 (5,749) (1,436,819) (2,879,885) (1,537,286) (3,171,518) (3,876,585) (2,490,984) (683,304) (1,281,159) (1,582,486) (2,252,550) --------------- --------------- --------------- --------------- -------------- $ 4,533,318 $ 12,464,205 $ 3,453,652 $ 4,129,752 $ 4,736,966 =============== =============== =============== =============== ============== $ 7.56 $ 14.66 $ 9.87 $ 10.32 $ 10.41 =============== =============== =============== =============== ============== 600,002 850,002 350,002 400,002 455,000 --------------- --------------- --------------- --------------- -------------- $ 7,051,526 $ 13,196,564 $ 4,770,221 $ 5,746,531 $ 7,022,703 =============== =============== =============== =============== ==============
See Notes to Financial Statements Page 97 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Assets and Liabilities (Continued) January 31, 2009 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------- ------------------- ------------------ ASSETS: Investments at value $ 18,141,142 $ 10,213,265 $ 6,629,712 Cash -- -- -- Receivables: Capital shares sold -- -- -- Dividends 42,205 9,982 5,124 Interest 5 4 3 From investment advisor -- -- 256 Prepaid expenses 460 426 296 --------------- --------------- --------------- Total Assets 18,183,812 10,223,677 6,635,391 --------------- --------------- --------------- LIABILITIES: Due to Custodian -- -- -- Payables: Capital shares redeemed -- -- -- Investment securities purchased -- -- -- Audit and tax fees 19,596 19,596 19,596 Printing fees 3,178 3,815 4,550 Licensing fees 7,516 885 584 Investment advisory fees 7,304 1,609 -- Accrued expenses and other liabilities 27,448 23,203 12,489 --------------- --------------- --------------- Total Liabilities 65,042 49,108 37,219 --------------- --------------- --------------- NET ASSETS $ 18,118,770 $ 10,174,569 $ 6,598,172 =============== =============== =============== NET ASSETS consist of: Paid-in capital $ 21,951,186 $ 17,551,519 $ 11,857,077 Par value 14,500 6,500 4,000 Accumulated net investment income (loss) 43,820 5,557 6,453 Accumulated net realized gain (loss) on investments (1,747,869) (4,131,672) (3,295,090) Net unrealized appreciation (depreciation) on investments (2,142,867) (3,257,335) (1,974,268) --------------- --------------- --------------- NET ASSETS $ 18,118,770 $ 10,174,569 $ 6,598,172 =============== =============== =============== NET ASSET VALUE, per share $ 12.50 $ 15.65 $ 16.50 =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) 1,450,002 650,002 400,002 --------------- --------------- --------------- Investments at cost $ 20,284,009 $ 13,470,600 $ 8,603,980 =============== =============== ===============
Page 98 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - ------------------- ------------------- ------------------- ------------------- ------------------- $ 4,560,872 $ 14,483,464 $ 12,843,061 $ 4,389,257 $ 5,215,758 -- -- -- -- -- -- -- -- -- -- 2,019 20,079 7,975 4,480 2,421 5 -- 5 2 3 -- -- -- 2,189 2,916 288 827 1,021 139 225 --------------- --------------- --------------- --------------- --------------- 4,563,184 14,504,370 12,852,062 4,396,067 5,221,323 --------------- --------------- --------------- --------------- --------------- -- 3,376 -- -- -- -- -- -- -- -- -- -- -- -- -- 19,596 19,596 19,596 19,596 19,596 4,664 2,700 2,412 6,241 5,297 415 1,334 1,119 341 457 12,583 405 9,459 -- -- 16,439 10,016 28,673 9,578 9,228 --------------- --------------- --------------- --------------- --------------- 53,697 37,427 61,259 35,756 34,578 --------------- --------------- --------------- --------------- --------------- $ 4,509,487 $ 14,466,943 $ 12,790,803 $ 4,360,311 $ 5,186,745 =============== =============== =============== =============== =============== $ 9,847,233 $ 26,879,448 $ 28,997,661 $ 7,886,728 $ 9,256,500 3,000 10,000 7,500 3,000 3,000 2,115 17,789 2,876 4,159 1,304 (3,304,150) (6,766,441) (14,479,071) (2,012,443) (3,490,026) (2,038,711) (5,673,853) (1,738,163) (1,521,133) (584,033) --------------- --------------- --------------- --------------- --------------- $ 4,509,487 $ 14,466,943 $ 12,790,803 $ 4,360,311 $ 5,186,745 =============== =============== =============== =============== =============== $ 15.03 $ 14.47 $ 17.05 $ 14.53 $ 17.29 =============== =============== =============== =============== =============== 300,002 1,000,002 750,002 300,002 300,002 --------------- --------------- --------------- --------------- --------------- $ 6,599,583 $ 20,157,317 $ 14,581,224 $ 5,910,390 $ 5,799,791 =============== =============== =============== =============== ===============
See Notes to Financial Statements Page 99 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Operations January 31, 2009 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------- ------------------- ------------------- INVESTMENT INCOME: Dividends $ 40,448 $ 110,091 $ 26,918 Foreign tax withholding -- -- -- Interest 270 232 208 ---------------- ---------------- ---------------- Total investment income 40,718 110,323 27,126 ---------------- ---------------- ---------------- EXPENSES: Audit and tax fees 14,832 14,832 14,832 Investment advisory fees 12,176 17,680 14,287 Listing fees 5,042 5,042 5,042 Accounting and administration fees 2,796 2,574 2,445 Licensing fees 2,435 3,536 2,858 Custodian fees 612 530 508 Trustees' fees and expenses 123 154 127 Transfer agent fees 122 177 143 Registration and filing fees 46 46 70 Legal fees 10 180 70 Printing fees -- 205 -- Other expenses 91 120 206 ---------------- ---------------- ---------------- Total expenses 38,285 45,076 40,588 Less fees waived and expenses reimbursed by the investment advisor (21,238) (20,324) (20,585) ---------------- ---------------- ---------------- Net expenses 17,047 24,752 20,003 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 23,671 85,571 7,123 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments (1,074,267) (538,238) (2,645,033) In-kind redemptions (544,305) (605,311) (597,259) ---------------- ---------------- ---------------- Net realized gain (loss) (1,618,572) (1,143,549) (3,242,292) Net change in unrealized appreciation (depreciation) on investments (1,602,790) (776,388) (1,310,731) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (3,221,362) (1,919,937) (4,553,023) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (3,197,691) $ (1,834,366) $ (4,545,900) ================ ================ ================
Page 100 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 85,589 $ 30,757 $ 23,707 $ 47,917 $ 23,847 (24) -- -- -- -- 257 153 215 229 311 ------------------ ------------------ ------------------ ------------------ ------------------ 85,822 30,910 23,922 48,146 24,158 ------------------ ------------------ ------------------ ------------------ ------------------ 14,832 14,832 14,832 14,832 14,832 11,932 29,986 8,849 11,963 21,362 5,042 5,042 5,042 5,042 5,042 3,023 4,101 1,842 2,262 3,272 2,387 5,997 1,770 2,392 4,272 1,179 1,086 270 324 821 123 600 123 289 550 119 300 89 120 214 46 290 46 46 309 83 14,246 -- 11 103 -- 322 -- -- -- 92 126 144 152 184 ------------------ ------------------ ------------------ ------------------ ------------------ 38,858 76,928 33,007 37,433 50,961 (22,153) (34,948) (20,618) (20,686) (21,054) ------------------ ------------------ ------------------ ------------------ ------------------ 16,705 41,980 12,389 16,747 29,907 ------------------ ------------------ ------------------ ------------------ ------------------ 69,117 (11,070) 11,533 31,399 (5,749) ------------------ ------------------ ------------------ ------------------ ------------------ (844,620) (2,334,048) (839,244) (1,808,963) (2,487,280) (7,195) -- -- (994,191) (832,146) ------------------ ------------------ ------------------ ------------------ ------------------ (851,815) (2,334,048) (839,244) (2,803,154) (3,319,426) (2,226,765) (1,035,827) (1,255,966) (1,838,527) (1,899,860) ------------------ ------------------ ------------------ ------------------ ------------------ (3,078,580) (3,369,875) (2,095,210) (4,641,681) (5,219,286) ------------------ ------------------ ------------------ ------------------ ------------------ $ (3,009,463) $ (3,380,945) $ (2,083,677) $ (4,610,282) $ (5,225,035) ================== ================== ================== ================== ==================
See Notes to Financial Statements Page 101 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Operations (Continued) January 31, 2009 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------- ------------------- ------------------- INVESTMENT INCOME: Dividends $ 326,554 $ 144,972 $ 74,087 Foreign Tax Withholding -- -- -- Interest 303 244 260 --------------- --------------- --------------- Total Investment Income 326,857 145,216 74,347 --------------- --------------- --------------- EXPENSES: Audit and Tax Fees 14,832 14,832 14,832 Investment Advisory Fees 35,130 29,727 20,598 Listing Fees 5,042 5,042 5,042 Accounting and Administration Fees 4,477 6,303 4,870 Licensing Fees 7,026 5,946 4,120 Custodian Fees 1,253 3,006 1,789 Trustees' Fees and Expenses 3,343 123 123 Transfer Agent Fees 351 297 206 Registration and Filing Fees 226 1,299 517 Legal Fees 23,796 11,401 141 Printing Fees 427 205 -- Other Expenses 116 423 180 --------------- --------------- --------------- Total Expenses 96,019 78,604 52,418 Less Fees Waived and Expenses Reimbursed by the Investment Advisor (46,837) (36,985) (23,581) --------------- --------------- --------------- Net Expenses 49,182 41,619 28,837 --------------- --------------- --------------- NET INVESTMENT INCOME (Loss) 277,675 103,597 45,510 --------------- --------------- --------------- REALIZED AND UNREALIZED GAIN (Loss): Net Realized Gain (Loss) On: Investments (1,468,190) (2,800,642) (2,118,110) In-kind Redemptions -- -- -- --------------- --------------- --------------- Net Realized Gain (Loss) (1,468,190) (2,800,642) (2,118,110) Net Change in Unrealized Appreciation (Depreciation) On Investments (1,949,360) (2,647,907) (1,808,289) --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (Loss) (3,417,550) (5,448,549) (3,926,399) --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (3,139,875) $ (5,344,952) $ (3,880,889) =============== =============== ===============\
Page 102 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 46,058 $ 312,061 $ 139,456 $ 55,726 $ 32,356 (30) -- -- (7) -- 209 261 266 230 228 ------------------ ------------------ ------------------ ------------------ ------------------ 46,237 312,322 139,722 55,949 32,584 ------------------ ------------------ ------------------ ------------------ ------------------ 14,832 14,832 14,832 14,832 14,832 18,505 47,741 56,904 10,022 15,914 5,042 5,042 5,042 5,042 5,042 5,875 7,218 7,575 7,042 6,725 3,701 9,548 11,381 2,004 3,183 3,000 2,676 2,587 1,181 2,896 127 183 123 123 123 185 477 569 100 159 230 535 1,338 46 46 2,464 3,254 14,844 2 82 -- 382 358 -- -- 230 378 1,157 213 465 ------------------ ------------------ ------------------ ------------------ ------------------ 54,191 92,266 116,710 40,607 49,467 (28,284) (25,429) (37,130) (26,574) (27,187) ------------------ ------------------ ------------------ ------------------ ------------------ 25,907 66,837 79,580 14,033 22,280 ------------------ ------------------ ------------------ ------------------ ------------------ 20,330 245,485 60,142 41,916 10,304 ------------------ ------------------ ------------------ ------------------ ------------------ (1,577,005) (4,277,005) (8,668,997) (1,102,763) (2,094,559) (392,409) (1,337,390) (2,246,444) -- 111,828 ------------------ ------------------ ------------------ ------------------ ------------------ (1,969,414) (5,614,395) (10,915,441) (1,102,763) (1,982,731) (1,830,423) (4,156,691) (2,341,228) (702,942) (1,119,486) ------------------ ------------------ ------------------ ------------------ ------------------ (3,799,837) (9,771,086) (13,256,669) (1,805,705) (3,102,217) ------------------ ------------------ ------------------ ------------------ ------------------ $ (3,779,507) $ (9,525,601) $ (13,196,527) $ (1,763,789) $ (3,091,913) ================== ================== ================== ================== ==================
See Notes to Financial Statements Page 103 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets
First Trust First Trust Consumer Consumer Discretionary Staples AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------------------------- ------------------------------------- For the For the Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 ------------------ ------------------ ------------------- ---------------- OPERATIONS: Net investment income (loss) $ 23,671 $ 11,833 $ 85,571 $ 30,839 Net realized gain (loss) (1,618,572) (552,086) (1,143,549) (304,283) Net change in unrealized appreciation (depreciation) (1,602,790) (130,768) (776,388) 134,562 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations (3,197,691) (671,021) (1,834,366) (138,882) ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (22,000) (11,580) (77,826) (33,075) Net realized gain -- -- -- -- ------------- ------------- ------------- ------------- Total distributions to shareholders (22,000) (11,580) (77,826) (33,075) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 5,043,876 3,300,300 12,184,384 1,985,991 Value of shares repurchased (1,929,740) (953,917) (5,281,358) (1,985,991) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions 3,114,136 2,346,383 6,903,026 -- ------------- ------------- ------------- ------------- Total increase (decrease) in net assets (105,555) 1,663,782 4,990,834 (171,957) NET ASSETS: Beginning of period 3,546,608 1,882,826 2,694,529 2,866,486 ------------- ------------- ------------- ------------- End of period $ 3,441,053 $ 3,546,608 $ 7,685,363 $ 2,694,529 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period $ 2,112 $ 441 $ 11,061 $ 3,316 ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 250,002 100,002 150,002 150,002 Shares sold 350,000 200,000 700,000 100,000 Shares repurchased (200,000) (50,000) (300,000) (100,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period 400,002 250,002 550,002 150,002 ============= ============= ============= =============
Page 104 See Notes to Financial Statements
First Trust First Trust First Trust First Trust Industrials/ Energy Financials Health Care Producer Durables AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - --------------------------------- -------------------------------- -------------------------------- ------------------------------- For the For the For the For the Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 -------------------------------- -------------------------------- -------------------------------- ------------------------------- $ 7,123 $ 26,134 $ 69,117 $ 36,793 $ (11,070) $ (14,822) $ 11,533 $ 13,170 (3,242,292) 565,110 (851,815) (558,384) (2,334,048) (336,595) (839,244) (576,520) (1,310,731) (813,167) (2,226,765) (51,731) (1,035,827) 377,596 (1,255,966) 240,994 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- (4,545,900) (221,923) (3,009,463) (573,322) (3,380,945) 26,179 (2,083,677) (322,356) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- (6,200) (30,458) (47,100) (42,251) -- -- (12,900) (11,475) -- (892) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- (6,200) (31,350) (47,100) (42,251) -- -- (12,900) (11,475) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- 3,852,344 14,269,178 6,641,145 1,612,374 7,324,582 8,610,569 1,165,741 1,933,032 (2,218,570) (10,853,396) (912,749) (926,277) -- (2,064,712) -- (1,933,032) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- 1,633,774 3,415,782 5,728,396 686,097 7,324,582 6,545,857 1,165,741 -- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- (2,918,326) 3,162,509 2,671,833 70,524 3,943,637 6,572,036 (930,836) (333,831) 8,346,996 5,184,487 1,861,485 1,790,961 8,520,568 1,948,532 4,384,488 4,718,319 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------- $ 5,428,670 $ 8,346,996 $ 4,533,318 $ 1,861,485 $12,464,205 $ 8,520,568 $ 3,453,652 $ 4,384,488 ============ ============ ============ ============ ============ ============ ============ ============= $ 923 $ -- $ 23,143 $ 1,126 $ (11,070) $ -- $ 328 $ 1,695 ============ ============ ============ ============ ============ ============ ============ ============= 350,002 250,002 150,002 100,002 450,002 100,002 250,002 250,002 350,000 550,000 550,000 100,000 400,000 450,000 100,000 100,000 (200,000) (450,000) (100,000) (50,000) -- (100,000) -- (100,000) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 500,002 350,002 600,002 150,002 850,002 450,002 350,002 250,002 ============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 105 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets (Continued)
First Trust First Trust Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------------------------- --------------------------------- For the For the Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 ----------------- -------------------- --------------------------------- OPERATIONS: Net investment income (loss) $ 31,399 $ 24,937 $ (5,749) $ (12,308) Net realized gain (loss) (2,803,154) 42,430 (3,319,426) (438,946) Net change in unrealized appreciation (depreciation) (1,838,527) 310,083 (1,899,860) (356,682) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations (4,610,282) 377,450 (5,225,035) (807,936) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (31,001) (26,265) -- -- Net realized gain -- -- -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders (31,001) (26,265) -- -- ------------ ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 6,763,631 5,269,020 4,317,764 8,660,675 Value of shares repurchased (3,466,577) (3,171,331) (3,259,389) (1,098,049) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from shareholder transactions 3,297,054 2,097,689 1,058,375 7,562,626 ------------ ------------ ------------ ------------ Total increase (decrease) in net assets (1,344,229) 2,448,874 (4,166,660) 6,754,690 NET ASSETS: Beginning of period 5,473,981 3,025,107 8,903,626 2,148,936 ------------ ------------ ------------ ------------ End of period $ 4,129,752 $ 5,473,981 $ 4,736,966 $ 8,903,626 ============ ============ ============ ============ Accumulated net investment income (loss) at end of period $ 1,607 $ 1,209 $ (5,749) $ -- ============ ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 250,002 150,002 505,000 105,000 Shares sold 450,000 250,000 250,000 450,000 Shares repurchased (300,000) (150,000) (300,000) (50,000) ------------ ------------ ------------ ------------ Shares outstanding, end of period 400,002 250,002 455,000 505,000 ============ ============ ============ ============
Page 106 See Notes to Financial Statements
First Trust First Trust First Trust First Trust Utilities Large Cap Core Mid Cap Core Small Cap Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund - ------------------------------- ------------------------------- -------------------------------- ---------------------------------- For the For the For the For the Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 -------------- --------------- ---------------- -------------- ---------------- --------------- -------------- ------------------- $ 277,675 $ 88,794 $ 103,597 $ 120,810 $ 45,510 $ 40,583 $ 20,330 $ 15,764 (1,468,190) (190,365) (2,800,642) (1,255,398) (2,118,110) (995,161) (1,969,414) (1,267,524) (1,949,360) 43,051 (2,647,907) (364,632) (1,808,289) 288,552 (1,830,423) 327,549 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (3,139,875) (58,520) (5,344,952) (1,499,220) (3,880,889) (666,026) (3,779,507) (924,211) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (255,501) (78,502) (107,700) (115,441) (42,200) (39,200) (18,750) (18,440) -- -- -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (255,501) (78,502) (107,700) (115,441) (42,200) (39,200) (18,750) (18,440) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 15,847,516 6,783,781 828,192 16,563,871 -- 8,542,062 -- 10,645,981 -- (3,736,342) -- (3,018,540) -- (3,031,020) (1,608,061) (5,447,956) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 15,847,516 3,047,439 828,192 13,545,331 -- 5,511,042 (1,608,061) 5,198,025 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 12,452,140 2,910,417 (4,624,460) 11,930,670 (3,923,089) 4,805,816 (5,406,318) 4,255,374 5,666,630 2,756,213 14,799,029 2,868,359 10,521,261 5,715,445 9,915,805 5,660,431 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 18,118,770 $ 5,666,630 $ 10,174,569 $ 14,799,029 $ 6,598,172 $ 10,521,261 $ 4,509,487 $ 9,915,805 ============ ============ ============ ============ ============ ============ ============ ============ $ 43,820 $ 21,646 $ 5,557 $ 9,660 $ 6,453 $ 3,143 $ 2,115 $ 535 ============ ============ ============ ============ ============ ============ ============ ============ 350,002 150,002 600,002 100,002 400,002 200,002 400,002 200,002 1,100,000 400,000 50,000 600,000 -- 300,000 -- 400,000 -- (200,000) -- (100,000) -- (100,000) (100,000) (200,000) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 1,450,002 350,002 650,002 600,002 400,002 400,002 300,002 400,002 ============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 107 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets (Continued)
First Trust First Trust Large Cap Value Large Cap Growth Opportunities Opportunities AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------------------------- -------------------------------- For the For the Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 ---------------- ----------------- ------------------ ---------------- OPERATIONS: Net investment income (loss) $ 245,485 $ 197,639 $ 60,142 $ 83,304 Net realized gain (loss) (5,614,395) (1,074,825) (10,915,441) (3,428,659) Net change in unrealized appreciation (depreciation) (4,156,691) (985,648) (2,341,228) 835,410 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations (9,525,601) (1,862,834) (13,196,527) (2,509,945) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (249,750) (183,261) (60,000) (80,570) Net realized gain -- -- -- -- Return of capital -- -- -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders (249,750) (183,261) (60,000) (80,570) ------------ ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 9,443,223 22,463,648 886,225 37,101,159 Value of shares repurchased (8,364,351) (2,923,373) (12,042,845) (3,151,252) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from shareholder transactions 1,078,872 19,540,275 (11,156,620) 33,949,907 ------------ ------------ ------------ ------------ Total increase (decrease) in net assets (8,696,479) 17,494,180 (24,413,147) 31,359,392 NET ASSETS: Beginning of period 23,163,422 5,669,242 37,203,950 5,844,558 ------------ ------------ ------------ ------------ End of period $ 14,466,943 $ 23,163,422 $ 12,790,803 $ 37,203,950 ============ ============ ============ ============ Accumulated net investment income (loss) at end of period $ 17,789 $ 22,054 $ 2,876 $ 2,734 ============ ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 1,000,002 200,002 1,400,002 200,002 Shares sold 500,000 900,000 50,000 1,300,000 Shares repurchased (500,000) (100,000) (700,000) (100,000) ------------ ------------ ------------ ------------ Shares outstanding, end of period 1,000,002 1,000,002 750,002 1,400,002 ============ ============ ============ ============
Page 108 See Notes to Financial Statements
First Trust First Trust Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund - ----------------------------------------- ---------------------------------------- For the For the Six Months Ended For the Year Six Months Ended For the Year January 31, 2009 Ended January 31, 2009 Ended (Unaudited) July 31, 2008 (Unaudited) July 31, 2008 ------------------- -------------------- ------------------- -------------------- $ 41,916 $ 88,713 $ 10,304 $ 8,995 (1,102,763) (567,762) (1,982,731) (1,426,991) (702,942) (483,942) (1,119,486) 1,099,912 -------------- ------------- ------------- ------------ (1,763,789) (962,991) (3,091,913) (318,084) -------------- ------------- ------------- ------------ (41,501) (91,341) (9,000) (8,995) -- -- -- -- -- -- -- (1,395) -------------- ------------- ------------- ------------ (41,501) (91,341) (9,000) (10,390) -------------- ------------- ------------- ------------ 1,518,965 10,762,282 2,208,339 5,943,787 -- (7,856,705) (2,208,339) (6,145,757) -------------- ------------- ------------- ------------ 1,518,965 2,905,577 -- (201,970) -------------- ------------- ------------- ------------ (286,325) 1,851,245 (3,100,913) (530,444) 4,646,636 2,795,391 8,287,658 8,818,102 -------------- ------------- ------------- ------------ $ 4,360,311 $ 4,646,636 $ 5,186,745 $ 8,287,658 ============== ============= ============= ============ $ 4,159 $ 3,744 $ 1,304 $ -- ============= ============= ============= ============ 200,002 100,002 300,002 300,002 100,000 400,000 100,000 200,000 -- (300,000) (100,000) (200,000) ------------ ------------ ------------ ------------ 300,002 200,002 300,002 300,002 ============ ============ ============ ============
See Notes to Financial Statements Page 109 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Consumer Discretionary AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 -------------------- --------------------- ---------------------- Net asset value, beginning of period $ 14.19 $ 18.83 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.08 0.00(b)(f) Net realized and unrealized gain (loss) (5.59) (4.64) (1.17) ---------- ---------- ---------- Total from investment operations (5.53) (4.56) (1.17) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.06) (0.08) -- ---------- ---------- ---------- Net asset value, end of period $ 8.60 $ 14.19 $ 18.83 ========== ========== ========== TOTAL RETURN (C) (39.05)% (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,441 $ 3,547 $ 1,883 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.57%(d) 3.36% 11.39%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.97%(d) 0.58% 0.04%(d) Portfolio turnover rate (e) 62% 91% 34%
First Trust Consumer Staples AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- -------------------- ---------------------- Net asset value, beginning of period $ 17.96 $ 19.11 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.21 0.04(b) Net realized and unrealized gain (loss) (3.99) (1.14) (0.93) ---------- ---------- ---------- Total from investment operations (3.85) (0.93) (0.89) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.22) -- ---------- ---------- ---------- NEt asset value, end of period $ 13.97 $ 17.96 $ 19.11 ========== ========== ========== TOTAL RETURN (c) (21.44)% (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,685 $ 2,695 $ 2,866 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.27%(d) 2.55% 9.34%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.42%(d) 1.10% 0.98%(d) Portfolio turnover rate (e) 63% 96% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. Page 110 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Energy AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 ---------------------- -------------------- --------------------- Net asset value, beginning of period $ 23.85 $ 20.74 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 0.12 (0.00)(b)(f) Net realized and unrealized gain (loss) (12.99) 3.12 0.74 ---------- ---------- ---------- Total from investment operations (12.97) 3.24 0.74 ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) (0.13) -- Net realized gain -- (0.00)(f) -- ---------- ---------- ---------- Total distributions (0.02) (0.13) -- ---------- ---------- ---------- Net asset value, end of period $ 10.86 $ 23.85 $ 20.74 ========== ========== ========== TOTAL RETURN (c) (54.40)% 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,429 $ 8,347 $ 5,184 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.42%(d) 1.80% 9.49% (d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.25%(d) 0.48% (0.03)%(d) Portfolio turnover rate (e) 56% 67% 1%
First Trust Financials AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ------------------ -------------------- Net asset value, beginning of period $ 12.41 $ 17.91 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.29 0.07(b) Net realized and unrealized gain (loss) (4.88) (5.44) (2.16) ---------- ---------- ---------- Total from investment operations (4.77) (5.15) (2.09) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.35) -- ---------- ---------- ---------- Net asset value, end of period $ 7.56 $ 12.41 $ 17.91 ========== ========== ========== TOTAL RETURN (c) (38.58)% (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,533 $ 1,861 $ 1,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.63%(d) 3.89% 11.58%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.90%(d) 2.13% 1.46%(d) Portfolio turnover rate (e) 76% 74% 26%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. See Notes to Financial Statements Page 111 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Health Care AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- --------------------- ---------------------- Net asset value, beginning of period $ 18.93 $ 19.48 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.01) (0.03) (0.01)(b) Net realized and unrealized gain (loss) (4.26) (0.52) (0.51) ---------- ---------- ---------- Total from investment operations (4.27) (0.55) (0.52) ---------- ---------- ---------- Net asset value, end of period $ 14.66 $ 18.93 $ 19.48 ========== ========== ========== TOTAL RETURN (C) (22.56)% (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,464 $ 8,521 $ 1,949 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.28% (d) 2.03% 11.48% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets (0.18)%(d) (0.34)% (0.31)%(d) Portfolio turnover rate (e) 71% 89% 30%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 ---------------------- ----------------- ------------------- Net asset value, beginning of period $ 17.54 $ 18.87 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 0.05 (0.00)(b)(f) Net realized and unrealized gain (loss) (7.67) (1.33) (1.13) ---------- ---------- ---------- Total from investment operations (7.63) (1.28) (1.13) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.05) -- ---------- ---------- ---------- Net asset value, end of period $ 9.87 $ 17.54 $ 18.87 ========== ========== ========== TOTAL RETURN (c) (43.50)% (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,454 $ 4,384 $ 4,718 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.86%(d) 1.90% 10.09% (d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.65%(d) 0.29% (0.14)%(d) Portfolio turnover rate (e) 52% 81% 24%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. Page 112 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Materials AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ------------------ -------------------- Net asset value, beginning of period $ 21.90 $ 20.17 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.12 0.16 0.02(b) Net realized and unrealized gain (loss) (11.58) 1.75 0.15 ---------- ---------- ---------- Total from investment operations (11.46) 1.91 0.17 DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.18) -- ---------- ---------- ---------- Net asset value, end of period $ 10.32 $ 21.90 $ 20.17 ========== ========== ========== TOTAL RETURN (c) (52.39)% 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,130 $ 5,474 $ 3,025 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.56%(d) 2.33% 9.56%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.31%(d) 0.75% 0.46%(d) Portfolio turnover rate (e) 82% 59% 1%
First Trust Technology AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ----------------- --------------------- Net Asset Value, Beginning of Period $ 17.63 $ 20.47 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.01) (0.02) (0.02)(b) Net realized and unrealized gain (loss) (7.21) (2.82) 0.49 ---------- ---------- ---------- Total from investment operations (7.22) (2.84) 0.47 ---------- ---------- ---------- Net asset value, end of period $ 10.41 $ 17.63 $ 20.47 ========== ========== ========== TOTAL RETURN (c) (40.95)% (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,737 $ 8,904 $ 2,149 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.19% (d) 2.01% 10.64% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets (0.13)%(d) (0.29)% (0.47)%(d) Portfolio turnover rate (e) 66% 89% 6%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 113 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Utilities AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 ------------------- ------------------- -------------------- Net asset value, beginning of period $ 16.19 $ 18.37 $ 20.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.15 0.90 0.09(b) Net realized and unrealized gain (loss) (3.66) (2.17) (1.72) ---------- ---------- ---------- Total from investment operations (3.51) (1.27) (1.63) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.91) -- ---------- ---------- ---------- Net asset value, end of period $ 12.50 $ 16.19 $ 18.37 ========== ========== ========== TOTAL RETURN (c) (21.70)% (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 18,119 $ 5,667 $ 2,756 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.37%(d) 2.50% 10.12%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 3.95%(d) 2.96% 2.18%(d) Portfolio turnover rate (e) 72% 68% 1%
First Trust Large Cap Core AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 ------------------- ------------------ --------------------- Net asset value, beginning of period $ 24.66 $ 28.68 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.25 0.04(b) Net realized and unrealized gain (loss) (9.00) (4.00) (1.36) ---------- ---------- ---------- Total from investment operations (8.83) (3.75) (1.32) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.27) -- ---------- ---------- ---------- Net asset value, end of period $ 15.65 $ 24.66 $ 28.68 ========== ========== ========== TOTAL RETURN (c) (35.87)% (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,175 $ 14,799 $ 2,868 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.32%(d) 1.42% 7.86%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.74%(d) 1.16% 0.62%(d) Portfolio turnover rate (e) 59% 90% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 114 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Mid Cap Core AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 -------------------- -------------------- --------------------- Net asset value, beginning of period $ 26.30 $ 28.58 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.14 0.01(b) Net realized and unrealized gain (loss) (9.80) (2.28) (1.43) ---------- ---------- ---------- Total from investment operations (9.69) (2.14) (1.42) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.14) -- ---------- ---------- ---------- Net asset value, end of period $ 16.50 $ 26.30 $ 28.58 ========== ========== ========== TOTAL RETURN (c) (36.89)% (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 6,598 $ 10,521 $ 5,715 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.27%(d) 1.61% 5.98%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.10%(d) 0.54% 0.19%(d) Portfolio turnover rate (e) 60% 82% 1%
First Trust Small Cap Core AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ------------------- ------------------- Net asset value, beginning of period $ 24.79 $ 28.30 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.07 0.06 0.02(b) Net realized and unrealized gain (loss) (9.77) (3.50) (1.72) ---------- ---------- ---------- Total from investment operations (9.70) (3.44) (1.70) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.06) (0.07) -- ---------- ---------- ---------- Net asset value, end of period $ 15.03 $ 24.79 $ 28.30 ========== ========== ========== TOTAL RETURN (c) (39.15)% (12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,509 $ 9,916 $ 5,660 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.46%(d) 1.87% 7.25%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.55%(d) 0.25% 0.42%(d) Portfolio turnover rate (e) 55% 95% 2%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 115 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Large Cap Value Opportunities AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 -------------------- ------------------ -------------------- Net asset value, beginning of period $ 23.16 $ 28.35 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.28 0.43 0.06(b) Net realized and unrealized gain (loss) (8.69) (5.18) (1.71) ---------- ---------- ---------- Total from investment operations (8.41) (4.75) (1.65) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.44) -- ---------- ---------- ---------- Net asset value, end of period $ 14.47 $ 23.16 $ 28.35 ========== ========== ========== TOTAL RETURN (c) (36.46)% (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 14,467 $ 23,163 $ 5,669 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.97%(d) 1.35% 6.95%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.57%(d) 1.80% 0.97%(d) Portfolio turnover rate (e) 7% 104% 1%
First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 -------------------- ------------------- --------------------- Net asset value, beginning of period $ 26.57 $ 29.22 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.08 0.15 (0.00)(b)(f) Net realized and unrealized gain (loss) (9.52) (2.65) (0.78) ---------- ---------- ---------- Total from investment operations (9.44) (2.50) (0.78) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.15) -- ---------- ---------- ---------- Net asset value, end of period $ 17.05 $ 26.57 $ 29.22 ========== ========== ========== TOTAL RETURN (c) (35.54)% (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,791 $ 37,204 $ 5,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.03%(d) 1.17% 5.98%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.53%(d) 0.43% (0.07)%(d) Portfolio turnover rate (e) 78% 134% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 Per share. Page 116 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout the period First Trust Multi Cap Value AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ------------------ ------------------ Net asset value, beginning of period $ 23.23 $ 27.95 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.35 0.06(b) Net realized and unrealized gain (loss) (8.70) (4.68) (2.11) ---------- ---------- ---------- Total from investment operations (8.53) (4.33) (2.05) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.39) -- ---------- ---------- ---------- Net asset value, end of period $ 14.53 $ 23.23 $ 27.95 ========== ========== ========== TOTAL RETURN (c) (36.81)% (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,360 $ 4,647 $ 2,795 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 2.03%(d) 1.70% 7.91%(d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.09%(d) 1.45% 0.93%(d) Portfolio turnover rate (e) 73% 59% 2%
First Trust Multi Cap Growth AlphaDEX(R) Fund
For the For the Period Six Months Ended For the May 8, 2007 (a) January 31, 2009 Year Ended Through (Unaudited) July 31, 2008 July 31, 2007 --------------------- ----------------- --------------------- Net asset value, beginning of period $ 27.63 $ 29.39 $ 30.00 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 0.05 (0.01)(b) Net realized and unrealized gain (loss) (10.34) (1.76) (0.60) ---------- ---------- ---------- Total from investment operations (10.31) (1.71) (0.61) ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.03) (0.04) -- Return of capital -- (0.01) -- ---------- ---------- ---------- Total distributions (0.03) (0.05) -- ---------- ---------- ---------- Net asset value, end of period $ 17.29 $ 27.63 $ 29.39 ========== ========== ========== TOTAL RETURN (c) (37.32)% (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,187 $ 8,288 $ 8,818 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.55%(d) 1.55% 6.01% (d) Ratio of net expenses to average net assets 0.70%(d) 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.32%(d) 0.12% (0.21)%(d) Portfolio turnover rate (e) 80% 110% 1%
(a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements Page 117 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) 1. Organization First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of sixteen funds: First Trust Consumer Discretionary AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXU") First Trust Large Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTA") First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAD") Each fund represents a separate series of beneficial interest in the Trust (individually, each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of shares called a "Creation Unit". Effective December 1, 2008, each Creation Unit consists of 50,000 shares. Prior to December 1, 2008, the Creation Unit for the First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, and the First Trust Utilities AlphaDEX(R) Fund (collectively, the "Sector Funds") consisted of 50,000 shares and for the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, and the First Trust Multi Cap Growth AlphaDEX(R) Fund (collectively, the "Style Funds") consisted of 100,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
Fund Index First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1) First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index
(1) This Index is developed, maintained and sponsored by NYSE Euronext or its affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P. ("FTP") by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the Index was developed, maintained and sponsored by AMEX. Page 118 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. Portfolio Valuation The NAV of each Fund's shares is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is 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 in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Portfolio securities listed on any exchange other than the NASDAQ National Market ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there has been no sale on such day, or no official closing price in the case of securities traded on the NASDAQ or the AIM, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities trading on the NASDAQ and the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. The use of fair value pricing by each Fund is governed by valuation procedures adopted by the Board of Trustees and is in accordance with the provisions of the 1940 Act. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its index. In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 became effective for the Funds as of August 1, 2008, the beginning of each Fund's current fiscal year. The three levels of the fair value hierarchy under FAS 157 are as follows: o Level 1 - quoted prices in active markets for identical securities o Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of January 31, 2009 is included with each Fund's Portfolio of Investments. B. Securities Transactions and Investment Income Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Page 119 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) A Fund may hold publicly-traded master limited partnerships ("MLPs") and real estate investment trusts ("REITs"). Distributions from such investments may include a return of capital component from the MLP or REIT to the extent of the cost basis of such MLP or REIT investments. The actual character of amounts received during the year are not known until after the fiscal year end. A Fund records the character of distributions received from the MLPs or REITs during the year based on estimates available. A Fund's characterization may be subsequently revised based on information received from the MLPs or REITs after their tax reporting periods conclude. C. Dividends and Distribution to Shareholders Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by a Fund, timing differences and differing characterization of distributions made by a Fund. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2008 was as follows:
Distributions paid Distributions paid from Ordinary from Return of Income Capital --------------------- --------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 11,580 $ -- First Trust Consumer Staples AlphaDEX(R) Fund 33,075 -- First Trust Energy AlphaDEX(R) Fund 31,350 -- First Trust Financials AlphaDEX(R) Fund 42,251 -- First Trust Health Care AlphaDEX(R) Fund -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,475 -- First Trust Materials AlphaDEX(R) Fund 26,265 -- First Trust Technology AlphaDEX(R) Fund -- -- First Trust Utilities AlphaDEX(R) Fund 78,502 -- First Trust Large Cap Core AlphaDEX(R) Fund 115,441 -- First Trust Mid Cap Core AlphaDEX(R) Fund 39,200 -- First Trust Small Cap Core AlphaDEX(R) Fund 18,440 -- First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 183,261 -- First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 80,570 -- First Trust Multi Cap Value AlphaDEX(R) Fund 91,341 -- First Trust Multi Cap Growth AlphaDEX(R) Fund 8,995 1,395
As of July 31, 2008, the components of distributable earnings on a tax basis for each Fund were as follows:
Undistributed Accumulated Net Unrealized Ordinary Capital Appreciation Income Gain (Loss) (Depreciation) ------------------ ------------------- ------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 441 $ (559,991) $ (297,490) First Trust Consumer Staples AlphaDEX(R) Fund 3,316 (403,593) (43,293) First Trust Energy AlphaDEX(R) Fund -- (481,818) (1,186,001) First Trust Financials AlphaDEX(R) Fund 1,126 (556,152) (293,071) First Trust Health Care AlphaDEX(R) Fund -- (389,567) 196,253 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,695 (696,235) (27,000) First Trust Materials AlphaDEX(R) Fund 1,209 (256,766) 144,443 First Trust Technology AlphaDEX(R) Fund -- (461,678) (448,171) First Trust Utilities AlphaDEX(R) Fund 21,646 (130,034) (343,152) First Trust Large Cap Core AlphaDEX(R) Fund 9,660 (1,119,305) (821,153) First Trust Mid Cap Core AlphaDEX(R) Fund 3,143 (1,086,808) (256,151) First Trust Small Cap Core AlphaDEX(R) Fund 535 (1,084,123) (458,901) First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 22,054 (663,102) (2,006,106) First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 2,734 (3,328,039) 367,474 First Trust Multi Cap Value AlphaDEX(R) Fund 3,744 (903,616) (824,255) First Trust Multi Cap Growth AlphaDEX(R) Fund -- (1,506,721) 534,879
Page 120 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) D. Income Taxes Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. In June 2006, FASB issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 establishes a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return, and is effective for the Funds' current fiscal year. As of January 31, 2009, management has evaluated the application of FIN 48 to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. At July 31, 2008 for federal income tax purposes, each Fund that has capital loss carryforwards available is shown in the table below, to the extent provided by regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Total Capital Loss Capital Loss Capital Available through Available through Loss July 31, 2015 July 31, 2016 Available ------------------- ------------------- ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 66,947 First Trust Consumer Staples AlphaDEX(R) Fund 3,068 83,534 86,602 First Trust Energy AlphaDEX(R) Fund -- 73,845 73,845 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 16,057 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 46,752 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 183,210 206,841 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 17,848 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 34,854 First Trust Utilities AlphaDEX(R) Fund 945 16,238 17,183 First Trust Large Cap Core AlphaDEX(R) Fund 15,102 8,528 23,630 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 92,793 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 126,505 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 1,854 80,299 82,153 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- 162,514 162,514 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 65,368 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 267,662
Capital losses incurred after October 31 ("Post-October Losses") within the taxable year can be deemed to arise on the first business day of the Funds' next taxable year. During the 2008 taxable year, the following Funds incurred and elected to defer net capital losses as follows:
Post-October Losses ------------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 493,044 First Trust Consumer Staples AlphaDEX(R) Fund 316,991 First Trust Energy AlphaDEX(R) Fund 407,973 First Trust Financials AlphaDEX(R) Fund 540,095 First Trust Health Care AlphaDEX(R) Fund 342,815 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 489,394 First Trust Materials AlphaDEX(R) Fund 238,918 First Trust Technology AlphaDEX(R) Fund 426,824 First Trust Utilities AlphaDEX(R) Fund 112,851 First Trust Large Cap Core AlphaDEX(R) Fund 1,095,675 First Trust Mid Cap Core AlphaDEX(R) Fund 994,015 First Trust Small Cap Core AlphaDEX(R) Fund 957,618 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 580,949 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 3,165,525 First Trust Multi Cap Value AlphaDEX(R) Fund 838,248 First Trust Multi Cap Growth AlphaDEX(R) Fund 1,239,059
Page 121 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) E. Expenses Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the average net assets of each Fund. FTP has entered into licensing agreements with each of the following "Licensors" for the respective Funds: Funds Licensor First Trust Consumer Discretionary AlphaDEX(R) Fund Archipelago First Trust Consumer Staples AlphaDEX(R) Fund Archipelago First Trust Energy AlphaDEX(R) Fund Archipelago First Trust Financials AlphaDEX(R) Fund Archipelago First Trust Health Care AlphaDEX(R) Fund Archipelago First Trust Industrials/Producer Durables AlphaDEX(R) Fund Archipelago First Trust Materials AlphaDEX(R) Fund Archipelago First Trust Technology AlphaDEX(R) Fund Archipelago First Trust Utilities AlphaDEX(R) Fund Archipelago First Trust Large Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(R) Fund Standard & Poor's The respective license agreements allow for the use by FTP of certain trademarks and trade names of the respective Licensors and, in the case of the Sector Funds, certain trademarks and trade names of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the "Advisor") are sub-licensees to the applicable license agreement. The respective Funds are required to pay licensing fees, which are shown on the Statements of Operations. F. Accounting Pronouncement In March 2008, FASB released Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161"). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit risk-related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. Management is currently evaluating the impact the adoption of FAS 161 will have on the Funds' financial statement disclosures, if any. 3. Investment Advisory Fee and Other Affiliated Transactions First Trust is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio and providing certain other services necessary for the management of the Funds. For these services, First Trust is entitled to receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets. The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). Each Fund's Expense Cap will be in effect until at least March 31, 2010. Expenses borne by the Advisor are subject to reimbursement by each Fund up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if at any time it would result in the Fund exceeding its Expense Cap. Page 122 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) The advisory fee waivers and expense reimbursements for the six months ended January 31, 2009 and the expenses borne by the Advisor subject to reimbursement by each Fund from inception (May 8, 2007) through January 31, 2009 were as follows:
Expenses Borne Advisory by Advisor Fee Expense Subject to Waivers Reimbursements Reimbursement ------------------- ------------------- ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 12,176 $ 9,062 $ 124,372 First Trust Consumer Staples AlphaDEX(R) Fund 17,680 2,644 120,963 First Trust Energy AlphaDEX(R) Fund 14,287 6,298 129,524 First Trust Financials AlphaDEX(R) Fund 11,932 10,221 125,997 First Trust Health Care AlphaDEX(R) Fund 29,986 4,962 142,128 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 8,849 11,769 125,278 First Trust Materials AlphaDEX(R) Fund 11,963 8,723 123,683 First Trust Technology AlphaDEX(R) Fund 21,054 -- 126,218 First Trust Utilities AlphaDEX(R) Fund 35,130 11,707 150,026 First Trust Large Cap Core AlphaDEX(R) Fund 29,727 7,258 161,057 First Trust Mid Cap Core AlphaDEX(R) Fund 20,598 2,983 141,720 First Trust Small Cap Core AlphaDEX(R) Fund 18,505 9,779 151,509 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 25,429 -- 146,156 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 37,130 -- 177,146 First Trust Multi Cap Value AlphaDEX(R) Fund 10,022 16,552 137,468 First Trust Multi Cap Growth AlphaDEX(R) Fund 15,914 11,273 140,546
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for performing transfer agency services for the Trust. BNYM is a subsidiary of the Bank of New York Mellon Corporation, a financial holding company. PNC Global Investment Servicing (U.S.) Inc. provides certain administrative services to the Trust and the Funds in connection with the Trust's Board of Trustees meetings and other related matters. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each subsequent trust in the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with board or committee meetings. Additionally, the Lead Independent Trustee is paid $10,000 annually, the Chairman of the Audit Committee is paid $5,000 annually, and each of the chairmen of the Nominating and Governance Committee and Valuation Committee are paid $2,500 annually to serve in such capacities, with such compensation paid by the trusts in the First Trust Fund Complex and divided among those trusts. Trustees are also reimbursed by the trusts in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and each Committee chairman will serve two-year terms. The officers and "Interested" Trustee receive no compensation from the trusts for serving in such capacities. 4. Purchases and Sales of Securities For the six months ended January 31, 2009, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows: Page 123 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited)
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,869,728 $ 2,853,368 First Trust Consumer Staples AlphaDEX(R) Fund 4,166,243 4,148,766 First Trust Energy AlphaDEX(R) Fund 3,455,577 3,477,701 First Trust Financials AlphaDEX(R) Fund 3,696,327 3,659,429 First Trust Health Care AlphaDEX(R) Fund 8,454,686 8,496,093 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,888,881 1,898,402 First Trust Materials AlphaDEX(R) Fund 4,071,636 4,071,646 First Trust Technology AlphaDEX(R) Fund 5,502,110 5,514,421 First Trust Utilities AlphaDEX(R) Fund 10,180,405 10,059,296 First Trust Large Cap Core AlphaDEX(R) Fund 7,125,192 7,123,770 First Trust Mid Cap Core AlphaDEX(R) Fund 5,099,896 5,073,782 First Trust Small Cap Core AlphaDEX(R) Fund 4,053,289 4,049,885 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 14,531,542 14,504,732 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 18,076,757 18,098,765 First Trust Multi Cap Value AlphaDEX(R) Fund 3,065,486 3,046,055 First Trust Multi Cap Growth AlphaDEX(R) Fund 5,201,682 5,204,529
For the six months ended January 31, 2009, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 5,039,654 $ 1,925,260 First Trust Consumer Staples AlphaDEX(R) Fund 12,132,403 5,265,549 First Trust Energy AlphaDEX(R) Fund 3,854,889 2,218,722 First Trust Financials AlphaDEX(R) Fund 6,621,027 904,544 First Trust Health Care AlphaDEX(R) Fund 7,335,046 -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,165,242 -- First Trust Materials AlphaDEX(R) Fund 6,754,050 3,448,901 First Trust Technology AlphaDEX(R) Fund 4,323,673 3,265,385 First Trust Utilities AlphaDEX(R) Fund 15,734,294 -- First Trust Large Cap Core AlphaDEX(R) Fund 827,811 -- First Trust Mid Cap Core AlphaDEX(R) Fund -- -- First Trust Small Cap Core AlphaDEX(R) Fund -- 1,603,718 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 9,370,107 8,303,515 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 881,907 12,024,202 First Trust Multi Cap Value AlphaDEX(R) Fund 1,508,942 -- First Trust Multi Cap Growth AlphaDEX(R) Fund 2,207,732 2,207,732
5. Creation, Redemption & Transaction Fees Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee --------------------- ----------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 Page 124 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee -------------------- ---------------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request a cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. Distribution Plan The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 31, 2009. 7. Indemnification The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. Page 125 - -------------------------------------------------------------------------------- Additional Information - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) Proxy Voting Policies and Procedures A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the 12-months ended June 30, 2008 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. Portfolio Holdings The Trust files its complete schedule of each Fund's portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. Page 126 - -------------------------------------------------------------------------------- Risk Considerations - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) Risks are inherent in all investing. You should consider each Fund's investment objective, risks, charges and expenses carefully before investing. You can download each Fund's prospectus at http://www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund. For additional information about the risks associated with investing in the Funds, please see the Funds' statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded AlphaDEX(R) Fund. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase shares directly from a Fund and individual shares are not redeemable. However, specified large blocks of shares called Creation Units can be purchased from, or redeemed to, the Fund. In 2008 and into 2009, securities markets have been significantly negatively affected by the financial crisis that initially resulted from the downturn in the subprime mortgage market in the United States. The potential impact of the financial crisis on securities markets may prove to be significant and long-lasting and may have a substantial impact on the value of a Fund. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of its corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index. Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in an individual industry. You should be aware that an investment in a portfolio that is concentrated in an individual industry involves additional risk, including limited diversification. Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of their assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which they invest. Each Fund is not actively managed. The Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. The Fund invests in securities included in or representative of its index regardless of their investment merit. The Fund generally will not attempt to take defensive positions in declining markets. Page 127 - -------------------------------------------------------------------------------- Risk Considerations (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) Each Fund invests in small and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, the First Trust Utilities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund may invest in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies. The First Trust Mid Cap Core AlphaDEX(R) Fund invests in mid-cap companies and is subject to additional risks because such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies. The First Trust Small Cap Core AlphaDEX(R) Fund invests in small-cap companies and is subject to additional risks, as the share prices of small-cap companies are often more volatile than those of larger companies. The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund normally invests at least 90% of its assets in common stocks that comprise the Index upon which it is based. The securities of companies represented in the Index upon which the Fund is based generally have market capitalizations that are consistent with the name of the Index. For purposes of determining the market capitalization range of such securities, the Fund will use the current range of the Index upon which it is based. However, the Fund will not be forced to sell a stock because the stock has exceeded or fallen below the current market capitalization range of the Index. Because of market movement, there can be no assurance that the securities in the Fund will stay within a given market capitalization range. As a result, the Fund may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range. The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Because companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits, these companies may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of foods and soft drinks may be strongly affected by fads, marketing campaigns and other factors affecting supply and demand. The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of Page 128 - -------------------------------------------------------------------------------- Risk Considerations (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand as a result of increases in energy efficiency and energy conservation, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, recently oil prices have been at historic highs and extremely volatile. The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; decreases in the availability of capital; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. Although the barriers which separated the banking, insurance and securities industries were eliminated by legislation, these industries are still extensively regulated at both the federal and state level and may be adversely affected by increased regulations. Recent negative developments relating to the subprime mortgage market have adversely affected credit and capital markets worldwide and reduced the willingness of lenders to extend credit, thus making borrowing on favorable terms more difficult. In addition, the liquidity of certain debt instruments has been reduced or eliminated due to the lack of available market makers. Banks and thrifts face increased competition from nontraditional lending sources as regulatory changes permit new entrants to offer various financial products. Technological advances such as the Internet allow these nontraditional lending sources to cut overhead and permit the more efficient use of customer data. Brokerage firms, broker/dealers, investment banks, finance companies and mutual fund companies are also financial services providers. These companies compete with banks and thrifts to provide traditional financial service products, in addition to their traditional services, such as brokerage and investment advice. In addition, all financial service companies face shrinking profit margins due to new competitors, the cost of new technology and the pressure to compete globally. Companies involved in the insurance industry are engaged in underwriting, selling, distributing or placing of property and casualty, life or health insurance. Insurance company profits are affected by many factors, including interest rate movements, the imposition of premium rate caps, competition and pressure to compete globally. Property and casualty insurance profits may also be affected by weather catastrophes, such as hurricanes and earthquakes, acts of terrorism and other disasters. Life and health insurance profits may be affected by mortality rates. Already extensively regulated, insurance companies' profits may also be adversely affected by increased government regulations or tax law changes. The First Trust Financials AlphaDEX(R) Fund may invest in companies that may be significantly affected by the downturn in the U.S. and world economies that began with the significant decline in the subprime mortgage lending market in the United States. Due to the downturn, subprime mortgage loans have in recent periods experienced increased rates of delinquency, foreclosure, bankruptcy and loss, and are likely to continue to be subject to interest rates that are significantly higher than those experienced by mortgage loans underwritten in a more traditional manner. The downturn in the subprime mortgage lending market and the resulting impact on the world's economies has had a significant adverse effect on the financials sector and the economy and may have far-reaching consequences into various aspects of the financials sector, and consequently, the value of the Fund may decline in response to such developments. The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Because companies in the health care sector are involved in medical services or health care including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services, general problems of these companies include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. Page 129 - -------------------------------------------------------------------------------- Risk Considerations (Continued) - -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2009 (Unaudited) The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Because companies in the materials sector are involved in the extracting or processing of raw materials, general risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. Because companies in the technology sector serve the electronics and computer industries or manufacture products based on the latest applied science, general risks of these companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Technology company stocks, particularly those involved with the Internet, have experienced extreme price and volume fluctuations that often have been unrelated to their operating performance. Also, the stocks of many technology companies have exceptionally high price-to-earning ratios with little or no earnings histories. The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 130 This page is intentionally left blank. Page 131 This page is intentionally left blank. Page 132 - -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund - -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 BOARD ADMINISTRATOR PNC Global Investment Servicing (U.S.) Inc. 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 Inside Back Cover [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund By: /s/ James A. Bowen ----------------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 26, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen ----------------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 26, 2009 By: /s/ Mark R. Bradley ----------------------------------------------------- Name: Mark R. Bradley Title: Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer Date: March 26, 2009 EX-99.CERT 2 certs_302.txt SECTION 302 CERTIFICATIONS EXHIBIT(A) Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 26, 2009 /s/ James A. Bowen ------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 26, 2009 /s/ Mark R. Bradley --------------------------------------- Mark R. Bradley Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 3 certs_906.txt SECTION 906 CERTIFICATIONS EXHIBIT (B) Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act I, James A. Bowen, Chairman of the Board, President and Chief Executive Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: March 26, 2009 /s/ James A. Bowen ------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) I, Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: March 26, 2009 /s/ Mark R. Bradley ------------------------------------- Mark R. Bradley Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----