N-Q 1 adex_nq.txt QUARTERLY PORTFOLIO OF INVESTMENTS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22019 ------------------- 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: October 31, 2010 -------------------- 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) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 8.6% 57,645 Autoliv, Inc. $ 4,110,088 71,565 BorgWarner, Inc. (b) 4,015,512 199,147 Federal Mogul Corp. (b) 3,949,085 74,116 Gentex Corp. 1,480,838 74,081 Johnson Controls, Inc. 2,601,725 47,703 Lear Corp. (b) 4,216,945 90,622 TRW Automotive Holdings Corp. (b) 4,140,519 ------------ 24,514,712 ------------ AUTOMOBILES -- 3.0% 307,682 Ford Motor Co. (b) 4,347,547 25,430 Harley-Davidson, Inc. 780,192 112,755 Thor Industries, Inc. 3,550,655 ------------ 8,678,394 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.5% 114,680 KAR Auction Services, Inc. (b) 1,477,078 ------------ DISTRIBUTORS -- 0.8% 16,206 Genuine Parts Co. 775,619 69,531 LKQ Corp. (b) 1,511,604 ------------ 2,287,223 ------------ DIVERSIFIED CONSUMER SERVICES -- 2.1% 197,011 Education Management Corp. (b) 2,364,132 111,680 H&R Block, Inc. 1,316,707 83,877 Service Corp. International 694,502 46,361 Weight Watchers International, Inc. 1,552,630 ------------ 5,927,971 ------------ FOOD & STAPLES RETAILING -- 2.5% 69,688 BJ's Wholesale Club, Inc. (b) 2,908,080 44,841 Costco Wholesale Corp. 2,814,670 27,025 Wal-Mart Stores, Inc. 1,463,944 ------------ 7,186,694 ------------ HOTELS, RESTAURANTS & LEISURE -- 11.7% 76,669 Brinker International, Inc. 1,421,443 37,844 Carnival Corp. 1,633,726 16,808 Chipotle Mexican Grill, Inc. (b) 3,533,210 16,909 Darden Restaurants, Inc. 772,910 59,265 International Speedway Corp., Class A 1,353,613 108,061 Las Vegas Sands Corp. (b) 4,957,839 63,060 Marriott International, Inc., Class A 2,336,373 19,416 McDonald's Corp. 1,509,982 32,648 Panera Bread Co., Class A (b) 2,922,322 71,674 Royal Caribbean Cruises Ltd. (b) 2,833,990 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 28,272 Starbucks Corp. $ 805,187 43,009 Starwood Hotels & Resorts Worldwide, Inc. 2,328,507 159,623 Wendy's/Arby's Group, Inc., Class A 734,266 26,331 Wyndham Worldwide Corp. 757,016 26,048 Wynn Resorts Ltd. 2,791,564 49,062 Yum! Brands, Inc. 2,431,513 ------------ 33,123,461 ------------ HOUSEHOLD DURABLES -- 5.1% 29,370 Fortune Brands, Inc. 1,587,448 95,306 Garmin Ltd. 3,129,849 21,648 Harman International Industries, Inc. (b) 726,290 31,772 Leggett & Platt, Inc. 647,513 42,402 Mohawk Industries, Inc. (b) 2,431,331 40,601 Newell Rubbermaid, Inc. 716,608 46,648 Tempur-Pedic International, Inc. (b) 1,609,356 31,596 Tupperware Brands Corp. 1,415,817 27,918 Whirlpool Corp. 2,117,022 ------------ 14,381,234 ------------ INTERNET & CATALOG RETAIL -- 5.9% 23,975 Amazon.com, Inc. (b) 3,959,232 80,093 Expedia, Inc. 2,318,692 164,808 Liberty Media Corp. - Interactive, Class A (b) 2,432,566 23,229 Netflix, Inc. (b) 4,030,231 10,805 priceline.com, Inc. (b) 4,071,432 ------------ 16,812,153 ------------ INTERNET SOFTWARE & SERVICES -- 1.0% 92,606 eBay, Inc. (b) 2,760,585 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.3% 50,763 Hasbro, Inc. 2,347,789 61,649 Mattel, Inc. 1,438,271 ------------ 3,786,060 ------------ MACHINERY -- 1.5% 89,793 WABCO Holdings, Inc. (b) 4,168,191 ------------ MEDIA -- 17.3% 182,364 CBS Corp., Class B 3,087,423 159,973 Comcast Corp., Class A 3,292,244 90,459 DIRECTV, Class A (b) 3,931,348 66,416 Discovery Communications, Inc., Class A (b) 2,962,818 37,742 DISH Network Corp., Class A 749,556 See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 307,938 Gannett Co., Inc. $ 3,649,065 288,353 Interpublic Group of Cos. (The), Inc. (b) 2,984,454 17,693 John Wiley & Sons, Inc., Class A 763,630 11,137 Liberty Media Corp. - Starz, Series A (b) 729,696 137,213 Madison Square Garden, Inc., Class A (b) 2,852,658 21,863 McGraw-Hill (The) Cos., Inc. 823,142 21,709 Meredith Corp. 737,021 186,836 New York Times (The) Co., Class A (b) 1,433,032 173,010 News Corp., Class A 2,501,725 18,312 Omnicom Group, Inc. 804,995 47,495 Scripps Networks Interactive, Class A 2,417,021 3,138,308 Sirius XM Radio, Inc. (b) 4,691,770 26,784 Time Warner Cable, Inc. 1,549,990 94,373 Time Warner, Inc. 3,068,066 39,962 Viacom, Inc., Class B 1,542,134 43,684 Walt Disney (The) Co. 1,577,429 7,242 Washington Post (The) Co., Class B 2,912,370 ------------ 49,061,587 ------------ MULTILINE RETAIL -- 7.5% 21,746 Big Lots, Inc. (b) 682,172 77,231 Dollar Tree, Inc. (b) 3,962,723 85,285 Family Dollar Stores, Inc. 3,937,608 53,208 J. C. Penney Co., Inc. 1,659,025 42,889 Kohl's Corp. (b) 2,195,917 125,267 Macy's, Inc. 2,961,312 60,745 Nordstrom, Inc. 2,339,290 31,313 Sears Holdings Corp. (b) 2,253,910 27,063 Target Corp. 1,405,652 ------------ 21,397,609 ------------ PERSONAL PRODUCTS -- 1.1% 22,509 Avon Products, Inc. 685,399 35,727 Estee Lauder (The) Cos., Inc., Class A 2,542,691 ------------ 3,228,090 ------------ ROAD & RAIL -- 0.3% 68,283 Hertz Global Holdings, Inc. (b) 772,964 ------------ SPECIALTY RETAIL -- 23.6% 204,118 Aaron's, Inc. 3,849,666 18,382 Abercrombie & Fitch Co., Class A 787,853 49,279 Advance Auto Parts, Inc. 3,202,149 151,031 American Eagle Outfitters, Inc. 2,418,006 161,973 AutoNation, Inc. (b) 3,761,013 12,633 AutoZone, Inc. (b) 3,001,980 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 33,318 Bed Bath & Beyond, Inc. (b) $ 1,462,660 55,347 Best Buy Co., Inc. 2,378,814 135,172 CarMax, Inc. (b) 4,188,980 103,139 Dick's Sporting Goods, Inc. (b) 2,972,466 49,764 Foot Locker, Inc. 792,741 191,078 GameStop Corp., Class A (b) 3,756,594 155,173 Gap (The), Inc. 2,949,839 17,786 Guess?, Inc. 692,231 22,815 Home Depot (The), Inc. 704,527 108,004 Limited Brands, Inc. 3,174,238 64,879 Lowe's Cos., Inc. 1,383,869 54,374 O'Reilly Automotive, Inc. (b) 3,180,879 82,629 PetSmart, Inc. 3,092,803 105,928 RadioShack Corp. 2,132,331 26,475 Ross Stores, Inc. 1,561,760 91,118 Signet Jewelers Ltd. (b) 3,205,531 48,093 Tiffany & Co. 2,548,929 50,635 TJX (The) Cos., Inc. 2,323,640 94,947 Tractor Supply Co. 3,759,901 118,797 Williams-Sonoma, Inc. 3,845,459 ------------ 67,128,859 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 5.0% 52,598 Coach, Inc. 2,629,900 70,007 Fossil, Inc. (b) 4,129,713 27,966 Hanesbrands, Inc. (b) 693,557 18,039 NIKE, Inc., Class B 1,469,096 48,084 Phillips-Van Heusen Corp. 2,949,473 16,091 Polo Ralph Lauren Corp. 1,558,896 8,918 VF Corp. 742,334 ------------ 14,172,969 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.1% 73,619 WESCO International, Inc. (b) 3,152,366 ------------ TOTAL COMMON STOCKS -- 99.9% (Cost $256,456,417) 284,018,200 MONEY MARKET FUND -- 0.1% 150,299 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 150,299 (Cost $150,299) ------------- TOTAL INVESTMENTS -- 100.0% 284,168,499 (Cost $256,606,716) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (93,612) ------------- NET ASSETS -- 100.0% $ 284,074,887 ============= See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $30,637,343 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,075,560. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $284,018,200 $ -- $ -- Money Market Fund 150,299 -- -- ----------------------------------------- TOTAL INVESTMENTS $284,168,499 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 11.3% 48,535 Coca-Cola Enterprises, Inc. $ 1,165,325 22,591 Hansen Natural Corp. (b) 1,156,885 22,304 Molson Coors Brewing Co., Class B 1,053,418 3,963 PepsiCo, Inc. 258,784 ------------ 3,634,412 ------------ FOOD & STAPLES RETAILING -- 18.3% 47,809 CVS Caremark Corp. 1,440,007 41,677 Kroger (The) Co. 916,894 130,491 SUPERVALU, Inc. 1,407,998 9,231 Sysco Corp. 271,945 26,947 Walgreen Co. 912,964 24,326 Whole Foods Market, Inc. (b) 966,959 ------------ 5,916,767 ------------ FOOD PRODUCTS -- 48.4% 47,135 Archer-Daniels-Midland Co. 1,570,538 25,433 Bunge Ltd. 1,527,760 24,002 ConAgra Foods, Inc. 539,805 28,086 Corn Products International, Inc. 1,195,059 103,154 Dean Foods Co. (b) 1,072,802 80,334 Del Monte Foods Co. 1,151,990 21,199 Flowers Foods, Inc. 540,151 33,767 Green Mountain Coffee Roasters, Inc. (b) 1,113,973 11,116 H. J. Heinz Co. 545,907 5,533 Hershey (The) Co. 273,828 11,807 Hormel Foods Corp. 542,177 14,914 J.M. Smucker (The) Co. 958,672 8,533 Kraft Foods, Inc., Class A 275,360 21,473 McCormick & Co., Inc. 949,536 9,253 Mead Johnson Nutrition Co. 544,261 18,010 Ralcorp Holdings, Inc. (b) 1,117,701 19,606 Sara Lee Corp. 280,954 53,638 Smithfield Foods, Inc. (b) 898,437 32,871 Tyson Foods, Inc., Class A 511,144 ------------ 15,610,055 ------------ HOUSEHOLD PRODUCTS -- 4.3% 7,833 Energizer Holdings, Inc. (b) 585,752 8,095 Kimberly-Clark Corp. 512,737 4,390 Procter & Gamble (The) Co. 279,072 ------------ 1,377,561 ------------ PERSONAL PRODUCTS -- 9.5% 39,962 Alberto-Culver Co. 1,490,183 24,930 Herbalife Ltd. 1,592,030 ------------ 3,082,213 ------------ TOBACCO -- 8.1% 43,846 Altria Group, Inc. 1,114,565 3,278 Lorillard, Inc. 279,745 16,115 Philip Morris International, Inc. 942,727 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TOBACCO (CONTINUED) 4,434 Reynolds American, Inc. $ 287,767 ------------ 2,624,804 ------------ 32,245,812 TOTAL COMMON STOCKS -- 99.9% (Cost $30,095,815) MONEY MARKET FUND -- 0.2% 48,242 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 48,242 (Cost $48,242) ------------ TOTAL INVESTMENTS -- 100.1% 32,294,054 (Cost $30,144,057) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (28,883) ------------ NET ASSETS -- 100.0 $ 32,265,171 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,552,932 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $402,935. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $32,245,812 $ -- $ -- Money Market Fund 48,242 -- -- ----------------------------------------- TOTAL INVESTMENTS $32,294,054 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 33.7% 50,962 Ttwood Oceanics, Inc. (b) $ 1,656,775 6,620 Cameron International Corp. (b) 289,625 7,054 Core Laboratories N.V. 548,590 22,901 Diamond Offshore Drilling, Inc. 1,515,130 7,715 Dresser-Rand Group, Inc. (b) 264,007 40,999 Exterran Holdings, Inc. (b) 1,031,945 9,087 FMC Technologies, Inc. (b) 655,173 18,772 Halliburton Co. 598,076 23,016 Helmerich & Payne, Inc. 984,624 51,556 Nabors Industries Ltd. (b) 1,077,520 27,916 National Oilwell Varco, Inc. 1,500,764 17,287 Oceaneering International, Inc. (b) 1,069,547 26,667 Oil States International, Inc. (b) 1,363,217 16,660 Patterson-UTI Energy, Inc. 323,371 51,116 Rowan Cos., Inc. (b) 1,681,716 14,579 SEACOR Holdings, Inc. (b) 1,381,360 23,260 Superior Energy Services, Inc. (b) 642,441 41,619 Unit Corp. (b) 1,632,713 ------------ 18,216,594 ------------ METALS & MINING -- 0.6% 3,498 Walter Energy, Inc. 307,684 ------------ OIL, GAS & CONSUMABLE FUELS -- 64.0% 15,083 Alpha Natural Resources, Inc. (b) 681,299 16,321 Anadarko Petroleum Corp. 1,004,884 15,877 Apache Corp. 1,603,895 46,483 Arch Coal, Inc. 1,143,017 9,937 Atlas Energy, Inc. (b) 289,365 20,619 Cabot Oil & Gas Corp. 597,539 41,109 Chesapeake Energy Corp. 892,065 19,147 Chevron Corp. 1,581,734 41,402 Comstock Resources, Inc. (b) 925,335 18,764 Concho Resources, Inc. (b) 1,288,524 27,020 ConocoPhillips 1,604,988 17,903 Denbury Resources, Inc. (b) 304,709 19,179 Devon Energy Corp. 1,247,019 22,981 El Paso Corp. 304,728 15,068 Exxon Mobil Corp. 1,001,570 41,803 Forest Oil Corp. (b) 1,284,606 26,247 Hess Corp. 1,654,348 43,185 Holly Corp. 1,413,445 46,882 Marathon Oil Corp. 1,667,593 25,619 Mariner Energy, Inc. (b) 638,425 25,064 Murphy Oil Corp. 1,633,170 16,209 Newfield Exploration Co. (b) 966,381 3,788 Noble Energy, Inc. 308,646 11,891 Occidental Petroleum Corp. 934,989 38,461 Petrohawk Energy Corp. (b) 654,222 9,545 Pioneer Natural Resources Co. 666,241 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 46,552 Plains Exploration & Production Co. (b) $ 1,297,404 41,194 QEP Resources, Inc. 1,360,638 22,578 Quicksilver Resources, Inc. (b) 337,993 33,140 SM Energy Co. 1,381,275 12,615 Spectra Energy Corp. 299,859 21,296 Tesoro Corp. 275,996 53,175 Valero Energy Corp. 954,491 16,250 Whiting Petroleum Corp. (b) 1,632,150 32,481 Williams (The) Cos., Inc. 698,991 ------------ 34,531,534 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 4,212 First Solar, Inc. (b) 579,908 19,756 SunPower Corp., Class A (b) 269,472 ------------ 849,380 ------------ 53,905,192 TOTAL COMMON STOCKS -- 99.9% (Cost $50,484,446) MONEY MARKET FUND -- 0.1% 58,316 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 58,316 (Cost $58,316) ------------ TOTAL INVESTMENTS -- 100.0% 53,963,508 (Cost $50,542,762) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (19,471) ------------ NET ASSETS -- 100.0% $ 53,944,037 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,054,030 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $633,284. See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $53,905,192 $ -- $ -- Money Market Fund 58,316 -- -- ----------------------------------------- TOTAL INVESTMENTS $53,963,508 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 12.5% 27,715 Affiliated Managers Group, Inc. (b) $ 2,372,681 57,086 Ameriprise Financial, Inc. 2,950,775 172,630 Ares Capital Corp. 2,889,826 3,056 BlackRock, Inc. 522,545 18,015 Eaton Vance Corp. 518,292 71,224 Federated Investors, Inc., Class B 1,774,190 15,167 Franklin Resources, Inc. 1,739,655 14,940 Goldman Sachs Group (The), Inc. 2,404,593 13,636 Greenhill & Co., Inc. 1,059,108 50,910 Invesco Ltd. 1,170,930 98,698 Janus Capital Group, Inc. 1,042,251 47,636 Jefferies Group, Inc. 1,139,929 46,214 Lazard Ltd., Class A 1,705,297 53,484 Legg Mason, Inc. 1,659,608 87,572 Morgan Stanley 2,177,916 10,842 Northern Trust Corp. 538,088 42,668 Raymond James Financial, Inc. 1,204,091 43,046 State Street Corp. 1,797,601 21,591 T. Rowe Price Group, Inc. 1,193,335 39,495 Waddell & Reed Financial, Inc., Class A 1,148,120 ------------ 31,008,831 ------------ COMMERCIAL BANKS -- 8.5% 36,881 BancorpSouth, Inc. 486,460 11,636 Bank of Hawaii Corp. 502,559 44,880 BB&T Corp. 1,050,641 35,912 BOK Financial Corp. 1,660,212 66,185 CIT Group, Inc. (b) 2,867,796 28,736 Commerce Bancshares, Inc. 1,058,634 9,713 Cullen/Frost Bankers, Inc. 509,350 132,764 East West Bancorp, Inc. 2,340,629 11,659 First Citizens BancShares, Inc., Class A 2,177,668 119,264 Fulton Financial Corp. 1,113,926 13,194 M&T Bank Corp. 986,251 41,636 PNC Financial Services Group, Inc. 2,244,180 20,247 SunTrust Banks, Inc. 506,580 66,737 TCF Financial Corp. 878,259 24,192 U.S. Bancorp 584,963 40,536 Valley National Bancorp 540,750 64,499 Wells Fargo & Co. 1,682,134 ------------ 21,190,992 ------------ CONSUMER FINANCE -- 3.0% 25,711 American Express Co. 1,065,978 68,314 Capital One Financial Corp. 2,546,063 97,168 Discover Financial Services 1,715,015 187,126 SLM Corp. (b) 2,226,799 ------------ 7,553,855 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 5.9% 82,435 Bank of America Corp. $ 943,056 134,067 Citigroup, Inc. (b) 559,059 6,218 CME Group, Inc. 1,801,044 30,386 Interactive Brokers Group, Inc., Class A (b) 568,826 5,000 IntercontinentalExchange, Inc. (b) 574,350 56,773 JPMorgan Chase & Co. 2,136,368 22,133 Leucadia National Corp. (b) 562,621 64,884 Moody's Corp. 1,755,761 32,544 MSCI, Inc., Class A (b) 1,166,703 111,229 NASDAQ OMX Group (The), Inc. (b) 2,338,034 75,652 NYSE Euronext 2,317,977 ------------ 14,723,799 ------------ INSURANCE -- 45.5% 46,377 ACE Ltd. 2,755,721 41,783 Aflac, Inc. 2,335,252 8,928 Alleghany Corp. (b) 2,682,685 47,745 Allied World Assurance Holdings Co. Ltd. 2,731,491 34,259 Allstate (The) Corp. 1,044,557 88,341 American Financial Group, Inc. 2,701,468 21,339 American National Insurance Co. 1,673,831 27,621 Aon Corp. 1,097,935 32,238 Arch Capital Group Ltd. (b) 2,785,041 61,472 Arthur J. Gallagher & Co. 1,731,052 89,209 Aspen Insurance Holdings Ltd. 2,530,859 53,108 Assurant, Inc. 2,099,890 157,889 Assured Guaranty Ltd. 3,007,785 82,026 Axis Capital Holdings Ltd. 2,789,704 13,067 Berkshire Hathaway, Inc., Class B (b) 1,039,611 80,289 Brown & Brown, Inc. 1,789,642 47,408 Chubb (The) Corp. 2,750,612 74,913 Cincinnati Financial Corp. 2,205,439 96,529 CNA Financial Corp. (b) 2,675,784 67,891 Endurance Specialty Holdings Ltd. 2,810,687 48,189 Erie Indemnity Co., Class A 2,755,447 24,994 Everest Re Group Ltd. 2,106,494 137,571 Fidelity National Financial, Inc., Class A 1,842,076 42,785 Genworth Financial, Inc., Class A (b) 485,182 34,481 Hanover Insurance Group, Inc. 1,560,265 94,172 Hartford Financial Services Group (The), Inc. 2,258,245 103,545 HCC Insurance Holdings, Inc. 2,741,872 90,364 Lincoln National Corp. 2,212,111 57,037 Loews Corp. 2,251,821 3,147 Markel Corp. (b) 1,054,308 See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 21,683 Marsh & McLennan Cos., Inc. $ 541,641 66,111 Mercury General Corp. 2,808,395 28,112 MetLife, Inc. 1,133,757 37,746 Old Republic International Corp. 498,247 151,250 OneBeacon Insurance Group Ltd., Class A 2,129,600 33,693 PartnerRe Ltd. 2,672,529 62,541 Principal Financial Group, Inc. 1,678,600 51,780 Progressive (The) Corp. 1,095,665 99,315 Protective Life Corp. 2,380,581 49,867 Prudential Financial, Inc. 2,622,007 44,763 Reinsurance Group of America, Inc. 2,241,283 45,043 RenaissanceRe Holdings Ltd. 2,714,291 71,084 StanCorp Financial Group, Inc. 3,049,504 206,625 Symetra Financial Corp. 2,283,206 40,662 Torchmark Corp. 2,329,119 53,167 Transatlantic Holdings, Inc. 2,796,584 51,848 Travelers (The) Cos., Inc. 2,862,010 110,765 Unitrin, Inc. 2,691,589 97,586 Unum Group 2,187,878 102,482 Validus Holdings Ltd. 2,906,390 79,851 W. R. Berkley Corp. 2,197,500 1,459 Wesco Financial Corp. 530,201 5,265 White Mountains Insurance Group Ltd. 1,680,588 24,152 XL Group PLC 510,815 ------------ 113,048,847 ------------ IT SERVICES -- 5.5% 24,846 Alliance Data Systems Corp. (b) 1,508,649 94,498 Broadridge Financial Solutions, Inc. 2,078,956 84,607 CoreLogic, Inc. 1,486,545 39,832 Fidelity National Information Services, Inc. 1,079,447 30,113 Fiserv, Inc. (b) 1,641,761 25,203 Global Payments, Inc. 981,909 15,721 Lender Processing Services, Inc. 453,394 2,320 MasterCard, Inc., Class A 556,939 177,280 Total System Services, Inc. 2,767,341 61,161 Western Union Co. 1,076,433 ------------ 13,631,374 ------------ MEDIA -- 0.2% 13,917 Thomson Reuters Corp. 532,325 ------------ PROFESSIONAL SERVICES -- 1.8% 7,038 Dun & Bradstreet (The) Corp. 523,698 51,965 Equifax, Inc. 1,721,600 31,791 IHS, Inc., Class A (b) 2,296,582 ------------ 4,541,880 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 11.6% 19,762 AMB Property Corp. $ 557,091 122,791 Annaly Capital Management, Inc. 2,174,629 75,805 Apartment Investment & Management Co., Class A 1,767,015 42,689 Brandywine Realty Trust 510,987 683,935 Chimera Investment Corp. 2,804,134 42,220 CommonWealth REIT 1,074,499 35,037 Digital Realty Trust, Inc. 2,092,760 34,072 Equity Residential 1,656,921 14,814 Essex Property Trust, Inc. 1,673,390 19,856 Federal Realty Investment Trust 1,627,795 103,904 General Growth Properties, Inc. 1,745,587 48,400 Hospitality Properties Trust 1,104,004 27,640 Piedmont Office Realty Trust, Inc., Class A 521,567 5,392 Public Storage 534,994 32,332 Rayonier, Inc. 1,687,730 22,237 Senior Housing Properties Trust 531,242 17,470 Simon Property Group, Inc. 1,677,469 8,263 SL Green Realty Corp. 543,044 51,157 UDR, Inc. 1,150,009 20,959 Ventas, Inc. 1,122,564 25,276 Vornado Realty Trust 2,208,870 ------------ 28,766,301 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.8% 147,780 CB Richard Ellis Group, Inc., Class A (b) 2,711,763 126,339 Forest City Enterprises, Inc., Class A (b) 1,843,286 31,300 Jones Lang LaSalle, Inc. 2,443,278 ------------ 6,998,327 ------------ SOFTWARE -- 0.7% 19,974 FactSet Research Systems, Inc. 1,753,318 ------------ THRIFTS & MORTGAGE FINANCE -- 1.9% 44,885 First Niagara Financial Group, Inc. 531,887 132,206 Hudson City Bancorp, Inc. 1,540,200 66,507 New York Community Bancorp, Inc. 1,125,964 39,936 People's United Financial, Inc. 491,612 70,823 Washington Federal, Inc. 1,064,470 ------------ 4,754,133 ------------ See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $248,503,982 (Cost $238,127,521) MONEY MARKET FUND -- 0.1% 302,045 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 302,045 (Cost $302,045) ------------ TOTAL INVESTMENTS -- 100.0% 248,806,027 (Cost $238,429,566) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (66,854) ------------ NET ASSETS -- 100.0% $248,739,173 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,754,746 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,378,285. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $248,503,982 $ -- $ -- Money Market Fund 302,045 -- -- ----------------------------------------- TOTAL INVESTMENTS $248,806,027 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 15.2% 18,069 Alexion Pharmaceuticals, Inc. (b) $ 1,234,113 16,881 Amgen, Inc. (b) 965,424 16,577 Biogen Idec, Inc. (b) 1,039,544 10,406 BioMarin Pharmaceutical, Inc. (b) 272,221 18,624 Cephalon, Inc. (b) 1,237,379 28,240 Dendreon Corp. (b) 1,030,760 9,857 Genzyme Corp. (b) 710,985 7,807 Human Genome Sciences, Inc. (b) 209,852 33,954 Regeneron Pharmaceuticals, Inc. (b) 885,520 8,305 United Therapeutics Corp. (b) 498,300 ------------ 8,084,098 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 24.0% 2,789 Alcon, Inc. 467,771 22,559 Alere, Inc. (b) 666,618 4,875 Baxter International, Inc. 248,137 14,301 Beckman Coulter, Inc. 761,385 18,726 CareFusion Corp. (b) 452,046 25,160 Cooper (The) Cos., Inc. 1,241,394 17,344 Edwards Lifesciences Corp. (b) 1,108,455 4,799 Gen-Probe, Inc. (b) 232,416 32,402 Hill-Rom Holdings, Inc. 1,255,578 14,527 Hologic, Inc. (b) 232,723 4,080 Hospira, Inc. (b) 242,678 3,768 IDEXX Laboratories, Inc. (b) 225,929 31,791 Kinetic Concepts, Inc. (b) 1,209,012 34,631 Medtronic, Inc. 1,219,358 14,178 ResMed, Inc. (b) 451,853 12,289 Teleflex, Inc. 685,112 6,289 Thoratec Corp. (b) 205,273 15,377 Varian Medical Systems, Inc. (b) 972,134 17,778 Zimmer Holdings, Inc. (b) 843,388 ------------ 12,721,260 ------------ HEALTH CARE PROVIDERS & SERVICES -- 32.8% 36,789 Aetna, Inc. 1,098,520 30,343 AmerisourceBergen Corp. 995,857 14,260 Brookdale Senior Living, Inc. (b) 267,803 14,079 Cardinal Health, Inc. 488,401 19,501 CIGNA Corp. 686,240 30,040 Community Health Systems, Inc. (b) 903,603 54,013 Coventry Health Care, Inc. (b) 1,264,984 13,477 DaVita, Inc. (b) 966,975 8,735 Emergency Medical Services Corp., Class A (b) 475,009 14,327 Express Scripts, Inc. (b) 695,146 30,363 Health Management Associates, Inc., Class A (b) 243,208 7,941 Henry Schein, Inc. (b) 445,887 23,147 Humana, Inc. (b) 1,349,239 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 2,965 Laboratory Corp. of America Holdings (b) $ 241,114 33,169 LifePoint Hospitals, Inc. (b) 1,125,092 7,529 McKesson Corp. 496,763 13,091 MEDNAX, Inc. (b) 775,118 38,958 Omnicare, Inc. 939,667 13,825 Quest Diagnostics, Inc. 679,361 49,276 Tenet Healthcare Corp. (b) 214,843 33,122 UnitedHealth Group, Inc. 1,194,048 17,955 Universal Health Services, Inc., Class B 741,003 20,532 WellPoint, Inc. (b) 1,115,709 ------------ 17,403,590 ------------ HEALTH CARE TECHNOLOGY -- 2.3% 12,592 Allscripts Healthcare Solutions, Inc. (b) 240,381 25,509 SXC Health Solutions Corp. (b) 993,831 ------------ 1,234,212 ------------ INTERNET SOFTWARE & SERVICES -- 1.4% 13,991 WebMD Health Corp. (b) 731,449 ------------ LIFE SCIENCES TOOLS & SERVICES -- 6.4% 7,709 Bio-Rad Laboratories, Inc., Class A (b) 698,590 14,032 Charles River Laboratories International, Inc. (b) 459,829 14,182 Illumina, Inc. (b) 770,224 4,981 Life Technologies Corp. (b) 249,946 20,102 PerkinElmer, Inc. 471,392 14,573 Thermo Fisher Scientific, Inc. (b) 749,344 ------------ 3,399,325 ------------ PHARMACEUTICALS -- 17.8% 8,904 Abbott Laboratories 456,953 6,992 Allergan, Inc. 506,291 17,158 Bristol-Myers Squibb Co. 461,550 25,468 Eli Lilly & Co. 896,474 27,988 Endo Pharmaceuticals Holdings, Inc. (b) 1,028,279 15,039 Forest Laboratories, Inc. (b) 497,039 11,261 Johnson & Johnson 716,988 93,406 King Pharmaceuticals, Inc. (b) 1,320,761 31,592 Merck & Co., Inc. 1,146,158 12,365 Mylan, Inc. (b) 251,257 14,487 Perrigo Co. 954,403 40,638 Pfizer, Inc. 707,101 See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 10,994 Watson Pharmaceuticals, Inc. (b) $ 512,870 ------------ 9,456,124 ------------ TOTAL COMMON STOCKS -- 99.9% 53,030,058 (Cost $49,319,745) MONEY MARKET FUND -- 0.2% 82,062 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 82,062 (Cost $82,062) ------------ TOTAL INVESTMENTS -- 100.1% 53,112,120 (Cost $49,401,807) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (58,669) ------------ NET ASSETS -- 100.0% $ 53,053,451 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,528,354 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $818,041. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $53,030,058 $ -- $ -- Money Market Fund 82,062 -- -- ----------------------------------------- TOTAL INVESTMENTS $53,112,120 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 12.2% 4,446 Alliant Techsystems, Inc. $ 338,963 1,679 Boeing (The) Co. 118,604 7,117 General Dynamics Corp. 484,810 3,031 Goodrich Corp. 248,754 2,543 Honeywell International, Inc. 119,801 4,773 ITT Corp. 225,238 7,731 L-3 Communications Holdings, Inc. 558,101 1,568 Lockheed Martin Corp. 111,783 9,216 Northrop Grumman Corp. 582,543 9,779 Raytheon Co. 450,616 22,429 Spirit AeroSystems Holdings, Inc., Class A (b) 485,364 7,204 TransDigm Group, Inc. (b) 477,409 ------------ 4,201,986 ------------ AIR FREIGHT & LOGISTICS -- 7.0% 7,991 C.H. Robinson Worldwide, Inc. 563,206 12,086 Expeditors International of Washington, Inc. 596,565 3,921 FedEx Corp. 343,950 3,351 United Parcel Service, Inc., Class B 225,656 34,748 UTI Worldwide, Inc. 667,857 ------------ 2,397,234 ------------ AIRLINES -- 4.7% 4,146 Copa Holdings SA, Class A 210,326 19,201 Delta Air Lines, Inc. (b) 266,702 34,201 Southwest Airlines Co. 470,606 23,646 United Continental Holdings, Inc. (b) 686,680 ------------ 1,634,314 ------------ CHEMICALS -- 1.5% 17,731 Nalco Holding Co. 499,660 ------------ COMMERCIAL SERVICES & SUPPLIES -- 7.6% 6,021 Avery Dennison Corp. 218,863 8,113 Cintas Corp. 222,864 18,112 Corrections Corp. of America (b) 464,935 7,095 Covanta Holding Corp. 111,959 13,178 R.R. Donnelley & Sons Co. 243,134 7,330 Republic Services, Inc. 218,507 4,825 Stericycle, Inc. (b) 346,146 14,089 Waste Connections, Inc. 573,986 6,254 Waste Management, Inc. 223,393 ------------ 2,623,787 ------------ COMPUTERS & PERIPHERALS -- 0.8% 7,514 Lexmark International, Inc., Class A (b) 285,757 ------------ CONSTRUCTION & ENGINEERING -- 7.1% 18,426 Aecom Technology Corp. (b) 488,105 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 18,282 Chicago Bridge & Iron Co. N.V. (b) $ 460,889 4,512 Fluor Corp. 217,433 2,888 Jacobs Engineering Group, Inc. (b) 111,506 13,606 KBR, Inc. 345,593 11,714 Quanta Services, Inc. (b) 230,297 14,712 URS Corp. (b) 572,738 ------------ 2,426,561 ------------ ELECTRICAL EQUIPMENT -- 6.1% 7,018 AMETEK, Inc. 379,323 4,244 Emerson Electric Co. 232,996 4,404 Hubbell, Inc., Class B 237,904 5,712 Regal-Beloit Corp. 329,640 5,431 Rockwell Automation, Inc. 338,731 3,429 Roper Industries, Inc. 238,075 8,173 Thomas & Betts Corp. (b) 355,934 ------------ 2,112,603 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.4% 3,349 Agilent Technologies, Inc. (b) 116,545 12,757 Trimble Navigation Ltd. (b) 457,211 35,795 Vishay Precision Group, Inc. (b) 608,515 ------------ 1,182,271 ------------ ENERGY EQUIPMENT & SERVICES -- 3.4% 37,805 McDermott International, Inc. (b) 583,331 12,469 Tidewater, Inc. 575,195 ------------ 1,158,526 ------------ INDUSTRIAL CONGLOMERATES -- 4.2% 1,289 3M Co. 108,559 14,925 Carlisle Cos., Inc. 523,420 13,754 General Electric Co. 220,339 5,435 Textron, Inc. 113,157 12,170 Tyco International Ltd. 465,868 ------------ 1,431,343 ------------ IT SERVICES -- 1.2% 10,694 Convergys Corp. (b) 121,056 18,909 Genpact Ltd. (b) 300,653 ------------ 421,709 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.0% 2,694 Mettler-Toledo International, Inc. (b) 351,729 ------------ MACHINERY -- 26.6% 8,057 Bucyrus International, Inc. 549,165 5,681 Caterpillar, Inc. 446,527 15,250 CNH Global N.V. (b) 605,272 2,945 Crane Co. 112,676 See Notes to Quarterly Portfolio of Investments Page 12 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 6,169 Cummins, Inc. $ 543,489 2,752 Danaher Corp. 119,327 8,007 Deere & Co. 614,938 2,371 Donaldson Co., Inc. 115,515 8,562 Dover Corp. 454,642 5,419 Eaton Corp. 481,370 1,021 Flowserve Corp. 102,100 8,327 Gardner Denver, Inc. 481,467 22,732 Harsco Corp. 526,928 9,441 IDEX Corp. 340,631 3,129 Ingersoll-Rand PLC 123,001 6,357 Joy Global, Inc. 451,029 10,839 Kennametal, Inc. 370,043 1,933 Lincoln Electric Holdings, Inc. 115,516 27,684 Manitowoc (The) Co., Inc. 308,400 4,642 PACCAR, Inc. 237,949 5,367 Pall Corp. 229,010 6,380 Parker Hannifin Corp. 488,389 3,323 Pentair, Inc. 108,762 9,937 Toro (The) Co. 564,024 15,054 Trinity Industries, Inc. 342,177 7,015 Wabtec Corp. 328,583 ------------ 9,160,930 ------------ MARINE -- 1.0% 8,369 Kirby Corp. (b) 359,783 ------------ OFFICE ELECTRONICS -- 2.1% 21,594 Xerox Corp. 252,650 13,288 Zebra Technologies Corp., Class A (b) 475,444 ------------ 728,094 ------------ OIL, GAS & CONSUMABLE FUELS -- 0.7% 7,862 Frontline Ltd. 226,033 ------------ PROFESSIONAL SERVICES -- 2.7% 9,664 FTI Consulting, Inc. (b) 342,685 11,361 Towers Watson & Co., Class A 584,183 ------------ 926,868 ------------ ROAD & RAIL -- 3.5% 3,606 Con-way, Inc. 119,034 2,020 CSX Corp. 124,129 2,987 Kansas City Southern (b) 130,891 1,878 Norfolk Southern Corp. 115,478 7,839 Ryder System, Inc. 342,956 4,098 Union Pacific Corp. 359,313 ------------ 1,191,801 ------------ TRADING COMPANIES & DISTRIBUTORS -- 3.1% 15,246 GATX Corp. 482,688 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 4,691 W.W. Grainger, Inc. $ 581,825 ------------ 1,064,513 ------------ TOTAL COMMON STOCKS -- 99.9% 34,385,502 (Cost $30,798,020) MONEY MARKET FUND -- 0.2% 51,724 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 51,724 (Cost $51,724) ------------ TOTAL INVESTMENTS -- 100.1% 34,437,226 (Cost $30,849,744) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (32,618) ------------ NET ASSETS -- 100.0% $ 34,404,608 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,859,164 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $271,682. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $34,385,502 $ -- $ -- Money Market Fund 51,724 -- -- ----------------------------------------- TOTAL INVESTMENTS $34,437,226 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 0.6% 13,760 Precision Castparts Corp. $ 1,879,341 ------------ BUILDING PRODUCTS -- 5.7% 168,909 Armstrong World Industries, Inc. (b) 7,051,951 376,153 Owens Corning, Inc. (b) 10,171,177 ------------ 17,223,128 ------------ CHEMICALS -- 42.2% 42,326 Air Products and Chemicals, Inc. 3,596,440 51,587 Airgas, Inc. 3,659,066 149,792 Albemarle Corp. 7,509,073 197,685 Ashland, Inc. 10,206,476 177,599 Cabot Corp. 6,041,918 218,431 Celanese Corp., Class A 7,787,065 18,368 CF Industries Holdings, Inc. 2,250,631 31,090 Cytec Industries, Inc. 1,539,577 210,649 Dow Chemical (The) Co. 6,494,309 216,081 E.I. du Pont de Nemours & Co. 10,216,310 130,277 Eastman Chemical Co. 10,235,864 69,101 Ecolab, Inc. 3,408,061 84,559 FMC Corp. 6,181,263 119,228 International Flavors & Fragrances, Inc. 5,980,476 90,982 Lubrizol (The) Corp. 9,324,745 96,316 PPG Industries, Inc. 7,387,437 19,411 Praxair, Inc. 1,773,001 87,991 RPM International, Inc. 1,822,294 186,385 Scotts Miracle-Gro (The) Co., Class A 9,952,959 46,668 Sherwin-Williams (The) Co. 3,405,364 95,800 Sigma-Aldrich Corp. 6,075,636 110,071 Valspar (The) Corp. 3,533,279 ------------ 128,381,244 ------------ CONTAINERS & PACKAGING -- 15.9% 76,761 AptarGroup, Inc. 3,445,034 119,159 Ball Corp. 7,669,073 55,205 Bemis Co., Inc. 1,753,311 122,330 Crown Holdings, Inc. (b) 3,937,803 98,309 Greif, Inc., Class A 5,774,671 302,627 Packaging Corp. of America 7,393,177 212,597 Pactiv Corp. (b) 7,053,968 257,325 Sealed Air Corp. 5,957,074 104,828 Sonoco Products Co. 3,511,738 93,955 Temple-Inland, Inc. 1,946,747 ------------ 48,442,596 ------------ ELECTRICAL EQUIPMENT -- 0.6% 64,641 General Cable Corp. (b) 1,806,069 ------------ MACHINERY -- 3.4% 251,344 Timken (The) Co. 10,410,668 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- METALS & MINING -- 22.2% 418,876 AK Steel Holding Corp. $ 5,273,649 144,752 Alcoa, Inc. 1,900,594 109,702 Cliffs Natural Resources, Inc. 7,152,570 112,900 Freeport-McMoRan Copper & Gold, Inc. 10,689,372 92,100 Newmont Mining Corp. 5,606,127 232,146 Reliance Steel & Aluminum Co. 9,715,310 35,182 Royal Gold, Inc. 1,741,861 119,818 Schnitzer Steel Industries, Inc., Class A 6,193,392 199,649 Southern Copper Corp. 8,544,977 496,940 Steel Dynamics, Inc. 7,215,569 175,636 Titanium Metals Corp. (b) 3,453,004 ------------ 67,486,425 ------------ PAPER & FOREST PRODUCTS -- 7.7% 149,285 Domtar Corp. 11,847,258 161,198 International Paper Co. 4,075,085 287,598 MeadWestvaco Corp. 7,399,897 ------------ 23,322,240 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.2% 222,440 Weyerhaeuser Co. 3,607,977 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.6% 32,964 Fastenal Co. 1,696,987 ------------ TOTAL COMMON STOCKS -- 100.1% 304,256,675 (Cost $282,485,553) MONEY MARKET FUND -- 0.0% 120,434 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 120,434 (Cost $120,434) ------------ TOTAL INVESTMENTS -- 100.1% 304,377,109 (Cost $282,605,987) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (178,004) ------------ NET ASSETS -- 100.0% $304,199,105 ============ (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 October 31, 2010. See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $22,523,707 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $752,585. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $304,256,675 $ -- $ -- Money Market Fund 120,434 -- -- ----------------------------------------- TOTAL INVESTMENTS $304,377,109 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 9.7% 162,278 Brocade Communications Systems, Inc. (b) $ 1,025,597 40,575 Ciena Corp. (b) 563,587 26,611 CommScope, Inc. (b) 842,504 82,780 EchoStar Corp., Class A (b) 1,754,936 15,214 F5 Networks, Inc. (b) 1,790,688 7,134 Harris Corp. 322,386 76,484 JDS Uniphase Corp. (b) 803,847 10,406 Juniper Networks, Inc. (b) 337,050 127,209 Tellabs, Inc. 867,565 ------------ 8,308,160 ------------ COMPUTERS & PERIPHERALS -- 9.8% 4,457 Apple, Inc. (b) 1,340,978 31,104 EMC Corp. (b) 653,495 23,177 NCR Corp. (b) 317,988 31,725 NetApp, Inc. (b) 1,689,356 17,235 SanDisk Corp. (b) 647,691 134,077 Seagate Technology (b) 1,964,228 55,640 Western Digital Corp. (b) 1,781,593 ------------ 8,395,329 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 13.4% 19,350 Amphenol Corp., Class A 970,016 35,457 Arrow Electronics, Inc. (b) 1,049,882 46,782 Avnet, Inc. (b) 1,393,168 91,429 AVX Corp. 1,311,092 86,407 Corning, Inc. 1,579,520 74,947 Ingram Micro, Inc., Class A (b) 1,323,564 21,924 Jabil Circuit, Inc. 336,314 15,096 Molex, Inc. 306,449 31,352 Tech Data Corp. (b) 1,347,822 163,174 Vishay Intertechnology, Inc. (b) 1,843,866 ------------ 11,461,693 ------------ INTERNET SOFTWARE & SERVICES -- 5.4% 25,181 Akamai Technologies, Inc. (b) 1,301,102 6,170 Equinix, Inc. (b) 519,761 48,102 IAC/InterActiveCorp (b) 1,342,046 29,855 VeriSign, Inc. (b) 1,037,461 22,291 Yahoo!, Inc. (b) 368,025 ------------ 4,568,395 ------------ IT SERVICES -- 9.2% 22,042 Amdocs Ltd. (b) 676,249 24,501 Cognizant Technology Solutions Corp., Class A (b) 1,597,220 34,335 Computer Sciences Corp. 1,684,132 14,094 DST Systems, Inc. 609,847 42,916 Gartner, Inc. (b) 1,360,008 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 2,352 International Business Machines Corp. $ 337,747 12,708 NeuStar, Inc., Class A (b) 327,993 32,766 Teradata Corp. (b) 1,289,670 ------------ 7,882,866 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 27.7% 177,723 Advanced Micro Devices, Inc. (b) 1,302,710 41,895 Altera Corp. 1,307,543 20,131 Analog Devices, Inc. 677,811 198,429 Atmel Corp. (b) 1,758,081 28,069 Avago Technologies Ltd. (b) 692,743 8,922 Broadcom Corp., Class A 363,482 75,337 Cypress Semiconductor Corp. (b) 1,062,252 168,030 Fairchild Semiconductor International, Inc. (b) 1,893,698 82,133 Intel Corp. 1,648,409 59,914 International Rectifier Corp. (b) 1,391,802 17,935 KLA-Tencor Corp. 640,638 22,640 Lam Research Corp. (b) 1,036,686 10,282 Linear Technology Corp. 331,389 138,548 LSI Corp. (b) 725,992 20,091 Microchip Technology, Inc. 646,528 219,066 Micron Technology, Inc. (b) 1,811,676 24,740 National Semiconductor Corp. 338,938 23,769 Novellus Systems, Inc. (b) 694,292 128,758 PMC-Sierra, Inc. (b) 990,149 15,154 Rambus, Inc. (b) 299,595 76,376 Skyworks Solutions, Inc. (b) 1,749,774 85,073 Teradyne, Inc. (b) 956,220 34,917 Texas Instruments, Inc. 1,032,496 11,873 Xilinx, Inc. 318,315 ------------ 23,671,219 ------------ SOFTWARE -- 21.5% 9,882 Autodesk, Inc. (b) 357,531 7,805 BMC Software, Inc. (b) 354,815 14,957 CA, Inc. 347,152 82,800 Cadence Design Systems, Inc. (b) 701,316 18,518 Citrix Systems, Inc. (b) 1,186,448 37,037 Compuware Corp. (b) 370,740 41,123 Informatica Corp. (b) 1,673,295 28,842 Intuit, Inc. (b) 1,384,416 20,050 McAfee, Inc. (b) 948,365 22,384 MICROS Systems, Inc. (b) 1,016,010 25,794 Microsoft Corp. 687,152 35,298 Oracle Corp. 1,037,761 30,820 Red Hat, Inc. (b) 1,302,453 25,069 Rovi Corp. (b) 1,269,745 14,128 Salesforce.com, Inc. (b) 1,639,837 28,611 Solera Holdings, Inc. 1,374,759 41,646 Symantec Corp. (b) 673,832 See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 25,507 Synopsys, Inc. (b) $ 652,469 18,597 VMware, Inc., Class A (b) 1,421,927 ------------ 18,400,023 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 3.3% 18,484 American Tower Corp., Class A (b) 953,959 21,462 Crown Castle International Corp. (b) 925,442 23,516 SBA Communications Corp., Class A (b) 923,238 ------------ 2,802,639 ------------ TOTAL COMMON STOCKS -- 100.0% 85,490,324 (Cost $75,629,503) MONEY MARKET FUND -- 0.1% 71,159 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 71,159 (Cost $71,159) ------------ TOTAL INVESTMENTS -- 100.1% 85,561,483 (Cost $75,700,662) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (86,840) ------------ NET ASSETS -- 100.0% $ 85,474,643 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,182,304 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $321,483. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $85,490,324 $ -- $ -- Money Market Fund 71,159 -- -- ----------------------------------------- TOTAL INVESTMENTS $85,561,483 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 17 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.1% 34,866 AT&T, Inc. $ 993,681 34,745 CenturyLink, Inc. 1,437,748 40,566 Windstream Corp. 513,566 ------------ 2,944,995 ------------ ELECTRIC UTILITIES -- 29.7% 40,666 Allegheny Energy, Inc. 943,451 20,643 American Electric Power Co., Inc. 772,874 9,540 DPL, Inc. 248,994 39,869 Edison International 1,471,166 9,774 Entergy Corp. 728,456 11,711 Exelon Corp. 478,043 25,872 FirstEnergy Corp. 939,671 72,542 Great Plains Energy, Inc. 1,380,474 4,006 ITC Holdings Corp. 250,816 13,751 NextEra Energy, Inc. 756,855 8,430 Northeast Utilities 263,690 75,828 NV Energy, Inc. 1,035,811 40,206 Pepco Holdings, Inc. 774,368 18,120 Pinnacle West Capital Corp. 745,819 11,224 Progress Energy, Inc. 505,080 41,153 Westar Energy, Inc. 1,041,171 ------------ 12,336,739 ------------ GAS UTILITIES -- 8.1% 6,498 AGL Resources, Inc. 255,111 34,089 Atmos Energy Corp. 1,003,921 29,989 Energen Corp. 1,338,709 14,221 Questar Corp. 241,330 17,428 UGI Corp. 524,409 ------------ 3,363,480 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 10.1% 43,926 AES (The) Corp. (b) 524,476 42,527 Constellation Energy Group, Inc. 1,286,017 100,115 Mirant Corp. (b) 1,062,220 65,853 NRG Energy, Inc. (b) 1,311,133 ------------ 4,183,846 ------------ MULTI-UTILITIES -- 26.0% 48,278 Ameren Corp. 1,399,096 15,859 CenterPoint Energy, Inc. 262,625 27,666 CMS Energy Corp. 508,501 10,341 Consolidated Edison, Inc. 514,155 17,130 Dominion Resources, Inc. 744,470 21,711 DTE Energy Co. 1,015,206 4,788 Integrys Energy Group, Inc. 254,674 49,981 MDU Resources Group, Inc. 996,121 57,308 NiSource, Inc. 992,002 6,334 NSTAR 264,191 6,254 OGE Energy Corp. 276,177 10,976 PG&E Corp. 524,872 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 22,606 Public Service Enterprise Group, Inc. $ 731,304 6,182 SCANA Corp. 252,473 9,268 Sempra Energy 495,653 14,392 TECO Energy, Inc. 253,155 28,909 Vectren Corp. 791,528 21,706 Xcel Energy, Inc. 517,905 ------------ 10,794,108 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.9% 31,081 Southern Union Co. 781,066 ------------ WATER UTILITIES -- 1.2% 21,426 American Water Works Co., Inc. 511,653 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 15.8% 60,554 Leap Wireless International, Inc. (b) 690,921 131,077 MetroPCS Communications, Inc. (b) 1,364,512 33,359 NII Holdings, Inc. (b) 1,394,740 161,524 Sprint Nextel Corp. (b) 665,479 41,802 Telephone and Data Systems, Inc. 1,455,964 21,690 United States Cellular Corp. (b) 1,007,717 ------------ 6,579,333 ------------ TOTAL COMMON STOCKS -- 99.9% 41,495,220 (Cost $39,823,825) MONEY MARKET FUND -- 0.1% 33,218 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 33,218 (Cost $33,218) ------------ TOTAL INVESTMENTS -- 100.0% 41,528,438 (Cost $39,857,043) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (3,737) ------------ NET ASSETS -- 100.0% $ 41,524,701 ------------ (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 October 31, 2010. See Notes to Quarterly Portfolio of Investments Page 18 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,341,552 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $670,157. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $41,495,220 $ -- $ -- Money Market Fund 33,218 -- -- ----------------------------------------- TOTAL INVESTMENTS $41,528,438 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 19 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.3% 2,669 Boeing (The) Co. $ 188,538 5,669 General Dynamics Corp. 386,172 2,412 Goodrich Corp. 197,953 2,021 Honeywell International, Inc. 95,209 6,157 L-3 Communications Holdings, Inc. 444,474 2,494 Lockheed Martin Corp. 177,797 7,342 Northrop Grumman Corp. 464,088 702 Precision Castparts Corp. 95,879 7,783 Raytheon Co. 358,641 ------------ 2,408,751 ------------ AIR FREIGHT & LOGISTICS -- 1.4% 6,370 C.H. Robinson Worldwide, Inc. 448,958 9,621 Expeditors International of Washington, Inc. 474,892 4,163 FedEx Corp. 365,178 2,664 United Parcel Service, Inc., Class B 179,394 ------------ 1,468,422 ------------ AUTO COMPONENTS -- 0.1% 8,272 Goodyear Tire & Rubber (The) Co. (b) 84,540 ------------ AUTOMOBILES -- 0.7% 36,346 Ford Motor Co. (b) 513,569 6,255 Harley-Davidson, Inc. 191,903 ------------ 705,472 ------------ BEVERAGES -- 1.0% 1,521 Coca-Cola (The) Co. 93,268 14,348 Coca-Cola Enterprises, Inc. 344,495 2,501 Dr. Pepper Snapple Group, Inc. 91,412 9,426 Molson Coors Brewing Co., Class B 445,190 1,343 PepsiCo, Inc. 87,698 ------------ 1,062,063 ------------ BIOTECHNOLOGY -- 1.1% 6,462 Amgen, Inc. (b) 369,562 1,588 Biogen Idec, Inc. (b) 99,583 5,697 Cephalon, Inc. (b) 378,509 3,769 Genzyme Corp. (b) 271,858 ------------ 1,119,512 ------------ CAPITAL MARKETS -- 1.7% 9,407 Ameriprise Financial, Inc. 486,248 827 Franklin Resources, Inc. 94,857 2,465 Goldman Sachs Group (The), Inc. 396,742 4,186 Invesco Ltd. 96,278 5,867 Legg Mason, Inc. 182,053 14,419 Morgan Stanley 358,600 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 2,369 State Street Corp. $ 98,929 ------------ 1,713,707 ------------ CHEMICALS -- 2.9% 2,151 Air Products and Chemicals, Inc. 182,770 1,305 Airgas, Inc. 92,564 936 CF Industries Holdings, Inc. 114,688 9,728 Dow Chemical (The) Co. 299,914 9,976 E.I. du Pont de Nemours & Co. 471,665 1,202 Eastman Chemical Co. 94,441 3,510 Ecolab, Inc. 173,113 3,905 FMC Corp. 285,456 7,340 International Flavors & Fragrances, Inc. 368,174 4,888 PPG Industries, Inc. 374,910 982 Praxair, Inc. 89,696 2,374 Sherwin-Williams (The) Co. 173,231 4,418 Sigma-Aldrich Corp. 280,190 ------------ 3,000,812 ------------ COMMERCIAL BANKS -- 0.6% 1,093 M&T Bank Corp. 81,702 6,861 PNC Financial Services Group, Inc. 369,808 7,088 Wells Fargo & Co. 184,855 ------------ 636,365 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.3% 4,796 Avery Dennison Corp. 174,334 6,463 Cintas Corp. 177,539 3,986 Iron Mountain, Inc. 86,855 15,744 R.R. Donnelley & Sons Co. 290,477 5,838 Republic Services, Inc. 174,031 3,842 Stericycle, Inc. (b) 275,625 4,977 Waste Management, Inc. 177,778 ------------ 1,356,639 ------------ COMMUNICATIONS EQUIPMENT -- 1.1% 8,031 Harris Corp. 362,921 28,728 JDS Uniphase Corp. (b) 301,931 5,860 Juniper Networks, Inc. (b) 189,806 47,776 Tellabs, Inc. 325,832 ------------ 1,180,490 ------------ COMPUTERS & PERIPHERALS -- 2.2% 1,573 Apple, Inc. (b) 473,268 13,141 EMC Corp. (b) 276,092 8,464 Hewlett-Packard Co. 355,996 5,986 Lexmark International, Inc., Class A (b) 227,648 8,940 NetApp, Inc. (b) 476,055 See Notes to Quarterly Portfolio of Investments Page 20 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 12,143 SanDisk Corp. (b) $ 456,334 ------------ 2,265,393 ------------ CONSTRUCTION & ENGINEERING -- 0.4% 3,594 Fluor Corp. 173,195 2,303 Jacobs Engineering Group, Inc. b) 88,919 9,333 Quanta Services, Inc. (b) 183,486 ------------ 445,600 ------------ CONSUMER FINANCE -- 0.9% 2,111 American Express Co. 87,522 9,007 Capital One Financial Corp. 335,691 16,004 Discover Financial Services 282,471 23,115 SLM Corp. (b) 275,068 ------------ 980,752 ------------ CONTAINERS & PACKAGING -- 1.2% 7,567 Ball Corp. 487,012 2,802 Bemis Co., Inc. 88,992 10,794 Pactiv Corp. (b) 358,145 11,870 Sealed Air Corp. 274,790 ------------ 1,208,939 ------------ DISTRIBUTORS -- 0.1% 1,996 Genuine Parts Co. 95,529 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.2% 20,619 H&R Block, Inc. 243,098 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.3% 6,790 Bank of America Corp. 77,677 7,017 JPMorgan Chase & Co. 264,050 3,766 Leucadia National Corp. (b) 95,732 7,124 Moody's Corp. 192,775 13,743 NASDAQ OMX Group (The), Inc. (b) 288,878 12,462 NYSE Euronext 381,836 ------------ 1,300,948 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 15,551 AT&T, Inc. 443,203 11,276 CenturyLink, Inc. 466,601 2,729 Verizon Communications, Inc. 88,611 28,962 Windstream Corp. 366,659 ------------ 1,365,074 ------------ ELECTRIC UTILITIES -- 4.3% 18,148 Allegheny Energy, Inc. 421,034 9,827 American Electric Power Co., Inc. 367,923 10,054 Duke Energy Corp. 183,083 12,942 Edison International 477,560 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 4,649 Entergy Corp. $ 346,490 8,353 Exelon Corp. 340,969 9,230 FirstEnergy Corp. 335,234 6,547 NextEra Energy, Inc. 360,347 9,030 Northeast Utilities 282,458 19,134 Pepco Holdings, Inc. 368,521 8,627 Pinnacle West Capital Corp. 355,087 3,270 PPL Corp. 87,963 8,011 Progress Energy, Inc. 360,495 4,783 Southern Co. 181,132 ------------ 4,468,296 ------------ ELECTRICAL EQUIPMENT -- 0.7% 3,377 Emerson Electric Co. 185,397 5,765 Rockwell Automation, Inc. 359,563 2,729 Roper Industries, Inc. 189,475 ------------ 734,435 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 5,338 Agilent Technologies, Inc. (b) 185,762 7,269 Amphenol Corp., Class A 364,395 4,870 Corning, Inc. 89,024 12,346 Jabil Circuit, Inc. 189,388 4,250 Molex, Inc. 86,275 ------------ 914,844 ------------ ENERGY EQUIPMENT & SERVICES -- 1.3% 4,146 Cameron International Corp. (b) 181,388 3,911 FMC Technologies, Inc. (b) 281,983 8,074 Halliburton Co. 257,238 14,785 Nabors Industries Ltd. (b) 309,006 2,001 National Oilwell Varco, Inc. 107,574 5,859 Rowan Cos., Inc. (b) 192,761 ------------ 1,329,950 ------------ FOOD & STAPLES RETAILING -- 1.7% 14,142 CVS Caremark Corp. 425,957 38,585 SUPERVALU, Inc. 416,332 3,120 Sysco Corp. 91,915 7,974 Walgreen Co. 270,159 4,984 Wal-Mart Stores, Inc. 269,984 7,195 Whole Foods Market, Inc. (b) 286,001 ------------ 1,760,348 ------------ FOOD PRODUCTS -- 2.7% 13,936 Archer-Daniels-Midland Co. 464,348 2,488 Campbell Soup Co. 90,190 8,107 ConAgra Foods, Inc. 182,327 34,866 Dean Foods Co. (b) 362,606 2,430 General Mills, Inc. 91,222 3,758 H. J. Heinz Co. 184,555 See Notes to Quarterly Portfolio of Investments Page 21 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 1,865 Hershey (The) Co. $ 92,299 3,992 Hormel Foods Corp. 183,313 4,409 J.M. Smucker (The) Co. 283,411 2,883 Kraft Foods, Inc., Class A 93,034 6,345 McCormick & Co., Inc. 280,576 3,126 Mead Johnson Nutrition Co. 183,871 6,628 Sara Lee Corp. 94,979 11,111 Tyson Foods, Inc., Class A 172,776 ------------ 2,759,507 ------------ GAS UTILITIES -- 0.5% 5,829 Nicor, Inc. 277,635 3,946 ONEOK, Inc. 196,590 ------------ 474,225 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9% 3,602 Becton, Dickinson & Co. 272,023 1,097 C. R. Bard, Inc. 91,183 2,786 DENTSPLY International, Inc. 87,452 1,567 Hospira, Inc. (b) 93,205 5,889 Varian Medical Systems, Inc. (b) 372,303 ------------ 916,166 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.9% 14,077 Aetna, Inc. 420,339 9,944 CIGNA Corp. 349,929 20,662 Coventry Health Care, Inc. (b) 483,904 5,151 DaVita, Inc. (b) 369,584 5,488 Express Scripts, Inc. (b) 266,278 8,860 Humana, Inc. (b) 516,450 1,132 Laboratory Corp. of America Holdings (b) 92,054 2,881 McKesson Corp. 190,089 3,108 Patterson Cos., Inc. 85,936 7,051 Quest Diagnostics, Inc. 346,486 12,667 UnitedHealth Group, Inc. 456,645 7,853 WellPoint, Inc. (b) 426,732 ------------ 4,004,426 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.8% 9,310 Carnival Corp. 401,913 4,160 Darden Restaurants, Inc. 190,154 9,932 Marriott International, Inc., Class A 367,981 3,586 McDonald's Corp. 278,883 3,473 Starbucks Corp. 98,911 6,778 Starwood Hotels & Resorts Worldwide, Inc. 366,961 12,958 Wyndham Worldwide Corp. 372,542 4,099 Wynn Resorts Ltd. 439,290 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 7,733 Yum! Brands, Inc. $ 383,247 ------------ 2,899,882 ------------ HOUSEHOLD DURABLES -- 1.3% 3,613 Fortune Brands, Inc. 195,283 2,660 Harman International Industries, Inc. (b) 89,243 7,823 Leggett & Platt, Inc. 159,433 4,991 Newell Rubbermaid, Inc. 88,091 7,264 Stanley Black & Decker, Inc. 450,150 4,397 Whirlpool Corp. 333,424 ------------ 1,315,624 ------------ HOUSEHOLD PRODUCTS -- 0.3% 1,337 Clorox (The) Co. 88,977 1,367 Kimberly-Clark Corp. 86,586 1,490 Procter & Gamble (The) Co. 94,719 ------------ 270,282 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.1% 23,521 AES (The) Corp. (b) 280,841 13,807 Constellation Energy Group, Inc. 417,523 21,369 NRG Energy, Inc. (b) 425,457 ------------ 1,123,821 ------------ INDUSTRIAL CONGLOMERATES -- 0.7% 2,057 3M Co. 173,241 10,954 General Electric Co. 175,483 9,689 Tyco International Ltd. 370,895 ------------ 719,619 ------------ INSURANCE -- 4.8% 7,632 ACE Ltd. 453,493 6,883 Aflac, Inc. 384,691 6,559 Assurant, Inc. 259,343 2,154 Berkshire Hathaway, Inc., Class B (b) 171,372 7,813 Chubb (The) Corp. 453,310 12,335 Cincinnati Financial Corp. 363,142 11,627 Hartford Financial Services Group (The), Inc. 278,816 7,440 Lincoln National Corp. 182,131 7,043 Loews Corp. 278,058 6,869 Principal Financial Group, Inc. 184,364 4,260 Progressive (The) Corp. 90,142 8,217 Prudential Financial, Inc. 432,050 5,026 Torchmark Corp. 287,889 8,543 Travelers (The) Cos., Inc. 471,574 16,072 Unum Group 360,334 16,428 XL Group PLC 347,452 ------------ 4,998,161 ------------ See Notes to Quarterly Portfolio of Investments Page 22 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL -- 1.3% 2,828 Amazon.com, Inc. (b) $ 467,016 12,622 Expedia, Inc. 365,407 1,278 priceline.com, Inc. (b) 481,563 ------------ 1,313,986 ------------ INTERNET SOFTWARE & SERVICES -- 1.1% 8,869 Akamai Technologies, Inc. (b) 458,261 3,652 eBay, Inc. (b) 108,866 11,212 VeriSign, Inc. (b) 389,617 12,560 Yahoo!, Inc. (b) 207,366 ------------ 1,164,110 ------------ IT SERVICES -- 2.1% 6,898 Cognizant Technology Solutions Corp., Class A (b) 449,681 9,674 Computer Sciences Corp. 474,510 1,658 Fiserv, Inc. (b) 90,394 16,708 SAIC, Inc. (b) 259,642 11,536 Teradata Corp. (b) 454,057 29,196 Total System Services, Inc. 455,749 ------------ 2,184,033 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.7% 21,190 Eastman Kodak Co. (b) 99,805 7,998 Hasbro, Inc. 369,908 11,376 Mattel, Inc. 265,402 ------------ 735,115 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.5% 3,845 PerkinElmer, Inc. 90,165 5,580 Thermo Fisher Scientific, Inc. (b) 286,924 1,261 Waters Corp. (b) 93,478 ------------ 470,567 ------------ MACHINERY -- 2.4% 4,530 Caterpillar, Inc. 356,058 4,907 Cummins, Inc. 432,307 2,186 Danaher Corp. 94,785 6,380 Deere & Co. 489,984 6,815 Dover Corp. 361,876 2,158 Eaton Corp. 191,695 811 Flowserve Corp. 81,100 1,897 Illinois Tool Works, Inc. 86,693 6,409 Pall Corp. 273,472 1,272 Parker Hannifin Corp. 97,372 ------------ 2,465,342 ------------ MEDIA -- 5.2% 28,059 CBS Corp., Class B 475,039 24,615 Comcast Corp., Class A 506,577 10,693 DIRECTV, Class A (b) 464,718 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA (CONTINUED) 10,221 Discovery Communications, Inc., Class A (b) $ 455,959 36,384 Gannett Co., Inc. 431,150 2,696 McGraw-Hill (The) Cos., Inc. 101,504 5,346 Meredith Corp. 181,497 34,490 New York Times (The) Co., Class A (b) 264,538 20,448 News Corp., Class A 295,678 2,252 Omnicom Group, Inc. 98,998 7,487 Scripps Networks Interactive, Class A 381,014 4,947 Time Warner Cable, Inc. 286,283 14,511 Time Warner, Inc. 471,753 4,912 Viacom, Inc., Class B 189,554 8,066 Walt Disney (The) Co. 291,263 1,115 Washington Post (The) Co., Class B 448,397 ------------ 5,343,922 ------------ METALS & MINING -- 1.5% 19,336 AK Steel Holding Corp. 243,440 7,350 Alcoa, Inc. 96,506 5,574 Cliffs Natural Resources, Inc. 363,425 5,209 Freeport-McMoRan Copper & Gold, Inc. 493,188 5,669 Newmont Mining Corp. 345,072 ------------ 1,541,631 ------------ MULTILINE RETAIL -- 1.9% 10,708 Big Lots, Inc. (b) 335,910 2,013 Family Dollar Stores, Inc. 92,940 9,825 J. C. Penney Co., Inc. 306,343 1,688 Kohl's Corp. (b) 86,426 11,568 Macy's, Inc. 273,467 7,180 Nordstrom, Inc. 276,502 4,938 Sears Holdings Corp. (b) 355,437 4,990 Target Corp. 259,181 ------------ 1,986,206 ------------ MULTI-UTILITIES -- 4.4% 15,669 Ameren Corp. 454,088 11,328 CenterPoint Energy, Inc. 187,592 19,754 CMS Energy Corp. 363,079 5,534 Consolidated Edison, Inc. 275,150 8,154 Dominion Resources, Inc. 354,373 9,686 DTE Energy Co. 452,917 3,422 Integrys Energy Group, Inc. 182,016 20,461 NiSource, Inc. 354,180 5,872 PG&E Corp. 280,799 10,767 Public Service Enterprise Group, Inc. 348,312 6,624 SCANA Corp. 270,524 4,962 Sempra Energy 265,368 15,418 TECO Energy, Inc. 271,203 See Notes to Quarterly Portfolio of Investments Page 23 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 3,073 Wisconsin Energy Corp. $ 182,966 11,619 Xcel Energy, Inc. 277,229 ------------ 4,519,796 ------------ OFFICE ELECTRONICS -- 0.2% 17,196 Xerox Corp. 201,193 ------------ OIL, GAS & CONSUMABLE FUELS -- 6.0% 905 Apache Corp. 91,423 8,869 Cabot Oil & Gas Corp. 257,024 15,710 Chesapeake Energy Corp. 340,907 5,495 Chevron Corp. 453,942 7,750 ConocoPhillips 460,350 6,874 Devon Energy Corp. 446,947 21,570 El Paso Corp. 286,018 5,761 Exxon Mobil Corp. 382,934 7,525 Hess Corp. 474,301 13,442 Marathon Oil Corp. 478,132 7,188 Murphy Oil Corp. 468,370 2,375 Noble Energy, Inc. 193,515 5,446 Peabody Energy Corp. 288,093 2,734 Pioneer Natural Resources Co. 190,833 14,769 QEP Resources, Inc. 487,820 7,897 Spectra Energy Corp. 187,712 13,328 Tesoro Corp. 172,731 15,252 Valero Energy Corp. 273,773 13,975 Williams (The) Cos., Inc. 300,742 ------------ 6,235,567 ------------ PAPER & FOREST PRODUCTS -- 0.3% 8,179 International Paper Co. 206,765 3,655 MeadWestvaco Corp. 94,043 ------------ 300,808 ------------ PERSONAL PRODUCTS -- 0.4% 5,539 Avon Products, Inc. 168,663 4,225 Estee Lauder (The) Cos., Inc., Class A 300,693 ------------ 469,356 ------------ PHARMACEUTICALS -- 2.6% 1,700 Abbott Laboratories 87,244 2,669 Allergan, Inc. 193,262 6,564 Bristol-Myers Squibb Co. 176,572 9,747 Eli Lilly & Co. 343,094 5,755 Forest Laboratories, Inc. (b) 190,203 4,311 Johnson & Johnson 274,481 35,742 King Pharmaceuticals, Inc. (b) 505,392 12,086 Merck & Co., Inc. 438,480 15,544 Pfizer, Inc. 270,466 4,212 Watson Pharmaceuticals, Inc. (b) 196,490 ------------ 2,675,684 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- PROFESSIONAL SERVICES -- 0.2% 5,700 Equifax, Inc. $ 188,841 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.7% 8,324 Apartment Investment & Management Co., Class A 194,032 1,707 AvalonBay Communities, Inc. 181,471 3,210 Boston Properties, Inc. 276,670 3,744 Equity Residential 182,071 2,474 HCP, Inc. 89,089 1,873 Health Care REIT, Inc. 95,710 1,919 Simon Property Group, Inc. 184,262 1,731 Ventas, Inc. 92,712 4,161 Vornado Realty Trust 363,630 5,652 Weyerhaeuser Co. 91,676 ------------ 1,751,323 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 24,337 CB Richard Ellis Group, Inc., Class A (b) 446,584 ------------ ROAD & RAIL -- 0.9% 3,214 CSX Corp. 197,500 2,986 Norfolk Southern Corp. 183,609 6,242 Ryder System, Inc. 273,088 3,266 Union Pacific Corp. 286,363 ------------ 940,560 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.7% 62,577 Advanced Micro Devices, Inc. (b) 458,689 14,747 Altera Corp. 460,254 5,673 Analog Devices, Inc. 191,010 5,031 Broadcom Corp., Class A 204,963 1,816 First Solar, Inc. (b) 250,027 23,135 Intel Corp. 464,320 7,581 KLA-Tencor Corp. 270,793 2,893 Linear Technology Corp. 93,241 78,063 LSI Corp. (b) 409,050 8,487 Microchip Technology, Inc. 273,112 61,707 Micron Technology, Inc. (b) 510,317 13,934 National Semiconductor Corp. 190,896 10,050 Novellus Systems, Inc. (b) 293,561 31,947 Teradyne, Inc. (b) 359,084 13,116 Texas Instruments, Inc. 387,840 3,347 Xilinx, Inc. 89,733 ------------ 4,906,890 ------------ SOFTWARE -- 3.3% 5,572 Autodesk, Inc. (b) 201,595 2,192 BMC Software, Inc. (b) 99,648 8,423 CA, Inc. 195,498 6,527 Citrix Systems, Inc. (b) 418,185 10,427 Compuware Corp. (b) 104,374 See Notes to Quarterly Portfolio of Investments Page 24 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 10,157 Intuit, Inc. (b) $ 487,536 7,530 McAfee, Inc. (b) 356,169 13,261 Oracle Corp. 389,873 10,857 Red Hat, Inc. (b) 458,817 3,983 Salesforce.com, Inc. (b) 462,307 17,599 Symantec Corp. (b) 284,752 ------------ 3,458,754 ------------ SPECIALTY RETAIL -- 5.2% 4,532 Abercrombie & Fitch Co., Class A 194,242 7,659 AutoNation, Inc. (b) 177,842 1,940 AutoZone, Inc. (b) 461,002 6,152 Bed Bath & Beyond, Inc. (b) 270,073 8,718 Best Buy Co., Inc. 374,700 15,975 CarMax, Inc. (b) 495,065 22,572 GameStop Corp., Class A (b) 443,766 23,865 Gap (The), Inc. 453,674 2,808 Home Depot (The), Inc. 86,711 16,619 Limited Brands, Inc. 488,432 11,981 Lowe's Cos., Inc. 255,555 8,369 O'Reilly Automotive, Inc. (b) 489,586 16,693 RadioShack Corp. 336,030 3,262 Ross Stores, Inc. 192,425 4,252 Staples, Inc. 87,038 5,681 Tiffany & Co. 301,093 5,985 TJX (The) Cos., Inc. 274,652 ------------ 5,381,886 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 8,291 Coach, Inc. 414,550 3,336 NIKE, Inc., Class B 271,684 2,969 Polo Ralph Lauren Corp. 287,636 2,191 VF Corp. 182,379 ------------ 1,156,249 ------------ TOBACCO -- 0.7% 11,115 Altria Group, Inc. 282,543 1,110 Lorillard, Inc. 94,727 4,771 Philip Morris International, Inc. 279,104 1,502 Reynolds American, Inc. 97,480 ------------ 753,854 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.5% 1,674 Fastenal Co. 86,178 3,740 W.W. Grainger, Inc. 463,872 ------------ 550,050 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 6,947 American Tower Corp., Class A (b) 358,535 SHARES DESCRIPTION VALUE ------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES (CONTINUED) 34,025 MetroPCS Communications, Inc. (b) $ 354,200 76,880 Sprint Nextel Corp. (b) 316,746 ------------ 1,029,481 ------------ TOTAL COMMON STOCKS -- 100.0% 103,503,480 (Cost $97,306,529) MONEY MARKET FUND -- 0.0% 21,860 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 21,860 (Cost $21,860) ------------ TOTAL INVESTMENTS -- 100.0% 103,525,340 (Cost $97,328,389) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (11,225) ------------ NET ASSETS -- 100.0% $103,514,115 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,218,264 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,021,313. See Notes to Quarterly Portfolio of Investments Page 25 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $103,503,480 $ -- $ -- Money Market Fund 21,860 -- -- ----------------------------------------- TOTAL INVESTMENTS $103,525,340 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 26 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.6% 3,636 Alliant Techsystems, Inc. (b) $ 277,209 6,029 BE Aerospace, Inc. (b) 221,626 ------------ 498,835 ------------ AIRLINES -- 0.6% 5,371 Alaska Air Group, Inc. (b) 283,589 27,317 JetBlue Airways Corp. (b) 190,672 ------------ 474,261 ------------ AUTO COMPONENTS -- 0.3% 14,050 Gentex Corp. 280,719 ------------ AUTOMOBILES -- 0.2% 5,471 Thor Industries, Inc. 172,282 ------------ BEVERAGES -- 0.3% 5,880 Hansen Natural Corp. (b) 301,115 ------------ BIOTECHNOLOGY -- 0.2% 3,262 United Therapeutics Corp. (b) 195,720 ------------ CAPITAL MARKETS -- 0.9% 3,514 Affiliated Managers Group, Inc. (b) 300,834 8,932 Apollo Investment Corp. 98,163 1,152 Greenhill & Co., Inc. 89,476 4,027 Jefferies Group, Inc. 96,366 3,607 Raymond James Financial, Inc. 101,789 3,340 Waddell & Reed Financial, Inc., Class A 97,094 ------------ 783,722 ------------ CHEMICALS -- 4.3% 7,808 Albemarle Corp. 391,415 9,367 Ashland, Inc. 483,618 8,417 Cabot Corp. 286,346 1,620 Cytec Industries, Inc. 80,222 4,312 Lubrizol (The) Corp. 441,937 4,653 Minerals Technologies, Inc. 272,992 4,019 NewMarket Corp. 476,332 9,065 Olin Corp. 181,209 9,174 RPM International, Inc. 189,994 7,065 Scotts Miracle-Gro (The) Co., Class A 377,271 5,993 Sensient Technologies Corp. 193,634 8,606 Valspar (The) Corp. 276,253 ------------ 3,651,223 ------------ COMMERCIAL BANKS -- 1.0% 2,431 Commerce Bancshares, Inc. 89,558 10,085 Fulton Financial Corp. 94,194 21,640 International Bancshares Corp. 370,693 5,628 Prosperity Bancshares, Inc. 174,975 5,644 TCF Financial Corp. 74,275 4,203 Trustmark Corp. 92,844 ------------ 896,539 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 19,864 Brink's (The) Co. $ 468,790 2,697 Clean Harbors, Inc. (b) 190,138 11,107 Corrections Corp. of America (b) 285,117 14,330 Deluxe Corp. 292,905 3,177 HNI Corp. 78,345 7,816 Rollins, Inc. 203,607 9,216 Waste Connections, Inc. 375,460 ------------ 1,894,362 ------------ COMMUNICATIONS EQUIPMENT -- 2.1% 28,848 ADC Telecommunications, Inc. (b) 366,081 10,354 ADTRAN, Inc. 334,124 17,605 Ciena Corp. (b) 244,533 4,401 F5 Networks, Inc. (b) 517,998 8,114 Plantronics, Inc. 291,130 ------------ 1,753,866 ------------ CONSTRUCTION & ENGINEERING -- 1.4% 15,066 Aecom Technology Corp. (b) 399,098 4,019 Granite Construction, Inc. 97,180 7,416 KBR, Inc. 188,366 12,029 URS Corp. (b) 468,289 ------------ 1,152,933 ------------ CONTAINERS & PACKAGING -- 2.3% 8,003 AptarGroup, Inc. 359,175 3,106 Greif, Inc., Class A 182,446 15,774 Packaging Corp. of America 385,359 7,338 Rock-Tenn Co., Class A 417,165 8,647 Silgan Holdings, Inc. 291,836 5,465 Sonoco Products Co. 183,078 4,897 Temple-Inland, Inc. 101,466 ------------ 1,920,525 ------------ DISTRIBUTORS -- 0.2% 8,786 LKQ Corp. (b) 191,008 ------------ DIVERSIFIED CONSUMER SERVICES -- 2.3% 21,280 Career Education Corp. (b) 373,251 65,081 Corinthian Colleges, Inc. (b) 339,723 5,168 Matthews International Corp., Class A 170,647 19,105 Regis Corp. 390,697 21,200 Service Corp. International 175,536 12,408 Sotheby's 543,967 ------------ 1,993,821 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.1% 2,751 MSCI, Inc., Class A (b) 98,623 ------------ See Notes to Quarterly Portfolio of Investments Page 27 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 9,841 tw telecom, Inc. (b) $ 181,074 ------------ ELECTRIC UTILITIES -- 3.5% 15,424 Cleco Corp. 482,309 6,994 DPL, Inc. 182,543 24,172 Great Plains Energy, Inc. 459,993 8,107 Hawaiian Electric Industries, Inc. 182,732 10,176 IDACORP, Inc. 374,477 34,743 NV Energy, Inc. 474,589 40,111 PNM Resources, Inc. 472,909 15,084 Westar Energy, Inc. 381,625 ------------ 3,011,177 ------------ ELECTRICAL EQUIPMENT -- 1.8% 3,825 AMETEK, Inc. 206,741 4,523 Baldor Electric Co. 190,057 5,402 Hubbell, Inc., Class B 291,816 4,671 Regal-Beloit Corp. 269,563 6,682 Thomas & Betts Corp. (b) 291,001 8,455 Woodward Governor Co. 264,980 ------------ 1,514,158 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 13,673 Arrow Electronics, Inc. (b) 404,857 13,532 Avnet, Inc. (b) 402,983 27,098 Ingram Micro, Inc., Class A (b) 478,551 11,337 Tech Data Corp. (b) 487,378 10,431 Trimble Navigation Ltd. (b) 373,847 47,197 Vishay Intertechnology, Inc. (b) 533,326 ------------ 2,680,942 ------------ ENERGY EQUIPMENT & SERVICES -- 2.5% 16,094 Exterran Holdings, Inc. (b) 405,086 8,202 Helix Energy Solutions Group, Inc. (b) 104,083 10,700 Patterson-UTI Energy, Inc. 207,687 6,209 Pride International, Inc. (b) 188,257 10,270 Superior Energy Services, Inc. (b) 283,657 10,196 Tidewater, Inc. 470,342 12,252 Unit Corp. (b) 480,646 ------------ 2,139,758 ------------ FOOD & STAPLES RETAILING -- 0.8% 6,605 BJ's Wholesale Club, Inc. (b) 275,627 10,539 Ruddick Corp. 367,811 ------------ 643,438 ------------ FOOD PRODUCTS -- 2.3% 9,746 Corn Products International, Inc. 414,692 7,357 Flowers Foods, Inc. 187,456 8,788 Green Mountain Coffee Roasters, Inc. (b) 289,916 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 5,771 Lancaster Colony Corp. $ 287,858 7,812 Ralcorp Holdings, Inc. (b) 484,813 16,288 Smithfield Foods, Inc. (b) 272,824 ------------ 1,937,559 ------------ GAS UTILITIES -- 2.3% 7,145 AGL Resources, Inc. 280,513 12,495 Atmos Energy Corp. 367,978 9,992 Energen Corp. 446,043 1,764 National Fuel Gas Co. 97,338 10,425 Questar Corp. 176,912 9,581 UGI Corp. 288,292 7,255 WGL Holdings, Inc. 279,680 ------------ 1,936,756 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 5,619 Beckman Coulter, Inc. 299,156 5,451 Edwards Lifesciences Corp. (b) 348,373 1,885 Gen-Probe, Inc. (b) 91,291 10,184 Hill-Rom Holdings, Inc. 394,630 5,707 Hologic, Inc. (b) 91,426 1,480 IDEXX Laboratories, Inc. (b) 88,741 9,216 Immucor, Inc. (b) 160,358 3,346 Masimo Corp. 100,949 5,570 ResMed, Inc. (b) 177,516 3,219 Teleflex, Inc. 179,459 2,470 Thoratec Corp. (b) 80,621 ------------ 2,012,520 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.3% 11,928 Health Management Associates, Inc., Class A (b) 95,543 3,120 Henry Schein, Inc. (b) 175,188 35,089 Kindred Healthcare, Inc. (b) 481,421 13,031 LifePoint Hospitals, Inc. (b) 442,011 15,306 Omnicare, Inc. 369,181 6,421 Owens & Minor, Inc. 182,870 8,170 Psychiatric Solutions, Inc. (b) 275,329 7,054 Universal Health Services, Inc., Class B 291,119 12,997 VCA Antech, Inc. (b) 268,648 9,465 WellCare Health Plans, Inc. (b) 262,938 ------------ 2,844,248 ------------ HEALTH CARE TECHNOLOGY -- 0.1% 4,947 Allscripts Healthcare Solutions, Inc. (b) 94,438 ------------ HOTELS, RESTAURANTS & LEISURE -- 3.9% 16,276 Bob Evans Farms, Inc. 467,121 63,016 Boyd Gaming Corp. (b) 523,663 9,689 Brinker International, Inc. 179,634 See Notes to Quarterly Portfolio of Investments Page 28 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 10,356 Cheesecake Factory (The), Inc. (b) $ 301,567 2,657 Chipotle Mexican Grill, Inc. (b) 558,528 11,234 International Speedway Corp., Class A 256,584 11,575 Life Time Fitness, Inc. (b) 418,205 4,124 Panera Bread Co., Class A (b) 369,139 9,420 Scientific Games Corp., Class A (b) 74,418 40,341 Wendy's/Arby's Group, Inc., Class A 185,569 ------------ 3,334,428 ------------ HOUSEHOLD DURABLES -- 1.4% 24,576 American Greetings Corp., Class A 476,037 3,147 M.D.C. Holdings, Inc. 81,035 5,143 Mohawk Industries, Inc. (b) 294,900 282 NVR, Inc. (b) 176,930 3,993 Tupperware Brands Corp. 178,926 ------------ 1,207,828 ------------ HOUSEHOLD PRODUCTS -- 0.6% 2,814 Church & Dwight Co., Inc. 185,302 4,078 Energizer Holdings, Inc. (b) 304,953 ------------ 490,255 ------------ INDUSTRIAL CONGLOMERATES -- 0.5% 12,203 Carlisle Cos., Inc. 427,959 ------------ INSURANCE -- 6.2% 14,940 American Financial Group, Inc. 456,865 6,930 Arthur J. Gallagher & Co. 195,149 9,051 Brown & Brown, Inc. 201,747 4,227 Everest Re Group Ltd. 356,252 23,265 Fidelity National Financial, Inc., Class A 311,518 18,348 First American Financial Corp. 257,606 3,888 Hanover Insurance Group, Inc. 175,932 17,511 HCC Insurance Holdings, Inc. 463,691 11,178 Mercury General Corp. 474,841 16,797 Protective Life Corp. 402,624 7,569 Reinsurance Group of America, Inc. 378,980 9,618 StanCorp Financial Group, Inc. 412,612 7,192 Transatlantic Holdings, Inc. 378,299 18,732 Unitrin, Inc. 455,188 13,502 W. R. Berkley Corp. 371,575 ------------ 5,292,879 ------------ INTERNET & CATALOG RETAIL -- 0.6% 2,817 Netflix, Inc. (b) 488,750 ------------ INTERNET SOFTWARE & SERVICES -- 1.0% 2,684 Digital River, Inc. (b) 100,006 2,678 Equinix, Inc. (b) 225,595 17,586 Rackspace Hosting, Inc. (b) 438,946 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 6,986 ValueClick, Inc. (b) $ 96,127 ------------ 860,674 ------------ IT SERVICES -- 2.7% 17,284 Acxiom Corp. (b) 303,334 2,800 Alliance Data Systems Corp. (b) 170,016 11,986 Broadridge Financial Solutions, Inc. 263,692 8,744 Convergys Corp. (b) 98,982 9,537 CoreLogic, Inc. 167,565 6,113 DST Systems, Inc. 264,509 12,415 Gartner, Inc. (b) 393,431 2,130 Global Payments, Inc. 82,985 11,537 ManTech International Corp., Class A (b) 452,366 3,676 NeuStar, Inc., Class A (b) 94,878 ------------ 2,291,758 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.0% 3,028 Bio-Rad Laboratories, Inc., Class A (b) 274,397 5,513 Charles River Laboratories International, Inc. (b) 180,661 2,203 Mettler-Toledo International, Inc. (b) 287,624 1,480 Techne Corp. 90,162 ------------ 832,844 ------------ MACHINERY -- 4.4% 2,342 AGCO Corp. (b) 99,465 5,271 Bucyrus International, Inc. 359,271 9,633 Crane Co. 368,559 3,877 Donaldson Co., Inc. 188,887 6,809 Gardner Denver, Inc. 393,696 14,869 Harsco Corp. 344,663 7,720 IDEX Corp. 278,538 5,197 Joy Global, Inc. 368,727 3,160 Lincoln Electric Holdings, Inc. 188,842 4,960 Nordson Corp. 386,979 2,717 Pentair, Inc. 88,927 1,444 SPX Corp. 96,835 12,309 Trinity Industries, Inc. 279,784 5,736 Wabtec Corp. 268,674 ------------ 3,711,847 ------------ MARINE -- 0.1% 2,623 Alexander & Baldwin, Inc. 90,310 ------------ MEDIA -- 1.0% 23,489 Harte-Hanks, Inc. 283,747 2,236 John Wiley & Sons, Inc., Class A 96,506 2,871 Lamar Advertising Co., Class A (b) 97,585 See Notes to Quarterly Portfolio of Investments Page 29 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 13,138 Scholastic Corp. $ 386,914 ------------ 864,752 ------------ METALS & MINING -- 0.2% 12,159 Worthington Industries, Inc. 187,249 ------------ MULTILINE RETAIL -- 0.9% 9,679 99 Cents Only Stores (b) 149,250 9,370 Dollar Tree, Inc. (b) 480,775 10,625 Saks, Inc. (b) 118,362 ------------ 748,387 ------------ MULTI-UTILITIES -- 1.8% 2,514 Alliant Energy Corp. 91,836 8,786 Black Hills Corp. 279,746 18,321 MDU Resources Group, Inc. 365,138 4,645 NSTAR 193,743 6,876 OGE Energy Corp. 303,644 10,596 Vectren Corp. 290,119 ------------ 1,524,226 ------------ OFFICE ELECTRONICS -- 0.5% 10,865 Zebra Technologies Corp., Class A (b) 388,750 ------------ OIL, GAS & CONSUMABLE FUELS -- 3.6% 3,421 Arch Coal, Inc. 84,122 7,615 Bill Barrett Corp. (b) 287,466 6,903 Cimarex Energy Co. 529,805 12,188 Comstock Resources, Inc. (b) 272,402 12,306 Forest Oil Corp. (b) 378,163 11,314 Mariner Energy, Inc. (b) 281,945 4,772 Newfield Exploration Co. (b) 284,507 2,663 Overseas Shipholding Group, Inc. 89,024 32,032 Patriot Coal Corp. (b) 432,112 15,191 Southern Union Co. 381,750 ------------ 3,021,296 ------------ PERSONAL PRODUCTS -- 0.5% 12,134 Alberto-Culver Co. 452,477 ------------ PHARMACEUTICALS -- 1.6% 13,744 Endo Pharmaceuticals Holdings, Inc. (b) 504,954 15,409 Medicis Pharmaceutical Corp., Class A 458,418 5,691 Perrigo Co. 374,923 ------------ 1,338,295 ------------ PROFESSIONAL SERVICES -- 0.7% 5,791 Corporate Executive Board (The) Co. 180,911 5,524 Korn/Ferry International (b) 97,388 23,570 Navigant Consulting, Inc. (b) 215,666 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PROFESSIONAL SERVICES (CONTINUED) 1,858 Towers Watson & Co., Class A $ 95,538 ------------ 589,503 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.5% 4,403 BRE Properties, Inc. 189,021 1,904 Camden Property Trust 94,419 1,670 Essex Property Trust, Inc. 188,643 2,238 Federal Realty Investment Trust 183,471 4,092 Hospitality Properties Trust 93,339 2,127 Macerich (The) Co. 94,885 2,362 Nationwide Health Properties, Inc. 96,440 8,140 OMEGA Healthcare Investors, Inc. 187,220 2,687 Potlatch Corp. 91,492 3,646 Rayonier, Inc. 190,321 2,710 Realty Income Corp. 92,899 2,315 Regency Centers Corp. 97,647 11,665 Senior Housing Properties Trust 278,677 2,886 SL Green Realty Corp. 189,668 4,326 UDR, Inc. 97,249 ------------ 2,165,391 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 5,296 Jones Lang LaSalle, Inc. 413,406 ------------ ROAD & RAIL -- 0.8% 2,949 Con-way, Inc. 97,346 2,633 J.B. Hunt Transport Services, Inc. 94,683 2,443 Kansas City Southern (b) 107,052 17,837 Werner Enterprises, Inc. 380,285 ------------ 679,366 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.4% 57,395 Atmel Corp. (b) 508,520 48,602 Fairchild Semiconductor International, Inc. (b) 547,744 78,096 Integrated Device Technology, Inc. (b) 459,985 17,330 International Rectifier Corp. (b) 402,576 8,733 Lam Research Corp. (b) 399,884 74,409 RF Micro Devices, Inc. (b) 542,442 18,103 Semtech Corp. (b) 387,585 22,092 Skyworks Solutions, Inc. (b) 506,128 ------------ 3,754,864 ------------ SOFTWARE -- 5.2% 16,324 ACI Worldwide, Inc. (b) 397,816 3,501 Advent Software, Inc. (b) 188,074 23,951 Cadence Design Systems, Inc. (b) 202,865 2,253 FactSet Research Systems, Inc. 197,768 7,411 Fair Isaac Corp. 178,160 11,895 Informatica Corp. (b) 484,007 3,583 Jack Henry & Associates, Inc. 97,314 See Notes to Quarterly Portfolio of Investments Page 30 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 8,635 MICROS Systems, Inc. (b) $ 391,943 14,028 Parametric Technology Corp. (b) 301,181 14,863 Quest Software, Inc. (b) 388,965 9,063 Rovi Corp. (b) 459,041 8,276 Solera Holdings, Inc. 397,662 11,066 Synopsys, Inc. (b) 283,068 25,753 TIBCO Software, Inc. (b) 494,973 ------------ 4,462,837 ------------ SPECIALTY RETAIL -- 5.9% 24,763 Aaron's, Inc. 467,030 7,786 Advance Auto Parts, Inc. 505,934 24,431 American Eagle Outfitters, Inc. 391,140 18,058 AnnTaylor Stores Corp. (b) 420,751 16,911 Barnes & Noble, Inc. 253,327 13,035 Dick's Sporting Goods, Inc. (b) 375,669 11,542 Dress Barn (The), Inc. (b) 264,774 12,577 Foot Locker, Inc. 200,352 4,498 Guess?, Inc. 175,062 13,053 PetSmart, Inc. 488,574 20,414 Rent-A-Center, Inc. 513,208 11,519 Tractor Supply Co. 456,152 14,412 Williams-Sonoma, Inc. 466,516 ------------ 4,978,489 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.6% 8,493 Fossil, Inc. (b) 501,002 3,533 Hanesbrands, Inc. (b) 87,619 7,594 Phillips-Van Heusen Corp. 465,816 13,837 Timberland (The) Co., Class A (b) 290,300 10,143 Under Armour, Inc., Class A (b) 473,475 7,149 Warnaco Group (The), Inc. (b) 379,683 ------------ 2,197,895 ------------ THRIFTS & MORTGAGE FINANCE -- 0.3% 5,623 New York Community Bancorp, Inc. 95,197 7,240 NewAlliance Bancshares, Inc. 93,324 5,988 Washington Federal, Inc. 90,000 ------------ 278,521 ------------ TOBACCO -- 0.6% 11,396 Universal Corp. 472,250 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.3% 12,466 GATX Corp. 394,674 1,691 MSC Industrial Direct Co., Inc., Class A 96,285 30,787 United Rentals, Inc. (b) 578,488 ------------ 1,069,447 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- WATER UTILITIES -- 0.2% 8,958 Aqua America, Inc. $ 192,866 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 12,091 Syniverse Holdings, Inc. (b) 368,655 13,929 Telephone and Data Systems, Inc. 485,147 ------------ 853,802 ------------ TOTAL COMMON STOCKS -- 99.9% 84,919,223 (Cost $78,254,934) MONEY MARKET FUND -- 0.1% 42,964 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 42,964 (Cost $42,964) ------------ TOTAL INVESTMENTS -- 100.0% 84,962,187 (Cost $78,297,898) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (36,805) ------------ NET ASSETS -- 100.0% $ 84,925,382 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,972,702 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,308,413. See Notes to Quarterly Portfolio of Investments Page 31 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $84,919,223 $ -- $ -- Money Market Fund 42,964 -- -- ----------------------------------------- TOTAL INVESTMENTS $84,962,187 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 32 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.2% 8,758 AAR Corp. (b) $ 193,026 444 American Science & Engineering, Inc. 36,564 5,255 Applied Signal Technology, Inc. 176,358 6,999 Ceradyne, Inc. (b) 166,646 3,204 Cubic Corp. 139,598 4,315 Curtiss-Wright Corp. 133,247 2,284 Esterline Technologies Corp. (b) 138,045 19,930 GenCorp, Inc. (b) 97,059 2,761 Moog, Inc., Class A (b) 103,814 2,136 Orbital Sciences Corp. (b) 34,689 2,462 Teledyne Technologies, Inc. (b) 102,345 1,753 Triumph Group, Inc. 146,533 ------------ 1,467,924 ------------ AIR FREIGHT & LOGISTICS -- 0.2% 2,234 Hub Group, Inc., Class A (b) 72,538 ------------ AIRLINES -- 0.4% 11,707 SkyWest, Inc. 177,478 ------------ AUTO COMPONENTS -- 0.6% 4,701 Drew Industries, Inc. (b) 99,050 7,044 Spartan Motors, Inc. 35,784 9,312 Standard Motor Products, Inc. 98,987 1,891 Superior Industries International, Inc. 33,943 ------------ 267,764 ------------ AUTOMOBILES -- 0.1% 3,137 Winnebago Industries, Inc. (b) 31,370 ------------ BEVERAGES -- 0.2% 1,466 Soston Beer (The) Co., Inc., Class A (b) 104,951 ------------ BIOTECHNOLOGY -- 1.1% 12,693 ArQule, Inc. (b) 70,065 4,192 Cubist Pharmaceuticals, Inc. (b) 97,590 7,222 Martek Biosciences Corp. (b) 158,523 4,771 Regeneron Pharmaceuticals, Inc. (b) 124,428 5,717 Savient Pharmaceuticals, Inc. (b) 70,948 ------------ 521,554 ------------ BUILDING PRODUCTS -- 1.6% 2,823 A.O. Smith Corp. 158,173 17,861 Apogee Enterprises, Inc. 187,362 8,044 Griffon Corp. (b) 94,839 5,678 Quanex Building Products Corp. 102,317 1,268 Simpson Manufacturing Co., Inc. 33,703 4,470 Universal Forest Products, Inc. 134,726 ------------ 711,120 ------------ CAPITAL MARKETS -- 0.7% 11,493 Investment Technology Group, Inc. (b) 163,660 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 3,366 Piper Jaffray Cos. (b) $ 104,245 706 Stifel Financial Corp. (b) 33,458 4,559 SWS Group, Inc. 31,320 ------------ 332,683 ------------ CHEMICALS -- 3.4% 4,866 A. Schulman, Inc. 105,592 2,794 Arch Chemicals, Inc. 99,215 5,296 Balchem Corp. 161,846 2,254 Calgon Carbon Corp. (b) 33,832 6,580 H.B. Fuller Co. 135,811 7,040 LSB Industries, Inc. (b) 157,344 5,426 OM Group, Inc. (b) 180,523 28,360 Penford Corp. (b) 168,458 13,517 PolyOne Corp. (b) 174,640 3,011 Quaker Chemical Corp. 109,661 2,765 Stepan Co. 186,472 1,874 Zep, Inc. 33,994 ------------ 1,547,388 ------------ COMMERCIAL BANKS -- 2.3% 881 Bank of the Ozarks, Inc. 33,487 4,998 Boston Private Financial Holdings, Inc. 28,539 1,066 City Holding Co. 33,792 2,841 Community Bank System, Inc. 66,394 6,023 East West Bancorp, Inc. 106,185 5,997 First Commonwealth Financial Corp. 34,903 9,798 First Financial Bancorp 164,998 1,087 Hancock Holding Co. 34,154 1,609 Home Bancshares, Inc. 33,097 1,451 Independent Bank Corp. 34,084 1,481 NBT Bancorp, Inc. 32,656 3,753 S&T Bancorp, Inc. 73,559 1,683 Signature Bank (b) 71,090 1,156 Simmons First National Corp., Class A 31,432 3,873 Susquehanna Bancshares, Inc. 30,597 824 Tompkins Financial Corp. 31,806 1,841 UMB Financial Corp. 68,227 4,998 Wilshire Bancorp, Inc. 33,537 3,025 Wintrust Financial Corp. 90,568 ------------ 1,033,105 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.1% 3,028 ABM Industries, Inc. 68,281 2,366 Consolidated Graphics, Inc. (b) 110,137 7,149 G&K Services, Inc., Class A 176,723 2,800 Geo Group (The), Inc. (b) 71,820 5,737 Healthcare Services Group, Inc. 137,860 6,392 Mobile Mini, Inc. (b) 111,413 See Notes to Quarterly Portfolio of Investments Page 33 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 11,193 Standard Register (The) Co. $ 35,930 3,702 UniFirst Corp. 170,403 1,832 United Stationers, Inc. (b) 102,959 ------------ 985,526 ------------ COMMUNICATIONS EQUIPMENT -- 2.8% 16,727 Arris Group, Inc. (b) 155,728 5,097 Black Box Corp. 169,220 1,358 Blue Coat Systems, Inc. (b) 36,625 5,975 Comtech Telecommunications Corp. 184,150 6,011 DG Fastchannel, Inc. (b) 141,559 10,332 Digi International, Inc. (b) 99,807 6,050 NETGEAR, Inc. (b) 186,401 11,428 Symmetricom, Inc. (b) 71,197 7,566 Tekelec (b) 98,509 3,975 ViaSat, Inc. (b) 163,651 ------------ 1,306,847 ------------ COMPUTERS & PERIPHERALS -- 1.3% 5,394 Compellent Technologies, Inc. (b) 136,306 37,677 Hutchinson Technology, Inc. (b) 128,479 16,591 Novatel Wireless, Inc. (b) 173,874 2,358 Stratasys, Inc. (b) 73,853 2,323 Synaptics, Inc. (b) 62,558 ------------ 575,070 ------------ CONSTRUCTION & ENGINEERING -- 0.9% 6,092 Comfort Systems USA, Inc. 69,753 13,087 Dycom Industries, Inc. (b) 140,031 5,317 EMCOR Group, Inc. (b) 137,444 2,703 Insituform Technologies, Inc., Class A (b) 58,385 ------------ 405,613 ------------ CONSTRUCTION MATERIALS -- 0.1% 9,079 Headwaters, Inc. (b) 30,869 ------------ CONSUMER FINANCE -- 1.4% 1,868 Cash America International, Inc. 65,810 6,524 EZCORP, Inc., Class A (b) 140,135 5,889 First Cash Financial Services, Inc. (b) 171,193 9,111 Rewards Network, Inc. (b) 124,821 3,701 World Acceptance Corp. (b) 159,698 ------------ 661,657 ------------ CONTAINERS & PACKAGING -- 0.1% 3,805 Myers Industries, Inc. 33,598 ------------ DISTRIBUTORS -- 0.3% 23,892 Audiovox Corp., Class A (b) 154,820 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 995 American Public Education, Inc. (b) $ 27,820 3,801 Coinstar, Inc. (b) 218,862 3,039 Hillenbrand, Inc. 65,308 2,615 Pre-Paid Legal Services, Inc. (b) 157,371 3,344 Universal Technical Institute, Inc. 64,706 ------------ 534,067 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.2% 1,517 Portfolio Recovery Associates, Inc. (b) 101,715 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 2,548 Cbeyond, Inc. (b) 34,525 6,557 General Communication, Inc., Class A (b) 68,521 ------------ 103,046 ------------ ELECTRIC UTILITIES -- 1.3% 2,692 ALLETE, Inc. 97,935 6,482 Central Vermont Public Service Corp. 131,066 5,498 El Paso Electric Co. (b) 135,251 3,482 UIL Holdings Corp. 100,838 3,911 Unisource Energy Corp. 137,159 ------------ 602,249 ------------ ELECTRICAL EQUIPMENT -- 1.5% 1,526 AZZ, Inc. 56,676 3,717 Belden, Inc. 103,704 2,241 Brady Corp., Class A 68,911 4,378 II-VI, Inc. (b) 172,230 5,251 Powell Industries, Inc. (b) 162,046 6,711 Vicor Corp. 119,523 ------------ 683,090 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.0% 25,142 Agilysys, Inc. (b) 150,852 3,027 Anixter International, Inc. 162,520 9,965 Benchmark Electronics, Inc. (b) 163,725 9,352 Brightpoint, Inc. (b) 70,046 3,212 Checkpoint Systems, Inc. (b) 70,664 6,093 Cognex Corp. 162,683 13,590 CTS Corp. 137,939 9,985 Daktronics, Inc. 109,036 2,569 DTS, Inc. (b) 102,246 1,499 FARO Technologies, Inc. (b) 36,186 5,297 Gerber Scientific, Inc. (b) 35,437 8,359 Insight Enterprises, Inc. (b) 126,388 7,598 Keithley Instruments, Inc. 163,965 3,740 Littelfuse, Inc. (b) 158,688 See Notes to Quarterly Portfolio of Investments Page 34 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 2,717 Mercury Computer Systems, Inc. (b) $ 43,037 14,399 Methode Electronics, Inc. 133,767 11,529 Newport Corp. (b) 167,516 4,500 OSI Systems, Inc. (b) 162,000 2,482 Park Electrochemical Corp. 67,014 3,341 Plexus Corp. (b) 101,399 3,470 RadiSys Corp. (b) 33,902 3,115 Rogers Corp. (b) 110,894 2,357 ScanSource, Inc. (b) 70,569 4,646 SYNNEX Corp. (b) 134,920 6,677 TTM Technologies, Inc. (b) 69,975 ------------ 2,745,368 ------------ ENERGY EQUIPMENT & SERVICES -- 2.7% 7,672 Basic Energy Services, Inc. (b) 84,852 4,529 Bristow Group, Inc. (b) 175,635 1,614 CARBO Ceramics, Inc. 135,205 1,579 Dril-Quip, Inc. (b) 109,109 1,677 Hornbeck Offshore Services, Inc. (b) 37,297 12,718 ION Geophysical Corp. (b) 62,191 1,489 Lufkin Industries, Inc. 72,738 14,942 Matrix Service Co. (b) 135,673 1,404 Oil States International, Inc. (b) 71,772 20,492 Pioneer Drilling Co. (b) 126,231 1,919 SEACOR Holdings, Inc. (b) 181,825 3,204 TETRA Technologies, Inc. (b) 31,271 ------------ 1,223,799 ------------ FOOD & STAPLES RETAILING -- 1.0% 3,450 Andersons (The), Inc. 135,827 2,349 Casey's General Stores, Inc. 97,390 11,271 Spartan Stores, Inc. 168,501 986 United Natural Foods, Inc. (b) 35,259 ------------ 436,977 ------------ FOOD PRODUCTS -- 1.3% 6,030 Calavo Growers, Inc. 132,238 3,836 Darling International, Inc. (b) 38,398 1,595 Diamond Foods, Inc. 70,499 1,363 Hain Celestial Group (The), Inc. (b) 33,707 2,339 J & J Snack Foods Corp. 100,273 3,069 Lance, Inc. 69,789 755 Sanderson Farms, Inc. 31,695 2,127 TreeHouse Foods, Inc. (b) 99,331 ------------ 575,930 ------------ GAS UTILITIES -- 0.9% 2,849 Laclede Group (The), Inc. 100,028 833 New Jersey Resources Corp. 33,728 1,378 Northwest Natural Gas Co. 67,922 SHARES DESCRIPTION VALUE ------------------------------------------------------------- GAS UTILITIES (CONTINUED) 2,254 Piedmont Natural Gas Co., Inc. $ 66,470 3,892 Southwest Gas Corp. 135,286 ------------ 403,434 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% 6,677 Align Technology, Inc. (b) 113,709 1,669 American Medical Systems Holdings, Inc. (b) 33,714 1,457 Analogic Corp. 66,483 2,917 CONMED Corp. (b) 64,203 2,829 Cooper (The) Cos., Inc. 139,583 16,154 CryoLife, Inc. (b) 104,193 4,900 Cyberonics, Inc. (b) 134,799 1,409 Greatbatch, Inc. (b) 30,646 558 Haemonetics Corp. (b) 30,495 2,630 ICU Medical, Inc. (b) 95,995 828 Integra LifeSciences Holdings (b) 35,621 2,466 Invacare Corp. 66,582 2,263 Kensey Nash Corp. (b) 61,010 1,494 Meridian Bioscience, Inc. 34,198 4,114 Merit Medical Systems, Inc. (b) 65,042 4,828 Neogen Corp. (b) 161,352 10,172 Symmetry Medical, Inc. (b) 90,022 2,858 West Pharmaceutical Services, Inc. 102,002 5,064 Zoll Medical Corp. (b) 164,732 ------------ 1,594,381 ------------ HEALTH CARE PROVIDERS & SERVICES -- 5.5% 3,930 Air Methods Corp. (b) 160,737 2,309 AMERIGROUP Corp. (b) 96,355 6,359 AMN Healthcare Services, Inc. (b) 33,703 9,349 AmSurg Corp. (b) 169,030 3,134 Bio-Reference Laboratories, Inc. (b) 67,569 2,785 Catalyst Health Solutions, Inc. (b) 105,412 5,542 Centene Corp. (b) 123,697 1,721 Chemed Corp. 101,436 3,850 CorVel Corp. (b) 172,480 9,092 Cross Country Healthcare, Inc. (b) 66,372 9,104 Ensign Group (The), Inc. 170,882 7,479 Gentiva Health Services, Inc. (b) 174,111 6,744 Hanger Orthopedic Group, Inc. (b) 126,248 6,324 Healthspring, Inc. (b) 184,597 2,218 HMS Holdings Corp. (b) 133,324 522 Landauer, Inc. 31,889 2,768 Magellan Health Services, Inc. (b) 132,864 2,422 Molina Healthcare, Inc. (b) 62,778 2,831 MWI Veterinary Supply, Inc. (b) 161,933 17,148 PharMerica Corp. (b) 172,166 1,529 PSS World Medical, Inc. (b) 36,130 1,616 RehabCare Group, Inc. (b) 35,924 ------------ 2,519,637 ------------ See Notes to Quarterly Portfolio of Investments Page 35 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.2% 768 Computer Programs & Systems, Inc. $ 35,075 986 Quality Systems, Inc. 63,360 ------------ 98,435 ------------ HOTELS, RESTAURANTS & LEISURE -- 5.1% 398 Biglari Holdings, Inc. (b) 132,689 5,803 BJ's Restaurants, Inc. (b) 192,370 2,730 Buffalo Wild Wings, Inc. (b) 128,392 3,832 California Pizza Kitchen, Inc. (b) 63,266 952 CEC Entertainment, Inc. (b) 31,606 2,576 Cracker Barrel Old Country Store, Inc. 138,821 3,633 DineEquity, Inc. (b) 161,487 6,098 Jack in the Box, Inc. (b) 141,230 11,033 Marcus (The) Corp. 141,443 8,747 Monarch Casino & Resort, Inc. (b) 101,028 8,834 Multimedia Games, Inc. (b) 34,629 13,638 O'Charley's, Inc. (b) 102,285 2,830 P.F. Chang's China Bistro, Inc. 129,954 3,717 Papa John's International, Inc. (b) 96,010 955 Peet's Coffee & Tea, Inc. (b) 36,529 11,725 Pinnacle Entertainment, Inc. (b) 150,080 8,334 Red Robin Gourmet Burgers, Inc. (b) 169,180 11,014 Ruby Tuesday, Inc. (b) 133,269 24,452 Ruth's Hospitality Group, Inc. (b) 111,501 3,886 Shuffle Master, Inc. (b) 36,567 6,974 Texas Roadhouse, Inc. (b) 107,121 ------------ 2,339,457 ------------ HOUSEHOLD DURABLES -- 2.1% 3,963 Blyth, Inc. 158,996 6,462 Helen of Troy Ltd. (b) 165,750 19,003 Kid Brands, Inc. (b) 185,469 15,490 La-Z-Boy, Inc. (b) 120,357 1,666 Meritage Homes Corp. (b) 30,505 614 National Presto Industries, Inc. 68,725 41,165 Standard Pacific Corp. (b) 149,429 4,703 Universal Electronics, Inc. (b) 99,045 ------------ 978,276 ------------ HOUSEHOLD PRODUCTS -- 0.6% 15,775 Central Garden & Pet Co., Class A (b) 164,849 3,439 WD-40 Co. 126,864 ------------ 291,713 ------------ INDUSTRIAL CONGLOMERATES -- 0.5% 5,405 Standex International Corp. 145,557 5,166 Tredegar Corp. 99,652 ------------ 245,209 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE -- 3.7% 8,702 AMERISAFE, Inc. (b) $ 166,121 3,924 Delphi Financial Group, Inc., Class A 106,223 6,218 Employers Holdings, Inc. 100,669 7,353 Horace Mann Educators Corp. 137,428 3,351 Infinity Property & Casualty Corp. 173,414 10,319 National Financial Partners Corp. (b) 142,402 2,197 Navigators Group (The), Inc. (b) 100,996 6,670 Presidential Life Corp. 63,832 2,838 ProAssurance Corp. (b) 163,157 1,732 RLI Corp. 99,452 3,111 Safety Insurance Group, Inc. 144,537 8,026 Selective Insurance Group, Inc. 135,800 2,887 Stewart Information Services Corp. 31,237 4,199 Tower Group, Inc. 101,952 1,541 United Fire & Casualty Co. 30,866 ------------ 1,698,086 ------------ INTERNET & CATALOG RETAIL -- 0.4% 5,466 HSN, Inc. (b) 163,652 1,699 NutriSystem, Inc. 32,485 ------------ 196,137 ------------ INTERNET SOFTWARE & SERVICES -- 1.7% 6,948 comScore, Inc. (b) 163,347 7,548 InfoSpace, Inc. (b) 63,705 7,160 Knot Inc. (The) (b) 64,726 10,208 Liquidity Services, Inc. (b) 163,328 10,057 Stamps.com, Inc. (b) 160,510 28,571 United Online, Inc. 176,569 ------------ 792,185 ------------ IT SERVICES -- 1.6% 3,611 CACI International, Inc., Class A (b) 180,983 1,793 CSG Systems International, Inc. (b) 34,856 1,976 Forrester Research, Inc. (b) 65,346 4,429 Integral Systems, Inc. (b) 37,647 1,592 MAXIMUS, Inc. 96,523 5,183 NCI, Inc., Class A (b) 96,611 31,277 StarTek, Inc. (b) 127,610 2,746 Wright Express Corp. (b) 103,552 ------------ 743,128 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.6% 9,566 Arctic Cat, Inc. (b) 127,323 14,008 Callaway Golf Co. 96,375 7,412 JAKKS Pacific, Inc. (b) 139,716 2,008 Polaris Industries, Inc. 142,749 7,801 RC2 Corp. (b) 164,601 See Notes to Quarterly Portfolio of Investments Page 36 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE EQUIPMENT & PRODUCTS (CONTINUED) 4,792 Sturm, Ruger & Co., Inc. $ 75,043 ------------ 745,807 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.1% 23,072 Cambrex Corp. (b) 104,516 1,512 Dionex Corp. (b) 134,916 17,535 Kendle International, Inc. (b) 159,744 5,652 PAREXEL International Corp. (b) 121,518 ------------ 520,694 ------------ MACHINERY -- 2.5% 3,455 Albany International Corp., Class A 70,482 807 Badger Meter, Inc. 33,515 3,716 Barnes Group, Inc. 67,594 3,439 Briggs & Stratton Corp. 60,526 2,069 CIRCOR International, Inc. 72,580 1,692 CLARCOR, Inc. 67,105 1,965 ESCO Technologies, Inc. 67,360 12,128 Federal Signal Corp. 68,523 2,029 John Bean Technologies Corp. 34,696 1,889 Kaydon Corp. 65,869 1,509 Lindsay Corp. 86,994 13,323 Lydall, Inc. (b) 98,990 3,702 Mueller Industries, Inc. 108,839 2,325 Toro (The) Co. 131,967 2,880 Watts Water Technologies, Inc., Class A 101,290 ------------ 1,136,330 ------------ MEDIA -- 0.4% 2,337 Arbitron, Inc. 59,173 16,591 E.W. Scripps (The) Co., Class A (b) 145,005 ------------ 204,178 ------------ METALS & MINING -- 1.0% 1,248 AMCOL International Corp. 34,620 5,746 Brush Engineered Materials, Inc. (b) 190,480 4,964 Century Aluminum Co. (b) 67,113 2,292 Kaiser Aluminum Corp. 103,117 1,422 Olympic Steel, Inc. 31,881 1,067 RTI International Metals, Inc. (b) 33,184 ------------ 460,395 ------------ MULTILINE RETAIL -- 0.6% 11,080 Fred's, Inc., Class A 132,739 34,261 Tuesday Morning Corp. (b) 164,110 ------------ 296,849 ------------ MULTI-UTILITIES -- 0.8% 6,261 Avista Corp. 136,740 2,220 CH Energy Group, Inc. 100,899 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 4,587 NorthWestern Corp. $ 136,555 ------------ 374,194 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.8% 5,684 Holly Corp. 186,037 8,151 Penn Virginia Corp. 120,798 3,553 Petroleum Development Corp. (b) 110,889 10,734 PetroQuest Energy, Inc. (b) 59,896 6,657 Stone Energy Corp. (b) 104,049 4,656 Swift Energy Co. (b) 148,294 3,770 World Fuel Services Corp. 106,427 ------------ 836,390 ------------ PAPER & FOREST PRODUCTS -- 1.7% 11,110 Buckeye Technologies, Inc. 200,536 2,148 Clearwater Paper Corp. (b) 173,451 730 Deltic Timber Corp. 34,076 8,601 Neenah Paper, Inc. 132,025 1,682 Schweitzer-Mauduit International, Inc. 107,951 15,771 Wausau Paper Corp. 133,107 ------------ 781,146 ------------ PERSONAL PRODUCTS -- 0.3% 4,819 Medifast, Inc. (b) 115,078 ------------ PHARMACEUTICALS -- 0.9% 5,620 Par Pharmaceutical Cos., Inc. (b) 182,706 2,469 Salix Pharmaceuticals Ltd. (b) 93,402 8,769 ViroPharma, Inc. (b) 143,461 ------------ 419,569 ------------ PROFESSIONAL SERVICES -- 0.8% 3,641 Administaff, Inc. 95,431 5,749 Dolan (The) Co. (b) 61,514 973 Exponent, Inc. (b) 31,058 2,786 Kelly Services, Inc., Class A (b) 41,372 12,451 On Assignment, Inc. (b) 70,348 10,877 SFN Group, Inc. (b) 82,448 ------------ 382,171 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.1% 5,161 Acadia Realty Trust 98,472 3,648 BioMed Realty Trust, Inc. 66,941 1,514 Entertainment Properties Trust 69,992 6,113 Extra Space Storage, Inc. 99,031 2,632 Franklin Street Properties Corp. 35,137 1,397 Healthcare Realty Trust, Inc. 33,724 1,236 Home Properties, Inc. 67,300 986 Kilroy Realty Corp. 33,692 1,397 LaSalle Hotel Properties 33,095 1,281 LTC Properties, Inc. 35,676 3,223 Medical Properties Trust, Inc. 36,065 See Notes to Quarterly Portfolio of Investments Page 37 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 1,122 Mid-America Apartment Communities, Inc. $ 68,476 3,905 National Retail Properties, Inc. 105,825 862 Sovran Self Storage, Inc. 33,678 1,387 Tanger Factory Outlet Centers, Inc. 66,465 3,616 Urstadt Biddle Properties, Inc., Class A 69,463 ------------ 953,032 ------------ ROAD & RAIL -- 0.4% 4,396 Heartland Express, Inc. 65,544 1,691 Knight Transportation, Inc. 30,218 3,857 Old Dominion Freight Line, Inc. (b) 108,189 ------------ 203,951 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.7% 8,197 Actel Corp. (b) 170,989 10,998 ATMI, Inc. (b) 194,335 14,613 Brooks Automation, Inc. (b) 99,222 4,063 Cabot Microelectronics Corp. (b) 156,954 5,192 Cohu, Inc. 74,505 1,763 Cymer, Inc. (b) 65,143 10,393 Cypress Semiconductor Corp. (b) 146,541 1,913 Diodes, Inc. (b) 42,048 4,669 DSP Group, Inc. (b) 33,430 3,340 FEI Co. (b) 72,678 1,372 Hittite Microwave Corp. (b) 70,891 26,401 Kulicke & Soffa Industries, Inc. (b) 164,214 6,630 Micrel, Inc. 78,963 1,906 Microsemi Corp. (b) 38,120 9,089 MKS Instruments, Inc. (b) 187,688 11,800 Rudolph Technologies, Inc. (b) 87,556 5,689 Sigma Designs, Inc. (b) 64,912 1,433 Standard Microsystems Corp. (b) 34,593 1,478 Supertex, Inc. (b) 34,718 17,023 TriQuint Semiconductor, Inc. (b) 175,337 3,823 Ultratech, Inc. (b) 69,999 1,136 Varian Semiconductor Equipment Associates, Inc. (b) 37,113 1,875 Veeco Instruments, Inc. (b) 78,469 ------------ 2,178,418 ------------ SOFTWARE -- 4.0% 5,023 CommVault Systems, Inc. (b) 145,315 2,644 Concur Technologies, Inc. (b) 136,483 6,969 Ebix, Inc. (b) 172,134 3,757 Epicor Software Corp. (b) 35,316 5,332 EPIQ Systems, Inc. 62,491 1,857 Interactive Intelligence, Inc. (b) 45,887 2,578 JDA Software Group, Inc. (b) 65,224 2,227 Manhattan Associates, Inc. (b) 68,547 1,132 MicroStrategy, Inc., Class A (b) 102,593 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 7,968 NetScout Systems, Inc. (b) $ 187,009 16,761 Phoenix Technologies Ltd. (b) 69,055 1,975 Progress Software Corp. (b) 73,806 9,557 Radiant Systems, Inc. (b) 186,457 3,288 Smith Micro Software, Inc. (b) 39,982 11,488 Sonic Solutions (b) 137,511 5,667 Sourcefire, Inc. (b) 133,685 3,382 Taleo Corp., Class A (b) 97,030 4,864 Tyler Technologies, Inc. (b) 99,274 ------------ 1,857,799 ------------ SPECIALTY RETAIL -- 6.3% 2,436 Big 5 Sporting Goods Corp. 32,935 11,398 Brown Shoe Co., Inc. 133,927 3,444 Cabela's, Inc. (b) 63,852 6,107 Cato (The) Corp., Class A 161,530 2,011 Children's Place Retail Stores (The), Inc. (b) 88,605 12,396 Christopher & Banks Corp. 73,880 11,749 Finish Line (The), Inc., Class A 179,760 4,375 Genesco, Inc. (b) 143,325 3,282 Group 1 Automotive, Inc. (b) 115,723 11,983 Haverty Furniture Cos., Inc. 128,098 3,930 Hibbett Sports, Inc. (b) 105,914 21,826 Hot Topic, Inc. 125,063 3,668 Jo-Ann Stores, Inc. (b) 158,641 3,835 Jos. A. Bank Clothiers, Inc. (b) 167,206 6,816 Lithia Motors, Inc., Class A 74,294 2,661 Lumber Liquidators Holdings, Inc. (b) 64,077 4,122 Men's Wearhouse (The), Inc. 100,742 3,544 Monro Muffler Brake, Inc. 169,191 2,497 OfficeMax, Inc. (b) 44,197 12,357 Pep Boys-Manny, Moe & Jack (The) 144,453 13,300 Sonic Automotive, Inc., Class A (b) 145,236 12,571 Stage Stores, Inc. 167,571 14,806 Stein Mart, Inc. (b) 139,028 6,179 Zumiez, Inc. (b) 162,013 ------------ 2,889,261 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 3.1% 3,724 Carter's, Inc. (b) 92,728 12,561 Crocs, Inc. (b) 174,975 2,617 Deckers Outdoor Corp. (b) 152,048 7,471 Iconix Brand Group, Inc. (b) 130,742 5,665 Maidenform Brands, Inc. (b) 151,595 5,498 Oxford Industries, Inc. 126,619 5,983 Perry Ellis International, Inc. (b) 134,498 16,719 Quiksilver, Inc. (b) 69,718 6,957 Skechers U.S.A., Inc., Class A (b) 135,244 3,980 Steven Madden, Ltd. (b) 168,354 See Notes to Quarterly Portfolio of Investments Page 38 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 1,709 Volcom, Inc. (b) $ 29,344 2,253 Wolverine World Wide, Inc. 65,607 ------------ 1,431,472 ------------ THRIFTS & MORTGAGE FINANCE -- 0.4% 6,298 Bank Mutual Corp. 30,356 3,275 Brookline Bancorp, Inc. 31,899 7,080 Dime Community Bancshares, Inc. 103,297 ------------ 165,552 ------------ TOBACCO -- 0.4% 39,379 Alliance One International, Inc. (b) 174,055 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.5% 1,068 Applied Industrial Technologies, Inc. 32,478 6,421 Lawson Products, Inc. 118,339 1,174 Watsco, Inc. 65,709 ------------ 216,526 ------------ WATER UTILITIES -- 0.2% 1,827 American States Water Co. 68,238 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 10,195 USA Mobility, Inc. 171,582 ------------ TOTAL COMMON STOCKS -- 100.0% (Cost $42,123,521) 45,910,881 MONEY MARKET FUND -- 0.1% 37,552 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 37,552 (Cost $37,552) ------------ TOTAL INVESTMENTS -- 100.1% 45,948,433 (Cost $42,161,073) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (25,910) ------------ NET ASSETS -- 100.0% $ 45,922,523 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,851,884 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,064,524. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $45,910,881 $ -- $ -- Money Market Fund 37,552 -- -- ----------------------------------------- TOTAL INVESTMENTS $45,948,433 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 39 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.2% 6,766 General Dynamics Corp. $ 460,900 7,530 L-3 Communications Holdings, Inc. 543,591 2,981 Lockheed Martin Corp. 212,515 8,975 Northrop Grumman Corp. 567,310 9,297 Raytheon Co. 428,406 ------------ 2,212,722 ------------ AIR FREIGHT & LOGISTICS -- 0.5% 3,819 FedEx Corp. 335,003 ------------ BEVERAGES -- 1.0% 2,991 Dr. Pepper Snapple Group, Inc. 109,321 11,524 Molson Coors Brewing Co., Class B 544,279 ------------ 653,600 ------------ BIOTECHNOLOGY -- 1.3% 7,711 Amgen, Inc. (b) 440,992 6,806 Cephalon, Inc. (b) 452,191 ------------ 893,183 ------------ CAPITAL MARKETS -- 1.5% 2,939 Goldman Sachs Group (The), Inc. 473,032 17,220 Morgan Stanley 428,261 2,821 State Street Corp. 117,805 ------------ 1,019,098 ------------ CHEMICALS -- 0.7% 11,890 Dow Chemical (The) Co. 366,569 1,436 Eastman Chemical Co. 112,826 ------------ 479,395 ------------ COMMERCIAL BANKS -- 1.1% 1,299 M&T Bank Corp. 97,100 8,187 PNC Financial Services Group, Inc. 441,279 8,456 Wells Fargo & Co. 220,533 ------------ 758,912 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.4% 5,724 Avery Dennison Corp. 208,067 7,713 Cintas Corp. 211,876 4,756 Iron Mountain, Inc. 103,633 12,529 R.R. Donnelley & Sons Co. 231,160 5,945 Waste Management, Inc. 212,356 ------------ 967,092 ------------ COMMUNICATIONS EQUIPMENT -- 1.2% 9,595 Harris Corp. 433,598 57,044 Tellabs, Inc. 389,040 ------------ 822,638 ------------ COMPUTERS & PERIPHERALS -- 1.8% 10,102 Hewlett-Packard Co. 424,890 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMPUTERS & PERIPHERALS (CONTINUED) 7,318 Lexmark International, Inc., Class A (b) $ 278,304 14,848 SanDisk Corp. (b) 557,988 ------------ 1,261,182 ------------ CONSTRUCTION & ENGINEERING -- 0.8% 4,290 Fluor Corp. 206,735 2,745 Jacobs Engineering Group, Inc. (b) 105,985 11,137 Quanta Services, Inc. (b) 218,953 ------------ 531,673 ------------ CONSUMER FINANCE -- 1.4% 10,745 Capital One Financial Corp. 400,466 12,739 Discover Financial Services 224,844 28,269 SLM Corp. (b) 336,401 ------------ 961,711 ------------ CONTAINERS & PACKAGING -- 0.6% 3,346 Bemis Co., Inc. 106,269 14,524 Sealed Air Corp. 336,231 ------------ 442,500 ------------ DISTRIBUTORS -- 0.2% 2,383 Genuine Parts Co. 114,050 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.4% 25,213 H&R Block, Inc. 297,261 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.8% 8,104 Bank of America Corp. 92,710 8,577 JPMorgan Chase & Co. 322,752 16,804 NASDAQ OMX Group (The), Inc. (b) 353,220 14,875 NYSE Euronext 455,770 ------------ 1,224,452 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.8% 19,027 AT&T, Inc. 542,269 13,791 CenturyLink, Inc. 570,672 3,260 Verizon Communications, Inc. 105,852 ------------ 1,218,793 ------------ ELECTRIC UTILITIES -- 7.6% 22,193 Allegheny Energy, Inc. 514,878 11,730 American Electric Power Co., Inc. 439,171 11,998 Duke Energy Corp. 218,484 15,824 Edison International 583,906 5,553 Entergy Corp. 413,865 9,981 Exelon Corp. 407,424 11,027 FirstEnergy Corp. 400,501 7,814 NextEra Energy, Inc. 430,082 See Notes to Quarterly Portfolio of Investments Page 40 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 7,186 Northeast Utilities $ 224,778 22,848 Pepco Holdings, Inc. 440,052 10,298 Pinnacle West Capital Corp. 423,866 3,902 PPL Corp. 104,964 9,567 Progress Energy, Inc. 430,515 5,706 Southern Co. 216,086 ------------ 5,248,572 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 14,746 Jabil Circuit, Inc. 226,203 5,076 Molex, Inc. 103,043 ------------ 329,246 ------------ ENERGY EQUIPMENT & SERVICES -- 0.5% 18,079 Nabors Industries Ltd. (b) 377,851 ------------ FOOD & STAPLES RETAILING -- 2.3% 17,292 CVS Caremark Corp. 520,835 47,197 SUPERVALU, Inc. 509,256 3,725 Sysco Corp. 109,738 6,343 Walgreen Co. 214,901 3,970 Wal-Mart Stores, Inc. 215,055 ------------ 1,569,785 ------------ FOOD PRODUCTS -- 3.4% 17,048 Archer-Daniels-Midland Co. 568,039 2,972 Campbell Soup Co. 107,735 9,685 ConAgra Foods, Inc. 217,816 41,624 Dean Foods Co. (b) 432,889 2,908 General Mills, Inc. 109,166 4,764 Hormel Foods Corp. 218,763 5,394 J.M. Smucker (The) Co. 346,726 3,443 Kraft Foods, Inc., Class A 111,106 7,911 Sara Lee Corp. 113,365 6,632 Tyson Foods, Inc., Class A 103,128 ------------ 2,328,733 ------------ GAS UTILITIES -- 0.8% 7,126 Nicor, Inc. 339,411 4,718 ONEOK, Inc. 235,051 ------------ 574,462 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8% 4,406 Becton, Dickinson & Co. 332,741 1,305 C. R. Bard, Inc. 108,472 3,323 DENTSPLY International, Inc. 104,309 ------------ 545,522 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.4% 17,215 Aetna, Inc. 514,040 25,275 Coventry Health Care, Inc. (b) 591,941 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 10,832 Humana, Inc. (b) $ 631,397 3,439 McKesson Corp. 226,905 3,708 Patterson Cos., Inc. 102,526 8,420 Quest Diagnostics, Inc. 413,759 9,608 WellPoint, Inc. (b) 522,099 ------------ 3,002,667 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.0% 11,122 Carnival Corp. 480,137 4,967 Darden Restaurants, Inc. 227,041 ------------ 707,178 ------------ HOUSEHOLD DURABLES -- 1.3% 4,316 Fortune Brands, Inc. 233,280 9,336 Leggett & Platt, Inc. 190,268 5,965 Newell Rubbermaid, Inc. 105,282 5,249 Whirlpool Corp. 398,031 ------------ 926,861 ------------ HOUSEHOLD PRODUCTS -- 0.3% 1,633 Kimberly-Clark Corp. 103,434 1,772 Procter & Gamble (The) Co. 112,646 ------------ 216,080 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 2.0% 28,767 AES (The) Corp. (b) 343,478 16,879 Constellation Energy Group, Inc. 510,421 26,137 NRG Energy, Inc. (b) 520,388 ------------ 1,374,287 ------------ INDUSTRIAL CONGLOMERATES -- 0.9% 13,076 General Electric Co. 209,477 11,570 Tyco International Ltd. 442,900 ------------ 652,377 ------------ INSURANCE -- 7.1% 9,342 ACE Ltd. 555,102 8,022 Assurant, Inc. 317,190 9,549 Chubb (The) Corp. 554,033 14,731 Cincinnati Financial Corp. 433,681 14,227 Hartford Financial Services Group (The), Inc. 341,163 8,883 Lincoln National Corp. 217,456 8,615 Loews Corp. 340,120 8,198 Principal Financial Group, Inc. 220,034 5,091 Progressive (The) Corp. 107,726 7,844 Prudential Financial, Inc. 412,437 6,144 Torchmark Corp. 351,928 10,445 Travelers (The) Cos., Inc. 576,564 19,186 Unum Group 430,150 ------------ 4,857,584 ------------ See Notes to Quarterly Portfolio of Investments Page 41 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES -- 0.4% 14,996 Yahoo!, Inc. (b) $ 247,584 ------------ IT SERVICES -- 2.1% 11,830 Computer Sciences Corp. 580,262 20,432 SAIC, Inc. (b) 317,513 35,707 Total System Services, Inc. 557,386 ------------ 1,455,161 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.5% 25,296 Eastman Kodak Co. (b) 119,144 9,058 Mattel, Inc. 211,323 ------------ 330,467 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.7% 4,591 PerkinElmer, Inc. 107,659 6,819 Thermo Fisher Scientific, Inc. (b) 350,633 ------------ 458,292 ------------ MACHINERY -- 0.7% 2,576 Eaton Corp. 228,826 2,260 Illinois Tool Works, Inc. 103,282 1,516 Parker Hannifin Corp. 116,050 ------------ 448,158 ------------ MEDIA -- 5.5% 30,099 Comcast Corp., Class A 619,437 44,496 Gannett Co., Inc. 527,278 6,379 Meredith Corp. 216,567 42,185 New York Times (The) Co., Class A (b) 323,559 25,001 News Corp., Class A 361,515 6,048 Time Warner Cable, Inc. 349,998 17,755 Time Warner, Inc. 577,215 6,418 Walt Disney (The) Co. 231,754 1,362 Washington Post (The) Co., Class B 547,728 ------------ 3,755,051 ------------ METALS & MINING -- 0.6% 23,643 AK Steel Holding Corp. 297,665 8,773 Alcoa, Inc. 115,190 ------------ 412,855 ------------ MULTILINE RETAIL -- 2.9% 12,781 Big Lots, Inc. (b) 400,940 2,406 Family Dollar Stores, Inc. 111,085 12,013 J. C. Penney Co., Inc. 374,565 14,141 Macy's, Inc. 334,293 5,891 Sears Holdings Corp. (b) 424,034 6,110 Target Corp. 317,354 ------------ 1,962,271 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTI-UTILITIES -- 7.8% 19,161 Ameren Corp. $ 555,286 13,517 CenterPoint Energy, Inc. 223,841 23,584 CMS Energy Corp. 433,474 6,771 Consolidated Edison, Inc. 336,654 9,734 Dominion Resources, Inc. 423,040 11,848 DTE Energy Co. 554,012 4,082 Integrys Energy Group, Inc. 217,122 24,424 NiSource, Inc. 422,779 7,189 PG&E Corp. 343,778 12,847 Public Service Enterprise Group, Inc. 415,600 8,098 SCANA Corp. 330,722 6,069 Sempra Energy 324,570 18,852 TECO Energy, Inc. 331,607 1,838 Wisconsin Energy Corp. 109,435 14,215 Xcel Energy, Inc. 339,170 ------------ 5,361,090 ------------ OFFICE ELECTRONICS -- 0.3% 20,530 Xerox Corp. 240,201 ------------ OIL, GAS & CONSUMABLE FUELS -- 9.5% 10,844 Cabot Oil & Gas Corp. 314,259 18,763 Chesapeake Energy Corp. 407,157 6,714 Chevron Corp. 554,643 9,476 ConocoPhillips 562,874 8,406 Devon Energy Corp. 546,558 17,164 El Paso Corp. 227,595 6,878 Exxon Mobil Corp. 457,181 9,205 Hess Corp. 580,191 16,441 Marathon Oil Corp. 584,806 8,788 Murphy Oil Corp. 572,626 18,055 QEP Resources, Inc. 596,357 9,423 Spectra Energy Corp. 223,985 15,905 Tesoro Corp. 206,129 18,647 Valero Energy Corp. 334,714 17,086 Williams (The) Cos., Inc. 367,691 ------------ 6,536,766 ------------ PAPER & FOREST PRODUCTS -- 0.4% 9,770 International Paper Co. 246,986 ------------ PHARMACEUTICALS -- 3.5% 2,034 Abbott Laboratories 104,385 11,634 Eli Lilly & Co. 409,517 3,435 Forest Laboratories, Inc. (b) 113,527 5,270 Johnson & Johnson 335,541 42,669 King Pharmaceuticals, Inc. (b) 603,340 14,784 Merck & Co., Inc. 536,363 19,016 Pfizer, Inc. 330,878 ------------ 2,433,551 ------------ PROFESSIONAL SERVICES -- 0.3% 6,811 Equifax, Inc. 225,648 ------------ See Notes to Quarterly Portfolio of Investments Page 42 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.2% 6,741 Weyerhaeuser Co. $ 109,339 ------------ ROAD & RAIL -- 0.8% 1,921 CSX Corp. 118,045 1,785 Norfolk Southern Corp. 109,760 7,634 Ryder System, Inc. 333,988 ------------ 561,793 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.1% 76,537 Advanced Micro Devices, Inc. (b) 561,016 28,299 Intel Corp. 567,961 71,603 LSI Corp. (b) 375,200 75,476 Micron Technology, Inc. (b) 624,186 16,640 National Semiconductor Corp. 227,968 15,659 Texas Instruments, Inc. 463,037 ------------ 2,819,368 ------------ SOFTWARE -- 1.0% 10,061 CA, Inc. 233,516 12,455 Compuware Corp. (b) 124,675 21,523 Symantec Corp. (b) 348,242 ------------ 706,433 ------------ SPECIALTY RETAIL -- 3.2% 9,139 AutoNation, Inc. (b) 212,208 27,609 GameStop Corp., Class A (b) 542,793 29,194 Gap (The), Inc. 554,978 3,354 Home Depot (The), Inc. 103,571 14,648 Lowe's Cos., Inc. 312,442 19,924 RadioShack Corp. 401,070 5,079 Staples, Inc. 103,967 ------------ 2,231,029 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 2,623 VF Corp. 218,339 ------------ TOBACCO -- 0.3% 1,323 Lorillard, Inc. 112,905 1,789 Reynolds American, Inc. 116,106 ------------ 229,011 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.2% 40,629 MetroPCS Communications, Inc. (b) 422,948 91,788 Sprint Nextel Corp. (b) 378,166 ------------ 801,114 ------------ TOTAL COMMON STOCKS -- 99.9% 68,694,977 (Cost $65,383,780) SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUND -- 0.1% 45,646 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) $ 45,646 (Cost $45,646) ------------ TOTAL INVESTMENTS -- 100.0% 68,740,623 (Cost $65,429,426) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% 7,149 ------------ NET ASSETS -- 100.0% $ 68,747,772 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,400,863 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,089,666. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $68,694,977 $ -- $ -- Money Market Fund 45,646 -- -- ----------------------------------------- TOTAL INVESTMENTS $68,740,623 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 43 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.2% 3,164 Boeing (The) Co. $ 223,505 2,857 Goodrich Corp. 234,474 2,326 Honeywell International, Inc. 109,578 804 Precision Castparts Corp. 109,810 ------------ 677,367 ------------ AIR FREIGHT & LOGISTICS -- 2.4% 7,530 C.H. Robinson Worldwide, Inc. 530,714 11,388 Expeditors International of Washington, Inc. 562,112 3,157 United Parcel Service, Inc., Class B 212,592 ------------ 1,305,418 ------------ AUTOMOBILES -- 1.5% 43,007 Ford Motor Co. (b) 607,689 7,405 Harley-Davidson, Inc. 227,185 ------------ 834,874 ------------ BEVERAGES -- 1.1% 1,747 Coca-Cola (The) Co. 107,126 16,980 Coca-Cola Enterprises, Inc. 407,690 1,536 PepsiCo, Inc. 100,301 ------------ 615,117 ------------ BIOTECHNOLOGY -- 0.8% 1,820 Biogen Idec, Inc. (b) 114,132 4,332 Genzyme Corp. (b) 312,467 ------------ 426,599 ------------ CAPITAL MARKETS -- 2.1% 11,121 Ameriprise Financial, Inc. 574,845 1,970 Franklin Resources, Inc. 225,959 4,812 Invesco Ltd. 110,676 6,946 Legg Mason, Inc. 215,534 ------------ 1,127,014 ------------ CHEMICALS -- 6.0% 2,542 Air Products and Chemicals, Inc. 215,994 3,100 Airgas, Inc. 219,883 1,070 CF Industries Holdings, Inc. 131,107 11,798 E.I. du Pont de Nemours & Co. 557,809 4,149 Ecolab, Inc. 204,629 4,480 FMC Corp. 327,488 8,680 International Flavors & Fragrances, Inc. 435,389 5,784 PPG Industries, Inc. 443,633 1,133 Praxair, Inc. 103,488 4,078 Sherwin-Williams (The) Co. 297,571 5,078 Sigma-Aldrich Corp. 322,047 ------------ 3,259,038 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.0% 6,905 Republic Services, Inc. 205,838 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 4,413 Stericycle, Inc. (b) $ 316,589 ------------ 522,427 ------------ COMMUNICATIONS EQUIPMENT -- 1.1% 33,989 JDS Uniphase Corp. (b) 357,224 6,937 Juniper Networks, Inc. (b) 224,690 ------------ 581,914 ------------ COMPUTERS & PERIPHERALS -- 2.6% 1,854 Apple, Inc. (b) 557,813 15,093 EMC Corp. (b) 317,104 10,573 NetApp, Inc. (b) 563,012 ------------ 1,437,929 ------------ CONSUMER FINANCE -- 0.2% 2,430 American Express Co. 100,748 ------------ CONTAINERS & PACKAGING -- 1.8% 8,944 Ball Corp. 575,636 12,768 Pactiv Corp. (b) 423,642 ------------ 999,278 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.1% 1,991 Apollo Group, Inc., Class A (b) 74,623 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.6% 4,328 Leucadia National Corp. (b) 110,018 8,431 Moody's Corp. 228,143 ------------ 338,161 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 34,267 Windstream Corp. 433,820 ------------ ELECTRICAL EQUIPMENT -- 1.8% 4,000 Emerson Electric Co. 219,600 6,821 Rockwell Automation, Inc. 425,426 4,704 Roper Industries, Inc. 326,599 ------------ 971,625 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 6,310 Agilent Technologies, Inc. (b) 219,588 8,599 Amphenol Corp., Class A 431,068 5,589 Corning, Inc. 102,167 ------------ 752,823 ------------ ENERGY EQUIPMENT & SERVICES -- 2.2% 4,903 Cameron International Corp. (b) 214,506 4,488 FMC Technologies, Inc. (b) 323,585 9,270 Halliburton Co. 295,342 2,298 National Oilwell Varco, Inc. 123,540 See Notes to Quarterly Portfolio of Investments Page 44 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 6,935 Rowan Cos., Inc. (b) $ 228,162 ------------ 1,185,135 ------------ FOOD & STAPLES RETAILING -- 0.6% 8,259 Whole Foods Market, Inc. (b) 328,295 ------------ FOOD PRODUCTS -- 1.6% 4,444 H. J. Heinz Co. 218,245 2,146 Hershey (The) Co. 106,206 7,292 McCormick & Co., Inc. 322,452 3,699 Mead Johnson Nutrition Co. 217,575 ------------ 864,478 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.0% 1,793 Hospira, Inc. (b) 106,648 6,961 Varian Medical Systems, Inc. (b) 440,074 ------------ 546,722 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.3% 11,770 CIGNA Corp. 414,186 6,101 DaVita, Inc. (b) 437,747 6,296 Express Scripts, Inc. (b) 305,482 1,304 Laboratory Corp. of America Holdings (b) 106,041 14,994 UnitedHealth Group, Inc. 540,534 ------------ 1,803,990 ------------ HOTELS, RESTAURANTS & LEISURE -- 5.0% 11,754 Marriott International, Inc., Class A 435,486 4,113 McDonald's Corp. 319,868 3,993 Starbucks Corp. 113,720 8,012 Starwood Hotels & Resorts Worldwide, Inc. 433,770 15,331 Wyndham Worldwide Corp. 440,766 4,852 Wynn Resorts Ltd. 519,989 9,143 Yum! Brands, Inc. 453,127 ------------ 2,716,726 ------------ HOUSEHOLD DURABLES -- 1.2% 3,060 Harman International Industries, Inc. (b) 102,663 8,592 Stanley Black & Decker, Inc. 532,446 ------------ 635,109 ------------ INDUSTRIAL CONGLOMERATES -- 0.4% 2,428 3M Co. 204,486 ------------ INSURANCE -- 2.0% 8,145 Aflac, Inc. 455,224 2,546 Berkshire Hathaway, Inc., Class B (b) 202,560 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 19,442 XL Group PLC $ 411,198 ------------ 1,068,982 ------------ INTERNET & CATALOG RETAIL -- 2.9% 3,352 Amazon.com, Inc. (b) 553,549 14,928 Expedia, Inc. 432,166 1,512 priceline.com, Inc. (b) 569,737 ------------ 1,555,452 ------------ INTERNET SOFTWARE & SERVICES -- 2.3% 10,491 Akamai Technologies, Inc. (b) 542,070 4,187 eBay, Inc. (b) 124,814 195 Google, Inc., Class A (b) 119,533 13,269 VeriSign, Inc. (b) 461,098 ------------ 1,247,515 ------------ IT SERVICES -- 2.2% 8,165 Cognizant Technology Solutions Corp., Class A (b) 532,276 1,898 Fiserv, Inc. (b) 103,479 13,652 Teradata Corp. (b) 537,343 ------------ 1,173,098 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.8% 9,462 Hasbro, Inc. 437,618 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.2% 1,443 Waters Corp. (b) 106,970 ------------ MACHINERY -- 4.5% 5,354 Caterpillar, Inc. 420,824 5,812 Cummins, Inc. 512,037 2,515 Danaher Corp. 109,051 7,544 Deere & Co. 579,379 8,067 Dover Corp. 428,358 935 Flowserve Corp. 93,500 7,363 Pall Corp. 314,179 ------------ 2,457,328 ------------ MEDIA -- 4.9% 33,192 CBS Corp., Class B 561,941 12,644 DIRECTV, Class A (b) 549,508 12,088 Discovery Communications, Inc., Class A (b) 539,246 6,368 McGraw-Hill (The) Cos., Inc. 239,755 2,588 Omnicom Group, Inc. 113,769 8,851 Scripps Networks Interactive, Class A 450,427 5,819 Viacom, Inc., Class B 224,555 ------------ 2,679,201 ------------ METALS & MINING -- 2.6% 6,589 Cliffs Natural Resources, Inc. 429,603 See Notes to Quarterly Portfolio of Investments Page 45 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 6,164 Freeport-McMoRan Copper & Gold, Inc. $ 583,608 6,706 Newmont Mining Corp. 408,194 ------------ 1,421,405 ------------ MULTILINE RETAIL -- 0.8% 1,939 Kohl's Corp. (b) 99,277 8,241 Nordstrom, Inc. 317,361 ------------ 416,638 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.8% 1,044 Apache Corp. 105,465 2,803 Noble Energy, Inc. 228,389 6,256 Peabody Energy Corp. 330,942 4,714 Pioneer Natural Resources Co. 329,037 ------------ 993,833 ------------ PAPER & FOREST PRODUCTS -- 0.2% 4,191 MeadWestvaco Corp. 107,834 ------------ PERSONAL PRODUCTS -- 1.0% 6,558 Avon Products, Inc. 199,691 4,848 Estee Lauder (The) Cos., Inc., Class A 345,032 ------------ 544,723 ------------ PHARMACEUTICALS -- 1.2% 3,164 Allergan, Inc. 229,105 7,766 Bristol-Myers Squibb Co. 208,905 4,976 Watson Pharmaceuticals, Inc. (b) 232,131 ------------ 670,141 ------------ REAL ESTATE INVESTMENT TRUSTS -- 3.8% 9,848 Apartment Investment & Management Co., Class A 229,557 2,025 AvalonBay Communities, Inc. 215,278 3,688 Boston Properties, Inc. 317,869 6,444 Equity Residential 313,372 2,839 HCP, Inc. 102,232 2,160 Health Care REIT, Inc. 110,376 2,269 Simon Property Group, Inc. 217,869 1,981 Ventas, Inc. 106,102 4,923 Vornado Realty Trust 430,221 ------------ 2,042,876 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 28,796 CB Richard Ellis Group, Inc., Class A (b) 528,407 ------------ ROAD & RAIL -- 0.6% 3,746 Union Pacific Corp. 328,449 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.7% 17,455 Altera Corp. $ 544,770 9,768 Analog Devices, Inc. 328,888 5,949 Broadcom Corp., Class A 242,362 2,081 First Solar, Inc. (b) 286,512 8,701 KLA-Tencor Corp. 310,800 6,852 Linear Technology Corp. 220,840 9,748 Microchip Technology, Inc. 313,691 11,532 Novellus Systems, Inc. (b) 336,850 37,803 Teradyne, Inc. (b) 424,906 3,841 Xilinx, Inc. 102,977 ------------ 3,112,596 ------------ SOFTWARE -- 6.5% 9,589 Autodesk, Inc. (b) 346,930 2,526 BMC Software, Inc. (b) 114,832 7,714 Citrix Systems, Inc. (b) 494,236 12,016 Intuit, Inc. (b) 576,768 8,910 McAfee, Inc. (b) 421,443 15,686 Oracle Corp. 461,168 12,839 Red Hat, Inc. (b) 542,576 4,709 Salesforce.com, Inc. (b) 546,574 ------------ 3,504,527 ------------ SPECIALTY RETAIL -- 7.8% 5,356 Abercrombie & Fitch Co., Class A 229,558 2,299 AutoZone, Inc. (b) 546,311 7,061 Bed Bath & Beyond, Inc. (b) 309,978 10,315 Best Buy Co., Inc. 443,339 18,895 CarMax, Inc. (b) 585,556 19,656 Limited Brands, Inc. 577,690 9,894 O'Reilly Automotive, Inc. (b) 578,799 5,613 Ross Stores, Inc. 331,111 6,524 Tiffany & Co. 345,772 6,870 TJX (The) Cos., Inc. 315,264 ------------ 4,263,378 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.1% 9,803 Coach, Inc. 490,150 3,824 NIKE, Inc., Class B 311,426 3,411 Polo Ralph Lauren Corp. 330,458 ------------ 1,132,034 ------------ TOBACCO -- 1.4% 17,534 Altria Group, Inc. 445,714 5,471 Philip Morris International, Inc. 320,054 ------------ 765,768 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.2% 1,922 Fastenal Co. 98,944 See Notes to Quarterly Portfolio of Investments Page 46 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 4,420 W.W. Grainger, Inc. $ 548,213 ------------ 647,157 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 8,214 American Tower Corp., Class A (b) 423,925 ------------ TOTAL COMMON STOCKS -- 100.1% 54,373,571 (Cost $48,580,199) MONEY MARKET FUND -- 0.0% 7,557 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 7,557 (Cost $7,557) ------------ TOTAL INVESTMENTS -- 100.1% 54,381,128 (Cost $48,587,756) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (32,438) ------------ NET ASSETS -- 100.0% $ 54,348,690 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,886,109 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $92,737. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $54,373,571 $ -- $ -- Money Market Fund 7,557 -- -- ----------------------------------------- TOTAL INVESTMENTS $54,381,128 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 47 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.5% 1,654 AAR Corp. (b) $ 36,454 576 Alliant Techsystems, Inc. (b) 43,914 84 American Science & Engineering, Inc. 6,917 1,322 Ceradyne, Inc. (b) 31,477 815 Curtiss-Wright Corp. 25,167 430 Esterline Technologies Corp. (b) 25,989 1,169 General Dynamics Corp. 79,632 1,301 L-3 Communications Holdings, Inc. 93,919 514 Lockheed Martin Corp. 36,643 520 Moog, Inc., Class A (b) 19,552 1,552 Northrop Grumman Corp. 98,102 402 Orbital Sciences Corp. (b) 6,529 1,606 Raytheon Co. 74,005 464 Teledyne Technologies, Inc. (b) 19,289 ------------ 597,589 ------------ AIR FREIGHT & LOGISTICS -- 0.2% 659 FedEx Corp. 57,807 ------------ AIRLINES -- 0.4% 850 Alaska Air Group, Inc. (b) 44,880 4,194 JetBlue Airways Corp. (b) 29,274 2,211 SkyWest, Inc. 33,519 ------------ 107,673 ------------ AUTO COMPONENTS -- 0.2% 887 Drew Industries, Inc. (b) 18,689 1,329 Spartan Motors, Inc. 6,751 1,757 Standard Motor Products, Inc. 18,677 356 Superior Industries International, Inc. 6,390 ------------ 50,507 ------------ AUTOMOBILES -- 0.1% 840 Thor Industries, Inc. 26,452 ------------ BEVERAGES -- 0.5% 516 Dr. Pepper Snapple Group, Inc. 18,860 1,993 Molson Coors Brewing Co., Class B 94,129 ------------ 112,989 ------------ BIOTECHNOLOGY -- 0.8% 1,332 Amgen, Inc. (b) 76,177 1,176 Cephalon, Inc. (b) 78,133 1,364 Martek Biosciences Corp. (b) 29,940 ------------ 184,250 ------------ BUILDING PRODUCTS -- 0.4% 3,373 Apogee Enterprises, Inc. 35,383 686 Gibraltar Industries, Inc. (b) 6,263 1,012 Griffon Corp. (b) 11,931 239 Simpson Manufacturing Co., Inc. 6,353 844 Universal Forest Products, Inc. 25,438 ------------ 85,368 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS -- 1.2% 1,370 Apollo Investment Corp. $ 15,056 507 Goldman Sachs Group (The), Inc. 81,602 2,170 Investment Technology Group, Inc. (b) 30,901 617 Jefferies Group, Inc. 14,765 2,977 Morgan Stanley 74,038 636 Piper Jaffray Cos. (b) 19,697 554 Raymond James Financial, Inc. 15,634 487 State Street Corp. 20,337 861 SWS Group, Inc. 5,915 ------------ 277,945 ------------ CHEMICALS -- 2.4% 919 A. Schulman, Inc. 19,942 998 American Vanguard Corp. 7,355 528 Arch Chemicals, Inc. 18,749 1,482 Ashland, Inc. 76,516 1,331 Cabot Corp. 45,281 851 Calgon Carbon Corp. (b) 12,774 248 Cytec Industries, Inc. 12,281 2,056 Dow Chemical (The) Co. 63,387 248 Eastman Chemical Co. 19,485 1,241 H.B. Fuller Co. 25,614 737 Minerals Technologies, Inc. 43,240 1,392 Olin Corp. 27,826 1,024 OM Group, Inc. (b) 34,068 5,355 Penford Corp. (b) 31,809 569 Quaker Chemical Corp. 20,723 1,407 RPM International, Inc. 29,139 920 Sensient Technologies Corp. 29,725 521 Stepan Co. 35,136 881 Valspar (The) Corp. 28,280 ------------ 581,330 ------------ COMMERCIAL BANKS -- 1.9% 943 Boston Private Financial Holdings, Inc. 5,385 201 City Holding Co. 6,372 372 Commerce Bancshares, Inc. 13,704 535 Community Bank System, Inc. 12,503 1,137 East West Bancorp, Inc. 20,045 1,132 First Commonwealth Financial Corp. 6,588 1,850 First Financial Bancorp 31,154 1,547 Fulton Financial Corp. 14,449 205 Hancock Holding Co. 6,441 303 Home Bancshares, Inc. 6,233 273 Independent Bank Corp. 6,413 3,322 International Bancshares Corp. 56,906 224 M&T Bank Corp. 16,744 279 NBT Bancorp, Inc. 6,152 588 Old National Bancorp 5,562 1,414 PNC Financial Services Group, Inc. 76,215 See Notes to Quarterly Portfolio of Investments Page 48 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 864 Prosperity Bancshares, Inc. $ 26,862 709 S&T Bancorp, Inc. 13,896 218 Simmons First National Corp., Class A 5,927 709 Sterling Bancorp 6,657 731 Susquehanna Bancshares, Inc. 5,775 155 Tompkins Financial Corp. 5,983 644 Trustmark Corp. 14,226 347 UMB Financial Corp. 12,860 247 United Bankshares, Inc. 6,600 1,462 Wells Fargo & Co. 38,129 943 Wilshire Bancorp, Inc. 6,328 570 Wintrust Financial Corp. 17,066 ------------ 451,175 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.0% 572 ABM Industries, Inc. 12,899 989 Avery Dennison Corp. 35,950 3,145 Brink's (The) Co. 74,222 1,334 Cintas Corp. 36,645 413 Clean Harbors, Inc. (b) 29,117 446 Consolidated Graphics, Inc. (b) 20,761 2,269 Deluxe Corp. 46,378 1,349 G&K Services, Inc., Class A 33,347 529 Geo Group (The), Inc. (b) 13,569 822 Iron Mountain, Inc. 17,911 1,206 Mobile Mini, Inc. (b) 21,021 2,166 R.R. Donnelley & Sons Co. 39,963 2,114 Standard Register (The) Co. 6,786 699 UniFirst Corp. 32,175 345 United Stationers, Inc. (b) 19,389 1,027 Waste Management, Inc. 36,684 ------------ 476,817 ------------ COMMUNICATIONS EQUIPMENT -- 1.3% 3,159 Arris Group, Inc. (b) 29,410 962 Black Box Corp. 31,938 1,128 Comtech Telecommunications Corp. 34,765 1,134 DG Fastchannel, Inc. (b) 26,706 1,951 Digi International, Inc. (b) 18,847 1,659 Harris Corp. 74,970 1,429 Tekelec (b) 18,605 9,863 Tellabs, Inc. 67,266 ------------ 302,507 ------------ COMPUTERS & PERIPHERALS -- 1.0% 1,747 Hewlett-Packard Co. 73,479 7,115 Hutchinson Technology, Inc. (b) 24,262 1,264 Lexmark International, Inc., Class A (b) 48,070 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMPUTERS & PERIPHERALS (CONTINUED) 2,567 SanDisk Corp. (b) $ 96,468 ------------ 242,279 ------------ CONSTRUCTION & ENGINEERING -- 1.5% 2,313 Aecom Technology Corp. (b) 61,271 1,150 Comfort Systems USA, Inc. 13,167 2,471 Dycom Industries, Inc. (b) 26,440 1,004 EMCOR Group, Inc. (b) 25,953 742 Fluor Corp. 35,757 617 Granite Construction, Inc. 14,919 511 Insituform Technologies, Inc., Class A (b) 11,038 475 Jacobs Engineering Group, Inc. (b) 18,340 1,139 KBR, Inc. 28,931 1,926 Quanta Services, Inc. (b) 37,865 1,904 URS Corp. (b) 74,123 ------------ 347,804 ------------ CONSTRUCTION MATERIALS -- 0.0% 1,713 Headwaters, Inc. (b) 5,824 ------------ CONSUMER FINANCE -- 0.9% 1,858 Capital One Financial Corp. 69,248 2,203 Discover Financial Services 38,883 1,231 EZCORP, Inc., Class A (b) 26,442 1,719 Rewards Network, Inc. (b) 23,550 4,888 SLM Corp. (b) 58,167 ------------ 216,290 ------------ CONTAINERS & PACKAGING -- 1.1% 579 Bemis Co., Inc. 18,389 1,436 Myers Industries, Inc. 12,680 2,422 Packaging Corp. of America 59,169 1,126 Rock-Tenn Co., Class A 64,013 2,511 Sealed Air Corp. 58,130 839 Sonoco Products Co. 28,107 752 Temple-Inland, Inc. 15,581 ------------ 256,069 ------------ DISTRIBUTORS -- 0.2% 4,512 Audiovox Corp., Class A (b) 29,238 411 Genuine Parts Co. 19,670 ------------ 48,908 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.2% 187 American Public Education, Inc. (b) 5,229 3,369 Career Education Corp. (b) 59,092 10,303 Corinthian Colleges, Inc. (b) 53,782 4,359 H&R Block, Inc. 51,393 574 Hillenbrand, Inc. 12,335 793 Matthews International Corp., Class A 26,185 See Notes to Quarterly Portfolio of Investments Page 49 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 2,933 Regis Corp. $ 59,980 630 Universal Technical Institute, Inc. 12,190 ------------ 280,186 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.9% 1,400 Bank of America Corp. 16,016 1,483 JPMorgan Chase & Co. 55,805 2,905 NASDAQ OMX Group (The), Inc. (b) 61,063 2,572 NYSE Euronext 78,806 ------------ 211,690 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 3,290 AT&T, Inc. 93,765 2,384 CenturyLink, Inc. 98,650 1,237 General Communication, Inc., Class A (b) 12,927 564 Verizon Communications, Inc. 18,313 ------------ 223,655 ------------ ELECTRIC UTILITIES -- 6.1% 3,837 Allegheny Energy, Inc. 89,018 507 ALLETE, Inc. 18,445 2,028 American Electric Power Co., Inc. 75,928 1,223 Central Vermont Public Service Corp. 24,729 2,442 Cleco Corp. 76,361 1,073 DPL, Inc. 28,005 2,074 Duke Energy Corp. 37,768 2,736 Edison International 100,958 960 Entergy Corp. 71,549 1,726 Exelon Corp. 70,455 1,907 FirstEnergy Corp. 69,262 3,827 Great Plains Energy, Inc. 72,828 1,245 Hawaiian Electric Industries, Inc. 28,062 1,561 IDACORP, Inc. 57,445 1,350 NextEra Energy, Inc. 74,304 1,241 Northeast Utilities 38,818 4,267 NV Energy, Inc. 58,287 3,950 Pepco Holdings, Inc. 76,077 1,779 Pinnacle West Capital Corp. 73,224 6,350 PNM Resources, Inc. 74,867 675 PPL Corp. 18,158 1,654 Progress Energy, Inc. 74,430 986 Southern Co. 37,340 658 UIL Holdings Corp. 19,056 739 Unisource Energy Corp. 25,917 2,316 Westar Energy, Inc. 58,595 ------------ 1,449,886 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.6% 422 Brady Corp., Class A $ 12,977 855 Hubbell, Inc., Class B 46,187 991 Powell Industries, Inc. (b) 30,582 738 Regal-Beloit Corp. 42,590 ------------ 132,336 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.8% 4,748 Agilysys, Inc. (b) 28,488 2,099 Arrow Electronics, Inc. (b) 62,151 2,077 Avnet, Inc. (b) 61,853 1,882 Benchmark Electronics, Inc. (b) 30,921 1,766 Brightpoint, Inc. (b) 13,227 607 Checkpoint Systems, Inc. (b) 13,354 2,566 CTS Corp. 26,045 1,000 Gerber Scientific, Inc. (b) 6,690 4,290 Ingram Micro, Inc., Class A (b) 75,762 1,579 Insight Enterprises, Inc. (b) 23,875 2,550 Jabil Circuit, Inc. 39,117 2,719 Methode Electronics, Inc. 25,260 877 Molex, Inc. 17,803 469 Park Electrochemical Corp. 12,663 420 Plexus Corp. (b) 12,747 587 Rogers Corp. (b) 20,897 444 ScanSource, Inc. (b) 13,293 877 SYNNEX Corp. (b) 25,468 1,795 Tech Data Corp. (b) 77,167 7,472 Vishay Intertechnology, Inc. (b) 84,434 ------------ 671,215 ------------ ENERGY EQUIPMENT & SERVICES -- 2.0% 1,449 Basic Energy Services, Inc. (b) 16,026 855 Bristow Group, Inc. (b) 33,157 2,471 Exterran Holdings, Inc. (b) 62,195 1,258 Helix Energy Solutions Group, Inc. (b) 15,964 2,822 Matrix Service Co. (b) 25,624 3,126 Nabors Industries Ltd. (b) 65,333 1,643 Patterson-UTI Energy, Inc. 31,891 3,870 Pioneer Drilling Co. (b) 23,839 953 Pride International, Inc. (b) 28,895 361 SEACOR Holdings, Inc. (b) 34,205 1,614 Tidewater, Inc. 74,454 1,940 Unit Corp. (b) 76,106 ------------ 487,689 ------------ FOOD & STAPLES RETAILING -- 1.8% 1,045 BJ's Wholesale Club, Inc. (b) 43,608 590 Casey's General Stores, Inc. 24,461 2,990 CVS Caremark Corp. 90,059 1,618 Ruddick Corp. 56,468 2,128 Spartan Stores, Inc. 31,814 8,160 SUPERVALU, Inc. 88,046 See Notes to Quarterly Portfolio of Investments Page 50 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 643 Sysco Corp. $ 18,943 186 United Natural Foods, Inc. (b) 6,651 1,096 Walgreen Co. 37,133 685 Wal-Mart Stores, Inc. 37,106 ------------ 434,289 ------------ FOOD PRODUCTS -- 2.9% 2,948 Archer-Daniels-Midland Co. 98,227 513 Campbell Soup Co. 18,596 1,675 ConAgra Foods, Inc. 37,671 1,495 Corn Products International, Inc. 63,612 7,197 Dean Foods Co. (b) 74,849 1,129 Flowers Foods, Inc. 28,767 503 General Mills, Inc. 18,883 257 Hain Celestial Group (The), Inc. (b) 6,356 824 Hormel Foods Corp. 37,838 441 J & J Snack Foods Corp. 18,906 932 J.M. Smucker (The) Co. 59,909 594 Kraft Foods, Inc., Class A 19,168 913 Lancaster Colony Corp. 45,540 1,236 Ralcorp Holdings, Inc. (b) 76,706 1,368 Sara Lee Corp. 19,604 2,579 Smithfield Foods, Inc. (b) 43,198 1,147 Tyson Foods, Inc., Class A 17,836 ------------ 685,666 ------------ GAS UTILITIES -- 2.0% 1,131 AGL Resources, Inc. 44,403 1,918 Atmos Energy Corp. 56,485 1,582 Energen Corp. 70,620 537 Laclede Group (The), Inc. 18,854 270 National Fuel Gas Co. 14,899 157 New Jersey Resources Corp. 6,357 1,231 Nicor, Inc. 58,633 260 Northwest Natural Gas Co. 12,815 816 ONEOK, Inc. 40,653 425 Piedmont Natural Gas Co., Inc. 12,533 1,599 Questar Corp. 27,135 735 Southwest Gas Corp. 25,549 1,517 UGI Corp. 45,647 1,148 WGL Holdings, Inc. 44,255 ------------ 478,838 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 889 Beckman Coulter, Inc. 47,330 762 Becton, Dickinson & Co. 57,546 225 C. R. Bard, Inc. 18,702 551 CONMED Corp. (b) 12,128 3,050 CryoLife, Inc. (b) 19,672 575 DENTSPLY International, Inc. 18,049 876 Hologic, Inc. (b) 14,034 1,415 Immucor, Inc. (b) 24,621 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 466 Invacare Corp. $ 12,582 777 Merit Medical Systems, Inc. (b) 12,284 1,921 Symmetry Medical, Inc. (b) 17,001 493 Teleflex, Inc. 27,485 540 West Pharmaceutical Services, Inc. 19,273 ------------ 300,707 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.6% 2,976 Aetna, Inc. 88,863 435 AMERIGROUP Corp. (b) 18,153 1,200 AMN Healthcare Services, Inc. (b) 6,360 1,764 AmSurg Corp. (b) 31,893 1,046 Centene Corp. (b) 23,347 4,370 Coventry Health Care, Inc. (b) 102,345 1,717 Cross Country Healthcare, Inc. (b) 12,534 1,411 Gentiva Health Services, Inc. (b) 32,848 1,272 Hanger Orthopedic Group, Inc. (b) 23,812 1,193 Healthspring, Inc. (b) 34,824 1,873 Humana, Inc. (b) 109,177 5,555 Kindred Healthcare, Inc. (b) 76,215 2,063 LifePoint Hospitals, Inc. (b) 69,977 523 Magellan Health Services, Inc. (b) 25,104 595 McKesson Corp. 39,258 456 Molina Healthcare, Inc. (b) 11,819 2,350 Omnicare, Inc. 56,682 985 Owens & Minor, Inc. 28,053 640 Patterson Cos., Inc. 17,696 3,238 PharMerica Corp. (b) 32,510 288 PSS World Medical, Inc. (b) 6,805 1,456 Quest Diagnostics, Inc. 71,548 1,116 Universal Health Services, Inc., Class B 46,057 2,058 VCA Antech, Inc. (b) 42,539 1,661 WellPoint, Inc. (b) 90,259 ------------ 1,098,678 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.4% 2,577 Bob Evans Farms, Inc. 73,960 9,976 Boyd Gaming Corp. (b) 82,901 1,488 Brinker International, Inc. 27,587 1,923 Carnival Corp. 83,016 859 Darden Restaurants, Inc. 39,265 1,779 International Speedway Corp., Class A 40,632 1,152 Jack in the Box, Inc. (b) 26,680 2,083 Marcus (The) Corp. 26,704 1,652 Monarch Casino & Resort, Inc. (b) 19,081 1,668 Multimedia Games, Inc. (b) 6,539 2,575 O'Charley's, Inc. (b) 19,312 702 Papa John's International, Inc. (b) 18,133 See Notes to Quarterly Portfolio of Investments Page 51 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,574 Red Robin Gourmet Burgers, Inc. (b) $ 31,952 2,080 Ruby Tuesday, Inc. (b) 25,168 3,078 Ruth's Hospitality Group, Inc. (b) 14,036 1,445 Scientific Games Corp., Class A (b) 11,415 6,193 Wendy's/Arby's Group, Inc., Class A 28,488 ------------ 574,869 ------------ HOUSEHOLD DURABLES -- 2.0% 3,891 American Greetings Corp., Class A 75,369 748 Blyth, Inc. 30,010 746 Fortune Brands, Inc. 40,321 1,219 Helen of Troy Ltd. (b) 31,267 3,588 Kid Brands, Inc. (b) 35,019 2,925 La-Z-Boy, Inc. (b) 22,727 1,613 Leggett & Platt, Inc. 32,873 482 M.D.C. Holdings, Inc. 12,411 314 Meritage Homes Corp. (b) 5,749 814 Mohawk Industries, Inc. (b) 46,675 1,031 Newell Rubbermaid, Inc. 18,197 43 NVR, Inc. (b) 26,979 7,773 Standard Pacific Corp. (b) 28,216 907 Whirlpool Corp. 68,778 ------------ 474,591 ------------ HOUSEHOLD PRODUCTS -- 0.3% 2,979 Central Garden & Pet Co., Class A (b) 31,131 215 Church & Dwight Co., Inc. 14,158 282 Kimberly-Clark Corp. 17,862 306 Procter & Gamble (The) Co. 19,452 ------------ 82,603 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.0% 4,974 AES (The) Corp. (b) 59,390 2,918 Constellation Energy Group, Inc. 88,240 4,519 NRG Energy, Inc. (b) 89,973 ------------ 237,603 ------------ INDUSTRIAL CONGLOMERATES -- 0.9% 1,872 Carlisle Cos., Inc. 65,651 2,261 General Electric Co. 36,221 1,020 Standex International Corp. 27,469 975 Tredegar Corp. 18,808 2,000 Tyco International Ltd. 76,560 ------------ 224,709 ------------ INSURANCE -- 8.1% 1,614 ACE Ltd. 95,904 2,365 American Financial Group, Inc. 72,322 1,642 AMERISAFE, Inc. (b) 31,346 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 1,386 Assurant, Inc. $ 54,802 1,390 Brown & Brown, Inc. 30,983 1,651 Chubb (The) Corp. 95,791 2,547 Cincinnati Financial Corp. 74,984 493 Delphi Financial Group, Inc., Class A 13,345 1,173 Employers Holdings, Inc. 18,991 649 Everest Re Group Ltd. 54,698 3,572 Fidelity National Financial, Inc., Class A 47,829 2,905 First American Financial Corp. 40,786 597 Hanover Insurance Group, Inc. 27,014 2,460 Hartford Financial Services Group (The), Inc. 58,991 2,772 HCC Insurance Holdings, Inc. 73,403 1,389 Horace Mann Educators Corp. 25,960 633 Infinity Property & Casualty Corp. 32,758 1,536 Lincoln National Corp. 37,601 1,490 Loews Corp. 58,825 1,770 Mercury General Corp. 75,190 1,949 National Financial Partners Corp. (b) 26,896 414 Navigators Group (The), Inc. (b) 19,032 1,260 Presidential Life Corp. 12,058 1,416 Principal Financial Group, Inc. 38,005 535 ProAssurance Corp. (b) 30,757 880 Progressive (The) Corp. 18,621 2,579 Protective Life Corp. 61,819 1,355 Prudential Financial, Inc. 71,246 1,161 Reinsurance Group of America, Inc. 58,131 326 RLI Corp. 18,719 588 Safety Insurance Group, Inc. 27,318 1,516 Selective Insurance Group, Inc. 25,651 1,477 StanCorp Financial Group, Inc. 63,363 1,090 Stewart Information Services Corp. 11,794 1,062 Torchmark Corp. 60,831 1,103 Transatlantic Holdings, Inc. 58,018 1,806 Travelers (The) Cos., Inc. 99,691 290 United Fire & Casualty Co. 5,809 2,966 Unitrin, Inc. 72,074 3,317 Unum Group 74,367 2,073 W. R. Berkley Corp. 57,049 ------------ 1,932,772 ------------ INTERNET SOFTWARE & SERVICES -- 0.4% 1,424 InfoSpace, Inc. (b) 12,019 5,395 United Online, Inc. 33,341 2,593 Yahoo!, Inc. (b) 42,810 ------------ 88,170 ------------ IT SERVICES -- 2.2% 2,736 Acxiom Corp. (b) 48,017 See Notes to Quarterly Portfolio of Investments Page 52 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 682 CACI International, Inc., Class A (b) $ 34,182 2,045 Computer Sciences Corp. 100,307 1,341 Convergys Corp. (b) 15,180 1,463 CoreLogic, Inc. 25,705 967 DST Systems, Inc. 41,842 1,825 ManTech International Corp., Class A (b) 71,558 978 NCI, Inc., Class A (b) 18,230 3,533 SAIC, Inc. (b) 54,903 5,906 StarTek, Inc. (b) 24,097 6,174 Total System Services, Inc. 96,376 ------------ 530,397 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.5% 1,805 Arctic Cat, Inc. (b) 24,024 2,645 Callaway Golf Co. 18,198 4,374 Eastman Kodak Co. (b) 20,601 1,400 JAKKS Pacific, Inc. (b) 26,390 1,566 Mattel, Inc. 36,535 ------------ 125,748 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.8% 478 Bio-Rad Laboratories, Inc., Class A (b) 43,316 4,357 Cambrex Corp. (b) 19,737 846 Charles River Laboratories International, Inc. (b) 27,724 3,311 Kendle International, Inc. (b) 30,163 794 PerkinElmer, Inc. 18,619 1,178 Thermo Fisher Scientific, Inc. (b) 60,573 ------------ 200,132 ------------ MACHINERY -- 1.4% 268 Actuant Corp., Class A 6,022 359 AGCO Corp. (b) 15,247 651 Albany International Corp., Class A 13,280 152 Badger Meter, Inc. 6,312 702 Barnes Group, Inc. 12,769 648 Briggs & Stratton Corp. 11,405 444 Eaton Corp. 39,440 370 ESCO Technologies, Inc. 12,684 2,290 Federal Signal Corp. 12,938 2,283 Harsco Corp. 52,920 390 Illinois Tool Works, Inc. 17,823 382 John Bean Technologies Corp. 6,532 356 Kaydon Corp. 12,414 2,516 Lydall, Inc. (b) 18,694 699 Mueller Industries, Inc. 20,551 262 Parker Hannifin Corp. 20,056 416 Pentair, Inc. 13,616 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 1,949 Trinity Industries, Inc. $ 44,301 ------------ 337,004 ------------ MARINE -- 0.1% 402 Alexander & Baldwin, Inc. 13,841 ------------ MEDIA -- 3.3% 5,204 Comcast Corp., Class A 107,098 3,133 E.W. Scripps (The) Co., Class A (b) 27,382 7,693 Gannett Co., Inc. 91,162 3,719 Harte-Hanks, Inc. 44,925 342 John Wiley & Sons, Inc., Class A 14,761 1,102 Meredith Corp. 37,413 7,294 New York Times (The) Co., Class A (b) 55,945 4,323 News Corp., Class A 62,511 2,017 Scholastic Corp. 59,401 1,045 Time Warner Cable, Inc. 60,474 3,070 Time Warner, Inc. 99,806 1,110 Walt Disney (The) Co. 40,082 235 Washington Post (The) Co., Class B 94,505 ------------ 795,465 ------------ METALS & MINING -- 0.5% 4,088 AK Steel Holding Corp. 51,468 1,517 Alcoa, Inc. 19,918 937 Century Aluminum Co. (b) 12,668 268 Olympic Steel, Inc. 6,009 1,867 Worthington Industries, Inc. 28,752 ------------ 118,815 ------------ MULTILINE RETAIL -- 1.8% 1,486 99 Cents Only Stores (b) 22,914 2,210 Big Lots, Inc. (b) 69,328 415 Family Dollar Stores, Inc. 19,160 2,092 Fred's, Inc., Class A 25,062 2,077 J. C. Penney Co., Inc. 64,761 2,445 Macy's, Inc. 57,800 1,631 Saks, Inc. (b) 18,169 1,018 Sears Holdings Corp. (b) 73,276 1,056 Target Corp. 54,849 6,470 Tuesday Morning Corp. (b) 30,991 ------------ 436,310 ------------ MULTI-UTILITIES -- 5.2% 385 Alliant Energy Corp. 14,064 3,313 Ameren Corp. 96,011 1,478 Avista Corp. 32,280 1,390 Black Hills Corp. 44,258 2,337 CenterPoint Energy, Inc. 38,701 418 CH Energy Group, Inc. 18,998 4,078 CMS Energy Corp. 74,954 1,170 Consolidated Edison, Inc. 58,172 1,683 Dominion Resources, Inc. 73,143 2,048 DTE Energy Co. 95,764 See Notes to Quarterly Portfolio of Investments Page 53 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 706 Integrys Energy Group, Inc. $ 37,552 2,813 MDU Resources Group, Inc. 56,063 4,223 NiSource, Inc. 73,100 866 NorthWestern Corp. 25,781 713 NSTAR 29,739 1,088 OGE Energy Corp. 48,046 1,242 PG&E Corp. 59,392 2,221 Public Service Enterprise Group, Inc. 71,849 1,399 SCANA Corp. 57,135 1,049 Sempra Energy 56,101 3,259 TECO Energy, Inc. 57,326 1,678 Vectren Corp. 45,944 317 Wisconsin Energy Corp. 18,874 2,458 Xcel Energy, Inc. 58,648 ------------ 1,241,895 ------------ OFFICE ELECTRONICS -- 0.2% 3,550 Xerox Corp. 41,535 ------------ OIL, GAS & CONSUMABLE FUELS -- 6.7% 524 Arch Coal, Inc. 12,885 1,875 Cabot Oil & Gas Corp. 54,337 3,244 Chesapeake Energy Corp. 70,395 1,160 Chevron Corp. 95,828 1,092 Cimarex Energy Co. 83,811 1,930 Comstock Resources, Inc. (b) 43,135 1,637 ConocoPhillips 97,238 1,452 Devon Energy Corp. 94,409 2,968 El Paso Corp. 39,356 1,188 Exxon Mobil Corp. 78,966 1,889 Forest Oil Corp. (b) 58,049 1,590 Hess Corp. 100,218 2,843 Marathon Oil Corp. 101,125 1,518 Murphy Oil Corp. 98,913 408 Overseas Shipholding Group, Inc. 13,639 4,918 Patriot Coal Corp. (b) 66,344 1,538 Penn Virginia Corp. 22,793 671 Petroleum Development Corp. (b) 20,942 2,027 PetroQuest Energy, Inc. (b) 11,311 3,122 QEP Resources, Inc. 103,120 2,332 Southern Union Co. 58,603 1,628 Spectra Energy Corp. 38,698 1,256 Stone Energy Corp. (b) 19,631 879 Swift Energy Co. (b) 27,996 2,750 Tesoro Corp. 35,640 3,224 Valero Energy Corp. 57,871 2,954 Williams (The) Cos., Inc. 63,570 712 World Fuel Services Corp. 20,100 ------------ 1,588,923 ------------ PAPER & FOREST PRODUCTS -- 0.7% 2,098 Buckeye Technologies, Inc. 37,869 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PAPER & FOREST PRODUCTS (CONTINUED) 405 Clearwater Paper Corp. (b) $ 32,704 1,689 International Paper Co. 42,698 1,623 Neenah Paper, Inc. 24,913 2,978 Wausau Paper Corp. 25,134 ------------ 163,318 ------------ PHARMACEUTICALS -- 1.9% 351 Abbott Laboratories 18,013 2,011 Eli Lilly & Co. 70,787 594 Forest Laboratories, Inc. (b) 19,632 911 Johnson & Johnson 58,003 7,377 King Pharmaceuticals, Inc. (b) 104,311 2,556 Merck & Co., Inc. 92,732 3,288 Pfizer, Inc. 57,211 1,656 ViroPharma, Inc. (b) 27,092 ------------ 447,781 ------------ PROFESSIONAL SERVICES -- 0.6% 1,178 Equifax, Inc. 39,027 525 Kelly Services, Inc., Class A (b) 7,796 848 Korn/Ferry International (b) 14,950 3,732 Navigant Consulting, Inc. (b) 34,148 2,351 On Assignment, Inc. (b) 13,283 2,054 SFN Group, Inc. (b) 15,570 285 Towers Watson & Co., Class A 14,655 ------------ 139,429 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.3% 496 Franklin Street Properties Corp. 6,622 627 Hospitality Properties Trust 14,302 241 LTC Properties, Inc. 6,712 560 Rayonier, Inc. 29,232 1,166 Weyerhaeuser Co. 18,912 ------------ 75,780 ------------ ROAD & RAIL -- 0.9% 452 Con-way, Inc. 14,920 331 CSX Corp. 20,340 830 Heartland Express, Inc. 12,375 374 Kansas City Southern (b) 16,389 319 Knight Transportation, Inc. 5,701 308 Norfolk Southern Corp. 18,939 1,319 Ryder System, Inc. 57,706 2,738 Werner Enterprises, Inc. 58,374 ------------ 204,744 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.9% 13,233 Advanced Micro Devices, Inc. (b) 96,998 2,077 ATMI, Inc. (b) 36,701 2,760 Brooks Automation, Inc. (b) 18,740 767 Cabot Microelectronics Corp. (b) 29,629 See Notes to Quarterly Portfolio of Investments Page 54 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 980 Cohu, Inc. $ 14,063 882 DSP Group, Inc. (b) 6,315 7,695 Fairchild Semiconductor International, Inc. (b) 86,723 631 FEI Co. (b) 13,731 12,364 Integrated Device Technology, Inc. (b) 72,824 4,893 Intel Corp. 98,203 2,661 International Rectifier Corp. (b) 61,815 4,986 Kulicke & Soffa Industries, Inc. (b) 31,013 12,380 LSI Corp. (b) 64,871 1,251 Micrel, Inc. 14,899 13,050 Micron Technology, Inc. (b) 107,923 1,715 MKS Instruments, Inc. (b) 35,415 2,877 National Semiconductor Corp. 39,415 278 Supertex, Inc. (b) 6,530 2,707 Texas Instruments, Inc. 80,046 214 Varian Semiconductor Equipment Associates, Inc. (b) 6,991 ------------ 922,845 ------------ SOFTWARE -- 0.9% 1,740 CA, Inc. 40,385 2,154 Compuware Corp. (b) 21,562 1,006 EPIQ Systems, Inc. 11,790 1,137 Fair Isaac Corp. 27,334 549 Jack Henry & Associates, Inc. 14,911 3,721 Symantec Corp. (b) 60,206 1,752 Synopsys, Inc. (b) 44,816 ------------ 221,004 ------------ SPECIALTY RETAIL -- 4.3% 3,920 Aaron's, Inc. 73,931 3,751 American Eagle Outfitters, Inc. 60,054 1,579 AutoNation, Inc. (b) 36,664 2,677 Barnes & Noble, Inc. 40,102 2,152 Brown Shoe Co., Inc. 25,286 649 Cabela's, Inc. (b) 12,032 379 Children's Place Retail Stores (The), Inc. (b) 16,699 2,341 Christopher & Banks Corp. 13,952 2,219 Finish Line (The), Inc., Class A 33,951 1,931 Foot Locker, Inc. 30,761 4,774 GameStop Corp., Class A (b) 93,857 5,048 Gap (The), Inc. 95,963 826 Genesco, Inc. (b) 27,060 620 Group 1 Automotive, Inc. (b) 21,861 2,829 Haverty Furniture Cos., Inc. 30,242 580 Home Depot (The), Inc. 17,910 4,122 Hot Topic, Inc. 23,619 1,286 Lithia Motors, Inc., Class A 14,017 2,533 Lowe's Cos., Inc. 54,029 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 778 Men's Wearhouse (The), Inc. $ 19,014 472 OfficeMax, Inc. (b) 8,354 2,333 Pep Boys-Manny, Moe & Jack (The) 27,273 3,445 RadioShack Corp. 69,348 3,232 Rent-A-Center, Inc. 81,253 2,512 Sonic Automotive, Inc., Class A (b) 27,431 2,374 Stage Stores, Inc. 31,645 878 Staples, Inc. 17,973 2,796 Stein Mart, Inc. (b) 26,254 ------------ 1,030,535 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 702 Carter's, Inc. (b) 17,480 1,129 Perry Ellis International, Inc. (b) 25,380 3,157 Quiksilver, Inc. (b) 13,165 1,314 Skechers U.S.A., Inc., Class A (b) 25,544 2,191 Timberland (The) Co., Class A (b) 45,967 452 VF Corp. 37,624 ------------ 165,160 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% 1,188 Bank Mutual Corp. 5,726 617 Brookline Bancorp, Inc. 6,010 863 New York Community Bancorp, Inc. 14,611 1,112 NewAlliance Bancshares, Inc. 14,334 1,109 TrustCo Bank Corp. NY 5,977 919 Washington Federal, Inc. 13,812 ------------ 60,470 ------------ TOBACCO -- 0.6% 7,436 Alliance One International, Inc. (b) 32,867 228 Lorillard, Inc. 19,457 309 Reynolds American, Inc. 20,054 1,804 Universal Corp. 74,758 ------------ 147,136 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.4% 201 Applied Industrial Technologies, Inc. 6,112 1,914 GATX Corp. 60,597 1,213 Lawson Products, Inc. 22,356 ------------ 89,065 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 7,025 MetroPCS Communications, Inc. (b) 73,130 15,870 Sprint Nextel Corp. (b) 65,385 2,205 Telephone and Data Systems, Inc. 76,800 See Notes to Quarterly Portfolio of Investments Page 55 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES (CONTINUED) 1,925 USA Mobility, Inc. $ 32,398 ------------ 247,713 ------------ TOTAL COMMON STOCKS -- 99.9% 23,844,780 (Cost $22,980,211) MONEY MARKET FUND -- 0.1% 20,463 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 20,463 (Cost $20,463) ------------ TOTAL INVESTMENTS -- 100.0% 23,865,243 (Cost $23,000,674) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (7,321) ------------ NET ASSETS -- 100.0% $ 23,857,922 ============ (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,535,829 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $671,260. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $23,844,780 $ -- $ -- Money Market Fund 20,463 -- -- ----------------------------------------- TOTAL INVESTMENTS $23,865,243 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 56 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.3% 574 Applied Signal Technology, Inc. $ 19,263 522 BE Aerospace, Inc. (b) 19,189 326 Boeing (The) Co. 23,029 347 Cubic Corp. 15,119 2,176 GenCorp, Inc. (b) 10,597 291 Goodrich Corp. 23,882 238 Honeywell International, Inc. 11,212 81 Precision Castparts Corp. 11,063 191 Triumph Group, Inc. 15,966 ------------ 149,320 ------------ AIR FREIGHT & LOGISTICS -- 1.3% 771 C.H. Robinson Worldwide, Inc. 54,340 1,168 Expeditors International of Washington, Inc. 57,652 242 Hub Group, Inc., Class A (b) 7,858 322 United Parcel Service, Inc., Class B 21,684 ------------ 141,534 ------------ AUTO COMPONENTS -- 0.2% 1,175 Gentex Corp. 23,476 ------------ AUTOMOBILES -- 0.8% 4,417 Ford Motor Co. (b) 62,412 760 Harley-Davidson, Inc. 23,317 ------------ 85,729 ------------ BEVERAGES -- 0.9% 159 Boston Beer (The) Co., Inc., Class A (b) 11,383 178 Coca-Cola (The) Co. 10,915 1,744 Coca-Cola Enterprises, Inc. 41,874 491 Hansen Natural Corp. (b) 25,144 158 PepsiCo, Inc. 10,317 ------------ 99,633 ------------ BIOTECHNOLOGY -- 0.9% 1,384 ArQule, Inc. (b) 7,640 185 Biogen Idec, Inc. (b) 11,601 457 Cubist Pharmaceuticals, Inc. (b) 10,639 446 Genzyme Corp. (b) 32,170 520 Regeneron Pharmaceuticals, Inc. (b) 13,562 623 Savient Pharmaceuticals, Inc. (b) 7,731 281 United Therapeutics Corp. (b) 16,860 ------------ 100,203 ------------ BUILDING PRODUCTS -- 0.3% 314 A.O. Smith Corp. 17,594 183 Lennox International, Inc. 7,505 618 Quanex Building Products Corp. 11,136 ------------ 36,235 ------------ CAPITAL MARKETS -- 1.4% 295 Affiliated Managers Group, Inc. (b) 25,255 1,142 Ameriprise Financial, Inc. 59,030 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 201 Franklin Resources, Inc. $ 23,055 96 Greenhill & Co., Inc. 7,456 495 Invesco Ltd. 11,385 712 Legg Mason, Inc. 22,093 75 Stifel Financial Corp. (b) 3,554 280 Waddell & Reed Financial, Inc., Class A 8,140 ------------ 159,968 ------------ CHEMICALS -- 4.8% 259 Air Products and Chemicals, Inc. 22,007 319 Airgas, Inc. 22,627 678 Albemarle Corp. 33,988 592 Balchem Corp. 18,092 110 CF Industries Holdings, Inc. 13,478 1,210 E.I. du Pont de Nemours & Co. 57,209 426 Ecolab, Inc. 21,010 459 FMC Corp. 33,553 890 nternational Flavors & I Fragrances, Inc. 44,642 768 LSB Industries, Inc. (b) 17,165 375 Lubrizol (The) Corp. 38,434 350 NewMarket Corp. 41,482 1,512 PolyOne Corp. (b) 19,535 593 PPG Industries, Inc. 45,483 115 Praxair, Inc. 10,504 611 Scotts Miracle-Gro (The) Co., Class A 32,627 418 Sherwin-Williams (The) Co. 30,502 521 Sigma-Aldrich Corp. 33,042 ------------ 535,380 ------------ COMMERCIAL BANKS -- 0.1% 183 Signature Bank (b) 7,730 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.3% 928 Corrections Corp. of America (b) 23,822 625 Healthcare Services Group, Inc. 15,019 264 HNI Corp. 6,510 707 Republic Services, Inc. 21,076 678 Rollins, Inc. 17,662 454 Stericycle, Inc. (b) 32,570 799 Waste Connections, Inc. 32,551 ------------ 149,210 ------------ COMMUNICATIONS EQUIPMENT -- 2.3% 2,504 ADC Telecommunications, Inc. (b) 31,776 897 ADTRAN, Inc. 28,946 147 Blue Coat Systems, Inc. (b) 3,964 1,472 Ciena Corp. (b) 20,446 379 F5 Networks, Inc. (b) 44,608 3,490 JDS Uniphase Corp. (b) 36,680 See Notes to Quarterly Portfolio of Investments Page 57 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 712 Juniper Networks, Inc. (b) $ 23,062 675 NETGEAR, Inc. (b) 20,797 679 Plantronics, Inc. 24,362 1,247 Symmetricom, Inc. (b) 7,769 446 ViaSat, Inc. (b) 18,362 ------------ 260,772 ------------ COMPUTERS & PERIPHERALS -- 1.8% 190 Apple, Inc. (b) 57,165 587 Compellent Technologies, Inc. (b) 14,833 1,551 EMC Corp. (b) 32,587 1,083 NetApp, Inc. (b) 57,670 1,809 Novatel Wireless, Inc. (b) 18,958 386 Stratasys, Inc. (b) 12,090 127 Synaptics, Inc. (b) 3,420 ------------ 196,723 ------------ CONSUMER FINANCE -- 0.5% 248 American Express Co. 10,282 202 Cash America International, Inc. 7,117 658 First Cash Financial Services, Inc. (b) 19,128 415 World Acceptance Corp. (b) 17,907 ------------ 54,434 ------------ CONTAINERS & PACKAGING -- 1.6% 694 AptarGroup, Inc. 31,147 918 Ball Corp. 59,082 267 Greif, Inc., Class A 15,684 1,312 Pactiv Corp. (b) 43,532 722 Silgan Holdings, Inc. 24,367 ------------ 173,812 ------------ DISTRIBUTORS -- 0.2% 761 LKQ Corp. (b) 16,544 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.0% 202 Apollo Group, Inc., Class A (b) 7,571 330 Coinstar, Inc. (b) 19,001 294 Pre-Paid Legal Services, Inc. (b) 17,693 1,840 Service Corp. International 15,235 1,075 Sotheby's 47,128 ------------ 106,628 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.5% 443 Leucadia National Corp. (b) 11,261 864 Moody's Corp. 23,380 230 MSCI, Inc., Class A (b) 8,246 163 Portfolio Recovery Associates, Inc. (b) 10,929 ------------ 53,816 ------------ SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 279 Cbeyond, Inc. (b) $ 3,780 854 tw telecom, Inc. (b) 15,714 3,519 Windstream Corp. 44,551 ------------ 64,045 ------------ ELECTRIC UTILITIES -- 0.1% 600 El Paso Electric Co. (b) 14,760 ------------ ELECTRICAL EQUIPMENT -- 2.1% 330 AMETEK, Inc. 17,836 166 AZZ, Inc. 6,165 391 Baldor Electric Co. 16,430 403 Belden, Inc. 11,244 410 Emerson Electric Co. 22,509 490 II-VI, Inc. (b) 19,277 699 Rockwell Automation, Inc. 43,597 482 Roper Industries, Inc. 33,465 559 Thomas & Betts Corp. (b) 24,344 731 Vicor Corp. 13,019 706 Woodward Governor Co. 22,126 ------------ 230,012 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.4% 647 Agilent Technologies, Inc. (b) 22,516 881 Amphenol Corp., Class A 44,165 337 Anixter International, Inc. 18,093 681 Cognex Corp. 18,183 574 Corning, Inc. 10,493 1,089 Daktronics, Inc. 11,892 279 DTS, Inc. (b) 11,104 162 FARO Technologies, Inc. (b) 3,911 849 Keithley Instruments, Inc. 18,321 418 Littelfuse, Inc. 17,736 295 Mercury Computer Systems, Inc. (b) 4,673 1,257 Newport Corp. (b) 18,264 504 OSI Systems, Inc. (b) 18,144 377 RadiSys Corp. (b) 3,683 904 Trimble Navigation Ltd. (b) 32,399 728 TTM Technologies, Inc. (b) 7,629 ------------ 261,206 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% 503 Cameron International Corp. (b) 22,006 175 CARBO Ceramics, Inc. 14,660 171 Dril-Quip, Inc. (b) 11,816 462 FMC Technologies, Inc. (b) 33,310 951 Halliburton Co. 30,299 183 Hornbeck Offshore Services, Inc. (b) 4,070 1,386 ION Geophysical Corp. (b) 6,777 See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 161 Lufkin Industries, Inc. $ 7,865 234 National Oilwell Varco, Inc. 12,580 152 Oil States International, Inc. (b) 7,770 712 Rowan Cos., Inc. (b) 23,425 858 Superior Energy Services, Inc. (b) 23,698 347 TETRA Technologies, Inc. (b) 3,387 ------------ 201,663 ------------ FOOD & STAPLES RETAILING -- 0.4% 375 Andersons (The), Inc. 14,764 847 Whole Foods Market, Inc. (b) 33,668 ------------ 48,432 ------------ FOOD PRODUCTS -- 1.4% 657 Calavo Growers, Inc. 14,408 418 Darling International, Inc. (b) 4,184 174 Diamond Foods, Inc. 7,691 735 Green Mountain Coffee Roasters, Inc. (b) 24,248 456 H. J. Heinz Co. 22,394 218 Hershey (The) Co. 10,789 334 Lance, Inc. 7,595 747 McCormick & Co., Inc. 33,032 379 Mead Johnson Nutrition Co. 22,293 81 Sanderson Farms, Inc. 3,400 231 TreeHouse Foods, Inc. (b) 10,788 ------------ 160,822 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 728 Align Technology, Inc. (b) 12,398 182 American Medical Systems Holdings, Inc. (b) 3,676 159 Analogic Corp. 7,255 310 Cooper (The) Cos., Inc. 15,295 535 Cyberonics, Inc. (b) 14,718 473 Edwards Lifesciences Corp. (b) 30,230 158 Gen-Probe, Inc. (b) 7,652 153 Greatbatch, Inc. (b) 3,328 59 Haemonetics Corp. (b) 3,224 882 Hill-Rom Holdings, Inc. 34,178 183 Hospira, Inc. (b) 10,885 286 ICU Medical, Inc. (b) 10,439 122 IDEXX Laboratories, Inc. (b) 7,315 89 Integra LifeSciences Holdings (b) 3,829 246 Kensey Nash Corp. (b) 6,632 279 Masimo Corp. 8,417 162 Meridian Bioscience, Inc. 3,708 539 Neogen Corp. (b) 18,013 482 ResMed, Inc. (b) 15,361 206 Thoratec Corp. (b) 6,724 713 Varian Medical Systems, Inc. (b) 45,076 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 567 Zoll Medical Corp. (b) $ 18,445 ------------ 286,798 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.4% 440 Air Methods Corp. (b) 17,996 343 Bio-Reference Laboratories, Inc. (b) 7,395 303 Catalyst Health Solutions, Inc. (b) 11,469 186 Chemed Corp. 10,963 1,209 CIGNA Corp. 42,545 431 CorVel Corp. (b) 19,309 625 DaVita, Inc. (b) 44,844 794 Ensign Group (The), Inc. 14,903 646 Express Scripts, Inc. (b) 31,344 998 Health Management Associates, Inc., Class A (b) 7,994 270 Henry Schein, Inc. (b) 15,160 241 HMS Holdings Corp. (b) 14,486 134 Laboratory Corp. of America Holdings (b) 10,897 56 Landauer, Inc. 3,421 318 MWI Veterinary Supply, Inc. (b) 18,190 682 Psychiatric Solutions, Inc. (b) 22,983 176 RehabCare Group, Inc. (b) 3,912 1,539 UnitedHealth Group, Inc. 55,481 791 WellCare Health Plans, Inc. (b) 21,974 ------------ 375,266 ------------ HEALTH CARE TECHNOLOGY -- 0.2% 411 Allscripts Healthcare Solutions, Inc. (b) 7,846 83 Computer Programs & Systems, Inc. 3,791 106 Quality Systems, Inc. 6,811 ------------ 18,448 ------------ HOTELS, RESTAURANTS & LEISURE -- 5.0% 42 Biglari Holdings, Inc. (b) 14,003 649 BJ's Restaurants, Inc. (b) 21,514 298 Buffalo Wild Wings, Inc. (b) 14,015 626 California Pizza Kitchen, Inc. (b) 10,335 104 CEC Entertainment, Inc. (b) 3,453 865 Cheesecake Factory (The), Inc. (b) 25,189 230 Chipotle Mexican Grill, Inc. (b) 48,348 280 Cracker Barrel Old Country Store, Inc. 15,089 407 DineEquity, Inc. (b) 18,091 1,002 Life Time Fitness, Inc. (b) 36,202 1,206 Marriott International, Inc., Class A 44,682 423 McDonald's Corp. 32,897 310 P.F. Chang's China Bistro, Inc. 14,235 355 Panera Bread Co., Class A (b) 31,776 See Notes to Quarterly Portfolio of Investments Page 59 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,279 Pinnacle Entertainment, Inc. (b) $ 16,371 410 Starbucks Corp. 11,677 822 Starwood Hotels & Resorts Worldwide, Inc. 44,503 760 Texas Roadhouse, Inc. (b) 11,674 1,575 Wyndham Worldwide Corp. 45,281 498 Wynn Resorts Ltd. 53,371 937 Yum! Brands, Inc. 46,438 ------------ 559,144 ------------ HOUSEHOLD DURABLES -- 0.9% 314 Harman International Industries, Inc. (b) 10,535 66 National Presto Industries, Inc. 7,387 881 Stanley Black & Decker, Inc. 54,596 346 Tupperware Brands Corp. 15,504 513 Universal Electronics, Inc. (b) 10,804 ------------ 98,826 ------------ HOUSEHOLD PRODUCTS -- 0.4% 342 Energizer Holdings, Inc. (b) 25,575 376 WD-40 Co. 13,870 ------------ 39,445 ------------ INDUSTRIAL CONGLOMERATES -- 0.2% 248 3M Co. 20,887 ------------ INSURANCE -- 1.2% 835 Aflac, Inc. 46,668 601 Arthur J. Gallagher & Co. 16,924 259 Berkshire Hathaway, Inc., Class B (b) 20,606 458 Tower Group, Inc. 11,120 1,998 XL Group PLC 42,258 ------------ 137,576 ------------ INTERNET & CATALOG RETAIL -- 2.0% 343 Amazon.com, Inc. (b) 56,643 1,534 Expedia, Inc. 44,409 610 HSN, Inc. (b) 18,264 242 Netflix, Inc. (b) 41,987 184 NutriSystem, Inc. 3,518 154 priceline.com, Inc. (b) 58,029 ------------ 222,850 ------------ INTERNET SOFTWARE & SERVICES -- 2.4% 1,075 Akamai Technologies, Inc. (b) 55,545 777 comScore, Inc. (b) 18,267 224 Digital River, Inc. (b) 8,346 431 eBay, Inc. (b) 12,848 223 Equinix, Inc. (b) 18,786 19 Google, Inc., Class A (b) 11,647 779 Knot (The), Inc. (b) 7,042 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 1,142 Liquidity Services, Inc. (b) $ 18,272 1,527 Rackspace Hosting, Inc. (b) 38,114 1,096 Stamps.com, Inc. 17,492 584 ValueClick, Inc. (b) 8,036 1,361 VeriSign, Inc. (b) 47,295 ------------ 261,690 ------------ IT SERVICES -- 2.1% 241 Alliance Data Systems Corp. (b) 14,633 1,001 Broadridge Financial Solutions, Inc. 22,022 838 Cognizant Technology Solutions Corp., Class A (b) 54,629 193 Fiserv, Inc. (b) 10,522 106 Forrester Research, Inc. 3,505 1,075 Gartner, Inc. (b) 34,067 177 Global Payments, Inc. 6,896 483 Integral Systems, Inc. (b) 4,105 174 MAXIMUS, Inc. 10,550 307 NeuStar, Inc., Class A (b) 7,924 1,402 Teradata Corp. (b) 55,183 298 Wright Express Corp. (b) 11,238 ------------ 235,274 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.8% 970 Hasbro, Inc. 44,862 218 Polaris Industries, Inc. 15,498 872 RC2 Corp. (b) 18,399 522 Sturm, Ruger & Co., Inc. 8,175 ------------ 86,934 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.6% 163 Dionex Corp. (b) 14,545 183 Mettler-Toledo International, Inc. (b) 23,892 616 PAREXEL International Corp. (b) 13,244 147 Waters Corp. (b) 10,897 ------------ 62,578 ------------ MACHINERY -- 4.9% 457 Bucyrus International, Inc. 31,149 550 Caterpillar, Inc. 43,230 112 CIRCOR International, Inc. 3,929 184 CLARCOR, Inc. 7,297 834 Crane Co. 31,909 595 Cummins, Inc. 52,419 257 Danaher Corp. 11,144 774 Deere & Co. 59,443 335 Donaldson Co., Inc. 16,321 827 Dover Corp. 43,914 96 Flowserve Corp. 9,600 425 Gardner Denver, Inc. 24,574 See Notes to Quarterly Portfolio of Investments Page 60 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 646 IDEX Corp. $ 23,308 450 Joy Global, Inc. 31,928 273 Lincoln Electric Holdings, Inc. 16,314 163 Lindsay Corp. 9,397 431 Nordson Corp. 33,627 279 Oshkosh Corp. (b) 8,233 754 Pall Corp. 32,173 120 SPX Corp. 8,047 251 Toro (The) Co. 14,247 480 Wabtec Corp. 22,483 314 Watts Water Technologies, Inc., Class A 11,043 ------------ 545,729 ------------ MEDIA -- 2.6% 254 Arbitron, Inc. 6,431 3,409 CBS Corp., Class B 57,714 1,297 DIRECTV, Class A (b) 56,368 1,240 Discovery Communications, Inc., Class A (b) 55,316 239 Lamar Advertising Co., Class A (b) 8,124 654 McGraw-Hill (The) Cos., Inc. 24,623 264 Omnicom Group, Inc. 11,606 907 Scripps Networks Interactive, Class A 46,157 598 Viacom, Inc., Class B 23,077 ------------ 289,416 ------------ METALS & MINING -- 1.7% 136 AMCOL International Corp. 3,773 642 Brush Engineered Materials, Inc. (b) 21,282 675 Cliffs Natural Resources, Inc. 44,010 632 Freeport-McMoRan Copper & Gold, Inc. 59,838 249 Kaiser Aluminum Corp. 11,202 688 Newmont Mining Corp. 41,879 115 RTI International Metals, Inc. (b) 3,576 ------------ 185,560 ------------ MULTILINE RETAIL -- 0.8% 811 Dollar Tree, Inc. (b) 41,612 199 Kohl's Corp. (b) 10,189 846 Nordstrom, Inc. 32,580 ------------ 84,381 ------------ OFFICE ELECTRONICS -- 0.3% 942 Zebra Technologies Corp., Class A (b) 33,705 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.7% 106 Apache Corp. 10,708 635 Bill Barrett Corp. (b) 23,971 635 Holly Corp. 20,784 945 Mariner Energy, Inc. (b) 23,549 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 400 Newfield Exploration Co. (b) $ 23,848 287 Noble Energy, Inc. 23,385 641 Peabody Energy Corp. 33,909 483 Pioneer Natural Resources Co. 33,713 ------------ 193,867 ------------ PAPER & FOREST PRODUCTS -- 0.2% 79 Deltic Timber Corp. 3,688 431 MeadWestvaco Corp. 11,089 183 Schweitzer-Mauduit International, Inc. 11,745 ------------ 26,522 ------------ PERSONAL PRODUCTS -- 0.9% 1,051 Alberto-Culver Co. 39,192 672 Avon Products, Inc. 20,462 497 Estee Lauder (The) Cos., Inc., Class A 35,371 394 Medifast, Inc. (b) 9,409 ------------ 104,434 ------------ PHARMACEUTICALS -- 1.9% 326 Allergan, Inc. 23,606 798 Bristol-Myers Squibb Co. 21,466 1,193 Endo Pharmaceuticals Holdings, Inc. (b) 43,831 1,336 Medicis Pharmaceutical Corp., Class A 39,746 627 Par Pharmaceutical Cos., Inc. (b) 20,384 494 Perrigo Co. 32,545 267 Salix Pharmaceuticals Ltd. (b) 10,100 511 Watson Pharmaceuticals, Inc. (b) 23,838 ------------ 215,516 ------------ PROFESSIONAL SERVICES -- 0.3% 398 Administaff, Inc. 10,431 503 Corporate Executive Board (The) Co. 15,714 626 Dolan (The) Co. (b) 6,698 105 Exponent, Inc. (b) 3,352 ------------ 36,195 ------------ REAL ESTATE INVESTMENT TRUSTS -- 4.2% 562 Acadia Realty Trust 10,723 1,010 Apartment Investment & Management Co., Class A 23,543 207 AvalonBay Communities, Inc. 22,006 399 BioMed Realty Trust, Inc. 7,322 378 Boston Properties, Inc. 32,580 383 BRE Properties, Inc. 16,442 159 Camden Property Trust 7,885 163 Entertainment Properties Trust 7,535 See Notes to Quarterly Portfolio of Investments Page 61 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 662 Equity Residential $ 32,193 144 Essex Property Trust, Inc. 16,266 666 Extra Space Storage, Inc. 10,789 193 Federal Realty Investment Trust 15,822 290 HCP, Inc. 10,443 219 Health Care REIT, Inc. 11,191 152 Healthcare Realty Trust, Inc. 3,669 135 Home Properties, Inc. 7,351 106 Kilroy Realty Corp. 3,622 152 LaSalle Hotel Properties 3,601 177 Macerich (The) Co. 7,896 352 Medical Properties Trust, Inc. 3,939 121 Mid-America Apartment Communities, Inc. 7,385 426 National Retail Properties, Inc. 11,545 195 Nationwide Health Properties, Inc. 7,962 705 OMEGA Healthcare Investors, Inc. 16,215 224 Potlatch Corp. 7,627 225 Realty Income Corp. 7,713 192 Regency Centers Corp. 8,098 975 Senior Housing Properties Trust 23,293 232 Simon Property Group, Inc. 22,277 249 SL Green Realty Corp. 16,364 94 Sovran Self Storage, Inc. 3,672 151 Tanger Factory Outlet Centers, Inc. 7,236 362 UDR, Inc. 8,138 394 Urstadt Biddle Properties, Inc., Class A 7,569 202 Ventas, Inc. 10,819 505 Vornado Realty Trust 44,132 ------------ 464,863 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 2,958 CB Richard Ellis Group, Inc., Class A (b) 54,279 459 Jones Lang LaSalle, Inc. 35,830 ------------ 90,109 ------------ ROAD & RAIL -- 0.5% 218 J.B. Hunt Transport Services, Inc. 7,839 422 Old Dominion Freight Line, Inc. (b) 11,837 385 Union Pacific Corp. 33,757 ------------ 53,433 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.7% 894 Actel Corp. (b) 18,649 1,791 Altera Corp. 55,897 1,002 Analog Devices, Inc. 33,737 4,982 Atmel Corp. (b) 44,141 610 Broadcom Corp., Class A 24,851 192 Cymer, Inc. (b) 7,094 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,134 Cypress Semiconductor Corp. (b) $ 15,989 208 Diodes, Inc. (b) 4,572 211 First Solar, Inc. (b) 29,050 150 Hittite Microwave Corp. (b) 7,750 891 KLA-Tencor Corp. 31,827 758 Lam Research Corp. (b) 34,709 703 Linear Technology Corp. 22,658 1,000 Microchip Technology, Inc. 32,180 207 Microsemi Corp. (b) 4,140 1,183 Novellus Systems, Inc. (b) 34,555 6,457 RF Micro Devices, Inc. (b) 47,072 1,287 Rudolph Technologies, Inc. (b) 9,550 1,569 Semtech Corp. (b) 33,592 619 Sigma Designs, Inc. (b) 7,063 1,918 Skyworks Solutions, Inc. (b) 43,941 155 Standard Microsystems Corp. (b) 3,742 3,882 Teradyne, Inc. (b) 43,634 1,906 TriQuint Semiconductor, Inc. (b) 19,632 417 Ultratech, Inc. (b) 7,635 203 Veeco Instruments, Inc. (b) 8,496 394 Xilinx, Inc. 10,563 ------------ 636,719 ------------ SOFTWARE -- 7.9% 1,415 ACI Worldwide, Inc. (b) 34,484 303 Advent Software, Inc. (b) 16,277 984 Autodesk, Inc. (b) 35,601 257 BMC Software, Inc. (b) 11,683 2,079 Cadence Design Systems, Inc. (b) 17,609 791 Citrix Systems, Inc. (b) 50,679 547 CommVault Systems, Inc. (b) 15,825 289 Concur Technologies, Inc. (b) 14,918 778 Ebix, Inc. (b) 19,217 410 Epicor Software Corp. (b) 3,854 194 FactSet Research Systems, Inc. 17,029 1,031 Informatica Corp. (b) 41,951 1,234 Intuit, Inc. (b) 59,232 280 JDA Software Group, Inc. (b) 7,084 241 Manhattan Associates, Inc. (b) 7,418 913 McAfee, Inc. (b) 43,185 747 MICROS Systems, Inc. (b) 33,906 122 MicroStrategy, Inc., Class A (b) 11,057 695 NetScout Systems, Inc. (b) 16,312 1,609 Oracle Corp. 47,305 1,171 Parametric Technology Corp. (b) 25,141 1,827 Phoenix Technologies Ltd. (b) 7,527 215 Progress Software Corp. (b) 8,035 1,288 Quest Software, Inc. (b) 33,707 1,070 Radiant Systems, Inc. (b) 20,876 1,318 Red Hat, Inc. (b) 55,699 785 Rovi Corp. (b) 39,760 483 Salesforce.com, Inc. (b) 56,062 See Notes to Quarterly Portfolio of Investments Page 62 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 358 Smith Micro Software, Inc. (b) $ 4,353 718 Solera Holdings, Inc. 34,500 939 Sonic Solutions (b) 11,240 633 Sourcefire, Inc. (b) 14,932 369 Taleo Corp., Class A (b) 10,587 2,234 TIBCO Software, Inc. (b) 42,938 530 Tyler Technologies, Inc. (b) 10,817 ------------ 880,800 ------------ SPECIALTY RETAIL -- 7.4% 550 Abercrombie & Fitch Co., Class A 23,573 674 Advance Auto Parts, Inc. 43,797 1,566 AnnTaylor Stores Corp. (b) 36,488 234 AutoZone, Inc. (b) 55,605 723 Bed Bath & Beyond, Inc. (b) 31,740 1,057 Best Buy Co., Inc. 45,430 264 Big 5 Sporting Goods Corp. 3,569 1,938 CarMax, Inc. (b) 60,059 682 Cato (The) Corp., Class A 18,039 1,129 Dick's Sporting Goods, Inc. (b) 32,538 963 Dress Barn (The), Inc. (b) 22,091 391 Guess?, Inc. 15,218 430 Hibbett Sports, Inc. (b) 11,588 410 Jo-Ann Stores, Inc. (b) 17,732 430 Jos. A. Bank Clothiers, Inc. (b) 18,748 2,018 Limited Brands, Inc. 59,309 289 Lumber Liquidators Holdings, Inc. (b) 6,959 398 Monro Muffler Brake, Inc. 19,001 1,015 O'Reilly Automotive, Inc. (b) 59,377 1,134 PetSmart, Inc. 42,446 576 Ross Stores, Inc. 33,978 670 Tiffany & Co. 35,510 704 TJX (The) Cos., Inc. 32,307 999 Tractor Supply Co. 39,560 1,249 Williams-Sonoma, Inc. 40,430 673 Zumiez, Inc. (b) 17,646 ------------ 822,738 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 3.5% 1,006 Coach, Inc. 50,300 1,406 Crocs, Inc. (b) 19,585 283 Deckers Outdoor Corp. (b) 16,442 736 Fossil, Inc. (b) 43,417 295 Hanesbrands, Inc. (b) 7,316 815 Iconix Brand Group, Inc. (b) 14,262 633 Maidenform Brands, Inc. (b) 16,939 393 NIKE, Inc., Class B 32,006 600 Oxford Industries, Inc. 13,818 658 Phillips-Van Heusen Corp. 40,362 351 Polo Ralph Lauren Corp. 34,005 446 Steven Madden, Ltd. (b) 18,866 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 879 Under Armour, Inc., Class A (b) $ 41,032 619 Warnaco Group (The), Inc. (b) 32,875 247 Wolverine World Wide, Inc. 7,193 ------------ 388,418 ------------ THRIFTS & MORTGAGE FINANCE -- 0.1% 771 Dime Community Bancshares, Inc. 11,249 ------------ TOBACCO -- 0.7% 1,799 Altria Group, Inc. 45,731 561 Philip Morris International, Inc. 32,818 ------------ 78,549 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.2% 195 Fastenal Co. 10,039 142 MSC Industrial Direct Co., Inc., Class A 8,085 2,672 United Rentals, Inc. (b) 50,207 451 W.W. Grainger, Inc. 55,938 191 Watsco, Inc. 10,690 ------------ 134,959 ------------ WATER UTILITIES -- 0.2% 98 American States Water Co. 3,661 776 Aqua America, Inc. 16,707 ------------ 20,368 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 842 American Tower Corp., Class A (b) 43,456 1,010 Syniverse Holdings, Inc. (b) 30,795 ------------ 74,251 ------------ TOTAL COMMON STOCKS -- 100.0% 11,109,584 (Cost $9,927,440) ------------ MONEY MARKET FUND -- 0.1% 15,994 Morgan Stanley Institutional Treasury Money Market Fund - 0.05% (c) 15,994 (Cost $15,994) ----------- TOTAL INVESTMENTS -- 100.1% 11,125,578 (Cost $9,943,434) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (10,947) ------------ NET ASSETS -- 100.0% $ 11,114,631 ------------ See Notes to Quarterly Portfolio of Investments Page 63 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) OCTOBER 31, 2010 (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 October 31, 2010. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2010, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,216,807 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $34,663. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2010 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------- Common Stocks* $11,109,584 $ -- $ -- Money Market Fund 15,994 -- -- ----------------------------------------- TOTAL INVESTMENTS $11,125,578 $ -- $ -- ========================================= * See Portfolio of Investments for industry breakout. See Notes to Quarterly Portfolio of Investments Page 64 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS OCTOBER 31, 2010 (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" and 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 daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended (the "1940 Act"). Portfolio securities listed on any exchange other than the NASDAQ National Market ("NASDAQ") or the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. 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 asked 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 or the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. 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 Page 65 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) 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 that makes 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 Fund 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 the Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical securities. An active market is a market in which transactions for the security occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar securities in active markets. o Quoted prices for identical or similar securities in markets that are non-active. A non-active market is a market where there are few transactions for the security, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the security (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the security. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of October 31, 2010, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Page 66 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2010 (UNAUDITED) 2. SUBSEQUENT EVENT On October 12, 2010, First Trust Advisors ("FTA") announced that James A. Bowen, its President, acquired 100% of the voting stock of the Charger Corporation, the general partner of FTA (the "Transaction"). FTA is a limited partnership with one limited partner and one general partner (The Charger Corporation). The Transaction is not expected to impact the day-to-day operations of any of the Funds or FTA. The consummation of the Transaction is deemed to be an "assignment" (as defined in the 1940 Act) of the investment management agreement and distribution agreement for each Fund and resulted in the automatic termination of the agreements. In addition, the expense reimbursement, fee waiver and recovery agreement terminated pursuant to its terms upon the termination of the investment management agreement. The Trust's Board of Trustees has approved an interim investment management agreement with FTA which was entered into effective upon the closing of the Transaction and will be in effect for a maximum period of 150 days. A new investment management agreement with FTA has been approved by the Board of Trustees of the Trust and was submitted to shareholders of each Fund as of the record date (September 30, 2010) for approval. A special shareholder meeting of each Fund to vote on a proposal to approve the new investment management agreement was held on December 6, 2010, at which time the new investment management agreement for each of the following Funds was approved and became effective: 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; and First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund. The new investment management agreement for each of the First Trust Multi Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund was approved by shareholders at a special shareholder meeting held on December 20, 2010 and became effective as of that date. The Trust's Board of Trustees also approved a new Distribution Agreement and expense reimbursement, fee waiver and recovery agreement for each Fund which were entered into effective upon the closing of the Transaction. Page 67 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ADDITIONAL INFORMATION OCTOBER 31, 2010 (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. Page 68 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: December 21, 2010 ------------------------------ 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: December 21, 2010 ------------------------------ By: /s/ Mark R. Bradley ------------------------------------------------------------ Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: December 21, 2010 ----------------------------