0001445546-11-003805.txt : 20111006 0001445546-11-003805.hdr.sgml : 20111006 20111006123813 ACCESSION NUMBER: 0001445546-11-003805 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20110731 FILED AS OF DATE: 20111006 DATE AS OF CHANGE: 20111006 EFFECTIVENESS DATE: 20111006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 111128718 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financial AlphaDEX Fund C000048899 First Trust Financial AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU 0001383496 S000031804 First Trust Mid Cap Growth AlphaDEX Fund C000099059 First Trust Mid Cap Growth AlphaDEX Fund FNY 0001383496 S000031805 First Trust Mid Cap Value AlphaDEX Fund C000099060 First Trust Mid Cap Value AlphaDEX Fund FNK 0001383496 S000031806 First Trust Small Cap Growth AlphaDEX Fund C000099061 First Trust Small Cap Growth AlphaDEX Fund FYC 0001383496 S000031807 First Trust Small Cap Value AlphaDEX Fund C000099062 First Trust Small Cap Value AlphaDEX Fund FYT 0001383496 S000032963 First Trust Mega Cap AlphaDEX Fund C000101702 First Trust Mega Cap AlphaDEX Fund FMK N-CSR 1 adex_ncsr.txt ANNUAL REPORT TO SHAREHOLDERS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ----------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------------------- (Exact name of registrant as specified in charter) 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: July 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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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 annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 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 AlphaDEX(R) Fund First Trust Large Cap Growth -AlphaDEX(R) Fund First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Multi Cap Growth AlphaDEX(R) Fund First Trust Mid Cap Value AlphaDEX(R) Fund First Trust Mid Cap Growth AlphaDEX(R) Fund First Trust Small Cap Value AlphaDEX(R) Fund First Trust Small Cap Growth AlphaDEX(R) Fund First Trust Mega Cap AlphaDEX(R) Fund AlphaDEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- Front Cover -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 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 AlphaDEX(R) Fund.......................... 28 First Trust Large Cap Growth AlphaDEX(R) Fund......................... 30 First Trust Multi Cap Value AlphaDEX(R) Fund.......................... 32 First Trust Multi Cap Growth AlphaDEX(R) Fund......................... 34 First Trust Mid Cap Value AlphaDEX(R) Fund............................ 36 First Trust Mid Cap Growth AlphaDEX(R) Fund........................... 38 First Trust Small Cap Value AlphaDEX(R) Fund.......................... 40 First Trust Small Cap Growth AlphaDEX(R) Fund......................... 42 First Trust Mega Cap AlphaDEX(R) Fund................................. 44 Notes to Fund Performance Overview.......................................... 46 Understanding Your Fund Expenses............................................ 47 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund................... 50 First Trust Consumer Staples AlphaDEX(R) Fund......................... 53 First Trust Energy AlphaDEX(R) Fund................................... 54 First Trust Financials AlphaDEX(R) Fund............................... 56 First Trust Health Care AlphaDEX(R) Fund.............................. 59 First Trust Industrials/Producer Durables AlphaDEX(R) Fund............ 61 First Trust Materials AlphaDEX(R) Fund................................ 63 First Trust Technology AlphaDEX(R) Fund............................... 65 First Trust Utilities AlphaDEX(R) Fund................................ 67 First Trust Large Cap Core AlphaDEX(R) Fund........................... 69 First Trust Mid Cap Core AlphaDEX(R) Fund............................. 75 First Trust Small Cap Core AlphaDEX(R) Fund........................... 80 First Trust Large Cap Value AlphaDEX(R) Fund.......................... 87 First Trust Large Cap Growth AlphaDEX(R) Fund......................... 91 First Trust Multi Cap Value AlphaDEX(R) Fund.......................... 95 First Trust Multi Cap Growth AlphaDEX(R) Fund......................... 103 First Trust Mid Cap Value AlphaDEX(R) Fund............................ 111 First Trust Mid Cap Growth AlphaDEX(R) Fund........................... 114 First Trust Small Cap Value AlphaDEX(R) Fund.......................... 117 First Trust Small Cap Growth AlphaDEX(R) Fund......................... 121 First Trust Mega Cap AlphaDEX(R) Fund................................. 125 Statements of Assets and Liabilities........................................ 128 Statements of Operations.................................................... 134 Statements of Changes in Net Assets......................................... 140 Financial Highlights........................................................ 148 Notes to Financial Statements............................................... 159 Report of Independent Registered Public Accounting Firm..................... 170 Additional Information...................................................... 171 Board of Trustees and Officers.............................................. 175 Risk Considerations......................................................... 177 Privacy Policy.............................................................. 180 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 JULY 31, 2011 Dear Shareholders: I'm pleased to present you with the 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. While the recent market volatility has been challenging, successful investors understand that the success they have achieved is typically because of their long-term investment perspective through all kinds of markets. The report you hold gives detailed information for the past twelve 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 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 ANNUAL REPORT JULY 31, 2011 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/INVESTING The current economic recovery is real, even if it has been largely a jobless one. Most economists expect the GDP growth rate in the U.S. to range from 2.5% to 3.0% in 2011, while the International Monetary Fund has made no adjustments to its 4.5% global growth rate estimate for this year. The Federal Reserve remains committed to keeping the federal funds rate at 0-0.25% until economic activity and job creation strengthens. It officially stated that it intends to leave rates as is until mid-2013. What has become apparent to us, however, is that business conditions are so sound that many companies, both here and abroad, are actually thriving. We are encouraged by this in light of the fact that so many governments, including our own, are struggling to get their fiscal houses in order. While U.S. corporate profits are booming, job growth remains tepid and wages stagnant. Corporate profits accounted for an unprecedented 88% of economic growth from the end of the recession in June 2009 through December 2010, according to Andrew Sum, director of the Center for Labor Market Studies at Northeastern University. That showing compares favorably with 53% after the 2001 recession, nothing after the 1991-92 recession and 28% after the 1981-82 recession. On the other hand, wages and salaries accounted for just 1% of economic growth from 6/09-12/10. That showing compares unfavorably with 15% after the 2001 recession, 50% after the 1991-92 recession and 25% after the 1981-82 recession. The combination of low interest rates in the U.S., relatively low inflation, rising corporate earnings and record cash holdings, robust M&A activity, and a recovery in the IPO market makes this an ideal time to own equities, in our opinion. U.S. STOCKS AND BONDS All of the major U.S. stock indices posted double-digit gains for the 12-month period ended July 2011. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were up 19.7%, 25.8%, and 24.7%, respectively, according to Bloomberg. All 10 major sectors in the S&P 500 posted gains. The top-performing sector was Energy, up 42.4%, while the weakest showing came from Financials, up 2.0%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected be 17.7% in 2010 and 14.3% in 2011, according to Standard & Poor's. The S&P 500 closed July 2011 at 1292.28, 17.4% below its all-time high of 1565.15 on October 9, 2007. While the market has performed well since the end of the bear market in March 2009, investors need to accept the notion that volatility could be more prevalent moving forward due to such things as heavy trading volumes in ETFs and high-speed trading. The bull market that began in March 2009 has already experienced eight sell-offs of at least 5%, more than any bull market in the past 73 years, according to InvesTech Research. In the U.S. bond market, all of the domestic categories performed well. Once again, the top-performing group by far was speculative-grade debt. The Barclays Capital U.S. Corporate High Yield Index posted a total return of 13.0%. The next closest domestic category was investment-grade corporates, up 6.4%, as measured by the Barclays Capital Intermediate Corporate Index. Tax-free municipal bonds posted the weakest showing of the major categories, up 2.7%, as measured by the Barclays Capital Municipal Bond: Long Bond (22+) Index. FOREIGN STOCKS AND BONDS A year ago, riskier asset classes dominated their lower-risk counterparts in the overseas markets. Over the past 12 months, the lower-risk asset classes held their own as investors began to discount slower growth in the U.S. and global economy. The ongoing sovereign debt concerns in Europe and the downgrade by Standard & Poor's of the U.S. from its longstanding AAA- rating to AA+ added to the anxiety. From a guidance standpoint, perhaps the most critical decisions moving forward with respect to the prospects for economic growth will come from governmental policymakers, not the private sector. In the U.S., Congress and the Obama Administration will primarily be focusing on job creation and debt reduction. We expect some lively debate over the regulatory climate, the viability/cost of Obamacare and cutting corporate taxes. In Europe, look for the discussion to focus on how the stronger members of the European Union can support the weaker members, like Greece. The Barclays Capital Global Emerging Markets Index of debt securities rose 11.0% (USD), while the MSCI Emerging Markets Index of stocks returned 17.5% (USD). The Barclays Capital Global Aggregate Index of higher-quality debt returned 9.1% (USD), while the MSCI World Index (excluding the U.S.) of stocks from developed countries rose 17.9% (USD). The U.S. dollar declined by 9.4% against a basket of major currencies, as measured by the Dollar Index (DXY). 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 JULY 31, 2011 ---------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 34.75% 2.12% 9.26% Market Price 34.75% 2.11% 9.26% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 35.84% 2.93% 13.01% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Consumer Discretionary Index 28.50% 1.85% 8.05% Russell 1000(R) Consumer Discretionary Index(1) 28.49% NA NA ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXD's one-year net asset value ("NAV") return of +34.75% outperformed the benchmark S&P 500(R) Consumer Discretionary Index return of +28.50% by +6.25%. The Specialty Retail industry led all industries in the Fund with a +8.7% contribution to the Fund's total return. The Fund's holdings in the industry had a solid annual return of +39.9% and had an average Fund weight of 23.0%. Tractor Supply Co. was the best individual contributor from the industry with a +1.1% contribution on an annual return of +91.0%. In April the company reported first quarter 2011 sales of $836.6 million, which is a company record and a +17.7% increase from the first quarter of 2010. The Hotels Restaurants & Leisure industry was the second best-contributing industry in the Fund with a +5.8% contribution. Chipotle Mexican Grill, Inc. was the industry's best individual contributor and performer with a contribution of +1.2% and an annual return of +119.4%. An increase in consumers dining out helped the company report a +22.8% increase in net income in the first quarter of 2011 versus the first quarter of 2010, even as higher food prices cut into margins. The Internet & Catalog Retail industry was the top-performing industry in the Fund, with a +105.6% one-year return. Netflix, Inc., the Fund's second best performer and contributor, was a major part of the industry's strong performance. The online movie rental company had an annual return of +159.4% and contributed +1.5% to the Fund's total return after reaching 20 million subscribers in January 2011 and planning to expand services available in Latin America. Even though the Internet & Catalog Retail industry only had an average Fund weight of 4.6%, the industry's strong performance enabled it to contribute +3.2% to the Fund's total return. Apparel company Fossil, Inc. was the Fund's best individual performer and contributor with an annual return of +217.3% and a +1.8% contribution to the Fund's total return. The company raised its profit forecast for 2011 to $4.44/share as sales surged, particularly in Asia. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Consumer Discretionary Index, during the period covered by this report. The Specialty Retail industry was the leading source of outperformance as the Fund's holdings in the industry outperformed the benchmark's constituents +39.9% to +23.0% for the year covered. The Fund's overweight position in the strong-performing Auto Components industry relative to the benchmark also contributed to Fund outperformance. Being underweight the top-performing Internet & Catalog Retail industry relative to the benchmark was a drag on the Fund's relative performance. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 93.93% Consumer Staples 2.71 Industrials 3.08 Information Technology 0.28 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Career Education Corp. 1.52% Fossil, Inc. 1.52 Polaris Industries, Inc. 1.51 Gap (The), Inc. 1.51 Tempur-Pedic International, Inc. 1.51 DSW, Inc., Class A 1.49 RadioShack Corp. 1.49 AutoNation, Inc. 1.46 Sally Beauty Holdings, Inc. 1.43 Garmin Ltd. 1.40 ------- Total 14.84% =======
------------------------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ------------------------------------------------------------------------------------------------------------- First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index 5/8/07 10000 10000 10000 10000 7/31/07 9415 9439 9674 9418 1/31/08 8296 8349 9261 8326 7/31/08 7133 7194 8647 7355 1/31/09 4347 4406 5911 5679 7/31/09 6482 6601 6903 6667 1/31/10 7427 7592 7611 7697 7/31/10 8108 8319 7904 8410 1/31/11 9984 10281 9387 10051 7/31/11 10925 11302 9539 10806 -------------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 224 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 - 7/31/11 28 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 JULY 31, 2011 ---------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 31.21% 6.10% 28.44% Market Price 31.22% 6.08% 28.38% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 32.28% 6.88% 32.50% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Consumer Staples Index 17.70% 5.99% 27.89% Russell 1000(R) Consumer Staples Index(1) 20.05% NA NA ----------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXG's one-year NAV return of +31.21% outperformed the benchmark S&P 500(R) Consumer Staples Index return of +17.70% by +13.51%. The Food Products industry was the main story of the Fund during the time covered by this report. The Fund's holdings in the industry had a one-year return of +37.2% and had an average weight in the Fund of 50.2%. As a result, the industry contributed +18.5% to the Fund's total return. Green Mountain Coffee Roasters, Inc. topped all the holdings in the Food Products industry and in the entire Fund with a +254.1% return while it was held in the Fund and a +5.1% contribution to total return. In March 2011, the company's stock surged after the company agreed to distribute Starbucks coffees and teas for its popular Keurig brewing system. Ralcorp Holdings, Inc. was another top contributor from the Food Products industry. The company had a +48.1% one-year return and contributed +1.7% to the Fund's total return as unsolicited takeover bids from ConAgra Foods, Inc. drove Ralcorp Holdings' stock higher. The Personal Products industry was the second best-contributing industry in the Fund, with a +4.6% contribution. The Fund's holdings in the industry had a +86.6% annual return because a majority of the industry's weight was in Herbalife Ltd. In May, the company raised its earnings forecast for 2011 after announcing that first quarter 2011 sales had increased +28.5% from the same quarter in 2010. For the year covered by this report, Herbalife's stock returned +127.8% and contributed +4.5% to the Fund's total return. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Consumer Staples Index. The Food Products industry was the main cause of outperformance. Previously mentioned Green Mountain Coffee Roasters, Inc. and Ralcorp Holdings, Inc. were responsible for about half of the industry's outperformance as neither company was a part of the benchmark. The Personal Products industry was the second leading cause of outperformance due to Herbalife, Ltd. The Fund held the company at an average weight of 4.9% and the company was not a part of the benchmark. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Staples 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Green Mountain Coffee Roasters, Inc. 5.65% Archer-Daniels-Midland Co. 4.89 Smithfield Foods, Inc. 4.89 Bunge Ltd. 4.85 Herbalife Ltd. 4.69 Corn Products International, Inc. 4.47 Tyson Foods, Inc., Class A 4.39 Whole Foods Market, Inc. 4.08 Molson Coors Brewing Co., Class B 3.91 Constellation Brands, Inc., Class A 3.80 ------- Total 45.62% =======
---------------------------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ---------------------------------------------------------------------------------------------------------------- First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index 5/8/07 10000 10000 10000 10000 7/31/07 9555 9574 9674 9747 1/31/08 8917 8971 9261 10285 7/31/08 9091 9180 8647 10386 1/31/09 7142 7224 5646 8404 7/31/09 8442 8577 6903 9587 1/31/10 9133 9311 7611 10426 7/31/10 9790 10017 7904 10865 1/31/11 10958 11264 9387 11840 7/31/11 12844 13250 9539 12790 ----------------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 194 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 - 7/31/11 58 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 benchmark. NYSE Euronext constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------ PERFORMANCE AS OF JULY 31, 2011 ------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 48.70% 4.56% 20.74% Market Price 48.64% 4.58% 20.84% INDEX PERFORMANCE StrataQuant(R) Energy Index 49.82% 5.29% 24.35% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Energy Index 42.40% 4.91% 22.47% Russell 1000(R) Energy Index(1) 42.76% NA NA ------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXN's one-year NAV return of +48.70% outperformed the benchmark S&P 500(R) Energy Index return of +42.40% by +6.30%. In general, it was a strong year of performance for the Energy sector. Optimism toward global economic recovery and unrest in North Africa pushed oil prices higher in the second half of 2010 and the first quarter of 2011. Oil refiner HollyFrontier Corp. was the Fund's leading individual performer and contributor. The company, and other refiners, benefitted from the supply disruptions caused by the Libyan civil war. The disruptions caused the price of Brent oil to increase more than the price of Texas crude oil. Since gasoline and diesel prices typically follow changes in Brent oil prices, companies like HollyFrontier, which refine Texas crude oil, benefitted from a wider profit margin. HollyFrontier gained more access to discounted oil by announcing the acquisition of Frontier Oil Corp. for $2.9 billion. For the year covered by this report, HollyFrontier's stock returned +185.9% and contributed +3.8% to the Fund's total return. National OilWell Varco, Inc. was the Fund's second best-contributor with a +2.4% contribution to total return and an annual return of +107.1%. The company was helped by strong orders for its rig technology and a 10% increase in its quarterly dividend that was effective at the end of 2010. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Energy Index. HollyFrontier Corp. alone was a significant cause of Fund outperformance as the company contributed +3.8% to the Fund's total return and was not a part of the benchmark. Other companies making a large contribution to the Fund which were not a part of the benchmark were Atwood Oceanics, Inc. (+2.1% contribution), SM Energy Co. (+1.8% contribution) and Plains Exploration & Production Co. (+1.8% contribution). Exxon Mobil Corp. also added to the Fund's outperformance. The company had an average weight in the benchmark of 27.5%, and only 2.0% in the Fund. Exxon Mobil did have a solid annual return of +37.0%; however, that return underperformed the Fund and benchmark. Therefore, the Fund benefitted from being significantly underweight an underperforming asset. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Energy 97.58% Information Technology 2.42 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS HollyFrontier Corp. 3.23% Patterson-UTI Energy, Inc. 3.06 Chevron Corp. 3.01 Oil States International, Inc. 3.01 SEACOR Holdings, Inc. 2.99 Murphy Oil Corp. 2.91 Marathon Oil Corp. 2.88 Diamond Offshore Drilling, Inc. 2.87 ConocoPhillips 2.85 Petrohawk Energy Corp. 2.77 ------- Total 29.58% =======
-------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 -------------------------------------------------------------------------------------- First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Energy Index Index Energy Index 5/8/07 10000 10000 10000 10000 7/31/07 10370 10387 9674 10743 1/31/08 10594 10638 9261 10891 7/31/08 11990 12080 8647 11455 1/31/09 4831 4864 6047 7332 7/31/09 6865 6965 6903 8138 1/31/10 8005 8153 7611 8656 7/31/10 8119 8301 7904 8601 1/31/11 11422 11720 9387 11719 7/31/11 12073 12437 9539 12248 --------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 190 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 - 7/31/11 62 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 JULY 31, 2011 ------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 10.25% -6.40% -24.42% Market Price 10.17% -6.42% -24.48% INDEX PERFORMANCE StrataQuant(R) Financials Index 11.18% -5.48% -21.22% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Financials Index 1.96% -17.92% -56.64% Russell 1000(R) Financial Services Index(1) 4.65% NA NA ------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXO's one-year NAV return of +10.25% outperformed the benchmark S&P 500(R) Financials Index return of +1.96% by +8.29%. The Insurance industry led all industries in the Fund with a contribution to total return of +4.8%. The Fund's holdings in the industry had a +10.2% one-year return and made up an average of 44.5% of the Fund's weight. Erie Indemnity Co., a part of the Insurance industry, had a one-year return of +54.9% and was the Fund's top individual contributor with a contribution to total return of +0.5%. Despite a large number of catastrophe claims in the first half of 2011, Erie Indemnity was able to increase revenues on a year-over-year basis in both the first and second quarters of 2011. The company also received an A+ Superior rating from A.M. Best and made the list of Ward's 50 top-performing insurance companies. The Real Estate Investment Trust (REIT) industry contributed +1.6% to the Fund's total return, making it the second best-contributing industry. None of the Fund's top individual contributors were from the REIT industry, but the Fund's holdings from the industry had a collection of solid performers. Simon Property Group, Inc. was the best-performing REIT in the Fund with an annual return of +39.0%. The group, which is largest U.S. shopping mall owner, reported a +75.0% increase in funds from operations in the first quarter of 2011 versus the first quarter of 2010. Equity Residential was another strong-performing REIT, with an annual return of +38.6%. The apartment landlord benefitted from a weak home-buying market, driving apartment vacancies to a three-year low of 6.2%. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Financials Index. The Insurance industry and the Diversified Financial Services industry were the main causes of the Fund's outperformance. In the Insurance industry, the Fund benefitted from being overweight relative to the benchmark (44.5% vs. 24.9% average weight) and from stronger performance than the benchmark (+10.2% vs. +3.8% one-year return). In the Diversified Financial Services industry, the Fund benefitted from significant outperformance as the Fund's holdings in the industry had a one-year return of +16.3% versus the benchmark's -8.8%. In general, most companies in the industry performed well during the year. The difference in performance was caused by the Fund being significantly underweight troubled financial institutions Bank of America Corp. (-30.6% one-year return) and Citigroup, Inc. (-6.4% one-year return). Combined, these two companies had an average weight of 0.6% in the Fund compared to a 13.7% average weight in the benchmark. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Financials 90.89% Information Technology 7.28 Consumer Discretionary 1.14 Industrials 0.69 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Arch Capital Group Ltd. 1.23% MBIA, Inc. 1.23 Alliance Data Systems Corp. 1.21 Fidelity National Financial, Inc., Class A 1.20 ACE Ltd. 1.18 Ares Capital Corp. 1.16 Chubb (The) Corp. 1.16 JPMorgan Chase & Co. 1.14 Leucadia National Corp. 1.14 Endurance Specialty Holdings Ltd. 1.14 ------- Total 11.79% =======
------------------------------------------------------------------------------------------------ PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ------------------------------------------------------------------------------------------------ First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Financials Index Index Financials Index 5/8/07 10000 10000 10000 10000 7/31/07 8955 8986 9674 8883 1/31/08 7939 8017 9261 7875 7/31/08 6363 6450 8647 5950 1/31/09 3908 3976 5646 3444 7/31/09 5412 5550 6903 3713 1/31/10 6429 6618 7611 4081 7/31/10 6856 7086 7904 4253 1/31/11 7898 8199 9387 4772 7/31/11 7558 7878 9539 4336 ------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 164 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 - 7/31/11 88 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 Health Care Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------- PERFORMANCE AS OF JULY 31, 2011 ----------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 32.67% 8.83% 43.01% Market Price 32.71% 8.83% 43.06% INDEX PERFORMANCE StrataQuant(R) Health Care Index 33.76% 9.72% 48.05% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Health Care Index 21.93% 0.33% 1.41% Russell 1000(R) Health Care Index(1) 23.16% NA NA -----------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXH's one-year NAV return of +32.67% outperformed the benchmark S&P 500(R) Health Care Index return of +21.93% by +10.74%. The Health Care Providers & Services industry led all industries in the Fund with a +11.7% contribution to total return as the Fund's holdings in the industry had a one-year return of +30.7%. Coventry Health Care, Inc. was the best individual contributor from the industry with a +1.5% contribution on a +61.3% one-year return. The company raised its 2011 profit forecast after reporting better than expected earnings per share for the first quarter of 2011 as revenues increased and costs remained stable. The Health Care Equipment & Supplies industry made the second-largest contribution to the Fund's total return with a +7.8% contribution. The Fund's holdings from the industry had a one-year return of +35.5%. Cooper Cos., a member of the industry, led all other individual holdings in the Fund with a +1.6% contribution to total return. On top of the company's solid earnings, Cooper Cos. has several new products set to launch in the near future, one being the Biofinity multifocal contact lens. Biotechnology company Alexion Pharmaceuticals, Inc. was the Fund's best individual performer with a one-year return of +108.8%. The company boosted its revenue forecast due to global growth of its drug Soliris, which is the first FDA-approved drug to treat chronic hemolysis. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Health Care Index. Much of the outperformance came from the Pharmaceutical industry. The industry was the most represented (50.6% average weight) and worst-performing (+17.8% one-year return) industry in the benchmark, which caused a drag on the benchmark's return relative to the Fund. The Fund's relative performance also benefitted from being overweight the stronger-performing Health Care Equipment & Supplies and Health Care Providers & Services industries relative to the benchmark. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Catalyst Health Solutions, Inc. 2.72% SXC Health Solutions Corp. 2.48 Perrigo Co. 2.38 Eli Lilly & Co. 2.36 Community Health Systems, Inc. 2.33 Cephalon, Inc. 2.32 Vertex Pharmaceuticals, Inc. 2.31 Watson Pharmaceuticals, Inc. 2.26 Cooper (The) Cos., Inc. 2.24 LifePoint Hospitals, Inc. 2.20 ------- Total 23.60% =======
------------------------------------------------------------------------------------------------------ PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ------------------------------------------------------------------------------------------------------ First Trust Health Care StrataQuant(R) Health Russell 1000(R) S&P 500(R) Health AlphaDEX(R) Fund Care Index Index Care Index 5/8/07 10000 10000 10000 10000 7/31/07 9740 9764 9674 9222 1/31/08 9645 9702 9261 9269 7/31/08 9465 9573 8647 8940 1/31/09 7330 7443 5646 7696 7/31/09 8830 9001 6903 7974 1/31/10 10750 10993 7611 9042 7/31/10 10780 11068 7904 8318 1/31/11 13190 13601 9387 9306 7/31/11 14302 14805 9539 10142 ------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 203 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 - 7/31/11 49 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 JULY 31, 2011 ----------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 17.68% -1.84% -7.56% Market Price 17.64% -1.88% -7.71% INDEX PERFORMANCE StrataQuant(R) Industrials Index 18.56% -1.10% -4.58% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Industrials Index 16.39% -0.92% -3.83% Russell 1000(R) Producer Durables Index(1) 17.71% NA NA -----------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXR's one-year NAV return of +17.68% outperformed the benchmark S&P 500(R) Industrials Index return of +16.39% by +1.29%. The Machinery industry led all industries in the Fund with a +5.9% contribution to total return. The Fund's holdings in the industry returned +21.6% and comprised an average of 25.9% of the Fund's weight. Gardner Denver, Inc. was the best individual performer (+68.6% one-year return) and contributor (+0.8% contribution) from the industry. The maker of air pumps and compressors easily beat earnings expectations for the first quarter of 2011 ($1.15/share actual vs. $0.95/share estimated) and raised its 2011 full-year profit forecast as sales increased +26% from the first quarter in 2010. The Construction & Engineering industry was the second best-contributing industry in the Fund with a +2.4% contribution to the Fund's total return. Chicago Bridge & Iron Co. N.V. led the Fund's holdings in the industry with a +83.6% one-year return and a +1.0% contribution to total return. In July 2011 the company's stock increased +5.7% in one day after the company was awarded a contract from Chevron Australia valued at around $2.3 billion. The Fund's best individual performer and contributor was McDermott International, Inc., which is classified as an Energy company by the Global Industry Classification Standards, but is included in the Industrials sector by RGS classification. While it was held in the Fund this reporting period, McDermott returned +106.3% and contributed +1.2% to the Fund's total return. For the first quarter of 2011, the energy-focused construction company reported a +17% increase in year-over-year profit largely due to high demand from the Asia Pacific and Middle East regions. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Industrials Index. The Fund gained relative to the benchmark by being underweight industrial conglomerates, General Electric Co. (+14.5% one-year return) and 3M Co. (+4.4% one-year return), both of which had performance that lagged the overall returns of the Fund and benchmark. The Fund had an average weight of 0.7% in these companies versus the benchmark's average weight of 20.7%. The Fund also gained relative performance by performing better than the benchmark in the Electrical Equipment industry. The Fund's holdings in the industry had a +28.3% one-year return versus the benchmark's +10.2% return from the industry. The Fund's outperformance was tempered by Frontline, Ltd., which was held in the Fund but not the benchmark. The company returned -52.4% while held in the Fund this reporting period and contributed -0.7% to the Fund's total return. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Industrials 85.70% Information Technology 10.36 Health Care 2.80 Energy 0.70 Materials 0.44 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Lexmark International, Inc., Class A 2.07% Gardner Denver, Inc. 1.83 TransDigm Group, Inc. 1.79 Accenture PLC, Class A 1.77 Huntington Ingalls Industries, Inc. 1.75 W.W. Grainger, Inc. 1.75 General Cable Corp. 1.69 Kennametal, Inc. 1.69 Towers Watson & Co., Class A 1.68 Alliant Techsystems, Inc. 1.65 ------- Total 17.67% =======
--------------------------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 --------------------------------------------------------------------------------------------------------------- First Trust Industrials/Producer StrataQuant(R) Russell 1000(R) S&P 500(R) Industrials Durables AlphaDEX(R) Fund Industrials Index Index Index 5/8/07 10000 10000 10000 10000 7/31/07 9435 9457 9674 10400 1/31/08 8770 8820 9261 9935 7/31/08 8792 8874 8647 9138 1/31/09 4967 5030 5646 5934 7/31/09 6081 6182 6903 6422 1/31/10 7233 7384 7611 7464 7/31/10 7854 8048 7904 8263 1/31/11 9675 9954 9387 9982 7/31/11 9243 9542 9539 9618 ---------------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 210 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 - 7/31/11 42 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 JULY 31, 2011 ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 23.12% 5.95% 27.69% Market Price 23.22% 5.97% 27.79% INDEX PERFORMANCE StrataQuant(R) Materials Index 24.13% 6.75% 31.80% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Materials Index 25.10% 1.32% 5.70% Russell 1000(R) Materials and Processing Index(1) 27.05% NA NA ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXZ's one-year NAV return of +23.12% underperformed the benchmark S&P 500(R) Materials Index return of +25.10% by -1.98%. The Chemicals industry led all industries in the Fund with a +11.8% contribution to total return. It was the heaviest-weighted industry in the Fund with an average weight of 39.1% and was the Fund's best-performing industry. CF Industries Holdings, Inc., a Chemicals industry holding, was the Fund's leading individual performer and contributor with a one-year return of +91.9% and a contribution to total return of +1.6%. The fertilizer company's revenue for the second quarter of 2011 increased +38% versus the same quarter of 2010 due to a farming sector boom led by high corn prices. Celanese Corp. was another top-performing stock from the Chemicals industry. The company had a one-year return of +68.1% and contributed +1.6% to the Fund's total return partially due to a new technology that can create ethanol from coal. The process is 25% to 35% cheaper than making ethanol from plants. The Metals & Mining industry was the second best-contributing industry in the Fund with a +4.2% contribution. The Fund's holdings in the sector had a one-year return of +18.2% and comprised an average of 22.2% of the Fund's weight. Cliffs Natural Resources, Inc. was the top individual contributor to the Fund's total return. The company returned +36.5% while held in the Fund for this period and contributed +1.0% to the Fund's total return. In February 2011, Cliffs Natural Resources announced record annual revenues of $4.7 billion for 2010 versus $2.3 billion in 2009. Record iron ore sales volumes in North America and Asia Pacific drove the revenue increase. On a relative basis, the Fund underperformed its primary benchmark, the S&P 500(R) Materials Index. The underperformance was primarily caused by the Fund's underweight position in Freeport-McMoRan Copper & Gold, Inc., which returned +60.0% during the reporting period. The Fund held the company at an average weight of 0.5%, while the benchmark had an average weight of 11.4% in the company. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Materials 87.87% Industrials 12.13 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Rockwood Holdings, Inc. 3.48% Celanese Corp., Class A 3.29 LyondellBasell Industries NV, Class A 3.26 Huntsman Corp. 3.23 Temple-Inland, Inc. 3.22 Polypore International, Inc. 3.19 Carpenter Technology Corp. 3.17 Kronos Worldwide, Inc. 3.14 Owens Corning, Inc. 3.03 Eastman Chemical Co. 3.01 ------- Total 32.02% =======
--------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 --------------------------------------------------------------------------------------------- First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Materials Index Index Materials Index 5/8/07 10000 10000 10000 10000 7/31/07 10085 10104 9674 9956 1/31/08 10310 10362 9261 10271 7/31/08 11037 11128 8647 10387 1/31/08 5255 5323 5646 5394 7/31/09 7814 7950 6903 7499 1/31/10 9265 9468 7611 7890 7/31/10 10371 10617 7904 8450 1/31/11 12736 13090 9387 10544 7/31/11 12769 13180 9539 10572 ---------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 200 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 - 7/31/11 52 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 JULY 31, 2011 -------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 20.40% 2.08% 9.08% Market Price 20.33% 2.08% 9.08% INDEX PERFORMANCE StrataQuant(R) Technology Index 21.42% 2.99% 13.29% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Information Technology Index 19.20% 3.16% 14.07% Russell 1000(R) Technology Index(1) 18.78% NA NA --------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXL's one-year NAV return of +20.40% outperformed the benchmark S&P 500(R) Information Technology Index return of +19.20% by +1.20%. Strong sales of mobile electronic devices helped the Semiconductor industry lead all industries in the Fund in performance and contribution. The Fund's holdings in the industry had a +29.8% one-year return and contributed +7.3% to the Fund's total return. Atmel Corp., a Semiconductor industry holding, was the Fund's best individual performer and contributor. In February 2011, the company reported full-year 2010 revenues of $1,644 million, an increase of +35% over 2009. The growth came largely from microcontroller revenues, which increased +95% to $892 million. For this reporting period, Atmel returned +131.1% and contributed +1.6% to the Fund's total return. Fairchild Semiconductor International, Inc. was another strong contributor from the Semiconductor industry. The company reported a +35% increase in sales and a +10% increase in gross margins for 2010 versus 2009. Fairchild had a one-year return of +65.0% and contributed +1.2% to the Fund's total return. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Information Technology Index. The Fund's outperformance came mostly from the Semiconductor industry. The Fund was overweight the industry relative to the benchmark (30.3% vs. 13.5% average weight) and the Fund's holdings performed better than the benchmark's constituents within the industry (+29.8% vs. +14.9%). In total, the Semiconductor industry contributed +7.3% to the Fund's total return and +1.8% to the benchmark's return. The Fund's outperformance was tempered by its underweight position in Apple, Inc. relative to the benchmark. Apple had an average weight of 1.4% in the Fund and 14.0% in the benchmark. During this reporting period, the company returned +51.8%, causing a +0.6% contribution to the Fund's total return and a +6.3% contribution to the benchmark's return. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS SanDisk Corp. 2.17% Intel Corp. 2.13 Marvell Technology Group Ltd. 2.12 Micron Technology, Inc. 2.09 Varian Semiconductor Equipment Associates, Inc. 2.09 Hewlett-Packard Co. 2.05 Western Digital Corp. 2.01 Computer Sciences Corp. 1.97 International Rectifier Corp. 1.94 Vishay Intertechnology, Inc. 1.94 ------- Total 20.51% =======
------------------------------------------------------------------------------------------------ PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ------------------------------------------------------------------------------------------------ First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Technology Index Index Technology Index 5/8/07 10000 10000 10000 10000 7/31/07 10235 10252 9674 10160 1/31/08 9030 9078 9261 9501 7/31/08 8815 8895 8647 9320 1/31/09 5205 5295 5646 6101 7/31/09 7236 7397 6903 8416 1/31/10 8246 8457 7611 9142 7/31/10 9060 9330 7904 9570 1/31/11 11868 12273 9387 11466 7/31/11 10908 11328 9539 11407 ------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 197 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 - 7/31/11 55 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 JULY 31, 2011 --------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 17.03% 0.20% 0.83% Market Price 16.95% 0.19% 0.82% INDEX PERFORMANCE StrataQuant(R) Utilities Index 17.97% 1.06% 4.55% Russell 1000(R) Index 20.68% -1.11% -4.61% S&P 500(R) Utilities Index 14.09% -1.65% -6.80% Russell 1000(R) Utilities Index(1) 17.47% NA NA ---------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FXU's one-year NAV return of +17.03% outperformed the benchmark S&P 500(R) Utilities Index return of +14.09% by +2.94%. Many of the Fund's top-performing companies are classified as being from the Energy and Telecommunications sectors under the Global Industry Classification Standards ("GICS") but are Utilities companies by RGS classifications. Telecommunications company MetroPCS Communications, Inc. was the Fund's top individual contributor, with a +2.3% contribution to the Fund's total return on a +81.8% one-year return. The pay-as-you-go cell phone provider reported 725,000 new subscribers in the first quarter of 2011 when analysts were expecting 350,000 to 475,000. Energy company Southern Union Co. was the Fund's best individual performer with a +90.7% return while held in the Fund this reporting period. In June, the company was the subject of a bidding war between Energy Transfer Equity and Williams Cos. Energy Transfer Equity first bid $4.2 billion for Southern Union in the middle of June and by the end of July its bid had increased to $5.7 billion. The Fund's only other Energy holding, Energen Corp., was another top contributor with a +1.3% contribution on a +33.7% one-year return. In January 2011, the company reported net income for the full year of 2010 of $290.8 million, a healthy increase from the $256.3 million from 2009. The increase in earnings was a result of higher realized oil and natural gas prices and increased production. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Utilities Index. The Fund and benchmark received very similar performance from companies classified by GICS as Utilities companies. Most of the Fund's outperformance came from the Fund's two previously mentioned Energy holdings, Southern Union Co. and Energen Corp. These two companies made up 4.5% of the Fund's average weight and contributed +2.6% to the Fund's total return. -------- (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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Utilities 76.07% Telecommunication Services 21.07 Energy 2.86 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Public Service Enterprise Group, Inc. 3.44% Edison International 3.37 ONEOK, Inc. 3.37 Entergy Corp. 3.36 Great Plains Energy, Inc. 3.34 tw telecom, Inc. 3.30 MetroPCS Communications, Inc. 3.24 AT&T, Inc. 3.20 CenturyLink, Inc. 3.15 Telephone and Data Systems, Inc. 3.13 ------- Total 32.90% =======
--------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 --------------------------------------------------------------------------------------------- First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index 5/8/07 10000 10000 10000 10000 7/31/07 9185 9205 9674 9034 1/31/08 8789 8856 9261 9588 7/31/08 8506 8601 8647 9394 1/31/09 6660 6760 5646 7262 7/31/09 7440 7593 6903 7463 1/31/10 8033 8229 7611 7777 7/31/10 8616 8863 7904 8170 1/31/11 9597 9912 9387 8727 7/31/11 10083 10456 9539 9322 ---------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 220 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 - 7/31/11 32 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 Financial Services LLC (as successor to 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 JULY 31, 2011 --------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 20.54% -0.26% -1.09% Market Price 20.51% -0.27% -1.14% INDEX PERFORMANCE Defined Large Cap Core Index 21.47% 0.50% 2.15% S&P 500(R) Index 19.65% -1.47% -6.08% ---------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FEX's one-year NAV return of +20.54% outperformed the benchmark S&P 500(R) Index return of +19.65% by +0.89%. The Consumer Discretionary sector led all sectors in the Fund with a +4.8% contribution to total return. The Fund's holdings in the sector returned +27.7% for the year and made up an average of 18.1% of the Fund's weight. Priceline.com, Inc., the Fund's best individual contributor, was a part of the Consumer Discretionary sector. The online travel booking company had a +139.6% one-year return and contributed +0.3% to the Fund's total return on strong hotel booking growth in Europe and Asia. The Energy sector was the best-performing sector in the Fund with a +44.0% one-year return and the second best-contributing sector with a contribution of +3.2%. Cabot Oil & Gas Corp., a member of the sector, was the Fund's best individual performer with a one-year return of +143.9%. In early 2011, the company announced its production growth for 2010 was +26.8%, beating estimates of +25%, and announced production growth guidance for 2011 was +30 to +36%. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Index. The Financials sector was the main cause of the Fund's relative performance advantage. Within the sector, the Fund's holdings returned +8.2% versus the benchmark's constituents return of +2.0%. The performance difference was due to the Fund's underweight positions in Bank of America Corp. (-30.6% one-year return) and Citigroup, Inc. (-6.4% one-year return). The Energy sector reversed some of the outperformance as the Fund was underweight the strong-performing industry relative to the benchmark (9.1% vs. 12.1% average weight). Information Technology company Apple, Inc. (+51.8% one-year return) also reversed some Fund outperformance. The Fund was underweight the strong-performing company relative to the benchmark (0.3% vs. 2.6% average weight). -------- 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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 20.94% Information Technology 13.91 Financials 11.30 Industrials 10.77 Health Care 9.93 Utilities 9.30 Energy 8.75 Consumer Staples 7.73 Materials 5.52 Telecommunication Services 1.85 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Lexmark International, Inc., Class A 0.53% Kohl's Corp. 0.51 Expedia, Inc. 0.51 Abercrombie & Fitch Co., Class A 0.51 Amazon.com, Inc. 0.50 VF Corp. 0.50 Halliburton Co. 0.50 Wynn Resorts Ltd. 0.49 Baker Hughes, Inc. 0.49 Gap (The), Inc. 0.49 ------- Total 5.03% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Large Cap Core Defined Large Cap S&P 500(R) AlphaDEX(R) Fund Core Index Index 5/8/07 10000 10000 10000 7/31/07 9560 9579 9690 1/31/08 9022 9071 9271 7/31/08 8304 8383 8615 1/31/09 5325 5398 5690 7/31/09 6711 6830 6896 1/31/10 7618 7783 7576 7/31/10 8205 8410 7850 1/31/11 9765 10049 9257 7/31/11 9891 10216 9393 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 JULY 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 July 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 - 7/31/11 211 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 - 7/31/11 41 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 JULY 31, 2011 ------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 26.60% 3.77% 16.93% Market Price 26.57% 3.75% 16.87% INDEX PERFORMANCE Defined Mid Cap Core Index 27.55% 4.55% 20.71% S&P MidCap 400 Index 25.77% 2.84% 12.57% -------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FNX's one-year NAV return of +26.60% outperformed the benchmark S&P MidCap 400 Index return of +25.77% by +0.83%. The Consumer Discretionary sector led the Fund with a +7.3% contribution to total return. The Fund's holdings in the sector had a strong one-year return of +38.5%, and the sector was the most-represented sector in the Fund with a 19.8% average weight. From the sector, Apparel company Fossil, Inc. was the Fund's best individual contributor with a +0.8% contribution to the Fund's total return and a +217.3% one-year return. The company raised its profit forecast for 2011 to $4.44/share as sales surged, particularly in Asia. The Fund's second best individual contributor, Chipotle Mexican Grill, Inc. was also from the sector. The restaurant contributed +0.5% to the Fund's total return and had an annual return of +119.4%. An increase in consumers dining out helped Chipotle report a +22.8% increase in net income in the first quarter of 2011 versus the first quarter of 2010, even as higher food prices cut into margins. The Information Technology sector was the second best-contributing sector in the Fund with a +5.9% contribution. Semiconductor company Atmel Corp. was the best individual performer (+131.1% one-year return) and contributor (+0.5% contribution) from the sector. In February 2011, the company reported full-year 2010 revenues of $1,644 million, an increase of +35% over 2009. The growth came largely from microcontroller revenues, which increased +95% to $892 million. The Energy sector was the best-performing sector in the Fund. The Fund's holdings in the sector had a one-year return of +42.9%, but due to the sector's small average weight of 6.7%, the Energy sector's contribution was limited to +2.8%. On a relative basis, the Fund outperformed its primary benchmark, the S&P MidCap 400 Index. The Consumer Discretionary and Information Technology sectors caused most of the Fund's outperformance. The Fund was overweight both sectors relative to the benchmark, and the Fund had better performance than the benchmark in both sectors. In total, the two sectors contributed +13.2% to the Fund's total return and +8.4% to the benchmark's return. Some of the Fund's outperformance was reversed by the Consumer Staples sector, where the Fund's holdings underperformed the benchmark's constituents with an annual return of +38.9% versus +57.9%. The main reason for the performance difference was the Fund's slight underweight position in Green Mountain Coffee Roasters, Inc., which had a one-year return of +237.6%. -------- 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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 19.65% Industrials 16.92 Information Technology 15.57 Financials 10.65 Health Care 9.36 Materials 8.97 Utilities 6.97 Energy 6.37 Consumer Staples 4.79 Telecommunication Services 0.75 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Catalyst Health Solutions, Inc. 0.68% Green Mountain Coffee Roasters, Inc. 0.68 Career Education Corp. 0.62 Fossil, Inc. 0.62 Polaris Industries, Inc. 0.62 Alliance Data Systems Corp. 0.61 American Eagle Outfitters, Inc. 0.60 Clean Harbors, Inc. 0.60 Fidelity National Financial, Inc., Class A 0.60 Ingram Micro, Inc., Class A 0.60 ------- Total 6.23% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Mid Cap Core Defined Mid Cap S&P MidCap 400 AlphaDEX(R) Fund Core Index Index 5/8/07 10000 10000 10000 7/31/07 9527 9540 9615 1/31/08 8872 8911 9091 7/31/08 8812 8889 9138 1/31/09 5561 5625 5731 7/31/09 7453 7576 7288 1/31/10 8498 8674 8215 7/31/10 9236 9464 8951 1/31/11 11339 11665 10964 7/31/11 11693 12072 11256 -------------------------------------------------------------------------------- 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 JULY 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 July 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 - 7/31/11 217 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 - 7/31/11 35 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 JULY 31, 2011 --------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 24.20% 1.07% 4.60% Market Price 24.12% 1.05% 4.53% INDEX PERFORMANCE Defined Small Cap Core Index 25.13% 1.94% 8.45% S&P SmallCap 600 Index 24.72% 1.15% 4.94% ---------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FYX's one-year NAV return of +24.20% underperformed the benchmark S&P SmallCap 600 Index return of +24.72% by -0.52%. The Consumer Discretionary sector led all sectors in the Fund with a +5.2% contribution to the Fund's total return. For this reporting period, the Fund's holdings in the sector returned +22.4% and comprised an average of 20.7% of the Fund's weight. Crocs, Inc. was the best contributor from the Consumer Discretionary sector with a +0.4% contribution. The company's stock had a one-year return of +144.1% after reporting a gross profit increase of +41.0% in 2010 versus 2009. The Health Care sector was the second best-contributing sector in the Fund with a +4.4% contribution to the Fund's total return. Health Care companies comprised an average of 12.6% of the Fund's weight and the Fund's holdings in the sector had a one-year return of +37.5%. HealthSpring, Inc. led all individual holdings in the sector with a +0.4% contribution to total return. The company reported impressive earnings growth of +40.7% in 2010 as Medicare Advantage and stand-alone Prescription Drug Plan memberships increased +61% and +131%, respectively. For this reporting period, Health Spring returned +118.3%. The Energy sector stood out among all sectors in terms of performance. The Fund's holdings in the sector returned +77.8%. Since the sector had an average weight in the Fund of 4.9%, its contribution was limited to +3.1%. Basic Energy Services, Inc. was the Fund's best performer and the sector's top contributor with a +245.5% one-year return and a +0.5% contribution to total return. The well drilling services company cited increased demand, margin growth, and higher utilization rates as reasons for a +72% increase in revenues in the first quarter of 2011 versus the first quarter of 2010. Strong demand continued and second quarter 2011 revenues increased another +21% over the first quarter of 2011. On a relative basis, the Fund underperformed its primary benchmark, the S&P SmallCap 600 Index. The Information Technology sector was a drag on the Fund's relative performance. The Fund's holdings in the sector underperformed the benchmark's constituents +18.5% versus +21.7%. The Energy sector also caused some Fund underperformance as the Fund was slightly underweight the strong-performing sector (4.9% vs. 5.5% average weight) relative to the benchmark. -------- 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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 21.95% Consumer Discretionary 20.38 Industrials 14.94 Financials 11.56 Health Care 11.10 Materials 6.99 Consumer Staples 4.89 Energy 4.05 Utilities 2.87 Telecommunication Services 1.27 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Questcor Pharmaceuticals, Inc. 0.50% Crocs, Inc. 0.47 Zoll Medical Corp. 0.47 Skechers U.S.A., Inc., Class A 0.44 Clearwater Paper Corp. 0.43 Arch Chemicals, Inc. 0.42 Children's Place Retail Stores (The), Inc. 0.42 MWI Veterinary Supply, Inc. 0.42 USA Mobility, Inc. 0.42 Wausau Paper Corp. 0.42 ------- Total 4.41% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Small Cap Core Defined Small Cap S&P SmallCap 600 AlphaDEX(R) Fund Core Index Index 5/8/07 10000 10000 10000 7/31/07 9433 9454 9535 1/31/08 8476 8534 8771 7/31/08 8288 8382 8746 1/31/09 5043 5124 5550 7/31/09 6981 7125 7060 1/31/10 7805 8001 7712 7/31/10 8421 8667 8414 1/31/11 10106 10442 10097 7/31/11 10460 10846 10494 -------------------------------------------------------------------------------- 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 JULY 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 July 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 - 7/31/11 195 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 - 7/31/11 57 0 0 0 Page 27 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (1) The First Trust Large 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 Large Cap Value Index(2) (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 JULY 31, 2011 ---------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 18.30% -0.63% -2.66% Market Price 18.45% -0.64% -2.66% INDEX PERFORMANCE Defined Large Cap Value Index 19.23% 0.17% 0.71% S&P 500(R) Value Index 15.18% -4.71% -18.47% S&P 500(R) Index 19.65% -1.47% -6.08% ----------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FTA's one-year NAV return of +18.30% outperformed the benchmark S&P 500(R) Value Index return of +15.18% by +3.12%. The Energy sector led all sectors in the Fund with a +4.2% contribution to total return and a +41.0% one-year return. Chesapeake Energy Corp. was the sector's best performer and contributor. The company returned +85.7% while held in the Fund this reporting period, and contributed +0.4% to total return after announcing it sold its Arkansas gas shale assets to BHP Billiton Ltd. for $4.75 billion. The Health Care sector was the second best-contributing sector, with a +4.1% contribution and a +40.1% return during the reporting period. Four of the Fund's top-five individual contributors were from the Health Care sector: Coventry Health Care, Inc., Humana, Inc., King Pharmaceuticals, and UnitedHealth Group, Inc. Coventry led the way with a +0.5% contribution to total return and a +61.3% one-year return. The company raised its 2011 profit forecast after reporting better than expected earnings per share for the first quarter of 2011 as revenues increased and costs remained stable. King Pharmaceuticals was the second best performer in the Health Care sector. During the time it was held in the Fund this period, the company returned +60.7% and contributed +0.4% to the Fund's total return. In October 2010, Pfizer, Inc. offered to buy King Pharmaceuticals for $3.6 billion, representing a 40% premium. On a relative basis, the Fund outperformed its primary benchmark, the S&P 500(R) Value Index. The Financials sector was a major cause of the Fund's outperformance. Within the sector this reporting period, the Fund's holdings outperformed the benchmark's constituents +9.0% versus -0.4%. The benchmark's heavy exposure to Bank of America Corp. (-30.6% one-year return), and Citigroup, Inc. (-6.4% one-year return) were drivers of the performance discrepancy. The Health Care sector also contributed to Fund outperformance. Within the sector this reporting period, the Fund's holdings outperformed the benchmark's constituents +40.1% versus +26.5%. The Fund's relative underweight position in the Pharmaceuticals industry and overweight position in the Health Care Providers & Services industry were the main causes of the outperformance within the sector. The Fund's outperformance was tempered by the Energy sector. The Fund was underweight the strong-performing sector relative to the benchmark 10.4% versus 15.0% average weight. -------- (1) Formerly First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (2) Formerly Defined Large Cap Value Opportunities Index The Defined Large 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 Large 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 Large 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 28 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Utilities 16.45% Financials 15.39 Information Technology 14.82 Consumer Discretionary 13.23 Energy 11.95 Health Care 8.26 Industrials 7.42 Consumer Staples 7.32 Materials 2.71 Telecommunication Services 2.45 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Lexmark International, Inc., Class A 1.05% Gap (The), Inc. 0.97 Tesoro Corp. 0.97 Big Lots, Inc. 0.96 RadioShack Corp. 0.96 Chevron Corp. 0.93 Apache Corp. 0.92 Archer-Daniels-Midland Co. 0.92 Cephalon, Inc. 0.92 Intel Corp. 0.92 ------- Total 9.52% =======
--------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 --------------------------------------------------------------------------------------------- First Trust Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Value Index Value Index Index 5/8/07 10000 10000 10000 10000 7/31/07 9450 9462 9586 9690 1/31/08 8821 8870 9148 9271 7/31/08 7858 7933 8066 8615 1/31/09 4993 5064 5060 5690 7/31/09 6661 6790 6157 6896 1/31/10 7765 7947 6840 7576 7/31/10 8228 8447 7079 7850 1/31/11 9688 9988 8294 9257 7/31/11 9733 10072 8153 9393 ---------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 228 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 - 7/31/11 24 0 0 0 Page 29 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (1) The First Trust Large 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 Large Cap Growth Index(2) (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 JULY 31, 2011 ----------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 23.43% -0.03% -0.15% Market Price 23.49% -0.04% -0.18% INDEX PERFORMANCE Defined Large Cap Growth Index 24.46% 0.72% 3.08% S&P 500(R) Growth Index 24.15% 1.70% 7.40% S&P 500(R) Index 19.65% -1.47% -6.08% -----------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FTC's one-year NAV return of +23.43% underperformed the benchmark S&P 500(R) Growth Index return of +24.15% by -0.72%. The Consumer Discretionary sector led all sectors in the Fund with a +8.0% contribution to the Fund's total return. It was the most represented sector in the Fund with an average weight of 23.6% and the Fund's holdings from the sector had a one-year return of +37.8%. The Fund's top three individual contributors, Wynn Resorts Ltd., priceline.com, Inc., and Limited Brands, Inc., were all from the sector and each contributed +0.6% to the Fund's total return. Among the three, priceline.com had the best performance with a +139.6% one-year return due to strong hotel booking growth in Europe and Asia. The Information Technology sector was the second best-contributing sector, with a +3.2% contribution. It was second to the Consumer Discretionary sector with an average Fund weight of 19.1%, but the Fund's holdings in the Information Technology sector returned a below-average +12.3% during this reporting period. The Semiconductor industry weighed on the sector's returns as more than one-third of the Fund's Information Technology investment was in Semiconductor companies, which had a one-year return of +9.4%. The Energy sector was the best-performing sector in the Fund with the Fund's Energy holdings returning +53.2% during this reporting period. Due to the Energy sector's below-average Fund weight of 7.8%, the sector's contribution to total return was limited to +2.3%. On a relative basis, the Fund underperformed its primary benchmark, the S&P 500(R) Growth Index. The underperformance came from being underweight the strong-performing Energy sector (7.8% vs. 9.3% average weight), and underperforming the benchmark within the Information Technology sector (+12.3% vs. +22.1% one-year return). Much of the performance discrepancy within the Information Technology sector came from the Fund being significantly underweight Apple, Inc. (0.7% vs. 5.1% average weight) relative to the benchmark. Apple returned +51.8% during the reporting period. The Fund reversed some underperformance by being overweight the Consumer Discretionary sector relative to the benchmark (23.6% vs. 12.1%). -------- (1) Formerly First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (2) Formerly Defined Large Cap Growth Opportunities Index The Defined Large 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 Large 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 Large 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 30 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 28.70% Industrials 16.05 Information Technology 14.57 Health Care 11.88 Materials 8.89 Consumer Staples 7.78 Financials 5.58 Energy 5.47 Telecommunication Services 1.08 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Expedia, Inc. 1.04% Abercrombie & Fitch Co., Class A 1.04 Amazon.com, Inc. 1.04 VF Corp. 1.03 Halliburton Co. 1.02 Wynn Resorts Ltd. 1.02 Baker Hughes, Inc. 1.02 Chipotle Mexican Grill, Inc. 1.00 Whole Foods Market, Inc. 1.00 Polo Ralph Lauren Corp. 0.97 ------- Total 10.18% =======
---------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ---------------------------------------------------------------------------------------------- First Trust Large Cap Growth Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Growth Index Growth Index Index 5/8/07 10000 10000 10000 10000 7/31/07 9740 9757 9802 9690 1/31/08 9341 9388 9410 9271 7/31/08 8900 8982 9185 8615 1/31/09 5737 5807 6357 5690 7/31/09 6730 6840 7675 6896 1/31/10 7373 7518 8341 7576 7/31/10 8090 8282 8651 7850 1/31/11 9790 10064 10272 9257 7/31/11 9985 10309 10740 9393 ----------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 193 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 - 7/31/11 59 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 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 JULY 31, 2011 ----------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 20.13% 0.80% 3.44% Market Price 20.06% 0.78% 3.33% INDEX PERFORMANCE Defined Multi Cap Value Index 21.06% 1.63% 7.07% S&P Composite 1500 Value Index 15.75% -4.16% -16.46% S&P Composite 1500 Index 20.35% -1.03% -4.29% -----------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FAB's one-year NAV return of +20.13% outperformed the benchmark S&P Composite 1500 Value Index return of +15.75% by +4.38%. The Energy sector led all sectors in the Fund with a +3.8% contribution to total return and a +47.3% one-year return. Patriot Coal Corp. (+92.2% one-year return) and Chesapeake Energy Corp. (+85.6% holding period return) were the sector's two best contributors with contributions of +0.2% each. The Health Care sector was the second best-performing and contributing sector in the Fund. The Fund's holdings in the sector had a one-year return of +38.3% and contributed +3.4% to total return. Coventry Health Care, Inc. topped not only the sector, but the entire Fund in contribution to total return with +0.3%. The company raised its 2011 profit forecast after reporting better than expected earnings per share for the first quarter of 2011 as revenues increased and costs remained stable. King Pharmaceuticals was another strong contributor from the sector with a +0.2% contribution to total return. The company returned +60.7% while held in the Fund this reporting period as it was acquired by Pfizer, Inc. for $3.6 billion. On a relative basis, the Fund outperformed its primary benchmark, the S&P Composite 1500 Value Index. The Financials sector was the main cause of the outperformance. In both the Fund and benchmark it was the weakest-performing sector and the Fund benefitted from being underweight the sector (13.9% vs. 25.4% average weight) and from outperforming the benchmark within the sector (+8.3% vs. +0.7% one-year return). The Health Care sector was another cause of the Fund's outperformance. Relative to the benchmark, the Fund's tilt toward the Health Care Providers & Services industry and away from the Pharmaceuticals industry helped the Fund's Health Care holdings outperform the benchmark's +38.3% to +26.4% during this reporting period. -------- 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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 15.79% Financials 15.28 Information Technology 14.92 Utilities 12.80 Industrials 10.79 Energy 9.02 Health Care 7.41 Materials 6.39 Consumer Staples 5.91 Telecommunication Services 1.69 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Lexmark International, Inc., Class A 0.52% Gap (The), Inc. 0.49 Big Lots, Inc. 0.48 RadioShack Corp. 0.48 Tesoro Corp. 0.48 Apache Corp. 0.46 Archer-Daniels-Midland Co. 0.46 Cephalon, Inc. 0.46 Chevron Corp. 0.46 Intel Corp. 0.46 ------- Total 4.75% =======
----------------------------------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ----------------------------------------------------------------------------------------------------------- First Trust Multi Cap Value Defined Multi Cap S&P Composite 1500 S&P Composite 1500 AlphaDEX(R) Fund Value Index Value Index Index 5/8/07 10000 10000 10000 10000 7/31/07 9317 9334 9567 9678 1/31/08 8603 8655 9092 9241 7/31/08 7870 7948 8123 8661 1/31/09 4973 5045 5336 5446 7/31/09 6964 7099 6238 6931 1/31/10 8086 8275 6942 7629 7/31/10 8611 8845 7218 7953 1/31/11 10279 10602 8479 9414 7/31/11 10345 10707 8355 9571 -----------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 168 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 - 7/31/11 84 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 JULY 31, 2011 ------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/11 to 07/31/11 to 07/31/11 FUND PERFORMANCE NAV 26.74% 1.49% 6.45% Market Price 26.80% 1.48% 6.41% INDEX PERFORMANCE Defined Multi Cap Growth Index 27.74% 2.27% 9.97% S&P Composite 1500 Growth Index 25.01% 2.08% 9.08% S&P Composite 1500 Index 20.35% -1.03% -4.29% ------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW FAD's one-year NAV return of +26.74% outperformed the benchmark S&P Composite 1500 Growth Index return of +25.01% by +1.73%. The Consumer Discretionary sector led all sectors in the Fund with a +8.6% contribution to the Fund's total return. It was the most represented sector in the Fund, with an average weight of 22.6%, and the Fund's holdings from the sector had a one-year return of +41.1%. The Internet & Catalog Retail industry was the best-performing industry in the sector with a +95.6% one-year return. Online movie company Netflix, Inc. and online travel booking company priceline.com, Inc. helped the industry's performance with one-year returns of +159.4% and +139.6%, respectively. The Information Technology sector was the second best-contributing sector in the Fund with a +5.5% contribution. It was the second heaviest-weighted sector in the Fund with a 22.2% average weight, but the sector's one-year return of +21.2% lagged most other sectors in the Fund. Within the Fund's Information Technology holdings, the heaviest-weighted industry was the Semiconductor industry, which returned +16.4% during this reporting period. The Energy sector was the best-performing sector in the Fund, with a one-year return of +50.0%. It was one of the lower-weighted sectors in the Fund with a 6.4% average weight, which limited its contribution to total return to +2.1%. On a relative basis, the Fund outperformed its primary benchmark, the S&P Composite 1500 Growth Index. The Fund's overweight position in the strong-performing Consumer Discretionary sector was the primary cause of the Fund's outperformance. The Fund had an average weight of 22.6% in the sector compared to the benchmark's average weight of 12.8%. Some of the Fund's outperformance was given back in the Energy sector where the Fund was hurt by being underweight relative to the benchmark (6.4% vs. 8.9% average weight). -------- 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 JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 25.52% Information Technology 18.20 Industrials 17.32 Health Care 12.92 Materials 7.36 Consumer Staples 6.42 Financials 6.00 Energy 4.96 Telecommunication Services 1.06 Utilities 0.24 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Expedia, Inc. 0.53% Abercrombie & Fitch Co., Class A 0.52 Amazon.com, Inc. 0.52 VF Corp. 0.52 Halliburton Co. 0.52 Wynn Resorts Ltd. 0.51 Baker Hughes, Inc. 0.51 Chipotle Mexican Grill, Inc. 0.51 Whole Foods Market, Inc. 0.50 Polo Ralph Lauren Corp. 0.49 ------- Total 5.13% =======
------------------------------------------------------------------------------------------------------------ PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2011 ------------------------------------------------------------------------------------------------------------ First Trust Multi Cap Growth Defined Multi Cap S&P Composite 1500 S&P Composite 1500 AlphaDEX(R) Fund Growth Index Growth Index Index 5/8/07 10000 10000 10000 10000 7/31/07 9797 9818 9796 9678 1/31/08 9217 9265 9396 9241 7/31/08 9224 9309 9223 8661 1/31/09 5782 5854 6307 5689 7/31/09 6961 7078 7669 6931 1/31/10 7641 7801 8350 7629 7/31/10 8399 8608 8725 7953 1/31/11 10221 10518 10412 9414 7/31/11 10644 10997 10908 9571 ------------------------------------------------------------------------------------------------------------
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 JULY 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 July 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 - 7/31/11 176 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 - 7/31/11 76 0 0 0 Page 35 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FNK - FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND The First Trust Mid 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 Mid Cap Value Index (the "Mid Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Growth Index. The Fund's inception date was April 19, 2011. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNK." The Mid 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) MidCap 400 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 JULY 31, 2011 -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (04/19/11) to 07/31/11 FUND PERFORMANCE NAV -3.75% Market Price -3.65% INDEX PERFORMANCE Defined Mid Cap Value Index -3.54% S&P MidCap 400 Value Index -4.19% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW Since the Fund's inception on 4/19/11, FNK's NAV return of -3.75% outperformed the benchmark S&P MidCap 400 Value Index return of -4.19% by +0.44%. The Information Technology sector was the worst-contributing sector in the Fund with a -1.4% contribution to total return. The Fund's holdings in the sector returned -9.6% since the Fund's inception and comprised an average of 12.2% of the Fund's weight. The Electronics Equipment Instruments & Components industry was a particular drag within the Information Technology sector. The industry made up an average of 5.5% of the Fund's weight and returned -14.2% since the Fund's inception. The Energy sector was the best contributor to the Fund's total return with a +0.4% contribution. Since the Fund's inception, its holdings in the Energy sector returned +6.7%. Southern Union Co., a member of the Energy sector, was the Fund's second best individual contributor, with a +0.4% contribution on a +57.1% return since the Fund's inception. On a relative basis, the Fund outperformed its primary benchmark, the S&P MidCap 400 Value Index. The Fund benefitted from being underweight the weak performing Industrials sector relative to the benchmark (10.5% vs. 17.9% average weight), and from better performance relative to the benchmark within the Energy sector (+6.7% vs. +3.0% since Fund inception). -------- The Defined Mid 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 Mid 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 Mid 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 36 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FNK - FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 17.59% Financials 15.02 Information Technology 13.84 Utilities 12.05 Materials 11.97 Industrials 11.53 Energy 6.79 Health Care 5.49 Consumer Staples 4.69 Telecommunication Services 1.03 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Career Education Corp. 1.21% Fidelity National Financial, Inc., Class A 1.17 American Eagle Outfitters, Inc. 1.16 Ingram Micro, Inc., Class A 1.15 Community Health Systems, Inc. 1.14 Harte-Hanks, Inc. 1.14 Smithfield Foods, Inc. 1.14 Cabot Corp. 1.11 Great Plains Energy, Inc. 1.10 Universal Corp. 1.10 ------- Total 11.42% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Mid Cap Value Defined Mid Cap S&P MidCap 400 AlphaDEX(R) Fund Value Index Value Index 4/19/11 10000 10000 10000 7/31/11 9625 9646 9581 -------------------------------------------------------------------------------- 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 JULY 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 April 20, 2011 (commencement of trading) through July 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% 4/20/11 - 7/31/11 66 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% 4/20/11 - 7/31/11 4 0 0 0 Page 37 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FNY - FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND The First Trust Mid 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 Mid Cap Growth Index (the "Mid Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Growth Index. The Fund's inception date was April 19, 2011. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNY." The Mid 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) MidCap 400 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 JULY 31, 2011 -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (04/19/11) to 07/31/11 FUND PERFORMANCE NAV -1.19% Market Price -1.09% INDEX PERFORMANCE Defined Mid Cap Growth Index -0.97% S&P MidCap 400 Growth Index -0.90% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW Since the Fund's inception on 4/19/11, FNY's NAV return of -1.19% underperformed the benchmark S&P MidCap 400 Growth Index return of -0.90% by -0.29%. The Consumer Staples sector was by far the best-performing sector in the Fund with a +22.7% since inception return. The sector contained Green Mountain Coffee Roasters, Inc., which was the Fund's best individual performer with a +58.4% return since the Fund's launch. The Consumer Staples sector only comprised an average of 3.8% of the Fund's average weight, which limited the sector's contribution to total return to +0.7%. The Industrials sector was the worst-contributing sector in the Fund with a -1.2% contribution. The Fund's holdings in the sector returned -5.2% since inception and comprised an average of 23.8% of the Fund's weight. United Rentals was the worst contributing company in the Industrials sector with a -0.3% contribution on a -27.0% return since the Fund's inception. On a relative basis, the Fund underperformed its primary benchmark, the S&P MidCap 400 Growth Index. The Fund's overweight position in the Industrials sector relative to the benchmark was the main cause of Fund underperformance. -------- The Defined Mid 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 Mid 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 Mid 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 38 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FNY - FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 22.98% Industrials 22.84 Information Technology 17.80 Health Care 13.58 Financials 5.86 Energy 5.70 Materials 5.31 Consumer Staples 4.73 Utilities 0.72 Telecommunication Services 0.48 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Catalyst Health Solutions, Inc. 1.46% Green Mountain Coffee Roasters, Inc. 1.45 Fossil, Inc. 1.33 Polaris Industries, Inc. 1.33 Alliance Data Systems Corp. 1.30 Clean Harbors, Inc. 1.27 Gardner Denver, Inc. 1.26 Oil States International, Inc. 1.26 Carpenter Technology Corp. 1.24 Timberland (The) Co., Class A 1.24 ------- Total 13.14% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Mid Cap Growth Defined Mid Cap S&P MidCap 400 AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 10000 10000 10000 7/31/11 9881 9903 9910 -------------------------------------------------------------------------------- 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 JULY 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 April 20, 2011 (commencement of trading) through July 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% 4/20/11 - 7/31/11 61 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% 4/20/11 - 7/31/11 9 0 0 0 Page 39 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FYT - FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND The First Trust Small 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 Small Cap Value Index (the "Small Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Value Index. The Fund's inception date was April 19, 2011. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYT." The Small 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) SmallCap 600 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 JULY 31, 2011 -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (04/19/11) to 07/31/11 FUND PERFORMANCE NAV -0.70% Market Price -0.50% INDEX PERFORMANCE Defined Small Cap Value Index -0.50% S&P SmallCap 600 Value Index -1.87% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW Since the Fund's inception on 4/19/11, FYT's NAV return of -0.70% outperformed the benchmark S&P SmallCap 600 Value Index return of -1.87% by +1.17%. The Financials sector was the worst-performing sector in the Fund with a -0.8% contribution. The Fund's holdings in the sector underperformed all other sectors in the Fund with a -4.9% return since the Fund's inception. The Materials sector was the top-contributing sector in the Fund with a +0.4% contribution. The sector had a below-average weight in the Fund of 5.7%, but the Fund's holdings in the sector returned +8.6% since the Fund's inception in a market that was down in general. The Chemicals industry was the strongest-performing industry in the Materials sector with a +15.7% return since the Fund's inception. The industry included American Vanguard Corp., which was the Fund's second-best individual contributor with a +0.3% contribution to total return. On a relative basis, the Fund outperformed its primary benchmark, the S&P SmallCap 600 Value Index. The Industrials and Materials sectors were the primary causes of outperformance. Within the Industrials sector, the Fund's holdings outperformed the benchmark's constituents +0.1% versus -3.1% since the Fund's inception. In the Materials sector, the Fund's holdings outperformed the benchmark's constituents +8.6% versus -0.5% since the Fund's inception. -------- The Defined Small 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 Small 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 Small 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 40 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FYT - FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 19.49% Industrials 17.99 Information Technology 16.78 Financials 15.29 Health Care 8.16 Materials 7.23 Energy 5.10 Utilities 4.94 Consumer Staples 4.26 Telecommunication Services 0.76 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Skechers U.S.A., Inc., Class A 0.80% Clearwater Paper Corp. 0.77 Wausau Paper Corp. 0.77 Arch Chemicals, Inc. 0.76 Children's Place Retail Stores (The), Inc. 0.76 USA Mobility, Inc. 0.76 Stage Stores, Inc. 0.74 Cal-Maine Foods, Inc. 0.74 Big 5 Sporting Goods Corp. 0.73 SEACOR Holdings, Inc. 0.70 ------- Total 7.53% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Small Cap Value Defined Small Cap S&P Small Cap 600 AlphaDEX(R) Fund Value Index Value Index 4/19/11 10000 10000 10000 7/31/11 9930 9950 9813 -------------------------------------------------------------------------------- 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 JULY 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 April 20, 2011 (commencement of trading) through July 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% 4/20/11 - 7/31/11 38 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% 4/20/11 - 7/31/11 32 0 0 0 Page 41 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FYC - FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND The First Trust Small 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 Small Cap Growth Index (the "Small Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Growth Index. The Fund's inception date was April 19, 2011. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYC." The Small 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) SmallCap 600 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 JULY 31, 2011 -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (04/19/11) to 07/31/11 FUND PERFORMANCE NAV -0.80% Market Price -0.65% INDEX PERFORMANCE Defined Small Cap Growth Index -0.58% S&P SmallCap 600 Growth Index -0.18% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW Since the Fund's inception on 4/19/11, FYC's NAV return of -0.80% underperformed the benchmark S&P SmallCap 600 Growth Index return of -0.18% by -0.62%. The Fund was heavily weighted in the Information Technology sector, with a 30.4% average Fund weight. The Fund's holdings in the sector returned -4.9% since the Fund's inception, resulting in a Fund-worst -1.4% contribution to total return. The Semiconductor industry was the worst-contributing industry within the sector, with a -0.4% contribution. Semiconductor companies comprised an average of 7.3% of the Fund's weight and returned -8.4% since the Fund's inception. The Consumer Discretionary sector was the top-contributing sector in the Fund with a +0.8% contribution. The Fund's holdings in the sector returned +7.4% since the Fund's inception and comprised an average of 15.3% of the Fund's weight. Crocs, Inc., a member of the Consumer Discretionary sector, was the Fund's top individual contributor with a +0.4% contribution on a +61.1% return since the Fund's inception. On a relative basis, the Fund underperformed its primary benchmark, the S&P SmallCap 600 Growth Index. The Materials sector was the most significant cause of underperformance. Within the sector, the Fund's holdings underperformed the benchmark's constituents -6.1% versus +0.5% since the Fund's inception. -------- The Defined Small 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 Small 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 Small 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 42 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FYC - FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 28.30% Consumer Discretionary 21.44 Health Care 14.71 Industrials 11.42 Financials 7.34 Materials 6.61 Consumer Staples 5.55 Energy 2.57 Telecommunication Services 1.90 Utilities 0.16 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Questcor Pharmaceuticals, Inc. 1.14% Zoll Medical Corp. 1.08 Crocs, Inc. 1.07 MWI Veterinary Supply, Inc. 0.97 Rogers Corp. 0.93 Basic Energy Services, Inc. 0.91 Liquidity Services, Inc. 0.90 Steven Madden, Ltd. 0.90 Electro Scientific Industries, Inc. 0.88 PolyOne Corp. 0.88 ------- Total 9.66% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Small Cap Growth Defined Small Cap S&P Small Cap 600 AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 10000 10000 10000 7/31/11 9920 9942 9982 -------------------------------------------------------------------------------- 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 JULY 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 April 20, 2011 (commencement of trading) through July 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% 4/20/11 - 7/31/11 61 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% 4/20/11 - 7/31/11 9 0 0 0 Page 43 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FMK - FIRST TRUST MEGA CAP ALPHADEX(R) FUND The First Trust Mega Cap 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 Mega Cap Index (the "Mega Cap Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mega Cap Index. The Fund's inception date was May 11, 2011. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FMK." The Mega Cap Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) US BMI universe 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 JULY 31, 2011 -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (05/11/11) to 07/31/11 FUND PERFORMANCE NAV -3.88% Market Price -3.88% INDEX PERFORMANCE Defined Mega Cap Index -3.68% S&P 100 Index -2.39% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 46.) PERFORMANCE REVIEW Since the Fund's inception on 05/11/11, FMK's NAV return of -3.88% underperformed the benchmark S&P 100 Index return of -2.39% by -1.49%. Fears related to European sovereign debt and global recession weighed on markets from the inception of the Fund through the period end. Every sector represented in the Fund made a negative contribution to total return. The Information Technology was the worst-contributing sector in the Fund with a -0.9% contribution. The sector's large average weight in the Fund of 24.9% is what set the sector's contribution apart from other sectors. On a relative basis, the Fund underperformed its primary benchmark, the S&P 100 Index. The Information Technology sector was the main driver of Fund underperformance. Within the sector, the Fund's holdings underperformed the benchmark's constituents -3.3% versus +2.2% since the Fund's inception. The Fund's underweight position in Apple, Inc. and omission of Google, Inc. were the primary drivers of underperformance within the sector. -------- The Defined Mega Cap Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mega Cap 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 Mega Cap 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 44 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (Continued) -------------------------------------------------------------------------------- FMK - FIRST TRUST MEGA CAP ALPHADEX(R) FUND (Continued) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 25.43% Energy 23.12 Consumer Discretionary 13.66 Health Care 11.20 Consumer Staples 9.09 Financials 7.19 Industrials 4.46 Telecommunication Services 3.16 Materials 2.69 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2011 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Amazon.com, Inc. 3.70% Eli Lilly & Co. 3.46 Chevron Corp. 3.43 Intel Corp. 3.42 Accenture PLC, Class A 3.32 Dell, Inc. 3.31 Marathon Oil Corp. 3.29 UnitedHealth Group, Inc. 3.26 ConocoPhillips 3.25 AT&T, Inc. 3.16 ------- Total 33.60% ======= -------------------------------------------------------------------------------- PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JULY 31, 2011 -------------------------------------------------------------------------------- First Trust Mega Cap Defined Mega Cap S&P 100 AlphaDEX(R) Fund Index Index 5/11/11 10000 10000 10000 7/31/11 9612 9632 9761 -------------------------------------------------------------------------------- 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 JULY 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 12, 2011 (commencement of trading) through July 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% 5/12/11 - 7/31/11 33 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% 5/12/11 - 7/31/11 21 0 0 0 Page 45 -------------------------------------------------------------------------------- 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. For certain Funds 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 the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the 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 46 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND UNDERSTANDING YOUR FUND EXPENSES JULY 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 AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap 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 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 (or since inception) and held through the six-month (or shorter) period ended July 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 FEBRUARY 1, 2011 JULY 31, 2011 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Actual $1,000.00 $1,094.30 0.70% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND Actual $1,000.00 $1,172.10 0.70% $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST ENERGY ALPHADEX(R) FUND Actual $1,000.00 $1,057.00 0.70% $3.57 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST FINANCIALS ALPHADEX(R) FUND Actual $1,000.00 $ 957.00 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND Actual $1,000.00 $1,084.30 0.70% $3.62 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 47 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND UNDERSTANDING YOUR FUND EXPENSES (Continued) JULY 31, 2011 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2011 JULY 31, 2011 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND Actual $1,000.00 $ 955.40 0.70% $3.39 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MATERIALS ALPHADEX(R) FUND Actual $1,000.00 $1,002.60 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND Actual $1,000.00 $ 919.10 0.70% $3.33 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST UTILITIES ALPHADEX(R) FUND Actual $1,000.00 $1,050.60 0.70% $3.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,012.90 0.70% $3.49 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,031.20 0.70% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,035.00 0.70% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,004.70 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $1,020.00 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,006.40 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $1,041.40 0.70% $3.54 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 48 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND UNDERSTANDING YOUR FUND EXPENSES (Continued) JULY 31, 2011 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE APRIL 19, 2011 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO APRIL 19, 2011 JULY 31, 2011 IN THE PERIOD JULY 31, 2011 (d) --------------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $ 962.50 0.70% $1.96 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 988.10 0.70% $1.98 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $ 993.00 0.70% $1.99 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 992.00 0.70% $1.99 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE MAY 11, 2011 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO MAY 11, 2011 JULY 31, 2011 IN THE PERIOD JULY 31, 2011 (e) --------------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND Actual $1,000.00 $ 961.20 0.70% $1.54 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(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 (February 1, 2011 through July 31, 2011), multiplied by 181/365 (to reflect the one-half year period). (c) Inception date. (d) Actual expenses are equal to the annualized expense ratio as indicated in the table, multiplied by the average account value over the period (April 19, 2011 through July 31, 2011), multiplied by 104/365. Hypothetical expenses are assumed for the most recent half-year period. (e) Actual expenses are equal to the annualized expense ratio as indicated in the table, multiplied by the average account value over the period (May 11, 2011 through July 31, 2011), multiplied by 82/365. Hypothetical expenses are assumed for the most recent half-year period. Page 49 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 8.1% 86,966 Autoliv, Inc. $ 5,753,671 84,450 BorgWarner, Inc. (b) 6,723,909 233,475 Federal-Mogul Corp. (b) 4,475,716 56,421 Gentex Corp. 1,598,971 529,748 Goodyear Tire & Rubber (The) Co. (b) 8,566,025 127,945 Johnson Controls, Inc. 4,727,568 127,580 Lear Corp. 6,251,420 90,298 TRW Automotive Holdings Corp. (b) 4,557,340 129,866 Visteon Corp. (b) 8,142,598 ------------- 50,797,218 ------------- AUTOMOBILES -- 1.7% 224,726 General Motors Co. (b) 6,220,416 41,632 Harley-Davidson, Inc. 1,806,412 118,289 Thor Industries, Inc. 2,925,287 ------------- 10,952,115 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 281,879 KAR Auction Services, Inc. (b) 5,011,809 ------------- DISTRIBUTORS -- 1.3% 62,710 Genuine Parts Co. 3,333,664 204,309 LKQ Corp. (b) 5,019,872 ------------- 8,353,536 ------------- DIVERSIFIED CONSUMER SERVICES -- 4.3% 420,043 Career Education Corp. (b) 9,530,776 57,689 DeVry, Inc. 3,584,794 222,654 Education Management Corp. (b) 4,967,411 106,336 H&R Block, Inc. 1,590,787 21,799 ITT Educational Services, Inc. (b) 1,867,520 70,633 Weight Watchers International, Inc. 5,452,161 ------------- 26,993,449 ------------- FOOD & STAPLES RETAILING -- 1.9% 33,879 BJ's Wholesale Club, Inc. (b) 1,705,807 83,980 Costco Wholesale Corp. 6,571,435 64,201 Wal-Mart Stores, Inc. 3,384,035 ------------- 11,661,277 ------------- HOTELS, RESTAURANTS & LEISURE -- 6.7% 69,734 Brinker International, Inc. 1,675,011 141,654 Carnival Corp. 4,717,078 22,140 Chipotle Mexican Grill, Inc. (b) 7,186,201 40,410 Las Vegas Sands Corp. (b) 1,906,544 27,145 Panera Bread Co., Class A (b) 3,130,090 141,617 Royal Caribbean Cruises Ltd. (b) 4,336,313 86,383 Starbucks Corp. 3,463,094 173,512 WMS Industries, Inc. (b) 4,783,726 50,684 Wyndham Worldwide Corp. 1,753,160 47,531 Wynn Resorts Ltd. 7,304,564 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (Continued) 30,881 Yum! Brands, Inc. $ 1,631,134 ------------- 41,886,915 ------------- HOUSEHOLD DURABLES -- 6.1% 268,964 Garmin Ltd. 8,776,295 37,431 Harman International Industries, Inc. 1,557,130 49,423 Jarden Corp. 1,531,619 56,866 Mohawk Industries, Inc. (b) 2,958,738 108,088 Newell Rubbermaid, Inc. 1,677,526 130,997 Tempur-Pedic International, Inc. (b) 9,433,094 101,158 Tupperware Brands Corp. 6,321,363 83,899 Whirlpool Corp. 5,808,328 ------------- 38,064,093 ------------- INTERNET & CATALOG RETAIL -- 4.7% 33,365 Amazon.com, Inc. (b) 7,424,380 183,870 Expedia, Inc. 5,826,840 203,422 Liberty Media Corp. - Interactive, Class A (b) 3,338,155 25,970 Netflix, Inc. (b) 6,907,760 10,415 priceline.com, Inc. (b) 5,599,625 ------------- 29,096,760 ------------- INTERNET SOFTWARE & SERVICES -- 0.3% 52,855 eBay, Inc. (b) 1,731,001 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.8% 62,049 Mattel, Inc. 1,654,226 79,909 Polaris Industries, Inc. 9,473,212 ------------- 11,127,438 ------------- MACHINERY -- 1.8% 54,598 Snap-on, Inc. 3,104,443 128,645 WABCO Holdings, Inc. (b) 8,111,067 ------------- 11,215,510 ------------- MEDIA -- 15.9% 67,327 Cablevision Systems Corp., Class A 1,640,086 239,484 CBS Corp., Class B 6,554,677 98,241 Charter Communications, Inc., Class A (b) 5,305,014 134,628 Comcast Corp., Class A 3,233,765 104,887 DIRECTV, Class A (b) 5,315,673 289,657 DISH Network Corp., Class A (b) 8,582,537 339,441 DreamWorks Animation SKG, Inc., Class A (b) 7,420,180 620,386 Gannett Co., Inc. 7,916,125 426,429 Interpublic Group of Cos. (The), Inc. 4,183,269 197,248 Liberty Global, Inc., Class A (b) 8,244,966 103,604 Liberty Media Corp. - Capital Series A (b) 8,268,635 40,695 McGraw-Hill (The) Cos., Inc. 1,692,912 96,363 News Corp., Class A 1,543,735 Page 50 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MEDIA (Continued) 3,115,437 Sirius XM Radio, Inc. (b) $ 6,573,572 43,718 Time Warner Cable, Inc. 3,204,967 93,796 Time Warner, Inc. 3,297,867 66,889 Viacom, Inc., Class B 3,238,765 113,985 Virgin Media, Inc. 3,016,043 43,696 Walt Disney (The) Co. 1,687,540 21,203 Washington Post (The) Co., Class B 8,529,967 ------------- 99,450,295 ------------- MULTILINE RETAIL -- 8.7% 205,815 Big Lots, Inc. (b) 7,168,537 130,853 Dillard's, Inc., Class A 7,361,790 100,664 Dollar General Corp. (b) 3,166,889 102,416 Dollar Tree, Inc. (b) 6,783,012 32,449 Family Dollar Stores, Inc. 1,723,366 98,771 J. C. Penney Co., Inc. 3,038,196 136,431 Kohl's Corp. 7,464,140 233,336 Macy's, Inc. 6,736,410 72,676 Nordstrom, Inc. 3,645,428 23,878 Sears Holdings Corp. (b) 1,663,580 113,630 Target Corp. 5,850,809 ------------- 54,602,157 ------------- PERSONAL PRODUCTS -- 0.8% 50,669 Estee Lauder (The) Cos., Inc., Class A 5,315,685 ------------- ROAD & RAIL -- 0.5% 214,828 Hertz Global Holdings, Inc. (b) 3,022,630 ------------- SPECIALTY RETAIL -- 27.6% 314,358 Aaron's, Inc. 7,924,965 101,955 Abercrombie & Fitch Co., Class A 7,454,950 535,121 American Eagle Outfitters, Inc. 7,031,490 242,662 AutoNation, Inc. (b) 9,126,518 11,573 AutoZone, Inc. (b) 3,303,513 91,321 Bed Bath & Beyond, Inc. (b) 5,341,365 217,221 Best Buy Co., Inc. 5,995,300 161,183 CarMax, Inc. (b) 5,153,020 349,986 Chico's FAS, Inc. 5,281,289 44,365 Dick's Sporting Goods, Inc. (b) 1,641,505 175,541 DSW, Inc., Class A (b) 9,300,162 143,578 Foot Locker, Inc. 3,119,950 333,099 GameStop Corp., Class A (b) 7,854,474 490,826 Gap (The), Inc. 9,468,034 47,089 Home Depot (The), Inc. 1,644,819 30,116 J. Crew Group, Inc. (b) (c) - 231,047 Limited Brands, Inc. 8,747,439 146,352 Lowe's Cos., Inc. 3,158,276 52,076 O'Reilly Automotive, Inc. (b) 3,098,522 117,481 PetSmart, Inc. 5,054,033 667,459 RadioShack Corp. 9,291,029 85,154 Ross Stores, Inc. 6,452,119 519,530 Sally Beauty Holdings, Inc. (b) 8,935,916 36,437 Signet Jewelers Ltd. (b) 1,560,961 431,825 Staples, Inc. 6,935,109 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (Continued) 86,890 Tiffany & Co. $ 6,915,575 64,944 TJX (The) Cos., Inc. 3,591,403 132,836 Tractor Supply Co. 8,756,549 137,566 Ulta Salon Cosmetics & Fragrance, Inc. (b) 8,670,785 46,747 Williams-Sonoma, Inc. 1,730,574 ------------- 172,539,644 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 7.0% 83,374 Coach, Inc. 5,382,626 38,704 Deckers Outdoor Corp. (b) 3,841,372 75,469 Fossil, Inc. (b) 9,484,189 119,490 Hanesbrands, Inc. (b) 3,645,640 18,953 NIKE, Inc., Class B 1,708,613 40,200 Polo Ralph Lauren Corp. 5,429,814 81,417 PVH Corp. 5,825,386 114,912 Under Armour, Inc., Class A (b) 8,435,690 ------------- 43,753,330 ------------- TOTAL COMMON STOCKS -- 100.0% 625,574,862 (Cost $597,604,515) MONEY MARKET FUND -- 0.1% 580,202 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 580,202 (Cost $580,202) ------------- TOTAL INVESTMENTS -- 100.1% 626,155,064 (Cost $598,184,717) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (559,329) ------------- NET ASSETS -- 100.0% $ 625,595,735 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at July 31, 2011. (e) Aggregate cost for federal income tax purposes is $603,143,361. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $44,886,637 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $21,874,934. See Notes to Financial Statements Page 51 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $625,574,862 $ -- $ -- Money Market Fund 580,202 -- -- ------------------------------------- Total Investments $626,155,064 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 52 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 17.7% 166,240 Coca-Cola Enterprises, Inc. $ 4,673,006 465,987 Constellation Brands, Inc., Class A (b) 9,501,475 115,691 Dr. Pepper Snapple Group, Inc. 4,368,492 119,853 Hansen Natural Corp. (b) 9,183,137 216,849 Molson Coors Brewing Co., Class B 9,769,047 103,317 PepsiCo, Inc. 6,616,421 ------------- 44,111,578 ------------- FOOD & STAPLES RETAILING -- 19.6% 193,624 CVS Caremark Corp. 7,038,232 293,403 Kroger (The) Co. 7,296,932 415,139 Safeway, Inc. 8,373,354 233,366 Sysco Corp. 7,138,666 228,493 Walgreen Co. 8,920,367 152,901 Whole Foods Market, Inc. 10,198,497 ------------- 48,966,048 ------------- FOOD PRODUCTS -- 52.1% 402,229 Archer-Daniels-Midland Co. 12,219,717 175,886 Bunge Ltd. 12,102,716 70,202 Campbell Soup Co. 2,320,176 93,971 ConAgra Foods, Inc. 2,406,597 219,382 Corn Products International, Inc. 11,164,350 593,020 Dean Foods Co. (b) 6,535,080 330,146 Flowers Foods, Inc. 7,236,800 65,169 General Mills, Inc. 2,434,062 135,864 Green Mountain Coffee Roasters, Inc. (b) 14,123,063 45,524 H. J. Heinz Co. 2,396,383 42,665 Hershey (The) Co. 2,408,013 325,458 Hormel Foods Corp. 9,428,518 63,461 J.M. Smucker (The) Co. 4,944,881 71,812 Mead Johnson Nutrition Co. 5,125,223 84,042 Ralcorp Holdings, Inc. (b) 7,269,633 255,447 Sara Lee Corp. 4,881,592 554,517 Smithfield Foods, Inc. (b) 12,210,464 624,474 Tyson Foods, Inc., Class A 10,965,764 ------------- 130,173,032 ------------- HOUSEHOLD PRODUCTS -- 5.0% 67,035 Energizer Holdings, Inc. (b) 5,405,703 36,437 Kimberly-Clark Corp. 2,381,522 76,308 Procter & Gamble (The) Co. 4,692,179 ------------- 12,479,404 ------------- PERSONAL PRODUCTS -- 4.7% 210,399 Herbalife Ltd. 11,723,432 ------------- TOBACCO -- 0.9% 65,463 Reynolds American, Inc. 2,304,298 ------------- SHARES DESCRIPTION VALUE TOTAL COMMON STOCKS -- 100.0% $ 249,757,792 (Cost $251,634,016) MONEY MARKET FUND -- 0.0% 66,762 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 66,762 (Cost $66,762) ------------- TOTAL INVESTMENTS -- 100.0% 249,824,554 (Cost $251,700,778) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (43,937) ------------- NET ASSETS -- 100.0% $ 249,780,617 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $252,451,927. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,104,977 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,732,350. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $249,757,792 $ -- $ -- Money Market Fund 66,762 -- -- ------------------------------------- Total Investments $249,824,554 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 53 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 37.7% 90,973 Atwood Oceanics, Inc. (b) $ 4,248,439 55,330 Baker Hughes, Inc. 4,281,435 19,961 Cameron International Corp. (b) 1,116,618 24,633 CARBO Ceramics, Inc. 3,844,472 26,993 Core Laboratories N.V. 2,933,599 71,271 Diamond Offshore Drilling, Inc. 4,834,312 18,668 Dresser-Rand Group, Inc. (b) 997,245 78,713 Halliburton Co. 4,307,963 45,539 Helmerich & Payne, Inc. 3,144,468 122,199 Nabors Industries Ltd. (b) 3,227,276 12,830 National Oilwell Varco, Inc. 1,033,713 24,785 Oceaneering International, Inc. 1,070,712 62,796 Oil States International, Inc. (b) 5,067,637 158,752 Patterson-UTI Energy, Inc. 5,164,203 77,578 Rowan Cos., Inc. (b) 3,038,730 163,591 RPC, Inc. 3,864,019 11,618 Schlumberger Ltd. 1,049,919 50,205 SEACOR Holdings, Inc. 5,038,574 54,049 Superior Energy Services, Inc. (b) 2,242,493 49,416 Unit Corp. (b) 2,965,454 ------------- 63,471,281 ------------- OIL, GAS & CONSUMABLE FUELS -- 59.9% 44,173 Alpha Natural Resources, Inc. (b) 1,886,629 13,074 Anadarko Petroleum Corp. 1,079,389 32,534 Apache Corp. 4,025,106 112,934 Arch Coal, Inc. 2,891,110 71,919 Atlas Energy, Inc. (b) (c) 7,192 33,531 Brigham Exploration Co. (b) 1,066,286 45,408 Cabot Oil & Gas Corp. 3,363,825 67,607 Chesapeake Energy Corp. 2,322,300 48,799 Chevron Corp. 5,076,072 33,486 Cimarex Energy Co. 2,950,786 10,927 Concho Resources, Inc. (b) 1,022,549 66,740 ConocoPhillips 4,804,613 38,204 Devon Energy Corp. 3,006,655 99,371 El Paso Corp. 2,042,074 19,113 EQT Corp. 1,213,293 284,313 EXCO Resources, Inc. 4,523,420 49,327 Exxon Mobil Corp. 3,935,801 75,148 Forest Oil Corp. (b) 1,953,848 67,126 Hess Corp. 4,602,159 72,306 HollyFrontier Corp. 5,451,149 156,915 Marathon Oil Corp. 4,859,658 76,425 Murphy Oil Corp. 4,908,013 14,756 Newfield Exploration Co. (b) 994,850 11,199 Noble Energy, Inc. 1,116,316 28,941 Occidental Petroleum Corp. 2,841,427 122,043 Petrohawk Energy Corp. (b) 4,660,822 52,658 Plains Exploration & Production Co. (b) 2,054,189 47,987 QEP Resources, Inc. 2,103,270 271,984 Quicksilver Resources, Inc. (b) 3,848,574 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (Continued) 188,298 SandRidge Energy, Inc. (b) $ 2,169,193 27,314 SM Energy Co. 2,058,110 73,233 Spectra Energy Corp. 1,978,756 48,125 Sunoco, Inc. 1,956,281 175,230 Tesoro Corp. (b) 4,256,337 157,004 Valero Energy Corp. 3,943,940 ------------- 100,973,992 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 207,687 SunPower Corp., Class A (b) 4,076,896 ------------- TOTAL COMMON STOCKS -- 100.0% 168,522,169 (Cost $163,914,016) MONEY MARKET FUND -- 0.1% 188,732 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 188,732 (Cost $188,732) ------------- TOTAL INVESTMENTS -- 100.1% 168,710,901 (Cost $164,102,748) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (100,513) ------------- NET ASSETS -- 100.0% $ 168,610,388 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at July 31, 2011. (e) Aggregate cost for federal income tax purposes is $164,597,584. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,544,429 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,431,112. Page 54 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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 TOTAL VALUE AT 07/31/11 LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------- COMMON STOCKS: Energy Equipment & Services $ 63,471,281 $ 63,471,281 $ -- $ -- Oil, Gas & Consumable Fuels 100,973,992 100,966,800 7,192 -- Semiconductors & Semiconductor Equipment 4,076,896 4,076,896 -- -- -------------------------------------------------- Total Common Stocks 168,522,169 168,514,977 7,192 -- Money Market Fund 188,732 188,732 -- -- -------------------------------------------------- Total Investments $ 168,710,901 $ 168,703,709 $ 7,192 $ -- ================================================== See Notes to Financial Statements Page 55 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% CAPITAL MARKETS -- 12.4% 4,583 Affiliated Managers Group, Inc. (b) $ 478,144 117,046 American Capital Ltd. (b) 1,131,835 8,063 Ameriprise Financial, Inc. 436,208 72,321 Ares Capital Corp. 1,167,261 36,289 Bank of New York Mellon (The) Corp. 911,217 2,423 BlackRock, Inc. 432,409 16,300 E*TRADE Financial Corp. (b) 258,844 19,503 Federated Investors, Inc., Class B 416,779 7,078 Franklin Resources, Inc. 898,623 6,985 Goldman Sachs Group (The), Inc. 942,765 19,867 Invesco Ltd. 440,650 123,117 Janus Capital Group, Inc. 1,039,107 11,028 Jefferies Group, Inc. 208,540 6,067 Lazard Ltd., Class A (c) 203,851 21,285 Legg Mason, Inc. 626,205 40,404 Morgan Stanley 898,989 4,896 Northern Trust Corp. 219,855 14,461 Raymond James Financial, Inc. 459,281 15,467 State Street Corp. 641,417 3,729 T. Rowe Price Group, Inc. 211,807 12,793 Waddell & Reed Financial, Inc., Class A 469,503 ------------- 12,493,290 ------------- COMMERCIAL BANKS -- 13.2% 16,185 Associated Banc-Corp. 220,925 4,834 Bank of Hawaii Corp. 216,612 17,322 BB&T Corp. 444,829 8,491 BOK Financial Corp. 462,420 34,875 CapitalSource, Inc. 225,292 21,006 CIT Group, Inc. (b) 834,778 4,146 City National Corp. 222,557 6,503 Comerica, Inc. 208,291 5,228 Commerce Bancshares, Inc. 213,877 3,954 Cullen/Frost Bankers, Inc. 213,042 23,002 East West Bancorp, Inc. 426,917 54,697 Fifth Third Bancorp 691,917 4,964 First Citizens BancShares, Inc., Class A 894,116 23,578 First Horizon National Corp. 211,966 36,003 First Republic Bank (b) 1,019,605 43,404 Fulton Financial Corp. 440,551 106,304 Huntington Bancshares, Inc. 642,608 139,520 KeyCorp 1,121,741 5,286 M&T Bank Corp. 455,865 15,598 PNC Financial Services Group, Inc. 846,815 336,876 Popular, Inc. (b) 808,502 8,719 SunTrust Banks, Inc. 213,528 50,535 TCF Financial Corp. 642,805 18,227 U.S. Bancorp 474,996 16,525 Valley National Bancorp 217,304 24,850 Wells Fargo & Co. 694,309 9,365 Zions Bancorporation 205,094 ------------- 13,271,262 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSUMER FINANCE -- 3.1% 17,982 American Express Co. $ 899,819 22,496 Capital One Financial Corp. 1,075,309 43,446 Discover Financial Services 1,112,652 ------------- 3,087,780 ------------- DIVERSIFIED FINANCIAL SERVICES -- 7.4% 16,748 Citigroup, Inc. 642,118 2,389 CME Group, Inc. 690,875 1,801 IntercontinentalExchange, Inc. (b) 222,063 28,385 JPMorgan Chase & Co. 1,148,173 34,086 Leucadia National Corp. 1,147,676 30,305 Moody's Corp. 1,079,161 12,340 MSCI, Inc., Class A (b) 437,947 45,940 NASDAQ OMX Group (The), Inc. (b) 1,105,776 27,129 NYSE Euronext 907,736 ------------- 7,381,525 ------------- INSURANCE -- 38.8% 17,661 ACE Ltd. 1,182,934 9,956 Aflac, Inc. 458,573 2,787 Alleghany Corp. (b) 918,066 20,186 Allied World Assurance Holdings Co. Ltd. 1,099,128 22,839 Allstate (The) Corp. 633,097 32,562 American Financial Group, Inc. 1,106,457 39,641 American International Group, Inc. (b) 1,137,697 11,996 American National Insurance Co. 898,980 4,382 Aon Corp. 210,862 36,408 Arch Capital Group Ltd. (b) 1,230,590 7,883 Arthur J. Gallagher & Co. 221,670 36,134 Aspen Insurance Holdings Ltd. 935,871 12,815 Assurant, Inc. 456,470 57,004 Assured Guaranty Ltd. 806,607 30,032 Axis Capital Holdings Ltd. 957,120 9,011 Berkshire Hathaway, Inc., Class B (b) 668,346 18,115 Brown & Brown, Inc. 395,088 18,561 Chubb (The) Corp. 1,159,691 23,899 Cincinnati Financial Corp. 653,160 32,005 CNA Financial Corp. 881,418 28,118 Endurance Specialty Holdings Ltd. 1,145,527 6,573 Erie Indemnity Co., Class A 484,430 8,527 Everest Re Group, Ltd. 700,237 73,842 Fidelity National Financial, Inc., Class A 1,203,625 24,659 Hanover Insurance Group, Inc. 892,902 44,075 Hartford Financial Services Group (The), Inc. 1,032,236 29,520 HCC Insurance Holdings, Inc. 889,438 32,637 Lincoln National Corp. 864,880 16,567 Loews Corp. 660,526 1,173 Markel Corp. (b) 469,693 133,745 MBIA, Inc. (b) 1,230,454 23,542 Mercury General Corp. 874,350 Page 56 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) INSURANCE (Continued) 10,598 MetLife, Inc. $ 436,744 22,926 Principal Financial Group, Inc. 633,445 32,617 Progressive (The) Corp. 641,903 40,199 Protective Life Corp. 854,631 10,964 Prudential Financial, Inc. 643,367 19,093 Reinsurance Group of America, Inc. 1,111,403 9,967 RenaissanceRe Holdings Ltd. 693,603 27,545 StanCorp Financial Group, Inc. 916,147 21,745 Torchmark Corp. 878,281 9,488 Transatlantic Holdings, Inc. 485,880 19,910 Travelers (The) Cos., Inc. 1,097,638 31,339 Unitrin, Inc. 882,820 36,492 Unum Group 890,040 37,549 Validus Holdings Ltd. 998,428 28,665 W. R. Berkley Corp. 882,595 533 White Mountains Insurance Group Ltd. 224,601 10,231 XL Group PLC 209,940 ------------- 38,941,589 ------------- IT SERVICES -- 6.9% 12,358 Alliance Data Systems Corp. (b) 1,215,286 19,315 Broadridge Financial Solutions, Inc. 445,404 41,730 CoreLogic, Inc. (b) 658,499 22,651 Fidelity National Information Services, Inc. 679,983 7,422 Fiserv, Inc. (b) 447,992 13,670 Global Payments, Inc. 648,095 3,082 MasterCard, Inc., Class A 934,616 50,042 Total System Services, Inc. 931,282 8,275 Visa, Inc., Class A 707,843 11,227 Western Union Co. 217,916 ------------- 6,886,916 ------------- MEDIA -- 1.1% 11,475 Morningstar, Inc. 715,581 12,374 Thomson Reuters Corp. 426,037 ------------- 1,141,618 ------------- PROFESSIONAL SERVICES -- 0.7% 20,088 Equifax, Inc. 690,224 ------------- REAL ESTATE INVESTMENT TRUSTS -- 11.3% 31,943 American Capital Agency Corp. 891,849 51,543 Annaly Capital Management, Inc. 864,892 6,568 Boston Properties, Inc. 705,141 10,958 Camden Property Trust 734,953 335,903 Chimera Investment Corp. 1,034,581 8,704 CommonWealth REIT 205,589 11,287 Digital Realty Trust, Inc. 690,877 11,624 Equity Residential 718,596 3,437 Essex Property Trust, Inc. 482,417 2,645 Federal Realty Investment Trust 231,014 8,688 Macerich (The) Co. 461,593 11,033 Piedmont Office Realty Trust, Inc., Class A 226,728 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (Continued) 1,971 Public Storage $ 235,791 14,232 Rayonier, Inc. 917,252 9,611 Senior Housing Properties Trust 230,087 5,999 Simon Property Group, Inc. 722,940 2,714 SL Green Realty Corp. 222,602 9,163 UDR, Inc. 241,079 4,988 Vornado Realty Trust 466,627 53,165 Weyerhaeuser Co. 1,062,768 ------------- 11,347,376 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.1% 46,283 CB Richard Ellis Group, Inc., Class A (b) 1,008,970 24,901 Forest City Enterprises, Inc., Class A (b) 448,467 7,393 Jones Lang LaSalle, Inc. 629,292 ------------- 2,086,729 ------------- SOFTWARE -- 0.4% 4,542 FactSet Research Systems, Inc. 418,273 ------------- THRIFTS & MORTGAGE FINANCE -- 2.6% 43,793 BankUnited, Inc. 1,090,884 35,221 First Niagara Financial Group, Inc. 431,457 46,523 New York Community Bancorp, Inc. 629,456 16,737 People's United Financial, Inc. 212,225 13,689 Washington Federal, Inc. 231,481 ------------- 2,595,503 ------------- TOTAL COMMON STOCKS -- 100.0% 100,342,085 (Cost $107,742,451) MONEY MARKET FUND -- 0.2% 249,328 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) (Cost $249,328) 249,328 ------------- TOTAL INVESTMENTS -- 100.2% 100,591,413 (Cost $107,991,779) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (211,908) ------------- NET ASSETS -- 100.0% $ 100,379,505 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Master Limited Partnership ("MLP") (d) Represents annualized 7-day yield at July 31, 2011. (e) Aggregate cost for federal income tax purposes is $108,282,913. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,412,320 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,103,820. See Notes to Financial Statements Page 57 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $100,342,085 $ -- $ -- Money Market Fund 249,328 -- -- ------------------------------------- Total Investments $100,591,413 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 58 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 14.7% 47,499 Alexion Pharmaceuticals, Inc. (b) $ 2,697,943 76,567 Amgen, Inc. (b) 4,188,215 41,800 Biogen Idec, Inc. (b) 4,258,166 41,038 BioMarin Pharmaceutical, Inc. (b) 1,281,617 69,866 Cephalon, Inc. (b) 5,585,088 56,646 Dendreon Corp. (b) 2,090,237 49,180 Myriad Genetics, Inc. (b) 1,046,059 29,843 Pharmasset, Inc. (b) 3,622,343 98,451 Regeneron Pharmaceuticals, Inc. (b) 5,223,810 107,388 Vertex Pharmaceuticals, Inc. (b) 5,569,142 ------------- 35,562,620 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 17.0% 37,448 Baxter International, Inc. 2,178,350 646,505 Boston Scientific Corp. (b) 4,628,976 30,527 C. R. Bard, Inc. 3,012,404 41,123 CareFusion Corp. (b) 1,085,236 70,475 Cooper (The) Cos., Inc. 5,390,633 20,993 Covidien PLC 1,066,234 12,798 Edwards Lifesciences Corp. (b) 913,137 16,126 Gen-Probe, Inc. (b) 976,429 97,047 Hill-Rom Holdings, Inc. 3,618,883 9,023 Intuitive Surgical, Inc. (b) 3,614,163 58,142 Kinetic Concepts, Inc. (b) 3,892,026 86,936 Medtronic, Inc. 3,134,043 42,061 Sirona Dental Systems, Inc. (b) 2,127,445 36,611 Teleflex, Inc. 2,205,081 34,055 Thoratec Corp. (b) 1,147,313 35,354 Zimmer Holdings, Inc. (b) 2,121,947 ------------- 41,112,300 ------------- HEALTH CARE PROVIDERS & SERVICES -- 37.4% 101,302 Aetna, Inc. 4,203,020 79,238 AMERIGROUP Corp. (b) 4,358,090 107,883 AmerisourceBergen Corp. 4,132,998 92,117 Brookdale Senior Living, Inc. (b) 1,970,383 98,361 Cardinal Health, Inc. 4,304,277 100,041 Catalyst Health Solutions, Inc. (b) 6,555,687 65,123 CIGNA Corp. 3,241,172 217,443 Community Health Systems, Inc. (b) 5,618,727 122,487 Coventry Health Care, Inc. (b) 3,919,584 38,680 DaVita, Inc. (b) 3,231,327 41,371 Express Scripts, Inc. (b) 2,244,790 310,830 Health Management Associates, Inc., Class A (b) 2,952,885 62,421 Henry Schein, Inc. (b) 4,148,500 55,485 Humana, Inc. 4,138,071 23,052 Laboratory Corp. of America Holdings (b) 2,092,199 142,869 LifePoint Hospitals, Inc. (b) 5,300,440 40,056 McKesson Corp. 3,249,343 15,445 MEDNAX, Inc. (b) 1,052,731 33,953 Patterson Cos., Inc. 1,047,110 18,886 Quest Diagnostics, Inc. 1,020,033 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (Continued) 894,960 Tenet Healthcare Corp. (b) $ 4,975,978 86,639 UnitedHealth Group, Inc. 4,299,894 86,697 Universal Health Services, Inc., Class B 4,303,639 158,062 VCA Antech, Inc. (b) 3,088,531 70,869 WellPoint, Inc. 4,787,201 ------------- 90,236,610 ------------- HEALTH CARE TECHNOLOGY -- 5.5% 57,533 Allscripts Healthcare Solutions, Inc. (b) 1,044,224 73,081 Cerner Corp. (b) 4,859,155 85,108 Emdeon, Inc., Class A (b) 1,319,174 94,767 SXC Health Solutions Corp. (b) 5,982,641 ------------- 13,205,194 ------------- LIFE SCIENCES TOOLS & SERVICES -- 7.0% 18,696 Bio-Rad Laboratories, Inc., Class A (b) 2,037,864 164,554 Bruker Corp. (b) 2,833,620 18,833 Covance, Inc. (b) 1,078,189 59,432 Illumina, Inc. (b) 3,711,529 21,444 Life Technologies Corp. (b) 965,623 83,020 PerkinElmer, Inc. 2,030,669 26,766 Techne Corp. 2,028,595 34,709 Thermo Fisher Scientific, Inc. (b) 2,085,664 ------------- 16,771,753 ------------- PHARMACEUTICALS -- 18.4% 21,202 Abbott Laboratories 1,088,087 40,258 Allergan, Inc. 3,273,378 77,156 Bristol-Myers Squibb Co. 2,211,291 148,825 Eli Lilly & Co. 5,699,998 111,220 Endo Pharmaceuticals Holdings, Inc. (b) 4,142,945 141,949 Forest Laboratories, Inc. (b) 5,260,630 50,374 Johnson & Johnson 3,263,731 135,795 Mylan, Inc. (b) 3,093,410 63,556 Perrigo Co. 5,739,742 162,678 Pfizer, Inc. 3,129,925 92,555 Warner Chilcott PLC, Class A 1,945,506 81,236 Watson Pharmaceuticals, Inc. (b) 5,453,373 ------------- 44,302,016 ------------- TOTAL COMMON STOCKS -- 100.0% 241,190,493 (Cost $253,624,097) MONEY MARKET FUND -- 0.1% 135,147 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 135,147 (Cost $135,147) ------------- See Notes to Financial Statements Page 59 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 241,325,640 (Cost $253,759,244) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (190,290) ------------- NET ASSETS -- 100.0% $ 241,135,350 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $254,426,761. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,673,964 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,775,085. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $241,190,493 $ -- $ -- Money Market Fund 135,147 -- -- ------------------------------------- Total Investments $241,325,640 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 60 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 17.0% 16,693 Alliant Techsystems, Inc. $ 1,088,884 22,231 BE Aerospace, Inc. (b) 884,794 12,174 General Dynamics Corp. 829,536 7,481 Goodrich Corp. 711,742 11,989 Honeywell International, Inc. 636,616 34,514 Huntington Ingalls Industries, Inc. (b) 1,155,529 3,849 ITT Corp. 205,306 13,616 L-3 Communications Holdings, Inc. 1,077,298 2,801 Lockheed Martin Corp. 212,120 17,170 Northrop Grumman Corp. 1,038,957 23,887 Raytheon Co. 1,068,465 32,475 Spirit AeroSystems Holdings, Inc., Class A (b) 665,413 13,058 TransDigm Group, Inc. (b) 1,176,134 5,125 United Technologies Corp. 424,555 ------------- 11,175,349 ------------- AIR FREIGHT & LOGISTICS -- 3.5% 9,062 C.H. Robinson Worldwide, Inc. 655,273 8,861 Expeditors International of Washington, Inc. 422,847 7,532 FedEx Corp. 654,380 36,285 UTI Worldwide, Inc. 586,729 ------------- 2,319,229 ------------- AIRLINES -- 3.1% 13,594 Copa Holdings SA, Class A 891,902 79,443 Southwest Airlines Co. 791,252 20,045 United Continental Holdings, Inc. (b) 363,216 ------------- 2,046,370 ------------- CHEMICALS -- 0.4% 8,156 Nalco Holding Co. 288,315 ------------- COMMERCIAL SERVICES & SUPPLIES -- 8.8% 18,495 Avery Dennison Corp. 583,517 13,733 Cintas Corp. 447,009 9,734 Copart, Inc. (b) 422,942 41,905 Corrections Corp. of America (b) 899,281 26,613 Iron Mountain, Inc. 841,769 36,433 R.R. Donnelley & Sons Co. 685,305 29,408 Republic Services, Inc. 853,714 2,545 Stericycle, Inc. (b) 208,996 14,296 Waste Connections, Inc. 460,903 12,171 Waste Management, Inc. 383,265 ------------- 5,786,701 ------------- COMPUTERS & PERIPHERALS -- 2.1% 40,695 Lexmark International, Inc., Class A (b) 1,366,131 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 4.9% 33,183 Aecom Technology Corp. (b) $ 820,947 11,661 Chicago Bridge & Iron Co. N.V., ADR 481,016 24,071 KBR, Inc. 858,131 26,615 URS Corp. (b) 1,086,691 ------------- 3,246,785 ------------- ELECTRICAL EQUIPMENT -- 7.2% 20,206 AMETEK, Inc. 858,755 27,965 General Cable Corp. (b) 1,112,168 35,247 GrafTech International Ltd. (b) 678,857 3,492 Hubbell, Inc., Class B 207,669 10,700 Regal-Beloit Corp. 648,741 8,235 Rockwell Automation, Inc. 590,944 2,723 Roper Industries, Inc. 222,278 8,424 Thomas & Betts Corp. (b) 410,923 ------------- 4,730,335 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 18,838 Itron, Inc. (b) 810,787 7,639 National Instruments Corp. 197,392 ------------- 1,008,179 ------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 8,430 Tidewater, Inc. 458,086 ------------- INDUSTRIAL CONGLOMERATES -- 4.4% 2,391 3M Co. 208,352 24,187 Carlisle Cos., Inc. 1,045,604 8,560 Danaher Corp. 420,381 24,052 General Electric Co. 430,771 18,354 Tyco International Ltd. 812,899 ------------- 2,918,007 ------------- IT SERVICES -- 3.5% 19,708 Accenture PLC, Class A 1,165,531 4,305 Automatic Data Processing, Inc. 221,665 37,386 Booz Allen Hamilton Holding Corp., Class A (b) 680,051 13,156 Genpact Ltd. (b) 217,074 ------------- 2,284,321 ------------- LIFE SCIENCES TOOLS & SERVICES -- 2.8% 23,298 Agilent Technologies, Inc. (b) 982,244 1,345 Mettler-Toledo International, Inc. (b) 208,219 7,462 Waters Corp. (b) 655,835 ------------- 1,846,298 ------------- MACHINERY -- 22.7% 14,474 AGCO Corp. (b) 686,357 8,522 Caterpillar, Inc. 841,888 11,737 CNH Global N.V. (b) 447,649 2,192 Cummins, Inc. 229,897 See Notes to Financial Statements Page 61 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 2,751 Deere & Co. $ 215,981 3,738 Donaldson Co., Inc. 207,010 17,563 Dover Corp. 1,062,035 8,817 Eaton Corp. 422,775 4,128 Flowserve Corp. 410,241 14,167 Gardner Denver, Inc. 1,208,303 23,505 Graco, Inc. 1,032,575 6,957 Harsco Corp. 190,691 19,787 IDEX Corp. 820,765 12,647 Illinois Tool Works, Inc. 629,821 2,381 Joy Global, Inc. 223,624 28,210 Kennametal, Inc. 1,112,320 12,653 Lincoln Electric Holdings, Inc. 432,986 13,468 Manitowoc (The) Co., Inc. 188,417 13,026 Nordson Corp. 664,717 41,145 Oshkosh Corp. (b) 1,021,219 8,067 Pall Corp. 399,962 5,055 Parker Hannifin Corp. 399,446 5,620 Pentair, Inc. 206,872 10,976 SPX Corp. 825,834 6,503 Trinity Industries, Inc. 193,724 13,805 Wabtec Corp. 890,699 ------------- 14,965,808 ------------- MARINE -- 0.4% 4,002 Kirby Corp. (b) 233,397 ------------- OFFICE ELECTRONICS -- 2.6% 114,385 Xerox Corp. 1,067,212 16,942 Zebra Technologies Corp., Class A (b) 677,680 ------------- 1,744,892 ------------- PROFESSIONAL SERVICES -- 1.7% 18,121 Towers Watson & Co., Class A 1,108,099 ------------- ROAD & RAIL -- 8.2% 11,688 Con-way, Inc. 428,014 34,601 CSX Corp. 850,147 19,266 J.B. Hunt Transport Services, Inc. 871,594 15,291 Kansas City Southern (b) 907,521 15,371 Landstar System, Inc. 689,389 3,027 Norfolk Southern Corp. 229,144 12,567 Ryder System, Inc. 707,773 6,843 Union Pacific Corp. 701,271 ------------- 5,384,853 ------------- SOFTWARE -- 0.6% 17,644 Synopsys, Inc. (b) 422,927 ------------- TRADING COMPANIES & DISTRIBUTORS -- 3.8% 24,441 GATX Corp. 963,709 7,750 W.W. Grainger, Inc. 1,149,868 8,386 WESCO International, Inc. (b) 425,086 ------------- 2,538,663 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 65,872,745 (Cost $65,841,669) MONEY MARKET FUND -- 0.2% 105,264 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 105,264 (Cost $105,264) ------------- TOTAL INVESTMENTS -- 100.1% 65,978,009 (Cost $65,946,933) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (65,389) ------------- NET ASSETS -- 100.0% $ 65,912,620 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $66,310,896. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,945,133 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,278,020. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 65,872,745 $ -- $ -- Money Market Fund 105,264 -- -- ------------------------------------- Total Investments $ 65,978,009 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 62 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 97.8% AEROSPACE & DEFENSE -- 1.8% 66,771 Precision Castparts Corp. $ 10,775,504 ------------- BUILDING PRODUCTS -- 3.0% 490,569 Owens Corning, Inc. (b) 17,454,445 ------------- CHEMICALS -- 42.7% 35,146 Air Products and Chemicals, Inc. 3,118,505 47,960 Airgas, Inc. 3,294,852 194,170 Albemarle Corp. 12,927,839 207,933 Ashland, Inc. 12,733,817 337,013 Cabot Corp. 13,177,208 343,701 Celanese Corp., Class A 18,948,236 94,845 CF Industries Holdings, Inc. 14,731,325 58,736 Cytec Industries, Inc. 3,289,216 186,620 Dow Chemical (The) Co. 6,507,439 124,298 E.I. du Pont de Nemours & Co. 6,391,403 179,512 Eastman Chemical Co. 17,339,064 59,579 Ecolab, Inc. 2,978,950 39,052 FMC Corp. 3,419,784 972,026 Huntsman Corp. 18,565,697 104,582 International Flavors & Fragrances, Inc. 6,397,281 582,597 Kronos Worldwide, Inc. 18,037,203 475,666 LyondellBasell Industries NV, Class A 18,769,780 37,000 PPG Industries, Inc. 3,115,400 61,982 Praxair, Inc. 6,423,814 331,392 Rockwood Holdings, Inc. (b) 20,039,274 65,467 Scotts Miracle-Gro (The) Co., Class A 3,303,465 45,778 Sigma-Aldrich Corp. 3,071,704 147,011 Solutia, Inc. (b) 3,151,916 93,154 Valspar (The) Corp. 3,061,972 294,469 W.R. Grace & Co. (b) 14,853,016 258,894 Westlake Chemical Corp. 13,397,765 ------------- 251,045,925 ------------- CONTAINERS & PACKAGING -- 19.3% 128,360 AptarGroup, Inc. 6,552,778 349,366 Ball Corp. 13,555,401 325,447 Bemis Co., Inc. 10,284,125 173,064 Crown Holdings, Inc. (b) 6,647,388 169,054 Greif, Inc., Class A 10,320,747 260,298 Owens-Illinois, Inc. (b) 6,031,104 480,051 Packaging Corp. of America 12,802,960 101,272 Rock-Tenn Co., Class A 6,224,177 462,111 Sealed Air Corp. 9,949,250 163,983 Silgan Holdings, Inc. 6,359,261 189,035 Sonoco Products Co. 6,058,572 616,095 Temple-Inland, Inc. 18,495,172 ------------- 113,280,935 ------------- ELECTRICAL EQUIPMENT -- 3.1% 270,086 Polypore International, Inc. (b) 18,365,848 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MACHINERY -- 2.2% 218,127 Timken (The) Co. $ 9,525,606 34,849 Valmont Industries, Inc. 3,392,550 ------------- 12,918,156 ------------- METALS & MINING -- 19.1% 426,290 AK Steel Holding Corp. 5,179,424 693,167 Alcoa, Inc. 10,210,350 173,211 Allegheny Technologies, Inc. 10,079,148 310,816 Allied Nevada Gold Corp. (b) 11,842,090 317,660 Carpenter Technology Corp. 18,246,390 118,913 Cliffs Natural Resources, Inc. 10,680,766 248,966 Newmont Mining Corp. 13,844,999 221,421 Reliance Steel & Aluminum Co. 10,409,001 57,353 Royal Gold, Inc. 3,676,327 233,275 Schnitzer Steel Industries, Inc., Class A 11,848,037 413,434 Steel Dynamics, Inc. 6,457,839 ------------- 112,474,371 ------------- PAPER & FOREST PRODUCTS -- 4.9% 193,440 Domtar Corp. 15,465,528 450,592 International Paper Co. 13,382,583 ------------- 28,848,111 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 305,461 Fastenal Co. 10,278,763 ------------- TOTAL COMMON STOCKS -- 97.8% 575,442,058 (Cost $552,131,137) MONEY MARKET FUND -- 2.3% 13,774,212 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 13,774,212 (Cost $13,774,212) ------------- TOTAL INVESTMENTS -- 100.1% 589,216,270 (Cost $565,905,349) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (667,174) ------------- NET ASSETS -- 100.0% $ 588,549,096 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $568,610,897. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $38,596,306 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $17,990,933. See Notes to Financial Statements Page 63 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $575,442,058 $ -- $ -- Money Market Fund 13,774,212 -- -- ------------------------------------- Total Investments $589,216,270 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 64 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 11.8% 35,791 Acme Packet, Inc. (b) $ 2,108,806 244,627 Brocade Communications Systems, Inc. (b) 1,340,556 42,987 Ciena Corp. (b) 664,579 202,470 Cisco Systems, Inc. 3,233,446 86,757 EchoStar Corp., Class A (b) 2,902,889 7,169 F5 Networks, Inc. (b) 670,158 70,139 Harris Corp. 2,796,442 94,856 JDS Uniphase Corp. (b) 1,247,356 130,109 Polycom, Inc. (b) 3,516,846 27,829 QUALCOMM, Inc. 1,524,473 63,396 Riverbed Technology, Inc. (b) 1,815,028 342,795 Tellabs, Inc. 1,419,171 ------------- 23,239,750 ------------- COMPUTERS & PERIPHERALS -- 12.2% 2,354 Apple, Inc. (b) 919,190 189,596 Dell, Inc. (b) 3,079,039 57,362 EMC Corp. (b) 1,496,001 114,923 Hewlett-Packard Co. 4,040,693 132,869 NCR Corp. (b) 2,650,736 14,973 NetApp, Inc. (b) 711,517 198,526 QLogic Corp. (b) 3,011,639 100,800 SanDisk Corp. (b) 4,287,024 114,984 Western Digital Corp. (b) 3,962,349 ------------- 24,158,188 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 16.3% 14,636 Amphenol Corp., Class A 715,554 100,800 Arrow Electronics, Inc. (b) 3,502,800 99,137 Avnet, Inc. (b) 2,904,714 274,483 AVX Corp. 3,820,803 230,476 Corning, Inc. 3,666,873 174,231 Ingram Micro, Inc., Class A (b) 3,231,985 57,533 IPG Photonics Corp. (b) 3,462,911 124,250 Jabil Circuit, Inc. 2,275,018 97,396 Molex, Inc. 2,286,858 51,334 Tech Data Corp. (b) 2,395,758 278,132 Vishay Intertechnology, Inc. (b) 3,829,878 ------------- 32,093,152 ------------- INTERNET SOFTWARE & SERVICES -- 3.5% 25,110 Akamai Technologies, Inc. (b) 608,164 24,844 Equinix, Inc. (b) 2,595,453 36,973 Rackspace Hosting, Inc. (b) 1,478,920 166,876 Yahoo!, Inc. (b) 2,186,075 ------------- 6,868,612 ------------- IT SERVICES -- 8.5% 51,999 Amdocs Ltd. (b) 1,639,528 110,194 Computer Sciences Corp. 3,887,644 59,862 DST Systems, Inc. 3,064,336 39,225 Gartner, Inc. (b) 1,447,795 SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES (Continued) 4,603 International Business Machines Corp. $ 837,056 149,219 SAIC, Inc. (b) 2,391,981 52,502 Teradata Corp. (b) 2,885,510 17,814 VeriFone Systems, Inc. (b) 701,337 ------------- 16,855,187 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 32.1% 68,192 Altera Corp. 2,787,689 20,185 Analog Devices, Inc. 694,364 242,930 Applied Materials, Inc. 2,992,898 178,383 Atmel Corp. (b) 2,158,434 83,171 Avago Technologies Ltd. 2,797,041 47,047 Cree, Inc. (b) 1,545,964 118,728 Cypress Semiconductor Corp. (b) 2,443,422 250,333 Fairchild Semiconductor International, Inc. (b) 3,757,498 188,766 Intel Corp. 4,215,145 149,558 International Rectifier Corp. (b) 3,842,145 78,076 KLA-Tencor Corp. 3,108,986 221,952 LSI Corp. (b) 1,633,567 283,309 Marvell Technology Group Ltd. (b) 4,198,639 30,915 Maxim Integrated Products, Inc. 709,808 185,261 MEMC Electronic Materials, Inc. (b) 1,374,637 20,842 Microchip Technology, Inc. 703,418 559,237 Micron Technology, Inc. (b) 4,121,577 128,425 National Semiconductor Corp. 3,174,666 87,454 Novellus Systems, Inc. (b) 2,714,572 239,721 ON Semiconductor Corp. (b) 2,083,175 282,643 Teradyne, Inc. (b) 3,812,854 76,449 Texas Instruments, Inc. 2,274,358 68,085 Varian Semiconductor Equipment Associates, Inc. (b) 4,135,483 68,820 Xilinx, Inc. 2,209,122 ------------- 63,489,462 ------------- SOFTWARE -- 15.6% 67,652 Activision Blizzard, Inc. 801,000 45,844 Ariba, Inc. (b) 1,516,061 28,893 BMC Software, Inc. (b) 1,248,756 69,189 CA, Inc. 1,542,915 237,673 Cadence Design Systems, Inc. (b) 2,455,162 19,753 Citrix Systems, Inc. (b) 1,423,006 80,957 Compuware Corp. (b) 782,045 66,962 Electronic Arts, Inc. (b) 1,489,905 115,817 Fortinet, Inc. (b) 2,353,401 54,093 Informatica Corp. (b) 2,765,775 15,896 MICROS Systems, Inc. (b) 778,427 73,602 Nuance Communications, Inc. (b) 1,472,776 24,012 Oracle Corp. 734,287 17,214 Red Hat, Inc. (b) 724,365 13,775 Rovi Corp. (b) 729,662 16,847 Salesforce.com, Inc. (b) 2,437,929 26,716 Solera Holdings, Inc. 1,492,890 40,066 Symantec Corp. (b) 763,658 108,907 TIBCO Software, Inc. (b) 2,835,938 See Notes to Financial Statements Page 65 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SOFTWARE (Continued) 25,039 VMware, Inc., Class A (b) $ 2,512,413 ------------- 30,860,371 ------------- TOTAL COMMON STOCKS -- 100.0% 197,564,722 (Cost $209,703,226) MONEY MARKET FUND -- 0.1% 216,010 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 216,010 (Cost $216,010) ------------- TOTAL INVESTMENTS -- 100.1% 197,780,732 (Cost $209,919,236) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (251,554) ------------- NET ASSETS -- 100.0% $ 197,529,178 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $211,686,281. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,764,969 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $18,670,518. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $197,564,722 $ -- $ -- Money Market Fund 216,010 -- -- ------------------------------------- Total Investments $197,780,732 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 66 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.8% DIVERSIFIED TELECOMMUNICATION SERVICES -- 10.3% 95,304 AT&T, Inc. $ 2,788,595 74,040 CenturyLink, Inc. 2,747,624 74,184 Frontier Communications Corp. 555,638 145,809 tw telecom, Inc. (b) 2,879,728 ------------- 8,971,585 ------------- ELECTRIC UTILITIES -- 30.1% 47,663 American Electric Power Co., Inc. 1,756,858 19,854 DPL, Inc. 600,584 95,379 Duke Energy Corp. 1,774,049 77,247 Edison International 2,940,793 43,842 Entergy Corp. 2,928,646 41,921 Exelon Corp. 1,847,458 13,560 FirstEnergy Corp. 605,454 144,403 Great Plains Energy, Inc. 2,912,609 20,835 NextEra Energy, Inc. 1,151,134 17,023 Northeast Utilities 578,782 156,010 NV Energy, Inc. 2,315,188 60,996 Pepco Holdings, Inc. 1,139,405 40,289 Pinnacle West Capital Corp. 1,706,239 43,027 PPL Corp. 1,200,453 12,470 Progress Energy, Inc. 582,848 88,991 Westar Energy, Inc. 2,296,858 ------------- 26,337,358 ------------- GAS UTILITIES -- 8.8% 14,709 AGL Resources, Inc. 600,127 72,026 Atmos Energy Corp. 2,407,829 40,449 ONEOK, Inc. 2,944,283 56,321 UGI Corp. 1,706,527 ------------- 7,658,766 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 2.7% 97,426 NRG Energy, Inc. (b) 2,388,886 ------------- MULTI-UTILITIES -- 33.0% 44,171 Alliant Energy Corp. 1,740,779 41,515 Ameren Corp. 1,196,462 60,809 CMS Energy Corp. 1,163,884 22,489 Consolidated Edison, Inc. 1,182,921 49,610 Dominion Resources, Inc. 2,403,604 47,878 DTE Energy Co. 2,386,240 34,646 Integrys Energy Group, Inc. 1,739,576 106,432 MDU Resources Group, Inc. 2,294,674 118,262 NiSource, Inc. 2,380,614 11,896 OGE Energy Corp. 595,276 42,735 PG&E Corp. 1,770,511 91,708 Public Service Enterprise Group, Inc. 3,003,437 45,621 SCANA Corp. 1,787,887 33,964 Sempra Energy 1,721,635 31,692 TECO Energy, Inc. 587,253 42,977 Vectren Corp. 1,135,023 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MULTI-UTILITIES (Continued) 19,098 Wisconsin Energy Corp. $ 585,354 49,276 Xcel Energy, Inc. 1,182,624 ------------- 28,857,754 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.8% 42,384 Energen Corp. 2,492,603 ------------- WATER UTILITIES -- 1.3% 40,660 American Water Works Co., Inc. 1,138,480 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 10.8% 173,936 MetroPCS Communications, Inc. (b) 2,831,678 28,250 NII Holdings, Inc. (b) 1,196,387 111,074 Sprint Nextel Corp. (b) 469,843 96,314 Telephone and Data Systems, Inc. 2,731,465 49,461 United States Cellular Corp. (b) 2,185,682 ------------- 9,415,055 ------------- TOTAL COMMON STOCKS -- 99.8% 87,260,487 (Cost $87,538,818) MONEY MARKET FUND -- 0.1% 54,266 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 54,266 (Cost $54,266) ------------- TOTAL INVESTMENTS -- 99.9% 87,314,753 (Cost $87,593,084) (d) NET OTHER ASSETS AND LIABILITIES -- 0.1% 51,558 ------------- NET ASSETS -- 100.0% $ 87,366,311 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at July 31, 2011. (d) Aggregate cost for federal income tax purposes is $88,025,445. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,634,493 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,345,185. See Notes to Financial Statements Page 67 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 87,260,487 $ -- $ -- Money Market Fund 54,266 -- -- ------------------------------------- Total Investments $ 87,314,753 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 68 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.4% AEROSPACE & DEFENSE -- 2.7% 13,523 General Dynamics Corp. $ 921,457 7,915 Goodrich Corp. 753,033 12,687 Honeywell International, Inc. 673,680 4,274 ITT Corp. 227,975 14,409 L-3 Communications Holdings, Inc. 1,140,040 3,110 Lockheed Martin Corp. 235,520 18,164 Northrop Grumman Corp. 1,099,104 6,124 Precision Castparts Corp. 988,291 20,220 Raytheon Co. 904,441 5,699 United Technologies Corp. 472,105 ------------- 7,415,646 ------------- AIR FREIGHT & LOGISTICS -- 0.6% 9,591 C.H. Robinson Worldwide, Inc. 693,525 9,844 Expeditors International of Washington, Inc. 469,756 5,318 FedEx Corp. 462,028 ------------- 1,625,309 ------------- AIRLINES -- 0.2% 66,188 Southwest Airlines Co. 659,232 ------------- AUTOMOBILES -- 0.2% 12,302 Harley-Davidson, Inc. 533,784 ------------- BEVERAGES -- 1.7% 3,369 Brown-Forman Corp., Class B 247,824 3,740 Coca-Cola (The) Co. 254,357 17,265 Coca-Cola Enterprises, Inc. 485,319 60,513 Constellation Brands, Inc., Class A (b) 1,233,860 12,015 Dr. Pepper Snapple Group, Inc. 453,686 28,158 Molson Coors Brewing Co., Class B 1,268,518 10,736 PepsiCo, Inc. 687,534 ------------- 4,631,098 ------------- BIOTECHNOLOGY -- 1.3% 17,267 Amgen, Inc. (b) 944,505 11,782 Biogen Idec, Inc. (b) 1,200,232 4,181 Celgene Corp. (b) 247,933 15,770 Cephalon, Inc. (b) 1,260,654 ------------- 3,653,324 ------------- CAPITAL MARKETS -- 1.8% 8,733 Ameriprise Financial, Inc. 472,455 19,669 Bank of New York Mellon (The) Corp. 493,889 10,571 Federated Investors, Inc., Class B 225,902 7,679 Franklin Resources, Inc. 974,926 5,675 Goldman Sachs Group (The), Inc. 765,955 106,758 Janus Capital Group, Inc. 901,037 15,385 Legg Mason, Inc. 452,627 32,847 Morgan Stanley 730,846 ------------- 5,017,637 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CHEMICALS -- 2.9% 5,269 Air Products and Chemicals, Inc. $ 467,518 7,191 Airgas, Inc. 494,022 7,115 CF Industries Holdings, Inc. 1,105,102 14,003 Dow Chemical (The) Co. 488,285 13,980 E.I. du Pont de Nemours & Co. 718,852 12,343 Eastman Chemical Co. 1,192,210 4,467 Ecolab, Inc. 223,350 5,854 FMC Corp. 512,635 11,767 International Flavors & Fragrances, Inc. 719,787 3,473 Monsanto Co. 255,196 5,553 PPG Industries, Inc. 467,563 6,972 Praxair, Inc. 722,578 3,009 Sherwin-Williams (The) Co. 232,204 6,872 Sigma-Aldrich Corp. 461,111 ------------- 8,060,413 ------------- COMMERCIAL BANKS -- 1.1% 19,758 Fifth Third Bancorp 249,939 76,816 Huntington Bancshares, Inc. 464,353 120,988 KeyCorp 972,743 2,866 M&T Bank Corp. 247,164 12,683 PNC Financial Services Group, Inc. 688,560 17,958 Wells Fargo & Co. 501,746 ------------- 3,124,505 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 19,563 Avery Dennison Corp. 617,213 15,255 Cintas Corp. 496,550 22,174 Iron Mountain, Inc. 701,363 38,548 R.R. Donnelley & Sons Co. 725,088 24,502 Republic Services, Inc. 711,293 2,831 Stericycle, Inc. (b) 232,482 13,520 Waste Management, Inc. 425,745 ------------- 3,909,734 ------------- COMMUNICATIONS EQUIPMENT -- 1.5% 64,567 Cisco Systems, Inc. 1,031,135 2,287 F5 Networks, Inc. (b) 213,789 27,959 Harris Corp. 1,114,725 30,249 JDS Uniphase Corp. (b) 397,774 13,310 QUALCOMM, Inc. 729,122 163,966 Tellabs, Inc. 678,819 ------------- 4,165,364 ------------- COMPUTERS & PERIPHERALS -- 1.9% 752 Apple, Inc. (b) 293,641 45,343 Dell, Inc. (b) 736,370 36,586 EMC Corp. (b) 954,163 34,606 Hewlett-Packard Co. 1,216,747 43,053 Lexmark International, Inc., Class A (b) 1,445,289 9,543 NetApp, Inc. (b) 453,484 ------------- 5,099,694 ------------- See Notes to Financial Statements Page 69 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) CONSUMER FINANCE -- 0.8% 19,493 American Express Co. $ 975,430 19,504 Capital One Financial Corp. 932,291 9,421 Discover Financial Services 241,272 ------------- 2,148,993 ------------- CONTAINERS & PACKAGING -- 1.1% 32,758 Ball Corp. 1,271,011 22,377 Bemis Co., Inc. 707,113 19,522 Owens-Illinois, Inc. (b) 452,325 31,776 Sealed Air Corp. 684,137 ------------- 3,114,586 ------------- DISTRIBUTORS -- 0.1% 4,631 Genuine Parts Co. 246,184 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 5,769 Apollo Group, Inc., Class A (b) 293,238 12,780 DeVry, Inc. 794,149 31,418 H&R Block, Inc. 470,014 ------------- 1,557,401 ------------- DIVERSIFIED FINANCIAL SERVICES -- 2.2% 12,105 Citigroup, Inc. 464,106 1,729 CME Group, Inc. 500,009 24,622 JPMorgan Chase & Co. 995,960 36,939 Leucadia National Corp. 1,243,736 32,847 Moody's Corp. 1,169,682 39,831 NASDAQ OMX Group (The), Inc. (b) 958,732 22,053 NYSE Euronext 737,893 ------------- 6,070,118 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 40,109 AT&T, Inc. 1,173,589 31,155 CenturyLink, Inc. 1,156,162 93,660 Frontier Communications Corp. 701,514 19,444 Windstream Corp. 237,411 ------------- 3,268,676 ------------- ELECTRIC UTILITIES -- 4.0% 26,751 American Electric Power Co., Inc. 986,042 53,519 Duke Energy Corp. 995,453 32,506 Edison International 1,237,503 18,454 Entergy Corp. 1,232,727 23,526 Exelon Corp. 1,036,791 11,412 FirstEnergy Corp. 509,546 13,153 NextEra Energy, Inc. 726,703 14,325 Northeast Utilities 487,050 38,511 Pepco Holdings, Inc. 719,385 22,605 Pinnacle West Capital Corp. 957,322 27,163 PPL Corp. 757,848 15,748 Progress Energy, Inc. 736,062 12,483 Southern Co. 493,578 ------------- 10,876,010 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.3% 8,710 Rockwell Automation, Inc. $ 625,029 3,028 Roper Industries, Inc. 247,176 ------------- 872,205 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 4,665 Amphenol Corp., Class A 228,072 69,412 Corning, Inc. 1,104,345 7,477 FLIR Systems, Inc. 205,318 37,420 Jabil Circuit, Inc. 685,160 39,112 Molex, Inc. 918,350 ------------- 3,141,245 ------------- ENERGY EQUIPMENT & SERVICES -- 2.5% 17,362 Baker Hughes, Inc. 1,343,472 5,010 Cameron International Corp. (b) 280,259 24,701 Halliburton Co. 1,351,886 15,242 Helmerich & Payne, Inc. 1,052,460 30,677 Nabors Industries Ltd. (b) 810,180 3,225 National Oilwell Varco, Inc. 259,838 19,176 Noble Corp. 707,019 19,477 Rowan Cos., Inc. (b) 762,914 2,915 Schlumberger Ltd. 263,428 ------------- 6,831,456 ------------- FOOD & STAPLES RETAILING -- 1.9% 26,818 CVS Caremark Corp. 974,834 30,479 Kroger (The) Co. 758,013 43,120 Safeway, Inc. 869,730 8,082 Sysco Corp. 247,228 11,863 Walgreen Co. 463,132 14,227 Wal-Mart Stores, Inc. 749,905 15,880 Whole Foods Market, Inc. 1,059,196 ------------- 5,122,038 ------------- FOOD PRODUCTS -- 2.9% 41,779 Archer-Daniels-Midland Co. 1,269,246 7,295 Campbell Soup Co. 241,100 61,601 Dean Foods Co. (b) 678,843 6,768 General Mills, Inc. 252,785 4,734 H. J. Heinz Co. 249,198 4,432 Hershey (The) Co. 250,142 42,260 Hormel Foods Corp. 1,224,272 3,295 J.M. Smucker (The) Co. 256,746 28,604 Kraft Foods, Inc., Class A 983,406 5,079 McCormick & Co., Inc. 247,093 7,464 Mead Johnson Nutrition Co. 532,706 26,531 Sara Lee Corp. 507,007 64,869 Tyson Foods, Inc., Class A 1,139,100 ------------- 7,831,644 ------------- GAS UTILITIES -- 0.2% 9,209 Nicor, Inc. 503,732 ------------- Page 70 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 8,445 Baxter International, Inc. $ 491,246 2,922 Becton, Dickinson & Co. 244,308 145,852 Boston Scientific Corp. (b) 1,044,300 6,884 C. R. Bard, Inc. 679,313 9,273 CareFusion Corp. (b) 244,715 4,738 Covidien PLC 240,643 2,890 Edwards Lifesciences Corp. (b) 206,202 2,036 Intuitive Surgical, Inc. (b) 815,520 19,621 Medtronic, Inc. 707,337 7,970 Zimmer Holdings, Inc. (b) 478,359 ------------- 5,151,943 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.2% 22,854 Aetna, Inc. 948,212 24,342 AmerisourceBergen Corp. 932,542 24,496 CIGNA Corp. 1,219,166 27,632 Coventry Health Care, Inc. (b) 884,224 8,725 DaVita, Inc. (b) 728,886 9,331 Express Scripts, Inc. (b) 506,300 12,515 Humana, Inc. 933,369 5,206 Laboratory Corp. of America Holdings (b) 472,496 7,664 Patterson Cos., Inc. 236,358 4,262 Quest Diagnostics, Inc. 230,191 14,655 UnitedHealth Group, Inc. 727,328 15,994 WellPoint, Inc. 1,080,395 ------------- 8,899,467 ------------- HEALTH CARE TECHNOLOGY -- 0.4% 16,488 Cerner Corp. (b) 1,096,287 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.5% 26,785 Carnival Corp. 891,940 4,086 Chipotle Mexican Grill, Inc. (b) 1,326,234 5,061 Darden Restaurants, Inc. 257,099 14,329 International Game Technology 266,376 2,984 McDonald's Corp. 258,056 25,518 Starbucks Corp. 1,023,017 29,948 Wyndham Worldwide Corp. 1,035,901 8,772 Wynn Resorts Ltd. 1,348,081 9,119 Yum! Brands, Inc. 481,666 ------------- 6,888,370 ------------- HOUSEHOLD DURABLES -- 0.9% 3,946 Fortune Brands, Inc. 237,589 11,055 Harman International Industries, Inc. 459,888 10,339 Leggett & Platt, Inc. 224,356 31,929 Newell Rubbermaid, Inc. 495,538 15,488 Whirlpool Corp. 1,072,234 ------------- 2,489,605 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.3% 3,790 Kimberly-Clark Corp. $ 247,714 7,926 Procter & Gamble (The) Co. 487,370 ------------- 735,084 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5% 19,772 AES (The) Corp. (b) 243,393 40,997 NRG Energy, Inc. (b) 1,005,247 ------------- 1,248,640 ------------- INDUSTRIAL CONGLOMERATES -- 0.7% 2,659 3M Co. 231,705 9,506 Danaher Corp. 466,840 13,357 General Electric Co. 239,224 20,393 Tyco International Ltd. 903,206 ------------- 1,840,975 ------------- INSURANCE -- 3.7% 15,308 ACE Ltd. 1,025,330 5,398 Aflac, Inc. 248,632 16,510 Allstate (The) Corp. 457,657 34,372 American International Group, Inc. (b) 986,476 6,947 Assurant, Inc. 247,452 16,093 Chubb (The) Corp. 1,005,491 17,265 Cincinnati Financial Corp. 471,852 38,218 Hartford Financial Services Group (The), Inc. 895,066 26,526 Lincoln National Corp. 702,939 5,986 Loews Corp. 238,662 8,283 Principal Financial Group, Inc. 228,859 23,568 Progressive (The) Corp. 463,818 7,924 Prudential Financial, Inc. 464,980 17,681 Torchmark Corp. 714,136 21,581 Travelers (The) Cos., Inc. 1,189,761 29,668 Unum Group 723,602 ------------- 10,064,713 ------------- INTERNET & CATALOG RETAIL -- 1.9% 6,161 Amazon.com, Inc. (b) 1,370,946 43,453 Expedia, Inc. 1,377,025 4,797 Netflix, Inc. (b) 1,275,954 1,966 priceline.com, Inc. (b) 1,057,020 ------------- 5,080,945 ------------- INTERNET SOFTWARE & SERVICES -- 0.5% 15,616 eBay, Inc. (b) 511,424 67,007 Yahoo!, Inc. (b) 877,792 ------------- 1,389,216 ------------- IT SERVICES -- 2.6% 4,785 Automatic Data Processing, Inc. 246,380 33,187 Computer Sciences Corp. 1,170,837 16,368 Fidelity National Information Services, Inc. 491,367 4,025 Fiserv, Inc. (b) 242,949 See Notes to Financial Statements Page 71 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (Continued) 2,935 International Business Machines Corp. $ 533,730 3,341 MasterCard, Inc., Class A 1,013,158 59,913 SAIC, Inc. (b) 960,406 20,923 Teradata Corp. (b) 1,149,928 40,683 Total System Services, Inc. 757,111 5,980 Visa, Inc., Class A 511,529 ------------- 7,077,395 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.2% 18,331 Mattel, Inc. 488,704 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 24,651 Agilent Technologies, Inc. (b) 1,039,286 9,368 PerkinElmer, Inc. 229,141 7,831 Thermo Fisher Scientific, Inc. (b) 470,565 7,896 Waters Corp. (b) 693,980 ------------- 2,432,972 ------------- MACHINERY -- 2.5% 9,466 Caterpillar, Inc. 935,146 4,867 Cummins, Inc. 510,451 3,058 Deere & Co. 240,084 18,578 Dover Corp. 1,123,412 9,797 Eaton Corp. 469,766 8,918 Illinois Tool Works, Inc. 444,116 2,649 Joy Global, Inc. 248,794 4,936 PACCAR, Inc. 211,310 8,957 Pall Corp. 444,088 8,427 Parker Hannifin Corp. 665,902 16,135 Snap-on, Inc. 917,436 10,487 Stanley Black & Decker, Inc. 689,730 ------------- 6,900,235 ------------- MEDIA -- 3.8% 29,839 Cablevision Systems Corp., Class A 726,878 8,845 CBS Corp., Class B 242,088 29,833 Comcast Corp., Class A 716,589 24,785 DIRECTV, Class A (b) 1,256,104 87,974 Gannett Co., Inc. 1,122,548 80,627 Interpublic Group of Cos. (The), Inc. 790,951 18,031 McGraw-Hill (The) Cos., Inc. 750,089 28,475 News Corp., Class A 456,169 5,230 Omnicom Group, Inc. 245,392 12,915 Time Warner Cable, Inc. 946,799 20,786 Time Warner, Inc. 730,836 14,823 Viacom, Inc., Class B 717,730 12,909 Walt Disney (The) Co. 498,545 3,012 Washington Post (The) Co., Class B 1,211,727 ------------- 10,412,445 ------------- METALS & MINING -- 1.0% 47,659 Alcoa, Inc. 702,017 11,912 Allegheny Technologies, Inc. 693,159 10,897 Cliffs Natural Resources, Inc. 978,769 SHARES DESCRIPTION VALUE ----------------------------------------------------------- METALS & MINING (Continued) 4,766 Freeport-McMoRan Copper & Gold, Inc. $ 252,408 5,469 United States Steel Corp. 218,705 ------------- 2,845,058 ------------- MULTILINE RETAIL -- 2.9% 38,003 Big Lots, Inc. (b) 1,323,645 14,386 Family Dollar Stores, Inc. 764,040 21,880 J. C. Penney Co., Inc. 673,029 25,195 Kohl's Corp. 1,378,418 43,082 Macy's, Inc. 1,243,777 21,467 Nordstrom, Inc. 1,076,785 7,059 Sears Holdings Corp. (b) 491,801 21,480 Target Corp. 1,106,005 ------------- 8,057,500 ------------- MULTI-UTILITIES -- 4.6% 26,211 Ameren Corp. 755,401 26,042 CenterPoint Energy, Inc. 509,902 38,389 CMS Energy Corp. 734,765 14,202 Consolidated Edison, Inc. 747,025 20,877 Dominion Resources, Inc. 1,011,491 20,145 DTE Energy Co. 1,004,027 19,444 Integrys Energy Group, Inc. 976,283 49,770 NiSource, Inc. 1,001,870 23,976 PG&E Corp. 993,326 30,877 Public Service Enterprise Group, Inc. 1,011,222 25,602 SCANA Corp. 1,003,342 19,061 Sempra Energy 966,202 40,011 TECO Energy, Inc. 741,404 16,070 Wisconsin Energy Corp. 492,546 31,103 Xcel Energy, Inc. 746,472 ------------- 12,695,278 ------------- OFFICE ELECTRONICS -- 0.3% 96,816 Xerox Corp. 903,293 ------------- OIL, GAS & CONSUMABLE FUELS -- 6.2% 3,282 Anadarko Petroleum Corp. 270,962 10,211 Apache Corp. 1,263,305 11,398 Cabot Oil & Gas Corp. 844,364 16,973 Chesapeake Energy Corp. 583,023 12,246 Chevron Corp. 1,273,829 16,756 ConocoPhillips 1,206,264 9,594 Devon Energy Corp. 755,048 37,420 El Paso Corp. 768,981 9,598 EQT Corp. 609,281 12,382 Exxon Mobil Corp. 987,960 16,847 Hess Corp. 1,155,030 39,391 Marathon Oil Corp. 1,219,939 19,183 Murphy Oil Corp. 1,231,932 2,816 Noble Energy, Inc. 280,699 7,269 Occidental Petroleum Corp. 713,670 12,042 QEP Resources, Inc. 527,801 9,196 Spectra Energy Corp. 248,476 12,086 Sunoco, Inc. 491,296 Page 72 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) OIL, GAS & CONSUMABLE FUELS (Continued) 54,988 Tesoro Corp. (b) $ 1,335,658 49,265 Valero Energy Corp. 1,237,537 ------------- 17,005,055 ------------- PAPER & FOREST PRODUCTS -- 0.4% 33,795 International Paper Co. 1,003,712 ------------- PERSONAL PRODUCTS -- 0.5% 11,975 Estee Lauder (The) Cos., Inc., Class A 1,256,297 ------------- PHARMACEUTICALS -- 2.1% 4,790 Abbott Laboratories 245,823 9,079 Allergan, Inc. 738,214 17,398 Bristol-Myers Squibb Co. 498,627 32,023 Forest Laboratories, Inc. (b) 1,186,772 7,572 Johnson & Johnson 490,590 7,140 Merck & Co., Inc. 243,688 30,641 Mylan, Inc. (b) 698,002 24,464 Pfizer, Inc. 470,687 18,329 Watson Pharmaceuticals, Inc. (b) 1,230,426 ------------- 5,802,829 ------------- PROFESSIONAL SERVICES -- 0.2% 14,511 Equifax, Inc. 498,598 ------------- REAL ESTATE INVESTMENT TRUSTS -- 1.3% 1,960 AvalonBay Communities, Inc. 263,013 4,751 Boston Properties, Inc. 510,067 8,404 Equity Residential 519,535 4,807 Health Care REIT, Inc. 253,714 4,330 Simon Property Group, Inc. 521,808 2,704 Vornado Realty Trust 252,959 57,633 Weyerhaeuser Co. 1,152,084 ------------- 3,473,180 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 40,136 CB Richard Ellis Group, Inc., Class A (b) 874,965 ------------- ROAD & RAIL -- 1.3% 38,435 CSX Corp. 944,348 13,453 Norfolk Southern Corp. 1,018,392 13,297 Ryder System, Inc. 748,887 7,245 Union Pacific Corp. 742,468 ------------- 3,454,095 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8% 27,181 Altera Corp. 1,111,159 6,433 Analog Devices, Inc. 221,295 96,833 Applied Materials, Inc. 1,192,983 56,853 Intel Corp. 1,269,528 31,118 KLA-Tencor Corp. 1,239,119 141,543 LSI Corp. (b) 1,041,756 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 88,611 MEMC Electronic Materials, Inc. (b) $ 657,494 13,294 Microchip Technology, Inc. 448,673 34,862 Novellus Systems, Inc. (b) 1,082,116 85,119 Teradyne, Inc. (b) 1,148,255 27,632 Xilinx, Inc. 886,987 ------------- 10,299,365 ------------- SOFTWARE -- 2.1% 16,022 Adobe Systems, Inc. (b) 444,130 13,823 BMC Software, Inc. (b) 597,430 33,089 CA, Inc. 737,885 12,595 Citrix Systems, Inc. (b) 907,344 25,817 Compuware Corp. (b) 249,392 42,702 Electronic Arts, Inc. (b) 950,119 7,659 Oracle Corp. 234,212 5,484 Red Hat, Inc. (b) 230,767 6,764 Salesforce.com, Inc. (b) 978,818 25,550 Symantec Corp. (b) 486,983 ------------- 5,817,080 ------------- SPECIALTY RETAIL -- 6.2% 18,830 Abercrombie & Fitch Co., Class A 1,376,850 3,421 AutoZone, Inc. (b) 976,524 21,584 Bed Bath & Beyond, Inc. (b) 1,262,448 40,109 Best Buy Co., Inc. 1,107,008 30,476 CarMax, Inc. (b) 974,318 47,238 GameStop Corp., Class A (b) 1,113,872 69,604 Gap (The), Inc. 1,342,661 6,956 Home Depot (The), Inc. 242,973 32,766 Limited Brands, Inc. 1,240,521 43,235 Lowe's Cos., Inc. 933,011 11,540 O'Reilly Automotive, Inc. (b) 686,630 94,644 RadioShack Corp. 1,317,445 15,719 Ross Stores, Inc. 1,191,029 63,781 Staples, Inc. 1,024,323 16,042 Tiffany & Co. 1,276,783 14,394 TJX (The) Cos., Inc. 795,988 ------------- 16,862,384 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 19,704 Coach, Inc. 1,272,090 5,600 NIKE, Inc., Class B 504,840 9,497 Polo Ralph Lauren Corp. 1,282,760 11,603 VF Corp. 1,355,230 ------------- 4,414,920 ------------- TOBACCO -- 0.5% 9,257 Lorillard, Inc. 983,278 3,778 Philip Morris International, Inc. 268,880 6,798 Reynolds American, Inc. 239,290 ------------- 1,491,448 ------------- See Notes to Financial Statements Page 73 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) TRADING COMPANIES & DISTRIBUTORS -- 0.8% 28,001 Fastenal Co. $ 942,234 8,195 W.W. Grainger, Inc. 1,215,892 ------------- 2,158,126 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 73,197 MetroPCS Communications, Inc. (b) 1,191,647 140,238 Sprint Nextel Corp. (b) 593,207 ------------- 1,784,854 ------------- TOTAL COMMON STOCKS -- 99.4% 272,375,061 (Cost $272,224,940) MONEY MARKET FUND -- 0.6% 1,579,421 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 1,579,421 (Cost $1,579,421) ------------- TOTAL INVESTMENTS -- 100.0% 273,954,482 (Cost $273,804,361) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (93,089) ------------- NET ASSETS -- 100.0% $ 273,861,393 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $276,032,652. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,906,417 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $11,984,587. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $272,375,061 $ -- $ -- Money Market Fund 1,579,421 -- -- ------------------------------------- Total Investments $273,954,482 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 74 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.3% 26,075 Alliant Techsystems, Inc. $ 1,700,872 36,464 BE Aerospace, Inc. (b) 1,451,267 32,350 Huntington Ingalls Industries, Inc. (b) 1,083,078 ------------- 4,235,217 ------------- AIR FREIGHT & LOGISTICS -- 0.3% 56,682 UTI Worldwide, Inc. 916,548 ------------- AIRLINES -- 0.9% 27,169 Alaska Air Group, Inc. (b) 1,660,569 243,953 JetBlue Airways Corp. (b) 1,168,535 ------------- 2,829,104 ------------- AUTO COMPONENTS -- 0.7% 18,416 BorgWarner, Inc. (b) 1,466,282 24,615 Gentex Corp. 697,589 ------------- 2,163,871 ------------- AUTOMOBILES -- 0.3% 38,699 Thor Industries, Inc. 957,026 ------------- BEVERAGES -- 0.6% 22,979 Hansen Natural Corp. (b) 1,760,651 ------------- BIOTECHNOLOGY -- 0.5% 28,622 Vertex Pharmaceuticals, Inc. (b) 1,484,337 ------------- CAPITAL MARKETS -- 1.0% 7,333 Affiliated Managers Group, Inc. (b) 765,052 145,747 Apollo Investment Corp. 1,396,256 11,572 Raymond James Financial, Inc. 367,527 16,525 SEI Investments Co. 326,865 10,236 Waddell & Reed Financial, Inc., Class A 375,661 ------------- 3,231,361 ------------- CHEMICALS -- 4.7% 26,882 Albemarle Corp. 1,789,803 28,786 Ashland, Inc. 1,762,855 46,652 Cabot Corp. 1,824,093 13,013 Cytec Industries, Inc. 728,728 11,081 Lubrizol (The) Corp. 1,491,503 22,448 Minerals Technologies, Inc. 1,454,181 10,895 NewMarket Corp. 1,786,998 82,089 Olin Corp. 1,716,481 16,158 RPM International, Inc. 340,611 7,252 Scotts Miracle-Gro (The) Co., Class A 365,936 30,107 Sensient Technologies Corp. 1,117,572 20,632 Valspar (The) Corp. 678,174 ------------- 15,056,935 ------------- COMMERCIAL BANKS -- 1.8% 18,405 East West Bancorp, Inc. 341,597 22,530 FirstMerit Corp. 329,163 34,738 Fulton Financial Corp. 352,591 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL BANKS (Continued) 88,950 International Bancshares Corp. $ 1,496,139 8,487 Prosperity Bancshares, Inc. 352,465 18,692 SVB Financial Group (b) 1,140,586 53,915 TCF Financial Corp. 685,799 15,892 Trustmark Corp. 346,286 35,395 Webster Financial Corp. 722,766 ------------- 5,767,392 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 24,941 Brink's (The) Co. 744,239 36,028 Clean Harbors, Inc. (b) 1,900,477 15,964 Copart, Inc. (b) 693,636 68,737 Corrections Corp. of America (b) 1,475,096 45,170 Deluxe Corp. 1,063,302 41,000 Herman Miller, Inc. 943,410 18,257 Rollins, Inc. 348,526 23,447 Waste Connections, Inc. 755,931 ------------- 7,924,617 ------------- COMMUNICATIONS EQUIPMENT -- 1.2% 9,608 ADTRAN, Inc. 317,929 20,239 Ciena Corp. (b) 312,895 20,369 Plantronics, Inc. 697,638 57,855 Polycom, Inc. (b) 1,563,821 37,588 Riverbed Technology, Inc. (b) 1,076,144 ------------- 3,968,427 ------------- CONSTRUCTION & ENGINEERING -- 1.1% 54,429 Aecom Technology Corp. (b) 1,346,574 9,872 KBR, Inc. 351,937 41,574 URS Corp. (b) 1,697,466 ------------- 3,395,977 ------------- CONTAINERS & PACKAGING -- 2.3% 14,216 AptarGroup, Inc. 725,727 22,881 Greif, Inc., Class A 1,396,885 53,164 Packaging Corp. of America 1,417,884 22,432 Rock-Tenn Co., Class A 1,378,671 27,243 Silgan Holdings, Inc. 1,056,483 31,404 Sonoco Products Co. 1,006,498 12,510 Temple-Inland, Inc. 375,550 ------------- 7,357,698 ------------- DISTRIBUTORS -- 0.4% 57,037 LKQ Corp. (b) 1,401,399 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.1% 87,947 Career Education Corp. (b) 1,995,518 9,511 ITT Educational Services, Inc. (b) 814,807 18,531 Matthews International Corp., Class A 670,637 97,132 Regis Corp. 1,442,410 127,404 Service Corp. International 1,333,920 See Notes to Financial Statements Page 75 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) DIVERSIFIED CONSUMER SERVICES (Continued) 8,554 Sotheby's $ 362,262 ------------- 6,619,554 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 9,874 MSCI, Inc., Class A (b) 350,428 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 36,243 tw telecom, Inc. (b) 715,799 ------------- ELECTRIC UTILITIES -- 3.0% 32,024 Cleco Corp. 1,111,873 37,006 DPL, Inc. 1,119,432 89,732 Great Plains Energy, Inc. 1,809,894 30,923 Hawaiian Electric Industries, Inc. 723,598 47,093 IDACORP, Inc. 1,846,517 96,942 NV Energy, Inc. 1,438,619 55,301 Westar Energy, Inc. 1,427,319 ------------- 9,477,252 ------------- ELECTRICAL EQUIPMENT -- 1.4% 6,672 Acuity Brands, Inc. 324,860 33,141 AMETEK, Inc. 1,408,493 11,454 Hubbell, Inc., Class B 681,169 16,713 Regal-Beloit Corp. 1,013,309 13,818 Thomas & Betts Corp. (b) 674,042 10,672 Woodward, Inc. 368,184 ------------- 4,470,057 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 44,824 Arrow Electronics, Inc. (b) 1,557,634 58,348 Avnet, Inc. (b) 1,709,596 102,541 Ingram Micro, Inc., Class A (b) 1,902,136 30,898 Itron, Inc. (b) 1,329,850 12,530 National Instruments Corp. 323,775 38,044 Tech Data Corp. (b) 1,775,513 123,676 Vishay Intertechnology, Inc. (b) 1,703,019 ------------- 10,301,523 ------------- ENERGY EQUIPMENT & SERVICES -- 3.4% 8,430 Atwood Oceanics, Inc. (b) 393,681 11,415 CARBO Ceramics, Inc. 1,781,539 56,282 Exterran Holdings, Inc. (b) 1,040,091 44,929 Helix Energy Solutions Group, Inc. (b) 879,710 9,185 Oceaneering International, Inc. 396,792 23,275 Oil States International, Inc. (b) 1,878,293 35,309 Patterson-UTI Energy, Inc. 1,148,602 20,033 Superior Energy Services, Inc. (b) 831,169 20,742 Tidewater, Inc. 1,127,120 24,425 Unit Corp. (b) 1,465,744 ------------- 10,942,741 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.6% 14,777 BJ's Wholesale Club, Inc. (b) $ 744,022 25,633 Ruddick Corp. 1,074,023 ------------- 1,818,045 ------------- FOOD PRODUCTS -- 2.7% 33,649 Corn Products International, Inc. 1,712,398 50,640 Flowers Foods, Inc. 1,110,029 20,837 Green Mountain Coffee Roasters, Inc. (b) 2,166,006 12,231 Lancaster Colony Corp. 735,450 12,891 Ralcorp Holdings, Inc. (b) 1,115,071 85,055 Smithfield Foods, Inc. (b) 1,872,911 ------------- 8,711,865 ------------- GAS UTILITIES -- 2.0% 27,418 AGL Resources, Inc. 1,118,654 44,753 Atmos Energy Corp. 1,496,093 5,108 National Fuel Gas Co. 369,717 42,015 Questar Corp. 774,336 46,666 UGI Corp. 1,413,980 28,996 WGL Holdings, Inc. 1,125,335 ------------- 6,298,115 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% 18,777 Cooper (The) Cos., Inc. 1,436,253 10,763 Gen-Probe, Inc. (b) 651,700 32,323 Hill-Rom Holdings, Inc. 1,205,325 36,438 Immucor, Inc. (b) 965,607 19,369 Kinetic Concepts, Inc. (b) 1,296,561 12,185 Teleflex, Inc. 733,902 11,338 Thoratec Corp. (b) 381,977 ------------- 6,671,325 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.4% 33,322 Catalyst Health Solutions, Inc. (b) 2,183,591 72,433 Community Health Systems, Inc. (b) 1,871,669 103,534 Health Management Associates, Inc., Class A (b) 983,573 15,588 Henry Schein, Inc. (b) 1,035,978 86,636 Kindred Healthcare, Inc. (b) 1,632,222 47,601 LifePoint Hospitals, Inc. (b) 1,765,997 10,306 MEDNAX, Inc. (b) 702,457 10,788 Owens & Minor, Inc. 329,034 28,876 Universal Health Services, Inc., Class B 1,433,405 35,099 VCA Antech, Inc. (b) 685,834 36,179 WellCare Health Plans, Inc. (b) 1,586,449 ------------- 14,210,209 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 42,556 Bob Evans Farms, Inc. 1,469,884 171,048 Boyd Gaming Corp. (b) 1,494,960 30,421 Brinker International, Inc. 730,712 11,857 Cheesecake Factory (The), Inc. (b) 341,837 Page 76 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 39,284 International Speedway Corp., Class A $ 1,098,773 9,323 Life Time Fitness, Inc. (b) 389,329 8,879 Panera Bread Co., Class A (b) 1,023,838 73,375 Wendy's (The) Co. 386,686 ------------- 6,936,019 ------------- HOUSEHOLD DURABLES -- 1.5% 77,378 American Greetings Corp., Class A 1,715,470 24,808 Mohawk Industries, Inc. (b) 1,290,760 514 NVR, Inc. (b) 349,566 22,062 Tupperware Brands Corp. 1,378,655 ------------- 4,734,451 ------------- HOUSEHOLD PRODUCTS -- 0.4% 9,176 Church & Dwight Co., Inc. 370,160 10,283 Energizer Holdings, Inc. (b) 829,221 ------------- 1,199,381 ------------- INDUSTRIAL CONGLOMERATES -- 0.1% 7,554 Carlisle Cos., Inc. 326,559 ------------- INSURANCE -- 5.3% 52,121 American Financial Group, Inc. 1,771,072 43,377 Aspen Insurance Holdings Ltd. 1,123,464 14,501 Brown & Brown, Inc. 316,267 9,103 Everest Re Group, Ltd. 747,538 118,178 Fidelity National Financial, Inc., Class A 1,926,301 71,312 First American Financial Corp. 1,140,279 29,595 Hanover Insurance Group, Inc. 1,071,635 35,428 HCC Insurance Holdings, Inc. 1,067,446 28,261 Mercury General Corp. 1,049,614 64,336 Protective Life Corp. 1,367,783 24,453 Reinsurance Group of America, Inc. 1,423,409 35,274 StanCorp Financial Group, Inc. 1,173,213 7,593 Transatlantic Holdings, Inc. 388,838 50,154 Unitrin, Inc. 1,412,838 34,404 W. R. Berkley Corp. 1,059,299 ------------- 17,038,996 ------------- INTERNET SOFTWARE & SERVICES -- 1.3% 14,732 Equinix, Inc. (b) 1,539,052 34,816 Rackspace Hosting, Inc. (b) 1,392,640 67,236 ValueClick, Inc. (b) 1,214,282 ------------- 4,145,974 ------------- IT SERVICES -- 2.6% 28,379 Acxiom Corp. (b) 389,927 19,775 Alliance Data Systems Corp. (b) 1,944,674 15,458 Broadridge Financial Solutions, Inc. 356,461 44,527 CoreLogic, Inc. (b) 702,636 28,185 DST Systems, Inc. 1,442,790 27,700 Gartner, Inc. (b) 1,022,407 SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES (Continued) 14,589 Global Payments, Inc. $ 691,665 41,876 ManTech International Corp., Class A 1,708,541 ------------- 8,259,101 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.6% 16,729 Polaris Industries, Inc. 1,983,223 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 6,232 Bio-Rad Laboratories, Inc., Class A (b) 679,288 9,152 Charles River Laboratories International, Inc. (b) 361,962 6,269 Covance, Inc. (b) 358,900 4,414 Mettler-Toledo International, Inc. (b) 683,331 13,860 Pharmaceutical Product Development, Inc. 399,584 8,926 Techne Corp. 676,502 ------------- 3,159,567 ------------- MACHINERY -- 5.5% 22,611 AGCO Corp. (b) 1,072,214 22,589 Crane Co. 1,046,323 12,264 Donaldson Co., Inc. 679,180 17,707 Gardner Denver, Inc. 1,510,230 36,716 Graco, Inc. 1,612,934 11,412 Harsco Corp. 312,803 32,458 IDEX Corp. 1,346,358 35,257 Kennametal, Inc. 1,390,184 20,755 Lincoln Electric Holdings, Inc. 710,236 20,349 Nordson Corp. 1,038,409 64,277 Oshkosh Corp. (b) 1,595,355 9,216 Pentair, Inc. 339,241 13,501 SPX Corp. 1,015,815 29,526 Timken (The) Co. 1,289,400 21,331 Trinity Industries, Inc. 635,451 7,717 Valmont Industries, Inc. 751,250 16,983 Wabtec Corp. 1,095,743 ------------- 17,441,126 ------------- MARINE -- 0.2% 13,128 Kirby Corp. (b) 765,625 ------------- MEDIA -- 2.1% 229,079 Harte-Hanks, Inc. 1,871,575 7,151 John Wiley & Sons, Inc., Class A 357,979 59,756 Meredith Corp. 1,783,717 127,988 New York Times (The) Co., Class A (b) 1,098,137 55,943 Scholastic Corp. 1,606,683 ------------- 6,718,091 ------------- METALS & MINING -- 1.5% 32,246 Carpenter Technology Corp. 1,852,210 22,478 Reliance Steel & Aluminum Co. 1,056,691 See Notes to Financial Statements Page 77 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) METALS & MINING (Continued) 68,680 Steel Dynamics, Inc. $ 1,072,781 32,208 Worthington Industries, Inc. 675,402 ------------- 4,657,084 ------------- MULTILINE RETAIL -- 1.1% 55,143 99 Cents Only Stores (b) 1,089,074 27,920 Dollar Tree, Inc. (b) 1,849,142 66,610 Saks, Inc. (b) 715,391 ------------- 3,653,607 ------------- MULTI-UTILITIES -- 2.0% 36,600 Alliant Energy Corp. 1,442,406 49,452 Black Hills Corp. 1,477,626 66,140 MDU Resources Group, Inc. 1,425,978 8,089 NSTAR 358,585 14,786 OGE Energy Corp. 739,892 40,059 Vectren Corp. 1,057,958 ------------- 6,502,445 ------------- OFFICE ELECTRONICS -- 0.3% 26,469 Zebra Technologies Corp., Class A (b) 1,058,760 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.9% 41,864 Arch Coal, Inc. 1,071,718 24,081 Bill Barrett Corp. (b) 1,198,271 12,410 Cimarex Energy Co. 1,093,569 25,843 Comstock Resources, Inc. (b) 824,392 26,339 Energen Corp. 1,548,997 27,857 Forest Oil Corp. (b) 724,282 33,427 Patriot Coal Corp. (b) 632,105 19,516 Plains Exploration & Production Co. (b) 761,319 15,187 SM Energy Co. 1,144,340 9,269 Southern Union Co. 398,567 ------------- 9,397,560 ------------- PAPER & FOREST PRODUCTS -- 0.5% 19,638 Domtar Corp. 1,570,058 ------------- PHARMACEUTICALS -- 1.4% 37,044 Endo Pharmaceuticals Holdings, Inc. (b) 1,379,889 38,983 Medicis Pharmaceutical Corp., Class A 1,449,388 16,938 Perrigo Co. 1,529,671 ------------- 4,358,948 ------------- PROFESSIONAL SERVICES -- 1.2% 25,570 Corporate Executive Board (The) Co. 1,039,421 19,612 FTI Consulting, Inc. (b) 711,719 16,915 Korn/Ferry International (b) 364,349 28,306 Towers Watson & Co., Class A 1,730,912 ------------- 3,846,401 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 1.6% 7,459 BRE Properties, Inc. $ 391,448 11,698 Camden Property Trust 784,585 26,554 Duke Realty Corp. 372,818 2,752 Essex Property Trust, Inc. 386,271 6,953 Macerich (The) Co. 369,413 17,076 Rayonier, Inc. 1,100,548 13,468 SL Green Realty Corp. 1,104,646 12,567 Taubman Centers, Inc. 752,763 ------------- 5,262,492 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 7,889 Jones Lang LaSalle, Inc. 671,512 ------------- ROAD & RAIL -- 1.6% 31,601 J.B. Hunt Transport Services, Inc. 1,429,629 25,081 Kansas City Southern (b) 1,488,557 24,009 Landstar System, Inc. 1,076,804 44,552 Werner Enterprises, Inc. 1,049,200 ------------- 5,044,190 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.9% 105,766 Atmel Corp. (b) 1,279,769 70,390 Cypress Semiconductor Corp. (b) 1,448,626 111,316 Fairchild Semiconductor International, Inc. (b) 1,670,853 189,323 Integrated Device Technology, Inc. (b) 1,294,969 66,506 International Rectifier Corp. (b) 1,708,539 42,010 Lam Research Corp. (b) 1,717,369 68,038 Semtech Corp. (b) 1,585,286 30,276 Varian Semiconductor Equipment Associates, Inc. (b) 1,838,964 ------------- 12,544,375 ------------- SOFTWARE -- 3.0% 33,051 ACI Worldwide, Inc. (b) 1,195,124 140,921 Cadence Design Systems, Inc. (b) 1,455,714 3,633 FactSet Research Systems, Inc. 334,563 12,319 Fair Isaac Corp. 366,490 31,834 Informatica Corp. (b) 1,627,673 29,040 Mentor Graphics Corp. (b) 331,927 14,968 MICROS Systems, Inc. (b) 732,983 16,226 Parametric Technology Corp. (b) 337,339 6,488 Rovi Corp. (b) 343,669 12,575 Solera Holdings, Inc. 702,691 28,942 Synopsys, Inc. (b) 693,740 51,277 TIBCO Software, Inc. (b) 1,335,253 ------------- 9,457,166 ------------- SPECIALTY RETAIL -- 5.5% 65,822 Aaron's, Inc. 1,659,373 145,891 American Eagle Outfitters, Inc. 1,917,008 14,252 Ann, Inc. (b) 369,697 54,628 Ascena Retail Group, Inc. (b) 1,765,577 Page 78 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 67,315 Barnes & Noble, Inc. $ 1,171,281 97,711 Chico's FAS, Inc. 1,474,459 126,624 Collective Brands, Inc. (b) 1,491,631 19,348 Dick's Sporting Goods, Inc. (b) 715,876 46,972 Foot Locker, Inc. 1,020,701 8,843 Guess?, Inc. 337,095 4,654 J. Crew Group, Inc. (b) (c) - 88,155 Office Depot, Inc. (b) 333,226 32,797 PetSmart, Inc. 1,410,927 60,865 Rent-A-Center, Inc. 1,646,398 27,814 Tractor Supply Co. 1,833,499 10,198 Williams-Sonoma, Inc. 377,530 ------------- 17,524,278 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.2% 12,664 Deckers Outdoor Corp. (b) 1,256,902 15,798 Fossil, Inc. (b) 1,985,335 39,092 Hanesbrands, Inc. (b) 1,192,697 22,732 PVH Corp. 1,626,474 43,286 Timberland (The) Co., Class A (b) 1,852,208 24,063 Under Armour, Inc., Class A (b) 1,766,465 7,120 Warnaco Group (The), Inc. (b) 379,496 ------------- 10,059,577 ------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 58,174 Astoria Financial Corp. 677,727 28,185 First Niagara Financial Group, Inc. 345,266 49,634 New York Community Bancorp, Inc. 671,548 ------------- 1,694,541 ------------- TOBACCO -- 0.6% 49,379 Universal Corp. 1,813,197 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 30,068 GATX Corp. 1,185,581 5,610 MSC Industrial Direct Co., Inc., Class A 346,586 29,295 United Rentals, Inc. (b) 674,078 10,946 Watsco, Inc. 647,784 ------------- 2,854,029 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 59,849 Telephone and Data Systems, Inc. 1,697,318 ------------- TOTAL COMMON STOCKS -- 100.0% 319,413,124 (Cost $322,609,755) MONEY MARKET FUND -- 0.1% 288,774 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 288,774 (Cost $288,774) ------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 319,701,898 (Cost $322,898,529) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (210,407) ------------- NET ASSETS -- 100.0% $ 319,491,491 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at July 31, 2011. (e) Aggregate cost for federal income tax purposes is $325,243,156. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,581,339 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,122,597. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $319,413,124 $ -- $ -- Money Market Fund 288,774 -- -- ------------------------------------- Total Investments $319,701,898 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 79 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.8% 6,679 AAR Corp. $ 195,962 7,678 Aerovironment, Inc. (b) 221,357 6,961 Ceradyne, Inc. (b) 225,606 3,548 Cubic Corp. 172,220 13,974 Curtiss-Wright Corp. 446,609 3,552 Esterline Technologies Corp. (b) 271,266 6,236 Moog, Inc., Class A (b) 255,364 10,738 Orbital Sciences Corp. (b) 185,982 3,583 Teledyne Technologies, Inc. (b) 194,306 ------------- 2,168,672 ------------- AIR FREIGHT & LOGISTICS -- 0.4% 8,032 Forward Air Corp. 250,277 7,207 Hub Group, Inc., Class A (b) 255,704 ------------- 505,981 ------------- AIRLINES -- 0.5% 3,655 Allegiant Travel Co. (b) 157,275 29,947 SkyWest, Inc. 385,118 ------------- 542,393 ------------- AUTO COMPONENTS -- 1.0% 10,979 Drew Industries, Inc. 233,853 50,112 Spartan Motors, Inc. 230,515 23,761 Standard Motor Products, Inc. 337,406 20,399 Superior Industries International, Inc. 412,876 ------------- 1,214,650 ------------- AUTOMOBILES -- 0.1% 18,675 Winnebago Industries, Inc. (b) 156,683 ------------- BIOTECHNOLOGY -- 0.7% 14,475 ArQule, Inc. (b) 81,060 10,055 Cubist Pharmaceuticals, Inc. (b) 341,568 4,012 Emergent Biosolutions, Inc. (b) 82,848 6,381 Regeneron Pharmaceuticals, Inc. (b) 338,576 ------------- 844,052 ------------- BUILDING PRODUCTS -- 0.8% 2,139 A.O. Smith Corp. 88,704 8,285 AAON, Inc. 187,904 8,975 Griffon Corp. (b) 84,814 7,943 NCI Building Systems, Inc. (b) 89,676 5,520 Quanex Building Products Corp. 86,498 15,059 Universal Forest Products, Inc. 443,789 ------------- 981,385 ------------- CAPITAL MARKETS -- 1.1% 12,461 Calamos Asset Management, Inc., Class A 169,719 25,811 Investment Technology Group, Inc. (b) 314,120 12,561 Piper Jaffray Cos. (b) 370,298 44,610 Prospect Capital Corp. 414,873 ------------- 1,269,010 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CHEMICALS -- 3.8% 10,743 A. Schulman, Inc. $ 237,957 6,975 American Vanguard Corp. 95,278 10,507 Arch Chemicals, Inc. 495,090 8,266 Balchem Corp. 361,803 15,965 Calgon Carbon Corp. (b) 237,719 14,819 H.B. Fuller Co. 338,762 2,498 Hawkins, Inc. 85,981 7,155 Koppers Holdings, Inc. 264,878 10,539 LSB Industries, Inc. (b) 418,820 11,131 OM Group, Inc. (b) 403,833 29,240 PolyOne Corp. 453,220 8,414 Quaker Chemical Corp. 341,104 5,089 Stepan Co. 403,558 24,183 STR Holdings, Inc. (b) 332,758 ------------- 4,470,761 ------------- COMMERCIAL BANKS -- 2.6% 3,476 Bank of the Ozarks, Inc. 180,578 2,739 City Holding Co. 85,649 5,254 Columbia Banking System, Inc. 92,523 7,299 Community Bank System, Inc. 183,643 8,741 F.N.B. Corp. 87,410 47,283 First Commonwealth Financial Corp. 243,035 5,421 First Financial Bancorp 86,790 6,711 Glacier Bancorp, Inc. 88,183 6,893 Independent Bank Corp. 183,009 11,408 National Penn Bancshares, Inc. 91,720 8,176 NBT Bancorp, Inc. 180,199 8,377 Old National Bancorp 85,446 6,556 PrivateBancorp, Inc. 77,295 9,704 S&T Bancorp, Inc. 184,570 4,745 Signature Bank (b) 280,714 10,545 Simmons First National Corp., Class A 254,767 11,276 Susquehanna Bancshares, Inc. 84,908 4,598 Tompkins Financial Corp. 185,759 2,154 UMB Financial Corp. 89,391 3,686 United Bankshares, Inc. 87,948 5,606 Wintrust Financial Corp. 191,613 ------------- 3,025,150 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.7% 7,752 ABM Industries, Inc. 174,420 4,939 Consolidated Graphics, Inc. (b) 254,803 10,687 G&K Services, Inc., Class A 364,106 7,857 Geo Group (The), Inc. (b) 163,426 5,567 Healthcare Services Group, Inc. 87,346 18,682 Interface, Inc., Class A 299,286 4,269 Mobile Mini, Inc. (b) 90,119 57,270 Standard Register (The) Co. 171,810 21,010 Sykes Enterprises, Inc. (b) 405,493 12,027 Tetra Tech, Inc. (b) 264,594 8,026 UniFirst Corp. 440,226 5,092 United Stationers, Inc. 163,402 12,140 Viad Corp. 251,662 ------------- 3,130,693 ------------- Page 80 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) COMMUNICATIONS EQUIPMENT -- 2.2% 15,585 Arris Group, Inc. (b) $ 187,020 20,855 Bel Fuse, Inc., Class B 396,662 14,466 Black Box Corp. 412,136 16,132 Comtech Telecommunications Corp. 434,757 2,823 DG Fastchannel, Inc. (b) 79,778 13,918 Digi International, Inc. (b) 198,888 2,744 EMS Technologies, Inc. (b) 90,223 12,513 Harmonic, Inc. (b) 67,946 10,346 NETGEAR, Inc. (b) 340,487 9,712 Oplink Communications, Inc. (b) 163,939 9,880 Tekelec (b) 77,558 4,169 ViaSat, Inc. (b) 187,313 ------------- 2,636,707 ------------- COMPUTERS & PERIPHERALS -- 0.6% 44,304 Intevac, Inc. (b) 403,167 22,491 Super Micro Computer, Inc. (b) 316,898 ------------- 720,065 ------------- CONSTRUCTION & ENGINEERING -- 0.5% 8,527 Comfort Systems USA, Inc. 89,022 11,073 Dycom Industries, Inc. (b) 188,684 17,257 Insituform Technologies, Inc., Class A (b) 346,003 ------------- 623,709 ------------- CONSUMER FINANCE -- 1.3% 7,817 Cash America International, Inc. 437,440 12,715 EZCORP, Inc., Class A (b) 423,155 8,618 First Cash Financial Services, Inc. (b) 372,901 4,128 World Acceptance Corp. (b) 263,036 ------------- 1,496,532 ------------- DISTRIBUTORS -- 0.4% 59,657 Audiovox Corp., Class A (b) 428,934 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 4,065 American Public Education, Inc. (b) 185,242 4,976 Coinstar, Inc. (b) 243,127 11,476 Hillenbrand, Inc. 251,210 4,563 Universal Technical Institute, Inc. (b) 78,940 ------------- 758,519 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 2,134 Portfolio Recovery Associates, Inc. (b) 172,705 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 4,717 Atlantic Tele-Network, Inc. 178,161 6,838 Cbeyond, Inc. (b) 76,791 SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (Continued) 22,486 General Communication, Inc., Class A (b) $ 255,216 20,774 Neutral Tandem, Inc. (b) 318,465 ------------- 828,633 ------------- ELECTRIC UTILITIES -- 1.1% 6,613 ALLETE, Inc. 266,173 5,005 Central Vermont Public Service Corp. 175,626 8,403 El Paso Electric Co. 281,080 8,365 UIL Holdings Corp. 267,095 9,666 Unisource Energy Corp. 355,902 ------------- 1,345,876 ------------- ELECTRICAL EQUIPMENT -- 1.4% 5,926 AZZ, Inc. 296,478 5,190 Belden, Inc. 191,251 8,466 Brady Corp., Class A 250,593 11,173 Encore Wire Corp. 245,918 14,136 II-VI, Inc. (b) 353,824 2,479 Powell Industries, Inc. (b) 95,541 11,156 Vicor Corp. (b) 156,965 ------------- 1,590,570 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.2% 1,385 Anixter International, Inc. 86,452 27,415 Benchmark Electronics, Inc. (b) 401,630 33,466 Brightpoint, Inc. (b) 304,206 5,060 Checkpoint Systems, Inc. (b) 79,442 12,767 Cognex Corp. 433,440 46,778 CTS Corp. 459,828 8,385 Daktronics, Inc. 83,263 23,438 Electro Scientific Industries, Inc. (b) 450,244 10,327 FARO Technologies, Inc. (b) 420,928 11,845 FEI Co. (b) 391,359 20,433 Insight Enterprises, Inc. (b) 343,887 6,163 Littelfuse, Inc. 314,868 9,686 Mercury Computer Systems, Inc. (b) 162,628 23,377 Methode Electronics, Inc. 247,329 4,326 MTS Systems Corp. 170,488 19,916 Newport Corp. (b) 309,495 8,416 OSI Systems, Inc. (b) 347,497 9,710 Park Electrochemical Corp. 254,013 10,396 Plexus Corp. (b) 306,786 20,406 Pulse Electronics Corp. 85,297 12,373 RadiSys Corp. (b) 98,241 5,298 Rofin-Sinar Technologies, Inc. (b) 166,251 9,791 Rogers Corp. (b) 474,668 4,828 ScanSource, Inc. (b) 178,394 14,228 SYNNEX Corp. (b) 402,937 22,523 TTM Technologies, Inc. (b) 311,943 ------------- 7,285,514 ------------- See Notes to Financial Statements Page 81 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ENERGY EQUIPMENT & SERVICES -- 1.9% 14,374 Basic Energy Services, Inc. (b) $ 465,574 8,866 Bristow Group, Inc. 429,824 13,159 Hornbeck Offshore Services, Inc. (b) 366,346 9,563 ION Geophysical Corp. (b) 96,969 4,205 Lufkin Industries, Inc. 342,623 5,936 Pioneer Drilling Co. (b) 96,579 4,525 SEACOR Holdings, Inc. 454,129 ------------- 2,252,044 ------------- FOOD & STAPLES RETAILING -- 1.3% 8,565 Andersons (The), Inc. 352,107 2,056 Casey's General Stores, Inc. 92,520 12,632 Nash Finch Co. 452,226 18,475 Spartan Stores, Inc. 326,268 8,456 United Natural Foods, Inc. (b) 353,038 ------------- 1,576,159 ------------- FOOD PRODUCTS -- 2.8% 17,550 B&G Foods, Inc., Class A 329,765 4,296 Calavo Growers, Inc. 88,798 14,153 Cal-Maine Foods, Inc. 478,513 25,556 Darling International, Inc. (b) 431,385 5,925 Diamond Foods, Inc. 424,171 10,848 Hain Celestial Group (The), Inc. (b) 350,716 5,444 J & J Snack Foods Corp. 281,400 1,893 Sanderson Farms, Inc. 87,494 14,104 Seneca Foods Corp., Class A (b) 365,294 12,548 Snyders-Lance, Inc. 256,105 3,313 TreeHouse Foods, Inc. (b) 171,083 ------------- 3,264,724 ------------- GAS UTILITIES -- 0.8% 7,174 Laclede Group (The), Inc. 267,232 4,009 Northwest Natural Gas Co. 178,841 2,990 Piedmont Natural Gas Co., Inc. 87,218 1,666 South Jersey Industries, Inc. 84,133 9,345 Southwest Gas Corp. 348,475 ------------- 965,899 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% 3,320 Abaxis, Inc. (b) 78,750 11,904 Align Technology, Inc. (b) 261,769 1,720 Analogic Corp. 92,519 13,448 Cantel Medical Corp. 335,259 6,353 CONMED Corp. (b) 165,178 16,155 CryoLife, Inc. (b) 93,214 13,493 Greatbatch, Inc. (b) 336,246 6,211 ICU Medical, Inc. (b) 263,843 1,892 Integra LifeSciences Holdings (b) 85,272 2,726 Invacare Corp. 81,726 20,138 Merit Medical Systems, Inc. (b) 315,563 5,972 Natus Medical, Inc. (b) 68,857 6,003 Neogen Corp. (b) 248,284 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (Continued) 40,224 Symmetry Medical, Inc. (b) $ 387,357 4,123 West Pharmaceutical Services, Inc. 180,876 7,959 Zoll Medical Corp. (b) 554,424 ------------- 3,549,137 ------------- HEALTH CARE PROVIDERS & SERVICES -- 5.1% 6,052 Air Methods Corp. (b) 424,245 16,986 Amedisys, Inc. (b) 439,258 6,419 AMERIGROUP Corp. (b) 353,045 10,387 AmSurg Corp. (b) 264,142 4,329 Bio-Reference Laboratories, Inc. (b) 86,320 2,546 Centene Corp. (b) 83,534 1,381 Chemed Corp. 83,979 1,929 CorVel Corp. (b) 89,023 11,908 Ensign Group (The), Inc. 338,187 21,716 Gentiva Health Services, Inc. (b) 390,671 9,810 Healthspring, Inc. (b) 402,602 29,799 Healthways, Inc. (b) 444,899 2,354 HMS Holdings Corp. (b) 177,962 7,807 IPC Hospitalist (The) Co. (b) 353,111 19,616 LHC Group, Inc. (b) 446,853 6,611 Magellan Health Services, Inc. (b) 344,433 10,008 Molina Healthcare, Inc. (b) 226,681 5,600 MWI Veterinary Supply, Inc. (b) 498,736 28,276 PharMerica Corp. (b) 361,085 9,690 PSS World Medical, Inc. (b) 231,882 ------------- 6,040,648 ------------- HEALTH CARE TECHNOLOGY -- 0.6% 4,275 Computer Programs & Systems, Inc. 313,785 5,803 Omnicell, Inc. (b) 99,290 3,109 Quality Systems, Inc. 284,038 ------------- 697,113 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.6% 231 Biglari Holdings, Inc. (b) 85,047 8,639 BJ's Restaurants, Inc. (b) 400,590 6,822 Buffalo Wild Wings, Inc. (b) 433,402 2,256 CEC Entertainment, Inc. 87,307 1,835 Cracker Barrel Old Country Store, Inc. 82,777 3,462 DineEquity, Inc. (b) 180,370 11,914 Jack in the Box, Inc. (b) 270,686 45,784 Marcus (The) Corp. 443,189 34,662 Monarch Casino & Resort, Inc. (b) 400,346 99,416 Multimedia Games, Inc. (b) 431,466 37,128 O'Charley's, Inc. (b) 226,110 10,880 Papa John's International, Inc. (b) 339,565 4,704 Peet's Coffee & Tea, Inc. (b) 274,714 24,287 Pinnacle Entertainment, Inc. (b) 350,461 4,974 Red Robin Gourmet Burgers, Inc. (b) 171,205 41,838 Ruby Tuesday, Inc. (b) 380,307 Page 82 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 48,235 Ruth's Hospitality Group, Inc. (b) $ 277,351 19,283 Shuffle Master, Inc. (b) 179,718 17,021 Sonic Corp. (b) 182,125 10,289 Texas Roadhouse, Inc. 169,974 ------------- 5,366,710 ------------- HOUSEHOLD DURABLES -- 0.8% 3,594 Blyth, Inc. 227,356 13,100 Helen of Troy Ltd. (b) 422,475 27,498 La-Z-Boy, Inc. (b) 241,158 3,571 Universal Electronics, Inc. (b) 83,597 ------------- 974,586 ------------- HOUSEHOLD PRODUCTS -- 0.4% 35,653 Central Garden & Pet Co., Class A (b) 312,320 2,311 WD-40 Co. 101,222 ------------- 413,542 ------------- INDUSTRIAL CONGLOMERATES -- 0.6% 11,764 Standex International Corp. 378,683 19,662 Tredegar Corp. 374,758 ------------- 753,441 ------------- INSURANCE -- 4.5% 7,999 AMERISAFE, Inc. (b) 172,059 12,389 Delphi Financial Group, Inc., Class A 333,512 6,772 eHealth, Inc. (b) 87,697 10,789 Employers Holdings, Inc. 160,325 23,182 Horace Mann Educators Corp. 337,530 8,276 Infinity Property & Casualty Corp. 419,345 36,516 Meadowbrook Insurance Group, Inc. 343,250 39,198 National Financial Partners Corp. (b) 444,113 3,850 Navigators Group (The), Inc. (b) 181,489 34,559 Presidential Life Corp. 392,590 6,442 ProAssurance Corp. (b) 448,685 4,383 RLI Corp. 276,786 6,436 Safety Insurance Group, Inc. 261,302 22,176 Selective Insurance Group, Inc. 363,465 35,973 Stewart Information Services Corp. 381,314 18,934 Tower Group, Inc. 432,831 15,579 United Fire & Casualty Co. 267,180 ------------- 5,303,473 ------------- INTERNET & CATALOG RETAIL -- 0.4% 8,244 HSN, Inc. (b) 269,496 12,869 Nutrisystem, Inc. 192,263 ------------- 461,759 ------------- INTERNET SOFTWARE & SERVICES -- 2.1% 6,986 comScore, Inc. (b) 152,365 7,862 DealerTrack Holdings, Inc. (b) 182,320 29,759 InfoSpace, Inc. (b) 283,603 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES (Continued) 19,159 Liquidity Services, Inc. (b) $ 463,265 25,592 LivePerson, Inc. (b) 315,038 2,346 LogMeIn, Inc. (b) 83,400 11,169 RightNow Technologies, Inc. (b) 379,076 6,782 Stamps.com, Inc. 113,598 74,794 United Online, Inc. 446,520 ------------- 2,419,185 ------------- IT SERVICES -- 1.5% 5,737 CACI International, Inc., Class A (b) 338,942 15,432 Cardtronics, Inc. (b) 354,627 4,896 CSG Systems International, Inc. (b) 86,953 6,561 MAXIMUS, Inc. 253,451 15,928 NCI, Inc., Class A (b) 342,134 8,557 TeleTech Holdings, Inc. (b) 169,343 5,198 Wright Express Corp. (b) 255,742 ------------- 1,801,192 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.2% 26,945 Arctic Cat, Inc. (b) 444,054 13,304 Brunswick Corp. 290,426 24,571 JAKKS Pacific, Inc. (b) 428,764 8,243 Sturm, Ruger & Co., Inc. 225,199 ------------- 1,388,443 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 97,910 Cambrex Corp. (b) 431,783 42,607 eResearchTechnology, Inc. (b) 271,407 3,840 PAREXEL International Corp. (b) 78,835 ------------- 782,025 ------------- MACHINERY -- 3.7% 3,372 Actuant Corp., Class A 83,322 10,284 Albany International Corp., Class A 273,246 4,893 Astec Industries, Inc. (b) 183,585 2,446 Badger Meter, Inc. 89,255 7,293 Barnes Group, Inc. 177,585 18,221 Briggs & Stratton Corp. 312,308 5,705 Cascade Corp. 285,193 6,337 CIRCOR International, Inc. 274,075 3,827 CLARCOR, Inc. 168,618 7,528 EnPro Industries, Inc. (b) 348,095 7,375 ESCO Technologies, Inc. 255,765 9,365 John Bean Technologies Corp. 165,386 4,848 Kaydon Corp. 172,831 3,945 Lindsay Corp. 249,719 22,693 Lydall, Inc. (b) 274,131 7,159 Mueller Industries, Inc. 268,677 8,559 Robbins & Myers, Inc. 412,886 2,982 Toro (The) Co. 160,521 5,095 Watts Water Technologies, Inc., Class A 170,835 ------------- 4,326,033 ------------- See Notes to Financial Statements Page 83 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MEDIA -- 0.3% 2,189 Arbitron, Inc. $ 85,634 37,312 E.W. Scripps (The) Co., Class A (b) 321,629 ------------- 407,263 ------------- METALS & MINING -- 1.5% 5,447 A.M. Castle & Co. (b) 94,560 11,854 AMCOL International Corp. 363,444 23,123 Century Aluminum Co. (b) 301,061 1,656 Kaiser Aluminum Corp. 92,438 9,788 Materion Corp. (b) 373,119 9,830 Olympic Steel, Inc. 257,054 9,431 RTI International Metals, Inc. (b) 302,452 ------------- 1,784,128 ------------- MULTILINE RETAIL -- 0.6% 25,078 Fred's, Inc., Class A 330,528 96,991 Tuesday Morning Corp. (b) 417,061 ------------- 747,589 ------------- MULTI-UTILITIES -- 0.8% 14,086 Avista Corp. 355,108 3,397 CH Energy Group, Inc. 173,485 10,929 NorthWestern Corp. 349,946 ------------- 878,539 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.1% 1,548 Contango Oil & Gas Co. (b) 97,648 12,068 GeoResources, Inc. (b) 307,975 9,141 Gulfport Energy Corp. (b) 333,281 1,304 HollyFrontier Corp. 98,309 27,314 Penn Virginia Corp. 358,360 9,074 Petroleum Development Corp. (b) 329,568 38,548 PetroQuest Energy, Inc. (b) 313,395 8,905 Stone Energy Corp. (b) 289,056 7,260 Swift Energy Co. (b) 276,606 2,518 World Fuel Services Corp. 94,752 ------------- 2,498,950 ------------- PAPER & FOREST PRODUCTS -- 1.7% 13,413 Buckeye Technologies, Inc. 360,675 6,625 Clearwater Paper Corp. (b) 501,115 16,379 KapStone Paper & Packaging Corp. (b) 255,349 17,005 Neenah Paper, Inc. 343,331 66,916 Wausau Paper Corp. 493,840 ------------- 1,954,310 ------------- PERSONAL PRODUCTS -- 0.4% 7,625 Medifast, Inc. (b) 147,163 28,183 Prestige Brands Holdings, Inc. (b) 344,396 ------------- 491,559 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- PHARMACEUTICALS -- 1.0% 9,381 Hi-Tech Pharmacal Co., Inc. (b) $ 265,389 18,769 Questcor Pharmaceuticals, Inc. (b) 582,777 2,271 Salix Pharmaceuticals Ltd. (b) 88,069 9,752 ViroPharma, Inc. (b) 176,316 ------------- 1,112,551 ------------- PROFESSIONAL SERVICES -- 1.4% 4,159 Exponent, Inc. (b) 173,888 6,111 Insperity, Inc. 178,563 21,932 Kelly Services, Inc., Class A (b) 343,236 34,497 Navigant Consulting, Inc. (b) 406,030 29,769 SFN Group, Inc. (b) 414,385 6,248 TrueBlue, Inc. (b) 93,782 ------------- 1,609,884 ------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 4,450 Acadia Realty Trust 93,406 1,937 Entertainment Properties Trust 90,051 8,483 Extra Space Storage, Inc. 180,349 7,172 Getty Realty Corp. 166,390 1,486 Home Properties, Inc. 97,363 4,582 Kilroy Realty Corp. 176,774 3,435 LaSalle Hotel Properties 85,909 29,727 Lexington Realty Trust 249,707 3,252 LTC Properties, Inc. 88,292 1,341 Mid-America Apartment Communities, Inc. 94,929 5,762 Pennsylvania Real Estate Investment Trust 84,125 8,878 Post Properties, Inc. 376,427 ------------- 1,783,722 ------------- ROAD & RAIL -- 0.7% 3,812 Arkansas Best Corp. 91,717 10,926 Heartland Express, Inc. 167,386 10,650 Knight Transportation, Inc. 167,631 12,127 Old Dominion Freight Line, Inc. (b) 449,305 ------------- 876,039 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.7% 30,584 Advanced Energy Industries, Inc. (b) 324,496 22,141 ATMI, Inc. (b) 412,930 41,652 Brooks Automation, Inc. (b) 396,111 5,840 Cabot Microelectronics Corp. (b) 225,950 14,850 CEVA, Inc. (b) 448,767 34,504 Cohu, Inc. 431,990 5,482 Cymer, Inc. (b) 241,372 3,466 Diodes, Inc. (b) 81,624 2,923 Hittite Microwave Corp. (b) 163,659 38,416 Kopin Corp. (b) 165,189 40,605 Kulicke & Soffa Industries, Inc. (b) 373,566 8,826 Microsemi Corp. (b) 175,196 17,121 MKS Instruments, Inc. 427,169 50,448 Pericom Semiconductor Corp. (b) 412,665 2,354 Power Integrations, Inc. 83,543 Page 84 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 42,111 Rudolph Technologies, Inc. (b) $ 361,733 47,226 Sigma Designs, Inc. (b) 403,782 6,704 Standard Microsystems Corp. (b) 158,617 8,054 Supertex, Inc. (b) 156,086 26,313 Tessera Technologies, Inc. (b) 413,377 8,878 TriQuint Semiconductor, Inc. (b) 66,763 14,846 Ultratech, Inc. (b) 391,192 5,589 Veeco Instruments, Inc. (b) 222,386 3,658 Volterra Semiconductor Corp. (b) 94,267 ------------- 6,632,430 ------------- SOFTWARE -- 3.6% 3,264 Blackbaud, Inc. 82,906 10,984 Bottomline Technologies, Inc. (b) 255,817 8,141 CommVault Systems, Inc. (b) 315,220 12,724 EPIQ Systems, Inc. 164,394 7,743 Interactive Intelligence Group (b) 294,311 8,786 JDA Software Group, Inc. (b) 245,657 5,254 Manhattan Associates, Inc. (b) 195,974 2,781 MicroStrategy, Inc., Class A (b) 443,208 12,767 Monotype Imaging Holdings, Inc. (b) 174,908 12,986 Radiant Systems, Inc. (b) 366,075 9,132 Sourcefire, Inc. (b) 224,465 5,702 Synchronoss Technologies, Inc. (b) 166,784 29,517 Take-Two Interactive Software, Inc. (b) 398,184 7,329 Taleo Corp., Class A (b) 242,590 74,751 THQ, Inc. (b) 199,211 10,105 Tyler Technologies, Inc. (b) 257,576 10,420 Websense, Inc. (b) 236,326 ------------- 4,263,606 ------------- SPECIALTY RETAIL -- 7.0% 57,550 Big 5 Sporting Goods Corp. 474,788 42,474 Brown Shoe Co., Inc. 428,987 4,237 Buckle (The), Inc. 187,741 13,329 Cabela's, Inc. (b) 364,681 9,424 Cato (The) Corp., Class A 262,176 10,138 Children's Place Retail Stores (The), Inc. (b) 489,868 16,910 Finish Line (The), Inc., Class A 360,183 8,682 Genesco, Inc. (b) 449,728 4,394 Group 1 Automotive, Inc. 209,286 23,580 Haverty Furniture Cos., Inc. 261,502 8,889 Hibbett Sports, Inc. (b) 348,804 3,618 JoS. A. Bank Clothiers, Inc. (b) 185,640 4,609 Lithia Motors, Inc., Class A 95,130 3,562 Lumber Liquidators Holdings, Inc. (b) 55,959 13,423 Men's Wearhouse (The), Inc. 440,140 7,278 Monro Muffler Brake, Inc. 260,261 46,099 OfficeMax, Inc. (b) 326,381 33,108 Pep Boys-Manny, Moe & Jack (The) 355,911 8,351 Rue21, Inc. (b) 274,497 25,158 Select Comfort Corp. (b) 423,158 24,628 Sonic Automotive, Inc., Class A 385,921 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (Continued) 26,846 Stage Stores, Inc. $ 477,859 46,784 Stein Mart, Inc. 444,448 9,855 Vitamin Shoppe, Inc. (b) 429,284 7,225 Zumiez, Inc. (b) 191,968 ------------- 8,184,301 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.3% 5,882 Carter's, Inc. (b) 197,047 17,567 Crocs, Inc. (b) 550,374 14,954 Iconix Brand Group, Inc. (b) 348,877 9,812 Maidenform Brands, Inc. (b) 253,640 10,719 Oxford Industries, Inc. 419,970 14,332 Perry Ellis International, Inc. (b) 334,939 31,146 Skechers U.S.A., Inc., Class A (b) 518,581 12,059 Steven Madden, Ltd. (b) 459,448 12,408 True Religion Apparel, Inc. (b) 418,025 8,641 Wolverine World Wide, Inc. 327,235 ------------- 3,828,136 ------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 9,759 Brookline Bancorp, Inc. 83,440 6,222 Dime Community Bancshares, Inc. 87,419 12,635 Provident Financial Services, Inc. 175,121 36,818 TrustCo Bank Corp. NY 170,099 ------------- 516,079 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 5,081 Applied Industrial Technologies, Inc. 162,185 2,551 Kaman Corp. 90,867 9,199 Lawson Products, Inc. 171,745 ------------- 424,797 ------------- WATER UTILITIES -- 0.2% 5,220 American States Water Co. 178,472 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 8,861 NTELOS Holdings Corp. 172,081 29,554 USA Mobility, Inc. 487,936 ------------- 660,017 ------------- TOTAL COMMON STOCKS -- 99.9% 117,365,679 (Cost $117,219,599) MONEY MARKET FUND -- 0.1% 113,498 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 113,498 (Cost $113,498) ------------- TOTAL INVESTMENTS -- 100.0% 117,479,177 (Cost $117,333,097) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% 50,459 ------------- NET ASSETS -- 100.0% $ 117,529,636 ------------- See Notes to Financial Statements Page 85 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $118,690,762. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,234,161 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $7,445,746. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $117,365,679 $ -- $ -- Money Market Fund 113,498 -- -- ------------------------------------- Total Investments $117,479,177 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 86 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.0% 17,475 General Dynamics Corp. $ 1,190,747 18,616 L-3 Communications Holdings, Inc. 1,472,898 23,475 Northrop Grumman Corp. 1,420,472 26,125 Raytheon Co. 1,168,571 ------------- 5,252,688 ------------- AIR FREIGHT & LOGISTICS -- 0.3% 6,863 FedEx Corp. 596,257 ------------- AIRLINES -- 0.5% 83,342 Southwest Airlines Co. 830,086 ------------- BEVERAGES -- 1.6% 78,197 Constellation Brands, Inc., Class A (b) 1,594,437 29,110 Molson Coors Brewing Co., Class B 1,311,405 ------------- 2,905,842 ------------- BIOTECHNOLOGY -- 1.6% 22,319 Amgen, Inc. (b) 1,220,850 20,379 Cephalon, Inc. (b) 1,629,097 ------------- 2,849,947 ------------- CAPITAL MARKETS -- 2.2% 25,418 Bank of New York Mellon (The) Corp. 638,246 13,310 Federated Investors, Inc., Class B 284,435 7,154 Goldman Sachs Group (The), Inc. 965,575 137,969 Janus Capital Group, Inc. 1,164,458 9,685 Legg Mason, Inc. 284,933 28,301 Morgan Stanley 629,697 ------------- 3,967,344 ------------- CHEMICALS -- 0.2% 8,811 Dow Chemical (The) Co. 307,240 ------------- COMMERCIAL BANKS -- 2.3% 24,884 Fifth Third Bancorp 314,783 99,273 Huntington Bancshares, Inc. 600,105 156,358 KeyCorp 1,257,118 3,610 M&T Bank Corp. 311,326 15,968 PNC Financial Services Group, Inc. 866,903 23,207 Wells Fargo & Co. 648,404 ------------- 3,998,639 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% 24,638 Avery Dennison Corp. 777,329 9,603 Cintas Corp. 312,578 48,539 R.R. Donnelley & Sons Co. 913,018 30,855 Republic Services, Inc. 895,721 17,471 Waste Management, Inc. 550,162 ------------- 3,448,808 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 2.0% 83,437 Cisco Systems, Inc. $ 1,332,489 36,132 Harris Corp. 1,440,583 206,461 Tellabs, Inc. 854,748 ------------- 3,627,820 ------------- COMPUTERS & PERIPHERALS -- 2.3% 39,064 Dell, Inc. (b) 634,399 44,724 Hewlett-Packard Co. 1,572,496 55,642 Lexmark International, Inc., Class A (b) 1,867,902 ------------- 4,074,797 ------------- CONSUMER FINANCE -- 0.9% 25,204 Capital One Financial Corp. 1,204,751 11,863 Discover Financial Services 303,812 ------------- 1,508,563 ------------- CONTAINERS & PACKAGING -- 1.3% 28,175 Bemis Co., Inc. 890,330 25,234 Owens-Illinois, Inc. (b) 584,672 40,005 Sealed Air Corp. 861,307 ------------- 2,336,309 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 40,600 H&R Block, Inc. 607,376 ------------- DIVERSIFIED FINANCIAL SERVICES -- 3.2% 15,637 Citigroup, Inc. 599,523 1,086 CME Group, Inc. 314,060 23,245 JPMorgan Chase & Co. 940,260 47,741 Leucadia National Corp. 1,607,439 51,480 NASDAQ OMX Group (The), Inc. (b) 1,239,124 27,773 NYSE Euronext 929,285 ------------- 5,629,691 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 51,834 AT&T, Inc. 1,516,663 40,266 CenturyLink, Inc. 1,494,271 80,697 Frontier Communications Corp. 604,421 ------------- 3,615,355 ------------- ELECTRIC UTILITIES -- 6.8% 34,567 American Electric Power Co., Inc. 1,274,140 50,547 Duke Energy Corp. 940,174 33,614 Edison International 1,279,685 19,077 Entergy Corp. 1,274,344 30,402 Exelon Corp. 1,339,816 14,753 FirstEnergy Corp. 658,721 16,562 NextEra Energy, Inc. 915,051 18,514 Northeast Utilities 629,476 48,486 Pepco Holdings, Inc. 905,718 21,350 Pinnacle West Capital Corp. 904,172 See Notes to Financial Statements Page 87 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ELECTRIC UTILITIES (Continued) 34,200 PPL Corp. $ 954,180 13,567 Progress Energy, Inc. 634,122 7,857 Southern Co. 310,666 ------------- 12,020,265 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 89,702 Corning, Inc. 1,427,159 47,120 Jabil Circuit, Inc. 862,767 ------------- 2,289,926 ------------- ENERGY EQUIPMENT & SERVICES -- 1.4% 38,628 Nabors Industries Ltd. (b) 1,020,165 24,149 Noble Corp. 890,374 16,779 Rowan Cos., Inc. (b) 657,233 ------------- 2,567,772 ------------- FOOD & STAPLES RETAILING -- 2.7% 25,325 CVS Caremark Corp. 920,564 38,379 Kroger (The) Co. 954,486 55,729 Safeway, Inc. 1,124,054 10,177 Sysco Corp. 311,314 15,337 Walgreen Co. 598,756 17,913 Wal-Mart Stores, Inc. 944,194 ------------- 4,853,368 ------------- FOOD PRODUCTS -- 2.6% 53,997 Archer-Daniels-Midland Co. 1,640,429 9,182 Campbell Soup Co. 303,465 53,073 Dean Foods Co. (b) 584,865 8,524 General Mills, Inc. 318,371 4,152 J.M. Smucker (The) Co. 323,524 83,834 Tyson Foods, Inc., Class A 1,472,125 ------------- 4,642,779 ------------- GAS UTILITIES -- 0.2% 5,794 Nicor, Inc. 316,932 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 3,681 Becton, Dickinson & Co. 307,769 188,488 Boston Scientific Corp. (b) 1,349,574 11,676 CareFusion Corp. (b) 308,130 5,957 Covidien PLC 302,556 24,705 Medtronic, Inc. 890,615 5,018 Zimmer Holdings, Inc. (b) 301,180 ------------- 3,459,824 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 29,544 Aetna, Inc. 1,225,781 35,715 Coventry Health Care, Inc. (b) 1,142,880 11,816 Humana, Inc. 881,237 18,453 UnitedHealth Group, Inc. 915,822 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (Continued) 16,533 WellPoint, Inc. $ 1,116,804 ------------- 5,282,524 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.7% 34,611 Carnival Corp. 1,152,546 ------------- HOUSEHOLD DURABLES -- 1.3% 4,975 Fortune Brands, Inc. 299,545 13,011 Leggett & Platt, Inc. 282,338 20,102 Newell Rubbermaid, Inc. 311,983 20,021 Whirlpool Corp. 1,386,054 ------------- 2,279,920 ------------- HOUSEHOLD PRODUCTS -- 0.4% 4,764 Kimberly-Clark Corp. 311,375 4,990 Procter & Gamble (The) Co. 306,835 ------------- 618,210 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.9% 24,902 AES (The) Corp. (b) 306,544 52,985 NRG Energy, Inc. (b) 1,299,192 ------------- 1,605,736 ------------- INDUSTRIAL CONGLOMERATES -- 0.3% 3,348 3M Co. 291,745 16,819 General Electric Co. 301,228 ------------- 592,973 ------------- INSURANCE -- 6.0% 19,788 ACE Ltd. 1,325,400 10,390 Allstate (The) Corp. 288,011 32,463 American International Group, Inc. (b) 931,688 8,749 Assurant, Inc. 311,639 20,804 Chubb (The) Corp. 1,299,834 10,873 Cincinnati Financial Corp. 297,159 49,391 Hartford Financial Services Group (The), Inc. 1,156,737 22,855 Lincoln National Corp. 605,658 7,540 Loews Corp. 300,620 10,432 Principal Financial Group, Inc. 288,236 14,838 Progressive (The) Corp. 292,012 10,240 Prudential Financial, Inc. 600,883 15,228 Torchmark Corp. 615,059 27,888 Travelers (The) Cos., Inc. 1,537,465 37,353 Unum Group 911,040 ------------- 10,761,441 ------------- INTERNET SOFTWARE & SERVICES -- 0.6% 86,598 Yahoo!, Inc. (b) 1,134,434 ------------- Page 88 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) IT SERVICES -- 2.4% 42,886 Computer Sciences Corp. $ 1,513,018 10,306 Fidelity National Information Services, Inc. 309,386 5,068 Fiserv, Inc. (b) 305,904 77,434 SAIC, Inc. (b) 1,241,267 51,226 Total System Services, Inc. 953,316 ------------- 4,322,891 ------------- MACHINERY -- 0.7% 12,660 Eaton Corp. 607,047 11,528 Illinois Tool Works, Inc. 574,094 ------------- 1,181,141 ------------- MEDIA -- 2.7% 113,692 Gannett Co., Inc. 1,450,710 36,793 News Corp., Class A 589,424 17,907 Time Warner, Inc. 629,610 16,679 Walt Disney (The) Co. 644,143 3,888 Washington Post (The) Co., Class B 1,564,142 ------------- 4,878,029 ------------- METALS & MINING -- 0.5% 60,011 Alcoa, Inc. 883,962 ------------- MULTILINE RETAIL -- 3.3% 49,112 Big Lots, Inc. (b) 1,710,571 18,855 J. C. Penney Co., Inc. 579,980 26,045 Kohl's Corp. 1,424,922 9,118 Sears Holdings Corp. (b) 635,251 27,765 Target Corp. 1,429,620 ------------- 5,780,344 ------------- MULTI-UTILITIES -- 8.6% 33,003 Ameren Corp. 951,146 16,395 CenterPoint Energy, Inc. 321,014 48,339 CMS Energy Corp. 925,208 17,874 Consolidated Edison, Inc. 940,172 26,983 Dominion Resources, Inc. 1,307,326 26,040 DTE Energy Co. 1,297,834 25,126 Integrys Energy Group, Inc. 1,261,577 64,318 NiSource, Inc. 1,294,721 22,646 PG&E Corp. 938,224 39,906 Public Service Enterprise Group, Inc. 1,306,922 33,085 SCANA Corp. 1,296,601 24,630 Sempra Energy 1,248,495 34,473 TECO Energy, Inc. 638,785 20,775 Wisconsin Energy Corp. 636,754 39,168 Xcel Energy, Inc. 940,032 ------------- 15,304,811 ------------- OFFICE ELECTRONICS -- 0.7% 125,114 Xerox Corp. 1,167,314 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 10.5% 4,136 Anadarko Petroleum Corp. $ 341,468 13,196 Apache Corp. 1,632,609 21,931 Chesapeake Energy Corp. 753,330 15,832 Chevron Corp. 1,646,845 21,651 ConocoPhillips 1,558,656 12,076 Devon Energy Corp. 950,381 16,003 Exxon Mobil Corp. 1,276,879 21,776 Hess Corp. 1,492,963 50,911 Marathon Oil Corp. 1,576,714 24,794 Murphy Oil Corp. 1,592,271 9,149 Occidental Petroleum Corp. 898,249 15,569 QEP Resources, Inc. 682,389 11,573 Spectra Energy Corp. 312,702 15,612 Sunoco, Inc. 634,628 71,060 Tesoro Corp. (b) 1,726,047 63,670 Valero Energy Corp. 1,599,390 ------------- 18,675,521 ------------- PAPER & FOREST PRODUCTS -- 0.7% 43,674 International Paper Co. 1,297,118 ------------- PHARMACEUTICALS -- 1.7% 10,957 Bristol-Myers Squibb Co. 314,027 41,385 Forest Laboratories, Inc. (b) 1,533,728 9,791 Johnson & Johnson 634,359 31,611 Pfizer, Inc. 608,196 ------------- 3,090,310 ------------- PROFESSIONAL SERVICES -- 0.4% 18,755 Equifax, Inc. 644,422 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.8% 74,479 Weyerhaeuser Co. 1,488,835 ------------- ROAD & RAIL -- 0.4% 11,452 Ryder System, Inc. 644,977 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.6% 125,137 Applied Materials, Inc. 1,541,688 73,469 Intel Corp. 1,640,563 40,219 KLA-Tencor Corp. 1,601,521 76,346 MEMC Electronic Materials, Inc. (b) 566,487 45,049 Novellus Systems, Inc. (b) 1,398,321 110,005 Teradyne, Inc. (b) 1,483,967 ------------- 8,232,547 ------------- SOFTWARE -- 0.8% 20,706 Adobe Systems, Inc. (b) 573,971 41,671 CA, Inc. 929,263 ------------- 1,503,234 ------------- SPECIALTY RETAIL -- 5.0% 51,834 Best Buy Co., Inc. 1,430,618 61,044 GameStop Corp., Class A (b) 1,439,418 89,950 Gap (The), Inc. 1,735,136 See Notes to Financial Statements Page 89 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 8,760 Home Depot (The), Inc. $ 305,987 40,833 Lowe's Cos., Inc. 881,176 122,320 RadioShack Corp. 1,702,694 82,432 Staples, Inc. 1,323,858 ------------- 8,818,887 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 176,584 Sprint Nextel Corp. (b) 746,950 ------------- TOTAL COMMON STOCKS -- 99.9% 177,796,705 (Cost $183,834,034) MONEY MARKET FUND -- 0.1% 256,106 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 256,106 (Cost $256,106) ------------- TOTAL INVESTMENTS -- 100.0% 178,052,811 (Cost $184,090,140) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (869) ------------- NET ASSETS -- 100.0% $ 178,051,942 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $186,128,742. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,809,402 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $10,885,333. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $177,796,705 $ -- $ -- Money Market Fund 256,106 -- -- ------------------------------------- Total Investments $178,052,811 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 90 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 2.9% 3,497 Boeing (The) Co. $ 246,434 8,347 Goodrich Corp. 794,133 13,377 Honeywell International, Inc. 710,319 8,773 ITT Corp. 467,952 6,280 Precision Castparts Corp. 1,013,466 9,006 United Technologies Corp. 746,057 ------------- 3,978,361 ------------- AIR FREIGHT & LOGISTICS -- 1.2% 10,109 C.H. Robinson Worldwide, Inc. 730,982 15,571 Expeditors International of Washington, Inc. 743,048 3,544 United Parcel Service, Inc., Class B 245,316 ------------- 1,719,346 ------------- AUTOMOBILES -- 0.6% 19,456 Harley-Davidson, Inc. 844,196 ------------- BEVERAGES -- 1.6% 3,460 Brown-Forman Corp., Class B 254,518 3,841 Coca-Cola (The) Co. 261,226 17,720 Coca-Cola Enterprises, Inc. 498,109 12,331 Dr. Pepper Snapple Group, Inc. 465,618 11,317 PepsiCo, Inc. 724,741 ------------- 2,204,212 ------------- BIOTECHNOLOGY -- 1.1% 12,425 Biogen Idec, Inc. (b) 1,265,735 4,285 Celgene Corp. (b) 254,100 ------------- 1,519,835 ------------- CAPITAL MARKETS -- 1.2% 8,963 Ameriprise Financial, Inc. 484,898 1,347 BlackRock, Inc. 240,386 7,876 Franklin Resources, Inc. 999,937 ------------- 1,725,221 ------------- CHEMICALS -- 6.3% 8,340 Air Products and Chemicals, Inc. 740,008 7,382 Airgas, Inc. 507,143 7,299 CF Industries Holdings, Inc. 1,133,681 14,747 E.I. du Pont de Nemours & Co. 758,291 13,015 Eastman Chemical Co. 1,257,119 9,171 Ecolab, Inc. 458,550 6,010 FMC Corp. 526,296 16,096 International Flavors & Fragrances, Inc. 984,592 3,565 Monsanto Co. 261,956 8,779 PPG Industries, Inc. 739,192 7,353 Praxair, Inc. 762,065 3,081 Sherwin-Williams (The) Co. 237,761 7,046 Sigma-Aldrich Corp. 472,786 ------------- 8,839,440 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 30,333 Iron Mountain, Inc. $ 959,433 5,801 Stericycle, Inc. (b) 476,378 ------------- 1,435,811 ------------- COMMUNICATIONS EQUIPMENT -- 1.3% 4,689 F5 Networks, Inc. (b) 438,328 47,845 JDS Uniphase Corp. (b) 629,162 14,036 QUALCOMM, Inc. 768,892 ------------- 1,836,382 ------------- COMPUTERS & PERIPHERALS -- 1.3% 770 Apple, Inc. (b) 300,669 37,534 EMC Corp. (b) 978,887 9,796 NetApp, Inc. (b) 465,506 ------------- 1,745,062 ------------- CONSUMER FINANCE -- 0.7% 20,002 American Express Co. 1,000,900 ------------- CONTAINERS & PACKAGING -- 1.0% 34,543 Ball Corp. 1,340,268 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 5,918 Apollo Group, Inc., Class A (b) 300,812 13,480 DeVry, Inc. 837,647 ------------- 1,138,459 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 34,642 Moody's Corp. 1,233,602 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 19,947 Windstream Corp. 243,553 ------------- ELECTRICAL EQUIPMENT -- 1.0% 11,918 Rockwell Automation, Inc. 855,236 6,206 Roper Industries, Inc. 506,596 ------------- 1,361,832 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 4,787 Amphenol Corp., Class A 234,036 7,669 FLIR Systems, Inc. 210,591 40,126 Molex, Inc. 942,159 ------------- 1,386,786 ------------- ENERGY EQUIPMENT & SERVICES -- 3.6% 18,309 Baker Hughes, Inc. 1,416,750 5,140 Cameron International Corp. (b) 287,532 26,048 Halliburton Co. 1,425,607 15,640 Helmerich & Payne, Inc. 1,079,942 See Notes to Financial Statements Page 91 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ENERGY EQUIPMENT & SERVICES (Continued) 6,612 National Oilwell Varco, Inc. $ 532,729 2,991 Schlumberger Ltd. 270,297 ------------- 5,012,857 ------------- FOOD & STAPLES RETAILING -- 1.0% 20,937 Whole Foods Market, Inc. 1,396,498 ------------- FOOD PRODUCTS -- 3.1% 4,852 H. J. Heinz Co. 255,409 9,095 Hershey (The) Co. 513,322 44,565 Hormel Foods Corp. 1,291,048 29,352 Kraft Foods, Inc., Class A 1,009,122 5,215 McCormick & Co., Inc. 253,710 7,655 Mead Johnson Nutrition Co. 546,337 27,227 Sara Lee Corp. 520,308 ------------- 4,389,256 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 13,355 Baxter International, Inc. 776,860 7,255 C. R. Bard, Inc. 715,923 2,965 Edwards Lifesciences Corp. (b) 211,553 2,143 Intuitive Surgical, Inc. (b) 858,379 ------------- 2,562,715 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 24,977 AmerisourceBergen Corp. 956,869 25,831 CIGNA Corp. 1,285,609 9,203 DaVita, Inc. (b) 768,819 9,579 Express Scripts, Inc. (b) 519,757 5,341 Laboratory Corp. of America Holdings (b) 484,749 7,860 Patterson Cos., Inc. 242,402 ------------- 4,258,205 ------------- HEALTH CARE TECHNOLOGY -- 0.8% 16,921 Cerner Corp. (b) 1,125,077 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.3% 4,310 Chipotle Mexican Grill, Inc. (b) 1,398,940 5,196 Darden Restaurants, Inc. 263,957 3,065 McDonald's Corp. 265,061 26,186 Starbucks Corp. 1,049,797 30,729 Wyndham Worldwide Corp. 1,062,916 9,254 Wynn Resorts Ltd. 1,422,154 9,361 Yum! Brands, Inc. 494,448 ------------- 5,957,273 ------------- HOUSEHOLD DURABLES -- 0.3% 11,345 Harman International Industries, Inc. 471,952 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 1.2% 15,042 Danaher Corp. $ 738,713 20,919 Tyco International Ltd. 926,502 ------------- 1,665,215 ------------- INTERNET & CATALOG RETAIL -- 3.8% 6,496 Amazon.com, Inc. (b) 1,445,490 45,825 Expedia, Inc. 1,452,194 5,057 Netflix, Inc. (b) 1,345,112 2,019 priceline.com, Inc. (b) 1,085,515 ------------- 5,328,311 ------------- INTERNET SOFTWARE & SERVICES -- 0.4% 16,023 eBay, Inc. (b) 524,753 ------------- IT SERVICES -- 3.0% 4,908 Automatic Data Processing, Inc. 252,713 4,647 International Business Machines Corp. 845,057 3,431 MasterCard, Inc., Class A 1,040,451 22,067 Teradata Corp. (b) 1,212,802 9,461 Visa, Inc., Class A 809,294 ------------- 4,160,317 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.4% 18,808 Mattel, Inc. 501,421 ------------- LIFE SCIENCES TOOLS & SERVICES -- 2.2% 25,993 Agilent Technologies, Inc. (b) 1,095,865 19,213 PerkinElmer, Inc. 469,950 12,378 Thermo Fisher Scientific, Inc. (b) 743,794 8,326 Waters Corp. (b) 731,772 ------------- 3,041,381 ------------- MACHINERY -- 5.0% 9,713 Caterpillar, Inc. 959,547 4,997 Cummins, Inc. 524,085 6,271 Deere & Co. 492,336 19,594 Dover Corp. 1,184,849 5,693 Ingersoll-Rand PLC 213,032 5,428 Joy Global, Inc. 509,798 5,059 PACCAR, Inc. 216,576 9,195 Pall Corp. 455,888 8,881 Parker Hannifin Corp. 701,777 16,550 Snap-on, Inc. 941,033 11,062 Stanley Black & Decker, Inc. 727,548 ------------- 6,926,469 ------------- MEDIA -- 5.1% 31,462 Cablevision Systems Corp., Class A 766,414 40,808 Comcast Corp., Class A 980,208 26,140 DIRECTV, Class A (b) 1,324,775 106,279 Interpublic Group of Cos. (The), Inc. 1,042,597 19,019 McGraw-Hill (The) Cos., Inc. 791,191 10,736 Omnicom Group, Inc. 503,733 13,249 Time Warner Cable, Inc. 971,284 Page 92 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MEDIA (Continued) 15,630 Viacom, Inc., Class B $ 756,805 ------------- 7,137,007 ------------- METALS & MINING -- 1.6% 12,558 Allegheny Technologies, Inc. 730,750 11,186 Cliffs Natural Resources, Inc. 1,004,726 4,886 Freeport-McMoRan Copper & Gold, Inc. 258,763 5,615 United States Steel Corp. 224,544 ------------- 2,218,783 ------------- MULTILINE RETAIL -- 2.3% 15,166 Family Dollar Stores, Inc. 805,466 45,433 Macy's, Inc. 1,311,651 22,030 Nordstrom, Inc. 1,105,025 ------------- 3,222,142 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 12,022 Cabot Oil & Gas Corp. 890,590 5,332 CONSOL Energy, Inc. 285,795 39,459 El Paso Corp. 810,882 9,845 EQT Corp. 624,961 ------------- 2,612,228 ------------- PERSONAL PRODUCTS -- 1.0% 12,629 Estee Lauder (The) Cos., Inc., Class A 1,324,908 ------------- PHARMACEUTICALS -- 2.9% 9,825 Abbott Laboratories 504,219 9,575 Allergan, Inc. 778,543 6,889 Eli Lilly & Co. 263,849 7,325 Merck & Co., Inc. 250,002 41,915 Mylan, Inc. (b) 954,824 19,328 Watson Pharmaceuticals, Inc. (b) 1,297,489 ------------- 4,048,926 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.1% 2,013 AvalonBay Communities, Inc. 270,125 7,508 Boston Properties, Inc. 806,059 8,618 Equity Residential 532,765 4,931 Health Care REIT, Inc. 260,258 4,449 Simon Property Group, Inc. 536,149 5,548 Vornado Realty Trust 519,015 ------------- 2,924,371 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 41,180 CB Richard Ellis Group, Inc., Class A (b) 897,724 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ROAD & RAIL -- 2.2% 39,437 CSX Corp. $ 968,967 13,800 Norfolk Southern Corp. 1,044,660 9,904 Union Pacific Corp. 1,014,962 ------------- 3,028,589 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.1% 28,662 Altera Corp. 1,171,703 6,606 Analog Devices, Inc. 227,246 145,233 LSI Corp. (b) 1,068,915 13,639 Microchip Technology, Inc. 460,316 53,981 National Semiconductor Corp. 1,334,410 7,875 Texas Instruments, Inc. 234,281 36,426 Xilinx, Inc. 1,169,275 ------------- 5,666,146 ------------- SOFTWARE -- 3.6% 14,571 BMC Software, Inc. (b) 629,759 12,926 Citrix Systems, Inc. (b) 931,189 43,816 Electronic Arts, Inc. (b) 974,906 4,984 Intuit, Inc. (b) 232,753 15,710 Oracle Corp. 480,412 5,632 Red Hat, Inc. (b) 236,994 6,941 Salesforce.com, Inc. (b) 1,004,432 26,219 Symantec Corp. (b) 499,734 ------------- 4,990,179 ------------- SPECIALTY RETAIL -- 7.7% 19,852 Abercrombie & Fitch Co., Class A 1,451,578 3,507 AutoZone, Inc. (b) 1,001,073 22,760 Bed Bath & Beyond, Inc. (b) 1,331,233 40,172 CarMax, Inc. (b) 1,284,299 34,551 Limited Brands, Inc. 1,308,101 15,784 O'Reilly Automotive, Inc. (b) 939,148 16,582 Ross Stores, Inc. 1,256,418 16,919 Tiffany & Co. 1,346,583 15,174 TJX (The) Cos., Inc. 839,122 ------------- 10,757,555 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.3% 20,781 Coach, Inc. 1,341,621 5,745 NIKE, Inc., Class B 517,912 10,017 Polo Ralph Lauren Corp. 1,352,996 12,238 VF Corp. 1,429,399 ------------- 4,641,928 ------------- TOBACCO -- 1.1% 9,498 Lorillard, Inc. 1,008,878 3,872 Philip Morris International, Inc. 275,570 6,977 Reynolds American, Inc. 245,590 ------------- 1,530,038 ------------- See Notes to Financial Statements Page 93 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) TRADING COMPANIES & DISTRIBUTORS -- 1.6% 28,731 Fastenal Co. $ 966,798 8,646 W.W. Grainger, Inc. 1,282,807 ------------- 2,249,605 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 77,193 MetroPCS Communications, Inc. (b) 1,256,702 ------------- TOTAL COMMON STOCKS -- 100.1% 139,381,797 (Cost $133,135,776) MONEY MARKET FUND -- 0.0% 50,691 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 50,691 (Cost $50,691) ------------- TOTAL INVESTMENTS -- 100.1% 139,432,488 (Cost $133,186,467) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (110,020) ------------- NET ASSETS -- 100.0% $ 139,322,468 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $133,591,908. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,013,193 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,172,613. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $139,381,797 $ -- $ -- Money Market Fund 50,691 -- -- ------------------------------------- Total Investments $139,432,488 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 94 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.5% 826 AAR Corp. $ 24,235 1,859 Alliant Techsystems, Inc. 121,263 861 Ceradyne, Inc. (b) 27,905 1,728 Curtiss-Wright Corp. 55,227 439 Esterline Technologies Corp. (b) 33,526 1,936 General Dynamics Corp. 131,919 2,234 Huntington Ingalls Industries, Inc. (b) 74,794 2,063 L-3 Communications Holdings, Inc. 163,225 772 Moog, Inc., Class A (b) 31,613 2,600 Northrop Grumman Corp. 157,326 1,328 Orbital Sciences Corp. (b) 23,001 2,895 Raytheon Co. 129,493 444 Teledyne Technologies, Inc. (b) 24,078 ------------- 997,605 ------------- AIR FREIGHT & LOGISTICS -- 0.2% 760 FedEx Corp. 66,029 ------------- AIRLINES -- 0.6% 17,399 JetBlue Airways Corp. (b) 83,341 3,715 SkyWest, Inc. 47,775 9,234 Southwest Airlines Co. 91,971 ------------- 223,087 ------------- AUTO COMPONENTS -- 0.4% 1,357 Drew Industries, Inc. 28,904 6,217 Spartan Motors, Inc. 28,598 2,938 Standard Motor Products, Inc. 41,720 2,530 Superior Industries International, Inc. 51,207 ------------- 150,429 ------------- AUTOMOBILES -- 0.2% 2,673 Thor Industries, Inc. 66,104 2,316 Winnebago Industries, Inc. (b) 19,431 ------------- 85,535 ------------- BEVERAGES -- 0.8% 8,664 Constellation Brands, Inc., Class A (b) 176,659 3,224 Molson Coors Brewing Co., Class B 145,241 ------------- 321,900 ------------- BIOTECHNOLOGY -- 0.8% 2,473 Amgen, Inc. (b) 135,273 2,258 Cephalon, Inc. (b) 180,505 ------------- 315,778 ------------- BUILDING PRODUCTS -- 0.2% 1,087 Griffon Corp. (b) 10,272 669 Quanex Building Products Corp. 10,483 367 Simpson Manufacturing Co., Inc. 10,386 1,867 Universal Forest Products, Inc. 55,021 ------------- 86,162 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS -- 1.9% 10,395 Apollo Investment Corp. $ 99,584 2,815 Bank of New York Mellon (The) Corp. 70,685 1,541 Calamos Asset Management, Inc., Class A 20,988 1,473 Federated Investors, Inc., Class B 31,478 792 Goldman Sachs Group (The), Inc. 106,896 3,193 Investment Technology Group, Inc. (b) 38,859 15,286 Janus Capital Group, Inc. 129,014 1,073 Legg Mason, Inc. 31,568 3,136 Morgan Stanley 69,776 1,553 Piper Jaffray Cos. (b) 45,782 5,535 Prospect Capital Corp. 51,476 800 Raymond James Financial, Inc. 25,408 1,141 SEI Investments Co. 22,569 ------------- 744,083 ------------- CHEMICALS -- 2.5% 1,332 A. Schulman, Inc. 29,504 845 American Vanguard Corp. 11,543 1,299 Arch Chemicals, Inc. 61,209 2,052 Ashland, Inc. 125,665 3,326 Cabot Corp. 130,047 450 Cytec Industries, Inc. 25,200 976 Dow Chemical (The) Co. 34,033 1,832 H.B. Fuller Co. 41,880 1,600 Minerals Technologies, Inc. 103,648 5,855 Olin Corp. 122,428 1,376 OM Group, Inc. (b) 49,921 1,116 RPM International, Inc. 23,525 501 Scotts Miracle-Gro (The) Co., Class A 25,280 2,079 Sensient Technologies Corp. 77,172 631 Stepan Co. 50,038 2,999 STR Holdings, Inc. (b) 41,266 1,472 Valspar (The) Corp. 48,385 ------------- 1,000,744 ------------- COMMERCIAL BANKS -- 2.8% 332 City Holding Co. 10,382 637 Columbia Banking System, Inc. 11,218 902 Community Bank System, Inc. 22,694 452 Cullen/Frost Bankers, Inc. 24,354 1,271 East West Bancorp, Inc. 23,590 1,059 F.N.B. Corp. 10,590 2,756 Fifth Third Bancorp 34,863 5,849 First Commonwealth Financial Corp. 30,064 656 First Financial Bancorp 10,503 1,557 FirstMerit Corp. 22,748 2,399 Fulton Financial Corp. 24,350 813 Glacier Bancorp, Inc. 10,683 354 Hancock Holding Co. 11,664 10,999 Huntington Bancshares, Inc. 66,489 853 Independent Bank Corp. 22,647 6,344 International Bancshares Corp. 106,706 17,323 KeyCorp 139,277 See Notes to Financial Statements Page 95 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) COMMERCIAL BANKS (Continued) 400 M&T Bank Corp. $ 34,496 1,010 NBT Bancorp, Inc. 22,260 1,015 Old National Bancorp 10,353 1,768 PNC Financial Services Group, Inc. 95,985 794 PrivateBancorp, Inc. 9,361 587 Prosperity Bancshares, Inc. 24,378 1,204 S&T Bancorp, Inc. 22,900 1,307 Simmons First National Corp., Class A 31,577 1,371 Susquehanna Bancshares, Inc. 10,324 3,845 TCF Financial Corp. 48,908 570 Tompkins Financial Corp. 23,028 1,098 Trustmark Corp. 23,925 947 Umpqua Holdings Corp. 10,758 448 United Bankshares, Inc. 10,689 2,525 Webster Financial Corp. 51,560 2,570 Wells Fargo & Co. 71,806 695 Wintrust Financial Corp. 23,755 ------------- 1,108,885 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 958 ABM Industries, Inc. 21,555 2,729 Avery Dennison Corp. 86,100 1,778 Brink's (The) Co. 53,055 1,063 Cintas Corp. 34,601 4,902 Corrections Corp. of America (b) 105,197 3,121 Deluxe Corp. 73,468 1,322 G&K Services, Inc., Class A 45,041 971 Geo Group (The), Inc. (b) 20,197 517 Mobile Mini, Inc. (b) 10,914 5,378 R.R. Donnelley & Sons Co. 101,160 3,418 Republic Services, Inc. 99,224 7,105 Standard Register (The) Co. 21,315 1,491 Tetra Tech, Inc. (b) 32,802 996 UniFirst Corp. 54,631 631 United Stationers, Inc. 20,249 1,506 Viad Corp. 31,219 1,935 Waste Management, Inc. 60,933 ------------- 871,661 ------------- COMMUNICATIONS EQUIPMENT -- 1.7% 1,927 Arris Group, Inc. (b) 23,124 2,580 Bel Fuse, Inc., Class B 49,072 1,788 Black Box Corp. 50,940 9,244 Cisco Systems, Inc. 147,627 1,995 Comtech Telecommunications Corp. 53,765 1,721 Digi International, Inc. (b) 24,593 332 EMS Technologies, Inc. (b) 10,916 4,003 Harris Corp. 159,600 1,452 Plantronics, Inc. 49,731 1,200 Tekelec (b) 9,420 22,875 Tellabs, Inc. 94,702 ------------- 673,490 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMPUTERS & PERIPHERALS -- 1.3% 4,328 Dell, Inc. (b) $ 70,287 4,955 Hewlett-Packard Co. 174,218 5,480 Intevac, Inc. (b) 49,868 6,165 Lexmark International, Inc., Class A (b) 206,959 ------------- 501,332 ------------- CONSTRUCTION & ENGINEERING -- 0.7% 3,882 Aecom Technology Corp. (b) 96,041 1,033 Comfort Systems USA, Inc. 10,784 1,369 Dycom Industries, Inc. (b) 23,328 2,134 Insituform Technologies, Inc., Class A (b) 42,787 681 KBR, Inc. 24,277 2,371 URS Corp. (b) 96,808 ------------- 294,025 ------------- CONSUMER FINANCE -- 0.4% 2,793 Capital One Financial Corp. 133,505 1,314 Discover Financial Services 33,652 ------------- 167,157 ------------- CONTAINERS & PACKAGING -- 1.7% 1,013 AptarGroup, Inc. 51,714 3,122 Bemis Co., Inc. 98,655 1,185 Greif, Inc., Class A 72,344 2,796 Owens-Illinois, Inc. (b) 64,783 3,792 Packaging Corp. of America 101,133 1,599 Rock-Tenn Co., Class A 98,275 4,433 Sealed Air Corp. 95,442 2,170 Sonoco Products Co. 69,549 864 Temple-Inland, Inc. 25,937 ------------- 677,832 ------------- DISTRIBUTORS -- 0.1% 7,401 Audiovox Corp., Class A (b) 53,213 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 6,273 Career Education Corp. (b) 142,334 4,498 H&R Block, Inc. 67,290 1,321 Matthews International Corp., Class A 47,807 6,928 Regis Corp. 102,881 ------------- 360,312 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.6% 1,732 Citigroup, Inc. 66,405 120 CME Group, Inc. 34,703 2,576 JPMorgan Chase & Co. 104,199 5,290 Leucadia National Corp. 178,114 5,704 NASDAQ OMX Group (The), Inc. (b) 137,295 3,076 NYSE Euronext 102,923 ------------- 623,639 ------------- Page 96 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 5,743 AT&T, Inc. $ 168,040 4,462 CenturyLink, Inc. 165,585 8,941 Frontier Communications Corp. 66,968 ------------- 400,593 ------------- ELECTRIC UTILITIES -- 5.2% 817 ALLETE, Inc. 32,884 3,830 American Electric Power Co., Inc. 141,174 619 Central Vermont Public Service Corp. 21,721 2,212 Cleco Corp. 76,801 5,600 Duke Energy Corp. 104,160 3,724 Edison International 141,773 1,038 El Paso Electric Co. 34,721 2,112 Entergy Corp. 141,082 3,367 Exelon Corp. 148,384 1,633 FirstEnergy Corp. 72,913 6,400 Great Plains Energy, Inc. 129,088 2,205 Hawaiian Electric Industries, Inc. 51,597 2,687 IDACORP, Inc. 105,357 1,834 NextEra Energy, Inc. 101,328 2,051 Northeast Utilities 69,734 6,914 NV Energy, Inc. 102,604 5,372 Pepco Holdings, Inc. 100,349 2,364 Pinnacle West Capital Corp. 100,115 3,789 PPL Corp. 105,713 1,503 Progress Energy, Inc. 70,250 870 Southern Co. 34,400 1,037 UIL Holdings Corp. 33,111 899 Unisource Energy Corp. 33,101 3,944 Westar Energy, Inc. 101,795 ------------- 2,054,155 ------------- ELECTRICAL EQUIPMENT -- 0.5% 733 AZZ, Inc. 36,672 1,047 Brady Corp., Class A 30,991 1,385 Encore Wire Corp. 30,484 816 Hubbell, Inc., Class B 48,528 300 Powell Industries, Inc. (b) 11,562 794 Regal-Beloit Corp. 48,140 ------------- 206,377 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 168 Anixter International, Inc. 10,487 3,197 Arrow Electronics, Inc. (b) 111,096 4,160 Avnet, Inc. (b) 121,888 3,391 Benchmark Electronics, Inc. (b) 49,678 4,140 Brightpoint, Inc. (b) 37,633 613 Checkpoint Systems, Inc. (b) 9,624 9,938 Corning, Inc. 158,114 4,629 CTS Corp. 45,503 7,313 Ingram Micro, Inc., Class A (b) 135,656 2,528 Insight Enterprises, Inc. (b) 42,546 2,204 Itron, Inc. (b) 94,860 5,220 Jabil Circuit, Inc. 95,578 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (Continued) 2,892 Methode Electronics, Inc. $ 30,597 1,200 Park Electrochemical Corp. 31,392 1,504 RadiSys Corp. (b) 11,942 597 ScanSource, Inc. (b) 22,059 1,764 SYNNEX Corp. (b) 49,956 2,170 Tech Data Corp. (b) 101,274 8,821 Vishay Intertechnology, Inc. (b) 121,465 ------------- 1,281,348 ------------- ENERGY EQUIPMENT & SERVICES -- 2.0% 1,097 Bristow Group, Inc. 53,182 3,889 Exterran Holdings, Inc. (b) 71,869 3,205 Helix Energy Solutions Group, Inc. (b) 62,754 1,627 Hornbeck Offshore Services, Inc. (b) 45,296 4,280 Nabors Industries Ltd. (b) 113,035 2,675 Noble Corp. 98,627 1,678 Patterson-UTI Energy, Inc. 54,585 720 Pioneer Drilling Co. (b) 11,714 1,858 Rowan Cos., Inc. (b) 72,778 560 SEACOR Holdings, Inc. 56,202 985 Tidewater, Inc. 53,525 1,741 Unit Corp. (b) 104,477 ------------- 798,044 ------------- FOOD & STAPLES RETAILING -- 2.1% 1,059 Andersons (The), Inc. 43,535 1,053 BJ's Wholesale Club, Inc. (b) 53,018 249 Casey's General Stores, Inc. 11,205 2,805 CVS Caremark Corp. 101,962 4,252 Kroger (The) Co. 105,747 1,562 Nash Finch Co. 55,920 1,770 Ruddick Corp. 74,163 6,175 Safeway, Inc. 124,550 2,291 Spartan Stores, Inc. 40,459 1,127 Sysco Corp. 34,475 1,699 Walgreen Co. 66,329 1,983 Wal-Mart Stores, Inc. 104,524 ------------- 815,887 ------------- FOOD PRODUCTS -- 2.3% 5,983 Archer-Daniels-Midland Co. 181,764 1,750 Cal-Maine Foods, Inc. 59,168 1,017 Campbell Soup Co. 33,612 5,880 Dean Foods Co. (b) 64,798 944 General Mills, Inc. 35,258 449 J & J Snack Foods Corp. 23,209 460 J.M. Smucker (The) Co. 35,843 423 Lancaster Colony Corp. 25,435 890 Ralcorp Holdings, Inc. (b) 76,985 229 Sanderson Farms, Inc. 10,584 1,749 Seneca Foods Corp., Class A (b) 45,299 6,066 Smithfield Foods, Inc. (b) 133,573 9,288 Tyson Foods, Inc., Class A 163,097 ------------- 888,625 ------------- See Notes to Financial Statements Page 97 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) GAS UTILITIES -- 1.3% 1,893 AGL Resources, Inc. $ 77,234 3,192 Atmos Energy Corp. 106,709 887 Laclede Group (The), Inc. 33,041 642 Nicor, Inc. 35,117 495 Northwest Natural Gas Co. 22,082 362 Piedmont Natural Gas Co., Inc. 10,560 1,451 Questar Corp. 26,742 1,159 Southwest Gas Corp. 43,219 3,328 UGI Corp. 100,838 2,002 WGL Holdings, Inc. 77,698 ------------- 533,240 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 408 Becton, Dickinson & Co. 34,113 20,883 Boston Scientific Corp. (b) 149,522 1,293 CareFusion Corp. (b) 34,122 785 CONMED Corp. (b) 20,410 660 Covidien PLC 33,521 1,957 CryoLife, Inc. (b) 11,292 1,669 Greatbatch, Inc. (b) 41,591 767 ICU Medical, Inc. (b) 32,582 2,599 Immucor, Inc. (b) 68,874 330 Invacare Corp. 9,893 2,737 Medtronic, Inc. 98,669 724 Natus Medical, Inc. (b) 8,348 4,990 Symmetry Medical, Inc. (b) 48,054 869 Teleflex, Inc. 52,340 511 West Pharmaceutical Services, Inc. 22,418 556 Zimmer Holdings, Inc. (b) 33,371 ------------- 699,120 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.6% 3,273 Aetna, Inc. 135,797 2,100 Amedisys, Inc. (b) 54,306 1,284 AmSurg Corp. (b) 32,652 308 Centene Corp. (b) 10,105 5,166 Community Health Systems, Inc. (b) 133,489 3,957 Coventry Health Care, Inc. (b) 126,624 2,685 Gentiva Health Services, Inc. (b) 48,303 3,686 Healthways, Inc. (b) 55,032 1,308 Humana, Inc. 97,551 6,179 Kindred Healthcare, Inc. (b) 116,412 2,426 LHC Group, Inc. (b) 55,264 3,395 LifePoint Hospitals, Inc. (b) 125,955 817 Magellan Health Services, Inc. (b) 42,566 1,238 Molina Healthcare, Inc. (b) 28,041 745 Owens & Minor, Inc. 22,723 3,507 PharMerica Corp. (b) 44,784 2,044 UnitedHealth Group, Inc. 101,444 2,502 VCA Antech, Inc. (b) 48,889 1,831 WellPoint, Inc. 123,684 ------------- 1,403,621 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 3,035 Bob Evans Farms, Inc. $ 104,829 12,199 Boyd Gaming Corp. (b) 106,619 3,835 Carnival Corp. 127,705 2,713 International Speedway Corp., Class A 75,883 1,473 Jack in the Box, Inc. (b) 33,467 5,663 Marcus (The) Corp. 54,818 4,288 Monarch Casino & Resort, Inc. (b) 49,526 12,298 Multimedia Games, Inc. (b) 53,373 3,062 O'Charley's, Inc. (b) 18,648 615 Red Robin Gourmet Burgers, Inc. (b) 21,168 5,191 Ruby Tuesday, Inc. (b) 47,186 5,984 Ruth's Hospitality Group, Inc. (b) 34,408 2,391 Shuffle Master, Inc. (b) 22,284 5,070 Wendy's (The) Co. 26,719 ------------- 776,633 ------------- HOUSEHOLD DURABLES -- 1.5% 5,519 American Greetings Corp., Class A 122,356 444 Blyth, Inc. 28,087 551 Fortune Brands, Inc. 33,176 1,620 Helen of Troy Ltd. (b) 52,245 3,400 La-Z-Boy, Inc. (b) 29,818 1,441 Leggett & Platt, Inc. 31,270 1,768 Mohawk Industries, Inc. (b) 91,989 2,228 Newell Rubbermaid, Inc. 34,579 35 NVR, Inc. (b) 23,803 2,217 Whirlpool Corp. 153,483 ------------- 600,806 ------------- HOUSEHOLD PRODUCTS -- 0.5% 4,410 Central Garden & Pet Co., Class A (b) 38,632 733 Energizer Holdings, Inc. (b) 59,109 528 Kimberly-Clark Corp. 34,510 552 Procter & Gamble (The) Co. 33,942 280 WD-40 Co. 12,264 ------------- 178,457 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4% 2,758 AES (The) Corp. (b) 33,951 5,871 NRG Energy, Inc. (b) 143,957 ------------- 177,908 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% 371 3M Co. 32,329 522 Carlisle Cos., Inc. 22,566 1,863 General Electric Co. 33,367 1,459 Standex International Corp. 46,965 2,438 Tredegar Corp. 46,468 ------------- 181,695 ------------- INSURANCE -- 7.6% 2,191 ACE Ltd. 146,753 1,151 Allstate (The) Corp. 31,906 Page 98 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) INSURANCE (Continued) 3,717 American Financial Group, Inc. $ 126,304 3,597 American International Group, Inc. (b) 103,234 989 AMERISAFE, Inc. (b) 21,273 2,996 Aspen Insurance Holdings Ltd. 77,596 969 Assurant, Inc. 34,516 1,001 Brown & Brown, Inc. 21,832 2,305 Chubb (The) Corp. 144,016 1,205 Cincinnati Financial Corp. 32,933 1,532 Delphi Financial Group, Inc., Class A 41,241 1,334 Employers Holdings, Inc. 19,823 649 Everest Re Group, Ltd. 53,296 8,429 Fidelity National Financial, Inc., Class A 137,393 4,927 First American Financial Corp. 78,783 2,044 Hanover Insurance Group, Inc. 74,013 5,472 Hartford Financial Services Group (The), Inc. 128,154 2,448 HCC Insurance Holdings, Inc. 73,758 2,868 Horace Mann Educators Corp. 41,758 1,023 Infinity Property & Casualty Corp. 51,835 2,532 Lincoln National Corp. 67,098 835 Loews Corp. 33,292 4,517 Meadowbrook Insurance Group, Inc. 42,460 1,952 Mercury General Corp. 72,497 4,849 National Financial Partners Corp. (b) 54,939 476 Navigators Group (The), Inc. (b) 22,439 4,288 Presidential Life Corp. 48,712 1,155 Principal Financial Group, Inc. 31,913 799 ProAssurance Corp. (b) 55,650 1,644 Progressive (The) Corp. 32,354 3,334 Protective Life Corp. 70,881 1,134 Prudential Financial, Inc. 66,543 1,743 Reinsurance Group of America, Inc. 101,460 542 RLI Corp. 34,227 799 Safety Insurance Group, Inc. 32,439 2,750 Selective Insurance Group, Inc. 45,073 2,516 StanCorp Financial Group, Inc. 83,682 4,463 Stewart Information Services Corp. 47,308 1,686 Torchmark Corp. 68,098 2,348 Tower Group, Inc. 53,675 524 Transatlantic Holdings, Inc. 26,834 3,090 Travelers (The) Cos., Inc. 170,352 1,933 United Fire & Casualty Co. 33,151 3,577 Unitrin, Inc. 100,764 4,139 Unum Group 100,950 2,376 W. R. Berkley Corp. 73,157 ------------- 3,010,365 ------------- INTERNET & CATALOG RETAIL -- 0.1% 1,591 Nutrisystem, Inc. 23,770 ------------- INTERNET SOFTWARE & SERVICES -- 0.8% 3,681 InfoSpace, Inc. (b) 35,080 9,279 United Online, Inc. 55,396 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES (Continued) 4,645 ValueClick, Inc. (b) $ 83,889 9,595 Yahoo!, Inc. (b) 125,694 ------------- 300,059 ------------- IT SERVICES -- 2.2% 1,961 Acxiom Corp. (b) 26,944 709 CACI International, Inc., Class A (b) 41,888 4,752 Computer Sciences Corp. 167,650 3,176 CoreLogic, Inc. (b) 50,117 2,009 DST Systems, Inc. 102,841 1,141 Fidelity National Information Services, Inc. 34,253 561 Fiserv, Inc. (b) 33,862 2,987 ManTech International Corp., Class A 121,870 1,477 NCI, Inc., Class A (b) 31,726 8,579 SAIC, Inc. (b) 137,521 5,676 Total System Services, Inc. 105,630 ------------- 854,302 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 3,333 Arctic Cat, Inc. (b) 54,928 1,762 Callaway Golf Co. 11,189 3,038 JAKKS Pacific, Inc. (b) 53,013 ------------- 119,130 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.4% 444 Bio-Rad Laboratories, Inc., Class A (b) 48,396 12,111 Cambrex Corp. (b) 53,410 5,270 eResearchTechnology, Inc. (b) 33,570 957 Pharmaceutical Product Development, Inc. 27,590 ------------- 162,966 ------------- MACHINERY -- 1.8% 408 Actuant Corp., Class A 10,082 1,562 AGCO Corp. (b) 74,070 1,272 Albany International Corp., Class A 33,797 605 Astec Industries, Inc. (b) 22,700 296 Badger Meter, Inc. 10,801 901 Barnes Group, Inc. 21,939 2,253 Briggs & Stratton Corp. 38,616 1,402 Eaton Corp. 67,226 912 ESCO Technologies, Inc. 31,628 788 Harsco Corp. 21,599 1,276 Illinois Tool Works, Inc. 63,545 599 Kaydon Corp. 21,354 2,806 Lydall, Inc. (b) 33,897 885 Mueller Industries, Inc. 33,214 4,584 Oshkosh Corp. (b) 113,775 637 Pentair, Inc. 23,448 370 Toro (The) Co. 19,917 1,520 Trinity Industries, Inc. 45,281 See Notes to Financial Statements Page 99 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 631 Watts Water Technologies, Inc., Class A $ 21,157 ------------- 708,046 ------------- MEDIA -- 2.6% 4,629 E.W. Scripps (The) Co., Class A (b) 39,902 12,596 Gannett Co., Inc. 160,725 16,338 Harte-Hanks, Inc. 133,481 4,262 Meredith Corp. 127,221 8,843 New York Times (The) Co., Class A (b) 75,873 4,075 News Corp., Class A 65,282 3,990 Scholastic Corp. 114,593 1,983 Time Warner, Inc. 69,722 1,847 Walt Disney (The) Co. 71,331 430 Washington Post (The) Co., Class B 172,989 ------------- 1,031,119 ------------- METALS & MINING -- 1.1% 660 A.M. Castle & Co. (b) 11,458 6,649 Alcoa, Inc. 97,940 2,859 Century Aluminum Co. (b) 37,224 200 Kaiser Aluminum Corp. 11,164 1,210 Materion Corp. (b) 46,125 1,219 Olympic Steel, Inc. 31,877 1,552 Reliance Steel & Aluminum Co. 72,959 4,745 Steel Dynamics, Inc. 74,117 2,296 Worthington Industries, Inc. 48,147 ------------- 431,011 ------------- MULTILINE RETAIL -- 2.0% 5,441 Big Lots, Inc. (b) 189,510 3,101 Fred's, Inc., Class A 40,871 2,088 J. C. Penney Co., Inc. 64,227 2,884 Kohl's Corp. 157,783 4,751 Saks, Inc. (b) 51,026 1,009 Sears Holdings Corp. (b) 70,297 3,075 Target Corp. 158,332 12,033 Tuesday Morning Corp. (b) 51,742 ------------- 783,788 ------------- MULTI-UTILITIES -- 5.7% 2,610 Alliant Energy Corp. 102,860 3,655 Ameren Corp. 105,337 1,741 Avista Corp. 43,891 3,527 Black Hills Corp. 105,387 1,816 CenterPoint Energy, Inc. 35,557 420 CH Energy Group, Inc. 21,449 5,356 CMS Energy Corp. 102,514 1,980 Consolidated Edison, Inc. 104,148 2,989 Dominion Resources, Inc. 144,817 2,884 DTE Energy Co. 143,739 2,784 Integrys Energy Group, Inc. 139,785 4,717 MDU Resources Group, Inc. 101,699 7,126 NiSource, Inc. 143,446 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MULTI-UTILITIES (Continued) 1,351 NorthWestern Corp. $ 43,259 559 NSTAR 24,780 1,054 OGE Energy Corp. 52,742 2,508 PG&E Corp. 103,906 4,421 Public Service Enterprise Group, Inc. 144,788 3,665 SCANA Corp. 143,631 2,728 Sempra Energy 138,282 3,820 TECO Energy, Inc. 70,785 2,768 Vectren Corp. 73,103 2,300 Wisconsin Energy Corp. 70,495 4,340 Xcel Energy, Inc. 104,160 ------------- 2,264,560 ------------- OFFICE ELECTRONICS -- 0.3% 13,862 Xerox Corp. 129,332 ------------- OIL, GAS & CONSUMABLE FUELS -- 7.0% 458 Anadarko Petroleum Corp. 37,812 1,461 Apache Corp. 180,755 2,891 Arch Coal, Inc. 74,009 2,429 Chesapeake Energy Corp. 83,436 1,753 Chevron Corp. 182,347 857 Cimarex Energy Co. 75,519 1,842 Comstock Resources, Inc. (b) 58,760 2,398 ConocoPhillips 172,632 1,337 Devon Energy Corp. 105,222 1,877 Energen Corp. 110,386 1,773 Exxon Mobil Corp. 141,468 1,987 Forest Oil Corp. (b) 51,662 1,492 GeoResources, Inc. (b) 38,076 2,413 Hess Corp. 165,435 158 HollyFrontier Corp. 11,912 5,640 Marathon Oil Corp. 174,671 2,746 Murphy Oil Corp. 176,348 1,013 Occidental Petroleum Corp. 99,456 3,389 Penn Virginia Corp. 44,464 748 Petroleum Development Corp. (b) 27,167 4,782 PetroQuest Energy, Inc. (b) 38,878 1,391 Plains Exploration & Production Co. (b) 54,263 1,724 QEP Resources, Inc. 75,563 640 Southern Union Co. 27,520 1,281 Spectra Energy Corp. 34,613 1,104 Stone Energy Corp. (b) 35,836 1,729 Sunoco, Inc. 70,284 900 Swift Energy Co. (b) 34,290 7,873 Tesoro Corp. (b) 191,235 7,054 Valero Energy Corp. 177,196 305 World Fuel Services Corp. 11,477 ------------- 2,762,692 ------------- PAPER & FOREST PRODUCTS -- 1.0% 819 Clearwater Paper Corp. (b) 61,949 1,400 Domtar Corp. 111,930 4,839 International Paper Co. 143,718 1,577 Neenah Paper, Inc. 31,840 Page 100 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) PAPER & FOREST PRODUCTS (Continued) 8,302 Wausau Paper Corp. $ 61,269 ------------- 410,706 ------------- PHARMACEUTICALS -- 0.9% 1,213 Bristol-Myers Squibb Co. 34,765 4,585 Forest Laboratories, Inc. (b) 169,920 1,084 Johnson & Johnson 70,232 3,503 Pfizer, Inc. 67,398 ------------- 342,315 ------------- PROFESSIONAL SERVICES -- 0.7% 2,077 Equifax, Inc. 71,366 1,398 FTI Consulting, Inc. (b) 50,733 2,713 Kelly Services, Inc., Class A (b) 42,458 1,168 Korn/Ferry International (b) 25,159 4,267 Navigant Consulting, Inc. (b) 50,223 3,692 SFN Group, Inc. (b) 51,393 ------------- 291,332 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.6% 235 Entertainment Properties Trust 10,925 849 Franklin Street Properties Corp. 10,706 887 Getty Realty Corp. 20,578 394 LTC Properties, Inc. 10,697 448 National Retail Properties, Inc. 11,240 8,252 Weyerhaeuser Co. 164,958 ------------- 229,104 ------------- ROAD & RAIL -- 0.5% 462 Arkansas Best Corp. 11,116 1,351 Heartland Express, Inc. 20,697 1,317 Knight Transportation, Inc. 20,730 1,269 Ryder System, Inc. 71,470 3,077 Werner Enterprises, Inc. 72,463 ------------- 196,476 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.8% 3,782 Advanced Energy Industries, Inc. (b) 40,127 13,865 Applied Materials, Inc. 170,817 2,739 ATMI, Inc. (b) 51,082 5,152 Brooks Automation, Inc. (b) 48,996 722 Cabot Microelectronics Corp. (b) 27,934 4,268 Cohu, Inc. 53,435 678 Cymer, Inc. (b) 29,852 7,939 Fairchild Semiconductor International, Inc. (b) 119,164 13,503 Integrated Device Technology, Inc. (b) 92,360 8,140 Intel Corp. 181,766 4,743 International Rectifier Corp. (b) 121,848 4,456 KLA-Tencor Corp. 177,438 2,995 Lam Research Corp. (b) 122,436 8,459 MEMC Electronic Materials, Inc. (b) 62,766 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 2,117 MKS Instruments, Inc. $ 52,819 4,991 Novellus Systems, Inc. (b) 154,921 6,259 Pericom Semiconductor Corp. (b) 51,199 5,225 Rudolph Technologies, Inc. (b) 44,883 5,859 Sigma Designs, Inc. (b) 50,094 999 Supertex, Inc. (b) 19,361 12,188 Teradyne, Inc. (b) 164,416 3,265 Tessera Technologies, Inc. (b) 51,293 ------------- 1,889,007 ------------- SOFTWARE -- 0.7% 2,293 Adobe Systems, Inc. (b) 63,562 4,617 CA, Inc. 102,959 1,573 EPIQ Systems, Inc. 20,323 2,063 Synopsys, Inc. (b) 49,450 9,274 THQ, Inc. (b) 24,716 ------------- 261,010 ------------- SPECIALTY RETAIL -- 5.4% 4,693 Aaron's, Inc. 118,311 10,405 American Eagle Outfitters, Inc. 136,722 4,651 Barnes & Noble, Inc. 80,927 5,743 Best Buy Co., Inc. 158,507 7,119 Big 5 Sporting Goods Corp. 58,732 4,203 Brown Shoe Co., Inc. 42,450 1,165 Cato (The) Corp., Class A 32,410 1,257 Children's Place Retail Stores (The), Inc. (b) 60,738 9,031 Collective Brands, Inc. (b) 106,385 3,244 Foot Locker, Inc. 70,492 6,763 GameStop Corp., Class A (b) 159,472 9,966 Gap (The), Inc. 192,244 543 Group 1 Automotive, Inc. 25,863 2,916 Haverty Furniture Cos., Inc. 32,338 970 Home Depot (The), Inc. 33,882 559 Lithia Motors, Inc., Class A 11,538 4,524 Lowe's Cos., Inc. 97,628 6,091 Office Depot, Inc. (b) 23,024 5,702 OfficeMax, Inc. (b) 40,370 4,095 Pep Boys-Manny, Moe & Jack (The) 44,021 13,552 RadioShack Corp. 188,644 4,341 Rent-A-Center, Inc. 117,424 3,056 Sonic Automotive, Inc., Class A 47,888 3,331 Stage Stores, Inc. 59,292 9,133 Staples, Inc. 146,676 5,804 Stein Mart, Inc. 55,138 ------------- 2,141,116 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 1,772 Perry Ellis International, Inc. (b) 41,412 3,863 Skechers U.S.A., Inc., Class A (b) 64,319 ------------- 105,731 ------------- See Notes to Financial Statements Page 101 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) THRIFTS & MORTGAGE FINANCE -- 0.4% 2,010 Astoria Financial Corp. $ 23,416 1,183 Brookline Bancorp, Inc. 10,115 754 Dime Community Bancshares, Inc. 10,594 1,946 First Niagara Financial Group, Inc. 23,838 3,539 New York Community Bancorp, Inc. 47,883 1,562 Provident Financial Services, Inc. 21,649 2,238 TrustCo Bank Corp. NY 10,340 ------------- 147,835 ------------- TOBACCO -- 0.3% 3,522 Universal Corp. 129,328 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 628 Applied Industrial Technologies, Inc. 20,046 2,077 GATX Corp. 81,896 309 Kaman Corp. 11,006 1,137 Lawson Products, Inc. 21,228 ------------- 134,176 ------------- WATER UTILITIES -- 0.1% 646 American States Water Co. 22,087 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 19,565 Sprint Nextel Corp. (b) 82,760 4,269 Telephone and Data Systems, Inc. 121,069 3,667 USA Mobility, Inc. 60,542 ------------- 264,371 ------------- TOTAL COMMON STOCKS -- 100.0% 39,465,141 (Cost $40,542,904) MONEY MARKET FUND -- 0.1% 39,243 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) (Cost $39,243) 39,243 ------------- TOTAL INVESTMENTS -- 100.1% 39,504,384 (Cost $40,582,147) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (34,538) ------------- NET ASSETS -- 100.0% $ 39,469,846 ------------- (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 July 31, 2011. (d) Aggregate cost for federal income tax purposes is $41,128,818. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,033,086 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,657,520. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $39,465,141 $ -- $ -- Money Market Fund 39,243 -- -- ------------------------------------- Total Investments $39,504,384 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 102 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.1% 1,088 Aerovironment, Inc. (b) $ 31,367 2,759 BE Aerospace, Inc. (b) 109,808 479 Boeing (The) Co. 33,755 502 Cubic Corp. 24,367 1,145 Goodrich Corp. 108,935 1,837 Honeywell International, Inc. 97,545 1,205 ITT Corp. 64,275 863 Precision Castparts Corp. 139,271 1,319 Triumph Group, Inc. 71,015 1,237 United Technologies Corp. 102,473 ------------- 782,811 ------------- AIR FREIGHT & LOGISTICS -- 1.0% 1,388 C.H. Robinson Worldwide, Inc. 100,366 2,138 Expeditors International of Washington, Inc. 102,026 1,138 Forward Air Corp. 35,460 1,021 Hub Group, Inc., Class A (b) 36,225 487 United Parcel Service, Inc., Class B 33,710 4,141 UTI Worldwide, Inc. 66,960 ------------- 374,747 ------------- AIRLINES -- 0.4% 2,056 Alaska Air Group, Inc. (b) 125,663 519 Allegiant Travel Co. (b) 22,332 ------------- 147,995 ------------- AUTO COMPONENTS -- 0.5% 1,742 BorgWarner, Inc. (b) 138,698 1,862 Gentex Corp. 52,769 ------------- 191,467 ------------- AUTOMOBILES -- 0.3% 2,672 Harley-Davidson, Inc. 115,938 ------------- BEVERAGES -- 1.1% 475 Brown-Forman Corp., Class B 34,941 528 Coca-Cola (The) Co. 35,909 2,433 Coca-Cola Enterprises, Inc. 68,392 1,693 Dr. Pepper Snapple Group, Inc. 63,928 1,739 Hansen Natural Corp. (b) 133,242 1,554 PepsiCo, Inc. 99,518 ------------- 435,930 ------------- BIOTECHNOLOGY -- 1.2% 2,051 ArQule, Inc. (b) 11,486 1,706 Biogen Idec, Inc. (b) 173,790 589 Celgene Corp. (b) 34,928 1,424 Cubist Pharmaceuticals, Inc. (b) 48,373 569 Emergent Biosolutions, Inc. (b) 11,750 904 Regeneron Pharmaceuticals, Inc. (b) 47,966 2,166 Vertex Pharmaceuticals, Inc. (b) 112,329 ------------- 440,622 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- BUILDING PRODUCTS -- 0.1% 304 A.O. Smith Corp. $ 12,607 1,174 AAON, Inc. 26,626 1,125 NCI Building Systems, Inc. (b) 12,701 ------------- 51,934 ------------- CAPITAL MARKETS -- 0.8% 555 Affiliated Managers Group, Inc. (b) 57,903 1,231 Ameriprise Financial, Inc. 66,597 186 BlackRock, Inc. 33,193 1,082 Franklin Resources, Inc. 137,371 748 Waddell & Reed Financial, Inc., Class A 27,452 ------------- 322,516 ------------- CHEMICALS -- 5.0% 1,144 Air Products and Chemicals, Inc. 101,507 1,014 Airgas, Inc. 69,662 2,034 Albemarle Corp. 135,424 1,171 Balchem Corp. 51,255 2,262 Calgon Carbon Corp. (b) 33,681 1,001 CF Industries Holdings, Inc. 155,475 2,025 E.I. du Pont de Nemours & Co. 104,126 1,787 Eastman Chemical Co. 172,606 1,259 Ecolab, Inc. 62,950 825 FMC Corp. 72,245 354 Hawkins, Inc. 12,185 2,211 International Flavors & Fragrances, Inc. 135,247 1,014 Koppers Holdings, Inc. 37,538 1,530 LSB Industries, Inc. (b) 60,802 839 Lubrizol (The) Corp. 112,929 489 Monsanto Co. 35,932 824 NewMarket Corp. 135,153 4,246 PolyOne Corp. 65,813 1,206 PPG Industries, Inc. 101,545 1,010 Praxair, Inc. 104,676 1,191 Quaker Chemical Corp. 48,283 424 Sherwin-Williams (The) Co. 32,720 968 Sigma-Aldrich Corp. 64,953 ------------- 1,906,707 ------------- COMMERCIAL BANKS -- 0.5% 492 Bank of the Ozarks, Inc. 25,559 1,616 National Penn Bancshares, Inc. 12,993 671 Signature Bank (b) 39,696 1,366 SVB Financial Group (b) 83,353 307 UMB Financial Corp. 12,741 ------------- 174,342 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 2,726 Clean Harbors, Inc. (b) 143,796 700 Consolidated Graphics, Inc. (b) 36,113 1,208 Copart, Inc. (b) 52,488 788 Healthcare Services Group, Inc. 12,364 2,995 Herman Miller, Inc. 68,915 See Notes to Financial Statements Page 103 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) COMMERCIAL SERVICES & SUPPLIES (Continued) 2,647 Interface, Inc., Class A $ 42,405 4,166 Iron Mountain, Inc. 131,770 1,334 Rollins, Inc. 25,466 797 Stericycle, Inc. (b) 65,450 3,051 Sykes Enterprises, Inc. (b) 58,884 1,774 Waste Connections, Inc. 57,194 ------------- 694,845 ------------- COMMUNICATIONS EQUIPMENT -- 1.6% 702 ADTRAN, Inc. 23,229 1,479 Ciena Corp. (b) 22,865 401 DG Fastchannel, Inc. (b) 11,332 643 F5 Networks, Inc. (b) 60,108 6,571 JDS Uniphase Corp. (b) 86,409 1,502 NETGEAR, Inc. (b) 49,431 1,376 Oplink Communications, Inc. (b) 23,227 4,378 Polycom, Inc. (b) 118,337 1,928 QUALCOMM, Inc. 105,616 2,844 Riverbed Technology, Inc. (b) 81,424 593 ViaSat, Inc. (b) 26,643 ------------- 608,621 ------------- COMPUTERS & PERIPHERALS -- 0.7% 106 Apple, Inc. (b) 41,391 5,155 EMC Corp. (b) 134,442 1,345 NetApp, Inc. (b) 63,914 3,186 Super Micro Computer, Inc. (b) 44,891 ------------- 284,638 ------------- CONSUMER FINANCE -- 0.9% 2,747 American Express Co. 137,460 1,135 Cash America International, Inc. 63,514 1,846 EZCORP, Inc., Class A (b) 61,435 1,221 First Cash Financial Services, Inc. (b) 52,833 586 World Acceptance Corp. (b) 37,340 ------------- 352,582 ------------- CONTAINERS & PACKAGING -- 0.7% 4,744 Ball Corp. 184,067 1,990 Silgan Holdings, Inc. 77,172 ------------- 261,239 ------------- DISTRIBUTORS -- 0.3% 4,316 LKQ Corp. (b) 106,044 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 575 American Public Education, Inc. (b) 26,203 812 Apollo Group, Inc., Class A (b) 41,274 705 Coinstar, Inc. (b) 34,446 1,851 DeVry, Inc. 115,021 1,626 Hillenbrand, Inc. 35,593 1,042 ITT Educational Services, Inc. (b) 89,268 SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES (Continued) 9,640 Service Corp. International $ 100,931 625 Sotheby's 26,469 ------------- 469,205 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 4,757 Moody's Corp. 169,397 721 MSCI, Inc., Class A (b) 25,588 302 Portfolio Recovery Associates, Inc. (b) 24,441 ------------- 219,426 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 667 Atlantic Tele-Network, Inc. 25,193 969 Cbeyond, Inc. (b) 10,882 3,185 General Communication, Inc., Class A (b) 36,150 2,943 Neutral Tandem, Inc. (b) 45,116 2,742 tw telecom, Inc. (b) 54,154 2,739 Windstream Corp. 33,443 ------------- 204,938 ------------- ELECTRIC UTILITIES -- 0.2% 2,703 DPL, Inc. 81,766 ------------- ELECTRICAL EQUIPMENT -- 1.3% 487 Acuity Brands, Inc. 23,712 2,508 AMETEK, Inc. 106,590 735 Belden, Inc. 27,085 2,002 II-VI, Inc. (b) 50,110 1,637 Rockwell Automation, Inc. 117,471 852 Roper Industries, Inc. 69,549 1,045 Thomas & Betts Corp. (b) 50,975 1,585 Vicor Corp. (b) 22,301 780 Woodward, Inc. 26,910 ------------- 494,703 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 658 Amphenol Corp., Class A 32,170 1,854 Cognex Corp. 62,943 1,188 Daktronics, Inc. 11,797 3,403 Electro Scientific Industries, Inc. (b) 65,372 1,500 FARO Technologies, Inc. (b) 61,140 1,720 FEI Co. (b) 56,829 1,053 FLIR Systems, Inc. 28,915 1,119 Littelfuse, Inc. 57,170 1,372 Mercury Computer Systems, Inc. (b) 23,036 5,511 Molex, Inc. 129,398 613 MTS Systems Corp. 24,158 1,896 National Instruments Corp. 48,993 2,821 Newport Corp. (b) 43,838 1,191 OSI Systems, Inc. (b) 49,177 1,473 Plexus Corp. (b) 43,468 751 Rofin-Sinar Technologies, Inc. (b) 23,566 Page 104 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (Continued) 1,422 Rogers Corp. (b) $ 68,939 3,200 TTM Technologies, Inc. (b) 44,320 ------------- 875,229 ------------- ENERGY EQUIPMENT & SERVICES -- 3.3% 616 Atwood Oceanics, Inc. (b) 28,767 2,514 Baker Hughes, Inc. 194,533 2,087 Basic Energy Services, Inc. (b) 67,598 706 Cameron International Corp. (b) 39,494 864 CARBO Ceramics, Inc. 134,844 3,577 Halliburton Co. 195,769 2,148 Helmerich & Payne, Inc. 148,319 1,355 ION Geophysical Corp. (b) 13,740 595 Lufkin Industries, Inc. 48,481 907 National Oilwell Varco, Inc. 73,077 670 Oceaneering International, Inc. 28,944 1,761 Oil States International, Inc. (b) 142,113 411 Schlumberger Ltd. 37,142 2,195 Superior Energy Services, Inc. (b) 91,071 ------------- 1,243,892 ------------- FOOD & STAPLES RETAILING -- 0.6% 1,201 United Natural Foods, Inc. (b) 50,142 2,875 Whole Foods Market, Inc. 191,762 ------------- 241,904 ------------- FOOD PRODUCTS -- 3.3% 2,486 B&G Foods, Inc., Class A 46,712 609 Calavo Growers, Inc. 12,588 2,546 Corn Products International, Inc. 129,566 3,711 Darling International, Inc. (b) 62,642 859 Diamond Foods, Inc. 61,496 3,699 Flowers Foods, Inc. 81,082 1,577 Green Mountain Coffee Roasters, Inc. (b) 163,929 666 H. J. Heinz Co. 35,058 1,537 Hain Celestial Group (The), Inc. (b) 49,691 1,249 Hershey (The) Co. 70,494 6,120 Hormel Foods Corp. 177,296 4,031 Kraft Foods, Inc., Class A 138,586 715 McCormick & Co., Inc. 34,785 1,050 Mead Johnson Nutrition Co. 74,939 3,739 Sara Lee Corp. 71,452 1,778 Snyders-Lance, Inc. 36,289 469 TreeHouse Foods, Inc. (b) 24,219 ------------- 1,270,824 ------------- GAS UTILITIES -- 0.0% 236 South Jersey Industries, Inc. 11,918 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 1,686 Align Technology, Inc. (b) 37,075 244 Analogic Corp. 13,125 1,834 Baxter International, Inc. 106,684 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (Continued) 996 C. R. Bard, Inc. $ 98,285 1,905 Cantel Medical Corp. 47,492 1,421 Cooper (The) Cos., Inc. 108,692 406 Edwards Lifesciences Corp. (b) 28,968 813 Gen-Probe, Inc. (b) 49,227 2,446 Hill-Rom Holdings, Inc. 91,211 267 Integra LifeSciences Holdings (b) 12,034 294 Intuitive Surgical, Inc. (b) 117,762 1,415 Kinetic Concepts, Inc. (b) 94,720 2,853 Merit Medical Systems, Inc. (b) 44,707 1,134 Neogen Corp. (b) 46,902 828 Thoratec Corp. (b) 27,895 1,159 Zoll Medical Corp. (b) 80,736 ------------- 1,005,515 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 879 Air Methods Corp. (b) 61,618 931 AMERIGROUP Corp. (b) 51,205 3,430 AmerisourceBergen Corp. 131,403 2,521 Catalyst Health Solutions, Inc. (b) 165,201 196 Chemed Corp. 11,919 3,548 CIGNA Corp. 176,584 273 CorVel Corp. (b) 12,599 1,263 DaVita, Inc. (b) 105,511 1,687 Ensign Group (The), Inc. 47,911 1,315 Express Scripts, Inc. (b) 71,352 7,564 Health Management Associates, Inc., Class A (b) 71,858 1,424 Healthspring, Inc. (b) 58,441 1,139 Henry Schein, Inc. (b) 75,698 333 HMS Holdings Corp. (b) 25,175 1,106 IPC Hospitalist (The) Co. (b) 50,024 734 Laboratory Corp. of America Holdings (b) 66,618 780 MEDNAX, Inc. (b) 53,165 812 MWI Veterinary Supply, Inc. (b) 72,317 1,079 Patterson Cos., Inc. 33,276 1,373 PSS World Medical, Inc. (b) 32,856 2,185 Universal Health Services, Inc., Class B 108,463 2,738 WellCare Health Plans, Inc. (b) 120,061 ------------- 1,603,255 ------------- HEALTH CARE TECHNOLOGY -- 0.7% 2,324 Cerner Corp. (b) 154,523 606 Computer Programs & Systems, Inc. 44,480 822 Omnicell, Inc. (b) 14,065 440 Quality Systems, Inc. 40,198 ------------- 253,266 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 33 Biglari Holdings, Inc. (b) 12,150 1,254 BJ's Restaurants, Inc. (b) 58,148 2,302 Brinker International, Inc. 55,294 See Notes to Financial Statements Page 105 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 991 Buffalo Wild Wings, Inc. (b) $ 62,958 320 CEC Entertainment, Inc. 12,384 1,795 Cheesecake Factory (The), Inc. (b) 51,750 592 Chipotle Mexican Grill, Inc. (b) 192,151 713 Darden Restaurants, Inc. 36,220 490 DineEquity, Inc. (b) 25,529 681 Life Time Fitness, Inc. (b) 28,438 421 McDonald's Corp. 36,408 649 Panera Bread Co., Class A (b) 74,836 1,541 Papa John's International, Inc. (b) 48,095 666 Peet's Coffee & Tea, Inc. (b) 38,894 3,441 Pinnacle Entertainment, Inc. (b) 49,654 2,411 Sonic Corp. (b) 25,798 3,596 Starbucks Corp. 144,164 1,462 Texas Roadhouse, Inc. 24,152 4,220 Wyndham Worldwide Corp. 145,970 1,271 Wynn Resorts Ltd. 195,327 1,285 Yum! Brands, Inc. 67,874 ------------- 1,386,194 ------------- HOUSEHOLD DURABLES -- 0.5% 1,558 Harman International Industries, Inc. 64,813 1,669 Tupperware Brands Corp. 104,296 507 Universal Electronics, Inc. (b) 11,869 ------------- 180,978 ------------- HOUSEHOLD PRODUCTS -- 0.1% 669 Church & Dwight Co., Inc. 26,987 ------------- INDUSTRIAL CONGLOMERATES -- 0.6% 2,066 Danaher Corp. 101,461 2,873 Tyco International Ltd. 127,245 ------------- 228,706 ------------- INSURANCE -- 0.0% 959 eHealth, Inc. (b) 12,419 ------------- INTERNET & CATALOG RETAIL -- 2.0% 892 Amazon.com, Inc. (b) 198,488 6,294 Expedia, Inc. 199,457 1,167 HSN, Inc. (b) 38,149 695 Netflix, Inc. (b) 184,863 277 priceline.com, Inc. (b) 148,929 ------------- 769,886 ------------- INTERNET SOFTWARE & SERVICES -- 1.4% 990 comScore, Inc. (b) 21,592 1,117 DealerTrack Holdings, Inc. (b) 25,903 2,200 eBay, Inc. (b) 72,050 1,115 Equinix, Inc. (b) 116,484 2,782 Liquidity Services, Inc. (b) 67,269 3,625 LivePerson, Inc. (b) 44,624 2,634 Rackspace Hosting, Inc. (b) 105,360 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES (Continued) 1,582 RightNow Technologies, Inc. (b) $ 53,693 961 Stamps.com, Inc. 16,097 ------------- 523,072 ------------- IT SERVICES -- 2.7% 1,496 Alliance Data Systems Corp. (b) 147,117 674 Automatic Data Processing, Inc. 34,704 1,129 Broadridge Financial Solutions, Inc. 26,035 2,186 Cardtronics, Inc. (b) 50,234 694 CSG Systems International, Inc. (b) 12,325 2,024 Gartner, Inc. (b) 74,706 1,104 Global Payments, Inc. 52,341 639 International Business Machines Corp. 116,202 472 MasterCard, Inc., Class A 143,134 929 MAXIMUS, Inc. 35,887 1,215 TeleTech Holdings, Inc. (b) 24,045 3,031 Teradata Corp. (b) 166,584 1,299 Visa, Inc., Class A 111,116 738 Wright Express Corp. (b) 36,310 ------------- 1,030,740 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.8% 1,885 Brunswick Corp. 41,150 2,583 Mattel, Inc. 68,863 1,266 Polaris Industries, Inc. 150,084 1,167 Sturm, Ruger & Co., Inc. 31,882 ------------- 291,979 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.5% 3,570 Agilent Technologies, Inc. (b) 150,511 458 Covance, Inc. (b) 26,221 333 Mettler-Toledo International, Inc. (b) 51,552 544 PAREXEL International Corp. (b) 11,168 2,639 PerkinElmer, Inc. 64,550 675 Techne Corp. 51,158 1,700 Thermo Fisher Scientific, Inc. (b) 102,153 1,143 Waters Corp. (b) 100,458 ------------- 557,771 ------------- MACHINERY -- 5.9% 808 Cascade Corp. 40,392 1,334 Caterpillar, Inc. 131,786 898 CIRCOR International, Inc. 38,838 543 CLARCOR, Inc. 23,925 1,650 Crane Co. 76,428 687 Cummins, Inc. 72,053 860 Deere & Co. 67,519 927 Donaldson Co., Inc. 51,337 2,691 Dover Corp. 162,725 1,066 EnPro Industries, Inc. (b) 49,292 1,675 Gardner Denver, Inc. 142,861 2,778 Graco, Inc. 122,038 2,456 IDEX Corp. 101,875 Page 106 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 782 Ingersoll-Rand PLC $ 29,262 1,327 John Bean Technologies Corp. 23,435 746 Joy Global, Inc. 70,064 2,668 Kennametal, Inc. 105,199 1,570 Lincoln Electric Holdings, Inc. 53,725 559 Lindsay Corp. 35,385 1,487 Nordson Corp. 75,882 694 PACCAR, Inc. 29,710 1,263 Pall Corp. 62,619 1,220 Parker Hannifin Corp. 96,404 1,243 Robbins & Myers, Inc. 59,962 2,273 Snap-on, Inc. 129,243 986 SPX Corp. 74,187 1,519 Stanley Black & Decker, Inc. 99,905 2,234 Timken (The) Co. 97,559 584 Valmont Industries, Inc. 56,852 1,241 Wabtec Corp. 80,069 ------------- 2,260,531 ------------- MARINE -- 0.2% 993 Kirby Corp. (b) 57,912 ------------- MEDIA -- 2.7% 310 Arbitron, Inc. 12,127 4,321 Cablevision Systems Corp., Class A 105,260 5,604 Comcast Corp., Class A 134,608 3,590 DIRECTV, Class A (b) 181,941 14,596 Interpublic Group of Cos. (The), Inc. 143,187 522 John Wiley & Sons, Inc., Class A 26,131 2,612 McGraw-Hill (The) Cos., Inc. 108,659 1,474 Omnicom Group, Inc. 69,160 1,820 Time Warner Cable, Inc. 133,424 2,146 Viacom, Inc., Class B 103,910 ------------- 1,018,407 ------------- METALS & MINING -- 1.4% 1,725 Allegheny Technologies, Inc. 100,378 1,721 AMCOL International Corp. 52,766 2,440 Carpenter Technology Corp. 140,154 1,536 Cliffs Natural Resources, Inc. 137,964 670 Freeport-McMoRan Copper & Gold, Inc. 35,483 1,335 RTI International Metals, Inc. (b) 42,813 771 United States Steel Corp. 30,832 ------------- 540,390 ------------- MULTILINE RETAIL -- 1.7% 4,028 99 Cents Only Stores (b) 79,553 2,113 Dollar Tree, Inc. (b) 139,944 2,083 Family Dollar Stores, Inc. 110,628 6,240 Macy's, Inc. 180,149 3,025 Nordstrom, Inc. 151,734 ------------- 662,008 ------------- OFFICE ELECTRONICS -- 0.2% 1,933 Zebra Technologies Corp., Class A (b) 77,320 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 1.7% 1,759 Bill Barrett Corp. (b) $ 87,528 1,651 Cabot Oil & Gas Corp. 122,306 732 CONSOL Energy, Inc. 39,235 218 Contango Oil & Gas Co. (b) 13,751 5,419 El Paso Corp. 111,361 1,352 EQT Corp. 85,825 1,295 Gulfport Energy Corp. (b) 47,216 2,529 Patriot Coal Corp. (b) 47,823 1,110 SM Energy Co. 83,639 ------------- 638,684 ------------- PAPER & FOREST PRODUCTS -- 0.2% 1,900 Buckeye Technologies, Inc. 51,091 2,320 KapStone Paper & Packaging Corp. (b) 36,169 ------------- 87,260 ------------- PERSONAL PRODUCTS -- 0.7% 1,734 Estee Lauder (The) Cos., Inc., Class A 181,914 1,080 Medifast, Inc. (b) 20,844 3,992 Prestige Brands Holdings, Inc. (b) 48,782 ------------- 251,540 ------------- PHARMACEUTICALS -- 2.8% 1,349 Abbott Laboratories 69,231 1,315 Allergan, Inc. 106,923 946 Eli Lilly & Co. 36,232 2,803 Endo Pharmaceuticals Holdings, Inc. (b) 104,412 1,329 Hi-Tech Pharmacal Co., Inc. (b) 37,597 2,950 Medicis Pharmaceutical Corp., Class A 109,681 1,006 Merck & Co., Inc. 34,335 5,757 Mylan, Inc. (b) 131,144 1,281 Perrigo Co. 115,687 2,725 Questcor Pharmaceuticals, Inc. (b) 84,611 322 Salix Pharmaceuticals Ltd. (b) 12,487 1,386 ViroPharma, Inc. (b) 25,059 2,655 Watson Pharmaceuticals, Inc. (b) 178,230 ------------- 1,045,629 ------------- PROFESSIONAL SERVICES -- 0.7% 1,868 Corporate Executive Board (The) Co. 75,934 589 Exponent, Inc. (b) 24,626 866 Insperity, Inc. 25,305 2,142 Towers Watson & Co., Class A 130,983 884 TrueBlue, Inc. (b) 13,269 ------------- 270,117 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.7% 630 Acadia Realty Trust 13,224 277 AvalonBay Communities, Inc. 37,171 1,031 Boston Properties, Inc. 110,688 See Notes to Financial Statements Page 107 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) REAL ESTATE INVESTMENT TRUSTS (Continued) 545 BRE Properties, Inc. $ 28,602 885 Camden Property Trust 59,357 1,940 Duke Realty Corp. 27,238 1,183 Equity Residential 73,133 416 Essex Property Trust, Inc. 58,390 1,202 Extra Space Storage, Inc. 25,554 677 Health Care REIT, Inc. 35,732 211 Home Properties, Inc. 13,825 649 Kilroy Realty Corp. 25,038 487 LaSalle Hotel Properties 12,180 4,211 Lexington Realty Trust 35,372 508 Macerich (The) Co. 26,990 190 Mid-America Apartment Communities, Inc. 13,450 816 Pennsylvania Real Estate Investment Trust 11,914 1,258 Post Properties, Inc. 53,339 1,248 Rayonier, Inc. 80,433 611 Simon Property Group, Inc. 73,632 984 SL Green Realty Corp. 80,708 951 Taubman Centers, Inc. 56,965 761 Vornado Realty Trust 71,191 ------------- 1,024,126 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 5,656 CB Richard Ellis Group, Inc., Class A (b) 123,301 596 Jones Lang LaSalle, Inc. 50,731 ------------- 174,032 ------------- ROAD & RAIL -- 2.1% 5,416 CSX Corp. 133,071 2,391 J.B. Hunt Transport Services, Inc. 108,169 1,898 Kansas City Southern (b) 112,646 1,754 Landstar System, Inc. 78,667 1,895 Norfolk Southern Corp. 143,452 1,761 Old Dominion Freight Line, Inc. (b) 65,245 1,359 Union Pacific Corp. 139,270 ------------- 780,520 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2% 3,936 Altera Corp. 160,904 906 Analog Devices, Inc. 31,166 8,003 Atmel Corp. (b) 96,836 2,156 CEVA, Inc. (b) 65,154 5,326 Cypress Semiconductor Corp. (b) 109,609 491 Diodes, Inc. (b) 11,563 414 Hittite Microwave Corp. (b) 23,180 5,442 Kopin Corp. (b) 23,401 5,896 Kulicke & Soffa Industries, Inc. (b) 54,243 19,946 LSI Corp. (b) 146,803 1,873 Microchip Technology, Inc. 63,214 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 1,250 Microsemi Corp. (b) $ 24,813 7,414 National Semiconductor Corp. 183,274 333 Power Integrations, Inc. 11,818 5,148 Semtech Corp. (b) 119,949 950 Standard Microsystems Corp. (b) 22,477 1,081 Texas Instruments, Inc. 32,160 1,258 TriQuint Semiconductor, Inc. (b) 9,460 2,162 Ultratech, Inc. (b) 56,969 2,291 Varian Semiconductor Equipment Associates, Inc. (b) 139,155 794 Veeco Instruments, Inc. (b) 31,593 520 Volterra Semiconductor Corp. (b) 13,400 5,003 Xilinx, Inc. 160,596 ------------- 1,591,737 ------------- SOFTWARE -- 5.1% 2,414 ACI Worldwide, Inc. (b) 87,290 462 Blackbaud, Inc. 11,735 2,001 BMC Software, Inc. (b) 86,483 1,556 Bottomline Technologies, Inc. (b) 36,239 10,663 Cadence Design Systems, Inc. (b) 110,149 1,775 Citrix Systems, Inc. (b) 127,871 1,153 CommVault Systems, Inc. (b) 44,644 6,018 Electronic Arts, Inc. (b) 133,900 265 FactSet Research Systems, Inc. 24,404 900 Fair Isaac Corp. 26,775 2,409 Informatica Corp. (b) 123,172 1,096 Interactive Intelligence Group (b) 41,659 685 Intuit, Inc. (b) 31,989 1,660 JDA Software Group, Inc. (b) 46,414 744 Manhattan Associates, Inc. (b) 27,751 2,122 Mentor Graphics Corp. (b) 24,254 1,133 MICROS Systems, Inc. (b) 55,483 404 MicroStrategy, Inc., Class A (b) 64,385 2,721 Monotype Imaging Holdings, Inc. (b) 37,278 2,158 Oracle Corp. 65,992 1,185 Parametric Technology Corp. (b) 24,636 1,840 Radiant Systems, Inc. (b) 51,870 773 Red Hat, Inc. (b) 32,528 474 Rovi Corp. (b) 25,108 952 Salesforce.com, Inc. (b) 137,764 951 Solera Holdings, Inc. 53,142 1,294 Sourcefire, Inc. (b) 31,807 3,601 Symantec Corp. (b) 68,635 808 Synchronoss Technologies, Inc. (b) 23,634 4,299 Take-Two Interactive Software, Inc. (b) 57,993 1,038 Taleo Corp., Class A (b) 34,358 3,880 TIBCO Software, Inc. (b) 101,035 1,436 Tyler Technologies, Inc. (b) 36,604 1,479 Websense, Inc. (b) 33,544 ------------- 1,920,525 ------------- SPECIALTY RETAIL -- 7.1% 2,726 Abercrombie & Fitch Co., Class A 199,325 1,041 Ann, Inc. (b) 27,004 4,134 Ascena Retail Group, Inc. (b) 133,611 Page 108 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 482 AutoZone, Inc. (b) $ 137,587 3,126 Bed Bath & Beyond, Inc. (b) 182,840 599 Buckle (The), Inc. 26,542 1,888 Cabela's, Inc. (b) 51,656 5,517 CarMax, Inc. (b) 176,378 7,393 Chico's FAS, Inc. 111,560 1,464 Dick's Sporting Goods, Inc. (b) 54,168 2,395 Finish Line (The), Inc., Class A 51,013 1,261 Genesco, Inc. (b) 65,320 645 Guess?, Inc. 24,587 1,259 Hibbett Sports, Inc. (b) 49,403 351 J. Crew Group, Inc. (b) (c) - 769 JoS. A. Bank Clothiers, Inc. (b) 39,457 4,745 Limited Brands, Inc. 179,646 505 Lumber Liquidators Holdings, Inc. (b) 7,934 1,949 Men's Wearhouse (The), Inc. 63,908 1,031 Monro Muffler Brake, Inc. 36,869 2,168 O'Reilly Automotive, Inc. (b) 128,996 2,482 PetSmart, Inc. 106,776 2,277 Ross Stores, Inc. 172,528 1,183 Rue21, Inc. (b) 38,885 3,653 Select Comfort Corp. (b) 61,443 2,324 Tiffany & Co. 184,967 2,084 TJX (The) Cos., Inc. 115,245 2,104 Tractor Supply Co. 138,696 1,435 Vitamin Shoppe, Inc. (b) 62,509 745 Williams-Sonoma, Inc. 27,580 1,027 Zumiez, Inc. (b) 27,287 ------------- 2,683,720 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 4.8% 833 Carter's, Inc. (b) 27,906 2,854 Coach, Inc. 184,254 2,551 Crocs, Inc. (b) 79,923 925 Deckers Outdoor Corp. (b) 91,806 1,196 Fossil, Inc. (b) 150,301 2,856 Hanesbrands, Inc. (b) 87,137 2,118 Iconix Brand Group, Inc. (b) 49,413 1,390 Maidenform Brands, Inc. (b) 35,932 788 NIKE, Inc., Class B 71,038 1,518 Oxford Industries, Inc. 59,475 1,376 Polo Ralph Lauren Corp. 185,856 1,720 PVH Corp. 123,066 1,751 Steven Madden, Ltd. (b) 66,713 3,275 Timberland (The) Co., Class A (b) 140,137 1,763 True Religion Apparel, Inc. (b) 59,396 1,821 Under Armour, Inc., Class A (b) 133,680 1,681 VF Corp. 196,341 521 Warnaco Group (The), Inc. (b) 27,769 1,228 Wolverine World Wide, Inc. 46,504 ------------- 1,816,647 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOBACCO -- 0.6% 1,304 Lorillard, Inc. $ 138,511 532 Philip Morris International, Inc. 37,862 958 Reynolds American, Inc. 33,722 ------------- 210,095 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 3,946 Fastenal Co. 132,783 409 MSC Industrial Direct Co., Inc., Class A 25,268 2,216 United Rentals, Inc. (b) 50,990 1,187 W.W. Grainger, Inc. 176,115 828 Watsco, Inc. 49,001 ------------- 434,157 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 10,601 MetroPCS Communications, Inc. (b) 172,584 1,255 NTELOS Holdings Corp. 24,372 ------------- 196,956 ------------- TOTAL COMMON STOCKS -- 99.9% 37,979,864 (Cost $36,947,612) MONEY MARKET FUND -- 0.3% 101,617 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 101,617 (Cost $101,617) ------------- TOTAL INVESTMENTS -- 100.2% 38,081,481 (Cost $37,049,229) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (91,676) ------------- NET ASSETS -- 100.0% $ 37,989,805 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at July 31, 2011. (e) Aggregate cost for federal income tax purposes is $37,236,648. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,927,310 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,082,477. See Notes to Financial Statements Page 109 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $37,979,864 $ -- $ -- Money Market Fund 101,617 -- -- ------------------------------------- Total Investments $38,081,481 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 110 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.7% 304 Alliant Techsystems, Inc. $ 19,830 366 Huntington Ingalls Industries, Inc. (b) 12,254 ------------- 32,084 ------------- AIRLINES -- 0.7% 2,853 JetBlue Airways Corp. (b) 13,666 ------------- AUTOMOBILES -- 0.6% 438 Thor Industries, Inc. 10,832 ------------- CAPITAL MARKETS -- 1.3% 1,705 Apollo Investment Corp. 16,334 131 Raymond James Financial, Inc. 4,160 187 SEI Investments Co. 3,699 ------------- 24,193 ------------- CHEMICALS -- 5.8% 336 Ashland, Inc. 20,577 546 Cabot Corp. 21,348 74 Cytec Industries, Inc. 4,144 262 Minerals Technologies, Inc. 16,972 960 Olin Corp. 20,073 183 RPM International, Inc. 3,858 82 Scotts Miracle-Gro (The) Co., Class A 4,138 340 Sensient Technologies Corp. 12,621 241 Valspar (The) Corp. 7,922 ------------- 111,653 ------------- COMMERCIAL BANKS -- 3.0% 74 Cullen/Frost Bankers, Inc. 3,987 208 East West Bancorp, Inc. 3,861 255 FirstMerit Corp. 3,726 393 Fulton Financial Corp. 3,989 1,040 International Bancshares Corp. 17,493 96 Prosperity Bancshares, Inc. 3,987 631 TCF Financial Corp. 8,026 180 Trustmark Corp. 3,922 413 Webster Financial Corp. 8,433 ------------- 57,424 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 291 Brink's (The) Co. 8,683 804 Corrections Corp. of America (b) 17,254 511 Deluxe Corp. 12,029 ------------- 37,966 ------------- COMMUNICATIONS EQUIPMENT -- 0.4% 238 Plantronics, Inc. 8,151 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 1.8% 637 Aecom Technology Corp. (b) $ 15,759 112 KBR, Inc. 3,993 388 URS Corp. (b) 15,842 ------------- 35,594 ------------- CONTAINERS & PACKAGING -- 3.6% 166 AptarGroup, Inc. 8,474 194 Greif, Inc., Class A 11,844 622 Packaging Corp. of America 16,589 262 Rock-Tenn Co., Class A 16,102 355 Sonoco Products Co. 11,378 141 Temple-Inland, Inc. 4,233 ------------- 68,620 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.5% 1,029 Career Education Corp. (b) 23,348 216 Matthews International Corp., Class A 7,817 1,136 Regis Corp. 16,870 ------------- 48,035 ------------- ELECTRIC UTILITIES -- 4.8% 362 Cleco Corp. 12,569 1,049 Great Plains Energy, Inc. 21,158 361 Hawaiian Electric Industries, Inc. 8,447 440 IDACORP, Inc. 17,252 1,134 NV Energy, Inc. 16,829 647 Westar Energy, Inc. 16,699 ------------- 92,954 ------------- ELECTRICAL EQUIPMENT -- 0.8% 134 Hubbell, Inc., Class B 7,969 130 Regal-Beloit Corp. 7,882 ------------- 15,851 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.8% 523 Arrow Electronics, Inc. (b) 18,174 681 Avnet, Inc. (b) 19,953 1,199 Ingram Micro, Inc., Class A (b) 22,242 361 Itron, Inc. (b) 15,537 355 Tech Data Corp. (b) 16,568 1,447 Vishay Intertechnology, Inc. (b) 19,925 ------------- 112,399 ------------- ENERGY EQUIPMENT & SERVICES -- 3.0% 638 Exterran Holdings, Inc. (b) 11,790 526 Helix Energy Solutions Group, Inc. (b) 10,299 275 Patterson-UTI Energy, Inc. 8,946 161 Tidewater, Inc. 8,749 285 Unit Corp. (b) 17,103 ------------- 56,887 ------------- See Notes to Financial Statements Page 111 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) FOOD & STAPLES RETAILING -- 1.1% 172 BJ's Wholesale Club, Inc. (b) $ 8,660 290 Ruddick Corp. 12,151 ------------- 20,811 ------------- FOOD PRODUCTS -- 2.0% 69 Lancaster Colony Corp. 4,149 146 Ralcorp Holdings, Inc. (b) 12,629 995 Smithfield Foods, Inc. (b) 21,910 ------------- 38,688 ------------- GAS UTILITIES -- 3.3% 310 AGL Resources, Inc. 12,648 522 Atmos Energy Corp. 17,450 237 Questar Corp. 4,368 545 UGI Corp. 16,514 328 WGL Holdings, Inc. 12,730 ------------- 63,710 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.0% 425 Immucor, Inc. (b) 11,262 142 Teleflex, Inc. 8,553 ------------- 19,815 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 847 Community Health Systems, Inc. (b) 21,886 1,013 Kindred Healthcare, Inc. (b) 19,085 557 LifePoint Hospitals, Inc. (b) 20,665 122 Owens & Minor, Inc. 3,721 410 VCA Antech, Inc. (b) 8,011 ------------- 73,368 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 497 Bob Evans Farms, Inc. 17,166 2,001 Boyd Gaming Corp. (b) 17,489 444 International Speedway Corp., Class A 12,419 830 Wendy's (The) Co. 4,374 ------------- 51,448 ------------- HOUSEHOLD DURABLES -- 2.0% 905 American Greetings Corp., Class A 20,064 289 Mohawk Industries, Inc. (b) 15,037 6 NVR, Inc. (b) 4,080 ------------- 39,181 ------------- HOUSEHOLD PRODUCTS -- 0.5% 120 Energizer Holdings, Inc. (b) 9,677 ------------- INDUSTRIAL CONGLOMERATES -- 0.2% 85 Carlisle Cos., Inc. 3,675 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE -- 10.0% 610 American Financial Group, Inc. $ 20,728 490 Aspen Insurance Holdings Ltd. 12,691 164 Brown & Brown, Inc. 3,577 106 Everest Re Group, Ltd. 8,705 1,382 Fidelity National Financial, Inc., Class A 22,526 808 First American Financial Corp. 12,920 335 Hanover Insurance Group, Inc. 12,130 401 HCC Insurance Holdings, Inc. 12,082 320 Mercury General Corp. 11,885 546 Protective Life Corp. 11,608 285 Reinsurance Group of America, Inc. 16,590 412 StanCorp Financial Group, Inc. 13,703 86 Transatlantic Holdings, Inc. 4,404 587 Unitrin, Inc. 16,536 389 W. R. Berkley Corp. 11,977 ------------- 192,062 ------------- INTERNET SOFTWARE & SERVICES -- 0.7% 762 ValueClick, Inc. (b) 13,762 ------------- IT SERVICES -- 2.6% 321 Acxiom Corp. (b) 4,411 520 CoreLogic, Inc. (b) 8,206 329 DST Systems, Inc. 16,841 489 ManTech International Corp., Class A 19,951 ------------- 49,409 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 73 Bio-Rad Laboratories, Inc., Class A (b) 7,957 157 Pharmaceutical Product Development, Inc. 4,526 ------------- 12,483 ------------- MACHINERY -- 2.4% 256 AGCO Corp. (b) 12,139 129 Harsco Corp. 3,536 752 Oshkosh Corp. (b) 18,665 104 Pentair, Inc. 3,828 249 Trinity Industries, Inc. 7,418 ------------- 45,586 ------------- MEDIA -- 3.8% 2,679 Harte-Hanks, Inc. 21,888 699 Meredith Corp. 20,865 1,450 New York Times (The) Co., Class A (b) 12,441 653 Scholastic Corp. 18,754 ------------- 73,948 ------------- METALS & MINING -- 1.7% 254 Reliance Steel & Aluminum Co. 11,941 778 Steel Dynamics, Inc. 12,152 Page 112 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) METALS & MINING (Continued) 376 Worthington Industries, Inc. $ 7,885 ------------- 31,978 ------------- MULTILINE RETAIL -- 0.4% 779 Saks, Inc. (b) 8,366 ------------- MULTI-UTILITIES -- 3.9% 427 Alliant Energy Corp. 16,828 577 Black Hills Corp. 17,241 774 MDU Resources Group, Inc. 16,687 91 NSTAR 4,034 173 OGE Energy Corp. 8,657 453 Vectren Corp. 11,964 ------------- 75,411 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.8% 473 Arch Coal, Inc. 12,109 140 Cimarex Energy Co. 12,337 302 Comstock Resources, Inc. (b) 9,634 307 Energen Corp. 18,054 325 Forest Oil Corp. (b) 8,450 228 Plains Exploration & Production Co. (b) 8,894 105 Southern Union Co. 4,515 ------------- 73,993 ------------- PAPER & FOREST PRODUCTS -- 1.0% 229 Domtar Corp. 18,309 ------------- PROFESSIONAL SERVICES -- 0.6% 229 FTI Consulting, Inc. (b) 8,311 191 Korn/Ferry International (b) 4,114 ------------- 12,425 ------------- ROAD & RAIL -- 0.6% 504 Werner Enterprises, Inc. 11,869 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.9% 1,302 Fairchild Semiconductor International, Inc. (b) 19,543 2,214 Integrated Device Technology, Inc. (b) 15,144 778 International Rectifier Corp. (b) 19,987 490 Lam Research Corp. (b) 20,031 ------------- 74,705 ------------- SOFTWARE -- 0.4% 338 Synopsys, Inc. (b) 8,102 ------------- SPECIALTY RETAIL -- 5.6% 770 Aaron's, Inc. 19,412 1,706 American Eagle Outfitters, Inc. 22,417 763 Barnes & Noble, Inc. 13,276 1,481 Collective Brands, Inc. (b) 17,446 531 Foot Locker, Inc. 11,539 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (Continued) 999 Office Depot, Inc. (b) $ 3,776 712 Rent-A-Center, Inc. 19,259 ------------- 107,125 ------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 329 Astoria Financial Corp. 3,833 319 First Niagara Financial Group, Inc. 3,907 581 New York Community Bancorp, Inc. 7,861 ------------- 15,601 ------------- TOBACCO -- 1.1% 578 Universal Corp. 21,224 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 340 GATX Corp. 13,406 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 700 Telephone and Data Systems, Inc. 19,852 ------------- TOTAL INVESTMENTS -- 100.0% 1,926,298 (Cost $2,086,851) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 961 ------------- NET ASSETS -- 100.0% $ 1,927,259 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax purposes is $2,098,572. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,157 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $181,431. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 1,926,298 $ -- $ -- ==================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 113 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.0% 1,699 BE Aerospace, Inc. (b) $ 67,620 ------------- AIR FREIGHT & LOGISTICS -- 0.6% 2,549 UTI Worldwide, Inc. 41,217 ------------- AIRLINES -- 1.1% 1,266 Alaska Air Group, Inc. (b) 77,378 ------------- AUTO COMPONENTS -- 1.7% 1,072 BorgWarner, Inc. (b) 85,353 1,147 Gentex Corp. 32,506 ------------- 117,859 ------------- BEVERAGES -- 1.2% 1,070 Hansen Natural Corp. (b) 81,983 ------------- BIOTECHNOLOGY -- 1.0% 1,332 Vertex Pharmaceuticals, Inc. (b) 69,078 ------------- CAPITAL MARKETS -- 0.8% 341 Affiliated Managers Group, Inc. (b) 35,576 461 Waddell & Reed Financial, Inc., Class A 16,919 ------------- 52,495 ------------- CHEMICALS -- 3.4% 1,252 Albemarle Corp. 83,358 517 Lubrizol (The) Corp. 69,589 509 NewMarket Corp. 83,486 ------------- 236,433 ------------- COMMERCIAL BANKS -- 0.7% 840 SVB Financial Group (b) 51,257 ------------- COMMERCIAL SERVICES & SUPPLIES -- 3.1% 1,678 Clean Harbors, Inc. (b) 88,515 743 Copart, Inc. (b) 32,283 1,843 Herman Miller, Inc. 42,407 820 Rollins, Inc. 15,654 1,092 Waste Connections, Inc. 35,206 ------------- 214,065 ------------- COMMUNICATIONS EQUIPMENT -- 2.2% 433 ADTRAN, Inc. 14,328 910 Ciena Corp. (b) 14,069 2,695 Polycom, Inc. (b) 72,846 1,751 Riverbed Technology, Inc. (b) 50,131 ------------- 151,374 ------------- CONTAINERS & PACKAGING -- 0.7% 1,225 Silgan Holdings, Inc. 47,506 ------------- DISTRIBUTORS -- 0.9% 2,658 LKQ Corp. (b) 65,307 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 1.9% 642 ITT Educational Services, Inc. (b) $ 55,000 5,935 Service Corp. International 62,139 385 Sotheby's 16,305 ------------- 133,444 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 443 MSCI, Inc., Class A (b) 15,722 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 1,688 tw telecom, Inc. (b) 33,338 ------------- ELECTRIC UTILITIES -- 0.7% 1,665 DPL, Inc. 50,366 ------------- ELECTRICAL EQUIPMENT -- 1.8% 299 Acuity Brands, Inc. 14,558 1,545 AMETEK, Inc. 65,663 644 Thomas & Betts Corp. (b) 31,414 481 Woodward, Inc. 16,595 ------------- 128,230 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.4% 1,168 National Instruments Corp. 30,181 ------------- ENERGY EQUIPMENT & SERVICES -- 3.8% 379 Atwood Oceanics, Inc. (b) 17,699 532 CARBO Ceramics, Inc. 83,029 413 Oceaneering International, Inc. 17,842 1,084 Oil States International, Inc. (b) 87,479 1,351 Superior Energy Services, Inc. (b) 56,053 ------------- 262,102 ------------- FOOD PRODUCTS -- 3.3% 1,567 Corn Products International, Inc. 79,745 2,277 Flowers Foods, Inc. 49,912 971 Green Mountain Coffee Roasters, Inc. (b) 100,935 ------------- 230,592 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 875 Cooper (The) Cos., Inc. 66,929 502 Gen-Probe, Inc. (b) 30,396 1,505 Hill-Rom Holdings, Inc. 56,121 870 Kinetic Concepts, Inc. (b) 58,238 510 Thoratec Corp. (b) 17,182 ------------- 228,866 ------------- HEALTH CARE PROVIDERS & SERVICES -- 5.2% 1,553 Catalyst Health Solutions, Inc. (b) 101,768 4,656 Health Management Associates, Inc., Class A (b) 44,232 Page 114 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) HEALTH CARE PROVIDERS & SERVICES (Continued) 701 Henry Schein, Inc. (b) $ 46,588 481 MEDNAX, Inc. (b) 32,785 1,345 Universal Health Services, Inc., Class B 66,766 1,686 WellCare Health Plans, Inc. (b) 73,931 ------------- 366,070 ------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 1,416 Brinker International, Inc. 34,012 1,105 Cheesecake Factory (The), Inc. (b) 31,857 418 Life Time Fitness, Inc. (b) 17,456 398 Panera Bread Co., Class A (b) 45,894 ------------- 129,219 ------------- HOUSEHOLD DURABLES -- 0.9% 1,028 Tupperware Brands Corp. 64,240 ------------- HOUSEHOLD PRODUCTS -- 0.2% 413 Church & Dwight Co., Inc. 16,660 ------------- INTERNET SOFTWARE & SERVICES -- 2.0% 686 Equinix, Inc. (b) 71,666 1,622 Rackspace Hosting, Inc. (b) 64,880 ------------- 136,546 ------------- IT SERVICES -- 2.7% 922 Alliance Data Systems Corp. (b) 90,669 694 Broadridge Financial Solutions, Inc. 16,004 1,246 Gartner, Inc. (b) 45,990 679 Global Payments, Inc. 32,191 ------------- 184,854 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.3% 779 Polaris Industries, Inc. 92,350 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 280 Covance, Inc. (b) 16,030 204 Mettler-Toledo International, Inc. (b) 31,581 415 Techne Corp. 31,453 ------------- 79,064 ------------- MACHINERY -- 9.2% 1,016 Crane Co. 47,061 572 Donaldson Co., Inc. 31,677 1,030 Gardner Denver, Inc. 87,849 1,710 Graco, Inc. 75,120 1,512 IDEX Corp. 62,718 1,643 Kennametal, Inc. 64,783 966 Lincoln Electric Holdings, Inc. 33,057 916 Nordson Corp. 46,743 608 SPX Corp. 45,746 1,374 Timken (The) Co. 60,003 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MACHINERY (Continued) 359 Valmont Industries, Inc. $ 34,949 764 Wabtec Corp. 49,293 ------------- 638,999 ------------- MARINE -- 0.5% 611 Kirby Corp. (b) 35,634 ------------- MEDIA -- 0.2% 322 John Wiley & Sons, Inc., Class A 16,119 ------------- METALS & MINING -- 1.2% 1,503 Carpenter Technology Corp. 86,332 ------------- MULTILINE RETAIL -- 1.9% 2,479 99 Cents Only Stores (b) 48,961 1,301 Dollar Tree, Inc. (b) 86,165 ------------- 135,126 ------------- OFFICE ELECTRONICS -- 0.7% 1,190 Zebra Technologies Corp., Class A (b) 47,600 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 1,083 Bill Barrett Corp. (b) 53,890 1,556 Patriot Coal Corp. (b) 29,424 684 SM Energy Co. 51,539 ------------- 134,853 ------------- PHARMACEUTICALS -- 2.9% 1,724 Endo Pharmaceuticals Holdings, Inc. (b) 64,219 1,815 Medicis Pharmaceutical Corp., Class A 67,482 789 Perrigo Co. 71,254 ------------- 202,955 ------------- PROFESSIONAL SERVICES -- 1.8% 1,149 Corporate Executive Board (The) Co. 46,707 1,318 Towers Watson & Co., Class A 80,596 ------------- 127,303 ------------- REAL ESTATE INVESTMENT TRUSTS -- 3.7% 336 BRE Properties, Inc. 17,633 545 Camden Property Trust 36,553 1,195 Duke Realty Corp. 16,778 254 Essex Property Trust, Inc. 35,652 310 Macerich (The) Co. 16,470 769 Rayonier, Inc. 49,562 607 SL Green Realty Corp. 49,786 586 Taubman Centers, Inc. 35,102 ------------- 257,536 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 369 Jones Lang LaSalle, Inc. 31,409 ------------- See Notes to Financial Statements Page 115 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ROAD & RAIL -- 2.6% 1,471 J.B. Hunt Transport Services, Inc. $ 66,548 1,168 Kansas City Southern (b) 69,321 1,079 Landstar System, Inc. 48,393 ------------- 184,262 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.1% 4,927 Atmel Corp. (b) 59,617 3,278 Cypress Semiconductor Corp. (b) 67,461 3,170 Semtech Corp. (b) 73,861 1,409 Varian Semiconductor Equipment Associates, Inc. (b) 85,583 ------------- 286,522 ------------- SOFTWARE -- 5.8% 1,486 ACI Worldwide, Inc. (b) 53,734 6,564 Cadence Design Systems, Inc. (b) 67,806 162 FactSet Research Systems, Inc. 14,919 554 Fair Isaac Corp. 16,481 1,483 Informatica Corp. (b) 75,826 1,307 Mentor Graphics Corp. (b) 14,939 698 MICROS Systems, Inc. (b) 34,181 729 Parametric Technology Corp. (b) 15,156 289 Rovi Corp. (b) 15,308 586 Solera Holdings, Inc. 32,746 2,388 TIBCO Software, Inc. (b) 62,183 ------------- 403,279 ------------- SPECIALTY RETAIL -- 5.5% 642 Ann, Inc. (b) 16,653 2,543 Ascena Retail Group, Inc. (b) 82,190 4,551 Chico's FAS, Inc. 68,675 902 Dick's Sporting Goods, Inc. (b) 33,374 398 Guess?, Inc. 15,172 1,527 PetSmart, Inc. 65,692 1,295 Tractor Supply Co. 85,366 456 Williams-Sonoma, Inc. 16,881 ------------- 384,003 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 6.7% 569 Deckers Outdoor Corp. (b) 56,473 736 Fossil, Inc. (b) 92,493 1,758 Hanesbrands, Inc. (b) 53,637 1,058 PVH Corp. 75,700 2,016 Timberland (The) Co., Class A (b) 86,265 1,120 Under Armour, Inc., Class A (b) 82,219 321 Warnaco Group (The), Inc. (b) 17,109 ------------- 463,896 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 251 MSC Industrial Direct Co., Inc., Class A 15,507 1,365 United Rentals, Inc. (b) 31,408 510 Watsco, Inc. 30,182 ------------- 77,097 ------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $ 6,968,341 (Cost $7,336,836) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 7,703 ------------- NET ASSETS -- 100.0% $ 6,976,044 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax purposes is $7,361,184. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $59,527 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $452,370. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $6,968,341 $ -- $ -- =================================== * See Portfolio of Investments for industry breakout. Page 116 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.7% 204 AAR Corp. $ 5,986 213 Ceradyne, Inc. (b) 6,903 427 Curtiss-Wright Corp. 13,647 109 Esterline Technologies Corp. (b) 8,324 191 Moog, Inc., Class A (b) 7,822 328 Orbital Sciences Corp. (b) 5,681 110 Teledyne Technologies, Inc. (b) 5,965 ------------- 54,328 ------------- AIRLINES -- 0.6% 918 SkyWest, Inc. 11,805 ------------- AUTO COMPONENTS -- 1.9% 336 Drew Industries, Inc. 7,157 1,536 Spartan Motors, Inc. 7,066 726 Standard Motor Products, Inc. 10,309 625 Superior Industries International, Inc. 12,650 ------------- 37,182 ------------- AUTOMOBILES -- 0.2% 572 Winnebago Industries, Inc. (b) 4,799 ------------- BUILDING PRODUCTS -- 1.1% 269 Griffon Corp. (b) 2,542 165 Quanex Building Products Corp. 2,586 91 Simpson Manufacturing Co., Inc. 2,575 462 Universal Forest Products, Inc. 13,615 ------------- 21,318 ------------- CAPITAL MARKETS -- 2.0% 381 Calamos Asset Management, Inc., Class A 5,189 789 Investment Technology Group, Inc. (b) 9,602 384 Piper Jaffray Cos. (b) 11,321 1,367 Prospect Capital Corp. 12,713 ------------- 38,825 ------------- CHEMICALS -- 3.6% 329 A. Schulman, Inc. 7,287 209 American Vanguard Corp. 2,855 321 Arch Chemicals, Inc. 15,126 453 H.B. Fuller Co. 10,356 340 OM Group, Inc. (b) 12,335 156 Stepan Co. 12,371 741 STR Holdings, Inc. (b) 10,196 ------------- 70,526 ------------- COMMERCIAL BANKS -- 3.8% 82 City Holding Co. 2,564 157 Columbia Banking System, Inc. 2,765 223 Community Bank System, Inc. 5,611 262 F.N.B. Corp. 2,620 1,445 First Commonwealth Financial Corp. 7,427 162 First Financial Bancorp 2,594 201 Glacier Bancorp, Inc. 2,641 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL BANKS (Continued) 211 Independent Bank Corp. $ 5,602 250 NBT Bancorp, Inc. 5,510 251 Old National Bancorp 2,560 196 PrivateBancorp, Inc. 2,311 297 S&T Bancorp, Inc. 5,649 323 Simmons First National Corp., Class A 7,804 339 Susquehanna Bancshares, Inc. 2,553 141 Tompkins Financial Corp. 5,696 234 Umpqua Holdings Corp. 2,658 111 United Bankshares, Inc. 2,648 172 Wintrust Financial Corp. 5,879 ------------- 75,092 ------------- COMMERCIAL SERVICES & SUPPLIES -- 3.2% 237 ABM Industries, Inc. 5,332 327 G&K Services, Inc., Class A 11,141 240 Geo Group (The), Inc. (b) 4,992 128 Mobile Mini, Inc. (b) 2,702 1,755 Standard Register (The) Co. 5,265 369 Tetra Tech, Inc. (b) 8,118 246 UniFirst Corp. 13,493 156 United Stationers, Inc. 5,006 372 Viad Corp. 7,712 ------------- 63,761 ------------- COMMUNICATIONS EQUIPMENT -- 2.8% 476 Arris Group, Inc. (b) 5,712 637 Bel Fuse, Inc., Class B 12,116 442 Black Box Corp. 12,593 493 Comtech Telecommunications Corp. 13,286 425 Digi International, Inc. (b) 6,073 82 EMS Technologies, Inc. (b) 2,696 297 Tekelec (b) 2,332 ------------- 54,808 ------------- COMPUTERS & PERIPHERALS -- 0.6% 1,354 Intevac, Inc. (b) 12,321 ------------- CONSTRUCTION & ENGINEERING -- 1.0% 255 Comfort Systems USA, Inc. 2,662 338 Dycom Industries, Inc. (b) 5,760 527 Insituform Technologies, Inc., Class A (b) 10,566 ------------- 18,988 ------------- DISTRIBUTORS -- 0.7% 1,829 Audiovox Corp., Class A (b) 13,151 ------------- ELECTRIC UTILITIES -- 1.9% 202 ALLETE, Inc. 8,130 153 Central Vermont Public Service Corp. 5,369 257 El Paso Electric Co. 8,597 256 UIL Holdings Corp. 8,174 See Notes to Financial Statements Page 117 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ELECTRIC UTILITIES (Continued) 222 Unisource Energy Corp. $ 8,174 ------------- 38,444 ------------- ELECTRICAL EQUIPMENT -- 1.4% 181 AZZ, Inc. 9,056 259 Brady Corp., Class A 7,666 342 Encore Wire Corp. 7,527 74 Powell Industries, Inc. (b) 2,852 ------------- 27,101 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.3% 41 Anixter International, Inc. 2,559 838 Benchmark Electronics, Inc. (b) 12,277 1,023 Brightpoint, Inc. (b) 9,299 152 Checkpoint Systems, Inc. (b) 2,386 1,144 CTS Corp. 11,245 624 Insight Enterprises, Inc. (b) 10,502 714 Methode Electronics, Inc. 7,554 297 Park Electrochemical Corp. 7,769 372 RadiSys Corp. (b) 2,954 148 ScanSource, Inc. (b) 5,469 436 SYNNEX Corp. (b) 12,348 ------------- 84,362 ------------- ENERGY EQUIPMENT & SERVICES -- 2.1% 271 Bristow Group, Inc. 13,138 402 Hornbeck Offshore Services, Inc. (b) 11,192 178 Pioneer Drilling Co. (b) 2,896 138 SEACOR Holdings, Inc. 13,849 ------------- 41,075 ------------- FOOD & STAPLES RETAILING -- 1.9% 262 Andersons (The), Inc. 10,771 62 Casey's General Stores, Inc. 2,790 386 Nash Finch Co. 13,819 566 Spartan Stores, Inc. 9,995 ------------- 37,375 ------------- FOOD PRODUCTS -- 1.7% 433 Cal-Maine Foods, Inc. 14,640 111 J & J Snack Foods Corp. 5,738 57 Sanderson Farms, Inc. 2,634 432 Seneca Foods Corp., Class A (b) 11,189 ------------- 34,201 ------------- GAS UTILITIES -- 1.4% 219 Laclede Group (The), Inc. 8,158 123 Northwest Natural Gas Co. 5,487 90 Piedmont Natural Gas Co., Inc. 2,625 286 Southwest Gas Corp. 10,665 ------------- 26,935 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 194 CONMED Corp. (b) $ 5,044 484 CryoLife, Inc. (b) 2,793 412 Greatbatch, Inc. (b) 10,267 190 ICU Medical, Inc. (b) 8,071 82 Invacare Corp. 2,458 179 Natus Medical, Inc. (b) 2,064 1,233 Symmetry Medical, Inc. (b) 11,874 126 West Pharmaceutical Services, Inc. 5,528 ------------- 48,099 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.6% 519 Amedisys, Inc. (b) 13,421 317 AmSurg Corp. (b) 8,061 76 Centene Corp. (b) 2,494 664 Gentiva Health Services, Inc. (b) 11,946 911 Healthways, Inc. (b) 13,601 599 LHC Group, Inc. (b) 13,645 202 Magellan Health Services, Inc. (b) 10,524 306 Molina Healthcare, Inc. (b) 6,931 867 PharMerica Corp. (b) 11,072 ------------- 91,695 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.2% 364 Jack in the Box, Inc. (b) 8,270 1,399 Marcus (The) Corp. 13,542 1,059 Monarch Casino & Resort, Inc. (b) 12,232 3,038 Multimedia Games, Inc. (b) 13,185 756 O'Charley's, Inc. (b) 4,604 152 Red Robin Gourmet Burgers, Inc. (b) 5,232 1,282 Ruby Tuesday, Inc. (b) 11,653 1,478 Ruth's Hospitality Group, Inc. (b) 8,499 591 Shuffle Master, Inc. (b) 5,508 ------------- 82,725 ------------- HOUSEHOLD DURABLES -- 1.4% 110 Blyth, Inc. 6,958 400 Helen of Troy Ltd. (b) 12,900 840 La-Z-Boy, Inc. (b) 7,367 ------------- 27,225 ------------- HOUSEHOLD PRODUCTS -- 0.6% 1,090 Central Garden & Pet Co., Class A (b) 9,549 69 WD-40 Co. 3,022 ------------- 12,571 ------------- INDUSTRIAL CONGLOMERATES -- 1.2% 361 Standex International Corp. 11,621 603 Tredegar Corp. 11,493 ------------- 23,114 ------------- Page 118 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) INSURANCE -- 8.1% 244 AMERISAFE, Inc. (b) $ 5,248 379 Delphi Financial Group, Inc., Class A 10,203 330 Employers Holdings, Inc. 4,904 708 Horace Mann Educators Corp. 10,308 253 Infinity Property & Casualty Corp. 12,820 1,116 Meadowbrook Insurance Group, Inc. 10,490 1,198 National Financial Partners Corp. (b) 13,573 118 Navigators Group (The), Inc. (b) 5,563 1,059 Presidential Life Corp. 12,030 197 ProAssurance Corp. (b) 13,720 134 RLI Corp. 8,462 197 Safety Insurance Group, Inc. 7,998 680 Selective Insurance Group, Inc. 11,145 1,103 Stewart Information Services Corp. 11,692 580 Tower Group, Inc. 13,259 477 United Fire & Casualty Co. 8,181 ------------- 159,596 ------------- INTERNET & CATALOG RETAIL -- 0.3% 393 Nutrisystem, Inc. 5,871 ------------- INTERNET SOFTWARE & SERVICES -- 1.1% 909 InfoSpace, Inc. (b) 8,663 2,292 United Online, Inc. 13,683 ------------- 22,346 ------------- IT SERVICES -- 0.9% 175 CACI International, Inc., Class A (b) 10,339 365 NCI, Inc., Class A (b) 7,840 ------------- 18,179 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.5% 823 Arctic Cat, Inc. (b) 13,563 436 Callaway Golf Co. 2,769 751 JAKKS Pacific, Inc. (b) 13,105 ------------- 29,437 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 2,992 Cambrex Corp. (b) 13,194 1,302 eResearchTechnology, Inc. (b) 8,294 ------------- 21,488 ------------- MACHINERY -- 3.7% 101 Actuant Corp., Class A 2,496 314 Albany International Corp., Class A 8,343 150 Astec Industries, Inc. (b) 5,628 73 Badger Meter, Inc. 2,664 223 Barnes Group, Inc. 5,430 557 Briggs & Stratton Corp. 9,547 225 ESCO Technologies, Inc. 7,803 148 Kaydon Corp. 5,276 693 Lydall, Inc. (b) 8,371 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MACHINERY (Continued) 219 Mueller Industries, Inc. $ 8,219 91 Toro (The) Co. 4,898 156 Watts Water Technologies, Inc., Class A 5,231 ------------- 73,906 ------------- MEDIA -- 0.5% 1,144 E.W. Scripps (The) Co., Class A (b) 9,861 ------------- METALS & MINING -- 1.7% 163 A.M. Castle & Co. (b) 2,830 707 Century Aluminum Co. (b) 9,205 50 Kaiser Aluminum Corp. 2,791 299 Materion Corp. (b) 11,398 301 Olympic Steel, Inc. 7,871 ------------- 34,095 ------------- MULTILINE RETAIL -- 1.1% 766 Fred's, Inc., Class A 10,096 2,973 Tuesday Morning Corp. (b) 12,784 ------------- 22,880 ------------- MULTI-UTILITIES -- 1.4% 430 Avista Corp. 10,840 104 CH Energy Group, Inc. 5,311 334 NorthWestern Corp. 10,695 ------------- 26,846 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.0% 369 GeoResources, Inc. (b) 9,417 39 HollyFrontier Corp. 2,940 837 Penn Virginia Corp. 10,982 185 Petroleum Development Corp. (b) 6,719 1,182 PetroQuest Energy, Inc. (b) 9,610 273 Stone Energy Corp. (b) 8,862 223 Swift Energy Co. (b) 8,496 75 World Fuel Services Corp. 2,822 ------------- 59,848 ------------- PAPER & FOREST PRODUCTS -- 1.9% 202 Clearwater Paper Corp. (b) 15,279 390 Neenah Paper, Inc. 7,874 2,051 Wausau Paper Corp. 15,137 ------------- 38,290 ------------- PROFESSIONAL SERVICES -- 1.8% 670 Kelly Services, Inc., Class A (b) 10,485 1,054 Navigant Consulting, Inc. (b) 12,406 912 SFN Group, Inc. (b) 12,695 ------------- 35,586 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.8% 58 Entertainment Properties Trust 2,696 210 Franklin Street Properties Corp. 2,648 219 Getty Realty Corp. 5,081 See Notes to Financial Statements Page 119 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) REAL ESTATE INVESTMENT TRUSTS (Continued) 97 LTC Properties, Inc. $ 2,634 111 National Retail Properties, Inc. 2,785 ------------- 15,844 ------------- ROAD & RAIL -- 0.6% 114 Arkansas Best Corp. 2,743 334 Heartland Express, Inc. 5,117 325 Knight Transportation, Inc. 5,115 ------------- 12,975 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.5% 935 Advanced Energy Industries, Inc. (b) 9,920 677 ATMI, Inc. (b) 12,626 1,273 Brooks Automation, Inc. (b) 12,106 178 Cabot Microelectronics Corp. (b) 6,887 1,054 Cohu, Inc. 13,196 168 Cymer, Inc. (b) 7,397 523 MKS Instruments, Inc. 13,049 1,546 Pericom Semiconductor Corp. (b) 12,646 1,291 Rudolph Technologies, Inc. (b) 11,090 1,447 Sigma Designs, Inc. (b) 12,372 247 Supertex, Inc. (b) 4,787 807 Tessera Technologies, Inc. (b) 12,678 ------------- 128,754 ------------- SOFTWARE -- 0.6% 389 EPIQ Systems, Inc. 5,026 2,291 THQ, Inc. (b) 6,105 ------------- 11,131 ------------- SPECIALTY RETAIL -- 6.4% 1,759 Big 5 Sporting Goods Corp. 14,512 1,038 Brown Shoe Co., Inc. 10,484 288 Cato (The) Corp., Class A 8,012 311 Children's Place Retail Stores (The), Inc. (b) 15,028 134 Group 1 Automotive, Inc. 6,382 721 Haverty Furniture Cos., Inc. 7,996 138 Lithia Motors, Inc., Class A 2,848 1,409 OfficeMax, Inc. (b) 9,976 1,012 Pep Boys-Manny, Moe & Jack (The) 10,879 755 Sonic Automotive, Inc., Class A 11,831 823 Stage Stores, Inc. 14,649 1,434 Stein Mart, Inc. 13,623 ------------- 126,220 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 438 Perry Ellis International, Inc. (b) 10,236 955 Skechers U.S.A., Inc., Class A (b) 15,901 ------------- 26,137 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 292 Brookline Bancorp, Inc. $ 2,497 186 Dime Community Bancshares, Inc. 2,613 386 Provident Financial Services, Inc. 5,350 553 TrustCo Bank Corp. NY 2,555 ------------- 13,015 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 155 Applied Industrial Technologies, Inc. 4,948 76 Kaman Corp. 2,707 281 Lawson Products, Inc. 5,246 ------------- 12,901 ------------- WATER UTILITIES -- 0.3% 160 American States Water Co. 5,470 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 906 USA Mobility, Inc. 14,958 ------------- TOTAL INVESTMENTS -- 99.9% 1,977,460 (Cost $2,108,001) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 2,787 ------------- NET ASSETS -- 100.0% $ 1,980,247 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax purposes is $2,121,578. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $23,257 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $167,375. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,977,460 $ -- $ -- =================================== * See Portfolio of Investments for industry breakout. Page 120 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.7% 872 Aerovironment, Inc. (b) $ 25,140 403 Cubic Corp. 19,561 ------------- 44,701 ------------- AIR FREIGHT & LOGISTICS -- 1.0% 912 Forward Air Corp. 28,418 819 Hub Group, Inc., Class A (b) 29,058 ------------- 57,476 ------------- AIRLINES -- 0.3% 415 Allegiant Travel Co. (b) 17,857 ------------- BIOTECHNOLOGY -- 1.6% 1,644 ArQule, Inc. (b) 9,206 1,142 Cubist Pharmaceuticals, Inc. (b) 38,794 456 Emergent Biosolutions, Inc. (b) 9,416 725 Regeneron Pharmaceuticals, Inc. (b) 38,469 ------------- 95,885 ------------- BUILDING PRODUCTS -- 0.7% 243 A.O. Smith Corp. 10,077 941 AAON, Inc. 21,342 902 NCI Building Systems, Inc. (b) 10,184 ------------- 41,603 ------------- CHEMICALS -- 4.2% 939 Balchem Corp. 41,100 1,813 Calgon Carbon Corp. (b) 26,996 284 Hawkins, Inc. 9,775 813 Koppers Holdings, Inc. 30,097 1,227 LSB Industries, Inc. (b) 48,761 3,404 PolyOne Corp. 52,762 956 Quaker Chemical Corp. 38,756 ------------- 248,247 ------------- COMMERCIAL BANKS -- 1.2% 395 Bank of the Ozarks, Inc. 20,520 1,296 National Penn Bancshares, Inc. 10,420 539 Signature Bank (b) 31,887 245 UMB Financial Corp. 10,168 ------------- 72,995 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 561 Consolidated Graphics, Inc. (b) 28,942 632 Healthcare Services Group, Inc. 9,916 2,122 Interface, Inc., Class A 33,994 2,446 Sykes Enterprises, Inc. (b) 47,208 ------------- 120,060 ------------- COMMUNICATIONS EQUIPMENT -- 1.5% 321 DG Fastchannel, Inc. (b) 9,071 1,205 NETGEAR, Inc. (b) 39,656 1,103 Oplink Communications, Inc. (b) 18,619 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMUNICATIONS EQUIPMENT (Continued) 475 ViaSat, Inc. (b) $ 21,342 ------------- 88,688 ------------- COMPUTERS & PERIPHERALS -- 0.6% 2,555 Super Micro Computer, Inc. (b) 36,000 ------------- CONSUMER FINANCE -- 2.9% 910 Cash America International, Inc. 50,924 1,480 EZCORP, Inc., Class A (b) 49,254 979 First Cash Financial Services, Inc. (b) 42,361 470 World Acceptance Corp. (b) 29,949 ------------- 172,488 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.3% 462 American Public Education, Inc. (b) 21,053 565 Coinstar, Inc. (b) 27,606 1,303 Hillenbrand, Inc. 28,523 ------------- 77,182 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 242 Portfolio Recovery Associates, Inc. (b) 19,585 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 536 Atlantic Tele-Network, Inc. 20,245 777 Cbeyond, Inc. (b) 8,726 2,554 General Communication, Inc., Class A (b) 28,988 2,359 Neutral Tandem, Inc. (b) 36,163 ------------- 94,122 ------------- ELECTRICAL EQUIPMENT -- 1.3% 590 Belden, Inc. 21,742 1,606 II-VI, Inc. (b) 40,198 1,271 Vicor Corp. (b) 17,883 ------------- 79,823 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 8.5% 1,486 Cognex Corp. 50,450 952 Daktronics, Inc. 9,453 2,729 Electro Scientific Industries, Inc. (b) 52,424 1,202 FARO Technologies, Inc. (b) 48,994 1,379 FEI Co. (b) 45,562 897 Littelfuse, Inc. 45,828 1,100 Mercury Computer Systems, Inc. (b) 18,469 491 MTS Systems Corp. 19,350 2,262 Newport Corp. (b) 35,152 956 OSI Systems, Inc. (b) 39,473 1,181 Plexus Corp. (b) 34,851 602 Rofin-Sinar Technologies, Inc. (b) 18,891 1,140 Rogers Corp. (b) 55,267 See Notes to Financial Statements Page 121 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (Continued) 2,566 TTM Technologies, Inc. (b) $ 35,539 ------------- 509,703 ------------- ENERGY EQUIPMENT & SERVICES -- 1.7% 1,673 Basic Energy Services, Inc. (b) 54,189 1,086 ION Geophysical Corp. (b) 11,012 478 Lufkin Industries, Inc. 38,947 ------------- 104,148 ------------- FOOD & STAPLES RETAILING -- 0.7% 963 United Natural Foods, Inc. (b) 40,205 ------------- FOOD PRODUCTS -- 3.9% 1,993 B&G Foods, Inc., Class A 37,448 488 Calavo Growers, Inc. 10,087 2,975 Darling International, Inc. (b) 50,218 690 Diamond Foods, Inc. 49,397 1,232 Hain Celestial Group (The), Inc. (b) 39,831 1,425 Snyders-Lance, Inc. 29,084 376 TreeHouse Foods, Inc. (b) 19,417 ------------- 235,482 ------------- GAS UTILITIES -- 0.2% 188 South Jersey Industries, Inc. 9,494 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8% 1,352 Align Technology, Inc. (b) 29,731 194 Analogic Corp. 10,435 1,527 Cantel Medical Corp. 38,068 215 Integra LifeSciences Holdings (b) 9,690 2,287 Merit Medical Systems, Inc. (b) 35,838 909 Neogen Corp. (b) 37,596 929 Zoll Medical Corp. (b) 64,714 ------------- 226,072 ------------- HEALTH CARE PROVIDERS & SERVICES -- 5.7% 705 Air Methods Corp. (b) 49,420 747 AMERIGROUP Corp. (b) 41,085 156 Chemed Corp. 9,486 219 CorVel Corp. (b) 10,107 1,352 Ensign Group (The), Inc. 38,397 1,142 Healthspring, Inc. (b) 46,868 267 HMS Holdings Corp. (b) 20,185 887 IPC Hospitalist (The) Co. (b) 40,119 652 MWI Veterinary Supply, Inc. (b) 58,067 1,101 PSS World Medical, Inc. (b) 26,347 ------------- 340,081 ------------- HEALTH CARE TECHNOLOGY -- 1.3% 486 Computer Programs & Systems, Inc. 35,672 659 Omnicell, Inc. (b) 11,276 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE TECHNOLOGY (Continued) 353 Quality Systems, Inc. $ 32,250 ------------- 79,198 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.8% 25 Biglari Holdings, Inc. (b) 9,204 1,006 BJ's Restaurants, Inc. (b) 46,648 794 Buffalo Wild Wings, Inc. (b) 50,443 256 CEC Entertainment, Inc. 9,907 393 DineEquity, Inc. (b) 20,475 1,236 Papa John's International, Inc. (b) 38,576 534 Peet's Coffee & Tea, Inc. (b) 31,186 2,759 Pinnacle Entertainment, Inc. (b) 39,812 1,933 Sonic Corp. (b) 20,683 1,172 Texas Roadhouse, Inc. 19,362 ------------- 286,296 ------------- HOUSEHOLD DURABLES -- 0.2% 407 Universal Electronics, Inc. (b) 9,528 ------------- INSURANCE -- 0.2% 769 eHealth, Inc. (b) 9,959 ------------- INTERNET & CATALOG RETAIL -- 0.5% 936 HSN, Inc. (b) 30,598 ------------- INTERNET SOFTWARE & SERVICES -- 3.1% 793 comScore, Inc. (b) 17,295 895 DealerTrack Holdings, Inc. (b) 20,755 2,231 Liquidity Services, Inc. (b) 53,946 2,907 LivePerson, Inc. (b) 35,785 1,269 RightNow Technologies, Inc. (b) 43,070 770 Stamps.com, Inc. 12,897 ------------- 183,748 ------------- IT SERVICES -- 2.1% 1,753 Cardtronics, Inc. (b) 40,284 556 CSG Systems International, Inc. (b) 9,875 745 MAXIMUS, Inc. 28,779 975 TeleTech Holdings, Inc. (b) 19,295 592 Wright Express Corp. (b) 29,126 ------------- 127,359 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.0% 1,511 Brunswick Corp. 32,985 936 Sturm, Ruger & Co., Inc. 25,572 ------------- 58,557 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 436 PAREXEL International Corp. (b) 8,951 ------------- MACHINERY -- 3.6% 648 Cascade Corp. 32,394 720 CIRCOR International, Inc. 31,140 Page 122 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 435 CLARCOR, Inc. $ 19,166 855 EnPro Industries, Inc. (b) 39,535 1,064 John Bean Technologies Corp. 18,790 448 Lindsay Corp. 28,358 996 Robbins & Myers, Inc. 48,047 ------------- 217,430 ------------- MEDIA -- 0.2% 249 Arbitron, Inc. 9,741 ------------- METALS & MINING -- 1.3% 1,380 AMCOL International Corp. 42,311 1,071 RTI International Metals, Inc. (b) 34,347 ------------- 76,658 ------------- OIL, GAS & CONSUMABLE FUELS -- 0.8% 176 Contango Oil & Gas Co. (b) 11,102 1,038 Gulfport Energy Corp. (b) 37,846 ------------- 48,948 ------------- PAPER & FOREST PRODUCTS -- 1.2% 1,523 Buckeye Technologies, Inc. 40,954 1,860 KapStone Paper & Packaging Corp. (b) 28,997 ------------- 69,951 ------------- PERSONAL PRODUCTS -- 0.9% 866 Medifast, Inc. (b) 16,714 3,201 Prestige Brands Holdings, Inc. (b) 39,116 ------------- 55,830 ------------- PHARMACEUTICALS -- 2.1% 1,066 Hi-Tech Pharmacal Co., Inc. (b) 30,157 2,185 Questcor Pharmaceuticals, Inc. (b) 67,844 258 Salix Pharmaceuticals Ltd. (b) 10,005 1,111 ViroPharma, Inc. (b) 20,087 ------------- 128,093 ------------- PROFESSIONAL SERVICES -- 0.8% 472 Exponent, Inc. (b) 19,734 694 Insperity, Inc. 20,279 710 TrueBlue, Inc. (b) 10,657 ------------- 50,670 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.7% 505 Acadia Realty Trust 10,600 963 Extra Space Storage, Inc. 20,473 169 Home Properties, Inc. 11,073 520 Kilroy Realty Corp. 20,062 390 LaSalle Hotel Properties 9,754 3,376 Lexington Realty Trust 28,359 152 Mid-America Apartment Communities, Inc. 10,760 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 654 Pennsylvania Real Estate Investment Trust $ 9,548 1,008 Post Properties, Inc. 42,739 ------------- 163,368 ------------- ROAD & RAIL -- 0.9% 1,412 Old Dominion Freight Line, Inc. (b) 52,315 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.7% 1,729 CEVA, Inc. (b) 52,250 394 Diodes, Inc. (b) 9,279 332 Hittite Microwave Corp. (b) 18,589 4,363 Kopin Corp. (b) 18,761 4,727 Kulicke & Soffa Industries, Inc. (b) 43,488 1,002 Microsemi Corp. (b) 19,890 267 Power Integrations, Inc. 9,476 761 Standard Microsystems Corp. (b) 18,005 1,008 TriQuint Semiconductor, Inc. (b) 7,580 1,733 Ultratech, Inc. (b) 45,665 637 Veeco Instruments, Inc. (b) 25,346 417 Volterra Semiconductor Corp. (b) 10,746 ------------- 279,075 ------------- SOFTWARE -- 7.8% 371 Blackbaud, Inc. 9,423 1,248 Bottomline Technologies, Inc. (b) 29,066 925 CommVault Systems, Inc. (b) 35,816 880 Interactive Intelligence Group (b) 33,449 1,331 JDA Software Group, Inc. (b) 37,215 597 Manhattan Associates, Inc. (b) 22,268 324 MicroStrategy, Inc., Class A (b) 51,636 2,182 Monotype Imaging Holdings, Inc. (b) 29,893 1,475 Radiant Systems, Inc. (b) 41,580 1,037 Sourcefire, Inc. (b) 25,490 648 Synchronoss Technologies, Inc. (b) 18,954 3,446 Take-Two Interactive Software, Inc. (b) 46,487 832 Taleo Corp., Class A (b) 27,539 1,151 Tyler Technologies, Inc. (b) 29,339 1,187 Websense, Inc. (b) 26,921 ------------- 465,076 ------------- SPECIALTY RETAIL -- 7.8% 481 Buckle (The), Inc. 21,313 1,514 Cabela's, Inc. (b) 41,423 1,921 Finish Line (The), Inc., Class A 40,917 1,011 Genesco, Inc. (b) 52,370 1,010 Hibbett Sports, Inc. (b) 39,632 616 JoS. A. Bank Clothiers, Inc. (b) 31,607 405 Lumber Liquidators Holdings, Inc. (b) 6,363 1,563 Men's Wearhouse (The), Inc. 51,251 827 Monro Muffler Brake, Inc. 29,573 949 Rue21, Inc. (b) 31,194 2,929 Select Comfort Corp. (b) 49,266 See Notes to Financial Statements Page 123 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 1,151 Vitamin Shoppe, Inc. (b) $ 50,138 823 Zumiez, Inc. (b) 21,867 ------------- 466,914 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 5.7% 668 Carter's, Inc. (b) 22,378 2,045 Crocs, Inc. (b) 64,069 1,698 Iconix Brand Group, Inc. (b) 39,614 1,114 Maidenform Brands, Inc. (b) 28,797 1,217 Oxford Industries, Inc. 47,682 1,404 Steven Madden, Ltd. (b) 53,493 1,413 True Religion Apparel, Inc. (b) 47,604 984 Wolverine World Wide, Inc. 37,264 ------------- 340,901 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 1,006 NTELOS Holdings Corp. 19,536 ------------- TOTAL INVESTMENTS -- 99.9% 5,970,597 (Cost $6,146,451) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 6,800 ------------- NET ASSETS -- 100.0% $ 5,977,397 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax purposes is $6,169,117. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $153,321 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $351,841. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $5,970,597 $ -- $ -- =================================== * See Portfolio of Investments for industry breakout. Page 124 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.6% 431 Honeywell International, Inc. $ 22,886 ------------- AUTOMOBILES -- 2.5% 3,375 General Motors Co. (b) 93,420 ------------- BEVERAGES -- 0.6% 364 PepsiCo, Inc. 23,311 ------------- BIOTECHNOLOGY -- 1.9% 1,317 Amgen, Inc. (b) 72,040 ------------- CAPITAL MARKETS -- 0.7% 193 Goldman Sachs Group (The), Inc. 26,049 ------------- CHEMICALS -- 0.6% 475 E.I. du Pont de Nemours & Co. 24,424 ------------- COMMERCIAL BANKS -- 1.2% 859 PNC Financial Services Group, Inc. 46,635 ------------- COMMUNICATIONS EQUIPMENT -- 3.4% 6,564 Cisco Systems, Inc. 104,827 452 QUALCOMM, Inc. 24,761 ------------- 129,588 ------------- COMPUTERS & PERIPHERALS -- 7.8% 7,684 Dell, Inc. (b) 124,788 2,790 EMC Corp. (b) 72,763 2,815 Hewlett-Packard Co. 98,976 ------------- 296,527 ------------- CONSUMER FINANCE -- 2.0% 1,486 American Express Co. 74,359 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.3% 1,251 JPMorgan Chase & Co. 50,603 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.2% 4,078 AT&T, Inc. 119,322 ------------- ENERGY EQUIPMENT & SERVICES -- 5.8% 1,412 Baker Hughes, Inc. 109,260 2,009 Halliburton Co. 109,953 ------------- 219,213 ------------- FOOD & STAPLES RETAILING -- 6.5% 1,261 Costco Wholesale Corp. 98,673 683 CVS Caremark Corp. 24,827 1,810 Walgreen Co. 70,662 964 Wal-Mart Stores, Inc. 50,813 ------------- 244,975 ------------- FOOD PRODUCTS -- 2.0% 2,181 Kraft Foods, Inc., Class A 74,983 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 430 Baxter International, Inc. $ 25,013 666 Medtronic, Inc. 24,009 ------------- 49,022 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 2,483 UnitedHealth Group, Inc. 123,231 ------------- INSURANCE -- 2.0% 1,747 American International Group, Inc. (b) 50,139 404 Prudential Financial, Inc. 23,707 ------------- 73,846 ------------- INTERNET & CATALOG RETAIL -- 3.7% 627 Amazon.com, Inc. (b) 139,520 ------------- IT SERVICES -- 4.7% 2,120 Accenture PLC, Class A 125,377 170 MasterCard, Inc., Class A 51,552 ------------- 176,929 ------------- MACHINERY -- 2.5% 964 Caterpillar, Inc. 95,234 ------------- MEDIA -- 4.0% 2,022 Comcast Corp., Class A 48,568 2,016 DIRECTV, Class A (b) 102,171 ------------- 150,739 ------------- METALS & MINING -- 2.0% 1,453 Freeport-McMoRan Copper & Gold, Inc. 76,951 ------------- MULTILINE RETAIL -- 2.2% 1,638 Target Corp. 84,341 ------------- OIL, GAS & CONSUMABLE FUELS -- 17.3% 830 Apache Corp. 102,687 1,245 Chevron Corp. 129,505 1,704 ConocoPhillips 122,671 326 Devon Energy Corp. 25,656 1,259 Exxon Mobil Corp. 100,456 4,005 Marathon Oil Corp. 124,035 493 Occidental Petroleum Corp. 48,403 ------------- 653,413 ------------- PHARMACEUTICALS -- 4.7% 3,413 Eli Lilly & Co. 130,718 2,487 Pfizer, Inc. 47,850 ------------- 178,568 ------------- ROAD & RAIL -- 1.3% 492 Union Pacific Corp. 50,420 ------------- See Notes to Financial Statements Page 125 FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) JULY 31, 2011 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (Continued) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.3% 5,780 Intel Corp. $ 129,067 2,341 Texas Instruments, Inc. 69,645 ------------- 198,712 ------------- SOFTWARE -- 4.2% 2,956 Microsoft Corp. 80,995 768 VMware, Inc., Class A (b) 77,061 ------------- 158,056 ------------- SPECIALTY RETAIL -- 1.3% 2,198 Lowe's Cos., Inc. 47,433 ------------- TOTAL INVESTMENTS -- 99.9% 3,774,750 (Cost $3,948,489) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 2,604 ------------- NET ASSETS -- 100.0% $ 3,777,354 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax purposes is $3,963,890. As of July 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,867 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $200,007. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $3,774,750 $ -- $ -- =================================== * See Portfolio of Investments for industry breakout. Page 126 See Notes to Financial Statements This page is intentionally left blank. Page 127 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2011
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 626,155,064 $ 249,824,554 $ 168,710,901 Cash................................................................ -- -- -- Restricted cash..................................................... -- 495,383 -- Receivables: Capital shares sold........................................... -- -- 2,393,657 Investment securities sold.................................... 6,406,011 -- -- Dividends..................................................... 196,720 171,143 120,629 Interest...................................................... 5 1 2 Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 3,140 1,735 1,979 -------------- -------------- -------------- TOTAL ASSETS............................................... 632,760,940 250,492,816 171,227,168 -------------- -------------- -------------- LIABILITIES: Payables: Capital shares redeemed....................................... 6,405,416 495,383 -- Investment securities purchased............................... -- -- 2,393,178 Licensing fees................................................ 317,870 56,632 90,497 Investment advisory fees...................................... 256,305 80,104 62,093 Printing fees................................................. 33,261 4,876 9,045 Audit and tax fees............................................ 27,500 27,500 27,500 Other liabilities................................................... 124,853 47,704 34,467 -------------- -------------- -------------- TOTAL LIABILITIES.......................................... 7,165,205 712,199 2,616,780 -------------- -------------- -------------- NET ASSETS.......................................................... $ 625,595,735 $ 249,780,617 $ 168,610,388 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 619,389,794 $ 253,974,899 $ 173,829,249 Par value........................................................... 293,000 102,000 71,000 Accumulated net investment income (loss)............................ -- 65,618 1,276 Accumulated net realized gain (loss) on investments................. (22,057,406) (2,485,676) (9,899,290) Net unrealized appreciation (depreciation) on investments........... 27,970,347 (1,876,224) 4,608,153 -------------- -------------- -------------- NET ASSETS.......................................................... $ 625,595,735 $ 249,780,617 $ 168,610,388 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 21.35 $ 24.49 $ 23.75 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 29,300,002 10,200,002 7,100,002 ============== ============== ============== Investments at cost................................................. $ 598,184,717 $ 251,700,778 $ 164,102,748 ============== ============== ==============
Page 128 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 ---------------- ---------------- ---------------- ---------------- ---------------- $ 100,591,413 $ 241,325,640 $ 65,978,009 $ 589,216,270 $ 197,780,732 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 101,434,149 -- 3,552,325 6,545,958 63,031 98,636 39,459 172,168 11,652 2 1 5 13 3 1,599 -- -- -- -- 2,823 2,064 1,790 3,173 2,077 -------------- -------------- -------------- -------------- -------------- 100,658,868 342,860,490 66,019,263 592,943,949 204,340,422 -------------- -------------- -------------- -------------- -------------- -- 101,407,522 -- 3,633,019 6,544,313 -- -- -- -- -- 138,149 103,118 35,470 328,905 107,817 56,676 111,582 23,912 247,595 75,754 19,590 9,469 4,010 35,053 11,289 27,500 27,500 27,500 27,500 27,500 37,448 65,949 15,751 122,781 44,571 -------------- -------------- -------------- -------------- -------------- 279,363 101,725,140 106,643 4,394,853 6,811,244 -------------- -------------- -------------- -------------- -------------- $ 100,379,505 $ 241,135,350 $ 65,912,620 $ 588,549,096 $ 197,529,178 ============== ============== ============== ============== ============== $ 115,855,645 $ 259,365,817 $ 70,502,677 $ 579,566,780 $ 222,319,720 71,500 84,500 36,500 243,000 90,550 2 -- 11,165 -- -- (8,147,276) (5,881,363) (4,668,798) (14,571,605) (12,742,588) (7,400,366) (12,433,604) 31,076 23,310,921 (12,138,504) -------------- -------------- -------------- -------------- -------------- $ 100,379,505 $ 241,135,350 $ 65,912,620 $ 588,549,096 $ 197,529,178 ============== ============== ============== ============== ============== $ 14.04 $ 28.54 $ 18.06 $ 24.22 $ 21.81 ============== ============== ============== ============== ============== 7,150,002 8,450,002 3,650,002 24,300,002 9,055,000 ============== ============== ============== ============== ============== $ 107,991,779 $ 253,759,244 $ 65,946,933 $ 565,905,349 $ 209,919,236 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 129 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF ASSETS AND LIABILITIES (Continued) JULY 31, 2011
FIRST TRUST FIRST TRUST FIRST TRUST UTILITIES LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 87,314,753 $ 273,954,482 $ 319,701,898 Cash................................................................ -- -- -- Restricted cash..................................................... -- -- -- Receivables: Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- 2,823,419 -- Dividends..................................................... 164,394 211,788 105,358 Interest...................................................... 1 12 2 Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 1,787 2,168 2,132 -------------- -------------- -------------- TOTAL ASSETS............................................... 87,480,935 276,991,869 319,809,390 -------------- -------------- -------------- LIABILITIES: Payables: Capital shares redeemed....................................... -- 2,837,941 -- Investment securities purchased............................... -- -- -- Licensing fees................................................ 34,457 33,588 35,438 Investment advisory fees...................................... 29,823 158,985 174,978 Printing fees................................................. 3,943 13,047 13,477 Audit and tax fees............................................ 27,500 27,500 27,500 Other liabilities................................................... 18,901 59,415 66,506 -------------- -------------- -------------- TOTAL LIABILITIES.......................................... 114,624 3,130,476 317,899 -------------- -------------- -------------- NET ASSETS.......................................................... $ 87,366,311 $ 273,861,393 $ 319,491,491 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 91,016,910 $ 284,702,468 $ 332,562,122 Par value........................................................... 49,500 96,500 93,500 Accumulated net investment income (loss)............................ 160,849 101,577 -- Accumulated net realized gain (loss) on investments................. (3,582,617) (11,189,273) (9,967,500) Net unrealized appreciation (depreciation) on investments........... (278,331) 150,121 (3,196,631) -------------- -------------- -------------- NET ASSETS.......................................................... $ 87,366,311 $ 273,861,393 $ 319,491,491 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 17.65 $ 28.38 $ 34.17 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 4,950,002 9,650,002 9,350,002 ============== ============== ============== Investments at cost................................................. $ 87,593,084 $ 273,804,361 $ 322,898,529 ============== ============== ==============
Page 130 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ---------------- ---------------- $ 117,479,177 $ 178,052,811 $ 139,432,488 $ 39,504,384 $ 38,081,481 -- -- -- -- -- -- -- -- -- -- 1,550,128 1,378,194 -- -- -- 9,714,746 -- -- -- 62,470 41,138 190,545 51,275 29,953 9,077 1 6 1 -- 1 -- -- -- -- -- 1,851 2,008 1,859 1,679 1,512 -------------- -------------- -------------- -------------- -------------- 128,787,041 179,623,564 139,485,623 39,536,016 38,154,541 -------------- -------------- -------------- -------------- -------------- 9,294,706 -- -- -- -- 1,811,823 1,376,396 -- -- 106,861 21,869 25,328 22,988 12,413 9,766 65,698 95,230 74,250 11,646 7,021 6,817 8,816 7,449 2,285 1,485 27,500 27,500 27,500 27,500 27,500 28,992 38,352 30,968 12,326 12,103 -------------- -------------- -------------- -------------- -------------- 11,257,405 1,571,622 163,155 66,170 164,736 -------------- -------------- -------------- -------------- -------------- $ 117,529,636 $ 178,051,942 $ 139,322,468 $ 39,469,846 $ 37,989,805 ============== ============== ============== ============== ============== $ 125,334,495 $ 194,273,460 $ 152,090,304 $ 44,256,562 $ 42,282,532 38,000 65,500 47,500 13,500 12,000 -- 178,765 -- 19,526 -- (7,988,939) (10,428,454) (19,061,357) (3,741,979) (5,336,979) 146,080 (6,037,329) 6,246,021 (1,077,763) 1,032,252 -------------- -------------- -------------- -------------- -------------- $ 117,529,636 $ 178,051,942 $ 139,322,468 $ 39,469,846 $ 37,989,805 ============== ============== ============== ============== ============== $ 30.93 $ 27.18 $ 29.33 $ 29.24 $ 31.66 ============== ============== ============== ============== ============== 3,800,002 6,550,002 4,750,002 1,350,002 1,200,002 ============== ============== ============== ============== ============== $ 117,333,097 $ 184,090,140 $ 133,186,467 $ 40,582,147 $ 37,049,229 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 131 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF ASSETS AND LIABILITIES (Continued) JULY 31, 2011
FIRST TRUST FIRST TRUST FIRST TRUST MID CAP VALUE MID CAP GROWTH SMALL CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 1,926,298 $ 6,968,341 $ 1,977,460 Cash................................................................ 1,362 9,672 3,011 Restricted cash..................................................... -- -- -- Receivables: Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- -- -- Dividends..................................................... 856 1,383 1,055 Interest...................................................... -- -- -- Reclaims...................................................... -- -- -- Prepaid expenses.................................................... -- -- -- -------------- -------------- -------------- TOTAL ASSETS............................................... 1,928,516 6,979,396 1,981,526 -------------- -------------- -------------- LIABILITIES: Payables: Capital shares redeemed....................................... -- -- -- Investment securities purchased............................... -- -- -- Licensing fees................................................ -- -- -- Investment advisory fees...................................... 1,257 3,352 1,279 Printing fees................................................. -- -- -- Audit and tax fees............................................ -- -- -- Other liabilities................................................... -- -- -- -------------- -------------- -------------- TOTAL LIABILITIES.......................................... 1,257 3,352 1,279 -------------- -------------- -------------- NET ASSETS.......................................................... $ 1,927,259 $ 6,976,044 $ 1,980,247 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 2,101,113 $ 7,391,652 $ 2,127,834 Par value........................................................... 1,000 3,500 1,000 Accumulated net investment income (loss)............................ 242 -- 295 Accumulated net realized gain (loss) on investments................. (14,543) (50,613) (18,341) Net unrealized appreciation (depreciation) on investments........... (160,553) (368,495) (130,541) -------------- -------------- -------------- NET ASSETS.......................................................... $ 1,927,259 $ 6,976,044 $ 1,980,247 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 19.27 $ 19.93 $ 19.80 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 100,002 350,002 100,002 ============== ============== ============== Investments at cost................................................. $ 2,086,851 $ 7,336,836 $ 2,108,001 ============== ============== ==============
Page 132 See Notes to Financial Statements
FIRST TRUST FIRST TRUST SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- $ 5,970,597 $ 3,774,750 10,764 376 -- -- -- -- 48,841 -- 636 4,331 -- -- -- -- -- -- -------------- -------------- 6,030,838 3,779,457 -------------- -------------- -- -- 49,949 -- -- -- 3,492 2,103 -- -- -- -- -- -- -------------- -------------- 53,441 2,103 -------------- -------------- $ 5,977,397 $ 3,777,354 ============== ============== $ 6,220,489 $ 3,986,087 3,000 2,000 - 2,568 (70,238) (39,562) (175,854) (173,739) -------------- -------------- $ 5,977,397 $ 3,777,354 ============== ============== $ 19.92 $ 18.89 ============== ============== 300,002 200,002 ============== ============== $ 6,146,451 $ 3,948,489 ============== ==============
See Notes to Financial Statements Page 133 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF OPERATIONS
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- For the For the For the Year Ended Year Ended Year Ended July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- INVESTMENT INCOME: Dividends........................................................... $ 4,790,825 $ 1,039,792 $ 1,276,972 Foreign tax withholding............................................. -- -- (1,474) Interest............................................................ 43 33 21 -------------- -------------- -------------- Total investment income....................................... 4,790,868 1,039,825 1,275,519 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 2,110,416 346,753 568,051 Licensing fees...................................................... 422,083 69,351 113,610 Accounting and administration fees.................................. 213,437 36,206 58,502 Legal fees.......................................................... 67,121 7,785 15,774 Printing fees....................................................... 61,853 9,062 17,633 Custodian fees...................................................... 52,760 8,669 14,202 Registration and filing fees........................................ 46,924 24,716 11,416 Transfer agent fees................................................. 25,539 4,862 7,754 Audit and tax fees.................................................. 24,000 24,000 24,000 Listing fees........................................................ 8,381 8,380 8,380 Trustees' fees and expenses......................................... 6,720 987 1,892 Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 24,840 3,696 7,049 -------------- -------------- -------------- Total expenses................................................ 3,064,074 544,467 848,263 Less fees waived and expenses reimbursed by the investment advisor......................................... (109,492) (59,013) (52,991) -------------- -------------- -------------- Net expenses.................................................. 2,954,582 485,454 795,272 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,836,286 554,371 480,247 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (12,029,532) (828,955) (3,381,012) In-kind redemptions........................................... 79,124,288 11,264,775 23,819,907 -------------- -------------- -------------- Net realized gain (loss)............................................ 67,094,756 10,435,820 20,438,895 Net change in unrealized appreciation (depreciation) on investments. 24,000,362 (3,235,197) 6,164,891 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 91,095,118 7,200,623 26,603,786 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 92,931,404 $ 7,754,994 $ 27,084,033 ============== ============== ==============
Page 134 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 ---------------- ---------------- ---------------- ---------------- ---------------- For the For the For the For the For the Year Ended Year Ended Year Ended Year Ended Year Ended July 31, 2011 July 31, 2011 July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- -------------- -------------- $ 5,449,009 $ 888,125 $ 586,005 $ 6,466,607 $ 801,630 (6,051) -- (382) -- -- 63 41 21 100 49 -------------- -------------- -------------- -------------- -------------- 5,443,021 888,166 585,644 6,466,707 801,679 -------------- -------------- -------------- -------------- -------------- 1,145,144 625,721 249,672 2,206,911 711,005 229,029 125,144 49,934 441,382 142,201 117,247 64,484 27,189 222,369 73,142 53,921 14,483 7,371 72,995 21,236 45,527 15,632 9,022 67,336 21,896 28,629 15,643 6,242 55,173 17,775 499 31,969 3,599 45,675 16,704 16,857 8,124 4,065 26,566 9,925 24,000 24,000 24,000 24,000 24,000 8,380 8,380 8,380 8,380 8,380 4,723 1,992 916 7,155 2,491 -- -- -- -- -- 20,087 6,980 4,310 25,903 8,751 -------------- -------------- -------------- -------------- -------------- 1,694,043 942,552 394,700 3,203,845 1,057,506 (90,841) (66,543) (45,159) (114,169) (62,099) -------------- -------------- -------------- -------------- -------------- 1,603,202 876,009 349,541 3,089,676 995,407 -------------- -------------- -------------- -------------- -------------- 3,839,819 12,157 236,103 3,377,031 (193,728) -------------- -------------- -------------- -------------- -------------- (4,814,612) (1,691,164) (1,357,251) (5,918,527) (6,849,074) 46,905,578 18,188,248 7,136,056 45,975,161 22,829,628 -------------- -------------- -------------- -------------- -------------- 42,090,966 16,497,084 5,778,805 40,056,634 15,980,554 (11,001,578) (11,998,114) (1,837,646) 18,413,551 (13,796,850) -------------- -------------- -------------- -------------- -------------- 31,089,388 4,498,970 3,941,159 58,470,185 2,183,704 -------------- -------------- -------------- -------------- -------------- $ 34,929,207 $ 4,511,127 $ 4,177,262 $ 61,847,216 $ 1,989,976 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 135 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF OPERATIONS (Continued)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP MID CAP UTILITIES CORE CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- For the For the For the Year Ended Year Ended Year Ended July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- INVESTMENT INCOME: Dividends........................................................... $ 1,748,910 $ 2,933,105 $ 1,980,179 Foreign tax withholding............................................. -- -- -- Interest............................................................ 12 15 34 -------------- -------------- -------------- Total investment income....................................... 1,748,922 2,933,120 1,980,213 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 251,831 841,523 871,228 Licensing fees...................................................... 50,366 90,389 92,402 Accounting and administration fees.................................. 26,873 89,245 91,402 Legal fees.......................................................... 7,914 24,967 25,236 Printing fees....................................................... 8,664 21,299 23,435 Custodian fees...................................................... 6,296 21,038 21,781 Registration and filing fees........................................ 6,004 23,648 28,162 Transfer agent fees................................................. 4,018 12,835 12,418 Audit and tax fees.................................................. 24,000 24,000 24,000 Listing fees........................................................ 8,380 8,380 8,380 Trustees' fees and expenses......................................... 925 2,728 2,838 Expenses previously waived or reimbursed............................ -- 8,201 8,722 Other expenses...................................................... 4,014 9,880 9,716 -------------- -------------- -------------- Total expenses................................................ 399,285 1,178,133 1,219,720 Less fees waived and expenses reimbursed by the investment advisor......................................... (46,722) -- -- -------------- -------------- -------------- Net expenses.................................................. 352,563 1,178,133 1,219,720 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,396,359 1,754,987 760,493 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (1,170,670) (5,339,209) (5,161,039) In-kind redemptions........................................... 6,885,066 19,434,181 25,998,821 -------------- -------------- -------------- Net realized gain (loss)............................................ 5,714,396 14,094,972 20,837,782 Net change in unrealized appreciation (depreciation) on investments. (1,071,266) (841,369) (4,250,084) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 4,643,130 13,253,603 16,587,698 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 6,039,489 $ 15,008,590 $ 17,348,191 ============== ============== ==============
Page 136 See Notes to Financial Statements
FIRST TRUST SMALL CAP FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ---------------- ---------------- For the For the For the For the For the Year Ended Year Ended Year Ended Year Ended Year Ended July 31, 2011 July 31, 2011 July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- -------------- -------------- $ 815,559 $ 2,453,403 $ 1,225,718 $ 538,563 $ 171,712 -- -- -- -- -- 21 25 16 9 7 -------------- -------------- -------------- -------------- -------------- 815,580 2,453,428 1,225,734 538,572 171,719 -------------- -------------- -------------- -------------- -------------- 432,279 564,537 475,890 145,061 95,125 60,744 70,369 63,831 29,012 19,025 49,081 59,590 50,655 21,907 16,156 13,050 17,317 14,355 4,515 3,118 13,589 14,906 13,219 4,328 3,383 10,807 14,113 11,897 3,627 2,378 9,166 13,813 10,274 1,735 3,249 8,405 8,372 7,131 6,027 4,993 24,000 24,000 24,000 24,000 24,000 8,380 8,380 8,380 8,380 8,380 1,466 1,926 1,613 559 318 -- -- -- -- -- 5,540 8,564 7,616 2,733 1,250 -------------- -------------- -------------- -------------- -------------- 636,507 805,887 688,861 251,884 181,375 (31,316) (15,536) (22,615) (48,799) (48,197) -------------- -------------- -------------- -------------- -------------- 605,191 790,351 666,246 203,085 133,178 -------------- -------------- -------------- -------------- -------------- 210,389 1,663,077 559,488 335,487 38,541 -------------- -------------- -------------- -------------- -------------- (3,636,248) (2,971,455) (4,086,186) (1,043,202) (835,844) 16,664,867 16,646,051 11,027,923 5,119,882 2,808,402 -------------- -------------- -------------- -------------- -------------- 13,028,619 13,674,596 6,941,737 4,076,680 1,972,558 (902,356) (6,010,004) 4,069,109 (642,034) 226,026 -------------- -------------- -------------- -------------- -------------- 12,126,263 7,664,592 11,010,846 3,434,646 2,198,584 -------------- -------------- -------------- -------------- -------------- $ 12,336,652 $ 9,327,669 $ 11,570,334 $ 3,770,133 $ 2,237,125 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 137 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF OPERATIONS (Continued)
FIRST TRUST FIRST TRUST FIRST TRUST MID CAP VALUE MID CAP GROWTH SMALL CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- For the Period For the Period For the Period April 19, 2011 (a) April 19, 2011 (a) April 19, 2011 (a) through through through July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- INVESTMENT INCOME: Dividends........................................................... $ 8,305 $ 4,570 $ 7,364 Foreign tax withholding............................................. -- -- -- Interest............................................................ -- -- -- -------------- -------------- -------------- Total investment income....................................... 8,305 4,570 7,364 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 4,043 6,155 4,049 Licensing fees...................................................... -- -- -- Accounting and administration fees.................................. -- -- -- Legal fees.......................................................... -- -- -- Printing fees....................................................... -- -- -- Custodian fees...................................................... -- -- -- Registration and filing fees........................................ -- -- -- Transfer agent fees................................................. -- -- -- Audit and tax fees.................................................. -- -- -- Listing fees........................................................ -- -- -- Trustees' fees and expenses......................................... -- -- -- Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... -- -- -- -------------- -------------- -------------- Total expenses................................................ 4,043 6,155 4,049 Less fees waived and expenses reimbursed by the investment advisor......................................... -- -- -- -------------- -------------- -------------- Net expenses.................................................. 4,043 6,155 4,049 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 4,262 (1,585) 3,315 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (14,590) (53,172) (18,342) In-kind redemptions........................................... 88,482 89,952 123,881 -------------- -------------- -------------- Net realized gain (loss)............................................ 73,892 36,780 105,539 Net change in unrealized appreciation (depreciation) on investments. (160,553) (368,495) (130,541) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (86,661) (331,715) (25,002) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ (82,399) $ (333,300) $ (21,687) ============== ============== ==============
(a) Inception date. Page 138 See Notes to Financial Statements
FIRST TRUST FIRST TRUST SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- For the Period For the Period April 19, 2011 (a) May 11, 2011 (a) through through July 31, 2011 July 31, 2011 -------------- -------------- $ 3,765 $ 8,252 -- -- -- -- -------------- -------------- 3,765 8,252 -------------- -------------- 7,708 3,934 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- 7,708 3,934 -- -- -------------- -------------- 7,708 3,934 -------------- -------------- (3,943) 4,318 -------------- -------------- (71,443) (41,711) 99,606 31,574 -------------- -------------- 28,163 (10,137) (175,854) (173,739) -------------- -------------- (147,691) (183,876) -------------- -------------- $ (151,634) $ (179,558) ============== ==============
See Notes to Financial Statements Page 139 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- OPERATIONS: Net investment income (loss).............................. $ 1,836,286 $ 324,918 $ 554,371 $ 219,126 Net realized gain (loss).................................. 67,094,756 (3,778,801) 10,435,820 1,297,636 Net change in unrealized appreciation (depreciation)...... 24,000,362 3,257,829 (3,235,197) 371,386 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations........................................ 92,931,404 (196,054) 7,754,994 1,888,148 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (1,938,170) (324,928) (519,675) (199,620) Return of capital......................................... -- (12,472) -- -- ------------- ------------- ------------- ------------- Total distributions to shareholders....................... (1,938,170) (337,400) (519,675) (199,620) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 748,121,746 182,184,649 282,498,516 25,961,772 Cost of shares redeemed................................... (350,374,014) (51,182,841) (65,359,227) (11,261,485) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 397,747,732 131,001,808 217,139,289 14,700,287 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets................... 488,740,966 130,468,354 224,374,608 16,388,815 NET ASSETS: Beginning of period....................................... 136,854,769 6,386,415 25,406,009 9,017,194 ------------- ------------- ------------- ------------- End of period............................................. $ 625,595,735 $ 136,854,769 $ 249,780,617 $ 25,406,009 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period....................................... $ -- $ -- $ 65,618 $ 30,922 ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 8,600,002 500,002 1,350,002 550,002 Shares sold............................................... 37,350,000 11,250,000 11,650,000 1,400,000 Shares redeemed........................................... (16,650,000) (3,150,000) (2,800,000) (600,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period......................... 29,300,002 8,600,002 10,200,002 1,350,002 ============= ============= ============= =============
Page 140 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 480,247 $ 129,391 $ 3,839,819 $ 896,443 $ 12,157 $ (71,085) $ 236,103 $ 176,058 20,438,895 1,949,726 42,090,966 (1,340,248) 16,497,084 6,212,490 5,778,805 1,195,251 6,164,891 (2,663,698) (11,001,578) 2,789,910 (11,998,114) (2,829,054) (1,837,646) 1,033,084 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 27,084,033 (584,581) 34,929,207 2,346,105 4,511,127 3,312,351 4,177,262 2,404,393 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- (480,290) (128,295) (4,076,241) (694,470) (419,500) -- (252,090) (154,530) -- -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- (480,290) (128,295) (4,076,241) (694,470) (419,500) -- (252,090) (154,530) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 211,285,734 71,105,404 372,456,598 173,946,227 341,874,444 66,246,325 65,434,780 37,130,121 (113,428,238) (35,773,935) (429,186,698) (57,636,511) (152,270,043) (37,134,602) (34,292,004) (13,946,980) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 97,857,496 35,331,469 (56,730,100) 116,309,716 189,604,401 29,111,723 31,142,776 23,183,141 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 124,461,239 34,618,593 (25,877,134) 117,961,351 193,696,028 32,424,074 35,067,948 25,433,004 44,149,149 9,530,556 126,256,639 8,295,288 47,439,322 15,015,248 30,844,672 5,411,668 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 168,610,388 $ 44,149,149 $ 100,379,505 $ 126,256,639 $ 241,135,350 $ 47,439,322 $ 65,912,620 $ 30,844,672 ============= ============= ============= ============= ============= ============= ============= ============= $ 1,276 $ 1,319 $ 2 $ 218,408 $ -- $ -- $ 11,165 $ 27,152 ============= ============= ============= ============= ============= ============= ============= ============= 2,750,002 700,002 9,700,002 800,002 2,200,002 850,002 2,000,002 450,002 9,400,000 4,200,000 26,150,000 13,350,000 11,700,000 3,000,000 3,500,000 2,450,000 (5,050,000) (2,150,000) (28,700,000) (4,450,000) (5,450,000) (1,650,000) (1,850,000) (900,000) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 7,100,002 2,750,002 7,150,002 9,700,002 8,450,002 2,200,002 3,650,002 2,000,002 ============= ============= ============= ============= ============= ============= ============= =============
See Notes to Financial Statements Page 141 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FIRST TRUST FIRST TRUST MATERIALS TECHNOLOGY ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- OPERATIONS: Net investment income (loss).............................. $ 3,377,031 $ 935,862 $ (193,728) $ (133,383) Net realized gain (loss).................................. 40,056,634 210,077 15,980,554 3,400,314 Net change in unrealized appreciation (depreciation)...... 18,413,551 2,901,908 (13,796,850) (95,348) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations........................................ 61,847,216 4,047,847 1,989,976 3,171,583 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (6,954,230) (880,891) (30,330) -- Return of capital......................................... -- -- -- -- ------------- ------------- ------------- ------------- Total distributions to shareholders....................... (6,954,230) (880,891) (30,330) -- ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 663,106,313 247,467,583 247,389,281 76,157,794 Cost of shares redeemed................................... (278,289,444) (111,717,290) (111,695,006) (31,828,533) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 384,816,869 135,750,293 135,694,275 44,329,261 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets................... 439,709,855 138,917,249 137,653,921 47,500,844 NET ASSETS: Beginning of period....................................... 148,839,241 9,921,992 59,875,257 12,374,413 ------------- ------------- ------------- ------------- End of period............................................. $ 588,549,096 $ 148,839,241 $ 197,529,178 $ 59,875,257 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period....................................... $ -- $ 61,080 $ -- $ -- ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 7,450,002 650,002 3,305,000 855,000 Shares sold............................................... 28,450,000 12,400,000 10,650,000 4,200,000 Shares redeemed........................................... (11,600,000) (5,600,000) (4,900,000) (1,750,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period......................... 24,300,002 7,450,002 9,055,000 3,305,000 ============= ============= ============= =============
Page 142 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST UTILITIES LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 1,396,359 $ 726,235 $ 1,754,987 $ 425,805 $ 760,493 $ 265,177 $ 210,389 $ 88,450 5,714,396 1,450,582 14,094,972 4,196,921 20,837,782 3,582,859 13,028,619 1,991,493 (1,071,266) 540,017 (841,369) (528,547) (4,250,084) (189,048) (902,356) 316,173 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 6,039,489 2,716,834 15,008,590 4,094,179 17,348,191 3,658,988 12,336,652 2,396,116 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- (1,292,371) (696,815) (1,696,550) (387,051) (829,065) (237,580) (276,075) (79,005) -- -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- (1,292,371) (696,815) (1,696,550) (387,051) (829,065) (237,580) (276,075) (79,005) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 94,385,800 28,126,503 319,894,079 72,468,440 373,773,117 72,256,537 142,546,748 44,459,145 (42,603,726) (12,968,948) (117,559,030) (31,681,238) (127,719,332) (27,558,349) (74,552,757) (17,608,287) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 51,782,074 15,157,555 202,335,049 40,787,202 246,053,785 44,698,188 67,993,991 26,850,858 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 56,529,192 17,177,574 215,647,089 44,494,330 262,572,911 48,119,596 80,054,568 29,167,969 30,837,119 13,659,545 58,214,304 13,719,974 56,918,580 8,798,984 37,475,068 8,307,099 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 87,366,311 $ 30,837,119 $ 273,861,393 $ 58,214,304 $ 319,491,491 $ 56,918,580 $ 117,529,636 $ 37,475,068 ============= ============= ============= ============= ============= ============= ============= ============= $ 160,849 $ 56,861 $ 101,577 $ 46,944 $ -- $ 30,353 $ -- $ 11,904 ============= ============= ============= ============= ============= ============= ============= ============= 2,000,002 1,000,002 2,450,002 700,002 2,100,002 400,002 1,500,002 400,002 5,400,000 1,850,000 11,300,000 3,100,000 10,950,000 2,700,000 4,700,000 1,800,000 (2,450,000) (850,000) (4,100,000) (1,350,000) (3,700,000) (1,000,000) (2,400,000) (700,000) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 4,950,002 2,000,002 9,650,002 2,450,002 9,350,002 2,100,002 3,800,002 1,500,002 ============= ============= ============= ============= ============= ============= ============= =============
See Notes to Financial Statements Page 143 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- OPERATIONS: Net investment income (loss).............................. $ 1,663,077 $ 610,279 $ 559,488 $ 77,720 Net realized gain (loss).................................. 13,674,596 5,901,495 6,941,737 2,813,023 Net change in unrealized appreciation (depreciation)...... (6,010,004) (1,518,392) 4,069,109 198,995 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations........................................ 9,327,669 4,993,382 11,570,334 3,089,738 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (1,524,286) (586,236) (626,975) (74,300) Return of capital......................................... -- -- -- -- ------------- ------------- ------------- ------------- Total distributions to shareholders....................... (1,524,286) (586,236) (626,975) (74,300) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 218,828,559 57,874,243 164,875,818 51,079,703 Cost of shares redeemed................................... (98,538,066) (30,464,003) (75,941,646) (28,610,455) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 120,290,493 27,410,240 88,934,172 22,469,248 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets................... 128,093,876 31,817,386 99,877,531 25,484,686 NET ASSETS: Beginning of period....................................... 49,958,066 18,140,680 39,444,937 13,960,251 ------------- ------------- ------------- ------------- End of period............................................. $ 178,051,942 $ 49,958,066 $ 139,322,468 $ 39,444,937 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period....................................... $ 178,765 $ 45,212 $ -- $ 3,521 ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 2,150,002 950,002 1,650,002 700,002 Shares sold............................................... 7,950,000 2,500,000 5,750,000 2,150,000 Shares redeemed........................................... (3,550,000) (1,300,000) (2,650,000) (1,200,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period......................... 6,550,002 2,150,002 4,750,002 1,650,002 ============= ============= ============= =============
Page 144 See Notes to Financial Statements
FIRST TRUST FIRST TRUST MULTICAP VALUE MULTI CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ----------------------------- ----------------------------- For the Year For the Year For the Year For the Year Ended Ended Ended Ended July 31, 2011 July 31, 2010 July 31, 2011 July 31, 2010 ------------- ------------- ------------- ------------- $ 335,487 $ 247,144 $ 38,541 $ 5,726 4,076,680 3,737,301 1,972,558 1,352,508 (642,034) (1,607,943) 226,026 (122,230) ------------- ------------- ------------- ------------- 3,770,133 2,376,502 2,237,125 1,236,004 ------------- ------------- ------------- ------------- (335,071) (229,401) (59,430) -- -- -- -- -- ------------- ------------- ------------- ------------- (335,071) (229,401) (59,430) -- ------------- ------------- ------------- ------------- 40,201,315 28,406,184 46,519,284 9,750,097 (25,083,144) (19,737,496) (18,227,305) (8,661,496) ------------- ------------- ------------- ------------- 15,118,171 8,668,688 28,291,979 1,088,601 ------------- ------------- ------------- ------------- 18,553,233 10,815,789 30,469,674 2,324,605 20,916,613 10,100,824 7,520,131 5,195,526 ------------- ------------- ------------- ------------- $ 39,469,846 $ 20,916,613 $ 37,989,805 $ 7,520,131 ============= ============= ============= ============= $ 19,526 $ 20,531 $ -- $ 5,726 ============= ============= ============= ============= 850,002 500,002 300,002 250,002 1,350,000 1,150,000 1,500,000 400,000 (850,000) (800,000) (600,000) (350,000) ------------- ------------- ------------- ------------- 1,350,002 850,002 1,200,002 300,002 ============= ============= ============= =============
See Notes to Financial Statements Page 145 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FIRST TRUST FIRST TRUST FIRST TRUST MID CAP VALUE MID CAP GROWTH SMALL CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------ ------------------ ------------------ For the Period For the Period For the Period April 19, 2011 (a) April 19, 2011 (a) April 19, 2011 (a) through through through July 31, 2011 July 31, 2011 July 31, 2011 -------------- -------------- -------------- OPERATIONS: Net investment income (loss).............................. $ 4,262 $ (1,585) $ 3,315 Net realized gain (loss).................................. 73,892 36,780 105,539 Net change in unrealized appreciation (depreciation)...... (160,553) (368,495) (130,541) -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations........................................ (82,399) (333,300) (21,687) -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (4,020) -- (3,020) Return of capital......................................... -- -- -- -------------- -------------- -------------- Total distributions to shareholders....................... (4,020) -- (3,020) -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 3,045,850 8,379,715 3,048,791 Cost of shares redeemed................................... (1,032,172) (1,070,371) (1,043,837) -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 2,013,678 7,309,344 2,004,954 -------------- -------------- -------------- Total increase (decrease) in net assets................... 1,927,259 6,976,044 1,980,247 NET ASSETS: Beginning of period....................................... -- -- -- -------------- -------------- -------------- End of period............................................. $ 1,927,259 $ 6,976,044 $ 1,980,247 ============== ============== ============== Accumulated net investment income (loss) at end of period....................................... $ 242 $ -- $ 295 ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... -- -- -- Shares sold............................................... 150,002 400,002 150,002 Shares redeemed........................................... (50,000) (50,000) (50,000) -------------- -------------- -------------- Shares outstanding, end of period......................... 100,002 350,002 100,002 ============== ============== ==============
(a) Inception date. Page 146 See Notes to Financial Statements
FIRST TRUST FIRST TRUST SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------ ------------------ For the Period For the Period April 19, 2011 (a) May 11, 2011 (a) through through July 31, 2011 July 31, 2011 -------------- -------------- $ (3,943) $ 4,318 28,163 (10,137) (175,854) (173,739) -------------- -------------- (151,634) (179,558) -------------- -------------- -- (1,750) -- -- -------------- -------------- -- (1,750) -------------- -------------- 7,199,910 4,942,237 (1,070,879) (983,575) -------------- -------------- 6,129,031 3,958,662 -------------- -------------- 5,977,397 3,777,354 -- -- -------------- -------------- $ 5,977,397 $ 3,777,354 ============== ============== $ -- $ 2,568 ============== ============== -- -- 350,002 250,002 (50,000) (50,000) -------------- -------------- 300,002 200,002 ============== ==============
See Notes to Financial Statements Page 147 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.08 0.06 0.10 0.08 0.00 (b)(f) Net realized and unrealized gain (loss) 5.44 3.14 (1.42) (4.64) (1.17) ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.52 3.20 (1.32) (4.56) (1.17) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.06) (0.10) (0.08) -- Return of capital -- (0.00) (f) (0.00) (f) -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.08) (0.06) (0.10) (0.08) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 21.35 $ 15.91 $ 12.77 $ 14.19 $ 18.83 ========== ========== ========== ========== ========== TOTAL RETURN (c) 34.75% 25.08% (9.12)% (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 625,596 $ 136,855 $ 6,386 $ 3,547 $ 1,883 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.73% 0.86% 1.59% 3.36% 11.39% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.44% 0.47% 1.00% 0.58% 0.04% (d) Portfolio turnover rate (e) 90% 114% 133% 91% 34% FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.17 0.18 0.25 0.21 0.04 (b) Net realized and unrealized gain (loss) 5.68 2.43 (1.57) (1.14) (0.93) ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.85 2.61 (1.32) (0.93) (0.89) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.18) (0.25) (0.22) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 24.49 $ 18.82 $ 16.39 $ 17.96 $ 19.11 ========== ========== ========== ========== ========== TOTAL RETURN (c) 31.21% 15.97% (7.14)% (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 249,781 $ 25,406 $ 9,017 $ 2,695 $ 2,866 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.79% 0.98% 1.30% 2.55% 9.34% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.80% 1.18% 1.99% 1.10% 0.98% (d) Portfolio turnover rate (e) 108% 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 148 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.10 0.06 0.03 0.12 (0.00) (b)(f) Net realized and unrealized gain (loss) 7.71 2.42 (10.23) 3.12 0.74 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.81 2.48 (10.20) 3.24 0.74 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.05) (0.03) (0.13) -- Net realized gain -- -- -- (0.00) (f) -- Return of capital -- -- (0.00) (f) -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.11) (0.05) (0.03) (0.13) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 23.75 $ 16.05 $ 13.62 $ 23.85 $ 20.74 ========== ========== ========== ========== ========== TOTAL RETURN (c) 48.70% 18.26% (42.74)% 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 168,610 $ 44,149 $ 9,531 $ 8,347 $ 5,184 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.75% 0.89% 1.35% 1.80% 9.49% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.42% 0.36% 0.24% 0.48% (0.03)% (d) Portfolio turnover rate (e) 101% 103% 116% 67% 1% FIRST TRUST FINANCIALS ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.30 0.11 0.18 0.29 0.07 (b) Net realized and unrealized gain (loss) 1.05 2.65 (2.05) (5.44) (2.16) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.35 2.76 (1.87) (5.15) (2.09) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.11) (0.17) (0.35) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 14.04 $ 13.02 $ 10.37 $ 12.41 $ 17.91 ========== ========== ========== ========== ========== TOTAL RETURN (c) 10.25% 26.68% (14.94)% (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 100,380 $ 126,257 $ 8,295 $ 1,861 $ 1,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.74% 0.87% 1.50% 3.89% 11.58% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.68% 1.43% 2.49% 2.13% 1.46% (d) Portfolio turnover rate (e) 62% 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 149 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.01 (0.03) (0.02) (0.03) (0.01) (b) Net realized and unrealized gain (loss) 7.03 3.93 (1.25) (0.52) (0.51) ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.04 3.90 (1.27) (0.55) (0.52) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.06) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 28.54 $ 21.56 $ 17.66 $ 18.93 $ 19.48 ========== ========== ========== ========== ========== TOTAL RETURN (c) 32.67% 22.08% (6.71)% (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 241,135 $ 47,439 $ 15,015 $ 8,521 $ 1,949 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.75% 0.87% 1.15% 2.03% 11.48% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.01% (0.19)% (0.17)% (0.34)% (0.31)% (d) Portfolio turnover rate (e) 116% 87% 138% 89% 30% FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.08 0.11 0.10 0.05 (0.00) (b) (f) Net realized and unrealized gain (loss) 2.65 3.39 (5.52) (1.33) (1.13) ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.73 3.50 (5.42) (1.28) (1.13) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.11) (0.09) (0.05) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 18.06 $ 15.42 $ 12.03 $ 17.54 $ 18.87 ========== ========== ========== ========== ========== TOTAL RETURN (c) 17.68% 29.16% (30.83)% (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 65,913 $ 30,845 $ 5,412 $ 4,384 $ 4,718 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.79% 0.99% 1.63% 1.90% 10.09% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.47% 0.95% 0.99% 0.29% (0.14)% (d) Portfolio turnover rate (e) 102% 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 150 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.22 0.25 0.20 0.16 0.02 (b) Net realized and unrealized gain (loss) 4.40 4.72 (6.64) 1.75 0.15 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.62 4.97 (6.44) 1.91 0.17 DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.38) (0.25) (0.20) (0.18) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 24.22 $ 19.98 $ 15.26 $ 21.90 $ 20.17 ========== ========== ========== ========== ========== TOTAL RETURN (c) 23.12% 32.72% (29.20)% 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 588,549 $ 148,839 $ 9,922 $ 5,474 $ 3,025 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.73% 0.84% 1.40% 2.33% 9.56% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.77% 1.15% 1.46% 0.75% 0.46% (d) Portfolio turnover rate (e) 116% 90% 153% 59% 1% FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) (0.02) (0.04) (0.02) (0.02) (0.02) (b) Net realized and unrealized gain (loss) 3.72 3.69 (3.14) (2.82) 0.49 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.70 3.65 (3.16) (2.84) 0.47 DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 21.81 $ 18.12 $ 14.47 $ 17.63 $ 20.47 ========== ========== ========== ========== ========== TOTAL RETURN (c) 20.40% 25.22% (17.92)% (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 197,529 $ 59,875 $ 12,374 $ 8,904 $ 2,149 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.74% 0.90% 1.26% 2.01% 10.64% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets (0.14)% (0.40)% (0.17)% (0.29)% (0.47)% (d) Portfolio turnover rate (e) 109% 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 151 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND
FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.39 0.38 0.44 0.90 0.09 (b) Net realized and unrealized gain (loss) 2.22 1.76 (2.50) (2.17) (1.72) ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.61 2.14 (2.06) (1.27) (1.63) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.38) (0.38) (0.47) (0.91) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 17.65 $ 15.42 $ 13.66 $ 16.19 $ 18.37 ========== ========== ========== ========== ========== TOTAL RETURN (c) 17.03% 15.80% (12.53)% (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 87,366 $ 30,837 $ 13,660 $ 5,667 $ 2,756 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.79% 0.92% 1.15% 2.50% 10.12% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 2.77% 2.97% 4.03% 2.96% 2.18% (d) Portfolio turnover rate (e) 66% 60% 128% 68% 1% FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.25 0.20 0.29 0.25 0.04 (b) Net realized and unrealized gain (loss) 4.63 4.15 (5.06) (4.00) (1.36) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.88 4.35 (4.77) (3.75) (1.32) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.26) (0.19) (0.29) (0.27) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 28.38 $ 23.76 $ 19.60 $ 24.66 $ 28.68 ========== ========== ========== ========== ========== TOTAL RETURN (c) 20.54% 22.26% (19.18)% (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 273,861 $ 58,214 $ 13,720 $ 14,799 $ 2,868 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.90% 1.17% 1.42% 7.86% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.04% 1.13% 1.63% 1.16% 0.62% (d) Portfolio turnover rate (e) 81% 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 152 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.12 0.16 0.21 0.14 0.01 (b) Net realized and unrealized gain (loss) 7.09 5.10 (4.30) (2.28) (1.43) ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.21 5.26 (4.09) (2.14) (1.42) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.16) (0.21) (0.14) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.17 $ 27.10 $ 22.00 $ 26.30 $ 28.58 ========== ========== ========== ========== ========== TOTAL RETURN (c) 26.60% 23.94% (15.42)% (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 319,491 $ 56,919 $ 8,799 $ 10,521 $ 5,715 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.90% 1.28% 1.61% 5.98% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.44% 0.73% 1.07% 0.54% 0.19% (d) Portfolio turnover rate (e) 86% 100% 120% 82% 1% FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.07 0.07 0.10 0.06 0.02 (b) Net realized and unrealized gain (loss) 5.97 4.21 (4.02) (3.50) (1.72) ---------- ---------- ---------- ---------- ---------- Total from investment operations 6.04 4.28 (3.92) (3.44) (1.70) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.07) (0.10) (0.07) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.93 $ 24.98 $ 20.77 $ 24.79 $ 28.30 ========== ========== ========== ========== ========== TOTAL RETURN (c) 24.20% 20.63% (15.77)% (12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 117,530 $ 37,475 $ 8,307 $ 9,916 $ 5,660 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.74% 0.97% 1.40% 1.87% 7.25% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.24% 0.36% 0.49% 0.25% 0.42% (d) Portfolio turnover rate (e) 90% 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 153 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.32 0.34 0.47 0.43 0.06 (b) Net realized and unrealized gain (loss) 3.93 4.14 (4.06) (5.18) (1.71) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.25 4.48 (3.59) (4.75) (1.65) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.31) (0.34) (0.47) (0.44) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.18 $ 23.24 $ 19.10 $ 23.16 $ 28.35 ========== ========== ========== ========== ========== TOTAL RETURN (c) 18.30% 23.53% (15.23)% (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 178,052 $ 49,958 $ 18,141 $ 23,163 $ 5,669 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.71% 0.88% 1.07% 1.35% 6.95% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.47% 1.73% 2.47% 1.80% 0.97% (d) Portfolio turnover rate (e) 76% 100% 146% 104% 1% FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.17 0.06 0.14 0.15 (0.00) (b) (f) Net realized and unrealized gain (loss) 5.43 3.96 (6.63) (2.65) (0.78) ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.60 4.02 (6.49) (2.50) (0.78) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.05) (0.14) (0.15) -- Return of capital -- -- (0.00) (f) -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.18) (0.05) (0.14) (0.15) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.33 $ 23.91 $ 19.94 $ 26.57 $ 29.22 ========== ========== ========== ========== ========== TOTAL RETURN (c) 23.43% 20.20% (24.38)% (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 139,322 $ 39,445 $ 13,960 $ 37,204 $ 5,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.72% 0.91% 1.01% 1.17% 5.98% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.59% 0.31% 0.54% 0.43% (0.07)% (d) Portfolio turnover rate (e) 146% 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 154 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 PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.32 0.37 0.29 0.35 0.06 (b) Net realized and unrealized gain (loss) 4.64 4.39 (3.02) (4.68) (2.11) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.96 4.76 (2.73) (4.33) (2.05) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.35) (0.30) (0.39) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.24 $ 24.61 $ 20.20 $ 23.23 $ 27.95 ========== ========== ========== ========== ========== TOTAL RETURN (c) 20.13% 23.65% (11.51)% (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 39,470 $ 20,917 $ 10,101 $ 4,647 $ 2,795 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.87% 0.94% 2.17% 1.70% 7.91% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.16% 1.45% 1.99% 1.45% 0.93% (d) Portfolio turnover rate (e) 74% 93% 134% 59% 2% FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE MAY 8, 2007 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH JULY 31, 2011 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) 0.08 0.02 0.06 0.05 (0.01) (b) Net realized and unrealized gain (loss) 6.62 4.27 (6.84) (1.76) (0.60) ---------- ---------- ---------- ---------- ---------- Total from investment operations 6.70 4.29 (6.78) (1.71) (0.61) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) -- (0.06) (0.04) -- Return of capital -- -- (0.01) (0.01) -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.11) -- (0.07) (0.05) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 31.66 $ 25.07 $ 20.78 $ 27.63 $ 29.39 ========== ========== ========== ========== ========== TOTAL RETURN (c) 26.74% 20.64% (24.53)% (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 37,990 $ 7,520 $ 5,196 $ 8,288 $ 8,818 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.95% 1.40% 1.56% 1.55% 6.01% (d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.20% 0.08% 0.29% 0.12% (0.21)% (d) Portfolio turnover rate (e) 149% 155% 153% 110% 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. See Notes to Financial Statements Page 155 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND FOR THE PERIOD APRIL 19, 2011 (a) THROUGH JULY 31, 2011 -------------- Net asset value, beginning of period $ 20.06 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 Net realized and unrealized gain (loss) (0.79) ---------- Total from investment operations (0.75) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) ---------- Net asset value, end of period $ 19.27 ========== TOTAL RETURN (b) (3.75)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,927 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) Ratio of net investment income (loss) to average net assets 0.74% (c) Portfolio turnover rate (d) 14% FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND FOR THE PERIOD APRIL 19, 2011 (a) THROUGH JULY 31, 2011 -------------- Net asset value, beginning of period $ 20.17 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.00) (e) Net realized and unrealized gain (loss) (0.24) ---------- Total from investment operations (0.24) ---------- Net asset value, end of period $ 19.93 ========== TOTAL RETURN (b) (1.19)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 6,976 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) Ratio of net investment income (loss) to average net assets (0.18)% (c) Portfolio turnover rate (d) 48% (a) Inception date. (b) 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. (c) Annualized. (d) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (e) Amount represents less than $0.01 per share. Page 156 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND FOR THE PERIOD APRIL 19, 2011 (a) THROUGH JULY 31, 2011 -------------- Net asset value, beginning of period $ 19.97 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 Net realized and unrealized gain (loss) (0.17) ---------- Total from investment operations (0.14) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.03) ---------- Net asset value, end of period $ 19.80 ========== TOTAL RETURN (b) (0.70)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) Ratio of net investment income (loss) to average net assets 0.57% (c) Portfolio turnover rate (d) 15% FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND FOR THE PERIOD APRIL 19, 2011 (a) THROUGH JULY 31, 2011 -------------- Net asset value, beginning of period $ 20.08 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.01) Net realized and unrealized gain (loss) (0.15) ---------- Total from investment operations (0.16) ---------- Net asset value, end of period $ 19.92 ========== TOTAL RETURN (b) (0.80)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,977 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) Ratio of net investment income (loss) to average net assets (0.36)% (c) Portfolio turnover rate (d) 36% (a) Inception date. (b) 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. (c) Annualized. (d) 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 157 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MEGA CAP ALPHADEX(R) FUND FOR THE PERIOD MAY 11, 2011 (a) THROUGH JULY 31, 2011 -------------- Net asset value, beginning of period $ 19.67 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 Net realized and unrealized gain (loss) (0.79) ---------- Total from investment operations (0.76) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) ---------- Net asset value, end of period $ 18.89 ========== TOTAL RETURN (b) (3.88)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,777 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) Ratio of net investment income (loss) to average net assets 0.77% (c) Portfolio turnover rate (d) 52% (a) Inception date. (b) 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. (c) Annualized. (d) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 158 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 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 twenty-one 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 AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTA") (1) First Trust Large Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTC") (2) 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") First Trust Mid Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FYC") First Trust Mega Cap AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FMK") (1) Formerly, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (2) Formerly, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 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 (3) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (3) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (3) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (3) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (3) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (3) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (3) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (3) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (3) First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index (4) First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index (4) First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index (4) First Trust Large Cap Value AlphaDEX(R) Fund Defined Large Cap Value Index (4) (5) First Trust Large Cap Growth AlphaDEX(R) Fund Defined Large Cap Growth Index (4) (6) First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index (4) First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (4) First Trust Mid Cap Value AlphaDEX(R) Fund Defined Mid Cap Value Index (4) First Trust Mid Cap Growth AlphaDEX(R) Fund Defined Mid Cap Growth Index (4) First Trust Small Cap Value AlphaDEX(R) Fund Defined Small Cap Value Index (4) First Trust Small Cap Growth AlphaDEX(R) Fund Defined Small Cap Growth Index (4) First Trust Mega Cap AlphaDEX(R) Fund Defined Mega Cap Index (4)
(3) 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. (4) This index is developed, maintained and sponsored by Standard & Poor's Financial Services LLC (as successor to Standard & Poor's, a Division of The McGraw-Hill Companies, Inc., "S&P"), and licensed to First Trust Portfolios L.P. (5) Formerly, Defined Large Cap Value Opportunities Index. (6) Formerly, Defined Large Cap Growth Opportunities Index. Page 159 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION 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 daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Each Fund's securities will be valued as follows: Portfolio securities listed on any exchange other than the NASDAQ Stock Market, Inc. ("NASDAQ") or the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. 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. Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there is no official closing price on the valuation day, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded in the over-the-counter market, but excluding securities trading on the NASDAQ or the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. 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 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). Page 160 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 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 methodologies 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 July 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. 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. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or net asset value per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the period ended July 31, 2011 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 $ 1,938,170 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 519,675 -- -- First Trust Energy AlphaDEX(R) Fund 480,290 -- -- First Trust Financials AlphaDEX(R) Fund 4,076,241 -- -- First Trust Health Care AlphaDEX(R) Fund 419,500 -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 252,090 -- -- First Trust Materials AlphaDEX(R) Fund 6,954,230 -- -- First Trust Technology AlphaDEX(R) Fund 30,330 -- -- First Trust Utilities AlphaDEX(R) Fund 1,292,371 -- -- First Trust Large Cap Core AlphaDEX(R) Fund 1,696,550 -- -- First Trust Mid Cap Core AlphaDEX(R) Fund 829,065 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 276,075 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 1,524,286 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 626,975 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 335,071 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 59,430 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 4,020 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- First Trust Small Cap Value AlphaDEX(R) Fund 3,020 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund -- -- -- First Trust Mega Cap AlphaDEX(R) Fund 1,750 -- --
Page 161 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 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 AlphaDEX(R) Fund 586,236 -- -- First Trust Large Cap Growth 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, 2011, 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 $ -- $ (17,098,762) $ 23,011,703 First Trust Consumer Staples AlphaDEX(R) Fund 65,618 (1,734,527) (2,627,373) First Trust Energy AlphaDEX(R) Fund 1,276 (9,404,454) 4,113,317 First Trust Financials AlphaDEX(R) Fund -- (7,856,140) (7,691,500) First Trust Health Care AlphaDEX(R) Fund -- (5,213,846) (13,101,121) First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,165 (4,304,835) (332,887) First Trust Materials AlphaDEX(R) Fund -- (11,866,057) 20,605,373 First Trust Technology AlphaDEX(R) Fund -- (10,975,543) (13,905,549) First Trust Utilities AlphaDEX(R) Fund 160,849 (3,150,256) (710,692) First Trust Large Cap Core AlphaDEX(R) Fund 101,577 (8,960,982) (2,078,170) First Trust Mid Cap Core AlphaDEX(R) Fund -- (7,622,873) (5,541,258) First Trust Small Cap Core AlphaDEX(R) Fund -- (6,631,274) (1,211,585) First Trust Large Cap Value AlphaDEX(R) Fund 178,765 (8,389,852) (8,075,931) First Trust Large Cap Growth AlphaDEX(R) Fund -- (18,655,916) 5,840,580 First Trust Multi Cap Value AlphaDEX(R) Fund 19,526 (3,195,308) (1,624,434) First Trust Multi Cap Growth AlphaDEX(R) Fund -- (5,149,560) 844,833 First Trust Mid Cap Value AlphaDEX(R) Fund 242 (2,822) (172,274) First Trust Mid Cap Growth AlphaDEX(R) Fund -- (26,265) (392,843) First Trust Small Cap Value AlphaDEX(R) Fund 295 (4,764) (144,118) First Trust Small Cap Growth AlphaDEX(R) Fund -- (47,572) (198,520) First Trust Mega Cap AlphaDEX(R) Fund 2,568 (24,161) (189,140)
D. INCOME TAXES Each Fund intends to qualify or 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 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 2008, 2009, 2010 and 2011 remain open to federal and state audit. As of July 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. Page 162 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 At July 31, 2011, 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 Capital Loss Total Available Available Available Available Available Capital through through through through through Loss July 31, 2015 July 31, 2016 July 31, 2017 July 31, 2018 July 31, 2019 Available ------------- ------------- ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $ 1,138,594 $ 9,617,858 $11,606,682 First Trust Consumer Staples AlphaDEX(R) Fund -- 63,580 422,511 1,058,131 -- 1,544,222 First Trust Energy AlphaDEX(R) Fund -- 73,845 2,326,320 2,084,336 3,349,453 7,833,954 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 671,958 1,630,337 3,464,108 5,782,460 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 774,570 2,582,977 1,764,162 5,168,461 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 183,210 798,398 1,325,584 1,133,736 3,464,559 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 1,265,429 886,622 7,397,299 9,567,198 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 1,608,491 2,508,150 2,516,610 6,668,105 First Trust Utilities AlphaDEX(R) Fund -- -- 557,777 1,956,482 -- 2,514,259 First Trust Large Cap Core AlphaDEX(R) Fund 15,102 8,528 2,600,275 2,800,653 1,020,863 6,445,421 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,119,642 1,502,304 5,700,213 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 1,882,188 1,600,982 1,258,833 4,868,508 First Trust Large Cap Value AlphaDEX(R) Fund 1,854 80,299 2,272,260 5,098,300 298,768 7,751,481 First Trust Large Cap Growth AlphaDEX(R) Fund -- 162,514 10,217,162 3,224,180 1,803,950 15,407,806 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,180,819 322,362 2,900,494 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 2,554,292 1,438,794 345,171 4,605,919
Due to recent changes enacted under the Regulated Investment Company Modernization Act of 2010 ("RIC Mod Act of 2010"), capital losses arising in taxable years beginning after December 22, 2010 no longer expire due to the passage of time and are available to offset future capital gains indefinitely. The Funds shown in the table below have an inception date subsequent to the enactment of the RIC Mod Act of 2010, thus the conditions of the RIC Mod Act of 2010 are applicable to these Funds beginning in the current period. At July 31, 2011, 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. 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. Non-Expiring Total Capital Capital Loss Loss Available ------------ -------------- First Trust Mid Cap Value AlphaDEX(R) Fund $ 2,822 $ 2,822 First Trust Mid Cap Growth AlphaDEX(R) Fund 26,265 26,265 First Trust Small Cap Value AlphaDEX(R) Fund 4,764 4,764 First Trust Small Cap Growth AlphaDEX(R) Fund 47,572 47,572 First Trust Mega Cap AlphaDEX(R) Fund 24,161 24,161 During the taxable year ended July 31, 2011, the Funds utilized capital loss carryforwards in the following amounts: Capital Loss Carryforward Utilized --------------------- First Trust Consumer Staples AlphaDEX(R) Fund $ 23,022 First Trust Utilities AlphaDEX(R) Fund 18,443 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. Page 163 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 During the taxable year ended July 31, 2011, the following Funds incurred and elected to defer net capital losses as follows: Post-October Losses ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 5,492,080 First Trust Consumer Staples AlphaDEX(R) Fund 190,305 First Trust Energy AlphaDEX(R) Fund 1,570,500 First Trust Financials AlphaDEX(R) Fund 2,073,680 First Trust Health Care AlphaDEX(R) Fund 45,385 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 840,276 First Trust Materials AlphaDEX(R) Fund 2,298,859 First Trust Technology AlphaDEX(R) Fund 4,307,438 First Trust Utilities AlphaDEX(R) Fund 635,997 First Trust Large Cap Core AlphaDEX(R) Fund 2,515,561 First Trust Mid Cap Core AlphaDEX(R) Fund 1,922,660 First Trust Small Cap Core AlphaDEX(R) Fund 1,762,766 First Trust Large Cap Value AlphaDEX(R) Fund 638,371 First Trust Large Cap Growth AlphaDEX(R) Fund 3,248,110 First Trust Multi Cap Value AlphaDEX(R) Fund 294,814 First Trust Multi Cap Growth AlphaDEX(R) Fund 543,641 First Trust Mid Cap Value AlphaDEX(R) Fund -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- First Trust Small Cap Value AlphaDEX(R) Fund -- First Trust Small Cap Growth AlphaDEX(R) Fund -- First Trust Mega Cap AlphaDEX(R) Fund -- In order to present paid-in capital and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year or period ended July 31, 2011, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital -------------- -------------- ------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 101,884 $ (76,543,941) $ 76,442,057 First Trust Consumer Staples AlphaDEX(R) Fund -- (10,840,778) 10,840,778 First Trust Energy AlphaDEX(R) Fund -- (22,705,020) 22,705,020 First Trust Financials AlphaDEX(R) Fund 18,016 (43,364,680) 43,346,664 First Trust Health Care AlphaDEX(R) Fund 407,343 (17,118,663) 16,711,320 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (6,837,051) 6,837,051 First Trust Materials AlphaDEX(R) Fund 3,516,119 (43,826,852) 40,310,733 First Trust Technology AlphaDEX(R) Fund 224,058 (21,650,754) 21,426,696 First Trust Utilities AlphaDEX(R) Fund -- (6,283,939) 6,283,939 First Trust Large Cap Core AlphaDEX(R) Fund (3,804) (18,323,516) 18,327,320 First Trust Mid Cap Core AlphaDEX(R) Fund 38,219 (24,820,041) 24,781,822 First Trust Small Cap Core AlphaDEX(R) Fund 53,782 (15,823,261) 15,769,479 First Trust Large Cap Value AlphaDEX(R) Fund (5,238) (15,703,457) 15,708,695 First Trust Large Cap Growth AlphaDEX(R) Fund 63,966 (10,367,986) 10,304,020 First Trust Multi Cap Value AlphaDEX(R) Fund (1,421) (4,897,865) 4,899,286 First Trust Multi Cap Growth AlphaDEX(R) Fund 15,163 (2,720,779) 2,705,616 First Trust Mid Cap Value AlphaDEX(R) Fund -- (88,435) 88,435 First Trust Mid Cap Growth AlphaDEX(R) Fund 1,585 (87,393) 85,808 First Trust Small Cap Value AlphaDEX(R) Fund -- (123,880) 123,880 First Trust Small Cap Growth AlphaDEX(R) Fund 3,943 (98,401) 94,458 First Trust Mega Cap AlphaDEX(R) Fund -- (29,425) 29,425
Page 164 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 E. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund, and the First Trust Mega Cap AlphaDEX(R) Fund, for which expenses are paid by First Trust Advisors L.P. ("First Trust" or the "Advisor"). 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 AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Growth 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 First Trust Mid Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Mid Cap Growth AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Growth AlphaDEX(R) Fund Standard & Poor's First Trust Mega Cap 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 are sub-licensees to the applicable license agreement. The Funds, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund, and the First Trust Mega Cap AlphaDEX(R) Fund, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund, and the First Trust Mega Cap AlphaDEX(R) Fund are paid by First Trust. F. ACCOUNTING PRONOUNCEMENT In May 2011, the Financial Accounting Standards Board ("FASB") issued ASU No. 2011-04 Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, Fair Value Measurement. The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose (i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, (ii) for Level 3 fair value measurements, quantitative information about significant unobservable inputs used, (iii) a description of the valuation processes used by the reporting entity, and (iv) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011, and is therefore not effective for the current fiscal year. Management is currently evaluating the impact of the updated standards on the Funds' financial statements, if any. Page 165 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain other services necessary for the management of the Funds. For the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund, and the First Trust Mega Cap AlphaDEX(R) Fund (such Funds, the "Unitary Fee Funds"), First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and excluding distribution fees, if any, brokerage expenses, taxes, interest, and other extraordinary expenses. For the First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R), 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 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 AlphaDEX(R) Fund, the First Trust Large Cap Growth AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, and the First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of such Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("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 such 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 Data listed in the following table:
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 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 year ended July 31, 2011 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows: Page 166 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011
Expenses Borne by Advisor Subject to Recovery ------------------------------------------------------- Advisory Expense Year Year Year Fee Reim- Ended Ended Ended Waivers bursements July 31, 2009 July 31, 2010 July 31, 2011 Total ---------- ---------- ------------- ------------- ------------- ---------- First Trust Consumer Discretionary AlphaDEX(R) Fund $109,492 $ -- $ 38,005 $110,096 $109,492 $257,593 First Trust Consumer Staples AlphaDEX(R) Fund 59,013 -- 44,268 51,148 59,013 154,429 First Trust Energy AlphaDEX(R) Fund 52,991 -- 41,578 67,669 52,991 162,238 First Trust Financials AlphaDEX(R) Fund 90,841 -- 43,241 104,140 90,841 238,222 First Trust Health Care AlphaDEX(R) Fund 66,543 -- 55,680 66,052 66,543 188,275 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 45,159 -- 36,527 52,980 45,159 134,666 First Trust Materials AlphaDEX(R) Fund 114,169 -- 41,022 114,679 114,169 269,870 First Trust Technology AlphaDEX(R) Fund 62,099 -- 44,308 67,139 62,099 173,546 First Trust Utilities AlphaDEX(R) Fund 46,722 -- 61,924 53,420 46,722 162,066 First Trust Large Cap Core AlphaDEX(R) Fund -- -- 48,959 73,433 -- 122,392 First Trust Mid Cap Core AlphaDEX(R) Fund -- -- 36,544 73,604 -- 110,148 First Trust Small Cap Core AlphaDEX(R) Fund 31,316 -- 43,506 66,001 31,316 140,823 First Trust Large Cap Value AlphaDEX(R) Fund 15,536 -- 62,297 64,402 15,536 142,235 First Trust Large Cap Growth AlphaDEX(R) Fund 22,615 -- 55,316 52,810 22,615 130,741 First Trust Multi Cap Value AlphaDEX(R) Fund 48,799 -- 70,667 41,081 48,799 160,547 First Trust Multi Cap Growth AlphaDEX(R) Fund 48,197 -- 49,485 49,427 48,197 147,109
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 Chief Executive Officer 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 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 affected Fund, and resulted in the automatic termination of the agreements. In addition, the former expense reimbursement, fee waiver and recovery agreement applicable to all of the affected Funds terminated pursuant to its terms upon the termination of the investment management agreement. The Transaction had no effect on the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund and the First Trust Mega Cap AlphaDEX(R) Fund as these Funds came into existence in 2011, after the Transaction. The Trust's Board of Trustees approved an interim investment management agreement with First Trust in connection with the affected Funds which was entered into effective upon the closing of the Transaction and was in effect for a maximum period of 150 days. A new investment management agreement with First Trust in connection with the affected Funds was approved by the Board of Trustees and was submitted to shareholders of each affected 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 affected 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 Transaction was approved by shareholders of each affected Fund. The Trust's Board of Trustees also approved a new Distribution Agreement and Recovery Agreement for each affected 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 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 167 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 4. PURCHASES AND SALES OF SECURITIES For the period ended July 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 $375,154,133 $375,836,002 First Trust Consumer Staples AlphaDEX(R) Fund 78,058,198 77,932,449 First Trust Energy AlphaDEX(R) Fund 116,875,913 117,014,529 First Trust Financials AlphaDEX(R) Fund 133,893,593 139,225,705 First Trust Health Care AlphaDEX(R) Fund 142,380,798 142,455,094 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 50,747,067 50,775,498 First Trust Materials AlphaDEX(R) Fund 509,629,328 527,533,013 First Trust Technology AlphaDEX(R) Fund 153,773,266 153,880,282 First Trust Utilities AlphaDEX(R) Fund 33,781,703 33,582,162 First Trust Large Cap Core AlphaDEX(R) Fund 134,704,719 135,644,833 First Trust Mid Cap Core AlphaDEX(R) Fund 150,322,519 150,246,960 First Trust Small Cap Core AlphaDEX(R) Fund 76,254,965 76,533,779 First Trust Large Cap Value AlphaDEX(R) Fund 86,407,676 86,376,363 First Trust Large Cap Growth AlphaDEX(R) Fund 138,205,320 138,095,423 First Trust Multi Cap Value AlphaDEX(R) Fund 21,358,616 21,308,143 First Trust Multi Cap Growth AlphaDEX(R) Fund 28,857,570 28,837,420 First Trust Mid Cap Value AlphaDEX(R) Fund 282,532 280,375 First Trust Mid Cap Growth AlphaDEX(R) Fund 1,574,772 1,579,251 First Trust Small Cap Value AlphaDEX(R) Fund 309,816 316,240 First Trust Small Cap Growth AlphaDEX(R) Fund 1,487,033 1,483,156 First Trust Mega Cap AlphaDEX(R) Fund 1,334,738 1,395,809 For the period ended July 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 $747,778,500 $349,516,848 First Trust Consumer Staples AlphaDEX(R) Fund 282,252,823 65,243,302 First Trust Energy AlphaDEX(R) Fund 211,178,212 113,258,755 First Trust Financials AlphaDEX(R) Fund 372,093,489 423,695,677 First Trust Health Care AlphaDEX(R) Fund 341,565,874 152,237,038 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 65,380,725 34,260,406 First Trust Materials AlphaDEX(R) Fund 662,796,388 276,818,253 First Trust Technology AlphaDEX(R) Fund 247,286,242 111,633,615 First Trust Utilities AlphaDEX(R) Fund 94,284,606 42,663,591 First Trust Large Cap Core AlphaDEX(R) Fund 319,391,605 117,503,829 First Trust Mid Cap Core AlphaDEX(R) Fund 373,558,241 127,719,641 First Trust Small Cap Core AlphaDEX(R) Fund 142,464,711 74,407,667 First Trust Large Cap Value AlphaDEX(R) Fund 218,494,712 98,358,441 First Trust Large Cap Growth AlphaDEX(R) Fund 164,843,165 75,994,666 First Trust Multi Cap Value AlphaDEX(R) Fund 40,161,201 25,083,527 First Trust Multi Cap Growth AlphaDEX(R) Fund 46,477,813 18,231,482 First Trust Mid Cap Value AlphaDEX(R) Fund 3,045,537 1,034,735 First Trust Mid Cap Growth AlphaDEX(R) Fund 8,373,794 1,069,258 First Trust Small Cap Value AlphaDEX(R) Fund 3,048,116 1,039,231 First Trust Small Cap Growth AlphaDEX(R) Fund 7,185,825 1,071,413 First Trust Mega Cap AlphaDEX(R) Fund 4,942,500 922,803
Page 168 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 5. CREATION, REDEMPTION & TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee -------------------- --------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 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 Redemption in a Creation Unit Transaction Fee -------------------- --------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged 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. Page 169 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 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 the following dates: Date ---------------- First Trust Consumer Discretionary AlphaDEX(R) Fund December 1, 2011 First Trust Consumer Staples AlphaDEX(R) Fund December 1, 2011 First Trust Energy AlphaDEX(R) Fund December 1, 2011 First Trust Financials AlphaDEX(R) Fund December 1, 2011 First Trust Health Care AlphaDEX(R) Fund December 1, 2011 First Trust Industrials/Producer Durables AlphaDEX(R) Fund December 1, 2011 First Trust Materials AlphaDEX(R) Fund December 1, 2011 First Trust Technology AlphaDEX(R) Fund December 1, 2011 First Trust Utilities AlphaDEX(R) Fund December 1, 2011 First Trust Large Cap Core AlphaDEX(R) Fund December 1, 2011 First Trust Mid Cap Core AlphaDEX(R) Fund December 1, 2011 First Trust Small Cap Core AlphaDEX(R) Fund December 1, 2011 First Trust Large Cap Value AlphaDEX(R) Fund December 1, 2011 First Trust Large Cap Growth AlphaDEX(R) Fund December 1, 2011 First Trust Multi Cap Value AlphaDEX(R) Fund December 1, 2011 First Trust Multi Cap Growth AlphaDEX(R) Fund December 1, 2011 First Trust Mid Cap Value AlphaDEX(R) Fund April 19, 2012 First Trust Mid Cap Growth AlphaDEX(R) Fund April 19, 2012 First Trust Small Cap Value AlphaDEX(R) Fund April 19, 2012 First Trust Small Cap Growth AlphaDEX(R) Fund April 19, 2012 First Trust Mega Cap AlphaDEX(R) Fund May 12, 2012 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 no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 170 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Exchange-Traded AlphaDEX(R) Fund (collectively, the "Funds"), comprised 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 AlphaDEX(R) Fund (formerly known as First Trust Large Cap Value Opportunities AlphaDEX(R) Fund), First Trust Large Cap Growth AlphaDEX(R) Fund (formerly known as 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, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, including the portfolios of investments, as of July 31, 2011, and the related statements of operations for the year or periods then ended and the statements of changes in net assets and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2011 by correspondence with the Funds' custodian and brokers; where replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds constituting the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2011, the results of their operations for the year or periods then ended, and the changes in their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 27, 2011 Page 171 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 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, 2011 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 172 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 (UNAUDITED) FEDERAL TAX INFORMATION For the taxable year ended July 31, 2011, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction ---------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 76.61% First Trust Health Care AlphaDEX(R) Fund 100.00% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 0.00% First Trust Utilities AlphaDEX(R) Fund 100.00% First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growh AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 0.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 0.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2011, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income ---------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 77.32% First Trust Health Care AlphaDEX(R) Fund 100.00% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 0.00% First Trust Utilities AlphaDEX(R) Fund 100.00% First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growh AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 0.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 0.00% First Trust Mega Cap AlphaDEX(R) Fund 41.56%
ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. ("First Trust") on behalf of the following series of the Trust (each a "Fund" and collectively, the "Funds") for an initial two year term at a meeting held on December 13, 2010: Page 173 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 (UNAUDITED) First Trust Mid Cap Growth AlphaDEX(R) Fund First Trust Mid Cap Value AlphaDEX(R) Fund First Trust Small Cap Growth AlphaDEX(R) Fund First Trust Small Cap Value AlphaDEX(R) Fund The Board of Trustees determined for each Fund that the Agreement is in the best interests of the Fund in light of the services, expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (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. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting. The report, among other things, outlined the services to be provided by First Trust to each Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee structure for each Fund as compared to fees charged by investment advisors to other comparable exchange-traded funds ("ETFs"), and as compared to fees charged to other First Trust clients with similar investment objectives, and to other ETFs managed by First Trust; the estimated expenses to be incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on First Trust; fall out benefits to First Trust and First Trust Portfolios L.P.; and a summary of First Trust's compliance program. The Independent Trustees also met separately with their independent legal counsel to discuss the information provided by First Trust. The Board applied its business judgment to determine whether the arrangement between the Trust and First Trust is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. In evaluating whether to approve the Agreement for each Fund, the Board considered the nature, extent and quality of services to be provided by First Trust under the Agreement, and noted that First Trust provides management services to other ETFs and to other investment companies in the First Trust complex with diligence and care. The Board also considered the compliance program that had been developed by First Trust and the skills of its employees who would be working with the Funds. It also considered the efforts expended by First Trust in organizing the Trust and making arrangements for entities to provide services to the Funds. Since each Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Funds, although it considered the hypothetical performance of the underlying indices. In light of the information presented and the considerations made, the Board concluded that the nature, quality and extent of services to be provided to the Funds by First Trust under the Agreement are expected to be satisfactory. The Board reviewed information regarding the proposed unitary fee structure for each Fund. The Board noted that under the unitary fee arrangement, each Fund would pay First Trust a fee equal to an annual rate of 0.70% of its average daily net assets and that First Trust would be responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, service fees and distribution fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board considered information provided by First Trust and Lipper, Inc. ("Lipper") for each Fund on the advisory fees and expense ratios of other comparable funds. The Board considered the limitations on the comparability of the funds in each of the First Trust and Lipper peer groups. Based on the information provided, and noting the limitations on the comparability, the Board concluded that the proposed unitary fee for each Fund was within a reasonable range of the fees charged to other comparable funds. The Board considered the total expense ratios (after fee waivers) of other First Trust ETFs, including First Trust ETFs that pay a unitary fee, noting that each Fund's proposed unitary fee was the same as the total expense ratios (after fee waivers) of all the other First Trust AlphaDEX(R) ETFs currently in operation. In light of the nature, extent and quality of services to be provided under the Agreement, the Board determined that the proposed unitary fee for each Fund was fair and reasonable. The Board considered First Trust's representation that the proposed unitary fee for each Fund was not structured to pass the benefits of any economies of scale on to shareholders as each Fund's assets grow, but that First Trust did not believe this was material to the Board's consideration of the proposed unitary fee due to the anticipated asset levels for each Fund. The Trustees noted that any reduction in fixed costs associated with the management of the Funds would benefit First Trust, but that a unitary fee structure provides certainty in expenses for the Funds. The Board noted that First Trust has continued to invest in personnel and infrastructure for the First Trust complex. The Board took the costs to be borne by First Trust in connection with its services to be performed under the Agreement into consideration and noted that First Trust was unable to estimate the profitability of the Agreement to First Trust. The Board considered that First Trust had identified as a fall out benefit to First Trust 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 First Trust. The Board also noted that First Trust would not utilize soft dollars in connection with its management of the Funds' portfolios. The Board considered that First Trust will receive compensation from the Trust for providing fund reporting services for the Funds pursuant to a separate Fund Reporting Services Agreement. After discussion, the Board of Trustees, including the Independent Trustees, concluded that First Trust had the capabilities, resources and personnel necessary to manage each Fund. Based upon such information as it considered necessary to the exercise of its reasonable business judgment, the Board of Trustees concluded that it was in the best interests of each Fund to approve the Agreement. No single factor was determinative in the Board's analysis. Page 174 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (Continued) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 (UNAUDITED) BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT FOR FIRST TRUST MEGA CAP ALPHADEX(R) FUND The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. ("First Trust") for First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") for an initial two year term at a meeting held on March 21, 2011. The Board of Trustees determined that the Agreement is in the best interests of the Fund in light of the services, expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (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. To assist the Board in its evaluation of the Agreement, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services to be provided by First Trust to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee structure for the Fund as compared to fees charged by investment advisors to other comparable exchange-traded funds ("ETFs"), and as compared to fees charged to other First Trust clients with similar investment objectives, and to other ETFs managed by First Trust; the estimated expenses to be incurred in providing services to the Fund and the potential for economies of scale, if any; financial data on First Trust; fall out benefits to First Trust and First Trust Portfolios L.P.; and a summary of First Trust's compliance program. The Independent Trustees also met separately with their independent legal counsel to discuss the information provided by First Trust. The Board applied its business judgment to determine whether the arrangement between the Trust and First Trust is a reasonable business arrangement from the Fund's perspective as well as from the perspective of shareholders. In evaluating whether to approve the Agreement, the Board considered the nature, extent and quality of services to be provided by First Trust under the Agreement, and noted that First Trust employees provide management services to other ETFs and to other investment companies in the First Trust complex with diligence and care. The Board also considered the compliance program that had been developed by First Trust and the skills of its employees who would be working with the Fund. It also considered the efforts expended by First Trust in organizing the Trust and making arrangements for entities to provide services to the Fund. Since the Fund had yet to commence investment operations, the Board could not consider the investment performance of the Fund, but the Board did consider the hypothetical performance of the applicable index. In light of the information presented and the considerations made, the Board concluded that the nature, quality and extent of services to be provided to the Fund by First Trust under the Agreement are expected to be satisfactory. The Board reviewed information regarding the proposed unitary fee structure for the Fund. The Board noted that under the unitary fee arrangement, the Fund would pay First Trust a fee equal to an annual rate of 0.70% of its average daily net assets and that First Trust would be responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, service fees and distribution fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board reviewed information provided by First Trust and Lipper, Inc. for the Fund on the advisory fees and expense ratios of other comparable ETFs and discussed with First Trust its pricing considerations for ETFs employing the AlphaDEX(R) strategy. The Board considered the total expense ratios (after fee waivers) of other First Trust ETFs, including First Trust ETFs that pay a unitary fee, noting that the Fund's proposed unitary fee was the same as the total expense ratios (after fee waivers) of all the other First Trust AlphaDEX(R) ETFs currently in operation. In light of the nature, extent and quality of services to be provided under the Agreement, the Board determined that the proposed unitary fee for the Fund was fair and reasonable. The Board considered First Trust's representation that the proposed unitary fee for the Fund was not structured to pass the benefits of any economies of scale on to shareholders as the Fund's assets grow, but that First Trust did not believe this was material to the Board's consideration of the proposed unitary fee due to the anticipated asset levels for the Fund. The Trustees noted that any reduction in fixed costs associated with the management of the Fund would benefit First Trust, but that a unitary fee structure provides certainty in expenses for the Fund. The Board noted that First Trust has continued to invest in personnel and infrastructure for the First Trust complex. The Board took the costs to be borne by First Trust in connection with its services to be performed under the Agreement into consideration and noted that First Trust was unable to estimate the profitability of the Agreement to First Trust. The Board considered that First Trust had identified as a fall out benefit to First Trust and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Fund, may have had no dealings with First Trust. The Board also noted that First Trust would not utilize soft dollars in connection with its management of the Fund's portfolio. The Board considered that First Trust will receive compensation from the Trust for providing fund reporting services for the Fund pursuant to a separate Fund Reporting Services Agreement. After discussion, the Board of Trustees, including the Independent Trustees, concluded that First Trust had the capabilities, resources and personnel necessary to manage the Fund. Based upon such information as it considered necessary to the exercise of its reasonable business judgment, the Board of Trustees concluded that it was in the best interests of the Fund to approve the Agreement. No single factor was determinative in the Board's analysis. Page 175 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 (UNAUDITED) Each Fund's respective statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DIRECTORSHIPS POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton Orthope- 83 None c/o First Trust Advisors L.P. dics; Co-Owner and Co-Director (January 120 E. Liberty Drive, o Since Inception 1996 to May 2007), Sports Med Center for Suite 400 Fitness; Limited Partner, Gundersen Real Wheaton, IL 60187 Estate Limited - Partner-ship; Member, D.O.B.: 04/51 Sportsmed LLC Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to present), Senior 83 Director of ADM c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services, 120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), Vice President Inc. and ADM Suite 400 and Chief Financial Officer (1990 to May Investor Services, Wheaton, IL 60187 2007), ADM Investor Services, Inc. International D.O.B.: 11/57 (Futures Commission Merchant) Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 83 Director of c/o First Trust Advisors L.P. Enterprises (Financial and Management Trust Company 120 E. Liberty Drive, o Since Inception Consulting) of Illinois Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term President (June 2002 to Present), Covenant 83 Director of c/o First Trust Advisors L.P. College Covenant 120 E. Liberty Drive, o Since Inception Transport Inc. Suite 400 Wheaton, IL 60187 D.O.B.: 03/54 ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), o Indefinite Term Chief Executive Officer (December 2010 to 83 None Trustee, President, Present), President (until December 2010), Chairman of the Board and CEO o Since Inception First Trust Advisors L.P. and First Trust 120 E. Liberty Drive, Portfolios L.P.; Chairman of the Board of Suite 400 Directors, BondWave LLC Wheaton, IL 60187 (Software Development Company/ D.O.B.: 09/55 Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)
-------- 1 Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 176 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2011 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS WHO ARE NOT TRUSTEES2 ------------------------------------------------------------------------------------------------------------------------------------ Mark R. Bradley Treasurer, Chief Financial o Indefinite Term Chief Operating Officer (December 2010 to Present) 120 E. Liberty Drive, Officer and Chief and Chief Financial Officer, First Trust Advisors Suite 400 Accounting Officer o Since Inception L.P. and First Trust Portfolios L.P.; Chief Wheaton, IL 60187 Financial Officer, BondWave LLC (Software D.O.B.: 11/57 Development Company/Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor) Erin E. Chapman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to Present), 120 E. Liberty Drive, Associate Counsel (March 2006 to October 2007), Suite 400 o Since June 2009 First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 L.P.; Associate Attorney (November 2003 to March D.O.B.: 08/76 2006), Doyle & Bolotin, Ltd. James M. Dykas Assistant Secretary o Indefinite Term Controller (January 2011 to Present), Senior Vice 120 E. Liberty Drive, President (April 2007 to Present), Vice President Suite 400 o Since Inception (January 2005 to April 2007), First Trust Advisors Wheaton, IL 60187 L.P. and First Trust Portfolios L.P. D.O.B.: 01/66 Rosanne Gatta Assistant Secretary o Indefinite Term Board Liaison Associate (July 2010 to Present), 120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios Suite 400 o Since March 2011 L.P.; Assistant Vice President (February 2001 to Wheaton, IL 60187 July 2010), PNC Global Investment Servicing D.O.B.: 07/55 W. Scott Jardine Secretary o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Trust Portfolios L.P.; Secretary, BondWave LLC Suite 400 o Since Inception (Software Development Company/Investment Advisor) Wheaton, IL 60187 and Stonebridge Advisors LLC (Investment Advisor) D.O.B.: 05/60 Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to 120 E. Liberty Drive, Present), Vice President (April 2004 to September Suite 400 o Since Inception 2005), First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 02/70 Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present), 120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios Suite 400 o Since July 2008 L.P.; Vice President (May 1998 to January 2008), Van Wheaton, IL 60187 Kampen Asset Management and Morgan Stanley D.O.B.: 07/58 Investment Management Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel (May 2007 to Present), 120 E. Liberty Drive, Chief Compliance Officer o Assistant Secretary Assistant General Counsel (March 2004 to May Suite 400 since Inception 2007), First Trust Advisors L.P. and First Trust Wheaton, IL 60187 o Chief Compliance Portfolios L.P. D.O.B.: 12/66 Officer since January 2011 Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present), 120 E. Liberty Drive, Vice President (August 2001 to November 2003), First Suite 400 o Since Inception Trust Advisors L. P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Vice President (August 2005 to Present), First Trust 120 E. Liberty Drive, Advisors L.P. and First Trust Portfolios L.P; Vice Suite 400 o Since Inception President (May 2004 to August 2005), BondWave LLC Wheaton, IL 60187 (Software Development Company/Investment Advisor) D.O.B.: 11/70
-------- 2 The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 177 -------------------------------------------------------------------------------- RISK CONSIDERATIONS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 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. 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, Page 178 -------------------------------------------------------------------------------- RISK CONSIDERATIONS (Continued) -------------------------------------------------------------------------------- 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, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund and the First Trust Small Cap Growth 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 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 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 AlphaDEX(R) Fund, the First Trust Large Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund and the First Trust Mega Cap 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 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. Page 179 -------------------------------------------------------------------------------- RISK CONSIDERATIONS (Continued) -------------------------------------------------------------------------------- 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 180 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- PRIVACY POLICY The open-end and closed-end funds advised by First Trust Advisors L.P. (each a "Fund") consider your privacy an important priority in maintaining our relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information to those individuals who need to know that information to provide products or services to you. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, the Fund restricts access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please contact us at (800) 621-1675. Page 181 This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- 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 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. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. (d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. (e) Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $726,800 for 2010 and $0 for 2011. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2010 and $0 for 2011. Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2010 and $0 for 2011. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $66,000 for 2010 and $60,242.86 for 2011. These fees were for tax consultation. Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2010 and $0 for 2011. (d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2010 and $0 for 2011. All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2010 and $0 for 2011. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2010 were $66,000 for the registrant, $36,000 for the registrant's investment adviser and $37,300 for the registrant's distributor, and for 2011 were $60,242.86 for the registrant, $3,720 for the registrant's investment adviser and $35,433 for the registrant's distributor. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. ITEM 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 of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (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 (Signature and Title)* /s/ James A. Bowen -------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date September 21, 2011 ------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ James A. Bowen -------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date September 21, 2011 ------------------------- By (Signature and Title)* /s/ Mark R. Bradley -------------------------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date September 21, 2011 ------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert302.txt 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 21, 2011 /s/ James A. Bowen -------------------------- ------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 21, 2011 /s/ Mark R. Bradley -------------------------- ------------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 3 cert906.txt 906 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT I, James A. Bowen, Chairman of the Board, President and Chief Executive Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 21, 2011 /s/ James A. Bowen --------------------------- ---------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) I, Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 21, 2011 /s/ Mark R. Bradley --------------------------- ---------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)