-----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, Cz4L8vDkmpB4LIZzkt/rVnx6NMoqMAEg3sGb+/E8Wk7+3Aelc7ofVOCCSVMvfUc6 U/5SoEKTC0NiiJWvtAT92w== 0001445546-09-001628.txt : 20090629 0001445546-09-001628.hdr.sgml : 20090629 20090629114912 ACCESSION NUMBER: 0001445546-09-001628 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090430 FILED AS OF DATE: 20090629 DATE AS OF CHANGE: 20090629 EFFECTIVENESS DATE: 20090629 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-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 09914896 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-Q 1 adex_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22019 ------------------- First Trust Exchange-Traded AlphaDEX(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: April 30, 2009 -------------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.7% COMMERCIAL SERVICES & SUPPLIES --2.7% 301 Brink's (The) Co. $ 8,533 644 Cintas Corp. 16,525 804 Copart, Inc. (b) 25,238 1,861 Corrections Corp. of America (b) 26,296 1,076 Iron Mountain, Inc. (b) 30,655 ----------- 107,247 ----------- DISTRIBUTORS -- 1.7% 533 Genuine Parts Co. 18,101 2,786 LKQ Corp. (b) 47,306 ----------- 65,407 ----------- DIVERSIFIED CONSUMER SERVICES -- 5.2% 407 Apollo Group, Inc., Class A (b) 25,621 660 DeVry, Inc. 28,090 873 H&R Block, Inc. 13,217 992 Hillenbrand, Inc. 18,035 328 ITT Educational Services, Inc. (b) 33,053 9,112 Service Corp. International 41,277 133 Strayer Education, Inc. 25,191 857 Weight Watchers International, Inc. 21,322 ----------- 205,806 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 1,825 Tech Data Corp. (b) 52,542 ----------- FOOD & STAPLES RETAILING -- 1.8% 498 BJ's Wholesale Club, Inc. (b) 16,603 514 Costco Wholesale Corp. 24,980 611 Wal-Mart Stores, Inc. 30,795 ----------- 72,378 ----------- HOTELS, RESTAURANTS & LEISURE -- 18.4% 2,132 Boyd Gaming Corp. 19,593 2,632 Brinker International, Inc. 46,639 1,385 Burger King Holdings, Inc. 22,631 1,472 Carnival Corp. 39,567 479 Chipotle Mexican Grill, Inc., Class A (b) 38,842 616 Choice Hotels International, Inc. 18,437 1,160 Darden Restaurants, Inc. 42,885 1,442 International Speedway Corp., Class A 34,147 6,001 Interval Leisure Group, Inc. (b) 48,068 486 Marriott International, Inc., Class A 11,450 290 McDonald's Corp. 15,454 17,062 MGM MIRAGE (b) 142,980 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 5,818 Orient-Express Hotels Ltd., Class A $ 37,642 711 Panera Bread Co., Class A (b) 39,823 987 Penn National Gaming, Inc. (b) 33,578 4,963 Royal Caribbean Cruises Ltd. 73,105 2,147 Starbucks Corp. (b) 31,046 315 Tim Hortons, Inc. 7,651 578 Yum! Brands, Inc. 19,276 ----------- 722,814 ----------- HOUSEHOLD DURABLES -- 4.9% 756 Black & Decker (The) Corp. 30,467 374 Garmin Ltd. 9,421 627 Jarden Corp. (b) 12,603 1,224 Leggett & Platt, Inc. 17,576 1,266 Snap-on, Inc. 42,943 820 Stanley Works (The) 31,184 1,075 Whirlpool Corp. 48,547 ----------- 192,741 ----------- HOUSEHOLD PRODUCTS -- 0.4% 345 Kimberly-Clark Corp. 16,953 ----------- INTERNET & CATALOG RETAIL -- 5.3% 541 Amazon.com, Inc. (b) 43,561 1,547 HSN, Inc. (b) 10,690 10,966 Liberty Media Corp. - Interactive, Class A (b) 58,120 402 Priceline.com, Inc. (b) 39,030 10,772 Ticketmaster Entertainment, Inc. (b) 56,661 ----------- 208,062 ----------- INTERNET SOFTWARE & SERVICES -- 1.3% 633 eBay, Inc. (b) 10,426 2,610 IAC/InterActiveCorp (b) 41,812 ----------- 52,238 ----------- IT SERVICES -- 3.0% 867 Accenture Ltd., Class A 25,516 451 Automatic Data Processing, Inc. 15,875 3,590 Genpact Ltd. (b) 32,167 801 Hewitt Associates, Inc., Class A (b) 25,119 310 Paychex, Inc. 8,373 633 Western Union Co. 10,603 ----------- 117,653 ----------- LEISURE EQUIPMENT & PRODUCTS -- 1.0% 634 Hasbro, Inc. 16,902 1,379 Mattel, Inc. 20,630 ----------- 37,532 ----------- See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 9.4% 1,749 Comcast Corp., Class A $ 27,039 1,744 CTC Media, Inc. (b) 13,673 1,396 DIRECTV Group (The), Inc. (b) 34,523 716 DISH Network Corp., Class A (b) 9,487 367 DreamWorks Animation SKG, Inc., Class A (b) 8,812 5,790 Interpublic Group of Cos (The), Inc. (b) 36,245 267 John Wiley & Sons, Inc., Class A 9,051 1,092 Liberty Global, Inc., Class A (b) 18,007 1,139 Liberty Media Corp. - Capital Series A (b) 13,326 696 McGraw-Hill (The) Cos., Inc. 20,984 1,911 Meredith Corp. 47,928 1,759 New York Times (The) Co., Class A 9,463 680 Omnicom Group, Inc. 21,400 45,431 Sirius XM Radio, Inc. (b) 17,691 915 Viacom, Inc., Class B (b) 17,605 1,751 Walt Disney (The) Co. 38,347 3,383 Warner Music Group Corp. (b) 18,201 22 Washington Post (The) Co., Class B 9,209 ----------- 370,991 ----------- MULTILINE RETAIL -- 11.1% 1,913 Big Lots, Inc. (b) 52,875 893 Dollar Tree, Inc. (b) 37,810 1,191 Family Dollar Stores, Inc. 39,529 1,584 J. C. Penney Co., Inc. 48,613 752 Kohl's Corp. (b) 34,103 4,466 Macy's, Inc. 61,095 475 Nordstrom, Inc. 10,749 17,006 Saks, Inc. (b) 88,601 521 Sears Holdings Corp. (b) 32,547 694 Target Corp. 28,635 ----------- 434,557 ----------- PERSONAL PRODUCTS -- 0.8% 1,055 Alberto-Culver Co. 23,516 323 Estee Lauder (The) Cos., Inc., Class A 9,658 ----------- 33,174 ----------- PROFESSIONAL SERVICES -- 1.8% 482 FTI Consulting, Inc. (b) 26,452 757 Manpower, Inc. 32,619 446 Robert Half International, Inc. 10,713 ----------- 69,784 ----------- ROAD & RAIL -- 2.0% 17,474 Avis Budget Group, Inc. (b) 36,521 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 6,069 Hertz Global Holdings, Inc. (b) $ 41,269 ----------- 77,790 ----------- SPECIALTY RETAIL -- 22.7% 335 Abercrombie & Fitch Co., Class A 9,065 968 Advance Auto Parts, Inc. 42,350 2,599 American Eagle Outfitters, Inc. 38,517 245 AutoZone, Inc. (b) 40,766 1,116 Barnes & Noble, Inc. 29,150 964 Bed Bath & Beyond, Inc. (b) 29,325 1,047 Best Buy Co., Inc. 40,184 2,557 CarMax, Inc. (b) 32,627 1,671 Dick's Sporting Goods, Inc. (b) 31,749 3,035 Foot Locker, Inc. 36,086 1,418 GameStop Corp., Class A (b) 42,767 1,837 Gap (The), Inc. 28,547 1,132 Guess?, Inc. 29,477 337 Home Depot (The), Inc. 8,870 1,828 Limited Brands, Inc. 20,876 1,307 Lowe's Cos., Inc. 28,100 1,136 O'Reilly Automotive, Inc. (b) 44,134 1,896 PetSmart, Inc. 43,380 3,712 RadioShack Corp. 52,265 1,108 Ross Stores, Inc. 42,037 3,471 Signet Jewelers Ltd. 55,085 2,195 Staples, Inc. 45,261 368 Tiffany & Co. 10,650 1,240 TJX (The) Cos., Inc. 34,683 971 Urban Outfitters, Inc. (b) 18,925 3,944 Williams-Sonoma, Inc. 55,216 ----------- 890,092 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 2.7% 477 Coach, Inc. 11,686 338 NIKE, Inc., Class B 17,735 1,402 Phillips-Van Heusen Corp. 40,700 377 Polo Ralph Lauren Corp. 20,298 280 VF Corp. 16,596 ----------- 107,015 ----------- TRADING COMPANIES & DISTRIBUTORS -- 2.2% 494 Fastenal Co. 18,950 255 MSC Industrial Direct Co., Inc., Class A 10,417 2,194 WESCO International, Inc. (b) 57,044 ----------- 86,411 ----------- TOTAL COMMON STOCKS -- 99.7% (Cost $4,092,864) 3,921,187 See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- MONEY MARKET FUND -- 1.0% 37,371 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $37,371) $ 37,371 ----------- TOTAL INVESTMENTS -- 100.7% (Cost $4,130,235) (d) 3,958,558 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (28,136) ----------- NET ASSETS -- 100.0% $ 3,930,422 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $153,457 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $325,134. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 3,958,558 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 3,958,558 ============ See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 14.9% 3,080 Coca-Cola (The) Co. $ 132,594 10,967 Hansen Natural Corp. (b) 447,015 3,949 Molson Coors Brewing Co., Class B 151,049 13,733 PepsiAmericas, Inc. 337,420 2,630 PepsiCo, Inc. 130,869 ----------- 1,198,947 ----------- FOOD & STAPLES RETAILING -- 27.8% 14,362 CVS Caremark Corp. 456,424 12,759 Kroger (The) Co. 275,850 13,409 Safeway, Inc. 264,828 11,874 Sysco Corp. 277,020 15,209 Walgreen Co. 478,019 23,501 Whole Foods Market, Inc. 487,176 ----------- 2,239,317 ----------- FOOD PRODUCTS -- 27.5% 2,474 Campbell Soup Co. 63,631 4,012 ConAgra Foods, Inc. 71,012 21,838 Dean Foods Co. (b) 452,047 32,496 Del Monte Foods Co. 245,345 2,714 General Mills, Inc. 137,573 2,047 H.J. Heinz Co. 70,458 6,817 Hershey (The) Co. 246,366 2,134 Hormel Foods Corp. 66,773 6,356 J.M. Smucker (The) Co. 250,426 1,848 Kellogg Co. 77,819 8,011 McCormick & Co., Inc. 235,924 28,832 Tyson Foods, Inc., Class A 303,889 ----------- 2,221,263 ----------- HOUSEHOLD PRODUCTS -- 11.6% 5,184 Church & Dwight Co., Inc. 282,062 5,259 Clorox (The) Co. 294,767 2,295 Colgate-Palmolive Co. 135,405 2,724 Energizer Holdings, Inc. (b) 156,085 1,437 Procter & Gamble (The) Co. 71,045 ----------- 939,364 ----------- PERSONAL PRODUCTS -- 9.0% 28,042 NBTY, Inc. (b) 726,568 ----------- TOBACCO -- 9.1% 8,450 Altria Group, Inc. 137,989 4,385 Lorillard, Inc. 276,825 1,902 Philip Morris International, Inc. 68,852 6,610 Reynolds American, Inc. 251,048 ----------- 734,714 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $7,888,898) 8,060,173 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- MONEY MARKET FUND -- 0.4% 33,815 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $33,815) $ 33,815 ----------- TOTAL INVESTMENTS -- 100.3% (Cost $7,922,713) (d) 8,093,988 NET OTHER ASSETS AND LIABILITIES -- (0.3)% (27,040) ----------- NET ASSETS -- 100.0% $ 8,066,948 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $522,205 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $350,930. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 8,093,988 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 8,093,988 ============ See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% ELECTRICAL EQUIPMENT -- 1.3% 481 First Solar, Inc. (b) $ 90,086 ----------- ENERGY EQUIPMENT & SERVICES -- 47.5% 1,924 Atwood Oceanics, Inc. (b) 42,944 1,118 Baker Hughes, Inc. 39,778 17,494 BJ Services Co. 242,992 2,910 Cameron International Corp. (b) 74,438 1,015 Diamond Offshore Drilling, Inc. 73,496 5,775 Dresser-Rand Group, Inc. (b) 142,238 6,593 ENSCO International, Inc. 186,450 3,052 FMC Technologies, Inc. (b) 104,470 8,310 Global Industries Ltd. (b) 53,766 2,063 Halliburton Co. 41,714 7,645 Helmerich & Payne, Inc. 235,619 60,440 Key Energy Services, Inc. (b) 265,331 17,424 Nabors Industries Ltd. (b) 265,019 2,223 National Oilwell Varco, Inc. (b) 67,312 1,731 Oceaneering International, Inc. (b) 78,882 12,971 Oil States International, Inc. (b) 245,152 19,427 Patterson-UTI Energy, Inc. 246,917 9,681 Pride International, Inc. (b) 219,759 14,542 Rowan Cos., Inc. 227,001 785 Schlumberger Ltd. 38,457 2,189 SEACOR Holdings, Inc. (b) 143,861 1,486 Smith International, Inc. 38,413 8,320 Unit Corp. (b) 227,053 ----------- 3,301,062 ----------- GAS UTILITIES -- 1.0% 2,037 EQT Corp. 68,504 ----------- METALS & MINING -- 0.5% 1,395 Walter Energy, Inc. 31,806 ----------- OIL, GAS & CONSUMABLE FUELS -- 49.7% 3,596 Alpha Natural Resources, Inc. (b) 73,646 3,282 Anadarko Petroleum Corp. 141,323 996 Apache Corp. 72,568 4,062 Cabot Oil & Gas Corp. 122,632 5,612 Chesapeake Energy Corp. 110,612 1,898 Chevron Corp. 125,458 2,692 CNX Gas Corp. (b) 69,319 1,264 CONSOL Energy, Inc. 39,538 3,009 Continental Resources, Inc. (b) 70,260 4,295 Denbury Resources, Inc. (b) 69,923 7,480 Encore Acquisition Co. (b) 218,341 2,331 EOG Resources, Inc. 147,972 1,406 Exxon Mobil Corp. 93,738 2,224 Foundation Coal Holdings, Inc. 36,118 7,486 Frontier Oil Corp. 95,147 1,766 Hess Corp. 96,759 6,021 Holly Corp. 126,200 4,856 Marathon Oil Corp. 144,223 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 4,118 Mariner Energy, Inc. (b) $ 46,863 2,139 Murphy Oil Corp. 102,052 1,406 Newfield Exploration Co. (b) 43,839 1,777 Noble Energy, Inc. 100,845 1,720 Occidental Petroleum Corp. 96,819 2,549 Peabody Energy Corp. 67,268 6,638 Petrohawk Energy Corp. (b) 156,657 7,751 Pioneer Natural Resources Co. 179,203 2,325 Range Resources Corp. 92,930 4,843 SandRidge Energy, Inc. (b) 39,519 4,300 Southwestern Energy Co. (b) 154,198 9,649 St. Mary Land & Exploration Co. 172,428 3,616 Sunoco, Inc. 95,860 9,476 Tesoro Corp. 144,509 3,127 XTO Energy, Inc. 108,382 ----------- 3,455,149 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $7,700,893) 6,946,607 MONEY MARKET FUND -- 0.5% 32,486 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $32,486) 32,486 ----------- TOTAL INVESTMENTS -- 100.5% (Cost $7,733,379) (d) 6,979,093 NET OTHER ASSETS AND LIABILITIES -- (0.5)% (35,106) ----------- NET ASSETS -- 100.0% $ 6,943,987 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $192,479 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $946,765. See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 6,979,093 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 6,979,093 ============ See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 13.6% 596 Ameriprise Financial, Inc. $ 15,705 433 Bank of New York Mellon (The) Corp. 11,033 187 BlackRock, Inc. 27,399 1,576 Charles Schwab (The) Corp. 29,124 38,181 E*TRADE Financial Corp. (b) 54,599 1,070 Eaton Vance Corp. 29,286 2,195 Federated Investors, Inc., Class B 50,222 907 Franklin Resources, Inc. 54,855 460 Goldman Sachs Group (The), Inc. 59,110 3,526 Invesco Ltd. 51,903 1,915 Investment Technology Group, Inc. (b) 43,624 9,503 Janus Capital Group, Inc. 95,315 1,289 Lazard Ltd., Class A 35,190 14,940 MF Global Ltd. (b) 91,134 2,146 Morgan Stanley 50,731 817 Northern Trust Corp. 44,412 1,925 Raymond James Financial, Inc. 30,203 1,231 State Street Corp. 42,014 2,746 TD Ameritrade Holding Corp. (b) 43,689 2,705 Waddell & Reed Financial, Inc., Class A 60,619 ----------- 920,167 ----------- COMMERCIAL BANKS -- 13.7% 2,455 Associated Banc-Corp. 37,979 587 BancorpSouth, Inc. 13,648 741 Bank of Hawaii Corp. 26,039 3,735 BB&T Corp. 87,175 353 BOK Financial Corp. 13,294 10,015 CapitalSource, Inc. 30,946 724 City National Corp. 26,498 2,071 Comerica, Inc. 43,450 260 Cullen/Frost Bankers, Inc. 12,243 4,185 Fifth Third Bancorp 17,159 288 First Citizens BancShares, Inc., Class A 34,465 1,843 Fulton Financial Corp. 12,182 38,070 Huntington Bancshares, Inc. 106,215 1,553 KeyCorp 9,551 1,080 M&T Bank Corp. 56,646 1,295 PNC Financial Services Group, Inc. 51,412 5,605 Popular, Inc. 16,030 5,383 SunTrust Banks, Inc. 77,731 3,760 Synovus Financial Corp. 12,145 3,224 TCF Financial Corp. 44,846 2,596 U.S. Bancorp 47,299 2,875 Webster Financial Corp. 15,036 1,716 Wells Fargo & Co. 34,337 4,268 Whitney Holding Corp. 51,045 1,261 Wilmington Trust Corp. 18,297 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 2,486 Zions Bancorporation $ 27,172 ----------- 922,840 ----------- CONSUMER FINANCE -- 5.0% 3,586 American Express Co. 90,439 4,170 AmeriCredit Corp. (b) 42,409 3,993 Capital One Financial Corp. 66,843 10,015 Discover Financial Services 81,422 2,468 SLM Corp. (b) 11,920 873 Student Loan (The) Corp. 42,044 ----------- 335,077 ----------- DIVERSIFIED FINANCIAL SERVICES -- 6.3% 9,267 Bank of America Corp. 82,754 22,174 CIT Group, Inc. 49,226 4,829 Citigroup, Inc. 14,728 198 CME Group, Inc. 43,827 656 IntercontinentalExchange, Inc. (b) 57,466 1,426 JPMorgan Chase & Co. 47,058 1,654 Moody's Corp. 48,826 2,242 MSCI, Inc., Class A (b) 47,060 1,937 NASDAQ OMX Group, (The), Inc. (b) 37,249 ----------- 428,194 ----------- INSURANCE -- 22.8% 45 Alleghany Corp. (b) 11,415 1,285 Allied World Assurance Holdings Ltd. 47,725 3,937 American Financial Group, Inc. 69,212 466 American National Insurance Co. 31,627 704 Arch Capital Group Ltd. (b) 40,677 1,437 Arthur J. Gallagher & Co. 32,304 2,902 Assurant, Inc. 70,925 2,168 Axis Capital Holdings Ltd. 53,420 2,585 Brown & Brown, Inc. 50,304 1,154 Chubb (The) Corp. 44,948 2,137 Cincinnati Financial Corp. 51,181 2,667 CNA Financial Corp. 31,924 13,280 Conseco, Inc. (b) 21,248 1,521 Endurance Specialty Holdings Ltd. 39,789 715 Erie Indemnity Co., Class A 25,254 922 First American Corp. 25,890 12,861 Genworth Financial, Inc., Class A 30,352 1,316 Hanover Insurance Group, Inc. 39,454 1,557 Hartford Financial Services Group (The), Inc. 17,859 1,940 HCC Insurance Holdings, Inc. 46,405 9,447 Lincoln National Corp. 106,184 553 Loews Corp. 13,764 2,146 MetLife, Inc. 63,844 197 PartnerRe Ltd. 13,433 See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 7,726 Principal Financial Group, Inc. $ 126,243 4,655 Protective Life Corp. 39,893 642 Prudential Financial, Inc. 18,541 755 Reinsurance Group of America, Inc. 24,001 2,774 StanCorp Financial Group, Inc. 76,091 2,409 Torchmark Corp. 70,656 685 Transatlantic Holdings, Inc. 25,982 1,203 Travelers (The) Cos., Inc. 49,491 1,748 Unitrin, Inc. 29,716 3,909 Unum Group 63,873 1,681 W.R. Berkley Corp. 40,193 ----------- 1,543,818 ----------- IT SERVICES -- 8.6% 662 Alliance Data Systems Corp. (b) 27,718 3,395 Broadridge Financial Solutions, Inc. 65,693 3,473 Fidelity National Information Services, Inc. 61,993 1,734 Fiserv, Inc. (b) 64,713 1,892 Global Payments, Inc. 60,657 1,239 Lender Processing Services, Inc. 35,510 377 MasterCard, Inc., Class A 69,161 3,166 Metavante Technologies, Inc. (b) 74,686 3,539 Total System Services, Inc. 44,131 1,136 Visa, Inc., Class A 73,795 ----------- 578,057 ----------- MEDIA -- 0.6% 1,110 Morningstar, Inc. (b) 44,034 ----------- PROFESSIONAL SERVICES -- 1.6% 635 Dun & Bradstreet (The) Corp. 51,689 1,999 Equifax, Inc. 58,291 ----------- 109,980 ----------- REAL ESTATE INVESTMENT TRUSTS -- 22.2% 1,042 Alexandria Real Estate Equities, Inc. 38,012 848 AMB Property Corp. 16,188 881 Annaly Capital Management, Inc. 12,396 13,305 Brandywine Realty Trust 82,358 1,245 BRE Properties, Inc. 30,590 26,778 CBL & Associates Properties, Inc. 212,617 11,472 Developers Diversified Realty Corp. 47,379 1,905 Digital Realty Trust, Inc. 68,599 5,131 Douglas Emmett, Inc. 49,104 8,885 Duke Realty Corp. 86,806 1,369 HCP, Inc. 30,049 399 Health Care REIT, Inc. 13,594 5,266 Hospitality Properties Trust 64,456 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 16,122 Host Hotels & Resorts, Inc. $ 123,978 19,811 HRPT Properties Trust 85,385 4,348 iStar Financial, Inc. 14,653 1,422 Kilroy Realty Corp. 30,630 6,414 Kimco Realty Corp. 77,096 1,290 Liberty Property Trust 31,399 1,234 Mack-Cali Realty Corp. 33,145 1,101 Nationwide Health Properties, Inc. 27,184 3,760 ProLogis 34,254 686 Public Storage 45,866 1,255 Rayonier, Inc. 48,468 459 Regency Centers Corp. 17,190 4,525 SL Green Realty Corp. 79,911 541 Ventas, Inc. 15,494 367 Vornado Realty Trust 17,943 3,983 Weingarten Realty Investors 61,896 ----------- 1,496,640 ----------- ROAD & RAIL -- 0.9% 2,233 Ryder System, Inc. 61,832 ----------- SOFTWARE -- 1.0% 1,265 FactSet Research Systems, Inc. 67,791 ----------- THRIFTS & MORTGAGE FINANCE -- 2.2% 4,126 Astoria Financial Corp. 34,081 1,003 Capitol Federal Financial 39,077 16,077 Freddie Mac 12,701 2,090 Hudson City Bancorp, Inc. 26,250 1,094 New York Community Bancorp, Inc. 12,373 1,839 Washington Federal, Inc. 23,870 ----------- 148,352 ----------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 3,124 GATX Corp. 94,064 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $7,541,096) 6,750,846 MONEY MARKET FUND -- 0.5% 31,600 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $31,600) 31,600 ----------- TOTAL INVESTMENTS -- 100.4% (Cost $7,572,696) (d) 6,782,446 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (26,547) ----------- NET ASSETS -- 100.0% $ 6,755,899 =========== See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 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 April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $323,380 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,113,630. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 6,782,446 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 6,782,446 ============ See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.1% BIOTECHNOLOGY -- 5.3% 1,134 Amgen, Inc. (b) $ 54,965 5,771 Biogen Idec, Inc. (b) 278,970 1,650 Cephalon, Inc. (b) 108,257 946 Genzyme Corp. (b) 50,450 3,918 Gilead Sciences, Inc. (b) 179,444 ----------- 672,086 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 23.4% 1,097 Baxter International, Inc. 53,205 4,405 Beckman Coulter, Inc. 231,527 1,671 Becton, Dickinson and Co. 101,062 1,409 C. R. Bard, Inc. 100,927 4,250 Cooper (The) Cos., Inc. 122,187 2,092 DENTSPLY International, Inc. 59,873 4,989 Edwards Lifesciences Corp. (b) 316,203 4,930 Gen-Probe, Inc. (b) 237,429 30,587 Hill-Rom Holdings, Inc. 397,019 4,292 Hologic, Inc. (b) 63,779 5,881 Hospira, Inc. (b) 193,308 1,625 IDEXX Laboratories, Inc. (b) 63,863 11,360 Inverness Medical Innovations, Inc. (b) 366,814 5,320 Kinetic Concepts, Inc. (b) 131,723 3,179 ResMed, Inc. (b) 122,233 6,185 St. Jude Medical, Inc. (b) 207,321 4,973 Zimmer Holdings, Inc. (b) 218,762 ----------- 2,987,235 ----------- HEALTH CARE PROVIDERS & SERVICES -- 40.1% 2,309 Aetna, Inc. 50,821 9,262 AmerisourceBergen Corp. 311,574 3,569 Cardinal Health, Inc. 120,597 3,194 CIGNA Corp. 62,954 14,649 Community Health Systems, Inc. (b) 334,583 23,378 Coventry Health Care, Inc. (b) 371,944 2,557 DaVita, Inc. (b) 118,568 70,350 Health Management Associates, Inc., Class A (b) 328,535 12,535 Health Net, Inc. (b) 181,005 7,561 Henry Schein, Inc. (b) 310,303 8,616 Humana, Inc. (b) 247,969 1,921 Laboratory Corp. of America Holdings (b) 123,232 10,773 LifePoint Hospitals, Inc. (b) 278,482 10,308 Lincare Holdings, Inc. (b) 248,732 5,180 McKesson Corp. 191,660 7,317 Medco Health Solutions, Inc. (b) 318,655 6,159 MEDNAX, Inc. (b) 221,108 9,176 Omnicare, Inc. 235,915 4,733 Quest Diagnostics, Inc. 242,945 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 5,368 UnitedHealth Group, Inc. $ 126,255 4,734 Universal Health Services, Inc., Class B 238,594 9,965 VCA Antech, Inc. (b) 249,324 4,780 WellPoint, Inc. (b) 204,393 ----------- 5,118,148 ----------- HEALTH CARE TECHNOLOGY -- 5.9% 6,880 Cerner Corp. (b) 370,144 29,228 HLTH Corp. (b) 321,508 4,505 IMS Health, Inc. 56,583 ----------- 748,235 ----------- INTERNET SOFTWARE & SERVICES -- 1.0% 5,039 WebMD Health Corp., Class A (b) 130,057 ----------- LIFE SCIENCES TOOLS & SERVICES -- 7.7% 8,123 Illumina, Inc. (b) 303,394 6,919 Life Technologies Corp. (b) 258,079 3,162 Millipore Corp. (b) 186,874 8,799 PerkinElmer, Inc. 128,201 1,027 TECHNE Corp. 58,765 1,575 Thermo Fisher Scientific, Inc. (b) 55,251 ----------- 990,564 ----------- PHARMACEUTICALS -- 16.7% 2,356 Abbott Laboratories 98,599 4,705 Allergan, Inc. 219,535 10,252 Bristol-Myers Squibb Co. 196,838 10,266 Endo Pharmaceuticals Holdings, Inc. (b) 169,800 8,265 Forest Laboratories, Inc. (b) 179,268 1,068 Johnson & Johnson 55,920 4,200 Merck & Co., Inc. 101,808 22,558 Mylan, Inc. (b) 298,893 2,263 Perrigo Co. 58,657 4,125 Pfizer, Inc. 55,110 12,845 Schering-Plough Corp. 295,692 12,381 Sepracor, Inc. (b) 175,934 7,223 Watson Pharmaceuticals, Inc. (b) 223,480 ----------- 2,129,534 ----------- TOTAL COMMON STOCKS -- 100.1% (Cost $12,810,469) 12,775,859 MONEY MARKET FUND -- 0.3% 37,659 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $37,659) 37,659 ----------- See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------- TOTAL INVESTMENTS -- 100.4% (Cost $12,848,128) (d) $12,813,518 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (45,709) ----------- NET ASSETS -- 100.0% $12,767,809 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $756,992 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $791,602. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 12,813,518 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 12,813,518 ============ See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 19.6% 932 Alliant Techsystems, Inc. (b) $ 74,234 7,204 BE Aerospace, Inc. (b) 77,731 2,002 General Dynamics Corp. 103,444 2,976 Goodrich Corp. 131,777 747 Honeywell International, Inc. 23,314 2,165 ITT Corp. 88,787 921 L-3 Communications Holdings, Inc. 70,134 301 Lockheed Martin Corp. 23,638 1,432 Northrop Grumman Corp. 69,237 1,604 Raytheon Co. 72,549 638 Rockwell Collins, Inc. 24,467 11,311 Spirit AeroSystems Holdings, Inc., Class A (b) 144,215 968 United Technologies Corp. 47,277 ----------- 950,804 ----------- COMMERCIAL SERVICES & SUPPLIES -- 6.6% 1,784 Pitney Bowes, Inc. 43,779 1,214 Republic Services, Inc. 25,494 22,509 Steelcase, Inc., Class A 101,966 1,744 Stericycle, Inc. (b) 82,107 2,440 Waste Management, Inc. 65,075 ----------- 318,421 ----------- COMMUNICATIONS EQUIPMENT -- 0.9% 1,832 CommScope, Inc. (b) 45,983 ----------- COMPUTERS & PERIPHERALS -- 3.8% 1,950 Diebold, Inc. 51,538 6,685 Lexmark International, Inc., Class A (b) 131,160 ----------- 182,698 ----------- ELECTRICAL EQUIPMENT -- 10.9% 2,663 AMETEK, Inc. 85,775 3,220 Cooper Industries Ltd., Class A 105,584 729 Emerson Electric Co. 24,815 3,089 Hubbell, Inc., Class B 102,555 1,471 Roper Industries, Inc. 67,063 4,507 Thomas & Betts Corp. (b) 140,258 ----------- 526,050 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 440 Itron, Inc. (b) 20,240 1,117 National Instruments Corp. 24,619 ----------- 44,859 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 1.4% 1,598 Teleflex, Inc. $ 68,682 ----------- HOUSEHOLD DURABLES -- 2.4% 98 NVR, Inc. (b) 49,526 5,715 Pulte Homes, Inc. 65,780 ----------- 115,306 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 1,127 Waters Corp. (b) 49,780 ----------- MACHINERY -- 38.6% 5,754 AGCO Corp. (b) 139,822 1,371 Bucyrus International, Inc. 29,764 4,933 Crane Co. 113,903 2,454 Cummins, Inc. 83,436 1,536 Danaher Corp. 89,764 1,266 Deere & Co. 52,235 1,551 Donaldson Co., Inc. 51,167 4,275 Dover Corp. 131,585 3,059 Eaton Corp. 133,984 1,484 Flowserve Corp. 100,764 5,187 Gardner Denver, Inc. (b) 138,078 939 Harsco Corp. 25,869 1,904 IDEX Corp. 48,076 2,025 Illinois Tool Works, Inc. 66,420 1,508 Ingersoll-Rand Co. Ltd., Class A 32,829 1,955 Joy Global, Inc. 49,853 6,957 Kennametal, Inc. 142,271 3,559 Lincoln Electric Holdings, Inc. 158,482 1,226 Parker Hannifin Corp. 55,599 3,843 Pentair, Inc. 102,378 9,003 Terex Corp. (b) 124,241 ----------- 1,870,520 ----------- OFFICE ELECTRONICS -- 3.3% 18,303 Xerox Corp. 111,832 2,189 Zebra Technologies Corp., Class A (b) 46,516 ----------- 158,348 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.5% 914 Lam Research Corp. (b) 25,482 3,755 Novellus Systems, Inc. (b) 67,815 4,753 Teradyne, Inc. (b) 28,233 1,922 Varian Semiconductor Equipment Associates, Inc. (b) 49,184 ----------- 170,714 ----------- TRADING COMPANIES & DISTRIBUTORS -- 2.1% 1,187 W.W. Grainger, Inc. 99,565 ----------- See Notes to Quarterly Portfolio of Investments Page 12 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 4.9% 2,053 American Tower Corp., Class A (b) $ 65,203 2,040 Crown Castle International Corp. (b) 50,021 4,840 SBA Communications Corp., Class A (b) 121,968 ----------- 237,192 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $4,995,184) 4,838,922 MONEY MARKET FUND -- 0.8% 39,744 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $39,744) 39,744 ----------- TOTAL INVESTMENTS -- 100.7% (Cost $5,034,928) (d) 4,878,666 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (33,990) ----------- NET ASSETS -- 100.0% $ 4,844,677 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $232,197 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $388,459. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 4,878,666 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 4,878,666 ============ See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.5% 498 Precision Castparts Corp. $ 37,280 ----------- BUILDING PRODUCTS -- 3.2% 11,675 Armstrong World Industries, Inc. (b) 212,252 1,127 Lennox International, Inc. 35,940 ----------- 248,192 ----------- CHEMICALS -- 32.5% 531 Air Products and Chemicals, Inc. 34,993 1,902 Airgas, Inc. 82,014 1,371 Albemarle Corp. 36,770 8,665 Ashland, Inc. 190,283 12,230 Cabot Corp. 178,558 2,232 Celanese Corp., Class A 46,515 2,258 CF Industries Holdings, Inc. 162,689 15,248 Dow Chemical (The) Co. 243,968 1,337 E.I. du Pont de Nemours and Co. 37,302 3,340 Eastman Chemical Co. 132,531 1,850 Ecolab, Inc. 71,317 2,075 FMC Corp. 101,115 51,332 Huntsman Corp. 275,140 2,110 International Flavors & Fragrances, Inc. 65,832 3,484 Intrepid Potash, Inc. (b) 86,020 1,077 Monsanto Co. 91,427 1,531 Mosaic (The) Co. 61,929 6,850 Nalco Holding Co. 111,792 1,741 PPG Industries, Inc. 76,691 1,910 Praxair, Inc. 142,505 3,704 Scotts Miracle-Gro (The) Co., Class A 125,084 789 Sigma-Aldrich Corp. 34,590 5,720 Terra Industries, Inc. 151,580 ----------- 2,540,645 ----------- COMMERCIAL SERVICES & SUPPLIES -- 3.3% 4,007 Avery Dennison Corp. 115,161 12,212 R.R. Donnelley & Sons Co. 142,270 ----------- 257,431 ----------- CONSTRUCTION & ENGINEERING -- 11.6% 6,161 Aecom Technology Corp. (b) 158,522 864 Fluor Corp. 32,720 1,663 Jacobs Engineering Group, Inc. (b) 63,260 9,306 KBR, Inc. 145,360 5,993 Quanta Services, Inc. (b) 136,221 5,862 Shaw Group (The), Inc. (b) 196,553 3,977 URS Corp. (b) 175,227 ----------- 907,863 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.9% 2,651 Eagle Materials, Inc. $ 73,698 ----------- CONTAINERS & PACKAGING -- 12.0% 2,064 AptarGroup, Inc. 64,046 2,961 Ball Corp. 111,689 3,065 Bemis Co., Inc. 73,683 7,069 Crown Holdings, Inc. (b) 155,871 896 Greif, Inc., Class A 40,562 2,066 Owens-Illinois, Inc. (b) 50,390 4,936 Packaging Corp. of America 78,334 2,046 Pactiv Corp. (b) 44,726 4,657 Sealed Air Corp. 88,762 1,422 Sonoco Products Co. 34,711 16,670 Temple-Inland, Inc. 199,040 ----------- 941,814 ----------- ELECTRICAL EQUIPMENT -- 1.6% 4,516 General Cable Corp. (b) 122,564 ----------- FOOD PRODUCTS -- 3.8% 3,222 Archer-Daniels-Midland Co. 79,326 1,580 Bunge Ltd. 75,856 6,064 Corn Products International, Inc. 144,929 ----------- 300,111 ----------- INDUSTRIAL CONGLOMERATES -- 0.4% 2,229 McDermott International, Inc. (b) 35,976 ----------- MACHINERY -- 2.4% 9,207 Timken (The) Co. 148,049 594 Valmont Industries, Inc. 37,885 ----------- 185,934 ----------- METALS & MINING -- 23.8% 12,196 Alcoa, Inc. 110,618 11,378 Carpenter Technology Corp. 235,183 11,128 Commercial Metals Co. 165,584 2,872 Newmont Mining Corp. 115,569 3,367 Nucor Corp. 137,003 6,103 Reliance Steel & Aluminum Co. 215,009 5,118 Schnitzer Steel Industries, Inc., Class A 253,648 18,238 Steel Dynamics, Inc. 227,063 29,373 Titanium Metals Corp. 199,443 7,603 United States Steel Corp. 201,860 ----------- 1,860,980 ----------- PAPER & FOREST PRODUCTS -- 1.5% 7,466 MeadWestvaco Corp. 116,918 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.6% 3,848 Jones Lang LaSalle, Inc. 124,175 ----------- See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL -- 0.9% 1,238 Sherwin-Williams (The) Co. $ 70,120 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $7,253,717) 7,823,701 MONEY MARKET FUND -- 0.4% 30,171 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $30,171) 30,171 ----------- TOTAL INVESTMENTS -- 100.4% (Cost $7,283,888) (d) 7,853,872 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (33,313) ----------- NET ASSETS -- 100.0% $ 7,820,559 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $926,124 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $356,140. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 7,853,872 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 7,853,872 ============ See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 10.0% 33,294 Brocade Communications Systems, Inc. (b) $ 192,439 3,690 Ciena Corp. (b) 44,096 3,424 Cisco Systems, Inc. (b) 66,152 6,224 EchoStar Corp., Class A (b) 98,464 5,482 F5 Networks, Inc. (b) 149,494 992 Harris Corp. 30,335 1,908 Juniper Networks, Inc. (b) 41,308 2,951 QUALCOMM, Inc. 124,886 ----------- 747,174 ----------- COMPUTERS & PERIPHERALS -- 15.8% 1,463 Apple, Inc. (b) 184,089 3,030 Dell, Inc. (b) 35,209 10,074 EMC Corp. (b) 126,227 1,791 Hewlett-Packard Co. 64,440 1,185 International Business Machines Corp. 122,304 7,224 NCR Corp. (b) 73,324 7,739 NetApp, Inc. (b) 141,624 8,301 QLogic Corp. (b) 117,708 2,271 SanDisk Corp. (b) 35,700 5,691 Teradata Corp. (b) 95,153 7,954 Western Digital Corp. (b) 187,078 ----------- 1,182,856 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 14.2% 4,030 Amphenol Corp., Class A 136,375 4,844 Arrow Electronics, Inc. (b) 110,153 5,271 Avnet, Inc. (b) 115,382 10,166 AVX Corp. 101,762 4,328 Corning, Inc. 63,276 4,510 Dolby Laboratories, Inc., Class A (b) 180,986 5,164 Jabil Circuit, Inc. 41,829 4,181 Molex, Inc. 69,697 13,934 Tyco Electronics Ltd. 243,009 ----------- 1,062,469 ----------- INTERNET SOFTWARE & SERVICES -- 7.4% 5,922 Akamai Technologies, Inc. (b) 130,403 2,045 Equinix, Inc. (b) 143,620 329 Google, Inc., Class A (b) 130,274 2,235 Sohu.com, Inc. (b) 116,555 1,522 VeriSign, Inc. (b) 31,323 ----------- 552,175 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 11.7% 3,213 Affiliated Computer Services, Inc., Class A (b) $ 155,445 4,983 Amdocs Ltd. (b) 104,294 7,399 Cognizant Technology Solutions Corp., Class A (b) 183,421 4,175 Computer Sciences Corp. (b) 154,308 1,658 DST Systems, Inc. (b) 59,970 3,430 NeuStar, Inc., Class A (b) 65,204 8,240 SAIC, Inc. (b) 149,144 ----------- 871,786 ----------- PROFESSIONAL SERVICES -- 1.3% 2,240 IHS, Inc., Class A (b) 92,647 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 21.2% 18,830 Advanced Micro Devices, Inc. (b) 67,976 5,259 Altera Corp. 85,774 1,489 Analog Devices, Inc. 31,686 31,641 Atmel Corp. (b) 121,502 7,700 Broadcom Corp., Class A (b) 178,563 6,538 Cree, Inc. (b) 179,076 3,817 Intel Corp. 60,232 2,500 Linear Technology Corp. 54,450 9,445 LSI Corp. (b) 36,269 16,794 Marvell Technology Group Ltd. (b) 184,398 37,890 Micron Technology, Inc. (b) 184,903 2,913 NVIDIA Corp. (b) 33,441 29,451 ON Semiconductor Corp. (b) 159,625 4,351 Silicon Laboratories, Inc. (b) 144,714 2,998 Xilinx, Inc. 61,279 ----------- 1,583,888 ----------- SOFTWARE -- 18.4% 1,342 Adobe Systems, Inc. (b) 36,704 1,145 ANSYS, Inc. (b) 31,625 4,663 BMC Software, Inc. (b) 161,666 3,262 CA, Inc. 56,269 4,076 Citrix Systems, Inc. (b) 116,288 8,715 Compuware Corp. (b) 65,188 1,580 Electronic Arts, Inc. (b) 32,153 4,254 Intuit, Inc. (b) 98,395 3,430 McAfee, Inc. (b) 128,762 1,562 Microsoft Corp. 31,646 13,481 Novell, Inc. (b) 50,689 8,499 Nuance Communications, Inc. (b) 113,462 5,107 Oracle Corp. 98,769 8,622 Red Hat, Inc. (b) 148,902 1,754 Salesforce.com, Inc. (b) 75,089 1,386 Synopsys, Inc. (b) 30,187 See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 3,907 VMware, Inc., Class A (b) $ 101,895 ----------- 1,377,689 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $7,588,339) 7,470,684 MONEY MARKET FUND -- 0.5% 37,950 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $37,950) 37,950 ----------- TOTAL INVESTMENTS -- 100.5% (Cost $7,626,289) (d) 7,508,634 NET OTHER ASSETS AND LIABILITIES -- (0.5)% (36,081) ----------- NET ASSETS -- 100.0% $ 7,472,553 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $341,666 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $459,321. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 7,508,634 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 7,508,634 ============ See Notes to Quarterly Portfolio of Investments Page 17 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 9.2% 5,820 AT&T, Inc. $ 149,108 14,344 CenturyTel, Inc. 389,440 7,750 Embarq Corp. 283,340 70,762 Qwest Communications International, Inc. 275,264 2,428 Verizon Communications, Inc. 73,666 ----------- 1,170,818 ----------- ELECTRIC UTILITIES -- 21.8% 11,613 American Electric Power Co., Inc. 306,351 10,737 DPL, Inc. 240,831 10,242 Duke Energy Corp. 141,442 8,400 Edison International 239,484 1,077 Entergy Corp. 69,757 3,800 FirstEnergy Corp. 155,420 21,777 Great Plains Energy, Inc. 315,113 10,675 Hawaiian Electric Industries, Inc. 165,889 3,397 Northeast Utilities 71,405 31,240 NV Energy, Inc. 320,210 23,505 Pepco Holdings, Inc. 280,885 9,112 Pinnacle West Capital Corp. 249,487 5,109 PPL Corp. 152,810 2,022 Progress Energy, Inc. 68,991 ----------- 2,778,075 ----------- GAS UTILITIES -- 10.7% 5,528 AGL Resources, Inc. 172,308 6,344 Atmos Energy Corp. 156,760 13,846 Energen Corp. 500,117 6,481 ONEOK, Inc. 169,608 9,967 Questar Corp. 296,219 3,106 UGI Corp. 71,252 ----------- 1,366,264 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 11.4% 10,769 Calpine Corp. (b) 87,336 286,060 Dynegy, Inc., Class A 509,187 35,381 Mirant Corp. (b) 450,400 22,917 NRG Energy, Inc. (b) 412,048 ----------- 1,458,971 ----------- MULTI-UTILITIES -- 28.2% 9,802 Alliant Energy Corp. 219,173 17,393 Ameren Corp. 400,387 23,203 CenterPoint Energy, Inc. 246,880 20,440 CMS Energy Corp. 245,689 1,851 Consolidated Edison, Inc. 68,728 10,590 DTE Energy Co. 313,146 9,294 Integrys Energy Group, Inc. 245,454 14,994 MDU Resources Group, Inc. 263,445 41,158 NiSource, Inc. 452,326 10,160 OGE Energy Corp. 261,214 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 1,919 PG&E Corp. $ 71,233 9,954 Public Service Enterprise Group, Inc. 297,027 4,748 SCANA Corp. 143,485 1,586 Sempra Energy 72,988 6,577 TECO Energy, Inc. 69,650 6,955 Vectren Corp. 154,192 3,936 Xcel Energy, Inc. 72,580 ----------- 3,597,597 ----------- OIL, GAS & CONSUMABLE FUELS -- 3.6% 19,273 Southern Union Co. 306,633 10,373 Spectra Energy Corp. 150,409 ----------- 457,042 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 15.0% 11,567 Leap Wireless International, Inc. (b) 417,222 23,615 MetroPCS Communications, Inc. (b) 403,580 82,169 Sprint Nextel Corp. (b) 358,257 11,065 Telephone and Data Systems, Inc. 317,233 12,098 United States Cellular Corp. (b) 411,332 ----------- 1,907,624 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $14,567,274) 12,736,391 MONEY MARKET FUND -- 0.4% 51,368 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $51,368) 51,368 ----------- TOTAL INVESTMENTS -- 100.3% (Cost $14,618,642) (d) 12,787,759 NET OTHER ASSETS AND LIABILITIES -- (0.3)% (35,262) ----------- NET ASSETS -- 100.0% $12,752,497 =========== See Notes to Quarterly Portfolio of Investments Page 18 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 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 April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $171,224 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,002,107. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 12,787,759 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 12,787,759 ============ See Notes to Quarterly Portfolio of Investments Page 19 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.1% 1,039 General Dynamics Corp. $ 53,685 856 Goodrich Corp. 37,904 776 Honeywell International, Inc. 24,219 1,124 ITT Corp. 46,095 478 L-3 Communications Holdings, Inc. 36,400 157 Lockheed Martin Corp. 12,329 722 Precision Castparts Corp. 54,049 555 Raytheon Co. 25,103 ----------- 289,784 ----------- AIR FREIGHT & LOGISTICS -- 1.1% 948 C.H. Robinson Worldwide, Inc. 50,396 764 Expeditors International of Washington, Inc. 26,519 972 FedEx Corp. 54,393 439 United Parcel Service, Inc., Class B 22,977 ----------- 154,285 ----------- AIRLINES -- 0.2% 3,415 Southwest Airlines Co. 23,837 ----------- Auto Components -- 0.5% 3,453 Goodyear Tire & Rubber (The) Co. (b) 37,948 1,801 Johnson Controls, Inc. 34,237 ----------- 72,185 ----------- AUTOMOBILES -- 0.6% 4,036 Harley-Davidson, Inc. 89,438 ----------- BEVERAGES -- 1.0% 278 Brown-Forman Corp., Class B 12,927 738 Coca-Cola (The) Co. 31,771 631 Molson Coors Brewing Co., Class B 24,136 1,464 Pepsi Bottling Group (The), Inc. 45,779 420 PepsiCo, Inc. 20,899 ----------- 135,512 ----------- BIOTECHNOLOGY -- 1.2% 218 Amgen, Inc. (b) 10,567 1,031 Biogen Idec, Inc. (b) 49,839 243 Celgene Corp. (b) 10,381 476 Cephalon, Inc. (b) 31,230 364 Genzyme Corp. (b) 19,412 933 Gilead Sciences, Inc. (b) 42,731 ----------- 164,160 ----------- CAPITAL MARKETS -- 1.8% 25,329 E*TRADE Financial Corp. (b) 36,220 1,456 Federated Investors, Inc., Class B 33,313 204 Goldman Sachs Group (The), Inc. 26,214 1,559 Invesco Ltd. 22,949 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 6,501 Janus Capital Group, Inc. $ 65,205 475 Morgan Stanley 11,229 542 Northern Trust Corp. 29,463 351 State Street Corp. 11,980 374 T. Rowe Price Group, Inc. 14,407 ----------- 250,980 ----------- CHEMICALS -- 3.4% 192 Air Products and Chemicals, Inc. 12,653 760 CF Industries Holdings, Inc. 54,758 6,410 Dow Chemical (The) Co. 102,560 484 E.I. du Pont de Nemours and Co. 13,503 2,016 Eastman Chemical Co. 79,995 934 Ecolab, Inc. 36,006 1,064 International Flavors & Fragrances, Inc. 33,197 520 Monsanto Co. 44,143 586 PPG Industries, Inc. 25,813 803 Praxair, Inc. 59,912 286 Sigma-Aldrich Corp. 12,538 ----------- 475,078 ----------- COMMERCIAL BANKS -- 1.8% 1,916 BB&T Corp. 44,720 590 Comerica, Inc. 12,378 4,025 First Horizon National Corp. 46,328 26,041 Huntington Bancshares, Inc. 72,654 478 M&T Bank Corp. 25,071 3,682 SunTrust Banks, Inc. 53,168 ----------- 254,319 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.1% 1,935 Avery Dennison Corp. 55,612 1,749 Cintas Corp. 44,879 1,950 Iron Mountain, Inc. (b) 55,556 926 Pitney Bowes, Inc. 22,724 5,897 R.R. Donnelley & Sons Co. 68,700 679 Stericycle, Inc. (b) 31,967 844 Waste Management, Inc. 22,510 ----------- 301,948 ----------- COMMUNICATIONS EQUIPMENT -- 1.2% 1,289 Cisco Systems, Inc. (b) 24,903 373 Harris Corp. 11,406 1,435 Juniper Networks, Inc. (b) 31,068 1,389 QUALCOMM, Inc. 58,783 9,439 Tellabs, Inc. (b) 49,460 ----------- 175,620 ----------- COMPUTERS & PERIPHERALS -- 2.6% 514 Apple, Inc. (b) 64,676 See Notes to Quarterly Portfolio of Investments Page 20 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 1,140 Dell, Inc. (b) $ 13,247 4,740 EMC Corp. (b) 59,392 1,011 Hewlett-Packard Co. 36,376 446 International Business Machines Corp. 46,032 2,913 NetApp, Inc. (b) 53,308 2,916 QLogic Corp. (b) 41,349 854 SanDisk Corp. (b) 13,425 1,999 Teradata Corp. (b) 33,423 ----------- 361,228 ----------- CONSTRUCTION & ENGINEERING -- 0.5% 938 Fluor Corp. 35,522 839 Jacobs Engineering Group, Inc. (b) 31,916 ----------- 67,438 ----------- CONSUMER FINANCE -- 0.9% 2,379 American Express Co. 59,999 8,563 Discover Financial Services 69,617 ----------- 129,616 ----------- CONTAINERS & PACKAGING -- 1.3% 1,245 Ball Corp. 46,961 1,031 Bemis Co., Inc. 24,785 1,497 Owens-Illinois, Inc. (b) 36,512 1,481 Pactiv Corp. (b) 32,375 2,349 Sealed Air Corp. 44,772 ----------- 185,405 ----------- DISTRIBUTORS -- 0.2% 724 Genuine Parts Co. 24,587 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 690 Apollo Group, Inc., Class A (b) 43,436 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.4% 6,338 Bank of America Corp. 56,598 18,960 CIT Group, Inc. 42,091 88 CME Group, Inc. 19,479 290 IntercontinentalExchange, Inc. (b) 25,404 407 JPMorgan Chase & Co. 13,431 472 Moody's Corp. 13,934 1,104 NASDAQ OMX Group, (The), Inc. (b) 21,230 ----------- 192,167 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 1,287 AT&T, Inc. 32,973 1,922 CenturyTel, Inc. 52,182 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 571 Embarq Corp. $ 20,876 1,505 Frontier Communications Corp. 10,701 3,160 Qwest Communications International, Inc. 12,292 716 Verizon Communications, Inc. 21,724 1,341 Windstream Corp. 11,130 ----------- 161,878 ----------- ELECTRIC UTILITIES -- 2.8% 1,399 Allegheny Energy, Inc. 36,262 1,711 American Electric Power Co., Inc. 45,136 2,264 Duke Energy Corp. 31,266 1,500 Edison International 42,765 317 Entergy Corp. 20,532 238 Exelon Corp. 10,979 840 FirstEnergy Corp. 34,356 213 FPL Group, Inc. 11,457 1,001 Northeast Utilities 21,041 3,464 Pepco Holdings, Inc. 41,395 1,628 Pinnacle West Capital Corp. 44,575 376 PPL Corp. 11,246 894 Progress Energy, Inc. 30,503 353 Southern (The) Co. 10,195 ----------- 391,708 ----------- ELECTRICAL EQUIPMENT -- 0.7% 1,672 Cooper Industries Ltd., Class A 54,825 1,134 Emerson Electric Co. 38,601 ----------- 93,426 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 1,517 Amphenol Corp., Class A 51,335 4,072 Corning, Inc. 59,533 1,573 Molex, Inc. 26,222 4,895 Tyco Electronics Ltd. 85,369 ----------- 222,459 ----------- ENERGY EQUIPMENT & SERVICES -- 2.1% 1,478 Cameron International Corp. (b) 37,807 688 Diamond Offshore Drilling, Inc. 49,818 3,493 Halliburton Co. 70,628 1,882 National Oilwell Varco, Inc. (b) 56,987 4,514 Rowan Cos., Inc. 70,464 503 Smith International, Inc. 13,003 ----------- 298,707 ----------- FOOD & STAPLES RETAILING -- 2.5% 700 Costco Wholesale Corp. 34,020 1,966 CVS Caremark Corp. 62,479 See Notes to Quarterly Portfolio of Investments Page 21 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 2,037 Kroger (The) Co. $ 44,040 2,141 Safeway, Inc. 42,285 1,896 Sysco Corp. 44,234 2,081 Walgreen Co. 65,406 1,037 Wal-Mart Stores, Inc. 52,265 643 Whole Foods Market, Inc. 13,329 ----------- 358,058 ----------- FOOD PRODUCTS -- 2.2% 1,556 Archer-Daniels-Midland Co. 38,309 790 Campbell Soup Co. 20,319 2,989 Dean Foods Co. (b) 61,872 433 General Mills, Inc. 21,949 327 H.J. Heinz Co. 11,255 933 Hershey (The) Co. 33,719 1,704 Hormel Foods Corp. 53,318 290 J.M. Smucker (The) Co. 11,426 295 Kellogg Co. 12,422 1,096 McCormick & Co., Inc. 32,277 1,151 Tyson Foods, Inc., Class A 12,132 ----------- 308,998 ----------- GAS UTILITIES -- 0.5% 690 EQT Corp. 23,205 650 Nicor, Inc. 20,891 734 Questar Corp. 21,814 ----------- 65,910 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.6% 633 Baxter International, Inc. 30,701 482 Becton, Dickinson and Co. 29,151 407 C. R. Bard, Inc. 29,153 325 Covidien Ltd. 10,719 805 DENTSPLY International, Inc. 23,039 1,051 Hospira, Inc. (b) 34,546 367 Medtronic, Inc. 11,744 1,190 St. Jude Medical, Inc. (b) 39,889 355 Varian Medical Systems, Inc. (b) 11,846 ----------- 220,788 ----------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 888 Aetna, Inc. 19,545 331 AmerisourceBergen Corp. 11,135 687 Cardinal Health, Inc. 23,214 4,176 Coventry Health Care, Inc. (b) 66,440 738 DaVita, Inc. (b) 34,221 234 Express Scripts, Inc. (b) 14,969 1,658 Humana, Inc. (b) 47,717 554 Laboratory Corp. of America Holdings (b) 35,539 308 McKesson Corp. 11,396 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 1,307 Medco Health Solutions, Inc. (b) $ 56,920 573 Patterson Cos., Inc. (b) 11,724 910 Quest Diagnostics, Inc. 46,710 1,549 UnitedHealth Group, Inc. 36,432 1,138 WellPoint, Inc. (b) 48,661 ----------- 464,623 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 2,502 Carnival Corp. 67,254 315 Darden Restaurants, Inc. 11,645 2,344 International Game Technology 28,948 396 McDonald's Corp. 21,103 2,918 Starbucks Corp. (b) 42,194 2,553 Starwood Hotels & Resorts Worldwide, Inc. 53,256 1,180 Yum! Brands, Inc. 39,353 ----------- 263,753 ----------- HOUSEHOLD DURABLES -- 2.3% 2,228 D.R. Horton, Inc. 29,075 880 Fortune Brands, Inc. 34,593 820 KB HOME 14,818 1,664 Leggett & Platt, Inc. 23,895 1,978 Pulte Homes, Inc. 22,767 2,153 Snap-on, Inc. 73,030 1,113 Stanley Works (The) 42,327 1,826 Whirlpool Corp. 82,462 ----------- 322,967 ----------- HOUSEHOLD PRODUCTS -- 0.4% 366 Colgate-Palmolive Co. 21,594 469 Kimberly-Clark Corp. 23,046 229 Procter & Gamble (The) Co. 11,322 ----------- 55,962 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.9% 9,300 AES (The) Corp. (b) 65,751 38,323 Dynegy, Inc., Class A (b) 68,215 ----------- 133,966 ----------- INDUSTRIAL CONGLOMERATES -- 0.9% 217 3M Co. 12,499 3,207 General Electric Co. 40,568 7,531 Textron, Inc. 80,808 ----------- 133,875 ----------- INSURANCE -- 3.1% 558 Aflac, Inc. 16,121 794 Aon Corp. 33,507 1,985 Assurant, Inc. 48,513 See Notes to Quarterly Portfolio of Investments Page 22 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 511 Chubb (The) Corp. $ 19,903 945 Cincinnati Financial Corp. 22,633 1,615 Lincoln National Corp. 18,152 1,424 MetLife, Inc. 42,364 5,285 Principal Financial Group, Inc. 86,357 1,608 Progressive (The) Corp. (b) 24,570 1,648 Torchmark Corp. 48,336 798 Travelers (The) Cos., Inc. 32,830 2,594 Unum Group 42,386 ----------- 435,672 ----------- INTERNET & CATALOG RETAIL -- 0.6% 736 Amazon.com, Inc. (b) 59,263 2,380 Expedia, Inc. (b) 32,392 ----------- 91,655 ----------- INTERNET SOFTWARE & SERVICES -- 0.9% 2,785 Akamai Technologies, Inc. (b) 61,326 124 Google, Inc., Class A (b) 49,100 573 VeriSign, Inc. (b) 11,792 ----------- 122,218 ----------- IT SERVICES -- 2.4% 1,128 Affiliated Computer Services, Inc., Class A (b) 54,573 922 Automatic Data Processing, Inc. 32,454 2,599 Cognizant Technology Solutions Corp., Class A (b) 64,429 1,467 Computer Sciences Corp. (b) 54,220 594 Fidelity National Information Services, Inc. 10,603 1,186 Fiserv, Inc. (b) 44,262 258 MasterCard, Inc., Class A 47,330 421 Paychex, Inc. 11,371 1,565 Total System Services, Inc. 19,516 ----------- 338,758 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.4% 862 Hasbro, Inc. 22,981 1,875 Mattel, Inc. 28,050 ----------- 51,031 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 1,664 Life Technologies Corp. (b) 62,067 565 Millipore Corp. (b) 33,391 2,539 PerkinElmer, Inc. 36,993 909 Thermo Fisher Scientific, Inc. (b) 31,888 292 Waters Corp. (b) 12,898 ----------- 177,237 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 3.5% 1,699 Cummins, Inc. $ 57,766 598 Danaher Corp. 34,947 658 Deere & Co. 27,149 1,639 Dover Corp. 50,448 1,466 Eaton Corp. 64,211 578 Flowserve Corp. 39,246 701 Illinois Tool Works, Inc. 22,993 16,525 Manitowoc (The) Co., Inc. 98,324 420 PACCAR, Inc. 14,885 529 Pall Corp. 13,971 1,590 Parker Hannifin Corp. 72,106 ----------- 496,046 ----------- MEDIA -- 2.5% 2,377 Comcast Corp., Class A 36,748 2,371 DIRECTV Group (The), Inc. (b) 58,635 10,492 Interpublic Group of Cos (The), Inc. (b) 65,680 473 McGraw-Hill (The) Cos., Inc. 14,261 2,598 Meredith Corp. 65,158 924 Omnicom Group, Inc. 29,078 622 Viacom, Inc., Class B (b) 11,967 2,380 Walt Disney (The) Co. 52,122 30 Washington Post (The) Co., Class B 12,558 ----------- 346,207 ----------- METALS & MINING -- 2.8% 6,071 AK Steel Holding Corp. 78,984 5,889 Alcoa, Inc. 53,413 2,464 Allegheny Technologies, Inc. 80,647 567 Freeport-McMoRan Copper & Gold, Inc. 24,182 1,207 Newmont Mining Corp. 48,570 1,133 Nucor Corp. 46,102 2,557 United States Steel Corp. 67,888 ----------- 399,786 ----------- MULTILINE RETAIL -- 3.1% 2,600 Big Lots, Inc. (b) 71,864 1,619 Family Dollar Stores, Inc. 53,735 2,692 J. C. Penney Co., Inc. 82,617 1,277 Kohl's Corp. (b) 57,912 6,071 Macy's, Inc. 83,051 1,290 Nordstrom, Inc. 29,193 236 Sears Holdings Corp. (b) 14,743 943 Target Corp. 38,908 ----------- 432,023 ----------- MULTI-UTILITIES -- 3.5% 2,330 Ameren Corp. 53,637 3,108 CenterPoint Energy, Inc. 33,069 3,651 CMS Energy Corp. 43,885 546 Consolidated Edison, Inc. 20,273 See Notes to Quarterly Portfolio of Investments Page 23 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 697 Dominion Resources, Inc. $ 21,021 1,951 DTE Energy Co. 57,691 1,245 Integrys Energy Group, Inc. 32,880 5,514 NiSource, Inc. 60,599 848 PG&E Corp. 31,478 367 Public Service Enterprise Group, Inc. 10,951 1,050 SCANA Corp. 31,731 467 Sempra Energy 21,491 2,908 TECO Energy, Inc. 30,796 262 Wisconsin Energy Corp. 10,470 1,740 Xcel Energy, Inc. 32,086 ----------- 492,058 ----------- OFFICE ELECTRONICS -- 0.4% 9,501 Xerox Corp. 58,051 ----------- OIL, GAS & CONSUMABLE FUELS -- 7.1% 1,112 Anadarko Petroleum Corp. 47,883 169 Apache Corp. 12,313 459 Cabot Oil & Gas Corp. 13,857 1,267 Chesapeake Energy Corp. 24,973 804 Chevron Corp. 53,144 552 ConocoPhillips 22,632 428 CONSOL Energy, Inc. 13,388 635 Exxon Mobil Corp. 42,335 798 Hess Corp. 43,722 2,055 Marathon Oil Corp. 61,034 4,272 Massey Energy Co. 67,968 966 Murphy Oil Corp. 46,088 1,003 Noble Energy, Inc. 56,920 971 Occidental Petroleum Corp. 54,658 1,726 Peabody Energy Corp. 45,549 3,281 Pioneer Natural Resources Co. 75,857 1,050 Range Resources Corp. 41,969 1,820 Southwestern Energy Co. (b) 65,265 2,293 Spectra Energy Corp. 33,248 1,224 Sunoco, Inc. 32,448 4,012 Tesoro Corp. 61,183 4,748 Williams (The) Cos., Inc. 66,947 353 XTO Energy, Inc. 12,235 ----------- 995,616 ----------- PAPER & FOREST PRODUCTS -- 0.4% 3,605 MeadWestvaco Corp. 56,454 ----------- Pharmaceuticals -- 2.2% 680 Abbott Laboratories 28,458 905 Allergan, Inc. 42,227 493 Bristol-Myers Squibb Co. 9,466 492 Forest Laboratories, Inc. (b) 10,671 205 Johnson & Johnson 10,734 1,212 Merck & Co., Inc. 29,379 4,029 Mylan, Inc. (b) 53,384 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 2,380 Pfizer, Inc. $ 31,797 1,737 Watson Pharmaceuticals, Inc. (b) 53,743 1,004 Wyeth 42,570 ----------- 312,429 ----------- PROFESSIONAL SERVICES -- 0.9% 421 Dun & Bradstreet (The) Corp. 34,269 442 Equifax, Inc. 12,889 5,304 Monster Worldwide, Inc. (b) 73,195 606 Robert Half International, Inc. 14,556 ----------- 134,909 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 13,785 Host Hotels & Resorts, Inc. 106,006 2,837 Kimco Realty Corp. 34,101 978 Public Storage 65,389 ----------- 205,496 ----------- ROAD & RAIL -- 1.6% 539 Burlington Northern Santa Fe Corp. 36,372 1,672 CSX Corp. 49,474 1,281 Norfolk Southern Corp. 45,706 1,527 Ryder System, Inc. 42,283 1,052 Union Pacific Corp. 51,695 ----------- 225,530 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% 7,087 Advanced Micro Devices, Inc. (b) 25,584 2,463 Altera Corp. 40,172 1,122 Analog Devices, Inc. 23,876 2,704 Broadcom Corp., Class A (b) 62,706 1,436 Intel Corp. 22,660 470 Linear Technology Corp. 10,237 3,555 LSI Corp. (b) 13,651 510 Microchip Technology, Inc. 11,730 1,300 Novellus Systems, Inc. (b) 23,478 1,096 NVIDIA Corp. (b) 12,582 655 Texas Instruments, Inc. 11,829 1,692 Xilinx, Inc. 34,584 ----------- 293,089 ----------- SOFTWARE -- 3.0% 505 Adobe Systems, Inc. (b) 13,812 1,637 BMC Software, Inc. (b) 56,755 1,227 CA, Inc. 21,166 1,432 Citrix Systems, Inc. (b) 40,855 3,280 Compuware Corp. (b) 24,534 594 Electronic Arts, Inc. (b) 12,088 1,601 Intuit, Inc. (b) 37,031 1,613 McAfee, Inc. (b) 60,552 See Notes to Quarterly Portfolio of Investments Page 24 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 588 Microsoft Corp. $ 11,913 5,074 Novell, Inc. (b) 19,078 2,392 Oracle Corp. 46,261 660 Salesforce.com, Inc. (b) 28,255 2,893 Symantec Corp. (b) 49,904 ----------- 422,204 ----------- SPECIALTY RETAIL -- 5.1% 332 AutoZone, Inc. (b) 55,241 1,310 Bed Bath & Beyond, Inc. (b) 39,850 1,423 Best Buy Co., Inc. 54,615 1,928 GameStop Corp., Class A (b) 58,149 3,328 Gap (The), Inc. 51,717 1,835 Home Depot (The), Inc. 48,297 3,727 Limited Brands, Inc. 42,562 1,777 Lowe's Cos., Inc. 38,206 1,543 O'Reilly Automotive, Inc. (b) 59,946 6,305 RadioShack Corp. 88,774 624 Sherwin-Williams (The) Co. 35,343 2,984 Staples, Inc. 61,530 1,003 Tiffany & Co. 29,027 2,107 TJX (The) Cos., Inc. 58,933 ----------- 722,190 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 461 NIKE, Inc., Class B 24,189 1,023 Polo Ralph Lauren Corp. 55,078 568 VF Corp. 33,665 ----------- 112,932 ----------- THRIFTS & MORTGAGE FINANCE -- 0.1% 924 Hudson City Bancorp, Inc. 11,605 ----------- TOBACCO -- 0.5% 675 Altria Group, Inc. 11,023 175 Lorillard, Inc. 11,047 304 Philip Morris International, Inc. 11,005 905 Reynolds American, Inc. 34,372 ----------- 67,447 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 672 Fastenal Co. 25,778 616 W.W. Grainger, Inc. 51,670 ----------- 77,448 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 1,065 American Tower Corp., Class A (b) 33,825 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES (CONTINUED) 12,109 Sprint Nextel Corp. (b) $ 52,795 ----------- 86,620 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $14,288,195) 14,052,812 MONEY MARKET FUND -- 0.3% 41,063 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $41,063) 41,063 ----------- TOTAL INVESTMENTS -- 100.2% (Cost $14,329,258) (d) 14,093,875 NET OTHER ASSETS AND LIABILITIES -- (0.2)% (31,625) ----------- NET ASSETS -- 100.0% $14,062,250 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $849,335 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,084,718. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 14,093,875 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 14,093,875 ============ See Notes to Quarterly Portfolio of Investments Page 25 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.2% 215 Alliant Techsystems, Inc. (b) $ 17,125 ----------- AIRLINES -- 0.5% 1,231 Alaska Air Group, Inc. (b) 20,656 3,950 JetBlue Airways Corp. (b) 19,474 ----------- 40,130 ----------- AUTO COMPONENTS -- 0.3% 355 BorgWarner, Inc. 10,277 724 Gentex Corp. 9,680 ----------- 19,957 ----------- AUTOMOBILES -- 0.1% 461 Thor Industries, Inc. 10,598 ----------- BEVERAGES -- 0.8% 801 Hansen Natural Corp. (b) 32,649 1,254 PepsiAmericas, Inc. 30,811 ----------- 63,460 ----------- BIOTECHNOLOGY -- 0.5% 565 OSI Pharmaceuticals, Inc. (b) 18,967 218 United Therapeutics Corp. (b) 13,692 251 Vertex Pharmaceuticals, Inc. (b) 7,736 ----------- 40,395 ----------- BUILDING PRODUCTS -- 0.1% 272 Lennox International, Inc. 8,674 ----------- CAPITAL MARKETS -- 1.3% 10,357 Apollo Investment Corp. 49,714 315 Eaton Vance Corp. 8,622 522 Jefferies Group, Inc. 10,215 732 Raymond James Financial, Inc. 11,485 798 Waddell & Reed Financial, Inc., Class A 17,883 ----------- 97,919 ----------- CHEMICALS -- 4.5% 640 Airgas, Inc. 27,597 993 Albemarle Corp. 26,632 2,791 Ashland, Inc. 61,290 3,429 Cabot Corp. 50,063 668 FMC Corp. 32,552 900 Minerals Technologies, Inc. 33,471 2,021 Olin Corp. 25,465 1,039 Scotts Miracle-Gro (The) Co., Class A 35,087 613 Sensient Technologies Corp. 14,332 1,283 Terra Industries, Inc. 34,000 361 Valspar (The) Corp. 8,664 ----------- 349,153 ----------- COMMERCIAL BANKS -- 1.9% 934 Associated Banc-Corp. 14,449 219 Bank of Hawaii Corp. 7,695 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 2,073 Cathay General Bancorp $ 23,259 213 City National Corp. 7,796 199 Commerce Bancshares, Inc. 6,587 154 Cullen/Frost Bankers, Inc. 7,252 4,621 International Bancshares Corp. 62,430 613 TCF Financial Corp. 8,527 392 Trustmark Corp. 8,522 ----------- 146,517 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 272 Brink's (The) Co. 7,711 150 Clean Harbors, Inc. (b) 7,515 729 Copart, Inc. (b) 22,883 1,688 Corrections Corp. of America (b) 23,851 1,497 Deluxe Corp. 21,707 2,772 HNI Corp. 42,966 720 Mine Safety Appliances Co. 17,748 1,681 Rollins, Inc. 30,258 561 Waste Connections, Inc. (b) 14,463 ----------- 189,102 ----------- COMMUNICATIONS EQUIPMENT -- 2.9% 11,664 3Com Corp. (b) 47,239 1,334 ADTRAN, Inc. 28,214 1,188 Avocent Corp. (b) 17,155 635 CommScope, Inc. (b) 15,938 1,376 F5 Networks, Inc. (b) 37,524 4,181 Palm, Inc. (b) 43,859 597 Plantronics, Inc. 7,606 1,405 Polycom, Inc. (b) 26,189 ----------- 223,724 ----------- COMPUTERS & PERIPHERALS -- 1.0% 338 Diebold, Inc. 8,934 942 Imation Corp. 9,420 1,813 NCR Corp. (b) 18,402 1,864 Western Digital Corp. (b) 43,841 ----------- 80,597 ----------- CONSTRUCTION & ENGINEERING -- 1.8% 1,382 Aecom Technology Corp. (b) 35,559 577 Granite Construction, Inc. 22,763 1,566 KBR, Inc. 24,461 1,680 Quanta Services, Inc. (b) 38,186 357 URS Corp. (b) 15,729 ----------- 136,698 ----------- CONSTRUCTION MATERIALS -- 0.1% 91 Martin Marietta Materials, Inc. 7,647 ----------- See Notes to Quarterly Portfolio of Investments Page 26 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 0.2% 1,230 AmeriCredit Corp. (b) $ 12,509 ----------- CONTAINERS & PACKAGING -- 2.0% 694 AptarGroup, Inc. 21,535 650 Greif, Inc., Class A 29,425 1,661 Packaging Corp. of America 26,360 687 Sonoco Products Co. 16,770 5,369 Temple-Inland, Inc. 64,106 ----------- 158,196 ----------- DISTRIBUTORS -- 0.6% 2,526 LKQ Corp. (b) 42,892 ----------- DIVERSIFIED CONSUMER SERVICES -- 3.0% 319 Brink's Home Security Holdings, Inc. (b) 8,479 1,203 Career Education Corp. (b) 26,514 1,853 Corinthian Colleges, Inc. (b) 28,536 598 DeVry, Inc. 25,451 297 ITT Educational Services, Inc. (b) 29,929 500 Matthews International Corp., Class A 15,660 1,995 Regis Corp. 38,184 8,262 Service Corp. International 37,427 120 Strayer Education, Inc. 22,729 ----------- 232,909 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 3,134 Cincinnati Bell, Inc. (b) 8,744 ----------- ELECTRIC UTILITIES -- 1.9% 640 DPL, Inc. 14,355 2,141 Great Plains Energy, Inc. 30,980 1,574 Hawaiian Electric Industries, Inc. 24,460 926 IDACORP, Inc. 22,196 3,071 NV Energy, Inc. 31,478 1,234 Westar Energy, Inc. 21,632 ----------- 145,101 ----------- ELECTRICAL EQUIPMENT -- 2.2% 692 AMETEK, Inc. 22,289 1,069 Hubbell, Inc., Class B 35,491 340 Roper Industries, Inc. 15,501 1,152 Thomas & Betts Corp. (b) 35,850 3,224 Woodward Governor Co. 64,351 ----------- 173,482 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 152 Itron, Inc. (b) 6,992 387 National Instruments Corp. 8,529 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 1,324 Tech Data Corp. (b) $ 38,118 ----------- 53,639 ----------- ENERGY EQUIPMENT & SERVICES -- 2.1% 919 FMC Technologies, Inc. (b) 31,457 633 Helmerich & Payne, Inc. 19,509 587 Oceaneering International, Inc. (b) 26,750 2,005 Pride International, Inc. (b) 45,513 971 Tidewater, Inc. 41,996 ----------- 165,225 ----------- FOOD & STAPLES RETAILING -- 0.8% 1,127 BJ's Wholesale Club, Inc. (b) 37,574 963 Ruddick Corp. 24,711 ----------- 62,285 ----------- FOOD PRODUCTS -- 1.7% 1,700 Corn Products International, Inc. 40,630 1,535 Flowers Foods, Inc. 35,459 174 Lancaster Colony Corp. 7,621 669 Ralcorp Holdings, Inc. (b) 38,240 332 Tootsie Roll Industries, Inc. 8,084 ----------- 130,034 ----------- GAS UTILITIES -- 2.2% 815 AGL Resources, Inc. 25,404 1,237 Energen Corp. 44,680 470 National Fuel Gas Co. 15,374 956 ONEOK, Inc. 25,019 1,527 UGI Corp. 35,029 879 WGL Holdings, Inc. 27,372 ----------- 172,878 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.2% 565 Beckman Coulter, Inc. 29,696 594 Edwards Lifesciences Corp. (b) 37,648 633 Gen-Probe, Inc. (b) 30,485 3,644 Hill-Rom Holdings, Inc. 47,299 1,101 Hologic, Inc. (b) 16,361 417 IDEXX Laboratories, Inc. (b) 16,388 860 Immucor, Inc. (b) 14,010 1,024 Kinetic Concepts, Inc. (b) 25,354 746 Masimo Corp. (b) 21,559 612 ResMed, Inc. (b) 23,531 929 STERIS Corp. 22,389 369 Teleflex, Inc. 15,860 842 Thoratec Corp. (b) 24,469 ----------- 325,049 ----------- See Notes to Quarterly Portfolio of Investments Page 27 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 4.3% 1,880 Community Health Systems, Inc. (b) $ 42,939 8,382 Health Management Associates, Inc., Class A (b) 39,144 996 Health Net, Inc. (b) 14,382 721 Henry Schein, Inc. (b) 29,590 2,411 Kindred Healthcare, Inc. (b) 31,391 1,728 LifePoint Hospitals, Inc. (b) 44,669 331 Lincare Holdings, Inc. (b) 7,987 1,177 Omnicare, Inc. 30,261 218 Owens & Minor, Inc. 7,560 1,375 Psychiatric Solutions, Inc. (b) 26,661 752 Universal Health Services, Inc., Class B 37,901 959 VCA Antech, Inc. (b) 23,994 ----------- 336,479 ----------- HEALTH CARE TECHNOLOGY -- 0.5% 656 Cerner Corp. (b) 35,293 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.9% 1,889 Cheesecake Factory (The), Inc. (b) 32,812 434 Chipotle Mexican Grill, Inc., Class A (b) 35,193 1,307 International Speedway Corp., Class A 30,950 2,870 Life Time Fitness, Inc. (b) 53,841 645 Panera Bread Co., Class A (b) 36,126 7,165 Wendy's/Arby's Group, Inc., Class A 35,825 ----------- 224,747 ----------- HOUSEHOLD DURABLES -- 0.9% 463 M.D.C. Holdings, Inc. 15,825 17 NVR, Inc. (b) 8,591 433 Ryland Group, Inc. 8,968 397 Toll Brothers, Inc. (b) 8,043 1,273 Tupperware Brands Corp. 31,863 ----------- 73,290 ----------- HOUSEHOLD PRODUCTS -- 0.5% 414 Church & Dwight Co., Inc. 22,526 290 Energizer Holdings, Inc. (b) 16,617 ----------- 39,143 ----------- INDUSTRIAL CONGLOMERATES -- 0.4% 1,469 Carlisle Cos., Inc. 33,420 ----------- INSURANCE -- 1.6% 1,796 American Financial Group, Inc. 31,574 762 Brown & Brown, Inc. 14,829 272 First American Corp. 7,638 250 Hanover Insurance Group, Inc. 7,495 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 572 HCC Insurance Holdings, Inc. $ 13,682 223 Reinsurance Group of America, Inc. 7,089 1,266 StanCorp Financial Group, Inc. 34,726 320 W.R. Berkley Corp. 7,651 ----------- 124,684 ----------- INTERNET & CATALOG RETAIL -- 0.9% 840 NetFlix, Inc. (b) 38,060 366 Priceline.com, Inc. (b) 35,535 ----------- 73,595 ----------- INTERNET SOFTWARE & SERVICES -- 0.7% 967 Digital River, Inc. (b) 37,152 1,694 ValueClick, Inc. (b) 17,957 ----------- 55,109 ----------- IT SERVICES -- 3.3% 1,948 Acxiom Corp. 18,798 1,937 Broadridge Financial Solutions, Inc. 37,481 208 DST Systems, Inc. (b) 7,523 863 Global Payments, Inc. 27,668 727 Hewitt Associates, Inc., Class A (b) 22,799 471 Lender Processing Services, Inc. 13,499 516 ManTech International Corp., Class A (b) 18,674 1,806 Metavante Technologies, Inc. (b) 42,603 861 NeuStar, Inc., Class A (b) 16,368 1,930 SAIC, Inc. (b) 34,933 981 SRA International, Inc., Class A (b) 15,098 ----------- 255,444 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.5% 5,020 Callaway Golf Co. 37,901 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 219 Bio-Rad Laboratories, Inc., Class A (b) 15,262 607 Covance, Inc. (b) 23,843 264 TECHNE Corp. 15,106 911 Varian, Inc. (b) 30,081 ----------- 84,292 ----------- MACHINERY -- 5.4% 1,839 AGCO Corp. (b) 44,688 475 Bucyrus International, Inc. 10,312 1,281 Crane Co. 29,578 269 Donaldson Co., Inc. 8,874 5,471 Federal Signal Corp. 42,510 See Notes to Quarterly Portfolio of Investments Page 28 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,301 Harsco Corp. $ 35,842 659 IDEX Corp. 16,640 338 Joy Global, Inc. 8,619 1,779 Kennametal, Inc. 36,380 761 Nordson Corp. 27,609 4,278 Oshkosh Corp. 41,069 998 Pentair, Inc. 26,587 307 SPX Corp. 14,174 2,582 Timken (The) Co. 41,519 820 Wabtec Corp. 31,275 ----------- 415,676 ----------- MARINE -- 0.5% 1,515 Alexander & Baldwin, Inc. 40,360 ----------- MEDIA -- 1.6% 6,737 Harte-Hanks, Inc. 55,648 242 John Wiley & Sons, Inc., Class A 8,204 815 Marvel Entertainment, Inc. (b) 24,320 1,913 Scholastic Corp. 37,743 ----------- 125,915 ----------- METALS & MINING -- 2.0% 2,553 Carpenter Technology Corp. 52,771 3,121 Commercial Metals Co. 46,440 1,095 Reliance Steel & Aluminum Co. 38,577 1,636 Steel Dynamics, Inc. 20,368 ----------- 158,156 ----------- MULTILINE RETAIL -- 2.2% 3,121 99 Cents Only Stores (b) 33,520 809 Dollar Tree, Inc. (b) 34,253 19,274 Saks, Inc. (b) 100,417 ----------- 168,190 ----------- MULTI-UTILITIES -- 1.4% 876 Alliant Energy Corp. 19,587 403 Black Hills Corp. 8,012 1,786 MDU Resources Group, Inc. 31,380 452 NSTAR 14,197 908 OGE Energy Corp. 23,345 684 Vectren Corp. 15,164 ----------- 111,685 ----------- OFFICE ELECTRONICS -- 0.2% 758 Zebra Technologies Corp., Class A (b) 16,108 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.3% 2,696 Arch Coal, Inc. 37,663 1,621 Bill Barrett Corp. (b) 42,114 242 Comstock Resources, Inc. (b) 8,339 1,455 Denbury Resources, Inc. (b) 23,687 620 Encore Acquisition Co. (b) 18,098 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 2,254 Frontier Oil Corp. $ 28,648 1,860 Mariner Energy, Inc. (b) 21,167 635 Newfield Exploration Co. (b) 19,799 1,590 Overseas Shipholding Group, Inc. 45,649 9,715 Patriot Coal Corp. (b) 61,205 1,894 Southern Union Co. 30,134 ----------- 336,503 ----------- PERSONAL PRODUCTS -- 1.1% 956 Alberto-Culver Co. 21,309 2,560 NBTY, Inc. (b) 66,330 ----------- 87,639 ----------- PHARMACEUTICALS -- 1.0% 815 Endo Pharmaceuticals Holdings, Inc. (b) 13,480 1,165 Medicis Pharmaceutical Corp., Class A 18,722 581 Perrigo Co. 15,059 1,475 Sepracor, Inc. (b) 20,960 405 Valeant Pharmaceuticals International (b) 6,788 ----------- 75,009 ----------- PROFESSIONAL SERVICES -- 1.2% 437 FTI Consulting, Inc. (b) 23,983 457 Manpower, Inc. 19,692 1,211 MPS Group, Inc. (b) 9,736 552 Navigant Consulting, Inc. (b) 8,120 584 Watson Wyatt Worldwide, Inc., Class A 30,981 ----------- 92,512 ----------- REAL ESTATE INVESTMENT TRUSTS -- 3.6% 396 Alexandria Real Estate Equities, Inc. 14,446 367 BRE Properties, Inc. 9,017 3,932 Duke Realty Corp. 38,416 1,802 Hospitality Properties Trust 22,056 381 Liberty Property Trust 9,274 4,606 Macerich (The) Co. 80,743 364 Mack-Cali Realty Corp. 9,777 512 Omega Healthcare Investors, Inc. 8,049 311 Potlatch Corp. 9,146 477 Rayonier, Inc. 18,422 2,002 SL Green Realty Corp. 35,355 1,514 Weingarten Realty Investors 23,528 ----------- 278,229 ----------- ROAD & RAIL -- 1.3% 598 J.B. Hunt Transport Services, Inc. 16,816 2,836 Kansas City Southern (b) 43,249 See Notes to Quarterly Portfolio of Investments Page 29 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 431 Landstar System, Inc. $ 15,348 1,430 Werner Enterprises, Inc. 23,380 ----------- 98,793 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% 7,943 Atmel Corp. (b) 30,501 1,532 Cree, Inc. (b) 41,961 534 International Rectifier Corp. (b) 9,014 317 Lam Research Corp. (b) 8,838 2,700 Semtech Corp. (b) 38,934 1,092 Silicon Laboratories, Inc. (b) 36,320 ----------- 165,568 ----------- SOFTWARE -- 3.7% 1,922 ACI Worldwide, Inc. (b) 33,193 1,082 Advent Software, Inc. (b) 35,966 574 ANSYS, Inc. (b) 15,854 577 FactSet Research Systems, Inc. 30,921 1,537 Fair Isaac Corp. 25,852 883 Jack Henry & Associates, Inc. 15,912 2,026 Macrovision Solutions Corp. (b) 40,966 722 Parametric Technology Corp. (b) 8,050 1,190 Sybase, Inc. (b) 40,412 1,391 Synopsys, Inc. (b) 30,296 1,126 Wind River Systems, Inc. (b) 8,254 ----------- 285,676 ----------- SPECIALTY RETAIL -- 6.6% 877 Advance Auto Parts, Inc. 38,369 1,357 Aeropostale, Inc. (b) 46,097 2,356 American Eagle Outfitters, Inc. 34,916 1,011 Barnes & Noble, Inc. 26,407 5,369 Chico's FAS, Inc. (b) 41,019 5,744 Coldwater Creek, Inc. (b) 19,817 2,960 Collective Brands, Inc. (b) 42,979 1,010 Dick's Sporting Goods, Inc. (b) 19,190 2,751 Foot Locker, Inc. 32,709 1,026 Guess?, Inc. 26,717 547 J. Crew Group, Inc. (b) 9,414 1,720 PetSmart, Inc. 39,354 1,489 Rent-A-Center, Inc. (b) 28,663 1,005 Ross Stores, Inc. 38,130 881 Urban Outfitters, Inc. (b) 17,171 3,576 Williams-Sonoma, Inc. 50,064 ----------- 511,016 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 753 Hanesbrands, Inc. (b) 12,394 1,271 Phillips-Van Heusen Corp. 36,897 1,811 Timberland (The) Co., Class A (b) 29,411 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 901 Warnaco Group (The), Inc. (b) $ 25,985 ----------- 104,687 ----------- THRIFTS & MORTGAGE FINANCE -- 0.5% 1,569 Astoria Financial Corp. 12,960 661 First Niagara Financial Group, Inc. 8,950 1,228 NewAlliance Bancshares, Inc. 15,853 ----------- 37,763 ----------- TOBACCO -- 0.4% 964 Universal Corp. 29,074 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 1,782 GATX Corp. 53,656 232 MSC Industrial Direct Co., Inc., Class A 9,477 ----------- 63,133 ----------- WATER UTILITIES -- 0.2% 721 Aqua America, Inc. 13,230 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 2,287 Syniverse Holdings, Inc. (b) 28,816 1,088 Telephone and Data Systems, Inc. 31,193 ----------- 60,009 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $7,691,839) 7,762,967 MONEY MARKET FUND -- 0.5% 38,023 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $38,023) 38,023 ----------- TOTAL INVESTMENTS -- 100.4% (Cost $7,729,862) (d) 7,800,990 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (31,544) ----------- NET ASSETS -- 100.0% $ 7,769,446 =========== See Notes to Quarterly Portfolio of Investments Page 30 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 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 April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $789,322 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $718,194. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 7,800,990 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 7,800,990 ============ See Notes to Quarterly Portfolio of Investments Page 31 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.6% 784 AAR Corp. (b) $ 11,815 314 Aerovironment, Inc. (b) 7,429 176 American Science & Engineering, Inc. 10,606 810 Applied Signal Technology, Inc. 16,006 234 Axsys Technologies, Inc. (b) 9,807 517 Cubic Corp. 14,843 234 Curtiss-Wright Corp. 7,481 649 Esterline Technologies Corp. (b) 17,101 573 Moog, Inc., Class A (b) 15,345 387 Stanley, Inc. (b) 9,977 123 Teledyne Technologies, Inc. (b) 3,927 429 Triumph Group, Inc. 17,730 ----------- 142,067 ----------- AIR FREIGHT & LOGISTICS -- 0.2% 202 Forward Air Corp. 3,367 385 Hub Group, Inc., Class A (b) 8,855 ----------- 12,222 ----------- AIRLINES -- 0.1% 527 SkyWest, Inc. 6,345 ----------- AUTO COMPONENTS -- 0.6% 4,075 Spartan Motors, Inc. 32,885 ----------- BEVERAGES -- 0.1% 157 Boston Beer (The) Co., Inc., Class A (b) 4,176 ----------- BIOTECHNOLOGY -- 0.6% 3,957 ArQule, Inc. (b) 17,609 401 Cubist Pharmaceuticals, Inc. (b) 6,656 473 Regeneron Pharmaceuticals, Inc. (b) 6,272 ----------- 30,537 ----------- BUILDING PRODUCTS -- 0.9% 1,492 Apogee Enterprises, Inc. 19,993 3,471 Gibraltar Industries, Inc. 23,255 123 Universal Forest Products, Inc. 4,128 ----------- 47,376 ----------- CAPITAL MARKETS -- 1.0% 89 Greenhill & Co., Inc. 6,900 257 Investment Technology Group, Inc. (b) 5,855 1,752 LaBranche & Co., Inc. (b) 7,323 303 Stifel Financial Corp. (b) 14,917 633 SWS Group, Inc. 8,096 1,489 TradeStation Group, Inc. (b) 12,076 ----------- 55,167 ----------- CHEMICALS -- 2.8% 484 A. Schulman, Inc. 7,594 1,016 American Vanguard Corp. 12,995 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 346 Arch Chemicals, Inc. $ 8,366 652 Balchem Corp. 16,228 694 Calgon Carbon Corp. (b) 11,784 252 H.B. Fuller Co. 4,450 370 NewMarket Corp. 23,310 848 OM Group, Inc. (b) 23,625 903 Penford Corp. 4,037 1,651 Quaker Chemical Corp. 19,317 480 Stepan Co. 18,994 ----------- 150,700 ----------- COMMERCIAL BANKS -- 2.6% 512 Columbia Banking System, Inc. 5,069 196 Community Banking System, Inc. 3,224 3,077 First BanCorp 16,954 136 First Financial Bankshares, Inc. 6,702 763 First Midwest Bancorp, Inc. 6,760 209 Glacier Bancorp, Inc. 3,202 164 Home Bancshares, Inc. 3,616 444 Independent Bank Corp. - MA 8,862 395 National Penn Bancshares, Inc. 3,195 151 NBT Bancorp, Inc. 3,576 293 Old National Bancorp 3,994 240 Prosperity Bancshares, Inc. 6,665 154 S&T Bancorp, Inc. 2,752 348 Signature Bank (b) 9,462 501 Sterling Bancshares, Inc. 3,332 702 Susquehanna Bancshares, Inc. 5,658 152 Tompkins Financial Corp. 6,407 2,170 UCBH Holdings, Inc. 2,778 723 Umpqua Holdings Corp. 6,933 190 United Bankshares, Inc. 4,929 788 United Community Banks, Inc. 5,083 572 Whitney Holding Corp. 6,841 799 Wintrust Financial Corp. 13,583 ----------- 139,577 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 200 ABM Industries, Inc. 3,504 293 ATC Technology Corp. (b) 4,656 3,062 Bowne & Co., Inc. 15,647 1,030 Consolidated Graphics, Inc. (b) 20,003 693 G&K Services, Inc., Class A 17,304 247 Geo Group (The), Inc. (b) 4,108 657 Healthcare Services Group, Inc. 11,747 569 Mobile Mini, Inc. (b) 7,795 715 Standard Register (The) Co. 3,732 788 Sykes Enterprises, Inc. (b) 15,492 643 Tetra Tech, Inc. (b) 15,792 467 United Stationers, Inc. (b) 15,285 See Notes to Quarterly Portfolio of Investments Page 32 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 232 Viad Corp. $ 4,426 ----------- 139,491 ----------- COMMUNICATIONS EQUIPMENT -- 3.1% 2,223 Arris Group, Inc. (b) 23,719 555 Black Box Corp. 15,190 1,091 Blue Coat Systems, Inc. (b) 14,467 132 Comtech Telecommunications Corp. (b) 4,418 854 Digi International, Inc. (b) 6,209 563 EMS Technologies, Inc. (b) 10,725 1,512 Harmonic, Inc. (b) 11,083 816 NETGEAR, Inc. (b) 13,064 3,810 PC-Tel, Inc. (b) 18,555 2,808 Symmetricom, Inc. (b) 13,984 991 Tekelec (b) 15,361 2,260 Tollgrade Communications, Inc. (b) 13,447 472 ViaSat, Inc. (b) 10,851 ----------- 171,073 ----------- COMPUTERS & PERIPHERALS -- 0.7% 315 Intermec, Inc. (b) 3,805 2,332 Novatel Wireless, Inc. (b) 15,974 612 Synaptics, Inc. (b) 19,878 ----------- 39,657 ----------- CONSTRUCTION & ENGINEERING -- 0.5% 763 EMCOR Group, Inc. (b) 15,863 838 Insituform Technologies, Inc., Class A (b) 12,846 ----------- 28,709 ----------- CONSTRUCTION MATERIALS -- 0.4% 270 Eagle Materials, Inc. 7,506 393 Texas Industries, Inc. 12,568 ----------- 20,074 ----------- CONSUMER FINANCE -- 0.9% 1,046 Cash America International, Inc. 23,389 878 First Cash Financial Services, Inc. (b) 14,434 1,872 Rewards Network, Inc. (b) 6,982 192 World Acceptance Corp. (b) 5,699 ----------- 50,504 ----------- CONTAINERS & PACKAGING -- 0.7% 2,668 Myers Industries, Inc. 26,760 242 Rock-Tenn Co., Class A 9,138 ----------- 35,898 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DISTRIBUTORS -- 0.1% 955 Audiovox Corp., Class A (b) $ 5,310 ----------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 390 American Public Education, Inc. (b) 14,040 247 Capella Education Co. (b) 12,691 500 Coinstar, Inc. (b) 17,795 409 Hillenbrand, Inc. 7,436 113 Pre-Paid Legal Services, Inc. (b) 4,162 273 Universal Technical Institute, Inc. (b) 3,887 ----------- 60,011 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 155 Financial Federal Corp. 3,815 122 Portfolio Recovery Associates, Inc. (b) 4,266 ----------- 8,081 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 4,201 FairPoint Communications, Inc. 4,369 1,471 General Communication, Inc., Class A (b) 11,268 572 Iowa Telecommunications Services, Inc. 7,539 666 Neutral Tandem, Inc. (b) 19,047 ----------- 42,223 ----------- ELECTRIC UTILITIES -- 0.9% 368 ALLETE, Inc. 9,583 568 Central Vermont Public Service Corp. 9,747 302 Cleco Corp. 6,369 930 El Paso Electric Co. (b) 12,834 440 UIL Holdings Corp. 10,160 116 UniSource Energy Corp. 3,053 ----------- 51,746 ----------- ELECTRICAL EQUIPMENT -- 2.1% 390 A.O. Smith Corp. 12,125 581 Acuity Brands, Inc. 16,698 497 AZZ, Inc. (b) 15,372 904 Baldor Electric Co. 20,973 743 Brady Corp., Class A 15,655 3,542 C&D Technologies, Inc. (b) 7,757 191 II-VI, Inc. (b) 4,578 3,641 Magnetek, Inc. (b) 6,372 428 Regal-Beloit Corp. 17,390 ----------- 116,920 ----------- See Notes to Quarterly Portfolio of Investments Page 33 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1% 414 Anixter International, Inc. (b) $ 16,469 585 Benchmark Electronics, Inc. (b) 7,096 245 Cognex Corp. 3,447 4,538 CTS Corp. 27,546 500 Daktronics, Inc. 4,520 244 FARO Technologies, Inc. (b) 3,699 6,855 Gerber Scientific, Inc. (b) 27,077 894 Littelfuse, Inc. (b) 14,653 1,447 LoJack Corp. (b) 4,949 2,746 Methode Electronics, Inc. 16,531 432 MTS Systems Corp. 9,128 3,706 Newport Corp. (b) 18,493 190 Park Electrochemical Corp. 3,914 711 Plexus Corp. (b) 15,749 521 Rogers Corp. (b) 13,259 529 ScanSource, Inc. (b) 13,071 500 SYNNEX Corp. (b) 10,765 1,695 TTM Technologies, Inc. (b) 12,577 ----------- 222,943 ----------- ENERGY EQUIPMENT & SERVICES -- 2.5% 987 Atwood Oceanics, Inc. (b) 22,030 764 Bristow Group, Inc. (b) 17,389 230 CARBO Ceramics, Inc. 7,063 320 Dril-Quip, Inc. (b) 11,002 2,045 Gulf Island Fabrication, Inc. 26,462 215 Hornbeck Offshore Services, Inc. (b) 4,994 259 Lufkin Industries, Inc. 9,039 1,594 Matrix Service Co. (b) 15,270 346 NATCO Group, Inc., Class A (b) 8,325 244 Oil States International, Inc. (b) 4,612 169 SEACOR Holdings, Inc. (b) 11,107 ----------- 137,293 ----------- FOOD & STAPLES RETAILING -- 1.6% 927 Andersons (The), Inc. 14,897 614 Casey's General Stores, Inc. 16,339 2,468 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 18,115 350 Nash Finch Co. 10,251 425 Spartan Stores, Inc. 6,915 864 United Natural Foods, Inc. (b) 19,682 ----------- 86,199 ----------- FOOD PRODUCTS -- 2.1% 585 Cal-Maine Foods, Inc. 15,485 587 Diamond Foods, Inc. 15,374 341 Green Mountain Coffee Roasters, Inc. (b) 24,658 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 460 Hain Celestial Group (The), Inc. (b) $ 7,677 474 J & J Snack Foods Corp. 18,372 436 Sanderson Farms, Inc. 17,396 569 TreeHouse Foods, Inc. (b) 15,130 ----------- 114,092 ----------- GAS UTILITIES -- 0.9% 283 Atmos Energy Corp. 6,993 420 Laclede Group (The), Inc. 14,566 75 Northwest Natural Gas Co. 3,067 380 Piedmont Natural Gas Co., Inc. 9,279 94 South Jersey Industries, Inc. 3,263 467 Southwest Gas Corp. 9,438 ----------- 46,606 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8% 570 Abaxis, Inc. (b) 8,618 882 American Medical Systems Holdings, Inc. (b) 10,910 102 Analogic Corp. 3,713 910 CONMED Corp. (b) 12,121 496 Cooper (The) Cos., Inc. 14,260 3,163 CryoLife, Inc. (b) 17,175 494 Cyberonics, Inc. (b) 6,541 677 Greatbatch, Inc. (b) 14,244 238 Haemonetics Corp. (b) 12,288 408 ICU Medical, Inc. (b) 15,341 132 Integra LifeSciences Holdings (b) 3,408 409 Invacare Corp. 6,295 462 Kensey Nash Corp. (b) 9,674 537 Merit Medical Systems, Inc. (b) 8,329 450 Neogen Corp. (b) 10,201 2,816 Osteotech, Inc. (b) 10,757 180 SurModics, Inc. (b) 3,906 519 Symmetry Medical, Inc. (b) 3,768 13,428 Theragenics Corp. (b) 16,651 200 West Pharmaceutical Services, Inc. 6,530 685 Zoll Medical Corp. (b) 11,015 ----------- 205,745 ----------- HEALTH CARE PROVIDERS & SERVICES -- 6.6% 581 Air Methods Corp. (b) 15,426 515 Almost Family, Inc. (b) 12,720 238 Amedisys, Inc. (b) 7,982 3,212 AMN Healthcare Services, Inc. (b) 22,131 413 AmSurg Corp. (b) 8,483 470 Bio-Reference Laboratories, Inc. (b) 12,065 827 Catalyst Health Solutions, Inc. (b) 18,649 364 Centene Corp. (b) 6,687 337 Chemed Corp. 14,265 See Notes to Quarterly Portfolio of Investments Page 34 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 324 CorVel Corp. (b) $ 7,290 2,001 Cross Country Healthcare, Inc. (b) 17,629 1,078 Gentiva Health Services, Inc. (b) 17,173 1,957 HealthSpring, Inc. (b) 18,063 374 Healthways, Inc. (b) 3,901 498 HMS Holdings Corp. (b) 14,930 402 inVentiv Health, Inc. (b) 4,458 65 Landauer, Inc. 3,444 441 LHC Group, Inc. (b) 10,064 450 Magellan Health Services, Inc. (b) 13,302 2,253 MedCath Corp. (b) 22,800 111 MEDNAX, Inc. (b) 3,985 861 Molina Healthcare, Inc. (b) 18,641 575 MWI Veterinary Supply, Inc. (b) 17,871 1,689 Odyssey HealthCare, Inc. (b) 17,498 985 PharMerica Corp. (b) 17,976 685 PSS World Medical, Inc. (b) 9,946 376 RehabCare Group, Inc. (b) 6,279 1,125 Res-Care, Inc. (b) 18,022 ----------- 361,680 ----------- HEALTH CARE TECHNOLOGY -- 1.3% 394 Computer Programs & Systems, Inc. 13,786 1,616 Eclipsys Corp. (b) 21,331 838 Omnicell, Inc. (b) 7,374 769 Phase Forward, Inc. (b) 10,966 362 Quality Systems, Inc. 19,411 ----------- 72,868 ----------- HOTELS, RESTAURANTS & LEISURE -- 6.7% 448 Buffalo Wild Wings, Inc. (b) 17,490 1,252 California Pizza Kitchen, Inc. (b) 19,669 506 CEC Entertainment, Inc. (b) 15,413 1,170 CKE Restaurants, Inc. 11,197 572 Cracker Barrel Old Country Store, Inc. 18,653 2,473 Interval Leisure Group, Inc. (b) 19,809 563 Jack in the Box, Inc. (b) 13,844 3,138 Landry's Restaurants, Inc. (b) 28,681 1,542 Marcus (The) Corp. 19,583 6,096 Multimedia Games, Inc. (b) 12,923 716 P.F. Chang's China Bistro, Inc. (b) 21,609 716 Papa John's International, Inc. (b) 19,002 606 Peet's Coffee & Tea, Inc. (b) 16,532 1,862 Pinnacle Entertainment, Inc. (b) 23,238 743 Red Robin Gourmet Burgers, Inc. (b) 18,241 4,488 Ruby Tuesday, Inc. (b) 34,468 5,416 Ruth's Hospitality Group, Inc. (b) 19,606 327 Sonic Corp. (b) 3,571 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,719 Texas Roadhouse, Inc., Class A (b) $ 19,562 313 WMS Industries, Inc. (b) 10,050 ----------- 363,141 ----------- HOUSEHOLD DURABLES -- 1.2% 1,164 Ethan Allen Interiors, Inc. 15,656 953 Helen of Troy Ltd. (b) 15,200 287 Meritage Homes Corp. (b) 5,972 161 National Presto Industries, Inc. 11,473 2,482 Russ Berrie & Co., Inc. (b) 4,741 543 Universal Electronics, Inc. (b) 10,176 ----------- 63,218 ----------- HOUSEHOLD PRODUCTS -- 0.1% 436 Central Garden & Pet Co., Class A (b) 3,955 136 WD-40 Co. 3,680 ----------- 7,635 ----------- INDUSTRIAL CONGLOMERATES -- 0.6% 1,781 Standex International Corp. 24,702 401 Tredegar Corp. 7,050 ----------- 31,752 ----------- INSURANCE -- 2.6% 80 American Physicians Capital, Inc. 3,333 428 Amerisafe, Inc. (b) 6,574 243 Delphi Financial Group, Inc., Class A 4,197 819 eHealth, Inc. (b) 15,717 193 Infinity Property & Casualty Corp. 6,801 5,120 National Financial Partners Corp. 36,147 139 Navigators Group (The), Inc. (b) 6,308 841 Presidential Life Corp. 8,990 141 ProAssurance Corp. (b) 6,195 65 RLI Corp. 3,122 422 Safety Insurance Group, Inc. 13,947 539 Selective Insurance Group 7,956 532 Tower Group, Inc. 14,465 272 Zenith National Insurance Corp. 6,199 ----------- 139,951 ----------- INTERNET & CATALOG RETAIL -- 1.1% 109 Blue Nile, Inc. (b) 4,639 689 NutriSystem, Inc. 9,467 795 PetMed Express, Inc. (b) 12,927 1,013 Stamps.com, Inc. (b) 9,482 4,440 Ticketmaster Entertainment, Inc. (b) 23,354 ----------- 59,869 ----------- See Notes to Quarterly Portfolio of Investments Page 35 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES -- 1.3% 131 Bankrate, Inc. (b) $ 3,275 542 comScore, Inc. (b) 6,916 500 DealerTrack Holdings, Inc. (b) 7,590 599 j2 Global Communications, Inc. (b) 14,370 1,199 Knot (The), Inc. (b) 10,875 2,427 Perficient, Inc. (b) 16,916 735 United Online, Inc. 3,895 273 Websense, Inc. (b) 4,868 ----------- 68,705 ----------- IT SERVICES -- 1.9% 359 CACI International, Inc., Class A (b) 14,198 6,001 CIBER, Inc. (b) 19,383 918 CSG Systems International, Inc. (b) 13,311 1,106 Cybersource Corp. (b) 16,159 319 Forrester Research, Inc. (b) 8,106 1,659 Gevity HR, Inc. 6,570 381 Integral Systems, Inc. (b) 2,526 3,171 StarTek, Inc. (b) 13,065 539 Wright Express Corp. (b) 12,332 ----------- 105,650 ----------- LEISURE EQUIPMENT & PRODUCTS -- 1.3% 4,277 Arctic Cat, Inc. 17,108 1,327 JAKKS Pacific, Inc. (b) 16,786 458 Polaris Industries, Inc. 15,320 245 Pool Corp. 4,376 1,329 Sturm Ruger & Co., Inc. 16,360 ----------- 69,950 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 5,748 Cambrex Corp. (b) 13,393 139 Dionex Corp. (b) 8,757 313 Kendle International, Inc. (b) 2,786 1,010 PAREXEL International Corp. (b) 10,009 ----------- 34,945 ----------- MACHINERY -- 3.8% 375 Astec Industries, Inc. (b) 11,558 1,226 Barnes Group, Inc. 17,360 397 Briggs & Stratton Corp. 5,907 929 Cascade Corp. 22,454 291 CIRCOR International, Inc. 7,487 260 CLARCOR, Inc. 8,081 766 EnPro Industries, Inc. (b) 12,225 339 ESCO Technologies, Inc. (b) 14,096 301 Gardner Denver, Inc. (b) 8,013 626 John Bean Technologies Corp. 6,899 240 Kaydon Corp. 7,670 364 Lindsay Corp. 14,163 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 3,310 Lydall, Inc. (b) $ 14,200 453 Mueller Industries, Inc. 9,952 1,080 Robbins & Myers, Inc. 20,466 131 Valmont Industries, Inc. 8,355 10,655 Wabash National Corp. 13,319 335 Watts Water Technologies, Inc., Class A 7,457 ----------- 209,662 ----------- MARINE -- 0.3% 492 Kirby Corp. (b) 15,183 ----------- MEDIA -- 0.2% 437 Arbitron, Inc. 9,099 2,427 E.W. Scripps (The) Co., Class A 4,781 ----------- 13,880 ----------- METALS & MINING -- 1.2% 367 A.M. Castle & Co. 3,556 662 AMCOL International Corp. 12,830 709 Brush Engineered Materials, Inc. (b) 11,996 1,080 Olympic Steel, Inc. 19,807 1,400 RTI International Metals, Inc. (b) 18,214 ----------- 66,403 ----------- MULTILINE RETAIL -- 0.9% 290 Fred's, Inc., Class A 3,961 12,900 Tuesday Morning Corp. (b) 43,989 ----------- 47,950 ----------- MULTI-UTILITIES -- 0.3% 951 Avista Corp. 14,313 ----------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 773 Holly Corp. 16,202 518 World Fuel Services Corp. 19,751 ----------- 35,953 ----------- PAPER & FOREST PRODUCTS -- 0.3% 83 Deltic Timber Corp. 3,498 355 Schweitzer-Mauduit International, Inc. 8,154 623 Wausau Paper Corp. 5,439 ----------- 17,091 ----------- PERSONAL PRODUCTS -- 0.3% 58 Chattem, Inc. (b) 3,185 2,952 Mannatech, Inc. 12,900 ----------- 16,085 ----------- PHARMACEUTICALS -- 0.4% 1,037 Noven Pharmaceuticals, Inc. (b) 10,702 See Notes to Quarterly Portfolio of Investments Page 36 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 1,035 Salix Pharmaceuticals Ltd. (b) $ 11,385 ----------- 22,087 ----------- PROFESSIONAL SERVICES -- 1.5% 310 Administaff, Inc. 8,265 1,348 CDI Corp. 16,108 739 Heidrick & Struggles International, Inc. 12,489 6,045 On Assignment, Inc. (b) 21,278 745 School Specialty, Inc. (b) 13,984 794 TrueBlue, Inc. (b) 7,710 ----------- 79,834 ----------- REAL ESTATE INVESTMENT TRUSTS -- 3.5% 1,452 BioMed Realty Trust, Inc. 16,567 7,532 Cedar Shopping Centers, Inc. 27,040 3,268 DiamondRock Hospitality Co. 21,209 1,040 Entertainment Properties Trust 24,034 1,189 Extra Space Storage, Inc. 8,454 191 Kilroy Realty Corp. 4,114 5,349 Kite Realty Group Trust 18,722 1,683 LaSalle Hotel Properties 20,129 1,377 Lexington Realty Trust 5,302 187 LTC Properties, Inc. 3,368 2,693 Medical Properties Trust, Inc. 14,381 414 National Retail Properties, Inc. 7,344 923 Pennsylvania Real Estate Investment Trust 7,153 467 Senior Housing Properties Trust 7,654 163 Sovran Self Storage, Inc. 3,674 ----------- 189,145 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 428 Forestar Group, Inc. (b) 5,504 ----------- ROAD & RAIL -- 0.9% 689 Arkansas Best Corp. 15,902 664 Heartland Express, Inc. 9,927 648 Knight Transportation, Inc. 11,456 418 Old Dominion Freight Line, Inc. (b) 11,767 ----------- 49,052 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 971 Actel Corp. (b) 12,011 212 ATMI, Inc. (b) 3,347 273 Cabot Microelectronics Corp. (b) 7,865 294 Cymer, Inc. (b) 8,353 618 Diodes, Inc. (b) 9,196 2,100 Exar Corp. (b) 12,915 212 FEI Co. (b) 3,642 420 Hittite Microwave Corp. (b) 15,607 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 5,649 Kopin Corp. (b) $ 15,535 1,251 Kulicke & Soffa Industries, Inc. (b) 5,004 931 Micrel, Inc. 6,983 565 Microsemi Corp. (b) 7,582 223 MKS Instruments, Inc. (b) 3,490 1,345 Pericom Semiconductor Corp. (b) 11,984 2,033 Skyworks Solutions, Inc. (b) 17,972 528 Standard Microsystems Corp. (b) 8,374 284 Supertex, Inc. (b) 7,304 1,312 Ultratech, Inc. (b) 17,738 303 Varian Semiconductor Equipment Associates, Inc. (b) 7,754 ----------- 182,656 ----------- SOFTWARE -- 3.8% 282 Blackbaud, Inc. 4,292 1,410 Catapult Communications Corp. (b) 10,420 1,195 Commvault Systems, Inc. (b) 14,878 527 Ebix, Inc. (b) 14,651 860 Epicor Software Corp. (b) 4,747 909 EPIQ Systems, Inc. (b) 14,062 988 Informatica Corp. (b) 15,709 851 JDA Software Group, Inc. (b) 12,008 568 Manhattan Associates, Inc. (b) 9,440 349 Micros Systems, Inc. (b) 7,322 377 Progress Software Corp. (b) 7,989 2,229 Radiant Systems, Inc. (b) 16,428 2,506 Smith Micro Software, Inc. (b) 21,552 346 SPSS, Inc. (b) 10,691 1,570 Take-Two Interactive Software, Inc. (b) 14,255 832 Taleo Corp., Class A (b) 9,992 1,120 Tyler Technologies, Inc. (b) 18,480 ----------- 206,916 ----------- SPECIALTY RETAIL -- 7.8% 614 Aaron's, Inc. 20,606 1,675 Big 5 Sporting Goods Corp. 13,785 4,369 Brown Shoe Co., Inc. 28,093 513 Buckle (The), Inc. 19,171 1,439 Cabela's, Inc. (b) 18,434 179 Cato (The) Corp., Class A 3,440 1,206 Charlotte Russe Holding, Inc. (b) 15,135 599 Children's Place Retail Stores (The), Inc. (b) 17,036 4,006 Christopher & Banks Corp. 22,273 1,066 Dress Barn (The), Inc. (b) 16,139 870 Genesco, Inc. (b) 19,819 307 Gymboree (The) Corp. (b) 10,561 311 Haverty Furniture Cos., Inc. 3,374 852 Hibbett Sports, Inc. (b) 17,764 See Notes to Quarterly Portfolio of Investments Page 37 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 1,464 Hot Topic, Inc. (b) $ 17,919 602 Jo-Ann Stores, Inc. (b) 11,029 589 Jos. A. Bank Clothiers, Inc. (b) 23,819 866 Men's Wearhouse (The), Inc. 16,142 414 Midas, Inc. (b) 4,140 2,972 Pep Boys-Manny, Moe & Jack (The) 21,993 10,239 Sonic Automotive, Inc., Class A 52,833 454 Tractor Supply Co. (b) 18,332 7,655 Tween Brands, Inc. (b) 22,353 1,013 Zumiez, Inc. (b) 12,217 ----------- 426,407 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 4.0% 697 Carter's, Inc. (b) 14,902 2,753 CROCS, Inc. (b) 6,194 62 Deckers Outdoor Corp. (b) 3,504 417 Fossil, Inc. (b) 8,407 1,481 Iconix Brand Group, Inc. (b) 21,119 358 Maidenform Brands, Inc. (b) 4,564 2,173 Movado Group, Inc. 19,926 2,655 Oxford Industries, Inc. 25,860 4,735 Perry Ellis International, Inc. (b) 34,708 2,560 Quiksilver, Inc. (b) 4,224 2,456 Skechers U.S.A., Inc., Class A (b) 28,735 555 True Religion Apparel, Inc. (b) 8,747 471 UniFirst Corp. 17,564 676 Volcom, Inc. (b) 9,119 631 Wolverine World Wide, Inc. 13,144 ----------- 220,717 ----------- TOBACCO -- 0.2% 2,560 Alliance One International, Inc. (b) 9,600 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 583 Applied Industrial Technologies, Inc. 13,118 784 Kaman Corp. 13,257 96 Watsco, Inc. 4,123 ----------- 30,498 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $5,778,658) 5,441,927 MONEY MARKET FUND -- 0.7% 35,642 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $35,642) 35,642 ----------- DESCRIPTION VALUE -------------------------------------------------- TOTAL INVESTMENTS -- 100.7% (Cost $5,814,300) (d) $ 5,477,569 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (35,844) ----------- NET ASSETS -- 100.0% $ 5,441,725 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $487,388 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $824,119. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 5,477,569 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 5,477,569 ============ See Notes to Quarterly Portfolio of Investments Page 38 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.0% 1,836 General Dynamics Corp. $ 94,866 2,014 Goodrich Corp. 89,180 1,370 Honeywell International, Inc. 42,758 825 L-3 Communications Holdings, Inc. 62,824 1,275 Precision Castparts Corp. 95,446 981 Raytheon Co. 44,371 ----------- 429,445 ----------- AIR FREIGHT & LOGISTICS -- 0.7% 1,716 FedEx Corp. 96,027 ----------- AIRLINES -- 0.4% 8,831 Southwest Airlines Co. 61,640 ----------- AUTO COMPONENTS -- 0.9% 6,098 Goodyear Tire & Rubber (The) Co. (b) 67,017 3,180 Johnson Controls, Inc. 60,452 ----------- 127,469 ----------- AUTOMOBILES -- 1.1% 7,127 Harley-Davidson, Inc. 157,934 ----------- BEVERAGES -- 0.5% 480 Brown-Forman Corp., Class B 22,320 1,114 Molson Coors Brewing Co., Class B 42,610 ----------- 64,930 ----------- CAPITAL MARKETS -- 1.5% 2,754 Invesco Ltd. 40,539 11,481 Janus Capital Group, Inc. 115,154 818 Morgan Stanley 19,338 606 State Street Corp. 20,683 645 T. Rowe Price Group, Inc. 24,845 ----------- 220,559 ----------- CHEMICALS -- 3.0% 332 Air Products and Chemicals, Inc. 21,879 11,320 Dow Chemical (The) Co. 181,120 834 E.I. du Pont de Nemours and Co. 23,269 3,561 Eastman Chemical Co. 141,300 1,035 PPG Industries, Inc. 45,592 493 Sigma-Aldrich Corp. 21,613 ----------- 434,773 ----------- COMMERCIAL BANKS -- 3.2% 4,513 BB&T Corp. 105,333 1,018 Comerica, Inc. 21,357 45,992 Huntington Bancshares, Inc. 128,318 844 M&T Bank Corp. 44,268 636 PNC Financial Services Group, Inc. 25,249 6,502 SunTrust Banks, Inc. 93,889 1,276 U.S. Bancorp 23,249 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 1,309 Wells Fargo & Co. $ 26,193 ----------- 467,856 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% 3,418 Avery Dennison Corp. 98,233 10,415 R.R. Donnelley & Sons Co. 121,335 1,087 Republic Services, Inc. 22,827 1,491 Waste Management, Inc. 39,765 ----------- 282,160 ----------- COMMUNICATIONS EQUIPMENT -- 0.6% 2,394 Ciena Corp. (b) 28,608 2,535 Juniper Networks, Inc. (b) 54,883 ----------- 83,491 ----------- COMPUTERS & PERIPHERALS -- 0.9% 1,743 Hewlett-Packard Co. 62,713 5,027 QLogic Corp. (b) 71,283 ----------- 133,996 ----------- CONSTRUCTION & ENGINEERING -- 0.4% 1,619 Fluor Corp. 61,311 ----------- CONSUMER FINANCE -- 1.7% 4,102 American Express Co. 103,453 1,522 Capital One Financial Corp. 25,478 15,123 Discover Financial Services 122,950 ----------- 251,881 ----------- CONTAINERS & PACKAGING -- 1.8% 2,665 Bemis Co., Inc. 64,067 2,644 Owens-Illinois, Inc. (b) 64,487 2,616 Pactiv Corp. (b) 57,186 4,051 Sealed Air Corp. 77,212 ----------- 262,952 ----------- DISTRIBUTORS -- 0.3% 1,278 Genuine Parts Co. 43,401 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.8% 11,195 Bank of America Corp. 99,972 33,485 CIT Group, Inc. 74,337 701 JPMorgan Chase & Co. 23,133 814 Moody's Corp. 24,029 1,949 NASDAQ OMX Group, (The), Inc. (b) 37,479 ----------- 258,950 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.9% 2,219 AT&T, Inc. 56,851 See Notes to Quarterly Portfolio of Investments Page 39 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 3,394 CenturyTel, Inc. $ 92,147 1,008 Embarq Corp. 36,852 2,596 Frontier Communications Corp. 18,458 5,448 Qwest Communications International, Inc. 21,193 1,264 Verizon Communications, Inc. 38,350 2,311 Windstream Corp. 19,181 ----------- 283,032 ----------- ELECTRIC UTILITIES -- 5.0% 2,412 Allegheny Energy, Inc. 62,519 3,023 American Electric Power Co., Inc. 79,747 3,903 Duke Energy Corp. 53,900 2,649 Edison International 75,523 560 Entergy Corp. 36,271 410 Exelon Corp. 18,913 1,979 FirstEnergy Corp. 80,941 368 FPL Group, Inc. 19,795 1,768 Northeast Utilities 37,163 7,647 Pepco Holdings, Inc. 91,382 2,874 Pinnacle West Capital Corp. 78,690 649 PPL Corp. 19,412 1,541 Progress Energy, Inc. 52,579 608 Southern (The) Co. 17,559 ----------- 724,394 ----------- ELECTRICAL EQUIPMENT -- 1.1% 2,953 Cooper Industries Ltd., Class A 96,829 1,956 Emerson Electric Co. 66,582 ----------- 163,411 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 7,191 Corning, Inc. 105,132 3,350 Jabil Circuit, Inc. 27,135 2,779 Molex, Inc. 46,326 8,643 Tyco Electronics Ltd. 150,734 ----------- 329,327 ----------- ENERGY EQUIPMENT & SERVICES -- 3.0% 1,214 Diamond Offshore Drilling, Inc. 87,906 6,169 Halliburton Co. 124,737 3,324 National Oilwell Varco, Inc. (b) 100,651 7,973 Rowan Cos., Inc. 124,458 ----------- 437,752 ----------- FOOD & STAPLES RETAILING -- 0.8% 3,781 Safeway, Inc. 74,675 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 2,271 Whole Foods Market, Inc. $ 47,078 ----------- 121,753 ----------- FOOD PRODUCTS -- 0.9% 2,749 Archer-Daniels-Midland Co. 67,680 1,105 ConAgra Foods, Inc. 19,559 500 J.M. Smucker (The) Co. 19,700 1,984 Tyson Foods, Inc., Class A 20,911 ----------- 127,850 ----------- GAS UTILITIES -- 0.3% 1,149 Nicor, Inc. 36,929 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 1,148 Covidien Ltd. 37,861 ----------- HEALTH CARE PROVIDERS & SERVICES -- 2.8% 2,298 Aetna, Inc. 50,579 571 AmerisourceBergen Corp. 19,209 1,775 Cardinal Health, Inc. 59,977 1,059 CIGNA Corp. 20,873 7,376 Coventry Health Care, Inc. (b) 117,352 2,927 Humana, Inc. (b) 84,239 532 McKesson Corp. 19,684 16,063 Tenet Healthcare Corp. (b) 36,142 ----------- 408,055 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 4,418 Carnival Corp. 118,756 543 Darden Restaurants, Inc. 20,075 4,139 International Game Technology 51,116 4,401 Starwood Hotels & Resorts Worldwide, Inc. 91,805 ----------- 281,752 ----------- HOUSEHOLD DURABLES -- 3.1% 1,554 Fortune Brands, Inc. 61,088 2,938 Leggett & Platt, Inc. 42,190 3,802 Snap-on, Inc. 128,964 1,920 Stanley Works (The) 73,017 3,226 Whirlpool Corp. 145,686 ----------- 450,945 ----------- HOUSEHOLD PRODUCTS -- 0.3% 811 Procter & Gamble (The) Co. 40,096 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.6% 16,425 AES (The) Corp. (b) 116,125 67,682 Dynegy, Inc., Class A (b) 120,474 ----------- 236,599 ----------- See Notes to Quarterly Portfolio of Investments Page 40 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES -- 1.7% 5,528 General Electric Co. $ 69,929 16,626 Textron, Inc. 178,397 ----------- 248,326 ----------- INSURANCE -- 4.5% 963 Aflac, Inc. 27,821 3,504 Assurant, Inc. 85,638 901 Chubb (The) Corp. 35,094 1,670 Cincinnati Financial Corp. 39,997 2,784 Lincoln National Corp. 31,292 2,455 MetLife, Inc. 73,036 9,333 Principal Financial Group, Inc. 152,501 2,910 Torchmark Corp. 85,350 1,376 Travelers (The) Cos., Inc. 56,609 4,472 Unum Group 73,072 ----------- 660,410 ----------- IT SERVICES -- 0.9% 2,591 Computer Sciences Corp. (b) 95,764 2,098 Fidelity National Information Services, Inc. 37,449 ----------- 133,213 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.6% 1,522 Hasbro, Inc. 40,576 3,311 Mattel, Inc. 49,533 ----------- 90,109 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 4,378 PerkinElmer, Inc. 63,788 1,568 Thermo Fisher Scientific, Inc. (b) 55,005 ----------- 118,793 ----------- MACHINERY -- 5.6% 3,000 Cummins, Inc. 102,000 1,161 Deere & Co. 47,903 2,894 Dover Corp. 89,077 2,589 Eaton Corp. 113,398 996 Flowserve Corp. 67,628 1,238 Illinois Tool Works, Inc. 40,607 29,185 Manitowoc (The) Co., Inc. 173,651 1,869 Pall Corp. 49,360 2,808 Parker Hannifin Corp. 127,343 ----------- 810,967 ----------- MEDIA -- 3.2% 4,098 Comcast Corp., Class A 63,355 18,529 Interpublic Group of Cos (The), Inc. (b) 115,992 4,588 Meredith Corp. 115,067 1,632 Omnicom Group, Inc. 51,359 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 4,205 Walt Disney (The) Co. $ 92,089 52 Washington Post (The) Co., Class B 21,767 ----------- 459,629 ----------- METALS & MINING -- 3.4% 10,722 AK Steel Holding Corp. 139,493 10,401 Alcoa, Inc. 94,337 4,352 Allegheny Technologies, Inc. 142,441 4,516 United States Steel Corp. 119,900 ----------- 496,171 ----------- MULTILINE RETAIL -- 2.4% 4,754 J. C. Penney Co., Inc. 145,900 10,722 Macy's, Inc. 146,677 2,279 Nordstrom, Inc. 51,574 ----------- 344,151 ----------- MULTI-UTILITIES -- 6.3% 4,116 Ameren Corp. 94,750 5,359 CenterPoint Energy, Inc. 57,020 6,449 CMS Energy Corp. 77,517 1,412 Consolidated Edison, Inc. 52,427 1,232 Dominion Resources, Inc. 37,157 3,445 DTE Energy Co. 101,869 2,147 Integrys Energy Group, Inc. 56,702 9,739 NiSource, Inc. 107,032 1,463 PG&E Corp. 54,307 632 Public Service Enterprise Group, Inc. 18,859 1,809 SCANA Corp. 54,668 1,208 Sempra Energy 55,592 5,012 TECO Energy, Inc. 53,077 927 Wisconsin Energy Corp. 37,043 3,001 Xcel Energy, Inc. 55,338 ----------- 913,358 ----------- OFFICE ELECTRONICS -- 0.7% 16,780 Xerox Corp. 102,526 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.6% 3,630 Marathon Oil Corp. 107,811 9,431 Massey Energy Co. 150,047 1,772 Noble Energy, Inc. 100,561 1,715 Occidental Petroleum Corp. 96,537 3,049 Peabody Energy Corp. 80,463 5,795 Pioneer Natural Resources Co. 133,981 3,952 Spectra Energy Corp. 57,304 7,084 Tesoro Corp. 108,031 8,387 Williams (The) Cos., Inc. 118,257 ----------- 952,992 ----------- See Notes to Quarterly Portfolio of Investments Page 41 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS -- 0.7% 6,367 MeadWestvaco Corp. $ 99,707 ----------- PHARMACEUTICALS -- 0.8% 849 Bristol-Myers Squibb Co. 16,301 2,089 Merck & Co., Inc. 50,637 4,103 Pfizer, Inc. 54,816 ----------- 121,754 ----------- PROFESSIONAL SERVICES -- 1.1% 11,710 Monster Worldwide, Inc. (b) 161,598 ----------- REAL ESTATE INVESTMENT TRUSTS -- 2.7% 24,345 Host Hotels & Resorts, Inc. 187,213 7,336 Kimco Realty Corp. 88,179 1,727 Public Storage 115,467 ----------- 390,859 ----------- ROAD & RAIL -- 2.7% 930 Burlington Northern Santa Fe Corp. 62,756 2,954 CSX Corp. 87,409 2,262 Norfolk Southern Corp. 80,708 2,698 Ryder System, Inc. 74,708 1,858 Union Pacific Corp. 91,302 ----------- 396,883 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% 1,980 Analog Devices, Inc. 42,134 2,536 Intel Corp. 40,018 811 Linear Technology Corp. 17,664 880 Microchip Technology, Inc. 20,240 ----------- 120,056 ----------- SPECIALTY RETAIL -- 3.0% 5,877 Gap (The), Inc. 91,329 6,425 Limited Brands, Inc. 73,373 3,062 Lowe's Cos., Inc. 65,833 11,135 RadioShack Corp. 156,781 1,771 Tiffany & Co. 51,253 ----------- 438,569 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 1,808 Polo Ralph Lauren Corp. 97,343 979 VF Corp. 58,025 ----------- 155,368 ----------- TOBACCO -- 0.8% 1,163 Altria Group, Inc. 18,992 301 Lorillard, Inc. 19,002 523 Philip Morris International, Inc. 18,932 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO (CONTINUED) 1,560 Reynolds American, Inc. $ 59,249 ----------- 116,175 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 21,386 Sprint Nextel Corp. (b) 93,243 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $15,767,144) 14,543,388 MONEY MARKET FUND -- 0.2% 24,611 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $24,611) 24,611 ----------- TOTAL INVESTMENTS -- 100.2% (Cost $15,791,755) (d) 14,567,999 NET OTHER ASSETS AND LIABILITIES -- (0.2)% (25,295) ----------- NET ASSETS -- 100.0% $14,542,704 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $875,464 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,099,220. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 14,567,999 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 14,567,999 ============ See Notes to Quarterly Portfolio of Investments Page 42 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.8% 1,866 ITT Corp. $ 76,525 336 Lockheed Martin Corp. 26,386 ----------- 102,911 ----------- AIR FREIGHT & LOGISTICS -- 1.7% 2,036 C.H. Robinson Worldwide, Inc. 108,234 1,642 Expeditors International of Washington, Inc. 56,994 943 United Parcel Service, Inc., Class B 49,356 ----------- 214,584 ----------- BEVERAGES -- 1.5% 1,056 Coca-Cola (The) Co. 45,461 3,242 Pepsi Bottling Group (The), Inc. 101,377 902 PepsiCo, Inc. 44,884 ----------- 191,722 ----------- BIOTECHNOLOGY -- 2.8% 469 Amgen, Inc. (b) 22,732 2,282 Biogen Idec, Inc. (b) 110,312 523 Celgene Corp. (b) 22,343 1,054 Cephalon, Inc. (b) 69,153 782 Genzyme Corp. (b) 41,704 2,005 Gilead Sciences, Inc. (b) 91,829 ----------- 358,073 ----------- CAPITAL MARKETS -- 2.0% 56,071 E*TRADE Financial Corp. (b) 80,181 2,087 Federated Investors, Inc., Class B 47,751 438 Goldman Sachs Group (The), Inc. 56,283 1,199 Northern Trust Corp. 65,178 ----------- 249,393 ----------- CHEMICALS -- 4.0% 1,682 CF Industries Holdings, Inc. 121,188 2,066 Ecolab, Inc. 79,644 2,356 International Flavors & Fragrances, Inc. 73,507 1,118 Monsanto Co. 94,907 1,778 Praxair, Inc. 132,657 ----------- 501,903 ----------- COMMERCIAL BANKS -- 0.8% 8,648 First Horizon National Corp. 99,538 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 3,758 Cintas Corp. 96,430 4,189 Iron Mountain, Inc. (b) 119,345 995 Pitney Bowes, Inc. 24,417 1,504 Stericycle, Inc. (b) 70,808 ----------- 311,000 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 2.1% 2,769 Cisco Systems, Inc. (b) $ 53,497 802 Harris Corp. 24,525 2,387 QUALCOMM, Inc. 101,018 15,670 Tellabs, Inc. (b) 82,111 ----------- 261,151 ----------- COMPUTERS & PERIPHERALS -- 4.7% 1,138 Apple, Inc. (b) 143,194 10,492 EMC Corp. (b) 131,465 958 International Business Machines Corp. 98,875 6,259 NetApp, Inc. (b) 114,540 1,836 SanDisk Corp. (b) 28,862 4,425 Teradata Corp. (b) 73,986 ----------- 590,922 ----------- CONSTRUCTION & ENGINEERING -- 0.4% 1,202 Jacobs Engineering Group, Inc. (b) 45,724 ----------- CONTAINERS & PACKAGING -- 0.8% 2,756 Ball Corp. 103,956 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 1,527 Apollo Group, Inc., Class A (b) 96,125 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 188 CME Group, Inc. 41,614 623 IntercontinentalExchange, Inc. (b) 54,575 ----------- 96,189 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 3,260 Amphenol Corp., Class A 110,318 ----------- ENERGY EQUIPMENT & SERVICES -- 0.6% 2,118 Cameron International Corp. (b) 54,178 1,081 Smith International, Inc. 27,944 ----------- 82,122 ----------- FOOD & STAPLES RETAILING -- 5.0% 1,549 Costco Wholesale Corp. 75,281 3,379 CVS Caremark Corp. 107,385 4,377 Kroger (The) Co. 94,631 4,074 Sysco Corp. 95,046 4,608 Walgreen Co. 144,830 2,296 Wal-Mart Stores, Inc. 115,718 ----------- 632,891 ----------- See Notes to Quarterly Portfolio of Investments Page 43 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 4.3% 1,697 Campbell Soup Co. $ 43,647 6,616 Dean Foods Co. (b) 136,951 931 General Mills, Inc. 47,192 702 H.J. Heinz Co. 24,163 2,065 Hershey (The) Co. 74,629 3,773 Hormel Foods Corp. 118,057 634 Kellogg Co. 26,698 2,427 McCormick & Co., Inc. 71,475 ----------- 542,812 ----------- GAS UTILITIES -- 0.6% 1,483 EQT Corp. 49,873 789 Questar Corp. 23,449 ----------- 73,322 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4% 1,401 Baxter International, Inc. 67,948 1,067 Becton, Dickinson and Co. 64,532 900 C. R. Bard, Inc. 64,467 1,729 DENTSPLY International, Inc. 49,484 2,326 Hospira, Inc. (b) 76,456 788 Medtronic, Inc. 25,216 2,556 St. Jude Medical, Inc. (b) 85,677 ----------- 433,780 ----------- HEALTH CARE PROVIDERS & SERVICES -- 4.7% 1,633 DaVita, Inc. (b) 75,722 503 Express Scripts, Inc. (b) 32,177 1,227 Laboratory Corp. of America Holdings (b) 78,712 2,893 Medco Health Solutions, Inc. (b) 125,990 1,231 Patterson Cos., Inc. (b) 25,186 1,956 Quest Diagnostics, Inc. 100,402 2,219 UnitedHealth Group, Inc. 52,191 2,446 WellPoint, Inc. (b) 104,591 ----------- 594,971 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.8% 851 McDonald's Corp. 45,350 6,460 Starbucks Corp. (b) 93,412 2,612 Yum! Brands, Inc. 87,110 ----------- 225,872 ----------- HOUSEHOLD DURABLES -- 1.1% 4,788 D.R. Horton, Inc. 62,484 1,761 KB HOME 31,821 4,249 Pulte Homes, Inc. 48,906 ----------- 143,211 ----------- HOUSEHOLD PRODUCTS -- 0.6% 787 Colgate-Palmolive Co. 46,433 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD PRODUCTS (CONTINUED) 504 Kimberly-Clark Corp. $ 24,767 ----------- 71,200 ----------- INSURANCE -- 1.0% 1,758 Aon Corp. 74,188 3,455 Progressive (The) Corp. (b) 52,792 ----------- 126,980 ----------- INTERNET & CATALOG RETAIL -- 1.3% 1,629 Amazon.com, Inc. (b) 131,167 2,557 Expedia, Inc. (b) 34,801 ----------- 165,968 ----------- INTERNET SOFTWARE & SERVICES -- 1.9% 4,788 Akamai Technologies, Inc. (b) 105,432 267 Google, Inc., Class A (b) 105,724 1,231 VeriSign, Inc. (b) 25,334 ----------- 236,490 ----------- IT SERVICES -- 4.5% 2,498 Affiliated Computer Services, Inc., Class A (b) 120,853 1,321 Automatic Data Processing, Inc. 46,499 5,754 Cognizant Technology Solutions Corp., Class A (b) 142,642 2,547 Fiserv, Inc. (b) 95,054 555 MasterCard, Inc., Class A 101,815 904 Paychex, Inc. 24,417 3,363 Total System Services, Inc. 41,936 ----------- 573,216 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 2,860 Life Technologies Corp. (b) 106,678 1,250 Millipore Corp. (b) 73,875 629 Waters Corp. (b) 27,783 ----------- 208,336 ----------- MACHINERY -- 0.9% 1,323 Danaher Corp. 77,316 901 PACCAR, Inc. 31,932 ----------- 109,248 ----------- MEDIA -- 1.5% 5,249 DIRECTV Group (The), Inc. (b) 129,808 1,015 McGraw-Hill (The) Cos., Inc. 30,602 1,336 Viacom, Inc., Class B (b) 25,705 ----------- 186,115 ----------- METALS & MINING -- 2.0% 1,219 Freeport-McMoRan Copper & Gold, Inc. 51,990 2,672 Newmont Mining Corp. 107,521 See Notes to Quarterly Portfolio of Investments Page 44 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 2,433 Nucor Corp. $ 98,999 ----------- 258,510 ----------- MULTILINE RETAIL -- 4.2% 5,756 Big Lots, Inc. (b) 159,096 3,584 Family Dollar Stores, Inc. 118,953 2,826 Kohl's Corp. (b) 128,159 508 Sears Holdings Corp. (b) 31,735 2,087 Target Corp. 86,109 ----------- 524,052 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.9% 2,388 Anadarko Petroleum Corp. 102,827 2,722 Chesapeake Energy Corp. 53,651 1,779 Chevron Corp. 117,592 593 ConocoPhillips 24,313 1,364 Exxon Mobil Corp. 90,938 1,714 Hess Corp. 93,910 2,075 Murphy Oil Corp. 98,998 2,257 Range Resources Corp. 90,212 4,029 Southwestern Energy Co. (b) 144,480 1,754 Sunoco, Inc. 46,499 ----------- 863,420 ----------- PHARMACEUTICALS -- 4.0% 1,504 Abbott Laboratories 62,942 1,945 Allergan, Inc. 90,754 441 Johnson & Johnson 23,091 8,920 Mylan, Inc. (b) 118,190 3,845 Watson Pharmaceuticals, Inc. (b) 118,964 2,158 Wyeth 91,499 ----------- 505,440 ----------- PROFESSIONAL SERVICES -- 1.1% 932 Dun & Bradstreet (The) Corp. 75,865 950 Equifax, Inc. 27,702 1,303 Robert Half International, Inc. 31,298 ----------- 134,865 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 15,227 Advanced Micro Devices, Inc. (b) 54,969 4,089 Altera Corp. 66,692 5,986 Broadcom Corp., Class A (b) 138,815 7,638 LSI Corp. (b) 29,330 2,793 Novellus Systems, Inc. (b) 50,442 2,355 NVIDIA Corp. (b) 27,035 2,424 Xilinx, Inc. 49,547 ----------- 416,830 ----------- SOFTWARE -- 6.8% 1,085 Adobe Systems, Inc. (b) 29,675 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 3,625 BMC Software, Inc. (b) $ 125,679 2,637 CA, Inc. 45,488 3,170 Citrix Systems, Inc. (b) 90,440 3,524 Compuware Corp. (b) 26,359 1,277 Electronic Arts, Inc. (b) 25,987 3,440 Intuit, Inc. (b) 79,567 2,772 McAfee, Inc. (b) 104,061 1,264 Microsoft Corp. 25,609 10,901 Novell, Inc. (b) 40,988 5,140 Oracle Corp. 99,408 1,419 Salesforce.com, Inc. (b) 60,747 6,217 Symantec Corp. (b) 107,243 ----------- 861,251 ----------- SPECIALTY RETAIL -- 8.3% 735 AutoZone, Inc. (b) 122,297 2,900 Bed Bath & Beyond, Inc. (b) 88,218 3,151 Best Buy Co., Inc. 120,935 4,269 GameStop Corp., Class A (b) 128,753 3,942 Home Depot (The), Inc. 103,753 3,416 O'Reilly Automotive, Inc. (b) 132,712 1,381 Sherwin-Williams (The) Co. 78,220 6,605 Staples, Inc. 136,195 4,665 TJX (The) Cos., Inc. 130,480 ----------- 1,041,563 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 991 NIKE, Inc., Class B 51,998 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 722 Fastenal Co. 27,696 1,023 W.W. Grainger, Inc. 85,809 ----------- 113,505 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 2,359 American Tower Corp., Class A (b) 74,922 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $12,563,033) 12,586,399 MONEY MARKET FUND -- 0.3% 40,776 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $40,776) 40,776 ----------- See Notes to Quarterly Portfolio of Investments Page 45 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------- TOTAL INVESTMENTS -- 100.3% 12,627,175 (Cost $12,603,810) (d) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (44,294) ----------- NET ASSETS -- 100.0% $12,582,881 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $708,166 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $684,801. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 12,627,175 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 12,627,175 ============ See Notes to Quarterly Portfolio of Investments Page 46 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.8% 297 Esterline Technologies Corp. (b) $ 7,826 331 General Dynamics Corp. 17,103 363 Goodrich Corp. 16,073 247 Honeywell International, Inc. 7,709 148 L-3 Communications Holdings, Inc. 11,270 205 Moog, Inc., Class A (b) 5,490 230 Precision Castparts Corp. 17,218 177 Raytheon Co. 8,006 157 Triumph Group, Inc. 6,489 ----------- 97,184 ----------- AIR FREIGHT & LOGISTICS -- 0.4% 309 FedEx Corp. 17,292 138 Hub Group, Inc., Class A (b) 3,174 ----------- 20,466 ----------- AIRLINES -- 0.3% 1,448 JetBlue Airways Corp. (b) 7,139 1,590 Southwest Airlines Co. 11,098 ----------- 18,237 ----------- AUTO COMPONENTS -- 0.7% 265 Gentex Corp. 3,543 1,098 Goodyear Tire & Rubber (The) Co. (b) 12,067 573 Johnson Controls, Inc. 10,893 1,492 Spartan Motors, Inc. 12,040 427 Standard Motor Products, Inc. 1,708 ----------- 40,251 ----------- AUTOMOBILES -- 0.5% 1,284 Harley-Davidson, Inc. 28,453 ----------- BEVERAGES -- 0.4% 86 Brown-Forman Corp., Class B 3,999 201 Molson Coors Brewing Co., Class B 7,688 460 PepsiAmericas, Inc. 11,302 ----------- 22,989 ----------- BIOTECHNOLOGY -- 0.2% 276 OSI Pharmaceuticals, Inc. (b) 9,265 ----------- BUILDING PRODUCTS -- 0.5% 546 Apogee Enterprises, Inc. 7,316 1,271 Gibraltar Industries, Inc. 8,516 157 Griffon Corp. (b) 1,361 200 Lennox International, Inc. 6,378 44 Universal Forest Products, Inc. 1,477 ----------- 25,048 ----------- CAPITAL MARKETS -- 1.1% 3,797 Apollo Investment Corp. 18,226 496 Invesco Ltd. 7,301 2,068 Janus Capital Group, Inc. 20,742 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 147 Morgan Stanley $ 3,475 109 State Street Corp. 3,720 116 T. Rowe Price Group, Inc. 4,468 ----------- 57,932 ----------- CHEMICALS -- 3.7% 173 A. Schulman, Inc. 2,714 60 Air Products and Chemicals, Inc. 3,954 364 Albemarle Corp. 9,763 124 Arch Chemicals, Inc. 2,998 1,023 Ashland, Inc. 22,465 1,257 Cabot Corp. 18,352 2,039 Dow Chemical (The) Co. 32,624 150 E.I. du Pont de Nemours and Co. 4,185 641 Eastman Chemical Co. 25,435 90 H.B. Fuller Co. 1,589 412 Minerals Technologies, Inc. 15,322 741 Olin Corp. 9,337 310 OM Group, Inc. (b) 8,637 324 Penford Corp. 1,448 186 PPG Industries, Inc. 8,193 592 Quaker Chemical Corp. 6,926 225 Sensient Technologies Corp. 5,261 89 Sigma-Aldrich Corp. 3,902 172 Stepan Co. 6,806 265 Valspar (The) Corp. 6,360 ----------- 196,271 ----------- COMMERCIAL BANKS -- 3.5% 342 Associated Banc-Corp. 5,291 80 Bank of Hawaii Corp. 2,811 813 BB&T Corp. 18,975 760 Cathay General Bancorp 8,527 78 City National Corp. 2,855 367 Columbia Banking System, Inc. 3,633 183 Comerica, Inc. 3,839 140 Community Banking System, Inc. 2,303 1,103 First BanCorp 6,078 419 First Midwest Bancorp, Inc. 3,712 1,068 Frontier Financial Corp. 1,517 8,284 Huntington Bancshares, Inc. 23,112 159 Independent Bank Corp. - MA 3,174 1,694 International Bancshares Corp. 22,886 152 M&T Bank Corp. 7,972 142 National Penn Bancshares, Inc. 1,149 105 Old National Bancorp 1,431 115 PNC Financial Services Group, Inc. 4,566 167 Provident Bankshares Corp. 1,468 55 S&T Bancorp, Inc. 983 359 Sterling Bancshares, Inc. 2,387 567 Sterling Financial Corp. 1,809 1,171 SunTrust Banks, Inc. 16,909 See Notes to Quarterly Portfolio of Investments Page 47 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 252 Susquehanna Bancshares, Inc. $ 2,031 225 TCF Financial Corp. 3,130 288 Trustmark Corp. 6,261 230 U.S. Bancorp 4,191 778 UCBH Holdings, Inc. 996 259 Umpqua Holdings Corp. 2,484 136 United Bankshares, Inc. 3,528 282 United Community Banks, Inc. 1,819 236 Wells Fargo & Co. 4,722 205 Whitney Holding Corp. 2,452 273 Wilmington Trust Corp. 3,961 293 Wintrust Financial Corp. 4,981 ----------- 187,943 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 72 ABM Industries, Inc. 1,262 616 Avery Dennison Corp. 17,704 1,121 Bowne & Co., Inc. 5,728 200 Brink's (The) Co. 5,670 369 Consolidated Graphics, Inc. (b) 7,166 619 Corrections Corp. of America (b) 8,747 549 Deluxe Corp. 7,961 248 G&K Services, Inc., Class A 6,193 1,016 HNI Corp. 15,748 396 Mine Safety Appliances Co. 9,761 312 Mobile Mini, Inc. (b) 4,274 1,876 R.R. Donnelley & Sons Co. 21,855 196 Republic Services, Inc. 4,116 256 Standard Register (The) Co. 1,336 167 United Stationers, Inc. (b) 5,466 269 Waste Management, Inc. 7,174 ----------- 130,161 ----------- COMMUNICATIONS EQUIPMENT -- 0.8% 435 Avocent Corp. (b) 6,281 199 Black Box Corp. 5,447 431 Ciena Corp. (b) 5,150 306 Digi International, Inc. (b) 2,225 206 EMS Technologies, Inc. (b) 3,924 554 Harmonic, Inc. (b) 4,061 457 Juniper Networks, Inc. (b) 9,894 1,395 PC-Tel, Inc. (b) 6,794 ----------- 43,776 ----------- COMPUTERS & PERIPHERALS -- 0.9% 489 Adaptec, Inc. (b) 1,398 124 Diebold, Inc. 3,277 314 Hewlett-Packard Co. 11,298 345 Imation Corp. 3,450 113 Intermec, Inc. (b) 1,365 665 NCR Corp. (b) 6,750 836 Novatel Wireless, Inc. (b) 5,727 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 905 QLogic Corp. (b) $ 12,833 ----------- 46,098 ----------- CONSTRUCTION & ENGINEERING -- 0.7% 456 Dycom Industries, Inc. (b) 3,840 274 EMCOR Group, Inc. (b) 5,696 291 Fluor Corp. 11,020 765 KBR, Inc. 11,949 131 URS Corp. (b) 5,772 ----------- 38,277 ----------- CONSTRUCTION MATERIALS -- 0.1% 33 Martin Marietta Materials, Inc. 2,773 144 Texas Industries, Inc. 4,605 ----------- 7,378 ----------- CONSUMER FINANCE -- 1.1% 739 American Express Co. 18,637 451 AmeriCredit Corp. (b) 4,587 274 Capital One Financial Corp. 4,587 383 Cash America International, Inc. 8,564 2,724 Discover Financial Services 22,146 671 Rewards Network, Inc. (b) 2,503 ----------- 61,024 ----------- CONTAINERS & PACKAGING -- 2.2% 255 AptarGroup, Inc. 7,913 480 Bemis Co., Inc. 11,539 238 Greif, Inc., Class A 10,774 977 Myers Industries, Inc. 9,799 476 Owens-Illinois, Inc. (b) 11,610 609 Packaging Corp. of America 9,665 471 Pactiv Corp. (b) 10,296 87 Rock-Tenn Co., Class A 3,285 730 Sealed Air Corp. 13,914 252 Sonoco Products Co. 6,151 1,969 Temple-Inland, Inc. 23,510 ----------- 118,456 ----------- DISTRIBUTORS -- 0.2% 685 Audiovox Corp., Class A (b) 3,808 230 Genuine Parts Co. 7,811 ----------- 11,619 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 117 Brink's Home Security Holdings, Inc. (b) 3,110 147 Hillenbrand, Inc. 2,672 183 Matthews International Corp., Class A 5,732 732 Regis Corp. 14,011 See Notes to Quarterly Portfolio of Investments Page 48 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 3,029 Service Corp. International $ 13,721 ----------- 39,246 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 2,016 Bank of America Corp. 18,003 6,031 CIT Group, Inc. 13,389 55 Financial Federal Corp. 1,353 126 JPMorgan Chase & Co. 4,158 146 Moody's Corp. 4,310 351 NASDAQ OMX Group, (The), Inc. (b) 6,750 ----------- 47,963 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 400 AT&T, Inc. 10,248 611 CenturyTel, Inc. 16,589 2,298 Cincinnati Bell, Inc. (b) 6,411 182 Embarq Corp. 6,654 1,506 FairPoint Communications, Inc. 1,566 467 Frontier Communications Corp. 3,320 205 Iowa Telecommunications Services, Inc. 2,702 981 Qwest Communications International, Inc. 3,816 228 Verizon Communications, Inc. 6,918 416 Windstream Corp. 3,453 ----------- 61,677 ----------- ELECTRIC UTILITIES -- 3.9% 435 Allegheny Energy, Inc. 11,275 135 ALLETE, Inc. 3,515 544 American Electric Power Co., Inc. 14,351 208 Central Vermont Public Service Corp. 3,569 108 Cleco Corp. 2,278 234 DPL, Inc. 5,249 703 Duke Energy Corp. 9,708 477 Edison International 13,599 333 El Paso Electric Co. (b) 4,595 101 Entergy Corp. 6,542 74 Exelon Corp. 3,414 356 FirstEnergy Corp. 14,560 66 FPL Group, Inc. 3,550 785 Great Plains Energy, Inc. 11,359 577 Hawaiian Electric Industries, Inc. 8,967 453 IDACORP, Inc. 10,858 318 Northeast Utilities 6,684 1,126 NV Energy, Inc. 11,542 1,377 Pepco Holdings, Inc. 16,455 518 Pinnacle West Capital Corp. 14,183 117 PPL Corp. 3,500 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 278 Progress Energy, Inc. $ 9,485 110 Southern (The) Co. 3,177 161 UIL Holdings Corp. 3,718 42 UniSource Energy Corp. 1,105 603 Westar Energy, Inc. 10,571 ----------- 207,809 ----------- ELECTRICAL EQUIPMENT -- 1.8% 143 A.O. Smith Corp. 4,446 208 Acuity Brands, Inc. 5,978 324 Baldor Electric Co. 7,517 266 Brady Corp., Class A 5,605 1,945 C&D Technologies, Inc. (b) 4,259 532 Cooper Industries Ltd., Class A 17,444 352 Emerson Electric Co. 11,982 392 Hubbell, Inc., Class B 13,014 1,999 Magnetek, Inc. (b) 3,498 1,182 Woodward Governor Co. 23,593 ----------- 97,336 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 148 Anixter International, Inc. (b) 5,888 176 Cognex Corp. 2,476 1,295 Corning, Inc. 18,933 1,661 CTS Corp. 10,082 2,510 Gerber Scientific, Inc. (b) 9,915 604 Jabil Circuit, Inc. 4,892 327 Littelfuse, Inc. (b) 5,360 1,312 Methode Electronics, Inc. 7,898 500 Molex, Inc. 8,335 158 MTS Systems Corp. 3,339 283 National Instruments Corp. 6,237 1,357 Newport Corp. (b) 6,771 191 Rogers Corp. (b) 4,861 194 ScanSource, Inc. (b) 4,794 183 SYNNEX Corp. (b) 3,940 485 Tech Data Corp. (b) 13,963 1,557 Tyco Electronics Ltd. 27,154 ----------- 144,838 ----------- ENERGY EQUIPMENT & SERVICES -- 2.6% 362 Atwood Oceanics, Inc. (b) 8,080 280 Bristow Group, Inc. (b) 6,373 219 Diamond Offshore Drilling, Inc. 15,858 749 Gulf Island Fabrication, Inc. 9,692 1,111 Halliburton Co. 22,464 572 Matrix Service Co. (b) 5,480 599 National Oilwell Varco, Inc. (b) 18,138 735 Pride International, Inc. (b) 16,684 1,436 Rowan Cos., Inc. 22,416 See Notes to Quarterly Portfolio of Investments Page 49 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 356 Tidewater, Inc. $ 15,397 ----------- 140,582 ----------- FOOD & STAPLES RETAILING -- 0.9% 332 Andersons (The), Inc. 5,335 885 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 6,496 128 Nash Finch Co. 3,749 353 Ruddick Corp. 9,058 681 Safeway, Inc. 13,450 409 Whole Foods Market, Inc. 8,479 ----------- 46,567 ----------- FOOD PRODUCTS -- 1.0% 495 Archer-Daniels-Midland Co. 12,187 268 Cal-Maine Foods, Inc. 7,094 199 ConAgra Foods, Inc. 3,522 623 Corn Products International, Inc. 14,890 165 Hain Celestial Group (The), Inc. (b) 2,754 90 J.M. Smucker (The) Co. 3,546 64 Lancaster Colony Corp. 2,803 279 Smithfield Foods, Inc. (b) 2,410 357 Tyson Foods, Inc., Class A 3,763 ----------- 52,969 ----------- GAS UTILITIES -- 1.1% 299 AGL Resources, Inc. 9,320 156 Atmos Energy Corp. 3,855 454 Energen Corp. 16,398 172 National Fuel Gas Co. 5,626 35 New Jersey Resources Corp. 1,152 207 Nicor, Inc. 6,653 27 Northwest Natural Gas Co. 1,104 350 ONEOK, Inc. 9,160 34 South Jersey Industries, Inc. 1,180 171 Southwest Gas Corp. 3,456 ----------- 57,904 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 37 Analogic Corp. 1,347 326 CONMED Corp. (b) 4,342 207 Covidien Ltd. 6,827 1,158 CryoLife, Inc. (b) 6,288 1,336 Hill-Rom Holdings, Inc. 17,341 147 Invacare Corp. 2,262 192 Merit Medical Systems, Inc. (b) 2,978 1,031 Osteotech, Inc. (b) 3,939 341 STERIS Corp. 8,218 135 Teleflex, Inc. 5,802 4,916 Theragenics Corp. (b) 6,096 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 251 Zoll Medical Corp. (b) $ 4,036 ----------- 69,476 ----------- HEALTH CARE PROVIDERS & SERVICES -- 3.7% 414 Aetna, Inc. 9,112 189 Almost Family, Inc. (b) 4,668 103 AmerisourceBergen Corp. 3,465 1,176 AMN Healthcare Services, Inc. (b) 8,103 320 Cardinal Health, Inc. 10,813 130 Centene Corp. (b) 2,388 191 CIGNA Corp. 3,765 689 Community Health Systems, Inc. (b) 15,737 116 CorVel Corp. (b) 2,610 1,328 Coventry Health Care, Inc. (b) 21,128 916 Cross Country Healthcare, Inc. (b) 8,070 395 Gentiva Health Services, Inc. (b) 6,292 365 Health Net, Inc. (b) 5,271 717 HealthSpring, Inc. (b) 6,618 527 Humana, Inc. (b) 15,167 884 Kindred Healthcare, Inc. (b) 11,510 633 LifePoint Hospitals, Inc. (b) 16,363 96 McKesson Corp. 3,552 825 MedCath Corp. (b) 8,349 80 Owens & Minor, Inc. 2,774 504 Psychiatric Solutions, Inc. (b) 9,773 135 RehabCare Group, Inc. (b) 2,254 2,893 Tenet Healthcare Corp. (b) 6,509 276 Universal Health Services, Inc., Class B 13,910 ----------- 198,201 ----------- HEALTH CARE TECHNOLOGY -- 0.2% 591 Eclipsys Corp. (b) 7,801 300 Omnicell, Inc. (b) 2,640 ----------- 10,441 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.6% 118 Bob Evans Farms, Inc. 2,862 796 Carnival Corp. 21,396 98 Darden Restaurants, Inc. 3,623 746 International Game Technology 9,213 599 International Speedway Corp., Class A 14,184 886 Interval Leisure Group, Inc. (b) 7,097 1,149 Landry's Restaurants, Inc. (b) 10,502 1,052 Life Time Fitness, Inc. (b) 19,736 553 Marcus (The) Corp. 7,023 2,185 Multimedia Games, Inc. (b) 4,632 266 Red Robin Gourmet Burgers, Inc. (b) 6,530 See Notes to Quarterly Portfolio of Investments Page 50 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,609 Ruby Tuesday, Inc. (b) $ 12,357 218 Scientific Games Corp., Class A (b) 3,813 234 Sonic Corp. (b) 2,555 793 Starwood Hotels & Resorts Worldwide, Inc. 16,542 ----------- 142,065 ----------- HOUSEHOLD DURABLES -- 2.0% 417 Ethan Allen Interiors, Inc. 5,609 280 Fortune Brands, Inc. 11,007 342 Helen of Troy Ltd. (b) 5,455 529 Leggett & Platt, Inc. 7,597 59 National Presto Industries, Inc. 4,204 890 Russ Berrie & Co., Inc. (b) 1,700 685 Snap-on, Inc. 23,235 346 Stanley Works (The) 13,158 467 Tupperware Brands Corp. 11,689 581 Whirlpool Corp. 26,238 ----------- 109,892 ----------- HOUSEHOLD PRODUCTS -- 0.2% 156 Central Garden & Pet Co., Class A (b) 1,415 146 Procter & Gamble (The) Co. 7,218 ----------- 8,633 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.8% 2,958 AES (The) Corp. (b) 20,913 12,191 Dynegy, Inc., Class A (b) 21,700 ----------- 42,613 ----------- INDUSTRIAL CONGLOMERATES -- 1.3% 539 Carlisle Cos., Inc. 12,262 996 General Electric Co. 12,600 652 Standex International Corp. 9,043 2,995 Textron, Inc. 32,136 144 Tredegar Corp. 2,532 ----------- 68,573 ----------- INSURANCE -- 3.6% 173 Aflac, Inc. 4,998 659 American Financial Group, Inc. 11,585 155 Arthur J. Gallagher & Co. 3,484 631 Assurant, Inc. 15,422 162 Chubb (The) Corp. 6,310 301 Cincinnati Financial Corp. 7,209 87 Delphi Financial Group, Inc., Class A 1,502 100 First American Corp. 2,808 316 Horace Mann Educators Corp. 2,774 502 Lincoln National Corp. 5,642 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 442 MetLife, Inc. $ 13,149 1,874 National Financial Partners Corp. 13,230 302 Presidential Life Corp. 3,228 1,681 Principal Financial Group, Inc. 27,468 50 ProAssurance Corp. (b) 2,197 503 Protective Life Corp. 4,311 82 Reinsurance Group of America, Inc. 2,607 151 Safety Insurance Group, Inc. 4,991 193 Selective Insurance Group 2,849 464 StanCorp Financial Group, Inc. 12,728 524 Torchmark Corp. 15,369 248 Travelers (The) Cos., Inc. 10,203 189 Unitrin, Inc. 3,213 805 Unum Group 13,154 149 Zenith National Insurance Corp. 3,396 ----------- 193,827 ----------- INTERNET & CATALOG RETAIL -- 0.2% 1,625 Ticketmaster Entertainment, Inc. (b) 8,547 ----------- IT SERVICES -- 1.1% 714 Acxiom Corp. 6,890 2,197 CIBER, Inc. (b) 7,096 467 Computer Sciences Corp. (b) 17,261 378 Fidelity National Information Services, Inc. 6,747 595 Gevity HR, Inc. 2,356 173 Lender Processing Services, Inc. 4,958 539 SRA International, Inc., Class A (b) 8,295 1,161 StarTek, Inc. (b) 4,784 ----------- 58,387 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.9% 1,566 Arctic Cat, Inc. 6,264 1,840 Callaway Golf Co. 13,892 274 Hasbro, Inc. 7,305 486 JAKKS Pacific, Inc. (b) 6,148 596 Mattel, Inc. 8,916 168 Polaris Industries, Inc. 5,619 ----------- 48,144 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 2,061 Cambrex Corp. (b) 4,802 223 Covance, Inc. (b) 8,759 112 Kendle International, Inc. (b) 997 370 PAREXEL International Corp. (b) 3,667 788 PerkinElmer, Inc. 11,481 282 Thermo Fisher Scientific, Inc. (b) 9,892 See Notes to Quarterly Portfolio of Investments Page 51 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 334 Varian, Inc. (b) $ 11,029 ----------- 50,627 ----------- MACHINERY -- 6.5% 674 AGCO Corp. (b) 16,378 440 Barnes Group, Inc. 6,230 142 Briggs & Stratton Corp. 2,113 340 Cascade Corp. 8,218 470 Crane Co. 10,852 540 Cummins, Inc. 18,360 209 Deere & Co. 8,623 521 Dover Corp. 16,036 466 Eaton Corp. 20,411 275 EnPro Industries, Inc. (b) 4,389 2,006 Federal Signal Corp. 15,587 179 Flowserve Corp. 12,154 477 Harsco Corp. 13,141 242 IDEX Corp. 6,111 223 Illinois Tool Works, Inc. 7,314 225 John Bean Technologies Corp. 2,480 132 Kaydon Corp. 4,219 652 Kennametal, Inc. 13,334 133 Lindsay Corp. 5,175 1,212 Lydall, Inc. (b) 5,200 5,257 Manitowoc (The) Co., Inc. 31,279 279 Nordson Corp. 10,122 1,961 Oshkosh Corp. 18,826 337 Pall Corp. 8,900 506 Parker Hannifin Corp. 22,947 366 Pentair, Inc. 9,750 395 Robbins & Myers, Inc. 7,485 112 SPX Corp. 5,171 947 Timken (The) Co. 15,228 3,820 Wabash National Corp. 4,775 301 Wabtec Corp. 11,480 184 Watts Water Technologies, Inc., Class A 4,096 ----------- 346,384 ----------- MARINE -- 0.4% 555 Alexander & Baldwin, Inc. 14,785 176 Kirby Corp. (b) 5,432 ----------- 20,217 ----------- MEDIA -- 2.3% 157 Arbitron, Inc. 3,269 738 Comcast Corp., Class A 11,410 870 E.W. Scripps (The) Co., Class A 1,714 2,470 Harte-Hanks, Inc. 20,402 3,338 Interpublic Group of Cos (The), Inc. (b) 20,896 826 Meredith Corp. 20,716 294 Omnicom Group, Inc. 9,252 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 701 Scholastic Corp. $ 13,831 757 Walt Disney (The) Co. 16,578 9 Washington Post (The) Co., Class B 3,767 ----------- 121,835 ----------- METALS & MINING -- 2.7% 1,931 AK Steel Holding Corp. 25,122 1,873 Alcoa, Inc. 16,988 784 Allegheny Technologies, Inc. 25,661 242 AMCOL International Corp. 4,690 936 Carpenter Technology Corp. 19,347 1,144 Commercial Metals Co. 17,023 395 Olympic Steel, Inc. 7,244 513 RTI International Metals, Inc. (b) 6,674 813 United States Steel Corp. 21,585 ----------- 144,334 ----------- MULTILINE RETAIL -- 2.2% 104 Fred's, Inc., Class A 1,421 856 J. C. Penney Co., Inc. 26,271 1,931 Macy's, Inc. 26,416 410 Nordstrom, Inc. 9,278 7,066 Saks, Inc. (b) 36,814 4,723 Tuesday Morning Corp. (b) 16,105 ----------- 116,305 ----------- MULTI-UTILITIES -- 4.0% 321 Alliant Energy Corp. 7,178 741 Ameren Corp. 17,058 341 Avista Corp. 5,132 148 Black Hills Corp. 2,942 965 CenterPoint Energy, Inc. 10,268 25 CH Energy Group, Inc. 1,111 1,161 CMS Energy Corp. 13,955 254 Consolidated Edison, Inc. 9,431 222 Dominion Resources, Inc. 6,695 621 DTE Energy Co. 18,363 387 Integrys Energy Group, Inc. 10,221 655 MDU Resources Group, Inc. 11,508 1,754 NiSource, Inc. 19,276 166 NSTAR 5,214 333 OGE Energy Corp. 8,561 263 PG&E Corp. 9,763 114 Public Service Enterprise Group, Inc. 3,402 326 SCANA Corp. 9,852 218 Sempra Energy 10,032 903 TECO Energy, Inc. 9,563 376 Vectren Corp. 8,336 167 Wisconsin Energy Corp. 6,673 540 Xcel Energy, Inc. 9,958 ----------- 214,492 ----------- See Notes to Quarterly Portfolio of Investments Page 52 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OFFICE ELECTRONICS -- 0.3% 3,022 Xerox Corp. $ 18,464 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.8% 988 Arch Coal, Inc. 13,802 594 Bill Barrett Corp. (b) 15,432 654 Marathon Oil Corp. 19,424 682 Mariner Energy, Inc. (b) 7,761 1,698 Massey Energy Co. 27,015 319 Noble Energy, Inc. 18,103 309 Occidental Petroleum Corp. 17,394 583 Overseas Shipholding Group, Inc. 16,738 3,562 Patriot Coal Corp. (b) 22,441 549 Peabody Energy Corp. 14,488 1,044 Pioneer Natural Resources Co. 24,137 695 Southern Union Co. 11,058 712 Spectra Energy Corp. 10,324 1,276 Tesoro Corp. 19,459 1,510 Williams (The) Cos., Inc. 21,291 ----------- 258,867 ----------- PAPER & FOREST PRODUCTS -- 0.5% 1,147 MeadWestvaco Corp. 17,962 127 Schweitzer-Mauduit International, Inc. 2,917 447 Wausau Paper Corp. 3,903 ----------- 24,782 ----------- PERSONAL PRODUCTS -- 0.5% 938 NBTY, Inc. (b) 24,304 ----------- PHARMACEUTICALS -- 0.4% 153 Bristol-Myers Squibb Co. 2,938 376 Merck & Co., Inc. 9,114 739 Pfizer, Inc. 9,873 ----------- 21,925 ----------- PROFESSIONAL SERVICES -- 1.3% 111 Administaff, Inc. 2,959 483 CDI Corp. 5,772 265 Heidrick & Struggles International, Inc. 4,478 251 Manpower, Inc. 10,816 2,109 Monster Worldwide, Inc. (b) 29,104 2,213 On Assignment, Inc. (b) 7,790 267 School Specialty, Inc. (b) 5,012 177 Volt Information Sciences, Inc. (b) 1,271 ----------- 67,202 ----------- REAL ESTATE INVESTMENT TRUSTS -- 4.8% 145 Alexandria Real Estate Equities, Inc. 5,290 532 BioMed Realty Trust, Inc. 6,070 135 BRE Properties, Inc. 3,317 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,700 Cedar Shopping Centers, Inc. $ 9,693 308 Colonial Properties Trust 2,230 1,172 DiamondRock Hospitality Co. 7,606 1,442 Duke Realty Corp. 14,088 381 Entertainment Properties Trust 8,805 217 Equity One, Inc. 3,229 653 Extra Space Storage, Inc. 4,643 95 Franklin Street Properties Corp. 1,268 661 Hospitality Properties Trust 8,091 4,385 Host Hotels & Resorts, Inc. 33,721 68 Kilroy Realty Corp. 1,465 1,321 Kimco Realty Corp. 15,878 1,918 Kite Realty Group Trust 6,713 616 LaSalle Hotel Properties 7,367 494 Lexington Realty Trust 1,902 140 Liberty Property Trust 3,408 134 LTC Properties, Inc. 2,413 1,689 Macerich (The) Co. 29,608 133 Mack-Cali Realty Corp. 3,572 986 Medical Properties Trust, Inc. 5,265 148 National Retail Properties, Inc. 2,626 188 Omega Healthcare Investors, Inc. 2,955 114 Parkway Properties, Inc. 1,581 331 Pennsylvania Real Estate Investment Trust 2,565 114 Potlatch Corp. 3,353 311 Public Storage 20,794 175 Rayonier, Inc. 6,759 140 Realty Income Corp. 3,126 168 Senior Housing Properties Trust 2,754 734 SL Green Realty Corp. 12,962 117 Sovran Self Storage, Inc. 2,637 555 Weingarten Realty Investors 8,625 ----------- 256,379 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 307 Forestar Group, Inc. (b) 3,948 ----------- ROAD & RAIL -- 1.9% 247 Arkansas Best Corp. 5,701 167 Burlington Northern Santa Fe Corp. 11,269 532 CSX Corp. 15,742 1,040 Kansas City Southern (b) 15,860 407 Norfolk Southern Corp. 14,522 486 Ryder System, Inc. 13,457 334 Union Pacific Corp. 16,413 524 Werner Enterprises, Inc. 8,567 ----------- 101,531 ----------- See Notes to Quarterly Portfolio of Investments Page 53 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.6% 357 Analog Devices, Inc. $ 7,597 98 Cabot Microelectronics Corp. (b) 2,823 272 DSP Group, Inc. (b) 1,711 457 Intel Corp. 7,211 146 Linear Technology Corp. 3,180 158 Microchip Technology, Inc. 3,634 203 Microsemi Corp. (b) 2,724 253 Standard Microsystems Corp. (b) 4,013 476 TriQuint Semiconductor, Inc. (b) 1,823 ----------- 34,716 ----------- SOFTWARE -- 0.6% 563 Fair Isaac Corp. 9,470 324 Jack Henry & Associates, Inc. 5,838 312 JDA Software Group, Inc. (b) 4,402 135 Progress Software Corp. (b) 2,861 816 Radiant Systems, Inc. (b) 6,014 563 Take-Two Interactive Software, Inc. (b) 5,112 ----------- 33,697 ----------- SPECIALTY RETAIL -- 4.9% 864 American Eagle Outfitters, Inc. 12,804 371 Barnes & Noble, Inc. 9,691 613 Big 5 Sporting Goods Corp. 5,045 1,599 Brown Shoe Co., Inc. 10,282 516 Cabela's, Inc. (b) 6,610 64 Cato (The) Corp., Class A 1,230 442 Charlotte Russe Holding, Inc. (b) 5,547 1,466 Christopher & Banks Corp. 8,151 2,106 Coldwater Creek, Inc. (b) 7,266 1,085 Collective Brands, Inc. (b) 15,754 1,009 Foot Locker, Inc. 11,997 1,059 Gap (The), Inc. 16,457 319 Genesco, Inc. (b) 7,267 84 Group 1 Automotive, Inc. 1,789 112 Haverty Furniture Cos., Inc. 1,215 220 Jo-Ann Stores, Inc. (b) 4,030 1,157 Limited Brands, Inc. 13,213 552 Lowe's Cos., Inc. 11,868 310 Men's Wearhouse (The), Inc. 5,778 297 Midas, Inc. (b) 2,970 1,065 Pep Boys-Manny, Moe & Jack (The) 7,881 2,006 RadioShack Corp. 28,244 682 Rent-A-Center, Inc. (b) 13,129 3,749 Sonic Automotive, Inc., Class A 19,345 319 Tiffany & Co. 9,232 2,803 Tween Brands, Inc. (b) 8,185 1,311 Williams-Sonoma, Inc. 18,354 602 Zale Corp. (b) 2,239 ----------- 265,573 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 276 Hanesbrands, Inc. (b) $ 4,543 531 Iconix Brand Group, Inc. (b) 7,572 795 Movado Group, Inc. 7,290 972 Oxford Industries, Inc. 9,467 1,733 Perry Ellis International, Inc. (b) 12,703 466 Phillips-Van Heusen Corp. 13,528 325 Polo Ralph Lauren Corp. 17,498 918 Quiksilver, Inc. (b) 1,515 899 Skechers U.S.A., Inc., Class A (b) 10,518 169 UniFirst Corp. 6,302 176 VF Corp. 10,432 231 Wolverine World Wide, Inc. 4,812 ----------- 106,180 ----------- THRIFTS & MORTGAGE FINANCE -- 0.3% 575 Astoria Financial Corp. 4,750 125 Dime Community Bancshares 1,042 485 First Niagara Financial Group, Inc. 6,567 1,566 Flagstar Bancorp, Inc. (b) 2,271 1,119 Guaranty Financial Group, Inc. (b) 660 199 Washington Federal, Inc. 2,583 ----------- 17,873 ----------- TOBACCO -- 0.7% 937 Alliance One International, Inc. (b) 3,514 209 Altria Group, Inc. 3,413 54 Lorillard, Inc. 3,409 94 Philip Morris International, Inc. 3,403 281 Reynolds American, Inc. 10,672 442 Universal Corp. 13,331 ----------- 37,742 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 213 Applied Industrial Technologies, Inc. 4,793 653 GATX Corp. 19,662 287 Kaman Corp. 4,853 35 Watsco, Inc. 1,503 ----------- 30,811 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 3,852 Sprint Nextel Corp. (b) 16,795 399 Telephone and Data Systems, Inc. 11,439 ----------- 28,234 ----------- TOTAL COMMON STOCKS -- 99.9% (Cost $5,269,918) 5,362,940 See Notes to Quarterly Portfolio of Investments Page 54 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- MONEY MARKET FUND -- 0.6% 33,700 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $33,700) $ 33,700 ----------- TOTAL INVESTMENTS -- 100.5% (Cost $5,303,618) (d) 5,396,640 NET OTHER ASSETS AND LIABILITIES -- (0.5)% (27,043) ----------- NET ASSETS -- 100.0% $ 5,369,597 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $540,382 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $447,360. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 5,396,640 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 5,396,640 ============ See Notes to Quarterly Portfolio of Investments Page 55 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.3% 258 AAR Corp. (b) $ 3,888 76 Aerovironment, Inc. (b) 1,798 109 Alliant Techsystems, Inc. (b) 8,682 85 American Science & Engineering, Inc. 5,122 400 Applied Signal Technology, Inc. 7,904 113 Axsys Technologies, Inc. (b) 4,736 256 Cubic Corp. 7,350 115 Curtiss-Wright Corp. 3,676 402 ITT Corp. 16,486 72 Lockheed Martin Corp. 5,654 187 Stanley, Inc. (b) 4,821 ----------- 70,117 ----------- AIR FREIGHT & LOGISTICS -- 0.8% 439 C.H. Robinson Worldwide, Inc. 23,337 353 Expeditors International of Washington, Inc. 12,253 203 United Parcel Service, Inc., Class B 10,625 ----------- 46,215 ----------- AIRLINES -- 0.2% 622 Alaska Air Group, Inc. (b) 10,437 260 SkyWest, Inc. 3,131 ----------- 13,568 ----------- AUTO COMPONENTS -- 0.1% 179 BorgWarner, Inc. 5,182 ----------- AUTOMOBILES -- 0.1% 233 Thor Industries, Inc. 5,357 ----------- BEVERAGES -- 1.0% 228 Coca-Cola (The) Co. 9,815 405 Hansen Natural Corp. (b) 16,508 698 Pepsi Bottling Group (The), Inc. 21,827 194 PepsiCo, Inc. 9,653 ----------- 57,803 ----------- BIOTECHNOLOGY -- 1.8% 101 Amgen, Inc. (b) 4,895 1,564 ArQule, Inc. (b) 6,960 491 Biogen Idec, Inc. (b) 23,735 113 Celgene Corp. (b) 4,827 227 Cephalon, Inc. (b) 14,894 198 Cubist Pharmaceuticals, Inc. (b) 3,287 168 Genzyme Corp. (b) 8,959 432 Gilead Sciences, Inc. (b) 19,786 114 Regeneron Pharmaceuticals, Inc. (b) 1,512 110 United Therapeutics Corp. (b) 6,909 127 Vertex Pharmaceuticals, Inc. (b) 3,914 ----------- 99,678 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS -- 1.6% 12,074 E*TRADE Financial Corp. (b) $ 17,266 449 Federated Investors, Inc., Class B 10,273 94 Goldman Sachs Group (The), Inc. 12,079 44 Greenhill & Co., Inc. 3,411 127 Investment Technology Group, Inc. (b) 2,893 423 LaBranche & Co., Inc. (b) 1,768 258 Northern Trust Corp. 14,025 370 Raymond James Financial, Inc. 5,805 150 Stifel Financial Corp. (b) 7,385 305 SWS Group, Inc. 3,901 491 TradeStation Group, Inc. (b) 3,982 403 Waddell & Reed Financial, Inc., Class A 9,031 ----------- 91,819 ----------- CHEMICALS -- 3.7% 323 Airgas, Inc. 13,928 502 American Vanguard Corp. 6,421 322 Balchem Corp. 8,015 335 Calgon Carbon Corp. (b) 5,688 362 CF Industries Holdings, Inc. 26,082 445 Ecolab, Inc. 17,155 338 FMC Corp. 16,471 507 International Flavors & Fragrances, Inc. 15,818 241 Monsanto Co. 20,458 183 NewMarket Corp. 11,529 383 Praxair, Inc. 28,576 525 Scotts Miracle-Gro (The) Co., Class A 17,729 648 Terra Industries, Inc. 17,172 ----------- 205,042 ----------- COMMERCIAL BANKS -- 0.8% 100 Commerce Bancshares, Inc. 3,310 78 Cullen/Frost Bankers, Inc. 3,673 67 First Financial Bankshares, Inc. 3,302 1,862 First Horizon National Corp. 21,431 79 Home Bancshares, Inc. 1,742 73 NBT Bancorp, Inc. 1,729 118 Prosperity Bancshares, Inc. 3,277 115 Signature Bank (b) 3,127 37 Tompkins Financial Corp. 1,559 ----------- 43,150 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 809 Cintas Corp. 20,759 76 Clean Harbors, Inc. (b) 3,808 368 Copart, Inc. (b) 11,551 317 Healthcare Services Group, Inc. 5,668 902 Iron Mountain, Inc. (b) 25,698 See Notes to Quarterly Portfolio of Investments Page 56 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 214 Pitney Bowes, Inc. $ 5,251 850 Rollins, Inc. 15,300 324 Stericycle, Inc. (b) 15,254 389 Sykes Enterprises, Inc. (b) 7,648 318 Tetra Tech, Inc. (b) 7,810 142 Waste Connections, Inc. (b) 3,661 ----------- 122,408 ----------- COMMUNICATIONS EQUIPMENT -- 3.6% 5,895 3Com Corp. (b) 23,875 449 ADTRAN, Inc. 9,496 1,098 Arris Group, Inc. (b) 11,716 539 Blue Coat Systems, Inc. (b) 7,147 596 Cisco Systems, Inc. (b) 11,515 321 CommScope, Inc. (b) 8,057 696 F5 Networks, Inc. (b) 18,980 173 Harris Corp. 5,290 394 NETGEAR, Inc. (b) 6,308 1,690 Palm, Inc. (b) 17,728 710 Polycom, Inc. (b) 13,234 514 QUALCOMM, Inc. 21,753 1,356 Symmetricom, Inc. (b) 6,753 490 Tekelec (b) 7,595 3,375 Tellabs, Inc. (b) 17,685 1,117 Tollgrade Communications, Inc. (b) 6,646 228 ViaSat, Inc. (b) 5,242 ----------- 199,020 ----------- COMPUTERS & PERIPHERALS -- 2.9% 245 Apple, Inc. (b) 30,828 2,260 EMC Corp. (b) 28,318 206 International Business Machines Corp. 21,261 1,348 NetApp, Inc. (b) 24,668 395 SanDisk Corp. (b) 6,210 303 Synaptics, Inc. (b) 9,842 953 Teradata Corp. (b) 15,934 942 Western Digital Corp. (b) 22,156 ----------- 159,217 ----------- CONSTRUCTION & ENGINEERING -- 1.2% 698 Aecom Technology Corp. (b) 17,960 292 Granite Construction, Inc. 11,519 414 Insituform Technologies, Inc., Class A (b) 6,347 259 Jacobs Engineering Group, Inc. (b) 9,852 849 Quanta Services, Inc. (b) 19,298 ----------- 64,976 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.1% 134 Eagle Materials, Inc. $ 3,725 ----------- Consumer Finance -- 0.2% 434 First Cash Financial Services, Inc. (b) 7,135 92 World Acceptance Corp. (b) 2,730 ----------- 9,865 ----------- CONTAINERS & PACKAGING -- 0.4% 594 Ball Corp. 22,406 ----------- DISTRIBUTORS -- 0.4% 1,276 LKQ Corp. (b) 21,666 ----------- DIVERSIFIED CONSUMER SERVICES -- 2.0% 192 American Public Education, Inc. (b) 6,912 329 Apollo Group, Inc., Class A (b) 20,711 122 Capella Education Co. (b) 6,268 608 Career Education Corp. (b) 13,400 247 Coinstar, Inc. (b) 8,791 937 Corinthian Colleges, Inc. (b) 14,430 227 DeVry, Inc. 9,661 150 ITT Educational Services, Inc. (b) 15,115 54 Pre-Paid Legal Services, Inc. (b) 1,989 61 Strayer Education, Inc. 11,554 132 Universal Technical Institute, Inc. (b) 1,880 ----------- 110,711 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 41 CME Group, Inc. 9,075 134 IntercontinentalExchange, Inc. (b) 11,739 59 Portfolio Recovery Associates, Inc. (b) 2,063 ----------- 22,877 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 710 General Communication, Inc., Class A (b) 5,439 329 Neutral Tandem, Inc. (b) 9,409 ----------- 14,848 ----------- ELECTRICAL EQUIPMENT -- 0.9% 350 AMETEK, Inc. 11,274 245 AZZ, Inc. (b) 7,578 211 Regal-Beloit Corp. 8,573 172 Roper Industries, Inc. 7,841 437 Thomas & Betts Corp. (b) 13,599 ----------- 48,865 ----------- See Notes to Quarterly Portfolio of Investments Page 57 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 702 Amphenol Corp., Class A $ 23,756 289 Benchmark Electronics, Inc. (b) 3,505 77 Itron, Inc. (b) 3,542 349 LoJack Corp. (b) 1,194 234 Plexus Corp. (b) 5,183 558 TTM Technologies, Inc. (b) 4,140 ----------- 41,320 ----------- ENERGY EQUIPMENT & SERVICES -- 1.4% 456 Cameron International Corp. (b) 11,665 114 CARBO Ceramics, Inc. 3,501 155 Dril-Quip, Inc. (b) 5,329 348 FMC Technologies, Inc. (b) 11,912 160 Helmerich & Payne, Inc. 4,931 104 Hornbeck Offshore Services, Inc. (b) 2,416 125 Lufkin Industries, Inc. 4,363 171 NATCO Group, Inc., Class A (b) 4,114 296 Oceaneering International, Inc. (b) 13,489 118 Oil States International, Inc. (b) 2,230 81 SEACOR Holdings, Inc. (b) 5,323 233 Smith International, Inc. 6,023 ----------- 75,296 ----------- FOOD & STAPLES RETAILING -- 3.2% 569 BJ's Wholesale Club, Inc. (b) 18,970 304 Casey's General Stores, Inc. 8,089 334 Costco Wholesale Corp. 16,232 728 CVS Caremark Corp. 23,136 943 Kroger (The) Co. 20,388 210 Spartan Stores, Inc. 3,417 877 Sysco Corp. 20,460 427 United Natural Foods, Inc. (b) 9,727 992 Walgreen Co. 31,179 494 Wal-Mart Stores, Inc. 24,898 ----------- 176,496 ----------- FOOD PRODUCTS -- 3.6% 366 Campbell Soup Co. 9,414 1,425 Dean Foods Co. (b) 29,498 290 Diamond Foods, Inc. 7,595 621 Flowers Foods, Inc. 14,345 200 General Mills, Inc. 10,138 169 Green Mountain Coffee Roasters, Inc. (b) 12,220 151 H.J. Heinz Co. 5,197 445 Hershey (The) Co. 16,082 812 Hormel Foods Corp. 25,408 187 J & J Snack Foods Corp. 7,248 137 Kellogg Co. 5,769 523 McCormick & Co., Inc. 15,402 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 338 Ralcorp Holdings, Inc. (b) $ 19,320 216 Sanderson Farms, Inc. 8,618 168 Tootsie Roll Industries, Inc. 4,091 281 TreeHouse Foods, Inc. (b) 7,472 ----------- 197,817 ----------- GAS UTILITIES -- 1.1% 319 EQT Corp. 10,728 208 Laclede Group (The), Inc. 7,214 183 Piedmont Natural Gas Co., Inc. 4,469 170 Questar Corp. 5,052 771 UGI Corp. 17,687 444 WGL Holdings, Inc. 13,826 ----------- 58,976 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.6% 275 Abaxis, Inc. (b) 4,158 426 American Medical Systems Holdings, Inc. (b) 5,270 302 Baxter International, Inc. 14,647 286 Beckman Coulter, Inc. 15,032 230 Becton, Dickinson and Co. 13,910 194 C. R. Bard, Inc. 13,896 245 Cooper (The) Cos., Inc. 7,044 244 Cyberonics, Inc. (b) 3,231 372 DENTSPLY International, Inc. 10,647 300 Edwards Lifesciences Corp. (b) 19,014 320 Gen-Probe, Inc. (b) 15,411 335 Greatbatch, Inc. (b) 7,048 118 Haemonetics Corp. (b) 6,092 557 Hologic, Inc. (b) 8,277 501 Hospira, Inc. (b) 16,468 202 ICU Medical, Inc. (b) 7,595 105 IDEXX Laboratories, Inc. (b) 4,127 435 Immucor, Inc. (b) 7,086 64 Integra LifeSciences Holdings (b) 1,653 152 Kensey Nash Corp. (b) 3,183 345 Kinetic Concepts, Inc. (b) 8,542 377 Masimo Corp. (b) 10,895 170 Medtronic, Inc. 5,440 217 Neogen Corp. (b) 4,919 206 ResMed, Inc. (b) 7,921 551 St. Jude Medical, Inc. (b) 18,470 251 Symmetry Medical, Inc. (b) 1,822 425 Thoratec Corp. (b) 12,351 99 West Pharmaceutical Services, Inc. 3,232 ----------- 257,381 ----------- HEALTH CARE PROVIDERS & SERVICES -- 5.4% 281 Air Methods Corp. (b) 7,460 118 Amedisys, Inc. (b) 3,958 100 AmSurg Corp. (b) 2,054 See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 227 Bio-Reference Laboratories, Inc. (b) $ 5,827 408 Catalyst Health Solutions, Inc. (b) 9,200 166 Chemed Corp. 7,027 352 DaVita, Inc. (b) 16,322 108 Express Scripts, Inc. (b) 6,909 4,236 Health Management Associates, Inc., Class A (b) 19,782 364 Henry Schein, Inc. (b) 14,939 246 HMS Holdings Corp. (b) 7,375 264 Laboratory Corp. of America Holdings (b) 16,936 31 Landauer, Inc. 1,642 213 LHC Group, Inc. (b) 4,861 167 Lincare Holdings, Inc. (b) 4,030 222 Magellan Health Services, Inc. (b) 6,562 623 Medco Health Solutions, Inc. (b) 27,132 54 MEDNAX, Inc. (b) 1,939 426 Molina Healthcare, Inc. (b) 9,223 227 MWI Veterinary Supply, Inc. (b) 7,055 835 Odyssey HealthCare, Inc. (b) 8,651 595 Omnicare, Inc. 15,297 265 Patterson Cos., Inc. (b) 5,422 487 PharMerica Corp. (b) 8,888 331 PSS World Medical, Inc. (b) 4,806 421 Quest Diagnostics, Inc. 21,610 445 Res-Care, Inc. (b) 7,129 478 UnitedHealth Group, Inc. 11,242 485 VCA Antech, Inc. (b) 12,135 527 WellPoint, Inc. (b) 22,534 ----------- 297,947 ----------- HEALTH CARE TECHNOLOGY -- 0.7% 331 Cerner Corp. (b) 17,808 195 Computer Programs & Systems, Inc. 6,823 253 Phase Forward, Inc. (b) 3,608 179 Quality Systems, Inc. 9,598 ----------- 37,837 ----------- HOTELS, RESTAURANTS & LEISURE -- 4.1% 221 Buffalo Wild Wings, Inc. (b) 8,628 619 California Pizza Kitchen, Inc. (b) 9,724 250 CEC Entertainment, Inc. (b) 7,615 955 Cheesecake Factory (The), Inc. (b) 16,588 220 Chipotle Mexican Grill, Inc., Class A (b) 17,840 565 CKE Restaurants, Inc. 5,407 283 Cracker Barrel Old Country Store, Inc. 9,229 278 Jack in the Box, Inc. (b) 6,836 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 183 McDonald's Corp. $ 9,752 354 P.F. Chang's China Bistro, Inc. (b) 10,684 326 Panera Bread Co., Class A (b) 18,259 354 Papa John's International, Inc. (b) 9,395 300 Peet's Coffee & Tea, Inc. (b) 8,184 920 Pinnacle Entertainment, Inc. (b) 11,482 2,676 Ruth's Hospitality Group, Inc. (b) 9,687 1,391 Starbucks Corp. (b) 20,114 849 Texas Roadhouse, Inc., Class A (b) 9,662 3,621 Wendy's/Arby's Group, Inc., Class A 18,105 76 WMS Industries, Inc. (b) 2,440 562 Yum! Brands, Inc. 18,743 ----------- 228,374 ----------- HOUSEHOLD DURABLES -- 0.9% 1,031 D.R. Horton, Inc. 13,455 379 KB HOME 6,848 234 M.D.C. Holdings, Inc. 7,998 138 Meritage Homes Corp. (b) 2,872 9 NVR, Inc. (b) 4,548 915 Pulte Homes, Inc. 10,532 262 Universal Electronics, Inc. (b) 4,910 ----------- 51,163 ----------- HOUSEHOLD PRODUCTS -- 0.7% 209 Church & Dwight Co., Inc. 11,372 170 Colgate-Palmolive Co. 10,030 147 Energizer Holdings, Inc. (b) 8,423 108 Kimberly-Clark Corp. 5,307 66 WD-40 Co. 1,786 ----------- 36,918 ----------- INSURANCE -- 1.3% 39 American Physicians Capital, Inc. 1,625 211 Amerisafe, Inc. (b) 3,241 379 Aon Corp. 15,994 385 Brown & Brown, Inc. 7,492 405 eHealth, Inc. (b) 7,772 289 HCC Insurance Holdings, Inc. 6,913 47 Infinity Property & Casualty Corp. 1,656 69 Navigators Group (The), Inc. (b) 3,131 744 Progressive (The) Corp. (b) 11,368 32 RLI Corp. 1,537 263 Tower Group, Inc. 7,151 162 W.R. Berkley Corp. 3,874 ----------- 71,754 ----------- INTERNET & CATALOG RETAIL -- 1.6% 351 Amazon.com, Inc. (b) 28,263 52 Blue Nile, Inc. (b) 2,213 551 Expedia, Inc. (b) 7,499 424 NetFlix, Inc. (b) 19,211 See Notes to Quarterly Portfolio of Investments Page 59 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL (CONTINUED) 332 NutriSystem, Inc. $ 4,562 393 PetMed Express, Inc. (b) 6,390 185 Priceline.com, Inc. (b) 17,962 334 Stamps.com, Inc. (b) 3,126 ----------- 89,226 ----------- INTERNET SOFTWARE & SERVICES -- 2.0% 1,031 Akamai Technologies, Inc. (b) 22,703 268 comScore, Inc. (b) 3,420 247 DealerTrack Holdings, Inc. (b) 3,749 489 Digital River, Inc. (b) 18,787 57 Google, Inc., Class A (b) 22,570 217 j2 Global Communications, Inc. (b) 5,206 579 Knot (The), Inc. (b) 5,251 1,199 Perficient, Inc. (b) 8,357 355 United Online, Inc. 1,881 856 ValueClick, Inc. (b) 9,074 265 VeriSign, Inc. (b) 5,454 132 Websense, Inc. (b) 2,354 ----------- 108,806 ----------- IT SERVICES -- 4.4% 538 Affiliated Computer Services, Inc., Class A (b) 26,028 284 Automatic Data Processing, Inc. 9,997 783 Broadridge Financial Solutions, Inc. 15,151 177 CACI International, Inc., Class A (b) 7,000 1,239 Cognizant Technology Solutions Corp., Class A (b) 30,715 454 CSG Systems International, Inc. (b) 6,583 547 Cybersource Corp. (b) 7,992 549 Fiserv, Inc. (b) 20,489 77 Forrester Research, Inc. (b) 1,956 327 Global Payments, Inc. 10,484 367 Hewitt Associates, Inc., Class A (b) 11,509 261 ManTech International Corp., Class A (b) 9,446 119 MasterCard, Inc., Class A 21,830 730 Metavante Technologies, Inc. (b) 17,221 435 NeuStar, Inc., Class A (b) 8,269 195 Paychex, Inc. 5,267 976 SAIC, Inc. (b) 17,666 724 Total System Services, Inc. 9,028 260 Wright Express Corp. (b) 5,949 ----------- 242,580 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.2% 118 Pool Corp. 2,107 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE EQUIPMENT & PRODUCTS (CONTINUED) 657 Sturm Ruger & Co., Inc. $ 8,088 ----------- 10,195 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 111 Bio-Rad Laboratories, Inc., Class A (b) 7,735 69 Dionex Corp. (b) 4,347 616 Life Technologies Corp. (b) 22,977 269 Millipore Corp. (b) 15,898 67 TECHNE Corp. 3,834 135 Waters Corp. (b) 5,963 ----------- 60,754 ----------- MACHINERY -- 1.2% 181 Astec Industries, Inc. (b) 5,578 144 CIRCOR International, Inc. 3,705 129 CLARCOR, Inc. 4,009 285 Danaher Corp. 16,655 136 Donaldson Co., Inc. 4,487 167 ESCO Technologies, Inc. (b) 6,944 149 Gardner Denver, Inc. (b) 3,966 171 Joy Global, Inc. 4,361 219 Mueller Industries, Inc. 4,812 194 PACCAR, Inc. 6,875 64 Valmont Industries, Inc. 4,082 ----------- 65,474 ----------- MEDIA -- 1.0% 1,130 DIRECTV Group (The), Inc. (b) 27,945 122 John Wiley & Sons, Inc., Class A 4,136 412 Marvel Entertainment, Inc. (b) 12,294 219 McGraw-Hill (The) Cos., Inc. 6,603 288 Viacom, Inc., Class B (b) 5,541 ----------- 56,519 ----------- METALS & MINING -- 1.6% 177 A.M. Castle & Co. 1,715 342 Brush Engineered Materials, Inc. (b) 5,787 262 Freeport-McMoRan Copper & Gold, Inc. 11,174 575 Newmont Mining Corp. 23,138 524 Nucor Corp. 21,322 553 Reliance Steel & Aluminum Co. 19,482 414 Steel Dynamics, Inc. 5,154 ----------- 87,772 ----------- MULTILINE RETAIL -- 2.6% 1,577 99 Cents Only Stores (b) 16,937 1,240 Big Lots, Inc. (b) 34,273 409 Dollar Tree, Inc. (b) 17,317 772 Family Dollar Stores, Inc. 25,623 See Notes to Quarterly Portfolio of Investments Page 60 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 609 Kohl's Corp. (b) $ 27,618 109 Sears Holdings Corp. (b) 6,809 449 Target Corp. 18,526 ----------- 147,103 ----------- OFFICE ELECTRONICS -- 0.1% 383 Zebra Technologies Corp., Class A (b) 8,139 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.6% 514 Anadarko Petroleum Corp. 22,133 586 Chesapeake Energy Corp. 11,550 383 Chevron Corp. 25,316 122 Comstock Resources, Inc. (b) 4,204 128 ConocoPhillips 5,248 735 Denbury Resources, Inc. (b) 11,966 313 Encore Acquisition Co. (b) 9,136 294 Exxon Mobil Corp. 19,601 1,139 Frontier Oil Corp. 14,477 369 Hess Corp. 20,218 382 Holly Corp. 8,007 447 Murphy Oil Corp. 21,326 321 Newfield Exploration Co. (b) 10,009 486 Range Resources Corp. 19,425 868 Southwestern Energy Co. (b) 31,127 378 Sunoco, Inc. 10,021 256 World Fuel Services Corp. 9,761 ----------- 253,525 ----------- PERSONAL PRODUCTS -- 0.3% 483 Alberto-Culver Co. 10,766 28 Chattem, Inc. (b) 1,538 1,425 Mannatech, Inc. 6,227 ----------- 18,531 ----------- PHARMACEUTICALS -- 2.8% 324 Abbott Laboratories 13,559 419 Allergan, Inc. 19,551 412 Endo Pharmaceuticals Holdings, Inc. (b) 6,815 95 Johnson & Johnson 4,974 589 Medicis Pharmaceutical Corp., Class A 9,465 1,921 Mylan, Inc. (b) 25,453 500 Noven Pharmaceuticals, Inc. (b) 5,160 147 Perrigo Co. 3,810 499 Salix Pharmaceuticals Ltd. (b) 5,489 746 Sepracor, Inc. (b) 10,601 205 Valeant Pharmaceuticals International (b) 3,436 828 Watson Pharmaceuticals, Inc. (b) 25,618 465 Wyeth 19,716 ----------- 153,647 ----------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.1% 201 Dun & Bradstreet (The) Corp. $ 16,361 205 Equifax, Inc. 5,978 221 FTI Consulting, Inc. (b) 12,128 279 Navigant Consulting, Inc. (b) 4,104 280 Robert Half International, Inc. 6,726 192 TrueBlue, Inc. (b) 1,864 295 Watson Wyatt Worldwide, Inc., Class A 15,650 ----------- 62,811 ----------- ROAD & RAIL -- 0.6% 320 Heartland Express, Inc. 4,784 302 J.B. Hunt Transport Services, Inc. 8,492 313 Knight Transportation, Inc. 5,534 218 Landstar System, Inc. 7,763 202 Old Dominion Freight Line, Inc. (b) 5,686 ----------- 32,259 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 320 Actel Corp. (b) 3,958 3,279 Advanced Micro Devices, Inc. (b) 11,837 881 Altera Corp. 14,369 4,014 Atmel Corp. (b) 15,414 102 ATMI, Inc. (b) 1,611 1,289 Broadcom Corp., Class A (b) 29,892 774 Cree, Inc. (b) 21,200 145 Cymer, Inc. (b) 4,119 305 Diodes, Inc. (b) 4,538 1,038 Exar Corp. (b) 6,384 102 FEI Co. (b) 1,752 152 Hittite Microwave Corp. (b) 5,648 2,792 Kopin Corp. (b) 7,678 604 Kulicke & Soffa Industries, Inc. (b) 2,416 1,645 LSI Corp. (b) 6,317 460 Micrel, Inc. 3,450 108 MKS Instruments, Inc. (b) 1,690 601 Novellus Systems, Inc. (b) 10,854 507 NVIDIA Corp. (b) 5,820 649 Pericom Semiconductor Corp. (b) 5,783 1,364 Semtech Corp. (b) 19,669 552 Silicon Laboratories, Inc. (b) 18,360 1,004 Skyworks Solutions, Inc. (b) 8,875 140 Supertex, Inc. (b) 3,601 648 Ultratech, Inc. (b) 8,761 73 Varian Semiconductor Equipment Associates, Inc. (b) 1,868 522 Xilinx, Inc. 10,670 ----------- 236,534 ----------- SOFTWARE -- 6.7% 971 ACI Worldwide, Inc. (b) 16,769 234 Adobe Systems, Inc. (b) 6,400 See Notes to Quarterly Portfolio of Investments Page 61 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 437 Advent Software, Inc. (b) $ 14,526 290 ANSYS, Inc. (b) 8,010 136 Blackbaud, Inc. 2,070 781 BMC Software, Inc. (b) 27,077 568 CA, Inc. 9,798 681 Catapult Communications Corp. (b) 5,033 683 Citrix Systems, Inc. (b) 19,486 432 Commvault Systems, Inc. (b) 5,378 759 Compuware Corp. (b) 5,677 261 Ebix, Inc. (b) 7,256 275 Electronic Arts, Inc. (b) 5,596 415 Epicor Software Corp. (b) 2,291 449 EPIQ Systems, Inc. (b) 6,946 292 FactSet Research Systems, Inc. 15,648 488 Informatica Corp. (b) 7,759 741 Intuit, Inc. (b) 17,139 1,024 Macrovision Solutions Corp. (b) 20,705 187 Manhattan Associates, Inc. (b) 3,108 597 McAfee, Inc. (b) 22,411 173 Micros Systems, Inc. (b) 3,630 272 Microsoft Corp. 5,511 2,348 Novell, Inc. (b) 8,829 1,107 Oracle Corp. 21,409 306 Salesforce.com, Inc. (b) 13,100 1,238 Smith Micro Software, Inc. (b) 10,647 167 SPSS, Inc. (b) 5,160 601 Sybase, Inc. (b) 20,410 1,339 Symantec Corp. (b) 23,098 703 Synopsys, Inc. (b) 15,311 401 Taleo Corp., Class A (b) 4,816 553 Tyler Technologies, Inc. (b) 9,125 569 Wind River Systems, Inc. (b) 4,171 ----------- 374,300 ----------- SPECIALTY RETAIL -- 8.0% 304 Aaron's, Inc. 10,202 443 Advance Auto Parts, Inc. 19,381 686 Aeropostale, Inc. (b) 23,303 158 AutoZone, Inc. (b) 26,290 624 Bed Bath & Beyond, Inc. (b) 18,982 679 Best Buy Co., Inc. 26,060 254 Buckle (The), Inc. 9,492 2,714 Chico's FAS, Inc. (b) 20,735 296 Children's Place Retail Stores (The), Inc. (b) 8,418 511 Dick's Sporting Goods, Inc. (b) 9,709 527 Dress Barn (The), Inc. (b) 7,979 919 GameStop Corp., Class A (b) 27,717 518 Guess?, Inc. 13,489 74 Gymboree (The) Corp. (b) 2,546 421 Hibbett Sports, Inc. (b) 8,778 849 Home Depot (The), Inc. 22,346 723 Hot Topic, Inc. (b) 8,849 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 276 J. Crew Group, Inc. (b) $ 4,750 291 Jos. A. Bank Clothiers, Inc. (b) 11,768 736 O'Reilly Automotive, Inc. (b) 28,594 869 PetSmart, Inc. 19,883 508 Ross Stores, Inc. 19,273 297 Sherwin-Williams (The) Co. 16,822 1,422 Staples, Inc. 29,322 1,005 TJX (The) Cos., Inc. 28,110 225 Tractor Supply Co. (b) 9,085 223 Urban Outfitters, Inc. (b) 4,346 489 Zumiez, Inc. (b) 5,897 ----------- 442,126 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 344 Carter's, Inc. (b) 7,355 1,329 CROCS, Inc. (b) 2,990 101 Fossil, Inc. (b) 2,036 173 Maidenform Brands, Inc. (b) 2,206 213 NIKE, Inc., Class B 11,176 610 Timberland (The) Co., Class A (b) 9,906 274 True Religion Apparel, Inc. (b) 4,318 334 Volcom, Inc. (b) 4,506 455 Warnaco Group (The), Inc. (b) 13,122 ----------- 57,615 ----------- THRIFTS & MORTGAGE FINANCE -- 0.1% 621 NewAlliance Bancshares, Inc. 8,017 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 156 Fastenal Co. 5,984 117 MSC Industrial Direct Co., Inc., Class A 4,779 220 W.W. Grainger, Inc. 18,454 ----------- 29,217 ----------- WATER UTILITIES -- 0.1% 364 Aqua America, Inc. 6,679 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 508 American Tower Corp., Class A (b) 16,134 1,156 Syniverse Holdings, Inc. (b) 14,566 ----------- 30,700 ----------- TOTAL COMMON STOCKS -- 100.1% (Cost $5,246,404) 5,552,323 MONEY MARKET FUND -- 0.5% 27,406 Morgan Stanley Institutional Treasury Money Market Fund- 0.05% (c) (Cost $27,406) 27,406 ----------- See Notes to Quarterly Portfolio of Investments Page 62 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- TOTAL INVESTMENTS -- 100.6% (Cost $5,273,810) (d) $ 5,579,729 NET OTHER ASSETS AND LIABILITIES -- (0.6)% (31,316) ----------- NET ASSETS -- 100.0% $ 5,548,413 =========== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $521,832 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $215,913. - ------------------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). VALUATION INPUTS INVESTMENTS - ------------------------------------------------------------ Level 1 - Quoted Prices - Investments $ 5,579,729 Level 2 - Other Significant Observable Inputs - Level 3 - Significant Unobservable Inputs - ------------ Total $ 5,579,729 ============ See Notes to Quarterly Portfolio of Investments Page 63 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS APRIL 30, 2009 (UNAUDITED) 1. Valuation and Investment Practices A. Portfolio Valuation: First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company that currently consists of sixteen exchange-traded funds (each a "Fund" or collectively, the "Funds") as follows: 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 First Trust Multi Cap Growth AlphaDEX(R) Fund Each Fund's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended (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 whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its 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. The three levels of the fair value hierarchy under FAS 157 are described below: 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 the Funds' own assumption 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 net assets as of April 30, 2009 is included within each Fund's Portfolio of Investments. In April 2009, FASB issued FASB Staff Position No. 157-4, "Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 also includes guidance on identifying circumstances that indicate a transaction is not orderly. Management is currently evaluating the impact the implementation of FSP 157-4 will have on the Funds' financial statement disclosures, if any. B. Securities Transactions: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Page 64 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ADDITIONAL INFORMATION APRIL 30, 2009 (UNAUDITED) Licensing Information Each of the StrataQuant(R) Consumer Discretionary Index, StrataQuant(R) Consumer Staples Index, StrataQuant(R) Energy Index, StrataQuant(R) Financials Index, StrataQuant(R) Health Care Index, StrataQuant(R) Industrials Index, StrataQuant(R) Materials Index, StrataQuant(R) Technology Index and StrataQuant(R) Utilities Index (the "StrataQuant(R) Series") is a registered trademark of the NYSE Euronext or its affiliates ("NYSE Euronext") and is licensed for use by First Trust Portfolios L.P. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by NYSE Euronext. NYSE Euronext makes no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of investing in securities generally or the Funds particularly or as to the result to be obtained by any person from the use of the StrataQuant(R) Series in connection with the trading of the Funds. Each of the Defined Large Cap Core Index, Defined Mid Cap Core Index, Defined Small Cap Core Index, Defined Large Cap Value Opportunities Index, Defined Large Cap Growth Opportunities Index, Defined Multi Cap Value Index and Defined Multi Cap Growth Index (the "Defined Series") is the exclusive property of Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Series. 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. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by S&P and S&P does not make any representation regarding the advisability of investing in the Funds. ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ------------------------------------------------ By: /s/ James A. Bowen --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 18, 2009 --------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 18, 2009 --------------------------------------------------------- By: /s/ Mark R. Bradley ---------------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: June 18, 2009 --------------------------------------------------------- EX-99.CERT 2 certifications.txt RULE 30A-2(A) CERTIFICATIONS CERTIFICATIONS 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-Q 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 18, 2009 ---------------------- /s/ James A. Bowen ------------------------------------------------ James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 18, 2009 ------------------- /s/ Mark R. Bradley --------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----