N-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ----------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: July 31 --------- Date of reporting period: January 31, 2012 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2012 -------------------------------------------------------------------------------- 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) Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 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 Fund Notes to Fund Performance Overview...................................... 22 Understanding Your Fund Expenses............................................. 23 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund.................... 25 First Trust Consumer Staples AlphaDEX(R) Fund.......................... 28 First Trust Energy AlphaDEX(R) Fund.................................... 29 First Trust Financials AlphaDEX(R) Fund................................ 30 First Trust Health Care AlphaDEX(R) Fund............................... 33 First Trust Industrials/Producer Durables AlphaDEX(R) Fund............. 35 First Trust Materials AlphaDEX(R) Fund................................. 37 First Trust Technology AlphaDEX(R) Fund................................ 39 First Trust Utilities AlphaDEX(R) Fund................................. 41 Statements of Assets and Liabilities......................................... 44 Statements of Operations..................................................... 46 Statements of Changes in Net Assets.......................................... 48 Financial Highlights......................................................... 52 Notes to Financial Statements................................................ 57 Additional Information....................................................... 64 Risk Considerations.......................................................... 65 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, the "Funds") 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 Fund 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 SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2012 Dear Shareholders: I am pleased to present you with the semi-annual report for your investment in First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust"), now in our 21st year, has always believed that staying invested in quality products and having a long-term horizon can help investors reach their financial goals. Like many successful investors, we understand that success in the markets doesn't just happen--it requires a long-term investment perspective through all kinds of markets. Although the markets have continued to be somewhat choppy over the past six months, the equity market is well above the lows it sank to during the recent recession. The report you hold gives detailed information for the past six months about the Sector Funds of 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. A successful investor is also typically a knowledgeable one, as we have found to be the case at First Trust. First Trust remains committed to being a long-term investor and investment manager and to bringing you quality investment solutions regardless of market ups and downs. We offer a variety of products that could fit many financial plans to help those investors seeking long-term investment success. You may want to talk to your advisor about the other investments First Trust offers that might also fit your financial goals. First Trust will continue to make available up-to-date information about your investments so you and your financial advisor are current on any First Trust investments you own. We value our relationship with you, and thank you for the opportunity to assist you in achieving your financial goals. I look forward to the rest of 2012 and to the next edition of your Fund's report. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund and Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2012 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 The U.S. economy has shown its resiliency once again. It expanded in each of the past ten calendar quarters through the fourth quarter of 2011. The GDP growth rate in the fourth quarter of 2011 was an annualized 3.0%. It had not registered above 3.0% since the 3.8% GDP growth rate posted in second quarter of 2010. While some pundits are quick to point out that the early stages of U.S. recoveries have tended to produce GDP growth rates in the 4-6% range, a 3.0% growth rate is nothing to wince at, especially when you consider that the size of the U.S. economy (nominal dollars) has grown from $5.99 trillion in 1991 to $15.09 trillion in 2011. Over that same 20-year period, GDP averaged 2.6%, according to data from the Bureau of Economic Analysis. Consumer confidence in the economy appears to be improving based on the rise in nonfarm payrolls and recent retail sales data. The Conference Board's Consumer Confidence Index jumped from a reading of 40.9 in October 2011 to 61.5 in January 2012. Its five-year high was 111.9 in February 2007, but the average for the five-year period ended January 31, 2012 was 63.8. While there is debate over just how useful confidence levels are as a predictor of future spending, they are widely followed. Couple the index reading with the behavior of investors in recent years and it paints a rather stark picture - a lack of confidence has literally prevented some investors from participating in the current bull market in stocks. Data from the Investment Company Institute shows that investors liquidated roughly $490 billion from domestic equity funds over the past five years. The key event that seemed to trigger the mass exodus was the Lehman Brothers bankruptcy filing on September 15, 2008. Investors pulled out $45 billion in October 2008. SmartMoney.com estimates that the $45 billion pulled from the funds would have grown to $70 billion (including dividends) today. Those who have read our overviews in these very reports or followed our newsletters since the latter part of 2008 know how steadfast we were in encouraging investors to assume more risk to potentially capture more return. We are still of that mindset. While the S&P 500 has posted a cumulative total return of 106.0% from the end of the last bear market on 3/9/09 through 1/31/12, we believe there is the potential for more upside while corporate earnings remain relatively strong. Two important niches of the U.S. economy in recovery mode are state governments and banks. Data compiled by the Rockefeller Institute shows that total state tax collections rose 6.1% (year-over-year) in the third quarter of 2011, the seventh consecutive quarter in which revenues were up. The number of bank failures in 2011 totaled 92, down from 157 in 2010, according to Federal Deposit Insurance Corporation data. Loan balances increased for the third consecutive quarter in the fourth quarter of 2011 to $130.1 billion - the largest increase since 2007. U.S. STOCKS AND BONDS Two of the three major U.S. stock indices posted positive returns for the 6-month period ended January31, 2012, while the third was essentially flat. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index returned 2.71%, 0.03%, and 3.44%, respectively, according to Bloomberg. Eight of the 10 major sectors in the S&P 500 posted gains. The top performing sector was Utilities, up 6.89%, while the poorest showing came from Energy, down 5.26%. Financials also struggled, falling 4.01%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected to be 8.9% in 2012, according to Standard & Poor's. The top three sectors based on estimated earnings growth are Information Technology (+15.74%), Industrials (+13.66%) and Health Care (+11.54%), according to S&P. In the U.S. bond market, the top performing major group for the 6-month period ended January 31, 2012 was municipal bonds. The Barclays Capital Municipal Bond: Long Bond (22+) Index posted a total return of 11.17%. Fears over a spike in defaults proved unwarranted as they never materialized. The next closest major domestic category was a mix of government and high-grade corporate debt, up 4.25%, as measured by the Barclays Capital U.S. Aggregate Index. FOREIGN STOCKS AND BONDS For the six-month period ended January 31, 2012 there was little difference in the performance of higher quality securities overseas relative to those considered more speculative in nature. The Barclays Capital Global Aggregate Index of higher quality debt returned 0.82% (USD), just slightly better than the 0.74% gain for the Barclays Capital Global Emerging Markets Index of debt securities. The MSCI World Index (excluding the U.S.) of stocks from developed countries declined by 10.15% (USD), just slightly worse than the 9.46% loss for the MSCI Emerging Markets Index of stocks. The U.S. dollar negatively impacted returns for U.S. investors by appreciating 6.77% against a basket of major currencies in the six-month span, as measured by the U.S. 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -2.07% 7.16% 1.44% 7.00% Market Price -2.03% 7.10% 1.45% 7.04% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index -1.61% 8.15% 2.27% 11.19% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Consumer Discretionary Index 5.24% 13.15% 2.75% 13.72% Russell 1000(R) Consumer Discretionary Index(1) 4.90% 11.71% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 94.16% Consumer Staples 3.10 Industrials 2.49 Information Technology 0.25 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Career Education Corp. 1.61% MGM Resorts International 1.59 Autoliv, Inc. 1.50 General Motors Co. 1.50 Polaris Industries, Inc. 1.46 TRW Automotive Holdings Corp. 1.46 PVH Corp. 1.39 Royal Caribbean Cruises Ltd. 1.39 LKQ Corp. 1.37 Ross Stores, Inc. 1.36 ------- Total 14.63% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 10699 11120 9757 11372
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 67 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 8/1/11 - 1/31/12 60 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -3.38% 13.26% 4.67% 24.10% Market Price -3.30% 13.20% 4.68% 24.15% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index -3.00% 14.12% 5.44% 28.53% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Consumer Staples Index 5.59% 14.05% 6.55% 35.04% Russell 1000(R) Consumer Staples Index(1) 4.20% 14.88% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Staples 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Corn Products International, Inc. 5.04% Constellation Brands, Inc., Class A 4.83 Archer-Daniels-Midland Co. 4.78 Bunge Ltd. 4.78 Philip Morris International, Inc. 4.55 Smithfield Foods, Inc. 4.39 Monster Beverage Corp. 4.33 Tyson Foods, Inc., Class A 4.31 Whole Foods Market, Inc. 4.07 Safeway, Inc. 3.99 ------- Total 45.07% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 12410 12853 9757 13505
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 76 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 8/1/11 - 1/31/12 50 1 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -16.26% -11.48% 0.23% 1.11% Market Price -16.37% -11.61% 0.22% 1.05% INDEX PERFORMANCE StrataQuant(R) Energy Index -15.95% -10.81% 0.94% 4.52% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Energy Index -5.24% -0.97% 3.19% 16.04% Russell 1000(R) Energy Index(1) -6.22% -2.03% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Energy 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Marathon Petroleum Corp. 3.73% Valero Energy Corp. 3.71 Diamond Offshore Drilling, Inc. 3.67 Apache Corp. 3.55 Tesoro Corp. 3.48 Oil States International, Inc. 3.39 Exxon Mobil Corp. 3.21 Chevron Corp. 3.15 Patterson-UTI Energy, Inc. 3.07 Continental Resources, Inc. 2.86 ------- Total 33.82% ======= ------------------- (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 all 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. 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Energy AlphaDEX(R) Fund Energy Index Index 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 1/31/12 10110 10453 9757 11606
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 74 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 8/1/11 - 1/31/12 52 1 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXO - FIRST TRUST FINANCIALS ALPHADEX(R) FUND The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 0.83% -3.50% -5.58% -23.79% Market Price 0.97% -3.56% -5.56% -23.74% INDEX PERFORMANCE StrataQuant(R) Financials Index 1.28% -2.68% -4.66% -20.21% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Financials Index -4.02% -12.79% -16.90% -58.38% Russell 1000(R) Financial Services Index(1) -2.46% -9.19% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Financials 88.01% Information Technology 8.76 Consumer Discretionary 1.70 Industrials 1.53 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Janus Capital Group, Inc. 1.30% Goldman Sachs Group (The), Inc. 1.28 Morgan Stanley 1.28 American Capital Ltd. 1.27 Leucadia National Corp. 1.27 Chimera Investment Corp. 1.26 Assured Guaranty Ltd. 1.23 Citigroup, Inc. 1.21 MetLife, Inc. 1.18 JPMorgan Chase & Co. 1.17 ------- Total 12.45% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Financials AlphaDEX(R) Fund Financials Index Index 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 1/31/12 7621 7979 9757 4162
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 71 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 8/1/11 - 1/31/12 56 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 0.28% 8.73% 7.91% 43.41% Market Price 0.28% 8.73% 7.92% 43.46% INDEX PERFORMANCE StrataQuant(R) Health Care Index 0.70% 9.61% 8.80% 49.09% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Health Care Index 6.12% 15.65% 1.56% 7.61% Russell 1000(R) Health Care Index(1) 5.64% 14.87% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS AMERIGROUP Corp. 2.64% Boston Scientific Corp. 2.56 SXC Health Solutions Corp. 2.56 LifePoint Hospitals, Inc. 2.48 Endo Pharmaceuticals Holdings, Inc. 2.47 Alexion Pharmaceuticals, Inc. 2.46 Community Health Systems, Inc. 2.46 Catalyst Health Solutions, Inc. 2.42 Forest Laboratories, Inc. 2.41 Aetna, Inc. 2.38 ------- Total 24.84% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 First Trust Health Care StrataQuant(R) Health Russell 1000(R) S&P 500(R) Health AlphaDEX(R) Fund (FXH) 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 1/31/12 14342 14909 9757 10762
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 71 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 8/1/11 - 1/31/12 56 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 3.31% -1.31% -0.97% -4.50% Market Price 3.59% -1.35% -0.95% -4.40% INDEX PERFORMANCE StrataQuant(R) Industrials Index 3.80% -0.50% -0.20% -0.96% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Industrials Index 5.82% 1.95% 0.37% 1.77% Russell 1000(R) Producer Durables Index(1) 5.15% 1.41% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Industrials 92.14% Information Technology 7.21 Energy 0.65 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Thomas & Betts Corp. 2.02% WESCO International, Inc. 1.83 Oshkosh Corp. 1.75 Chicago Bridge & Iron Co. N.V., ADR 1.74 ITT Corp. 1.74 AECOM Technology Corp. 1.72 Exelis, Inc. 1.70 Lincoln Electric Holdings, Inc. 1.69 Carlisle Cos., Inc. 1.66 Donaldson Co., Inc. 1.64 ------- Total 17.49% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 First Trust Industrials/Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Industrials Index Index Industrials 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 1/31/12 9549 9904 9757 10177
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 41 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 8/1/11 - 1/31/12 86 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXZ - FIRST TRUST MATERIALS ALPHADEX(R) FUND The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -1.20% -0.94% 5.03% 26.16% Market Price -1.20% -0.86% 5.05% 26.26% INDEX PERFORMANCE StrataQuant(R) Materials Index -0.68% 0.00% 5.85% 30.90% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Materials Index 0.13% 0.39% 1.21% 5.85% Russell 1000(R) Materials and Processing Index(1) 1.16% 2.59% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Materials 87.50% Industrials 12.50 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Westlake Chemical Corp. 3.90% LyondellBasell Industries N.V., Class A 3.57 CF Industries Holdings, Inc. 3.29 Alcoa, Inc. 3.16 W.R. Grace & Co. 3.13 Valspar (The) Corp. 2.98 Reliance Steel & Aluminum Co. 2.94 Domtar Corp. 2.90 Fastenal Co. 2.88 Schnitzer Steel Industries, Inc., Class A 2.77 ------- Total 31.52% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/09 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 1/31/12 12616 13091 9757 10586
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 49 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 8/1/11 - 1/31/12 78 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXL - FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 1.28% -6.91% 2.13% 10.48% Market Price 1.33% -6.95% 2.14% 10.53% INDEX PERFORMANCE StrataQuant(R) Technology Index 1.72% -6.11% 3.04% 15.24% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Information Technology Index 6.29% 5.75% 4.15% 21.25% Russell 1000(R) Technology Index(1) 6.11% 4.50% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 97.01% Telecommunication Services 1.86 Financials 1.13 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Vishay Intertechnology, Inc. 2.43% EchoStar Corp., Class A 2.23 Teradyne, Inc. 2.13 International Rectifier Corp. 2.09 Western Digital Corp. 2.09 Fairchild Semiconductor International, Inc. 2.06 Applied Materials, Inc. 2.04 Harris Corp. 2.02 Nuance Communications, Inc. 2.01 Avnet, Inc. 1.99 ------- Total 21.09% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 11048 11523 9757 12125
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 78 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 8/1/11 - 1/31/12 49 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FXU - FIRST TRUST UTILITIES ALPHADEX(R) FUND The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -0.74% 4.29% 0.02% 0.08% Market Price -0.74% 4.23% 0.02% 0.07% INDEX PERFORMANCE StrataQuant(R) Utilities Index -0.34% 5.14% 0.87% 4.19% Russell 1000(R) Index 2.29% 3.95% -0.52% -2.42% S&P 500(R) Utilities Index 6.95% 14.24% -0.07% -0.32% Russell 1000(R) Utilities Index(1) 3.33% 9.28% NA NA ----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Utilities 70.39% Telecommunication Services 23.51 Energy 3.32 Industrials 2.78 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Telephone & Data Systems, Inc. 3.80% United States Cellular Corp. 3.62 Sempra Energy 3.56 Energen Corp. 3.32 ONEOK, Inc. 3.30 Ameren Corp. 3.29 Entergy Corp. 3.27 NII Holdings, Inc. 3.25 NRG Energy, Inc. 3.21 Sprint Nextel Corp. 3.12 ------- Total 33.74% ======= ------------------- (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 all 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) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 10008 10420 9757 9970
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 95 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 5/10/07 - 7/31/07 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 8/1/11 - 1/31/12 32 0 0 0 Page 21 -------------------------------------------------------------------------------- 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 May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) 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 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2012 (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 or First Trust Utilities 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 and held through the six-month period ended January 31, 2012. 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 EXPENSE PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2011 JANUARY 31, 2012 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Actual $1,000.00 $ 979.30 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND Actual $1,000.00 $ 966.20 0.70% $3.46 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST ENERGY ALPHADEX(R) FUND Actual $1,000.00 $ 837.40 0.70% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST FINANCIALS ALPHADEX(R) FUND Actual $1,000.00 $1,008.30 0.70% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND Actual $1,000.00 $1,002.80 0.70% $3.52 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2012 (UNAUDITED) ---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSE PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2011 JANUARY 31, 2012 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND Actual $1,000.00 $1,033.10 0.70% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MATERIALS ALPHADEX(R) FUND Actual $1,000.00 $ 988.00 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND Actual $1,000.00 $1,012.80 0.70% $3.54 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST UTILITIES ALPHADEX(R) FUND Actual $1,000.00 $ 992.60 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
(a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2011 through January 31, 2012), multiplied by 184/366 (to reflect the one-half year period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AUTO COMPONENTS -- 8.8% 128,490 Autoliv, Inc. $ 8,106,434 20,738 BorgWarner, Inc. (b) 1,547,677 372,750 Federal-Mogul Corp. (b) 6,183,922 92,902 Gentex Corp. 2,496,277 485,017 Goodyear Tire & Rubber (The) Co. (b) 6,305,221 87,945 Johnson Controls, Inc. 2,794,013 138,142 Lear Corp. 5,788,150 210,823 TRW Automotive Holdings Corp. (b) 7,910,079 137,617 Visteon Corp. (b) 6,605,616 ------------- 47,737,389 ------------- AUTOMOBILES -- 3.5% 122,834 Ford Motor Co. 1,525,598 339,059 General Motors Co. (b) 8,144,197 70,728 Harley-Davidson, Inc. 3,125,471 96,259 Tesla Motors, Inc. (b) 2,798,249 100,217 Thor Industries, Inc. 3,072,653 ------------- 18,666,168 ------------- BUILDING PRODUCTS -- 0.8% 242,141 Fortune Brands Home & Security, Inc. (b) 4,496,558 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 97,902 KAR Auction Services, Inc. (b) 1,443,076 ------------- DISTRIBUTORS -- 2.7% 112,304 Genuine Parts Co. 7,162,749 228,486 LKQ Corp. (b) 7,448,644 ------------- 14,611,393 ------------- DIVERSIFIED CONSUMER SERVICES -- 5.1% 102,064 Apollo Group, Inc., Class A (b) 5,349,174 862,317 Career Education Corp. (b) 8,718,025 178,697 DeVry, Inc. 6,747,599 47,224 Education Management Corp. (b) 1,205,629 252,521 H&R Block, Inc. 4,131,243 124,098 Service Corp. International 1,377,488 ------------- 27,529,158 ------------- FOOD & STAPLES RETAILING -- 1.8% 49,491 Costco Wholesale Corp. 4,071,624 92,008 Wal-Mart Stores, Inc. 5,645,611 ------------- 9,717,235 ------------- HOTELS, RESTAURANTS & LEISURE -- 12.2% 33,408 Bally Technologies, Inc. (b) 1,410,486 205,457 Brinker International, Inc. 5,311,063 168,444 Carnival Corp. 5,087,009 12,196 Chipotle Mexican Grill, Inc. (b) 4,479,469 72,253 Choice Hotels International, Inc. 2,625,674 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 29,001 Darden Restaurants, Inc. $ 1,330,276 76,836 International Game Technology 1,223,997 30,926 Las Vegas Sands Corp. (b) 1,518,776 41,102 McDonald's Corp. 4,071,153 658,936 MGM Resorts International (b) 8,599,115 48,584 Panera Bread Co., Class A (b) 7,202,578 277,465 Royal Caribbean Cruises Ltd. 7,541,499 119,494 Starbucks Corp. 5,727,347 200,959 WMS Industries, Inc. (b) 4,398,992 34,937 Wyndham Worldwide Corp. 1,389,095 69,878 Yum! Brands, Inc. 4,425,374 ------------- 66,341,903 ------------- HOUSEHOLD DURABLES -- 4.4% 69,060 Garmin Ltd. 2,879,802 72,271 Harman International Industries, Inc. 3,049,836 92,008 Jarden Corp. 3,099,750 119,317 Leggett & Platt, Inc. 2,560,543 45,931 Mohawk Industries, Inc. (b) 2,809,140 25,157 Tempur-Pedic International, Inc. (b) 1,678,224 23,611 Tupperware Brands Corp. 1,483,715 115,867 Whirlpool Corp. 6,293,895 ------------- 23,854,905 ------------- INTERNET & CATALOG RETAIL -- 1.9% 189,465 Expedia, Inc. 6,132,982 169,534 Liberty Interactive Corp., Class A (b) 2,902,422 2,808 priceline.com, Inc. (b) 1,486,780 ------------- 10,522,184 ------------- INTERNET SOFTWARE & SERVICES -- 0.3% 43,580 eBay, Inc. (b) 1,377,128 ------------- LEISURE EQUIPMENT & PRODUCTS -- 2.0% 99,029 Mattel, Inc. 3,069,899 122,775 Polaris Industries, Inc. 7,906,710 ------------- 10,976,609 ------------- MACHINERY -- 1.1% 54,305 Snap-on, Inc. 3,068,775 19,557 Stanley Black & Decker, Inc. 1,372,510 30,449 WABCO Holdings, Inc. (b) 1,578,781 ------------- 6,020,066 ------------- MEDIA -- 13.5% 202,586 CBS Corp., Class B 5,769,649 96,556 Charter Communications, Inc., Class A (b) 5,565,488 173,921 Comcast Corp., Class A 4,624,559 30,905 DIRECTV, Class A (b) 1,391,034 144,791 DISH Network Corp., Class A 4,042,565 331,314 DreamWorks Animation SKG, Inc., Class A (b) 5,880,824 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 514,041 Gannett Co., Inc. $ 7,283,961 282,532 Interpublic Group of Cos. (The), Inc. 2,918,556 48,058 Lamar Advertising Co., Class A (b) 1,374,939 100,503 Liberty Global, Inc., Class A (b) 4,611,078 88,054 Liberty Media Corp. - Liberty Capital, Class A (b) 7,256,530 61,127 McGraw-Hill (The) Cos., Inc. 2,811,842 74,082 News Corp., Class A 1,394,964 92,505 Omnicom Group, Inc. 4,219,153 726,193 Sirius XM Radio, Inc. (b) 1,517,743 76,067 Time Warner, Inc. 2,819,043 60,536 Viacom, Inc., Class B 2,847,613 73,312 Walt Disney (The) Co. 2,851,837 10,943 Washington Post (The) Co., Class B 4,144,224 ------------- 73,325,602 ------------- MULTILINE RETAIL -- 9.7% 109,210 Big Lots, Inc. (b) 4,312,703 153,135 Dillard's, Inc., Class A 6,776,224 133,650 Dollar General Corp. (b) 5,694,827 66,155 Dollar Tree, Inc. (b) 5,610,606 95,354 Family Dollar Stores, Inc. 5,320,753 111,413 Kohl's Corp. 5,123,884 213,571 Macy's, Inc. 7,195,207 82,951 Nordstrom, Inc. 4,096,120 129,754 Sears Holdings Corp. (b) 5,469,131 53,672 Target Corp. 2,727,074 ------------- 52,326,529 ------------- PERSONAL PRODUCTS -- 1.3% 122,374 Estee Lauder (The) Cos., Inc., Class A 7,089,126 ------------- ROAD & RAIL -- 0.3% 112,765 Hertz Global Holdings, Inc. (b) 1,533,604 ------------- SPECIALTY RETAIL -- 26.2% 206,083 Aaron's, Inc. 5,483,869 27,062 Abercrombie & Fitch Co., Class A 1,243,228 78,967 Advance Auto Parts, Inc. 6,052,031 269,697 American Eagle Outfitters, Inc. 3,800,031 186,406 AutoNation, Inc. (b) 6,665,879 8,453 AutoZone, Inc. (b) 2,940,630 22,802 Bed Bath & Beyond, Inc. (b) 1,384,081 235,270 Best Buy Co., Inc. 5,634,716 180,383 CarMax, Inc. (b) 5,489,055 370,156 Chico's FAS, Inc. 4,234,585 74,540 Dick's Sporting Goods, Inc. 3,071,793 93,273 DSW, Inc., Class A 4,660,852 172,970 Foot Locker, Inc. 4,538,733 284,822 GameStop Corp., Class A (b) 6,653,442 222,301 Gap (The), Inc. 4,219,273 163,482 Home Depot (The), Inc. 7,256,966 102,194 Limited Brands, Inc. 4,277,841 52,076 Lowe's Cos., Inc. 1,397,199 68,770 O'Reilly Automotive, Inc. (b) 5,605,443 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 133,994 PetSmart, Inc. $ 7,131,161 566,237 RadioShack Corp. 4,065,582 144,602 Ross Stores, Inc. 7,348,674 325,254 Sally Beauty Holdings, Inc. (b) 6,706,737 62,535 Signet Jewelers Ltd. 2,850,345 395,837 Staples, Inc. 5,791,095 19,944 Tiffany & Co. 1,272,427 85,171 TJX (The) Cos., Inc. 5,803,552 78,372 Tractor Supply Co. 6,330,106 63,519 Ulta Salon Cosmetics & Fragrance, Inc. (b) 4,841,418 47,955 Urban Outfitters, Inc. (b) 1,270,807 107,112 Williams-Sonoma, Inc. 3,841,036 ------------- 141,862,587 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 4.2% 45,032 Coach, Inc. 3,154,492 42,788 NIKE, Inc., Class B 4,449,524 97,497 PVH Corp. 7,525,793 29,860 Ralph Lauren Corp. 4,538,720 38,287 Under Armour, Inc., Class A (b) 3,048,411 ------------- 22,716,940 ------------- TOTAL COMMON STOCKS -- 100.1% 542,148,160 (Cost $525,005,630) MONEY MARKET FUND -- 0.0% 177,471 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 177,471 (Cost $177,471) ------------- TOTAL INVESTMENTS -- 100.1% 542,325,631 (Cost $525,183,101) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (309,559) ------------- NET ASSETS -- 100.0% $ 542,016,072 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $38,920,274 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $21,777,744. Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $542,148,160 $ -- $ -- Money Market Fund 177,471 -- -- -------------------------------------- Total Investments $542,325,631 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 22.5% 77,475 Brown-Forman Corp., Class B $ 6,291,745 59,430 Coca-Cola (The) Co. 4,013,308 241,950 Coca-Cola Enterprises, Inc. 6,481,840 502,942 Constellation Brands, Inc., Class A (b) 10,511,488 191,018 Molson Coors Brewing Co., Class B 8,192,762 90,261 Monster Beverage Corp. (b) 9,433,177 62,673 PepsiCo, Inc. 4,115,736 ------------- 49,040,056 ------------- FOOD & STAPLES RETAILING -- 24.8% 152,955 CVS Caremark Corp. 6,385,871 343,379 Kroger (The) Co. 8,158,685 395,278 Safeway, Inc. 8,688,211 1,024,217 SUPERVALU, Inc. 7,077,340 212,666 Sysco Corp. 6,403,373 251,562 Walgreen Co. 8,392,108 119,526 Whole Foods Market, Inc. 8,848,510 ------------- 53,954,098 ------------- FOOD PRODUCTS -- 40.1% 363,490 Archer-Daniels-Midland Co. 10,406,719 181,744 Bunge Ltd. 10,408,479 54,731 Campbell Soup Co. 1,734,973 236,268 ConAgra Foods, Inc. 6,301,267 197,677 Corn Products International, Inc. 10,969,097 102,903 General Mills, Inc. 4,098,626 33,665 H. J. Heinz Co. 1,745,530 67,309 Hershey (The) Co. 4,111,234 212,956 Hormel Foods Corp. 6,128,874 82,474 McCormick & Co., Inc. 4,168,236 26,470 Mead Johnson Nutrition Co. 1,961,162 329,677 Sara Lee Corp. 6,313,314 428,163 Smithfield Foods, Inc. (b) 9,560,880 503,673 Tyson Foods, Inc., Class A 9,388,465 ------------- 87,296,856 ------------- HOUSEHOLD PRODUCTS -- 4.3% 39,757 Church & Dwight Co., Inc. 1,803,775 19,691 Colgate-Palmolive Co. 1,786,367 56,530 Kimberly-Clark Corp. 4,045,287 27,271 Procter & Gamble (The) Co. 1,719,164 ------------- 9,354,593 ------------- PERSONAL PRODUCTS -- 2.1% 80,478 Herbalife Ltd. 4,658,067 ------------- TOBACCO -- 6.2% 61,358 Altria Group, Inc. 1,742,567 132,464 Philip Morris International, Inc. 9,904,333 43,922 Reynolds American, Inc. 1,723,060 ------------- 13,369,960 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOTAL COMMON STOCKS -- 100.0% $ 217,673,630 (Cost $217,652,823) MONEY MARKET FUND -- 0.0% 63,367 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 63,367 (Cost $63,367) ------------- TOTAL INVESTMENTS -- 100.0% 217,736,997 (Cost $217,716,190) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (17,646) ------------- NET ASSETS -- 100.0% $ 217,719,351 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,540,223 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,519,416. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $217,673,630 $ -- $ -- Money Market Fund 63,367 -- -- -------------------------------------- Total Investments $217,736,997 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 28 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 30.8% 53,615 Atwood Oceanics, Inc. (b) $ 2,465,218 32,895 Baker Hughes, Inc. 1,616,131 10,842 Cameron International Corp. (b) 576,795 4,324 CARBO Ceramics, Inc. 420,509 9,361 Core Laboratories N.V. 994,419 53,082 Diamond Offshore Drilling, Inc. 3,307,009 10,686 Dresser-Rand Group, Inc. (b) 547,444 40,845 FMC Technologies, Inc. (b) 2,087,588 27,416 Helmerich & Payne, Inc. 1,691,841 92,272 Nabors Industries Ltd. (b) 1,718,105 7,844 National Oilwell Varco, Inc. 580,299 46,246 Oceaneering International, Inc. 2,247,093 38,409 Oil States International, Inc. (b) 3,060,813 146,813 Patterson-UTI Energy, Inc. 2,770,361 17,584 Rowan Cos., Inc. (b) 598,032 29,224 RPC, Inc. 445,666 5,995 SEACOR Holdings, Inc. (b) 548,722 45,977 Unit Corp. (b) 2,080,459 ------------- 27,756,504 ------------- OIL, GAS & CONSUMABLE FUELS -- 69.2% 52,211 Alpha Natural Resources, Inc. (b) 1,050,485 6,987 Anadarko Petroleum Corp. 563,991 32,384 Apache Corp. 3,202,130 73,512 Arch Coal, Inc. 1,060,778 28,108 Cabot Oil & Gas Corp. 896,645 71,781 Chesapeake Energy Corp. 1,516,733 27,569 Chevron Corp. 2,841,812 34,464 Cimarex Energy Co. 2,012,008 17,067 Concho Resources, Inc. (b) 1,820,366 29,276 ConocoPhillips 1,996,916 31,979 Continental Resources, Inc. (b) 2,580,066 105,960 Denbury Resources, Inc. (b) 1,998,406 25,806 Devon Energy Corp. 1,646,681 40,145 El Paso Corp. 1,078,696 16,242 EOG Resources, Inc. 1,723,926 9,734 EQT Corp. 491,762 102,073 EXCO Resources, Inc. 802,294 34,608 Exxon Mobil Corp. 2,898,074 78,721 Forest Oil Corp. (b) 1,023,373 37,559 Hess Corp. 2,114,572 22,792 HollyFrontier Corp. 668,717 72,885 Marathon Oil Corp. 2,287,860 88,114 Marathon Petroleum Corp. 3,367,717 38,273 Murphy Oil Corp. 2,281,071 56,542 Newfield Exploration Co. (b) 2,137,853 11,301 Noble Energy, Inc. 1,137,672 17,076 Occidental Petroleum Corp. 1,703,672 11,921 Pioneer Natural Resources Co. 1,183,755 14,524 Plains Exploration & Production Co. (b) 547,845 54,607 QEP Resources, Inc. 1,563,944 437,158 Quicksilver Resources, Inc. (b) 2,190,162 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 17,221 Range Resources Corp. $ 990,552 130,719 SandRidge Energy, Inc. (b) 1,016,994 21,888 SM Energy Co. 1,588,631 125,571 Tesoro Corp. (b) 3,143,042 139,351 Valero Energy Corp. 3,343,030 ------------- 62,472,231 ------------- TOTAL COMMON STOCKS -- 100.0% 90,228,735 (Cost $100,275,484) MONEY MARKET FUND -- 0.1% 46,501 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 46,501 (Cost $46,501) ------------- TOTAL INVESTMENTS -- 100.1% 90,275,236 (Cost $100,321,985) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (83,800) ------------- NET ASSETS -- 100.0% $ 90,191,436 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,822,987 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,869,736. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $ 90,228,735 $ -- $ -- Money Market Fund 46,501 -- -- --------------------------------------- Total Investments $ 90,275,236 $ -- $ -- ======================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 29 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 16.1% 10,160 Affiliated Managers Group, Inc. (b) $ 1,021,182 180,865 American Capital Ltd. (b) 1,486,710 14,708 Ameriprise Financial, Inc. 787,613 78,797 Ares Capital Corp. 1,248,932 48,916 Bank of New York Mellon (The) Corp. 984,679 4,120 BlackRock, Inc. 749,840 122,358 E*TRADE Financial Corp. (b) 1,002,112 10,314 Eaton Vance Corp. 264,967 64,282 Federated Investors, Inc., Class B 1,097,936 13,480 Goldman Sachs Group (The), Inc. 1,502,616 36,369 Invesco Ltd. 820,848 192,900 Janus Capital Group, Inc. 1,518,123 53,113 Jefferies Group, Inc. 807,849 9,332 Lazard Ltd., Class A 268,015 40,468 Legg Mason, Inc. 1,030,720 31,889 LPL Investment Holdings, Inc. (b) 1,047,554 80,464 Morgan Stanley 1,500,654 6,150 Northern Trust Corp. 253,441 7,859 Raymond James Financial, Inc. 275,065 18,094 State Street Corp. 708,923 8,540 T. Rowe Price Group, Inc. 493,954 ------------- 18,871,733 ------------- COMMERCIAL BANKS -- 14.9% 65,408 Associated Banc-Corp. 814,984 19,352 BB&T Corp. 526,181 8,860 BOK Financial Corp. 493,502 20,924 CIT Group, Inc. (b) 798,041 11,021 City National Corp. 505,643 18,872 Comerica, Inc. 522,188 6,375 Commerce Bancshares, Inc. 247,477 4,623 Cullen/Frost Bankers, Inc. 257,362 24,671 East West Bancorp, Inc. 541,775 57,426 Fifth Third Bancorp 747,112 5,549 First Citizens BancShares, Inc., Class A 978,955 30,420 First Horizon National Corp. 265,567 84,640 First Niagara Financial Group, Inc. 810,005 7,972 First Republic Bank (b) 239,001 49,623 Fulton Financial Corp. 460,998 177,369 Huntington Bancshares, Inc. 1,012,777 158,296 KeyCorp 1,229,960 9,553 M&T Bank Corp. 761,756 16,880 PNC Financial Services Group, Inc. 994,570 226,459 Regions Financial Corp. 1,182,116 27,522 SunTrust Banks, Inc. 566,128 70,781 TCF Financial Corp. 710,641 18,010 U.S. Bancorp 508,242 19,688 Valley National Bancorp 234,681 26,516 Wells Fargo & Co. 774,532 74,783 Zions Bancorporation 1,259,346 ------------- 17,443,540 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSUMER FINANCE -- 2.7% 10,331 American Express Co. $ 517,996 28,766 Capital One Financial Corp. 1,316,045 40,576 Discover Financial Services 1,102,856 18,178 SLM Corp. 271,761 ------------- 3,208,658 ------------- DIVERSIFIED FINANCIAL SERVICES -- 8.5% 43,776 Bank of America Corp. 312,123 28,236 CBOE Holdings, Inc. 722,559 46,263 Citigroup, Inc. 1,421,199 4,000 CME Group, Inc. 958,040 2,015 IntercontinentalExchange, Inc. (b) 230,677 36,598 JPMorgan Chase & Co. 1,365,105 53,551 Leucadia National Corp. 1,486,576 21,692 Moody's Corp. 807,593 7,380 MSCI, Inc., Class A (b) 240,441 49,644 NASDAQ OMX Group (The), Inc. (b) 1,230,178 46,624 NYSE Euronext 1,238,334 ------------- 10,012,825 ------------- INSURANCE -- 28.6% 6,964 ACE Ltd. 484,694 11,236 Aflac, Inc. 541,912 1,696 Alleghany Corp. (b) 490,738 7,721 Allied World Assurance Co. Holdings AG 475,073 8,873 Allstate (The) Corp. 255,986 33,017 American Financial Group, Inc. 1,210,733 41,957 American International Group, Inc. (b) 1,053,540 10,006 American National Insurance Co. 728,937 10,389 Aon Corp. 503,139 19,594 Arch Capital Group Ltd. (b) 706,364 5,904 Assurant, Inc. 233,798 92,650 Assured Guaranty Ltd. 1,437,001 15,224 Axis Capital Holdings Ltd. 468,595 9,556 Berkshire Hathaway, Inc., Class B (b) 748,904 21,524 Brown & Brown, Inc. 490,317 10,542 Chubb (The) Corp. 710,636 7,999 Cincinnati Financial Corp. 261,407 36,404 CNA Financial Corp. 1,002,202 6,359 Endurance Specialty Holdings Ltd. 237,827 12,541 Erie Indemnity Co., Class A 961,518 2,879 Everest Re Group, Ltd. 245,867 61,127 Fidelity National Financial, Inc., Class A 1,111,900 6,980 Hanover Insurance Group (The), Inc. 253,793 74,929 Hartford Financial Services Group (The), Inc. 1,312,756 35,409 HCC Insurance Holdings, Inc. 982,954 16,678 Kemper Corp. 496,504 62,664 Lincoln National Corp. 1,349,783 19,390 Loews Corp. 723,441 611 Markel Corp. (b) 246,276 Page 30 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 7,694 Marsh & McLennan Cos., Inc. $ 243,053 5,339 Mercury General Corp. 233,314 39,050 MetLife, Inc. 1,379,637 39,583 Principal Financial Group, Inc. 1,081,012 37,427 Progressive (The) Corp. 759,020 53,951 Protective Life Corp. 1,349,315 19,412 Prudential Financial, Inc. 1,111,143 23,272 Reinsurance Group of America, Inc. 1,268,091 33,106 StanCorp Financial Group, Inc. 1,279,878 22,424 Torchmark Corp. 1,024,104 4,466 Transatlantic Holdings, Inc. 247,640 12,347 Travelers (The) Cos., Inc. 719,830 57,774 Unum Group 1,318,980 23,194 Validus Holdings Ltd. 743,832 21,229 W. R. Berkley Corp. 727,518 12,327 XL Group PLC 249,868 ------------- 33,462,830 ------------- IT SERVICES -- 8.8% 11,713 Alliance Data Systems Corp. (b) 1,297,800 21,577 Broadridge Financial Solutions, Inc. 517,201 94,154 CoreLogic, Inc. (b) 1,336,987 36,608 Fidelity National Information Services, Inc. 1,045,524 8,307 Fiserv, Inc. (b) 522,427 16,320 FleetCor Technologies, Inc. (b) 554,717 20,549 Global Payments, Inc. 1,027,861 3,287 MasterCard, Inc., Class A 1,168,759 49,779 Total System Services, Inc. 1,067,262 11,999 Visa, Inc., Class A 1,207,579 26,681 Western Union Co. 509,607 ------------- 10,255,724 ------------- MEDIA -- 1.7% 12,306 Morningstar, Inc. 734,914 45,626 Thomson Reuters Corp. 1,254,259 ------------- 1,989,173 ------------- PROFESSIONAL SERVICES -- 1.5% 9,738 Dun & Bradstreet (The) Corp. 806,404 25,160 Equifax, Inc. 980,485 ------------- 1,786,889 ------------- REAL ESTATE INVESTMENT TRUSTS -- 13.3% 3,523 Alexandria Real Estate Equities, Inc. 255,100 34,696 American Capital Agency Corp. 1,017,287 30,523 Annaly Capital Management, Inc. 514,007 4,875 Boston Properties, Inc. 507,244 7,831 Camden Property Trust 505,100 484,958 Chimera Investment Corp. 1,474,272 14,650 CommonWealth REIT 288,166 18,242 Digital Realty Trust, Inc. 1,292,628 8,531 Equity Residential 508,021 6,906 Essex Property Trust, Inc. 994,464 2,679 Federal Realty Investment Trust 253,058 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 9,641 Macerich (The) Co. $ 523,506 14,309 Piedmont Office Realty Trust, Inc., Class A 265,003 6,665 Plum Creek Timber Co., Inc. 258,469 7,224 Public Storage 1,003,125 21,836 Rayonier, Inc. 998,560 10,851 Senior Housing Properties Trust 246,101 7,541 Simon Property Group, Inc. 1,024,520 18,247 SL Green Realty Corp. 1,341,702 29,086 UDR, Inc. 756,818 17,675 Ventas, Inc. 1,030,629 26,071 Weyerhaeuser Co. 521,941 ------------- 15,579,721 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.1% 32,012 CBRE Group, Inc., Class A (b) 617,832 16,534 Howard Hughes (The) Corp. (b) 856,792 11,903 Jones Lang LaSalle, Inc. 937,480 ------------- 2,412,104 ------------- THRIFTS & MORTGAGE FINANCE -- 1.7% 59,064 New York Community Bancorp, Inc. 749,522 56,819 People's United Financial, Inc. 700,578 34,783 Washington Federal, Inc. 548,180 ------------- 1,998,280 ------------- TOTAL COMMON STOCKS -- 99.9% 117,021,477 (Cost $119,758,933) MONEY MARKET FUND -- 0.1% 151,798 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) (Cost $151,798) 151,798 ------------- TOTAL INVESTMENTS -- 100.0% 117,173,275 (Cost $119,910,731) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% 9,272 ------------- NET ASSETS -- 100.0% $ 117,182,547 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,549,631 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,287,087. See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $117,021,477 $ -- $ -- Money Market Fund 151,798 -- -- -------------------------------------- Total Investments $117,173,275 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 32 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 9.8% 171,604 Alexion Pharmaceuticals, Inc. (b) $ 13,172,323 76,431 Amgen, Inc. 5,190,429 62,435 Biogen Idec, Inc. (b) 7,362,335 285,502 BioMarin Pharmaceutical, Inc. (b) 10,183,856 145,200 Celgene Corp. (b) 10,556,040 41,316 Regeneron Pharmaceuticals, Inc. (b) 3,753,972 48,475 United Therapeutics Corp. (b) 2,384,001 ------------- 52,602,956 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 19.5% 99,186 Baxter International, Inc. 5,502,839 2,297,677 Boston Scientific Corp. (b) 13,694,155 270,404 CareFusion Corp. (b) 6,476,176 69,594 Cooper (The) Cos., Inc. 5,020,511 218,077 Covidien PLC 11,230,966 65,456 DENTSPLY International, Inc. 2,470,309 203,944 Hill-Rom Holdings, Inc. 6,732,191 280,284 Hologic, Inc. (b) 5,714,991 63,775 IDEXX Laboratories, Inc. (b) 5,394,727 26,501 Intuitive Surgical, Inc. (b) 12,188,075 256,617 Medtronic, Inc. 9,897,718 37,369 Teleflex, Inc. 2,286,609 68,242 Thoratec Corp. (b) 2,006,315 73,106 Varian Medical Systems, Inc. (b) 4,815,492 183,743 Zimmer Holdings, Inc. (b) 11,162,387 ------------- 104,593,461 ------------- HEALTH CARE PROVIDERS & SERVICES -- 41.2% 290,820 Aetna, Inc. 12,708,834 207,675 AMERIGROUP Corp. (b) 14,123,977 131,967 AmerisourceBergen Corp. 5,142,754 131,702 Brookdale Senior Living, Inc. (b) 2,317,955 120,852 Cardinal Health, Inc. 5,200,262 235,954 Catalyst Health Solutions, Inc. (b) 12,920,841 233,707 Cigna Corp. 10,477,085 703,127 Community Health Systems, Inc. (b) 13,148,475 404,002 Coventry Health Care, Inc. (b) 12,148,340 90,631 DaVita, Inc. (b) 7,414,522 109,822 Express Scripts, Inc. (b) 5,618,494 103,964 HCA Holdings, Inc. (b) 2,540,880 310,763 Health Management Associates, Inc., Class A (b) 1,991,991 76,176 Henry Schein, Inc. (b) 5,400,117 112,042 Humana, Inc. 9,973,979 26,639 Laboratory Corp. of America Holdings (b) 2,434,538 330,271 LifePoint Hospitals, Inc. (b) 13,273,591 89,081 Lincare Holdings, Inc. 2,288,491 88,193 McKesson Corp. 7,207,132 175,589 Medco Health Solutions, Inc. (b) 10,890,030 95,416 MEDNAX, Inc. (b) 6,795,528 77,582 Patterson Cos., Inc. 2,498,916 118,339 Quest Diagnostics, Inc. 6,873,129 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 1,913,384 Tenet Healthcare Corp. (b) $ 10,121,801 193,680 UnitedHealth Group, Inc. 10,030,687 176,815 Universal Health Services, Inc., Class B 7,300,691 347,895 VCA Antech, Inc. (b) 7,785,890 185,200 WellPoint, Inc. 11,912,064 ------------- 220,540,994 ------------- HEALTH CARE TECHNOLOGY -- 3.9% 259,127 Allscripts Healthcare Solutions, Inc. (b) 4,954,508 37,393 Cerner Corp. (b) 2,276,860 217,239 SXC Health Solutions Corp. (b) 13,699,091 ------------- 20,930,459 ------------- LIFE SCIENCES TOOLS & SERVICES -- 8.3% 102,202 Bio-Rad Laboratories, Inc., Class A (b) 10,379,635 176,585 Life Technologies Corp. (b) 8,552,011 343,551 PerkinElmer, Inc. 8,238,353 355,381 QIAGEN N.V. (b) 5,750,065 218,274 Thermo Fisher Scientific, Inc. (b) 11,546,695 ------------- 44,466,759 ------------- PHARMACEUTICALS -- 17.2% 174,565 Abbott Laboratories 9,452,695 55,940 Allergan, Inc. 4,917,685 64,994 Bristol-Myers Squibb Co. 2,095,407 295,223 Eli Lilly & Co. 11,732,162 355,330 Endo Pharmaceuticals Holdings, Inc. (b) 13,207,616 405,471 Forest Laboratories, Inc. (b) 12,885,868 226,242 Hospira, Inc. (b) 7,796,299 74,837 Johnson & Johnson 4,932,507 60,748 Merck & Co., Inc. 2,324,219 320,175 Mylan, Inc. (b) 6,643,631 70,618 Perrigo Co. 6,751,081 317,512 Pfizer, Inc. 6,794,757 37,953 Watson Pharmaceuticals, Inc. (b) 2,225,184 ------------- 91,759,111 ------------- TOTAL COMMON STOCKS -- 99.9% 534,893,740 (Cost $510,004,956) MONEY MARKET FUND -- 0.1% 591,134 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 591,134 (Cost $591,134) ------------- TOTAL INVESTMENTS -- 100.0% 535,484,874 (Cost $510,596,090) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (205,876) ------------- NET ASSETS -- 100.0% $ 535,278,998 ============= See Notes to Financial Statements Page 33 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $30,034,198 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,145,414. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $534,893,740 $ -- $ -- Money Market Fund 591,134 -- -- -------------------------------------- Total Investments $535,484,874 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 34 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 17.1% 17,306 Alliant Techsystems, Inc. $ 1,028,149 14,603 BE Aerospace, Inc. (b) 616,247 7,707 Boeing (The) Co. 571,705 109,296 Exelis, Inc. 1,091,867 11,917 General Dynamics Corp. 824,180 4,568 Goodrich Corp. 569,858 10,401 Honeywell International, Inc. 603,674 14,834 L-3 Communications Holdings, Inc. 1,049,357 6,985 Lockheed Martin Corp. 575,005 16,913 Northrop Grumman Corp. 981,800 16,356 Raytheon Co. 784,924 38,081 Spirit AeroSystems Holdings, Inc., Class A (b) 865,962 21,398 Textron, Inc. 545,221 8,271 TransDigm Group, Inc. (b) 864,568 ------------- 10,972,517 ------------- AIR FREIGHT & LOGISTICS -- 1.9% 6,768 FedEx Corp. 619,204 5,404 United Parcel Service, Inc., Class B 408,813 14,174 UTI Worldwide, Inc. 211,051 ------------- 1,239,068 ------------- AIRLINES -- 2.5% 13,485 Copa Holdings SA, Class A 918,868 46,222 Southwest Airlines Co. 442,807 9,986 United Continental Holdings, Inc. (b) 230,676 ------------- 1,592,351 ------------- COMMERCIAL SERVICES & SUPPLIES -- 5.6% 19,710 Avery Dennison Corp. 535,127 5,410 Cintas Corp. 200,440 11,802 Copart, Inc. (b) 555,166 27,747 Corrections Corp. of America (b) 652,887 13,760 Covanta Holding Corp. 196,630 39,171 R.R. Donnelley & Sons Co. 444,983 14,361 Republic Services, Inc. 420,490 5,683 Waste Connections, Inc. 183,618 12,094 Waste Management, Inc. 420,387 ------------- 3,609,728 ------------- COMPUTERS & PERIPHERALS -- 1.6% 29,908 Lexmark International, Inc., Class A 1,043,789 ------------- CONSTRUCTION & ENGINEERING -- 5.2% 48,087 AECOM Technology Corp. (b) 1,100,711 26,166 Chicago Bridge & Iron Co. N.V., ADR 1,114,148 4,641 Jacobs Engineering Group, Inc. (b) 207,731 28,390 KBR, Inc. 912,455 ------------- 3,335,045 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT -- 9.9% 13,428 AMETEK, Inc. $ 631,116 16,392 Babcock & Wilcox (The) Co. (b) 407,341 3,477 Cooper Industries PLC 205,560 31,642 General Cable Corp. (b) 976,472 57,970 GrafTech International Ltd. (b) 951,868 7,766 Regal-Beloit Corp. 440,876 7,705 Rockwell Automation, Inc. 599,988 9,109 Roper Industries, Inc. 850,690 18,118 Thomas & Betts Corp. (b) 1,293,444 ------------- 6,357,355 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 7,259 National Instruments Corp. 195,340 18,232 Trimble Navigation Ltd. (b) 853,804 ------------- 1,049,144 ------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 34,374 McDermott International, Inc. (b) 417,988 ------------- INDUSTRIAL CONGLOMERATES -- 3.9% 4,840 3M Co. 419,676 22,330 Carlisle Cos., Inc. 1,065,811 4,005 Danaher Corp. 210,303 10,517 General Electric Co. 196,773 12,099 Tyco International Ltd. 616,444 ------------- 2,509,007 ------------- INTERNET SOFTWARE & SERVICES -- 0.6% 49,893 Monster Worldwide, Inc. (b) 359,230 ------------- IT SERVICES -- 1.6% 3,538 Accenture PLC, Class A 202,869 7,325 Automatic Data Processing, Inc. 401,264 22,934 Booz Allen Hamilton Holding Corp. (b) 403,638 ------------- 1,007,771 ------------- MACHINERY -- 28.2% 18,416 AGCO Corp. (b) 937,927 8,736 Caterpillar, Inc. 953,272 15,707 CNH Global N.V. (b) 655,610 2,140 Cummins, Inc. 222,560 7,308 Deere & Co. 629,584 14,531 Donaldson Co., Inc. 1,050,591 9,736 Dover Corp. 617,360 9,091 Eaton Corp. 445,732 3,985 Flowserve Corp. 439,027 10,270 Gardner Denver, Inc. 766,142 4,609 Graco, Inc. 211,922 27,464 Harsco Corp. 610,525 5,079 IDEX Corp. 205,801 12,099 Illinois Tool Works, Inc. 641,610 51,173 ITT Corp. 1,112,501 2,511 Joy Global, Inc. 227,723 21,668 Kennametal, Inc. 934,107 See Notes to Financial Statements Page 35 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 25,282 Lincoln Electric Holdings, Inc. $ 1,085,862 20,501 Manitowoc (The) Co., Inc. 275,533 14,920 Navistar International Corp. (b) 645,887 46,268 Oshkosh Corp. (b) 1,123,387 13,848 Pall Corp. 826,449 7,411 Parker Hannifin Corp. 597,919 11,884 Pentair, Inc. 437,569 3,125 SPX Corp. 217,594 13,045 Toro (The) Co. 826,923 13,163 Trinity Industries, Inc. 414,108 14,141 Wabtec Corp. 972,759 ------------- 18,085,984 ------------- MARINE -- 1.9% 4,616 Alexander & Baldwin, Inc. 218,337 15,025 Kirby Corp. (b) 1,003,219 ------------- 1,221,556 ------------- OFFICE ELECTRONICS -- 1.5% 124,263 Xerox Corp. 963,038 ------------- PROFESSIONAL SERVICES -- 3.6% 4,594 IHS, Inc., Class A (b) 411,071 34,757 Robert Half International, Inc. 962,422 6,604 Towers Watson & Co., Class A 394,919 14,084 Verisk Analytics, Inc., Class A (b) 564,346 ------------- 2,332,758 ------------- ROAD & RAIL -- 7.2% 13,570 Con-way, Inc. 430,712 17,555 J.B. Hunt Transport Services, Inc. 896,534 14,545 Kansas City Southern (b) 998,369 16,511 Landstar System, Inc. 844,538 2,583 Norfolk Southern Corp. 186,492 7,446 Ryder System, Inc. 419,061 7,468 Union Pacific Corp. 853,667 ------------- 4,629,373 ------------- SOFTWARE -- 0.3% 6,925 Synopsys, Inc. (b) 202,071 ------------- TRADING COMPANIES & DISTRIBUTORS -- 5.0% 4,318 GATX Corp. 185,415 11,058 MSC Industrial Direct Co., Inc., Class A 840,629 5,286 W.W. Grainger, Inc. 1,008,252 18,657 WESCO International, Inc. (b) 1,173,152 ------------- 3,207,448 ------------- TOTAL COMMON STOCKS -- 99.9% 64,135,221 (Cost $60,475,692) MONEY MARKET FUND -- 0.1% 37,573 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 37,573 (Cost $37,573) ------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 64,172,794 (Cost $60,513,265) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (24,348) ------------- NET ASSETS -- 100.0% $ 64,148,446 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,461,900 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,802,371. ADR - American Depositary Receipt ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $ 64,135,221 $ -- $ -- Money Market Fund 37,573 -- -- -------------------------------------- Total Investments $ 64,172,794 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.5% 4,292 Precision Castparts Corp. $ 702,515 ------------- BUILDING PRODUCTS -- 3.9% 48,354 Armstrong World Industries, Inc. (b) 2,258,132 20,953 Lennox International, Inc. 758,499 67,470 Masco Corp. 814,363 53,719 Owens Corning, Inc. (b) 1,813,016 ------------- 5,644,010 ------------- CHEMICALS -- 43.2% 49,399 Airgas, Inc. 3,899,063 13,725 Albemarle Corp. 882,655 48,001 Cabot Corp. 1,737,636 69,699 Celanese Corp., Class A 3,395,038 26,605 CF Industries Holdings, Inc. 4,719,195 69,105 Cytec Industries, Inc. 3,445,575 73,760 Dow Chemical (The) Co. 2,471,698 15,447 E.I. du Pont de Nemours & Co. 786,098 39,496 Eastman Chemical Co. 1,987,439 36,695 Ecolab, Inc. 2,217,846 24,652 FMC Corp. 2,284,747 212,131 Huntsman Corp. 2,700,428 118,709 LyondellBasell Industries N.V., Class A 5,116,358 10,091 Monsanto Co. 827,966 25,409 PPG Industries, Inc. 2,276,138 14,430 Praxair, Inc. 1,532,466 78,372 Rockwood Holdings, Inc. (b) 3,957,786 34,564 Sherwin-Williams (The) Co. 3,371,027 98,972 Valspar (The) Corp. 4,279,549 83,992 W.R. Grace & Co. (b) 4,496,932 95,849 Westlake Chemical Corp. 5,602,374 ------------- 61,988,014 ------------- CONTAINERS & PACKAGING -- 16.3% 13,554 AptarGroup, Inc. 710,501 59,403 Ball Corp. 2,332,162 51,286 Bemis Co., Inc. 1,604,226 21,054 Crown Holdings, Inc. (b) 759,418 46,570 Greif, Inc., Class A 2,256,316 79,603 Owens-Illinois, Inc. (b) 1,914,452 61,121 Packaging Corp. of America 1,719,945 53,477 Rock-Tenn Co., Class A 3,308,087 179,286 Sealed Air Corp. 3,573,170 39,928 Silgan Holdings, Inc. 1,659,408 46,807 Sonoco Products Co. 1,465,059 66,894 Temple-Inland, Inc. 2,133,249 ------------- 23,435,993 ------------- MACHINERY -- 5.2% 79,707 Timken (The) Co. 3,892,093 33,984 Valmont Industries, Inc. 3,565,261 ------------- 7,457,354 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- METALS & MINING -- 21.4% 85,603 AK Steel Holding Corp. $ 808,092 445,885 Alcoa, Inc. 4,530,192 32,275 Allegheny Technologies, Inc. 1,464,962 59,933 Carpenter Technology Corp. 3,145,284 11,336 Cliffs Natural Resources, Inc. 819,026 35,352 Newmont Mining Corp. 2,173,441 17,870 Nucor Corp. 795,036 79,213 Reliance Steel & Aluminum Co. 4,214,132 31,458 Royal Gold, Inc. 2,395,212 91,222 Schnitzer Steel Industries, Inc., Class A 3,980,016 23,428 Southern Copper Corp. 812,717 234,638 Steel Dynamics, Inc. 3,742,476 58,306 United States Steel Corp. 1,760,258 ------------- 30,640,844 ------------- PAPER & FOREST PRODUCTS -- 6.6% 48,235 Domtar Corp. 4,166,539 104,242 International Paper Co. 3,246,096 70,826 MeadWestvaco Corp. 2,085,118 ------------- 9,497,753 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.9% 88,441 Fastenal Co. 4,128,426 ------------- TOTAL COMMON STOCKS -- 100.0% 143,494,909 (Cost $141,985,448) MONEY MARKET FUND -- 0.1% 156,795 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 156,795 (Cost $156,795) ------------- TOTAL INVESTMENTS -- 100.1% 143,651,704 (Cost $142,142,243) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (88,042) ------------- NET ASSETS -- 100.0% $ 143,563,662 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,582,173 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,072,712. See Notes to Financial Statements Page 37 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $143,494,909 $ -- $ -- Money Market Fund 156,795 -- -- -------------------------------------- Total Investments $143,651,704 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 38 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% COMMUNICATIONS EQUIPMENT -- 9.3% 296,104 Brocade Communications Systems, Inc. (b) $ 1,661,143 126,999 Ciena Corp. (b) 1,847,835 85,285 Cisco Systems, Inc. 1,674,145 194,263 EchoStar Corp., Class A (b) 5,095,519 22,999 F5 Networks, Inc. (b) 2,753,900 112,871 Harris Corp. 4,627,711 73,591 JDS Uniphase Corp. (b) 933,870 44,611 QUALCOMM, Inc. 2,624,019 ------------- 21,218,142 ------------- COMPUTERS & PERIPHERALS -- 11.4% 7,596 Apple, Inc. (b) 3,467,422 210,074 Dell, Inc. (b) 3,619,575 35,667 EMC Corp. (b) 918,782 31,744 Fusion-io, Inc. (b) 733,604 157,925 Hewlett-Packard Co. 4,418,742 93,367 NCR Corp. (b) 1,748,764 204,892 QLogic Corp. (b) 3,548,729 62,466 SanDisk Corp. (b) 2,865,940 131,441 Western Digital Corp. (b) 4,777,880 ------------- 26,099,438 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 16.0% 16,934 Amphenol Corp., Class A 921,718 108,736 Arrow Electronics, Inc. (b) 4,489,709 130,846 Avnet, Inc. (b) 4,562,600 318,791 AVX Corp. 4,195,290 313,390 Corning, Inc. 4,033,329 134,182 Ingram Micro, Inc., Class A (b) 2,546,774 156,336 Jabil Circuit, Inc. 3,542,574 128,814 Molex, Inc. 3,405,842 62,196 Tech Data Corp. (b) 3,229,216 452,491 Vishay Intertechnology, Inc. (b) 5,556,590 ------------- 36,483,642 ------------- INTERNET SOFTWARE & SERVICES -- 9.2% 47,610 Akamai Technologies, Inc. (b) 1,535,423 203,547 AOL, Inc. (b) 3,299,497 30,303 Equinix, Inc. (b) 3,635,148 4,759 Google, Inc., Class A (b) 2,760,743 18,035 IAC/InterActiveCorp 776,767 94,586 Rackspace Hosting, Inc. (b) 4,105,978 68,331 VeriSign, Inc. 2,532,347 151,323 Yahoo!, Inc. (b) 2,340,967 ------------- 20,986,870 ------------- IT SERVICES -- 7.5% 85,548 Amdocs Ltd. (b) 2,518,533 11,954 Cognizant Technology Solutions Corp., Class A (b) 857,699 53,621 DST Systems, Inc. 2,617,241 SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES (CONTINUED) 22,105 Gartner, Inc. (b) $ 838,001 13,271 International Business Machines Corp. 2,555,995 119,052 NeuStar, Inc., Class A (b) 4,346,588 125,046 SAIC, Inc. (b) 1,608,092 15,829 Teradata Corp. (b) 847,801 21,623 VeriFone Systems, Inc. (b) 923,302 ------------- 17,113,252 ------------- REAL ESTATE INVESTMENT TRUSTS -- 1.1% 40,664 American Tower Corp. 2,582,571 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 30.4% 41,422 Altera Corp. 1,648,181 21,482 Analog Devices, Inc. 840,591 379,820 Applied Materials, Inc. 4,664,190 379,441 Atmel Corp. (b) 3,684,372 110,747 Cree, Inc. (b) 2,816,296 45,740 Cypress Semiconductor Corp. (b) 786,499 337,855 Fairchild Semiconductor International, Inc. (b) 4,723,213 126,743 Intel Corp. 3,348,550 209,459 International Rectifier Corp. (b) 4,775,665 147,203 Intersil Corp., Class A 1,657,506 84,306 KLA-Tencor Corp. 4,310,566 258,275 LSI Corp. (b) 1,955,142 221,923 Marvell Technology Group Ltd. (b) 3,446,464 93,739 Maxim Integrated Products, Inc. 2,515,955 780,083 MEMC Electronic Materials, Inc. (b) 3,564,979 41,962 Microchip Technology, Inc. 1,548,817 488,625 Micron Technology, Inc. (b) 3,708,664 74,428 Novellus Systems, Inc. (b) 3,509,280 55,445 NVIDIA Corp. (b) 818,923 199,057 ON Semiconductor Corp. (b) 1,731,796 442,965 PMC-Sierra, Inc. (b) 2,879,272 35,395 Silicon Laboratories, Inc. (b) 1,551,717 298,448 Teradyne, Inc. (b) 4,879,625 105,586 Texas Instruments, Inc. 3,418,875 23,973 Xilinx, Inc. 859,432 ------------- 69,644,570 ------------- SOFTWARE -- 13.3% 198,119 Activision Blizzard, Inc. 2,444,788 54,350 Adobe Systems, Inc. (b) 1,682,132 42,616 ANSYS, Inc. (b) 2,577,842 54,722 Ariba, Inc. (b) 1,493,911 120,738 CA, Inc. 3,112,626 295,529 Cadence Design Systems, Inc. (b) 3,120,786 184,708 Compuware Corp. (b) 1,448,111 37,298 Electronic Arts, Inc. (b) 692,624 111,901 Fortinet, Inc. (b) 2,552,462 29,219 Intuit, Inc. 1,649,120 16,503 MICROS Systems, Inc. (b) 820,364 29,600 Microsoft Corp. 874,088 See Notes to Financial Statements Page 39 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 161,687 Nuance Communications, Inc. (b) $ 4,611,313 18,612 Red Hat, Inc. (b) 863,038 64,265 TIBCO Software, Inc. (b) 1,675,389 9,245 VMware, Inc., Class A (b) 843,791 ------------- 30,462,385 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.9% 34,310 Crown Castle International Corp. (b) 1,663,349 56,807 SBA Communications Corp., Class A (b) 2,597,216 ------------- 4,260,565 ------------- TOTAL COMMON STOCKS -- 100.1% 228,851,435 (Cost $223,016,539) MONEY MARKET FUND -- 0.0% 77,374 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 77,374 (Cost $77,374) ------------- TOTAL INVESTMENTS -- 100.1% 228,928,809 (Cost $223,093,913) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (160,485) ------------- NET ASSETS -- 100.0% $ 228,768,324 ------------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $13,083,256 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $7,248,360. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $228,851,435 $ -- $ -- Money Market Fund 77,374 -- -- -------------------------------------- Total Investments $228,928,809 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 40 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% DIVERSIFIED TELECOMMUNICATION SERVICES -- 9.7% 337,640 AT&T, Inc. $ 9,929,993 274,469 CenturyLink, Inc. 10,163,587 1,982,566 Frontier Communications Corp. 8,485,383 131,709 tw telecom, Inc. (b) 2,653,936 127,246 Verizon Communications, Inc. 4,792,084 ------------- 36,024,983 ------------- ELECTRIC UTILITIES -- 27.2% 247,161 American Electric Power Co., Inc. 9,777,689 348,075 Duke Energy Corp. 7,417,478 246,625 Edison International 10,121,490 174,712 Entergy Corp. 12,121,519 117,712 Exelon Corp. 4,682,583 115,240 FirstEnergy Corp. 4,865,433 468,789 Great Plains Energy, Inc. 9,666,429 41,927 NextEra Energy, Inc. 2,509,331 70,768 Northeast Utilities 2,459,188 468,359 NV Energy, Inc. 7,587,416 377,223 Pepco Holdings, Inc. 7,416,204 158,938 Pinnacle West Capital Corp. 7,511,410 260,289 PPL Corp. 7,233,431 266,075 Westar Energy, Inc. 7,567,173 ------------- 100,936,774 ------------- GAS UTILITIES -- 7.3% 60,400 AGL Resources, Inc. 2,507,204 229,616 Atmos Energy Corp. 7,441,854 147,224 ONEOK, Inc. 12,243,148 173,644 UGI Corp. 4,672,760 ------------- 26,864,966 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 5.1% 193,034 Constellation Energy Group, Inc. 7,032,229 704,348 NRG Energy, Inc. (b) 11,889,394 ------------- 18,921,623 ------------- MACHINERY -- 2.8% 397,440 Xylem, Inc. 10,297,670 ------------- MULTI-UTILITIES -- 30.1% 57,869 Alliant Energy Corp. 2,453,067 385,233 Ameren Corp. 12,188,772 381,169 CenterPoint Energy, Inc. 7,040,191 231,208 CMS Energy Corp. 5,047,270 41,149 Consolidated Edison, Inc. 2,426,145 187,515 DTE Energy Co. 9,977,673 94,226 Integrys Energy Group, Inc. 4,891,272 475,778 MDU Resources Group, Inc. 10,172,134 107,205 NiSource, Inc. 2,436,770 45,009 OGE Energy Corp. 2,379,176 247,700 PG&E Corp. 10,071,482 231,979 Public Service Enterprise Group, Inc. 7,038,243 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 113,295 SCANA Corp. $ 5,079,015 232,049 Sempra Energy 13,203,588 266,726 TECO Energy, Inc. 4,814,404 168,874 Vectren Corp. 4,828,108 73,014 Wisconsin Energy Corp. 2,482,476 184,701 Xcel Energy, Inc. 4,913,046 ------------- 111,442,832 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 255,256 Energen Corp. 12,295,682 ------------- WATER UTILITIES -- 0.7% 80,119 American Water Works Co., Inc. 2,702,414 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 13.8% 599,190 NII Holdings, Inc. (b) 12,049,711 5,454,174 Sprint Nextel Corp. (b) 11,562,849 535,849 Telephone & Data Systems, Inc. 14,092,829 292,523 United States Cellular Corp. (b) 13,418,030 ------------- 51,123,419 ------------- TOTAL COMMON STOCKS -- 100.0% 370,610,363 (Cost $376,122,146) MONEY MARKET FUND -- 0.1% 519,953 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 519,953 (Cost $519,953) ------------- TOTAL INVESTMENTS -- 100.1% 371,130,316 (Cost $376,642,099) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (327,620) ------------- NET ASSETS -- 100.0% $ 370,802,696 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,290,411 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,802,194. See Notes to Financial Statements Page 41 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $370,610,363 $ -- $ -- Money Market Fund 519,953 -- -- -------------------------------------- Total Investments $371,130,316 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements This page is intentionally left blank. Page 43 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND -------------------- -------------------- -------------------- ASSETS: Investments, at value........................................... $ 542,325,631 $ 217,736,997 $ 90,275,236 Cash .......................................................... -- -- -- Receivables: Capital shares sold....................................... 4,196,186 -- -- Investment securities sold................................ -- -- -- Dividends................................................. 117,624 173,316 8,686 Interest.................................................. 10 1 -- Prepaid expenses................................................ 9,434 4,931 2,372 -------------- -------------- -------------- TOTAL ASSETS......................................... 546,648,885 217,915,245 90,286,294 -------------- -------------- -------------- LIABILITIES: Due to Custodian................................................ -- -- -- Payables: Investment securities purchased........................... 4,195,393 -- -- Investment advisory fees.................................. 196,151 83,996 29,947 Licensing fees............................................ 154,265 66,473 31,456 Printing fees............................................. 18,158 2,552 3,265 Audit and tax fees........................................ 15,169 15,169 15,169 Other liabilities............................................... 53,677 27,704 15,021 -------------- -------------- -------------- TOTAL LIABILITIES.................................... 4,632,813 195,894 94,858 -------------- -------------- -------------- NET ASSETS...................................................... $ 542,016,072 $ 217,719,351 $ 90,191,436 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................................. $ 568,845,673 $ 231,408,654 $ 128,517,196 Par value....................................................... 260,500 92,500 45,500 Accumulated net investment income (loss)........................ (117,007) 88,516 (39,018) Accumulated net realized gain (loss) on investments............. (44,115,624) (13,891,126) (28,285,493) Net unrealized appreciation (depreciation) on investments....... 17,142,530 20,807 (10,046,749) -------------- -------------- -------------- NET ASSETS...................................................... $ 542,016,072 $ 217,719,351 $ 90,191,436 ============== ============== ============== NET ASSET VALUE, per share...................................... $ 20.81 $ 23.54 $ 19.82 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)....................... 26,050,002 9,250,002 4,550,002 ============== ============== ============== Investments, at cost............................................ $ 525,183,101 $ 217,716,190 $ 100,321,985 ============== ============== ==============
Page 44 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 117,173,275 $ 535,484,874 $ 64,172,794 $ 143,651,704 $ 228,928,809 $ 371,130,316 -- -- -- -- -- 27,365,977 4,287,006 -- 8,374,544 5,527,157 2,605,171 -- 110,148 -- -- -- -- 69,376 149,058 39,365 60,162 17,516 377,322 1 10 -- 1 1 2 1,959 4,435 1,409 7,368 3,380 2,446 -------------- -------------- -------------- -------------- -------------- -------------- 144,610,588 540,035,531 64,213,568 152,093,779 234,476,863 374,115,257 -------------- -------------- -------------- -------------- -------------- -------------- -- 72,800 -- -- -- -- 27,330,180 4,283,581 -- 8,370,574 5,529,865 3,034,277 28,593 189,987 18,995 43,444 76,602 142,127 27,078 134,255 19,195 54,557 56,686 88,362 15,864 5,123 1,477 17,322 6,008 2,930 15,169 15,169 15,169 15,169 15,169 15,169 11,157 55,618 10,286 29,051 24,209 29,696 -------------- -------------- -------------- -------------- -------------- -------------- 27,428,041 4,756,533 65,122 8,530,117 5,708,539 3,312,561 -------------- -------------- -------------- -------------- -------------- -------------- $ 117,182,547 $ 535,278,998 $ 64,148,446 $ 143,563,662 $ 228,768,324 $ 370,802,696 ============== ============== ============== ============== ============== ============== $ 134,581,368 $ 538,455,813 $ 67,880,232 $ 203,965,016 $ 253,647,694 $ 379,761,268 83,500 187,000 34,500 60,000 103,550 213,500 74,826 (83,575) (564) 1,845,419 22,905 184,537 (14,819,691) (28,169,024) (7,425,251) (63,816,234) (30,840,721) (3,844,826) (2,737,456) 24,888,784 3,659,529 1,509,461 5,834,896 (5,511,783) -------------- -------------- -------------- -------------- -------------- -------------- $ 117,182,547 $ 535,278,998 $ 64,148,446 $ 143,563,662 $ 228,768,324 $ 370,802,696 ============== ============== ============== ============== ============== ============== $ 14.03 $ 28.62 $ 18.59 $ 23.93 $ 22.09 $ 17.37 ============== ============== ============== ============== ============== ============== 8,350,002 18,700,002 3,450,002 6,000,002 10,355,000 21,350,002 ============== ============== ============== ============== ============== ============== $ 119,910,731 $ 510,596,090 $ 60,513,265 $ 142,142,243 $ 223,093,913 $ 376,642,099 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND -------------------- -------------------- -------------------- INVESTMENT INCOME: Dividends....................................................... $ 3,630,168 $ 1,775,316 $ 657,547 Foreign tax withholding......................................... -- -- (595) Interest........................................................ 34 11 16 -------------- -------------- -------------- Total investment income................................... 3,630,202 1,775,327 656,968 -------------- -------------- -------------- EXPENSES: Investment advisory fees........................................ 1,118,828 491,249 273,787 Licensing fees.................................................. 223,767 98,249 54,761 Accounting and administration fees.............................. 115,110 50,836 28,346 Legal fees...................................................... 58,097 25,069 15,775 Custodian fees.................................................. 27,971 12,281 6,844 Printing fees................................................... 25,355 12,489 6,618 Audit and tax fees.............................................. 12,269 12,269 12,269 Transfer agent fees............................................. 11,188 4,912 2,738 Registration and filing fees.................................... 10,516 5,650 2,546 Listing fees.................................................... 4,217 4,217 4,217 Trustees' fees and expenses..................................... 3,197 1,634 888 Other expenses.................................................. 14,373 5,751 4,494 -------------- -------------- -------------- Total expenses............................................ 1,624,888 724,606 413,283 Less fees waived and expenses reimbursed by the investment advisor..................................... (58,529) (36,857) (29,981) -------------- -------------- -------------- Net expenses.............................................. 1,566,359 687,749 383,302 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS).................................... 2,063,843 1,087,578 273,666 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments............................................... (34,831,862) (17,551,026) (15,326,821) In-kind redemptions....................................... 12,773,644 6,145,576 (3,059,382) -------------- -------------- -------------- Net realized gain (loss)........................................ (22,058,218) (11,405,450) (18,386,203) Net change in unrealized appreciation (depreciation) on investments.................................................. (10,827,817) 1,897,031 (14,654,902) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (32,886,035) (9,508,419) (33,041,105) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................... $ (30,822,192) $ (8,420,841) $ (32,767,439) ============== ============== ==============
Page 46 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 1,052,300 $ 1,064,767 $ 389,932 $ 2,776,887 $ 587,581 $ 3,562,339 (495) -- (125) (128,392) -- -- 6 40 3 189 8 9 -------------- -------------- -------------- -------------- -------------- -------------- 1,051,811 1,064,807 389,810 2,648,684 587,589 3,562,348 -------------- -------------- -------------- -------------- -------------- -------------- 204,848 820,273 142,188 573,761 403,345 508,079 40,973 164,044 28,439 114,749 80,667 101,618 21,278 83,449 14,791 59,478 41,535 51,659 (6,154) 46,012 7,443 37,935 22,413 15,468 5,121 20,507 3,555 14,344 10,084 12,702 4,817 13,574 3,556 20,425 8,982 6,583 12,269 12,269 12,269 12,269 12,269 12,269 2,049 8,203 1,422 5,738 4,033 5,081 -- 7,310 811 10,108 3,701 1,347 4,217 4,217 4,217 4,217 4,217 4,217 599 2,375 426 2,515 1,097 1,529 5,174 8,044 3,193 11,688 5,645 4,125 -------------- -------------- -------------- -------------- -------------- -------------- 295,191 1,190,277 222,310 867,227 597,988 724,677 (8,404) (41,895) (23,247) (63,962) (33,304) (13,367) -------------- -------------- -------------- -------------- -------------- -------------- 286,787 1,148,382 199,063 803,265 564,684 711,310 -------------- -------------- -------------- -------------- -------------- -------------- 765,024 (83,575) 190,747 1,845,419 22,905 2,851,038 -------------- -------------- -------------- -------------- -------------- -------------- (5,043,822) (26,816,727) (4,597,278) (39,260,843) (16,836,040) (4,673,360) (1,628,593) 4,529,066 1,840,825 (9,983,786) (1,262,093) 4,411,151 -------------- -------------- -------------- -------------- -------------- -------------- (6,672,415) (22,287,661) (2,756,453) (49,244,629) (18,098,133) (262,209) 4,662,910 37,322,388 3,628,453 (21,801,460) 17,973,400 (5,233,452) -------------- -------------- -------------- -- ------------ -------------- -------------- (2,009,505) 15,034,727 872,000 (71,046,089) (124,733) (5,495,661) -------------- -------------- -------------- -------------- -------------- -------------- $ (1,244,481) $ 14,951,152 $ 1,062,747 $ (69,200,670) $ (101,828) $ (2,644,623) ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------ ------------------------------------ For the Six For the Six Months Ended For the Year Months Ended For the Year January 31, 2012 Ended January 31, 2012 Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 2,063,843 $ 1,836,286 $ 1,087,578 $ 554,371 Net realized gain (loss).............................. (22,058,218) 67,094,756 (11,405,450) 10,435,820 Net change in unrealized appreciation (depreciation).. (10,827,817) 24,000,362 1,897,031 (3,235,197) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations.................................... (30,822,192) 92,931,404 (8,420,841) 7,754,994 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (2,180,850) (1,938,170) (1,064,680) (519,675) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 253,838,055 748,121,746 121,527,418 282,498,516 Cost of shares redeemed............................... (304,414,676) (350,374,014) (144,103,163) (65,359,227) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... (50,576,621) 397,747,732 (22,575,745) 217,139,289 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets............... (83,579,663) 488,740,966 (32,061,266) 224,374,608 NET ASSETS: Beginning of period................................... 625,595,735 136,854,769 249,780,617 25,406,009 ------------- ------------- ------------- ------------- End of period......................................... $ 542,016,072 $ 625,595,735 $ 217,719,351 $ 249,780,617 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period................................... $ (117,007) $ -- $ 88,516 $ 65,618 ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 29,300,002 8,600,002 10,200,002 1,350,002 Shares sold........................................... 12,650,000 37,350,000 5,250,000 11,650,000 Shares redeemed....................................... (15,900,000) (16,650,000) (6,200,000) (2,800,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period..................... 26,050,002 29,300,002 9,250,002 10,200,002 ============= ============= ============= =============
Page 48 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------------ ------------------------------------------ ------------------------------------------ For the Six For the Six For the Six Months Ended For the Year Months Ended For the Year Months Ended For the Year January 31, 2012 Ended January 31, 2012 Ended January 31, 2012 Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 273,666 $ 480,247 $ 765,024 $ 3,839,819 $ (83,575) $ 12,157 (18,386,203) 20,438,895 (6,672,415) 42,090,966 (22,287,661) 16,497,084 (14,654,902) 6,164,891 4,662,910 (11,001,578) 37,322,388 (11,998,114) -------------- -------------- -------------- -------------- -------------- -------------- (32,767,439) 27,084,033 (1,244,481) 34,929,207 14,951,152 4,511,127 -------------- -------------- -------------- -------------- -------------- -------------- (313,960) (480,290) (690,200) (4,076,241) -- (419,500) -------------- -------------- -------------- -------------- -------------- -------------- 35,263,213 211,285,734 42,017,100 372,456,598 452,332,539 341,874,444 (80,600,766) (113,428,238) (23,279,377) (429,186,698) (173,140,043) (152,270,043) -------------- -------------- -------------- -------------- -------------- -------------- (45,337,553) 97,857,496 18,737,723 (56,730,100) 279,192,496 189,604,401 -------------- -------------- -------------- -------------- -------------- -------------- (78,418,952) 124,461,239 16,803,042 (25,877,134) 294,143,648 193,696,028 168,610,388 44,149,149 100,379,505 126,256,639 241,135,350 47,439,322 -------------- -------------- -------------- -------------- -------------- -------------- $ 90,191,436 $ 168,610,388 $ 117,182,547 $ 100,379,505 $ 535,278,998 $ 241,135,350 ============== ============== ============== ============== ============== ============== $ (39,018) $ 1,276 $ 74,826 $ 2 $ (83,575) $ -- ============== ============== ============== ============== ============== ============== 7,100,002 2,750,002 7,150,002 9,700,002 8,450,002 2,200,002 1,800,000 9,400,000 3,050,0002 6,150,000 16,850,000 11,700,000 (4,350,000) (5,050,000) (1,850,000) (28,700,000) (6,600,000) (5,450,000) -------------- -------------- -------------- -------------- -------------- -------------- 4,550,002 7,100,002 8,350,002 7,150,002 18,700,002 8,450,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------ ------------------------------------ For the Six For the Six Months Ended For the Year Months Ended For the Year January 31, 2012 Ended January 31, 2012 Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 190,747 $ 236,103 $ 1,845,419 $ 3,377,031 Net realized gain (loss).............................. (2,756,453) 5,778,805 (49,244,629) 40,056,634 Net change in unrealized appreciation (depreciation).. 3,628,453 (1,837,646) (21,801,460) 18,413,551 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations.................................... 1,062,747 4,177,262 (69,200,670) 61,847,216 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (202,476) (252,090) -- (6,954,230) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 15,055,774 65,434,780 24,909,151 663,106,313 Cost of shares redeemed............................... (17,680,219) (34,292,004) (400,693,915) (278,289,444) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... (2,624,445) 31,142,776 (375,784,764) 384,816,869 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets............... (1,764,174) 35,067,948 (444,985,434) 439,709,855 NET ASSETS: Beginning of period................................... 65,912,620 30,844,672 588,549,096 148,839,241 ------------- ------------- ------------- ------------- End of period......................................... $ 64,148,446 $ 65,912,620 $ 143,563,662 $ 588,549,096 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period................................... $ (564) $ 11,165 $ 1,845,419 $ -- ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 3,650,002 2,000,002 24,300,002 7,450,002 Shares sold........................................... 850,000 3,500,000 1,150,000 28,450,000 Shares redeemed....................................... (1,050,000) (1,850,000) (19,450,000) (11,600,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period..................... 3,450,002 3,650,002 6,000,002 24,300,002 ============= ============= ============= =============
Page 50 See Notes to Financial Statements FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------------ ------------------------------------------ For the Six For the Six Months Ended For the Year Months Ended For the Year January 31, 2012 Ended January 31, 2012 Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 -------------------- -------------------- -------------------- -------------------- $ 22,905 $ (193,728) $ 2,851,038 $ 1,396,359 (18,098,133) 15,980,554 (262,209) 5,714,396 17,973,400 (13,796,850) (5,233,452) (1,071,266) -------------- -------------- -------------- -------------- (101,828) 1,989,976 (2,644,623) 6,039,489 -------------- -------------- -------------- -------------- -- (30,330) (2,827,350) (1,292,371) -------------- -------------- -------------- -------------- 106,637,711 247,389,281 369,526,556 94,385,800 (75,296,737) (111,695,006) (80,618,198) (42,603,726) -------------- -------------- -------------- -------------- 31,340,974 135,694,275 288,908,358 51,782,074 -------------- -------------- -------------- -------------- 31,239,146 137,653,921 283,436,385 56,529,192 197,529,178 59,875,257 87,366,311 30,837,119 -------------- -------------- -------------- -------------- $ 228,768,324 $ 197,529,178 $ 370,802,696 $ 87,366,311 ============== ============== ============== ============== $ 22,905 $ -- $ 184,537 $ 160,849 ============== ============== ============== ============== 9,055,000 3,305,000 4,950,002 2,000,002 5,100,000 10,650,000 21,050,000 5,400,000 (3,800,000) (4,900,000) (4,650,000) (2,450,000) -------------- -------------- -------------- -------------- 10,355,000 9,055,000 21,350,002 4,950,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 21.35 $ 15.91 $ 12.77 $ 14.19 $ 18.83 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.08 0.06 0.10 0.08 0.00 (b)(f) Net realized and unrealized gain (loss) (0.54) 5.44 3.14 (1.42) (4.64) (1.17) -------- -------- -------- -------- -------- -------- Total from investment operations (0.45) 5.52 3.20 (1.32) (4.56) (1.17) -------- -------- -------- -------- -------- -------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.08) (0.06) (0.10) (0.08) -- Return of capital -- -- (0.00) (f) (0.00) (f) -- -- -------- -------- -------- -------- -------- -------- Total distributions (0.09) (0.08) (0.06) (0.10) (0.08) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 20.81 $ 21.35 $ 15.91 $ 12.77 $ 14.19 $ 18.83 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (2.07)% 34.75% 25.08% (9.12)% (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $542,016 $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% (d) 0.73% 0.86% 1.59% 3.36% 11.39% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.92% (d) 0.44% 0.47% 1.00% 0.58% 0.04% (d) Portfolio turnover rate (e) 39% 90% 114% 133% 91% 34% FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 24.49 $ 18.82 $ 16.39 $ 17.96 $ 19.11 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.17 0.18 0.25 0.21 0.04 (b) Net realized and unrealized gain (loss) (0.96) 5.68 2.43 (1.57) (1.14) (0.93) -------- -------- -------- -------- -------- -------- Total from investment operations (0.83) 5.85 2.61 (1.32) (0.93) (0.89) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.18) (0.18) (0.25) (0.22) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 23.54 $ 24.49 $ 18.82 $ 16.39 $ 17.96 $ 19.11 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (3.38)% 31.21% 15.97% (7.14)% (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $217,719 $249,781 $ 25,406 $ 9,017 $ 2,695 $ 2,866 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.74% (d) 0.79% 0.98% 1.30% 2.55% 9.34% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.11% (d) 0.80% 1.18% 1.99% 1.10% 0.98% (d) Portfolio turnover rate (e) 52% 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 52 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ENERGY ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 23.75 $ 16.05 $ 13.62 $ 23.85 $ 20.74 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.10 0.06 0.03 0.12 (0.00)(b)(f) Net realized and unrealized gain (loss) (3.92) 7.71 2.42 (10.23) 3.12 0.74 -------- -------- -------- -------- -------- -------- Total from investment operations (3.86) 7.81 2.48 (10.20) 3.24 0.74 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.11) (0.05) (0.03) (0.13) -- Net realized gain -- -- -- -- (0.00) (f) -- Return of capital -- -- -- (0.00) (f) -- -- -------- -------- -------- -------- -------- -------- Total distributions (0.07) (0.11) (0.05) (0.03) (0.13) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 19.82 $ 23.75 $ 16.05 $ 13.62 $ 23.85 $ 20.74 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (16.26)% 48.70% 18.26% (42.74)% 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 90,191 $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% (d) 0.75% 0.89% 1.35% 1.80% 9.49% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.50% (d) 0.42% 0.36% 0.24% 0.48% (0.03)% (d) Portfolio turnover rate (e) 43% 101% 103% 116% 67% 1% FIRST TRUST FINANCIALS ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 14.04 $ 13.02 $ 10.37 $ 12.41 $ 17.91 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.30 0.11 0.18 0.29 0.07 (b) Net realized and unrealized gain (loss) (0.02) 1.05 2.65 (2.05) (5.44) (2.16) -------- -------- -------- -------- -------- -------- Total from investment operations 0.11 1.35 2.76 (1.87) (5.15) (2.09) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.33) (0.11) (0.17) (0.35) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 14.03 $ 14.04 $ 13.02 $ 10.37 $ 12.41 $ 17.91 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 0.83% 10.25% 26.68% (14.94)% (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $117,183 $100,380 $126,257 $ 8,295 $ 1,861 $ 1,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.72% (d) 0.74% 0.87% 1.50% 3.89% 11.58% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.87% (d) 1.68% 1.43% 2.49% 2.13% 1.46% (d) Portfolio turnover rate (e) 32% 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 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST HEALTH CARE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 28.54 $ 21.56 $ 17.66 $ 18.93 $ 19.48 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.00) (f) 0.01 (0.03) (0.02) (0.03) (0.01) (b) Net realized and unrealized gain (loss) 0.08 7.03 3.93 (1.25) (0.52) (0.51) -------- -------- -------- -------- -------- -------- Total from investment operations 0.08 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 $ 28.62 $ 28.54 $ 21.56 $ 17.66 $ 18.93 $ 19.48 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 0.28% 32.67% 22.08% (6.71)% (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $535,279 $241,135 $ 47,439 $ 15,015 $ 8,521 $ 1,949 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.73% (d) 0.75% 0.87% 1.15% 2.03% 11.48% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets (0.05)% (d) 0.01% (0.19)% (0.17)% (0.34)% (0.31)% (d) Portfolio turnover rate (e) 55% 116% 87% 138% 89% 30% FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 18.06 $ 15.42 $ 12.03 $ 17.54 $ 18.87 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.08 0.11 0.10 0.05 (0.00)(b)(f) Net realized and unrealized gain (loss) 0.53 2.65 3.39 (5.52) (1.33) (1.13) -------- -------- -------- -------- -------- -------- Total from investment operations 0.59 2.73 3.50 (5.42) (1.28) (1.13) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.06) (0.09) (0.11) (0.09) (0.05) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 18.59 $ 18.06 $ 15.42 $ 12.03 $ 17.54 $ 18.87 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 3.31% 17.68% 29.16% (30.83)% (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 64,148 $ 65,913 $ 30,845 $ 5,412 $ 4,384 $ 4,718 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.78% (d) 0.79% 0.99% 1.63% 1.90% 10.09% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.67% (d) 0.47% 0.95% 0.99% 0.29% (0.14)% (d) Portfolio turnover rate (e) 57% 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 54 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MATERIALS ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 24.22 $ 19.98 $ 15.26 $ 21.90 $ 20.17 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.22 0.25 0.20 0.16 0.02 (b) Net realized and unrealized gain (loss) (0.60) 4.40 4.72 (6.64) 1.75 0.15 -------- -------- -------- -------- -------- -------- Total from investment operations (0.29) 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 $ 23.93 $ 24.22 $ 19.98 $ 15.26 $ 21.90 $ 20.17 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (1.20)% 23.12% 32.72% (29.20)% 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $143,564 $588,549 $148,839 $ 9,922 $ 5,474 $ 3,025 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.76% (d) 0.73% 0.84% 1.40% 2.33% 9.56% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.61% (d) 0.77% 1.15% 1.46% 0.75% 0.46% (d) Portfolio turnover rate (e) 45% 116% 90% 153% 59% 1% FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 21.81 $ 18.12 $ 14.47 $ 17.63 $ 20.47 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.00 (f) (0.02) (0.04) (0.02) (0.02) (0.02) (b) Net realized and unrealized gain (loss) 0.28 3.72 3.69 (3.14) (2.82) 0.49 -------- -------- -------- -------- -------- -------- Total from investment operations 0.28 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 $ 22.09 $ 21.81 $ 18.12 $ 14.47 $ 17.63 $ 20.47 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 1.28% 20.40% 25.22% (17.92)% (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $228,768 $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% (d) 0.74% 0.90% 1.26% 2.01% 10.64% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.03% (d) (0.14)% (0.40)% (0.17)% ( 0.29)% (0.47)% (d) Portfolio turnover rate (e) 44% 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. (f) Amount represents less than $0.01 per share. See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 17.65 $ 15.42 $ 13.66 $ 16.19 $ 18.37 $ 20.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.39 0.38 0.44 0.90 0.09 (b) Net realized and unrealized gain (loss) (0.26) 2.22 1.76 (2.50) (2.17) (1.72) -------- -------- -------- -------- -------- -------- Total from investment operations (0.13) 2.61 2.14 (2.06) (1.27) (1.63) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.38) (0.38) (0.47) (0.91) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 17.37 $ 17.65 $ 15.42 $ 13.66 $ 16.19 $ 18.37 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (0.74)% 17.03% 15.80% (12.53)% (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $370,803 $ 87,366 $ 30,837 $ 13,660 $ 5,667 $ 2,756 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.71% (d) 0.79% 0.92% 1.15% 2.50% 10.12% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 2.81% (d) 2.77% 2.97% 4.03% 2.96% 2.18% (d) Portfolio turnover rate (e) 41% 66% 60% 128% 68% 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 56 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one funds considered either a Sector Fund or a Style Fund, each type having a separate report. This report covers the nine Sector Funds listed below: 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") Each fund represents a separate series of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Euronext or its affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P. ("FTP") by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the Index was developed, maintained and sponsored by AMEX. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked prices on such day. Portfolio securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) 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 - Level 1 inputs are quoted prices in active markets for identical securities. An active market is a market in which transactions for the security occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar securities in active markets. o Quoted prices for identical or similar securities in markets that are non-active. A non-active market is a market where there are few transactions for the security, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the security (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the security. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of January 31, 2012, 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 is not known until the fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund 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. Page 58 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) On January 23, 2012, the Board of Trustees approved a change to quarterly dividends for each of the Funds. This change will be effective with the filing of each Fund's annual Form N-1A prospectus update in November 2012. 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 year ended July 31, 2011 was as follows: Distributions paid from Distributions paid from Distributions 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 -- --
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)
D. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. The Funds are subject to 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 January 31, 2012, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. At July 31, 2011, for federal income tax purposes, each Fund had capital loss carryforwards available that are shown in the following table, 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. Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) 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
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. 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 E. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into a license agreement with Archipelago for each of the Sector Funds. The license agreement allows for the use by FTP of certain trademarks and trade names of Archipelago and certain trademarks and trade names of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the "Advisor") are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations. 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 Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011, and it 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. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain other services necessary for the management of the Funds. For these services, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least December 6, 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 a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses or fees were reimbursed or waived by First Trust. These amounts would be included in "Expenses previously waived or reimbursed" on the Statement of Operations. The advisory fee waivers and expense reimbursements for the six months ended January 31, 2012 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows: Expenses Borne by Advisor Subject to Recovery ----------------------------------------------------------------------------------------- Year Year Year Period Advisory Expense Ended Ended Ended Ended Fee Reim- July 31, July 31, July 31, January 31, Waivers bursements 2009 2010 2011 2012 Total ----------- ----------- ----------- ----------- ----------- ----------- ----------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 58,529 $ -- $ 16,766 $ 110,096 $ 109,492 $ 58,529 $ 294,883 First Trust Consumer Staples AlphaDEX(R) Fund 36,857 -- 23,947 51,148 59,013 36,857 170,965 First Trust Energy AlphaDEX(R) Fund 29,981 -- 20,994 67,669 52,991 29,981 171,635 First Trust Financials AlphaDEX(R) Fund 8,404 -- 21,089 104,140 90,841 8,404 224,474 First Trust Health Care AlphaDEX(R) Fund 41,895 -- 20,730 66,052 66,543 41,895 195,220 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,247 -- 15,911 52,980 45,159 23,247 137,297 First Trust Materials AlphaDEX(R) Fund 63,962 -- 20,336 114,679 114,169 63,962 313,146 First Trust Technology AlphaDEX(R) Fund 33,304 -- 23,255 67,139 62,099 33,304 185,797 First Trust Utilities AlphaDEX(R) Fund 13,367 -- 15,088 53,420 46,722 13,367 128,597
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. Effective January 23, 2012, James A. Bowen resigned from his position as the President and Chief Executive Officer of the Trust. He will continue as a Trustee, the Chairman of the Board of Trustees and a member of the Executive Committee. The Board elected Mark R. Bradley to serve as the President and Chief Executive Officer of the Funds and James M. Dykas to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Funds. Effective January 1, 2012, each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer of $125,000 per year and an annual per fund fee of $4,000 for each closed-end fund or other actively managed fund and $1,000 for each index fund in the First Trust Fund Complex. The fixed annual retainer is allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, each Independent Trustee received an annual retainer of $10,000 per trust for the first 14 trust of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each additional trust in the First Trust Complex. The annual retainer was allocated equally among each of the trusts. Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) Additionally, the Lead Independent Trustee is paid $15,000 annually, the Chairman of the Audit Committee is paid $10,000 annually, and each of the Chairmen of the Nominating and Governance Committee and the Valuation Committee is paid $5,000 annually to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, the annual amounts paid were $10,000, $5,000 and $2,500, respectively. Trustees are reimbursed 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 funds for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2012, 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 $188,343,773 $201,237,448 First Trust Consumer Staples AlphaDEX(R) Fund 105,601,810 122,165,230 First Trust Energy AlphaDEX(R) Fund 48,429,392 48,270,101 First Trust Financials AlphaDEX(R) Fund 28,451,000 28,465,106 First Trust Health Care AlphaDEX(R) Fund 187,323,658 192,838,601 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 33,801,962 33,790,819 First Trust Materials AlphaDEX(R) Fund 116,186,767 126,133,316 First Trust Technology AlphaDEX(R) Fund 75,410,602 78,573,356 First Trust Utilities AlphaDEX(R) Fund 81,519,691 80,956,002
For the six months ended January 31, 2012, 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 $253,765,218 $291,412,210 First Trust Consumer Staples AlphaDEX(R) Fund 121,413,032 127,425,356 First Trust Energy AlphaDEX(R) Fund 35,220,715 80,632,334 First Trust Financials AlphaDEX(R) Fund 41,974,968 23,271,966 First Trust Health Care AlphaDEX(R) Fund 451,921,459 167,737,996 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 15,052,480 17,673,148 First Trust Materials AlphaDEX(R) Fund 24,777,847 375,732,358 First Trust Technology AlphaDEX(R) Fund 106,644,643 72,070,444 First Trust Utilities AlphaDEX(R) Fund 368,990,488 80,708,641
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. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (UNAUDITED) 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. 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 November 28, 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 the following subsequent events: On March 11 and 12, 2012, the Board of Trustees of the Trust approved the continuation of the Investment Management Agreement between the Funds and First Trust, the Expense Reimbursement Agreement between the Funds and First Trust, the Distribution Agreement between the Funds and FTP and the Funds' Rule 12b-1 Distribution and Service Plan, each for an additional year. Furthermore, First Trust and the Trust have agreed to extend the Expense Reimbursement Agreement until November 30, 2013 and FTP has agreed not to charge any 12b-1 fees until at least November 30, 2013. Effective March 12, 2012, the Funds may lend securities representing up to 20% of the value of its total assets to broker-dealers, banks and other institutions to generate additional income. Currently, the First Trust Consumer Discretionary AlphaDEX(R) Fund expects to engage in securities lending. In the future, the remaining Funds may also engage in this practice. When a fund loans its portfolio securities, it will receive, at the inception of each loan, cash collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Fund. Under the Funds' securities lending agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet its obligations to the borrower. Page 63 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (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. Page 64 -------------------------------------------------------------------------------- RISK CONSIDERATIONS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2012 (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 65 -------------------------------------------------------------------------------- RISK CONSIDERATIONS (CONTINUED) -------------------------------------------------------------------------------- and the First Trust Utilities 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 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. 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 Page 66 -------------------------------------------------------------------------------- RISK CONSIDERATIONS (CONTINUED) -------------------------------------------------------------------------------- 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 67 This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Sector Funds -------------------------------------------------------------------------------- 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 -------------------------------------------------------------------------------- [BLANK BACK COVER] -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2012 -------------------------------------------------------------------------------- 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 FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund........................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund............................. 6 First Trust Small Cap Core AlphaDEX(R) Fund........................... 8 First Trust Large Cap Value AlphaDEX(R) Fund.......................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund......................... 12 First Trust Multi Cap Value AlphaDEX(R) Fund.......................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund......................... 16 First Trust Mid Cap Value AlphaDEX(R) Fund............................ 18 First Trust Mid Cap Growth AlphaDEX(R) Fund........................... 20 First Trust Small Cap Value AlphaDEX(R) Fund.......................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund......................... 24 First Trust Mega Cap AlphaDEX(R) Fund................................. 26 Notes to Fund Performance Overview.......................................... 28 Understanding Your Fund Expenses............................................ 29 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund........................... 31 First Trust Mid Cap Core AlphaDEX(R) Fund............................. 37 First Trust Small Cap Core AlphaDEX(R) Fund........................... 42 First Trust Large Cap Value AlphaDEX(R) Fund.......................... 49 First Trust Large Cap Growth AlphaDEX(R) Fund......................... 53 First Trust Multi Cap Value AlphaDEX(R) Fund.......................... 57 First Trust Multi Cap Growth AlphaDEX(R) Fund......................... 66 First Trust Mid Cap Value AlphaDEX(R) Fund............................ 73 First Trust Mid Cap Growth AlphaDEX(R) Fund........................... 77 First Trust Small Cap Value AlphaDEX(R) Fund.......................... 80 First Trust Small Cap Growth AlphaDEX(R) Fund......................... 85 First Trust Mega Cap AlphaDEX(R) Fund................................. 89 Statements of Assets and Liabilities........................................ 92 Statements of Operations.................................................... 95 Statements of Changes in Net Assets......................................... 98 Financial Highlights........................................................ 102 Notes to Financial Statements............................................... 109 Additional Information...................................................... 117 Risk Considerations......................................................... 118 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, the "Funds") 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 Fund described in this report 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 SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2012 Dear Shareholders: I am pleased to present you with the semi-annual report for your investment in First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust"), now in our 21st year, has always believed that staying invested in quality products and having a long-term horizon can help investors reach their financial goals. Like many successful investors, we understand that success in the markets doesn't just happen--it requires a long-term investment perspective through all kinds of markets. Although the markets have continued to be somewhat choppy over the past six months, the equity market is well above the lows it sank to during the recent recession. The report you hold gives detailed information for the past six months about the Style Funds included in 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. A successful investor is also typically a knowledgeable one, as we have found to be the case at First Trust. First Trust remains committed to being a long-term investor and investment manager and to bringing you quality investment solutions regardless of market ups and downs. We offer a variety of products that could fit many financial plans to help those investors seeking long-term investment success. You may want to talk to your advisor about the other investments First Trust offers that might also fit your financial goals. First Trust will continue to make available up-to-date information about your investments so you and your financial advisor are current on any First Trust investments you own. We value our relationship with you, and thank you for the opportunity to assist you in achieving your financial goals. I look forward to the rest of 2012 and to the next edition of your Fund's report. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund and Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2012 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 The U.S. economy has shown its resiliency once again. It expanded in each of the past ten calendar quarters through the fourth quarter of 2011. The GDP growth rate in the fourth quarter of 2011 was an annualized 3.0%. It had not registered above 3.0% since the 3.8% GDP growth rate posted in the second quarter of 2010. While some pundits are quick to point out that the early stages of U.S. recoveries have tended to produce GDP growth rates in the 4-6% range, a 3.0% growth rate is nothing to wince at, especially when you consider that the size of the U.S. economy (nominal dollars) has grown from $5.99 trillion in 1991 to $15.09 trillion in 2011. Over that same 20-year period, GDP averaged 2.6%, according to data from the Bureau of Economic Analysis. Consumer confidence in the economy appears to be improving based on the rise in nonfarm payrolls and recent retail sales data. The Conference Board's Consumer Confidence Index jumped from a reading of 40.9 in October 2011 to 61.5 in January 2012. Its five-year high was 111.9 in February 2007, but the average for the five-year period ended January 31, 2012, was 63.8. While there is debate over just how useful confidence levels are as a predictor of future spending, they are widely followed. Couple the index reading with the behavior of investors in recent years and it paints a rather stark picture - a lack of confidence has literally prevented some investors from participating in the current bull market in stocks. Data from the Investment Company Institute shows that investors liquidated roughly $490 billion from domestic equity funds over the past five years. The key event that seemed to trigger the mass exodus was the Lehman Brothers bankruptcy filing on September 15, 2008. Investors pulled out $45 billion in October 2008. SmartMoney.com estimates that the $45 billion pulled from the funds would have grown to $70 billion (including dividends) today. Those who have read our overviews in these very reports or followed our newsletters since the latter part of 2008 know how steadfast we were in encouraging investors to assume more risk to potentially capture more return. We are still of that mindset. While the S&P 500 has posted a cumulative total return of 106.0% from the end of the last bear market on 3/9/09 through 1/31/12, we believe there is the potential for more upside while corporate earnings remain relatively strong. Two important niches of the U.S. economy in recovery mode are state governments and banks. Data compiled by the Rockefeller Institute shows that total state tax collections rose 6.1% (year-over-year) in the third quarter of 2011, the seventh consecutive quarter in which revenues were up. The number of bank failures in 2011 totaled 92, down from 157 in 2010, according to Federal Deposit Insurance Corporation data. Loan balances increased for the third consecutive quarter in the fourth quarter of 2011 to $130.1 billion - the largest increase since 2007. U.S. STOCKS AND BONDS Two of the three major U.S. stock indices posted positive returns for the 6-month period ended January 31, 2012, while the third was essentially flat. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index returned 2.71%, 0.03%, and 3.44%, respectively, according to Bloomberg. Eight of the 10 major sectors in the S&P 500 posted gains. The top performing sector was Utilities, up 6.89%, while the poorest showing came from Energy, down 5.26%. Financials also struggled, falling 4.01%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected to be 8.9% in 2012, according to Standard & Poor's. The top three sectors based on estimated earnings growth are Information Technology (+15.74%), Industrials (+13.66%) and Health Care (+11.54%), according to S&P. In the U.S. bond market, the top performing major group for the 6-month period ended January 31, 2012, was municipal bonds. The Barclays Capital Municipal Bond: Long Bond (22+) Index posted a total return of 11.17%. Fears over a spike in defaults proved unwarranted as they never materialized. The next closest major domestic category was a mix of government and high-grade corporate debt, up 4.25%, as measured by the Barclays Capital U.S. Aggregate Index. FOREIGN STOCKS AND BONDS For the six-month period ended January 31, 2012 there was little difference in the performance of higher quality securities overseas relative to those considered more speculative in nature. The Barclays Capital Global Aggregate Index of higher quality debt returned 0.82% (USD), just slightly better than the 0.74% gain for the Barclays Capital Global Emerging Markets Index of debt securities. The MSCI World Index (excluding the U.S.) of stocks from developed countries declined by 10.15% (USD), just slightly worse than the 9.46% loss for the MSCI Emerging Markets Index of stocks. The U.S. dollar negatively impacted returns for U.S. investors by appreciating 6.77% against a basket of major currencies in the six-month span, as measured by the U.S. Dollar Index (DXY). Page 3 -------------------------------------------------------------------------------- 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, Inc. (the "NYSE Arca" or the "Exchange") 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 0.73% 2.03% -0.08% -0.37% Market Price 0.91% 2.03% -0.05% -0.24% INDEX PERFORMANCE Defined Large Cap Core Index 1.16% 2.84% 0.70% 3.33% S&P 500(R) Index 2.71% 4.22% -0.76% -3.53% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 15.64% Information Technology 14.13 Industrials 13.45 Energy 13.24 Financials 11.77 Health Care 8.54 Consumer Staples 7.85 Materials 7.33 Utilities 6.37 Telecommunication Services 1.68 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Freeport-McMoRan Copper & Gold, Inc. 0.53% Advanced Micro Devices, Inc. 0.53 Denbury Resources, Inc. 0.53 CF Industries Holdings, Inc. 0.52 Leucadia National Corp. 0.52 Teradyne, Inc. 0.51 Alcoa, Inc. 0.50 Western Digital Corp. 0.50 Applied Materials, Inc. 0.49 Marathon Petroleum Corp. 0.49 ------- Total 5.12% ======= ------------------- 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 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 9963 10335 9647 Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 90 2 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 8/1/11 - 1/31/12 35 0 0 0 Page 5 -------------------------------------------------------------------------------- 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. AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 1.60% 4.76% 3.71% 18.80% Market Price 1.69% 4.73% 3.71% 18.84% INDEX PERFORMANCE Defined Mid Cap Core Index 1.99% 5.55% 4.49% 23.12% S&P MidCap 400 Index 0.03% 2.71% 2.54% 12.61% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Industrials 24.98% Consumer Discretionary 17.05 Information Technology 16.56 Financials 11.51 Energy 8.23 Materials 7.46 Health Care 6.55 Utilities 4.48 Consumer Staples 3.07 Telecommunication Services 0.11 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Vishay Intertechnology, Inc. 0.72% Thomas & Betts Corp. 0.69 United Rentals, Inc. 0.68 HollyFrontier Corp. 0.66 Timken (The) Co. 0.66 General Cable Corp. 0.65 Janus Capital Group, Inc. 0.65 International Rectifier Corp. 0.62 Fairchild Semiconductor International, Inc. 0.61 Integrated Device Technology, Inc. 0.61 ------- Total 6.55% ======= ------------------- 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 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FNX - FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 11880 12312 11260 Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 68 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 8/1/11 - 1/31/12 59 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 4.03% 7.67% 1.80% 8.81% Market Price 4.10% 7.38% 1.80% 8.82% INDEX PERFORMANCE Defined Small Cap Core Index 4.33% 8.38% 2.64% 13.16% S&P SmallCap 600 Index 3.44% 7.50% 1.75% 8.54% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 22.91% Consumer Discretionary 22.12 Industrials 15.33 Health Care 10.76 Financials 8.51 Materials 7.65 Consumer Staples 4.96 Energy 3.71 Utilities 2.32 Telecommunication Services 1.73 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS VOXX International Corp., Class A 0.52% Kraton Performance Polymers, Inc. 0.48 Newport Corp. 0.47 STR Holdings, Inc. 0.45 Benchmark Electronics, Inc. 0.44 Career Education Corp. 0.44 Ceradyne, Inc. 0.43 PolyOne Corp. 0.43 TriQuint Semiconductor, Inc. 0.43 OfficeMax, Inc. 0.42 ------- Total 4.51% ======= ------------------- 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 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 10881 11315 10855 Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 65 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 8/1/11 - 1/31/12 61 1 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND 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 (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 3.48% 3.97% 0.15% 0.73% Market Price 5.64% 3.89% 0.16% 0.76% INDEX PERFORMANCE Defined Large Cap Value Index 3.90% 4.77% 0.96% 4.64% S&P 500(R) Value Index 2.88% 1.13% -3.64% -16.12% S&P 500(R) Index 2.71% 4.22% -0.76% -3.53% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 16.43% Financials 14.79 Energy 14.72 Consumer Discretionary 11.62 Industrials 11.03 Utilities 8.94 Health Care 7.63 Materials 6.94 Consumer Staples 5.36 Telecommunication Services 2.54 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Freeport-McMoRan Copper & Gold, Inc. 0.97% Advanced Micro Devices, Inc. 0.95 Leucadia National Corp. 0.94 Teradyne, Inc. 0.92 Alcoa, Inc. 0.90 Western Digital Corp. 0.90 Applied Materials, Inc. 0.88 Marathon Petroleum Corp. 0.88 Valero Energy Corp. 0.88 Harris Corp. 0.87 ------- Total 9.09% ======= ------------------- 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 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 10072 10465 8388 9647
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 88 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 8/1/11 - 1/31/12 39 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND 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 (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -3.12% -1.18% -0.70% -3.26% Market Price -3.09% -1.21% -0.70% -3.26% INDEX PERFORMANCE Defined Large Cap Growth Index -2.72% -0.36% 0.06% 0.28% S&P 500(R) Growth Index 2.64% 7.31% 2.08% 10.24% S&P 500(R) Index 2.71% 4.22% -0.76% -3.53% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 21.17% Industrials 16.04 Information Technology 11.60 Energy 11.19 Consumer Staples 11.12 Health Care 10.32 Financials 8.50 Materials 7.25 Utilities 2.44 Telecommunication Services 0.37 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS CF Industries Holdings, Inc. 1.20% Novellus Systems, Inc. 1.12 Sherwin-Williams (The) Co. 1.07 Fastenal Co. 1.05 KLA-Tencor Corp. 1.04 Ross Stores, Inc. 1.04 Williams (The) Cos., Inc. 1.04 Helmerich & Payne, Inc. 1.03 Home Depot (The), Inc. 1.03 TJX (The) Cos., Inc. 1.03 ------- Total 10.65% ======= ------------------- 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 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 9674 10028 11023 9647
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 81 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 8/1/11 - 1/31/12 46 0 0 0 Page 13 -------------------------------------------------------------------------------- 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 4.39% 5.05% 1.64% 7.98% Market Price 4.53% 5.01% 1.64% 8.01% INDEX PERFORMANCE Defined Multi Cap Value Index 4.83% 5.87% 2.47% 12.24% S&P Composite 1500 Value Index 2.84% 1.33% -3.16% -14.08% S&P Composite 1500 Index 2.51% 4.21% -0.40% -1.89% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 18.65% Consumer Discretionary 15.94 Industrials 14.74 Financials 13.33 Energy 10.53 Materials 7.38 Health Care 7.17 Utilities 6.50 Consumer Staples 4.00 Telecommunication Services 1.76 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Freeport-McMoRan Copper & Gold, Inc. 0.48% Advanced Micro Devices, Inc. 0.47 Leucadia National Corp. 0.46 Teradyne, Inc. 0.46 Alcoa, Inc. 0.45 Western Digital Corp. 0.45 Applied Materials, Inc. 0.44 Marathon Petroleum Corp. 0.44 Harris Corp. 0.43 Valero Energy Corp. 0.43 ------- Total 4.51% ======= ------------------- 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 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 1/31/12 10799 11224 8592 9811
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 82 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 8/1/11 - 1/31/12 44 1 0 0 Page 15 -------------------------------------------------------------------------------- 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 Composite 1500 Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. -------------------------------------------------------------------------------- PERFORMANCE AS OF JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -1.94% 2.12% 0.91% 4.38% Market Price -1.94% 1.99% 0.90% 4.34% INDEX PERFORMANCE Defined Multi Cap Growth Index -1.54% 2.94% 1.69% 8.28% S&P Composite 1500 Growth Index 2.28% 7.14% 2.34% 11.56% S&P Composite 1500 Index 2.51% 4.21% -0.40% -1.89% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Industrials 20.75% Consumer Discretionary 19.22 Information Technology 14.10 Health Care 10.43 Energy 8.94 Consumer Staples 8.28 Financials 8.20 Materials 7.11 Utilities 2.58 Telecommunication Services 0.39 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS CF Industries Holdings, Inc. 0.60% Novellus Systems, Inc. 0.56 Sherwin-Williams (The) Co. 0.53 Fastenal Co. 0.52 Helmerich & Payne, Inc. 0.52 Home Depot (The), Inc. 0.52 KLA-Tencor Corp. 0.52 Ross Stores, Inc. 0.52 TJX (The) Cos., Inc. 0.52 Williams (The) Cos., Inc. 0.52 ------- Total 5.33% ======= ------------------- 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 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2012 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 10907 9571 1/31/12 10438 10827 11155 9811
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through January 31, 2012. 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 8/1/11 - 1/31/12 69 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 8/1/11 - 1/31/12 58 0 0 0 Page 17 -------------------------------------------------------------------------------- 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 Mid Cap Value Index. 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 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (04/19/11) Inception (04/19/11) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 3.71% NA NA -0.17% Market Price 3.50% NA NA -0.27% INDEX PERFORMANCE Defined Mid Cap Value Index 4.10% NA NA 0.42% S&P MidCap 400 Value Index 1.45% NA NA -2.79% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 20.35% Industrials 18.98 Consumer Discretionary 17.54 Financials 13.30 Energy 8.71 Materials 7.77 Health Care 5.94 Utilities 5.68 Consumer Staples 1.73 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Vishay Intertechnology, Inc. 1.25% HollyFrontier Corp. 1.15 Timken (The) Co. 1.15 Janus Capital Group, Inc. 1.14 General Cable Corp. 1.13 International Rectifier Corp. 1.08 Atwood Oceanics, Inc. 1.06 Fairchild Semiconductor International, Inc. 1.06 Integrated Device Technology, Inc. 1.06 American Greetings Corp., Class A 1.05 ------- Total 11.13% ======= ------------------- NA Not Applicable. 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 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FNK - FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2012 First Trust Mid Cap Value Defined Mid Cap Value MidCap 400 Value AlphaDEX(R) Fund Index S&P Index 4/19/11 10000 10000 10000 7/31/11 9625 9646 9581 1/31/12 9982 10041 9720
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 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 January 31, 2012. 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 8/1/11 - 1/31/12 99 0 0 0 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 8/1/11 - 1/31/12 28 0 0 0 Page 19 -------------------------------------------------------------------------------- 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 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 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (04/19/11) Inception (04/19/11) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -0.78% NA NA -1.96% Market Price -0.83% NA NA -1.91% INDEX PERFORMANCE Defined Mid Cap Growth Index -0.37% NA NA -1.34% S&P MidCap 400 Growth Index -1.32% NA NA -2.21% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Industrials 33.74% Consumer Discretionary 16.04 Information Technology 11.49 Financials 8.60 Energy 7.80 Health Care 7.74 Materials 6.79 Consumer Staples 4.95 Utilities 2.60 Telecommunication Services 0.25 ------- Total 100.00% ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Thomas & Betts Corp. 1.67% United Rentals, Inc. 1.65 AMERIGROUP Corp. 1.47 Valspar (The) Corp. 1.42 Lincoln Electric Holdings, Inc. 1.40 NewMarket Corp. 1.40 PVH Corp. 1.40 LKQ Corp. 1.39 Carlisle Cos., Inc. 1.38 Triumph Group, Inc. 1.37 Total 14.55% ------------------- NA Not Applicable. 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 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FNY - FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2012 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 1/31/12 9804 9866 9779 Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 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 January 31, 2012. 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 8/1/11 - 1/31/12 91 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 9 0 0 0 8/1/11 - 1/31/12 36 0 0 0 Page 21 -------------------------------------------------------------------------------- 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 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 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (04/19/11) Inception (04/19/11) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV 7.67% NA NA 6.91% Market Price 7.45% NA NA 6.91% INDEX PERFORMANCE Defined Small Cap Value Index 8.02% NA NA 7.48% S&P SmallCap 600 Value Index 5.28% NA NA 3.32% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Consumer Discretionary 23.96% Information Technology 21.53 Industrials 17.44 Financials 9.84 Health Care 7.88 Materials 7.88 Consumer Staples 4.04 Energy 3.10 Telecommunication Services 2.47 Utilities 1.86 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS VOXX International Corp., Class A 0.88% Kraton Performance Polymers, Inc. 0.82 Newport Corp. 0.79 STR Holdings, Inc. 0.76 Benchmark Electronics, Inc. 0.74 Career Education Corp. 0.74 PolyOne Corp. 0.73 Ceradyne, Inc. 0.72 TriQuint Semiconductor, Inc. 0.72 OfficeMax, Inc. 0.71 ------- Total 7.61% ======= ------------------- NA Not Applicable. 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 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FYT - FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2012 First Trust Small Cap Value Defined Small Cap S&P SmallCap 600 AlphaDEX(R) Fund Value Index Value Index 4/19/11 10000 10000 10000 7/31/11 9930 9950 9813 1/31/12 10692 10748 10331
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 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 January 31, 2012. 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 8/1/11 - 1/31/12 69 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 8/1/11 - 1/31/12 58 0 0 0 Page 23 -------------------------------------------------------------------------------- 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 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 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (04/19/11) Inception (04/19/11) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -0.95% NA NA -1.74% Market Price -1.15% NA NA -1.79% INDEX PERFORMANCE Defined Small Cap Growth Index -0.64% NA NA -1.21% S&P SmallCap 600 Growth Index 1.73% NA NA 1.55% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 24.42% Consumer Discretionary 19.13 Health Care 14.86 Industrials 12.75 Materials 7.24 Financials 6.81 Consumer Staples 6.25 Energy 5.00 Utilities 2.89 Telecommunication Services 0.65 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Cascade Corp. 1.06% Approach Resources, Inc. 1.05 FARO Technologies, Inc. 1.04 Sturm, Ruger & Co., Inc. 1.04 Select Comfort Corp. 1.02 Centene Corp. 1.00 American Vanguard Corp. 0.99 Cantel Medical Corp. 0.99 Oxford Industries, Inc. 0.99 OSI Systems, Inc. 0.97 ------- Total 10.15% ======= ------------------- NA Not Applicable. 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 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FYC - FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2012 First Trust Small Cap Growth Defined Small Cap S&P SmallCap 600 AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 10000 10000 10000 7/31/11 9920 9942 9982 1/31/12 9826 9878 10155
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 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 January 31, 2012. 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 8/1/11 - 1/31/12 63 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 8/1/11 - 1/31/12 64 0 0 0 Page 25 -------------------------------------------------------------------------------- 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 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 JANUARY 31, 2012 -------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (05/11/11) Inception (05/11/11) 01/31/12 01/31/12 to 01/31/12 to 01/31/12 FUND PERFORMANCE NAV -0.43% NA NA -4.29% Market Price -0.43% NA NA -4.29% INDEX PERFORMANCE Defined Mega Cap Index -0.01% NA NA -3.69% S&P 100 Index 3.68% NA NA 1.21% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS Information Technology 19.80% Energy 18.00 Consumer Discretionary 15.62 Consumer Staples 14.60 Financials 10.90 Health Care 6.77 Materials 6.75 Industrials 5.72 Telecommunication Services 1.23 Utilities 0.61 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2012 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS Freeport-McMoRan Copper & Gold, Inc. 3.97% General Motors Co. 3.75 Apache Corp. 3.45 Intel Corp. 3.45 Home Depot (The), Inc. 3.34 CVS Caremark Corp. 3.24 Exxon Mobil Corp. 3.13 Chevron Corp. 3.07 Philip Morris International, Inc. 3.01 ConocoPhillips 2.96 ------- Total 33.37% ======= ------------------- NA Not Applicable. 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 26 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (CONTINUED) -------------------------------------------------------------------------------- FMK - FIRST TRUST MEGA CAP ALPHADEX(R) FUND (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JANUARY 31, 2012 First Trust Mega Cap Defined Mega S&P 100 AlphaDEX(R) Fund Cap Index Index 5/11/11 10000 10000 10000 7/31/11 9612 9632 9761 1/31/12 9571 9631 10120 Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2012 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 January 31, 2012. 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 8/1/11 - 1/31/12 93 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 8/1/11 - 1/31/12 34 0 0 0 Page 27 -------------------------------------------------------------------------------- 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 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2012 (UNAUDITED) As a shareholder of 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 and held through the six-month period ended January 31, 2012. 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 EXPENSE PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2011 JANUARY 31, 2012 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,007.30 0.70% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,016.00 0.70% $3.55 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $1,040.30 0.70% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,034.80 0.70% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 968.80 0.70% $3.46 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2012 (UNAUDITED) --------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSE PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2011 JANUARY 31, 2012 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,043.90 0.70% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 980.60 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,037.10 0.70% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 992.20 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $1,076.70 0.70% $3.65 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $ 990.50 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MEGA CAP ALPHADEX(R) FUND Actual $1,000.00 $ 995.70 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2011 through January 31, 2012), multiplied by 184/366 (to reflect the one-half year period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.3% 10,249 Boeing (The) Co. $ 760,271 15,102 General Dynamics Corp. 1,044,454 8,106 Goodrich Corp. 1,011,224 18,451 Honeywell International, Inc. 1,070,896 18,792 L-3 Communications Holdings, Inc. 1,329,346 9,299 Lockheed Martin Corp. 765,494 21,431 Northrop Grumman Corp. 1,244,070 3,046 Precision Castparts Corp. 498,569 20,728 Raytheon Co. 994,737 27,109 Textron, Inc. 690,737 3,424 United Technologies Corp. 268,270 ------------- 9,678,068 ------------- AIR FREIGHT & LOGISTICS -- 0.5% 12,009 FedEx Corp. 1,098,703 6,850 United Parcel Service, Inc., Class B 518,203 ------------- 1,616,906 ------------- AIRLINES -- 0.2% 58,571 Southwest Airlines Co. 561,110 ------------- AUTO COMPONENTS -- 0.2% 7,867 BorgWarner, Inc. (b) 587,114 ------------- AUTOMOBILES -- 0.3% 23,296 Ford Motor Co. 289,336 12,897 Harley-Davidson, Inc. 569,919 ------------- 859,255 ------------- BEVERAGES -- 1.4% 6,228 Brown-Forman Corp., Class B 505,776 7,160 Coca-Cola (The) Co. 483,515 29,167 Coca-Cola Enterprises, Inc. 781,384 60,640 Constellation Brands, Inc., Class A (b) 1,267,376 17,271 Molson Coors Brewing Co., Class B 740,753 7,552 PepsiCo, Inc. 495,940 ------------- 4,274,744 ------------- BIOTECHNOLOGY -- 0.6% 7,813 Amgen, Inc. 530,581 4,557 Biogen Idec, Inc. (b) 537,362 11,119 Celgene Corp. (b) 808,351 ------------- 1,876,294 ------------- BUILDING PRODUCTS -- 0.1% 23,918 Masco Corp. 288,690 ------------- CAPITAL MARKETS -- 2.0% 5,047 Ameriprise Financial, Inc. 270,267 37,774 Bank of New York Mellon (The) Corp. 760,391 1,409 BlackRock, Inc. 256,438 62,983 E*TRADE Financial Corp. (b) 515,831 49,640 Federated Investors, Inc., Class B 847,851 8,316 Goldman Sachs Group (The), Inc. 926,985 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 12,477 Invesco Ltd. $ 281,606 20,843 Legg Mason, Inc. 530,871 66,273 Morgan Stanley 1,235,991 4,400 T. Rowe Price Group, Inc. 254,496 ------------- 5,880,727 ------------- CHEMICALS -- 4.1% 5,882 Air Products and Chemicals, Inc. 517,792 16,050 Airgas, Inc. 1,266,827 8,650 CF Industries Holdings, Inc. 1,534,337 26,150 Dow Chemical (The) Co. 876,286 10,955 E.I. du Pont de Nemours & Co. 557,500 25,665 Eastman Chemical Co. 1,291,463 13,013 Ecolab, Inc. 786,506 8,740 FMC Corp. 810,023 3,575 Monsanto Co. 293,329 24,847 Mosaic (The) Co. 1,390,687 9,004 PPG Industries, Inc. 806,578 4,695 Praxair, Inc. 498,609 14,034 Sherwin-Williams (The) Co. 1,368,736 ------------- 11,998,673 ------------- COMMERCIAL BANKS -- 1.6% 39,407 Fifth Third Bancorp 512,685 136,979 Huntington Bancshares, Inc. 782,150 130,385 KeyCorp 1,013,091 3,286 M&T Bank Corp. 262,026 13,043 PNC Financial Services Group, Inc. 768,494 9,098 Wells Fargo & Co. 265,753 61,587 Zions Bancorporation 1,037,125 ------------- 4,641,324 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 34,959 Avery Dennison Corp. 949,137 7,205 Cintas Corp. 266,945 69,483 R.R. Donnelley & Sons Co. 789,327 27,293 Republic Services, Inc. 799,139 15,330 Waste Management, Inc. 532,871 ------------- 3,337,419 ------------- COMMUNICATIONS EQUIPMENT -- 1.4% 13,868 Cisco Systems, Inc. 272,229 4,727 F5 Networks, Inc. (b) 566,011 34,773 Harris Corp. 1,425,693 32,298 Motorola Mobility Holdings, Inc. (b) 1,247,672 9,164 QUALCOMM, Inc. 539,026 ------------- 4,050,631 ------------- COMPUTERS & PERIPHERALS -- 2.4% 2,477 Apple, Inc. (b) 1,130,701 51,399 Dell, Inc. (b) 885,605 48,654 Hewlett-Packard Co. 1,361,339 37,896 Lexmark International, Inc., Class A 1,322,570 See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 20,375 SanDisk Corp. (b) $ 934,805 40,498 Western Digital Corp. (b) 1,472,102 ------------- 7,107,122 ------------- CONSTRUCTION & ENGINEERING -- 0.2% 4,988 Fluor Corp. 280,525 6,180 Jacobs Engineering Group, Inc. (b) 276,617 ------------- 557,142 ------------- CONSUMER FINANCE -- 0.6% 23,709 Capital One Financial Corp. 1,084,687 31,337 Discover Financial Services 851,739 ------------- 1,936,426 ------------- CONTAINERS & PACKAGING -- 1.2% 28,078 Ball Corp. 1,102,343 24,997 Bemis Co., Inc. 781,906 25,864 Owens-Illinois, Inc. (b) 622,029 58,258 Sealed Air Corp. 1,161,082 ------------- 3,667,360 ------------- DISTRIBUTORS -- 0.4% 20,474 Genuine Parts Co. 1,305,832 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 23,267 Apollo Group, Inc., Class A (b) 1,219,423 ------------- DIVERSIFIED FINANCIAL SERVICES -- 2.2% 38,107 Citigroup, Inc. 1,170,647 2,059 CME Group, Inc. 493,151 30,155 JPMorgan Chase & Co. 1,124,782 55,115 Leucadia National Corp. 1,529,992 7,445 Moody's Corp. 277,177 30,686 NASDAQ OMX Group (The), Inc. (b) 760,399 38,419 NYSE Euronext 1,020,409 ------------- 6,376,557 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 33,152 AT&T, Inc. 975,000 20,213 CenturyLink, Inc. 748,487 194,689 Frontier Communications Corp. 833,269 12,495 Verizon Communications, Inc. 470,562 ------------- 3,027,318 ------------- ELECTRIC UTILITIES -- 2.3% 18,209 American Electric Power Co., Inc. 720,348 22,792 Duke Energy Corp. 485,698 18,160 Edison International 745,286 13,726 Entergy Corp. 952,310 11,564 Exelon Corp. 460,016 11,312 FirstEnergy Corp. 477,593 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 4,120 NextEra Energy, Inc. $ 246,582 6,945 Northeast Utilities 241,339 37,043 Pepco Holdings, Inc. 728,265 10,405 Pinnacle West Capital Corp. 491,740 17,041 PPL Corp. 473,569 4,480 Progress Energy, Inc. 243,399 10,829 Southern (The) Co. 493,369 ------------- 6,759,514 ------------- ELECTRICAL EQUIPMENT -- 0.8% 4,626 Cooper Industries PLC 273,489 5,382 Emerson Electric Co. 276,527 10,246 Rockwell Automation, Inc. 797,856 11,537 Roper Industries, Inc. 1,077,441 ------------- 2,425,313 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 96,554 Corning, Inc. 1,242,650 9,998 FLIR Systems, Inc. 257,448 38,251 Jabil Circuit, Inc. 866,768 52,533 Molex, Inc. 1,388,972 32,538 TE Connectivity Ltd. 1,109,546 ------------- 4,865,384 ------------- ENERGY EQUIPMENT & SERVICES -- 3.0% 25,768 Baker Hughes, Inc. 1,265,982 15,282 Cameron International Corp. (b) 813,002 23,992 FMC Technologies, Inc. (b) 1,226,231 29,057 Halliburton Co. 1,068,716 21,473 Helmerich & Payne, Inc. 1,325,099 72,273 Nabors Industries Ltd. (b) 1,345,723 7,369 National Oilwell Varco, Inc. 545,159 24,888 Noble Corp. (b) 867,098 8,267 Rowan Cos., Inc. (b) 281,161 ------------- 8,738,171 ------------- FOOD & STAPLES RETAILING -- 2.5% 12,035 Costco Wholesale Corp. 990,119 12,292 CVS Caremark Corp. 513,191 20,704 Kroger (The) Co. 491,927 47,653 Safeway, Inc. 1,047,413 92,606 SUPERVALU, Inc. 639,908 8,545 Sysco Corp. 257,290 30,330 Walgreen Co. 1,011,809 20,974 Wal-Mart Stores, Inc. 1,286,965 14,407 Whole Foods Market, Inc. 1,066,550 ------------- 7,305,172 ------------- FOOD PRODUCTS -- 2.5% 43,825 Archer-Daniels-Midland Co. 1,254,710 12,410 General Mills, Inc. 494,290 4,635 H. J. Heinz Co. 240,325 8,115 Hershey (The) Co. 495,664 25,669 Hormel Foods Corp. 738,754 Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 9,617 J.M. Smucker (The) Co. $ 757,627 33,544 Kraft Foods, Inc., Class A 1,284,735 4,973 McCormick & Co., Inc. 251,335 39,745 Sara Lee Corp. 761,117 60,723 Tyson Foods, Inc., Class A 1,131,877 ------------- 7,410,434 ------------- GAS UTILITIES -- 0.5% 5,937 AGL Resources, Inc. 246,445 14,463 ONEOK, Inc. 1,202,743 ------------- 1,449,188 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 187,765 Boston Scientific Corp. (b) 1,119,079 9,860 CareFusion Corp. (b) 236,147 16,704 Covidien PLC 860,256 2,707 Intuitive Surgical, Inc. (b) 1,244,976 19,665 Medtronic, Inc. 758,479 3,735 Varian Medical Systems, Inc. (b) 246,025 ------------- 4,464,962 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 23,762 Aetna, Inc. 1,038,399 17,904 Cigna Corp. 802,636 41,264 Coventry Health Care, Inc. (b) 1,240,809 6,615 DaVita, Inc. (b) 541,173 5,609 Express Scripts, Inc. (b) 286,956 14,308 Humana, Inc. 1,273,698 2,915 Laboratory Corp. of America Holdings (b) 266,402 13,456 Medco Health Solutions, Inc. (b) 834,541 8,640 Quest Diagnostics, Inc. 501,811 146,589 Tenet Healthcare Corp. (b) 775,456 19,783 UnitedHealth Group, Inc. 1,024,562 18,918 WellPoint, Inc. 1,216,806 ------------- 9,803,249 ------------- HEALTH CARE TECHNOLOGY -- 0.1% 4,096 Cerner Corp. (b) 249,405 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 30,722 Carnival Corp. 927,805 2,966 Chipotle Mexican Grill, Inc. (b) 1,089,382 11,000 Darden Restaurants, Inc. 504,570 9,993 McDonald's Corp. 989,807 27,240 Starbucks Corp. 1,305,613 6,628 Wyndham Worldwide Corp. 263,529 16,995 Yum! Brands, Inc. 1,076,293 ------------- 6,156,999 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOUSEHOLD DURABLES -- 0.5% 6,593 Harman International Industries, Inc. $ 278,225 21,135 Whirlpool Corp. 1,148,053 ------------- 1,426,278 ------------- HOUSEHOLD PRODUCTS -- 0.2% 6,818 Kimberly-Clark Corp. 487,896 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% 21,173 AES (The) Corp. (b) 270,168 12,640 Constellation Energy Group, Inc. 460,475 55,333 NRG Energy, Inc. (b) 934,021 ------------- 1,664,664 ------------- INDUSTRIAL CONGLOMERATES -- 0.7% 6,129 3M Co. 531,446 5,333 Danaher Corp. 280,036 13,992 General Electric Co. 261,790 21,463 Tyco International Ltd. 1,093,540 ------------- 2,166,812 ------------- INSURANCE -- 3.5% 5,796 Aflac, Inc. 279,541 32,415 American International Group, Inc. (b) 813,941 16,065 Aon Corp. 778,028 3,287 Berkshire Hathaway, Inc., Class B (b) 257,602 10,861 Chubb (The) Corp. 732,140 61,705 Hartford Financial Services Group (The), Inc. 1,081,072 51,627 Lincoln National Corp. 1,112,046 6,658 Loews Corp. 248,410 32,161 MetLife, Inc. 1,136,248 20,379 Principal Financial Group, Inc. 556,550 12,850 Progressive (The) Corp. 260,598 10,001 Prudential Financial, Inc. 572,457 17,327 Torchmark Corp. 791,324 12,708 Travelers (The) Cos., Inc. 740,876 47,589 Unum Group 1,086,457 ------------- 10,447,290 ------------- INTERNET & CATALOG RETAIL -- 0.6% 43,192 Expedia, Inc. 1,398,125 541 priceline.com, Inc. (b) 286,449 ------------- 1,684,574 ------------- INTERNET SOFTWARE & SERVICES -- 0.9% 7,762 Akamai Technologies, Inc. (b) 250,324 1,937 Google, Inc., Class A (b) 1,123,673 21,050 VeriSign, Inc. 780,113 31,076 Yahoo!, Inc. (b) 480,746 ------------- 2,634,856 ------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 1.7% 4,713 Accenture PLC, Class A $ 270,243 13,924 Automatic Data Processing, Inc. 762,757 18,858 Fidelity National Information Services, Inc. 538,585 2,725 International Business Machines Corp. 524,835 3,360 MasterCard, Inc., Class A 1,194,715 20,395 SAIC, Inc. (b) 262,280 25,628 Total System Services, Inc. 549,464 9,870 Visa, Inc., Class A 993,317 ------------- 5,096,196 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.5% 23,577 Hasbro, Inc. 823,073 18,061 Mattel, Inc. 559,891 ------------- 1,382,964 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 14,352 Agilent Technologies, Inc. (b) 609,529 25,072 PerkinElmer, Inc. 601,227 16,718 Thermo Fisher Scientific, Inc. (b) 884,382 ------------- 2,095,138 ------------- MACHINERY -- 3.8% 11,064 Caterpillar, Inc. 1,207,304 8,543 Cummins, Inc. 888,472 12,959 Deere & Co. 1,116,418 12,951 Dover Corp. 821,223 17,275 Eaton Corp. 846,993 5,045 Flowserve Corp. 555,808 16,095 Illinois Tool Works, Inc. 853,518 3,343 Joy Global, Inc. 303,177 6,688 PACCAR, Inc. 295,609 17,540 Pall Corp. 1,046,787 13,147 Parker Hannifin Corp. 1,060,700 9,908 Snap-on, Inc. 559,901 18,539 Stanley Black & Decker, Inc. 1,301,067 9,758 Xylem, Inc. 252,830 ------------- 11,109,807 ------------- MEDIA -- 2.4% 9,231 CBS Corp., Class B 262,899 31,711 Comcast Corp., Class A 843,195 93,744 Gannett Co., Inc. 1,328,352 25,763 Interpublic Group of Cos. (The), Inc. 266,132 11,152 McGraw-Hill (The) Cos., Inc. 512,992 14,055 News Corp., Class A 264,656 16,867 Omnicom Group, Inc. 769,304 7,887 Time Warner Cable, Inc. 581,430 13,875 Time Warner, Inc. 514,207 11,039 Viacom, Inc., Class B 519,275 13,366 Walt Disney (The) Co. 519,937 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MEDIA (CONTINUED) 2,000 Washington Post (The) Co., Class B $ 757,420 ------------- 7,139,799 ------------- METALS & MINING -- 1.4% 144,896 Alcoa, Inc. 1,472,143 4,017 Cliffs Natural Resources, Inc. 290,228 34,069 Freeport-McMoRan Copper & Gold, Inc. 1,574,328 6,330 Nucor Corp. 281,622 18,945 United States Steel Corp. 571,950 ------------- 4,190,271 ------------- MULTILINE RETAIL -- 2.7% 26,557 Big Lots, Inc. (b) 1,048,736 15,086 Dollar Tree, Inc. (b) 1,279,444 21,742 Family Dollar Stores, Inc. 1,213,203 20,321 Kohl's Corp. 934,563 23,364 Macy's, Inc. 787,133 20,170 Nordstrom, Inc. 995,994 23,665 Sears Holdings Corp. (b) 997,480 14,686 Target Corp. 746,196 ------------- 8,002,749 ------------- MULTI-UTILITIES -- 3.0% 30,258 Ameren Corp. 957,363 37,431 CenterPoint Energy, Inc. 691,350 22,703 CMS Energy Corp. 495,606 8,084 Consolidated Edison, Inc. 476,633 4,726 Dominion Resources, Inc. 236,489 18,419 DTE Energy Co. 980,075 9,248 Integrys Energy Group, Inc. 480,064 21,053 NiSource, Inc. 478,535 18,246 PG&E Corp. 741,882 22,786 Public Service Enterprise Group, Inc. 691,327 11,120 SCANA Corp. 498,510 18,234 Sempra Energy 1,037,515 26,193 TECO Energy, Inc. 472,784 7,165 Wisconsin Energy Corp. 243,610 18,135 Xcel Energy, Inc. 482,391 ------------- 8,964,134 ------------- OFFICE ELECTRONICS -- 0.4% 157,451 Xerox Corp. 1,220,245 ------------- OIL, GAS & CONSUMABLE FUELS -- 10.3% 36,808 Alpha Natural Resources, Inc. (b) 740,577 9,848 Anadarko Petroleum Corp. 794,930 13,842 Apache Corp. 1,368,697 26,426 Cabot Oil & Gas Corp. 842,989 56,224 Chesapeake Energy Corp. 1,188,013 11,783 Chevron Corp. 1,214,592 17,203 ConocoPhillips 1,173,417 6,832 CONSOL Energy, Inc. 244,176 83,000 Denbury Resources, Inc. (b) 1,565,380 20,213 Devon Energy Corp. 1,289,791 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 37,731 El Paso Corp. $ 1,013,832 10,179 EOG Resources, Inc. 1,080,399 4,575 EQT Corp. 231,129 14,786 Exxon Mobil Corp. 1,238,180 22,064 Hess Corp. 1,242,203 42,820 Marathon Oil Corp. 1,344,120 37,648 Marathon Petroleum Corp. 1,438,906 22,484 Murphy Oil Corp. 1,340,046 33,221 Newfield Exploration Co. (b) 1,256,086 10,622 Noble Energy, Inc. 1,069,317 10,696 Occidental Petroleum Corp. 1,067,140 8,400 Pioneer Natural Resources Co. 834,120 34,225 QEP Resources, Inc. 980,204 12,136 Range Resources Corp. 698,063 32,609 Spectra Energy Corp. 1,026,857 53,653 Tesoro Corp. (b) 1,342,935 59,537 Valero Energy Corp. 1,428,293 46,477 Williams (The) Cos., Inc. 1,339,467 ------------- 30,393,859 ------------- PAPER & FOREST PRODUCTS -- 0.6% 33,875 International Paper Co. 1,054,867 25,111 MeadWestvaco Corp. 739,268 ------------- 1,794,135 ------------- PERSONAL PRODUCTS -- 0.6% 28,697 Avon Products, Inc. 509,946 22,320 Estee Lauder (The) Cos., Inc., Class A 1,292,997 ------------- 1,802,943 ------------- PHARMACEUTICALS -- 2.3% 13,370 Abbott Laboratories 723,986 2,860 Allergan, Inc. 251,423 21,343 Bristol-Myers Squibb Co. 688,098 24,125 Eli Lilly & Co. 958,728 41,417 Forest Laboratories, Inc. (b) 1,316,232 16,503 Hospira, Inc. (b) 568,693 13,298 Merck & Co., Inc. 508,781 23,357 Mylan, Inc. (b) 484,658 7,727 Perrigo Co. 738,701 23,162 Pfizer, Inc. 495,667 ------------- 6,734,967 ------------- PROFESSIONAL SERVICES -- 0.8% 3,349 Dun & Bradstreet (The) Corp. 277,331 19,408 Equifax, Inc. 756,330 44,041 Robert Half International, Inc. 1,219,495 ------------- 2,253,156 ------------- REAL ESTATE INVESTMENT TRUSTS -- 1.9% 12,528 American Tower Corp., Class A 795,653 1,917 AvalonBay Communities, Inc. 260,731 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,516 Boston Properties, Inc. $ 261,790 24,197 HCP, Inc. 1,017,000 18,383 Health Care REIT, Inc. 1,051,691 5,594 Public Storage 776,783 5,832 Simon Property Group, Inc. 792,336 9,097 Ventas, Inc. 530,446 ------------- 5,486,430 ------------- ROAD & RAIL -- 1.1% 11,900 CSX Corp. 268,345 13,760 Norfolk Southern Corp. 993,472 14,151 Ryder System, Inc. 796,418 9,470 Union Pacific Corp. 1,082,516 ------------- 3,140,751 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.5% 232,096 Advanced Micro Devices, Inc. (b) 1,557,364 6,751 Altera Corp. 268,622 14,007 Analog Devices, Inc. 548,094 117,027 Applied Materials, Inc. 1,437,092 51,678 Intel Corp. 1,365,333 25,977 KLA-Tencor Corp. 1,328,204 8,346 Linear Technology Corp. 278,089 13,688 Microchip Technology, Inc. 505,224 159,399 Micron Technology, Inc. (b) 1,209,838 30,355 Novellus Systems, Inc. (b) 1,431,238 54,257 NVIDIA Corp. (b) 801,376 91,951 Teradyne, Inc. (b) 1,503,399 34,448 Texas Instruments, Inc. 1,115,426 ------------- 13,349,299 ------------- SOFTWARE -- 1.2% 8,871 Adobe Systems, Inc. (b) 274,557 15,299 BMC Software, Inc. (b) 554,436 37,201 CA, Inc. 959,042 30,129 Compuware Corp. (b) 236,211 4,767 Intuit, Inc. 269,050 28,964 Microsoft Corp. 855,307 16,017 Symantec Corp. (b) 275,332 ------------- 3,423,935 ------------- SPECIALTY RETAIL -- 4.4% 5,136 Abercrombie & Fitch Co., Class A 235,948 1,538 AutoZone, Inc. (b) 535,039 4,326 Bed Bath & Beyond, Inc. (b) 262,588 53,631 Best Buy Co., Inc. 1,284,462 51,943 GameStop Corp., Class A (b) 1,213,388 54,053 Gap (The), Inc. 1,025,926 29,809 Home Depot (The), Inc. 1,323,222 24,844 Limited Brands, Inc. 1,039,970 9,871 Lowe's Cos., Inc. 264,839 15,672 O'Reilly Automotive, Inc. (b) 1,277,425 26,371 Ross Stores, Inc. 1,340,174 90,233 Staples, Inc. 1,320,109 See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 3,781 Tiffany & Co. $ 241,228 19,412 TJX (The) Cos., Inc. 1,322,734 9,098 Urban Outfitters, Inc. (b) 241,097 ------------- 12,928,149 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 8,208 Coach, Inc. 574,970 7,808 NIKE, Inc., Class B 811,954 7,262 Ralph Lauren Corp. 1,103,824 7,896 VF Corp. 1,038,245 ------------- 3,528,993 ------------- TOBACCO -- 0.6% 8,458 Altria Group, Inc. 240,207 2,204 Lorillard, Inc. 236,688 15,972 Philip Morris International, Inc. 1,194,226 6,051 Reynolds American, Inc. 237,381 ------------- 1,908,502 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 28,737 Fastenal Co. 1,341,443 6,693 W.W. Grainger, Inc. 1,276,623 ------------- 2,618,066 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 115,508 MetroPCS Communications, Inc. (b) 1,021,090 428,481 Sprint Nextel Corp. (b) 908,380 ------------- 1,929,470 ------------- TOTAL INVESTMENTS -- 100.0% 295,482,254 (Cost $283,907,579) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (77,360) ------------- NET ASSETS -- 100.0% $ 295,404,894 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $20,617,798 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,043,123. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $295,482,254 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.5% 24,288 Alliant Techsystems, Inc. $ 1,442,950 21,519 BE Aerospace, Inc. (b) 908,102 19,844 Esterline Technologies Corp. (b) 1,213,460 153,403 Exelis, Inc. 1,532,496 23,752 Triumph Group, Inc. 1,486,163 ------------- 6,583,171 ------------- AIR FREIGHT & LOGISTICS -- 0.2% 41,785 UTI Worldwide, Inc. 622,179 ------------- AIRLINES -- 1.0% 18,489 Alaska Air Group, Inc. (b) 1,407,568 213,584 JetBlue Airways Corp. (b) 1,266,553 ------------- 2,674,121 ------------- AUTO COMPONENTS -- 0.2% 18,767 Gentex Corp. 504,269 ------------- AUTOMOBILES -- 0.2% 20,245 Thor Industries, Inc. 620,712 ------------- BEVERAGES -- 0.4% 9,040 Monster Beverage Corp. (b) 944,770 ------------- BIOTECHNOLOGY -- 0.1% 5,876 United Therapeutics Corp. (b) 288,982 ------------- CAPITAL MARKETS -- 1.7% 5,788 Affiliated Managers Group, Inc. (b) 581,752 11,746 Eaton Vance Corp. 301,755 220,015 Janus Capital Group, Inc. 1,731,518 40,387 Jefferies Group, Inc. 614,286 32,007 SEI Investments Co. 587,969 22,419 Waddell & Reed Financial, Inc., Class A 615,401 ------------- 4,432,681 ------------- CHEMICALS -- 3.3% 5,390 Albemarle Corp. 346,631 17,278 Cabot Corp. 625,464 24,875 Cytec Industries, Inc. 1,240,267 19,646 Minerals Technologies, Inc. 1,246,539 7,008 NewMarket Corp. 1,515,060 70,651 Olin Corp. 1,568,452 14,652 Sensient Technologies Corp. 580,512 35,625 Valspar (The) Corp. 1,540,425 ------------- 8,663,350 ------------- COMMERCIAL BANKS -- 2.7% 24,857 Associated Banc-Corp. 309,718 25,196 BancorpSouth, Inc. 282,951 18,598 Cathay General Bancorp 292,733 6,285 City National Corp. 288,356 7,284 Commerce Bancshares, Inc. 282,765 14,059 East West Bancorp, Inc. 308,736 64,348 First Niagara Financial Group, Inc. 615,810 18,352 FirstMerit Corp. 287,943 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 28,304 Fulton Financial Corp. $ 262,944 45,431 International Bancshares Corp. 873,184 Commercial Banks (Continued) 6,881 Prosperity Bancshares, Inc. 285,630 18,514 Signature Bank (b) 1,076,589 11,644 SVB Financial Group (b) 675,818 53,810 TCF Financial Corp. 540,252 11,431 Trustmark Corp. 269,429 27,235 Webster Financial Corp. 577,382 ------------- 7,230,240 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 20,659 Brink's (The) Co. 582,377 21,784 Clean Harbors, Inc. (b) 1,382,195 17,394 Copart, Inc. (b) 818,214 54,523 Corrections Corp. of America (b) 1,282,926 36,598 Deluxe Corp. 935,811 15,049 Herman Miller, Inc. 317,835 25,150 Mine Safety Appliances Co. 858,621 24,991 Rollins, Inc. 534,558 8,379 Waste Connections, Inc. 270,725 ------------- 6,983,262 ------------- COMMUNICATIONS EQUIPMENT -- 0.3% 15,581 Plantronics, Inc. 580,237 17,034 Polycom, Inc. (b) 339,828 ------------- 920,065 ------------- COMPUTERS & PERIPHERALS -- 0.5% 74,042 QLogic Corp. (b) 1,282,407 ------------- CONSTRUCTION & ENGINEERING -- 1.1% 67,491 AECOM Technology Corp. (b) 1,544,869 39,850 KBR, Inc. 1,280,779 ------------- 2,825,648 ------------- CONTAINERS & PACKAGING -- 1.8% 15,966 AptarGroup, Inc. 836,938 18,288 Greif, Inc., Class A 886,054 22,002 Packaging Corp. of America 619,136 19,249 Rock-Tenn Co., Class A 1,190,743 14,372 Silgan Holdings, Inc. 597,300 16,848 Sonoco Products Co. 527,342 ------------- 4,657,513 ------------- DISTRIBUTORS -- 0.6% 46,154 LKQ Corp. (b) 1,504,620 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 17,668 Matthews International Corp., Class A 582,337 16,777 Regis Corp. 287,558 26,071 Service Corp. International 289,388 See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 29,197 Sotheby's $ 978,976 ------------- 2,138,259 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 14,327 tw telecom, Inc. (b) 288,689 ------------- ELECTRIC UTILITIES -- 1.8% 21,863 Cleco Corp. 869,273 50,993 Great Plains Energy, Inc. 1,051,476 10,486 Hawaiian Electric Industries, Inc. 272,112 19,641 IDACORP, Inc. 827,868 50,947 NV Energy, Inc. 825,341 28,943 Westar Energy, Inc. 823,139 ------------- 4,669,209 ------------- ELECTRICAL EQUIPMENT -- 2.8% 15,717 Acuity Brands, Inc. 915,201 19,785 AMETEK, Inc. 929,895 55,510 General Cable Corp. (b) 1,713,039 16,612 Hubbell, Inc., Class B 1,195,399 16,343 Regal-Beloit Corp. 927,792 25,426 Thomas & Betts Corp. (b) 1,815,162 ------------- 7,496,488 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 37,111 Arrow Electronics, Inc. (b) 1,532,313 44,654 Avnet, Inc. (b) 1,557,085 45,793 Ingram Micro, Inc., Class A (b) 869,151 10,700 National Instruments Corp. 287,937 22,478 Tech Data Corp. (b) 1,167,058 25,590 Trimble Navigation Ltd. (b) 1,198,380 154,426 Vishay Intertechnology, Inc. (b) 1,896,351 ------------- 8,508,275 ------------- ENERGY EQUIPMENT & SERVICES -- 4.0% 34,890 Atwood Oceanics, Inc. (b) 1,604,242 4,502 CARBO Ceramics, Inc. 437,819 11,127 Dresser-Rand Group, Inc. (b) 570,036 70,293 Helix Energy Solutions Group, Inc. (b) 1,156,320 30,096 Oceaneering International, Inc. 1,462,365 18,179 Oil States International, Inc. (b) 1,448,685 69,484 Patterson-UTI Energy, Inc. 1,311,163 29,288 Superior Energy Services, Inc. (b) 835,001 5,632 Tidewater, Inc. 303,283 29,921 Unit Corp. (b) 1,353,925 ------------- 10,482,839 ------------- FOOD & STAPLES RETAILING -- 0.1% 6,512 Ruddick Corp. 262,694 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- FOOD PRODUCTS -- 1.9% 26,399 Corn Products International, Inc. $ 1,464,881 14,629 Flowers Foods, Inc. 283,071 12,013 Lancaster Colony Corp. 834,783 12,990 Ralcorp Holdings, Inc. (b) 1,135,976 57,179 Smithfield Foods, Inc. (b) 1,276,807 ------------- 4,995,518 ------------- GAS UTILITIES -- 1.1% 24,977 Atmos Energy Corp. 809,505 4,996 National Fuel Gas Co. 251,199 27,962 Questar Corp. 539,107 18,888 UGI Corp. 508,276 18,837 WGL Holdings, Inc. 803,398 ------------- 2,911,485 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 3,938 Cooper (The) Cos., Inc. 284,087 24,725 Hill-Rom Holdings, Inc. 816,172 15,858 Hologic, Inc. (b) 323,345 3,608 IDEXX Laboratories, Inc. (b) 305,201 14,860 Masimo Corp. (b) 318,004 18,623 STERIS Corp. 560,180 9,060 Teleflex, Inc. 554,381 8,273 Thoratec Corp. (b) 243,226 ------------- 3,404,596 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.6% 23,499 AMERIGROUP Corp. (b) 1,598,167 16,019 Catalyst Health Solutions, Inc. (b) 877,201 79,558 Community Health Systems, Inc. (b) 1,487,735 75,348 Health Management Associates, Inc., Class A (b) 482,981 8,619 Henry Schein, Inc. (b) 611,001 43,412 HMS Holdings Corp. (b) 1,433,030 37,370 LifePoint Hospitals, Inc. (b) 1,501,900 32,399 Lincare Holdings, Inc. 832,330 7,711 MEDNAX, Inc. (b) 549,177 9,991 Owens & Minor, Inc. 303,826 21,435 Universal Health Services, Inc., Class B 885,051 42,176 VCA Antech, Inc. (b) 943,899 10,577 WellCare Health Plans, Inc. (b) 632,082 ------------- 12,138,380 ------------- HEALTH CARE TECHNOLOGY -- 0.1% 14,660 Allscripts Healthcare Solutions, Inc. (b) 280,299 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 7,019 Bally Technologies, Inc. (b) 296,342 33,113 Bob Evans Farms, Inc. 1,169,882 20,752 Brinker International, Inc. 536,439 9,460 Cheesecake Factory (The), Inc. (b) 279,827 32,859 International Speedway Corp., Class A 847,434 Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 23,757 Life Time Fitness, Inc. (b) $ 1,167,419 9,815 Panera Bread Co., Class A (b) 1,455,074 28,625 Scientific Games Corp., Class A (b) 320,314 54,125 WMS Industries, Inc. (b) 1,184,796 ------------- 7,257,527 ------------- HOUSEHOLD DURABLES -- 1.0% 110,974 American Greetings Corp., Class A 1,594,696 13,918 Mohawk Industries, Inc. (b) 851,225 4,960 Tupperware Brands Corp. 311,687 ------------- 2,757,608 ------------- HOUSEHOLD PRODUCTS -- 0.4% 6,068 Church & Dwight Co., Inc. 275,305 10,751 Energizer Holdings, Inc. (b) 829,117 ------------- 1,104,422 ------------- INDUSTRIAL CONGLOMERATES -- 0.6% 31,339 Carlisle Cos., Inc. 1,495,810 ------------- INSURANCE -- 3.8% 30,107 American Financial Group, Inc. 1,104,024 33,213 Arthur J. Gallagher & Co. 1,107,321 12,269 Brown & Brown, Inc. 279,488 52,290 Fidelity National Financial, Inc., Class A 951,155 65,744 First American Financial Corp. 974,326 30,290 HCC Insurance Holdings, Inc. 840,850 9,505 Kemper Corp. 282,964 49,231 Protective Life Corp. 1,231,267 26,571 Reinsurance Group of America, Inc. 1,447,854 30,222 StanCorp Financial Group, Inc. 1,168,383 16,148 W. R. Berkley Corp. 553,392 ------------- 9,941,024 ------------- INTERNET & CATALOG RETAIL -- 0.4% 30,630 HSN, Inc. 1,093,185 ------------- INTERNET SOFTWARE & SERVICES -- 2.0% 91,940 AOL, Inc. (b) 1,490,347 8,215 Equinix, Inc. (b) 985,471 105,042 Monster Worldwide, Inc. (b) 756,303 25,823 Rackspace Hosting, Inc. (b) 1,120,977 51,134 ValueClick, Inc. (b) 891,777 ------------- 5,244,875 ------------- IT SERVICES -- 4.4% 22,741 Acxiom Corp. (b) 312,006 10,696 Alliance Data Systems Corp. (b) 1,185,117 12,313 Broadridge Financial Solutions, Inc. 295,143 108,716 Convergys Corp. (b) 1,447,010 107,370 CoreLogic, Inc. (b) 1,524,654 18,300 DST Systems, Inc. 893,223 11,721 Global Payments, Inc. 586,284 SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES (CONTINUED) 24,784 Jack Henry & Associates, Inc. $ 847,613 92,123 Lender Processing Services, Inc. 1,532,005 44,439 ManTech International Corp., Class A 1,562,031 40,629 NeuStar, Inc., Class A (b) 1,483,365 ------------- 11,668,451 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.5% 19,840 Polaris Industries, Inc. 1,277,696 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 1,879 Mettler-Toledo International, Inc. (b) 329,764 ------------- MACHINERY -- 8.2% 25,847 AGCO Corp. (b) 1,316,388 16,663 CLARCOR, Inc. 856,645 23,777 Crane Co. 1,141,296 20,392 Donaldson Co., Inc. 1,474,341 10,810 Gardner Denver, Inc. 806,426 6,790 Graco, Inc. 312,204 40,476 Harsco Corp. 899,781 7,482 IDEX Corp. 303,171 71,820 ITT Corp. 1,561,367 30,412 Kennametal, Inc. 1,311,061 35,488 Lincoln Electric Holdings, Inc. 1,524,210 13,485 Nordson Corp. 611,410 64,934 Oshkosh Corp. (b) 1,576,597 16,681 Pentair, Inc. 614,194 9,214 SPX Corp. 641,571 20,552 Terex Corp. (b) 406,930 35,864 Timken (The) Co. 1,751,239 18,474 Trinity Industries, Inc. 581,192 12,233 Valmont Industries, Inc. 1,283,364 19,847 Wabtec Corp. 1,365,275 33,919 Woodward, Inc. 1,423,920 ------------- 21,762,582 ------------- MARINE -- 0.8% 13,604 Alexander & Baldwin, Inc. 643,469 21,086 Kirby Corp. (b) 1,407,912 ------------- 2,051,381 ------------- MEDIA -- 1.9% 83,658 DreamWorks Animation SKG, Inc., Class A (b) 1,484,930 6,254 John Wiley & Sons, Inc., Class A 283,869 10,097 Lamar Advertising Co., Class A (b) 288,875 25,513 Meredith Corp. 803,404 27,794 Scholastic Corp. 820,201 57,755 Valassis Communications, Inc. (b) 1,313,926 ------------- 4,995,205 ------------- METALS & MINING -- 1.9% 21,574 Carpenter Technology Corp. 1,132,203 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 22,810 Reliance Steel & Aluminum Co. $ 1,213,492 84,459 Steel Dynamics, Inc. 1,347,121 67,804 Worthington Industries, Inc. 1,248,272 ------------- 4,941,088 ------------- MULTILINE RETAIL - 0.2% 56,955 Saks, Inc. (b) 568,411 ------------- MULTI-UTILITIES -- 1.6% 18,884 Alliant Energy Corp. 800,493 24,806 Black Hills Corp. 837,451 38,816 MDU Resources Group, Inc. 829,886 5,913 NSTAR 265,671 19,584 OGE Energy Corp. 1,035,210 18,370 Vectren Corp. 525,198 ------------- 4,293,909 ------------- OIL, GAS & CONSUMABLE FUELS -- 4.3% 76,542 Arch Coal, Inc. 1,104,501 72,590 Comstock Resources, Inc. (b) 873,984 27,765 Energen Corp. 1,337,440 81,966 Forest Oil Corp. (b) 1,065,558 59,329 HollyFrontier Corp. 1,740,713 23,157 Northern Oil and Gas, Inc. (b) 578,925 98,345 Patriot Coal Corp. (b) 747,422 30,246 Plains Exploration & Production Co. (b) 1,140,879 206,899 Quicksilver Resources, Inc. (b) 1,036,564 15,193 SM Energy Co. 1,102,708 13,187 Southern Union Co. 571,920 ------------- 11,300,614 ------------- PAPER & FOREST PRODUCTS -- 0.6% 17,362 Domtar Corp. 1,499,730 ------------- PHARMACEUTICALS -- 0.3% 24,124 Endo Pharmaceuticals Holdings, Inc. (b) 896,689 ------------- PROFESSIONAL SERVICES -- 1.0% 7,288 Corporate Executive Board (The) Co. 286,637 26,182 FTI Consulting, Inc. (b) 1,121,113 48,826 Korn/Ferry International (b) 802,211 9,267 Towers Watson & Co., Class A 554,167 ------------- 2,764,128 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.5% 19,852 American Campus Communities, Inc. 849,666 11,001 BRE Properties, Inc. 570,072 4,461 Camden Property Trust 287,734 3,952 Essex Property Trust, Inc. 569,088 5,487 Macerich (The) Co. 297,944 14,350 OMEGA Healthcare Investors, Inc. 299,054 12,442 Rayonier, Inc. 568,973 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,942 Realty Income Corp. $ 289,089 12,374 Senior Housing Properties Trust 280,642 16,666 SL Green Realty Corp. 1,225,451 13,414 Taubman Centers, Inc. 899,140 22,125 UDR, Inc. 575,693 ------------- 6,712,546 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 9,065 Jones Lang LaSalle, Inc. 713,959 ------------- ROAD & RAIL -- 2.0% 19,043 Con-way, Inc. 604,425 24,642 J.B. Hunt Transport Services, Inc. 1,258,467 20,413 Kansas City Southern (b) 1,401,148 23,176 Landstar System, Inc. 1,185,453 34,563 Werner Enterprises, Inc. 903,131 ------------- 5,352,624 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 137,115 Atmel Corp. (b) 1,331,387 25,196 Cree, Inc. (b) 640,734 115,307 Fairchild Semiconductor International, Inc. (b) 1,611,992 254,266 Integrated Device Technology, Inc. (b) 1,612,046 71,488 International Rectifier Corp. (b) 1,629,926 53,192 Intersil Corp., Class A 598,942 281,887 MEMC Electronic Materials, Inc. (b) 1,288,224 102,836 RF Micro Devices, Inc. (b) 513,152 11,187 Semtech Corp. (b) 318,829 6,395 Silicon Laboratories, Inc. (b) 280,357 68,474 Skyworks Solutions, Inc. (b) 1,477,669 ------------- 11,303,258 ------------- SOFTWARE -- 1.8% 9,694 ANSYS, Inc. (b) 586,390 80,093 Cadence Design Systems, Inc. (b) 845,782 16,400 Concur Technologies, Inc. (b) 858,540 30,989 Fair Isaac Corp. 1,123,041 20,476 Mentor Graphics Corp. (b) 284,002 14,928 Quest Software, Inc. (b) 303,785 20,416 Synopsys, Inc. (b) 595,739 11,613 TIBCO Software, Inc. (b) 302,751 ------------- 4,900,030 ------------- SPECIALTY RETAIL -- 7.2% 52,035 Aaron's, Inc. 1,384,651 15,950 Advance Auto Parts, Inc. 1,222,408 72,829 Aeropostale, Inc. (b) 1,192,211 54,478 American Eagle Outfitters, Inc. 767,595 33,615 ANN, Inc. (b) 815,500 37,370 Ascena Retail Group, Inc. (b) 1,321,777 57,526 Barnes & Noble, Inc. (b) 694,339 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL CONTINUED) 99,698 Chico's FAS, Inc. $ 1,140,545 15,057 Dick's Sporting Goods, Inc. 620,499 34,940 Foot Locker, Inc. 916,826 37,244 Guess?, Inc. 1,117,320 516,574 Office Depot, Inc. (b) 1,410,247 27,068 PetSmart, Inc. 1,440,559 142,975 RadioShack Corp. 1,026,560 30,017 Rent-A-Center, Inc. 1,015,175 18,949 Signet Jewelers Ltd. 863,695 15,832 Tractor Supply Co. 1,278,751 21,635 Williams-Sonoma, Inc. 775,831 ------------- 19,004,489 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 25,403 Hanesbrands, Inc. (b) 624,914 19,695 PVH Corp. 1,520,257 7,736 Under Armour, Inc., Class A (b) 615,940 11,098 Warnaco Group (The), Inc. (b) 646,459 ------------- 3,407,570 ------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 65,409 Astoria Financial Corp. 544,857 44,892 New York Community Bancorp, Inc. 569,679 19,847 Washington Federal, Inc. 312,789 ------------- 1,427,325 ------------- TOBACCO -- 0.3% 18,123 Universal Corp. 813,360 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.1% 31,798 GATX Corp. 1,365,406 15,522 MSC Industrial Direct Co., Inc., Class A 1,179,983 46,981 United Rentals, Inc. (b) 1,796,553 16,915 Watsco, Inc. 1,166,628 ------------- 5,508,570 ------------- TOTAL COMMON STOCKS -- 100.0% 264,702,551 (Cost $254,258,225) MONEY MARKET FUND -- 0.0% 59,122 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 59,122 (Cost $59,122) ------------- TOTAL INVESTMENTS -- 100.0% 264,761,673 (Cost $254,317,347) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (92,492) ------------- NET ASSETS -- 100.0% $ 264,669,181 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $19,600,353 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,156,027. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $264,702,551 $ -- $ -- Money Market Fund 59,122 -- -- -------------------------------------- Total Investments $264,761,673 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.0% 25,140 AAR Corp. $ 532,716 6,126 Aerovironment, Inc. (b) 170,731 17,996 Ceradyne, Inc. (b) 595,488 10,913 Curtiss-Wright Corp. 407,710 8,776 Moog, Inc., Class A (b) 374,033 26,534 Orbital Sciences Corp. (b) 384,478 5,272 Teledyne Technologies, Inc. (b) 299,239 ------------- 2,764,395 ------------- AIR FREIGHT & LOGISTICS -- 0.4% 6,015 Forward Air Corp. 210,525 8,916 Hub Group, Inc., Class A (b) 305,195 ------------- 515,720 ------------- AIRLINES -- 0.6% 5,421 Allegiant Travel Co. (b) 297,993 38,279 SkyWest, Inc. 489,971 ------------- 787,964 ------------- AUTO COMPONENTS -- 0.9% 7,859 Drew Industries, Inc. (b) 204,098 40,077 Spartan Motors, Inc. 243,268 14,422 Standard Motor Products, Inc. 298,391 29,137 Superior Industries International, Inc. 529,419 ------------- 1,275,176 ------------- BEVERAGES -- 0.3% 3,551 Boston Beer (The) Co., Inc., Class A (b) 355,278 ------------- BIOTECHNOLOGY -- 0.2% 17,090 ArQule, Inc. (b) 135,011 4,866 Cubist Pharmaceuticals, Inc. (b) 198,630 ------------- 333,641 ------------- BUILDING PRODUCTS -- 1.0% 2,402 A.O. Smith Corp. 102,037 14,112 AAON, Inc. 285,768 21,114 Griffon Corp. (b) 210,506 26,601 NCI Building Systems, Inc. (b) 311,498 6,417 Quanex Building Products Corp. 105,431 8,591 Simpson Manufacturing Co., Inc. 278,177 3,122 Universal Forest Products, Inc. 99,186 ------------- 1,392,603 ------------- CAPITAL MARKETS -- 1.1% 23,114 Calamos Asset Management, Inc., Class A 288,694 8,633 Financial Engines, Inc. (b) 206,760 19,086 Piper Jaffray Cos. (b) 424,664 51,876 Prospect Capital Corp. 535,360 3,007 Stifel Financial Corp. (b) 108,432 ------------- 1,563,910 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CHEMICALS -- 4.0% 13,652 A. Schulman, Inc. $ 334,474 36,127 American Vanguard Corp. 542,989 2,378 Balchem Corp. 89,983 6,135 Calgon Carbon Corp. (b) 100,246 12,512 H.B. Fuller Co. 358,093 5,230 Hawkins, Inc. 207,108 11,221 Koppers Holdings, Inc. 426,286 23,740 Kraton Performance Polymers, Inc. (b) 675,166 13,755 LSB Industries, Inc. (b) 482,113 12,915 OM Group, Inc. (b) 350,384 41,725 PolyOne Corp. 601,674 9,914 Quaker Chemical Corp. 439,190 6,012 Stepan Co. 516,671 13,013 Tredegar Corp. 320,901 6,895 Zep, Inc. 112,940 ------------- 5,558,218 ------------- COMMERCIAL BANKS -- 2.7% 16,265 Bank of the Ozarks, Inc. 455,257 10,200 BBCN Bancorp, Inc. (b) 103,224 2,844 City Holding Co. 101,076 5,002 Columbia Banking System, Inc. 105,042 3,467 Community Bank System, Inc. 94,857 18,324 First Commonwealth Financial Corp. 101,515 2,883 First Financial Bankshares, Inc. 98,253 65,125 Hanmi Financial Corp. (b) 536,630 11,160 Home Bancshares, Inc. 290,830 3,532 Independent Bank Corp. 97,978 11,420 National Penn Bancshares, Inc. 99,240 4,355 NBT Bancorp, Inc. 97,987 8,273 Old National Bancorp 97,373 11,936 Pinnacle Financial Partners, Inc. (b) 201,002 8,778 PrivateBancorp, Inc. 124,121 9,860 S&T Bancorp, Inc. 214,061 3,545 Simmons First National Corp., Class A 97,665 11,502 Susquehanna Bancshares, Inc. 105,128 12,595 Texas Capital Bancshares, Inc. (b) 399,513 2,503 Tompkins Financial Corp. 101,221 2,588 UMB Financial Corp. 99,845 6,872 Wintrust Financial Corp. 210,627 ------------- 3,832,445 ------------- COMMERCIAL SERVICES & SUPPLIES -- 3.0% 9,349 ABM Industries, Inc. 202,873 5,989 Consolidated Graphics, Inc. (b) 304,181 18,135 Encore Capital Group, Inc. (b) 426,172 13,244 G&K Services, Inc., Class A 435,198 23,017 Geo Group (The), Inc. (b) 404,639 10,897 Healthcare Services Group, Inc. 203,665 5,524 Mobile Mini, Inc. (b) 114,899 165,469 Standard Register (The) Co. 332,593 30,774 Sykes Enterprises, Inc. (b) 539,468 Page 42 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 13,393 Tetra Tech, Inc. (b) $ 309,780 6,795 UniFirst Corp. 410,282 5,920 United Stationers, Inc. 191,394 16,542 Viad Corp. 334,645 ------------- 4,209,789 ------------- COMMUNICATIONS EQUIPMENT -- 1.9% 17,816 Arris Group, Inc. (b) 208,091 17,187 Black Box Corp. 531,422 3,787 Blue Coat Systems, Inc. (b) 97,553 13,471 Comtech Telecommunications Corp. 415,715 17,273 Digi International, Inc. (b) 195,012 8,614 NETGEAR, Inc. (b) 343,009 29,261 Oplink Communications, Inc. (b) 548,059 6,270 ViaSat, Inc. (b) 298,076 ------------- 2,636,937 ------------- COMPUTERS & PERIPHERALS -- 0.5% 6,339 Stratasys, Inc. (b) 232,958 6,147 Super Micro Computer, Inc. (b) 103,762 9,591 Synaptics, Inc. (b) 367,431 ------------- 704,151 ------------- CONSTRUCTION & ENGINEERING -- 0.5% 18,850 Aegion Corp. (b) 321,769 4,607 Dycom Industries, Inc. (b) 98,452 3,595 EMCOR Group, Inc. 103,644 28,988 Orion Marine Group, Inc. (b) 209,873 ------------- 733,738 ------------- CONSTRUCTION MATERIALS -- 0.1% 3,756 Eagle Materials, Inc. 110,464 ------------- CONSUMER FINANCE -- 0.3% 2,067 Cash America International, Inc. 90,659 5,245 World Acceptance Corp. (b) 334,211 ------------- 424,870 ------------- DISTRIBUTORS -- 0.8% 9,607 Pool Corp. 326,926 57,033 VOXX International Corp., Class A (b) 725,460 ------------- 1,052,386 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.0% 6,681 American Public Education, Inc. (b) 268,576 60,468 Career Education Corp. (b) 611,331 2,112 Coinstar, Inc. (b) 105,030 12,955 Hillenbrand, Inc. 303,795 61,004 Lincoln Educational Services Corp. 532,565 154,217 School Specialty, Inc. (b) 496,579 SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES (CONTINUED) 30,168 Universal Technical Institute, Inc. (b) $ 420,843 ------------- 2,738,719 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 9,873 Atlantic Tele-Network, Inc. 356,317 24,066 Cbeyond, Inc. (b) 204,561 9,845 General Communication, Inc., Class A (b) 102,486 25,133 Lumos Networks Corp. 377,749 45,082 Neutral Tandem, Inc. (b) 554,058 ------------- 1,595,171 ------------- ELECTRIC UTILITIES -- 0.9% 4,592 ALLETE, Inc. 190,338 2,746 Central Vermont Public Service Corp. 96,577 8,347 El Paso Electric Co. 290,476 10,900 UIL Holdings Corp. 376,922 7,832 Unisource Energy Corp. 291,820 ------------- 1,246,133 ------------- ELECTRICAL EQUIPMENT -- 1.8% 8,485 AZZ, Inc. 416,529 11,585 Belden, Inc. 454,248 9,159 Brady Corp., Class A 296,477 11,164 Encore Wire Corp. 304,777 14,846 EnerSys (b) 430,237 6,638 Franklin Electric Co., Inc. 332,298 36,326 Vicor Corp. 324,391 ------------- 2,558,957 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.7% 3,232 Anixter International, Inc. (b) 211,728 3,275 Badger Meter, Inc. 105,259 35,778 Benchmark Electronics, Inc. (b) 615,382 8,958 Brightpoint, Inc. (b) 104,988 10,772 Cognex Corp. 447,577 41,907 CTS Corp. 421,584 19,969 Electro Scientific Industries, Inc. 303,129 10,477 FARO Technologies, Inc. (b) 568,692 11,818 FEI Co. (b) 520,701 31,519 Insight Enterprises, Inc. (b) 581,841 10,342 Measurement Specialties, Inc. (b) 336,115 14,505 Mercury Computer Systems, Inc. (b) 194,222 34,880 Methode Electronics, Inc. 346,358 9,461 MTS Systems Corp. 434,165 35,410 Newport Corp. (b) 654,023 9,880 OSI Systems, Inc. (b) 530,852 7,524 Park Electrochemical Corp. 228,504 14,081 Plexus Corp. (b) 510,436 38,097 RadiSys Corp. (b) 229,725 16,873 Rofin-Sinar Technologies, Inc. (b) 478,687 10,460 Rogers Corp. (b) 401,978 See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 5,355 ScanSource, Inc. (b) $ 201,187 15,822 SYNNEX Corp. (b) 572,440 35,177 TTM Technologies, Inc. (b) 431,622 ------------- 9,431,195 ------------- ENERGY EQUIPMENT & SERVICES -- 1.5% 19,571 Basic Energy Services, Inc. (b) 352,474 6,102 Bristow Group, Inc. 299,364 6,214 Hornbeck Offshore Services, Inc. (b) 203,136 2,864 Lufkin Industries, Inc. 215,430 40,841 Matrix Service Co. (b) 475,389 1,246 OYO Geospace Corp. (b) 109,660 39,829 Pioneer Drilling Co. (b) 355,275 10,320 TETRA Technologies, Inc. (b) 96,389 ------------- 2,107,117 ------------- FOOD & STAPLES RETAILING -- 1.4% 8,831 Andersons (The), Inc. 358,097 9,356 Casey's General Stores, Inc. 476,595 16,459 Nash Finch Co. 480,767 20,840 Spartan Stores, Inc. 390,542 7,227 United Natural Foods, Inc. (b) 318,349 ------------- 2,024,350 ------------- FOOD PRODUCTS -- 2.7% 16,018 B&G Foods, Inc., Class A 362,968 18,767 Calavo Growers, Inc. 510,462 7,907 Cal-Maine Foods, Inc. 300,150 36,262 Darling International, Inc. (b) 554,083 5,974 Diamond Foods, Inc. 217,095 13,146 Hain Celestial Group (The), Inc. (b) 507,304 3,618 J & J Snack Foods Corp. 184,627 5,768 Sanderson Farms, Inc. 293,822 7,466 Seneca Foods Corp., Class A (b) 215,991 12,851 Snyder's-Lance, Inc. 295,445 5,897 TreeHouse Foods, Inc. (b) 333,416 ------------- 3,775,363 ------------- GAS UTILITIES -- 0.8% 4,763 Laclede Group (The), Inc. 198,427 7,836 New Jersey Resources Corp. 373,934 2,011 Northwest Natural Gas Co. 95,623 5,673 Piedmont Natural Gas Co., Inc. 186,755 1,697 South Jersey Industries, Inc. 93,131 4,537 Southwest Gas Corp. 189,647 ------------- 1,137,517 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.2% 3,483 Abaxis, Inc. (b) 94,320 16,250 Align Technology, Inc. (b) 382,850 6,726 Analogic Corp. 381,566 17,255 Cantel Medical Corp. 544,740 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 7,510 CONMED Corp. (b) $ 220,794 60,241 CryoLife, Inc. (b) 321,687 5,754 Cyberonics, Inc. (b) 187,005 21,807 Greatbatch, Inc. (b) 510,720 6,426 ICU Medical, Inc. (b) 298,616 6,253 Integra LifeSciences Holdings (b) 184,589 31,519 Invacare Corp. 538,345 7,204 Merit Medical Systems, Inc. (b) 101,648 20,442 Natus Medical, Inc. (b) 231,199 10,364 Palomar Medical Technologies, Inc. (b) 93,794 8,948 SonoSite, Inc. (b) 482,387 19,724 SurModics, Inc. (b) 284,420 36,190 Symmetry Medical, Inc. (b) 271,787 5,080 West Pharmaceutical Services, Inc. 205,638 7,628 Zoll Medical Corp. (b) 523,128 ------------- 5,859,233 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 5,707 Air Methods Corp. (b) 481,100 29,067 Almost Family, Inc. (b) 547,622 11,104 AmSurg Corp. (b) 285,928 17,772 Bio-Reference Laboratories, Inc. (b) 343,888 12,173 Centene Corp. (b) 550,220 5,592 CorVel Corp. (b) 272,219 3,934 Ensign Group (The), Inc. 104,290 5,157 Hanger Orthopedic Group, Inc. (b) 101,026 70,252 Healthways, Inc. (b) 531,105 8,433 IPC Hospitalist (The) Co. (b) 284,108 40,946 Kindred Healthcare, Inc. (b) 502,407 1,948 Magellan Health Services, Inc. (b) 95,101 17,266 Molina Healthcare, Inc. (b) 528,512 2,901 MWI Veterinary Supply, Inc. (b) 227,758 19,049 PharMerica Corp. (b) 239,065 7,969 PSS World Medical, Inc. (b) 193,408 ------------- 5,287,757 ------------- HEALTH CARE TECHNOLOGY -- 0.1% 11,669 Omnicell, Inc. (b) 180,636 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 523 Biglari Holdings, Inc. (b) 207,077 2,127 BJ's Restaurants, Inc. (b) 106,414 51,681 Boyd Gaming Corp. (b) 453,242 5,711 Buffalo Wild Wings, Inc. (b) 380,124 2,798 CEC Entertainment, Inc. 98,406 5,736 Cracker Barrel Old Country Store, Inc. 300,968 4,612 Jack in the Box, Inc. (b) 97,774 30,574 Marcus (The) Corp. 370,251 28,377 Monarch Casino & Resort, Inc. (b) 302,215 60,696 Multimedia Games Holding Co., Inc. (b) 458,255 52,670 O'Charley's, Inc. (b) 341,828 Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 9,355 P.F. Chang's China Bistro, Inc. $ 304,599 10,232 Papa John's International, Inc. (b) 396,388 3,075 Peet's Coffee & Tea, Inc. (b) 187,021 28,460 Pinnacle Entertainment, Inc. (b) 276,062 13,919 Red Robin Gourmet Burgers, Inc. (b) 427,452 69,845 Ruby Tuesday, Inc. (b) 524,536 77,574 Ruth's Hospitality Group, Inc. (b) 480,183 24,672 Shuffle Master, Inc. (b) 315,802 12,938 Texas Roadhouse, Inc. 196,140 ------------- 6,224,737 ------------- HOUSEHOLD DURABLES -- 1.7% 6,788 Blyth, Inc. 427,305 15,698 Helen of Troy Ltd. (b) 505,005 6,458 iRobot Corp. (b) 213,372 40,498 La-Z-Boy, Inc. (b) 533,764 12,232 Ryland Group (The), Inc. 222,622 28,567 Universal Electronics, Inc. (b) 528,489 ------------- 2,430,557 ------------- HOUSEHOLD PRODUCTS -- 0.3% 46,339 Central Garden & Pet Co., Class A (b) 438,367 ------------- INDUSTRIAL CONGLOMERATES -- 0.3% 11,283 Standex International Corp. 452,335 ------------- INSURANCE -- 2.5% 4,146 AMERISAFE, Inc. (b) 101,909 2,176 Delphi Financial Group, Inc., Class A 96,854 6,557 eHealth, Inc. (b) 106,092 5,328 Employers Holdings, Inc. 95,691 21,091 Horace Mann Educators Corp. 329,863 3,397 Infinity Property & Casualty Corp. 197,977 27,075 Meadowbrook Insurance Group, Inc. 269,938 28,516 National Financial Partners Corp. (b) 439,146 2,022 Navigators Group (The), Inc. (b) 96,611 38,593 Presidential Life Corp. 430,312 1,208 ProAssurance Corp. 98,609 2,646 RLI Corp. 188,713 2,381 Safety Insurance Group, Inc. 99,788 5,436 Selective Insurance Group, Inc. 97,739 33,380 Stewart Information Services Corp. 455,637 19,115 Tower Group, Inc. 412,693 ------------- 3,517,572 ------------- INTERNET & CATALOG RETAIL -- 0.2% 7,454 Nutrisystem, Inc. 88,703 18,571 PetMed Express, Inc. 231,580 ------------- 320,283 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 2.2% 9,093 comScore, Inc. (b) $ 201,410 17,679 DealerTrack Holdings, Inc. (b) 483,167 12,834 Digital River, Inc. (b) 205,472 26,311 InfoSpace, Inc. (b) 323,888 3,425 j2 Global, Inc. 92,338 10,448 Liquidity Services, Inc. (b) 360,561 15,360 LivePerson, Inc. (b) 184,320 2,500 LogMeIn, Inc. (b) 99,575 9,629 Perficient, Inc. (b) 107,171 14,755 Stamps.com, Inc. (b) 457,553 88,590 United Online, Inc. 503,191 ------------- 3,018,646 ------------- IT SERVICES -- 2.6% 5,171 CACI International, Inc., Class A (b) 303,486 14,248 Cardtronics, Inc. (b) 364,036 19,657 CSG Systems International, Inc. (b) 319,819 2,840 Forrester Research, Inc. (b) 99,230 19,784 Heartland Payment Systems, Inc. 474,816 5,227 Higher One Holdings, Inc. (b) 88,545 18,383 iGATE Corp. (b) 334,938 6,993 MAXIMUS, Inc. 314,895 41,367 NCI, Inc., Class A (b) 302,807 17,849 TeleTech Holdings, Inc. (b) 302,719 13,313 Virtusa Corp. (b) 212,875 8,879 Wright Express Corp. (b) 485,859 ------------- 3,604,025 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.1% 4,274 Arctic Cat, Inc. (b) 127,536 16,011 Brunswick Corp. 341,675 34,155 JAKKS Pacific, Inc. 521,888 14,403 Sturm, Ruger & Co., Inc. 571,079 ------------- 1,562,178 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 23,566 Affymetrix, Inc. (b) 113,352 40,273 Cambrex Corp. (b) 316,546 82,205 eResearchTechnology, Inc. (b) 455,416 4,647 PAREXEL International Corp. (b) 111,993 ------------- 997,307 ------------- MACHINERY -- 3.4% 12,744 Actuant Corp., Class A 323,060 12,507 Albany International Corp., Class A 300,418 5,985 Astec Industries, Inc. (b) 202,413 7,995 Barnes Group, Inc. 202,194 18,667 Briggs & Stratton Corp. 291,392 10,217 Cascade Corp. 580,530 5,459 CIRCOR International, Inc. 206,951 8,768 EnPro Industries, Inc. (b) 309,598 10,047 ESCO Technologies, Inc. 302,113 12,542 John Bean Technologies Corp. 205,814 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 6,320 Kaydon Corp. $ 215,638 1,756 Lindsay Corp. 107,344 20,313 Lydall, Inc. (b) 191,349 5,017 Mueller Industries, Inc. 221,802 7,941 Robbins & Myers, Inc. 385,615 4,959 Tennant Co. 190,822 4,767 Toro (The) Co. 302,180 5,635 Watts Water Technologies, Inc., Class A 217,229 ------------- 4,756,462 ------------- MEDIA -- 1.1% 40,430 Digital Generation, Inc. (b) 561,977 24,066 E.W. Scripps (The) Co., Class A (b) 203,839 42,414 Harte-Hanks, Inc. 409,295 34,796 Live Nation Entertainment, Inc. (b) 357,703 ------------- 1,532,814 ------------- METALS & MINING -- 2.0% 40,755 A.M. Castle & Co. (b) 422,629 11,669 AK Steel Holding Corp. 110,155 3,590 AMCOL International Corp. 102,531 56,631 Century Aluminum Co. (b) 568,009 7,061 Haynes International, Inc. 429,026 2,101 Kaiser Aluminum Corp. 103,748 19,849 Materion Corp. (b) 583,759 20,666 Olympic Steel, Inc. 532,976 ------------- 2,852,833 ------------- MULTILINE RETAIL -- 0.6% 26,443 Fred's, Inc., Class A 390,034 139,689 Tuesday Morning Corp. (b) 474,943 ------------- 864,977 ------------- MULTI-UTILITIES -- 0.5% 11,229 Avista Corp. 284,543 4,953 CH Energy Group, Inc. 281,727 5,386 NorthWestern Corp. 189,264 ------------- 755,534 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.2% 16,387 Approach Resources, Inc. (b) 575,675 16,442 GeoResources, Inc. (b) 503,290 13,091 Gulfport Energy Corp. (b) 430,301 72,881 Penn Virginia Corp. 337,439 5,490 Petroleum Development Corp. (b) 170,904 14,604 PetroQuest Energy, Inc. (b) 93,758 18,269 Stone Energy Corp. (b) 512,445 12,973 Swift Energy Co. (b) 430,055 ------------- 3,053,867 ------------- PAPER & FOREST PRODUCTS -- 1.5% 14,412 Buckeye Technologies, Inc. 483,234 8,120 Clearwater Paper Corp. (b) 296,542 SHARES DESCRIPTION VALUE ----------------------------------------------------------- PAPER & FOREST PRODUCTS (CONTINUED) 30,618 KapStone Paper & Packaging Corp. (b) $ 534,590 12,955 Neenah Paper, Inc. 307,940 2,901 Schweitzer-Mauduit International, Inc. 201,707 35,007 Wausau Paper Corp. 302,461 ------------- 2,126,474 ------------- PERSONAL PRODUCTS -- 0.2% 12,389 Inter Parfums, Inc. 206,896 8,552 Prestige Brands Holdings, Inc. (b) 109,808 ------------- 316,704 ------------- PHARMACEUTICALS -- 1.7% 12,392 Hi-Tech Pharmacal Co., Inc. (b) 483,040 20,684 Medicines (The) Co. (b) 416,162 11,590 Questcor Pharmaceuticals, Inc. (b) 410,634 10,072 Salix Pharmaceuticals Ltd. (b) 485,470 17,595 ViroPharma, Inc. (b) 524,155 ------------- 2,319,461 ------------- PROFESSIONAL SERVICES -- 0.9% 4,193 Exponent, Inc. (b) 204,828 35,229 Kelly Services, Inc., Class A 569,301 16,895 Navigant Consulting, Inc. (b) 216,425 18,203 Resources Connection, Inc. 226,081 6,944 TrueBlue, Inc. (b) 114,645 ------------- 1,331,280 ------------- REAL ESTATE INVESTMENT TRUSTS -- 1.2% 4,786 Acadia Realty Trust 100,602 4,621 Colonial Properties Trust 98,797 11,934 Extra Space Storage, Inc. 314,103 27,637 Getty Realty Corp. 463,196 5,064 Kilroy Realty Corp. 210,814 6,247 LTC Properties, Inc. 199,592 2,205 Post Properties, Inc. 98,541 2,259 Sovran Self Storage, Inc. 105,089 3,287 Tanger Factory Outlet Centers, Inc. 96,966 ------------- 1,687,700 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 19,112 Forestar Group, Inc. (b) 304,263 ------------- ROAD & RAIL -- 0.9% 15,006 Arkansas Best Corp. 271,909 13,490 Heartland Express, Inc. 199,922 12,326 Knight Transportation, Inc. 217,061 11,891 Old Dominion Freight Line, Inc. (b) 506,794 ------------- 1,195,686 ------------- Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.8% 44,914 Advanced Energy Industries, Inc. (b) $ 477,885 19,248 ATMI, Inc. (b) 450,018 46,926 Brooks Automation, Inc. 503,047 6,120 Cabot Microelectronics Corp. (b) 308,570 12,741 CEVA, Inc. (b) 344,134 6,081 Cirrus Logic, Inc. (b) 124,235 42,461 Cohu, Inc. 557,513 7,748 Cymer, Inc. (b) 385,773 18,101 Diodes, Inc. (b) 466,644 24,842 Kopin Corp. (b) 96,387 31,260 Kulicke & Soffa Industries, Inc. (b) 337,921 19,067 Micrel, Inc. 220,415 5,754 Microsemi Corp. (b) 113,814 13,858 MKS Instruments, Inc. 417,819 6,396 Monolithic Power Systems, Inc. (b) 104,830 26,163 Nanometrics, Inc. (b) 529,801 25,331 Pericom Semiconductor Corp. (b) 202,648 52,044 Rudolph Technologies, Inc. (b) 532,410 7,480 Standard Microsystems Corp. (b) 192,685 58,558 STR Holdings, Inc. (b) 625,985 98,959 TriQuint Semiconductor, Inc. (b) 592,764 11,769 Ultratech, Inc. (b) 344,243 3,764 Volterra Semiconductor Corp. (b) 113,560 ------------- 8,043,101 ------------- SOFTWARE -- 3.2% 6,959 Blackbaud, Inc. 211,762 8,320 Bottomline Technologies, Inc. (b) 227,469 6,769 CommVault Systems, Inc. (b) 318,143 17,445 Ebix, Inc. 432,287 24,056 EPIQ Systems, Inc. 293,243 11,903 JDA Software Group, Inc. (b) 350,781 7,143 Manhattan Associates, Inc. (b) 313,506 24,730 Monotype Imaging Holdings, Inc. (b) 386,035 2,628 OPNET Technologies, Inc. 93,163 9,962 Progress Software Corp. (b) 232,413 8,930 Sourcefire, Inc. (b) 277,009 9,572 Synchronoss Technologies, Inc. (b) 319,896 12,456 Taleo Corp., Class A (b) 448,541 507,293 THQ, Inc. (b) 339,836 6,402 Tyler Technologies, Inc. (b) 224,902 ------------- 4,468,986 ------------- SPECIALTY RETAIL -- 6.1% 27,697 Big 5 Sporting Goods Corp. 219,914 43,319 Brown Shoe Co., Inc. 409,365 2,358 Buckle (The), Inc. 102,880 7,583 Cabela's, Inc. (b) 197,765 15,932 Cato (The) Corp., Class A 427,137 5,443 Children's Place Retail Stores (The), Inc. (b) 271,551 14,994 Finish Line (The), Inc., Class A 317,123 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 7,806 Genesco, Inc. (b) $ 476,712 1,861 Group 1 Automotive, Inc. 99,266 17,557 Haverty Furniture Cos., Inc. 219,111 8,533 Hibbett Sports, Inc. (b) 408,987 3,953 JoS. A. Bank Clothiers, Inc. (b) 188,756 28,988 Kirkland's, Inc. (b) 433,950 8,818 Lithia Motors, Inc., Class A 195,848 5,458 Lumber Liquidators Holdings, Inc. (b) 116,583 11,896 Men's Wearhouse (The), Inc. 410,293 22,441 Midas, Inc. (b) 190,748 4,970 Monro Muffler Brake, Inc. 208,442 106,152 OfficeMax, Inc. (b) 587,021 35,049 Pep Boys-Manny, Moe & Jack (The) 525,735 22,219 Select Comfort Corp. (b) 557,252 26,033 Sonic Automotive, Inc., Class A 405,854 34,696 Stage Stores, Inc. 533,624 70,768 Stein Mart, Inc. (b) 513,068 2,417 Vitamin Shoppe, Inc. (b) 103,303 13,888 Zumiez, Inc. (b) 396,641 ------------- 8,516,929 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.1% 12,106 Carter's, Inc. (b) 507,484 19,577 Crocs, Inc. (b) 372,355 23,667 Iconix Brand Group, Inc. (b) 435,710 55,843 Liz Claiborne, Inc. (b) 519,340 21,068 Maidenform Brands, Inc. (b) 421,360 10,681 Oxford Industries, Inc. 543,983 33,891 Perry Ellis International, Inc. (b) 526,666 8,381 Steven Madden, Ltd. (b) 344,794 13,937 True Religion Apparel, Inc. (b) 505,077 2,704 Wolverine World Wide, Inc. 105,699 ------------- 4,282,468 ------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 11,420 Brookline Bancorp, Inc. 105,863 15,299 Dime Community Bancshares, Inc. 210,820 14,397 Provident Financial Services, Inc. 199,255 ------------- 515,938 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 10,962 Applied Industrial Technologies, Inc. 422,914 7,056 Kaman Corp. 219,936 ------------- 642,850 ------------- WATER UTILITIES -- 0.1% 2,762 American States Water Co. 99,902 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 14,188 NTELOS Holdings Corp. 323,912 34,746 USA Mobility, Inc. 491,656 ------------- 815,568 ------------- See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOTAL COMMON STOCKS -- 99.6% $ 139,243,637 (Cost $128,698,922) MONEY MARKET FUND -- 0.7% 944,187 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 944,187 (Cost $944,187) ------------- TOTAL INVESTMENTS -- 100.3% 140,187,824 (Cost $129,643,109) (d) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (443,443) ------------- NET ASSETS -- 100.0% $ 139,744,381 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $14,802,906 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,258,191. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $139,243,637 $ -- $ -- Money Market Fund 944,187 -- -- -------------------------------------- Total Investments $140,187,824 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 48 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.4% 18,276 General Dynamics Corp. $ 1,263,968 23,308 L-3 Communications Holdings, Inc. 1,648,808 26,576 Northrop Grumman Corp. 1,542,737 25,087 Raytheon Co. 1,203,925 32,821 Textron, Inc. 836,279 4,152 United Technologies Corp. 325,309 ------------- 6,821,026 ------------- AIR FREIGHT & LOGISTICS -- 0.7% 14,534 FedEx Corp. 1,329,716 ------------- AIRLINES -- 0.3% 70,896 Southwest Airlines Co. 679,184 ------------- AUTO COMPONENTS -- 0.3% 9,521 BorgWarner, Inc. (b) 710,552 ------------- BEVERAGES -- 1.5% 23,540 Coca-Cola Enterprises, Inc. 630,637 75,190 Constellation Brands, Inc., Class A (b) 1,571,471 20,907 Molson Coors Brewing Co., Class B 896,701 ------------- 3,098,809 ------------- CAPITAL MARKETS -- 3.2% 6,114 Ameriprise Financial, Inc. 327,405 45,721 Bank of New York Mellon (The) Corp. 920,364 76,240 E*TRADE Financial Corp. (b) 624,406 60,086 Federated Investors, Inc., Class B 1,026,269 10,067 Goldman Sachs Group (The), Inc. 1,122,168 15,104 Invesco Ltd. 340,897 25,234 Legg Mason, Inc. 642,710 80,220 Morgan Stanley 1,496,103 ------------- 6,500,322 ------------- CHEMICALS -- 2.1% 3,562 Air Products and Chemicals, Inc. 313,563 31,652 Dow Chemical (The) Co. 1,060,658 23,305 Eastman Chemical Co. 1,172,708 30,818 Mosaic (The) Co. 1,724,883 ------------- 4,271,812 ------------- COMMERCIAL BANKS -- 2.5% 23,855 Fifth Third Bancorp 310,353 165,811 Huntington Bancshares, Inc. 946,781 157,833 KeyCorp 1,226,362 3,974 M&T Bank Corp. 316,887 15,785 PNC Financial Services Group, Inc. 930,052 11,010 Wells Fargo & Co. 321,602 55,915 Zions Bancorporation 941,609 ------------- 4,993,646 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 31,740 Avery Dennison Corp. $ 861,741 8,717 Cintas Corp. 322,965 84,112 R.R. Donnelley & Sons Co. 955,512 22,028 Republic Services, Inc. 644,980 9,276 Waste Management, Inc. 322,434 ------------- 3,107,632 ------------- COMMUNICATIONS EQUIPMENT -- 1.0% 16,783 Cisco Systems, Inc. 329,450 43,123 Harris Corp. 1,768,043 ------------- 2,097,493 ------------- COMPUTERS & PERIPHERALS -- 3.1% 62,221 Dell, Inc. (b) 1,072,068 60,333 Hewlett-Packard Co. 1,688,117 46,996 Lexmark International, Inc., Class A 1,640,160 50,216 Western Digital Corp. (b) 1,825,352 ------------- 6,225,697 ------------- CONSTRUCTION & ENGINEERING -- 0.2% 7,477 Jacobs Engineering Group, Inc. (b) 334,671 ------------- CONSUMER FINANCE -- 1.2% 28,700 Capital One Financial Corp. 1,313,025 37,929 Discover Financial Services 1,030,910 ------------- 2,343,935 ------------- CONTAINERS & PACKAGING -- 1.4% 20,175 Bemis Co., Inc. 631,074 31,314 Owens-Illinois, Inc. (b) 753,102 70,525 Sealed Air Corp. 1,405,563 ------------- 2,789,739 ------------- DIVERSIFIED FINANCIAL SERVICES -- 3.7% 46,132 Citigroup, Inc. 1,417,175 2,490 CME Group, Inc. 596,380 36,503 JPMorgan Chase & Co. 1,361,562 68,345 Leucadia National Corp. 1,897,257 37,140 NASDAQ OMX Group (The), Inc. (b) 920,329 46,503 NYSE Euronext 1,235,120 ------------- 7,427,823 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 30,103 AT&T, Inc. 885,329 24,470 CenturyLink, Inc. 906,124 235,676 Frontier Communications Corp. 1,008,694 ------------- 2,800,147 ------------- See Notes to Financial Statements Page 49 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 3.5% 22,036 American Electric Power Co., Inc. $ 871,744 27,585 Duke Energy Corp. 587,836 21,988 Edison International 902,387 16,615 Entergy Corp. 1,152,749 13,993 Exelon Corp. 556,642 13,699 FirstEnergy Corp. 578,372 8,412 Northeast Utilities 292,317 44,842 Pepco Holdings, Inc. 881,594 12,596 Pinnacle West Capital Corp. 595,287 20,628 PPL Corp. 573,252 ------------- 6,992,180 ------------- ELECTRICAL EQUIPMENT -- 0.3% 5,604 Cooper Industries PLC 331,308 6,513 Emerson Electric Co. 334,638 ------------- 665,946 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% 119,736 Corning, Inc. 1,541,002 12,104 FLIR Systems, Inc. 311,678 46,302 Jabil Circuit, Inc. 1,049,203 65,137 Molex, Inc. 1,722,222 39,394 TE Connectivity Ltd. 1,343,336 ------------- 5,967,441 ------------- ENERGY EQUIPMENT & SERVICES -- 2.6% 31,953 Baker Hughes, Inc. 1,569,851 35,170 Halliburton Co. 1,293,553 69,996 Nabors Industries Ltd. (b) 1,303,325 20,082 Noble Corp. (b) 699,657 10,004 Rowan Cos., Inc. (b) 340,236 ------------- 5,206,622 ------------- FOOD & STAPLES RETAILING -- 2.2% 14,881 CVS Caremark Corp. 621,282 25,056 Kroger (The) Co. 595,331 57,687 Safeway, Inc. 1,267,960 112,106 SUPERVALU, Inc. 774,652 36,713 Walgreen Co. 1,224,746 ------------- 4,483,971 ------------- FOOD PRODUCTS -- 1.5% 54,342 Archer-Daniels-Midland Co. 1,555,812 75,299 Tyson Foods, Inc., Class A 1,403,573 ------------- 2,959,385 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 227,291 Boston Scientific Corp. (b) $ 1,354,654 11,941 CareFusion Corp. (b) 285,987 20,224 Covidien PLC 1,041,536 23,799 Medtronic, Inc. 917,928 ------------- 3,600,105 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 28,768 Aetna, Inc. 1,257,162 21,674 Cigna Corp. 971,645 51,175 Coventry Health Care, Inc. (b) 1,538,832 177,446 Tenet Healthcare Corp. (b) 938,689 23,459 WellPoint, Inc. 1,508,883 ------------- 6,215,211 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.9% 37,185 Carnival Corp. 1,122,987 13,314 Darden Restaurants, Inc. 610,713 ------------- 1,733,700 ------------- HOUSEHOLD DURABLES -- 0.8% 7,977 Harman International Industries, Inc. 336,630 25,579 Whirlpool Corp. 1,389,451 ------------- 1,726,081 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.8% 15,298 Constellation Energy Group, Inc. 557,306 66,983 NRG Energy, Inc. (b) 1,130,673 ------------- 1,687,979 ------------- INDUSTRIAL CONGLOMERATES -- 1.0% 3,713 3M Co. 321,954 16,942 General Electric Co. 316,985 25,984 Tyco International Ltd. 1,323,885 ------------- 1,962,824 ------------- INSURANCE -- 4.3% 26,158 American International Group, Inc. (b) 656,827 3,976 Berkshire Hathaway, Inc., Class B (b) 311,599 74,691 Hartford Financial Services Group (The), Inc. 1,308,586 62,499 Lincoln National Corp. 1,346,229 38,927 MetLife, Inc. 1,375,291 24,669 Principal Financial Group, Inc. 673,711 12,108 Prudential Financial, Inc. 693,062 20,979 Torchmark Corp. 958,111 57,605 Unum Group 1,315,122 ------------- 8,638,538 ------------- Page 50 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL -- 0.9% 53,555 Expedia, Inc. $ 1,733,575 ------------- INTERNET SOFTWARE & SERVICES -- 0.3% 37,623 Yahoo!, Inc. (b) 582,028 ------------- IT SERVICES -- 0.8% 22,823 Fidelity National Information Services, Inc. 651,825 24,689 SAIC, Inc. (b) 317,501 31,026 Total System Services, Inc. 665,197 ------------- 1,634,523 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 19,030 Hasbro, Inc. 664,337 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 17,374 Agilent Technologies, Inc. (b) 737,874 30,343 PerkinElmer, Inc. 727,625 13,495 Thermo Fisher Scientific, Inc. (b) 713,885 ------------- 2,179,384 ------------- MACHINERY -- 3.2% 10,343 Cummins, Inc. 1,075,672 20,912 Eaton Corp. 1,025,315 6,111 Flowserve Corp. 673,249 19,488 Illinois Tool Works, Inc. 1,033,449 8,098 PACCAR, Inc. 357,932 15,918 Parker Hannifin Corp. 1,284,264 11,989 Snap-on, Inc. 677,498 11,812 Xylem, Inc. 306,049 ------------- 6,433,428 ------------- MEDIA -- 3.0% 11,180 CBS Corp., Class B 318,406 38,393 Comcast Corp., Class A 1,020,870 116,243 Gannett Co., Inc. 1,647,163 31,185 Interpublic Group of Cos. (The), Inc. 322,141 17,009 News Corp., Class A 320,279 4,773 Time Warner Cable, Inc. 351,866 16,792 Time Warner, Inc. 622,312 16,183 Walt Disney (The) Co. 629,519 2,416 Washington Post (The) Co., Class B 914,963 ------------- 6,147,519 ------------- METALS & MINING -- 2.4% 179,673 Alcoa, Inc. 1,825,478 42,244 Freeport-McMoRan Copper & Gold, Inc. 1,952,095 7,668 Nucor Corp. 341,149 22,935 United States Steel Corp. 692,408 ------------- 4,811,130 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MULTILINE RETAIL -- 2.1% 24,594 Kohl's Corp. $ 1,131,078 28,288 Macy's, Inc. 953,023 28,644 Sears Holdings Corp. (b) 1,207,345 17,772 Target Corp. 902,995 ------------- 4,194,441 ------------- MULTI-UTILITIES -- 4.6% 27,477 Ameren Corp. 869,372 45,311 CenterPoint Energy, Inc. 836,894 27,485 CMS Energy Corp. 599,998 22,291 DTE Energy Co. 1,186,104 11,201 Integrys Energy Group, Inc. 581,444 12,744 NiSource, Inc. 289,671 22,084 PG&E Corp. 897,935 27,576 Public Service Enterprise Group, Inc. 836,656 13,468 SCANA Corp. 603,771 22,068 Sempra Energy 1,255,669 31,707 TECO Energy, Inc. 572,311 8,679 Wisconsin Energy Corp. 295,086 21,956 Xcel Energy, Inc. 584,030 ------------- 9,408,941 ------------- OFFICE ELECTRONICS -- 0.7% 195,248 Xerox Corp. 1,513,172 ------------- OIL, GAS & CONSUMABLE FUELS -- 12.1% 44,557 Alpha Natural Resources, Inc. (b) 896,487 17,158 Apache Corp. 1,696,583 69,725 Chesapeake Energy Corp. 1,473,289 14,607 Chevron Corp. 1,505,690 21,328 ConocoPhillips 1,454,783 8,268 CONSOL Energy, Inc. 295,498 80,380 Denbury Resources, Inc. (b) 1,515,967 25,067 Devon Energy Corp. 1,599,525 27,362 Hess Corp. 1,540,481 53,098 Marathon Oil Corp. 1,666,746 46,686 Marathon Petroleum Corp. 1,784,339 27,883 Murphy Oil Corp. 1,661,827 41,192 Newfield Exploration Co. (b) 1,557,469 12,953 Occidental Petroleum Corp. 1,292,321 41,424 QEP Resources, Inc. 1,186,383 66,531 Tesoro Corp. (b) 1,665,271 73,832 Valero Energy Corp. 1,771,230 ------------- 24,563,889 ------------- PAPER & FOREST PRODUCTS -- 1.1% 41,005 International Paper Co. 1,276,896 30,394 MeadWestvaco Corp. 894,799 ------------- 2,171,695 ------------- PERSONAL PRODUCTS -- 0.1% 17,369 Avon Products, Inc. 308,647 ------------- See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS -- 1.7% 29,204 Eli Lilly & Co. $ 1,160,567 51,361 Forest Laboratories, Inc. (b) 1,632,252 9,991 Hospira, Inc. (b) 344,290 14,022 Pfizer, Inc. 300,071 ------------- 3,437,180 ------------- ROAD & RAIL -- 0.5% 14,408 CSX Corp. 324,900 11,420 Ryder System, Inc. 642,718 ------------- 967,618 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.8% 287,809 Advanced Micro Devices, Inc. (b) 1,931,198 16,961 Analog Devices, Inc. 663,684 145,114 Applied Materials, Inc. 1,782,000 64,090 Intel Corp. 1,693,258 192,962 Micron Technology, Inc. (b) 1,464,582 65,678 NVIDIA Corp. (b) 970,064 114,026 Teradyne, Inc. (b) 1,864,325 41,695 Texas Instruments, Inc. 1,350,084 ------------- 11,719,195 ------------- SOFTWARE -- 1.7% 10,733 Adobe Systems, Inc. (b) 332,186 9,257 BMC Software, Inc. (b) 335,474 45,031 CA, Inc. 1,160,899 36,470 Compuware Corp. (b) 285,925 35,065 Microsoft Corp. 1,035,469 19,389 Symantec Corp. (b) 333,297 ------------- 3,483,250 ------------- SPECIALTY RETAIL -- 3.3% 6,213 Abercrombie & Fitch Co., Class A 285,425 66,503 Best Buy Co., Inc. 1,592,747 64,408 GameStop Corp., Class A (b) 1,504,571 65,430 Gap (The), Inc. 1,241,862 11,957 Lowe's Cos., Inc. 320,806 111,891 Staples, Inc. 1,636,965 ------------- 6,582,376 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.1% 139,831 MetroPCS Communications, Inc. (b) 1,236,106 518,689 Sprint Nextel Corp. (b) 1,099,621 ------------- 2,335,727 ------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 202,244,242 (Cost $199,930,159) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (29,179) ------------- NET ASSETS -- 100.0% $ 202,215,063 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,935,713 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,621,630. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $202,244,242 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUTIDED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 3.2% 10,069 Boeing (The) Co. $ 746,918 7,961 Goodrich Corp. 993,135 18,117 Honeywell International, Inc. 1,051,511 9,128 Lockheed Martin Corp. 751,417 2,987 Precision Castparts Corp. 488,912 ------------- 4,031,893 ------------- AIR FREIGHT & LOGISTICS -- 0.6% 10,091 United Parcel Service, Inc., Class B 763,384 ------------- AUTOMOBILES -- 0.4% 12,667 Harley-Davidson, Inc. 559,755 ------------- BEVERAGES -- 1.4% 9,173 Brown-Forman Corp., Class B 744,939 7,037 Coca-Cola (The) Co. 475,209 7,421 PepsiCo, Inc. 487,337 ------------- 1,707,485 ------------- BIOTECHNOLOGY -- 1.7% 7,668 Amgen, Inc. 520,734 6,712 Biogen Idec, Inc. (b) 791,479 10,924 Celgene Corp. (b) 794,175 ------------- 2,106,388 ------------- BUILDING PRODUCTS -- 0.2% 22,799 Masco Corp. 275,184 ------------- CAPITAL MARKETS -- 0.6% 2,762 BlackRock, Inc. 502,684 4,196 T. Rowe Price Group, Inc. 242,697 ------------- 745,381 ------------- CHEMICALS -- 6.2% 15,765 Airgas, Inc. 1,244,331 8,491 CF Industries Holdings, Inc. 1,506,134 10,754 E.I. du Pont de Nemours & Co. 547,271 12,774 Ecolab, Inc. 772,061 8,584 FMC Corp. 795,565 3,411 Monsanto Co. 279,872 8,846 PPG Industries, Inc. 792,425 4,605 Praxair, Inc. 489,051 13,788 Sherwin-Williams (The) Co. 1,344,744 ------------- 7,771,454 ------------- COMMUNICATIONS EQUIPMENT -- 1.8% 4,640 F5 Networks, Inc. (b) 555,593 31,725 Motorola Mobility Holdings, Inc. (b) 1,225,537 9,001 QUALCOMM, Inc. 529,439 ------------- 2,310,569 ------------- COMPUTERS & PERIPHERALS -- 1.6% 2,432 Apple, Inc. (b) 1,110,159 20,010 SanDisk Corp. (b) 918,059 ------------- 2,028,218 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSUMER FINANCE -- 0.2% 5,065 American Express Co. $ 253,959 ------------- CONTAINERS & PACKAGING -- 0.9% 27,575 Ball Corp. 1,082,594 ------------- DISTRIBUTORS -- 1.0% 20,112 Genuine Parts Co. 1,282,743 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 22,848 Apollo Group, Inc., Class A (b) 1,197,464 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 14,619 Moody's Corp. 544,265 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 12,272 Verizon Communications, Inc. 462,164 ------------- ELECTRIC UTILITIES -- 1.0% 3,925 NextEra Energy, Inc. 234,911 8,788 Progress Energy, Inc. 477,452 10,635 Southern (The) Co. 484,531 ------------- 1,196,894 ------------- ELECTRICAL EQUIPMENT -- 1.5% 10,066 Rockwell Automation, Inc. 783,839 11,336 Roper Industries, Inc. 1,058,669 ------------- 1,842,508 ------------- ENERGY EQUIPMENT & SERVICES -- 3.1% 15,013 Cameron International Corp. (b) 798,692 23,566 FMC Technologies, Inc. (b) 1,204,458 21,091 Helmerich & Payne, Inc. 1,301,526 7,242 National Oilwell Varco, Inc. 535,763 ------------- 3,840,439 ------------- FOOD & STAPLES RETAILING -- 2.6% 11,818 Costco Wholesale Corp. 972,267 20,598 Wal-Mart Stores, Inc. 1,263,893 14,152 Whole Foods Market, Inc. 1,047,673 ------------- 3,283,833 ------------- FOOD PRODUCTS -- 4.1% 12,184 General Mills, Inc. 485,289 4,421 H. J. Heinz Co. 229,229 7,969 Hershey (The) Co. 486,746 25,215 Hormel Foods Corp. 725,688 9,448 J.M. Smucker (The) Co. 744,313 32,947 Kraft Foods, Inc., Class A 1,261,870 4,739 McCormick & Co., Inc. 239,509 3,477 Mead Johnson Nutrition Co. 257,611 39,033 Sara Lee Corp. 747,482 ------------- 5,177,737 ------------- See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUTIDED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES -- 0.9% 14,198 ONEOK, Inc. $ 1,180,706 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.4% 2,658 Intuitive Surgical, Inc. (b) 1,222,441 7,335 Varian Medical Systems, Inc. (b) 483,156 ------------- 1,705,597 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.9% 9,743 DaVita, Inc. (b) 797,075 5,347 Express Scripts, Inc. (b) 273,553 14,049 Humana, Inc. 1,250,642 2,780 Laboratory Corp. of America Holdings (b) 254,064 13,212 Medco Health Solutions, Inc. (b) 819,408 8,481 Quest Diagnostics, Inc. 492,576 19,430 UnitedHealth Group, Inc. 1,006,280 ------------- 4,893,598 ------------- HEALTH CARE TECHNOLOGY -- 0.2% 3,901 Cerner Corp. (b) 237,532 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.5% 2,915 Chipotle Mexican Grill, Inc. (b) 1,070,650 9,815 McDonald's Corp. 972,176 26,752 Starbucks Corp. 1,282,223 16,688 Yum! Brands, Inc. 1,056,851 ------------- 4,381,900 ------------- HOUSEHOLD DURABLES -- 0.2% 37,867 PulteGroup, Inc. (b) 282,109 ------------- HOUSEHOLD PRODUCTS -- 0.6% 2,586 Colgate-Palmolive Co. 234,602 6,694 Kimberly-Clark Corp. 479,023 ------------- 713,625 ------------- INDUSTRIAL CONGLOMERATES -- 0.2% 5,080 Danaher Corp. 266,751 ------------- INSURANCE -- 2.2% 11,381 Aflac, Inc. 548,906 15,781 Aon Corp. 764,274 10,669 Chubb (The) Corp. 719,197 12,482 Travelers (The) Cos., Inc. 727,700 ------------- 2,760,077 ------------- INTERNET & CATALOG RETAIL -- 0.2% 510 priceline.com, Inc. (b) 270,035 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 1.9% 7,402 Akamai Technologies, Inc. (b) $ 238,714 7,877 eBay, Inc. (b) 248,913 1,907 Google, Inc., Class A (b) 1,106,270 20,676 VeriSign, Inc. 766,253 ------------- 2,360,150 ------------- IT SERVICES -- 3.3% 9,249 Accenture PLC, Class A 530,338 13,673 Automatic Data Processing, Inc. 749,007 2,678 International Business Machines Corp. 515,783 3,302 MasterCard, Inc., Class A 1,174,092 9,699 Visa, Inc., Class A 976,107 13,085 Western Union Co. 249,923 ------------- 4,195,250 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.4% 17,737 Mattel, Inc. 549,847 ------------- MACHINERY -- 4.9% 10,869 Caterpillar, Inc. 1,186,025 12,731 Deere & Co. 1,096,776 16,962 Dover Corp. 1,075,560 3,187 Joy Global, Inc. 289,029 21,538 Pall Corp. 1,285,388 18,207 Stanley Black & Decker, Inc. 1,277,767 ------------- 6,210,545 ------------- MEDIA -- 2.0% 5,587 DIRECTV, Class A (b) 251,471 10,948 McGraw-Hill (The) Cos., Inc. 503,608 22,089 Omnicom Group, Inc. 1,007,479 16,263 Viacom, Inc., Class B 765,012 ------------- 2,527,570 ------------- METALS & MINING -- 0.2% 3,832 Cliffs Natural Resources, Inc. 276,862 ------------- MULTILINE RETAIL -- 3.5% 26,078 Big Lots, Inc. (b) 1,029,820 14,811 Dollar Tree, Inc. (b) 1,256,121 21,347 Family Dollar Stores, Inc. 1,191,163 19,808 Nordstrom, Inc. 978,119 ------------- 4,455,223 ------------- MULTI-UTILITIES -- 0.5% 7,938 Consolidated Edison, Inc. 468,025 4,501 Dominion Resources, Inc. 225,230 ------------- 693,255 ------------- OIL, GAS & CONSUMABLE FUELS -- 8.1% 9,675 Anadarko Petroleum Corp. 780,966 25,946 Cabot Oil & Gas Corp. 827,677 Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUTIDED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 37,061 El Paso Corp. $ 995,829 9,997 EOG Resources, Inc. 1,061,082 4,361 EQT Corp. 220,318 14,522 Exxon Mobil Corp. 1,216,072 10,433 Noble Energy, Inc. 1,050,290 11,004 Pioneer Natural Resources Co. 1,092,697 11,923 Range Resources Corp. 685,811 32,022 Spectra Energy Corp. 1,008,373 45,650 Williams (The) Cos., Inc. 1,315,633 ------------- 10,254,748 ------------- PERSONAL PRODUCTS -- 1.0% 21,918 Estee Lauder (The) Cos., Inc., Class A 1,269,710 ------------- PHARMACEUTICALS -- 3.2% 13,133 Abbott Laboratories 711,152 5,612 Allergan, Inc. 493,351 20,958 Bristol-Myers Squibb Co. 675,686 13,059 Merck & Co., Inc. 499,637 34,413 Mylan, Inc. (b) 714,070 7,591 Perrigo Co. 725,700 3,961 Watson Pharmaceuticals, Inc. (b) 232,233 ------------- 4,051,829 ------------- PROFESSIONAL SERVICES -- 1.8% 3,193 Dun & Bradstreet (The) Corp. 264,412 19,064 Equifax, Inc. 742,924 43,249 Robert Half International, Inc. 1,197,565 ------------- 2,204,901 ------------- REAL ESTATE INVESTMENT TRUSTS -- 5.1% 16,410 American Tower Corp., Class A 1,042,199 3,771 AvalonBay Communities, Inc. 512,894 2,399 Boston Properties, Inc. 249,616 4,190 Equity Residential 249,515 23,768 HCP, Inc. 998,969 18,058 Health Care REIT, Inc. 1,033,098 5,492 Public Storage 762,619 5,728 Simon Property Group, Inc. 778,206 13,395 Ventas, Inc. 781,062 ------------- 6,408,178 ------------- ROAD & RAIL -- 1.6% 13,515 Norfolk Southern Corp. 975,783 9,296 Union Pacific Corp. 1,062,626 ------------- 2,038,409 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7% 6,441 Altera Corp. 256,287 25,510 KLA-Tencor Corp. 1,304,326 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 13,441 Microchip Technology, Inc. $ 496,107 29,810 Novellus Systems, Inc. (b) 1,405,542 ------------- 3,462,262 ------------- SOFTWARE -- 0.2% 4,543 Intuit, Inc. 256,407 ------------- SPECIALTY RETAIL -- 6.1% 1,515 AutoZone, Inc. (b) 527,038 8,494 Bed Bath & Beyond, Inc. (b) 515,586 29,279 Home Depot (The), Inc. 1,299,695 24,404 Limited Brands, Inc. 1,021,551 15,396 O'Reilly Automotive, Inc. (b) 1,254,928 25,897 Ross Stores, Inc. 1,316,085 3,605 Tiffany & Co. 229,999 19,069 TJX (The) Cos., Inc. 1,299,362 8,670 Urban Outfitters, Inc. (b) 229,755 ------------- 7,693,999 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.9% 8,065 Coach, Inc. 564,953 7,664 NIKE, Inc., Class B 796,979 7,132 Ralph Lauren Corp. 1,084,064 7,754 VF Corp. 1,019,574 ------------- 3,465,570 ------------- TOBACCO -- 1.5% 8,058 Altria Group, Inc. 228,847 2,095 Lorillard, Inc. 224,982 15,684 Philip Morris International, Inc. 1,172,693 5,768 Reynolds American, Inc. 226,279 ------------- 1,852,801 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 28,225 Fastenal Co. 1,317,543 6,575 W.W. Grainger, Inc. 1,254,115 ------------- 2,571,658 ------------- TOTAL INVESTMENTS -- 100.1% 125,955,415 (Cost $114,867,033) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (69,176) ------------- NET ASSETS -- 100.0% 125,886,239 ============= See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUTIDED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,570,723 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $482,341. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $125,955,415 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 56 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.0% 2,652 AAR Corp. $ 56,196 2,040 Alliant Techsystems, Inc. 121,196 1,898 Ceradyne, Inc. (b) 62,805 1,130 Curtiss-Wright Corp. 42,217 1,619 Esterline Technologies Corp. (b) 99,002 12,887 Exelis, Inc. 128,741 1,897 General Dynamics Corp. 131,196 2,417 L-3 Communications Holdings, Inc. 170,979 2,756 Northrop Grumman Corp. 159,986 2,746 Orbital Sciences Corp. (b) 39,789 2,602 Raytheon Co. 124,870 3,404 Textron, Inc. 86,734 431 United Technologies Corp. 33,769 ------------- 1,257,480 ------------- AIR FREIGHT & LOGISTICS -- 0.4% 1,507 FedEx Corp. 137,875 3,410 UTI Worldwide, Inc. 50,775 ------------- 188,650 ------------- AIRLINES -- 0.5% 17,430 JetBlue Airways Corp. (b) 103,360 4,038 SkyWest, Inc. 51,686 7,353 Southwest Airlines Co. 70,442 ------------- 225,488 ------------- AUTO COMPONENTS -- 0.5% 988 BorgWarner, Inc. (b) 73,734 814 Drew Industries, Inc. (b) 21,140 4,148 Spartan Motors, Inc. 25,178 1,521 Standard Motor Products, Inc. 31,469 3,074 Superior Industries International, Inc. 55,855 ------------- 207,376 ------------- AUTOMOBILES -- 0.1% 1,653 Thor Industries, Inc. 50,681 ------------- BEVERAGES -- 0.8% 2,441 Coca-Cola Enterprises, Inc. 65,394 7,798 Constellation Brands, Inc., Class A (b) 162,978 2,168 Molson Coors Brewing Co., Class B 92,986 ------------- 321,358 ------------- BUILDING PRODUCTS -- 0.1% 2,185 Griffon Corp. 21,784 665 Quanex Building Products Corp. 10,926 323 Universal Forest Products, Inc. 10,262 ------------- 42,972 ------------- CAPITAL MARKETS -- 2.6% 634 Ameriprise Financial, Inc. 33,951 4,742 Bank of New York Mellon (The) Corp. 95,456 2,438 Calamos Asset Management, Inc., Class A 30,451 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 7,907 E*TRADE Financial Corp. (b) $ 64,758 959 Eaton Vance Corp. 24,637 6,232 Federated Investors, Inc., Class B 106,443 1,045 Goldman Sachs Group (The), Inc. 116,486 1,566 Invesco Ltd. 35,345 18,483 Janus Capital Group, Inc. 145,461 3,296 Jefferies Group, Inc. 50,132 2,617 Legg Mason, Inc. 66,655 8,320 Morgan Stanley 155,168 1,975 Piper Jaffray Cos. (b) 43,944 5,472 Prospect Capital Corp. 56,471 2,612 SEI Investments Co. 47,982 1,831 Waddell & Reed Financial, Inc., Class A 50,261 ------------- 1,123,601 ------------- CHEMICALS -- 2.7% 1,441 A. Schulman, Inc. 35,305 370 Air Products and Chemicals, Inc. 32,571 1,411 Cabot Corp. 51,078 635 Calgon Carbon Corp. (b) 10,376 2,030 Cytec Industries, Inc. 101,216 3,283 Dow Chemical (The) Co. 110,013 2,417 Eastman Chemical Co. 121,624 2,504 Kraton Performance Polymers, Inc. (b) 71,214 1,425 LSB Industries, Inc. (b) 49,946 1,603 Minerals Technologies, Inc. 101,710 3,196 Mosaic (The) Co. 178,880 5,935 Olin Corp. 131,757 1,363 OM Group, Inc. (b) 36,978 4,401 PolyOne Corp. 63,463 1,374 Tredegar Corp. 33,883 714 Zep, Inc. 11,695 ------------- 1,141,709 ------------- COMMERCIAL BANKS -- 2.9% 2,030 Associated Banc-Corp. 25,294 2,056 BancorpSouth, Inc. 23,089 1,056 BBCN Bancorp, Inc. (b) 10,687 1,519 Cathay General Bancorp 23,909 513 City National Corp. 23,536 518 Columbia Banking System, Inc. 10,878 1,148 East West Bancorp, Inc. 25,210 2,474 Fifth Third Bancorp 32,187 3,793 First Commonwealth Financial Corp. 21,013 600 First Financial Bancorp 10,428 2,626 First Niagara Financial Group, Inc. 25,131 1,499 FirstMerit Corp. 23,519 2,310 Fulton Financial Corp. 21,460 6,870 Hanmi Financial Corp. (b) 56,609 17,197 Huntington Bancshares, Inc. 98,195 366 Independent Bank Corp. 10,153 3,816 International Bancshares Corp. 73,343 16,369 KeyCorp 127,187 413 M&T Bank Corp. 32,933 See Notes to Financial Statements Page 57 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 1,183 National Penn Bancshares, Inc. $ 10,280 451 NBT Bancorp, Inc. 10,147 857 Old National Bancorp 10,087 1,236 Pinnacle Financial Partners, Inc. (b) 20,814 1,638 PNC Financial Services Group, Inc. 96,511 909 PrivateBancorp, Inc. 12,853 562 Prosperity Bancshares, Inc. 23,329 1,021 S&T Bancorp, Inc. 22,166 367 Simmons First National Corp., Class A 10,111 1,156 Sterling Bancorp 11,040 1,191 Susquehanna Bancshares, Inc. 10,886 4,391 TCF Financial Corp. 44,086 259 Tompkins Financial Corp. 10,474 934 Trustmark Corp. 22,014 268 UMB Financial Corp. 10,339 806 Umpqua Holdings Corp. 9,809 2,224 Webster Financial Corp. 47,149 1,143 Wells Fargo & Co. 33,387 712 Wintrust Financial Corp. 21,823 5,799 Zions Bancorporation 97,655 ------------- 1,209,721 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 1,480 ABM Industries, Inc. 32,116 3,292 Avery Dennison Corp. 89,378 1,687 Brink's (The) Co. 47,557 905 Cintas Corp. 33,530 827 Consolidated Graphics, Inc. (b) 42,003 4,449 Corrections Corp. of America (b) 104,685 3,074 Deluxe Corp. 78,602 1,878 Encore Capital Group, Inc. (b) 44,133 1,372 G&K Services, Inc., Class A 45,084 2,382 Geo Group (The), Inc. (b) 41,876 1,229 Herman Miller, Inc. 25,956 572 Mobile Mini, Inc. (b) 11,898 8,724 R.R. Donnelley & Sons Co. 99,105 2,286 Republic Services, Inc. 66,934 17,125 Standard Register (The) Co. 34,421 3,246 Sykes Enterprises, Inc. (b) 56,902 1,414 Tetra Tech, Inc. (b) 32,706 704 UniFirst Corp. 42,507 613 United Stationers, Inc. 19,818 1,746 Viad Corp. 35,322 963 Waste Management, Inc. 33,474 ------------- 1,018,007 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 1.1% 1,845 Arris Group, Inc. (b) $ 21,550 1,814 Black Box Corp. 56,089 1,742 Cisco Systems, Inc. 34,195 1,395 Comtech Telecommunications Corp. 43,050 1,789 Digi International, Inc. (b) 20,198 4,472 Harris Corp. 183,352 3,087 Oplink Communications, Inc. (b) 57,819 1,273 Plantronics, Inc. 47,406 ------------- 463,659 ------------- COMPUTERS & PERIPHERALS -- 1.8% 6,453 Dell, Inc. (b) 111,185 6,257 Hewlett-Packard Co. 175,071 1,455 Intermec, Inc. (b) 12,280 4,874 Lexmark International, Inc., Class A 170,103 6,042 QLogic Corp. (b) 104,647 637 Super Micro Computer, Inc. (b) 10,753 5,208 Western Digital Corp. (b) 189,311 ------------- 773,350 ------------- CONSTRUCTION & ENGINEERING -- 0.8% 5,670 AECOM Technology Corp. (b) 129,786 1,988 Aegion Corp. (b) 33,935 954 Dycom Industries, Inc. (b) 20,387 372 EMCOR Group, Inc. 10,725 776 Jacobs Engineering Group, Inc. (b) 34,734 3,252 KBR, Inc. 104,519 3,000 Orion Marine Group, Inc. (b) 21,720 ------------- 355,806 ------------- CONSUMER FINANCE -- 0.6% 2,977 Capital One Financial Corp. 136,198 3,934 Discover Financial Services 106,926 ------------- 243,124 ------------- CONTAINERS & PACKAGING -- 1.1% 2,092 Bemis Co., Inc. 65,438 1,537 Greif, Inc., Class A 74,468 3,248 Owens-Illinois, Inc. (b) 78,114 1,795 Packaging Corp. of America 50,511 7,314 Sealed Air Corp. 145,768 1,376 Sonoco Products Co. 43,069 ------------- 457,368 ------------- DISTRIBUTORS -- 0.2% 6,016 VOXX International Corp., Class A (b) 76,524 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 6,378 Career Education Corp. (b) 64,482 6,435 Lincoln Educational Services Corp. 56,178 1,443 Matthews International Corp., Class A 47,561 Page 58 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 1,370 Regis Corp. $ 23,482 15,961 School Specialty, Inc. (b) 51,394 2,129 Service Corp. International 23,632 2,453 Sotheby's 82,249 3,122 Universal Technical Institute, Inc. (b) 43,552 ------------- 392,530 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.8% 4,785 Citigroup, Inc. 146,995 259 CME Group, Inc. 62,033 3,786 JPMorgan Chase & Co. 141,218 7,088 Leucadia National Corp. 196,763 3,852 NASDAQ OMX Group (The), Inc. (b) 95,452 4,823 NYSE Euronext 128,099 ------------- 770,560 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 3,122 AT&T, Inc. 91,818 2,491 Cbeyond, Inc. (b) 21,174 2,538 CenturyLink, Inc. 93,982 24,443 Frontier Communications Corp. 104,616 1,020 General Communication, Inc., Class A (b) 10,618 2,601 Lumos Networks Corp. 39,093 4,756 Neutral Tandem, Inc. (b) 58,451 ------------- 419,752 ------------- ELECTRIC UTILITIES -- 2.8% 476 ALLETE, Inc. 19,730 2,285 American Electric Power Co., Inc. 90,394 1,838 Cleco Corp. 73,079 2,861 Duke Energy Corp. 60,968 2,280 Edison International 93,571 881 El Paso Electric Co. 30,659 1,723 Entergy Corp. 119,542 1,452 Exelon Corp. 57,760 1,422 FirstEnergy Corp. 60,037 4,161 Great Plains Energy, Inc. 85,800 856 Hawaiian Electric Industries, Inc. 22,213 1,651 IDACORP, Inc. 69,590 873 Northeast Utilities 30,337 4,280 NV Energy, Inc. 69,336 4,651 Pepco Holdings, Inc. 91,439 1,307 Pinnacle West Capital Corp. 61,769 2,139 PPL Corp. 59,443 827 Unisource Energy Corp. 30,814 2,431 Westar Energy, Inc. 69,137 ------------- 1,195,618 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.0% 967 Brady Corp., Class A $ 31,302 582 Cooper Industries PLC 34,408 676 Emerson Electric Co. 34,733 1,179 Encore Wire Corp. 32,186 1,536 EnerSys (b) 44,513 4,663 General Cable Corp. (b) 143,900 1,374 Regal-Beloit Corp. 78,002 3,832 Vicor Corp. 34,220 ------------- 433,264 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.4% 335 Anixter International, Inc. (b) 21,946 3,117 Arrow Electronics, Inc. (b) 128,701 3,751 Avnet, Inc. (b) 130,797 339 Badger Meter, Inc. 10,896 3,774 Benchmark Electronics, Inc. (b) 64,913 928 Brightpoint, Inc. (b) 10,876 12,418 Corning, Inc. 159,820 4,337 CTS Corp. 43,630 2,106 Electro Scientific Industries, Inc. 31,969 1,256 FLIR Systems, Inc. 32,342 3,847 Ingram Micro, Inc., Class A (b) 73,016 3,325 Insight Enterprises, Inc. (b) 61,380 4,802 Jabil Circuit, Inc. 108,813 1,092 Measurement Specialties, Inc. (b) 35,490 1,502 Mercury Computer Systems, Inc. (b) 20,112 3,679 Methode Electronics, Inc. 36,533 6,756 Molex, Inc. 178,629 3,735 Newport Corp. (b) 68,985 779 Park Electrochemical Corp. 23,658 1,457 Plexus Corp. (b) 52,816 3,943 RadiSys Corp. (b) 23,776 1,746 Rofin-Sinar Technologies, Inc. (b) 49,534 1,083 Rogers Corp. (b) 41,620 555 ScanSource, Inc. (b) 20,851 1,670 SYNNEX Corp. (b) 60,421 4,086 TE Connectivity Ltd. 139,333 1,834 Tech Data Corp. (b) 95,221 3,641 TTM Technologies, Inc. (b) 44,675 12,973 Vishay Intertechnology, Inc. (b) 159,308 ------------- 1,930,061 ------------- ENERGY EQUIPMENT & SERVICES -- 2.6% 2,931 Atwood Oceanics, Inc. (b) 134,767 3,314 Baker Hughes, Inc. 162,817 644 Bristow Group, Inc. 31,595 3,648 Halliburton Co. 134,173 4,227 Matrix Service Co. (b) 49,202 7,260 Nabors Industries Ltd. (b) 135,181 2,084 Noble Corp. 72,607 5,837 Patterson-UTI Energy, Inc. 110,144 1,038 Rowan Cos., Inc. (b) 35,302 2,460 Superior Energy Services, Inc. (b) 70,135 See Notes to Financial Statements Page 59 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 1,069 TETRA Technologies, Inc. (b) $ 9,985 460 Tidewater, Inc. 24,771 2,513 Unit Corp. (b) 113,713 ------------- 1,084,392 ------------- FOOD & STAPLES RETAILING -- 1.4% 915 Andersons (The), Inc. 37,103 1,543 CVS Caremark Corp. 64,420 2,599 Kroger (The) Co. 61,752 1,736 Nash Finch Co. 50,709 532 Ruddick Corp. 21,461 5,983 Safeway, Inc. 131,506 2,157 Spartan Stores, Inc. 40,422 11,627 SUPERVALU, Inc. 80,343 3,808 Walgreen Co. 127,035 ------------- 614,751 ------------- FOOD PRODUCTS -- 1.4% 5,636 Archer-Daniels-Midland Co. 161,359 835 Cal-Maine Foods, Inc. 31,697 3,825 Darling International, Inc. (b) 58,446 619 Diamond Foods, Inc. 22,494 1,195 Flowers Foods, Inc. 23,123 773 Seneca Foods Corp., Class A (b) 22,363 4,803 Smithfield Foods, Inc. (b) 107,251 7,810 Tyson Foods, Inc., Class A 145,578 ------------- 572,311 ------------- GAS UTILITIES -- 0.4% 2,098 Atmos Energy Corp. 67,996 493 Laclede Group (The), Inc. 20,539 408 National Fuel Gas Co. 20,514 208 Northwest Natural Gas Co. 9,891 1,541 UGI Corp. 41,468 ------------- 160,408 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 23,573 Boston Scientific Corp. (b) 140,495 1,238 CareFusion Corp. (b) 29,650 778 CONMED Corp. (b) 22,873 2,099 Covidien PLC 108,098 6,355 CryoLife, Inc. (b) 33,936 2,300 Greatbatch, Inc. (b) 53,866 2,077 Hill-Rom Holdings, Inc. 68,562 1,295 Hologic, Inc. (b) 26,405 648 Integra LifeSciences Holdings (b) 19,129 3,325 Invacare Corp. 56,791 1,214 Masimo Corp. (b) 25,980 2,468 Medtronic, Inc. 95,191 746 Merit Medical Systems, Inc. (b) 10,526 2,117 Natus Medical, Inc. (b) 23,943 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,074 Palomar Medical Technologies, Inc. (b) $ 9,720 1,521 STERIS Corp. 45,752 3,818 Symmetry Medical, Inc. (b) 28,673 526 West Pharmaceutical Services, Inc. 21,292 ------------- 820,882 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.7% 2,984 Aetna, Inc. 130,401 3,066 Almost Family, Inc. (b) 57,763 1,876 Bio-Reference Laboratories, Inc. (b) 36,301 2,248 Cigna Corp. 100,778 6,683 Community Health Systems, Inc. (b) 124,972 5,307 Coventry Health Care, Inc. (b) 159,581 1,797 Cross Country Healthcare, Inc. (b) 11,087 1,068 Hanger Orthopedic Group, Inc. (b) 20,922 6,149 Health Management Associates, Inc., Class A (b) 39,415 7,411 Healthways, Inc. (b) 56,027 4,319 Kindred Healthcare, Inc. (b) 52,994 3,139 LifePoint Hospitals, Inc. (b) 126,156 2,722 Lincare Holdings, Inc. 69,928 1,788 Molina Healthcare, Inc. (b) 54,731 816 Owens & Minor, Inc. 24,815 2,009 PharMerica Corp. (b) 25,213 18,404 Tenet Healthcare Corp. (b) 97,357 1,802 Universal Health Services, Inc., Class B 74,405 3,543 VCA Antech, Inc. (b) 79,292 864 WellCare Health Plans, Inc. (b) 51,633 2,433 WellPoint, Inc. 156,491 ------------- 1,550,262 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 2,702 Bob Evans Farms, Inc. 95,462 5,349 Boyd Gaming Corp. (b) 46,911 847 Brinker International, Inc. 21,895 3,857 Carnival Corp. 116,481 773 Cheesecake Factory (The), Inc. (b) 22,865 1,382 Darden Restaurants, Inc. 63,392 2,760 International Speedway Corp., Class A 71,180 478 Jack in the Box, Inc. (b) 10,134 3,164 Marcus (The) Corp. 38,316 582 Marriott Vacations Worldwide Corp. (b) 12,077 2,993 Monarch Casino & Resort, Inc. (b) 31,876 5,556 O'Charley's, Inc. (b) 36,058 988 P.F. Chang's China Bistro, Inc. 32,169 3,002 Pinnacle Entertainment, Inc. (b) 29,119 1,440 Red Robin Gourmet Burgers, Inc. (b) 44,222 7,368 Ruby Tuesday, Inc. (b) 55,334 Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 8,029 Ruth's Hospitality Group, Inc. (b) $ 49,700 2,047 Texas Roadhouse, Inc. 31,033 4,417 WMS Industries, Inc. (b) 96,688 ------------- 904,912 ------------- HOUSEHOLD DURABLES -- 1.2% 9,323 American Greetings Corp., Class A 133,972 828 Harman International Industries, Inc. 34,942 1,657 Helen of Troy Ltd. (b) 53,306 4,272 La-Z-Boy, Inc. (b) 56,305 758 Mohawk Industries, Inc. (b) 46,359 3,013 Universal Electronics, Inc. (b) 55,740 2,653 Whirlpool Corp. 144,111 ------------- 524,735 ------------- HOUSEHOLD PRODUCTS -- 0.1% 4,796 Central Garden & Pet Co., Class A (b) 45,370 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4% 1,588 Constellation Energy Group, Inc. 57,851 6,947 NRG Energy, Inc. (b) 117,265 ------------- 175,116 ------------- INDUSTRIAL CONGLOMERATES -- 0.6% 385 3M Co. 33,383 1,757 General Electric Co. 32,874 1,169 Standex International Corp. 46,865 2,695 Tyco International Ltd. 137,310 ------------- 250,432 ------------- INSURANCE -- 4.5% 2,457 American Financial Group, Inc. 90,098 2,713 American International Group, Inc. (b) 68,123 429 AMERISAFE, Inc. (b) 10,545 413 Berkshire Hathaway, Inc., Class B (b) 32,367 1,002 Brown & Brown, Inc. 22,826 225 Delphi Financial Group, Inc., Class A 10,015 552 Employers Holdings, Inc. 9,914 4,393 Fidelity National Financial, Inc., Class A 79,909 5,523 First American Financial Corp. 81,851 7,746 Hartford Financial Services Group (The), Inc. 135,710 2,545 HCC Insurance Holdings, Inc. 70,649 2,225 Horace Mann Educators Corp. 34,799 776 Kemper Corp. 23,101 6,482 Lincoln National Corp. 139,622 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE (CONTINUED) 2,856 Meadowbrook Insurance Group, Inc. $ 28,474 4,037 MetLife, Inc. 142,627 2,951 National Financial Partners Corp. (b) 45,445 3,994 Presidential Life Corp. 44,533 2,559 Principal Financial Group, Inc. 69,886 4,017 Protective Life Corp. 100,465 1,257 Prudential Financial, Inc. 71,951 2,232 Reinsurance Group of America, Inc. 121,622 247 Safety Insurance Group, Inc. 10,352 563 Selective Insurance Group, Inc. 10,123 2,466 StanCorp Financial Group, Inc. 95,336 3,455 Stewart Information Services Corp. 47,161 2,176 Torchmark Corp. 99,378 1,978 Tower Group, Inc. 42,705 5,974 Unum Group 136,386 1,319 W. R. Berkley Corp. 45,202 ------------- 1,921,175 ------------- INTERNET & CATALOG RETAIL -- 0.5% 5,554 Expedia, Inc. 179,783 1,544 Nutrisystem, Inc. 18,374 1,922 PetMed Express, Inc. 23,967 ------------- 222,124 ------------- INTERNET SOFTWARE & SERVICES -- 1.0% 7,723 AOL, Inc. (b) 125,190 1,329 Digital River, Inc. (b) 21,277 8,824 Monster Worldwide, Inc. (b) 63,533 997 Perficient, Inc. (b) 11,097 9,345 United Online, Inc. 53,079 4,296 ValueClick, Inc. (b) 74,922 3,902 Yahoo!, Inc. (b) 60,364 ------------- 409,462 ------------- IT SERVICES -- 2.2% 1,857 Acxiom Corp. (b) 25,478 1,006 Broadridge Financial Solutions, Inc. 24,114 9,133 Convergys Corp. (b) 121,560 9,020 CoreLogic, Inc. (b) 128,084 2,075 CSG Systems International, Inc. (b) 33,760 1,538 DST Systems, Inc. 75,070 2,367 Fidelity National Information Services, Inc. 67,602 7,739 Lender Processing Services, Inc. 128,700 3,733 ManTech International Corp., Class A 131,215 4,364 NCI, Inc., Class A (b) 31,944 2,561 SAIC, Inc. (b) 32,934 1,884 TeleTech Holdings, Inc. (b) 31,953 3,218 Total System Services, Inc. 68,994 1,379 Virtusa Corp. (b) 22,050 ------------- 923,458 ------------- See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE EQUIPMENT & PRODUCTS -- 0.3% 443 Arctic Cat, Inc. (b) $ 13,219 1,975 Hasbro, Inc. 68,947 3,603 JAKKS Pacific, Inc. 55,054 ------------- 137,220 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 2,439 Affymetrix, Inc. (b) 11,732 1,803 Agilent Technologies, Inc. (b) 76,574 4,248 Cambrex Corp. (b) 33,389 8,508 eResearchTechnology, Inc. (b) 47,134 3,147 PerkinElmer, Inc. 75,465 1,401 Thermo Fisher Scientific, Inc. (b) 74,113 ------------- 318,407 ------------- MACHINERY -- 4.5% 1,345 Actuant Corp., Class A 34,096 2,109 AGCO Corp. (b) 107,411 1,320 Albany International Corp., Class A 31,706 620 Astec Industries, Inc. (b) 20,968 828 Barnes Group, Inc. 20,940 1,969 Briggs & Stratton Corp. 30,736 1,073 Cummins, Inc. 111,592 2,169 Eaton Corp. 106,346 926 EnPro Industries, Inc. (b) 32,697 1,061 ESCO Technologies, Inc. 31,904 634 Flowserve Corp. 69,848 3,400 Harsco Corp. 75,582 611 IDEX Corp. 24,758 2,021 Illinois Tool Works, Inc. 107,174 6,033 ITT Corp. 131,157 1,299 John Bean Technologies Corp. 21,317 655 Kaydon Corp. 22,349 2,482 Kennametal, Inc. 106,999 2,102 Lydall, Inc. (b) 19,801 520 Mueller Industries, Inc. 22,989 1,101 Nordson Corp. 49,919 5,455 Oshkosh Corp. (b) 132,447 841 PACCAR, Inc. 37,172 1,652 Parker Hannifin Corp. 133,283 1,362 Pentair, Inc. 50,149 1,244 Snap-on, Inc. 70,299 753 SPX Corp. 52,431 1,677 Terex Corp. (b) 33,205 3,013 Timken (The) Co. 147,125 1,509 Trinity Industries, Inc. 47,473 1,226 Xylem, Inc. 31,766 ------------- 1,915,639 ------------- MARINE -- 0.1% 1,111 Alexander & Baldwin, Inc. 52,550 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MEDIA -- 2.9% 1,160 CBS Corp., Class B $ 33,037 3,982 Comcast Corp., Class A 105,881 4,265 Digital Generation, Inc. (b) 59,283 7,028 DreamWorks Animation SKG, Inc., Class A (b) 124,747 2,491 E.W. Scripps (The) Co., Class A (b) 21,099 12,056 Gannett Co., Inc. 170,834 4,390 Harte-Hanks, Inc. 42,364 3,234 Interpublic Group of Cos. (The), Inc. 33,407 511 John Wiley & Sons, Inc., Class A 23,194 3,670 Live Nation Entertainment, Inc. (b) 37,728 2,143 Meredith Corp. 67,483 1,765 News Corp., Class A 33,235 3,024 Scholastic Corp. 89,238 495 Time Warner Cable, Inc. 36,491 1,743 Time Warner, Inc. 64,596 4,713 Valassis Communications, Inc. (b) 107,221 1,678 Walt Disney (The) Co. 65,274 251 Washington Post (The) Co., Class B 95,056 ------------- 1,210,168 ------------- METALS & MINING -- 2.5% 4,218 A.M. Castle & Co. (b) 43,741 1,209 AK Steel Holding Corp. 11,413 18,635 Alcoa, Inc. 189,332 372 AMCOL International Corp. 10,624 5,974 Century Aluminum Co. (b) 59,919 4,381 Freeport-McMoRan Copper & Gold, Inc. 202,446 218 Kaiser Aluminum Corp. 10,765 2,095 Materion Corp. (b) 61,614 796 Nucor Corp. 35,414 2,180 Olympic Steel, Inc. 56,222 1,861 Reliance Steel & Aluminum Co. 99,005 6,892 Steel Dynamics, Inc. 109,927 2,379 United States Steel Corp. 71,822 5,533 Worthington Industries, Inc. 101,863 ------------- 1,064,107 ------------- MULTILINE RETAIL -- 1.3% 2,737 Fred's, Inc., Class A 40,371 2,551 Kohl's Corp. 117,321 2,934 Macy's, Inc. 98,846 4,648 Saks, Inc. (b) 46,387 2,971 Sears Holdings Corp. (b) 125,228 1,843 Target Corp. 93,643 11,566 Tuesday Morning Corp. (b) 39,324 ------------- 561,120 ------------- MULTI-UTILITIES -- 2.9% 2,850 Ameren Corp. 90,174 1,186 Avista Corp. 30,053 2,084 Black Hills Corp. 70,356 4,699 CenterPoint Energy, Inc. 86,791 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 2,851 CMS Energy Corp. $ 62,237 2,312 DTE Energy Co. 123,022 1,163 Integrys Energy Group, Inc. 60,371 3,261 MDU Resources Group, Inc. 69,720 1,323 NiSource, Inc. 30,072 558 NorthWestern Corp. 19,608 483 NSTAR 21,701 2,290 PG&E Corp. 93,112 2,860 Public Service Enterprise Group, Inc. 86,773 1,398 SCANA Corp. 62,672 2,289 Sempra Energy 130,244 3,288 TECO Energy, Inc. 59,348 1,500 Vectren Corp. 42,885 901 Wisconsin Energy Corp. 30,634 2,277 Xcel Energy, Inc. 60,568 ------------- 1,230,341 ------------- OFFICE ELECTRONICS -- 0.4% 20,250 Xerox Corp. 156,938 ------------- OIL, GAS & CONSUMABLE FUELS -- 8.0% 4,621 Alpha Natural Resources, Inc. (b) 92,975 1,781 Apache Corp. 176,105 6,246 Arch Coal, Inc. 90,130 7,231 Chesapeake Energy Corp. 152,791 1,516 Chevron Corp. 156,269 5,924 Comstock Resources, Inc. (b) 71,325 2,212 ConocoPhillips 150,881 858 CONSOL Energy, Inc. 30,665 8,336 Denbury Resources, Inc. (b) 157,217 2,600 Devon Energy Corp. 165,906 2,332 Energen Corp. 112,332 6,689 Forest Oil Corp. (b) 86,957 2,838 Hess Corp. 159,779 4,984 HollyFrontier Corp. 146,231 5,507 Marathon Oil Corp. 172,865 4,842 Marathon Petroleum Corp. 185,061 2,892 Murphy Oil Corp. 172,363 4,272 Newfield Exploration Co. (b) 161,524 1,343 Occidental Petroleum Corp. 133,991 8,261 Patriot Coal Corp. (b) 62,784 7,543 Penn Virginia Corp. 34,924 869 Petroleum Development Corp. (b) 27,052 3,023 PetroQuest Energy, Inc. (b) 19,408 4,296 QEP Resources, Inc. 123,037 17,381 Quicksilver Resources, Inc. (b) 87,079 1,927 Stone Energy Corp. (b) 54,052 1,344 Swift Energy Co. (b) 44,554 6,900 Tesoro Corp. (b) 172,707 7,657 Valero Energy Corp. 183,691 ------------- 3,384,655 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- PAPER & FOREST PRODUCTS -- 1.1% 1,460 Domtar Corp. $ 126,115 4,253 International Paper Co. 132,438 3,230 KapStone Paper & Packaging Corp. (b) 56,396 3,152 MeadWestvaco Corp. 92,795 1,368 Neenah Paper, Inc. 32,517 3,693 Wausau Paper Corp. 31,908 ------------- 472,169 ------------- PERSONAL PRODUCTS -- 0.2% 1,801 Avon Products, Inc. 32,004 1,960 Inter Parfums, Inc. 32,732 886 Prestige Brands Holdings, Inc. (b) 11,376 ------------- 76,112 ------------- PHARMACEUTICALS -- 0.8% 3,029 Eli Lilly & Co. 120,373 5,327 Forest Laboratories, Inc. (b) 169,292 1,037 Hospira, Inc. (b) 35,735 1,455 Pfizer, Inc. 31,137 ------------- 356,537 ------------- PROFESSIONAL SERVICES -- 0.4% 3,716 Kelly Services, Inc., Class A 60,050 4,102 Korn/Ferry International (b) 67,396 1,750 Navigant Consulting, Inc. (b) 22,417 1,885 Resources Connection, Inc. 23,412 719 TrueBlue, Inc. (b) 11,871 ------------- 185,146 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 1,003 Franklin Street Properties Corp. 10,221 2,860 Getty Realty Corp. 47,934 1,361 SL Green Realty Corp. 100,074 ------------- 158,229 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 2,016 Forestar Group, Inc. (b) 32,095 370 Jones Lang LaSalle, Inc. 29,141 ------------- 61,236 ------------- ROAD & RAIL -- 0.7% 1,584 Arkansas Best Corp. 28,702 1,555 Con-way, Inc. 49,356 1,494 CSX Corp. 33,690 1,397 Heartland Express, Inc. 20,703 1,277 Knight Transportation, Inc. 22,488 1,185 Ryder System, Inc. 66,692 2,904 Werner Enterprises, Inc. 75,881 ------------- 297,512 ------------- See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.5% 4,738 Advanced Energy Industries, Inc. (b) $ 50,412 29,850 Advanced Micro Devices, Inc. (b) 200,294 1,759 Analog Devices, Inc. 68,830 15,050 Applied Materials, Inc. 184,814 11,189 Atmel Corp. (b) 108,645 1,992 ATMI, Inc. (b) 46,573 4,950 Brooks Automation, Inc. 53,064 4,479 Cohu, Inc. 58,809 2,056 Cree, Inc. (b) 52,284 1,873 Diodes, Inc. (b) 48,286 9,686 Fairchild Semiconductor International, Inc. (b) 135,410 21,360 Integrated Device Technology, Inc. (b) 135,422 6,647 Intel Corp. 175,614 6,005 International Rectifier Corp. (b) 136,914 4,341 Intersil Corp., Class A 48,880 2,571 Kopin Corp. (b) 9,975 23,004 MEMC Electronic Materials, Inc. (b) 105,128 1,973 Micrel, Inc. 22,808 20,013 Micron Technology, Inc. (b) 151,899 1,192 Microsemi Corp. (b) 23,578 1,435 MKS Instruments, Inc. 43,265 2,760 Nanometrics, Inc. (b) 55,890 6,812 NVIDIA Corp. (b) 100,613 4,008 Pericom Semiconductor Corp. (b) 32,064 8,392 RF Micro Devices, Inc. (b) 41,876 5,490 Rudolph Technologies, Inc. (b) 56,163 5,588 Skyworks Solutions, Inc. (b) 120,589 6,177 STR Holdings, Inc. (b) 66,032 529 Supertex, Inc. (b) 9,776 11,826 Teradyne, Inc. (b) 193,355 4,324 Texas Instruments, Inc. 140,011 10,439 TriQuint Semiconductor, Inc. (b) 62,530 ------------- 2,739,803 ------------- SOFTWARE -- 1.2% 1,114 Adobe Systems, Inc. (b) 34,478 961 BMC Software, Inc. (b) 34,827 4,670 CA, Inc. 120,393 3,782 Compuware Corp. (b) 29,651 2,538 EPIQ Systems, Inc. 30,938 1,672 Mentor Graphics Corp. (b) 23,191 3,637 Microsoft Corp. 107,401 1,032 Progress Software Corp. (b) 24,076 2,011 Symantec Corp. (b) 34,569 1,667 Synopsys, Inc. (b) 48,643 52,502 THQ, Inc. (b) 35,171 ------------- 523,338 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL -- 5.3% 3,397 Aaron's, Inc. $ 90,394 645 Abercrombie & Fitch Co., Class A 29,631 5,943 Aeropostale, Inc. (b) 97,287 4,577 American Eagle Outfitters, Inc. 64,490 2,824 ANN, Inc. (b) 68,510 3,050 Ascena Retail Group, Inc. (b) 107,879 3,130 Barnes & Noble, Inc. (b) 37,779 6,897 Best Buy Co., Inc. 165,183 2,922 Big 5 Sporting Goods Corp. 23,201 4,483 Brown Shoe Co., Inc. 42,364 785 Cabela's, Inc. (b) 20,473 1,650 Cato (The) Corp., Class A 44,237 8,136 Chico's FAS, Inc. 93,076 1,583 Finish Line (The), Inc., Class A 33,480 2,935 Foot Locker, Inc. 77,014 6,680 GameStop Corp., Class A (b) 156,045 6,786 Gap (The), Inc. 128,798 193 Group 1 Automotive, Inc. 10,295 3,039 Guess?, Inc. 91,170 1,817 Haverty Furniture Cos., Inc. 22,676 913 Lithia Motors, Inc., Class A 20,278 1,241 Lowe's Cos., Inc. 33,296 565 Lumber Liquidators Holdings, Inc. (b) 12,068 1,232 Men's Wearhouse (The), Inc. 42,492 42,155 Office Depot, Inc. (b) 115,083 11,197 OfficeMax, Inc. (b) 61,919 3,627 Pep Boys-Manny, Moe & Jack (The) 54,405 12,011 RadioShack Corp. 86,239 2,450 Rent-A-Center, Inc. 82,859 2,694 Sonic Automotive, Inc., Class A 42,000 3,660 Stage Stores, Inc. 56,291 11,605 Staples, Inc. 169,781 7,465 Stein Mart, Inc. (b) 54,121 ------------- 2,234,814 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 2,065 Crocs, Inc. (b) 39,276 2,073 Hanesbrands, Inc. (b) 50,996 2,449 Iconix Brand Group, Inc. (b) 45,086 2,180 Maidenform Brands, Inc. (b) 43,600 3,575 Perry Ellis International, Inc. (b) 55,556 824 Skechers U.S.A., Inc., Class A (b) 10,020 ------------- 244,534 ------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 5,338 Astoria Financial Corp. 44,466 1,183 Brookline Bancorp, Inc. 10,966 1,583 Dime Community Bancshares, Inc. 21,814 3,663 New York Community Bancorp, Inc. 46,484 1,491 Provident Financial Services, Inc. 20,635 1,621 Washington Federal, Inc. 25,547 ------------- 169,912 ------------- Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.2% 1,524 Universal Corp. $ 68,397 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 731 Kaman Corp. 22,785 647 Lawson Products, Inc. 10,863 ------------- 33,648 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 14,502 MetroPCS Communications, Inc. (b) 128,198 1,498 NTELOS Holdings Corp. 34,199 53,795 Sprint Nextel Corp. (b) 114,045 3,665 USA Mobility, Inc. 51,860 ------------- 328,302 ------------- TOTAL COMMON STOCKS -- 100.0% (Cost $40,761,670) 42,459,283 MONEY MARKET FUND -- 0.0% 8,840 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 8,840 (Cost $8,840) ------------- TOTAL INVESTMENTS -- 100.0% 42,468,123 (Cost $40,770,510) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (17,783) ------------- NET ASSETS -- 100.0% $ 42,450,340 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,212,124 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,514,511. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $42,459,283 $ -- $ -- Money Market Fund 8,840 -- -- -------------------------------------- Total Investments $42,468,123 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.6% 581 Aerovironment, Inc. (b) $ 16,192 1,514 BE Aerospace, Inc. (b) 63,891 1,049 Boeing (The) Co. 77,815 828 Goodrich Corp. 103,293 1,888 Honeywell International, Inc. 109,579 950 Lockheed Martin Corp. 78,204 832 Moog, Inc., Class A (b) 35,460 310 Precision Castparts Corp. 50,741 487 Teledyne Technologies, Inc. (b) 27,642 1,738 Triumph Group, Inc. 108,747 ------------- 671,564 ------------- AIR FREIGHT & LOGISTICS -- 0.5% 571 Forward Air Corp. 19,985 823 Hub Group, Inc., Class A (b) 28,171 1,050 United Parcel Service, Inc., Class B 79,433 ------------- 127,589 ------------- AIRLINES -- 0.5% 1,353 Alaska Air Group, Inc. (b) 103,004 501 Allegiant Travel Co. (b) 27,540 ------------- 130,544 ------------- AUTO COMPONENTS -- 0.1% 1,373 Gentex Corp. 36,892 ------------- AUTOMOBILES -- 0.2% 1,320 Harley-Davidson, Inc. 58,331 ------------- BEVERAGES -- 1.0% 245 Boston Beer (The) Co., Inc., Class A (b) 24,512 956 Brown-Forman Corp., Class B 77,637 732 Coca-Cola (The) Co. 49,432 635 Monster Beverage Corp. (b) 66,364 772 PepsiCo, Inc. 50,697 ------------- 268,642 ------------- BIOTECHNOLOGY -- 1.0% 798 Amgen, Inc. 54,192 698 Biogen Idec, Inc. (b) 82,308 1,137 Celgene Corp. (b) 82,660 462 Cubist Pharmaceuticals, Inc. (b) 18,859 412 United Therapeutics Corp. (b) 20,262 ------------- 258,281 ------------- BUILDING PRODUCTS -- 0.5% 221 A.O. Smith Corp. 9,388 1,303 AAON, Inc. 26,386 2,375 Masco Corp. 28,666 2,459 NCI Building Systems, Inc. (b) 28,795 793 Simpson Manufacturing Co., Inc. 25,677 ------------- 118,912 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS -- 0.6% 610 Affiliated Managers Group, Inc. (b) $ 61,311 287 BlackRock, Inc. 52,234 399 Financial Engines, Inc. (b) 9,556 277 Stifel Financial Corp. (b) 9,989 437 T. Rowe Price Group, Inc. 25,276 ------------- 158,366 ------------- CHEMICALS -- 5.1% 1,642 Airgas, Inc. 129,603 378 Albemarle Corp. 24,309 3,430 American Vanguard Corp. 51,553 219 Balchem Corp. 8,287 885 CF Industries Holdings, Inc. 156,981 1,121 E.I. du Pont de Nemours & Co. 57,048 1,331 Ecolab, Inc. 80,446 893 FMC Corp. 82,763 1,157 H.B. Fuller Co. 33,113 495 Hawkins, Inc. 19,602 1,064 Koppers Holdings, Inc. 40,421 354 Monsanto Co. 29,046 513 NewMarket Corp. 110,905 922 PPG Industries, Inc. 82,593 480 Praxair, Inc. 50,976 940 Quaker Chemical Corp. 41,642 1,072 Sensient Technologies Corp. 42,473 1,437 Sherwin-Williams (The) Co. 140,151 571 Stepan Co. 49,072 2,606 Valspar (The) Corp. 112,683 ------------- 1,343,667 ------------- COMMERCIAL BANKS -- 1.0% 1,544 Bank of the Ozarks, Inc. 43,217 319 Community Bank System, Inc. 8,728 267 First Financial Bankshares, Inc. 9,099 1,032 Home Bancshares, Inc. 26,894 1,354 Signature Bank (b) 78,735 851 SVB Financial Group (b) 49,392 1,196 Texas Capital Bancshares, Inc. (b) 37,937 ------------- 254,002 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 1,594 Clean Harbors, Inc. (b) 101,139 1,224 Copart, Inc. (b) 57,577 1,035 Healthcare Services Group, Inc. 19,344 1,769 Mine Safety Appliances Co. 60,394 1,828 Rollins, Inc. 39,101 589 Waste Connections, Inc. 19,030 ------------- 296,585 ------------- COMMUNICATIONS EQUIPMENT -- 1.2% 349 Blue Coat Systems, Inc. (b) 8,990 483 F5 Networks, Inc. (b) 57,834 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 3,305 Motorola Mobility Holdings, Inc. (b) $ 127,672 795 NETGEAR, Inc. (b) 31,657 938 QUALCOMM, Inc. 55,173 579 ViaSat, Inc. (b) 27,526 ------------- 308,852 ------------- COMPUTERS & PERIPHERALS -- 1.0% 252 Apple, Inc. (b) 115,033 2,085 SanDisk Corp. (b) 95,660 601 Stratasys, Inc. (b) 22,087 607 Synaptics, Inc. (b) 23,254 ------------- 256,034 ------------- CONSUMER FINANCE -- 0.3% 528 American Express Co. 26,474 190 Cash America International, Inc. 8,333 498 World Acceptance Corp. (b) 31,733 ------------- 66,540 ------------- CONTAINERS & PACKAGING -- 1.1% 1,122 AptarGroup, Inc. 58,815 2,873 Ball Corp. 112,794 1,408 Rock-Tenn Co., Class A 87,099 1,050 Silgan Holdings, Inc. 43,638 ------------- 302,346 ------------- DISTRIBUTORS -- 1.0% 2,095 Genuine Parts Co. 133,619 3,377 LKQ Corp. (b) 110,090 887 Pool Corp. 30,185 ------------- 273,894 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 617 American Public Education, Inc. (b) 24,803 2,381 Apollo Group, Inc., Class A (b) 124,788 194 Coinstar, Inc. (b) 9,648 819 Hillenbrand, Inc. 19,206 ------------- 178,445 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 1,523 Moody's Corp. 56,701 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 936 Atlantic Tele-Network, Inc. 33,781 1,008 tw telecom, Inc. (b) 20,311 1,279 Verizon Communications, Inc. 48,167 ------------- 102,259 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRIC UTILITIES -- 0.6% 253 Central Vermont Public Service Corp. $ 8,898 409 NextEra Energy, Inc. 24,479 916 Progress Energy, Inc. 49,766 1,107 Southern (The) Co. 50,435 1,035 UIL Holdings Corp. 35,790 ------------- 169,368 ------------- ELECTRICAL EQUIPMENT -- 2.5% 1,106 Acuity Brands, Inc. 64,402 1,392 AMETEK, Inc. 65,424 804 AZZ, Inc. 39,468 1,100 Belden, Inc. 43,131 613 Franklin Electric Co., Inc. 30,687 1,215 Hubbell, Inc., Class B 87,431 1,049 Rockwell Automation, Inc. 81,686 1,181 Roper Industries, Inc. 110,294 1,860 Thomas & Betts Corp. (b) 132,785 ------------- 655,308 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 1,023 Cognex Corp. 42,506 995 FARO Technologies, Inc. (b) 54,009 1,122 FEI Co. (b) 49,435 897 MTS Systems Corp. 41,163 752 National Instruments Corp. 20,236 937 OSI Systems, Inc. (b) 50,345 1,872 Trimble Navigation Ltd. (b) 87,666 ------------- 345,360 ------------- ENERGY EQUIPMENT & SERVICES -- 3.4% 1,858 Basic Energy Services, Inc. (b) 33,463 1,564 Cameron International Corp. (b) 83,205 328 CARBO Ceramics, Inc. 31,898 813 Dresser-Rand Group, Inc. (b) 41,650 2,455 FMC Technologies, Inc. (b) 125,475 5,143 Helix Energy Solutions Group, Inc. (b) 84,602 2,197 Helmerich & Payne, Inc. 135,577 590 Hornbeck Offshore Services, Inc. (b) 19,287 271 Lufkin Industries, Inc. 20,385 754 National Oilwell Varco, Inc. 55,781 2,202 Oceaneering International, Inc. 106,995 1,330 Oil States International, Inc. (b) 105,988 115 OYO Geospace Corp. (b) 10,121 3,781 Pioneer Drilling Co. (b) 33,726 ------------- 888,153 ------------- FOOD & STAPLES RETAILING -- 1.6% 887 Casey's General Stores, Inc. 45,184 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 1,230 Costco Wholesale Corp. $ 101,192 667 United Natural Foods, Inc. (b) 29,381 2,146 Wal-Mart Stores, Inc. 131,679 1,474 Whole Foods Market, Inc. 109,120 ------------- 416,556 ------------- FOOD PRODUCTS -- 3.9% 1,521 B&G Foods, Inc., Class A 34,466 1,782 Calavo Growers, Inc. 48,470 1,931 Corn Products International, Inc. 107,151 1,268 General Mills, Inc. 50,505 461 H. J. Heinz Co. 23,903 1,248 Hain Celestial Group (The), Inc. (b) 48,160 829 Hershey (The) Co. 50,635 2,627 Hormel Foods Corp. 75,605 342 J & J Snack Foods Corp. 17,452 983 J.M. Smucker (The) Co. 77,441 3,433 Kraft Foods, Inc., Class A 131,484 844 Lancaster Colony Corp. 58,650 494 McCormick & Co., Inc. 24,967 361 Mead Johnson Nutrition Co. 26,747 949 Ralcorp Holdings, Inc. (b) 82,990 364 Sanderson Farms, Inc. 18,542 4,067 Sara Lee Corp. 77,883 1,188 Snyder's-Lance, Inc. 27,312 560 TreeHouse Foods, Inc. (b) 31,662 ------------- 1,014,025 ------------- GAS UTILITIES -- 1.1% 743 New Jersey Resources Corp. 35,456 1,479 ONEOK, Inc. 122,994 261 Piedmont Natural Gas Co., Inc. 8,592 2,046 Questar Corp. 39,447 156 South Jersey Industries, Inc. 8,561 431 Southwest Gas Corp. 18,016 1,325 WGL Holdings, Inc. 56,511 ------------- 289,577 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 321 Abaxis, Inc. (b) 8,693 1,543 Align Technology, Inc. (b) 36,353 638 Analogic Corp. 36,194 1,638 Cantel Medical Corp. 51,712 276 Cooper (The) Cos., Inc. 19,910 546 Cyberonics, Inc. (b) 17,745 407 ICU Medical, Inc. (b) 18,913 253 IDEXX Laboratories, Inc. (b) 21,401 276 Intuitive Surgical, Inc. (b) 126,935 848 SonoSite, Inc. (b) 45,716 1,823 SurModics, Inc. (b) 26,288 662 Teleflex, Inc. 40,508 582 Thoratec Corp. (b) 17,111 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 763 Varian Medical Systems, Inc. (b) $ 50,259 723 Zoll Medical Corp. (b) 49,583 ------------- 567,321 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 542 Air Methods Corp. (b) 45,691 1,719 AMERIGROUP Corp. (b) 116,909 1,025 AmSurg Corp. (b) 26,394 1,127 Catalyst Health Solutions, Inc. (b) 61,714 1,156 Centene Corp. (b) 52,251 517 CorVel Corp. (b) 25,168 1,015 DaVita, Inc. (b) 83,037 364 Ensign Group (The), Inc. 9,650 557 Express Scripts, Inc. (b) 28,496 630 Henry Schein, Inc. (b) 44,661 3,176 HMS Holdings Corp. (b) 104,840 1,464 Humana, Inc. 130,325 801 IPC Hospitalist (The) Co. (b) 26,986 290 Laboratory Corp. of America Holdings (b) 26,503 1,376 Medco Health Solutions, Inc. (b) 85,339 564 MEDNAX, Inc. (b) 40,168 274 MWI Veterinary Supply, Inc. (b) 21,512 757 PSS World Medical, Inc. (b) 18,372 884 Quest Diagnostics, Inc. 51,343 2,024 UnitedHealth Group, Inc. 104,823 ------------- 1,104,182 ------------- HEALTH CARE TECHNOLOGY -- 0.3% 2,145 Allscripts Healthcare Solutions, Inc. (b) 41,012 405 Cerner Corp. (b) 24,661 1,108 Omnicell, Inc. (b) 17,152 ------------- 82,825 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 494 Bally Technologies, Inc. (b) 20,857 50 Biglari Holdings, Inc. (b) 19,797 196 BJ's Restaurants, Inc. (b) 9,806 542 Buffalo Wild Wings, Inc. (b) 36,075 303 Chipotle Mexican Grill, Inc. (b) 111,289 530 Cracker Barrel Old Country Store, Inc. 27,809 1,738 Life Time Fitness, Inc. (b) 85,405 1,023 McDonald's Corp. 101,328 5,762 Multimedia Games Holding Co., Inc. (b) 43,503 717 Panera Bread Co., Class A (b) 106,295 970 Papa John's International, Inc. (b) 37,578 291 Peet's Coffee & Tea, Inc. (b) 17,699 4,188 Scientific Games Corp., Class A (b) 46,864 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 2,281 Shuffle Master, Inc. (b) $ 29,197 2,787 Starbucks Corp. 133,581 1,739 Yum! Brands, Inc. 110,131 ------------- 937,214 ------------- HOUSEHOLD DURABLES -- 0.4% 644 Blyth, Inc. 40,540 297 iRobot Corp. (b) 9,813 3,945 PulteGroup, Inc. (b) 29,390 565 Ryland Group (The), Inc. 10,283 348 Tupperware Brands Corp. 21,868 ------------- 111,894 ------------- HOUSEHOLD PRODUCTS -- 0.6% 427 Church & Dwight Co., Inc. 19,373 268 Colgate-Palmolive Co. 24,313 755 Energizer Holdings, Inc. (b) 58,226 697 Kimberly-Clark Corp. 49,877 ------------- 151,789 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% 2,293 Carlisle Cos., Inc. 109,445 529 Danaher Corp. 27,778 ------------- 137,223 ------------- INSURANCE -- 1.6% 1,186 Aflac, Inc. 57,201 1,644 Aon Corp. 79,619 2,430 Arthur J. Gallagher & Co. 81,016 1,112 Chubb (The) Corp. 74,960 606 eHealth, Inc. (b) 9,805 323 Infinity Property & Casualty Corp. 18,824 186 Navigators Group (The), Inc. (b) 8,887 111 ProAssurance Corp. 9,061 250 RLI Corp. 17,830 1,300 Travelers (The) Cos., Inc. 75,790 ------------- 432,993 ------------- INTERNET & CATALOG RETAIL -- 0.4% 2,241 HSN, Inc. 79,981 53 priceline.com, Inc. (b) 28,063 ------------- 108,044 ------------- INTERNET SOFTWARE & SERVICES -- 2.3% 770 Akamai Technologies, Inc. (b) 24,832 419 comScore, Inc. (b) 9,281 1,678 DealerTrack Holdings, Inc. (b) 45,860 820 eBay, Inc. (b) 25,912 578 Equinix, Inc. (b) 69,337 198 Google, Inc., Class A (b) 114,862 2,432 InfoSpace, Inc. (b) 29,938 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 317 j2 Global, Inc. $ 8,546 992 Liquidity Services, Inc. (b) 34,234 1,458 LivePerson, Inc. (b) 17,496 230 LogMeIn, Inc. (b) 9,161 1,889 Rackspace Hosting, Inc. (b) 82,001 1,401 Stamps.com, Inc. (b) 43,445 2,154 VeriSign, Inc. 79,827 ------------- 594,732 ------------- IT SERVICES -- 3.6% 964 Accenture PLC, Class A 55,276 783 Alliance Data Systems Corp. (b) 86,756 1,425 Automatic Data Processing, Inc. 78,061 326 CACI International, Inc., Class A (b) 19,133 1,353 Cardtronics, Inc. (b) 34,569 856 Global Payments, Inc. 42,817 1,878 Heartland Payment Systems, Inc. 45,072 483 Higher One Holdings, Inc. (b) 8,182 1,699 iGATE Corp. (b) 30,956 278 International Business Machines Corp. 53,543 1,743 Jack Henry & Associates, Inc. 59,611 343 MasterCard, Inc., Class A 121,961 646 MAXIMUS, Inc. 29,089 2,972 NeuStar, Inc., Class A (b) 108,508 1,009 Visa, Inc., Class A 101,546 1,363 Western Union Co. 26,033 842 Wright Express Corp. (b) 46,074 ------------- 947,187 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.9% 1,480 Brunswick Corp. 31,583 1,848 Mattel, Inc. 57,288 1,451 Polaris Industries, Inc. 93,444 1,367 Sturm, Ruger & Co., Inc. 54,202 ------------- 236,517 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 132 Mettler-Toledo International, Inc. (b) 23,166 ------------- MACHINERY -- 5.9% 970 Cascade Corp. 55,115 1,131 Caterpillar, Inc. 123,415 518 CIRCOR International, Inc. 19,637 1,172 CLARCOR, Inc. 60,253 1,740 Crane Co. 83,520 1,326 Deere & Co. 114,235 1,492 Donaldson Co., Inc. 107,872 1,767 Dover Corp. 112,046 759 Gardner Denver, Inc. 56,621 478 Graco, Inc. 21,978 331 Joy Global, Inc. 30,018 See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 2,596 Lincoln Electric Holdings, Inc. $ 111,498 2,244 Pall Corp. 133,922 753 Robbins & Myers, Inc. 36,566 1,897 Stanley Black & Decker, Inc. 133,132 471 Tennant Co. 18,124 441 Toro (The) Co. 27,955 894 Valmont Industries, Inc. 93,790 1,452 Wabtec Corp. 99,883 535 Watts Water Technologies, Inc., Class A 20,624 2,482 Woodward, Inc. 104,194 ------------- 1,564,398 ------------- MARINE -- 0.4% 1,543 Kirby Corp. (b) 103,026 ------------- MEDIA -- 1.1% 582 DIRECTV, Class A (b) 26,196 709 Lamar Advertising Co., Class A (b) 20,284 1,141 McGraw-Hill (The) Cos., Inc. 52,486 2,301 Omnicom Group, Inc. 104,949 1,694 Viacom, Inc., Class B 79,686 ------------- 283,601 ------------- METALS & MINING -- 0.5% 1,137 Carpenter Technology Corp. 59,670 398 Cliffs Natural Resources, Inc. 28,755 670 Haynes International, Inc. 40,709 ------------- 129,134 ------------- MULTILINE RETAIL -- 1.8% 2,717 Big Lots, Inc. (b) 107,295 1,543 Dollar Tree, Inc. (b) 130,862 2,224 Family Dollar Stores, Inc. 124,099 2,064 Nordstrom, Inc. 101,920 ------------- 464,176 ------------- MULTI-UTILITIES -- 0.8% 1,328 Alliant Energy Corp. 56,294 458 CH Energy Group, Inc. 26,051 826 Consolidated Edison, Inc. 48,701 469 Dominion Resources, Inc. 23,469 1,032 OGE Energy Corp. 54,551 ------------- 209,066 ------------- OIL, GAS & CONSUMABLE FUELS -- 5.5% 1,007 Anadarko Petroleum Corp. 81,285 1,556 Approach Resources, Inc. (b) 54,662 2,703 Cabot Oil & Gas Corp. 86,226 3,861 El Paso Corp. 103,745 1,040 EOG Resources, Inc. 110,386 453 EQT Corp. 22,886 1,513 Exxon Mobil Corp. 126,699 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 1,561 GeoResources, Inc. (b) $ 47,782 1,243 Gulfport Energy Corp. (b) 40,857 1,087 Noble Energy, Inc. 109,428 1,694 Northern Oil and Gas, Inc. (b) 42,350 1,147 Pioneer Natural Resources Co. 113,897 2,213 Plains Exploration & Production Co. (b) 83,474 1,242 Range Resources Corp. 71,440 1,112 SM Energy Co. 80,709 965 Southern Union Co. 41,852 3,336 Spectra Energy Corp. 105,051 4,756 Williams (The) Cos., Inc. 137,068 ------------- 1,459,797 ------------- PAPER & FOREST PRODUCTS -- 0.3% 1,368 Buckeye Technologies, Inc. 45,869 751 Clearwater Paper Corp. (b) 27,427 274 Schweitzer-Mauduit International, Inc. 19,051 ------------- 92,347 ------------- PERSONAL PRODUCTS -- 0.5% 2,284 Estee Lauder (The) Cos., Inc., Class A 132,312 ------------- PHARMACEUTICALS -- 2.7% 1,368 Abbott Laboratories 74,077 584 Allergan, Inc. 51,339 2,183 Bristol-Myers Squibb Co. 70,380 1,697 Endo Pharmaceuticals Holdings, Inc. (b) 63,077 1,175 Hi-Tech Pharmacal Co., Inc. (b) 45,802 1,964 Medicines (The) Co. (b) 39,516 1,361 Merck & Co., Inc. 52,072 3,586 Mylan, Inc. (b) 74,410 790 Perrigo Co. 75,524 1,099 Questcor Pharmaceuticals, Inc. (b) 38,938 955 Salix Pharmaceuticals Ltd. (b) 46,031 1,670 ViroPharma, Inc. (b) 49,749 413 Watson Pharmaceuticals, Inc. (b) 24,214 ------------- 705,129 ------------- PROFESSIONAL SERVICES -- 1.5% 513 Corporate Executive Board (The) Co. 20,176 333 Dun & Bradstreet (The) Corp. 27,576 1,986 Equifax, Inc. 77,394 397 Exponent, Inc. (b) 19,394 1,915 FTI Consulting, Inc. (b) 82,000 4,506 Robert Half International, Inc. 124,771 677 Towers Watson & Co., Class A 40,485 ------------- 391,796 ------------- Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 4.5% 1,397 American Campus Communities, Inc. $ 59,792 1,710 American Tower Corp., Class A 108,602 393 AvalonBay Communities, Inc. 53,452 249 Boston Properties, Inc. 25,908 804 BRE Properties, Inc. 41,663 313 Camden Property Trust 20,189 427 Colonial Properties Trust 9,129 437 Equity Residential 26,023 288 Essex Property Trust, Inc. 41,472 1,103 Extra Space Storage, Inc. 29,031 214 Federal Realty Investment Trust 20,214 2,476 HCP, Inc. 104,066 1,881 Health Care REIT, Inc. 107,612 481 Kilroy Realty Corp. 20,024 593 LTC Properties, Inc. 18,946 386 Macerich (The) Co. 20,960 1,008 OMEGA Healthcare Investors, Inc. 21,007 203 Post Properties, Inc. 9,072 572 Public Storage 79,428 909 Rayonier, Inc. 41,569 559 Realty Income Corp. 20,348 869 Senior Housing Properties Trust 19,709 596 Simon Property Group, Inc. 80,973 208 Sovran Self Storage, Inc. 9,676 303 Tanger Factory Outlet Centers, Inc. 8,939 944 Taubman Centers, Inc. 63,276 1,619 UDR, Inc. 42,126 1,396 Ventas, Inc. 81,401 ------------- 1,184,607 ------------- ROAD & RAIL -- 2.1% 1,803 J.B. Hunt Transport Services, Inc. 92,079 1,493 Kansas City Southern (b) 102,479 1,696 Landstar System, Inc. 86,750 1,408 Norfolk Southern Corp. 101,658 1,129 Old Dominion Freight Line, Inc. (b) 48,118 967 Union Pacific Corp. 110,538 ------------- 541,622 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2% 670 Altera Corp. 26,659 565 Cabot Microelectronics Corp. (b) 28,487 1,210 CEVA, Inc. (b) 32,682 562 Cirrus Logic, Inc. (b) 11,482 537 Cymer, Inc. (b) 26,737 2,658 KLA-Tencor Corp. 135,904 1,978 Kulicke & Soffa Industries, Inc. (b) 21,382 1,400 Microchip Technology, Inc. 51,674 3,106 Novellus Systems, Inc. (b) 146,448 786 Semtech Corp. (b) 22,401 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 450 Silicon Laboratories, Inc. (b) $ 19,728 709 Standard Microsystems Corp. (b) 18,264 1,088 Ultratech, Inc. (b) 31,824 347 Volterra Semiconductor Corp. (b) 10,469 ------------- 584,141 ------------- SOFTWARE -- 2.5% 681 ACI Worldwide, Inc. (b) 20,689 708 ANSYS, Inc. (b) 42,827 660 Blackbaud, Inc. 20,084 385 Bottomline Technologies, Inc. (b) 10,526 5,634 Cadence Design Systems, Inc. (b) 59,495 625 CommVault Systems, Inc. (b) 29,375 1,154 Concur Technologies, Inc. (b) 60,412 1,656 Ebix, Inc. 41,036 2,267 Fair Isaac Corp. 82,156 473 Intuit, Inc. 26,696 1,130 JDA Software Group, Inc. (b) 33,301 660 Manhattan Associates, Inc. (b) 28,967 2,348 Monotype Imaging Holdings, Inc. (b) 36,652 242 OPNET Technologies, Inc. 8,579 1,070 Parametric Technology Corp. (b) 26,932 824 Sourcefire, Inc. (b) 25,560 885 Synchronoss Technologies, Inc. (b) 29,577 1,183 Taleo Corp., Class A (b) 42,600 816 TIBCO Software, Inc. (b) 21,273 607 Tyler Technologies, Inc. (b) 21,324 ------------- 668,061 ------------- SPECIALTY RETAIL -- 5.9% 1,167 Advance Auto Parts, Inc. 89,439 157 AutoZone, Inc. (b) 54,617 884 Bed Bath & Beyond, Inc. (b) 53,659 217 Buckle (The), Inc. 9,468 503 Children's Place Retail Stores (The), Inc. (b) 25,095 1,102 Dick's Sporting Goods, Inc. 45,413 740 Genesco, Inc. (b) 45,192 809 Hibbett Sports, Inc. (b) 38,775 3,051 Home Depot (The), Inc. 135,434 374 JoS. A. Bank Clothiers, Inc. (b) 17,858 2,752 Kirkland's, Inc. (b) 41,197 2,543 Limited Brands, Inc. 106,450 2,130 Midas, Inc. (b) 18,105 229 Monro Muffler Brake, Inc. 9,604 1,604 O'Reilly Automotive, Inc. (b) 130,742 1,980 PetSmart, Inc. 105,376 2,698 Ross Stores, Inc. 137,112 2,109 Select Comfort Corp. (b) 52,894 1,333 Signet Jewelers Ltd. 60,758 376 Tiffany & Co. 23,989 1,987 TJX (The) Cos., Inc. 135,394 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 1,157 Tractor Supply Co. $ 93,451 902 Urban Outfitters, Inc. (b) 23,903 223 Vitamin Shoppe, Inc. (b) 9,531 1,522 Williams-Sonoma, Inc. 54,579 1,317 Zumiez, Inc. (b) 37,614 ------------- 1,555,649 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.0% 1,148 Carter's, Inc. (b) 48,124 839 Coach, Inc. 58,772 5,301 Liz Claiborne, Inc. (b) 49,299 797 NIKE, Inc., Class B 82,880 1,014 Oxford Industries, Inc. 51,643 1,441 PVH Corp. 111,231 742 Ralph Lauren Corp. 112,784 774 Steven Madden, Ltd. (b) 31,842 1,323 True Religion Apparel, Inc. (b) 47,946 566 Under Armour, Inc., Class A (b) 45,065 807 VF Corp. 106,113 811 Warnaco Group (The), Inc. (b) 47,241 249 Wolverine World Wide, Inc. 9,733 ------------- 802,673 ------------- TOBACCO -- 0.7% 840 Altria Group, Inc. 23,856 218 Lorillard, Inc. 23,411 1,634 Philip Morris International, Inc. 122,174 601 Reynolds American, Inc. 23,577 ------------- 193,018 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.7% 1,041 Applied Industrial Technologies, Inc. 40,162 2,941 Fastenal Co. 137,286 2,326 GATX Corp. 99,878 1,136 MSC Industrial Direct Co., Inc., Class A 86,359 3,437 United Rentals, Inc. (b) 131,431 684 W.W. Grainger, Inc. 130,466 1,238 Watsco, Inc. 85,385 ------------- 710,967 ------------- WATER UTILITIES -- 0.0% 254 American States Water Co. 9,187 ------------- TOTAL COMMON STOCKS -- 99.8% (Cost $23,949,411) 26,266,587 MONEY MARKET FUND -- 0.4% 115,643 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 115,643 (Cost $115,643) ------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 100.2% $ 26,382,230 (Cost $24,065,054) (d) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (56,173) ------------- NET ASSETS -- 100.0% $ 26,326,057 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at January 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,469,606 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $152,430. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------ Common Stocks* $26,266,587 $ -- $ -- Money Market Fund 115,643 -- -- -------------------------------------- Total Investments $26,382,230 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. Page 72 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.7% 1,275 Alliant Techsystems, Inc. $ 75,748 1,012 Esterline Technologies Corp. (b) 61,884 8,052 Exelis, Inc. 80,439 ------------- 218,071 ------------- AIR FREIGHT & LOGISTICS -- 0.4% 2,131 UTI Worldwide, Inc. 31,731 ------------- AIRLINES -- 0.8% 10,890 JetBlue Airways Corp. (b) 64,578 ------------- AUTOMOBILES -- 0.4% 1,032 Thor Industries, Inc. 31,641 ------------- CAPITAL MARKETS -- 2.5% 599 Eaton Vance Corp. 15,388 11,548 Janus Capital Group, Inc. 90,883 2,059 Jefferies Group, Inc. 31,318 1,632 SEI Investments Co. 29,980 1,143 Waddell & Reed Financial, Inc., Class A 31,375 ------------- 198,944 ------------- CHEMICALS -- 3.0% 881 Cabot Corp. 31,892 1,268 Cytec Industries, Inc. 63,222 1,002 Minerals Technologies, Inc. 63,577 3,708 Olin Corp. 82,318 ------------- 241,009 ------------- COMMERCIAL BANKS -- 3.2% 1,267 Associated Banc-Corp. 15,787 1,285 BancorpSouth, Inc. 14,431 948 Cathay General Bancorp 14,921 320 City National Corp. 14,682 717 East West Bancorp, Inc. 15,745 1,641 First Niagara Financial Group, Inc. 15,704 936 FirstMerit Corp. 14,686 1,443 Fulton Financial Corp. 13,405 2,385 International Bancshares Corp. 45,840 351 Prosperity Bancshares, Inc. 14,570 2,744 TCF Financial Corp. 27,550 583 Trustmark Corp. 13,741 1,389 Webster Financial Corp. 29,447 ------------- 250,509 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 1,053 Brink's (The) Co. 29,684 2,780 Corrections Corp. of America (b) 65,413 1,921 Deluxe Corp. 49,120 767 Herman Miller, Inc. 16,199 ------------- 160,416 ------------- COMMUNICATIONS EQUIPMENT -- 0.4% 794 Plantronics, Inc. 29,569 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMPUTERS & PERIPHERALS -- 0.8% 3,775 QLogic Corp. (b) $ 65,383 ------------- CONSTRUCTION & ENGINEERING -- 1.8% 3,543 AECOM Technology Corp. (b) 81,099 2,032 KBR, Inc. 65,309 ------------- 146,408 ------------- CONTAINERS & PACKAGING -- 1.3% 960 Greif, Inc., Class A 46,512 1,122 Packaging Corp. of America 31,573 859 Sonoco Products Co. 26,887 ------------- 104,972 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 901 Matthews International Corp., Class A 29,697 855 Regis Corp. 14,654 1,329 Service Corp. International 14,752 1,532 Sotheby's 51,368 ------------- 110,471 ------------- ELECTRIC UTILITIES -- 3.1% 1,148 Cleco Corp. 45,645 2,600 Great Plains Energy, Inc. 53,612 535 Hawaiian Electric Industries, Inc. 13,883 1,031 IDACORP, Inc. 43,457 2,674 NV Energy, Inc. 43,319 1,519 Westar Energy, Inc. 43,200 ------------- 243,116 ------------- ELECTRICAL EQUIPMENT -- 1.8% 2,914 General Cable Corp. (b) 89,926 858 Regal-Beloit Corp. 48,709 ------------- 138,635 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.6% 1,948 Arrow Electronics, Inc. (b) 80,433 2,344 Avnet, Inc. (b) 81,735 2,404 Ingram Micro, Inc., Class A (b) 45,628 1,146 Tech Data Corp. (b) 59,500 8,106 Vishay Intertechnology, Inc. (b) 99,542 ------------- 366,838 ------------- ENERGY EQUIPMENT & SERVICES -- 3.6% 1,831 Atwood Oceanics, Inc. (b) 84,189 3,647 Patterson-UTI Energy, Inc. 68,819 1,537 Superior Energy Services, Inc. (b) 43,820 287 Tidewater, Inc. 15,455 1,570 Unit Corp. (b) 71,043 ------------- 283,326 ------------- See Notes to Financial Statements Page 73 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 0.2% 332 Ruddick Corp. $ 13,393 ------------- FOOD PRODUCTS -- 1.0% 746 Flowers Foods, Inc. 14,435 3,001 Smithfield Foods, Inc. (b) 67,012 ------------- 81,447 ------------- GAS UTILITIES -- 1.0% 1,311 Atmos Energy Corp. 42,490 255 National Fuel Gas Co. 12,821 963 UGI Corp. 25,914 ------------- 81,225 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 1,298 Hill-Rom Holdings, Inc. 42,847 809 Hologic, Inc. (b) 16,496 758 Masimo Corp. (b) 16,221 950 STERIS Corp. 28,576 ------------- 104,140 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.6% 4,176 Community Health Systems, Inc. (b) 78,091 3,842 Health Management Associates, Inc., Class A (b) 24,627 1,962 LifePoint Hospitals, Inc. (b) 78,853 1,701 Lincare Holdings, Inc. 43,699 509 Owens & Minor, Inc. 15,479 1,125 Universal Health Services, Inc., Class B 46,451 2,214 VCA Antech, Inc. (b) 49,549 539 WellCare Health Plans, Inc. (b) 32,211 ------------- 368,960 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 1,688 Bob Evans Farms, Inc. 59,637 529 Brinker International, Inc. 13,675 482 Cheesecake Factory (The), Inc. (b) 14,257 1,725 International Speedway Corp., Class A 44,488 2,760 WMS Industries, Inc. (b) 60,416 ------------- 192,473 ------------- HOUSEHOLD DURABLES -- 1.4% 5,825 American Greetings Corp., Class A 83,705 473 Mohawk Industries, Inc. (b) 28,929 ------------- 112,634 ------------- INSURANCE -- 5.7% 1,535 American Financial Group, Inc. 56,288 626 Brown & Brown, Inc. 14,260 2,745 Fidelity National Financial, Inc., Class A 49,932 3,451 First American Financial Corp. 51,144 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE (CONTINUED) 1,590 HCC Insurance Holdings, Inc. $ 44,138 485 Kemper Corp. 14,439 2,510 Protective Life Corp. 62,775 1,395 Reinsurance Group of America, Inc. 76,014 1,541 StanCorp Financial Group, Inc. 59,575 823 W. R. Berkley Corp. 28,204 ------------- 456,769 ------------- INTERNET SOFTWARE & SERVICES -- 2.1% 4,826 AOL, Inc. (b) 78,229 5,513 Monster Worldwide, Inc. (b) 39,694 2,684 ValueClick, Inc. (b) 46,809 ------------- 164,732 ------------- IT SERVICES -- 5.0% 1,160 Acxiom Corp. (b) 15,915 628 Broadridge Financial Solutions, Inc. 15,053 5,706 Convergys Corp. (b) 75,947 5,636 CoreLogic, Inc. (b) 80,031 960 DST Systems, Inc. 46,858 4,835 Lender Processing Services, Inc. 80,406 2,333 ManTech International Corp., Class A 82,005 ------------- 396,215 ------------- MACHINERY -- 7.5% 1,318 AGCO Corp. (b) 67,126 2,124 Harsco Corp. 47,216 382 IDEX Corp. 15,479 3,770 ITT Corp. 81,960 1,551 Kennametal, Inc. 66,864 688 Nordson Corp. 31,194 3,408 Oshkosh Corp. (b) 82,746 851 Pentair, Inc. 31,334 470 SPX Corp. 32,726 1,048 Terex Corp. (b) 20,750 1,882 Timken (The) Co. 91,898 942 Trinity Industries, Inc. 29,635 ------------- 598,928 ------------- MARINE -- 0.4% 694 Alexander & Baldwin, Inc. 32,826 ------------- MEDIA -- 3.2% 4,391 DreamWorks Animation SKG, Inc., Class A (b) 77,940 319 John Wiley & Sons, Inc., Class A 14,479 1,339 Meredith Corp. 42,165 1,890 Scholastic Corp. 55,774 2,945 Valassis Communications, Inc. (b) 66,999 ------------- 257,357 ------------- METALS & MINING -- 2.4% 1,163 Reliance Steel & Aluminum Co. 61,872 4,306 Steel Dynamics, Inc. 68,681 Page 74 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 3,457 Worthington Industries, Inc. $ 63,643 ------------- 194,196 ------------- MULTILINE RETAIL -- 0.4% 2,904 Saks, Inc. (b) 28,982 ------------- MULTI-UTILITIES -- 1.6% 1,302 Black Hills Corp. 43,955 2,037 MDU Resources Group, Inc. 43,551 301 NSTAR 13,524 937 Vectren Corp. 26,789 ------------- 127,819 ------------- OIL, GAS & CONSUMABLE FUELS -- 5.2% 3,903 Arch Coal, Inc. 56,320 3,701 Comstock Resources, Inc. (b) 44,560 1,457 Energen Corp. 70,184 4,179 Forest Oil Corp. (b) 54,327 3,114 HollyFrontier Corp. 91,365 5,162 Patriot Coal Corp. (b) 39,231 10,860 Quicksilver Resources, Inc. (b) 54,409 ------------- 410,396 ------------- PAPER & FOREST PRODUCTS -- 1.0% 911 Domtar Corp. 78,692 ------------- PROFESSIONAL SERVICES -- 0.5% 2,563 Korn/Ferry International (b) 42,110 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.8% 850 SL Green Realty Corp. 62,500 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 231 Jones Lang LaSalle, Inc. 18,194 ------------- ROAD & RAIL -- 1.0% 971 Con-way, Inc. 30,819 1,814 Werner Enterprises, Inc. 47,400 ------------- 78,219 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.0% 6,991 Atmel Corp. (b) 67,883 1,285 Cree, Inc. (b) 32,677 6,052 Fairchild Semiconductor International, Inc. (b) 84,607 13,346 Integrated Device Technology, Inc. (b) 84,614 3,752 International Rectifier Corp. (b) 85,545 2,712 Intersil Corp., Class A 30,537 14,373 MEMC Electronic Materials, Inc. (b) 65,685 5,244 RF Micro Devices, Inc. (b) 26,167 3,491 Skyworks Solutions, Inc. (b) 75,336 ------------- 553,051 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SOFTWARE -- 0.6% 1,044 Mentor Graphics Corp. (b) $ 14,480 1,041 Synopsys, Inc. (b) 30,377 ------------- 44,857 ------------- SPECIALTY RETAIL -- 7.9% 2,123 Aaron's, Inc. 56,493 3,713 Aeropostale, Inc. (b) 60,782 2,860 American Eagle Outfitters, Inc. 40,297 1,764 ANN, Inc. (b) 42,795 1,905 Ascena Retail Group, Inc. (b) 67,380 1,955 Barnes & Noble, Inc. (b) 23,597 5,084 Chico's FAS, Inc. 58,161 1,834 Foot Locker, Inc. 48,124 1,899 Guess?, Inc. 56,970 26,340 Office Depot, Inc. (b) 71,908 7,505 RadioShack Corp. 53,886 1,531 Rent-A-Center, Inc. 51,778 ------------- 632,171 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 1,295 Hanesbrands, Inc. (b) 31,857 ------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 3,335 Astoria Financial Corp. 27,781 2,289 New York Community Bancorp, Inc. 29,047 1,012 Washington Federal, Inc. 15,949 ------------- 72,777 ------------- TOBACCO -- 0.5% 951 Universal Corp. 42,681 ------------- TOTAL INVESTMENTS -- 100.0% 7,965,218 (Cost $7,609,648) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (2,900) ------------- NET ASSETS -- 100.0% $ 7,962,318 ============= See Notes to Financial Statements Page 75 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $561,902 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $206,332. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $7,965,218 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 76 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% 2,445 BE Aerospace, Inc. (b) $ 103,179 2,808 Triumph Group, Inc. 175,696 ------------- 278,875 ------------- AIRLINES -- 1.3% 2,186 Alaska Air Group, Inc. (b) 166,420 ------------- AUTO COMPONENTS -- 0.5% 2,219 Gentex Corp. 59,624 ------------- BEVERAGES -- 0.8% 1,027 Monster Beverage Corp. (b) 107,332 ------------- BIOTECHNOLOGY -- 0.2% 667 United Therapeutics Corp. (b) 32,803 ------------- CAPITAL MARKETS -- 0.8% 987 Affiliated Managers Group, Inc. (b) 99,203 ------------- CHEMICALS -- 3.6% 613 Albemarle Corp. 39,422 829 NewMarket Corp. 179,221 1,732 Sensient Technologies Corp. 68,622 4,211 Valspar (The) Corp. 182,084 ------------- 469,349 ------------- COMMERCIAL BANKS -- 1.6% 2,188 Signature Bank (b) 127,232 1,377 SVB Financial Group (b) 79,921 ------------- 207,153 ------------- COMMERCIAL SERVICES & SUPPLIES -- 3.5% 2,575 Clean Harbors, Inc. (b) 163,384 1,977 Copart, Inc. (b) 92,998 2,859 Mine Safety Appliances Co. 97,606 2,954 Rollins, Inc. 63,186 952 Waste Connections, Inc. 30,759 ------------- 447,933 ------------- CONTAINERS & PACKAGING -- 2.4% 1,815 AptarGroup, Inc. 95,142 2,275 Rock-Tenn Co., Class A 140,732 1,700 Silgan Holdings, Inc. 70,652 ------------- 306,526 ------------- DISTRIBUTORS -- 1.4% 5,456 LKQ Corp. (b) 177,866 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 1,628 tw telecom, Inc. (b) 32,804 ------------- ELECTRICAL EQUIPMENT -- 4.4% 1,785 Acuity Brands, Inc. 103,941 2,248 AMETEK, Inc. 105,656 1,964 Hubbell, Inc., Class B 141,329 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 3,005 Thomas & Betts Corp. (b) $ 214,527 ------------- 565,453 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 1,217 National Instruments Corp. 32,749 3,026 Trimble Navigation Ltd. (b) 141,708 ------------- 174,457 ------------- ENERGY EQUIPMENT & SERVICES -- 4.7% 533 CARBO Ceramics, Inc. 51,834 1,315 Dresser-Rand Group, Inc. (b) 67,368 8,308 Helix Energy Solutions Group, Inc. (b) 136,667 3,558 Oceaneering International, Inc. 172,883 2,148 Oil States International, Inc. (b) 171,174 ------------- 599,926 ------------- FOOD PRODUCTS -- 3.1% 3,121 Corn Products International, Inc. 173,184 1,365 Lancaster Colony Corp. 94,854 1,535 Ralcorp Holdings, Inc. (b) 134,236 ------------- 402,274 ------------- GAS UTILITIES -- 1.2% 3,305 Questar Corp. 63,720 2,141 WGL Holdings, Inc. 91,314 ------------- 155,034 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2% 447 Cooper (The) Cos., Inc. 32,247 411 IDEXX Laboratories, Inc. (b) 34,766 1,071 Teleflex, Inc. 65,535 940 Thoratec Corp. (b) 27,636 ------------- 160,184 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.6% 2,779 AMERIGROUP Corp. (b) 189,000 1,821 Catalyst Health Solutions, Inc. (b) 99,718 1,018 Henry Schein, Inc. (b) 72,166 5,132 HMS Holdings Corp. (b) 169,407 912 MEDNAX, Inc. (b) 64,953 ------------- 595,244 ------------- HEALTH CARE TECHNOLOGY -- 0.5% 3,466 Allscripts Healthcare Solutions, Inc. (b) 66,270 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 797 Bally Technologies, Inc. (b) 33,649 2,808 Life Time Fitness, Inc. (b) 137,985 1,159 Panera Bread Co., Class A (b) 171,822 See Notes to Financial Statements Page 77 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 6,768 Scientific Games Corp., Class A (b) $ 75,734 ------------- 419,190 ------------- HOUSEHOLD DURABLES -- 0.3% 563 Tupperware Brands Corp. 35,379 ------------- HOUSEHOLD PRODUCTS -- 1.0% 690 Church & Dwight Co., Inc. 31,305 1,222 Energizer Holdings, Inc. (b) 94,241 ------------- 125,546 ------------- INDUSTRIAL CONGLOMERATES -- 1.4% 3,704 Carlisle Cos., Inc. 176,792 ------------- INSURANCE -- 1.0% 3,926 Arthur J. Gallagher & Co. 130,893 ------------- INTERNET & CATALOG RETAIL -- 1.0% 3,622 HSN, Inc. 129,269 ------------- INTERNET SOFTWARE & SERVICES -- 1.9% 934 Equinix, Inc. (b) 112,042 3,053 Rackspace Hosting, Inc. (b) 132,531 ------------- 244,573 ------------- IT SERVICES -- 3.7% 1,263 Alliance Data Systems Corp. (b) 139,940 1,387 Global Payments, Inc. 69,378 2,818 Jack Henry & Associates, Inc. 96,376 4,802 NeuStar, Inc., Class A (b) 175,321 ------------- 481,015 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.2% 2,345 Polaris Industries, Inc. 151,018 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 212 Mettler-Toledo International, Inc. (b) 37,206 ------------- MACHINERY -- 9.3% 1,894 CLARCOR, Inc. 97,370 2,810 Crane Co. 134,880 2,410 Donaldson Co., Inc. 174,243 1,230 Gardner Denver, Inc. 91,758 771 Graco, Inc. 35,451 4,196 Lincoln Electric Holdings, Inc. 180,218 1,445 Valmont Industries, Inc. 151,595 2,345 Wabtec Corp. 161,313 4,009 Woodward, Inc. 168,298 ------------- 1,195,126 ------------- MARINE -- 1.3% 2,493 Kirby Corp. (b) 166,458 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MEDIA -- 0.3% 1,148 Lamar Advertising Co., Class A (b) $ 32,844 ------------- METALS & MINING -- 0.7% 1,838 Carpenter Technology Corp. 96,458 ------------- MULTI-UTILITIES -- 1.4% 2,147 Alliant Energy Corp. 91,011 1,668 OGE Energy Corp. 88,171 ------------- 179,182 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.1% 2,739 Northern Oil and Gas, Inc. (b) 68,475 3,576 Plains Exploration & Production Co. (b) 134,887 1,796 SM Energy Co. 130,353 1,559 Southern Union Co. 67,614 ------------- 401,329 ------------- PHARMACEUTICALS -- 0.8% 2,742 Endo Pharmaceuticals Holdings, Inc. (b) 101,920 ------------- PROFESSIONAL SERVICES -- 1.8% 829 Corporate Executive Board (The) Co. 32,604 3,095 FTI Consulting, Inc. (b) 132,528 1,095 Towers Watson & Co., Class A 65,481 ------------- 230,613 ------------- REAL ESTATE INVESTMENT TRUSTS -- 5.2% 2,257 American Campus Communities, Inc. 96,600 1,300 BRE Properties, Inc. 67,366 507 Camden Property Trust 32,701 468 Essex Property Trust, Inc. 67,392 349 Federal Realty Investment Trust 32,967 624 Macerich (The) Co. 33,883 1,630 OMEGA Healthcare Investors, Inc. 33,969 1,470 Rayonier, Inc. 67,223 902 Realty Income Corp. 32,833 1,406 Senior Housing Properties Trust 31,888 1,524 Taubman Centers, Inc. 102,154 2,615 UDR, Inc. 68,042 ------------- 667,018 ------------- ROAD & RAIL -- 3.5% 2,913 J.B. Hunt Transport Services, Inc. 148,767 2,414 Kansas City Southern (b) 165,697 2,740 Landstar System, Inc. 140,151 ------------- 454,615 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.5% 1,272 Semtech Corp. (b) 36,252 727 Silicon Laboratories, Inc. (b) 31,872 ------------- 68,124 ------------- Page 78 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 3.9% 1,102 ACI Worldwide, Inc. (b) $ 33,479 1,145 ANSYS, Inc. (b) 69,261 9,103 Cadence Design Systems, Inc. (b) 96,128 1,863 Concur Technologies, Inc. (b) 97,528 3,663 Fair Isaac Corp. 132,747 1,729 Parametric Technology Corp. (b) 43,519 1,321 TIBCO Software, Inc. (b) 34,438 ------------- 507,100 ------------- SPECIALTY RETAIL -- 5.6% 1,886 Advance Auto Parts, Inc. 144,543 1,780 Dick's Sporting Goods, Inc. 73,354 3,199 PetSmart, Inc. 170,251 2,154 Signet Jewelers Ltd. 98,179 1,872 Tractor Supply Co. 151,201 2,458 Williams-Sonoma, Inc. 88,144 ------------- 725,672 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.6% 2,327 PVH Corp. 179,621 914 Under Armour, Inc., Class A (b) 72,773 1,312 Warnaco Group (The), Inc. (b) 76,424 ------------- 328,818 ------------- TRADING COMPANIES & DISTRIBUTORS -- 5.1% 3,759 GATX Corp. 161,411 1,835 MSC Industrial Direct Co., Inc., Class A 139,497 5,553 United Rentals, Inc. (b) 212,347 1,999 Watsco, Inc. 137,871 ------------- 651,126 ------------- TOTAL INVESTMENTS -- 99.9% 12,842,014 (Cost $12,077,673) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 11,624 ------------- NET ASSETS -- 100.0% $ 12,853,638 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $829,198 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $64,857. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $12,842,014 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 79 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 2.3% 646 AAR Corp. $ 13,689 463 Ceradyne, Inc. (b) 15,320 275 Curtiss-Wright Corp. 10,274 669 Orbital Sciences Corp. (b) 9,694 ------------- 48,977 ------------- AIRLINES -- 0.6% 984 SkyWest, Inc. 12,595 ------------- AUTO COMPONENTS -- 1.5% 199 Drew Industries, Inc. (b) 5,168 1,011 Spartan Motors, Inc. 6,137 371 Standard Motor Products, Inc. 7,676 749 Superior Industries International, Inc. 13,609 ------------- 32,590 ------------- BUILDING PRODUCTS -- 0.5% 532 Griffon Corp. 5,304 163 Quanex Building Products Corp. 2,678 79 Universal Forest Products, Inc. 2,510 ------------- 10,492 ------------- CAPITAL MARKETS -- 1.5% 594 Calamos Asset Management, Inc., Class A 7,419 481 Piper Jaffray Cos. (b) 10,702 1,333 Prospect Capital Corp. 13,757 ------------- 31,878 ------------- CHEMICALS -- 3.6% 351 A. Schulman, Inc. 8,599 156 Calgon Carbon Corp. (b) 2,549 610 Kraton Performance Polymers, Inc. (b) 17,348 347 LSB Industries, Inc. (b) 12,162 332 OM Group, Inc. (b) 9,007 1,073 PolyOne Corp. 15,473 336 Tredegar Corp. 8,286 175 Zep, Inc. 2,867 ------------- 76,291 ------------- COMMERCIAL BANKS -- 3.3% 257 BBCN Bancorp, Inc. (b) 2,601 127 Columbia Banking System, Inc. 2,667 924 First Commonwealth Financial Corp. 5,119 147 First Financial Bancorp 2,555 1,675 Hanmi Financial Corp. (b) 13,802 90 Independent Bank Corp. 2,497 288 National Penn Bancshares, Inc. 2,503 110 NBT Bancorp, Inc. 2,475 210 Old National Bancorp 2,472 301 Pinnacle Financial Partners, Inc. (b) 5,069 221 PrivateBancorp, Inc. 3,125 250 S&T Bancorp, Inc. 5,427 90 Simmons First National Corp., Class A 2,479 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 281 Sterling Bancorp $ 2,683 290 Susquehanna Bancshares, Inc. 2,651 63 Tompkins Financial Corp. 2,548 66 UMB Financial Corp. 2,546 197 Umpqua Holdings Corp. 2,397 174 Wintrust Financial Corp. 5,333 ------------- 70,949 ------------- COMMERCIAL SERVICES & SUPPLIES -- 5.0% 360 ABM Industries, Inc. 7,812 202 Consolidated Graphics, Inc. (b) 10,260 457 Encore Capital Group, Inc. (b) 10,740 334 G&K Services, Inc., Class A 10,975 580 Geo Group (The), Inc. (b) 10,196 140 Mobile Mini, Inc. (b) 2,912 4,173 Standard Register (The) Co. 8,388 791 Sykes Enterprises, Inc. (b) 13,866 344 Tetra Tech, Inc. (b) 7,957 172 UniFirst Corp. 10,385 150 United Stationers, Inc. 4,849 425 Viad Corp. 8,598 ------------- 106,938 ------------- COMMUNICATIONS EQUIPMENT -- 2.3% 449 Arris Group, Inc. (b) 5,244 442 Black Box Corp. 13,667 340 Comtech Telecommunications Corp. 10,492 436 Digi International, Inc. (b) 4,923 752 Oplink Communications, Inc. (b) 14,085 ------------- 48,411 ------------- COMPUTERS & PERIPHERALS -- 0.3% 354 Intermec, Inc. (b) 2,988 156 Super Micro Computer, Inc. (b) 2,633 ------------- 5,621 ------------- CONSTRUCTION & ENGINEERING -- 1.0% 485 Aegion Corp. (b) 8,279 232 Dycom Industries, Inc. (b) 4,958 91 EMCOR Group, Inc. 2,624 731 Orion Marine Group, Inc. (b) 5,292 ------------- 21,153 ------------- DISTRIBUTORS -- 0.9% 1,466 VOXX International Corp., Class A (b) 18,648 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.5% 1,554 Career Education Corp. (b) 15,711 1,568 Lincoln Educational Services Corp. 13,689 3,889 School Specialty, Inc. (b) 12,522 Page 80 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 761 Universal Technical Institute, Inc. (b) $ 10,616 ------------- 52,538 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5% 607 Cbeyond, Inc. (b) 5,159 248 General Communication, Inc., Class A (b) 2,582 634 Lumos Networks Corp. 9,529 1,159 Neutral Tandem, Inc. (b) 14,244 ------------- 31,514 ------------- ELECTRIC UTILITIES -- 0.9% 116 ALLETE, Inc. 4,808 216 El Paso Electric Co. 7,517 202 Unisource Energy Corp. 7,526 ------------- 19,851 ------------- ELECTRICAL EQUIPMENT -- 1.6% 235 Brady Corp., Class A 7,607 287 Encore Wire Corp. 7,835 374 EnerSys (b) 10,838 934 Vicor Corp. 8,341 ------------- 34,621 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 8.3% 82 Anixter International, Inc. (b) 5,372 83 Badger Meter, Inc. 2,668 920 Benchmark Electronics, Inc. (b) 15,824 227 Brightpoint, Inc. (b) 2,660 1,057 CTS Corp. 10,633 513 Electro Scientific Industries, Inc. 7,787 810 Insight Enterprises, Inc. (b) 14,953 267 Measurement Specialties, Inc. (b) 8,677 366 Mercury Computer Systems, Inc. (b) 4,901 897 Methode Electronics, Inc. 8,907 910 Newport Corp. (b) 16,808 191 Park Electrochemical Corp. 5,801 355 Plexus Corp. (b) 12,869 961 RadiSys Corp. (b) 5,795 426 Rofin-Sinar Technologies, Inc. (b) 12,086 265 Rogers Corp. (b) 10,184 136 ScanSource, Inc. (b) 5,109 407 SYNNEX Corp. (b) 14,725 887 TTM Technologies, Inc. (b) 10,883 ------------- 176,642 ------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 158 Bristow Group, Inc. 7,752 1,030 Matrix Service Co. (b) 11,989 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 260 TETRA Technologies, Inc. (b) $ 2,428 ------------- 22,169 ------------- FOOD & STAPLES RETAILING -- 1.5% 224 Andersons (The), Inc. 9,083 423 Nash Finch Co. 12,356 526 Spartan Stores, Inc. 9,857 ------------- 31,296 ------------- FOOD PRODUCTS -- 1.5% 204 Cal-Maine Foods, Inc. 7,744 932 Darling International, Inc. (b) 14,241 151 Diamond Foods, Inc. 5,487 189 Seneca Foods Corp., Class A (b) 5,468 ------------- 32,940 ------------- GAS UTILITIES -- 0.4% 121 Laclede Group (The), Inc. 5,041 51 Northwest Natural Gas Co. 2,425 ------------- 7,466 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.2% 190 CONMED Corp. (b) 5,586 1,548 CryoLife, Inc. (b) 8,266 561 Greatbatch, Inc. (b) 13,139 159 Integra LifeSciences Holdings (b) 4,694 810 Invacare Corp. 13,835 183 Merit Medical Systems, Inc. (b) 2,582 516 Natus Medical, Inc. (b) 5,836 261 Palomar Medical Technologies, Inc. (b) 2,362 930 Symmetry Medical, Inc. (b) 6,984 129 West Pharmaceutical Services, Inc. 5,222 ------------- 68,506 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.6% 747 Almost Family, Inc. (b) 14,074 457 Bio-Reference Laboratories, Inc. (b) 8,843 438 Cross Country Healthcare, Inc. (b) 2,703 260 Hanger Orthopedic Group, Inc. (b) 5,093 1,806 Healthways, Inc. (b) 13,653 1,052 Kindred Healthcare, Inc. (b) 12,908 435 Molina Healthcare, Inc. (b) 13,315 490 PharMerica Corp. (b) 6,150 ------------- 76,739 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.8% 1,303 Boyd Gaming Corp. (b) 11,427 117 Jack in the Box, Inc. (b) 2,480 771 Marcus (The) Corp. 9,337 See Notes to Financial Statements Page 81 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 142 Marriott Vacations Worldwide Corp. (b) $ 2,947 729 Monarch Casino & Resort, Inc. (b) 7,764 1,354 O'Charley's, Inc. (b) 8,788 240 P.F. Chang's China Bistro, Inc. 7,814 732 Pinnacle Entertainment, Inc. (b) 7,100 351 Red Robin Gourmet Burgers, Inc. (b) 10,779 1,795 Ruby Tuesday, Inc. (b) 13,480 1,956 Ruth's Hospitality Group, Inc. (b) 12,108 499 Texas Roadhouse, Inc. 7,565 ------------- 101,589 ------------- HOUSEHOLD DURABLES -- 1.9% 404 Helen of Troy Ltd. (b) 12,997 1,041 La-Z-Boy, Inc. (b) 13,720 734 Universal Electronics, Inc. (b) 13,579 ------------- 40,296 ------------- HOUSEHOLD PRODUCTS -- 0.5% 1,169 Central Garden & Pet Co., Class A (b) 11,059 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% 286 Standex International Corp. 11,466 ------------- INSURANCE -- 3.4% 105 AMERISAFE, Inc. (b) 2,581 55 Delphi Financial Group, Inc., Class A 2,448 135 Employers Holdings, Inc. 2,425 542 Horace Mann Educators Corp. 8,477 696 Meadowbrook Insurance Group, Inc. 6,939 719 National Financial Partners Corp. (b) 11,073 973 Presidential Life Corp. 10,849 60 Safety Insurance Group, Inc. 2,515 138 Selective Insurance Group, Inc. 2,481 842 Stewart Information Services Corp. 11,493 482 Tower Group, Inc. 10,406 ------------- 71,687 ------------- INTERNET & CATALOG RETAIL -- 0.5% 376 Nutrisystem, Inc. 4,474 468 PetMed Express, Inc. 5,836 ------------- 10,310 ------------- INTERNET SOFTWARE & SERVICES -- 1.0% 325 Digital River, Inc. (b) 5,203 244 Perficient, Inc. (b) 2,716 2,277 United Online, Inc. 12,933 ------------- 20,852 ------------- IT SERVICES -- 1.4% 505 CSG Systems International, Inc. (b) 8,216 1,063 NCI, Inc., Class A (b) 7,781 459 TeleTech Holdings, Inc. (b) 7,785 SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES (CONTINUED) 336 Virtusa Corp. (b) $ 5,373 ------------- 29,155 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.8% 108 Arctic Cat, Inc. (b) 3,223 878 JAKKS Pacific, Inc. 13,416 ------------- 16,639 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 594 Affymetrix, Inc. (b) 2,857 1,035 Cambrex Corp. (b) 8,135 2,073 eResearchTechnology, Inc. (b) 11,485 ------------- 22,477 ------------- MACHINERY -- 3.3% 329 Actuant Corp., Class A 8,340 321 Albany International Corp., Class A 7,710 152 Astec Industries, Inc. (b) 5,141 203 Barnes Group, Inc. 5,134 480 Briggs & Stratton Corp. 7,493 225 EnPro Industries, Inc. (b) 7,945 258 ESCO Technologies, Inc. 7,758 316 John Bean Technologies Corp. 5,185 160 Kaydon Corp. 5,459 512 Lydall, Inc. (b) 4,823 127 Mueller Industries, Inc. 5,615 ------------- 70,603 ------------- MEDIA -- 1.8% 1,039 Digital Generation, Inc. (b) 14,442 607 E.W. Scripps (The) Co., Class A (b) 5,141 1,070 Harte-Hanks, Inc. 10,326 894 Live Nation Entertainment, Inc. (b) 9,190 ------------- 39,099 ------------- METALS & MINING -- 2.9% 1,028 A.M. Castle & Co. (b) 10,660 294 AK Steel Holding Corp. 2,775 91 AMCOL International Corp. 2,599 1,456 Century Aluminum Co. (b) 14,604 53 Kaiser Aluminum Corp. 2,617 510 Materion Corp. (b) 14,999 531 Olympic Steel, Inc. 13,695 ------------- 61,949 ------------- MULTILINE RETAIL -- 0.9% 667 Fred's, Inc., Class A 9,838 2,818 Tuesday Morning Corp. (b) 9,581 ------------- 19,419 ------------- MULTI-UTILITIES -- 0.6% 290 Avista Corp. 7,349 Page 82 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 137 NorthWestern Corp. $ 4,814 ------------- 12,163 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.1% 1,838 Penn Virginia Corp. 8,510 213 Petroleum Development Corp. (b) 6,631 737 PetroQuest Energy, Inc. (b) 4,732 470 Stone Energy Corp. (b) 13,183 327 Swift Energy Co. (b) 10,840 ------------- 43,896 ------------- PAPER & FOREST PRODUCTS -- 1.4% 787 KapStone Paper & Packaging Corp. (b) 13,741 333 Neenah Paper, Inc. 7,915 900 Wausau Paper Corp. 7,776 ------------- 29,432 ------------- PERSONAL PRODUCTS -- 0.5% 478 Inter Parfums, Inc. 7,983 217 Prestige Brands Holdings, Inc. (b) 2,786 ------------- 10,769 ------------- PROFESSIONAL SERVICES -- 1.3% 906 Kelly Services, Inc., Class A 14,641 426 Navigant Consulting, Inc. (b) 5,457 459 Resources Connection, Inc. 5,701 176 TrueBlue, Inc. (b) 2,906 ------------- 28,705 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 244 Franklin Street Properties Corp. 2,486 697 Getty Realty Corp. 11,682 ------------- 14,168 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 491 Forestar Group, Inc. (b) 7,817 ------------- ROAD & RAIL -- 0.8% 386 Arkansas Best Corp. 6,994 340 Heartland Express, Inc. 5,039 311 Knight Transportation, Inc. 5,477 ------------- 17,510 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.3% 1,154 Advanced Energy Industries, Inc. (b) 12,279 485 ATMI, Inc. (b) 11,339 1,206 Brooks Automation, Inc. 12,928 1,091 Cohu, Inc. 14,325 456 Diodes, Inc. (b) 11,756 626 Kopin Corp. (b) 2,429 481 Micrel, Inc. 5,560 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 290 Microsemi Corp. (b) $ 5,736 351 MKS Instruments, Inc. 10,583 673 Nanometrics, Inc. (b) 13,628 977 Pericom Semiconductor Corp. (b) 7,816 1,338 Rudolph Technologies, Inc. (b) 13,688 1,505 STR Holdings, Inc. (b) 16,088 129 Supertex, Inc. (b) 2,384 2,544 TriQuint Semiconductor, Inc. (b) 15,239 ------------- 155,778 ------------- SOFTWARE -- 1.0% 618 EPIQ Systems, Inc. 7,533 251 Progress Software Corp. (b) 5,856 12,794 THQ, Inc. (b) 8,571 ------------- 21,960 ------------- SPECIALTY RETAIL -- 6.2% 712 Big 5 Sporting Goods Corp. 5,653 1,092 Brown Shoe Co., Inc. 10,319 192 Cabela's, Inc. (b) 5,007 402 Cato (The) Corp., Class A 10,777 385 Finish Line (The), Inc., Class A 8,143 47 Group 1 Automotive, Inc. 2,507 443 Haverty Furniture Cos., Inc. 5,529 222 Lithia Motors, Inc., Class A 4,931 138 Lumber Liquidators Holdings, Inc. (b) 2,948 300 Men's Wearhouse (The), Inc. 10,347 2,729 OfficeMax, Inc. (b) 15,091 884 Pep Boys-Manny, Moe & Jack (The) 13,260 657 Sonic Automotive, Inc., Class A 10,243 892 Stage Stores, Inc. 13,719 1,819 Stein Mart, Inc. (b) 13,188 ------------- 131,662 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 503 Crocs, Inc. (b) 9,567 597 Iconix Brand Group, Inc. (b) 10,991 531 Maidenform Brands, Inc. (b) 10,620 871 Perry Ellis International, Inc. (b) 13,535 202 Skechers U.S.A., Inc., Class A (b) 2,456 ------------- 47,169 ------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 288 Brookline Bancorp, Inc. 2,670 386 Dime Community Bancshares, Inc. 5,319 363 Provident Financial Services, Inc. 5,024 ------------- 13,013 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 179 Kaman Corp. 5,579 See Notes to Financial Statements Page 83 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 158 Lawson Products, Inc. $ 2,653 ------------- 8,232 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 365 NTELOS Holdings Corp. 8,333 893 USA Mobility, Inc. 12,636 ------------- 20,969 ------------- TOTAL INVESTMENTS -- 100.1% 2,128,668 (Cost $2,115,020) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (1,519) ------------- NET ASSETS -- 100.0% $ 2,127,149 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $144,731 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $131,083. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $2,128,668 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 84 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.0% AEROSPACE & DEFENSE -- 1.5% 546 Aerovironment, Inc. (b) $ 15,217 782 Moog, Inc., Class A (b) 33,329 457 Teledyne Technologies, Inc. (b) 25,939 ------------- 74,485 ------------- AIR FREIGHT & LOGISTICS -- 0.9% 536 Forward Air Corp. 18,760 773 Hub Group, Inc., Class A (b) 26,460 ------------- 45,220 ------------- AIRLINES -- 0.5% 470 Allegiant Travel Co. (b) 25,836 ------------- BEVERAGES -- 0.5% 231 Boston Beer (The) Co., Inc., Class A (b) 23,112 ------------- BIOTECHNOLOGY -- 0.4% 433 Cubist Pharmaceuticals, Inc. (b) 17,675 ------------- BUILDING PRODUCTS -- 1.7% 207 A.O. Smith Corp. 8,793 1,224 AAON, Inc. 24,786 2,307 NCI Building Systems, Inc. (b) 27,015 745 Simpson Manufacturing Co., Inc. 24,123 ------------- 84,717 ------------- CAPITAL MARKETS -- 0.4% 374 Financial Engines, Inc. (b) 8,957 261 Stifel Financial Corp. (b) 9,412 ------------- 18,369 ------------- CHEMICALS -- 4.6% 3,217 American Vanguard Corp. 48,351 205 Balchem Corp. 7,757 1,085 H.B. Fuller Co. 31,053 466 Hawkins, Inc. 18,454 999 Koppers Holdings, Inc. 37,952 883 Quaker Chemical Corp. 39,117 535 Stepan Co. 45,978 ------------- 228,662 ------------- COMMERCIAL BANKS -- 2.4% 1,449 Bank of the Ozarks, Inc. 40,558 301 Community Bank System, Inc. 8,235 250 First Financial Bankshares, Inc. 8,520 968 Home Bancshares, Inc. 25,226 1,122 Texas Capital Bancshares, Inc. (b) 35,590 ------------- 118,129 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 971 Healthcare Services Group, Inc. 18,148 ------------- COMMUNICATIONS EQUIPMENT -- 1.3% 328 Blue Coat Systems, Inc. (b) 8,449 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMUNICATIONS EQUIPMENT (CONTINUED) 747 NETGEAR, Inc. (b) $ 29,746 544 ViaSat, Inc. (b) 25,862 ------------- 64,057 ------------- COMPUTERS & PERIPHERALS -- 0.9% 565 Stratasys, Inc. (b) 20,764 569 Synaptics, Inc. (b) 21,798 ------------- 42,562 ------------- CONSUMER FINANCE -- 0.8% 178 Cash America International, Inc. 7,807 467 World Acceptance Corp. (b) 29,757 ------------- 37,564 ------------- DISTRIBUTORS -- 0.6% 833 Pool Corp. 28,347 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 579 American Public Education, Inc. (b) 23,276 182 Coinstar, Inc. (b) 9,051 769 Hillenbrand, Inc. 18,033 ------------- 50,360 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 879 Atlantic Tele-Network, Inc. 31,723 ------------- ELECTRIC UTILITIES -- 0.8% 238 Central Vermont Public Service Corp. 8,371 971 UIL Holdings Corp. 33,577 ------------- 41,948 ------------- ELECTRICAL EQUIPMENT -- 2.2% 756 AZZ, Inc. 37,112 1,032 Belden, Inc. 40,465 576 Franklin Electric Co., Inc. 28,834 ------------- 106,411 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.5% 959 Cognex Corp. 39,847 933 FARO Technologies, Inc. (b) 50,643 1,053 FEI Co. (b) 46,395 843 MTS Systems Corp. 38,685 880 OSI Systems, Inc. (b) 47,283 ------------- 222,853 ------------- ENERGY EQUIPMENT & SERVICES -- 2.2% 1,743 Basic Energy Services, Inc. (b) 31,391 553 Hornbeck Offshore Services, Inc. (b) 18,078 255 Lufkin Industries, Inc. 19,181 107 OYO Geospace Corp. (b) 9,417 See Notes to Financial Statements Page 85 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 3,547 Pioneer Drilling Co. (b) $ 31,639 ------------- 109,706 ------------- FOOD & STAPLES RETAILING -- 1.4% 833 Casey's General Stores, Inc. 42,433 627 United Natural Foods, Inc. (b) 27,619 ------------- 70,052 ------------- FOOD PRODUCTS -- 4.3% 1,427 B&G Foods, Inc., Class A 32,336 1,671 Calavo Growers, Inc. 45,451 1,171 Hain Celestial Group (The), Inc. (b) 45,189 322 J & J Snack Foods Corp. 16,432 342 Sanderson Farms, Inc. 17,421 1,114 Snyder's-Lance, Inc. 25,611 525 TreeHouse Foods, Inc. (b) 29,683 ------------- 212,123 ------------- GAS UTILITIES -- 1.3% 698 New Jersey Resources Corp. 33,309 246 Piedmont Natural Gas Co., Inc. 8,098 146 South Jersey Industries, Inc. 8,013 404 Southwest Gas Corp. 16,887 ------------- 66,307 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.5% 302 Abaxis, Inc. (b) 8,178 1,447 Align Technology, Inc. (b) 34,092 599 Analogic Corp. 33,981 1,537 Cantel Medical Corp. 48,523 512 Cyberonics, Inc. (b) 16,640 382 ICU Medical, Inc. (b) 17,752 797 SonoSite, Inc. (b) 42,966 1,710 SurModics, Inc. (b) 24,658 679 Zoll Medical Corp. (b) 46,566 ------------- 273,356 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.3% 508 Air Methods Corp. (b) 42,824 963 AmSurg Corp. (b) 24,797 1,084 Centene Corp. (b) 48,997 485 CorVel Corp. (b) 23,610 341 Ensign Group (The), Inc. 9,040 751 IPC Hospitalist (The) Co. (b) 25,301 258 MWI Veterinary Supply, Inc. (b) 20,256 710 PSS World Medical, Inc. (b) 17,232 ------------- 212,057 ------------- HEALTH CARE TECHNOLOGY -- 0.3% 1,039 Omnicell, Inc. (b) 16,084 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 4.2% 46 Biglari Holdings, Inc. (b) $ 18,213 183 BJ's Restaurants, Inc. (b) 9,156 509 Buffalo Wild Wings, Inc. (b) 33,879 497 Cracker Barrel Old Country Store, Inc. 26,078 5,406 Multimedia Games Holding Co., Inc. (b) 40,815 911 Papa John's International, Inc. (b) 35,292 274 Peet's Coffee & Tea, Inc. (b) 16,665 2,140 Shuffle Master, Inc. (b) 27,392 ------------- 207,490 ------------- HOUSEHOLD DURABLES -- 1.2% 605 Blyth, Inc. 38,085 280 iRobot Corp. (b) 9,251 530 Ryland Group (The), Inc. 9,646 ------------- 56,982 ------------- INSURANCE -- 1.2% 569 eHealth, Inc. (b) 9,206 303 Infinity Property & Casualty Corp. 17,659 174 Navigators Group (The), Inc. (b) 8,314 104 ProAssurance Corp. 8,489 236 RLI Corp. 16,832 ------------- 60,500 ------------- INTERNET SOFTWARE & SERVICES -- 3.8% 394 comScore, Inc. (b) 8,727 1,575 DealerTrack Holdings, Inc. (b) 43,045 2,282 InfoSpace, Inc. (b) 28,091 297 j2 Global, Inc. 8,007 931 Liquidity Services, Inc. (b) 32,129 1,368 LivePerson, Inc. (b) 16,416 217 LogMeIn, Inc. (b) 8,643 1,314 Stamps.com, Inc. (b) 40,747 ------------- 185,805 ------------- IT SERVICES -- 4.1% 307 CACI International, Inc., Class A (b) 18,018 1,269 Cardtronics, Inc. (b) 32,423 1,762 Heartland Payment Systems, Inc. 42,288 453 Higher One Holdings, Inc. (b) 7,674 1,594 iGATE Corp. (b) 29,043 606 MAXIMUS, Inc. 27,288 791 Wright Express Corp. (b) 43,283 ------------- 200,017 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.6% 1,388 Brunswick Corp. 29,620 1,283 Sturm, Ruger & Co., Inc. 50,871 ------------- 80,491 ------------- MACHINERY -- 3.4% 910 Cascade Corp. 51,706 Page 86 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 486 CIRCOR International, Inc. $ 18,425 707 Robbins & Myers, Inc. 34,332 442 Tennant Co. 17,008 413 Toro (The) Co. 26,180 502 Watts Water Technologies, Inc., Class A 19,352 ------------- 167,003 ------------- METALS & MINING -- 0.8% 629 Haynes International, Inc. 38,218 ------------- MULTI-UTILITIES -- 0.5% 430 CH Energy Group, Inc. 24,458 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 1,459 Approach Resources, Inc. (b) 51,255 1,464 GeoResources, Inc. (b) 44,813 1,166 Gulfport Energy Corp. (b) 38,326 ------------- 134,394 ------------- PAPER & FOREST PRODUCTS -- 1.8% 1,284 Buckeye Technologies, Inc. 43,052 704 Clearwater Paper Corp. (b) 25,710 258 Schweitzer-Mauduit International, Inc. 17,939 ------------- 86,701 ------------- PHARMACEUTICALS -- 4.2% 1,104 Hi-Tech Pharmacal Co., Inc. (b) 43,034 1,842 Medicines (The) Co. (b) 37,061 1,032 Questcor Pharmaceuticals, Inc. (b) 36,564 897 Salix Pharmaceuticals Ltd. (b) 43,235 1,567 ViroPharma, Inc. (b) 46,681 ------------- 206,575 ------------- PROFESSIONAL SERVICES -- 0.4% 373 Exponent, Inc. (b) 18,221 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.0% 401 Colonial Properties Trust 8,573 1,035 Extra Space Storage, Inc. 27,241 451 Kilroy Realty Corp. 18,775 556 LTC Properties, Inc. 17,764 190 Post Properties, Inc. 8,491 196 Sovran Self Storage, Inc. 9,118 285 Tanger Factory Outlet Centers, Inc. 8,408 ------------- 98,370 ------------- ROAD & RAIL -- 0.9% 1,059 Old Dominion Freight Line, Inc. (b) 45,135 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 531 Cabot Microelectronics Corp. (b) 26,773 1,135 CEVA, Inc. (b) 30,656 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 527 Cirrus Logic, Inc. (b) $ 10,767 504 Cymer, Inc. (b) 25,094 1,856 Kulicke & Soffa Industries, Inc. (b) 20,063 666 Standard Microsystems Corp. (b) 17,156 1,021 Ultratech, Inc. (b) 29,864 326 Volterra Semiconductor Corp. (b) 9,836 ------------- 170,209 ------------- SOFTWARE -- 6.2% 620 Blackbaud, Inc. 18,867 361 Bottomline Technologies, Inc. (b) 9,870 587 CommVault Systems, Inc. (b) 27,589 1,554 Ebix, Inc. 38,508 1,060 JDA Software Group, Inc. (b) 31,238 619 Manhattan Associates, Inc. (b) 27,168 2,203 Monotype Imaging Holdings, Inc. (b) 34,389 228 OPNET Technologies, Inc. 8,083 774 Sourcefire, Inc. (b) 24,009 830 Synchronoss Technologies, Inc. (b) 27,738 1,109 Taleo Corp., Class A (b) 39,935 570 Tyler Technologies, Inc. (b) 20,024 ------------- 307,418 ------------- SPECIALTY RETAIL -- 5.8% 205 Buckle (The), Inc. 8,944 472 Children's Place Retail Stores (The), Inc. (b) 23,548 695 Genesco, Inc. (b) 42,444 760 Hibbett Sports, Inc. (b) 36,427 352 JoS. A. Bank Clothiers, Inc. (b) 16,808 2,582 Kirkland's, Inc. (b) 38,653 1,999 Midas, Inc. (b) 16,991 214 Monro Muffler Brake, Inc. 8,975 1,979 Select Comfort Corp. (b) 49,633 210 Vitamin Shoppe, Inc. (b) 8,975 1,237 Zumiez, Inc. (b) 35,329 ------------- 286,727 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 4.5% 1,078 Carter's, Inc. (b) 45,190 4,973 Liz Claiborne, Inc. (b) 46,249 951 Oxford Industries, Inc. 48,434 727 Steven Madden, Ltd. (b) 29,909 1,241 True Religion Apparel, Inc. (b) 44,974 235 Wolverine World Wide, Inc. 9,186 ------------- 223,942 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 976 Applied Industrial Technologies, Inc. 37,654 ------------- WATER UTILITIES -- 0.2% 238 American States Water Co. 8,608 ------------- See Notes to Financial Statements Page 87 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) DESCRIPTION VALUE ----------------------------------------------------------- TOTAL INVESTMENTS -- 99.0% $ 4,884,781 (Cost $4,367,880) (c) NET OTHER ASSETS AND LIABILITIES -- 1.0% 48,240 ------------- NET ASSETS -- 100.0% $ 4,933,021 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $558,594 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $41,693. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $4,884,781 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout. Page 88 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.7% 544 Honeywell International, Inc. $ 31,574 ------------- AUTOMOBILES -- 3.7% 7,292 General Motors Co. (b) 175,154 ------------- CAPITAL MARKETS -- 3.1% 327 Goldman Sachs Group (The), Inc. 36,451 5,862 Morgan Stanley 109,326 ------------- 145,777 ------------- CHEMICALS -- 1.5% 2,056 Dow Chemical (The) Co. 68,897 ------------- COMMERCIAL BANKS -- 0.6% 513 PNC Financial Services Group, Inc. 30,226 ------------- COMPUTERS & PERIPHERALS -- 4.9% 219 Apple, Inc. (b) 99,969 4,590 Hewlett-Packard Co. 128,428 ------------- 228,397 ------------- DIVERSIFIED FINANCIAL SERVICES -- 4.3% 3,371 Citigroup, Inc. 103,557 2,667 JPMorgan Chase & Co. 99,479 ------------- 203,036 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 1,955 AT&T, Inc. 57,497 ------------- ELECTRIC UTILITIES -- 0.6% 1,344 Duke Energy Corp. 28,641 ------------- ENERGY EQUIPMENT & SERVICES -- 2.7% 3,426 Halliburton Co. 126,008 ------------- FOOD & STAPLES RETAILING -- 9.6% 710 Costco Wholesale Corp. 58,412 3,625 CVS Caremark Corp. 151,344 3,577 Walgreen Co. 119,329 1,979 Wal-Mart Stores, Inc. 121,431 ------------- 450,516 ------------- FOOD PRODUCTS -- 1.9% 2,374 Kraft Foods, Inc., Class A 90,924 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 1,546 Medtronic, Inc. 59,629 ------------- HEALTH CARE PROVIDERS & SERVICES -- 1.3% 1,167 UnitedHealth Group, Inc. 60,439 ------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 3.9% 589 McDonald's Corp. $ 58,341 2,570 Starbucks Corp. 123,180 ------------- 181,521 ------------- INSURANCE -- 2.1% 1,274 American International Group, Inc. (b) 31,990 1,896 MetLife, Inc. 66,986 ------------- 98,976 ------------- INTERNET SOFTWARE & SERVICES -- 2.3% 183 Google, Inc., Class A (b) 106,160 ------------- IT SERVICES -- 4.9% 317 MasterCard, Inc., Class A 112,716 1,165 Visa, Inc., Class A 117,245 ------------- 229,961 ------------- MACHINERY -- 3.0% 979 Caterpillar, Inc. 106,829 382 Deere & Co. 32,909 ------------- 139,738 ------------- MEDIA -- 2.0% 1,247 Comcast Corp., Class A 33,158 1,636 Time Warner, Inc. 60,630 ------------- 93,788 ------------- METALS & MINING -- 5.3% 4,018 Freeport-McMoRan Copper & Gold, Inc. 185,672 985 Newmont Mining Corp. 60,558 ------------- 246,230 ------------- MULTILINE RETAIL -- 0.6% 577 Target Corp. 29,317 ------------- OIL, GAS & CONSUMABLE FUELS -- 15.3% 1,632 Apache Corp. 161,372 1,389 Chevron Corp. 143,178 2,028 ConocoPhillips 138,330 1,744 Exxon Mobil Corp. 146,042 1,262 Occidental Petroleum Corp. 125,910 ------------- 714,832 ------------- PHARMACEUTICALS -- 4.2% 1,678 Bristol-Myers Squibb Co. 54,099 2,845 Eli Lilly & Co. 113,060 1,366 Pfizer, Inc. 29,232 ------------- 196,391 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 229 Simon Property Group, Inc. 31,112 ------------- See Notes to Financial Statements Page 89 FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JANUARY 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 2.0% 837 Union Pacific Corp. $ 95,677 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.6% 6,095 Intel Corp. 161,030 3,047 Texas Instruments, Inc. 98,662 ------------- 259,692 ------------- SOFTWARE -- 2.2% 3,416 Microsoft Corp. 100,874 ------------- SPECIALTY RETAIL -- 5.3% 3,516 Home Depot (The), Inc. 156,075 3,494 Lowe's Cos., Inc. 93,744 ------------- 249,819 ------------- TOBACCO -- 3.0% 1,883 Philip Morris International, Inc. 140,792 ------------- TOTAL INVESTMENTS -- 99.8% 4,671,595 (Cost $4,392,495) (c) NET OTHER ASSETS AND LIABILITIES -- 0.2% 7,835 ------------- NET ASSETS -- 100.0% $ 4,679,430 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $310,121 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $31,021. ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2012 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* $4,671,595 $ -- $ -- ===================================== * See Portfolio of Investments for industry breakout Page 90 See Notes to Financial Statements This page is intentionally left blank. Page 91 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ASSETS: Investments at value................................................ $ 295,482,254 $ 264,761,673 $ 140,187,824 Cash................................................................ -- -- 3 Receivables: Capital shares sold........................................... 5,680,862 -- 1,618,536 Dividends..................................................... 220,712 89,601 36,897 Interest...................................................... 1 1 1 Prepaid expenses.................................................... 6,060 5,225 3,014 -------------- -------------- -------------- TOTAL ASSETS............................................... 301,389,889 264,856,500 141,846,275 -------------- -------------- -------------- LIABILITIES: Due to custodian.................................................... 99,750 -- -- Payables: Investment securities purchased............................... 5,682,175 -- 1,996,232 Investment advisory fees...................................... 117,467 109,240 53,611 Licensing fees................................................ 28,344 25,672 14,436 Audit and tax fees............................................ 15,169 15,169 15,169 Printing fees................................................. 11,624 7,383 4,825 Other liabilities................................................... 30,466 29,855 17,621 -------------- -------------- -------------- TOTAL LIABILITIES.......................................... 5,984,995 187,319 2,101,894 -------------- -------------- -------------- NET ASSETS.......................................................... $ 295,404,894 $ 264,669,181 $ 139,744,381 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 307,932,801 $ 287,959,929 $ 142,674,074 Par value........................................................... 104,000 76,500 43,500 Accumulated net investment income (loss)............................ 63,932 19,569 32,354 Accumulated net realized gain (loss) on investments................. (24,270,514) (33,831,143) (13,550,262) Net unrealized appreciation (depreciation) on investments........... 11,574,675 10,444,326 10,544,715 -------------- -------------- -------------- NET ASSETS.......................................................... $ 295,404,894 $ 264,669,181 $ 139,744,381 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 28.40 $ 34.60 $ 32.13 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 10,400,002 7,650,002 4,350,002 ============== ============== ============== Investments at cost................................................. $ 283,907,579 $ 254,317,347 $ 129,643,109 ============== ============== ==============
Page 92 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ---------------- ---------------- $ 202,244,242 $ 125,955,415 $ 42,468,123 $ 26,382,230 $ 7,965,218 -- -- -- -- -- -- -- -- -- -- 173,642 79,325 25,544 11,754 2,570 -- 1 1 1 -- 4,277 3,147 7,232 7,206 -- -------------- -------------- -------------- -------------- -------------- 202,422,161 126,037,888 42,500,900 26,401,191 7,967,788 -------------- -------------- -------------- -------------- -------------- 59,581 49,585 -- -- 852 -- -- -- 34,256 -- 81,664 50,083 11,503 5,658 4,618 20,542 14,525 13,803 10,863 -- 15,169 15,169 15,169 15,169 -- 7,667 5,950 1,204 605 -- 22,475 16,337 8,881 8,583 -- -------------- -------------- -------------- -------------- -------------- 207,098 151,649 50,560 75,134 5,470 -------------- -------------- -------------- -------------- -------------- $ 202,215,063 $ 125,886,239 $ 42,450,340 $ 26,326,057 $ 7,962,318 ============== ============== ============== ============== ============== $ 212,897,116 $ 144,460,386 $ 45,688,287 $ 32,411,084 $ 7,748,482 72,500 44,500 14,000 8,500 4,000 68,058 71,840 6,378 16,929 (251) (13,136,694) (29,778,869) (4,955,938) (8,427,632) (145,483) 2,314,083 11,088,382 1,697,613 2,317,176 355,570 -------------- -------------- -------------- -------------- -------------- $ 202,215,063 $ 125,886,239 $ 42,450,340 $ 26,326,057 $ 7,962,318 ============== ============== ============== ============== ============== $ 27.89 $ 28.29 $ 30.32 $ 30.97 $ 19.91 ============== ============== ============== ============== ============== 7,250,002 4,450,002 1,400,002 850,002 400,002 ============== ============== ============== ============== ============== $ 199,930,159 $ 114,867,033 $ 40,770,510 $ 24,065,054 $ 7,609,648 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 93 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at value............................... $ 12,842,014 $ 2,128,668 $ 4,884,781 $ 4,671,595 Cash............................................... 13,066 -- 86,068 3,864 Receivables: Capital shares sold.......................... -- -- -- -- Dividends.................................... 4,502 827 663 6,743 Interest..................................... -- -- -- -- Prepaid expenses................................... -- -- -- -- -------------- -------------- -------------- -------------- TOTAL ASSETS.............................. 12,859,582 2,129,495 4,971,512 4,682,202 -------------- -------------- -------------- -------------- LIABILITIES: Due to custodian................................... -- 1,131 -- -- Payables: Investment securities purchased.............. -- -- 35,615 -- Investment advisory fees..................... 5,944 1,215 2,876 2,772 Licensing fees............................... -- -- -- -- Audit and tax fees........................... -- -- -- -- Printing fees................................ -- -- -- -- Other liabilities.................................. -- -- -- -- -------------- -------------- -------------- -------------- TOTAL LIABILITIES......................... 5,944 2,346 38,491 2,772 -------------- -------------- -------------- -------------- NET ASSETS......................................... $ 12,853,638 $ 2,127,149 $ 4.933,021 $ 4,679,430 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital.................................... $ 13,291,159 $ 1,980,483 $ 5,333,563 $ 4,881,587 Par value.......................................... 6,500 1,000 2,500 2,500 Accumulated net investment income (loss)........... 808 75 2,185 5,050 Accumulated net realized gain (loss) on investments..................................... (1,209,170) 131,943 (922,128) (488,807) Net unrealized appreciation (depreciation) on investments..................................... 764,341 13,648 516,901 279,100 -------------- -------------- -------------- -------------- NET ASSETS......................................... $ 12,853,638 $ 2,127,149 $ 4,933,021 $ 4,679,430 ============== ============== ============== ============== NET ASSET VALUE, per share......................... $ 19.77 $ 21.27 $ 19.73 $ 18.72 ============== ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)................................ 650,002 100,002 250,002 250,002 ============== ============== ============== ============== Investments at cost................................ $ 12,077,673 $ 2,115,020 $ 4,367,880 $ 4,392,495 ============== ============== ============== ==============
Page 94 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP MID CAP SMALL CAP CORE CORE CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 2,599,334 $ 1,672,712 $ 629,069 Interest............................................................ 39 15 8 -------------- -------------- -------------- Total investment income....................................... 2,599,373 1,672,727 629,077 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 630,710 595,827 286,688 Accounting and administration fees.................................. 67,291 61,334 30,229 Licensing fees...................................................... 47,118 44,861 24,192 Legal fees.......................................................... 34,590 32,410 14,617 Custodian fees...................................................... 15,768 14,896 7,167 Printing fees....................................................... 14,514 13,828 6,656 Audit and tax fees.................................................. 12,269 12,269 12,269 Transfer agent fees................................................. 6,307 5,958 2,867 Registration and filing fees........................................ 5,338 6,403 2,011 Listing fees........................................................ 4,217 4,217 4,217 Trustees' fees and expenses......................................... 1,977 1,836 833 Expenses previously waived or reimbursed............................ 34,836 32,785 5,346 Other expenses...................................................... 8,058 7,534 4,271 -------------- -------------- -------------- Total expenses................................................ 882,993 834,158 401,363 Less fees waived and expenses reimbursed by the investment advisor......................................... -- -- -- -------------- -------------- -------------- Net expenses.................................................. 882,993 834,158 401,363 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,716,380 838,569 227,714 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (15,080,721) (22,376,398) (6,156,838) In-kind redemptions........................................... 1,999,480 (1,487,245) 595,515 -------------- -------------- -------------- Net realized gain (loss)............................................ (13,081,241) (23,863,643) (5,561,323) Net change in unrealized appreciation (depreciation) on investments. 11,424,554 13,640,957 10,398,635 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (1,656,687) (10,222,686) 4,837,312 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 59,693 $ (9,384,117) $ 5,065,026 ============== ============== ==============
See Notes to Financial Statements Page 95 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) JANUARY 31, 2012 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP LARGE CAP MULTI CAP VALUE GROWTH VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 2,067,436 $ 1,042,360 $ 388,467 Interest............................................................ 9 8 3 -------------- -------------- -------------- Total investment income....................................... 2,067,445 1,042,368 388,470 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 439,823 306,720 97,270 Accounting and administration fees.................................. 45,448 31,575 12,033 Licensing fees...................................................... 34,576 25,768 19,454 Legal fees.......................................................... 24,105 16,341 4,779 Custodian fees...................................................... 10,996 7,668 2,432 Printing fees....................................................... 10,088 7,360 2,424 Audit and tax fees.................................................. 12,269 12,269 12,269 Transfer agent fees................................................. 4,398 3,067 973 Registration and filing fees........................................ 3,130 2,314 394 Listing fees........................................................ 4,217 4,217 4,217 Trustees' fees and expenses......................................... 1,406 932 279 Expenses previously waived or reimbursed............................ 19,401 6,571 -- Other expenses...................................................... 5,895 4,606 1,398 -------------- -------------- -------------- Total expenses................................................ 615,752 429,408 157,922 Less fees waived and expenses reimbursed by the investment advisor......................................... -- -- (21,744) -------------- -------------- -------------- Net expenses.................................................. 615,752 429,408 136,178 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,451,693 612,960 252,292 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (2,943,222) (12,364,118) (2,918,449) In-kind redemptions........................................... 234,982 1,646,606 1,704,490 -------------- -------------- -------------- Net realized gain (loss)............................................ (2,708,240) (10,717,512) (1,213,959) Net change in unrealized appreciation (depreciation) on investments. 8,351,412 4,842,361 2,775,376 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 5,643,172 (5,875,151) 1,561,417 -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 7,094,865 $ (5,262,191) $ 1,813,709 ============== ============== ==============
Page 96 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 184,197 $ 44,351 $ 23,527 $ 16,932 $ 18,633 $ 36,804 4 -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 184,201 44,351 23,527 16,932 18,633 36,804 -------------- -------------- -------------- -------------- -------------- -------------- 75,462 16,644 21,119 8,332 16,223 12,922 9,696 -- -- -- -- -- 15,092 -- -- -- -- -- 3,883 -- -- -- -- -- 1,887 -- -- -- -- -- 2,307 -- -- -- -- -- 12,269 -- -- -- -- -- 755 -- -- -- -- -- 736 -- -- -- -- -- 4,217 -- -- -- -- -- 272 -- -- -- -- -- -- -- -- -- -- -- 969 -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 127,545 16,644 21,119 8,332 16,223 12,922 (21,898) -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 105,647 16,644 21,119 8,332 16,223 12,922 -------------- -------------- -------------- -------------- -------------- -------------- 78,554 27,707 2,408 8,600 2,410 23,882 -------------- -------------- -------------- -------------- -------------- -------------- (4,184,660) (130,940) (626,006) (96,756) (819,536) (225,005) 1,094,007 -- (532,551) 247,040 (32,354) (224,240) -------------- -------------- -------------- -------------- -------------- -------------- (3,090,653) (130,940) (1,158,557) 150,284 (851,890) (449,245) 1,284,924 516,123 1,132,836 144,189 692,755 452,839 -------------- -------------- -------------- -------------- -------------- -------------- (1,805,729) 385,183 (25,721) 294,473 (159,135) 3,594 -------------- -------------- -------------- -------------- -------------- -------------- $ (1,727,175) $ 412,890 $ (23,313) $ 303,073 $ (156,725) $ 27,476 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 97 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------ ------------------------------------ For the Six For the Six Months Ended For the Year Months Ended For the Year January 31, 2012 Ended January 31, 2012 Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 1,716,380 $ 1,754,987 $ 838,569 $ 760,493 Net realized gain (loss).............................. (13,081,241) 14,094,972 (23,863,643) 20,837,782 Net change in unrealized appreciation (depreciation).. 11,424,554 (841,369) 13,640,957 (4,250,084) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations.................................... 59,693 15,008,590 (9,384,117) 17,348,191 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (1,754,025) (1,696,550) (819,000) (829,065) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 77,098,351 319,894,079 76,745,320 373,773,117 Cost of shares redeemed............................... (53,860,518) (117,559,030) (121,364,513) (127,719,332) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 23,237,833 202,335,049 (44,619,193) 246,053,785 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets............... 21,543,501 215,647,089 (54,822,310) 262,572,911 NET ASSETS: Beginning of period................................... 273,861,393 58,214,304 319,491,491 56,918,580 ------------- ------------- ------------- ------------- End of period......................................... $ 295,404,894 $ 273,861,393 $ 264,669,181 $ 319,491,491 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period................................... $ 63,932 $ 101,577 $ 19,569 $ -- ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 9,650,002 2,450,002 9,350,002 2,100,002 Shares sold........................................... 2,850,000 11,300,000 2,350,000 10,950,000 Shares redeemed....................................... (2,100,000) (4,100,000) (4,050,000) (3,700,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period..................... 10,400,002 9,650,002 7,650,002 9,350,002 ============= ============= ============= =============
Page 98 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Six For the Six For the Six For the Six Months Ended Months Ended Months Ended Months Ended January 31, For the January 31, For the January 31, For the January 31, For the 2012 Year Ended 2012 Year Ended 2012 Year Ended 2012 Year Ended (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 227,714 $ 210,389 $ 1,451,693 $ 1,663,077 $ 612,960 $ 559,488 $ 252,292 $ 335,487 (5,561,323) 13,028,619 (2,708,240) 13,674,596 (10,717,512) 6,941,737 (1,213,959) 4,076,680 10,398,635 (902,356) 8,351,412 (6,010,004) 4,842,361 4,069,109 2,775,376 (642,034) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 5,065,026 12,336,652 7,094,865 9,327,669 (5,262,191) 11,570,334 1,813,709 3,770,133 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (195,360) (276,075) (1,562,400) (1,524,286) (541,120) (626,975) (265,440) (335,071) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 32,461,126 142,546,748 25,046,203 218,828,559 12,443,282 164,875,818 12,633,917 40,201,315 (15,116,047) (74,552,757) (6,415,547) (98,538,066) (20,076,200) (75,941,646) (11,201,692) (25,083,144) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 17,345,079 67,993,991 18,630,656 120,290,493 (7,632,918) 88,934,172 1,432,225 15,118,171 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 22,214,745 80,054,568 24,163,121 128,093,876 (13,436,229) 99,877,531 2,980,494 18,553,233 117,529,636 37,475,068 178,051,942 49,958,066 139,322,468 39,444,937 39,469,846 20,916,613 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $139,744,381 $117,529,636 $202,215,063 $178,051,942 $125,886,239 $139,322,468 $ 42,450,340 $ 39,469,846 ============ ============ ============ ============ ============ ============ ============ ============ $ 32,354 $ -- $ 68,058 $ 178,765 $ 71,840 $ -- $ 6,378 $ 19,526 ============ ============ ============ ============ ============ ============ ============ ============ 3,800,002 1,500,002 6,550,002 2,150,002 4,750,002 1,650,002 1,350,002 850,002 1,100,000 4,700,000 950,000 7,950,000 450,000 5,750,000 450,000 1,350,000 (550,000) (2,400,000) (250,000) (3,550,000) (750,000) (2,650,000) (400,000) (850,000) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 4,350,002 3,800,002 7,250,002 6,550,002 4,450,002 4,750,002 1,400,002 1,350,002 ============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 99 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------------ ------------------------------------ For the For the For the Period Six Months Ended For the Year Six Months Ended April 19, 2011 (a) January 31, 2012 Ended January 31, 2012 through (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 78,554 $ 38,541 $ 27,707 $ 4,262 Net realized gain (loss).............................. (3,090,653) 1,972,558 (130,940) 73,892 Net change in unrealized appreciation (depreciation).. 1,284,924 226,026 516,123 (160,553) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations.................................... (1,727,175) 2,237,125 412,890 (82,399) ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (61,625) (59,430) (28,200) (4,020) ------------- ------------- ------------- ------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 3,146,148 46,519,284 5,650,369 3,045,850 Cost of shares redeemed............................... (13,021,096) (18,227,305) -- (1,032,172) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... (9,874,948) 28,291,979 5,650,369 2,013,678 ------------- ------------- ------------- ------------- Total increase (decrease) in net assets............... (11,663,748) 30,469,674 6,035,059 1,927,259 NET ASSETS: Beginning of period................................... 37,989,805 7,520,131 1,927,259 -- ------------- ------------- ------------- ------------- End of period......................................... $ 26,326,057 $ 37,989,805 $ 7,962,318 $ 1,927,259 ============= ============= ============= ============= Accumulated net investment income (loss) at end of period................................... $ 16,929 $ -- $ (251) $ 242 ============= ============= ============= ============= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 1,200,002 300,002 100,002 -- Shares sold........................................... 100,000 1,500,000 300,000 150,002 Shares redeemed....................................... (450,000) (600,000) -- (50,000) ------------- ------------- ------------- ------------- Shares outstanding, end of period..................... 850,002 1,200,002 400,002 100,002 ============= ============= ============= =============
(a) Inception date. Page 100 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Six For the Period For the Six For the Period For the Six For the Period For the Six For the Period Months Ended April 19, Months Ended April 19, Months Ended April 19, Months Ended May 11, January 31, 2011 (a) January 31, 2011 (a) January 31, 2011 (a) January 31, 2011 (a) 2012 through 2012 through 2012 through 2012 through (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 (Unaudited) July 31, 2011 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 2,408 $ (1,585) $ 8,600 $ 3,315 $ 2,410 $ (3,943) $ 23,882 $ 4,318 (1,158,557) 36,780 150,284 105,539 (851,890) 28,163 (449,245) (10,137) 1,132,836 (368,495) 144,189 (130,541) 692,755 (175,854) 452,839 (173,739) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (23,313) (333,300) 303,073 (21,687) (156,725) (151,634) 27,476 (179,558) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ (1,600) -- (8,820) (3,020) (225) -- (21,400) (1,750) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 9,481,532 8,379,715 2,730,648 3,048,791 829,988 7,199,910 6,143,248 4,942,237 (3,579,025) (1,070,371) (2,877,999) (1,043,837) (1,717,414) (1,070,879) (5,247,248) (983,575) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 5,902,507 7,309,344 (147,351) 2,004,954 (887,426) 6,129,031 896,000 3,958,662 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 5,877,594 6,976,044 146,902 1,980,247 (1,044,376) 5,977,397 902,076 3,777,354 6,976,044 -- 1,980,247 -- 5,977,397 -- 3,777,354 -- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 12,853,638 $ 6,976,044 $ 2,127,149 $ 1,980,247 $ 4,933,021 $ 5,977,397 $ 4,679,430 $ 3,777,354 ============ ============ ============ ============ ============ ============ ============ ============ $ 808 $ -- $ 75 $ 295 $ 2,185 $ -- $ 5,050 $ 2,568 ============ ============ ============ ============ ============ ============ ============ ============ 350,002 -- 100,002 -- 300,002 -- 200,002 -- 500,000 400,002 150,000 150,002 50,000 350,002 350,000 250,002 (200,000) (50,000) (150,000) (50,000) (100,000) (50,000) (300,000) (50,000) ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 650,002 350,002 100,002 100,002 250,002 300,002 250,002 200,002 ============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 101 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 28.38 $ 23.76 $ 19.60 $ 24.66 $ 28.68 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.18 0.25 0.20 0.29 0.25 0.04 (b) Net realized and unrealized gain (loss) 0.02 4.63 4.15 (5.06) (4.00) (1.36) -------- -------- -------- -------- -------- -------- Total from investment operations 0.20 4.88 4.35 (4.77) (3.75) (1.32) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.26) (0.19) (0.29) (0.27) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 28.40 $ 28.38 $ 23.76 $ 19.60 $ 24.66 $ 28.68 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 0.73% 20.54% 22.26% (19.18)% (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $295,405 $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% (d) 0.70% 0.90% 1.17% 1.42% 7.86% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.36% (d) 1.04% 1.13% 1.63% 1.16% 0.62% (d) Portfolio turnover rate (e) 51% 81% 91% 114% 90% 1% FIRST TRUST MID CAP CORE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 34.17 $ 27.10 $ 22.00 $ 26.30 $ 28.58 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.12 0.16 0.21 0.14 0.01 (b) Net realized and unrealized gain (loss) 0.43 7.09 5.10 (4.30) (2.28) (1.43) -------- -------- -------- -------- -------- -------- Total from investment operations 0.54 7.21 5.26 (4.09) (2.14) (1.42) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.14) (0.16) (0.21) (0.14) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 34.60 $ 34.17 $ 27.10 $ 22.00 $ 26.30 $ 28.58 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 1.60% 26.60% 23.94% (15.42)% (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $264,669 $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% (d) 0.70% 0.90% 1.28% 1.61% 5.98% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.70% (d) 0.44% 0.73% 1.07% 0.54% 0.19% (d) Portfolio turnover rate (e) 52% 86% 100% 120% 82% 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 102 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 30.93 $ 24.98 $ 20.77 $ 24.79 $ 28.30 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 0.07 0.07 0.10 0.06 0.02 (b) Net realized and unrealized gain (loss) 1.19 5.97 4.21 (4.02) (3.50) (1.72) -------- -------- -------- -------- -------- -------- Total from investment operations 1.24 6.04 4.28 (3.92) (3.44) (1.70) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.09) (0.07) (0.10) (0.07) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 32.13 $ 30.93 $ 24.98 $ 20.77 $ 24.79 $ 28.30 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 4.03% 24.20% 20.63% (15.77)% ( 12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $139,744 $117,530 $ 37,475 $ 8,307 $ 9,916 $ 5,660 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (d) 0.74% 0.97% 1.40% 1.87% 7.25% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.40% (d) 0.24% 0.36% 0.49% 0.25% 0.42% (d) Portfolio turnover rate (e) 51% 90% 97% 105% 95% 2% FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 27.18 $ 23.24 $ 19.10 $ 23.16 $ 28.35 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 0.32 0.34 0.47 0.43 0.06 (b) Net realized and unrealized gain (loss) 0.72 3.93 4.14 (4.06) (5.18) (1.71) -------- -------- -------- -------- -------- -------- Total from investment operations 0.93 4.25 4.48 (3.59) (4.75) (1.65) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.31) (0.34) (0.47) (0.44) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 27.89 $ 27.18 $ 23.24 $ 19.10 $ 23.16 $ 28.35 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 3.48% 18.30% 23.53% (15.23)% (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $202,215 $178,052 $ 49,958 $ 18,141 $ 23,163 $ 5,669 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (d) 0.71% 0.88% 1.07% 1.35% 6.95% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.65% (d) 1.47% 1.73% 2.47% 1.80% 0.97% (d) Portfolio turnover rate (e) 55% 76% 100% 146% 104% 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 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 29.33 $ 23.91 $ 19.94 $ 26.57 $ 29.22 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.17 0.06 0.14 0.15 (0.00) (b) (f) Net realized and unrealized gain (loss) (1.06) 5.43 3.96 (6.63) (2.65) (0.78) -------- -------- -------- -------- -------- -------- Total from investment operations (0.92) 5.60 4.02 (6.49) (2.50) (0.78) -------- -------- -------- -------- -------- -------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.18) (0.05) (0.14) (0.15) -- Return of capital -- -- -- (0.00) (f) -- -- -------- -------- -------- -------- -------- -------- Total distributions (0.12) (0.18) (0.05) (0.14) (0.15) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 28.29 $ 29.33 $ 23.91 $ 19.94 $ 26.57 $ 29.22 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (3.12)% 23.43% 20.20% (24.38)% (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $125,886 $139,322 $ 39,445 $ 13,960 $ 37,204 $ 5,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (d) 0.72% 0.91% 1.01% 1.17% 5.98% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.00% (d) 0.59% 0.31% 0.54% 0.43% (0.07)% (d) Portfolio turnover rate (e) 82% 146% 168% 152% 134% 1% FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 29.24 $ 24.61 $ 20.20 $ 23.23 $ 27.95 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.18 0.32 0.37 0.29 0.35 0.06 (b) Net realized and unrealized gain (loss) 1.09 4.64 4.39 (3.02) (4.68) (2.11) -------- -------- -------- -------- -------- -------- Total from investment operations 1.27 4.96 4.76 (2.73) (4.33) (2.05) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.19) (0.33) (0.35) (0.30) (0.39) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 30.32 $ 29.24 $ 24.61 $ 20.20 $ 23.23 $ 27.95 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) 4.39% 20.13% 23.65% (11.51)% (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 42,450 $ 39,470 $ 20,917 $ 10,101 $ 4,647 $ 2,795 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.81% (d) 0.87% 0.94% 2.17% 1.70% 7.91% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 1.30% (d) 1.16% 1.45% 1.99% 1.45% 0.93% (d) Portfolio turnover rate (e) 55% 74% 93% 134% 59% 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. (f) Amount represents less than $0.01 per share. Page 104 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 8, ENDED FOR THE FOR THE FOR THE FOR THE 2007 (a) JANUARY 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 2012 JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2011 2010 2009 2008 2007 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 31.66 $ 25.07 $ 20.78 $ 27.63 $ 29.39 $ 30.00 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.08 0.02 0.06 0.05 (0.01) (b) Net realized and unrealized gain (loss) (0.71) 6.62 4.27 (6.84) (1.76) (0.60) -------- -------- -------- -------- -------- -------- Total from investment operations (0.62) 6.70 4.29 (6.78) (1.71) (0.61) -------- -------- -------- -------- -------- -------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.11) -- (0.06) (0.04) -- Return of capital -- -- -- (0.01) (0.01) -- -------- -------- -------- -------- -------- -------- Total distributions (0.07) (0.11) -- (0.07) (0.05) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 30.97 $ 31.66 $ 25.07 $ 20.78 $ 27.63 $ 29.39 ======== ======== ======== ======== ======== ======== TOTAL RETURN (c) (1.94)% 26.74% 20.64% (24.53)% (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 26,326 $ 37,990 $ 7,520 $ 5,196 $ 8,288 $ 8,818 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.85% (d) 0.95% 1.40% 1.56% 1.55% 6.01% (d) Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% 0.70% 0.70% 0.70% (d) Ratio of net investment income (loss) to average net assets 0.52% (d) 0.20% 0.08% 0.29% 0.12% (0.21)% (d) Portfolio turnover rate (e) 80% 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 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS APRIL 19, ENDED 2011 (a) JANUARY 31, THROUGH 2012 JULY 31, (UNAUDITED) 2012 ------------ ------------ Net asset value, beginning of period $ 19.27 $ 20.06 -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.07 0.04 Net realized and unrealized gain (loss) 0.64 (0.79) -------- -------- Total from investment operations 0.71 (0.75) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.04) -------- -------- Net asset value, end of period $ 19.91 $ 19.27 ======== ======== TOTAL RETURN (b) 3.71% (3.75)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,962 $ 1,927 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net investment income (loss) to average net assets 1.17% (c) 0.74% (c) Portfolio turnover rate (d) 76% 14% FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS APRIL 19, ENDED 2011 (a) JANUARY 31, THROUGH 2012 JULY 31, (UNAUDITED) 2012 ------------ ------------ Net asset value, beginning of period $ 19.93 $ 20.17 -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (0.00) (e) Net realized and unrealized gain (loss) (0.17) (0.24) -------- -------- Total from investment operations (0.16) (0.24) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.00) (e) -- -------- -------- Net asset value, end of period $ 19.77 $ 19.93 ======== ======== TOTAL RETURN (b) (0.78)% (1.19)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,854 $ 6,976 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net investment income (loss) to average net assets 0.08% (c) (0.18)% (c) Portfolio turnover rate (d) 75% 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 106 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS APRIL 19, ENDED 2011 (a) JANUARY 31, THROUGH 2012 JULY 31, (UNAUDITED) 2012 ------------ ------------ Net asset value, beginning of period $ 19.80 $ 19.97 -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 0.03 Net realized and unrealized gain (loss) 1.47 (0.17) -------- -------- Total from investment operations 1.51 (0.14) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.03) -------- -------- Net asset value, end of period $ 21.27 $ 19.80 ======== ======== TOTAL RETURN (b) 7.67% (0.70)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,127 $ 1,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net investment income (loss) to average net assets 0.72% (c) 0.57% (c) Portfolio turnover rate (d) 55% 15% FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS APRIL 19, ENDED 2011 (a) JANUARY 31, THROUGH 2012 JULY 31, (UNAUDITED) 2012 ------------ ------------ Net asset value, beginning of period $ 19.92 $ 20.08 -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (0.01) Net realized and unrealized gain (loss) (0.20) (0.15) -------- -------- Total from investment operations (0.19) (0.16) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.00) (e) -- -------- -------- Net asset value, end of period $ 19.73 $ 19.92 ======== ======== TOTAL RETURN (b) (0.95)% (0.80)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,933 $ 5,977 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70%(c) Ratio of net expenses to average net assets 0.70% (c) 0.70%(c) Ratio of net investment income (loss) to average net assets 0.10% (c) (0.36)% (c) Portfolio turnover rate (d) 88% 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. (e) Amount represents less than $0.01 per share. See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MEGA CAP ALPHADEX(R) FUND FOR THE FOR THE PERIOD SIX MONTHS MAY 11, ENDED 2011 (a) JANUARY 31, THROUGH 2012 JULY 31, (UNAUDITED) 2012 ------------ ------------ Net asset value, beginning of period $ 18.89 $ 19.67 -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.03 Net realized and unrealized gain (loss) (0.17) (0.79) -------- -------- Total from investment operations (0.08) (0.76) DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.02) -------- -------- Net asset value, end of period $ 18.72 $ 18.89 ======== ======== TOTAL RETURN (b) (0.43)% (3.88)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,679 $ 3,777 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% (c) Ratio of net investment income (loss) to average net assets 1.29% (c) 0.77% (c) Portfolio turnover rate (d) 77% 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 108 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one funds, considered either a Sector Fund or a Style Fund, each type having a separate report. This report covers the twelve Style Funds listed below: 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") First Trust Large Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAD") 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") Each fund represents a separate series of shares 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 each Fund's fees and expenses) of the following indices: FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index (1) First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index (1) First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index (1) First Trust Large Cap Value AlphaDEX(R) Fund Defined Large Cap Value Index (1) First Trust Large Cap Growth AlphaDEX(R) Fund Defined Large Cap Growth Index (1) First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index (1) First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (1) First Trust Mid Cap Value AlphaDEX(R) Fund Defined Mid Cap Value Index (1) First Trust Mid Cap Growth AlphaDEX(R) Fund Defined Mid Cap Growth Index (1) First Trust Small Cap Value AlphaDEX(R) Fund Defined Small Cap Value Index (1) First Trust Small Cap Growth AlphaDEX(R) Fund Defined Small Cap Growth Index (1) First Trust Mega Cap AlphaDEX(R) Fund Defined Mega Cap Index (1)
(1) 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. ("FTP"). 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. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded Page 109 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 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 - Level 1 inputs are quoted prices in active markets for identical securities. An active market is a market in which transactions for the security occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar securities in active markets. o Quoted prices for identical or similar securities in markets that are non-active. A non-active market is a market where there are few transactions for the security, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the security (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the security. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of January 31, 2012, 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 is not known until the fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. Page 110 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) C. DIVIDENDS AND DISTRIBUTIONS 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. On January 23, 2012, the Board of Trustees approved a change to quarterly dividends for each of the Funds. This change will be effective with the filing of each Fund's annual Form N-1A prospectus update in November 2012. 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 paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- 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 -- --
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 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 January 31, 2012, 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 111 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) At July 31, 2011, for federal income tax purposes, each Fund had 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 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 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 period ended 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. 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 Capital losses incurred after October 31 ("Post-October Losses") within the taxable year can be deemed to arise on the first business day of each Fund's next taxable year. During the taxable year ended July 31, 2011, the following Funds incurred and elected to defer net capital losses as follows: Post-October Losses -------------- 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 -- Page 112 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 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 other than excluded 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 Standard & Poor's for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and tradenames. 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 from the Investment advisory fees it receives from each of these Funds. 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 it 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. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the 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 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 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 AlphaDEX(R) Fund 12/6/2012 First Trust Large Cap Growth 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 Page 113 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 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 six months ended January 31, 2012 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows: Expenses Borne by Advisor Subject to Recovery --------------------------------------------------------------- Period Year Year Period Advisory Expense Ended Ended Ended Ended Fee Reim- July 31, July 31, July 31, January 31, Waivers bursements 2009 2010 2011 2012 Total ----------- ----------- ----------- ----------- ----------- ----------- ----------- First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ -- $ 20,177 $ 73,433 $ -- $ -- $ 93,610 First Trust Mid Cap Core AlphaDEX(R) Fund -- -- 21,683 73,604 -- -- 95,287 First Trust Small Cap Core AlphaDEX(R) Fund -- -- 15,223 66,001 31,316 -- 112,540 First Trust Large Cap Value AlphaDEX(R) Fund -- -- 36,870 64,402 15,536 -- 116,808 First Trust Large Cap Growth AlphaDEX(R) Fund -- -- 18,186 52,810 22,615 -- 93,611 First Trust Multi Cap Value AlphaDEX(R) Fund 21,744 -- 44,094 41,081 48,799 21,744 155,718 First Trust Multi Cap Growth AlphaDEX(R) Fund 21,898 -- 22,298 49,427 48,197 21,898 141,820
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service 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. Effective January 23, 2012, James A. Bowen resigned from his position as the President and Chief Executive Officer of the Trust. He will continue as a Trustee, the Chairman of the Board of Trustees and a member of the Executive Committee. The Board elected Mark R. Bradley to serve as the President and Chief Executive Officer of the Funds and James M. Dykas to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Funds. Effective January 1, 2012, each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer of $125,000 per year and an annual per fund fee of $4,000 for each closed-end fund or other actively managed fund and $1,000 for each index fund in the First Trust Fund Complex. The fixed annual retainer is allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, each Independent Trustee received an annual retainer of $10,000 per trust for the first 14 trust of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each additional trust in the First Trust Complex. The annual retainer was allocated equally among each of the Trusts. Additionally, the Lead Independent Trustee is paid $15,000 annually, the Chairman of the Audit Committee is paid $10,000 annually, and each of the Chairmen of the Nominating and Governance Committee and the Valuation Committee is paid $5,000 annually to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, the annual amounts paid were $10,000, $5,000 and $2,500, respectively. Trustees are reimbursed 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 funds for acting in such capacities. Page 114 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2012, 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 Large Cap Core AlphaDEX(R) Fund $134,127,819 $133,499,653 First Trust Mid Cap Core AlphaDEX(R) Fund 130,353,602 132,540,701 First Trust Small Cap Core AlphaDEX(R) Fund 60,302,489 60,598,607 First Trust Large Cap Value AlphaDEX(R) Fund 98,105,576 97,927,106 First Trust Large Cap Growth AlphaDEX(R) Fund 101,958,931 101,891,970 First Trust Multi Cap Value AlphaDEX(R) Fund 21,863,865 21,848,337 First Trust Multi Cap Growth AlphaDEX(R) Fund 24,509,006 24,543,988 First Trust Mid Cap Value AlphaDEX(R) Fund 3,547,604 3,539,025 First Trust Mid Cap Growth AlphaDEX(R) Fund 5,034,817 5,011,829 First Trust Small Cap Value AlphaDEX(R) Fund 1,225,806 1,187,449 First Trust Small Cap Growth AlphaDEX(R) Fund 4,247,550 4,602,029 First Trust Mega Cap AlphaDEX(R) Fund 2,932,346 2,936,872
For the six months ended January 31, 2012, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales -------------- -------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 76,843,913 $ 52,708,199 First Trust Mid Cap Core AlphaDEX(R) Fund 76,699,383 119,000,170 First Trust Small Cap Core AlphaDEX(R) Fund 32,437,483 15,100,719 First Trust Large Cap Value AlphaDEX(R) Fund 25,032,812 6,406,918 First Trust Large Cap Growth AlphaDEX(R) Fund 12,434,204 20,052,396 First Trust Multi Cap Value AlphaDEX(R) Fund 12,617,416 11,200,220 First Trust Multi Cap Growth AlphaDEX(R) Fund 3,145,639 13,018,204 First Trust Mid Cap Value AlphaDEX(R) Fund 5,645,157 -- First Trust Mid Cap Growth AlphaDEX(R) Fund 9,451,948 3,575,500 First Trust Small Cap Value AlphaDEX(R) Fund 2,689,506 2,871,128 First Trust Small Cap Growth AlphaDEX(R) Fund 829,356 1,401,557 First Trust Mega Cap AlphaDEX(R) Fund 6,135,509 5,237,731
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. Page 115 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) 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. 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 November 28, 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 the following subsequent events: On March 11 and 12, 2012, the Board of Trustees of the Trust approved the continuation of the Investment Management Agreements between the Funds and First Trust, the Expense Reimbursement Agreement between the non-Unitary Fee Funds and First Trust, the Distribution Agreement between the Funds and FTP, and the Funds' Rule 12b-1 Distribution and Service Plan, each for an additional year. Furthermore, First Trust and the Trust have agreed to extend the Expense Reimbursement Agreement until November 30, 2013 and FTP has agreed not to charge any 12b-1 fees until at least November 30, 2013. Effective March 12, 2012, the Funds may lend securities representing up to 20% of the value of its total assets to broker-dealers, banks and other institutions to generate additional income. When a fund loans its portfolio securities, it will receive, at the inception of each loan, cash collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Fund. Under the Funds' securities lending agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet its obligations to the borrower. Page 116 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (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. Page 117 -------------------------------------------------------------------------------- RISK CONSIDERATIONS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2012 (UNAUDITED) RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund. Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track. Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds. Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence. Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets. Page 118 -------------------------------------------------------------------------------- RISK CONSIDERATIONS (CONTINUED) -------------------------------------------------------------------------------- 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. 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 119 This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Style Funds -------------------------------------------------------------------------------- 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 -------------------------------------------------------------------------------- [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not Applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not Applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ------------------------------------------------ By (Signature and Title) /s/ Mark R. Bradley -------------------------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: March 26, 2012 ------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Mark R. Bradley -------------------------------------------------------- Mark R. Bradley, President and Chief Executive Officer Date: March 26, 2012 ------------------ By (Signature and Title) /s/ James M. Dykas -------------------------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer Date: March 26, 2012 ------------------