N-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 --------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (630) 765-8000 -------------- Date of fiscal year end: July 31 ------- Date of reporting period: January 31, 2011 ---------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. Item 1. Report to Stockholders. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2011 -------------------------------------------------------------------------------- AlphaDEX(R) Sector Funds ------------------------ 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 AlphaDEX(R) Style Funds ----------------------- 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 [LOGO OMITTED] AlphaDEX(R) Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. TABLE OF CONTENTS First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 Shareholder Letter........................................................ 2 Market Overview........................................................... 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund................. 4 First Trust Consumer Staples AlphaDEX(R) Fund....................... 6 First Trust Energy AlphaDEX(R) Fund................................. 8 First Trust Financials AlphaDEX(R) Fund............................. 10 First Trust Health Care AlphaDEX(R) Fund............................ 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund.......... 14 First Trust Materials AlphaDEX(R) Fund.............................. 16 First Trust Technology AlphaDEX(R) Fund............................. 18 First Trust Utilities AlphaDEX(R) Fund.............................. 20 First Trust Large Cap Core AlphaDEX(R) Fund......................... 22 First Trust Mid Cap Core AlphaDEX(R) Fund........................... 24 First Trust Small Cap Core AlphaDEX(R) Fund......................... 26 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund.......... 28 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund......... 30 First Trust Multi Cap Value AlphaDEX(R) Fund........................ 32 First Trust Multi Cap Growth AlphaDEX(R) Fund....................... 34 Notes to Fund Performance Overview........................................ 36 Understanding Your Fund Expenses.......................................... 37 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund................. 39 First Trust Consumer Staples AlphaDEX(R) Fund....................... 42 First Trust Energy AlphaDEX(R) Fund................................. 43 First Trust Financials AlphaDEX(R) Fund............................. 44 First Trust Health Care AlphaDEX(R) Fund............................ 47 First Trust Industrials/Producer Durables AlphaDEX(R) Fund.......... 49 First Trust Materials AlphaDEX(R) Fund.............................. 51 First Trust Technology AlphaDEX(R) Fund............................. 52 First Trust Utilities AlphaDEX(R) Fund.............................. 54 First Trust Large Cap Core AlphaDEX(R) Fund......................... 56 First Trust Mid Cap Core AlphaDEX(R) Fund........................... 62 First Trust Small Cap Core AlphaDEX(R) Fund......................... 67 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund.......... 74 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund......... 78 First Trust Multi Cap Value AlphaDEX(R) Fund........................ 82 First Trust Multi Cap Growth AlphaDEX(R) Fund....................... 90 Statements of Assets and Liabilities...................................... 98 Statements of Operations.................................................. 102 Statements of Changes in Net Assets....................................... 106 Financial Highlights...................................................... 114 Notes to Financial Statements............................................. 122 Additional Information.................................................... 131 Risk Considerations....................................................... 134 Caution Regarding Forward-Looking Statements This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. Performance and Risk Disclosure There is no assurance that any series of the Trust described in this report (each such series is referred to as a "Fund" and collectively, the "Funds") of the Trust will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. How to Read This Report This report contains information that may help you evaluate your investment. It includes details about the portfolios and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 SHAREHOLDER LETTER First Trust Exchange-Traded AlphaDEX(R) Fund Message from the President January 31, 2011 Dear Shareholders: I'm pleased to present you with the semi-annual report for your investment in First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust") has always believed that staying invested in quality products and having a long-term horizon can help investors reach their financial goals. Successful investors understand that the success they have achieved is typically because of their long-term investment perspective through all kinds of markets. While the past two years have been challenging, during 2010 the markets were recovering from their lows of 2008-2009. The report you hold gives detailed information for the past six months about the Funds that comprise the First Trust Exchange-Traded AlphaDEX(R) Fund. It contains each Fund's performance review and financial statements for the period. I encourage you to read this document and discuss it with your financial advisor. First Trust has been through many types of markets. That's why we remain committed to being a long-term investor and investment manager and to bringing you quality investment solutions regardless of the inevitable volatility the market experiences. We offer a variety of products that may fit many financial plans to help those investors seeking long-term investment success. You may want to talk to your advisor about the investments First Trust offers that might also fit your financial goals. First Trust is committed to making available up-to-date information about your investments so you and your financial advisor have current information on your portfolio. We continue to value our relationship with you, and we thank you for the opportunity to assist you in achieving your financial goals. I look forward to the remainder of 2011 and to the next edition of the Fund's report. Sincerely, /s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(R) Fund Page 2 MARKET OVERVIEW First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2011 [PHOTO OMITTED] Robert F. Carey, CFA Senior Vice President and Chief Investment Officer First Trust Advisors L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 23 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. State of the Economy There are some distinct signals from the markets and economy that the healing process in the U.S. has taken hold. Perhaps the best is the plunge in the default rate of high-yield corporate bonds, which are highly speculative by design. Because of this, we believe they are a good barometer of risk. The U.S. speculative-grade default rate stood at 3.0% in January 2011, down from 13.7% a year ago, according to Moody's Investors Service. On a similar note, there was a dramatic drop-off in the number of companies filing for bankruptcy in 2010. BankruptcyData.com reported that 106 public companies filed, down from 211 in 2009. Nine out of the top 10 filings were banks and financial firms, which is consistent with the belief that the epicenter of the subprime mortgage meltdown was the bank and brokerage industries. Standard & Poor's 500 Index ("S&P 500") companies (including financials) reduced their stockpile of cash and equivalents from a record $2.46 trillion to $2.40 trillion, according to the most recent quarterly reports tracked by Bloomberg. That is the first reduction in cash holdings since mid-2009. Capital spending increased $22.3 billion to $142.8 billion over that span, the biggest quarter-to-quarter increase since the end of 2004. The balance sheets of large corporations appear healthier than many states and that of the federal government. As the confidence in the recovery grows, we believe more companies will put some of their cash to work. Cash has been accumulating around the world as well. The S&P Valuation and Risk Strategies research group reported that the top 50 publicly-traded companies globally, excluding financials, were holding approximately $1.08 trillion in cash and equivalents in January, according to Standard & Poor's. That amount is close to the total cash holdings for the entire S&P 500 Index. Seventeen of the top 50 are based in the U.S. and account for $458.2 billion of the $1.08 trillion. Seventeen of the companies are based in Europe and account for $287.7 billion of the total. Thirteen are based in Asia and Australia and account for $270.1 billion. The remaining three are based in Brazil, Mexico and Saudi Arabia. Gross domestic product ("GDP") in the U.S. has expanded for six consecutive quarters. GDP grew by an annualized 2.8% in the fourth quarter of 2010. The average quarterly growth rate over the past 20 years was 2.6%. The Blue Chip Economic Indicators survey revealed that those economists polled expect the U.S. GDP growth rate to be 3.2% in 2011. Brian Wesbury, Chief Economist at First Trust Advisors L.P., is more bullish and sees growth coming in at 4.4%. U.S. Stocks and Bonds All of the major U.S. stock indexes posted positive returns for the 6-month period ended January 2011. The S&P 500, S&P MidCap 400 and S&P SmallCap 600 Indexes were up 17.93%, 22.49%, and 20.01%, respectively, according to Bloomberg. All 10 major sectors in the S&P 500 posted gains. The top-performing sector was Energy, up 36.3%, while the poorest showing came from Utilities, down 6.8%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 is expected to be 14.6% in 2011, according to Standard & Poor's. The index is trading at a forward-looking price-to-earnings ratio of 13.6, which is less than the long-term average of 15-16. In the U.S. bond market, the top-performing major group for the 6-month period ended January 2011 was high-yield corporate bonds. The Barclays Capital U.S. Corporate High Yield Index posted a total return of 8.72%. The next closest domestic category was intermediate corporate bonds, up 1.86%, as measured by the Barclays Capital Intermediate Corporate Index. In light of the concerns surrounding the burgeoning budget deficits being carried by some influential states, the Barclays Capital Municipal Bond: Long Bond (22+) Index posted the worst return, declining 5.76%. Foreign Stocks and Bonds Riskier asset classes topped their more conservative counterparts once again, but the spread is narrowing. The Barclays Capital Global Emerging Markets Index of debt securities rose 3.20% (USD) for the six-month period ended January 2011, while the MSCI Emerging Markets Index of stocks gained 16.59% (USD). The Barclays Capital Global Aggregate Index of higher quality debt returned 2.58% (USD), while the MSCI World Index (excluding the U.S.) of stocks from developed countries gained 13.77% (USD). The U.S. dollar boosted returns for U.S. investors by declining 4.35% against a basket of major currencies. Page 3 FUND PERFORMANCE OVERVIEW FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by NYSE Euronext or its affiliates ("NYSE Euronext"), to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 23.14% 34.42% -0.04% -0.15% Market Price 23.26% 34.56% -0.01% -0.05% Index Performance StrataQuant(R) Consumer Discretionary Index 23.58% 35.42% 0.74% 2.80% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Consumer Discretionary Index 19.52% 30.59% 0.13% 0.51% Russell 1000(R) Consumer Discretionary Index(1) 20.66% 30.21% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month net asset value ("NAV") return of +23.14% outperformed the +19.52% return of one of its benchmark indexes, the Standard & Poor's 500 ("S&P 500") Consumer Discretionary Index, by +3.62%. The Specialty Retail industry led all industries in the Fund with a +5.6% contribution to the Fund's total return. The industry was the heaviest-weighted industry in the Fund (22.9% average weight) and had solid performance with the Fund's holdings in the industry returning +25.3% during the reporting period. The Internet & Catalog Retail industry topped all the industries in the Fund in performance with a six-month return of +63.8%. Netflix, Inc., the Fund's leading individual performer and contributor, was a part of the industry. The online movie rental company had a six-month return of +108.8% and contributed +1.2% to the Fund's total return, as it reached 20 million subscribers at the end of 2010. The Fund's holdings in the Hotels, Restaurants & Leisure industry had a six-month return of +31.6% and contributed +4.5% to the Fund's total return. Casino operator Las Vegas Sands Corp. was the industry's best performer (+73.1% six-month return) and contributor (+1.1% contribution) due to strong revenue growth in Macau, which has become the world's largest gambling hub. On a relative basis, the Fund outperformed its benchmark, the S&P 500 Consumer Discretionary Index. The Auto Components industry was a leading contributor to outperformance. The Fund received better performance than the benchmark from the industry (+43.3% vs. +31.7% six-month return) and was overweight the industry relative to the benchmark (7.9% vs. 2.3% average weight). TRW Automotive Holdings Corp. was the leader in the industry and the source of outperformance for the industry. The company had a six-month return of +70.0% and contributed +0.8% to the Fund's total return, but was not included in the benchmark. The Fund's holdings in the Hotels, Restaurants & Leisure industry outperformed the benchmark's constituents +31.6% versus +15.8% over six months. Strong returns from Las Vegas Sands Corp. (+73.1%), Royal Caribbean Cruises Ltd. (+55.6%), and Chipotle Mexican Grill, Inc. (+48.0%) contributed to the industry's outperformance, as they were all held in the Fund but not included in the benchmark. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Netflix, Inc. RadioShack Corp. Las Vegas Sands Corp. Aeropostale, Inc. Fossil, Inc. H&R Block, Inc. TRW Automotive Holdings Corp. Aaron's, Inc. Sirius XM Radio, Inc. Big Lots, Inc. -------- (1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or, alternatively, using solely the RGS. The StrataQuant(R) Consumer Discretionary Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 FUND PERFORMANCE OVERVIEW (CONTINUED) FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Discretionary 91.14% Industrials 4.49 Consumer Staples 3.45 Information Technology 0.92 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments TRW Automotive Holdings Corp. 1.58% Gentex Corp. 1.52 Lear Corp. 1.50 WESCO International, Inc. 1.49 Tractor Supply Co. 1.48 CarMax, Inc. 1.43 AutoNation, Inc. 1.42 Las Vegas Sands Corp. 1.42 Fossil, Inc. 1.41 Johnson Controls, Inc. 1.41 ------- Total 14.66% ======= [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust StrataQuant(R) S&P 500(R) Consumer Discretionary Consumer Discretionary Russell 1000(R) Consumer Discretionary AlphaDEX(R) Fund Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,415 $ 9,439 $ 9,674 $ 9,418 1/31/2008 $ 8,296 $ 8,349 $ 9,261 $ 8,326 7/31/2008 $ 7,133 $ 7,194 $ 8,647 $ 7,355 1/31/2009 $ 4,347 $ 4,406 $ 5,911 $ 5,679 7/31/2009 $ 6,482 $ 6,601 $ 6,903 $ 6,667 1/31/2010 $ 7,427 $ 7,592 $ 7,611 $ 7,697 7/31/2010 $ 8,108 $ 8,319 $ 7,904 $ 8,410 1/31/2011 $ 9,985 $10,280 $ 9,387 $10,051
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 15 0 0 0 8/1/07 - 7/31/08 134 7 0 0 8/1/08 - 7/31/09 112 5 4 1 8/1/09 - 7/31/10 175 0 0 0 8/1/10 - 1/31/11 124 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 42 0 0 0 8/1/07 - 7/31/08 104 3 2 0 8/1/08 - 7/31/09 124 9 0 0 8/1/09 - 7/31/10 76 0 0 0 8/1/10 - 1/31/11 3 0 0 0
Page 5 FUND PERFORMANCE OVERVIEW (CONTINUED) FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 11.94% 19.98% 2.48% 9.58% Market Price 12.10% 20.10% 2.50% 9.68% Index Performance StrataQuant(R) Consumer Staples Index 12.44% 20.97% 3.24% 12.63% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Consumer Staples Index 8.97% 13.55% 4.63% 18.40% Russell 1000(R) Consumer Staples Index(1) 8.88% 14.25% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +11.94% outperformed the +8.97% return of one of its benchmark indexes, the S&P 500(R) Consumer Staples Index, by +2.97%. The Food Products industry was responsible for more than half of the Fund's total return with a +6.5% contribution to total return. The industry was the heaviest-weighted industry in the Fund with a 47.7% average weight, and the Fund's holdings from the industry had a solid six-month return of +13.9%. Del Monte Foods Co., a constituent of the Food Products industry, was the Fund's best individual contributor with a +1.3% contribution to total return. The company had a six-month return of 38.1% after KKR & Co. agreed to purchase Del Monte Foods Co. for $19/share. The Food & Staples Retailing industry contributed +1.9% to the Fund's total return and was the second best-contributing industry. Walgreen Co. was a part of the industry and the Fund's best individual performer. The drug store operator benefitted from a complete remodeling of its stores to get rid of slower selling items and had a six-month return of +43.2%. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Consumer Staples Index. The majority of the Fund's outperformance came from the Food Products industry. Not only did the Fund receive better performance from the industry than the benchmark (+13.9% vs. +6.6% six-month return), but the Fund was significantly overweight the industry relative to the benchmark (47.7% vs. 16.5% average weight). TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Del Monte Foods Co. SUPERVALU, Inc. Herbalife Ltd. Dean Foods Co. Walgreen Co. Dr. Pepper Snapple Group, Inc. Coca-Cola Enterprises, Inc. Sysco Corp. Bunge Ltd. Central European Distribution Corp. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Consumer Staples Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund. Page 6 FUND PERFORMANCE OVERVIEW (CONTINUED) FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Staples 100.00% ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Archer-Daniels-Midland Co. 5.20% Bunge Ltd. 4.98 Whole Foods Market, Inc. 4.90 Smithfield Foods, Inc. 4.62 Herbalife Ltd. 4.58 Tyson Foods, Inc., Class A 4.58 Molson Coors Brewing Co., Class B 4.47 Dean Foods Co. 4.40 Walgreen Co. 3.98 CVS Caremark Corp. 3.77 ------- Total 45.48% ======= [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust StrataQuant(R) S&P 500(R) Consumer Staples Consumer Staples Russell 1000(R) Consumer Staples AlphaDEX(R) Fund Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,555 $ 9,574 $ 9,674 $ 9,747 1/31/2008 $ 8,917 $ 8,971 $ 9,261 $10,285 7/31/2008 $ 9,091 $ 9,180 $ 8,647 $10,386 1/31/2009 $ 7,142 $ 7,224 $ 5,646 $ 8,404 7/31/2009 $ 8,442 $ 8,577 $ 6,903 $ 9,587 1/31/2010 $ 9,133 $ 9,311 $ 7,611 $10,426 7/31/2010 $ 9,790 $10,017 $ 7,904 $10,865 1/31/2011 $10,958 $11,263 $ 9,387 $11,840
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 0 1 0 8/1/07 - 7/31/08 142 8 0 1 8/1/08 - 7/31/09 106 8 8 5 8/1/09 - 7/31/10 167 0 0 0 8/1/10 - 1/31/11 91 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 93 6 0 0 8/1/08 - 7/31/09 119 7 2 0 8/1/09 - 7/31/10 84 0 0 0 8/1/10 - 1/31/11 36 0 0 0
Page 7 FUND PERFORMANCE OVERVIEW (CONTINUED) FXN - FIRST TRUST ENERGY ALPHADEX(R) FUND The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmarks. NYSE Euronext constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 40.67% 42.68% 3.63% 14.22% Market Price 40.62% 42.81% 3.65% 14.32% Index Performance StrataQuant(R) Energy Index 41.18% 43.75% 4.34% 17.18% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Energy Index 36.25% 35.37% 4.34% 17.17% Russell 1000(R) Energy Index(1) 36.66% 35.89% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +40.67% outperformed the +36.25% return of one of its benchmark indexes, the S&P 500(R) Energy Index, by +4.42%. Rising oil prices, due to improving prospects or global economic growth, helped the Energy sector to strong returns for the six months covered by this report. The solid performance was widespread as a majority of companies in the Fund and benchmark had double-digit positive returns. National Oilwell Varco, Inc. led the Fund in performance and contribution. The oil equipment company had a six-month return of +89.5% and contributed +2.1% to the Fund's total return, due to strong orders for its rig technology and a 10% increase in its quarterly dividend. Independent oil refiner Holly Corp. was the second best performer and contributor with a six-month return of +85.3% and a contribution to total return of +1.9%. The company benefitted from the integration of two refineries in Tulsa, which were purchased separately from Sinclair Oil Corp. and Sunoco, Inc. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Energy Index. The Fund benefitted from being well diversified relative to the benchmark, and was overweight companies such as National Oilwell Varco, Inc., Holly Corp., Concho Resources, Inc., and SM Energy Co. These companies had six-month returns of +89.5%, +85.3%, +60.5%, and +50.2%, respectively, and contributed +6.8% to the Fund's total return, but only +1.4% to the benchmark's total return. The benchmark was significantly overweight Exxon Mobil Corp., and though the company had a solid six-month return of +37.0%, it was not enough to cause significant outperformance. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks National Oilwell Varco, Inc. Exterran Holdings, Inc. Holly Corp. First Solar, Inc. Hess Corp. Smith International, Inc. Plains Exploration & Production Co. EOG Resources, Inc. Atwood Oceanics, Inc. EQT Corp. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008. In addition, performance data is not available for the periods shown in the table for the Russell 1000(R) Integrated Oils Index or the Russell 1000(R) Other Energy Index because these indices ceased being calculated by Russell effective June 30, 2009. The StrataQuant(R) Energy Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 FUND PERFORMANCE OVERVIEW (CONTINUED) FXN - FIRST TRUST ENERGY ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Energy 96.50% Materials 2.31 Information Technology 1.19 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Marathon Oil Corp. 3.50% Holly Corp. 3.41 Hess Corp. 3.11 Atwood Oceanics, Inc. 3.07 Diamond Offshore Drilling, Inc. 3.04 ConocoPhillips 2.97 SEACOR Holdings, Inc. 2.96 Chevron Corp. 2.95 Arch Coal, Inc. 2.77 Baker Hughes, Inc. 2.72 ------- Total 30.50% ======= [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Energy AlphaDEX(R) StrataQuant(R) Russell 1000(R) S&P 500(R) Fund Energy Index Index Energy Index 5/8/2007 $10,000 $ 8,153 $7,611 $ 8,656 7/31/2010 $ 8,119 $ 8,301 $7,904 $ 8,601 1/31/2011 $11,422 $11,717 $9,387 $11,718
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 111 4 4 0 8/1/08 - 7/31/09 116 9 10 2 8/1/09 - 7/31/10 162 1 0 0 8/1/10 - 1/31/11 104 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 124 7 0 0 8/1/08 - 7/31/09 108 5 4 1 8/1/09 - 7/31/10 86 2 0 0 8/1/10 - 1/31/11 23 0 0 0
Page 9 FUND PERFORMANCE OVERVIEW (CONTINUED) FXO - FIRST TRUST FINANCIALS ALPHADEX(R) FUND The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 15.20% 22.84% -6.13% -21.03% Market Price 15.35% 23.00% -6.09% -20.93% Index Performance StrataQuant(R) Financials Index 15.70% 23.88% -5.18% -18.01% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Financials Index 12.22% 16.94% -17.97% -52.28% Russell 1000(R) Financial Services Index(1) 12.41% 16.81% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +15.20% outperformed the +12.22% return of one of its benchmark indexes, the S&P 500(R) Financials Index, by +2.98%. The Fund's performance was heavily influenced by the Insurance industry, as the industry comprised an average of 44.5% of the Fund's weight. For the six months covered by this report, the Fund's holdings from the industry returned +14.2% and contributed +6.5% to the Fund's total return. The Fund's leading individual contributor to total return, MBIA, Inc., was a part of the industry. During the time MBIA, Inc. was held in the Fund for this reporting period, it returned +24.9% and contributed +0.5% to the Fund's total return. The bond insurer benefitted from the possibility of legal challenges to mortgage securitizations, which have cost bond insurers billions since the housing crisis began. Bond insurers stand to gain from the legal challenges because the loans mortgage sellers used to back bonds, which were then insured by companies like MBIA, Inc., may have failed to meet promised quality. The Capital Markets industry was the second best-contributing industry in the Fund with a +2.5% contribution to total return. The Fund's second-best individual performer and contributor, Ameriprise Financial, Inc., was a part of the industry. The financial planning firm had a six-month return of +46.5% and contributed +0.4% to the Fund's total return, citing increased adviser productivity (operating revenue per adviser) and market appreciation as reasons for its strong performance. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Financials Index. The Insurance industry was the largest contributor to Fund outperformance as the Fund's holdings in the industry outperformed the benchmark's constituents for the industry (+14.2% vs. +11.1% six-month return) and the Fund was overweight the industry relative to the benchmark (44.5% vs. 25.2% average weight). The Diversified Financial Services industry also contributed to Fund outperformance. The Fund was underweight the industry relative to the benchmark (5.8% vs. 26.2% average weight), but the Fund received better performance than the benchmark from the industry (+16.2% vs. +9.2%), resulting in a relative performance boost for the Fund. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks MBIA, Inc. General Growth Properties, Inc. Ameriprise Financial, Inc. Assured Guaranty Ltd. Erie Indemnity Co., Class A Digital Realty Trust, Inc. Ares Capital Corp. CoreLogic, Inc. CIT Group, Inc. Hudson City Bancorp, Inc. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Financials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 FUND PERFORMANCE OVERVIEW (CONTINUED) FXO - FIRST TRUST FINANCIALS ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Financials 92.51% Information Technology 5.10 Industrials 1.51 Consumer Discretionary 0.88 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Total System Services, Inc. 1.23% Capital One Financial Corp. 1.23 Leucadia National Corp. 1.21 Unitrin, Inc. 1.19 CB Richard Ellis Group, Inc., Class A 1.18 Ameriprise Financial, Inc. 1.16 NYSE Euronext 1.15 Aspen Insurance Holdings Ltd. 1.14 Hartford Financial Services Group (The), Inc. 1.14 Prudential Financial, Inc. 1.14 ------ Total 11.77% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Financials AlphaDEX(R) StrataQuant(R) Russell 1000(R) S&P 500(R) Fund Financials Index Index Financials Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 8,955 $ 8,986 $ 9,674 $ 8,883 1/31/2008 $ 7,939 $ 8,017 $ 9,261 $ 7,875 7/31/2008 $ 6,363 $ 6,450 $ 8,647 $ 5,950 1/31/2009 $ 3,908 $ 3,976 $ 5,646 $ 3,444 7/31/2009 $ 5,412 $ 5,550 $ 6,903 $ 3,713 1/31/2010 $ 6,429 $ 6,618 $ 7,611 $ 4,081 7/31/2010 $ 6,856 $ 7,086 $ 7,904 $ 4,253 1/31/2011 $ 7,897 $ 8,199 $ 9,387 $ 4,772
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 19 0 0 0 8/1/07 - 7/31/08 117 4 4 1 8/1/08 - 7/31/09 127 11 4 6 8/1/09 - 7/31/10 175 0 0 0 8/1/10 - 1/31/11 104 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 38 0 0 0 8/1/07 - 7/31/08 112 10 2 0 8/1/08 - 7/31/09 99 3 4 1 8/1/09 - 7/31/10 76 0 0 0 8/1/10 - 1/31/11 23 0 0 0
Page 11 FUND PERFORMANCE OVERVIEW (CONTINUED) FXH - FIRST TRUST HEALTH CARE ALPHADEX(R) FUND The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Healthcare Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 22.36% 22.70% 7.70% 31.90% Market Price 22.40% 22.74% 7.71% 31.95% Index Performance StrataQuant(R) Health Care Index 22.89% 23.72% 8.59% 36.02% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Health Care Index 11.88% 2.91% -1.91% -6.95% Russell 1000(R) Health Care Index(1) 13.26% 5.08% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +22.36% outperformed the +11.88% return of one of its benchmark indexes, the S&P 500(R) Health Care Index, by +10.48%. The Health Care Providers & Services industry led all industries in contribution to the Fund's total return with an +8.5% contribution. The Fund's holdings in the industry had a six-month return of +24.2%, and the industry was the most represented industry in the Fund with a 36.3% average weight. Coventry Health Care, Inc. was the Health Care Providers & Services industry's best performer and contributor with a six-month return of +51.1% and a +1.1% contribution to total return. The company's stock jumped almost +13% in two trading days after the company announced that earnings for the third quarter 2010 increased +89% versus the same quarter the previous year. Coventry Health Care cited an organic increase in membership and successful integration of recent acquisitions as reasons for the solid performance. The Health Care Equipment & Supplies industry was the second-best industry in terms of contribution with a +5.7% contribution to total return. Cooper (The) Cos., Inc. was the industry's leading contributor with a +0.9% contribution to total return. The specialty health care product manufacturer reported is fiscal fourth quarter earnings jumped +55.2% from the same quarter the previous year due to an +11% increase in revenues and +33% increase in operating margins. The Fund's top two individual contributors, King Pharmaceuticals, Inc. and Endo Pharmaceuticals Holdings, Inc., were from the Pharmaceuticals industry. King Pharmaceuticals, Inc. had a six-month return of +62.5% while it was held in the Fund this period and contributed +1.1% to the Fund's total return after being acquired by Pfizer, Inc. for $3.6 billion. Endo Pharmaceutical Holdings, Inc. contribution also rounded to +1.1%, as the company had a six-month return of +38.3%. In September, the company took a step to diversify its revenue stream by announcing the acquisition of generic drug manufacturer Qualitest Pharmaceuticals. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Health Care Index. Much of the outperformance came from the Pharmaceuticals industry. The benchmark had a 52.0% average weight in the industry and received a mediocre +7.1% six-month return from its holdings in the industry. The Fund had an average weight of 18.6% in the industry and the Fund's holdings there returned +19.5%. The Fund's strong performance from the industry came from the previously mentioned King Pharmaceuticals, Inc. and Endo Pharmaceutical Holdings, Inc. The benchmark's return in the industry was tempered by having large weights in Abbott Laboratories and Merck & Co, Inc., which had six-month returns of -6.4% and -1.7%, respectively. In total, the Fund received a larger contribution to return from the Pharmaceuticals industry than the benchmark, even though the Fund was significantly underweight the industry relative to the benchmark. The Health Care Equipment & Supplies industry also caused Fund outperformance as the Fund's holdings in the industry had better returns than the benchmark's constituents (+26.2% vs. +12.9% six-month return) and the Fund was overweight the industry relative to the benchmark (22.6% vs. 14.1% average weight). TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks King Pharmaceuticals, Inc. Dendreon Corp. Endo Pharmaceuticals Holdings, Inc. Intuitive Surgical, Inc. Coventry Health Care, Inc. Thoratec Corp. Cooper (The) Cos., Inc. Human Genome Sciences, Inc. Alexion Pharmaceuticals, Inc. Emdeon, Inc., Class A -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Health Care Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 FUND PERFORMANCE OVERVIEW (CONTINUED) FXH - FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Health Care 99.56% Information Technology 0.44 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments UnitedHealth Group, Inc. 2.63% Coventry Health Care, Inc. 2.63 Kinetic Concepts, Inc. 2.55 Illumina, Inc. 2.54 WellPoint, Inc. 2.53 Aetna, Inc. 2.50 Humana, Inc. 2.45 Alexion Pharmaceuticals, Inc. 2.41 Amgen, Inc. 2.33 Tenet Healthcare Corp. 2.30 ------ Total 24.87% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust StrataQuant(R) S&P 500(R) Health Care AlphaDEX(R) Health Care Russell 1000(R) Health Care Fund (FXH) Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,764 $ 9,674 $ 9,222 1/31/2008 $ 9,645 $ 9,702 $ 9,261 $ 9,269 7/31/2008 $ 9,465 $ 9,573 $ 8,647 $ 8,940 1/31/2009 $ 7,330 $ 7,443 $ 5,646 $ 7,696 7/31/2009 $ 8,830 $ 9,001 $ 6,903 $ 7,974 1/31/2010 $10,750 $10,993 $ 7,611 $ 9,042 7/31/2010 $10,780 $11,068 $ 7,904 $ 8,318 1/31/2011 $13,190 $13,602 $ 9,387 $ 9,305
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 0 0 0 8/1/07 - 7/31/08 133 7 2 0 8/1/08 - 7/31/09 118 6 7 2 8/1/09 - 7/31/10 161 0 0 0 8/1/10 - 1/31/11 92 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 30 0 0 0 8/1/07 - 7/31/08 93 15 0 0 8/1/08 - 7/31/09 116 5 1 0 8/1/09 - 7/31/10 90 0 0 0 8/1/10 - 1/31/11 35 0 0 0
Page 13 FUND PERFORMANCE OVERVIEW (CONTINUED) FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 23.18% 33.75% -0.88% -3.24% Market Price 23.54% 33.96% -0.84% -3.09% Index Performance StrataQuant(R) Industrials Index 23.68% 34.80% -0.12% -0.46% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Industrials Index 20.80% 33.73% -0.05% -0.18% Russell 1000(R) Producer Durables Index(1) 22.05% 34.31% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +23.18% outperformed the +20.80% return of one of its benchmark indexes, the S&P 500(R) Industrials Index, by +2.38%. The Machinery industry led the all industries in the Fund with an +8.2% contribution to total return. The industry was the most represented industry in the Fund with a 25.2% average weight and the second best-performing industry in the Fund with a +33.4% six-month return. Engine and generator manufacturer Cummins, Inc. was the top contributor from the Machinery industry with a +0.7% contribution on a six-month return of +33.8%. Despite coming in a little below expectations, the company reported earnings for the quarter ended 10/2010 increased +137.5% versus the same quarter in 2009, driven largely by strong demand from emerging markets. The Energy Equipment & Services industry was the best-performing industry in the Fund with a six-month return of +56.7%. The Fund's holdings in this industry were made up of two companies: McDermott International, Inc. and Tidewater, Inc., which were the Fund's top two individual contributors to total return. These companies are classified as being part of the Energy Sector according to GICS, but fall into the Industrials sector under Russell classification. McDermott International, Inc. was the Fund's leading individual performer and contributor with a six-month return of +71.2% and a +0.9% contribution to the Fund's total return. The company's performance was helped by receiving a contract to make subsea structures and spools for Chevron's Gorgon Upstream Project. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Industrials Index. The main cause of outperformance was the Fund's exposure to the Energy Equipment & Services industry, which the benchmark did not have. Also contributing to outperformance was the Fund's heavy allocation to the strong-performing Machinery industry relative to the benchmark (25.2% vs. 19.1%). TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks McDermott International, Inc. Monster Worldwide, Inc. Tidewater, Inc. AMR Corp. Cummins, Inc. FLIR Systems, Inc United Continental Holdings, Inc. Frontline Ltd. Chicago Bridge & Iron Co. N.V. Teekay Corp. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Industrials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 FUND PERFORMANCE OVERVIEW (CONTINUED) FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Industrials 84.25% Information Technology 7.87 Energy 4.08 Health Care 2.26 Materials 1.54 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments L-3 Communications Holdings, Inc. 1.80% Tidewater, Inc. 1.79 Deere & Co. 1.77 Convergys Corp. 1.75 Raytheon Co. 1.74 Northrop Grumman Corp. 1.73 URS Corp. 1.73 Eaton Corp. 1.72 KBR, Inc. 1.70 Fluor Corp. 1.69 ------ Total 17.42% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Industrials AlphaDEX(R) Fund Industrials Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,435 $ 9,457 $ 9,674 $10,400 1/31/2008 $ 8,770 $ 8,820 $ 9,261 $ 9,935 7/31/2008 $ 8,792 $ 8,874 $ 8,647 $ 9,138 1/31/2009 $ 4,967 $ 5,030 $ 5,646 $ 5,934 7/31/2009 $ 6,081 $ 6,182 $ 6,903 $ 6,422 1/31/2010 $ 7,233 $ 7,384 $ 7,611 $ 7,464 7/31/2010 $ 7,854 $ 8,048 $ 7,904 $ 8,263 1/31/2011 $ 9,676 $ 9,954 $ 9,387 $ 9,982
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 40 1 0 0 8/1/07 - 7/31/08 121 4 3 0 8/1/08 - 7/31/09 115 3 6 0 8/1/09 - 7/31/10 163 0 0 0 8/1/10 - 1/31/11 112 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 16 0 0 0 8/1/07 - 7/31/08 115 6 1 0 8/1/08 - 7/31/09 122 6 3 0 8/1/09 - 7/31/10 88 0 0 0 8/1/10 - 1/31/11 15 0 0 0
Page 15 FUND PERFORMANCE OVERVIEW (CONTINUED) FXZ - FIRST TRUST MATERIALS ALPHADEX(R) FUND The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 22.81% 37.46% 6.69% 27.36% Market Price 22.80% 37.38% 6.69% 27.35% Index Performance StrataQuant(R) Materials Index 23.29% 38.25% 7.48% 30.90% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Materials Index 24.78% 33.63% 1.43% 5.43% Russell 1000(R) Materials and Processing Index(1) 25.28% 36.01% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +22.81% underperformed the +24.78% return of one of its benchmark indexes, the S&P 500(R) Materials Index, by -1.97%. The Chemicals industry led all industries in the Fund with a +9.7% contribution to the Fund's total return. The Fund's holdings in the industry had a six-month return of +23.6%, which was in line with the sector at large, and had an average weight in the Fund of 40.2%. Leading the way in the sector, CF Industries Holdings, Inc. was the Fund's best individual performer with a six-month return of +66.6%, and a top contributor with a +1.3% contribution to total return. The company, which makes fertilizer, saw its stock jump in value after the U.S. Government cut a corn-crop forecast, which could possibly lead to higher corn plantings and fertilizer demand next year. Improving prospects for global economic growth helped the Metals & Mining industry be the second-best contributing industry in the Fund with a +5.2% contribution. Reliance Steel & Aluminum Co. was the leading individual contributor from the industry. The company had a six-month return of +33.7% and contributed +1.0% to the Fund's total return. In addition to increased demand for metals, the company gained from the acquisition of Lampros Steel, Inc. in December 2010. The Fund's best individual contributor came from the Paper & Forest Products industry. Domtar Corp. had a six-month return of +51.3% and contributed +1.7% to the Fund's total return partially due to world pulp shipments hitting a record high in December 2010. On a relative basis, the Fund underperformed its benchmark, the S&P 500(R) Materials Index. Most of the underperformance came from the Metals & Mining industry. Relative to the benchmark, the Fund received lower performance (+27.2% vs. +31.5% six-month return) from the industry and was underweight the industry (20.4% vs. 32.1% average weight). Freeport-McMoRan Copper & Gold, Inc., which had a six-month return of +54.5%, was the main cause of the underperformance the Fund received from the industry. The Fund was not only significantly underweight the company relative to the benchmark (2.4% vs. 11.5% average weight), but the Fund did not hold the company for the entire six months and thus did not receive the full benefit of its appreciation. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Domtar Corp. Titanium Metals Corp. Armstrong World Industries, Inc. United States Steel Corp. CF Industries Holdings, Inc. Vulcan Materials Co. Timken (The) Co. Carpenter Technology Corp. Reliance Steel & Aluminum Co. Martin Marietta Materials, Inc. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Materials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 FUND PERFORMANCE OVERVIEW (CONTINUED) FXZ - FIRST TRUST MATERIALS ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Materials 88.94% Industrials 11.06 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Domtar Corp. 3.75% Eastman Chemical Co. 3.57 Cliffs Natural Resources, Inc. 3.54 Owens Corning, Inc. 3.48 Celanese Corp., Class A 3.26 United States Steel Corp. 3.19 Timken (The) Co. 3.19 Schnitzer Steel Industries, Inc., Class A 3.01 Southern Copper Corp. 2.97 Ashland, Inc. 2.95 ------ Total 32.91% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Materials AlphaDEX(R) StrataQuant(R) Russell 1000(R) S&P 500(R) Fund Materials Index Index Materials Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,085 $10,104 $ 9,674 $ 9,956 1/31/2008 $10,310 $10,362 $ 9,261 $10,271 7/31/2008 $11,037 $11,128 $ 8,647 $10,387 1/31/2008 $ 5,255 $ 5,323 $ 5,646 $ 5,394 7/31/2009 $ 7,814 $ 7,950 $ 6,903 $ 7,499 1/31/2010 $ 9,265 $ 9,468 $ 7,611 $ 7,890 7/31/2010 $10,371 $10,617 $ 7,904 $ 8,450 1/31/2011 $12,736 $13,090 $ 9,387 $10,543
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 132 3 5 0 8/1/08 - 7/31/09 104 8 3 1 8/1/09 - 7/31/10 172 0 0 0 8/1/10 - 1/31/11 112 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 98 10 2 0 8/1/08 - 7/31/09 131 8 0 0 8/1/09 - 7/31/10 79 0 0 0 8/1/10 - 1/31/11 15 0 0 0
Page 17 FUND PERFORMANCE OVERVIEW (CONTINUED) FXL - FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 30.99% 43.94% 4.69% 18.68% Market Price 31.03% 44.06% 4.72% 18.78% Index Performance StrataQuant(R) Technology Index 31.54% 45.12% 5.64% 22.74% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Information Technology Index 19.81% 25.42% 3.73% 14.65% Russell 1000(R) Technology Index(1) 20.62% 27.46% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +30.99% outperformed the +19.81% return of one of its benchmark indexes, the S&P 500(R) Information Technology Index, by +11.18%. The Information Technology sector had a strong six months in general, but the Semiconductor industry, in particular, stood out among all other industries in the Fund. The Fund's holdings in the industry had a six-month return of +43.6% and an average Fund weight of +25.5%, resulting in an +11.3% contribution to total return. The Fund's top individual performer and contributor to total return, Atmel Corp., was a part of the industry. The company, which is a leader in microcontroller and touch technology, posted its seventh sequential quarterly increase in revenue in the fourth quarter of 2010, partially due to strong microcontroller sales. Also from the semiconductor industry, Fairchild Semiconductor International, Inc. was the Fund's second best-performer (+95.8% six-month return), and contributor (+1.6% contribution). The power solutions company reported a +25% increase in sales for the third quarter of 2010 versus the third quarter of 2009, increased adjusted gross margins the sixth straight quarter, and won an Innovation Award from Electronics Design News China. The Fund's holdings in the Electronic Equipment Instruments & Components industry had a six-month return of +31.5% to make it the second best-performing industry in the Fund. Vishay Intertechnology, Inc. was the best-performing company in the industry. The company had a six-month return of +94.2% as strong computer chip sales helped earnings per share triple in the fourth quarter of 2010 versus the fourth quarter of 2009. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Information Technology Index. Most of the outperformance came from the Semiconductor industry. The Fund received better performance from the industry than the benchmark (+43.6% vs. +22.2% six-month return) and was significantly overweight the industry relative to the benchmark (25.5% vs. 13.2% average weight). The Fund was able to outperform the benchmark within the Semiconductor industry because the benchmark did not hold Atmel Corp. or Fairchild Semiconductor International, Inc., and the benchmark had a large average weight in Intel Corp., which had a subpar six-month return of +5.8%. In total, the Semiconductor industry contributed +11.3% to the Fund's total return and only +2.7% to the return of the benchmark. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Atmel Corp. Cree, Inc. Fairchild Semiconductor International, Inc. Tellabs, Inc. Vishay Intertechnology, Inc. SanDisk Corp. Skyworks Solutions, Inc. Dolby Laboratories, Inc., Class A F5 Networks, Inc. Equinix, Inc. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Technology Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 FUND PERFORMANCE OVERVIEW (CONTINUED) FXL - FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Information Technology 100.00% ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Micron Technology, Inc. 2.47% Teradyne, Inc. 2.23 Cypress Semiconductor Corp. 2.19 Corning, Inc. 2.16 Vishay Intertechnology, Inc. 2.11 Skyworks Solutions, Inc. 2.09 Arrow Electronics, Inc. 2.08 Atmel Corp. 2.07 Computer Sciences Corp. 2.02 Ciena Corp. 1.97 ------ Total 21.39% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Technology AlphaDEX(R) StrataQuant(R) Russell 1000(R) S&P 500(R) Fund Technology Index Index Technology Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,235 $10,252 $ 9,674 $10,160 1/31/2008 $ 9,030 $ 9,078 $ 9,261 $ 9,501 7/31/2008 $ 8,815 $ 8,895 $ 8,647 $ 9,320 1/31/2009 $ 5,205 $ 5,295 $ 5,646 $ 6,101 7/31/2009 $ 7,236 $ 7,397 $ 6,903 $ 8,416 1/31/2010 $ 8,246 $ 8,457 $ 7,611 $ 9,142 7/31/2010 $ 9,060 $ 9,330 $ 7,904 $ 9,570 1/31/2011 $11,868 $12,274 $ 9,387 $11,465
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 23 1 0 0 8/1/07 - 7/31/08 130 4 4 0 8/1/08 - 7/31/09 111 2 11 1 8/1/09 - 7/31/10 163 0 0 0 8/1/10 - 1/31/11 100 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 33 0 0 0 8/1/07 - 7/31/08 107 4 1 0 8/1/08 - 7/31/09 119 10 0 1 8/1/09 - 7/31/10 87 1 0 0 8/1/10 - 1/31/11 27 0 0 0
Page 19 FUND PERFORMANCE OVERVIEW (CONTINUED) FXU - FIRST TRUST UTILITIES ALPHADEX(R) FUND The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 11.39% 19.47% -1.10% -4.03% Market Price 11.38% 19.62% -1.08% -3.99% Index Performance StrataQuant(R) Utilities Index 11.83% 20.44% -0.24% -0.90% Russell 1000(R) Index 18.76% 23.33% -1.68% -6.13% S&P 500(R) Utilities Index 6.81% 12.21% -3.59% -12.75% Russell 1000(R) Utilities Index(1) 11.08% 18.77% NA NA
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +11.39% outperformed the +6.81% return of one of its benchmark indexes, the S&P 500(R) Utilities Index, by +4.58%. In general, the defensive Utilities sector lagged other sectors as the equity markets rallied during the six months covered by this report. The Electric Utilities and Multi-Utilities industries were the largest contributing industries in the Fund with each making a +2.9% contribution to total return. Neither industry had standout performance, but the two industries were the heaviest weighted in the Fund (30.5% average weight in Electric Utilities, 26.0% average weight in Multi-Utilities). The Fund's holdings in the Gas Utilities industry had a six-month return of +19.2% making it the best performing industry in the Fund that was represented by more than one constituent. The industry was led by Energen Corp.'s six-month return of +26.5% and contribution to total return of +0.8%. The energy exploration company reported record production (18.8 million barrels of oil equivalents) and record reserves (303 million barrels of oil equivalents) in 2010. The Fund received +3.9% contribution from companies that fall in the Telecommunications Sector under GICs, but are classified as Utilities companies by Russell. Examples of these companies include the Fund's top two individual contributors: MetroPCS Communications, Inc. and CenturyLink, Inc. MetroPCS Communications, Inc. had a six-month return of +44.4% and contributed +1.3% to the Fund's total return. The contract-free wireless communications provider announced that it gained 223,000 new subscribers and earned revenues over $1 billion during the third quarter 2010. A pending merger with Qwest Communications International, Inc. and an increase in high-speed internet subscribers helped CenturyLink, Inc. to a six-month return of +25.6% and a +1.0% contribution to the Fund's total return. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Utilities Index. The Fund's holdings in the Telecommunication Services sector were the main cause of outperformance. The benchmark had no exposure to the sector while the Fund's holdings in the sector had a six-month return of +14.7% and contributed +3.9% to the Fund's total return. The Fund's overweight position in the strong-performing Gas Utilities industry relative to the benchmark (7.8% vs. 2.0% average weight) also contributed to outperformance. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks MetroPCS Communications, Inc. NRG Energy, Inc. CenturyLink, Inc. Mirant Corp Energen Corp. Entergy Corp. Ameren Corp. Integrys Energy Group, Inc. Allegheny Energy, Inc. Calpine Corp. -------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Utilities Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 FUND PERFORMANCE OVERVIEW (CONTINUED) FXU - FIRST TRUST UTILITIES ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Utilities 81.18% Telecommunication Services 16.65 Energy 2.17 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Energen Corp. 3.78% GenOn Energy, Inc. 3.54 Allegheny Energy, Inc. 3.47 NRG Energy, Inc. 3.46 Constellation Energy Group, Inc. 3.43 MetroPCS Communications, Inc. 3.34 Great Plains Energy, Inc. 3.31 Telephone and Data Systems, Inc. 3.19 Edison International 3.06 AT&T, Inc. 3.05 ------ Total 33.63% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Utilities AlphaDEX(R) StrataQuant(R) Russell 1000(R) S&P 500(R) Fund Utilities Index Index Utilities Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,185 $ 9,205 $ 9,674 $ 9,034 1/31/2008 $ 8,789 $ 8,856 $ 9,261 $ 9,588 7/31/2008 $ 8,506 $ 8,601 $ 8,647 $ 9,394 1/31/2009 $ 6,660 $ 6,760 $ 5,646 $ 7,262 7/31/2009 $ 7,440 $ 7,593 $ 6,903 $ 7,463 1/31/2010 $ 8,033 $ 8,229 $ 7,611 $ 7,777 7/31/2010 $ 8,616 $ 8,863 $ 7,904 $ 8,170 1/31/2011 $ 9,597 $ 9,910 $ 9,387 $ 8,725
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 140 5 1 1 8/1/08 - 7/31/09 110 9 5 1 8/1/09 - 7/31/10 165 0 0 0 8/1/10 - 1/31/11 106 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 96 5 2 0 8/1/08 - 7/31/09 125 4 1 0 8/1/09 - 7/31/10 85 1 0 0 8/1/10 - 1/31/11 21 0 0 0
Page 21 FUND PERFORMANCE OVERVIEW (CONTINUED) FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX." The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of McGraw-Hill Companies, Inc. ("S&P") to objectively identify and select stocks from the S&P 500(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 19.01% 28.19% -0.64% -2.35% Market Price 19.18% 28.32% -0.60% -2.23% Index Performance Defined Large Cap Core Index 19.48% 29.10% 0.13% 0.48% S&P 500(R) Index 17.93% 22.19% -2.05% -7.43%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +19.01% outperformed the +17.93% return of one of its benchmark indexes, the S&P 500(R) Index, by +1.08%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Consumer Discretionary sector led all sectors in the Fund with a +3.5% contribution to total return. The Fund's holdings in the sector had a six-month return of +17.3%, which was a little below average compared to other sectors, but the sector was the heaviest weighted in the Fund with a +19.3% average weight. The Fund's best individual performer, priceline.com, Inc. was from the Consumer Discretionary sector. The company had a six-month return of +91.0% and contributed +0.2% to the Fund's total return due to an increase in market share for hotel bookings outside the U.S. and acquisition of car-service company TravelJigsaw. The improving economic climate helped Energy be the best performing sector in the Fund as the Fund's holdings in the sector had a six-month return of +37.4%. Hess Corp. was the leading individual contributor from the sector with a +0.2% contribution to total return as the company's stock had a six-month return of +57.5%. Rising oil prices helped the company's Exploration and Production segment to a $1.3 billion profit in the third quarter of 2010, up from a $397 million profit from the same quarter in 2009. The Energy sector's small average Fund weight of 7.2% limited the sector's contribution to total return to +2.7%. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Index. The Health Care sector was a key contributor to outperformance. The Fund's holdings in the sector had a higher six-month return than the benchmark's constituents from the sector (+21.5% vs. +12.0%). As a result, the Fund received a larger contribution to total return from the Health Care sector than the benchmark (+2.2% vs. +1.5%), even though the Fund was underweight the sector relative to the benchmark (9.9% vs. 11.4% average weight). The Fund's top individual contributor, King Pharmaceuticals, Inc., contributed to the Health Care sector's outperformance. The company returned +60.7% while it was held in the Fund and contributed +0.2% to the Fund's total return due to being purchased by Pfizer, Inc. for $3.6 billion. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks King Pharmaceuticals, Inc. RadioShack Corp. Hess Corp. Tellabs, Inc. Coventry Health Care, Inc. F5 Networks, Inc. priceline.com, Inc. SUPERVALU, Inc. Teradyne, Inc. Dean Foods Co. -------- The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 22 FUND PERFORMANCE OVERVIEW (CONTINUED) FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Discretionary 17.70% Information Technology 15.11 Industrials 13.06 Energy 11.14 Utilities 10.54 Financials 10.18 Health Care 8.75 Consumer Staples 5.64 Materials 5.43 Telecommunication Services 2.45 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Marathon Oil Corp. 0.54% Baker Hughes, Inc. 0.52 Teradyne, Inc. 0.52 JDS Uniphase Corp. 0.51 Corning, Inc. 0.50 UnitedHealth Group, Inc. 0.50 Coventry Health Care, Inc. 0.49 Total System Services, Inc. 0.49 Devon Energy Corp. 0.49 L-3 Communications Holdings, Inc. 0.48 ----- Total 5.04% ===== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Large Cap Core AlphaDEX(R) Defined Large Cap S&P 500(R) Fund Core Index Index 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,560 $ 9,579 $ 9,690 1/31/2008 $ 9,022 $ 9,071 $ 9,271 7/31/2008 $ 8,304 $ 8,383 $ 8,615 1/31/2009 $ 5,325 $ 5,398 $ 5,690 7/31/2009 $ 6,711 $ 6,830 $ 6,896 1/31/2010 $ 7,618 $ 7,783 $ 7,576 7/31/2010 $ 8,205 $ 8,410 $ 7,850 1/31/2011 $ 9,765 $10,048 $ 9,257
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 18 1 0 0 8/1/07 - 7/31/08 126 2 7 0 8/1/08 - 7/31/09 106 9 2 1 8/1/09 - 7/31/10 151 0 0 0 8/1/10 - 1/31/11 103 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 38 0 0 0 8/1/07 - 7/31/08 109 5 1 0 8/1/08 - 7/31/09 127 8 2 0 8/1/09 - 7/31/10 100 0 0 0 8/1/10 - 1/31/11 24 0 0 0
Page 23 FUND PERFORMANCE OVERVIEW (CONTINUED) FNX - FIRST TRUST MID CAP CORE ALPHADEX(R) FUND The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNX." The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 22.77% 33.43% 3.42% 13.40% Market Price 22.89% 33.40% 3.44% 13.47% Index Performance Defined Mid Cap Core Index 23.25% 34.48% 4.21% 16.64% S&P MidCap 400 Index 22.49% 33.46% 2.50% 9.64%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +22.77% outperformed the +22.49% return of one of its benchmark indexes, the S&P MidCap 400 Index, by +0.28%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was broad as every sector represented in the Fund and benchmark had positive returns. The Information Technology sector led all sectors in the Fund with a +6.2% contribution to the Fund's total return. The Fund's holdings in the sector had a six-month return of +36.0% and an average weight in the Fund of 17.8%. From the sector, Atmel Corp. was the Fund's leading individual performer and contributor with a six-month return of +158.7% and a +0.5% contribution to total return. The company, which is a leader in microcontroller and touch technology, posted its seventh sequential quarterly increase in revenue in the fourth quarter of 2010, driven by strong microcontroller sales. The Consumer Discretionary sector was the second-best contributing sector with a +5.2% contribution to total return. Netflix, Inc. was the sector's top contributor with a +0.4% contribution on a return of +74.8% while it was held in the Fund this period. The online movie rental company continued its strong growth, reaching 20 million subscribers in 2010. The Energy sector was the best-performing sector in the Fund as the Fund's holdings from the sector had a six-month return of +37.6%. Patriot Coal Corp. led the sector in performance and contribution with a six-month return of +116.7% and a contribution to total return of +0.5%. The company's performance was boosted by economic optimism and the potential for increased exports as Australia battled flooding. The Energy sector's small average Fund weight of 5.9% limited its contribution to total return to +2.1%. On a relative basis, the Fund outperformed its benchmark, the S&P MidCap 400 Index. The Information Technology sector was the main cause of outperformance. Within the sector the Fund's holdings outperformed the benchmark's constituents (+36.0% vs. +30.3% six-month return) and the Fund was overweight the sector relative to the benchmark (17.8% vs. 15.7% average weight). The Consumer Staples sector reversed some of the Fund's outperformance as the Fund's holdings from the sector underperformed the benchmark's constituents +9.4% vs. +14.3%. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Atmel Corp. Corinthian Colleges, Inc. United Rentals, Inc. Cree, Inc. Patriot Coal Corp. Aeropostale, Inc. Fairchild Semiconductor International, Inc. Oshkosh Corp. Vishay Intertechnology, Inc. Universal Corp. -------- The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 24 FUND PERFORMANCE OVERVIEW (CONTINUED) FNX - FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Discretionary 20.64% Industrials 18.86 Information Technology 17.10 Financials 9.99 Utilities 8.52 Energy 7.61 Materials 7.31 Health Care 5.71 Consumer Staples 3.72 Telecommunication Services 0.54 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Rock-Tenn Co., Class A 0.68% United Rentals, Inc. 0.64 Energen Corp. 0.64 Ashland, Inc. 0.63 Fairchild Semiconductor International, Inc. 0.63 Vishay Intertechnology, Inc. 0.62 Skyworks Solutions, Inc. 0.61 Tidewater, Inc. 0.61 Unit Corp. 0.61 Atmel Corp. 0.60 ----- Total 6.27% ===== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Mid Cap Core AlphaDEX(R) Defined Mid Cap S&P MidCap 400 Fund Core Index Index 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,527 $ 9,540 $ 9,615 1/31/2008 $ 8,872 $ 8,911 $ 9,091 7/31/2008 $ 8,812 $ 8,889 $ 9,138 1/31/2009 $ 5,561 $ 5,625 $ 5,731 7/31/2009 $ 7,453 $ 7,576 $ 7,288 1/31/2010 $ 8,498 $ 8,674 $ 8,215 7/31/2010 $ 9,236 $ 9,464 $ 8,951 1/31/2011 $11,340 $11,664 $10,964
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 22 1 0 0 8/1/07 - 7/31/08 124 14 4 0 8/1/08 - 7/31/09 95 9 1 2 8/1/09 - 7/31/10 184 2 0 0 8/1/10 - 1/31/11 110 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 34 0 0 0 8/1/07 - 7/31/08 102 4 2 0 8/1/08 - 7/31/09 138 10 0 0 8/1/09 - 7/31/10 65 0 0 0 8/1/10 - 1/31/11 17 0 0 0
Page 25 FUND PERFORMANCE OVERVIEW (CONTINUED) FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 20.01% 29.48% 0.28% 1.06% Market Price 20.33% 29.60% 0.36% 1.34% Index Performance Defined Small Cap Core Index 20.47% 30.50% 1.16% 4.41% S&P SmallCap 600 Index 20.01% 30.93% 0.26% 0.97%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +20.01% was the same as one of its benchmark indexes, the S&P 600 SmallCap Index return of +20.01%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Information Technology sector led all sectors in the Fund with a +4.9% contribution to the Fund's total return. The Fund's holdings had a six-month return of +25.5% and an average Fund weight of 19.7%. TriQuint Semiconductor, Inc. was the leading individual contributor from the sector with a +0.2% contribution on a six-month return of +89.8%. Strong sales of mobile devices helped the company boost third quarter 2010 revenues +14% sequentially and +37% versus the same quarter in 2009. The Consumer Discretionary sector was the second-best contributing sector in the Fund with a +3.7% contribution to total return. The Fund's holdings in the sector had a below-average six-month return of +13.7%, but it was the heaviest-weighted sector in the Fund with a 22.7% average weight. The Fund's holdings in the Energy sector returned +52.0% to lead all other sectors in the Fund. Stone Energy Corp. was the Fund's best individual performer and contributor from the sector. Rising oil prices and a +15% increase in proven oil and gas reserves helped the company's stock to a six-month return of +97.6% and a contribution to total return of +0.2%. Industrials company Keithley Instruments, Inc. was the Fund's best individual contributor to total return. The company returned +100.7% while held in the Fund and contributed +0.5% to total return after being purchased by Danaher Corp. for a significant premium. Materials company Buckeye Technologies, Inc. was the Fund's best individual performer and second-best contributor with a six-month return of +122.9% and +0.4% contribution to total return. The cellulose-based fiber manufacturer cited robust demand favorable pricing for its products as drivers for strong sales growth. On a relative basis, the Fund and benchmark, the S&P 600 SmallCap Index, had very similar returns. The Fund's relative performance benefitted from receiving better performance than the benchmark from the Materials sector (+31.4% vs. +21.9%), but lost relative performance by being overweight the lagging Consumer Discretionary sector relative to the benchmark (22.7% vs. 14.4% average weight). TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Keithley Instruments, Inc. Skechers U.S.A., Inc., Class A Buckeye Technologies, Inc. School Specialty, Inc. HealthSpring, Inc. Savient Pharmaceuticals, Inc. AAR Corp. Agilysys, Inc. LSB Industries, Inc. DG FastChannel, Inc. -------- The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 26 FUND PERFORMANCE OVERVIEW (CONTINUED) FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Information Technology 24.46% Consumer Discretionary 19.43 Industrials 14.79 Health Care 11.92 Financials 9.41 Materials 5.84 Energy 5.30 Consumer Staples 4.51 Utilities 3.40 Telecommunication Services 0.94 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Brooks Automation, Inc. 0.48% Buckeye Technologies, Inc. 0.45 AMERIGROUP Corp. 0.44 MKS Instruments, Inc. 0.44 Cypress Semiconductor Corp. 0.43 Hornbeck Offshore Services, Inc. 0.42 TriQuint Semiconductor, Inc. 0.42 KapStone Paper & Packaging Corp. 0.41 Arris Group, Inc. 0.41 Basic Energy Services, Inc. 0.41 ----- Total 4.31% ===== {GRAPHIC OMITTED} Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Small Cap Core AlphaDEX(R) Defined Small Cap Core S&P SmallCap 600 Fund Index Index 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,433 $ 9,454 $ 9,535 1/31/2008 $ 8,476 $ 8,534 $ 8,771 7/31/2008 $ 8,288 $ 8,382 $ 8,746 1/31/2009 $ 5,043 $ 5,124 $ 5,550 7/31/2009 $ 6,981 $ 7,125 $ 7,060 1/31/2010 $ 7,805 $ 8,001 $ 7,712 7/31/2010 $ 8,421 $ 8,667 $ 8,414 1/31/2011 $10,106 $10,441 $10,097
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 24 0 1 0 8/1/07 - 7/31/08 116 5 5 0 8/1/08 - 7/31/09 102 5 5 0 8/1/09 - 7/31/10 112 0 0 0 8/1/10 - 1/31/11 95 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 32 0 0 0 8/1/07 - 7/31/08 116 5 3 0 8/1/08 - 7/31/09 131 9 3 0 8/1/09 - 7/31/10 139 0 0 0 8/1/10 - 1/31/11 32 0 0 0
Page 27 FUND PERFORMANCE OVERVIEW (CONTINUED) FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 17.74% 24.76% -0.84% -3.11% Market Price 18.02% 25.01% -0.82% -3.01% Index Performance Defined Large Cap Value Opportunities Index 18.24% 25.69% -0.03% -0.12% S&P 500(R) Value Index 17.17% 21.27% -4.89% -17.06% S&P 500(R) Index 17.93% 22.19% -2.05% -7.43%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +17.74% outperformed the +17.17% return of one of its benchmark indexes, the S&P 500(R) Value Index, by +0.57%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Energy sector was the best-performing and contributing sector in the Fund with a six-month return of +37.8% and a contribution to total return of +3.6%. Within the sector, Hess Corp., the Fund's top individual contributor, had a six-month return of +57.5% and contributed +0.4% to the Fund's total return. Rising oil prices helped the company's Exploration and Production segment to a $1.3 billion profit in the third quarter of 2010, up from a $397 million profit from the same quarter in 2009. The Health Care sector was the second-best sector in terms of contribution with a +2.6% contribution to the Fund's total return. King Pharmaceuticals, Inc. and Coventry Health Care, Inc. were the two leading contributors from the sector. King Pharmaceuticals, Inc. returned +60.7% while held in the Fund and contributed +0.4% to the Fund's total return as it was acquired by Pfizer, Inc. for $3.6 billion. Coventry Health Care, Inc. had a six-month return of +51.1% and also contributed +0.4% to the Fund's total return. The company's stock jumped almost +13% in two trading days after the company announced that earnings for the third quarter 2010 increased +89% versus the same quarter the previous year. Coventry Health Care, Inc. cited an organic increase in membership and successful integration of recent acquisitions as reasons for the solid performance. On a relative basis, the Fund slightly outperformed its benchmark, the S&P 500(R) Value Index. The Fund gained in relative performance by having its holdings in the Health Care and Information Technology sectors outperform the benchmark's constituents in the sectors (Health Care: +23.5% vs. +15.5%; Information Technology: +22.5% vs. 14.6%). The Fund's overweight position relative to the benchmark (19.5% vs. 6.7%) in the weak-performing Utilities sector was a drag on relative performance. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Hess Corp. RadioShack Corp. King Pharmaceuticals, Inc. Tellabs, Inc. Coventry Health Care, Inc. SUPERVALU, Inc. SanDisk Corp. Dean Foods Co. Devon Energy Corp. NRG Energy, Inc. -------- The Defined Large Cap Value Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 28 FUND PERFORMANCE OVERVIEW (CONTINUED) FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Utilities 19.83% Financials 12.76 Energy 12.43 Consumer Discretionary 12.26 Information Technology 12.05 Health Care 11.15 Industrials 8.98 Consumer Staples 6.80 Telecommunication Services 2.16 Materials 1.58 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Marathon Oil Corp. 1.05% Teradyne, Inc. 1.01 Corning, Inc. 0.98 UnitedHealth Group, Inc. 0.97 Coventry Health Care, Inc. 0.97 Devon Energy Corp. 0.96 L-3 Communications Holdings, Inc. 0.95 Hess Corp. 0.94 WellPoint, Inc. 0.93 Archer-Daniels-Midland Co. 0.92 ----- Total 9.68% ===== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Large Cap Value Opportunities Defined Large Cap Value S&P 500(R) Value S&P 500(R) AlphaDEX(R) Fund Opportunities Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,450 $ 9,462 $ 9,586 $ 9,690 1/31/2008 $ 8,821 $ 8,870 $ 9,148 $ 9,271 7/31/2008 $ 7,858 $ 7,933 $ 8,066 $ 8,615 1/31/2009 $ 4,993 $ 5,064 $ 5,060 $ 5,690 7/31/2009 $ 6,661 $ 6,790 $ 6,157 $ 6,896 1/31/2010 $ 7,765 $ 7,947 $ 6,840 $ 7,576 7/31/2010 $ 8,228 $ 8,447 $ 7,079 $ 7,850 1/31/2011 $ 9,689 $ 9,988 $ 8,294 $ 9,257
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 40 0 0 0 8/1/07 - 7/31/08 127 3 5 0 8/1/08 - 7/31/09 115 7 5 1 8/1/09 - 7/31/10 155 0 0 0 8/1/10 - 1/31/11 115 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 17 0 0 0 8/1/07 - 7/31/08 109 5 1 0 8/1/08 - 7/31/09 119 7 0 1 8/1/09 - 7/31/10 96 0 0 0 8/1/10 - 1/31/11 12 0 0 0
Page 29 FUND PERFORMANCE OVERVIEW (CONTINUED) FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 21.01% 32.78% -0.57% -2.11% Market Price 21.15% 32.83% -0.56% -2.08% Index Performance Defined Large Cap Growth Opportunities Index 21.51% 33.86% 0.17% 0.64% S&P 500(R) Growth Index 18.74% 23.17% 0.72% 2.73% S&P 500(R) Index 17.93% 22.19% -2.05% -7.43%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +21.01% outperformed the +18.74% return of one of its benchmark indexes, the S&P 500(R) Growth Index, by +2.27%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Consumer Discretionary sector led all sectors in the Fund with a +5.6% contribution to the Fund's total return. The sector was the most represented in the Fund with an average weight of 25.4% and the Fund's holdings in the sector had a slightly above-average six-month return of +21.7%. priceline.com, Inc., the Fund's leading individual performer and contributor, was from the Consumer Discretionary sector. The company had a six-month return of +91.0% and contributed +0.4% to the Fund's total return due to an increase in market share for hotel bookings outside the U.S. and acquisition of car-service company TravelJigsaw. The Fund's holdings in the Information Technology sector had a six-month return of +22.9% and contributed +4.5% to the Fund's total return, making the sector the second-best in the Fund in terms of contribution. Salesforce.com, Inc. was the leading contributor from the sector with a +0.4% contribution to total return. The cloud computing company had a six-month return of +30.5% after announcing in November 2010 that it had increased its paying customers by +28% from the previous year and expected sales for the fiscal year 2012 to reach as high as $2 billion. The improving economic climate helped the Energy sector be the best-performing sector in the Fund. The Fund's holdings in the sector had a six-month return of +40.6%. Pioneer Natural Resources Co. was the best-performing and contributing company from the sector with a six-month return of +64.4% and a contribution of +0.4%. Improved production and higher oil prices helped the company increase revenues for the second half of 2010 by +27% versus the second half of 2009. On a relative basis, the Fund outperformed its benchmark, the S&P 500(R) Growth Index. The leading source of outperformance was the Health Care sector where the Fund's holdings outperformed the benchmark's +18.3% vs. +9.6%. The Fund received a larger contribution to return than the benchmark from the sector (+1.6% vs. +1.3%) even though the Fund was underweight the sector relative to the benchmark (8.3% vs. 12.5% average weight). Solid performance from the Consumer Discretionary sector also contributed to outperformance as the Fund was overweight the sector relative to the benchmark (25.4% vs. 10.4% average weight). The Fund's relative underweight position (3.8% vs. 11.0% average weight) in the strong-performing Energy sector reversed some outperformance as the sector contributed +1.7% to the Fund's return and +3.7% to the benchmark's return. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks priceline.com, Inc. SanDisk Corp. Pioneer Natural Resources Co. F5 Networks, Inc. Salesforce.com, Inc. Monster Worldwide, Inc. Ameriprise Financial, Inc. Intuitive Surgical, Inc. Cummins, Inc. Prudential Financial, Inc. -------- The Defined Large Cap Growth Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 30 FUND PERFORMANCE OVERVIEW (CONTINUED) FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Discretionary 23.87% Information Technology 18.27 Industrials 17.85 Energy 10.12 Materials 9.55 Financials 6.74 Health Care 6.57 Consumer Staples 4.08 Telecommunication Services 2.95 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Baker Hughes, Inc. 1.09% JDS Uniphase Corp. 1.07 Wynn Resorts Ltd. 1.02 Eastman Chemical Co. 1.01 Pioneer Natural Resources Co. 1.00 Cliffs Natural Resources, Inc. 1.00 Deere & Co. 1.00 CB Richard Ellis Group, Inc., Class A 0.99 Ameriprise Financial, Inc. 0.97 Eaton Corp. 0.97 ------ Total 10.12% ====== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Large Cap Growth Opportunities Defined Large Cap Growth S&P 500(R) Growth S&P 500(R) AlphaDEX(R) Fund Opportunities Index Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,757 $ 9,802 $ 9,690 1/31/2008 $ 9,341 $ 9,388 $ 9,410 $ 9,271 7/31/2008 $ 8,900 $ 8,982 $ 9,185 $ 8,615 1/31/2009 $ 5,737 $ 5,807 $ 6,357 $ 5,690 7/31/2009 $ 6,730 $ 6,840 $ 7,675 $ 6,896 1/31/2010 $ 7,373 $ 7,518 $ 8,341 $ 7,576 7/31/2010 $ 8,090 $ 8,282 $ 8,651 $ 7,850 1/31/2011 $ 9,790 $10,064 $10,272 $ 9,257
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 37 1 0 0 8/1/07 - 7/31/08 132 2 5 0 8/1/08 - 7/31/09 113 4 2 0 8/1/09 - 7/31/10 146 0 0 0 8/1/10 - 1/31/11 92 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 19 0 0 0 8/1/07 - 7/31/08 105 5 1 0 8/1/08 - 7/31/09 133 3 0 0 8/1/09 - 7/31/10 105 0 0 0 8/1/10 - 1/31/11 35 0 0 0
Page 31 FUND PERFORMANCE OVERVIEW (CONTINUED) FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB." The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) Composite 1500 Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 19.37% 27.12% 0.74% 2.79% Market Price 19.50% 27.26% 0.76% 2.86% Index Performance Defined Multi Cap Value Index 19.87% 28.12% 1.58% 6.01% S&P Composite 1500 Value Index 17.48% 22.15% -4.32% -15.21% S&P Composite 1500 Index 18.38% 23.40% -1.60% -5.85%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +19.37% outperformed the +17.48% return of one of its benchmark indexes, the S&P(R) Composite 1500 Value Index, by +1.89%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Information Technology sector was the Fund's top contributing sector with a +3.1% contribution to total return. The Fund's holdings from the sector had an average Fund weight of 11.9% and a six-month return of +27.0%. Within Information Technology sector, the Semiconductor industry was particularly strong. The Fund's holdings in the industry returned +49.5% and contributed +1.4% to the Fund's total return. From the industry, Fairchild Semiconductor International, Inc. was the Fund's best individual contributor with a +0.2% contribution and a return of +79.6% while it was held in the Fund. The company reported a +25% increase in sales for the third quarter of 2010 versus the third quarter of 2009, increased adjusted gross margins for the sixth straight quarter, and won an Innovation Award from Electronics Design News China. The improved economic climate helped the Energy sector be the second-best contributor to total return with a contribution that also rounded to +3.1%, and the top-performing sector with a six-month return of +39.7%. Two of the Fund's top five individual contributors, Patriot Coal Corp. and Hess Corp., were from the sector. Patriot Coal Corp. returned +92.2% while held in the Fund and contributed +0.2% to total return. The company's performance was boosted by economic optimism and the potential for increased exports as Australia battled flooding. Hess Corp. had a six-month return of +57.5% and contributed +0.2% to the Fund's total return. Rising oil prices helped the company's Exploration and Production segment to a $1.3 billion profit in the third quarter of 2010, up from a $397 million profit from the same quarter in 2009. The Consumer Discretionary sector was also a meaningful contributor with a +2.9% contribution to total return. Even though the Fund's holdings in the sector had a mediocre six-month return of +16.4%, the sector's Fund-leading average weight of 16.6% boosted its contribution. On a relative basis, the Fund outperformed its primary benchmark, the S&P(R) Composite 1500 Value Index. The Information Technology sector was a major source of outperformance. The Fund's holdings outperformed the benchmark's constituents in the sector (+27.0% vs. +17.6% six month return), and the Fund was overweight the sector relative to the benchmark (11.9% vs. 6.0% average weight). The Fund also benefitted from an underweight position relative to the benchmark (13.3% vs. 25.0% average weight) in the Financials sector, which was generally one of the weaker-performing sectors during the period covered by this report. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Fairchild Semiconductor International, Inc. Corinthian Colleges, Inc. Patriot Coal Corp. RadioShack Corp. Vishay Intertechnology, Inc. Tellabs, Inc. Hess Corp. SUPERVALU, Inc. King Pharmaceuticals, Inc. School Specialty, Inc. The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 32 FUND PERFORMANCE OVERVIEW (CONTINUED) FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Consumer Discretionary 15.90% Utilities 15.82 Financials 13.27 Information Technology 12.56 Industrials 11.44 Health Care 9.44 Energy 9.12 Consumer Staples 5.92 Materials 4.96 Telecommunication Services 1.57 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Marathon Oil Corp. 0.53% Teradyne, Inc. 0.51 Corning, Inc. 0.49 UnitedHealth Group, Inc. 0.49 Coventry Health Care, Inc. 0.49 Devon Energy Corp. 0.48 L-3 Communications Holdings, Inc. 0.48 Hess Corp. 0.47 WellPoint, Inc. 0.47 Archer-Daniels-Midland Co. 0.47 ----- Total 4.88% ===== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Multi Cap Value Defined Multi Cap Value S&P Composite 1500 S&P Composite 1500 AlphaDEX(R) Fund Index Value Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,317 $ 9,334 $ 9,567 $ 9,678 1/31/2008 $ 8,603 $ 8,655 $ 9,092 $ 9,241 7/31/2008 $ 7,870 $ 7,948 $ 8,123 $ 8,661 1/31/2009 $ 4,973 $ 5,045 $ 5,336 $ 5,446 7/31/2009 $ 6,964 $ 7,099 $ 6,238 $ 6,931 1/31/2010 $ 8,086 $ 8,275 $ 6,942 $ 7,629 7/31/2010 $ 8,611 $ 8,845 $ 7,218 $ 7,953 1/31/2011 $10,279 $10,601 $ 8,479 $ 9,415
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 39 0 0 0 8/1/07 - 7/31/08 128 6 2 0 8/1/08 - 7/31/09 126 8 0 0 8/1/09 - 7/31/10 113 0 0 0 8/1/10 - 1/31/11 77 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 18 0 0 0 8/1/07 - 7/31/08 106 6 2 0 8/1/08 - 7/31/09 113 8 0 0 8/1/09 - 7/31/10 138 0 0 0 8/1/10 - 1/31/11 50 0 0 0
Page 33 FUND PERFORMANCE OVERVIEW (CONTINUED) FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD." The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) Composite 1500 Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. PERFORMANCE AS OF JANUARY 31, 2011
Average Annual Cumulative Total Returns Total Returns 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/11 01/31/11 to 01/31/11 to 01/31/11 Fund Performance NAV 21.70% 33.76% 0.59% 2.21% Market Price 21.92% 34.01% 0.61% 2.31% Index Performance Defined Multi Cap Growth Index 22.19% 34.82% 1.36% 5.19% S&P Composite 1500 Growth Index 19.34% 24.71% 1.09% 4.13% S&P Composite 1500 Index 18.38% 23.40% -1.60% -5.85%
-------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) Performance Review The Fund's six-month NAV return of +21.70% outperformed the +19.34% return of one of its benchmark indexes, the S&P(R) Composite 1500 Growth Index, by +2.36%. Equity markets rallied over the six months covered by this report as prospects for global economic growth improved. The rally was widespread as every sector represented in the Fund and benchmark had positive returns. The Information Technology sector made a +6.1% contribution to the Fund's total return. The Fund's holdings had a strong six-month return of +28.2% and an average Fund weight of 21.9%. Within the sector, strong demand for electronic devices helped the Fund's holdings in the Electronic Equipment Instruments & Components industry and the Semiconductor industry to six-month returns of +41.5% and +30.6%, respectively. The Semiconductor industry included Atmel Corp, which was the Fund's best individual performer and contributor with a six-month return of +158.7% and a +0.3% contribution to total return. The company, which is a leader in microcontroller and touch technology, posted its seventh sequential quarterly increase in revenue in the fourth quarter of 2010, driven by strong microcontroller sales. The Consumer Discretionary sector was the Fund's second best contributor with a +5.5% contribution to total return. The Fund's holdings in the sector had a six-month return of +21.5% and it was the most represented sector in the Fund with a 24.4% average weight. Netflix, Inc. was the sector's leading individual performer and contributor with a six-month return of +108.8% and a +0.3% contribution to total return. The online movie rental company continued its strong growth, reaching 20 million subscribers at the end of 2010. The improving economic climate helped the Energy sector be the best-performing sector in the Fund. The Fund's energy holdings had a six-month return of +39.9%; however, due to the sector's low average Fund weight of +3.6%, the sector's contribution to total return was limited to +1.6%. On a relative basis, the Fund outperformed its benchmark, the S&P(R) Composite 1500 Growth Index. The Information Technology and Health Care sectors both enhanced the Fund's relative performance. Within each sector the Fund's holdings were able to outperform the benchmark's constituents (Information Technology +28.2% vs. +21.4%; Health Care: +16.7% vs. +11.5%). The Fund's underweight position in the strong-performing Energy sector relative to the benchmark (3.6% vs. 10.5% average weight) reversed some of the Fund's outperformance. TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS (by contribution to return over the six months ended January 31, 2011) Top-Performing Stocks Bottom-Performing Stocks Atmel Corp. SanDisk Corp. Netflix, Inc. DG FastChannel, Inc. United Rentals, Inc. Cree, Inc. Fossil, Inc. Coca-Cola Enterprises, Inc. Skyworks Solutions, Inc. Aeropostale, Inc. -------- The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 34 FUND PERFORMANCE OVERVIEW (CONTINUED) FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (CONTINUED) PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2011 % of Total Sector Long-Term Investments Information Technology 23.20% Consumer Discretionary 22.46 Industrials 19.45 Energy 8.86 Health Care 7.74 Materials 7.19 Financials 5.95 Consumer Staples 3.39 Telecommunication Services 1.68 Utilities 0.08 ------- Total 100.00% ======= TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2011 % of Total Security Long-Term Investments Baker Hughes, Inc. 0.55% JDS Uniphase Corp. 0.54 Wynn Resorts Ltd. 0.52 Eastman Chemical Co. 0.51 Pioneer Natural Resources Co. 0.51 Deere & Co. 0.50 Cliffs Natural Resources, Inc. 0.50 CB Richard Ellis Group, Inc., Class A 0.50 Ameriprise Financial, Inc. 0.49 Eaton Corp. 0.49 ----- Total 5.11% ===== [GRAPHIC OMITTED] Performance of a $10,000 Initial Investment May 8, 2007 - January 31, 2011
First Trust Multi Cap Growth AlphaDEX(R) Defined Multi Cap S&P Composite 1500 S&P Composite 1500 Fund Growth Index Growth Index Index 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,797 $ 9,818 $ 9,796 $ 9,678 1/31/2008 $ 9,217 $ 9,265 $ 9,396 $ 9,241 7/31/2008 $ 9,224 $ 9,309 $ 9,223 $ 8,661 1/31/2009 $ 5,782 $ 5,854 $ 6,307 $ 5,689 7/31/2009 $ 6,961 $ 7,078 $ 7,669 $ 6,931 1/31/2010 $ 7,641 $ 7,801 $ 8,350 $ 7,629 7/31/2010 $ 8,399 $ 8,608 $ 8,725 $ 7,953 1/31/2011 $10,221 $10,519 $10,413 $ 9,415
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of January 31, 2011 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2011. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
Number of Days Bid/Ask Midpoint At/Above NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 29 1 0 0 8/1/07 - 7/31/08 128 5 3 0 8/1/08 - 7/31/09 96 12 1 2 8/1/09 - 7/31/10 128 0 0 0 8/1/10 - 1/31/11 94 0 0 0 Number of Days Bid/Ask Midpoint Below NAV For the Period 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 27 0 0 0 8/1/07 - 7/31/08 108 5 1 0 8/1/08 - 7/31/09 137 7 0 0 8/1/09 - 7/31/10 122 1 0 0 8/1/10 - 1/31/11 33 0 0 0
Page 35 NOTES TO FUND PERFORMANCE OVERVIEW Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after their inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 36 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Understanding Your Fund Expenses January 31, 2011 (Unaudited) As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, First Trust Utilities AlphaDEX(R) Fund, First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, or First Trust Multi Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 31, 2011. Actual Expenses The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. Hypothetical Example for Comparison Purposes The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio Expenses Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month August 1, 2010 January 31, 2011 Period (a) Period (b) First Trust Consumer Discretionary AlphaDEX(R) Fund Actual $1,000.00 $1,231.40 0.70% $3.94 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Consumer Staples AlphaDEX(R) Fund Actual $1,000.00 $1,119.40 0.70% $3.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Energy AlphaDEX(R) Fund Actual $1,000.00 $1,406.70 0.70% $4.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Financials AlphaDEX(R) Fund Actual $1,000.00 $1,152.00 0.70% $3.80 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Health Care AlphaDEX(R) Fund Actual $1,000.00 $1,223.60 0.70% $3.92 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
Page 37 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Understanding Your Fund Expenses (Continued) January 31, 2011 (Unaudited)
Annualized Expense Ratio Expenses Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month August 1, 2010 January 31, 2011 Period (a) Period (b) First Trust Industrials/Producer Durables AlphaDEX(R) Fund Actual $1,000.00 $1,231.80 0.70% $3.94 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Materials AlphaDEX(R) Fund Actual $1,000.00 $1,228.10 0.70% $3.93 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Technology AlphaDEX(R) Fund Actual $1,000.00 $1,309.90 0.70% $4.08 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Utilities AlphaDEX(R) Fund Actual $1,000.00 $1,113.90 0.70% $3.73 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,190.10 0.70% $3.86 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Mid Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,227.70 0.70% $3.93 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Small Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,200.10 0.70% $3.88 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Actual $1,000.00 $1,177.40 0.70% $3.84 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Actual $1,000.00 $1,210.10 0.70% $3.90 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Multi Cap Value AlphaDEX(R) Fund Actual $1,000.00 $1,193.70 0.70% $3.87 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 First Trust Multi Cap Growth AlphaDEX(R) Fund Actual $1,000.00 $1,217.00 0.70% $3.91 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2010 through January 31, 2011), multiplied by 184/365 (to reflect the one-half year period). Page 38 First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.1% Auto Components -- 10.2% 78,456 Autoliv, Inc. $ 6,025,421 85,600 BorgWarner, Inc. (b) 5,769,440 230,378 Federal Mogul Corp. (b) 5,427,706 209,554 Gentex Corp. 6,720,397 100,375 Goodyear Tire & Rubber (The) Co. (b) 1,192,455 162,147 Johnson Controls, Inc. 6,224,823 62,767 Lear Corp. (b) 6,630,078 117,514 TRW Automotive Holdings Corp. (b) 7,010,885 ------------ 45,001,205 ------------ Automobiles -- 2.5% 368,891 Ford Motor Co. (b) 5,883,812 68,586 Harley-Davidson, Inc. 2,719,435 70,052 Thor Industries, Inc. 2,603,132 ------------ 11,206,379 ------------ Commercial Services & Supplies -- 0.6% 172,334 KAR Auction Services, Inc. (b) 2,557,437 ------------ Distributors -- 0.6% 23,159 Genuine Parts Co. 1,198,478 52,360 LKQ Corp. (b) 1,265,018 ------------ 2,463,496 ------------ Diversified Consumer Services -- 2.8% 262,807 Education Management Corp. (b) 4,833,021 312,042 H&R Block, Inc. 3,906,766 288,282 Service Corp. International 2,499,405 31,720 Weight Watchers International, Inc. 1,230,736 ------------ 12,469,928 ------------ Food & Staples Retailing -- 2.4% 99,301 BJ's Wholesale Club, Inc. (b) 4,363,286 51,480 Costco Wholesale Corp. 3,698,323 44,089 Wal-Mart Stores, Inc. 2,472,070 ------------ 10,533,679 ------------ Hotels, Restaurants & Leisure -- 12.7% 113,893 Brinker International, Inc. 2,679,902 80,601 Carnival Corp. 3,603,671 22,354 Chipotle Mexican Grill, Inc. (b) 4,893,738 25,626 Darden Restaurants, Inc. 1,207,241 90,899 International Speedway Corp., Class A 2,629,708 134,813 Las Vegas Sands Corp. (b) 6,267,456 57,242 Marriott International, Inc., Class A 2,260,487 320,327 MGM Resorts International (b) 4,750,449 36,717 Panera Bread Co., Class A (b) 3,508,676 131,788 Royal Caribbean Cruises Ltd. (b) 5,917,281 115,653 Starbucks Corp. 3,646,539 61,145 Starwood Hotels & Resorts Worldwide, Inc. 3,605,721 Shares Description Value ----------------------------------------------------------- Hotels, Restaurants & Leisure (Continued) 257,400 Wendy's/Arby's Group, Inc., Class A $ 1,243,242 26,286 WMS Industries, Inc. (b) 1,102,698 79,378 Wyndham Worldwide Corp. 2,232,903 45,805 Wynn Resorts Ltd. 5,328,496 24,263 Yum! Brands, Inc. 1,134,538 ------------ 56,012,746 ------------ Household Durables -- 7.7% 99,682 D.R. Horton, Inc. 1,235,060 78,942 Fortune Brands, Inc. 4,869,142 199,860 Garmin Ltd. 6,161,684 133,766 Harman International Industries, Inc. (b) 5,794,743 52,238 Leggett & Platt, Inc. 1,176,922 41,326 M.D.C. Holdings, Inc. 1,277,387 65,492 Mohawk Industries, Inc. (b) 3,638,081 65,399 Newell Rubbermaid, Inc. 1,258,931 118,740 Tempur-Pedic International, Inc. (b) 5,181,814 41,823 Whirlpool Corp. 3,575,866 ------------ 34,169,630 ------------ Internet & Catalog Retail -- 4.3% 26,414 Amazon.com, Inc. (b) 4,480,871 47,413 Expedia, Inc. 1,192,911 235,651 Liberty Media Corp. - Interactive, Class A (b) 3,732,712 21,163 Netflix, Inc. (b) 4,530,575 11,895 priceline.com, Inc. (b) 5,097,245 ------------ 19,034,314 ------------ Internet Software & Services -- 0.9% 133,546 eBay, Inc. (b) 4,054,457 ------------ Leisure Equipment & Products -- 0.7% 25,220 Hasbro, Inc. 1,111,950 93,512 Mattel, Inc. 2,214,364 ------------ 3,326,314 ------------ Machinery -- 1.3% 101,641 WABCO Holdings, Inc. (b) 5,935,834 ------------ Media -- 15.1% 249,699 CBS Corp., Class B 4,951,531 216,520 Comcast Corp., Class A 4,925,830 120,977 DISH Network Corp., Class A (b) 2,553,824 410,461 Gannett Co., Inc. 6,050,195 223,945 Interpublic Group of Cos. (The), Inc. (b) 2,393,972 26,286 John Wiley & Sons, Inc., Class A 1,207,842 59,708 Lamar Advertising Co., Class A (b) 2,199,643 71,556 Liberty Media-Starz, Series A (b) 4,770,639 46,136 Madison Square Garden, Inc., Class A (b) 1,163,550 See Notes to Financial Statements Page 39 First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Media (Continued) 32,658 McGraw-Hill (The) Cos., Inc. $ 1,273,009 68,660 Meredith Corp. 2,313,842 379,214 New York Times (The) Co., Class A (b) 3,833,854 255,226 News Corp., Class A 3,833,495 51,945 Omnicom Group, Inc. 2,331,292 22,991 Scripps Networks Interactive, Class A 1,069,081 3,776,764 Sirius XM Radio, Inc. (b) 6,099,474 36,039 Time Warner Cable, Inc. 2,444,525 115,522 Time Warner, Inc. 3,633,167 60,064 Viacom, Inc., Class B 2,495,659 31,705 Walt Disney (The) Co. 1,232,373 14,089 Washington Post (The) Co., Class B 6,035,023 ------------ 66,811,820 ------------ Multiline Retail -- 6.2% 38,791 Dollar General Corp. (b) 1,078,778 84,814 Dollar Tree, Inc. (b) 4,289,892 74,759 Family Dollar Stores, Inc. 3,175,762 115,025 J. C. Penney Co., Inc. 3,688,852 68,391 Kohl's Corp. (b) 3,472,895 146,881 Macy's, Inc. 3,400,295 56,127 Nordstrom, Inc. 2,311,310 50,382 Sears Holdings Corp. (b) 3,797,291 39,543 Target Corp. 2,168,143 ------------ 27,383,218 ------------ Personal Products -- 1.1% 58,941 Estee Lauder (The) Cos., Inc., Class A 4,744,750 ------------ Road & Rail -- 1.1% 328,301 Hertz Global Holdings, Inc. (b) 4,829,308 ------------ Specialty Retail -- 23.1% 303,788 Aaron's, Inc. 5,829,692 107,467 Abercrombie & Fitch Co., Class A 5,417,411 56,180 Advance Auto Parts, Inc. 3,592,149 254,032 American Eagle Outfitters, Inc. 3,673,303 219,648 AutoNation, Inc. (b) 6,306,094 17,469 AutoZone, Inc. (b) 4,428,916 48,398 Bed Bath & Beyond, Inc. (b) 2,323,104 194,292 CarMax, Inc. (b) 6,343,634 98,847 Chico's FAS, Inc. 1,079,409 165,186 Dick's Sporting Goods, Inc. (b) 5,961,563 121,241 Foot Locker, Inc. 2,165,364 270,728 GameStop Corp., Class A (b) 5,704,239 214,845 Gap (The), Inc. 4,140,063 50,265 Guess?, Inc. 2,150,337 33,924 Home Depot (The), Inc. 1,247,385 27,572 J. Crew Group, Inc. (b) 1,197,176 154,808 Limited Brands, Inc. 4,526,586 94,822 Lowe's Cos., Inc. 2,351,586 220,222 Office Depot, Inc. (b) 1,156,165 61,517 O'Reilly Automotive, Inc. (b) 3,496,011 93,328 PetSmart, Inc. 3,755,519 257,273 RadioShack Corp. 3,897,686 Shares Description Value ----------------------------------------------------------- Specialty Retail (Continued) 58,768 Ross Stores, Inc. $ 3,831,674 54,804 Signet Jewelers Ltd. (b) 2,328,074 76,406 Tiffany & Co. 4,441,481 127,737 Tractor Supply Co. 6,554,185 133,276 Williams-Sonoma, Inc. 4,291,487 ------------ 102,190,293 ------------ Textiles, Apparel & Luxury Goods -- 5.3% 86,010 Coach, Inc. 4,652,281 87,882 Fossil, Inc. (b) 6,244,016 13,932 NIKE, Inc., Class B 1,149,111 75,508 Phillips-Van Heusen Corp. 4,407,402 42,898 Polo Ralph Lauren Corp. 4,597,808 27,602 VF Corp. 2,283,237 ------------ 23,333,855 ------------ Trading Companies & Distributors -- 1.5% 117,310 WESCO International, Inc. (b) 6,575,225 ------------ Total Common Stocks -- 100.1% 442,633,888 (Cost $400,773,025) Money Market Fund -- 0.0% 103,652 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 103,652 (Cost $103,652) ------------ Total Investments -- 100.1% 442,737,540 (Cost $400,876,677) (d) Net Other Assets and Liabilities -- (0.1)% (243,017) ------------ Net Assets -- 100.0% $442,494,523 ============ (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 January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $45,665,814 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,804,951. Page 40 See Notes to Financial Statements First Trust Consumer Discretionary AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $442,633,888 $ -- $ -- Money Market Fund 103,652 -- -- ------------------------------------- Total Investments $442,737,540 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 First Trust Consumer Staples AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 99.9% Beverages -- 11.4% 37,850 Coca-Cola Enterprises, Inc. $ 952,306 8,980 Dr. Pepper Snapple Group, Inc. 318,161 18,121 Hansen Natural Corp. (b) 1,026,374 35,956 Molson Coors Brewing Co., Class B 1,685,258 4,833 PepsiCo, Inc. 310,810 ------------ 4,292,909 ------------ Food & Staples Retailing -- 16.3% 41,520 CVS Caremark Corp. 1,419,984 64,563 Kroger (The) Co. 1,381,648 37,054 Walgreen Co. 1,498,464 35,671 Whole Foods Market, Inc. 1,844,547 ------------ 6,144,643 ------------ Food Products -- 54.5% 59,992 Archer-Daniels-Midland Co. 1,959,939 27,542 Bunge Ltd. 1,874,784 20,772 Campbell Soup Co. 709,156 41,956 ConAgra Foods, Inc. 936,877 20,596 Corn Products International, Inc. 950,093 163,310 Dean Foods Co. (b) 1,657,597 50,395 Del Monte Foods Co. 955,489 35,207 Flowers Foods, Inc. 888,273 20,281 General Mills, Inc. 705,373 21,966 Green Mountain Coffee Roasters, Inc. (b) 737,618 14,081 Hormel Foods Corp. 695,601 21,991 J.M. Smucker (The) Co. 1,366,961 10,021 Kraft Foods, Inc., Class A 306,342 6,788 McCormick & Co., Inc. 300,030 5,073 Mead Johnson Nutrition Co. 294,082 22,207 Ralcorp Holdings, Inc. (b) 1,359,068 82,448 Sara Lee Corp. 1,399,143 87,474 Smithfield Foods, Inc. (b) 1,741,607 104,796 Tyson Foods, Inc., Class A 1,723,894 ------------ 20,561,927 ------------ Household Products -- 7.8% 4,992 Clorox (The) Co. 313,947 12,996 Energizer Holdings, Inc. (b) 945,329 15,027 Kimberly-Clark Corp. 972,698 11,222 Procter & Gamble (The) Co. 708,445 ------------ 2,940,419 ------------ Personal Products -- 6.5% 19,487 Alberto-Culver Co. 725,891 26,394 Herbalife Ltd. 1,724,320 ------------ 2,450,211 ------------ Tobacco -- 3.4% 8,795 Lorillard, Inc. 661,736 5,396 Philip Morris International, Inc. 308,867 9,681 Reynolds American, Inc. 307,952 ------------ 1,278,555 ------------ Shares Description Value ----------------------------------------------------------- Total Common Stocks -- 99.9% $ 37,668,664 (Cost $34,841,310) Money Market Fund -- 0.1% 31,974 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 31,974 (Cost $31,974) ------------ Total Investments -- 100.0% 37,700,638 (Cost $34,873,284) (d) Net Other Assets and Liabilities -- 0.0% (12,431) ------------ Net Assets -- 100.0% $ 37,688,207 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,924,913 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $97,559. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $37,668,664 $ -- $ -- Money Market Fund 31,974 -- -- ------------------------------------ Total Investments $37,700,638 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements First Trust Energy AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Energy Equipment & Services -- 32.9% 85,303 Atwood Oceanics, Inc. (b) $ 3,447,947 44,607 Baker Hughes, Inc. 3,056,026 25,130 Cameron International Corp. (b) 1,339,429 47,676 Diamond Offshore Drilling, Inc. 3,418,846 79,867 Exterran Holdings, Inc. (b) 1,981,500 14,335 FMC Technologies, Inc. (b) 1,347,490 31,225 Halliburton Co. 1,405,125 39,460 Helmerich & Payne, Inc. 2,317,486 27,180 Nabors Industries Ltd. (b) 663,192 18,967 National Oilwell Varco, Inc. 1,401,661 8,665 Oceaneering International, Inc. (b) 669,198 29,837 Oil States International, Inc. (b) 2,021,755 29,587 Patterson-UTI Energy, Inc. 690,561 73,059 Rowan Cos., Inc. (b) 2,504,463 7,630 Schlumberger Ltd. 678,994 31,529 SEACOR Holdings, Inc. 3,332,300 36,436 Superior Energy Services, Inc. (b) 1,279,632 54,872 Unit Corp. (b) 2,809,446 111,859 Weatherford International Ltd. (b) 2,653,295 ------------ 37,018,346 ------------ Metals & Mining -- 2.3% 19,941 Walter Energy, Inc. 2,597,714 ------------ Oil, Gas & Consumable Fuels -- 63.6% 53,103 Alpha Natural Resources, Inc. (b) 2,853,224 8,376 Anadarko Petroleum Corp. 645,622 21,391 Apache Corp. 2,553,230 90,920 Arch Coal, Inc. 3,114,010 57,999 Atlas Energy, Inc. (b) 2,569,356 73,817 Chesapeake Energy Corp. 2,179,816 34,929 Chevron Corp. 3,315,810 21,604 Cimarex Energy Co. 2,249,625 51,916 Comstock Resources, Inc. (b) 1,438,073 29,091 Concho Resources, Inc. (b) 2,800,009 46,809 ConocoPhillips 3,344,971 13,084 CONSOL Energy, Inc. 650,275 21,672 Continental Resources, Inc. (b) 1,391,559 32,485 Devon Energy Corp. 2,881,095 46,329 El Paso Corp. 735,704 26,164 Exxon Mobil Corp. 2,110,911 16,792 Forest Oil Corp. (b) 651,530 41,641 Hess Corp. 3,502,841 78,191 Holly Corp. 3,836,832 86,089 Marathon Oil Corp. 3,934,267 42,766 Murphy Oil Corp. 2,835,386 17,685 Newfield Exploration Co. (b) 1,294,011 14,811 Noble Energy, Inc. 1,349,282 12,998 Occidental Petroleum Corp. 1,256,647 104,803 Petrohawk Energy Corp. (b) 2,101,300 7,337 Pioneer Natural Resources Co. 698,189 59,509 Plains Exploration & Production Co. (b) 2,106,619 52,680 QEP Resources, Inc. 2,140,915 43,261 Quicksilver Resources, Inc. (b) 649,348 32,463 SM Energy Co. 2,017,900 Shares Description Value ----------------------------------------------------------- Oil, Gas & Consumable Fuels (Continued) 15,814 Sunoco, Inc. $ 671,304 110,303 Valero Energy Corp. 2,797,284 21,767 Whiting Petroleum Corp. (b) 2,748,737 77,377 Williams (The) Cos., Inc. 2,088,405 ------------ 71,514,087 ------------ Semiconductors & Semiconductor Equipment -- 1.2% 99,388 SunPower Corp., Class A (b) 1,335,775 ------------ Total Common Stocks -- 100.0% 112,465,922 (Cost $96,337,906) Money Market Fund -- 0.1% 58,785 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 58,785 (Cost $58,785) ------------ Total Investments -- 100.1% 112,524,707 (Cost $96,396,691) (d) Net Other Assets and Liabilities -- (0.1)% (91,164) ------------ Net Assets -- 100.0% $112,433,543 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $16,391,235 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $263,219. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $112,465,922 $ -- $ -- Money Market Fund 58,785 -- -- ------------------------------------- Total Investments $112,524,707 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Capital Markets -- 14.2% 42,739 Affiliated Managers Group, Inc. (b) $ 4,352,112 73,689 Ameriprise Financial, Inc. 4,542,927 257,348 Ares Capital Corp. 4,320,873 84,254 Bank of New York Mellon (The) Corp. 2,631,252 8,609 BlackRock, Inc. 1,704,754 51,308 E*TRADE Financial Corp. (b) 849,661 27,158 Eaton Vance Corp. 822,887 97,233 Federated Investors, Inc., Class B 2,633,070 14,761 Franklin Resources, Inc. 1,780,915 19,523 Goldman Sachs Group (The), Inc. 3,194,353 105,758 Invesco Ltd. 2,616,453 253,155 Janus Capital Group, Inc. 3,268,231 30,828 Jefferies Group, Inc. 771,008 64,442 Lazard Ltd., Class A 2,688,520 70,164 Legg Mason, Inc. 2,324,533 120,673 Morgan Stanley 3,547,786 14,811 Northern Trust Corp. 769,876 25,106 Raymond James Financial, Inc. 909,339 69,003 SEI Investments Co. 1,597,420 54,919 State Street Corp. 2,565,816 50,876 T. Rowe Price Group, Inc. 3,353,746 43,222 TD Ameritrade Holding Corp. 882,593 93,039 Waddell & Reed Financial, Inc., Class A 3,360,569 ------------ 55,488,694 ------------ Commercial Banks -- 10.0% 51,464 BancorpSouth, Inc. 804,897 34,772 Bank of Hawaii Corp. 1,629,764 62,448 BB&T Corp. 1,726,063 30,750 BOK Financial Corp. 1,589,160 90,041 CIT Group, Inc. (b) 4,294,055 41,326 Commerce Bancshares, Inc. 1,699,738 13,436 Cullen/Frost Bankers, Inc. 776,332 167,953 East West Bancorp, Inc. 3,646,260 55,910 Fifth Third Bancorp 831,382 17,367 First Citizens BancShares, Inc., Class A 3,493,719 158,768 Fulton Financial Corp. 1,638,486 92,758 KeyCorp 825,546 29,238 M&T Bank Corp. 2,528,210 54,076 PNC Financial Services Group, Inc. 3,244,560 810,401 Popular, Inc. (b) 2,601,387 117,261 Regions Financial Corp. 832,553 27,817 SunTrust Banks, Inc. 846,471 171,818 TCF Financial Corp. 2,566,961 30,436 U.S. Bancorp 821,772 57,398 Valley National Bancorp 776,595 52,977 Wells Fargo & Co. 1,717,514 ------------ 38,891,425 ------------ Consumer Finance -- 2.4% 19,119 American Express Co. 829,382 99,653 Capital One Financial Corp. 4,799,289 88,602 Discover Financial Services 1,824,315 Shares Description Value ----------------------------------------------------------- Consumer Finance (Continued) 14,473 Green Dot Corp., Class A (b) $ 910,496 65,197 SLM Corp. (b) 939,489 ------------ 9,302,971 ------------ Diversified Financial Services -- 7.2% 61,531 Bank of America Corp. 844,821 71,819 CBOE Holdings, Inc. 1,652,555 173,539 Citigroup, Inc. (b) 836,458 7,908 CME Group, Inc. 2,440,092 46,068 Interactive Brokers Group, Inc., Class A 744,919 6,888 IntercontinentalExchange, Inc. (b) 829,935 77,397 JPMorgan Chase & Co. 3,478,221 145,346 Leucadia National Corp. 4,726,652 61,861 Moody's Corp. 1,816,858 84,273 MSCI, Inc., Class A (b) 2,884,665 138,487 NASDAQ OMX Group (The), Inc. (b) 3,390,162 141,459 NYSE Euronext 4,499,811 ------------ 28,145,149 ------------ Insurance -- 45.0% 68,134 ACE Ltd. 4,196,373 58,189 Aflac, Inc. 3,350,523 13,838 Alleghany Corp. (b) 4,272,898 71,353 Allied World Assurance Holdings Co. Ltd. 4,304,727 51,496 Allstate (The) Corp. 1,603,585 131,342 American Financial Group, Inc. 4,272,555 29,726 American National Insurance Co. 2,478,554 55,302 Aon Corp. 2,529,513 48,171 Arch Capital Group Ltd. (b) 4,251,091 87,511 Arthur J. Gallagher & Co. 2,597,326 148,184 Aspen Insurance Holdings Ltd. 4,452,929 85,235 Assurant, Inc. 3,343,769 239,606 Assured Guaranty Ltd. 3,464,703 118,201 Axis Capital Holdings Ltd. 4,205,592 31,758 Berkshire Hathaway, Inc., Class B (b) 2,596,217 68,582 Brown & Brown, Inc. 1,698,090 71,106 Chubb (The) Corp. 4,119,171 103,607 Cincinnati Financial Corp. 3,319,568 121,382 CNA Financial Corp. (b) 3,261,534 92,054 Endurance Specialty Holdings Ltd. 4,279,590 50,147 Erie Indemnity Co., Class A 3,330,764 38,715 Everest Re Group Ltd. 3,262,900 310,020 Fidelity National Financial, Inc., Class A 4,169,769 124,941 Genworth Financial, Inc., Class A (b) 1,695,449 54,470 Hanover Insurance Group, Inc. 2,576,431 160,104 Hartford Financial Services Group (The), Inc. 4,447,689 113,456 HCC Insurance Holdings, Inc. 3,435,448 118,069 Lincoln National Corp. 3,405,110 65,405 Loews Corp. 2,619,470 4,338 Markel Corp. (b) 1,746,045 Page 44 See Notes to Financial Statements First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Insurance (Continued) 93,071 Marsh & McLennan Cos., Inc. $ 2,594,819 76,336 Mercury General Corp. 3,240,463 73,889 MetLife, Inc. 3,381,900 60,229 Old Republic International Corp. 736,601 216,582 OneBeacon Insurance Group Ltd., Class A 2,978,003 52,779 PartnerRe Ltd. 4,321,545 78,155 Principal Financial Group, Inc. 2,561,139 128,067 Progressive (The) Corp. 2,537,007 123,256 Protective Life Corp. 3,398,168 72,244 Prudential Financial, Inc. 4,443,728 61,127 Reinsurance Group of America, Inc. 3,518,470 66,593 RenaissanceRe Holdings Ltd. 4,369,833 72,734 StanCorp Financial Group, Inc. 3,244,664 239,661 Symetra Financial Corp. 3,170,715 54,967 Torchmark Corp. 3,424,444 82,154 Transatlantic Holdings, Inc. 4,226,823 76,128 Travelers (The) Cos., Inc. 4,282,961 172,823 Unitrin, Inc. 4,650,667 135,565 Unum Group 3,380,991 138,555 Validus Holdings Ltd. 4,212,072 154,898 W. R. Berkley Corp. 4,375,869 2,225 Wesco Financial Corp. 836,133 2,451 White Mountains Insurance Group Ltd. 833,340 75,235 XL Group PLC 1,724,386 ------------ 175,732,124 ------------ IT Services -- 4.4% 35,822 Alliance Data Systems Corp. (b) 2,534,048 116,036 Broadridge Financial Solutions, Inc. 2,656,064 92,906 Fidelity National Information Services, Inc. 2,827,130 43,458 Fiserv, Inc. (b) 2,684,401 35,531 Global Payments, Inc. 1,678,484 275,753 Total System Services, Inc. 4,800,860 ------------ 17,180,987 ------------ Media -- 0.9% 30,919 Morningstar, Inc. 1,651,693 44,051 Thomson Reuters Corp. 1,762,481 ------------ 3,414,174 ------------ Professional Services -- 1.5% 71,478 Equifax, Inc. 2,553,194 40,847 IHS, Inc., Class A (b) 3,347,820 ------------ 5,901,014 ------------ Real Estate Investment Trusts -- 9.4% 80,251 AMB Property Corp. 2,692,421 91,607 Annaly Capital Management, Inc. 1,633,353 98,473 Apartment Investment & Management Co., Class A 2,516,970 1,031,901 Chimera Investment Corp. 4,333,984 Shares Description Value ----------------------------------------------------------- Real Estate Investment Trusts (Continued) 99,752 CommonWealth REIT $ 2,660,386 49,447 Douglas Emmett, Inc. 911,308 31,599 Equity Residential 1,712,350 7,191 Essex Property Trust, Inc. 834,156 56,433 General Growth Properties, Inc. (b) 835,773 71,260 Hospitality Properties Trust 1,772,236 22,564 Nationwide Health Properties, Inc. 847,278 81,512 Piedmont Office Realty Trust, Inc., Class A 1,612,307 56,843 ProLogis 848,097 62,517 Rayonier, Inc. 3,701,632 74,823 Senior Housing Properties Trust 1,677,532 8,255 Simon Property Group, Inc. 837,470 24,314 SL Green Realty Corp. 1,769,087 69,802 UDR, Inc. 1,638,951 173,447 Weyerhaeuser Co. 4,020,501 ------------ 36,855,792 ------------ Real Estate Management & Development -- 2.3% 207,080 CB Richard Ellis Group, Inc., Class A (b) 4,595,105 98,361 Forest City Enterprises, Inc., Class A (b) 1,663,284 30,326 Jones Lang LaSalle, Inc. 2,688,097 ------------ 8,946,486 ------------ Software -- 0.7% 27,146 FactSet Research Systems, Inc. 2,736,317 ------------ Thrifts & Mortgage Finance -- 2.0% 117,438 First Niagara Financial Group, Inc. 1,630,040 199,733 Hudson City Bancorp, Inc. 2,193,068 87,096 New York Community Bancorp, Inc. 1,595,599 58,597 People's United Financial, Inc. 756,487 97,032 Washington Federal, Inc. 1,677,683 ------------ 7,852,877 ------------ Total Common Stocks -- 100.0% 390,448,010 (Cost $361,609,757) Money Market Fund -- 0.0% 193,302 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 193,302 (Cost $193,302) ------------ Total Investments -- 100.0% 390,641,312 (Cost $361,803,059) (d) Net Other Assets and Liabilities -- 0.0% (45,251) ------------ Net Assets -- 100.0% $390,596,061 ============ See Notes to Financial Statements Page 45 First Trust Financials AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $31,014,403 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,176,150. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $390,448,010 $ -- $ -- Money Market Fund 193,302 -- -- ------------------------------------- Total Investments $390,641,312 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 46 See Notes to Financial Statements First Trust Health Care AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.1% Biotechnology -- 13.8% 19,714 Alexion Pharmaceuticals, Inc. (b) $ 1,652,427 28,924 Amgen, Inc. (b) 1,593,134 13,263 Biogen Idec, Inc. (b) 868,329 33,022 BioMarin Pharmaceutical, Inc. (b) 839,419 25,730 Cephalon, Inc. (b) 1,520,128 8,488 Dendreon Corp. (b) 297,420 4,163 Genzyme Corp. (b) 305,356 25,956 Myriad Genetics, Inc. (b) 518,082 36,119 Regeneron Pharmaceuticals, Inc. (b) 1,216,488 9,376 United Therapeutics Corp. (b) 637,380 ------------ 9,448,163 ------------ Health Care Equipment & Supplies -- 21.2% 24,296 Alere, Inc. (b) 951,674 11,711 Baxter International, Inc. 567,866 7,883 Beckman Coulter, Inc. 567,655 3,505 Becton, Dickinson & Co. 290,740 3,230 C. R. Bard, Inc. 304,751 23,070 CareFusion Corp. (b) 593,591 21,047 Cooper (The) Cos., Inc. 1,206,835 11,003 Edwards Lifesciences Corp. (b) 927,443 15,240 Gen-Probe, Inc. (b) 958,444 22,586 Hill-Rom Holdings, Inc. 914,056 4,281 IDEXX Laboratories, Inc. (b) 306,948 37,917 Kinetic Concepts, Inc. (b) 1,749,111 31,970 Medtronic, Inc. 1,225,090 8,560 ResMed, Inc. (b) 269,554 6,932 St. Jude Medical, Inc. (b) 280,746 22,037 Teleflex, Inc. 1,263,161 12,837 Varian Medical Systems, Inc. (b) 867,396 22,090 Zimmer Holdings, Inc. (b) 1,306,844 ------------ 14,551,905 ------------ Health Care Providers & Services -- 39.7% 52,049 Aetna, Inc. 1,714,494 26,063 AmerisourceBergen Corp. 934,619 55,381 Brookdale Senior Living, Inc. (b) 1,210,075 15,477 Cardinal Health, Inc. 642,450 32,344 CIGNA Corp. 1,359,095 31,728 Community Health Systems, Inc. (b) 1,114,287 60,153 Coventry Health Care, Inc. (b) 1,802,785 4,266 DaVita, Inc. (b) 315,044 18,352 Emergency Medical Services Corp., Class A (b) 1,238,760 21,938 Express Scripts, Inc. (b) 1,235,768 166,458 Health Management Associates, Inc., Class A (b) 1,514,768 9,659 Henry Schein, Inc. (b) 634,210 29,011 Humana, Inc. (b) 1,681,768 3,372 Laboratory Corp. of America Holdings (b) 303,177 43,211 LifePoint Hospitals, Inc. (b) 1,521,027 8,424 McKesson Corp. 633,232 Shares Description Value ----------------------------------------------------------- Health Care Providers & Services (Continued) 9,676 Medco Health Solutions, Inc. (b) $ 590,430 13,215 MEDNAX, Inc. (b) 874,172 11,677 Omnicare, Inc. 302,668 9,677 Patterson Cos., Inc. 319,922 21,967 Quest Diagnostics, Inc. 1,251,021 237,373 Tenet Healthcare Corp. (b) 1,578,530 43,979 UnitedHealth Group, Inc. 1,805,338 20,482 Universal Health Services, Inc., Class B 862,292 27,928 WellPoint, Inc. (b) 1,734,887 ------------ 27,174,819 ------------ Health Care Technology -- 2.9% 3,128 Cerner Corp. (b) 309,203 21,893 Emdeon, Inc., Class A (b) 321,608 27,665 SXC Health Solutions Corp. (b) 1,330,963 ------------ 1,961,774 ------------ Internet Software & Services -- 0.4% 5,807 WebMD Health Corp. (b) 303,590 ------------ Life Sciences Tools & Services -- 7.0% 8,565 Bio-Rad Laboratories, Inc., Class A (b) 932,557 25,071 Illumina, Inc. (b) 1,738,423 10,680 Life Technologies Corp. (b) 579,817 22,963 PerkinElmer, Inc. 587,394 16,064 Thermo Fisher Scientific, Inc. (b) 919,985 ------------ 4,758,176 ------------ Pharmaceuticals -- 15.1% 12,375 Abbott Laboratories 558,855 33,584 Bristol-Myers Squibb Co. 845,645 45,322 Eli Lilly & Co. 1,575,846 33,206 Endo Pharmaceuticals Holdings, Inc. (b) 1,103,103 27,809 Forest Laboratories, Inc. (b) 897,118 19,173 Johnson & Johnson 1,145,970 42,194 King Pharmaceuticals, Inc. (b) 600,843 32,902 Merck & Co., Inc. 1,091,359 28,060 Mylan, Inc. (b) 649,870 4,681 Perrigo Co. 340,496 50,789 Pfizer, Inc. 925,376 11,480 Watson Pharmaceuticals, Inc. (b) 625,890 ------------ 10,360,371 ------------ Total Common Stocks -- 100.1% 68,558,798 (Cost $61,980,776) Money Market Fund -- 0.0% 4,823 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 4,823 (Cost $4,823) ------------ See Notes to Financial Statements Page 47 First Trust Health Care AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Description Value ----------------------------------------------------------- Total Investments -- 100.1% $ 68,563,621 (Cost $61,985,599) (d) Net Other Assets and Liabilities -- (0.1)% (58,544) ------------ Net Assets -- 100.0% $ 68,505,077 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,993,054 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $415,032. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $68,558,798 $ -- $ -- Money Market Fund 4,823 -- -- ------------------------------------ Total Investments $68,563,621 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. Page 48 See Notes to Financial Statements First Trust Industrials/Producer Durables AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Aerospace & Defense -- 12.2% 8,403 Alliant Techsystems, Inc. (b) $ 636,611 8,813 General Dynamics Corp. 664,500 3,552 Goodrich Corp. 321,882 8,822 Honeywell International, Inc. 494,120 3,001 ITT Corp. 176,819 11,087 L-3 Communications Holdings, Inc. 867,558 2,237 Lockheed Martin Corp. 178,065 12,068 Northrop Grumman Corp. 836,313 16,869 Raytheon Co. 843,281 22,538 Spirit AeroSystems Holdings, Inc., Class A (b) 532,348 4,341 TransDigm Group, Inc. (b) 336,341 ------------ 5,887,838 ------------ Air Freight & Logistics -- 5.4% 7,799 C.H. Robinson Worldwide, Inc. 601,225 14,317 Expeditors International of Washington, Inc. 725,442 5,043 FedEx Corp. 455,484 36,871 UTI Worldwide, Inc. 807,475 ------------ 2,589,626 ------------ Airlines -- 2.5% 20,071 AMR Corp. (b) 141,500 5,313 Copa Holdings SA, Class A 298,856 24,087 Southwest Airlines Co. 285,431 19,689 United Continental Holdings, Inc. (b) 500,101 ------------ 1,225,888 ------------ Chemicals -- 1.5% 24,474 Nalco Holding Co. 745,478 ------------ Commercial Services & Supplies -- 4.5% 7,385 Avery Dennison Corp. 310,835 16,774 Cintas Corp. 470,678 12,478 Corrections Corp. of America (b) 309,579 26,845 R.R. Donnelley & Sons Co. 475,693 10,470 Republic Services, Inc. 322,895 1,932 Stericycle, Inc. (b) 151,643 4,240 Waste Management, Inc. 160,569 ------------ 2,201,892 ------------ Computers & Peripherals -- 1.6% 22,448 Lexmark International, Inc., Class A (b) 782,088 ------------ Construction & Engineering -- 8.8% 22,356 Aecom Technology Corp. (b) 654,360 23,760 Chicago Bridge & Iron Co. N.V. (b) 781,466 11,796 Fluor Corp. 816,165 3,410 Jacobs Engineering Group, Inc. (b) 175,172 25,654 KBR, Inc. 823,493 7,849 Quanta Services, Inc. (b) 186,257 18,784 URS Corp. (b) 834,949 ------------ 4,271,862 ------------ Shares Description Value ----------------------------------------------------------- Electrical Equipment -- 7.5% 11,948 AMETEK, Inc. $ 487,240 2,684 Cooper Industries PLC 164,422 17,819 General Cable Corp. (b) 659,481 7,800 Hubbell, Inc., Class B 477,672 7,026 Regal-Beloit Corp. 468,915 8,720 Rockwell Automation, Inc. 706,407 4,090 Roper Industries, Inc. 317,752 6,474 Thomas & Betts Corp. (b) 332,699 ------------ 3,614,588 ------------ Electronic Equipment, Instruments & Components -- 2.1% 5,641 Itron, Inc. (b) 327,291 4,152 National Instruments Corp. 175,671 7,832 Trimble Navigation Ltd. (b) 360,899 8,299 Vishay Precision Group, Inc. (b) 153,946 ------------ 1,017,807 ------------ Energy Equipment & Services -- 3.1% 30,226 McDermott International, Inc. (b) 628,096 14,520 Tidewater, Inc. 863,795 ------------ 1,491,891 ------------ Industrial Conglomerates -- 3.4% 11,800 Carlisle Cos., Inc. 444,978 8,549 General Electric Co. 172,177 13,225 Textron, Inc. 347,685 15,091 Tyco International Ltd. 676,530 ------------ 1,641,370 ------------ Internet Software & Services -- 0.5% 13,230 Monster Worldwide, Inc. (b) 220,280 ------------ IT Services -- 2.1% 3,223 Accenture PLC, Class A 165,888 59,353 Convergys Corp. (b) 845,187 ------------ 1,011,075 ------------ Life Sciences Tools & Services -- 2.3% 15,094 Agilent Technologies, Inc. (b) 631,382 3,102 Mettler-Toledo International, Inc. (b) 462,787 ------------ 1,094,169 ------------ Machinery -- 29.8% 8,742 Bucyrus International, Inc. 793,424 6,677 Caterpillar, Inc. 647,736 16,373 CNH Global N.V. (b) 792,944 3,808 Crane Co. 169,113 7,104 Cummins, Inc. 752,171 3,314 Danaher Corp. 152,643 9,414 Deere & Co. 855,733 10,728 Donaldson Co., Inc. 628,661 8,023 Dover Corp. 514,274 See Notes to Financial Statements Page 49 First Trust Industrials/Producer Durables AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Machinery (Continued) 7,700 Eaton Corp. $ 831,292 9,086 Gardner Denver, Inc. 655,464 15,852 Graco, Inc. 673,393 22,081 Harsco Corp. 712,554 3,995 IDEX Corp. 158,442 2,926 Illinois Tool Works, Inc. 156,512 5,406 Joy Global, Inc. 471,295 19,808 Kennametal, Inc. 804,205 2,395 Lincoln Electric Holdings, Inc. 162,189 11,926 Manitowoc (The) Co., Inc. 160,166 10,800 Navistar International Corp. (b) 700,380 13,309 Oshkosh Corp. (b) 504,544 10,892 PACCAR, Inc. 615,289 9,458 Pall Corp. 524,068 9,059 Parker Hannifin Corp. 809,965 4,375 SPX Corp. 342,912 7,608 Toro (The) Co. 462,719 11,748 Trinity Industries, Inc. 327,652 ------------ 14,379,740 ------------ Marine -- 0.7% 7,097 Kirby Corp. (b) 331,714 ------------ Office Electronics -- 1.6% 27,141 Xerox Corp. 288,237 12,345 Zebra Technologies Corp., Class A (b) 480,221 ------------ 768,458 ------------ Oil, Gas & Consumable Fuels -- 1.0% 18,485 Frontline Ltd. 479,316 ------------ Professional Services -- 1.0% 4,193 FTI Consulting, Inc. (b) 152,919 6,007 Towers Watson & Co., Class A 327,561 ------------ 480,480 ------------ Road & Rail -- 5.1% 8,551 Con-way, Inc. 290,905 11,491 J.B. Hunt Transport Services, Inc. 471,131 13,065 Kansas City Southern (b) 652,989 2,489 Norfolk Southern Corp. 152,302 11,880 Ryder System, Inc. 571,190 3,374 Union Pacific Corp. 319,282 ------------ 2,457,799 ------------ Trading Companies & Distributors -- 3.3% 17,727 GATX Corp. 589,423 7,249 MSC Industrial Direct Co., Inc., Class A 430,808 4,529 W.W. Grainger, Inc. 595,427 ------------ 1,615,658 ------------ Shares Description Value ----------------------------------------------------------- Total Common Stocks -- 100.0% $ 48,309,017 (Cost $41,984,566) Money Market Fund -- 0.0% 13,190 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 13,190 (Cost $13,190) Total Investments -- 100.0% 48,322,207 (Cost $41,997,756) (d) Net Other Assets and Liabilities -- (0.1)% (25,016) ------------ Net Assets -- 100.0% $ 48,297,191 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,539,816 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $215,365. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $48,309,017 $ -- $ -- Money Market Fund 13,190 -- -- ------------------------------------ Total Investments $48,322,207 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. Page 50 See Notes to Financial Statements First Trust Materials AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Building Products -- 6.7% 133,570 Lennox International, Inc. $ 6,563,630 507,020 Owens Corning, Inc. (b) 16,969,959 563,053 USG Corp. (b) 9,132,720 ------------ 32,666,309 ------------ Chemicals -- 35.3% 31,558 Air Products and Chemicals, Inc. 2,753,435 226,513 Albemarle Corp. 12,720,970 248,409 Ashland, Inc. 14,422,626 251,715 Cabot Corp. 10,886,674 383,629 Celanese Corp., Class A 15,916,767 93,490 CF Industries Holdings, Inc. 12,624,890 119,044 Cytec Industries, Inc. 6,492,660 84,125 Dow Chemical (The) Co. 2,984,755 253,330 E.I. du Pont de Nemours & Co. 12,838,764 187,838 Eastman Chemical Co. 17,442,637 118,602 FMC Corp. 9,020,868 170,468 International Flavors & Fragrances, Inc. 9,725,199 59,123 Lubrizol (The) Corp. 6,353,358 82,720 Mosaic (The) Co. 6,703,629 150,295 PPG Industries, Inc. 12,666,863 129,918 RPM International, Inc. 3,043,979 75,425 Sherwin-Williams (The) Co. 6,390,760 43,141 Sigma-Aldrich Corp. 2,745,925 183,239 Valspar (The) Corp. 6,847,641 ------------ 172,582,400 ------------ Containers & Packaging -- 18.1% 132,826 AptarGroup, Inc. 6,383,617 185,686 Ball Corp. 13,207,845 193,434 Bemis Co., Inc. 6,296,277 283,872 Crown Holdings, Inc. (b) 9,469,970 153,096 Greif, Inc., Class A 9,652,703 93,533 Owens-Illinois, Inc. (b) 2,758,288 488,959 Packaging Corp. of America 13,813,092 372,353 Sealed Air Corp. 9,938,102 281,430 Sonoco Products Co. 10,004,836 297,434 Temple-Inland, Inc. 7,135,442 ------------ 88,660,172 ------------ Machinery -- 3.8% 330,896 Timken (The) Co. 15,558,730 32,350 Valmont Industries, Inc. 3,006,609 ------------ 18,565,339 ------------ Metals & Mining -- 29.7% 771,833 AK Steel Holding Corp. 12,272,145 820,985 Alcoa, Inc. 13,603,721 171,728 Allegheny Technologies, Inc. 11,194,948 313,987 Carpenter Technology Corp. 12,920,565 202,443 Cliffs Natural Resources, Inc. 17,300,779 32,176 Compass Minerals International, Inc. 2,956,009 131,502 Freeport-McMoRan Copper & Gold, Inc. 14,300,843 65,550 Nucor Corp. 3,009,401 185,439 Reliance Steel & Aluminum Co. 9,696,605 237,881 Schnitzer Steel Industries, Inc., Class A 14,677,258 Shares Description Value ----------------------------------------------------------- Metals & Mining (Continued) 324,040 Southern Copper Corp. $ 14,523,473 156,902 Steel Dynamics, Inc. 2,855,616 270,357 United States Steel Corp. 15,591,488 ------------ 144,902,851 ------------ Paper & Forest Products -- 5.8% 208,024 Domtar Corp. 18,291,550 231,900 International Paper Co. 6,697,272 109,754 MeadWestvaco Corp. 3,142,257 ------------ 28,131,079 ------------ Trading Companies & Distributors -- 0.6% 47,935 Fastenal Co. 2,783,106 ------------ Total Common Stocks -- 100.0% 488,291,256 (Cost $436,277,295) Money Market Fund -- 0.0% 73,311 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 73,311 (Cost $73,311) ------------ Total Investments -- 100.0% 488,364,567 (Cost $436,350,606) (d) Net Other Assets and Liabilities -- 0.0% (208,949) ------------ Net Assets -- 100.0% $488,155,618 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $53,546,433 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,532,472. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $488,291,256 $ -- $ -- Money Market Fund 73,311 -- -- ------------------------------------- Total Investments $488,364,567 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 51 First Trust Technology AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Communications Equipment -- 12.1% 388,445 Brocade Communications Systems, Inc. (b) $ 2,190,830 122,023 Ciena Corp. (b) 2,688,167 61,719 EchoStar Corp., Class A (b) 1,681,843 15,787 F5 Networks, Inc. (b) 1,710,995 141,911 JDS Uniphase Corp. (b) 2,408,230 41,744 Juniper Networks, Inc. (b) 1,549,537 52,716 Polycom, Inc. (b) 2,311,596 378,846 Tellabs, Inc. 2,007,884 ------------ 16,549,082 ------------ Computers & Peripherals -- 9.3% 4,780 Apple, Inc. (b) 1,621,950 16,028 Diebold, Inc. 491,418 44,867 EMC Corp. (b) 1,116,740 66,848 NCR Corp. (b) 1,096,307 28,043 NetApp, Inc. (b) 1,534,793 41,213 SanDisk Corp. (b) 1,869,834 170,899 Seagate Technology (b) 2,392,586 75,768 Western Digital Corp. (b) 2,577,627 ------------ 12,701,255 ------------ Electronic Equipment, Instruments & Components -- 17.0% 9,735 Amphenol Corp., Class A 538,735 74,997 Arrow Electronics, Inc. (b) 2,834,887 62,214 Avnet, Inc. (b) 2,216,063 166,466 AVX Corp. 2,610,187 132,950 Corning, Inc. 2,952,819 7,702 Dolby Laboratories, Inc., Class A (b) 459,809 107,641 Ingram Micro, Inc., Class A (b) 2,124,833 127,855 Jabil Circuit, Inc. 2,583,950 67,831 Molex, Inc. 1,773,781 46,682 Tech Data Corp. (b) 2,189,853 174,971 Vishay Intertechnology, Inc. (b) 2,887,021 ------------ 23,171,938 ------------ Internet Software & Services -- 1.8% 35,799 IAC/InterActiveCorp (b) 1,012,754 92,673 Yahoo!, Inc. (b) 1,493,889 ------------ 2,506,643 ------------ IT Services -- 5.9% 74,805 Amdocs Ltd. (b) 2,179,818 21,029 Cognizant Technology Solutions Corp., Class A (b) 1,534,065 51,786 Computer Sciences Corp. 2,759,676 30,947 Gartner, Inc. (b) 1,096,143 12,479 Teradata Corp. (b) 536,472 ------------ 8,106,174 ------------ Shares Description Value ----------------------------------------------------------- Semiconductors & Semiconductor Equipment -- 36.9% 251,209 Advanced Micro Devices, Inc. (b) $ 1,966,966 43,314 Altera Corp. 1,627,307 27,275 Analog Devices, Inc. 1,059,088 36,565 Applied Materials, Inc. 573,705 42,906 Atheros Communications (b) 1,913,179 208,488 Atmel Corp. (b) 2,822,928 72,177 Avago Technologies Ltd. 2,072,202 35,386 Broadcom Corp., Class A 1,595,555 7,798 Cree, Inc. (b) 393,721 138,245 Cypress Semiconductor Corp. (b) 2,993,004 131,640 Fairchild Semiconductor International, Inc. (b) 2,343,192 122,139 Intel Corp. 2,621,103 69,210 International Rectifier Corp. (b) 2,216,796 67,286 Intersil Corp., Class A 1,017,364 13,297 KLA-Tencor Corp. 586,132 39,686 Lam Research Corp. (b) 1,979,935 14,852 Linear Technology Corp. 516,701 85,762 LSI Corp. (b) 530,867 65,248 Maxim Integrated Products, Inc. 1,684,703 15,015 Microchip Technology, Inc. 547,597 320,275 Micron Technology, Inc. (b) 3,375,698 37,333 National Semiconductor Corp. 565,968 63,577 Novellus Systems, Inc. (b) 2,293,222 66,718 NVIDIA Corp. (b) 1,595,895 207,983 ON Semiconductor Corp. (b) 2,298,212 59,806 PMC-Sierra, Inc. (b) 467,683 89,715 Skyworks Solutions, Inc. (b) 2,850,246 182,946 Teradyne, Inc. (b) 3,051,539 47,420 Texas Instruments, Inc. 1,608,012 27,789 Varian Semiconductor Equipment Associates, Inc. (b) 1,235,221 ------------ 50,403,741 ------------ Software -- 17.0% 9,867 ANSYS, Inc. (b) 517,524 40,346 Autodesk, Inc. (b) 1,641,275 21,021 CA, Inc. 500,300 62,192 Cadence Design Systems, Inc. (b) 539,827 15,017 Citrix Systems, Inc. (b) 948,774 88,041 Compuware Corp. (b) 943,800 35,002 Informatica Corp. (b) 1,624,093 20,840 Intuit, Inc. (b) 978,021 11,714 MICROS Systems, Inc. (b) 535,798 36,800 Microsoft Corp. 1,020,280 433,885 Novell, Inc. (b) 2,611,988 28,255 Nuance Communications, Inc. (b) 574,424 49,239 Oracle Corp. 1,577,125 22,509 Red Hat, Inc. (b) 930,072 33,138 Rovi Corp. (b) 2,046,603 11,674 Salesforce.com, Inc. (b) 1,507,580 20,020 Solera Holdings, Inc. 1,047,647 61,375 Symantec Corp. (b) 1,080,814 57,272 Synopsys, Inc. (b) 1,553,789 11,554 VMware, Inc., Class A (b) 988,098 ------------ 23,167,832 ------------ Page 52 See Notes to Financial Statements First Trust Technology AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Total Common Stocks -- 100.0% $136,606,665 (Cost $120,282,565) Money Market Fund -- 0.1% 74,413 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 74,413 (Cost $74,413) ------------ Total Investments -- 100.1% 136,681,078 (Cost $120,356,978) (d) Net Other Assets and Liabilities -- (0.1)% (112,440) ------------ Net Assets -- 100.0% $136,568,638 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $17,240,056 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $915,956. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $136,606,665 $ -- $ -- Money Market Fund 74,413 -- -- ------------------------------------- Total Investments $136,681,078 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 53 First Trust Utilities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 99.9% Diversified Telecommunication Services -- 5.8% 49,771 AT&T, Inc. $ 1,369,698 23,036 CenturyLink, Inc. 996,077 27,327 Frontier Communications Corp. 250,588 ------------ 2,616,363 ------------ Electric Utilities -- 34.3% 60,324 Allegheny Energy, Inc. 1,555,153 29,559 American Electric Power Co., Inc. 1,054,665 20,681 DPL, Inc. 541,429 29,855 Duke Energy Corp. 533,807 37,884 Edison International 1,374,432 15,013 Entergy Corp. 1,083,488 21,073 Exelon Corp. 895,813 28,727 FirstEnergy Corp. 1,123,800 75,415 Great Plains Energy, Inc. 1,484,167 20,456 NextEra Energy, Inc. 1,093,578 8,338 Northeast Utilities 274,487 75,692 NV Energy, Inc. 1,087,694 29,138 Pepco Holdings, Inc. 541,093 21,165 Pinnacle West Capital Corp. 861,627 10,103 PPL Corp. 260,556 12,231 Progress Energy, Inc. 549,417 42,271 Westar Energy, Inc. 1,077,910 ------------ 15,393,116 ------------ Gas Utilities -- 7.6% 14,833 AGL Resources, Inc. 544,371 28,123 Atmos Energy Corp. 916,810 30,302 Energen Corp. 1,693,882 8,420 UGI Corp. 263,967 ------------ 3,419,030 ------------ Independent Power Producers & Energy Traders -- 11.0% 21,829 AES (The) Corp. (b) 270,680 47,741 Constellation Energy Group, Inc. 1,539,647 383,804 GenOn Energy, Inc. (b) 1,588,949 74,835 NRG Energy, Inc. (b) 1,552,826 ------------ 4,952,102 ------------ Multi-Utilities -- 27.0% 23,860 Alliant Energy Corp. 886,638 18,863 Ameren Corp. 535,143 16,912 CenterPoint Energy, Inc. 273,129 47,170 CMS Energy Corp. 919,815 10,725 Consolidated Edison, Inc. 535,285 24,896 Dominion Resources, Inc. 1,083,972 23,467 DTE Energy Co. 1,085,583 5,479 Integrys Energy Group, Inc. 260,746 43,286 MDU Resources Group, Inc. 918,962 60,357 NiSource, Inc. 1,123,847 5,837 OGE Energy Corp. 267,860 5,558 PG&E Corp. 257,224 33,433 Public Service Enterprise Group, Inc. 1,084,232 Shares Description Value ----------------------------------------------------------- Multi-Utilities (Continued) 13,096 SCANA Corp. $ 553,568 5,068 Sempra Energy 263,891 14,937 TECO Energy, Inc. 274,990 34,568 Vectren Corp. 915,706 37,256 Xcel Energy, Inc. 878,124 ------------ 12,118,715 ------------ Oil, Gas & Consumable Fuels -- 2.2% 36,452 Southern Union Co. 973,997 ------------ Water Utilities -- 1.2% 21,027 American Water Works Co., Inc. 536,188 ------------ Wireless Telecommunication Services -- 10.8% 115,776 MetroPCS Communications, Inc. (b) 1,496,984 11,908 NII Holdings, Inc. (b) 499,898 125,708 Sprint Nextel Corp. (b) 568,200 40,008 Telephone and Data Systems, Inc. 1,430,286 17,566 United States Cellular Corp. (b) 856,167 ------------ 4,851,535 ------------ Total Common Stocks -- 99.9% 44,861,046 (Cost $42,595,043) Money Market Fund -- 0.1% 64,285 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 64,285 (Cost $64,285) ------------ Total Investments -- 100.0% 44,925,331 (Cost $42,659,328) (d) Net Other Assets and Liabilities -- 0.0% 9,776 ------------ Net Assets -- 100.0% $ 44,935,107 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,525,950 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $259,947. Page 54 See Notes to Financial Statements First Trust Utilities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $44,861,046 $ -- $ -- Money Market Fund 64,285 -- -- ------------------------------------ Total Investments $44,925,331 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 55 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Aerospace & Defense -- 2.4% 7,651 General Dynamics Corp. $ 576,885 3,085 Goodrich Corp. 279,563 7,658 Honeywell International, Inc. 428,925 2,598 ITT Corp. 153,074 9,630 L-3 Communications Holdings, Inc. 753,547 1,948 Lockheed Martin Corp. 155,061 10,469 Northrop Grumman Corp. 725,502 14,644 Raytheon Co. 732,053 ------------ 3,804,610 ------------ Air Freight & Logistics -- 1.2% 8,458 C.H. Robinson Worldwide, Inc. 652,027 12,428 Expeditors International of Washington, Inc. 629,727 4,371 FedEx Corp. 394,789 3,744 United Parcel Service, Inc., Class B 268,145 ------------ 1,944,688 ------------ Airlines -- 0.2% 20,909 Southwest Airlines Co. 247,772 ------------ Auto Components -- 0.1% 3,552 Johnson Controls, Inc. 136,361 ------------ Automobiles -- 0.7% 40,411 Ford Motor Co. (b) 644,555 11,746 Harley-Davidson, Inc. 465,729 ------------ 1,110,284 ------------ Beverages -- 0.3% 10,813 Molson Coors Brewing Co., Class B 506,805 ------------ Biotechnology -- 0.9% 9,886 Amgen, Inc. (b) 544,521 4,045 Biogen Idec, Inc. (b) 264,826 10,993 Cephalon, Inc. (b) 649,467 ------------ 1,458,814 ------------ Capital Markets -- 2.0% 11,787 Ameriprise Financial, Inc. 726,668 4,501 Bank of New York Mellon (The) Corp. 140,566 5,189 Federated Investors, Inc., Class B 140,518 1,220 Franklin Resources, Inc. 147,193 2,424 Goldman Sachs Group (The), Inc. 396,615 11,286 Invesco Ltd. 279,216 20,933 Janus Capital Group, Inc. 270,245 3,746 Legg Mason, Inc. 124,105 9,977 Morgan Stanley 293,324 2,923 State Street Corp. 136,563 6,310 T. Rowe Price Group, Inc. 415,955 ------------ 3,070,968 ------------ Chemicals -- 2.6% 1,486 Air Products and Chemicals, Inc. 129,653 4,014 CF Industries Holdings, Inc. 542,050 3,978 Dow Chemical (The) Co. 141,139 Shares Description Value ----------------------------------------------------------- Chemicals (Continued) 10,882 E.I. du Pont de Nemours & Co. $ 551,500 8,074 Eastman Chemical Co. 749,752 5,097 FMC Corp. 387,678 7,324 International Flavors & Fragrances, Inc. 417,834 6,454 PPG Industries, Inc. 543,943 1,424 Praxair, Inc. 132,489 3,238 Sherwin-Williams (The) Co. 274,356 4,081 Sigma-Aldrich Corp. 259,756 ------------ 4,130,150 ------------ Commercial Banks -- 0.8% 39,508 Huntington Bancshares, Inc. 286,038 15,332 KeyCorp 136,455 1,558 M&T Bank Corp. 134,720 6,699 PNC Financial Services Group, Inc. 401,940 8,759 Wells Fargo & Co. 283,967 ------------ 1,243,120 ------------ Commercial Services & Supplies -- 1.3% 9,621 Avery Dennison Corp. 404,948 14,558 Cintas Corp. 408,497 23,304 R.R. Donnelley & Sons Co. 412,947 9,091 Republic Services, Inc. 280,366 3,351 Stericycle, Inc. (b) 263,020 7,357 Waste Management, Inc. 278,610 ------------ 2,048,388 ------------ Communications Equipment -- 2.3% 20,120 Cisco Systems, Inc. (b) 425,538 5,214 F5 Networks, Inc. (b) 565,093 14,979 Harris Corp. 697,123 46,861 JDS Uniphase Corp. (b) 795,231 14,700 Juniper Networks, Inc. (b) 545,664 100,087 Tellabs, Inc. 530,461 ------------ 3,559,110 ------------ Computers & Peripherals -- 2.2% 1,257 Apple, Inc. (b) 426,525 10,012 Dell, Inc. (b) 131,758 11,855 EMC Corp. (b) 295,071 12,891 Hewlett-Packard Co. 588,990 19,493 Lexmark International, Inc., Class A (b) 679,136 7,411 NetApp, Inc. (b) 405,604 13,614 SanDisk Corp. (b) 617,667 8,004 Western Digital Corp. (b) 272,296 ------------ 3,417,047 ------------ Construction & Engineering -- 0.7% 10,237 Fluor Corp. 708,298 13,629 Quanta Services, Inc. (b) 323,416 ------------ 1,031,714 ------------ Page 56 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Consumer Finance -- 0.4% 12,756 Capital One Financial Corp. $ 614,329 ------------ Containers & Packaging -- 0.9% 7,979 Ball Corp. 567,546 8,312 Bemis Co., Inc. 270,556 4,423 Owens-Illinois, Inc. (b) 130,434 15,995 Sealed Air Corp. 426,907 ------------ 1,395,443 ------------ Diversified Consumer Services -- 0.3% 34,183 H&R Block, Inc. 427,971 ------------ Diversified Financial Services -- 1.2% 425 CME Group, Inc. 131,138 9,595 JPMorgan Chase & Co. 431,199 9,304 Leucadia National Corp. 302,566 5,112 Moody's Corp. 150,140 11,445 NASDAQ OMX Group (The), Inc. (b) 280,174 18,104 NYSE Euronext 575,888 ------------ 1,871,105 ------------ Diversified Telecommunication Services -- 1.6% 23,094 AT&T, Inc. 635,547 11,758 CenturyLink, Inc. 508,416 41,842 Frontier Communications Corp. 383,691 71,335 Qwest Communications International, Inc. 508,619 3,790 Verizon Communications, Inc. 135,000 29,203 Windstream Corp. 374,090 ------------ 2,545,363 ------------ Electric Utilities -- 4.5% 27,989 Allegheny Energy, Inc. 721,556 15,088 American Electric Power Co., Inc. 538,340 30,484 Duke Energy Corp. 545,054 17,577 Edison International 637,694 7,663 Entergy Corp. 553,039 13,034 Exelon Corp. 554,075 14,662 FirstEnergy Corp. 573,577 10,440 NextEra Energy, Inc. 558,122 8,518 Northeast Utilities 280,413 22,308 Pepco Holdings, Inc. 414,260 13,096 Pinnacle West Capital Corp. 533,138 10,313 PPL Corp. 265,972 12,482 Progress Energy, Inc. 560,692 7,100 Southern Co. 267,102 ------------ 7,003,034 ------------ Electrical Equipment -- 0.7% 2,368 Emerson Electric Co. 139,428 7,567 Rockwell Automation, Inc. 613,003 5,327 Roper Industries, Inc. 413,854 ------------ 1,166,285 ------------ Shares Description Value ----------------------------------------------------------- Electronic Equipment, Instruments & Components -- 1.0% 2,569 Amphenol Corp., Class A $ 142,168 35,119 Corning, Inc. 779,993 6,757 Jabil Circuit, Inc. 136,559 17,917 Molex, Inc. 468,530 ------------ 1,527,250 ------------ Energy Equipment & Services -- 2.8% 11,870 Baker Hughes, Inc. 813,214 8,021 Cameron International Corp. (b) 427,519 4,575 FMC Technologies, Inc. (b) 430,050 9,973 Halliburton Co. 448,785 11,199 Helmerich & Payne, Inc. 657,717 11,566 Nabors Industries Ltd. (b) 282,210 6,060 National Oilwell Varco, Inc. 447,834 15,548 Rowan Cos., Inc. (b) 532,986 3,246 Schlumberger Ltd. 288,862 ------------ 4,329,177 ------------ Food & Staples Retailing -- 1.7% 15,617 CVS Caremark Corp. 534,101 18,207 Kroger (The) Co. 389,630 9,229 Sysco Corp. 268,933 6,970 Walgreen Co. 281,867 7,549 Wal-Mart Stores, Inc. 423,272 13,415 Whole Foods Market, Inc. 693,690 ------------ 2,591,493 ------------ Food Products -- 2.7% 22,554 Archer-Daniels-Midland Co. 736,839 3,903 Campbell Soup Co. 133,248 12,016 ConAgra Foods, Inc. 268,317 61,406 Dean Foods Co. (b) 623,271 3,808 General Mills, Inc. 132,442 10,588 Hormel Foods Corp. 523,047 6,203 J.M. Smucker (The) Co. 385,579 4,310 Kraft Foods, Inc., Class A 131,757 2,913 McCormick & Co., Inc. 128,755 2,185 Mead Johnson Nutrition Co. 126,664 23,248 Sara Lee Corp. 394,519 39,404 Tyson Foods, Inc., Class A 648,196 ------------ 4,232,634 ------------ Gas Utilities -- 0.4% 8,153 Nicor, Inc. 411,482 2,446 ONEOK, Inc. 144,045 ------------ 555,527 ------------ Health Care Equipment & Supplies -- 1.0% 3,975 DENTSPLY International, Inc. 141,033 14,637 Medtronic, Inc. 560,890 3,913 Varian Medical Systems, Inc. (b) 264,401 10,111 Zimmer Holdings, Inc. (b) 598,167 ------------ 1,564,491 ------------ See Notes to Financial Statements Page 57 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Health Care Providers & Services -- 4.1% 22,238 Aetna, Inc. $ 732,520 7,959 AmerisourceBergen Corp. 285,410 3,544 Cardinal Health, Inc. 147,111 3,697 CIGNA Corp. 155,348 25,708 Coventry Health Care, Inc. (b) 770,469 7,534 Express Scripts, Inc. (b) 424,390 12,400 Humana, Inc. (b) 718,828 1,923 McKesson Corp. 144,552 4,431 Medco Health Solutions, Inc. (b) 270,379 10,063 Quest Diagnostics, Inc. 573,088 101,432 Tenet Healthcare Corp. (b) 674,523 18,787 UnitedHealth Group, Inc. 771,206 11,940 WellPoint, Inc. (b) 741,713 ------------ 6,409,537 ------------ Health Care Technology -- 0.1% 1,434 Cerner Corp. (b) 141,751 ------------ Hotels, Restaurants & Leisure -- 2.0% 11,772 Carnival Corp. 526,326 2,918 Darden Restaurants, Inc. 137,467 9,796 Marriott International, Inc., Class A 386,844 16,892 Starbucks Corp. 532,605 6,693 Starwood Hotels & Resorts Worldwide, Inc. 394,686 13,587 Wyndham Worldwide Corp. 382,202 5,226 Wynn Resorts Ltd. 607,941 2,768 Yum! Brands, Inc. 129,432 ------------ 3,097,503 ------------ Household Durables -- 1.6% 11,372 D.R. Horton, Inc. 140,899 2,248 Fortune Brands, Inc. 138,657 14,655 Harman International Industries, Inc. (b) 634,855 11,923 Leggett & Platt, Inc. 268,625 21,718 Lennar Corp., Class A 420,460 6,090 Stanley Black & Decker, Inc. 442,621 6,110 Whirlpool Corp. 522,405 ------------ 2,568,522 ------------ Household Products -- 0.3% 2,140 Clorox (The) Co. 134,585 4,308 Kimberly-Clark Corp. 278,857 2,109 Procter & Gamble (The) Co. 133,141 ------------ 546,583 ------------ Independent Power Producers & Energy Traders -- 1.2% 33,423 AES (The) Corp. (b) 414,445 22,158 Constellation Energy Group, Inc. 714,596 34,727 NRG Energy, Inc. (b) 720,585 ------------ 1,849,626 ------------ Shares Description Value ----------------------------------------------------------- Industrial Conglomerates -- 0.7% 3,140 3M Co. $ 276,069 14,844 General Electric Co. 298,958 13,099 Tyco International Ltd. 587,228 ------------ 1,162,255 ------------ Insurance -- 4.3% 10,897 ACE Ltd. 671,146 4,805 Aflac, Inc. 276,672 4,252 Allstate (The) Corp. 132,407 14,093 Assurant, Inc. 552,868 3,395 Berkshire Hathaway, Inc., Class B (b) 277,541 11,384 Chubb (The) Corp. 659,475 12,850 Cincinnati Financial Corp. 411,714 20,497 Hartford Financial Services Group (The), Inc. 569,407 9,761 Lincoln National Corp. 281,507 3,482 Loews Corp. 139,454 3,061 MetLife, Inc. 140,102 4,174 Principal Financial Group, Inc. 136,782 13,659 Progressive (The) Corp. 270,585 9,242 Prudential Financial, Inc. 568,476 6,809 Torchmark Corp. 424,201 12,183 Travelers (The) Cos., Inc. 685,416 22,413 Unum Group 558,980 ------------ 6,756,733 ------------ Internet & Catalog Retail -- 1.0% 3,013 Amazon.com, Inc. (b) 511,125 2,319 Netflix, Inc. (b) 496,451 1,355 priceline.com, Inc. (b) 580,645 ------------ 1,588,221 ------------ Internet Software & Services -- 0.6% 4,877 eBay, Inc. (b) 148,066 228 Google, Inc., Class A (b) 136,882 11,483 Monster Worldwide, Inc. (b) 191,192 24,487 Yahoo!, Inc. (b) 394,730 ------------ 870,870 ------------ IT Services -- 1.9% 7,410 Cognizant Technology Solutions Corp., Class A (b) 540,560 13,677 Computer Sciences Corp. 728,847 4,960 Fidelity National Information Services, Inc. 150,933 2,319 Fiserv, Inc. (b) 143,245 34,225 SAIC, Inc. (b) 567,108 3,301 Teradata Corp. (b) 141,910 44,115 Total System Services, Inc. 768,042 ------------ 3,040,645 ------------ Leisure Equipment & Products -- 0.3% 2,878 Hasbro, Inc. 126,891 16,006 Mattel, Inc. 379,022 ------------ 505,913 ------------ Page 58 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Life Sciences Tools & Services -- 0.9% 16,384 Agilent Technologies, Inc. (b) $ 685,343 2,445 Life Technologies Corp. (b) 132,739 10,516 PerkinElmer, Inc. 268,999 4,900 Thermo Fisher Scientific, Inc. (b) 280,623 ------------ 1,367,704 ------------ Machinery -- 4.2% 5,793 Caterpillar, Inc. 561,979 6,174 Cummins, Inc. 653,703 5,756 Danaher Corp. 265,121 8,176 Deere & Co. 743,198 6,969 Dover Corp. 446,713 6,681 Eaton Corp. 721,281 1,135 Flowserve Corp. 141,864 5,086 Illinois Tool Works, Inc. 272,050 11,529 Ingersoll-Rand PLC 544,169 9,451 PACCAR, Inc. 533,887 8,212 Pall Corp. 455,027 7,865 Parker Hannifin Corp. 703,210 9,592 Snap-on, Inc. 543,195 ------------ 6,585,397 ------------ Media -- 3.6% 16,048 Cablevision Systems Corp., Class A 543,225 7,121 CBS Corp., Class B 141,209 12,350 Comcast Corp., Class A 280,963 3,404 DIRECTV, Class A (b) 144,296 44,968 Gannett Co., Inc. 662,828 38,334 Interpublic Group of Cos. (The), Inc. (b) 409,790 3,733 McGraw-Hill (The) Cos., Inc. 145,512 7,839 Meredith Corp. 264,174 27,963 News Corp., Class A 420,004 5,921 Omnicom Group, Inc. 265,734 5,241 Scripps Networks Interactive, Class A 243,707 8,220 Time Warner Cable, Inc. 557,563 12,655 Time Warner, Inc. 398,000 3,428 Viacom, Inc., Class B 142,433 7,233 Walt Disney (The) Co. 281,147 1,545 Washington Post (The) Co., Class B 661,801 ------------ 5,562,386 ------------ Metals & Mining -- 1.6% 7,375 Allegheny Technologies, Inc. 480,776 8,693 Cliffs Natural Resources, Inc. 742,904 5,652 Freeport-McMoRan Copper & Gold, Inc. 614,655 11,620 United States Steel Corp. 670,125 ------------ 2,508,460 ------------ Multiline Retail -- 2.2% 22,280 Big Lots, Inc. (b) 708,281 10,914 Family Dollar Stores, Inc. 463,627 8,405 J. C. Penney Co., Inc. 269,548 9,989 Kohl's Corp. (b) 507,242 Shares Description Value ----------------------------------------------------------- Multiline Retail (Continued) 21,455 Macy's, Inc. $ 496,683 9,613 Nordstrom, Inc. 395,863 5,524 Sears Holdings Corp. (b) 416,344 4,518 Target Corp. 247,722 ------------ 3,505,310 ------------ Multi-Utilities -- 4.5% 14,440 Ameren Corp. 409,663 17,272 CenterPoint Energy, Inc. 278,943 29,185 CMS Energy Corp. 569,108 8,213 Consolidated Edison, Inc. 409,911 12,704 Dominion Resources, Inc. 553,132 14,974 DTE Energy Co. 692,697 8,398 Integrys Energy Group, Inc. 399,661 30,814 NiSource, Inc. 573,757 8,515 PG&E Corp. 394,074 21,328 Public Service Enterprise Group, Inc. 691,667 10,023 SCANA Corp. 423,672 7,759 Sempra Energy 404,011 22,871 TECO Energy, Inc. 421,055 4,618 Wisconsin Energy Corp. 278,419 23,055 Xcel Energy, Inc. 543,406 ------------ 7,043,176 ------------ Office Electronics -- 0.2% 23,556 Xerox Corp. 250,165 ------------ Oil, Gas & Consumable Fuels -- 8.4% 7,124 Anadarko Petroleum Corp. 549,118 5,687 Apache Corp. 678,800 3,581 Cabot Oil & Gas Corp. 149,077 20,954 Chesapeake Energy Corp. 618,772 7,436 Chevron Corp. 705,899 9,967 ConocoPhillips 712,242 5,566 CONSOL Energy, Inc. 276,630 21,324 Denbury Resources, Inc. (b) 433,943 8,644 Devon Energy Corp. 766,636 19,729 El Paso Corp. 313,297 1,479 EOG Resources, Inc. 157,351 7,425 Exxon Mobil Corp. 599,049 8,867 Hess Corp. 745,892 18,323 Marathon Oil Corp. 837,361 7,583 Massey Energy Co. 476,667 9,102 Murphy Oil Corp. 603,463 9,413 Newfield Exploration Co. (b) 688,749 3,147 Noble Energy, Inc. 286,692 4,145 Occidental Petroleum Corp. 400,739 8,482 Peabody Energy Corp. 537,928 7,810 Pioneer Natural Resources Co. 743,200 14,954 QEP Resources, Inc. 607,731 5,431 Spectra Energy Corp. 142,455 6,738 Sunoco, Inc. 286,028 7,320 Tesoro Corp. (b) 140,910 23,485 Valero Energy Corp. 595,580 ------------ 13,054,209 ------------ See Notes to Financial Statements Page 59 First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Paper & Forest Products -- 0.3% 9,967 International Paper Co. $ 287,847 5,191 MeadWestvaco Corp. 148,618 ------------ 436,465 ------------ Personal Products -- 0.4% 8,412 Estee Lauder (The) Cos., Inc., Class A 677,166 ------------ Pharmaceuticals -- 1.7% 10,245 Bristol-Myers Squibb Co. 257,969 12,735 Forest Laboratories, Inc. (b) 410,831 6,578 Johnson & Johnson 393,167 15,066 Merck & Co., Inc. 499,739 12,849 Mylan, Inc. (b) 297,583 15,505 Pfizer, Inc. 282,501 10,514 Watson Pharmaceuticals, Inc. (b) 573,224 ------------ 2,715,014 ------------ Professional Services -- 0.3% 7,628 Equifax, Inc. 272,472 4,435 Robert Half International, Inc. 139,082 ------------ 411,554 ------------ Real Estate Investment Trusts -- 1.0% 10,509 Apartment Investment & Management Co., Class A 268,610 15,190 Host Hotels & Resorts, Inc. 281,167 15,051 Kimco Realty Corp. 272,273 28,674 Weyerhaeuser Co. 664,663 ------------ 1,486,713 ------------ Real Estate Management & Development -- 0.5% 33,128 CB Richard Ellis Group, Inc., Class A (b) 735,110 ------------ Road & Rail -- 0.8% 4,203 CSX Corp. 296,732 4,322 Norfolk Southern Corp. 264,463 7,739 Ryder System, Inc. 372,091 2,924 Union Pacific Corp. 276,698 ------------ 1,209,984 ------------ Semiconductors & Semiconductor Equipment -- 4.5% 33,181 Advanced Micro Devices, Inc. (b) 259,807 15,254 Altera Corp. 573,093 10,802 Analog Devices, Inc. 419,442 19,317 Applied Materials, Inc. 303,084 12,460 Broadcom Corp., Class A 561,821 32,269 Intel Corp. 692,493 7,020 KLA-Tencor Corp. 309,442 3,918 Linear Technology Corp. 136,307 67,966 LSI Corp. (b) 420,710 3,971 Microchip Technology, Inc. 144,822 16,919 Micron Technology, Inc. (b) 178,326 Shares Description Value ----------------------------------------------------------- Semiconductors & Semiconductor Equipment (Continued) 19,729 National Semiconductor Corp. $ 299,092 16,791 Novellus Systems, Inc. (b) 605,651 26,434 NVIDIA Corp. (b) 632,301 48,327 Teradyne, Inc. (b) 806,094 16,700 Texas Instruments, Inc. 566,297 4,680 Xilinx, Inc. 150,696 ------------ 7,059,478 ------------ Software -- 2.5% 10,657 Autodesk, Inc. (b) 433,527 2,880 BMC Software, Inc. (b) 137,376 5,552 CA, Inc. 132,138 3,971 Citrix Systems, Inc. (b) 250,888 34,886 Compuware Corp. (b) 373,978 8,252 Intuit, Inc. (b) 387,266 2,925 McAfee, Inc. (b) 140,107 114,626 Novell, Inc. (b) 690,048 13,004 Oracle Corp. 416,518 8,913 Red Hat, Inc. (b) 368,285 4,112 Salesforce.com, Inc. (b) 531,024 ------------ 3,861,155 ------------ Specialty Retail -- 4.8% 11,773 Abercrombie & Fitch Co., Class A 593,477 2,483 AutoZone, Inc. (b) 629,515 8,288 Bed Bath & Beyond, Inc. (b) 397,824 15,836 Best Buy Co., Inc. 538,424 21,287 CarMax, Inc. (b) 695,021 29,653 GameStop Corp., Class A (b) 624,789 24,519 Gap (The), Inc. 472,481 3,872 Home Depot (The), Inc. 142,373 22,081 Limited Brands, Inc. 645,648 16,229 Lowe's Cos., Inc. 402,479 6,742 O'Reilly Automotive, Inc. (b) 383,148 36,702 RadioShack Corp. 556,035 8,578 Ross Stores, Inc. 559,286 5,964 Staples, Inc. 133,057 10,894 Tiffany & Co. 633,268 3,064 TJX (The) Cos., Inc. 145,203 ------------ 7,552,028 ------------ Textiles, Apparel & Luxury Goods -- 1.0% 12,274 Coach, Inc. 663,900 1,584 NIKE, Inc., Class B 130,648 4,893 Polo Ralph Lauren Corp. 524,432 3,144 VF Corp. 260,072 ------------ 1,579,052 ------------ Thrifts & Mortgage Finance -- 0.1% 10,652 Hudson City Bancorp, Inc. 116,959 ------------ Tobacco -- 0.2% 1,655 Lorillard, Inc. 124,522 2,320 Philip Morris International, Inc. 132,797 ------------ 257,319 ------------ Page 60 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Trading Companies & Distributors -- 0.5% 2,259 Fastenal Co. $ 131,158 4,909 W.W. Grainger, Inc. 645,386 ------------ 776,544 ------------ Wireless Telecommunication Services -- 0.8% 53,727 MetroPCS Communications, Inc. (b) 694,690 128,329 Sprint Nextel Corp. (b) 580,047 ------------ 1,274,737 ------------ Total Common Stocks -- 100.0% 156,098,177 (Cost $144,274,750) Money Market Fund -- 0.0% 69,597 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 69,597 (Cost $69,597) ------------ Total Investments -- 100.0% 156,167,774 (Cost $144,344,347) (d) Net Other Assets and Liabilities -- 0.0% (35,892) ------------ Net Assets -- 100.0% $156,131,882 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,976,145 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,152,718. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $156,098,177 $ -- $ -- Money Market Fund 69,597 -- -- ------------------------------------- Total Investments $156,167,774 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 61 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 99.9% Aerospace & Defense -- 0.8% 9,913 Alliant Techsystems, Inc. (b) $ 751,009 14,944 BE Aerospace, Inc. (b) 578,183 ------------ 1,329,192 ------------ Airlines -- 1.0% 24,960 AirTran Holdings, Inc. (b) 184,454 13,015 Alaska Air Group, Inc. (b) 771,009 111,622 JetBlue Airways Corp. (b) 669,732 ------------ 1,625,195 ------------ Auto Components -- 1.1% 12,746 BorgWarner, Inc. (b) 859,080 31,200 Gentex Corp. 1,000,584 ------------ 1,859,664 ------------ Automobiles -- 0.2% 10,863 Thor Industries, Inc. 403,669 ------------ Beverages -- 0.2% 7,056 Hansen Natural Corp. (b) 399,652 ------------ Biotechnology -- 0.2% 5,835 United Therapeutics Corp. (b) 396,663 ------------ Building Products -- 0.1% 3,901 Lennox International, Inc. 191,695 ------------ Capital Markets -- 1.2% 7,436 Affiliated Managers Group, Inc. (b) 757,208 13,853 Jefferies Group, Inc. 346,463 7,753 SEI Investments Co. 179,482 20,907 Waddell & Reed Financial, Inc., Class A 755,161 ------------ 2,038,314 ------------ Chemicals -- 3.8% 13,227 Albemarle Corp. 742,828 18,134 Ashland, Inc. 1,052,860 14,698 Cabot Corp. 635,689 10,429 Cytec Industries, Inc. 568,798 14,839 Intrepid Potash, Inc. (b) 536,281 3,452 Lubrizol (The) Corp. 370,952 8,460 Minerals Technologies, Inc. 533,149 2,990 NewMarket Corp. 379,311 17,978 Olin Corp. 350,032 8,346 RPM International, Inc. 195,547 3,633 Scotts Miracle-Gro (The) Co., Class A 187,717 10,044 Sensient Technologies Corp. 340,592 10,699 Valspar (The) Corp. 399,822 ------------ 6,293,578 ------------ Commercial Banks -- 1.7% 28,305 East West Bancorp, Inc. 614,502 17,839 Fulton Financial Corp. 184,099 27,627 International Bancshares Corp. 524,084 4,696 Prosperity Bancshares, Inc. 189,953 10,431 SVB Financial Group (b) 547,315 Shares Description Value ----------------------------------------------------------- Commercial Banks (Continued) 24,910 TCF Financial Corp. $ 372,155 7,426 Trustmark Corp. 178,150 9,363 Webster Financial Corp. 214,225 ------------ 2,824,483 ------------ Commercial Services & Supplies -- 2.6% 34,311 Brink's (The) Co. 926,397 10,969 Clean Harbors, Inc. (b) 987,649 14,721 Corrections Corp. of America (b) 365,228 24,038 Deluxe Corp. 587,729 21,872 Herman Miller, Inc. 527,771 37,358 Rollins, Inc. 709,429 6,700 Waste Connections, Inc. 194,099 ------------ 4,298,302 ------------ Communications Equipment -- 2.1% 10,188 ADTRAN, Inc. 419,032 43,814 Ciena Corp. (b) 965,222 9,912 Plantronics, Inc. 350,885 18,928 Polycom, Inc. (b) 829,993 26,223 Riverbed Technology, Inc. (b) 940,619 ------------ 3,505,751 ------------ Computers & Peripherals -- 0.1% 5,755 Diebold, Inc. 176,448 ------------ Construction & Engineering -- 1.3% 19,784 Aecom Technology Corp. (b) 579,078 6,725 Granite Construction, Inc. 173,774 12,107 KBR, Inc. 388,635 22,165 URS Corp. (b) 985,234 ------------ 2,126,721 ------------ Containers & Packaging -- 2.5% 11,633 AptarGroup, Inc. 559,082 8,940 Greif, Inc., Class A 563,667 28,553 Packaging Corp. of America 806,622 17,095 Rock-Tenn Co., Class A 1,141,091 5,151 Silgan Holdings, Inc. 192,287 16,435 Sonoco Products Co. 584,264 17,369 Temple-Inland, Inc. 416,683 ------------ 4,263,696 ------------ Distributors -- 0.1% 8,119 LKQ Corp. (b) 196,155 ------------ Diversified Consumer Services -- 2.2% 44,490 Career Education Corp. (b) 998,356 15,819 Matthews International Corp., Class A 560,625 55,559 Regis Corp. 931,169 44,716 Service Corp. International 387,688 20,495 Sotheby's 825,948 ------------ 3,703,786 ------------ Page 62 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Diversified Financial Services -- 0.2% 9,469 MSCI, Inc., Class A (b) $ 324,124 ------------ Electric Utilities -- 3.7% 29,983 Cleco Corp. 937,269 21,523 DPL, Inc. 563,472 47,564 Great Plains Energy, Inc. 936,059 16,187 Hawaiian Electric Industries, Inc. 403,056 19,952 IDACORP, Inc. 745,606 65,642 NV Energy, Inc. 943,276 56,668 PNM Resources, Inc. 738,384 36,656 Westar Energy, Inc. 934,728 ------------ 6,201,850 ------------ Electrical Equipment -- 2.2% 12,794 Acuity Brands, Inc. 706,229 18,798 AMETEK, Inc. 766,583 9,203 Hubbell, Inc., Class B 563,592 8,289 Regal-Beloit Corp. 553,208 11,457 Thomas & Betts Corp. (b) 588,775 14,733 Woodward Governor Co. 496,870 ------------ 3,675,257 ------------ Electronic Equipment, Instruments & Components -- 3.3% 21,542 Arrow Electronics, Inc. (b) 814,288 22,338 Avnet, Inc. (b) 795,680 48,312 Ingram Micro, Inc., Class A (b) 953,679 6,653 Itron, Inc. (b) 386,007 4,901 National Instruments Corp. 207,361 20,951 Tech Data Corp. (b) 982,811 9,239 Trimble Navigation Ltd. (b) 425,733 62,825 Vishay Intertechnology, Inc. (b) 1,036,612 ------------ 5,602,171 ------------ Energy Equipment & Services -- 3.5% 9,872 Atwood Oceanics, Inc. (b) 399,026 7,120 Dril-Quip, Inc. (b) 549,094 30,807 Exterran Holdings, Inc. (b) 764,322 30,388 Helix Energy Solutions Group, Inc. (b) 376,811 7,515 Oceaneering International, Inc. (b) 580,383 17,119 Patterson-UTI Energy, Inc. 399,558 5,590 Pride International, Inc. (b) 181,675 15,815 Superior Energy Services, Inc. (b) 555,423 17,130 Tidewater, Inc. 1,019,064 19,842 Unit Corp. (b) 1,015,910 ------------ 5,841,266 ------------ Food & Staples Retailing -- 0.6% 7,702 BJ's Wholesale Club, Inc. (b) 338,426 20,028 Ruddick Corp. 674,944 ------------ 1,013,370 ------------ Shares Description Value ----------------------------------------------------------- Food Products -- 1.9% 20,049 Corn Products International, Inc. $ 924,860 13,709 Flowers Foods, Inc. 345,878 5,613 Green Mountain Coffee Roasters, Inc. (b) 188,485 6,449 Lancaster Colony Corp. 358,371 8,512 Ralcorp Holdings, Inc. (b) 520,934 44,706 Smithfield Foods, Inc. (b) 890,097 ------------ 3,228,625 ------------ Gas Utilities -- 2.4% 20,581 AGL Resources, Inc. 755,323 23,648 Atmos Energy Corp. 770,925 19,111 Energen Corp. 1,068,305 2,811 National Fuel Gas Co. 192,104 21,190 Questar Corp. 369,341 17,523 UGI Corp. 549,346 10,313 WGL Holdings, Inc. 371,887 ------------ 4,077,231 ------------ Health Care Equipment & Supplies -- 1.9% 9,808 Beckman Coulter, Inc. 706,274 6,845 Edwards Lifesciences Corp. (b) 576,965 6,322 Gen-Probe, Inc. (b) 397,591 9,370 Hill-Rom Holdings, Inc. 379,204 9,801 Hologic, Inc. (b) 195,236 18,604 Immucor, Inc. (b) 367,801 10,284 Teleflex, Inc. 589,479 ------------ 3,212,550 ------------ Health Care Providers & Services -- 2.7% 14,808 Community Health Systems, Inc. (b) 520,057 77,340 Health Management Associates, Inc., Class A (b) 703,794 3,005 Henry Schein, Inc. (b) 197,308 50,205 Kindred Healthcare, Inc. (b) 939,335 25,096 LifePoint Hospitals, Inc. (b) 883,379 2,741 MEDNAX, Inc. (b) 181,317 12,535 Owens & Minor, Inc. 370,159 8,496 Universal Health Services, Inc., Class B 357,682 15,840 VCA Antech, Inc. (b) 363,053 ------------ 4,516,084 ------------ Hotels, Restaurants & Leisure -- 3.2% 27,982 Bob Evans Farms, Inc. 880,873 69,606 Boyd Gaming Corp. (b) 754,529 17,668 Brinker International, Inc. 415,728 18,048 Cheesecake Factory (The), Inc. (b) 532,597 3,469 Chipotle Mexican Grill, Inc. (b) 759,434 21,145 International Speedway Corp., Class A 611,725 9,000 Life Time Fitness, Inc. (b) 358,920 5,467 Panera Bread Co., Class A (b) 522,427 18,520 Scientific Games Corp., Class A (b) 191,126 See Notes to Financial Statements Page 63 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Hotels, Restaurants & Leisure (Continued) 79,851 Wendy's/Arby's Group, Inc., Class A $ 385,680 ------------ 5,413,039 ------------ Household Durables -- 1.2% 41,619 American Greetings Corp., Class A 904,381 12,823 M.D.C. Holdings, Inc. 396,359 9,749 Mohawk Industries, Inc. (b) 541,557 267 NVR, Inc. (b) 204,255 ------------ 2,046,552 ------------ Household Products -- 0.3% 2,672 Church & Dwight Co., Inc. 183,860 5,060 Energizer Holdings, Inc. (b) 368,065 ------------ 551,925 ------------ Industrial Conglomerates -- 0.2% 9,283 Carlisle Cos., Inc. 350,062 ------------ Insurance -- 6.1% 28,562 American Financial Group, Inc. 929,122 6,343 Arthur J. Gallagher & Co. 188,260 7,705 Brown & Brown, Inc. 190,776 8,699 Everest Re Group Ltd. 733,152 67,418 Fidelity National Financial, Inc., Class A 906,772 49,386 First American Financial Corp. 765,977 7,896 Hanover Insurance Group, Inc. 373,481 25,495 HCC Insurance Holdings, Inc. 771,988 17,155 Mercury General Corp. 728,230 27,696 Protective Life Corp. 763,578 13,737 Reinsurance Group of America, Inc. 790,702 16,345 StanCorp Financial Group, Inc. 729,150 14,293 Transatlantic Holdings, Inc. 735,375 30,066 Unitrin, Inc. 809,076 26,947 W. R. Berkley Corp. 761,253 ------------ 10,176,892 ------------ Internet Software & Services -- 0.8% 23,490 Rackspace Hosting, Inc. (b) 787,150 34,521 ValueClick, Inc. (b) 483,639 ------------ 1,270,789 ------------ IT Services -- 2.7% 32,266 Acxiom Corp. (b) 555,943 2,597 Alliance Data Systems Corp. (b) 183,712 8,411 Broadridge Financial Solutions, Inc. 192,528 70,028 Convergys Corp. (b) 997,199 16,636 DST Systems, Inc. 791,208 16,668 Gartner, Inc. (b) 590,380 12,656 Jack Henry & Associates, Inc. 374,111 22,315 ManTech International Corp., Class A (b) 897,175 ------------ 4,582,256 ------------ Shares Description Value ----------------------------------------------------------- Leisure Equipment & Products -- 0.6% 34,413 Eastman Kodak Co. (b) $ 125,952 11,821 Polaris Industries, Inc. 909,271 ------------ 1,035,223 ------------ Life Sciences Tools & Services -- 0.6% 3,552 Bio-Rad Laboratories, Inc., Class A (b) 386,742 3,660 Mettler-Toledo International, Inc. (b) 546,035 ------------ 932,777 ------------ Machinery -- 6.5% 18,205 AGCO Corp. (b) 922,994 10,316 Bucyrus International, Inc. 936,280 4,491 Crane Co. 199,445 12,660 Donaldson Co., Inc. 741,876 18,703 Graco, Inc. 794,503 26,053 Harsco Corp. 840,730 4,715 IDEX Corp. 186,997 6,379 Joy Global, Inc. 556,121 23,372 Kennametal, Inc. 948,903 5,652 Lincoln Electric Holdings, Inc. 382,753 10,038 Nordson Corp. 926,608 26,171 Oshkosh Corp. (b) 992,143 5,052 Pentair, Inc. 182,731 5,160 SPX Corp. 404,441 19,323 Timken (The) Co. 908,567 20,795 Trinity Industries, Inc. 579,973 2,079 Valmont Industries, Inc. 193,222 3,488 Wabtec Corp. 189,050 ------------ 10,887,337 ------------ Marine -- 0.4% 4,608 Alexander & Baldwin, Inc. 184,873 8,375 Kirby Corp. (b) 391,447 ------------ 576,320 ------------ Media -- 1.5% 43,333 Harte-Hanks, Inc. 540,363 4,077 John Wiley & Sons, Inc., Class A 187,338 9,260 Lamar Advertising Co., Class A (b) 341,139 56,466 New York Times (The) Co., Class A (b) 570,871 31,221 Scholastic Corp. 928,200 ------------ 2,567,911 ------------ Metals & Mining -- 1.0% 13,752 Carpenter Technology Corp. 565,895 2,066 Compass Minerals International, Inc. 189,804 10,829 Reliance Steel & Aluminum Co. 566,248 10,080 Steel Dynamics, Inc. 183,456 10,025 Worthington Industries, Inc. 190,475 ------------ 1,695,878 ------------ Multiline Retail -- 0.9% 46,287 99 Cents Only Stores (b) 689,676 13,157 Dollar Tree, Inc. (b) 665,481 Page 64 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Multiline Retail (Continued) 17,239 Saks, Inc. (b) $ 202,041 ------------ 1,557,198 ------------ Multi-Utilities -- 2.3% 20,066 Alliant Energy Corp. 745,653 24,594 Black Hills Corp. 762,660 36,400 MDU Resources Group, Inc. 772,772 4,372 NSTAR 189,657 12,151 OGE Energy Corp. 557,609 29,071 Vectren Corp. 770,091 ------------ 3,798,442 ------------ Office Electronics -- 0.3% 14,566 Zebra Technologies Corp., Class A (b) 566,617 ------------ Oil, Gas & Consumable Fuels -- 4.1% 26,306 Arch Coal, Inc. 900,981 8,969 Bill Barrett Corp. (b) 367,550 8,334 Cimarex Energy Co. 867,819 22,531 Comstock Resources, Inc. (b) 624,109 9,716 Forest Oil Corp. (b) 376,981 5,208 Overseas Shipholding Group, Inc. 173,114 38,091 Patriot Coal Corp. (b) 996,841 22,956 Plains Exploration & Production Co. (b) 812,642 12,514 Quicksilver Resources, Inc. (b) 187,835 12,520 SM Energy Co. 778,243 30,653 Southern Union Co. 819,048 ------------ 6,905,163 ------------ Personal Products -- 0.1% 4,980 Alberto-Culver Co. 185,505 ------------ Pharmaceuticals -- 0.3% 15,496 Endo Pharmaceuticals Holdings, Inc. (b) 514,777 ------------ Professional Services -- 1.2% 9,824 Corporate Executive Board (The) Co. 381,761 9,896 FTI Consulting, Inc. (b) 360,907 80,198 Navigant Consulting, Inc. (b) 817,218 7,086 Towers Watson & Co., Class A 386,399 ------------ 1,946,285 ------------ Real Estate Investment Trusts -- 0.5% 5,817 AMB Property Corp. 195,161 8,006 Hospitality Properties Trust 199,109 7,024 Rayonier, Inc. 415,891 ------------ 810,161 ------------ Real Estate Management & Development -- 0.1% 2,198 Jones Lang LaSalle, Inc. 194,831 ------------ Shares Description Value ----------------------------------------------------------- Road & Rail -- 1.2% 13,560 J.B. Hunt Transport Services, Inc. $ 555,960 15,416 Kansas City Southern (b) 770,492 24,485 Werner Enterprises, Inc. 603,555 ------------ 1,930,007 ------------ Semiconductors & Semiconductor Equipment -- 3.9% 74,860 Atmel Corp. (b) 1,013,604 2,799 Cree, Inc. (b) 141,321 59,082 Fairchild Semiconductor International, Inc. (b) 1,051,660 27,696 Integrated Device Technology, Inc. (b) 176,700 31,063 International Rectifier Corp. (b) 994,948 14,249 Lam Research Corp. (b) 710,883 125,480 RF Micro Devices, Inc. (b) 843,226 24,442 Semtech Corp. (b) 533,691 32,214 Skyworks Solutions, Inc. (b) 1,023,439 ------------ 6,489,472 ------------ Software -- 3.9% 20,594 ACI Worldwide, Inc. (b) 545,535 6,369 Advent Software, Inc. (b) 188,268 3,542 ANSYS, Inc. (b) 185,778 44,662 Cadence Design Systems, Inc. (b) 387,666 1,967 FactSet Research Systems, Inc. 198,274 23,678 Fair Isaac Corp. 600,948 16,757 Informatica Corp. (b) 777,525 30,742 Mentor Graphics Corp. (b) 391,499 4,206 MICROS Systems, Inc. (b) 192,382 16,374 Parametric Technology Corp. (b) 363,994 13,299 Quest Software, Inc. (b) 343,380 11,898 Rovi Corp. (b) 734,820 7,188 Solera Holdings, Inc. 376,148 20,564 Synopsys, Inc. (b) 557,901 28,075 TIBCO Software, Inc. (b) 617,089 ------------ 6,461,207 ------------ Specialty Retail -- 6.5% 45,232 Aaron's, Inc. 868,002 8,365 Advance Auto Parts, Inc. 534,858 50,432 American Eagle Outfitters, Inc. 729,247 33,672 AnnTaylor Stores Corp. (b) 744,825 34,908 Ascena Retail Group, Inc. (b) 946,356 52,143 Barnes & Noble, Inc. 821,252 15,333 Chico's FAS, Inc. 167,436 43,710 Collective Brands, Inc. (b) 889,936 24,594 Dick's Sporting Goods, Inc. (b) 887,597 18,803 Foot Locker, Inc. 335,822 11,694 Guess?, Inc. 500,269 4,276 J. Crew Group, Inc. (b) 185,664 34,158 Office Depot, Inc. (b) 179,329 13,897 PetSmart, Inc. 559,215 28,571 Rent-A-Center, Inc. 849,702 19,020 Tractor Supply Co. 975,916 20,673 Williams-Sonoma, Inc. 665,671 ------------ 10,841,097 ------------ See Notes to Financial Statements Page 65 First Trust Mid Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Textiles, Apparel & Luxury Goods -- 3.0% 11,566 Deckers Outdoor Corp. (b) $ 848,829 13,086 Fossil, Inc. (b) 929,760 7,262 Hanesbrands, Inc. (b) 167,171 11,710 Phillips-Van Heusen Corp. 683,513 30,005 Timberland (The) Co., Class A (b) 802,034 16,818 Under Armour, Inc., Class A (b) 1,006,725 10,048 Warnaco Group (The), Inc. (b) 513,252 ------------ 4,951,284 ------------ Thrifts & Mortgage Finance -- 0.2% 9,785 New York Community Bancorp, Inc. 179,261 10,902 Washington Federal, Inc. 188,496 ------------ 367,757 ------------ Tobacco -- 0.5% 22,660 Universal Corp. 858,587 ------------ Trading Companies & Distributors -- 1.6% 15,685 GATX Corp. 521,526 8,554 MSC Industrial Direct Co., Inc., Class A 508,364 40,540 United Rentals, Inc. (b) 1,080,391 8,772 Watsco, Inc. 550,180 ------------ 2,660,461 ------------ Water Utilities -- 0.1% 8,205 Aqua America, Inc. 189,700 ------------ Wireless Telecommunication Services -- 0.5% 25,233 Telephone and Data Systems, Inc. 902,080 ------------ Total Common Stocks -- 99.9% 167,543,084 (Cost $153,204,320) Money Market Fund -- 0.1% 151,464 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 151,464 (Cost $151,464) ------------ Total Investments -- 100.0% 167,694,548 (Cost $153,355,784) (d) Net Other Assets and Liabilities -- 0.0% (69,839) ------------ Net Assets -- 100.0% $167,624,709 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $15,392,881 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,054,117. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $167,543,084 $ -- $ -- Money Market Fund 151,464 -- -- ------------------------------------- Total Investments $167,694,548 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 66 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.1% Aerospace & Defense -- 2.8% 7,632 AAR Corp. (b) $ 204,461 2,602 Aerovironment, Inc. (b) 73,377 9,221 Applied Signal Technology, Inc. 350,490 6,654 Ceradyne, Inc. (b) 235,751 4,451 Cubic Corp. 216,986 10,526 Curtiss-Wright Corp. 365,252 2,035 Esterline Technologies Corp. (b) 144,851 5,272 Moog, Inc., Class A (b) 224,798 1,075 National Presto Industries, Inc. 137,622 4,082 Orbital Sciences Corp. (b) 69,639 4,772 Teledyne Technologies, Inc. (b) 225,764 3,909 Triumph Group, Inc. 375,381 ------------ 2,624,372 ------------ Air Freight & Logistics -- 0.3% 2,462 Forward Air Corp. 68,714 5,970 Hub Group, Inc., Class A (b) 207,637 ------------ 276,351 ------------ Airlines -- 0.4% 1,423 Allegiant Travel Co. 66,226 22,374 SkyWest, Inc. 336,729 ------------ 402,955 ------------ Auto Components -- 0.9% 9,234 Drew Industries, Inc. 218,107 11,476 Spartan Motors, Inc. 71,610 15,307 Standard Motor Products, Inc. 185,368 16,467 Superior Industries International, Inc. 329,340 ------------ 804,425 ------------ Beverages -- 0.3% 2,943 Boston Beer (The) Co., Inc., Class A (b) 264,899 ------------ Biotechnology -- 0.7% 23,816 ArQule, Inc. (b) 145,992 11,917 Emergent Biosolutions, Inc. (b) 253,117 2,230 Martek Biosciences Corp. (b) 70,045 6,384 Regeneron Pharmaceuticals, Inc. (b) 215,013 ------------ 684,167 ------------ Building Products -- 1.2% 3,669 A.O. Smith Corp. 157,070 2,475 AAON, Inc. 66,652 10,381 Apogee Enterprises, Inc. 132,773 10,972 Griffon Corp. (b) 127,714 24,986 NCI Building Systems, Inc. (b) 331,564 7,370 Quanex Building Products Corp. 143,641 2,262 Simpson Manufacturing Co., Inc. 67,295 3,593 Universal Forest Products, Inc. 131,863 ------------ 1,158,572 ------------ Capital Markets -- 0.9% 17,079 Investment Technology Group, Inc. (b) 314,766 Shares Description Value ----------------------------------------------------------- Capital Markets (Continued) 5,989 Piper Jaffray Cos. (b) $ 250,340 3,383 Stifel Financial Corp. (b) 217,053 10,352 TradeStation Group, Inc. (b) 72,154 ------------ 854,313 ------------ Chemicals -- 3.1% 12,216 A. Schulman, Inc. 260,812 5,531 Arch Chemicals, Inc. 200,443 4,138 Balchem Corp. 139,244 4,620 Calgon Carbon Corp. (b) 65,881 13,623 H.B. Fuller Co. 310,468 11,526 LSB Industries, Inc. (b) 347,163 9,075 OM Group, Inc. (b) 328,334 22,879 Penford Corp. (b) 135,215 27,981 PolyOne Corp. (b) 367,950 8,386 Quaker Chemical Corp. 321,855 3,664 Stepan Co. 265,713 6,990 STR Holdings, Inc. (b) 127,777 ------------ 2,870,855 ------------ Commercial Banks -- 1.9% 1,616 Bank of the Ozarks, Inc. 69,698 10,669 Boston Private Financial Holdings, Inc. 71,589 1,932 City Holding Co. 67,234 2,517 Community Bank System, Inc. 63,630 7,564 First Financial Bancorp 127,832 2,007 Hancock Holding Co. 65,830 3,170 Home Bancshares, Inc. 64,858 2,584 Independent Bank Corp. 70,233 34,822 National Penn Bancshares, Inc. 284,147 2,895 NBT Bancorp, Inc. 67,106 6,187 S&T Bancorp, Inc. 135,186 4,197 Signature Bank (b) 219,251 2,453 Simmons First National Corp., Class A 68,169 1,782 Tompkins Financial Corp. 72,616 1,689 UMB Financial Corp. 68,658 9,176 Wilshire Bancorp, Inc. 58,910 6,351 Wintrust Financial Corp. 209,011 ------------ 1,783,958 ------------ Commercial Services & Supplies -- 2.2% 2,656 ABM Industries, Inc. 68,259 1,444 Consolidated Graphics, Inc. (b) 72,272 11,303 G&K Services, Inc., Class A 354,123 2,835 Geo Group (The), Inc. (b) 67,388 4,295 Healthcare Services Group, Inc. 68,033 13,402 Interface, Inc., Class A 217,782 7,102 Mobile Mini, Inc. (b) 145,165 40,999 Standard Register (The) Co. 131,197 13,800 Sykes Enterprises, Inc. (b) 268,824 5,582 Tetra Tech, Inc. (b) 129,195 6,351 UniFirst Corp. 354,132 3,285 United Stationers, Inc. (b) 204,590 ------------ 2,080,960 ------------ See Notes to Financial Statements Page 67 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Communications Equipment -- 3.3% 31,146 Arris Group, Inc. (b) $ 388,702 14,622 Bel Fuse, Inc., Class B 318,906 9,129 Black Box Corp. 321,250 4,678 Blue Coat Systems, Inc. (b) 134,773 12,603 Comtech Telecommunications Corp. 353,640 12,595 Digi International, Inc. (b) 133,381 24,466 Harmonic, Inc. (b) 206,493 10,379 NETGEAR, Inc. (b) 359,684 15,100 Network Equipment Technologies, Inc. (b) 74,594 29,573 Symmetricom, Inc. (b) 183,648 23,479 Tekelec (b) 269,422 22,599 Tollgrade Communications, Inc. (b) 209,719 3,148 ViaSat, Inc. (b) 136,607 ------------ 3,090,819 ------------ Computers & Peripherals -- 1.2% 10,135 Compellent Technologies, Inc. (b) 281,044 24,946 Intevac, Inc. (b) 343,007 14,636 Novatel Wireless, Inc. (b) 105,526 4,283 Stratasys, Inc. (b) 141,467 18,168 Super Micro Computer, Inc. (b) 255,715 ------------ 1,126,759 ------------ Construction & Engineering -- 0.5% 14,219 Dycom Industries, Inc. (b) 228,499 7,914 Insituform Technologies, Inc., Class A (b) 217,714 ------------ 446,213 ------------ Consumer Finance -- 0.8% 12,878 EZCORP, Inc., Class A (b) 346,418 6,763 First Cash Financial Services, Inc. (b) 223,112 3,971 World Acceptance Corp. (b) 223,011 ------------ 792,541 ------------ Containers & Packaging -- 0.2% 21,532 Myers Industries, Inc. 196,803 ------------ Distributors -- 0.3% 40,499 Audiovox Corp., Class A (b) 290,783 ------------ Diversified Consumer Services -- 0.9% 6,190 Coinstar, Inc. (b) 256,204 67,083 Corinthian Colleges, Inc. (b) 354,198 6,721 Hillenbrand, Inc. 145,241 1,157 Pre-Paid Legal Services, Inc. (b) 76,177 ------------ 831,820 ------------ Shares Description Value ----------------------------------------------------------- Diversified Financial Services -- 0.2% 3,920 Interactive Brokers Group, Inc., Class A $ 63,386 1,863 Portfolio Recovery Associates, Inc. (b) 134,397 ------------ 197,783 ------------ Diversified Telecommunication Services -- 0.4% 4,578 Cbeyond, Inc. (b) 67,068 27,605 General Communication, Inc., Class A (b) 334,296 ------------ 401,364 ------------ Electric Utilities -- 1.5% 7,503 ALLETE, Inc. 276,936 15,990 Central Vermont Public Service Corp. 343,305 10,154 El Paso Electric Co. (b) 273,650 6,998 UIL Holdings Corp. 211,270 7,803 Unisource Energy Corp. 279,425 ------------ 1,384,586 ------------ Electrical Equipment -- 1.6% 6,989 AZZ, Inc. 280,189 9,495 Belden, Inc. 330,046 4,287 Brady Corp., Class A 140,399 6,033 II-VI, Inc. (b) 297,910 8,504 Powell Industries, Inc. (b) 322,387 8,522 Vicor Corp. 125,529 ------------ 1,496,460 ------------ Electronic Equipment, Instruments & Components -- 7.1% 49,660 Agilysys, Inc. (b) 284,552 19,242 Benchmark Electronics, Inc. (b) 365,406 16,012 Brightpoint, Inc. (b) 145,309 10,204 Checkpoint Systems, Inc. (b) 210,917 9,505 Cognex Corp. 297,887 25,278 CTS Corp. 286,653 17,564 Daktronics, Inc. 268,202 2,848 DTS, Inc. (b) 127,647 17,443 Electro Scientific Industries, Inc. (b) 290,775 10,643 FARO Technologies, Inc. (b) 322,696 26,561 Insight Enterprises, Inc. (b) 369,729 4,458 Littelfuse, Inc. 228,606 54,104 LoJack Corp. (b) 343,560 15,208 Mercury Computer Systems, Inc. (b) 287,127 5,393 Methode Electronics, Inc. 63,745 1,869 MTS Systems Corp. 69,929 20,118 Newport Corp. (b) 353,071 1,926 OSI Systems, Inc. (b) 73,169 6,990 Park Electrochemical Corp. 212,915 6,781 Plexus Corp. (b) 183,358 52,554 Pulse Electronics Corp. 268,551 7,857 RadiSys Corp. (b) 66,470 9,865 Rofin-Sinar Technologies, Inc. (b) 385,721 Page 68 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Electronic Equipment, Instruments & Components (Continued) 5,482 Rogers Corp. (b) $ 234,520 4,386 ScanSource, Inc. (b) 158,817 11,203 SYNNEX Corp. (b) 374,068 23,440 TTM Technologies, Inc. (b) 372,696 ------------ 6,646,096 ------------ Energy Equipment & Services -- 3.5% 21,210 Basic Energy Services, Inc. (b) 387,295 7,380 Bristow Group, Inc. (b) 379,996 2,701 CARBO Ceramics, Inc. 311,047 7,440 Gulf Island Fabrication, Inc. 201,475 16,741 Hornbeck Offshore Services, Inc. (b) 397,431 24,732 ION Geophysical Corp. (b) 235,201 3,358 Lufkin Industries, Inc. 224,046 4,361 Oil States International, Inc. (b) 295,501 23,804 Pioneer Drilling Co. (b) 210,904 3,458 SEACOR Holdings, Inc. 365,476 23,556 TETRA Technologies, Inc. (b) 267,361 ------------ 3,275,733 ------------ Food & Staples Retailing -- 0.9% 7,691 Andersons (The), Inc. 298,257 3,287 Casey's General Stores, Inc. 139,665 16,497 Spartan Stores, Inc. 239,041 5,719 United Natural Foods, Inc. (b) 211,603 ------------ 888,566 ------------ Food Products -- 2.5% 6,063 Calavo Growers, Inc. 139,934 11,070 Cal-Maine Foods, Inc. 313,945 26,320 Darling International, Inc. (b) 356,636 5,254 Diamond Foods, Inc. 261,491 5,166 Hain Celestial Group (The), Inc. (b) 137,571 4,347 J & J Snack Foods Corp. 184,617 8,930 Sanderson Farms, Inc. 367,112 12,957 Seneca Foods Corp., Class A (b) 360,205 5,967 Snyders-Lance, Inc. 123,756 2,733 TreeHouse Foods, Inc. (b) 130,774 ------------ 2,376,041 ------------ Gas Utilities -- 1.0% 5,738 Laclede Group (The), Inc. 218,044 1,624 New Jersey Resources Corp. 68,143 3,010 Northwest Natural Gas Co. 134,125 7,500 Piedmont Natural Gas Co., Inc. 210,450 7,624 Southwest Gas Corp. 283,918 ------------ 914,680 ------------ Health Care Equipment & Supplies -- 3.0% 2,601 Abaxis, Inc. (b) 68,536 1,409 Analogic Corp. 71,958 5,976 Cantel Medical Corp. 127,229 Shares Description Value ----------------------------------------------------------- Health Care Equipment & Supplies (Continued) 5,290 CONMED Corp. (b) $ 138,122 3,721 Cooper (The) Cos., Inc. 213,362 12,899 CryoLife, Inc. (b) 65,398 4,510 Cyberonics, Inc. (b) 147,702 8,685 Greatbatch, Inc. (b) 204,532 7,663 ICU Medical, Inc. (b) 299,317 2,956 Integra LifeSciences Holdings (b) 137,099 4,639 Invacare Corp. 128,222 4,415 Merit Medical Systems, Inc. (b) 65,210 4,927 Natus Medical, Inc. (b) 74,201 6,813 Neogen Corp. (b) 244,995 9,837 Palomar Medical Technologies, Inc. (b) 146,178 22,671 Symmetry Medical, Inc. (b) 216,961 5,091 West Pharmaceutical Services, Inc. 203,589 5,629 Zoll Medical Corp. (b) 232,759 ------------ 2,785,370 ------------ Health Care Providers & Services -- 6.6% 6,214 Air Methods Corp. (b) 318,405 1,820 Almost Family, Inc. (b) 60,770 10,436 Amedisys, Inc. (b) 355,763 7,955 AMERIGROUP Corp. (b) 416,603 16,684 AmSurg Corp. (b) 351,532 7,515 Catalyst Health Solutions, Inc. (b) 326,151 11,033 Centene Corp. (b) 305,835 1,097 Chemed Corp. 68,266 4,338 CorVel Corp. (b) 218,982 16,505 Cross Country Healthcare, Inc. (b) 118,836 14,052 Ensign Group (The), Inc. 339,496 3,672 Genoptix, Inc. (b) 91,653 10,512 Gentiva Health Services, Inc. (b) 241,986 3,296 Hanger Orthopedic Group, Inc. (b) 67,733 10,537 Healthspring, Inc. (b) 320,219 31,316 Healthways, Inc. (b) 374,853 1,078 HMS Holdings Corp. (b) 69,359 7,169 IPC Hospitalist (The) Co. (b) 266,185 9,320 LHC Group, Inc. (b) 247,912 7,389 Magellan Health Services, Inc. (b) 357,702 7,533 Molina Healthcare, Inc. (b) 230,962 4,425 MWI Veterinary Supply, Inc. (b) 275,058 30,528 PharMerica Corp. (b) 345,272 3,092 PSS World Medical, Inc. (b) 73,682 14,746 RehabCare Group, Inc. (b) 362,162 ------------ 6,205,377 ------------ Hotels, Restaurants & Leisure -- 4.3% 684 Biglari Holdings, Inc. (b) 294,120 9,868 BJ's Restaurants, Inc. (b) 348,636 1,804 CEC Entertainment, Inc. (b) 66,658 2,556 Cracker Barrel Old Country Store, Inc. 131,583 5,663 DineEquity, Inc. (b) 292,098 4,333 Interval Leisure Group, Inc. (b) 67,898 9,928 Jack in the Box, Inc. (b) 217,820 See Notes to Financial Statements Page 69 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Hotels, Restaurants & Leisure (Continued) 21,066 Marcus (The) Corp. $ 249,632 16,774 Monarch Casino & Resort, Inc. (b) 181,830 50,104 Multimedia Games, Inc. (b) 267,054 19,415 O'Charley's, Inc. (b) 134,352 1,443 P.F. Chang's China Bistro, Inc. 66,436 7,569 Papa John's International, Inc. (b) 217,230 1,678 Peet's Coffee & Tea, Inc. (b) 64,032 19,946 Pinnacle Entertainment, Inc. (b) 300,786 13,025 Red Robin Gourmet Burgers, Inc. (b) 268,836 21,410 Ruby Tuesday, Inc. (b) 288,607 45,292 Ruth's Hospitality Group, Inc. (b) 211,061 18,317 Shuffle Master, Inc. (b) 189,306 12,214 Texas Roadhouse, Inc. (b) 202,997 ------------ 4,060,972 ------------ Household Durables -- 2.2% 10,137 Blyth, Inc. 340,806 11,755 Helen of Troy Ltd. (b) 329,963 24,524 Kid Brands, Inc. (b) 223,414 30,997 La-Z-Boy, Inc. (b) 257,895 9,446 Meritage Homes Corp. (b) 216,880 8,044 Skyline Corp. 161,604 75,977 Standard Pacific Corp. (b) 334,299 7,389 Universal Electronics, Inc. (b) 194,552 ------------ 2,059,413 ------------ Household Products -- 0.4% 35,370 Central Garden & Pet Co., Class A (b) 335,308 1,739 WD-40 Co. 68,464 ------------ 403,772 ------------ Industrial Conglomerates -- 0.6% 9,345 Standex International Corp. 311,656 14,427 Tredegar Corp. 269,929 ------------ 581,585 ------------ Insurance -- 4.1% 15,980 AMERISAFE, Inc. (b) 284,604 7,268 Delphi Financial Group, Inc., Class A 209,173 7,998 Employers Holdings, Inc. 134,286 15,499 Horace Mann Educators Corp. 267,823 5,657 Infinity Property & Casualty Corp. 337,949 20,864 National Financial Partners Corp. (b) 264,556 4,164 Navigators Group (The), Inc. (b) 203,786 14,075 Presidential Life Corp. 133,431 5,771 ProAssurance Corp. (b) 338,585 6,652 RLI Corp. 358,343 5,875 Safety Insurance Group, Inc. 279,591 15,409 Selective Insurance Group, Inc. 273,972 24,250 Stewart Information Services Corp. 276,692 13,664 Tower Group, Inc. 355,811 9,394 United Fire & Casualty Co. 188,303 ------------ 3,906,905 ------------ Shares Description Value ----------------------------------------------------------- Internet & Catalog Retail -- 0.3% 1,221 Blue Nile, Inc. (b) $ 69,414 4,559 HSN, Inc. (b) 128,381 3,326 Nutrisystem, Inc. 63,061 ------------ 260,856 ------------ Internet Software & Services -- 1.6% 3,135 comScore, Inc. (b) 75,115 16,840 InfoSpace, Inc. (b) 137,751 2,412 j2 Global Communications, Inc. (b) 66,571 4,975 Liquidity Services, Inc. (b) 70,993 6,305 LogMeIn, Inc. (b) 242,932 22,367 Perficient, Inc. (b) 261,470 8,862 RightNow Technologies, Inc. (b) 229,792 52,958 United Online, Inc. 374,413 ------------ 1,459,037 ------------ IT Services -- 1.7% 5,235 CACI International, Inc., Class A (b) 290,490 10,640 iGATE Corp. 163,856 28,215 Integral Systems, Inc. (b) 343,941 1,067 MAXIMUS, Inc. 72,396 9,123 NCI, Inc., Class A (b) 191,583 13,788 StarTek, Inc. (b) 75,834 10,187 TeleTech Holdings, Inc. (b) 218,104 4,556 Wright Express Corp. (b) 215,590 ------------ 1,571,794 ------------ Leisure Equipment & Products -- 1.4% 14,321 Arctic Cat, Inc. (b) 229,422 18,650 Brunswick Corp. 371,508 17,323 Callaway Golf Co. 127,324 19,178 JAKKS Pacific, Inc. (b) 331,588 9,633 RC2 Corp. (b) 195,743 4,575 Sturm, Ruger & Co., Inc. 68,213 ------------ 1,323,798 ------------ Life Sciences Tools & Services -- 1.0% 13,900 Affymetrix, Inc. (b) 67,415 27,039 Cambrex Corp. (b) 123,298 2,372 Dionex Corp. (b) 279,849 13,237 Enzo Biochem, Inc. (b) 65,655 32,090 Kendle International, Inc. (b) 364,542 3,290 PAREXEL International Corp. (b) 76,361 ------------ 977,120 ------------ Machinery -- 3.4% 2,628 Actuant Corp., Class A 72,874 5,904 Albany International Corp., Class A 133,135 1,580 Badger Meter, Inc. 64,764 6,761 Barnes Group, Inc. 134,003 7,102 Briggs & Stratton Corp. 141,827 7,389 Cascade Corp. 347,800 6,613 CIRCOR International, Inc. 267,099 Page 70 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Machinery (Continued) 1,631 CLARCOR, Inc. $ 70,427 8,406 EnPro Industries, Inc. (b) 348,933 1,845 ESCO Technologies, Inc. 66,937 20,375 Federal Signal Corp. 141,810 6,943 John Bean Technologies Corp. 125,321 3,429 Kaydon Corp. 132,737 4,707 Lindsay Corp. 306,332 26,046 Lydall, Inc. (b) 208,368 4,276 Mueller Industries, Inc. 139,825 5,861 Robbins & Myers, Inc. 243,407 2,268 Toro (The) Co. 137,940 3,824 Watts Water Technologies, Inc., Class A 137,549 ------------ 3,221,088 ------------ Media -- 0.6% 6,735 Arbitron, Inc. 280,782 27,545 E.W. Scripps (The) Co., Class A (b) 250,109 ------------ 530,891 ------------ Metals & Mining -- 0.8% 4,513 AMCOL International Corp. 135,029 9,048 Brush Engineered Materials, Inc. (b) 316,499 9,003 Century Aluminum Co. (b) 133,875 2,789 Kaiser Aluminum Corp. 133,063 ------------ 718,466 ------------ Multiline Retail -- 0.6% 20,323 Fred's, Inc., Class A 272,938 66,195 Tuesday Morning Corp. (b) 327,665 ------------ 600,603 ------------ Multi-Utilities -- 0.8% 15,517 Avista Corp. 351,460 2,856 CH Energy Group, Inc. 138,830 9,699 NorthWestern Corp. 273,900 ------------ 764,190 ------------ Oil, Gas & Consumable Fuels -- 1.8% 1,205 Contango Oil & Gas Co. (b) 69,890 16,141 Gulfport Energy Corp. (b) 386,416 16,624 Penn Virginia Corp. 288,925 6,623 Petroleum Development Corp. (b) 301,413 9,280 PetroQuest Energy, Inc. (b) 72,755 9,405 Stone Energy Corp. (b) 218,666 7,139 Swift Energy Co. (b) 304,550 1,936 World Fuel Services Corp. 72,677 ------------ 1,715,292 ------------ Paper & Forest Products -- 1.8% 16,634 Buckeye Technologies, Inc. 418,512 3,573 Clearwater Paper Corp. (b) 282,553 2,478 Deltic Timber Corp. 148,655 22,846 KapStone Paper & Packaging Corp. (b) 389,067 Shares Description Value ----------------------------------------------------------- Paper & Forest Products (Continued) 10,654 Neenah Paper, Inc. $ 205,196 32,470 Wausau Paper Corp. 278,268 ------------ 1,722,251 ------------ Pharmaceuticals -- 0.6% 5,442 Par Pharmaceutical Cos., Inc. (b) 194,388 2,975 Salix Pharmaceuticals Ltd. (b) 121,886 16,141 ViroPharma, Inc. (b) 264,712 ------------ 580,986 ------------ Professional Services -- 0.8% 2,387 Administaff, Inc. 67,600 15,064 Dolan (The) Co. (b) 206,527 3,718 Kelly Services, Inc., Class A (b) 73,152 8,576 On Assignment, Inc. (b) 67,750 7,164 SFN Group, Inc. (b) 69,348 15,544 TrueBlue, Inc. (b) 265,181 ------------ 749,558 ------------ Real Estate Investment Trusts -- 1.1% 3,869 Colonial Properties Trust 74,246 11,651 DiamondRock Hospitality Co. (b) 141,327 1,511 Entertainment Properties Trust 69,551 17,584 Lexington Realty Trust 148,936 2,493 LTC Properties, Inc. 68,159 9,624 Pennsylvania Real Estate Investment Trust 131,464 9,629 Post Properties, Inc. 356,562 ------------ 990,245 ------------ Road & Rail -- 0.6% 8,730 Heartland Express, Inc. 139,898 7,359 Knight Transportation, Inc. 140,263 8,742 Old Dominion Freight Line, Inc. (b) 281,230 ------------ 561,391 ------------ Semiconductors & Semiconductor Equipment -- 6.9% 15,374 Advanced Energy Industries, Inc. (b) 237,451 14,025 ATMI, Inc. (b) 288,915 38,536 Brooks Automation, Inc. (b) 452,413 5,057 Cabot Microelectronics Corp. (b) 228,121 13,635 CEVA, Inc. (b) 329,558 16,866 Cohu, Inc. 251,978 4,654 Cymer, Inc. (b) 226,138 18,814 Cypress Semiconductor Corp. (b) 407,323 12,953 Diodes, Inc. (b) 333,410 5,293 FEI Co. (b) 144,234 3,439 Hittite Microwave Corp. (b) 205,583 29,122 Kulicke & Soffa Industries, Inc. (b) 283,940 21,527 Micrel, Inc. 288,247 9,154 Microsemi Corp. (b) 205,874 14,275 MKS Instruments, Inc. (b) 409,835 31,828 Pericom Semiconductor Corp. (b) 319,235 See Notes to Financial Statements Page 71 First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Semiconductors & Semiconductor Equipment (Continued) 3,481 Power Integrations, Inc. $ 128,553 25,476 Rudolph Technologies, Inc. (b) 256,289 19,730 Sigma Designs, Inc. (b) 274,839 7,270 Standard Microsystems Corp. (b) 174,844 2,892 Supertex, Inc. (b) 66,256 6,310 Tessera Technologies, Inc. (b) 109,289 29,901 TriQuint Semiconductor, Inc. (b) 393,497 3,518 Ultratech, Inc. (b) 79,278 3,781 Varian Semiconductor Equipment Associates, Inc. (b) 168,065 4,877 Veeco Instruments, Inc. (b) 210,979 ------------ 6,474,144 ------------ Software -- 2.8% 12,875 Bottomline Technologies, Inc. (b) 295,224 2,444 CommVault Systems, Inc. (b) 75,495 5,908 Ebix, Inc. (b) 133,225 13,844 Epicor Software Corp. (b) 143,424 10,185 EPIQ Systems, Inc. 130,877 10,691 Interactive Intelligence, Inc. (b) 349,916 2,499 JDA Software Group, Inc. (b) 75,420 6,072 NetScout Systems, Inc. (b) 139,170 4,953 Progress Software Corp. (b) 141,854 10,715 Radiant Systems, Inc. (b) 195,549 22,201 Smith Micro Software, Inc. (b) 280,177 9,320 Sonic Solutions (b) 135,932 10,467 Synchronoss Technologies, Inc. (b) 297,891 22,846 Take-Two Interactive Software, Inc. (b) 285,004 ------------ 2,679,158 ------------ Specialty Retail -- 6.0% 13,733 Big 5 Sporting Goods Corp. 174,134 20,075 Brown Shoe Co., Inc. 254,350 3,703 Buckle (The), Inc. 132,382 12,855 Cabela's, Inc. (b) 320,090 7,647 Cato (The) Corp., Class A 186,893 5,629 Children's Place Retail Stores (The), Inc. (b) 235,799 45,466 Christopher & Banks Corp. 259,611 66,151 Coldwater Creek, Inc. (b) 192,499 16,264 Finish Line (The), Inc., Class A 250,303 9,323 Genesco, Inc. (b) 346,163 3,347 Group 1 Automotive, Inc. 126,650 21,541 Haverty Furniture Cos., Inc. 259,354 9,469 Hibbett Sports, Inc. (b) 303,197 33,446 Hot Topic, Inc. 181,612 5,803 Jo-Ann Stores, Inc. (b) 350,095 1,737 Jos. A. Bank Clothiers, Inc. (b) 74,222 9,781 Lithia Motors, Inc., Class A 132,044 7,479 MarineMax, Inc. (b) 67,610 11,196 Men's Wearhouse (The), Inc. 293,447 6,061 Monro Muffler Brake, Inc. 200,498 15,615 Pep Boys-Manny, Moe & Jack (The) 217,673 15,835 Sonic Automotive, Inc., Class A 197,146 Shares Description Value ----------------------------------------------------------- Specialty Retail (Continued) 20,156 Stage Stores, Inc. $ 312,418 37,785 Stein Mart, Inc. 296,045 13,003 Zumiez, Inc. (b) 301,930 ------------ 5,666,165 ------------ Textiles, Apparel & Luxury Goods -- 2.0% 2,372 Carter's, Inc. (b) 65,704 20,414 Crocs, Inc. (b) 334,586 7,240 Iconix Brand Group, Inc. (b) 143,714 29,288 Liz Claiborne, Inc. (b) 144,683 2,943 Maidenform Brands, Inc. (b) 75,753 2,727 Oxford Industries, Inc. 64,548 12,723 Perry Ellis International, Inc. (b) 358,152 13,788 Quiksilver, Inc. (b) 61,632 17,472 Skechers U.S.A., Inc., Class A (b) 359,399 3,349 Steven Madden, Ltd. (b) 127,831 4,388 Wolverine World Wide, Inc. 139,758 ------------ 1,875,760 ------------ Thrifts & Mortgage Finance -- 0.4% 14,622 Bank Mutual Corp. 64,776 6,440 Brookline Bancorp, Inc. 69,745 4,791 Dime Community Bancshares 72,248 9,243 Provident Financial Services, Inc. 135,410 ------------ 342,179 ------------ Tobacco -- 0.3% 82,425 Alliance One International, Inc. (b) 315,688 ------------ Trading Companies & Distributors -- 0.4% 4,302 Applied Industrial Technologies, Inc. 136,201 2,403 Kaman Corp. 70,732 5,615 Lawson Products, Inc. 131,223 ------------ 338,156 ------------ Water Utilities -- 0.1% 4,053 American States Water Co. 137,802 ------------ Wireless Telecommunication Services -- 0.5% 7,335 NTELOS Holdings Corp. 147,874 19,666 USA Mobility, Inc. 335,895 ------------ 483,769 ------------ Total Common Stocks -- 100.1% 94,226,655 (Cost $87,425,804) Money Market Fund -- 0.0% 22,583 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 22,583 (Cost $22,583) ------------ Page 72 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Description Value ----------------------------------------------------------- Total Investments -- 100.1% $ 94,249,238 (Cost $87,448,387) (d) Net Other Assets and Liabilities -- (0.1)% (59,206) ------------ Net Assets -- 100.0% $ 94,190,032 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,029,812 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,228,961. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $94,226,655 $ -- $ -- Money Market Fund 22,583 -- -- ------------------------------------ Total Investments $94,249,238 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 73 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Aerospace & Defense -- 3.9% 10,188 General Dynamics Corp. $ 768,175 3,377 ITT Corp. 198,973 12,815 L-3 Communications Holdings, Inc. 1,002,774 2,517 Lockheed Martin Corp. 200,353 13,947 Northrop Grumman Corp. 966,527 19,496 Raytheon Co. 974,605 ------------ 4,111,407 ------------ Air Freight & Logistics -- 0.5% 5,680 FedEx Corp. 513,018 ------------ Airlines -- 0.3% 27,841 Southwest Airlines Co. 329,916 ------------ Auto Components -- 0.2% 4,608 Johnson Controls, Inc. 176,901 ------------ Beverages -- 0.6% 14,403 Molson Coors Brewing Co., Class B 675,069 ------------ Biotechnology -- 1.5% 13,166 Amgen, Inc. (b) 725,184 14,640 Cephalon, Inc. (b) 864,931 ------------ 1,590,115 ------------ Capital Markets -- 1.7% 5,831 Bank of New York Mellon (The) Corp. 182,102 6,726 Federated Investors, Inc., Class B 182,140 1,581 Franklin Resources, Inc. 190,748 3,139 Goldman Sachs Group (The), Inc. 513,603 4,853 Legg Mason, Inc. 160,780 13,279 Morgan Stanley 390,402 3,801 State Street Corp. 177,583 ------------ 1,797,358 ------------ Chemicals -- 0.2% 5,156 Dow Chemical (The) Co. 182,935 ------------ Commercial Banks -- 0.5% 8,701 PNC Financial Services Group, Inc. 522,060 ------------ Commercial Services & Supplies -- 1.7% 18,889 Cintas Corp. 530,025 30,235 R.R. Donnelley & Sons Co. 535,764 12,101 Republic Services, Inc. 373,195 9,803 Waste Management, Inc. 371,240 ------------ 1,810,224 ------------ Communications Equipment -- 2.1% 26,110 Cisco Systems, Inc. (b) 552,227 19,945 Harris Corp. 928,240 133,248 Tellabs, Inc. 706,214 ------------ 2,186,681 ------------ Shares Description Value ----------------------------------------------------------- Computers & Peripherals -- 1.8% 12,995 Dell, Inc. (b) $ 171,014 17,167 Hewlett-Packard Co. 784,360 25,948 Lexmark International, Inc., Class A (b) 904,029 ------------ 1,859,403 ------------ Construction & Engineering -- 0.4% 18,144 Quanta Services, Inc. (b) 430,557 ------------ Consumer Finance -- 0.8% 16,984 Capital One Financial Corp. 817,949 ------------ Containers & Packaging -- 0.9% 11,066 Bemis Co., Inc. 360,198 20,753 Sealed Air Corp. 553,898 ------------ 914,096 ------------ Diversified Consumer Services -- 0.5% 44,349 H&R Block, Inc. 555,250 ------------ Diversified Financial Services -- 1.8% 12,453 JPMorgan Chase & Co. 559,638 6,633 Moody's Corp. 194,811 15,239 NASDAQ OMX Group (The), Inc. (b) 373,051 24,107 NYSE Euronext 766,843 ------------ 1,894,343 ------------ Diversified Telecommunication Services -- 1.4% 30,749 AT&T, Inc. 846,213 15,656 CenturyLink, Inc. 676,965 ------------ 1,523,178 ------------ Electric Utilities -- 8.4% 37,271 Allegheny Energy, Inc. 960,846 20,090 American Electric Power Co., Inc. 716,811 29,654 Duke Energy Corp. 530,213 23,405 Edison International 849,133 10,205 Entergy Corp. 736,495 17,360 Exelon Corp. 737,974 19,521 FirstEnergy Corp. 763,662 13,900 NextEra Energy, Inc. 743,094 11,333 Northeast Utilities 373,082 28,940 Pepco Holdings, Inc. 537,416 17,439 Pinnacle West Capital Corp. 709,942 13,730 PPL Corp. 354,097 12,149 Progress Energy, Inc. 545,733 9,452 Southern Co. 355,584 ------------ 8,914,082 ------------ Electronic Equipment, Instruments & Components -- 1.6% 46,765 Corning, Inc. 1,038,651 23,246 Molex, Inc. 607,883 ------------ 1,646,534 ------------ Page 74 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Energy Equipment & Services -- 1.8% 14,907 Helmerich & Payne, Inc. $ 875,488 15,401 Nabors Industries Ltd. (b) 375,785 20,701 Rowan Cos., Inc. (b) 709,630 ------------ 1,960,903 ------------ Food & Staples Retailing -- 2.0% 20,784 CVS Caremark Corp. 710,813 23,622 Kroger (The) Co. 505,511 5,990 Sysco Corp. 174,549 9,276 Walgreen Co. 375,121 6,701 Wal-Mart Stores, Inc. 375,725 ------------ 2,141,719 ------------ Food Products -- 3.7% 30,034 Archer-Daniels-Midland Co. 981,211 5,067 Campbell Soup Co. 172,987 16,003 ConAgra Foods, Inc. 357,347 81,758 Dean Foods Co. (b) 829,844 4,944 General Mills, Inc. 171,952 8,044 J.M. Smucker (The) Co. 500,015 52,467 Tyson Foods, Inc., Class A 863,082 ------------ 3,876,438 ------------ Gas Utilities -- 0.5% 7,240 Nicor, Inc. 365,403 3,176 ONEOK, Inc. 187,034 ------------ 552,437 ------------ Health Care Equipment & Supplies -- 1.4% 5,152 DENTSPLY International, Inc. 182,793 14,243 Medtronic, Inc. 545,792 13,466 Zimmer Holdings, Inc. (b) 796,648 ------------ 1,525,233 ------------ Health Care Providers & Services -- 5.6% 29,613 Aetna, Inc. 975,452 4,596 Cardinal Health, Inc. 190,780 34,223 Coventry Health Care, Inc. (b) 1,025,663 16,507 Humana, Inc. (b) 956,911 2,501 McKesson Corp. 188,000 9,783 Quest Diagnostics, Inc. 557,142 25,020 UnitedHealth Group, Inc. 1,027,071 15,891 WellPoint, Inc. (b) 987,149 ------------ 5,908,168 ------------ Household Durables -- 1.2% 14,756 D.R. Horton, Inc. 182,827 15,880 Leggett & Platt, Inc. 357,776 8,134 Whirlpool Corp. 695,457 ------------ 1,236,060 ------------ Shares Description Value ----------------------------------------------------------- Household Products -- 0.3% 2,794 Kimberly-Clark Corp. $ 180,855 2,736 Procter & Gamble (The) Co. 172,724 ------------ 353,579 ------------ Independent Power Producers & Energy Traders -- 2.3% 43,363 AES (The) Corp. (b) 537,701 29,494 Constellation Energy Group, Inc. 951,181 46,237 NRG Energy, Inc. (b) 959,418 ------------ 2,448,300 ------------ Industrial Conglomerates -- 1.1% 4,189 3M Co. 368,297 9,623 General Electric Co. 193,807 12,743 Tyco International Ltd. 571,269 ------------ 1,133,373 ------------ Insurance -- 7.0% 14,513 ACE Ltd. 893,856 13,713 Assurant, Inc. 537,961 2,197 Berkshire Hathaway, Inc., Class B (b) 179,605 12,116 Chubb (The) Corp. 701,880 16,668 Cincinnati Financial Corp. 534,043 27,285 Hartford Financial Services Group (The), Inc. 757,977 12,997 Lincoln National Corp. 374,833 4,525 Loews Corp. 181,226 3,963 MetLife, Inc. 181,387 18,186 Progressive (The) Corp. 360,265 12,312 Prudential Financial, Inc. 757,311 8,839 Torchmark Corp. 550,670 16,217 Travelers (The) Cos., Inc. 912,368 21,809 Unum Group 543,916 ------------ 7,467,298 ------------ Internet Software & Services -- 0.3% 21,733 Yahoo!, Inc. (b) 350,336 ------------ IT Services -- 2.8% 18,217 Computer Sciences Corp. 970,784 6,425 Fidelity National Information Services, Inc. 195,513 3,009 Fiserv, Inc. (b) 185,866 45,569 SAIC, Inc. (b) 755,078 46,990 Total System Services, Inc. 818,096 ------------ 2,925,337 ------------ Leisure Equipment & Products -- 0.5% 20,768 Mattel, Inc. 491,786 ------------ Life Sciences Tools & Services -- 0.4% 6,530 Thermo Fisher Scientific, Inc. (b) 373,973 ------------ See Notes to Financial Statements Page 75 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Media -- 3.7% 9,239 CBS Corp., Class B $ 183,209 59,872 Gannett Co., Inc. 882,513 4,835 McGraw-Hill (The) Cos., Inc. 188,468 10,431 Meredith Corp. 351,525 36,275 News Corp., Class A 544,851 16,415 Time Warner, Inc. 516,252 9,637 Walt Disney (The) Co. 374,590 2,053 Washington Post (The) Co., Class B 879,403 ------------ 3,920,811 ------------ Multiline Retail -- 2.3% 23,727 Big Lots, Inc. (b) 754,282 11,182 J. C. Penney Co., Inc. 358,607 9,722 Kohl's Corp. (b) 493,683 7,163 Sears Holdings Corp. (b) 539,875 6,010 Target Corp. 329,528 ------------ 2,475,975 ------------ Multi-Utilities -- 8.6% 18,735 Ameren Corp. 531,512 22,990 CenterPoint Energy, Inc. 371,288 38,856 CMS Energy Corp. 757,692 10,657 Consolidated Edison, Inc. 531,891 16,919 Dominion Resources, Inc. 736,653 19,937 DTE Energy Co. 922,286 7,446 Integrys Energy Group, Inc. 354,355 41,019 NiSource, Inc. 763,774 11,043 PG&E Corp. 511,070 28,400 Public Service Enterprise Group, Inc. 921,012 13,010 SCANA Corp. 549,933 10,064 Sempra Energy 524,032 29,670 TECO Energy, Inc. 546,225 6,141 Wisconsin Energy Corp. 370,241 30,687 Xcel Energy, Inc. 723,293 ------------ 9,115,257 ------------ Office Electronics -- 0.3% 31,368 Xerox Corp. 333,128 ------------ Oil, Gas & Consumable Fuels -- 10.6% 7,576 Apache Corp. 904,271 4,654 Cabot Oil & Gas Corp. 193,746 27,897 Chesapeake Energy Corp. 823,799 9,901 Chevron Corp. 939,902 13,266 ConocoPhillips 947,989 11,510 Devon Energy Corp. 1,020,822 26,264 El Paso Corp. 417,072 1,928 EOG Resources, Inc. 205,120 9,886 Exxon Mobil Corp. 797,603 11,801 Hess Corp. 992,700 24,399 Marathon Oil Corp. 1,115,034 5,384 Occidental Petroleum Corp. 520,525 19,904 QEP Resources, Inc. 808,899 7,043 Spectra Energy Corp. 184,738 8,965 Sunoco, Inc. 380,564 Shares Description Value ----------------------------------------------------------- Oil, Gas & Consumable Fuels (Continued) 9,497 Tesoro Corp. (b) $ 182,817 31,262 Valero Energy Corp. 792,804 ------------ 11,228,405 ------------ Paper & Forest Products -- 0.5% 13,266 International Paper Co. 383,122 6,728 MeadWestvaco Corp. 192,623 ------------ 575,745 ------------ Pharmaceuticals -- 2.3% 13,647 Bristol-Myers Squibb Co. 343,631 16,517 Forest Laboratories, Inc. (b) 532,838 8,537 Johnson & Johnson 510,257 20,053 Merck & Co., Inc. 665,158 20,641 Pfizer, Inc. 376,079 ------------ 2,427,963 ------------ Professional Services -- 0.3% 10,150 Equifax, Inc. 362,558 ------------ Real Estate Investment Trusts -- 0.8% 38,177 Weyerhaeuser Co. 884,943 ------------ Road & Rail -- 0.8% 5,754 Norfolk Southern Corp. 352,087 10,036 Ryder System, Inc. 482,531 ------------ 834,618 ------------ Semiconductors & Semiconductor Equipment -- 2.3% 42,961 Intel Corp. 921,943 26,264 National Semiconductor Corp. 398,162 64,347 Teradyne, Inc. (b) 1,073,308 ------------ 2,393,413 ------------ Software -- 1.0% 7,201 CA, Inc. 171,384 152,604 Novell, Inc. (b) 918,676 ------------ 1,090,060 ------------ Specialty Retail -- 3.6% 21,076 Best Buy Co., Inc. 716,584 39,484 GameStop Corp., Class A (b) 831,928 32,647 Gap (The), Inc. 629,108 5,019 Home Depot (The), Inc. 184,549 21,059 Lowe's Cos., Inc. 522,263 48,858 RadioShack Corp. 740,199 7,731 Staples, Inc. 172,478 ------------ 3,797,109 ------------ Textiles, Apparel & Luxury Goods -- 0.3% 4,195 VF Corp. 347,010 ------------ Page 76 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Thrifts & Mortgage Finance -- 0.1% 13,818 Hudson City Bancorp, Inc. $ 151,722 ------------ Tobacco -- 0.1% 2,142 Lorillard, Inc. 161,164 ------------ Wireless Telecommunication Services -- 0.7% 170,865 Sprint Nextel Corp. (b) 772,310 ------------ Total Common Stocks -- 100.0% 106,068,207 (Cost $99,479,254) Money Market Fund -- 0.0% 16,866 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 16,866 (Cost $16,866) ------------ Total Investments -- 100.0% 106,085,073 (Cost $99,496,120) (d) Net Other Assets and Liabilities -- 0.0% 1,798 ------------ Net Assets -- 100.0% $106,086,871 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,621,092 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,032,139. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $106,068,207 $ -- $ -- Money Market Fund 16,866 -- -- ------------------------------------- Total Investments $106,085,073 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 77 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.1% Aerospace & Defense -- 1.1% 3,833 Goodrich Corp. $ 347,346 9,788 Honeywell International, Inc. 548,226 2,143 United Technologies Corp. 174,226 ------------ 1,069,798 ------------ Air Freight & Logistics -- 2.1% 10,816 C.H. Robinson Worldwide, Inc. 833,805 15,886 Expeditors International of Washington, Inc. 804,944 4,649 United Parcel Service, Inc., Class B 332,961 ------------ 1,971,710 ------------ Automobiles -- 1.5% 51,657 Ford Motor Co. (b) 823,929 15,008 Harley-Davidson, Inc. 595,067 ------------ 1,418,996 ------------ Beverages -- 0.2% 2,425 Brown-Forman Corp., Class B 160,899 ------------ Biotechnology -- 0.3% 5,033 Biogen Idec, Inc. (b) 329,511 ------------ Capital Markets -- 2.4% 15,070 Ameriprise Financial, Inc. 929,066 14,031 Invesco Ltd. 347,127 26,024 Janus Capital Group, Inc. 335,970 10,459 T. Rowe Price Group, Inc. 689,457 ------------ 2,301,620 ------------ Chemicals -- 5.4% 3,711 Air Products and Chemicals, Inc. 323,785 4,996 CF Industries Holdings, Inc. 674,660 13,534 E.I. du Pont de Nemours & Co. 685,903 10,314 Eastman Chemical Co. 957,758 6,515 FMC Corp. 495,531 9,362 International Flavors & Fragrances, Inc. 534,102 8,031 PPG Industries, Inc. 676,852 1,768 Praxair, Inc. 164,495 4,030 Sherwin-Williams (The) Co. 341,462 5,072 Sigma-Aldrich Corp. 322,833 ------------ 5,177,381 ------------ Commercial Banks -- 1.1% 75,749 Huntington Bancshares, Inc. 548,423 19,071 KeyCorp 169,732 10,892 Wells Fargo & Co. 353,118 ------------ 1,071,273 ------------ Commercial Services & Supplies -- 0.9% 12,290 Avery Dennison Corp. 517,286 4,171 Stericycle, Inc. (b) 327,382 ------------ 844,668 ------------ Shares Description Value ----------------------------------------------------------- Communications Equipment -- 2.5% 6,664 F5 Networks, Inc. (b) $ 722,245 59,898 JDS Uniphase Corp. (b) 1,016,469 18,285 Juniper Networks, Inc. (b) 678,739 ------------ 2,417,453 ------------ Computers & Peripherals -- 2.9% 1,612 Apple, Inc. (b) 546,984 14,739 EMC Corp. (b) 366,854 12,283 NetApp, Inc. (b) 672,249 17,396 SanDisk Corp. (b) 789,256 9,958 Western Digital Corp. (b) 338,771 ------------ 2,714,114 ------------ Construction & Engineering -- 1.0% 13,089 Fluor Corp. 905,628 ------------ Containers & Packaging -- 0.7% 9,920 Ball Corp. 705,610 ------------ Diversified Financial Services -- 0.4% 11,567 Leucadia National Corp. 376,159 ------------ Diversified Telecommunication Services -- 2.0% 69,382 Frontier Communications Corp. 636,233 88,711 Qwest Communications International, Inc. 632,509 4,716 Verizon Communications, Inc. 167,984 37,332 Windstream Corp. 478,223 ------------ 1,914,949 ------------ Electrical Equipment -- 1.7% 5,903 Emerson Electric Co. 347,569 9,415 Rockwell Automation, Inc. 762,709 6,808 Roper Industries, Inc. 528,913 ------------ 1,639,191 ------------ Electronic Equipment, Instruments & Components -- 0.2% 3,197 Amphenol Corp., Class A 176,922 ------------ Energy Equipment & Services -- 4.0% 15,171 Baker Hughes, Inc. 1,039,365 10,257 Cameron International Corp. (b) 546,698 5,854 FMC Technologies, Inc. (b) 550,276 16,536 Halliburton Co. 744,120 7,737 National Oilwell Varco, Inc. 571,764 4,042 Schlumberger Ltd. 359,698 ------------ 3,811,921 ------------ Food & Staples Retailing -- 0.9% 17,145 Whole Foods Market, Inc. 886,568 ------------ Page 78 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Food Products -- 1.7% 13,171 Hormel Foods Corp. $ 650,647 5,356 Kraft Foods, Inc., Class A 163,733 3,627 McCormick & Co., Inc. 160,313 2,711 Mead Johnson Nutrition Co. 157,157 29,718 Sara Lee Corp. 504,315 ------------ 1,636,165 ------------ Health Care Equipment & Supplies -- 0.7% 1,997 Becton, Dickinson & Co. 165,651 1,841 C. R. Bard, Inc. 173,698 4,873 Varian Medical Systems, Inc. (b) 329,269 ------------ 668,618 ------------ Health Care Providers & Services -- 2.8% 9,893 AmerisourceBergen Corp. 354,763 4,604 CIGNA Corp. 193,460 12,489 Express Scripts, Inc. (b) 703,506 1,920 Laboratory Corp. of America Holdings (b) 172,627 5,508 Medco Health Solutions, Inc. (b) 336,098 129,642 Tenet Healthcare Corp. (b) 862,119 ------------ 2,622,573 ------------ Health Care Technology -- 0.2% 1,781 Cerner Corp. (b) 176,052 ------------ Hotels, Restaurants & Leisure -- 4.3% 14,641 Carnival Corp. 654,599 3,634 Darden Restaurants, Inc. 171,198 12,528 Marriott International, Inc., Class A 494,731 21,010 Starbucks Corp. 662,445 8,563 Starwood Hotels & Resorts Worldwide, Inc. 504,960 17,369 Wyndham Worldwide Corp. 488,590 8,354 Wynn Resorts Ltd. 971,821 3,440 Yum! Brands, Inc. 160,854 ------------ 4,109,198 ------------ Household Durables -- 2.0% 18,733 Harman International Industries, Inc. (b) 811,513 27,755 Lennar Corp., Class A 537,337 7,782 Stanley Black & Decker, Inc. 565,596 ------------ 1,914,446 ------------ Insurance -- 0.4% 5,983 Aflac, Inc. 344,501 ------------ Internet & Catalog Retail -- 2.5% 4,818 Amazon.com, Inc. (b) 817,326 3,842 Netflix, Inc. (b) 822,495 1,691 priceline.com, Inc. (b) 724,627 ------------ 2,364,448 ------------ Shares Description Value ----------------------------------------------------------- Internet Software & Services -- 0.8% 12,130 eBay, Inc. (b) $ 368,267 283 Google, Inc., Class A (b) 169,902 14,283 Monster Worldwide, Inc. (b) 237,812 ------------ 775,981 ------------ IT Services -- 0.9% 9,213 Cognizant Technology Solutions Corp., Class A (b) 672,088 4,100 Teradata Corp. (b) 176,259 ------------ 848,347 ------------ Leisure Equipment & Products -- 0.2% 3,577 Hasbro, Inc. 157,710 ------------ Life Sciences Tools & Services -- 1.4% 20,934 Agilent Technologies, Inc. (b) 875,669 3,041 Life Technologies Corp. (b) 165,096 13,073 PerkinElmer, Inc. 334,407 ------------ 1,375,172 ------------ Machinery -- 8.9% 7,207 Caterpillar, Inc. 699,151 7,883 Cummins, Inc. 834,652 7,155 Danaher Corp. 329,559 10,443 Deere & Co. 949,269 11,550 Dover Corp. 740,355 8,543 Eaton Corp. 922,302 1,414 Flowserve Corp. 176,736 6,322 Illinois Tool Works, Inc. 338,164 14,336 Ingersoll-Rand PLC 676,659 11,757 PACCAR, Inc. 664,153 10,496 Pall Corp. 581,584 10,049 Parker Hannifin Corp. 898,481 11,932 Snap-on, Inc. 675,709 ------------ 8,486,774 ------------ Media -- 3.6% 19,949 Cablevision Systems Corp., Class A 675,274 23,687 Comcast Corp., Class A 538,879 4,227 DIRECTV, Class A (b) 179,183 48,999 Interpublic Group of Cos. (The), Inc. (b) 523,799 7,371 Omnicom Group, Inc. 330,810 6,523 Scripps Networks Interactive, Class A 303,320 10,224 Time Warner Cable, Inc. 693,494 4,262 Viacom, Inc., Class B 177,086 ------------ 3,421,845 ------------ Metals & Mining -- 3.4% 9,431 Allegheny Technologies, Inc. 614,807 11,117 Cliffs Natural Resources, Inc. 950,059 7,221 Freeport-McMoRan Copper & Gold, Inc. 785,283 See Notes to Financial Statements Page 79 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Metals & Mining (Continued) 14,846 United States Steel Corp. $ 856,169 ------------ 3,206,318 ------------ Multiline Retail -- 1.8% 13,581 Family Dollar Stores, Inc. 576,921 26,683 Macy's, Inc. 617,712 12,279 Nordstrom, Inc. 505,649 ------------ 1,700,282 ------------ Oil, Gas & Consumable Fuels -- 6.1% 8,863 Anadarko Petroleum Corp. 683,160 6,926 CONSOL Energy, Inc. 344,222 27,260 Denbury Resources, Inc. (b) 554,741 9,700 Massey Energy Co. 609,742 11,633 Murphy Oil Corp. 771,268 12,027 Newfield Exploration Co. (b) 880,016 3,920 Noble Energy, Inc. 357,112 10,552 Peabody Energy Corp. 669,208 9,989 Pioneer Natural Resources Co. 950,553 ------------ 5,820,022 ------------ Personal Products -- 0.9% 10,748 Estee Lauder (The) Cos., Inc., Class A 865,214 ------------ Pharmaceuticals -- 1.1% 15,975 Mylan, Inc. (b) 369,981 13,070 Watson Pharmaceuticals, Inc. (b) 712,576 ------------ 1,082,557 ------------ Professional Services -- 0.2% 5,517 Robert Half International, Inc. 173,013 ------------ Real Estate Investment Trusts -- 1.5% 13,063 Apartment Investment & Management Co., Class A 333,890 1,961 Boston Properties, Inc. 185,060 3,248 Equity Residential 176,009 18,888 Host Hotels & Resorts, Inc. 349,617 18,713 Kimco Realty Corp. 338,518 ------------ 1,383,094 ------------ Real Estate Management & Development -- 1.0% 42,350 CB Richard Ellis Group, Inc., Class A (b) 939,747 ------------ Road & Rail -- 1.0% 5,224 CSX Corp. 368,815 5,616 Union Pacific Corp. 531,442 ------------ 900,257 ------------ Semiconductors & Semiconductor Equipment -- 6.9% 41,264 Advanced Micro Devices, Inc. (b) 323,097 18,973 Altera Corp. 712,816 Shares Description Value ----------------------------------------------------------- Semiconductors & Semiconductor Equipment (Continued) 13,813 Analog Devices, Inc. $ 536,359 24,025 Applied Materials, Inc. 376,952 15,502 Broadcom Corp., Class A 698,985 8,735 KLA-Tencor Corp. 385,039 4,879 Linear Technology Corp. 169,740 86,875 LSI Corp. (b) 537,756 4,934 Microchip Technology, Inc. 179,943 21,045 Micron Technology, Inc. (b) 221,814 20,886 Novellus Systems, Inc. (b) 753,358 33,791 NVIDIA Corp. (b) 808,281 20,773 Texas Instruments, Inc. 704,412 5,823 Xilinx, Inc. 187,501 ------------ 6,596,053 ------------ Software -- 4.1% 13,621 Autodesk, Inc. (b) 554,102 3,581 BMC Software, Inc. (b) 170,814 4,935 Citrix Systems, Inc. (b) 311,793 44,593 Compuware Corp. (b) 478,037 10,556 Intuit, Inc. (b) 495,393 3,644 McAfee, Inc. (b) 174,548 16,626 Oracle Corp. 532,531 11,400 Red Hat, Inc. (b) 471,048 5,113 Salesforce.com, Inc. (b) 660,293 ------------ 3,848,559 ------------ Specialty Retail -- 6.3% 15,050 Abercrombie & Fitch Co., Class A 758,670 3,181 AutoZone, Inc. (b) 806,479 10,586 Bed Bath & Beyond, Inc. (b) 508,128 27,205 CarMax, Inc. (b) 888,243 28,225 Limited Brands, Inc. 825,299 8,611 O'Reilly Automotive, Inc. (b) 489,363 10,674 Ross Stores, Inc. 695,945 13,928 Tiffany & Co. 809,635 3,803 TJX (The) Cos., Inc. 180,224 ------------ 5,961,986 ------------ Textiles, Apparel & Luxury Goods -- 1.8% 15,682 Coach, Inc. 848,239 1,976 NIKE, Inc., Class B 162,980 6,086 Polo Ralph Lauren Corp. 652,298 ------------ 1,663,517 ------------ Tobacco -- 0.4% 2,884 Philip Morris International, Inc. 165,080 5,173 Reynolds American, Inc. 164,553 ------------ 329,633 ------------ Trading Companies & Distributors -- 1.0% 2,818 Fastenal Co. 163,613 6,279 W.W. Grainger, Inc. 825,500 ------------ 989,113 ------------ Page 80 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Wireless Telecommunication Services -- 0.9% 68,669 MetroPCS Communications, Inc. (b) $ 887,890 ------------ Total Common Stocks -- 100.1% 95,143,456 (Cost $87,538,651) Money Market Fund -- 0.0% 20,787 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 20,787 (Cost $20,787) ------------ Total Investments -- 100.1% 95,164,243 (Cost $87,559,438) (d) Net Other Assets and Liabilities -- (0.1)% (56,137) ------------ Net Assets -- 100.0% $ 95,108,106 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,481,436 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $876,631. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $95,143,456 $ -- $ -- Money Market Fund 20,787 -- -- ------------------------------------ Total Investments $95,164,243 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 81 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Aerospace & Defense -- 2.7% 749 AAR Corp. (b) $ 20,066 838 Alliant Techsystems, Inc. (b) 63,487 652 Ceradyne, Inc. (b) 23,100 1,033 Curtiss-Wright Corp. 35,845 196 Esterline Technologies Corp. (b) 13,951 1,272 General Dynamics Corp. 95,909 422 ITT Corp. 24,864 1,600 L-3 Communications Holdings, Inc. 125,200 314 Lockheed Martin Corp. 24,994 517 Moog, Inc., Class A (b) 22,045 1,741 Northrop Grumman Corp. 120,651 392 Orbital Sciences Corp. (b) 6,688 2,434 Raytheon Co. 121,676 468 Teledyne Technologies, Inc. (b) 22,141 ------------ 720,617 ------------ Air Freight & Logistics -- 0.3% 709 FedEx Corp. 64,037 237 Forward Air Corp. 6,615 ------------ 70,652 ------------ Airlines -- 0.5% 2,109 AirTran Holdings, Inc. (b) 15,585 7,073 JetBlue Airways Corp. (b) 42,438 2,195 SkyWest, Inc. 33,035 3,476 Southwest Airlines Co. 41,191 ------------ 132,249 ------------ Auto Components -- 0.3% 905 Drew Industries, Inc. 21,376 575 Johnson Controls, Inc. 22,075 1,104 Spartan Motors, Inc. 6,889 1,502 Standard Motor Products, Inc. 18,189 ------------ 68,529 ------------ Automobiles -- 0.1% 918 Thor Industries, Inc. 34,113 ------------ Beverages -- 0.3% 1,798 Molson Coors Brewing Co., Class B 84,272 ------------ Biotechnology -- 0.8% 1,644 Amgen, Inc. (b) 90,552 1,827 Cephalon, Inc. (b) 107,939 215 Martek Biosciences Corp. (b) 6,753 ------------ 205,244 ------------ Building Products -- 0.3% 540 A.O. Smith Corp. 23,117 238 AAON, Inc. 6,409 998 Apogee Enterprises, Inc. 12,765 1,055 Griffon Corp. (b) 12,280 709 Quanex Building Products Corp. 13,818 218 Simpson Manufacturing Co., Inc. 6,486 346 Universal Forest Products, Inc. 12,698 ------------ 87,573 ------------ Shares Description Value ----------------------------------------------------------- Capital Markets -- 1.1% 728 Bank of New York Mellon (The) Corp. $ 22,736 840 Federated Investors, Inc., Class B 22,747 198 Franklin Resources, Inc. 23,889 392 Goldman Sachs Group (The), Inc. 64,139 1,643 Investment Technology Group, Inc. (b) 30,281 606 Legg Mason, Inc. 20,077 1,658 Morgan Stanley 48,745 588 Piper Jaffray Cos. (b) 24,578 655 SEI Investments Co. 15,163 474 State Street Corp. 22,145 996 TradeStation Group, Inc. (b) 6,942 ------------ 301,442 ------------ Chemicals -- 2.1% 1,175 A. Schulman, Inc. 25,086 542 Arch Chemicals, Inc. 19,642 1,580 Ashland, Inc. 91,735 1,242 Cabot Corp. 53,716 445 Calgon Carbon Corp. (b) 6,346 881 Cytec Industries, Inc. 48,050 644 Dow Chemical (The) Co. 22,849 1,311 H.B. Fuller Co. 29,878 715 Minerals Technologies, Inc. 45,059 1,519 Olin Corp. 29,575 890 OM Group, Inc. (b) 32,200 2,201 Penford Corp. (b) 13,008 705 RPM International, Inc. 16,518 307 Scotts Miracle-Gro (The) Co., Class A 15,863 849 Sensient Technologies Corp. 28,790 353 Stepan Co. 25,600 672 STR Holdings, Inc. (b) 12,284 904 Valspar (The) Corp. 33,782 ------------ 549,981 ------------ Commercial Banks -- 1.5% 155 Bank of the Ozarks, Inc. 6,685 1,026 Boston Private Financial Holdings, Inc. 6,885 186 City Holding Co. 6,473 484 Community Bank System, Inc. 12,236 2,392 East West Bancorp, Inc. 51,930 1,507 Fulton Financial Corp. 15,552 193 Hancock Holding Co. 6,330 610 Home Bancshares, Inc. 12,481 249 Independent Bank Corp. 6,768 2,334 International Bancshares Corp. 44,276 278 NBT Bancorp, Inc. 6,444 1,086 PNC Financial Services Group, Inc. 65,160 397 Prosperity Bancshares, Inc. 16,059 595 S&T Bancorp, Inc. 13,001 236 Simmons First National Corp., Class A 6,558 2,105 TCF Financial Corp. 31,449 343 Tompkins Financial Corp. 13,977 627 Trustmark Corp. 15,042 162 UMB Financial Corp. 6,585 791 Webster Financial Corp. 18,098 Page 82 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Commercial Banks (Continued) 882 Wilshire Bancorp, Inc. $ 5,662 623 Wintrust Financial Corp. 20,503 ------------ 388,154 ------------ Commercial Services & Supplies -- 1.9% 256 ABM Industries, Inc. 6,579 2,990 Brink's (The) Co. 80,730 2,358 Cintas Corp. 66,166 1,244 Corrections Corp. of America (b) 30,864 1,109 G&K Services, Inc., Class A 34,745 273 Geo Group (The), Inc. (b) 6,489 683 Mobile Mini, Inc. (b) 13,961 3,774 R.R. Donnelley & Sons Co. 66,875 1,511 Republic Services, Inc. 46,599 3,943 Standard Register (The) Co. 12,618 537 Tetra Tech, Inc. (b) 12,429 623 UniFirst Corp. 34,738 322 United Stationers, Inc. (b) 20,054 566 Waste Connections, Inc. 16,397 1,224 Waste Management, Inc. 46,353 ------------ 495,597 ------------ Communications Equipment -- 1.7% 3,056 Arris Group, Inc. (b) 38,139 1,435 Bel Fuse, Inc., Class B 31,297 895 Black Box Corp. 31,495 3,259 Cisco Systems, Inc. (b) 68,928 1,236 Comtech Telecommunications Corp. 34,682 1,853 Digi International, Inc. (b) 19,623 2,490 Harris Corp. 115,885 2,258 Tekelec (b) 25,911 16,635 Tellabs, Inc. 88,165 ------------ 454,125 ------------ Computers & Peripherals -- 1.2% 1,622 Dell, Inc. (b) 21,345 486 Diebold, Inc. 14,901 2,143 Hewlett-Packard Co. 97,914 2,447 Intevac, Inc. (b) 33,646 3,239 Lexmark International, Inc., Class A (b) 112,847 1,783 Super Micro Computer, Inc. (b) 25,096 ------------ 305,749 ------------ Construction & Engineering -- 1.1% 1,672 Aecom Technology Corp. (b) 48,939 1,395 Dycom Industries, Inc. (b) 22,418 568 Granite Construction, Inc. 14,677 776 Insituform Technologies, Inc., Class A (b) 21,348 1,023 KBR, Inc. 32,838 2,265 Quanta Services, Inc. (b) 53,749 Shares Description Value ----------------------------------------------------------- Construction & Engineering (Continued) 1,931 URS Corp. (b) $ 85,833 ------------ 279,802 ------------ Consumer Finance -- 0.4% 2,120 Capital One Financial Corp. 102,099 ------------ Containers & Packaging -- 1.9% 983 AptarGroup, Inc. 47,243 1,381 Bemis Co., Inc. 44,952 755 Greif, Inc., Class A 47,603 2,112 Myers Industries, Inc. 19,304 2,413 Packaging Corp. of America 68,167 1,490 Rock-Tenn Co., Class A 99,457 2,591 Sealed Air Corp. 69,154 435 Silgan Holdings, Inc. 16,238 1,389 Sonoco Products Co. 49,379 1,468 Temple-Inland, Inc. 35,217 ------------ 496,714 ------------ Distributors -- 0.1% 3,973 Audiovox Corp., Class A (b) 28,526 ------------ Diversified Consumer Services -- 1.5% 3,877 Career Education Corp. (b) 87,000 6,581 Corinthian Colleges, Inc. (b) 34,748 5,536 H&R Block, Inc. 69,311 646 Hillenbrand, Inc. 13,960 1,337 Matthews International Corp., Class A 47,383 4,841 Regis Corp. 81,135 5,667 Service Corp. International 49,133 ------------ 382,670 ------------ Diversified Financial Services -- 0.9% 377 Interactive Brokers Group, Inc., Class A 6,096 1,554 JPMorgan Chase & Co. 69,837 828 Moody's Corp. 24,318 1,903 NASDAQ OMX Group (The), Inc. (b) 46,586 3,010 NYSE Euronext 95,748 ------------ 242,585 ------------ Diversified Telecommunication Services -- 0.7% 3,839 AT&T, Inc. 105,649 1,954 CenturyLink, Inc. 84,491 ------------ 190,140 ------------ Electric Utilities -- 6.8% 4,653 Allegheny Energy, Inc. 119,954 722 ALLETE, Inc. 26,649 2,508 American Electric Power Co., Inc. 89,485 1,568 Central Vermont Public Service Corp. 33,665 2,612 Cleco Corp. 81,651 1,819 DPL, Inc. 47,621 See Notes to Financial Statements Page 83 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Electric Utilities (Continued) 3,702 Duke Energy Corp. $ 66,192 2,922 Edison International 106,010 977 El Paso Electric Co. (b) 26,330 1,274 Entergy Corp. 91,945 2,167 Exelon Corp. 92,119 2,437 FirstEnergy Corp. 95,335 4,144 Great Plains Energy, Inc. 81,554 1,368 Hawaiian Electric Industries, Inc. 34,063 1,686 IDACORP, Inc. 63,006 1,736 NextEra Energy, Inc. 92,807 1,415 Northeast Utilities 46,582 5,720 NV Energy, Inc. 82,196 3,613 Pepco Holdings, Inc. 67,093 2,177 Pinnacle West Capital Corp. 88,626 4,788 PNM Resources, Inc. 62,388 1,714 PPL Corp. 44,204 1,516 Progress Energy, Inc. 68,099 1,180 Southern Co. 44,392 687 UIL Holdings Corp. 20,741 750 Unisource Energy Corp. 26,857 3,194 Westar Energy, Inc. 81,447 ------------ 1,781,011 ------------ Electrical Equipment -- 0.4% 672 AZZ, Inc. 26,941 412 Brady Corp., Class A 13,493 818 Powell Industries, Inc. (b) 31,010 700 Regal-Beloit Corp. 46,718 ------------ 118,162 ------------ Electronic Equipment, Instruments & Components -- 3.1% 4,777 Agilysys, Inc. (b) 27,372 1,820 Arrow Electronics, Inc. (b) 68,796 1,887 Avnet, Inc. (b) 67,215 1,888 Benchmark Electronics, Inc. (b) 35,853 1,540 Brightpoint, Inc. (b) 13,975 1,001 Checkpoint Systems, Inc. (b) 20,691 5,838 Corning, Inc. 129,662 2,431 CTS Corp. 27,567 4,210 Ingram Micro, Inc., Class A (b) 83,105 2,605 Insight Enterprises, Inc. (b) 36,262 562 Itron, Inc. (b) 32,607 518 Methode Electronics, Inc. 6,123 2,902 Molex, Inc. 75,887 686 Park Electrochemical Corp. 20,896 869 Plexus Corp. (b) 23,498 755 RadiSys Corp. (b) 6,387 422 ScanSource, Inc. (b) 15,281 1,099 SYNNEX Corp. (b) 36,696 1,826 Tech Data Corp. (b) 85,658 ------------ 813,531 ------------ Shares Description Value ----------------------------------------------------------- Energy Equipment & Services -- 2.8% 724 Bristow Group, Inc. (b) $ 37,279 2,603 Exterran Holdings, Inc. (b) 64,580 730 Gulf Island Fabrication, Inc. 19,768 2,568 Helix Energy Solutions Group, Inc. (b) 31,843 1,861 Helmerich & Payne, Inc. 109,296 1,642 Hornbeck Offshore Services, Inc. (b) 38,981 1,923 Nabors Industries Ltd. (b) 46,921 1,446 Patterson-UTI Energy, Inc. 33,750 2,335 Pioneer Drilling Co. (b) 20,688 472 Pride International, Inc. (b) 15,340 2,585 Rowan Cos., Inc. (b) 88,614 339 SEACOR Holdings, Inc. 35,829 2,266 TETRA Technologies, Inc. (b) 25,719 1,493 Tidewater, Inc. 88,819 1,729 Unit Corp. (b) 88,525 ------------ 745,952 ------------ Food & Staples Retailing -- 1.6% 740 Andersons (The), Inc. 28,697 651 BJ's Wholesale Club, Inc. (b) 28,605 316 Casey's General Stores, Inc. 13,427 2,595 CVS Caremark Corp. 88,749 2,949 Kroger (The) Co. 63,109 1,692 Ruddick Corp. 57,020 1,587 Spartan Stores, Inc. 22,996 748 Sysco Corp. 21,797 1,158 Walgreen Co. 46,829 837 Wal-Mart Stores, Inc. 46,930 ------------ 418,159 ------------ Food Products -- 3.0% 3,750 Archer-Daniels-Midland Co. 122,513 1,086 Cal-Maine Foods, Inc. 30,799 632 Campbell Soup Co. 21,576 1,998 ConAgra Foods, Inc. 44,615 10,207 Dean Foods Co. (b) 103,601 1,158 Flowers Foods, Inc. 29,216 618 General Mills, Inc. 21,494 426 J & J Snack Foods Corp. 18,092 1,004 J.M. Smucker (The) Co. 62,409 545 Lancaster Colony Corp. 30,286 719 Ralcorp Holdings, Inc. (b) 44,003 876 Sanderson Farms, Inc. 36,012 1,271 Seneca Foods Corp., Class A (b) 35,334 3,895 Smithfield Foods, Inc. (b) 77,549 574 Snyders-Lance, Inc. 11,905 6,550 Tyson Foods, Inc., Class A 107,748 ------------ 797,152 ------------ Gas Utilities -- 1.9% 1,739 AGL Resources, Inc. 63,821 1,998 Atmos Energy Corp. 65,135 1,665 Energen Corp. 93,074 563 Laclede Group (The), Inc. 21,394 156 New Jersey Resources Corp. 6,546 Page 84 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Gas Utilities (Continued) 904 Nicor, Inc. $ 45,625 289 Northwest Natural Gas Co. 12,878 396 ONEOK, Inc. 23,320 736 Piedmont Natural Gas Co., Inc. 20,652 1,790 Questar Corp. 31,200 733 Southwest Gas Corp. 27,297 1,481 UGI Corp. 46,429 1,307 WGL Holdings, Inc. 47,130 ------------ 504,501 ------------ Health Care Equipment & Supplies -- 1.6% 136 Analogic Corp. 6,946 509 CONMED Corp. (b) 13,290 1,240 CryoLife, Inc. (b) 6,287 643 DENTSPLY International, Inc. 22,814 852 Greatbatch, Inc. (b) 20,065 737 ICU Medical, Inc. (b) 28,787 1,572 Immucor, Inc. (b) 31,078 446 Invacare Corp. 12,327 1,778 Medtronic, Inc. 68,133 425 Merit Medical Systems, Inc. (b) 6,277 474 Natus Medical, Inc. (b) 7,138 2,907 Symmetry Medical, Inc. (b) 27,820 869 Teleflex, Inc. 49,811 499 West Pharmaceutical Services, Inc. 19,955 1,681 Zimmer Holdings, Inc. (b) 99,448 ------------ 420,176 ------------ Health Care Providers & Services -- 5.4% 3,697 Aetna, Inc. 121,779 1,023 Amedisys, Inc. (b) 34,874 781 AMERIGROUP Corp. (b) 40,901 1,637 AmSurg Corp. (b) 34,492 574 Cardinal Health, Inc. 23,827 1,061 Centene Corp. (b) 29,411 1,251 Community Health Systems, Inc. (b) 43,935 4,272 Coventry Health Care, Inc. (b) 128,032 1,587 Cross Country Healthcare, Inc. (b) 11,427 1,011 Gentiva Health Services, Inc. (b) 23,273 317 Hanger Orthopedic Group, Inc. (b) 6,514 3,072 Healthways, Inc. (b) 36,772 508 Henry Schein, Inc. (b) 33,355 2,060 Humana, Inc. (b) 119,418 4,375 Kindred Healthcare, Inc. (b) 81,856 896 LHC Group, Inc. (b) 23,834 2,187 LifePoint Hospitals, Inc. (b) 76,982 725 Magellan Health Services, Inc. (b) 35,097 312 McKesson Corp. 23,453 739 Molina Healthcare, Inc. (b) 22,658 1,059 Owens & Minor, Inc. 31,272 2,994 PharMerica Corp. (b) 33,862 297 PSS World Medical, Inc. (b) 7,078 1,222 Quest Diagnostics, Inc. 69,593 Shares Description Value ----------------------------------------------------------- Health Care Providers & Services (Continued) 1,447 RehabCare Group, Inc. (b) $ 35,538 3,123 UnitedHealth Group, Inc. 128,199 1,338 VCA Antech, Inc. (b) 30,667 1,984 WellPoint, Inc. (b) 123,246 ------------ 1,411,345 ------------ Hotels, Restaurants & Leisure -- 1.7% 2,438 Bob Evans Farms, Inc. 76,748 5,881 Boyd Gaming Corp. (b) 63,750 1,787 International Speedway Corp., Class A 51,698 1,273 Jack in the Box, Inc. (b) 27,930 2,027 Marcus (The) Corp. 24,020 1,646 Monarch Casino & Resort, Inc. (b) 17,843 4,819 Multimedia Games, Inc. (b) 25,685 1,867 O'Charley's, Inc. (b) 12,920 743 Papa John's International, Inc. (b) 21,324 1,253 Red Robin Gourmet Burgers, Inc. (b) 25,862 2,059 Ruby Tuesday, Inc. (b) 27,755 4,443 Ruth's Hospitality Group, Inc. (b) 20,704 1,565 Scientific Games Corp., Class A (b) 16,151 6,747 Wendy's/Arby's Group, Inc., Class A 32,588 ------------ 444,978 ------------ Household Durables -- 1.8% 3,626 American Greetings Corp., Class A 78,793 994 Blyth, Inc. 33,418 1,842 D.R. Horton, Inc. 22,822 1,153 Helen of Troy Ltd. (b) 32,365 2,981 La-Z-Boy, Inc. (b) 24,802 1,982 Leggett & Platt, Inc. 44,654 1,083 M.D.C. Holdings, Inc. 33,476 927 Meritage Homes Corp. (b) 21,284 824 Mohawk Industries, Inc. (b) 45,773 23 NVR, Inc. (b) 17,595 7,454 Standard Pacific Corp. (b) 32,798 1,016 Whirlpool Corp. 86,868 ------------ 474,648 ------------ Household Products -- 0.5% 3,470 Central Garden & Pet Co., Class A (b) 32,895 226 Church & Dwight Co., Inc. 15,551 428 Energizer Holdings, Inc. (b) 31,133 349 Kimberly-Clark Corp. 22,591 342 Procter & Gamble (The) Co. 21,590 167 WD-40 Co. 6,575 ------------ 130,335 ------------ Independent Power Producers & Energy Traders -- 1.2% 5,414 AES (The) Corp. (b) 67,134 3,682 Constellation Energy Group, Inc. 118,744 5,772 NRG Energy, Inc. (b) 119,769 ------------ 305,647 ------------ See Notes to Financial Statements Page 85 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Industrial Conglomerates -- 0.9% 523 3M Co. $ 45,982 784 Carlisle Cos., Inc. 29,565 1,202 General Electric Co. 24,208 899 Standex International Corp. 29,982 1,388 Tredegar Corp. 25,969 1,591 Tyco International Ltd. 71,325 ------------ 227,031 ------------ Insurance -- 8.2% 1,812 ACE Ltd. 111,601 2,489 American Financial Group, Inc. 80,967 1,537 AMERISAFE, Inc. (b) 27,374 1,712 Assurant, Inc. 67,162 274 Berkshire Hathaway, Inc., Class B (b) 22,400 651 Brown & Brown, Inc. 16,119 1,513 Chubb (The) Corp. 87,648 2,081 Cincinnati Financial Corp. 66,675 713 Delphi Financial Group, Inc., Class A 20,520 769 Employers Holdings, Inc. 12,912 735 Everest Re Group Ltd. 61,946 5,874 Fidelity National Financial, Inc., Class A 79,005 4,173 First American Financial Corp. 64,723 667 Hanover Insurance Group, Inc. 31,549 3,406 Hartford Financial Services Group (The), Inc. 94,619 2,154 HCC Insurance Holdings, Inc. 65,223 1,491 Horace Mann Educators Corp. 25,764 555 Infinity Property & Casualty Corp. 33,156 1,622 Lincoln National Corp. 46,778 565 Loews Corp. 22,628 1,449 Mercury General Corp. 61,510 495 MetLife, Inc. 22,656 2,007 National Financial Partners Corp. (b) 25,449 409 Navigators Group (The), Inc. (b) 20,016 1,354 Presidential Life Corp. 12,836 566 ProAssurance Corp. (b) 33,207 2,270 Progressive (The) Corp. 44,969 2,340 Protective Life Corp. 64,514 1,537 Prudential Financial, Inc. 94,541 1,161 Reinsurance Group of America, Inc. 66,827 652 RLI Corp. 35,123 565 Safety Insurance Group, Inc. 26,888 1,482 Selective Insurance Group, Inc. 26,350 1,381 StanCorp Financial Group, Inc. 61,606 2,332 Stewart Information Services Corp. 26,608 1,104 Torchmark Corp. 68,779 1,340 Tower Group, Inc. 34,894 1,208 Transatlantic Holdings, Inc. 62,152 2,025 Travelers (The) Cos., Inc. 113,927 922 United Fire & Casualty Co. 18,482 2,540 Unitrin, Inc. 68,351 2,722 Unum Group 67,887 2,277 W. R. Berkley Corp. 64,325 ------------ 2,160,666 ------------ Shares Description Value ----------------------------------------------------------- Internet & Catalog Retail -- 0.0% 320 Nutrisystem, Inc. $ 6,067 ------------ Internet Software & Services -- 0.5% 1,620 InfoSpace, Inc. (b) 13,252 5,195 United Online, Inc. 36,729 2,917 ValueClick, Inc. (b) 40,867 2,713 Yahoo!, Inc. (b) 43,733 ------------ 134,581 ------------ IT Services -- 2.9% 2,726 Acxiom Corp. (b) 46,969 1,421 Broadridge Financial Solutions, Inc. 32,527 504 CACI International, Inc., Class A (b) 27,967 2,274 Computer Sciences Corp. 121,181 6,102 Convergys Corp. (b) 86,892 1,406 DST Systems, Inc. 66,869 802 Fidelity National Information Services, Inc. 24,405 375 Fiserv, Inc. (b) 23,164 1,944 ManTech International Corp., Class A (b) 78,159 895 NCI, Inc., Class A (b) 18,795 5,689 SAIC, Inc. (b) 94,267 1,326 StarTek, Inc. (b) 7,293 999 TeleTech Holdings, Inc. (b) 21,389 5,867 Total System Services, Inc. 102,144 ------------ 752,021 ------------ Leisure Equipment & Products -- 0.6% 1,405 Arctic Cat, Inc. (b) 22,508 1,666 Callaway Golf Co. 12,245 2,908 Eastman Kodak Co. (b) 10,643 1,882 JAKKS Pacific, Inc. (b) 32,540 2,593 Mattel, Inc. 61,402 945 RC2 Corp. (b) 19,203 ------------ 158,541 ------------ Life Sciences Tools & Services -- 0.5% 1,337 Affymetrix, Inc. (b) 6,485 300 Bio-Rad Laboratories, Inc., Class A (b) 32,664 3,979 Cambrex Corp. (b) 18,144 3,148 Kendle International, Inc. (b) 35,761 815 Thermo Fisher Scientific, Inc. (b) 46,675 ------------ 139,729 ------------ Machinery -- 1.5% 253 Actuant Corp., Class A 7,016 568 Albany International Corp., Class A 12,808 152 Badger Meter, Inc. 6,231 651 Barnes Group, Inc. 12,903 683 Briggs & Stratton Corp. 13,640 157 CLARCOR, Inc. 6,779 379 Crane Co. 16,831 355 ESCO Technologies, Inc. 12,879 Page 86 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Machinery (Continued) 1,960 Federal Signal Corp. $ 13,642 2,201 Harsco Corp. 71,026 330 Kaydon Corp. 12,774 2,556 Lydall, Inc. (b) 20,448 411 Mueller Industries, Inc. 13,440 2,280 Oshkosh Corp. (b) 86,435 854 Pentair, Inc. 30,889 1,757 Trinity Industries, Inc. 49,003 367 Watts Water Technologies, Inc., Class A 13,201 ------------ 399,945 ------------ Marine -- 0.2% 389 Alexander & Baldwin, Inc. 15,607 708 Kirby Corp. (b) 33,092 ------------ 48,699 ------------ Media -- 2.7% 1,154 CBS Corp., Class B 22,884 2,649 E.W. Scripps (The) Co., Class A (b) 24,053 7,474 Gannett Co., Inc. 110,167 3,661 Harte-Hanks, Inc. 45,653 344 John Wiley & Sons, Inc., Class A 15,807 604 McGraw-Hill (The) Cos., Inc. 23,544 1,302 Meredith Corp. 43,877 4,771 New York Times (The) Co., Class A (b) 48,235 4,529 News Corp., Class A 68,025 2,720 Scholastic Corp. 80,865 2,050 Time Warner, Inc. 64,472 1,203 Walt Disney (The) Co. 46,761 257 Washington Post (The) Co., Class B 110,086 ------------ 704,429 ------------ Metals & Mining -- 0.4% 434 AMCOL International Corp. 12,985 268 Kaiser Aluminum Corp. 12,786 915 Reliance Steel & Aluminum Co. 47,845 852 Steel Dynamics, Inc. 15,507 847 Worthington Industries, Inc. 16,093 ------------ 105,216 ------------ Multiline Retail -- 1.7% 3,911 99 Cents Only Stores (b) 58,274 2,962 Big Lots, Inc. (b) 94,162 1,954 Fred's, Inc., Class A 26,242 1,396 J. C. Penney Co., Inc. 44,770 1,213 Kohl's Corp. (b) 61,596 1,457 Saks, Inc. (b) 17,076 894 Sears Holdings Corp. (b) 67,381 750 Target Corp. 41,123 6,494 Tuesday Morning Corp. (b) 32,145 ------------ 442,769 ------------ Multi-Utilities -- 5.9% 1,695 Alliant Energy Corp. 62,986 Shares Description Value ----------------------------------------------------------- Multi-Utilities (Continued) 2,339 Ameren Corp. $ 66,357 1,523 Avista Corp. 34,496 2,078 Black Hills Corp. 64,439 2,870 CenterPoint Energy, Inc. 46,351 275 CH Energy Group, Inc. 13,368 4,851 CMS Energy Corp. 94,595 1,330 Consolidated Edison, Inc. 66,380 2,112 Dominion Resources, Inc. 91,956 2,489 DTE Energy Co. 115,141 930 Integrys Energy Group, Inc. 44,259 3,075 MDU Resources Group, Inc. 65,282 5,121 NiSource, Inc. 95,353 933 NorthWestern Corp. 26,348 739 NSTAR 32,058 1,027 OGE Energy Corp. 47,129 1,378 PG&E Corp. 63,774 3,546 Public Service Enterprise Group, Inc. 114,997 1,624 SCANA Corp. 68,646 1,256 Sempra Energy 65,400 3,704 TECO Energy, Inc. 68,191 2,456 Vectren Corp. 65,059 766 Wisconsin Energy Corp. 46,182 3,831 Xcel Energy, Inc. 90,297 ------------ 1,549,044 ------------ Office Electronics -- 0.2% 3,916 Xerox Corp. 41,588 ------------ Oil, Gas & Consumable Fuels -- 6.3% 946 Apache Corp. 112,915 581 Cabot Oil & Gas Corp. 24,187 3,482 Chesapeake Energy Corp. 102,823 1,236 Chevron Corp. 117,333 1,904 Comstock Resources, Inc. (b) 52,741 1,656 ConocoPhillips 118,338 1,437 Devon Energy Corp. 127,448 3,279 El Paso Corp. 52,070 240 EOG Resources, Inc. 25,534 1,234 Exxon Mobil Corp. 99,559 1,474 Hess Corp. 123,993 3,046 Marathon Oil Corp. 139,202 672 Occidental Petroleum Corp. 64,969 440 Overseas Shipholding Group, Inc. 14,626 1,599 Penn Virginia Corp. 27,791 893 PetroQuest Energy, Inc. (b) 7,001 1,940 Plains Exploration & Production Co. (b) 68,676 2,485 QEP Resources, Inc. 100,990 2,590 Southern Union Co. 69,205 880 Spectra Energy Corp. 23,082 1,119 Sunoco, Inc. 47,502 1,185 Tesoro Corp. (b) 22,811 3,903 Valero Energy Corp. 98,980 186 World Fuel Services Corp. 6,982 ------------ 1,648,758 ------------ See Notes to Financial Statements Page 87 First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Paper & Forest Products -- 0.6% 343 Clearwater Paper Corp. (b) $ 27,125 1,656 International Paper Co. 47,825 840 MeadWestvaco Corp. 24,049 1,366 Neenah Paper, Inc. 26,309 3,123 Wausau Paper Corp. 26,764 ------------ 152,072 ------------ Pharmaceuticals -- 1.2% 1,704 Bristol-Myers Squibb Co. 42,907 2,062 Forest Laboratories, Inc. (b) 66,520 1,066 Johnson & Johnson 63,715 2,504 Merck & Co., Inc. 83,057 2,576 Pfizer, Inc. 46,935 ------------ 303,134 ------------ Professional Services -- 0.6% 1,267 Equifax, Inc. 45,257 836 FTI Consulting, Inc. (b) 30,489 358 Kelly Services, Inc., Class A (b) 7,044 6,776 Navigant Consulting, Inc. (b) 69,047 825 On Assignment, Inc. (b) 6,517 689 SFN Group, Inc. (b) 6,670 ------------ 165,024 ------------ Real Estate Investment Trusts -- 0.7% 145 Entertainment Properties Trust 6,674 676 Hospitality Properties Trust 16,812 239 LTC Properties, Inc. 6,534 593 Rayonier, Inc. 35,112 710 Senior Housing Properties Trust 15,918 4,766 Weyerhaeuser Co. 110,476 ------------ 191,526 ------------ Road & Rail -- 0.7% 839 Heartland Express, Inc. 13,445 708 Knight Transportation, Inc. 13,495 718 Norfolk Southern Corp. 43,934 1,253 Ryder System, Inc. 60,244 2,069 Werner Enterprises, Inc. 51,001 ------------ 182,119 ------------ Semiconductors & Semiconductor Equipment -- 2.1% 1,508 Advanced Energy Industries, Inc. (b) 23,291 1,349 ATMI, Inc. (b) 27,789 3,780 Brooks Automation, Inc. (b) 44,377 496 Cabot Microelectronics Corp. (b) 22,375 2,340 Integrated Device Technology, Inc. (b) 14,929 5,363 Intel Corp. 115,090 1,400 MKS Instruments, Inc. (b) 40,194 3,279 National Semiconductor Corp. 49,710 3,123 Pericom Semiconductor Corp. (b) 31,324 2,500 Rudolph Technologies, Inc. (b) 25,150 278 Supertex, Inc. (b) 6,369 Shares Description Value ----------------------------------------------------------- Semiconductors & Semiconductor Equipment (Continued) 8,033 Teradyne, Inc. (b) $ 133,990 929 Tessera Technologies, Inc. (b) 16,090 ------------ 550,678 ------------ Software -- 0.9% 899 CA, Inc. 21,396 979 EPIQ Systems, Inc. 12,580 2,001 Fair Isaac Corp. 50,786 19,052 Novell, Inc. (b) 114,693 1,737 Synopsys, Inc. (b) 47,125 ------------ 246,580 ------------ Specialty Retail -- 5.0% 3,941 Aaron's, Inc. 75,628 4,261 American Eagle Outfitters, Inc. 61,614 3,042 Ascena Retail Group, Inc. (b) 82,469 4,406 Barnes & Noble, Inc. 69,395 2,631 Best Buy Co., Inc. 89,454 1,347 Big 5 Sporting Goods Corp. 17,080 1,930 Brown Shoe Co., Inc. 24,453 751 Cato (The) Corp., Class A 18,354 542 Children's Place Retail Stores (The), Inc. (b) 22,704 4,373 Christopher & Banks Corp. 24,970 6,490 Coldwater Creek, Inc. (b) 18,886 3,809 Collective Brands, Inc. (b) 77,551 1,564 Finish Line (The), Inc., Class A 24,070 1,589 Foot Locker, Inc. 28,380 4,929 GameStop Corp., Class A (b) 103,854 4,075 Gap (The), Inc. 78,525 322 Group 1 Automotive, Inc. 12,184 2,072 Haverty Furniture Cos., Inc. 24,947 627 Home Depot (The), Inc. 23,055 3,281 Hot Topic, Inc. 17,816 941 Lithia Motors, Inc., Class A 12,704 2,629 Lowe's Cos., Inc. 65,199 719 MarineMax, Inc. (b) 6,500 1,077 Men's Wearhouse (The), Inc. 28,228 2,886 Office Depot, Inc. (b) 15,151 380 OfficeMax, Inc. (b) 6,107 1,532 Pep Boys-Manny, Moe & Jack (The) 21,356 6,100 RadioShack Corp. 92,415 2,489 Rent-A-Center, Inc. 74,023 1,554 Sonic Automotive, Inc., Class A 19,347 1,977 Stage Stores, Inc. 30,644 965 Staples, Inc. 21,529 3,707 Stein Mart, Inc. 29,044 ------------ 1,317,636 ------------ Textiles, Apparel & Luxury Goods -- 0.4% 614 Hanesbrands, Inc. (b) 14,134 1,326 Quiksilver, Inc. (b) 5,927 1,714 Skechers U.S.A., Inc., Class A (b) 35,257 523 VF Corp. 43,263 422 Wolverine World Wide, Inc. 13,441 ------------ 112,022 ------------ Page 88 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Thrifts & Mortgage Finance -- 0.4% 1,406 Bank Mutual Corp. $ 6,228 620 Brookline Bancorp, Inc. 6,715 461 Dime Community Bancshares 6,952 1,115 First Niagara Financial Group, Inc. 15,476 1,725 Hudson City Bancorp, Inc. 18,940 827 New York Community Bancorp, Inc. 15,151 889 Provident Financial Services, Inc. 13,024 921 Washington Federal, Inc. 15,924 ------------ 98,410 ------------ Tobacco -- 0.5% 8,087 Alliance One International, Inc. (b) 30,973 268 Lorillard, Inc. 20,164 1,974 Universal Corp. 74,795 ------------ 125,932 ------------ Trading Companies & Distributors -- 0.3% 414 Applied Industrial Technologies, Inc. 13,107 1,325 GATX Corp. 44,056 231 Kaman Corp. 6,800 540 Lawson Products, Inc. 12,620 ------------ 76,583 ------------ Water Utilities -- 0.1% 390 American States Water Co. 13,260 ------------ Wireless Telecommunication Services -- 0.8% 706 NTELOS Holdings Corp. 14,233 21,331 Sprint Nextel Corp. (b) 96,416 2,199 Telephone and Data Systems, Inc. 78,614 1,929 USA Mobility, Inc. 32,948 ------------ 222,211 ------------ Total Common Stocks -- 100.0% 26,262,701 (Cost $24,314,556) Money Market Fund -- 0.1% 26,607 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 26,607 (Cost $26,607) ------------ Total Investments -- 100.1% 26,289,308 (Cost $24,341,163) (d) Net Other Assets and Liabilities -- (0.1)% (16,011) ------------ Net Assets -- 100.0% $ 26,273,297 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,263,585 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $315,440. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $26,262,701 $ -- $ -- Money Market Fund 26,607 -- -- ------------------------------------ Total Investments $26,289,308 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 89 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks -- 100.0% Aerospace & Defense -- 1.3% 224 Aerovironment, Inc. (b) $ 6,317 819 Applied Signal Technology, Inc. 31,130 727 BE Aerospace, Inc. (b) 28,128 384 Cubic Corp. 18,720 371 Goodrich Corp. 33,620 948 Honeywell International, Inc. 53,098 95 National Presto Industries, Inc. 12,162 347 Triumph Group, Inc. 33,322 208 United Technologies Corp. 16,910 ------------ 233,407 ------------ Air Freight & Logistics -- 1.1% 1,048 C.H. Robinson Worldwide, Inc. 80,790 1,539 Expeditors International of Washington, Inc. 77,981 515 Hub Group, Inc., Class A (b) 17,912 450 United Parcel Service, Inc., Class B 32,229 ------------ 208,912 ------------ Airlines -- 0.3% 949 Alaska Air Group, Inc. (b) 56,219 122 Allegiant Travel Co. 5,678 ------------ 61,897 ------------ Auto Components -- 0.9% 930 BorgWarner, Inc. (b) 62,682 2,275 Gentex Corp. 72,959 1,461 Superior Industries International, Inc. 29,220 ------------ 164,861 ------------ Automobiles -- 0.7% 5,004 Ford Motor Co. (b) 79,814 1,454 Harley-Davidson, Inc. 57,651 ------------ 137,465 ------------ Beverages -- 0.4% 259 Boston Beer (The) Co., Inc., Class A (b) 23,313 235 Brown-Forman Corp., Class B 15,592 514 Hansen Natural Corp. (b) 29,113 ------------ 68,018 ------------ Biotechnology -- 0.5% 2,114 ArQule, Inc. (b) 12,959 487 Biogen Idec, Inc. (b) 31,884 1,058 Emergent Biosolutions, Inc. (b) 22,472 378 Regeneron Pharmaceuticals, Inc. (b) 12,731 204 United Therapeutics Corp. (b) 13,868 ------------ 93,914 ------------ Building Products -- 0.2% 274 Lennox International, Inc. 13,464 2,217 NCI Building Systems, Inc. (b) 29,420 ------------ 42,884 ------------ Shares Description Value ----------------------------------------------------------- Capital Markets -- 2.1% 542 Affiliated Managers Group, Inc. (b) $ 55,192 1,459 Ameriprise Financial, Inc. 89,947 1,359 Invesco Ltd. 33,622 2,521 Janus Capital Group, Inc. 32,546 1,010 Jefferies Group, Inc. 25,260 293 Stifel Financial Corp. (b) 18,799 1,014 T. Rowe Price Group, Inc. 66,843 1,524 Waddell & Reed Financial, Inc., Class A 55,047 ------------ 377,256 ------------ Chemicals -- 4.1% 359 Air Products and Chemicals, Inc. 31,323 965 Albemarle Corp. 54,194 367 Balchem Corp. 12,349 483 CF Industries Holdings, Inc. 65,224 1,312 E.I. du Pont de Nemours & Co. 66,492 1,000 Eastman Chemical Co. 92,860 630 FMC Corp. 47,918 906 International Flavors & Fragrances, Inc. 51,687 1,082 Intrepid Potash, Inc. (b) 39,103 1,023 LSB Industries, Inc. (b) 30,813 250 Lubrizol (The) Corp. 26,865 217 NewMarket Corp. 27,529 2,484 PolyOne Corp. (b) 32,665 777 PPG Industries, Inc. 65,486 172 Praxair, Inc. 16,003 744 Quaker Chemical Corp. 28,555 390 Sherwin-Williams (The) Co. 33,045 491 Sigma-Aldrich Corp. 31,252 ------------ 753,363 ------------ Commercial Banks -- 1.1% 671 First Financial Bancorp 11,340 7,338 Huntington Bancshares, Inc. 53,127 1,847 KeyCorp 16,438 3,091 National Penn Bancshares, Inc. 25,223 363 Signature Bank (b) 18,963 761 SVB Financial Group (b) 39,930 1,055 Wells Fargo & Co. 34,203 ------------ 199,224 ------------ Commercial Services & Supplies -- 1.8% 1,191 Avery Dennison Corp. 50,129 640 Clean Harbors, Inc. (b) 57,626 126 Consolidated Graphics, Inc. (b) 6,306 1,752 Deluxe Corp. 42,836 372 Healthcare Services Group, Inc. 5,893 1,594 Herman Miller, Inc. 38,463 1,159 Interface, Inc., Class A 18,834 2,722 Rollins, Inc. 51,691 402 Stericycle, Inc. (b) 31,553 1,225 Sykes Enterprises, Inc. (b) 23,863 ------------ 327,194 ------------ Page 90 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Communications Equipment -- 3.1% 358 ADTRAN, Inc. $ 14,724 201 Blue Coat Systems, Inc. (b) 5,791 3,193 Ciena Corp. (b) 70,342 645 F5 Networks, Inc. (b) 69,905 2,118 Harmonic, Inc. (b) 17,876 5,803 JDS Uniphase Corp. (b) 98,477 1,770 Juniper Networks, Inc. (b) 65,702 921 NETGEAR, Inc. (b) 31,917 1,306 Network Equipment Technologies, Inc. (b) 6,452 723 Plantronics, Inc. 25,594 1,379 Polycom, Inc. (b) 60,469 1,911 Riverbed Technology, Inc. (b) 68,548 1,750 Symmetricom, Inc. (b) 10,867 1,338 Tollgrade Communications, Inc. (b) 12,417 280 ViaSat, Inc. (b) 12,151 ------------ 571,232 ------------ Computers & Peripherals -- 1.7% 155 Apple, Inc. (b) 52,595 899 Compellent Technologies, Inc. (b) 24,929 1,428 EMC Corp. (b) 35,543 1,190 NetApp, Inc. (b) 65,129 1,300 Novatel Wireless, Inc. (b) 9,373 1,686 SanDisk Corp. (b) 76,494 380 Stratasys, Inc. (b) 12,551 965 Western Digital Corp. (b) 32,829 ------------ 309,443 ------------ Construction & Engineering -- 0.5% 1,267 Fluor Corp. 87,664 ------------ Consumer Finance -- 0.3% 1,144 EZCORP, Inc., Class A (b) 30,773 400 First Cash Financial Services, Inc. (b) 13,196 342 World Acceptance Corp. (b) 19,207 ------------ 63,176 ------------ Containers & Packaging -- 0.4% 961 Ball Corp. 68,356 ------------ Distributors -- 0.1% 570 LKQ Corp. (b) 13,771 ------------ Diversified Consumer Services -- 0.5% 549 Coinstar, Inc. (b) 22,723 100 Pre-Paid Legal Services, Inc. (b) 6,584 1,494 Sotheby's 60,208 ------------ 89,515 ------------ Diversified Financial Services -- 0.4% 1,121 Leucadia National Corp. 36,455 Shares Description Value ----------------------------------------------------------- Diversified Financial Services (Continued) 691 MSCI, Inc., Class A (b) $ 23,653 164 Portfolio Recovery Associates, Inc. (b) 11,831 ------------ 71,939 ------------ Diversified Telecommunication Services -- 1.2% 396 Cbeyond, Inc. (b) 5,801 6,721 Frontier Communications Corp. 61,632 2,451 General Communication, Inc., Class A (b) 29,682 8,593 Qwest Communications International, Inc. 61,268 457 Verizon Communications, Inc. 16,278 3,617 Windstream Corp. 46,334 ------------ 220,995 ------------ Electrical Equipment -- 2.5% 932 Acuity Brands, Inc. 51,446 1,370 AMETEK, Inc. 55,869 843 Belden, Inc. 29,303 571 Emerson Electric Co. 33,620 670 Hubbell, Inc., Class B 41,031 535 II-VI, Inc. (b) 26,418 912 Rockwell Automation, Inc. 73,881 659 Roper Industries, Inc. 51,198 834 Thomas & Betts Corp. (b) 42,859 757 Vicor Corp. 11,151 1,075 Woodward Governor Co. 36,254 ------------ 453,030 ------------ Electronic Equipment, Instruments & Components -- 2.6% 308 Amphenol Corp., Class A 17,045 618 Cognex Corp. 19,368 1,559 Daktronics, Inc. 23,806 253 DTS, Inc. (b) 11,339 1,548 Electro Scientific Industries, Inc. (b) 25,805 756 FARO Technologies, Inc. (b) 22,922 385 Littelfuse, Inc. 19,743 4,802 LoJack Corp. (b) 30,493 1,351 Mercury Computer Systems, Inc. (b) 25,507 162 MTS Systems Corp. 6,061 343 National Instruments Corp. 14,512 1,785 Newport Corp. (b) 31,327 165 OSI Systems, Inc. (b) 6,268 4,664 Pulse Electronics Corp. 23,833 875 Rofin-Sinar Technologies, Inc. (b) 34,212 474 Rogers Corp. (b) 20,278 673 Trimble Navigation Ltd. (b) 31,012 2,081 TTM Technologies, Inc. (b) 33,088 4,579 Vishay Intertechnology, Inc. (b) 75,554 ------------ 472,173 ------------ See Notes to Financial Statements Page 91 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Energy Equipment & Services -- 3.4% 347 Atwood Oceanics, Inc. (b) $ 14,026 1,470 Baker Hughes, Inc. 100,710 1,882 Basic Energy Services, Inc. (b) 34,365 993 Cameron International Corp. (b) 52,927 174 CARBO Ceramics, Inc. 20,038 518 Dril-Quip, Inc. (b) 39,948 567 FMC Technologies, Inc. (b) 53,298 1,603 Halliburton Co. 72,135 2,141 ION Geophysical Corp. (b) 20,361 198 Lufkin Industries, Inc. 13,210 750 National Oilwell Varco, Inc. 55,425 547 Oceaneering International, Inc. (b) 42,245 283 Oil States International, Inc. (b) 19,176 391 Schlumberger Ltd. 34,795 1,153 Superior Energy Services, Inc. (b) 40,493 ------------ 613,152 ------------ Food & Staples Retailing -- 0.6% 495 United Natural Foods, Inc. (b) 18,315 1,661 Whole Foods Market, Inc. 85,890 ------------ 104,205 ------------ Food Products -- 1.7% 261 Calavo Growers, Inc. 6,024 1,461 Corn Products International, Inc. 67,396 2,335 Darling International, Inc. (b) 31,639 466 Diamond Foods, Inc. 23,193 394 Green Mountain Coffee Roasters, Inc. (b) 13,231 459 Hain Celestial Group (The), Inc. (b) 12,223 1,276 Hormel Foods Corp. 63,034 519 Kraft Foods, Inc., Class A 15,866 351 McCormick & Co., Inc. 15,514 261 Mead Johnson Nutrition Co. 15,130 2,879 Sara Lee Corp. 48,857 118 TreeHouse Foods, Inc. (b) 5,646 ------------ 317,753 ------------ Gas Utilities -- 0.1% 198 National Fuel Gas Co. 13,531 ------------ Health Care Equipment & Supplies -- 1.9% 224 Abaxis, Inc. (b) 5,902 714 Beckman Coulter, Inc. 51,415 194 Becton, Dickinson & Co. 16,092 177 C. R. Bard, Inc. 16,700 531 Cantel Medical Corp. 11,305 322 Cooper (The) Cos., Inc. 18,464 401 Cyberonics, Inc. (b) 13,133 498 Edwards Lifesciences Corp. (b) 41,976 462 Gen-Probe, Inc. (b) 29,055 683 Hill-Rom Holdings, Inc. 27,641 690 Hologic, Inc. (b) 13,745 261 Integra LifeSciences Holdings (b) 12,105 Shares Description Value ----------------------------------------------------------- Health Care Equipment & Supplies (Continued) 606 Neogen Corp. (b) $ 21,792 873 Palomar Medical Technologies, Inc. (b) 12,973 473 Varian Medical Systems, Inc. (b) 31,961 487 Zoll Medical Corp. (b) 20,137 ------------ 344,396 ------------ Health Care Providers & Services -- 3.0% 551 Air Methods Corp. (b) 28,233 158 Almost Family, Inc. (b) 5,276 958 AmerisourceBergen Corp. 34,354 666 Catalyst Health Solutions, Inc. (b) 28,904 95 Chemed Corp. 5,912 445 CIGNA Corp. 18,699 375 CorVel Corp. (b) 18,930 1,247 Ensign Group (The), Inc. 30,127 1,210 Express Scripts, Inc. (b) 68,159 318 Genoptix, Inc. (b) 7,937 5,635 Health Management Associates, Inc., Class A (b) 51,278 935 Healthspring, Inc. (b) 28,415 93 HMS Holdings Corp. (b) 5,984 636 IPC Hospitalist (The) Co. (b) 23,615 187 Laboratory Corp. of America Holdings (b) 16,813 535 Medco Health Solutions, Inc. (b) 32,646 193 MEDNAX, Inc. (b) 12,767 392 MWI Veterinary Supply, Inc. (b) 24,367 12,559 Tenet Healthcare Corp. (b) 83,517 618 Universal Health Services, Inc., Class B 26,018 ------------ 551,951 ------------ Health Care Technology -- 0.1% 173 Cerner Corp. (b) 17,101 ------------ Hotels, Restaurants & Leisure -- 4.1% 60 Biglari Holdings, Inc. (b) 25,800 875 BJ's Restaurants, Inc. (b) 30,914 1,288 Brinker International, Inc. 30,307 1,419 Carnival Corp. 63,443 1,314 Cheesecake Factory (The), Inc. (b) 38,776 253 Chipotle Mexican Grill, Inc. (b) 55,387 225 Cracker Barrel Old Country Store, Inc. 11,583 353 Darden Restaurants, Inc. 16,630 501 DineEquity, Inc. (b) 25,842 374 Interval Leisure Group, Inc. (b) 5,860 316 Life Time Fitness, Inc. (b) 12,602 1,214 Marriott International, Inc., Class A 47,941 126 P.F. Chang's China Bistro, Inc. 5,801 399 Panera Bread Co., Class A (b) 38,128 144 Peet's Coffee & Tea, Inc. (b) 5,495 1,771 Pinnacle Entertainment, Inc. (b) 26,707 1,585 Shuffle Master, Inc. (b) 16,381 2,034 Starbucks Corp. 64,132 Page 92 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Hotels, Restaurants & Leisure (Continued) 830 Starwood Hotels & Resorts Worldwide, Inc. $ 48,945 1,057 Texas Roadhouse, Inc. (b) 17,567 1,683 Wyndham Worldwide Corp. 47,343 810 Wynn Resorts Ltd. 94,227 333 Yum! Brands, Inc. 15,571 ------------ 745,382 ------------ Household Durables -- 1.3% 1,815 Harman International Industries, Inc. (b) 78,626 2,122 Kid Brands, Inc. (b) 19,331 2,688 Lennar Corp., Class A 52,040 696 Skyline Corp. 13,983 753 Stanley Black & Decker, Inc. 54,728 640 Universal Electronics, Inc. (b) 16,851 ------------ 235,559 ------------ Insurance -- 0.2% 580 Aflac, Inc. 33,397 446 Arthur J. Gallagher & Co. 13,237 ------------ 46,634 ------------ Internet & Catalog Retail -- 1.3% 467 Amazon.com, Inc. (b) 79,222 105 Blue Nile, Inc. (b) 5,969 404 HSN, Inc. (b) 11,376 372 Netflix, Inc. (b) 79,638 163 priceline.com, Inc. (b) 69,849 ------------ 246,054 ------------ Internet Software & Services -- 1.1% 271 comScore, Inc. (b) 6,493 1,175 eBay, Inc. (b) 35,673 27 Google, Inc., Class A (b) 16,210 210 j2 Global Communications, Inc. (b) 5,796 430 Liquidity Services, Inc. (b) 6,136 559 LogMeIn, Inc. (b) 21,538 1,384 Monster Worldwide, Inc. (b) 23,044 1,452 Perficient, Inc. (b) 16,974 1,711 Rackspace Hosting, Inc. (b) 57,336 766 RightNow Technologies, Inc. (b) 19,862 ------------ 209,062 ------------ IT Services -- 1.3% 183 Alliance Data Systems Corp. (b) 12,946 893 Cognizant Technology Solutions Corp., Class A (b) 65,144 1,215 Gartner, Inc. (b) 43,035 920 iGATE Corp. 14,168 2,503 Integral Systems, Inc. (b) 30,512 922 Jack Henry & Associates, Inc. 27,254 92 MAXIMUS, Inc. 6,242 Shares Description Value ----------------------------------------------------------- IT Services (Continued) 397 Teradata Corp. (b) $ 17,067 394 Wright Express Corp. (b) 18,644 ------------ 235,012 ------------ Leisure Equipment & Products -- 0.7% 1,655 Brunswick Corp. 32,968 346 Hasbro, Inc. 15,255 861 Polaris Industries, Inc. 66,228 396 Sturm, Ruger & Co., Inc. 5,904 ------------ 120,355 ------------ Life Sciences Tools & Services -- 1.1% 2,028 Agilent Technologies, Inc. (b) 84,831 211 Dionex Corp. (b) 24,894 1,147 Enzo Biochem, Inc. (b) 5,689 295 Life Technologies Corp. (b) 16,016 267 Mettler-Toledo International, Inc. (b) 39,834 283 PAREXEL International Corp. (b) 6,568 1,267 PerkinElmer, Inc. 32,410 ------------ 210,242 ------------ Machinery -- 8.6% 1,326 AGCO Corp. (b) 67,228 751 Bucyrus International, Inc. 68,161 655 Cascade Corp. 30,831 699 Caterpillar, Inc. 67,810 587 CIRCOR International, Inc. 23,709 763 Cummins, Inc. 80,786 693 Danaher Corp. 31,920 1,012 Deere & Co. 91,991 922 Donaldson Co., Inc. 54,029 1,119 Dover Corp. 71,728 828 Eaton Corp. 89,391 747 EnPro Industries, Inc. (b) 31,008 138 Flowserve Corp. 17,249 1,362 Graco, Inc. 57,858 331 IDEX Corp. 13,128 612 Illinois Tool Works, Inc. 32,736 1,388 Ingersoll-Rand PLC 65,514 617 John Bean Technologies Corp. 11,137 463 Joy Global, Inc. 40,364 1,703 Kennametal, Inc. 69,142 413 Lincoln Electric Holdings, Inc. 27,968 417 Lindsay Corp. 27,138 731 Nordson Corp. 67,479 1,139 PACCAR, Inc. 64,342 1,016 Pall Corp. 56,297 974 Parker Hannifin Corp. 87,085 508 Robbins & Myers, Inc. 21,097 1,156 Snap-on, Inc. 65,464 377 SPX Corp. 29,549 1,409 Timken (The) Co. 66,251 200 Toro (The) Co. 12,164 145 Valmont Industries, Inc. 13,476 See Notes to Financial Statements Page 93 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Machinery (Continued) 246 Wabtec Corp. $ 13,333 ------------ 1,567,363 ------------ Media -- 2.1% 597 Arbitron, Inc. 24,889 1,932 Cablevision Systems Corp., Class A 65,398 2,295 Comcast Corp., Class A 52,211 410 DIRECTV, Class A (b) 17,380 4,746 Interpublic Group of Cos. (The), Inc. (b) 50,735 675 Lamar Advertising Co., Class A (b) 24,867 715 Omnicom Group, Inc. 32,089 631 Scripps Networks Interactive, Class A 29,341 991 Time Warner Cable, Inc. 67,220 414 Viacom, Inc., Class B 17,202 ------------ 381,332 ------------ Metals & Mining -- 2.2% 914 Allegheny Technologies, Inc. 59,584 803 Brush Engineered Materials, Inc. (b) 28,089 1,003 Carpenter Technology Corp. 41,273 798 Century Aluminum Co. (b) 11,866 1,076 Cliffs Natural Resources, Inc. 91,955 144 Compass Minerals International, Inc. 13,229 700 Freeport-McMoRan Copper & Gold, Inc. 76,125 1,438 United States Steel Corp. 82,930 ------------ 405,051 ------------ Multiline Retail -- 1.2% 959 Dollar Tree, Inc. (b) 48,506 1,315 Family Dollar Stores, Inc. 55,861 2,585 Macy's, Inc. 59,843 1,190 Nordstrom, Inc. 49,004 ------------ 213,214 ------------ Office Electronics -- 0.2% 1,062 Zebra Technologies Corp., Class A (b) 41,312 ------------ Oil, Gas & Consumable Fuels -- 5.5% 858 Anadarko Petroleum Corp. 66,135 1,916 Arch Coal, Inc. 65,623 655 Bill Barrett Corp. (b) 26,842 607 Cimarex Energy Co. 63,207 671 CONSOL Energy, Inc. 33,349 104 Contango Oil & Gas Co. (b) 6,032 2,641 Denbury Resources, Inc. (b) 53,744 708 Forest Oil Corp. (b) 27,470 1,434 Gulfport Energy Corp. (b) 34,330 940 Massey Energy Co. 59,088 1,127 Murphy Oil Corp. 74,720 1,165 Newfield Exploration Co. (b) 85,243 378 Noble Energy, Inc. 34,436 2,776 Patriot Coal Corp. (b) 72,648 1,022 Peabody Energy Corp. 64,815 Shares Description Value ----------------------------------------------------------- Oil, Gas & Consumable Fuels (Continued) 588 Petroleum Development Corp. (b) $ 26,760 967 Pioneer Natural Resources Co. 92,020 880 Quicksilver Resources, Inc. (b) 13,209 912 SM Energy Co. 56,690 814 Stone Energy Corp. (b) 18,926 634 Swift Energy Co. (b) 27,046 ------------ 1,002,333 ------------ Paper & Forest Products -- 0.5% 1,477 Buckeye Technologies, Inc. 37,161 221 Deltic Timber Corp. 13,258 2,027 KapStone Paper & Packaging Corp. (b) 34,520 ------------ 84,939 ------------ Personal Products -- 0.5% 350 Alberto-Culver Co. 13,038 1,041 Estee Lauder (The) Cos., Inc., Class A 83,800 ------------ 96,838 ------------ Pharmaceuticals -- 1.1% 1,129 Endo Pharmaceuticals Holdings, Inc. (b) 37,505 1,547 Mylan, Inc. (b) 35,828 472 Par Pharmaceutical Cos., Inc. (b) 16,860 263 Salix Pharmaceuticals Ltd. (b) 10,775 1,434 ViroPharma, Inc. (b) 23,518 1,267 Watson Pharmaceuticals, Inc. (b) 69,077 ------------ 193,563 ------------ Professional Services -- 0.7% 207 Administaff, Inc. 5,862 715 Corporate Executive Board (The) Co. 27,785 1,303 Dolan (The) Co. (b) 17,864 535 Robert Half International, Inc. 16,778 515 Towers Watson & Co., Class A 28,083 1,379 TrueBlue, Inc. (b) 23,526 ------------ 119,898 ------------ Real Estate Investment Trusts -- 1.2% 409 AMB Property Corp. 13,722 1,266 Apartment Investment & Management Co., Class A 32,359 189 Boston Properties, Inc. 17,836 335 Colonial Properties Trust 6,429 1,034 DiamondRock Hospitality Co. (b) 12,542 315 Equity Residential 17,070 1,831 Host Hotels & Resorts, Inc. 33,892 1,813 Kimco Realty Corp. 32,797 1,561 Lexington Realty Trust 13,222 854 Pennsylvania Real Estate Investment Trust 11,665 855 Post Properties, Inc. 31,661 ------------ 223,195 ------------ Page 94 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Real Estate Management & Development -- 0.6% 4,102 CB Richard Ellis Group, Inc., Class A (b) $ 91,023 153 Jones Lang LaSalle, Inc. 13,562 ------------ 104,585 ------------ Road & Rail -- 1.1% 505 CSX Corp. 35,653 659 J.B. Hunt Transport Services, Inc. 27,019 1,123 Kansas City Southern (b) 56,128 775 Old Dominion Freight Line, Inc. (b) 24,932 545 Union Pacific Corp. 51,573 ------------ 195,305 ------------ Semiconductors & Semiconductor Equipment -- 8.0% 3,997 Advanced Micro Devices, Inc. (b) 31,296 1,838 Altera Corp. 69,054 1,339 Analog Devices, Inc. 51,993 2,327 Applied Materials, Inc. 36,511 5,455 Atmel Corp. (b) 73,861 1,502 Broadcom Corp., Class A 67,725 1,210 CEVA, Inc. (b) 29,246 1,496 Cohu, Inc. 22,350 197 Cree, Inc. (b) 9,947 402 Cymer, Inc. (b) 19,533 1,670 Cypress Semiconductor Corp. (b) 36,155 1,149 Diodes, Inc. (b) 29,575 4,305 Fairchild Semiconductor International, Inc. (b) 76,629 470 FEI Co. (b) 12,807 297 Hittite Microwave Corp. (b) 17,755 2,263 International Rectifier Corp. (b) 72,484 847 KLA-Tencor Corp. 37,336 2,520 Kulicke & Soffa Industries, Inc. (b) 24,570 1,039 Lam Research Corp. (b) 51,836 472 Linear Technology Corp. 16,421 8,416 LSI Corp. (b) 52,095 1,911 Micrel, Inc. 25,588 478 Microchip Technology, Inc. 17,433 2,038 Micron Technology, Inc. (b) 21,480 793 Microsemi Corp. (b) 17,835 2,023 Novellus Systems, Inc. (b) 72,970 3,273 NVIDIA Corp. (b) 78,290 309 Power Integrations, Inc. 11,411 9,144 RF Micro Devices, Inc. (b) 61,448 1,782 Semtech Corp. (b) 38,910 1,751 Sigma Designs, Inc. (b) 24,391 2,347 Skyworks Solutions, Inc. (b) 74,564 630 Standard Microsystems Corp. (b) 15,151 2,011 Texas Instruments, Inc. 68,193 2,654 TriQuint Semiconductor, Inc. (b) 34,927 304 Ultratech, Inc. (b) 6,851 336 Varian Semiconductor Equipment Associates, Inc. (b) 14,935 Shares Description Value ----------------------------------------------------------- Semiconductors & Semiconductor Equipment (Continued) 423 Veeco Instruments, Inc. (b) $ 18,299 564 Xilinx, Inc. 18,161 ------------ 1,460,016 ------------ Software -- 5.1% 1,501 ACI Worldwide, Inc. (b) 39,761 247 ANSYS, Inc. (b) 12,955 1,319 Autodesk, Inc. (b) 53,657 347 BMC Software, Inc. (b) 16,552 835 Bottomline Technologies, Inc. (b) 19,146 1,569 Cadence Design Systems, Inc. (b) 13,619 478 Citrix Systems, Inc. (b) 30,200 210 CommVault Systems, Inc. (b) 6,487 4,319 Compuware Corp. (b) 46,300 524 Ebix, Inc. (b) 11,816 599 Epicor Software Corp. (b) 6,206 139 FactSet Research Systems, Inc. 14,011 1,221 Informatica Corp. (b) 56,654 949 Interactive Intelligence, Inc. (b) 31,061 1,023 Intuit, Inc. (b) 48,009 215 JDA Software Group, Inc. (b) 6,489 353 McAfee, Inc. (b) 16,909 2,240 Mentor Graphics Corp. (b) 28,526 294 MICROS Systems, Inc. (b) 13,447 539 NetScout Systems, Inc. (b) 12,354 1,611 Oracle Corp. 51,600 1,194 Parametric Technology Corp. (b) 26,543 439 Progress Software Corp. (b) 12,573 969 Quest Software, Inc. (b) 25,020 928 Radiant Systems, Inc. (b) 16,936 1,104 Red Hat, Inc. (b) 45,617 868 Rovi Corp. (b) 53,608 496 Salesforce.com, Inc. (b) 64,053 1,971 Smith Micro Software, Inc. (b) 24,874 523 Solera Holdings, Inc. 27,369 403 Sonic Solutions (b) 5,878 930 Synchronoss Technologies, Inc. (b) 26,468 2,027 Take-Two Interactive Software, Inc. (b) 25,287 2,047 TIBCO Software, Inc. (b) 44,993 ------------ 934,978 ------------ Specialty Retail -- 6.2% 1,459 Abercrombie & Fitch Co., Class A 73,548 609 Advance Auto Parts, Inc. 38,939 2,455 AnnTaylor Stores Corp. (b) 54,305 308 AutoZone, Inc. (b) 78,087 1,027 Bed Bath & Beyond, Inc. (b) 49,296 328 Buckle (The), Inc. 11,726 1,141 Cabela's, Inc. (b) 28,411 2,634 CarMax, Inc. (b) 86,000 1,077 Chico's FAS, Inc. 11,761 1,793 Dick's Sporting Goods, Inc. (b) 64,709 827 Genesco, Inc. (b) 30,707 569 Guess?, Inc. 24,342 841 Hibbett Sports, Inc. (b) 26,929 See Notes to Financial Statements Page 95 First Trust Multi Cap Growth AlphaDEX(R) Fund Portfolio of Investments (a) (Continued) January 31, 2011 (Unaudited) Shares Description Value ----------------------------------------------------------- Common Stocks (Continued) Specialty Retail (Continued) 301 J. Crew Group, Inc. (b) $ 13,069 515 Jo-Ann Stores, Inc. (b) 31,070 151 Jos. A. Bank Clothiers, Inc. (b) 6,452 2,734 Limited Brands, Inc. 79,942 524 Monro Muffler Brake, Inc. 17,334 835 O'Reilly Automotive, Inc. (b) 47,453 1,013 PetSmart, Inc. 40,763 1,034 Ross Stores, Inc. 67,417 1,350 Tiffany & Co. 78,476 368 TJX (The) Cos., Inc. 17,440 1,387 Tractor Supply Co. 71,167 1,506 Williams-Sonoma, Inc. 48,493 1,155 Zumiez, Inc. (b) 26,819 ------------ 1,124,655 ------------ Textiles, Apparel & Luxury Goods -- 3.4% 204 Carter's, Inc. (b) 5,651 1,518 Coach, Inc. 82,109 1,812 Crocs, Inc. (b) 29,699 843 Deckers Outdoor Corp. (b) 61,868 955 Fossil, Inc. (b) 67,853 642 Iconix Brand Group, Inc. (b) 12,744 2,535 Liz Claiborne, Inc. (b) 12,523 255 Maidenform Brands, Inc. (b) 6,564 190 NIKE, Inc., Class B 15,671 235 Oxford Industries, Inc. 5,562 1,129 Perry Ellis International, Inc. (b) 31,781 854 Phillips-Van Heusen Corp. 49,848 590 Polo Ralph Lauren Corp. 63,236 296 Steven Madden, Ltd. (b) 11,298 2,187 Timberland (The) Co., Class A (b) 58,458 1,226 Under Armour, Inc., Class A (b) 73,388 732 Warnaco Group (The), Inc. (b) 37,391 ------------ 625,644 ------------ Tobacco -- 0.2% 280 Philip Morris International, Inc. 16,027 501 Reynolds American, Inc. 15,937 ------------ 31,964 ------------ Trading Companies & Distributors -- 1.4% 271 Fastenal Co. 15,734 623 MSC Industrial Direct Co., Inc., Class A 37,025 2,955 United Rentals, Inc. (b) 78,750 608 W.W. Grainger, Inc. 79,934 640 Watsco, Inc. 40,141 ------------ 251,584 ------------ Wireless Telecommunication Services -- 0.5% 6,652 MetroPCS Communications, Inc. (b) 86,010 ------------ Shares Description Value ----------------------------------------------------------- Total Common Stocks -- 100.0% $ 18,243,857 (Cost $17,490,660) Money Market Fund -- 0.2% 35,677 Morgan Stanley Institutional Treasury Money Market Fund - 0.02% (c) 35,677 (Cost $35,677) ------------ Total Investments -- 100.2% 18,279,534 (Cost $17,526,337) (d) Net Other Assets and Liabilities -- (0.2)% (28,638) ------------ Net Assets -- 100.0% $ 18,250,896 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $997,587 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $244,390. ------------------ Valuation Inputs A summary of the inputs used to value the Fund's investments as of January 31, 2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 ----------------------------------------------------------- Common Stocks* $18,243,857 $ -- $ -- Money Market Fund 35,677 -- -- ------------------------------------ Total Investments $18,279,534 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. Page 96 See Notes to Financial Statements This page is intentionally left blank. Page 97 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Assets and Liabilities January 31, 2011 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 442,737,540 $ 37,700,638 $ 112,524,707 Cash................................................................ -- -- -- Receivables: Capital shares sold........................................... 6,921,171 3,194,189 4,376,997 Investment securities sold.................................... -- -- 1,093,516 Dividends..................................................... 113,814 33,702 2,952 Interest...................................................... 1 1 1 Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 6,377 1,171 2,057 -------------- -------------- -------------- Total Assets............................................... 449,778,903 40,929,701 118,000,230 -------------- -------------- -------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Capital shares purchased...................................... -- -- 1,093,255 Investment securities purchased............................... 6,923,441 3,191,927 4,378,162 Investment advisory fees...................................... 166,134 10,522 36,238 Licensing fees................................................ 115,132 11,180 24,094 Audit and tax fees............................................ 16,479 16,479 16,479 Printing fees................................................. 13,085 1,054 2,324 Other liabilities................................................... 50,109 10,332 16,135 -------------- -------------- -------------- Total Liabilities.......................................... 7,284,380 3,241,494 5,566,687 -------------- -------------- -------------- NET ASSETS.......................................................... $ 442,494,523 $ 37,688,207 $ 112,433,543 ============== ============== ============== NET ASSETS consist of: Paid-in capital..................................................... $ 400,305,592 $ 35,019,634 $ 98,876,598 Par value........................................................... 226,500 18,000 50,000 Accumulated net investment income (loss)............................ (55,473) 18,324 (46,902) Accumulated net realized gain (loss) on investments................. 157,041 (195,105) (2,574,169) Net unrealized appreciation (depreciation) on investments........... 41,860,863 2,827,354 16,128,016 -------------- -------------- -------------- NET ASSETS.......................................................... $ 442,494,523 $ 37,688,207 $ 112,433,543 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 19.54 $ 20.94 $ 22.49 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 22,650,002 1,800,002 5,000,002 ============== ============== ============== Investments at cost................................................. $ 400,876,677 $ 34,873,284 $ 96,396,691 ============== ============== ==============
Page 98 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------- -------------------- -------------------- -------------------- -------------------- $ 390,641,312 $ 68,563,621 $ 48,322,207 $ 488,364,567 $ 136,681,078 -- -- -- -- -- 2,221,916 2,634,809 1,912,287 7,252,153 -- -- -- -- -- -- 278,255 14,905 30,516 184,266 8,541 2 -- -- 1 1 -- -- -- -- -- 5,227 2,364 1,378 6,491 2,433 -------------- -------------- -------------- -------------- -------------- 393,146,712 71,215,699 50,266,388 495,807,478 136,692,053 -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- -- -- -- -- -- 2,220,414 2,637,099 1,912,797 7,253,308 -- 144,666 22,075 14,443 178,651 49,247 98,209 19,267 13,166 122,548 34,924 16,479 16,479 16,479 16,479 16,479 26,999 1,989 1,275 27,372 3,715 43,884 13,713 11,037 53,502 19,050 -------------- -------------- -------------- -------------- -------------- 2,550,651 2,710,622 1,969,197 7,651,860 123,415 -------------- -------------- -------------- -------------- -------------- $ 390,596,061 $ 68,505,077 $ 48,297,191 $ 488,155,618 $ 136,568,638 ============== ============== ============== ============== ============== $ 359,924,230 $ 63,454,458 $ 42,252,123 $ 432,932,070 $ 116,999,798 262,500 26,000 25,500 201,500 57,550 98,978 334,107 6,039 (322,162) (81,212) 1,472,100 (1,887,510) (310,922) 3,330,249 3,268,402 28,838,253 6,578,022 6,324,451 52,013,961 16,324,100 -------------- -------------- -------------- -------------- -------------- $ 390,596,061 $ 68,505,077 $ 48,297,191 $ 488,155,618 $ 136,568,638 ============== ============== ============== ============== ============== $ 14.88 $ 26.35 $ 18.94 $ 24.23 $ 23.73 ============== ============== ============== ============== ============== 26,250,002 2,600,002 2,550,002 20,150,002 5,755,000 ============== ============== ============== ============== ============== $ 361,803,059 $ 61,985,599 $ 41,997,756 $ 436,350,606 $ 120,356,978 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 99 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Assets and Liabilities (Continued) January 31, 2011 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 44,925,331 $ 156,167,774 $ 167,694,548 Cash................................................................ -- -- -- Receivables: Capital shares sold........................................... -- 2,844,545 -- Investment securities sold.................................... -- -- -- Dividends..................................................... 64,427 95,710 74,091 Interest...................................................... 1 1 6 Reclaims...................................................... -- 540 -- Prepaid expenses.................................................... 1,363 2,762 2,654 -------------- -------------- -------------- Total Assets............................................... 44,991,122 159,111,332 167,771,299 -------------- -------------- -------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Capital shares purchased...................................... -- -- -- Investment securities purchased............................... -- 2,842,762 -- Investment advisory fees..................................... 13,303 54,884 62,516 Licensing fees................................................ 14,002 38,999 40,984 Audit and tax fees............................................ 16,479 16,479 16,479 Printing fees................................................. 1,455 4,398 4,197 Other liabilities................................................... 10,776 21,928 22,414 -------------- -------------- -------------- Total Liabilities.......................................... 56,015 2,979,450 146,590 -------------- -------------- -------------- NET ASSETS.......................................................... $ 44,935,107 $ 156,131,882 $ 167,624,709 ============== ============== ============== NET ASSETS consist of: Paid-in capital..................................................... $ 43,424,339 $ 145,729,247 $ 152,920,697 Par value.......................................................... 26,500 55,500 50,500 Accumulated net investment income (loss)............................ 39,224 51,008 (2,733) Accumulated net realized gain (loss) on investments................. (820,959) (1,527,300) 317,481 Net unrealized appreciation (depreciation) on investments........... 2,266,003 11,823,427 14,338,764 -------------- -------------- -------------- NET ASSETS.......................................................... $ 44,935,107 $ 156,131,882 $ 167,624,709 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 16.96 $ 28.13 $ 33.19 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 2,650,002 5,550,002 5,050,002 ============== ============== ============== Investments at cost................................................. $ 42,659,328 $ 144,344,347 $ 153,355,784 ============== ============== ==============
Page 100 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------- -------------------- -------------------- -------------------- -------------------- $ 94,249,238 $ 106,085,073 $ 95,164,243 $ 26,289,308 $ 18,279,534 -- -- -- -- -- 4,485,237 -- -- -- -- -- 1,377,221 -- -- 3,071,865 23,217 98,663 27,105 19,758 4,950 2 -- -- -- 1 -- 542 -- 67 -- 1,614 2,175 1,640 973 369 -------------- -------------- -------------- -------------- -------------- 98,759,308 107,563,674 95,192,988 26,310,106 21,356,719 -------------- -------------- -------------- -------------- -------------- -- -- -- -- 114 -- 1,377,290 -- -- 3,074,881 4,487,836 -- -- -- -- 31,482 38,428 33,731 5,658 3,318 15,416 24,381 16,777 2,284 1,737 16,479 16,479 16,479 16,479 16,479 2,307 2,992 2,518 1,683 282 15,756 17,233 15,377 10,705 9,012 -------------- -------------- -------------- -------------- -------------- 4,569,276 1,476,803 84,882 36,809 3,105,823 -------------- -------------- -------------- -------------- -------------- $ 94,190,032 $ 106,086,871 $ 95,108,106 $ 26,273,297 $ 18,250,896 ============== ============== ============== ============== ============== $ 88,877,409 $ 102,853,934 $ 98,116,586 $ 25,514,157 $ 20,060,538 31,500 39,000 33,000 9,000 6,000 (32,474) 49,733 18,980 8,113 (1,961) (1,487,254) (3,444,749) (10,665,265) (1,206,118) (2,566,878) 6,800,851 6,588,953 7,604,805 1,948,145 753,197 -------------- -------------- -------------- -------------- -------------- $ 94,190,032 $ 106,086,871 $ 95,108,106 $ 26,273,297 $ 18,250,896 ============== ============== ============== ============== ============== $ 29.90 $ 27.20 $ 28.82 $ 29.19 $ 30.42 ============== ============== ============== ============== ============== 3,150,002 3,900,002 3,300,002 900,002 600,002 ============== ============== ============== ============== ============== $ 87,448,387 $ 99,496,120 $ 87,559,438 $ 24,341,163 $ 17,526,337 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 101 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Operations For the Six Months Ended January 31, 2011 (Unaudited)
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 1,966,350 $ 301,349 $ 501,591 Foreign tax withholding............................................. -- -- (59) Interest............................................................ 20 29 10 -------------- -------------- -------------- Total investment income....................................... 1,966,370 301,378 501,542 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 701,316 78,668 156,973 Licensing fees...................................................... 140,263 15,733 31,395 Accounting and administration fees.................................. 71,314 8,626 16,533 Legal fees.......................................................... 26,565 2,873 5,389 Custodian fees...................................................... 20,742 2,484 4,704 Printing fees....................................................... 14,112 2,134 3,336 Audit and tax fees.................................................. 12,979 12,979 12,978 Transfer agent fees................................................. 7,013 787 1,570 Registration and filing fees........................................ 5,179 327 303 Listing fees........................................................ 4,225 4,225 4,225 Trustees' fees and expenses......................................... 3,298 493 845 Other expenses...................................................... 13,611 1,912 3,696 -------------- -------------- -------------- Total expenses................................................ 1,020,617 131,241 241,947 Less fees waived and expenses reimbursed by the investment advisor......................................... (38,774) (21,105) (22,184) -------------- -------------- -------------- Net expenses.................................................. 981,843 110,136 219,763 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 984,527 191,242 281,779 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (3,879,781) (435,883) (1,082,041) In kind redemptions .......................................... 16,645,043 2,321,496 6,141,037 -------------- -------------- -------------- Net realized gain (loss)............................................ 12,765,262 1,885,613 5,058,996 Net change in unrealized appreciation (depreciation) on investments 37,890,878 1,468,381 17,684,754 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 50,656,140 3,353,994 22,743,750 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 51,640,667 $ 3,545,236 $ 23,025,529 ============== ============== ==============
Page 102 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------- -------------------- -------------------- -------------------- -------------------- $ 3,232,284 $ 593,660 $ 226,161 $ 5,817,827 $ 267,936 (2,003) -- -- -- -- 48 29 13 65 25 -------------- -------------- -------------- -------------- -------------- 3,230,329 593,689 226,174 5,817,892 267,961 -------------- -------------- -------------- -------------- -------------- 609,270 137,444 91,455 754,381 227,745 121,854 27,489 18,291 150,876 45,549 62,240 14,676 10,211 76,277 23,775 23,839 5,144 3,312 31,073 7,604 18,300 4,276 2,886 22,397 6,941 28,715 2,888 2,492 29,767 5,298 12,978 12,978 12,978 12,978 12,978 6,093 1,374 914 7,544 2,277 4,682 (3) 42 5,531 1,198 4,225 4,225 4,225 4,225 4,225 2,895 892 580 3,560 1,232 11,965 3,479 2,519 14,194 4,730 -------------- -------------- -------------- -------------- -------------- 907,056 214,862 149,905 1,112,803 343,552 (54,077) (22,440) (21,868) (56,670) (24,709) -------------- -------------- -------------- -------------- -------------- 852,979 192,422 128,037 1,056,133 318,843 -------------- -------------- -------------- -------------- -------------- 2,377,350 401,267 98,137 4,761,759 (50,882) -------------- -------------- -------------- -------------- -------------- (2,091,522) (1,120,566) (406,107) (3,015,062) (1,253,370) 10,437,184 4,492,840 3,705,737 17,146,698 11,594,160 -------------- -------------- -------------- -------------- -------------- 8,345,662 3,372,274 3,299,630 14,131,636 10,340,790 25,237,041 7,013,512 4,455,729 47,116,591 14,665,754 -------------- -------------- -------------- -------------- -------------- 33,582,703 10,385,786 7,755,359 61,248,227 25,006,544 -------------- -------------- -------------- -------------- -------------- $ 35,960,053 $ 10,787,053 $ 7,853,496 $ 66,009,986 $ 24,955,662 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 103 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Operations (Continued) For the Six Months Ended January 31, 2011 (Unaudited)
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 656,168 $ 993,712 $ 677,000 Foreign tax withholding............................................. -- (405) -- Interest............................................................ 8 16 19 -------------- -------------- -------------- Total investment income....................................... 656,176 993,323 677,019 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 97,884 251,760 256,429 Licensing fees...................................................... 19,577 50,352 51,286 Accounting and administration fees.................................. 10,632 27,672 27,747 Legal fees.......................................................... 3,668 9,139 8,411 Custodian fees...................................................... 3,064 8,053 7,907 Printing fees....................................................... 2,645 4,204 4,500 Audit and tax fees.................................................. 12,978 12,978 12,978 Transfer agent fees................................................. 979 2,518 2,564 Registration and filing fees........................................ 407 1,584 1,430 Listing fees........................................................ 4,225 4,225 4,225 Trustees' fees and expenses......................................... 595 1,312 1,344 Other expenses...................................................... 2,258 5,251 5,096 -------------- -------------- -------------- Total expenses................................................ 158,912 379,048 383,917 Less fees waived and expenses reimbursed by the investment advisor......................................... (21,875) (26,584) (24,917) -------------- -------------- -------------- Net expenses.................................................. 137,037 352,464 359,000 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 519,139 640,859 318,019 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (590,665) (1,273,086) (1,478,318) In-kind redemptions........................................... 2,782,780 6,706,515 7,781,040 -------------- -------------- -------------- Net realized gain (loss)............................................ 2,192,115 5,433,429 6,302,722 Net change in unrealized appreciation (depreciation) on investments. 1,473,068 10,831,937 13,285,311 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 3,665,183 16,265,366 19,588,033 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................................. $ 4,184,322 $ 16,906,225 $ 19,906,052 ============== ============== ==============
Page 104 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------- -------------------- -------------------- -------------------- -------------------- $ 373,059 $ 794,060 $ 538,974 $ 236,524 $ 73,988 -- (407) -- (50) -- 14 10 12 7 5 -------------- -------------- -------------- -------------- -------------- 373,073 793,663 538,986 236,481 73,993 -------------- -------------- -------------- -------------- -------------- 145,555 183,927 156,109 59,821 29,733 29,111 36,785 31,222 11,964 5,947 17,434 20,007 17,049 9,702 6,132 4,943 6,400 5,277 2,301 1,027 5,228 5,682 4,823 3,099 2,173 3,287 2,845 2,655 1,814 836 12,978 12,978 12,978 12,978 12,978 1,456 1,839 1,561 598 297 695 866 696 78 50 4,225 4,225 4,225 4,225 4,225 759 1,031 852 386 156 2,988 3,873 3,085 1,564 663 -------------- -------------- -------------- -------------- -------------- 228,659 280,458 240,532 108,530 64,217 (24,883) (22,961) (21,980) (24,781) (22,587) -------------- -------------- -------------- -------------- -------------- 203,776 257,497 218,552 83,749 41,630 -------------- -------------- -------------- -------------- -------------- 169,297 536,166 320,434 152,732 32,363 -------------- -------------- -------------- -------------- -------------- (1,352,976) (806,572) (887,408) (526,979) (176,071) 5,060,019 5,761,416 5,857,251 2,241,655 2,197,951 -------------- -------------- -------------- -------------- -------------- 3,707,043 4,954,844 4,969,843 1,714,676 2,021,880 5,752,415 6,616,278 5,427,893 2,383,874 (53,029) -------------- -------------- -------------- -------------- -------------- 9,459,458 11,571,122 10,397,736 4,098,550 1,968,851 -------------- -------------- -------------- -------------- -------------- $ 9,628,755 $ 12,107,288 $ 10,718,170 $ 4,251,282 $ 2,001,214 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 105 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets
First Trust Consumer Discretionary AlphaDEX(R) Fund -------------------------------------- For the Six Months Ended For the Year January 31, 2011 Ended (Unaudited) July 31, 2010 ------------------ ----------------- OPERATIONS: Net investment income (loss)................................................ $ 984,527 $ 324,918 Net realized gain (loss).................................................... 12,765,262 (3,778,801) Net change in unrealized appreciation (depreciation)........................ 37,890,878 3,257,829 ---------------- ---------------- Net increase (decrease) in net assets resulting from operations............. 51,640,667 (196,054) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................................................... (1,040,000) (324,928) Return of capital........................................................... -- (12,472) ---------------- ---------------- Total distributions to shareholders......................................... (1,040,000) (337,400) ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................... 341,191,657 182,184,649 Cost of shares redeemed..................................................... (86,152,570) (51,182,841) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 255,039,087 131,001,808 ---------------- ---------------- Total increase (decrease) in net assets..................................... 305,639,754 130,468,354 NET ASSETS: Beginning of period......................................................... 136,854,769 6,386,415 ---------------- ---------------- End of period............................................................... $ 442,494,523 $ 136,854,769 ================ ================ Accumulated net investment income (loss) at end of period................... $ (55,473) $ -- ================ ================ CHANGES IN SHARES OUSTANDING: Shares outstanding, beginning of period..................................... 8,600,002 500,002 Shares sold................................................................. 18,600,000 11,250,000 Shares redeemed............................................................. (4,550,000) (3,150,000) ---------------- ---------------- Shares outstanding, end of period........................................... 22,650,002 8,600,002 ================ ================
Page 106 See Notes to Financial Statements
First Trust First Trust First Trust Consumer Staples Energy Financials AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------------------------- -------------------------------------- -------------------------------------- For the Six Months For the Six Months For the Six Months Ended For the Year Ended For the Year Ended For the Year January 31, 2011 Ended January 31, 2011 Ended January 31, 2011 Ended (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 ------------------ ----------------- ------------------ ----------------- ------------------ ----------------- $ 191,242 $ 219,126 $ 281,779 $ 129,391 $ 2,377,350 $ 896,443 1,885,613 1,297,636 5,058,996 1,949,726 8,345,662 (1,340,248) 1,468,381 371,386 17,684,754 (2,663,698) 25,237,041 2,789,910 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 3,545,236 1,888,148 23,025,529 (584,581) 35,960,053 2,346,105 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (203,840) (199,620) (330,000) (128,295) (2,496,780) (694,470) -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (203,840) (199,620) (330,000) (128,295) (2,496,780) (694,470) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 24,084,146 25,961,772 75,865,756 71,105,404 305,564,008 173,946,227 (15,143,344) (11,261,485) (30,276,891) (35,773,935) (74,687,859) (57,636,511) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 8,940,802 14,700,287 45,588,865 35,331,469 230,876,149 116,309,716 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 12,282,198 16,388,815 68,284,394 34,618,593 264,339,422 117,961,351 25,406,009 9,017,194 44,149,149 9,530,556 126,256,639 8,295,288 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 37,688,207 $ 25,406,009 $ 112,433,543 $ 44,149,149 $ 390,596,061 $ 126,256,639 ================ ================ ================ ================ ================ ================ $ 18,324 $ 30,922 $ (46,902) $ 1,319 $ 98,978 $ 218,408 ================ ================ ================ ================ ================ ================ 1,350,002 550,002 2,750,002 700,002 9,700,002 800,002 1,200,000 1,400,000 3,800,000 4,200,000 21,800,000 13,350,000 (750,000) (600,000) (1,550,000) (2,150,000) (5,250,000) (4,450,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,800,002 1,350,002 5,000,002 2,750,002 26,250,002 9,700,002 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 107 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets (Continued)
First Trust Health Care AlphaDEX(R) Fund -------------------------------------- For the Six Months Ended For the Year January 31, 2011 Ended (Unaudited) July 31, 2010 ------------------ ----------------- OPERATIONS: Net investment income (loss)................................................ $ 401,267 $ (71,085) Net realized gain (loss).................................................... 3,372,274 6,212,490 Net change in unrealized appreciation (depreciation)........................ 7,013,512 (2,829,054) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations............. 10,787,053 3,312,351 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................................................... (67,160) -- Return of capital........................................................... -- -- ---------------- ---------------- Total distributions to shareholders......................................... (67,160) -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................... 34,876,930 66,246,325 Cost of shares redeemed..................................................... (24,531,068) (37,134,602) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 10,345,862 29,111,723 ---------------- ---------------- Total increase (decrease) in net assets..................................... 21,065,755 32,424,074 NET ASSETS: Beginning of period......................................................... 47,439,322 15,015,248 ---------------- ---------------- End of period............................................................... $ 68,505,077 $ 47,439,322 ================ ================ Accumulated net investment income (loss) at end of period................... $ 334,107 $ -- ================ ================ CHANGES IN SHARES OUSTANDING: Shares outstanding, beginning of period..................................... 2,200,002 850,002 Shares sold................................................................. 1,400,000 3,000,000 Shares redeemed............................................................. (1,000,000) (1,650,000) ---------------- ---------------- Shares outstanding, end of period........................................... 2,600,002 2,200,002 ================ ================
Page 108 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------------------------- -------------------------------------- -------------------------------------- For the Six Months For the Six Months For the Six Months Ended For the Year Ended For the Year Ended For the Year January 31, 2011 Ended January 31, 2011 Ended January 31, 2011 Ended (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 ------------------ ----------------- ------------------ ----------------- ------------------ ----------------- $ 98,137 $ 176,058 $ 4,761,759 $ 935,862 $ (50,882) $ (133,383) 3,299,630 1,195,251 14,131,636 210,077 10,340,790 3,400,314 4,455,729 1,033,084 47,116,591 2,901,908 14,665,754 (95,348) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 7,853,496 2,404,393 66,009,986 4,047,847 24,955,662 3,171,583 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (119,250) (154,530) (5,145,001) (880,891) (30,330) -- -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (119,250) (154,530) (5,145,001) (880,891) (30,330) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 28,063,733 37,130,121 413,598,054 247,467,583 99,184,728 76,157,794 (18,345,460) (13,946,980) (135,146,662) (111,717,290) (47,416,679) (31,828,533) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 9,718,273 23,183,141 278,451,392 135,750,293 51,768,049 44,329,261 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 17,452,519 25,433,004 339,316,377 138,917,249 76,693,381 47,500,844 30,844,672 5,411,668 148,839,241 9,921,992 59,875,257 12,374,413 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 48,297,191 $ 30,844,672 $ 488,155,618 $ 148,839,241 $ 136,568,638 $ 59,875,257 ================ ================ ================ ================ ================ ================ $ 6,039 $ 27,152 $ (322,162) $ 61,080 $ (81,212) $ -- ================ ================ ================ ================ ================ ================ 2,000,002 450,002 7,450,002 650,002 3,305,000 855,000 1,600,000 2,450,000 18,600,000 12,400,000 4,600,000 4,200,000 (1,050,000) (900,000) (5,900,000) (5,600,000) (2,150,000) (1,750,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 2,550,002 2,000,002 20,150,002 7,450,002 5,755,000 3,305,000 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 109 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets (Continued)
First Trust Utilities AlphaDEX(R) Fund -------------------------------------- For the Six Months Ended For the Year January 31, 2011 Ended (Unaudited) July 31, 2010 ------------------ ----------------- OPERATIONS: Net investment income (loss)................................................ $ 519,139 $ 726,235 Net realized gain (loss).................................................... 2,192,115 1,450,582 Net change in unrealized appreciation (depreciation)........................ 1,473,068 540,017 ---------------- ---------------- Net increase (decrease) in net assets resulting from operations............. 4,184,322 2,716,834 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................................................... (536,776) (696,815) Return of capital........................................................... -- -- ---------------- ---------------- Total distributions to shareholders......................................... (536,776) (696,815) ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................... 29,492,062 28,126,503 Cost of shares redeemed..................................................... (19,041,620) (12,968,948) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 10,450,442 15,157,555 ---------------- ---------------- Total increase (decrease) in net assets..................................... 14,097,988 17,177,574 NET ASSETS: Beginning of period......................................................... 30,837,119 13,659,545 ---------------- ---------------- End of period............................................................... $ 44,935,107 $ 30,837,119 ================ ================ Accumulated net investment income (loss) at end of period................... $ 39,224 $ 56,861 ================ ================ CHANGES IN SHARES OUSTANDING: Shares outstanding, beginning of period..................................... 2,000,002 1,000,002 Shares sold................................................................. 1,800,000 1,850,000 Shares redeemed............................................................. (1,150,000) (850,000) ---------------- ---------------- Shares outstanding, end of period........................................... 2,650,002 2,000,002 ================ ================
Page 110 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Core Mid Cap Core Small Cap Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------------------------- -------------------------------------- -------------------------------------- For the Six Months For the Six Months For the Six Months Ended For the Year Ended For the Year Ended For the Year January 31, 2011 Ended January 31, 2011 Ended January 31, 2011 Ended (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 ------------------ ----------------- ------------------ ----------------- ------------------ ----------------- $ 640,859 $ 425,805 $ 318,019 $ 265,177 $ 169,297 $ 88,450 5,433,429 4,196,921 6,302,722 3,582,859 3,707,043 1,991,493 10,831,937 (528,547) 13,285,311 (189,048) 5,752,415 316,173 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 16,906,225 4,094,179 19,906,052 3,658,988 9,628,755 2,396,116 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (636,795) (387,051) (351,105) (237,580) (213,675) (79,005) -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (636,795) (387,051) (351,105) (237,580) (213,675) (79,005) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 124,917,882 72,468,440 133,777,067 72,256,537 72,114,008 44,459,145 (43,269,734) (31,681,238) (42,625,885) (27,558,349) (24,814,124) (17,608,287) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 81,648,148 40,787,202 91,151,182 44,698,188 47,299,884 26,850,858 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 97,917,578 44,494,330 110,706,129 48,119,596 56,714,964 29,167,969 58,214,304 13,719,974 56,918,580 8,798,984 37,475,068 8,307,099 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 156,131,882 $ 58,214,304 $ 167,624,709 $ 56,918,580 $ 94,190,032 $ 37,475,068 ================ ================ ================ ================ ================ ================ $ 51,008 $ 46,944 $ (2,733) $ 30,353 $ (32,474) $ 11,904 ================ ================ ================ ================ ================ ================ 2,450,002 700,002 2,100,002 400,002 1,500,002 400,002 4,700,000 3,100,000 4,300,000 2,700,000 2,500,000 1,800,000 (1,600,000) (1,350,000) (1,350,000) (1,000,000) (850,000) (700,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 5,550,002 2,450,002 5,050,002 2,100,002 3,150,002 1,500,002 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 111 First Trust Exchange-Traded AlphaDEX(R) Fund Statements of Changes in Net Assets (Continued)
First Trust Large Cap Value Opportunities AlphaDEX(R) Fund -------------------------------------- For the Six Months Ended For the Year January 31, 2011 Ended (Unaudited) July 31, 2010 ------------------ ----------------- OPERATIONS: Net investment income (loss)................................................ $ 536,166 $ 610,279 Net realized gain (loss).................................................... 4,954,844 5,901,495 Net change in unrealized appreciation (depreciation)........................ 6,616,278 (1,518,392) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations............. 12,107,288 4,993,382 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income....................................................... (531,645) (586,236) Return of capital........................................................... -- -- ---------------- ---------------- Total distributions to shareholders......................................... (531,645) (586,236) ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................... 79,950,139 57,874,243 Cost of shares redeemed..................................................... (35,396,977) (30,464,003) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 44,553,162 27,410,240 ---------------- ---------------- Total increase (decrease) in net assets..................................... 56,128,805 31,817,386 NET ASSETS: Beginning of period......................................................... 49,958,066 18,140,680 ---------------- ---------------- End of period............................................................... $ 106,086,871 $ 49,958,066 ================ ================ Accumulated net investment income (loss) at end of period................... $ 49,733 $ 45,212 ================ ================ CHANGES IN SHARES OUSTANDING: Shares outstanding, beginning of period..................................... 2,150,002 950,002 Shares sold................................................................. 3,100,000 2,500,000 Shares redeemed............................................................. (1,350,000) (1,300,000) ---------------- ---------------- Shares outstanding, end of period........................................... 3,900,002 2,150,002 ================ ================
Page 112 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Growth Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund -------------------------------------- -------------------------------------- -------------------------------------- For the Six Months For the Six Months For the Six Months Ended For the Year Ended For the Year Ended For the Year January 31, 2011 Ended January 31, 2011 Ended January 31, 2011 Ended (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 (Unaudited) July 31, 2010 ------------------ ----------------- ------------------ ----------------- ------------------ ----------------- $ 320,434 $ 77,720 $ 152,732 $ 247,144 $ 32,363 $ 5,726 4,969,843 2,813,023 1,714,676 3,737,301 2,021,880 1,352,508 5,427,893 198,995 2,383,874 (1,607,943) (53,029) (122,230) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,718,170 3,089,738 4,251,282 2,376,502 2,001,214 1,236,004 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (304,975) (74,300) (165,150) (229,401) (40,050) -- -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (304,975) (74,300) (165,150) (229,401) (40,050) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 89,194,137 51,079,703 12,383,255 28,406,184 22,066,028 9,750,097 (43,944,163) (28,610,455) (11,112,703) (19,737,496) (13,296,427) (8,661,496) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 45,249,974 22,469,248 1,270,552 8,668,688 8,769,601 1,088,601 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 55,663,169 25,484,686 5,356,684 10,815,789 10,730,765 2,324,605 39,444,937 13,960,251 20,916,613 10,100,824 7,520,131 5,195,526 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 95,108,106 $ 39,444,937 $ 26,273,297 $ 20,916,613 $ 18,250,896 $ 7,520,131 ================ ================ ================ ================ ================ ================ $ 18,980 $ 3,521 $ 8,113 $ 20,531 $ (1,961) $ 5,726 ================ ================ ================ ================ ================ ================ 1,650,002 700,002 850,002 500,002 300,002 250,002 3,250,000 2,150,000 450,000 1,150,000 750,000 400,000 (1,600,000) (1,200,000) (400,000) (800,000) (450,000) (350,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 3,300,002 1,650,002 900,002 850,002 600,002 300,002 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 113 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Consumer Discretionary AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 15.91 $ 12.77 $ 14.19 $ 18.83 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.05 0.06 0.10 0.08 0.00 (b)(f) Net realized and unrealized gain (loss) 3.63 3.14 (1.42) (4.64) (1.17) -------- -------- -------- -------- -------- Total from investment operations 3.68 3.20 (1.32) (4.56) (1.17) -------- -------- -------- -------- -------- Distributions paid to shareholders from: Net investment income (0.05) (0.06) (0.10) (0.08) -- Return of capital -- (0.00)(f) (0.00)(f) -- -- -------- -------- -------- -------- -------- Total distributions (0.05) (0.06) (0.10) (0.08) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 19.54 $ 15.91 $ 12.77 $ 14.19 $ 18.83 ======== ======== ======== ======== ======== TOTAL RETURN (c) 23.14% 25.08% (9.12)% (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $442,495 $136,855 $ 6,386 $ 3,547 $ 1,883 Ratios to average net assets: Ratio of total expenses to average net assets 0.73% (d) 0.86% 1.59% 3.36% 11.39% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.70% (d) 0.47% 1.00% 0.58% 0.04% (d) Portfolio turnover rate (e) 40% 114% 133% 91% 34% First Trust Consumer Staples AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 18.82 $ 16.39 $ 17.96 $ 19.11 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.11 0.18 0.25 0.21 0.04 (b) Net realized and unrealized gain (loss) 2.14 2.43 (1.57) (1.14) (0.93) -------- -------- -------- -------- -------- Total from investment operations 2.25 2.61 (1.32) (0.93) (0.89) Distributions paid to shareholders from: Net investment income (0.13) (0.18) (0.25) (0.22) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 20.94 $ 18.82 $ 16.39 $ 17.96 $ 19.11 ======== ======== ======== ======== ======== TOTAL RETURN (c) 11.94% 15.97% (7.14)% (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 37,688 $ 25,406 $ 9,017 $ 2,695 $ 2,866 Ratios to average net assets: Ratio of total expenses to average net assets 0.83% (d) 0.98% 1.30% 2.55% 9.34% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.22% (d) 1.18% 1.99% 1.10% 0.98% (d) Portfolio turnover rate (e) 57% 95% 145% 96% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. Page 114 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Energy AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 16.05 $ 13.62 $ 23.85 $ 20.74 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.07 0.06 0.03 0.12 (0.00)(b)(f) Net realized and unrealized gain (loss) 6.45 2.42 (10.23) 3.12 0.74 -------- -------- -------- -------- -------- Total from investment operations 6.52 2.48 (10.20) 3.24 0.74 -------- -------- -------- -------- -------- Distributions paid to shareholders from: Net investment income (0.08) (0.05) (0.03) (0.13) -- Net realized gain -- -- -- (0.00)(f) -- Return of capital -- -- (0.00)(f) -- -- -------- -------- -------- -------- -------- Total distributions (0.08) (0.05) (0.03) (0.13) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 22.49 $ 16.05 $ 13.62 $ 23.85 $ 20.74 ======== ======== ======== ======== ======== TOTAL RETURN (c) 40.67% 18.26% (42.74)% 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $112,434 $ 44,149 $ 9,531 $ 8,347 $ 5,184 Ratios to average net assets: Ratio of total expenses to average net assets 0.77% (d) 0.89% 1.35% 1.80% 9.49% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.90% (d) 0.36% 0.24% 0.48% (0.03)% (d) Portfolio turnover rate (e) 46% 103% 116% 67% 1% First Trust Financials AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 13.02 $ 10.37 $ 12.41 $ 17.91 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.10 0.11 0.18 0.29 0.07 (b) Net realized and unrealized gain (loss) 1.88 2.65 (2.05) (5.44) (2.16) -------- -------- -------- -------- -------- Total from investment operations 1.98 2.76 (1.87) (5.15) (2.09) Distributions paid to shareholders from: Net investment income (0.12) (0.11) (0.17) (0.35) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 14.88 $ 13.02 $ 10.37 $ 12.41 $ 17.91 ======== ======== ======== ======== ======== TOTAL RETURN (c) 15.20% 26.68% (14.94)% (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $390,596 $126,257 $ 8,295 $ 1,861 $ 1,791 Ratios to average net assets: Ratio of total expenses to average net assets 0.74% (d) 0.87% 1.50% 3.89% 11.58% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.95% (d) 1.43% 2.49% 2.13% 1.46% (d) Portfolio turnover rate (e) 38% 89% 140% 74% 26%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. See Notes to Financial Statements Page 115 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Health Care AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 21.56 $ 17.66 $ 18.93 $ 19.48 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.16 (0.03) (0.02) (0.03) (0.01)(b) Net realized and unrealized gain (loss) 4.66 3.93 (1.25) (0.52) (0.51) -------- -------- -------- -------- -------- Total from investment operations 4.82 3.90 (1.27) (0.55) (0.52) Distributions paid to shareholders from: Net investment income (0.03) -- -- -- -- -------- -------- -------- -------- -------- Net asset value, end of period $ 26.35 $ 21.56 $ 17.66 $ 18.93 $ 19.48 ======== ======== ======== ======== ======== TOTAL RETURN (c) 22.36% 22.08% (6.71)% (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 68,505 $ 47,439 $ 15,015 $ 8,521 $ 1,949 Ratios to average net assets: Ratio of total expenses to average net assets 0.78% (d) 0.87% 1.15% 2.03% 11.48% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.46% (d) (0.19)% (0.17)% (0.34)% (0.31)% (d) Portfolio turnover rate (e) 42% 87% 138% 89% 30% First Trust Industrials/Producer Durables AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 15.42 $ 12.03 $ 17.54 $ 18.87 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.04 0.11 0.10 0.05 (0.00)(b)(f) Net realized and unrealized gain (loss) 3.53 3.39 (5.52) (1.33) (1.13) -------- -------- -------- -------- -------- Total from investment operations 3.57 3.50 (5.42) (1.28) (1.13) Distributions paid to shareholders from: Net investment income (0.05) (0.11) (0.09) (0.05) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 18.94 $ 15.42 $ 12.03 $ 17.54 $ 18.87 ======== ======== ======== ======== ======== TOTAL RETURN (c) 23.18% 29.16% (30.83)% (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 48,297 $ 30,845 $ 5,412 $ 4,384 $ 4,718 Ratios to average net assets: Ratio of total expenses to average net assets 0.82% (d) 0.99% 1.63% 1.90% 10.09% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.54% (d) 0.95% 0.99% 0.29% (0.14)% (d) Portfolio turnover rate (e) 49% 95% 153% 81% 24%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. Page 116 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Materials AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 19.98 $ 15.26 $ 21.90 $ 20.17 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.28 0.25 0.20 0.16 0.02 (b) Net realized and unrealized gain (loss) 4.27 4.72 (6.64) 1.75 0.15 -------- -------- -------- -------- -------- Total from investment operations 4.55 4.97 (6.44) 1.91 0.17 Distributions paid to shareholders from: Net investment income (0.30) (0.25) (0.20) (0.18) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 24.23 $ 19.98 $ 15.26 $ 21.90 $ 20.17 ======== ======== ======== ======== ======== TOTAL RETURN (c) 22.81% 32.72% (29.20)% 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $488,156 $148,839 $ 9,922 $ 5,474 $ 3,025 Ratios to average net assets: Ratio of total expenses to average net assets 0.74% (d) 0.84% 1.40% 2.33% 9.56% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 3.16% (d) 1.15% 1.46% 0.75% 0.46% (d) Portfolio turnover rate (e) 60% 90% 153% 59% 1% First Trust Technology AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 18.12 $ 14.47 $ 17.63 $ 20.47 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) (0.01) (0.04) (0.02) (0.02) (0.02) (b) Net realized and unrealized gain (loss) 5.63 3.69 (3.14) (2.82) 0.49 -------- -------- -------- -------- -------- Total from investment operations 5.62 3.65 (3.16) (2.84) 0.47 Distributions paid to shareholders from: Net investment income (0.01) -- -- -- -- -------- -------- -------- -------- -------- Net asset value, end of period $ 23.73 $ 18.12 $ 14.47 $ 17.63 $ 20.47 ======== ======== ======== ======== ======== TOTAL RETURN (c) 30.99% 25.22% (17.92)% (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $136,569 $ 59,875 $ 12,374 $ 8,904 $ 2,149 Ratios to average net assets: Ratio of total expenses to average net assets 0.75% (d) 0.90% 1.26% 2.01% 10.64% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets (0.11)% (d) (0.40)% (0.17)% (0.29)% (0.47)% (d) Portfolio turnover rate (e) 52% 112% 135% 89% 6%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 117 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Utilities AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 15.42 $ 13.66 $ 16.19 $ 18.37 $ 20.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.20 0.38 0.44 0.90 0.09 (b) Net realized and unrealized gain (loss) 1.55 1.76 (2.50) (2.17) (1.72) -------- -------- -------- -------- -------- Total from investment operations 1.75 2.14 (2.06) (1.27) (1.63) Distributions paid to shareholders from: Net investment income (0.21) (0.38) (0.47) (0.91) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 16.96 $ 15.42 $ 13.66 $ 16.19 $ 18.37 ======== ======== ======== ======== ======== TOTAL RETURN (c) 11.39% 15.80% (12.53)% (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 44 935 $ 30,837 $ 13,660 $ 5,667 $ 2,756 Ratios to average net assets: Ratio of total expenses to average net assets 0.81% (d) 0.92% 1.15% 2.50% 10.12% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 2.65% (d) 2.97% 4.03% 2.96% 2.18% (d) Portfolio turnover rate (e) 35% 60% 128% 68% 1% First Trust Large Cap Core AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 23.76 $ 19.60 $ 24.66 $ 28.68 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.13 0.20 0.29 0.25 0.04 (b) Net realized and unrealized gain (loss) 4.38 4.15 (5.06) (4.00) (1.36) -------- -------- -------- -------- -------- Total from investment operations 4.51 4.35 (4.77) (3.75) (1.32) Distributions paid to shareholders from: Net investment income (0.14) (0.19) (0.29) (0.27) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 28.13 $ 23.76 $ 19.60 $ 24.66 $ 28.68 ======== ======== ======== ======== ======== TOTAL RETURN (c) 19.01% 22.26% (19.18)% (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $156,132 $ 58,214 $ 13,720 $ 14,799 $ 2,868 Ratios to average net assets: Ratio of total expenses to average net assets 0.75% (d) 0.90% 1.17% 1.42% 7.86% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.27% (d) 1.13% 1.63% 1.16% 0.62% (d) Portfolio turnover rate (e) 45% 91% 114% 90% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 118 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Mid Cap Core AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 27.10 $ 22.00 $ 26.30 $ 28.58 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.06 0.16 0.21 0.14 0.01 (b) Net realized and unrealized gain (loss) 6.11 5.10 (4.30) (2.28) (1.43) -------- -------- -------- -------- -------- Total from investment operations 6.17 5.26 (4.09) (2.14) (1.42) Distributions paid to shareholders from: Net investment income (0.08) (0.16) (0.21) (0.14) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 33.19 $ 27.10 $ 22.00 $ 26.30 $ 28.58 ======== ======== ======== ======== ======== TOTAL RETURN (c) 22.77% 23.94% (15.42)% (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $167,625 $ 56,919 $ 8,799 $ 10,521 $ 5,715 Ratios to average net assets: Ratio of total expenses to average net assets 0.75% (d) 0.90% 1.28% 1.61% 5.98% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.62% (d) 0.73% 1.07% 0.54% 0.19% (d) Portfolio turnover rate (e) 53% 100% 120% 82% 1% First Trust Small Cap Core AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 24.98 $ 20.77 $ 24.79 $ 28.30 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.06 0.07 0.10 0.06 0.02 (b) Net realized and unrealized gain (loss) 4.94 4.21 (4.02) (3.50) (1.72) -------- -------- -------- -------- -------- Total from investment operations 5.00 4.28 (3.92) (3.44) (1.70) Distributions paid to shareholders from: Net investment income (0.08) (0.07) (0.10) (0.07) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 29.90 $ 24.98 $ 20.77 $ 24.79 $ 28.30 ======== ======== ======== ======== ======== TOTAL RETURN (c) 20.01% 20.63% (15.77)% (12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 94,190 $ 37,475 $ 8,307 $ 9,916 $ 5,660 Ratios to average net assets: Ratio of total expenses to average net assets 0.79% (d) 0.97% 1.40% 1.87% 7.25% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.58% (d) 0.36% 0.49% 0.25% 0.42% (d) Portfolio turnover rate (e) 54% 97% 105% 95% 2%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 119 First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Large Cap Value Opportunities AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 23.24 $ 19.10 $ 23.16 $ 28.35 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.15 0.34 0.47 0.43 0.06 (b) Net realized and unrealized gain (loss) 3.97 4.14 (4.06) (5.18) (1.71) -------- -------- -------- -------- -------- Total from investment operations 4.12 4.48 (3.59) (4.75) (1.65) Distributions paid to shareholders from: Net investment income (0.16) (0.34) (0.47) (0.44) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 27.20 $ 23.24 $ 19.10 $ 23.16 $ 28.35 ======== ======== ======== ======== ======== TOTAL RETURN (c) 17.74% 23.53% (15.23)% (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $106,087 $ 49,958 $ 18,141 $ 23,163 $ 5,669 Ratios to average net assets: Ratio of total expenses to average net assets 0.76% (d) 0.88% 1.07% 1.35% 6.95% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.46% (d) 1.73% 2.47% 1.80% 0.97% (d) Portfolio turnover rate (e) 44% 100% 146% 104% 1% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 23.91 $ 19.94 $ 26.57 $ 29.22 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.11 0.06 0.14 0.15 (0.00)(b)(f) Net realized and unrealized gain (loss) 4.91 3.96 (6.63) (2.65) (0.78) -------- -------- -------- -------- -------- Total from investment operations 5.02 4.02 (6.49) (2.50) (0.78) -------- -------- -------- -------- -------- Distributions paid to shareholders from: Net investment income (0.11) (0.05) (0.14) (0.15) -- Return of capital -- -- (0.00)(f) -- -- -------- -------- -------- -------- -------- Total distributions (0.11) (0.05) (0.14) (0.15) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 28.82 $ 23.91 $ 19.94 $ 26.57 $ 29.22 ======== ======== ======== ======== ======== TOTAL RETURN (c) 21.01% 20.20% (24.38)% (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 95,108 $ 39,445 $ 13,960 $ 37,204 $ 5,845 Ratios to average net assets: Ratio of total expenses to average net assets 0.77% (d) 0.91% 1.01% 1.17% 5.98% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.03% (d) 0.31% 0.54% 0.43% (0.07)% (d) Portfolio turnover rate (e) 81% 168% 152% 134% 1%
(a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. Page 120 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(R) Fund Financial Highlights For a share outstanding throughout each period First Trust Multi Cap Value AlphaDEX(R) Fund
For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 24.61 $ 20.20 $ 23.23 $ 27.95 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.17 0.37 0.29 0.35 0.06 (b) Net realized and unrealized gain (loss) 4.59 4.39 (3.02) (4.68) (2.11) -------- -------- -------- -------- -------- Total from investment operations 4.76 4.76 (2.73) (4.33) (2.05) Distributions paid to shareholders from: Net investment income (0.18) (0.35) (0.30) (0.39) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 29.19 $ 24.61 $ 20.20 $ 23.23 $ 27.95 ======== ======== ======== ======== ======== TOTAL RETURN (c) 19.37% 23.65% (11.51)% (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 26,273 $ 20,917 $ 10,101 $ 4,647 $ 2,795 Ratios to average net assets: Ratio of total expenses to average net assets 0.91% (d) 0.94% 2.17% 1.70% 7.91% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.28% (d) 1.45% 1.99% 1.45% 0.93% (d) Portfolio turnover rate (e) 42% 93% 134% 59% 2% First Trust Multi Cap Growth AlphaDEX(R) Fund For the Six For the Period Months Ended For the For the For the May 8, 2007 (a) January 31, 2011 Year Ended Year Ended Year Ended through (Unaudited) July 31, 2010 July 31, 2009 July 31, 2008 July 31, 2007 ---------------- ---------------- ---------------- ---------------- ---------------- Net asset value, beginning of period $ 25.07 $ 20.78 $ 27.63 $ 29.39 $ 30.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) 0.07 0.02 0.06 0.05 (0.01)(b) Net realized and unrealized gain (loss) 5.37 4.27 (6.84) (1.76) (0.60) -------- -------- -------- -------- -------- Total from investment operations 5.44 4.29 (6.78) (1.71) (0.61) -------- -------- -------- -------- -------- Distributions paid to shareholders from: Net investment income (0.09) -- (0.06) (0.04) -- Return of capital -- -- (0.01) (0.01) -- -------- -------- -------- -------- -------- Total distributions (0.09) -- (0.07) (0.05) -- -------- -------- -------- -------- -------- Net asset value, end of period $ 30.42 $ 25.07 $ 20.78 $ 27.63 $ 29.39 ======== ======== ======== ======== ======== TOTAL RETURN (c) 21.70% 20.64% (24.53)% (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 18,251 $ 7,520 $ 5,196 $ 8,288 $ 8,818 Ratios to average net assets: Ratio of total expenses to average net assets 1.08% (d) 1.40% 1.56% 1.55% 6.01% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.54% (d) 0.08% 0.29% 0.12% (0.21)% (d) Portfolio turnover rate (e) 86% 155% 153% 110% 1%
(a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 121 NOTES TO FINANCIAL STATEMENTS First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of sixteen funds:
First Trust Consumer Discretionary AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXU") First Trust Large Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTA") First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAD")
Each fund represents a separate series of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit". Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1) First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index
(1) This index is developed, maintained and sponsored by NYSE Euronext or its affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P. ("FTP") by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the Index was developed, maintained and sponsored by AMEX. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Page 122 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) A. Portfolio Valuation Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Portfolio securities listed on any exchange other than The NASDAQ(R) Stock Market, Inc. (NASDAQ(R)) 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(R) 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(R) 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(R) 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 pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its 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 January 31, 2011, is included with each Fund's Portfolio of Investments. B. Securities Transactions and Investment Income Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Page 123 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) Distributions received from a Fund's investments in publicly-traded master limited partnerships ("MLPs") generally are comprised of return of capital from the MLP to the extent of the cost basis of such MLP investments. Cumulative distributions received in excess of the Fund's cost basis in an MLP generally are recorded as capital gain. Distributions received from a Fund's investments in real estate investment trusts ("REITs") are comprised of return of capital, capital gains and income. The actual character of the amounts received during the year are not known until after the fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. A Fund's characterization may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. Dividends and Distribution to Shareholders Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by a Fund, timing differences and differing characterization of distributions made by a Fund. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2010 was as follows:
Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ----------------- ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 324,928 $ -- $ 12,472 First Trust Consumer Staples AlphaDEX(R) Fund 199,620 -- -- First Trust Energy AlphaDEX(R) Fund 128,295 -- -- First Trust Financials AlphaDEX(R) Fund 694,470 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 154,530 -- -- First Trust Materials AlphaDEX(R) Fund 880,891 -- -- First Trust Technology AlphaDEX(R) Fund -- -- -- First Trust Utilities AlphaDEX(R) Fund 696,815 -- -- First Trust Large Cap Core AlphaDEX(R) Fund 387,051 -- -- First Trust Mid Cap Core AlphaDEX(R) Fund 237,580 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 79,005 -- -- First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 586,236 -- -- First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 74,300 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 229,401 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund -- -- --
As of July 31, 2010, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------- ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (10,855,592) $ 2,217,356 First Trust Consumer Staples AlphaDEX(R) Fund 30,922 (1,954,654) 1,232,909 First Trust Energy AlphaDEX(R) Fund 1,319 (7,379,632) (1,810,271) First Trust Financials AlphaDEX(R) Fund 218,408 (5,372,045) 2,099,695 First Trust Health Care AlphaDEX(R) Fund -- (4,805,353) (889,921) First Trust Industrials/Producer Durables AlphaDEX(R) Fund 27,152 (3,400,459) 1,658,629 First Trust Materials AlphaDEX(R) Fund 61,080 (9,418,644) 3,514,627 First Trust Technology AlphaDEX(R) Fund -- (5,839,954) 425,912 First Trust Utilities AlphaDEX(R) Fund 56,861 (2,548,193) 328,054 First Trust Large Cap Core AlphaDEX(R) Fund 46,944 (6,307,166) 337,927 First Trust Mid Cap Core AlphaDEX(R) Fund 30,353 (5,387,460) 455,672 First Trust Small Cap Core AlphaDEX(R) Fund 11,904 (4,685,426) 539,565 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 45,212 (7,656,630) (770,288) First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 3,521 (15,149,955) 1,691,759 First Trust Multi Cap Value AlphaDEX(R) Fund 20,531 (2,763,772) (592,751) First Trust Multi Cap Growth AlphaDEX(R) Fund 5,726 (4,574,500) 791,968
Page 124 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) D. Income Taxes Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. The Funds are subject to tax accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2007, 2008, 2009, and 2010 remain open to federal and state audit. As of January 31, 2011, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. At July 31, 2010 for federal income tax purposes, each Fund has capital loss carryforwards available that are shown in the table below, to the extent provided by regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Capital Loss Capital Loss Capital Loss Capital Loss Total Available Available Available Available Capital through through through through Loss July 31, 2015 July 31, 2016 July 31, 2017 July 31, 2018 Available ------------- ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $ 1,138,594 $ 1,988,824 First Trust Consumer Staples AlphaDEX(R) Fund 3,068 83,534 422,511 1,058,131 1,567,244 First Trust Energy AlphaDEX(R) Fund -- 73,845 2,326,320 2,084,336 4,484,501 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 671,958 1,630,337 2,318,352 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 774,570 2,582,977 3,404,299 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 183,210 798,398 1,325,584 2,330,823 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 1,265,429 886,622 2,169,899 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 1,608,491 2,508,150 4,151,495 First Trust Utilities AlphaDEX(R) Fund 945 16,238 559,037 1,956,482 2,532,702 First Trust Large Cap Core AlphaDEX(R) Fund 15,102 8,528 2,600,275 2,800,653 5,424,558 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,119,642 4,197,909 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 1,882,188 1,600,982 3,609,675 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 1,854 80,299 2,272,260 5,098,300 7,452,713 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- 162,514 10,217,162 3,224,180 13,603,856 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,180,819 2,578,132 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 2,554,292 1,438,794 4,260,748
Capital losses incurred after October 31 ("Post-October Losses") within the taxable year can be deemed to arise on the first business day of each Fund's next taxable year. During the taxable year ended July 31, 2010, the following Funds incurred and elected to defer net capital losses as follows:
Post-October Losses ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 8,866,768 First Trust Consumer Staples AlphaDEX(R) Fund 387,410 First Trust Energy AlphaDEX(R) Fund 2,895,131 First Trust Financials AlphaDEX(R) Fund 3,053,693 First Trust Health Care AlphaDEX(R) Fund 1,401,054 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,069,636 First Trust Materials AlphaDEX(R) Fund 7,248,745 First Trust Technology AlphaDEX(R) Fund 1,688,459 First Trust Utilities AlphaDEX(R) Fund 15,491 First Trust Large Cap Core AlphaDEX(R) Fund 882,608 First Trust Mid Cap Core AlphaDEX(R) Fund 1,189,551 First Trust Small Cap Core AlphaDEX(R) Fund 1,075,751 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 203,917 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 1,546,099 First Trust Multi Cap Value AlphaDEX(R) Fund 185,640 First Trust Multi Cap Growth AlphaDEX(R) Fund 313,752
Page 125 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) On December 22, 2010, President Obama signed into law the Regulated Investment Company Modernization Act of 2010 effective for tax years beginning after December 22, 2010. Management is currently evaluating the impact, if any, that the Act will have on future financial statement disclosures. E. Expenses Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into licensing agreements with each of the following "Licensors" for the respective Funds: FUNDS LICENSOR First Trust Consumer Discretionary AlphaDEX(R) Fund Archipelago First Trust Consumer Staples AlphaDEX(R) Fund Archipelago First Trust Energy AlphaDEX(R) Fund Archipelago First Trust Financials AlphaDEX(R) Fund Archipelago First Trust Health Care AlphaDEX(R) Fund Archipelago First Trust Industrials/Producer Durables AlphaDEX(R) Fund Archipelago First Trust Materials AlphaDEX(R) Fund Archipelago First Trust Technology AlphaDEX(R) Fund Archipelago First Trust Utilities AlphaDEX(R) Fund Archipelago First Trust Large Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(R) Fund Standard & Poor's The respective license agreements allow for the use by FTP of certain trademarks and trade names of the respective Licensors and in the case of the First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, and the First Trust Utilities AlphaDEX(R) Fund (collectively, the "Sector Funds"), certain trademarks and trade names of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the "Advisor") are sub-licensees to the applicable license agreement. The respective Funds are required to pay licensing fees, which are shown on the Statements of Operations. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For these investment management services, First Trust is entitled to receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets. The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). Each Fund's Expense Cap will be in effect until the Expense Cap Termination Date listed in the following table. Page 126 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited)
Expense Cap Termination Date ---------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 12/6/2012 First Trust Consumer Staples AlphaDEX(R) Fund 12/6/2012 First Trust Energy AlphaDEX(R) Fund 12/6/2012 First Trust Financials AlphaDEX(R) Fund 12/6/2012 First Trust Health Care AlphaDEX(R) Fund 12/6/2012 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 12/6/2012 First Trust Materials AlphaDEX(R) Fund 12/6/2012 First Trust Technology AlphaDEX(R) Fund 12/6/2012 First Trust Utilities AlphaDEX(R) Fund 12/6/2012 First Trust Large Cap Core AlphaDEX(R) Fund 12/6/2012 First Trust Mid Cap Core AlphaDEX(R) Fund 12/6/2012 First Trust Small Cap Core AlphaDEX(R) Fund 12/6/2012 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 12/6/2012 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 12/6/2012 First Trust Multi Cap Value AlphaDEX(R) Fund 12/20/2012 First Trust Multi Cap Growth AlphaDEX(R) Fund 12/20/2012
Expenses reimbursed and fees waived by First Trust under the Expense Reimbursement, Fee Waiver and Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by the Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses or fees were reimbursed or waived by First Trust. These amounts would be included in "Expenses previously waived or reimbursed" on the Statement of Operations. The advisory fee waivers and expense reimbursements for the six months ended January 31, 2011 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows:
Expenses Borne by Advisor Subject to Recovery ----------------------------------------------------------------------- Advisory Expense Period Year Year Period Fee Reim- Ended Ended Ended Ended Waivers bursements July 31, 2008 July 31, 2009 July 31, 2010 January 31, 2011 Total -------- ---------- ------------- ------------- ------------- ---------------- -------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 38,774 $ -- $ 14,730 $ 38,005 $ 110,096 $ 38,774 $201,605 First Trust Consumer Staples AlphaDEX(R) Fund 21,105 -- 12,564 44,268 51,148 21,105 129,085 First Trust Energy AlphaDEX(R) Fund 22,184 -- 20,641 41,578 67,669 22,184 152,072 First Trust Financials AlphaDEX(R) Fund 54,077 -- 15,230 43,241 104,140 54,077 216,688 First Trust Health Care AlphaDEX(R) Fund 22,440 -- 19,326 55,680 66,052 22,440 163,498 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 21,868 -- 16,280 36,527 52,980 21,868 127,655 First Trust Materials AlphaDEX(R) Fund 56,670 -- 14,819 41,022 114,679 56,670 227,190 First Trust Technology AlphaDEX(R) Fund 24,709 -- 17,305 44,308 67,139 24,709 153,461 First Trust Utilities AlphaDEX(R) Fund 21,875 -- 15,302 61,924 53,420 21,875 152,521 First Trust Large Cap Core AlphaDEX(R) Fund 26,584 -- 36,440 57,160 73,433 26,584 193,617 First Trust Mid Cap Core AlphaDEX(R) Fund 24,917 -- 29,559 45,266 73,604 24,917 173,346 First Trust Small Cap Core AlphaDEX(R) Fund 24,883 -- 33,565 43,506 66,001 24,883 167,955 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 22,961 -- 32,700 62,297 64,402 22,961 182,360 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 21,980 -- 52,157 55,316 52,810 21,980 182,263 First Trust Multi Cap Value AlphaDEX(R) Fund 24,781 -- 23,165 70,667 41,081 24,781 159,694 First Trust Multi Cap Growth AlphaDEX(R) Fund 22,587 -- 24,882 49,485 49,427 22,587 146,381
Page 127 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for performing transfer agency services for the Trust. BNYM is a subsidiary of the Bank of New York Mellon Corporation, a financial holding company. James A. Bowen, the President of First Trust, on October 12, 2010, acquired 100% of the voting stock of The Charger Corporation, the general partner of First Trust (the "Transaction"). First Trust 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 the Funds or First Trust. The consummation of the Transaction was 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 former 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 approved interim investment management agreement with First Trust which was entered into effective upon the closing of the Transaction and would be in effect for a maximum period of 150 days. A new investment management agreement with First Trust was approved by the Board of Trustees for each Fund and was submitted to shareholders of each Fund as of the record date (September 30, 2010) for approval to take effect upon such shareholder approval. Special meetings of the shareholders of the Funds were held on December 6, 2010 and December 20, 2010. The new investment management agreement between the Trust and First Trust relating to the change in control of First Trust was approved by shareholders of each Fund. See Submission of Matters to a Vote of Shareholders, in the Additional Information section of this report, for the results. 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. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each additional trust in the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with Board or Committee meetings. Additionally, the Lead Independent Trustee is paid $10,000 annually, the Chairman of the Audit Committee is paid $5,000 annually and each of the Chairmen of the Nominating and Governance Committee and Valuation Committee is paid $2,500 annually to serve in such capacities, with such compensation paid by the trusts in the First Trust Fund Complex and allocated equally among those trusts. Trustees are also reimbursed by the trusts in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and each Committee chairman will serve two-year terms ending December 31, 2011, before rotating to serve as chairman of another Committee or as Lead Independent Trustee. The officers and "Interested" Trustee receive no compensation from the trusts for serving in such capacities. Page 128 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2011, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales -------------- -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $111,877,835 $111,852,395 First Trust Consumer Staples AlphaDEX(R) Fund 17,408,187 17,473,124 First Trust Energy AlphaDEX(R) Fund 29,522,671 29,524,556 First Trust Financials AlphaDEX(R) Fund 92,028,206 91,817,301 First Trust Health Care AlphaDEX(R) Fund 23,145,948 22,804,999 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 17,917,355 17,930,652 First Trust Materials AlphaDEX(R) Fund 182,370,429 182,820,823 First Trust Technology AlphaDEX(R) Fund 46,661,422 46,631,156 First Trust Utilities AlphaDEX(R) Fund 13,531,154 13,489,962 First Trust Large Cap Core AlphaDEX(R) Fund 44,971,220 44,956,188 First Trust Mid Cap Core AlphaDEX(R) Fund 53,447,723 53,443,127 First Trust Small Cap Core AlphaDEX(R) Fund 30,903,949 30,952,719 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 31,828,072 31,944,862 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 49,514,233 49,434,356 First Trust Multi Cap Value AlphaDEX(R) Fund 9,733,231 9,743,041 First Trust Multi Cap Growth AlphaDEX(R) Fund 10,178,842 10,171,389
For the six months ended January 31, 2011, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales -------------- -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $340,996,851 $ 85,944,503 First Trust Consumer Staples AlphaDEX(R) Fund 23,939,320 14,981,614 First Trust Energy AlphaDEX(R) Fund 75,833,755 30,247,241 First Trust Financials AlphaDEX(R) Fund 305,247,668 74,780,261 First Trust Health Care AlphaDEX(R) Fund 34,856,502 24,461,423 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 28,046,802 18,319,544 First Trust Materials AlphaDEX(R) Fund 413,458,267 134,862,267 First Trust Technology AlphaDEX(R) Fund 99,197,729 47,463,283 First Trust Utilities AlphaDEX(R) Fund 29,453,985 19,096,115 First Trust Large Cap Core AlphaDEX(R) Fund 124,831,330 43,187,347 First Trust Mid Cap Core AlphaDEX(R) Fund 133,683,554 42,644,367 First Trust Small Cap Core AlphaDEX(R) Fund 72,092,160 24,737,378 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 79,900,797 35,251,452 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 89,185,081 43,931,794 First Trust Multi Cap Value AlphaDEX(R) Fund 12,370,334 11,098,720 First Trust Multi Cap Growth AlphaDEX(R) Fund 22,047,301 13,294,546
5. CREATION, REDEMPTION & TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth as follows: Number of Securities Creation in a Creation Unit Transaction Fee -------------------- --------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 Page 129 NOTES TO FINANCIAL STATEMENTS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee -------------------- --------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 1, 2011. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 21, 2011, the Board of Trustees approved the change in the name of the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund to the First Trust Large Cap Value AlphaDEX(R) Fund. The ticker symbol and CUSIP number for the Fund remain the same. The Index provider changed the name of the Fund's underlying Index from the Defined Large Cap Value Opportunities Index to the Defined Large Cap Value Index. The changes to the Fund name and the underlying index name had no effect on the investment strategies or risks of the Fund. On March 21, 2011, the Board of Trustees also approved the change in the name of the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund to the First Trust Large Cap Growth AlphaDEX(R) Fund. The ticker symbol and CUSIP number for the Fund remain the same. The Index provider changed the name of the Fund's underlying Index from the Defined Large Cap Growth Opportunities Index to the Defined Large Cap Growth Index. The changes to the Fund name and the underlying index name had no effect on the investment strategies or risks of the Fund. Page 130 ADDITIONAL INFORMATION First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the 12-months ended June 30, 2010 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of each Fund's portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS Special meetings of the shareholders of the Funds were held on December 6, 2010 and December 20, 2010. A new investment management agreement between the Trust and First Trust relating to the change in control of First Trust Advisors L.P. was approved at certain of such meetings as detailed below. The terms of the new investment management agreement are substantially similar to the terms of the previous agreements.
Ticker Symbol Date of Vote % of Voted Voted For Voted Against Abstained ------------- ------------ ------------ ------------ ------------- ------------- FXD 12/6/2010 64.36% 8,023,477 23,087 30,745 FXG 12/6/2010 65.69% 980,718 1,432 3,168 FXN 12/6/2010 59.26% 1,586,396 6,688 7,004 FXO 12/6/2010 64.23% 9,277,727 32,269 35,547 FXH 12/6/2010 57.67% 1,256,923 4,162 7,667 FXR 12/6/2010 70.40% 1,432,303 7,976 3,013 FXZ 12/6/2010 64.28% 7,369,526 24,698 29,751 FXL 12/6/2010 62.85% 2,240,545 16,612 8,607 FXU 12/6/2010 68.42% 1,594,583 6,619 6,560 FEX 12/6/2010 53.38% 1,583,490 27,915 43,323 FNX 12/6/2010 57.78% 1,445,920 9,102 18,357 FYX 12/6/2010 50.66% 760,826 8,797 15,559 FTA 12/6/2010 64.24% 1,671,566 3,230 24,701 FTC 12/6/2010 55.73% 1,045,916 671 12,334 FAB 12/20/2010 51.20% 444,255 4,465 12,086 FAD 12/20/2010 50.16% 137,045 1,077 12,351
Page 131 ADDITIONAL INFORMATION (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) ADVISORY AGREEMENT Board Considerations Regarding Approval of Investment Management Agreements The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, approved the Interim Investment Management Agreement and the New Investment Management Agreement (collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following sixteen series of the Trust (each a "Fund" and collectively, the "Funds"): 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 Multi Cap Growth AlphaDEX(R) Fund First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 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 The Board approved the Agreements at a meeting held on September 20, 2010. The Board determined that the terms of the Agreements are fair and reasonable and that the Agreements are in the best interests of the Trust and each Fund. The Board also determined that it believes that the scope and quality of services to be provided to the Trust and each Fund under the Agreements will be at least equivalent to the scope and quality of services provided under the current Investment Management Agreement with the Advisor (the "Original Agreement"). On August 25, 2010, the Independent Trustees were informed that James A. Bowen, the President of the Advisor and a Trustee and Chairman of the Board of the Trust, had entered into an agreement to acquire 100% of the common stock of The Charger Corporation, the general partner of the Advisor (the "Transaction"), the consummation of which would constitute a "change of control" of the Advisor and would result in the "assignment" and termination of the Original Agreement under its terms and in accordance with Section 15 of the Investment Company Act of 1940, as amended (the "1940 Act"). On August 31, 2010, counsel to the Independent Trustees forwarded to Mr. Bowen and the Advisor a request for information regarding the Transaction. In anticipation of the consummation of the Transaction, the Board at its meeting held on September 20, 2010, considered the information provided by Mr. Bowen and the Advisor in response to the Independent Trustees' request for information and considered the approval of the Agreements. To reach its determination, the Board considered its duties under the 1940 Act, as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. In connection with its deliberations regarding the Agreements, the Board noted the Advisor's representation that apart from their effective and termination dates and any provisions of the Interim Investment Management Agreement required by Rule 15a-4 under the 1940 Act, the Agreements were the same in all material respects as the Original Agreement. The Board noted that it had recently considered the Advisor's capabilities and the terms of the Original Agreement at a meeting held on March 21-22, 2010 and had determined to renew the Original Agreement on behalf of each Fund for an additional one-year term (the "2010 Renewal"). The Board considered that in connection with the 2010 Renewal, it had received a report from the Advisor that, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged by investment advisors to comparable funds and as compared to fees charged to other clients of the Advisor; expenses of each Fund compared to expense ratios of comparable funds; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall out benefits to the Advisor and its affiliate, First Trust Portfolios L.P.; and information on the Advisor's compliance program. Prior to the September meeting, the Advisor represented to the Board that there had been no material changes to the information provided in March 2010 in connection with the 2010 Renewal and that the Board could continue to rely on such information. Page 132 ADDITIONAL INFORMATION (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) Because the Board determined that any differences between the Original Agreement and the Agreements were immaterial, the Board determined that much of its previous analysis in connection with the 2010 Renewal applied to its review and consideration of the Agreements. Accordingly, the Board took note of such prior analysis and supplemented it with the additional considerations noted below. The Independent Trustees also met separately with their independent legal counsel to discuss the Transaction and their consideration of the Agreements. In reviewing the Agreements for each Fund, the Board considered the nature, quality and extent of services to be provided by the Advisor under the Agreements. The Board noted that the Transaction was not expected to result in any changes to the personnel of the Advisor responsible for providing services to the Trust and each Fund. The Board also considered the representations of the Advisor that there will be no diminution in services provided under the Agreements. In light of the information presented and the considerations made at the September meeting, including the considerations made in connection with the 2010 Renewal, the Board concluded that the nature, quality and extent of services to be provided to the Trust and each Fund by the Advisor under the Agreements are expected to be satisfactory. The Board considered the advisory fees payable by each Fund under the Agreements, noting that they would be the same as the fees payable by each Fund under the Original Agreement. The Board considered that the Advisor agreed to extend the expense cap for each Fund for a two-year period in connection with the approval of the Agreements. For each Fund, the Board noted that expenses borne by the Advisor are proposed to be subject to reimbursement by the Fund for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne by the Advisor. The Board considered that in connection with the 2010 Renewal it had reviewed the fees charged by the Advisor to other exchange-traded funds ("ETFs") and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the fees charged to the Funds. The Board also considered performance information for each Fund, including each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance and portfolio risk on an ongoing basis. In light of the information presented on the fees and performance of each Fund and the considerations made at the September meeting, including the considerations made in connection with the 2010 Renewal, the Board concluded that the advisory fees for each Fund were reasonable and appropriate in light of the nature, quality and extent of services expected to be provided by the Advisor to each Fund under the Agreements. The Board noted that the Advisor has continued to invest in personnel and infrastructure and considered whether fee levels reflect any economies of scale for the benefit of shareholders. The Board concluded that the advisory fee for each Fund continues to reflect an appropriate level of sharing of any economies of scale at current asset levels. The Board noted that in connection with the 2010 Renewal it had reviewed the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2009 and had noted that the Advisor estimated that it incurred a loss in providing services to each Fund in 2009. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that approval of the Agreements is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 133 RISK CONSIDERATIONS First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) Risks are inherent in all investing. You should consider each Fund's investment objective, risks, charges and expenses carefully before investing. You can download each Fund's prospectus at http://www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund. For additional information about the risks associated with investing in the Funds, please see the Funds' statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded AlphaDEX(R) Fund. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund. Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track. Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds. Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence. Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets. Page 134 RISK CONSIDERATIONS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, the First Trust Utilities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, the First Trust Multi Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund and the First Trust Small Cap Core AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund normally invests at least 90% of its assets in common stocks that comprise the Index upon which it is based. The securities of companies represented in the Index upon which each Fund is based generally have market capitalizations that are consistent with the name of the Index. For purposes of determining the market capitalization range of such securities, the Fund will use the current range of the Index upon which it is based. However, the Fund will not be forced to sell a stock because the stock has exceeded or fallen below the current market capitalization range of the Index. Because of market movement, there can be no assurance that the securities in a Fund will stay within a given market capitalization range. As a result, each Fund may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range. The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits and may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, oil prices have been extremely volatile. The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; decreases in the availability of capital; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. In addition, the Fund may invest in companies that may be significantly affected by the downturn in the U.S. and world economies that began with the significant decline in the subprime mortgage lending market in the United States. The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Companies in the health care sector are involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services, and are subject to extensive competition, generic drug sales or the loss of patent protection, product Page 135 RISK CONSIDERATIONS (CONTINUED) First Trust Exchange-Traded AlphaDEX(R) Fund January 31, 2011 (Unaudited) liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Companies in the materials sector are involved in the extracting or processing of raw materials. General risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. General risks of technology companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of a Fund's assets can decline as can the value of a Fund's distributions. Common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. The Funds may invest in non-U.S. securities publicly traded in the United States. Securities issued by non-U.S. companies present risks beyond those of securities of U.S. issuers. Risks of investing in non-U.S. securities include: different accounting standards; expropriation, nationalization or other adverse political or economic developments; currency devaluation, blockages or transfer restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions on non-U.S. investments and exchange of securities; and less government supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S. securities also may be more volatile. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 136 [GRAPHIC OMITTED] FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 BOARD ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 -------------------------------------------------------------------------------- Inside Back Cover [BLANK BACK COVER] Item 2. Code of Ethics. Not applicable. Item 3. Audit Committee Financial Expert. Not applicable. Item 4. Principal Accountant Fees and Services. Not applicable. Item 5. Audit Committee of Listed Registrants. Not applicable. Items 6. Investments. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. Item 11. Controls and Procedures. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits. (a)(1) Not Applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not Applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund By /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 23, 2011 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: March 23, 2011 By /s/ Mark R. Bradley -------------------------------------------- Name: Mark R. Bradley Title: Treasurer, Chief Financial Officer and Chief Accounting Officer Date: March 23, 2011