0001445546-12-005659.txt : 20121228 0001445546-12-005659.hdr.sgml : 20121228 20121228164538 ACCESSION NUMBER: 0001445546-12-005659 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20121031 FILED AS OF DATE: 20121228 DATE AS OF CHANGE: 20121228 EFFECTIVENESS DATE: 20121228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 121291410 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financials AlphaDEX Fund C000048899 First Trust Financials AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU 0001383496 S000031804 First Trust Mid Cap Growth AlphaDEX Fund C000099059 First Trust Mid Cap Growth AlphaDEX Fund FNY 0001383496 S000031805 First Trust Mid Cap Value AlphaDEX Fund C000099060 First Trust Mid Cap Value AlphaDEX Fund FNK 0001383496 S000031806 First Trust Small Cap Growth AlphaDEX Fund C000099061 First Trust Small Cap Growth AlphaDEX Fund FYC 0001383496 S000031807 First Trust Small Cap Value AlphaDEX Fund C000099062 First Trust Small Cap Value AlphaDEX Fund FYT 0001383496 S000032963 First Trust Mega Cap AlphaDEX Fund C000101702 First Trust Mega Cap AlphaDEX Fund FMK N-Q 1 adex_nq.txt QUARTERLY PORTFOLIO OF INVESTMENTS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22019 --------------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 --------------- Date of fiscal year end: July 31 ---------------- Date of reporting period: October 31, 2012 ------------------ Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 5.3% 17,658 BorgWarner, Inc. (a) $ 1,162,249 300,332 Goodyear Tire & Rubber (The) Co. (a) 3,426,788 133,615 Johnson Controls, Inc. 3,440,586 168,192 Lear Corp. 7,164,979 145,413 TRW Automotive Holdings Corp. (a) 6,763,159 54,896 Visteon Corp. (a) 2,420,914 ------------- 24,378,675 ------------- AUTOMOBILES -- 4.2% 644,622 Ford Motor Co. 7,193,982 214,567 General Motors Co. (a) 5,471,458 174,999 Thor Industries, Inc. 6,655,212 ------------- 19,320,652 ------------- BUILDING PRODUCTS -- 1.4% 235,319 Fortune Brands Home & Security, Inc. (a) 6,692,472 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 61,821 KAR Auction Services, Inc. (a) 1,236,420 ------------- DISTRIBUTORS -- 1.8% 19,996 Genuine Parts Co. 1,251,350 344,031 LKQ Corp. (a) 7,186,807 ------------- 8,438,157 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.1% 279,261 DeVry, Inc. 7,333,394 70,418 H&R Block, Inc. 1,246,398 90,665 Service Corp. International 1,272,937 ------------- 9,852,729 ------------- FOOD & STAPLES RETAILING -- 1.9% 36,552 Costco Wholesale Corp. 3,597,813 66,144 Wal-Mart Stores, Inc. 4,962,123 ------------- 8,559,936 ------------- HOTELS, RESTAURANTS & LEISURE -- 8.5% 74,125 Bally Technologies, Inc. (a) 3,700,320 138,283 Brinker International, Inc. 4,259,116 66,997 Carnival Corp. 2,537,846 65,669 Darden Restaurants, Inc. 3,455,503 93,228 International Game Technology 1,197,048 31,211 Marriott International, Inc. 1,138,577 28,564 Panera Bread Co., Class A (a) 4,817,033 113,205 Penn National Gaming, Inc. (a) 4,576,878 161,582 Royal Caribbean Cruises Ltd. 5,440,466 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 63,165 Starwood Hotels & Resorts Worldwide, Inc. $ 3,275,105 269,690 Wendy's (The) Co. 1,151,576 46,507 Wyndham Worldwide Corp. 2,343,953 18,395 Yum! Brands, Inc. 1,289,674 ------------- 39,183,095 ------------- HOUSEHOLD DURABLES -- 6.7% 308,168 D.R. Horton, Inc. 6,459,201 58,474 Garmin Ltd. (b) 2,221,427 105,749 Harman International Industries, Inc. 4,434,055 120,287 Jarden Corp. 5,990,293 35,098 Lennar Corp., Class A (b) 1,315,122 15,251 Mohawk Industries, Inc. (a) 1,273,001 2,890 NVR, Inc. (a) 2,611,809 40,828 Tempur-Pedic International, Inc. (a) 1,079,492 58,876 Whirlpool Corp. 5,751,008 ------------- 31,135,408 ------------- INTERNET & CATALOG RETAIL -- 1.8% 14,395 Amazon.com, Inc. (a) 3,351,444 42,197 Expedia, Inc. 2,495,953 131,929 Liberty Interactive Corp., Class A (a) 2,638,580 ------------- 8,485,977 ------------- INTERNET SOFTWARE & SERVICES -- 1.1% 100,918 eBay, Inc. (a) 4,873,330 ------------- LEISURE EQUIPMENT & PRODUCTS -- 2.2% 31,976 Hasbro, Inc. (b) 1,150,816 68,810 Mattel, Inc. 2,530,832 78,595 Polaris Industries, Inc. 6,641,278 ------------- 10,322,926 ------------- MACHINERY -- 1.7% 67,920 Snap-on, Inc. 5,252,254 42,322 WABCO Holdings, Inc. (a) 2,478,799 ------------- 7,731,053 ------------- MEDIA -- 20.3% 56,082 AMC Networks, Inc., Class A (a) 2,620,151 153,987 Cablevision Systems Corp., Class A 2,682,453 100,772 CBS Corp., Class B 3,265,013 48,775 Charter Communications, Inc., Class A (a) 3,775,673 See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 54,407 Cinemark Holdings, Inc. $ 1,343,309 177,815 Comcast Corp., Class A 6,669,841 69,814 DIRECTV (a) 3,568,193 61,427 Discovery Communications, Inc., Class A (a) 3,625,421 39,868 DISH Network Corp., Class A 1,420,497 63,461 DreamWorks Animation SKG, Inc., Class A (a) (b) 1,292,701 206,256 Gannett Co., Inc. 3,485,726 219,487 Interpublic Group of Cos. (The), Inc. 2,216,819 53,117 John Wiley & Sons, Inc., Class A 2,304,215 98,804 Lamar Advertising Co., Class A (a) 3,878,057 80,352 Liberty Global, Inc., Class A (a) 4,823,531 46,900 Liberty Media Corp. - Liberty Capital, Class A (a) 5,237,323 121,217 Madison Square Garden (The) Co., Class A (a) 4,989,292 44,710 McGraw-Hill (The) Cos., Inc. 2,471,569 149,400 News Corp., Class A 3,573,648 47,337 Omnicom Group, Inc. 2,267,916 86,734 Regal Entertainment Group, Class A (b) 1,332,234 59,792 Scripps Networks Interactive, Class A 3,630,570 1,884,706 Sirius XM Radio, Inc. (a) 5,277,177 51,350 Time Warner Cable, Inc. 5,089,298 26,919 Time Warner, Inc. 1,169,631 45,544 Viacom, Inc., Class B 2,335,041 82,960 Virgin Media, Inc. (b) 2,716,110 70,028 Walt Disney (The) Co. 3,436,274 10,085 Washington Post (The) Co., Class B (b) 3,363,448 ------------- 93,861,131 ------------- MULTILINE RETAIL -- 5.9% 87,887 Dillard's, Inc., Class A 6,767,299 47,355 Dollar General Corp. (a) 2,302,400 25,271 Dollar Tree, Inc. (a) 1,007,555 36,813 Family Dollar Stores, Inc. 2,428,185 95,303 Kohl's Corp. 5,077,744 97,316 Macy's, Inc. 3,704,820 44,232 Nordstrom, Inc. 2,511,051 57,681 Target Corp. 3,677,164 ------------- 27,476,218 ------------- PERSONAL PRODUCTS -- 0.5% 39,641 Estee Lauder (The) Cos., Inc., Class A 2,442,679 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- PROFESSIONAL SERVICES -- 0.3% 40,706 Nielsen Holdings N.V. (a) $ 1,177,218 ------------- ROAD & RAIL -- 0.8% 266,645 Hertz Global Holdings, Inc. (a) 3,538,379 ------------- SPECIALTY RETAIL -- 26.1% 228,550 Aaron's, Inc. 7,046,196 71,954 Abercrombie & Fitch Co., Class A 2,200,353 301,517 American Eagle Outfitters, Inc. 6,292,660 170,678 Ascena Retail Group, Inc. (a) 3,379,424 145,546 AutoNation, Inc. (a) (b) 6,462,242 43,122 CarMax, Inc. (a) 1,455,367 350,965 Chico's FAS, Inc. 6,527,949 94,144 Dick's Sporting Goods, Inc. 4,707,200 75,368 DSW, Inc., Class A 4,717,283 179,042 Foot Locker, Inc. 5,997,907 302,665 GameStop Corp., Class A (b) 6,909,842 177,641 Gap (The), Inc. 6,345,336 192,029 Guess?, Inc. 4,758,479 80,858 Home Depot (The), Inc. 4,963,064 49,547 Limited Brands, Inc. 2,372,806 80,711 Lowe's Cos., Inc. 2,613,422 53,074 PetSmart, Inc. 3,523,583 56,681 Ross Stores, Inc. 3,454,707 48,639 Sally Beauty Holdings, Inc. (a) 1,171,227 100,110 Signet Jewelers Ltd. 5,181,694 551,734 Staples, Inc. 6,353,217 19,721 Tiffany & Co. 1,246,762 81,738 TJX (The) Cos., Inc. 3,402,753 64,273 Tractor Supply Co. 6,185,634 25,344 Ulta Salon Cosmetics & Fragrance, Inc. 2,337,224 169,222 Urban Outfitters, Inc. (a) 6,051,379 111,017 Williams-Sonoma, Inc. 5,132,316 ------------- 120,790,026 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 7.0% 90,665 Carter's, Inc. (a) 4,901,350 173,471 Deckers Outdoor Corp. (a) (b) 4,966,475 114,838 Hanesbrands, Inc. (a) 3,843,628 12,858 NIKE, Inc., Class B 1,174,964 52,085 PVH Corp. 5,728,829 8,070 Ralph Lauren Corp. 1,240,278 113,845 Under Armour, Inc., Class A (a) (b) 5,949,540 30,631 VF Corp. 4,793,139 ------------- 32,598,203 ------------- TOTAL COMMON STOCKS -- 99.9% 462,094,684 (Cost $427,293,430) ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.1% 567,873 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (c) $ 567,873 (Cost $567,873) ------------- COLLATERAL FOR SECURITIES ON LOAN -- 5.7% MONEY MARKET FUND -- 1.2% 5,421,299 Goldman Sachs Financial Square Treasury Instruments Fund, 0.001% (c) 5,421,299 (Cost $5,421,299) PRINCIPAL VALUE ----------------- REPURCHASE AGREEMENT -- 4.5% $ 20,831,146 JPMorgan Chase & Co., 0.18% (c), dated 10/31/12, due 11/01/12, with a maturity value of $20,831,250. Collateralized by U.S. Treasury Note, interest rate of 0.375%, due 03/15/15. The value of the collateral including accrued interest is $21,270,185. 20,831,146 (Cost $20,831,146) ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN - 5.7% 26,252,445 (Cost $26,252,445) ------------- TOTAL INVESTMENTS -- 105.7% 488,915,002 (Cost $454,113,748) (d) NET OTHER ASSETS AND LIABILITIES -- (5.7)% (26,566,923) ------------- NET ASSETS -- 100.0% $ 462,348,079 ============= (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note C - Securities Lending in the Notes to Quarterly Portfolio of Investments). The aggregate value of such securities is $25,691,393 and the total value of the collateral held by the Fund is $26,252,445. (c) Interest rate shown reflects yield as of October 31, 2012. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $48,586,667 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,785,413. ----------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------------------------------------------- Common Stocks* $462,094,684 $ -- $ -- Money Market Fund 5,989,172 -- -- Repurchase Agreement -- 20,831,146 -- ----------------------------------------------------- Total Investments $468,083,856 $ 20,831,146 $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 15.7% 161,941 Beam, Inc. $ 8,997,442 108,799 Brown-Forman Corp., Class B 6,969,664 297,976 Coca-Cola Enterprises, Inc. 9,368,366 288,032 Constellation Brands, Inc., Class A (a) 10,179,051 159,434 Dr. Pepper Snapple Group, Inc. 6,831,747 315,173 Molson Coors Brewing Co., Class B 13,596,563 43,881 PepsiCo, Inc. 3,038,320 ------------- 58,981,153 ------------- FOOD & STAPLES RETAILING -- 25.7% 366,550 CVS Caremark Corp. 17,007,920 296,163 Fresh Market (The), Inc. (a) 16,795,404 301,585 Kroger (The) Co. 7,605,974 1,103,065 Safeway, Inc. 17,990,990 297,976 Sysco Corp. 9,258,114 389,645 Walgreen Co. 13,727,194 145,773 Whole Foods Market, Inc. 13,809,076 ------------- 96,194,672 ------------- FOOD PRODUCTS -- 45.1% 522,395 Archer-Daniels-Midland Co. 14,021,082 211,770 Bunge Ltd. 15,042,023 203,888 Campbell Soup Co. 7,191,130 868,430 Dean Foods Co. (a) 14,624,361 153,917 Flowers Foods, Inc. 3,030,626 77,941 General Mills, Inc. 3,123,875 747,605 Green Mountain Coffee Roasters, Inc. (a) 18,062,137 55,510 H. J. Heinz Co. 3,192,380 43,810 Hershey (The) Co. 3,016,318 318,675 Hormel Foods Corp. 9,410,473 321,766 Ingredion, Inc. 19,775,738 35,981 J.M. Smucker (The) Co. 3,081,413 150,197 McCormick & Co., Inc. 9,255,139 335,173 Mondelez International, Inc., Class A 8,895,491 903,233 Smithfield Foods, Inc. (a) 18,489,180 1,107,890 Tyson Foods, Inc., Class A 18,623,631 ------------- 168,834,997 ------------- HOUSEHOLD PRODUCTS -- 7.7% 57,532 Church & Dwight Co., Inc. 2,920,324 66,213 Colgate-Palmolive Co. 6,949,716 124,882 Energizer Holdings, Inc. 9,112,640 82,766 Kimberly-Clark Corp. 6,906,823 44,775 Procter & Gamble (The) Co. 3,100,221 ------------- 28,989,724 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SPECIALTY RETAIL -- 3.8% 364,351 GNC Holdings, Inc., Class A $ 14,089,453 ------------- TOBACCO -- 1.9% 78,930 Philip Morris International, Inc. 6,990,041 ------------- TOTAL COMMON STOCKS -- 99.9% 374,080,040 (Cost $374,045,810) MONEY MARKET FUND -- 0.2% 647,833 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 647,833 (Cost $647,833) ------------- TOTAL INVESTMENTS -- 100.1% 374,727,873 (Cost $374,693,643) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (212,530) ------------- NET ASSETS -- 100.0% $ 374,515,343 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,707,129 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $10,672,899. See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $374,080,040 $ -- $ -- Money Market Fund 647,833 -- -- ----------------------------------------------------- Total Investments $374,727,873 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 34.2% 34,247 Atwood Oceanics, Inc. (a) $ 1,637,007 68,835 Baker Hughes, Inc. 2,889,005 27,764 Cameron International Corp. (a) 1,405,969 39,031 Diamond Offshore Drilling, Inc. 2,702,506 56,502 Dresser-Rand Group, Inc. (a) 2,911,548 16,816 FMC Technologies, Inc. (a) 687,774 76,240 Halliburton Co. 2,461,790 89,922 Helmerich & Payne, Inc. 4,298,272 110,958 Nabors Industries Ltd. (a) 1,496,823 19,431 National Oilwell Varco, Inc. 1,432,065 28,178 Oceaneering International, Inc. 1,474,555 39,185 Oil States International, Inc. (a) 2,864,423 270,616 Patterson-UTI Energy, Inc. 4,378,567 23,051 Rowan Cos. PLC, Class A (a) 730,947 216,033 RPC, Inc. 2,475,738 10,763 Schlumberger Ltd. 748,351 9,337 SEACOR Holdings, Inc. (a) 818,948 208,630 Superior Energy Services, Inc. (a) 4,241,448 61,890 Unit Corp. (a) 2,497,262 ------------- 42,152,998 ------------- METALS & MINING -- 2.2% 79,136 Walter Energy, Inc. 2,766,595 ------------- OIL, GAS & CONSUMABLE FUELS -- 63.5% 36,011 Apache Corp. 2,979,910 34,670 Cabot Oil & Gas Corp. 1,628,797 226,880 Chesapeake Energy Corp. 4,596,589 36,728 Chevron Corp. 4,047,793 43,868 Cimarex Energy Co. 2,508,372 27,222 ConocoPhillips 1,574,793 51,802 CONSOL Energy, Inc. 1,821,358 10,123 Continental Resources, Inc. (a) 727,439 192,672 Denbury Resources, Inc. (a) 2,953,662 51,464 Devon Energy Corp. 2,995,719 13,888 EOG Resources, Inc. 1,617,813 17,023 Exxon Mobil Corp. 1,551,987 47,810 Hess Corp. 2,498,551 103,740 HollyFrontier Corp. 4,007,476 105,289 Marathon Oil Corp. 3,164,987 57,029 Marathon Petroleum Corp. 3,132,603 57,992 Murphy Oil Corp. 3,479,520 136,688 Newfield Exploration Co. (a) 3,706,978 29,850 Occidental Petroleum Corp. 2,356,956 192,066 Peabody Energy Corp. 5,358,641 92,329 Phillips 66 4,354,236 14,910 Pioneer Natural Resources Co. 1,575,241 20,777 Plains Exploration & Production Co. (a) 740,908 24,587 QEP Resources, Inc. 713,023 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 11,141 Range Resources Corp. $ 728,176 613,781 SandRidge Energy, Inc. (a) 3,817,718 14,390 SM Energy Co. 775,909 61,304 Tesoro Corp. 2,311,774 81,087 Valero Energy Corp. 2,359,632 65,719 Whiting Petroleum Corp. (a) 2,761,512 21,856 World Fuel Services Corp. 758,403 46,913 WPX Energy, Inc. (a) 794,706 ------------- 78,401,182 ------------- TOTAL COMMON STOCKS -- 99.9% 123,320,775 (Cost $124,732,695) MONEY MARKET FUND -- 0.1% 69,674 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 69,674 (Cost $69,674) ------------- TOTAL INVESTMENTS -- 100.0% 123,390,449 (Cost $124,802,369) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (48,370) ------------- NET ASSETS -- 100.0% $ 123,342,079 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,413,219 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $7,825,139. See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) -------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $123,320,775 $ -- $ -- Money Market Fund 69,674 -- -- ----------------------------------------------------- TOTAL INVESTMENTS $123,390,449 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 13.0% 9,367 Affiliated Managers Group, Inc. (a) $ 1,184,926 169,166 American Capital Ltd. (a) 1,994,467 6,568 Ameriprise Financial, Inc. 383,374 112,021 Ares Capital Corp. 1,955,887 65,848 Bank of New York Mellon (The) Corp. 1,627,104 4,176 BlackRock, Inc. 792,104 169,259 E*TRADE Financial Corp. (a) 1,415,005 12,858 Eaton Vance Corp. 361,824 55,680 Federated Investors, Inc., Class B 1,294,003 9,211 Franklin Resources, Inc. 1,177,166 10,134 Goldman Sachs Group (The), Inc. 1,240,300 29,801 Invesco Ltd. 724,760 122,036 Janus Capital Group, Inc. 1,037,306 108,802 Jefferies Group, Inc. 1,549,340 25,478 Lazard Ltd., Class A 750,582 30,177 Legg Mason, Inc. 768,910 13,048 LPL Financial Holdings, Inc. 381,002 68,818 Morgan Stanley 1,196,057 10,160 Raymond James Financial, Inc. 387,502 34,737 SEI Investments Co. 760,046 35,498 State Street Corp. 1,582,146 5,882 T. Rowe Price Group, Inc. 381,977 48,454 TD Ameritrade Holding Corp. 760,243 22,727 Waddell & Reed Financial, Inc., Class A 757,491 ------------- 24,463,522 ------------- COMMERCIAL BANKS -- 14.7% 87,540 Associated Banc-Corp. 1,128,391 8,163 Bank of Hawaii Corp. 360,478 30,262 BankUnited, Inc. 717,512 22,459 BB&T Corp. 650,188 12,601 BOK Financial Corp. 739,049 253,303 CapitalSource, Inc. 2,003,627 14,459 City National Corp. 738,855 37,102 Comerica, Inc. 1,106,011 9,233 Commerce Bancshares, Inc. 351,593 6,484 Cullen/Frost Bankers, Inc. 358,565 54,546 East West Bancorp, Inc. 1,161,284 96,065 Fifth Third Bancorp 1,395,824 9,144 First Citizens BancShares, Inc., Class A 1,543,050 92,285 First Niagara Financial Group, Inc. 764,120 10,807 First Republic Bank 371,220 116,956 Fulton Financial Corp. 1,136,812 216,024 Huntington Bancshares, Inc. 1,380,393 170,421 KeyCorp 1,434,945 3,913 M&T Bank Corp. 407,343 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 23,606 PNC Financial Services Group, Inc. $ 1,373,633 85,370 Popular, Inc. (a) 1,650,202 160,115 Regions Financial Corp. 1,043,950 22,205 Signature Bank (a) 1,581,884 13,171 SunTrust Banks, Inc. 358,251 157,118 Synovus Financial Corp. 384,939 10,857 U.S. Bancorp 360,561 37,164 Valley National Bancorp 361,977 33,363 Wells Fargo & Co. 1,124,000 72,095 Zions Bancorporation 1,547,880 ------------- 27,536,537 ------------- CONSUMER FINANCE -- 1.9% 6,549 American Express Co. 366,548 20,206 Capital One Financial Corp. 1,215,795 28,997 Discover Financial Services 1,188,877 47,376 SLM Corp. 832,870 ------------- 3,604,090 ------------- DIVERSIFIED FINANCIAL SERVICES -- 8.8% 217,446 Bank of America Corp. 2,026,597 25,332 CBOE Holdings, Inc. 747,041 58,680 Citigroup, Inc. 2,194,045 33,513 CME Group, Inc. 1,874,382 82,171 Interactive Brokers Group, Inc., Class A 1,170,937 36,795 JPMorgan Chase & Co. 1,533,615 50,638 Leucadia National Corp. 1,149,483 33,721 Moody's Corp. 1,624,003 10,404 MSCI, Inc. (a) 280,284 82,441 NASDAQ OMX Group (The), Inc. 1,962,920 77,892 NYSE Euronext 1,928,606 ------------- 16,491,913 ------------- INSURANCE -- 37.0% 15,239 ACE Ltd. 1,198,547 24,060 Aflac, Inc. 1,197,707 5,566 Alleghany Corp. (a) 1,934,742 24,855 Allied World Assurance Co. Holdings AG 1,995,856 37,603 Allstate (The) Corp. 1,503,368 50,660 American Financial Group, Inc. 1,965,608 58,556 American International Group, Inc. (a) 2,045,361 20,737 American National Insurance Co. 1,515,045 28,486 Aon PLC 1,536,820 46,111 Arch Capital Group Ltd. (a) 2,035,801 41,583 Arthur J. Gallagher & Co. 1,473,701 48,852 Aspen Insurance Holdings Ltd. 1,580,362 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 51,476 Assurant, Inc. $ 1,946,308 140,973 Assured Guaranty Ltd. 1,958,115 54,983 Axis Capital Holdings Ltd. 1,991,484 8,444 Berkshire Hathaway, Inc., Class B (a) 729,139 28,567 Brown & Brown, Inc. 729,887 15,102 Chubb (The) Corp. 1,162,552 9,834 Cincinnati Financial Corp. 391,787 55,578 CNA Financial Corp. 1,632,882 19,344 Endurance Specialty Holdings Ltd. 784,399 17,951 Everest Re Group, Ltd. 1,993,459 69,635 Fidelity National Financial, Inc., Class A 1,490,885 220,271 Genworth Financial, Inc., Class A (a) 1,312,815 19,989 Hanover Insurance Group (The), Inc. 721,803 38,309 Hartford Financial Services Group (The), Inc. 831,688 43,951 HCC Insurance Holdings, Inc. 1,566,414 12,125 Kemper Corp. 375,875 15,394 Lincoln National Corp. 381,617 9,024 Loews Corp. 381,535 811 Markel Corp. (a) 382,743 33,952 Marsh & McLennan Cos., Inc. 1,155,387 189,539 MBIA, Inc. (a) 1,876,436 29,806 Mercury General Corp. 1,208,037 55,717 MetLife, Inc. 1,977,396 25,849 PartnerRe Ltd. 2,093,769 42,763 Principal Financial Group, Inc. 1,177,693 21,231 ProAssurance Corp. 1,898,051 17,954 Progressive (The) Corp. 400,374 73,256 Protective Life Corp. 1,999,889 27,325 Prudential Financial, Inc. 1,558,891 33,178 Reinsurance Group of America, Inc. 1,755,780 24,923 RenaissanceRe Holdings Ltd. 2,027,735 61,461 StanCorp Financial Group, Inc. 2,111,185 29,007 Torchmark Corp. 1,467,464 21,820 Travelers (The) Cos., Inc. 1,547,911 19,374 Unum Group 392,905 56,621 Validus Holdings Ltd. 2,027,032 30,729 W. R. Berkley Corp. 1,195,051 1,451 White Mountains Insurance Group Ltd. 743,928 ------------- 69,363,219 ------------- IT SERVICES -- 8.2% 13,526 Alliance Data Systems Corp. (a) 1,934,894 31,922 Broadridge Financial Solutions, Inc. 732,610 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- IT SERVICES (CONTINUED) 61,500 Fidelity National Information Services, Inc. $ 2,021,505 15,561 Fiserv, Inc. (a) 1,166,141 42,858 FleetCor Technologies, Inc. (a) 2,031,898 8,902 Global Payments, Inc. 380,560 30,437 Jack Henry & Associates, Inc. 1,156,606 53,406 Lender Processing Services, Inc. 1,287,619 2,553 MasterCard, Inc., Class A 1,176,754 62,848 Total System Services, Inc. 1,413,452 11,093 Visa, Inc., Class A 1,539,265 40,875 Western Union Co. 519,113 ------------- 15,360,417 ------------- MEDIA -- 0.2% 5,946 Morningstar, Inc. 374,479 ------------- PROFESSIONAL SERVICES -- 1.1% 9,354 Dun & Bradstreet (The) Corp. 758,048 24,732 Equifax, Inc. 1,237,589 ------------- 1,995,637 ------------- REAL ESTATE INVESTMENT TRUSTS -- 11.1% 21,524 American Capital Agency Corp. 710,722 16,138 American Tower Corp. 1,215,030 6,733 Boston Properties, Inc. 715,718 708,501 Chimera Investment Corp. 1,891,698 102,300 CommonWealth REIT 1,402,533 5,467 Equity Lifestyle Properties, Inc. 368,093 57,746 Extra Space Storage, Inc. 1,991,660 3,537 Federal Realty Investment Trust 381,395 52,837 Hatteras Financial Corp. 1,440,865 25,900 HCP, Inc. 1,147,370 15,660 Hospitality Properties Trust 362,059 8,315 Kilroy Realty Corp. 369,269 175,233 MFA Financial, Inc. 1,431,654 16,987 Plum Creek Timber Co., Inc. 745,729 23,506 Rayonier, Inc. 1,152,029 23,642 Regency Centers Corp. 1,135,289 17,098 Senior Housing Properties Trust 375,814 2,453 Simon Property Group, Inc. 373,371 23,035 Tanger Factory Outlet Centers, Inc. 724,911 9,706 Taubman Centers, Inc. 762,406 73,453 Weyerhaeuser Co. 2,033,914 ------------- 20,731,529 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.5% 50,439 Alexander & Baldwin, Inc. (a) 1,459,200 80,905 CBRE Group, Inc., Class A (a) 1,457,908 10,481 Howard Hughes (The) Corp. (a) 733,670 9,754 Jones Lang LaSalle, Inc. 758,276 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT (CONTINUED) 19,096 St. Joe (The) Co. (a) $ 378,101 ------------- 4,787,155 ------------- SOFTWARE -- 0.2% 3,862 FactSet Research Systems, Inc. 349,704 ------------- THRIFTS & MORTGAGE FINANCE -- 1.2% 52,594 New York Community Bancorp, Inc. 728,953 61,345 People's United Financial, Inc. 737,981 44,703 Washington Federal, Inc. 750,116 ------------- 2,217,050 ------------- TOTAL COMMON STOCKS -- 99.9% 187,275,252 (Cost $184,021,052) MONEY MARKET FUND -- 0.2% 256,113 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 256,113 (Cost $256,113) ------------- TOTAL INVESTMENTS -- 100.1% 187,531,365 (Cost $184,277,165) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (117,260) ------------- NET ASSETS -- 100.0% $ 187,414,105 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,932,320 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,678,120. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $187,275,252 $ -- $ -- Money Market Fund 256,113 -- -- ----------------------------------------------------- Total Investments $187,531,365 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% BIOTECHNOLOGY -- 23.0% 143,692 Alexion Pharmaceuticals, Inc. (a) $ 12,986,883 144,873 Amgen, Inc. 12,538,034 678,970 Ariad Pharmaceuticals, Inc. (a) 14,631,803 61,382 Biogen Idec, Inc. (a) 8,484,220 75,822 BioMarin Pharmaceutical, Inc. (a) 2,808,447 79,916 Celgene Corp. (a) 5,859,441 184,098 Gilead Sciences, Inc. (a) 12,364,022 291,709 Medivation, Inc. (a) 14,912,164 453,100 Myriad Genetics, Inc. (a) 11,857,627 194,529 Onyx Pharmaceuticals, Inc. (a) 15,243,292 107,679 Regeneron Pharmaceuticals, Inc. (a) 15,322,722 218,517 United Therapeutics Corp. (a) 9,979,671 109,244 Vertex Pharmaceuticals, Inc. (a) 5,269,931 ------------- 142,258,257 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 18.0% 469,898 Alere, Inc. (a) 9,022,042 50,649 Baxter International, Inc. 3,172,147 38,857 Becton, Dickinson & Co. 2,940,698 107,526 CareFusion Corp. (a) 2,855,891 96,951 Cooper (The) Cos., Inc. 9,305,357 154,126 Covidien PLC 8,469,224 80,039 DENTSPLY International, Inc. 2,948,637 85,300 Edwards Lifesciences Corp. (a) 7,406,599 420,200 Hill-Rom Holdings, Inc. 11,803,418 61,457 IDEXX Laboratories, Inc. (a) 5,912,163 212,392 Medtronic, Inc. 8,831,259 301,733 ResMed, Inc. 12,051,216 160,782 Sirona Dental Systems, Inc. (a) 9,206,377 72,462 St. Jude Medical, Inc. 2,772,396 109,694 Stryker Corp. 5,769,904 135,442 Zimmer Holdings, Inc. 8,696,731 ------------- 111,164,059 ------------- HEALTH CARE PROVIDERS & SERVICES -- 41.5% 308,363 Aetna, Inc. 13,475,463 179,790 AMERIGROUP Corp. (a) 16,422,018 156,675 Cardinal Health, Inc. 6,444,043 335,569 Catamaran Corp. (a) 15,825,434 194,151 Cigna Corp. 9,901,701 419,046 Community Health Systems, Inc. (a) 11,490,241 292,898 Coventry Health Care, Inc. 12,782,069 117,859 DaVita HealthCare Partners, Inc. (a) 13,261,495 262,465 Express Scripts Holding Co. (a) 16,152,096 494,371 HCA Holdings, Inc. 14,045,080 727,708 Health Management Associates, Inc., Class A (a) 5,312,268 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 271,236 Health Net, Inc. (a) $ 5,836,999 77,074 Henry Schein, Inc. (a) 5,686,520 174,069 Humana, Inc. 12,928,105 384,240 LifePoint Hospitals, Inc. (a) 13,579,042 35,490 McKesson Corp. 3,311,572 82,006 MEDNAX, Inc. (a) 5,656,774 89,863 Omnicare, Inc. 3,102,969 89,153 Patterson Cos., Inc. 2,977,710 96,260 Quest Diagnostics, Inc. 5,556,127 655,418 Tenet Healthcare Corp. (a) 15,467,865 165,285 UnitedHealth Group, Inc. 9,255,960 267,022 Universal Health Services, Inc., Class B 11,052,040 464,417 VCA Antech, Inc. (a) 9,093,285 283,364 WellPoint, Inc. 17,364,546 ------------- 255,981,422 ------------- HEALTH CARE TECHNOLOGY -- 0.5% 245,793 Allscripts Healthcare Solutions, Inc. (a) 3,175,646 ------------- LIFE SCIENCES TOOLS & SERVICES -- 5.3% 85,817 Bio-Rad Laboratories, Inc., Class A (a) 8,697,553 231,269 Charles River Laboratories International, Inc. (a) 8,630,959 124,974 Life Technologies Corp. (a) 6,112,479 155,672 Thermo Fisher Scientific, Inc. 9,505,332 ------------- 32,946,323 ------------- PHARMACEUTICALS -- 11.5% 89,052 Abbott Laboratories 5,834,687 90,454 Bristol-Myers Squibb Co. 3,007,596 128,786 Eli Lilly & Co. 6,262,863 96,246 Endo Health Solutions, Inc. (a) 2,758,410 342,912 Forest Laboratories, Inc. (a) 11,559,564 135,388 Merck & Co., Inc. 6,177,754 501,030 Mylan, Inc. (a) 12,696,100 26,278 Perrigo Co. 3,022,233 122,843 Pfizer, Inc. 3,055,105 193,020 Watson Pharmaceuticals, Inc. (a) 16,590,069 ------------- 70,964,381 ------------- TOTAL COMMON STOCKS -- 99.8% 616,490,088 (Cost $595,003,511) MONEY MARKET FUND -- 0.1% 384,127 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 384,127 (Cost $384,127) ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $ 616,874,215 (Cost $595,387,638) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 683,476 ------------- NET ASSETS -- 100.0% $ 617,557,691 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $38,406,939 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,920,362. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $616,490,088 $ -- $ -- Money Market Fund 384,127 -- -- ----------------------------------------------------- Total Investments $616,874,215 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 17.5% 37,341 Alliant Techsystems, Inc. $ 2,139,266 8,887 B/E Aerospace, Inc. (a) 400,715 5,377 Boeing (The) Co. 378,756 101,418 Engility Holdings, Inc. (a) 1,926,942 180,964 Exelis, Inc. 2,001,462 22,640 General Dynamics Corp. 1,541,331 12,527 Honeywell International, Inc. 767,154 26,094 L-3 Communications Holdings, Inc. 1,925,737 8,015 Lockheed Martin Corp. 750,765 28,168 Northrop Grumman Corp. 1,934,860 26,189 Raytheon Co. 1,481,250 50,549 Spirit AeroSystems Holdings, Inc., Class A (a) 790,081 42,900 Textron, Inc. 1,081,509 14,445 TransDigm Group, Inc. 1,924,218 29,939 Triumph Group, Inc. 1,958,609 ------------- 21,002,655 ------------- AIR FREIGHT & LOGISTICS -- 2.3% 22,113 FedEx Corp. 2,034,175 55,566 UTi Worldwide, Inc. 771,812 ------------- 2,805,987 ------------- AIRLINES -- 2.3% 13,815 Copa Holdings SA, Class A 1,282,308 170,688 Southwest Airlines Co. 1,505,468 ------------- 2,787,776 ------------- COMMERCIAL SERVICES & SUPPLIES -- 7.0% 11,761 Avery Dennison Corp. 380,821 36,132 Cintas Corp. 1,510,679 40,494 Copart, Inc. (a) 1,165,822 21,809 Covanta Holding Corp. 396,488 27,079 Pitney Bowes, Inc. 388,854 70,610 R.R. Donnelley & Sons Co. 707,512 54,414 Republic Services, Inc. 1,542,637 16,000 Rollins, Inc. 362,720 27,138 Tyco International Ltd. 729,198 12,371 Waste Connections, Inc. 406,140 23,331 Waste Management, Inc. 763,857 ------------- 8,354,728 ------------- COMPUTERS & PERIPHERALS -- 1.5% 84,098 Lexmark International, Inc., Class A 1,787,924 ------------- CONSTRUCTION & ENGINEERING -- 6.1% 88,430 AECOM Technology Corp. (a) 1,898,592 19,650 Chicago Bridge & Iron Co. N.V. 737,858 26,598 Fluor Corp. 1,485,498 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 27,769 Jacobs Engineering Group, Inc. (a) $ 1,071,606 62,749 KBR, Inc. 1,748,187 15,151 Quanta Services, Inc. (a) 392,865 ------------- 7,334,606 ------------- ELECTRICAL EQUIPMENT -- 9.2% 42,227 AMETEK, Inc. 1,501,170 29,386 Babcock & Wilcox (The) Co. (a) 757,277 19,943 Cooper Industries PLC 1,494,528 15,506 Emerson Electric Co. 750,956 38,213 General Cable Corp. (a) 1,090,217 208,139 GrafTech International Ltd. (a) 2,187,541 13,905 Hubbell, Inc., Class B 1,164,127 15,929 Regal-Beloit Corp. 1,038,252 10,217 Roper Industries, Inc. 1,115,390 ------------- 11,099,458 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 74,940 FLIR Systems, Inc. 1,456,084 7,852 Trimble Navigation Ltd. (a) 370,458 ------------- 1,826,542 ------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 15,423 Tidewater, Inc. 732,747 ------------- INDUSTRIAL CONGLOMERATES -- 2.8% 8,099 3M Co. 709,472 28,832 Carlisle Cos., Inc. 1,601,618 13,572 Danaher Corp. 702,079 16,479 General Electric Co. 347,048 ------------- 3,360,217 ------------- IT SERVICES -- 3.6% 21,376 Accenture PLC, Class A 1,440,956 6,380 Automatic Data Processing, Inc. 368,700 135,102 Booz Allen Hamilton Holding Corp. 1,807,665 22,436 Genpact Ltd. 395,098 11,242 Paychex, Inc. 364,578 ------------- 4,376,997 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 2,192 Mettler-Toledo International, Inc. (a) 371,259 ------------- MACHINERY -- 29.4% 39,410 AGCO Corp. (a) 1,793,549 4,350 Caterpillar, Inc. 368,923 38,611 CNH Global N.V. (a) 1,729,773 51,027 Colfax Corp. (a) 1,754,819 See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 9,076 Deere & Co. $ 775,453 10,782 Donaldson Co., Inc. 347,935 25,163 Dover Corp. 1,464,990 31,668 Eaton Corp. 1,495,363 14,648 Flowserve Corp. 1,984,658 24,780 Gardner Denver, Inc. 1,717,997 14,886 Graco, Inc. 715,421 18,229 Harsco Corp. 364,398 17,919 IDEX Corp. 762,095 18,878 Illinois Tool Works, Inc. 1,157,788 25,049 Ingersoll-Rand PLC 1,178,054 50,463 Kennametal, Inc. 1,787,399 9,583 Lincoln Electric Holdings, Inc. 415,615 140,268 Manitowoc (The) Co., Inc. 1,998,819 19,175 Nordson Corp. 1,131,900 54,573 Oshkosh Corp. (a) 1,636,099 28,054 PACCAR, Inc. 1,215,860 17,683 Pall Corp. 1,113,322 17,910 Parker Hannifin Corp. 1,408,801 4,908 Stanley Black & Decker, Inc. 340,124 33,147 Terex Corp. (a) 747,465 47,038 Toro (The) Co. 1,985,944 62,435 Trinity Industries, Inc. 1,952,967 18,644 Wabtec Corp. 1,526,944 14,880 Xylem, Inc. 360,989 ------------- 35,233,464 ------------- MARINE -- 1.0% 20,309 Kirby Corp. (a) 1,167,361 ------------- OFFICE ELECTRONICS -- 2.3% 254,928 Xerox Corp. 1,641,736 29,947 Zebra Technologies Corp., Class A (a) 1,075,996 ------------- 2,717,732 ------------- PROFESSIONAL SERVICES -- 1.9% 30,508 Manpower, Inc. 1,157,473 21,163 Towers Watson & Co., Class A 1,136,665 ------------- 2,294,138 ------------- ROAD & RAIL -- 6.6% 54,693 Con-way, Inc. 1,592,113 54,106 CSX Corp. 1,107,550 7,191 J.B. Hunt Transport Services, Inc. 422,112 9,877 Kansas City Southern 794,703 23,526 Norfolk Southern Corp. 1,443,320 38,324 Ryder System, Inc. 1,729,179 6,306 Union Pacific Corp. 775,827 ------------- 7,864,804 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS -- 4.0% 55,034 Air Lease Corp. (a) $ 1,145,808 17,636 GATX Corp. 731,188 22,882 United Rentals, Inc. (a) 930,382 3,592 W.W. Grainger, Inc. 723,465 19,628 WESCO International, Inc. (a) 1,273,465 ------------- 4,804,308 ------------- TOTAL INVESTMENTS -- 99.9% 119,922,703 (Cost $117,634,314) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 71,420 ------------- NET ASSETS -- 100.0% $ 119,994,123 ============= (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,950,897 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,662,508. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $119,922,703 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% BUILDING PRODUCTS -- 6.2% 91,457 Lennox International, Inc. $ 4,577,423 293,882 Masco Corp. 4,434,679 66,091 Owens Corning, Inc. (a) 2,219,997 ------------- 11,232,099 ------------- CHEMICALS -- 48.2% 26,741 Air Products and Chemicals, Inc. 2,073,230 41,979 Albemarle Corp. 2,313,463 120,944 Cabot Corp. 4,324,957 24,876 CF Industries Holdings, Inc. 5,104,307 76,376 Dow Chemical (The) Co. 2,237,817 20,164 E.I. du Pont de Nemours & Co. 897,701 77,582 Eastman Chemical Co. 4,595,958 15,640 Ecolab, Inc. 1,088,544 59,899 FMC Corp. 3,205,795 222,183 Huntsman Corp. 3,341,632 154,430 Intrepid Potash, Inc. (a) 3,355,764 370,056 Kronos Worldwide, Inc. 4,940,248 107,021 LyondellBasell Industries N.V., Class A 5,713,851 36,444 Monsanto Co. 3,136,735 57,580 Mosaic (The) Co. 3,013,737 22,429 NewMarket Corp. 6,085,212 38,513 PPG Industries, Inc. 4,509,102 94,911 Rockwood Holdings, Inc. 4,356,415 116,229 RPM International, Inc. 3,098,665 37,126 Sherwin-Williams (The) Co. 5,293,425 78,838 Valspar (The) Corp. 4,417,293 74,863 W.R. Grace & Co. (a) 4,803,210 75,674 Westlake Chemical Corp. 5,755,764 ------------- 87,662,825 ------------- CONSTRUCTION MATERIALS -- 0.6% 12,230 Martin Marietta Materials, Inc. 1,006,651 ------------- CONTAINERS & PACKAGING -- 11.2% 19,600 AptarGroup, Inc. 1,005,088 23,955 Ball Corp. 1,025,993 32,207 Bemis Co., Inc. 1,064,441 27,580 Crown Holdings, Inc. (a) 1,054,935 50,055 Greif, Inc., Class A 2,100,308 121,844 Packaging Corp. of America 4,297,438 76,594 Rock-Tenn Co., Class A 5,605,915 65,562 Sealed Air Corp. 1,063,415 23,296 Silgan Holdings, Inc. 1,008,950 71,359 Sonoco Products Co. 2,221,406 ------------- 20,447,889 ------------- MACHINERY -- 6.4% 148,779 Timken (The) Co. 5,875,283 42,044 Valmont Industries, Inc. 5,680,144 ------------- 11,555,427 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- METALS & MINING -- 22.5% 374,612 Alcoa, Inc. $ 3,210,425 103,988 Allegheny Technologies, Inc. 2,740,084 56,618 Allied Nevada Gold Corp. (a) 2,090,336 42,267 Carpenter Technology Corp. 2,054,599 141,289 Cliffs Natural Resources, Inc. 5,124,552 251,303 Commercial Metals Co. 3,457,929 83,809 Freeport-McMoRan Copper & Gold, Inc. 3,258,494 26,491 Nucor Corp. 1,063,084 84,488 Reliance Steel & Aluminum Co. 4,591,078 44,305 Royal Gold, Inc. 3,902,384 64,362 Southern Copper Corp. 2,452,192 295,124 Steel Dynamics, Inc. 3,733,319 79,000 Titanium Metals Corp. 925,090 115,965 United States Steel Corp. 2,364,526 ------------- 40,968,092 ------------- PAPER & FOREST PRODUCTS -- 4.8% 70,617 Domtar Corp. 5,631,706 60,888 International Paper Co. 2,181,617 33,123 MeadWestvaco Corp. 983,422 ------------- 8,796,745 ------------- TOTAL COMMON STOCKS -- 99.9% 181,669,728 (Cost $179,569,520) MONEY MARKET FUND -- 0.1% 165,345 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 165,345 (Cost $165,345) ------------- TOTAL INVESTMENTS -- 100.0% 181,835,073 (Cost $179,734,865) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (84,023) ------------- NET ASSETS -- 100.0% $ 181,751,050 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,809,624 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,709,416. See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $181,669,728 $ -- $ -- Money Market Fund 165,345 -- -- ----------------------------------------------------- Total Investments $181,835,073 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 10.1% 389,521 Brocade Communications Systems, Inc. (a) $ 2,064,461 120,651 Cisco Systems, Inc. 2,067,958 133,980 EchoStar Corp., Class A (a) 4,255,205 6,933 F5 Networks, Inc. (a) 571,834 56,646 Harris Corp. 2,593,254 42,388 Juniper Networks, Inc. (a) 702,369 28,688 Motorola Solutions, Inc. 1,482,596 233,912 Polycom, Inc. (a) 2,343,798 23,224 QUALCOMM, Inc. 1,360,346 62,319 Riverbed Technology, Inc. (a) 1,151,032 ------------- 18,592,853 ------------- COMPUTERS & PERIPHERALS -- 10.8% 5,747 Apple, Inc. 3,420,040 389,646 Dell, Inc. 3,596,432 68,356 Diebold, Inc. 2,033,591 26,600 EMC Corp. (a) 649,572 95,857 Fusion-io, Inc. (a) 2,262,225 124,470 NCR Corp. (a) 2,648,721 22,064 NetApp, Inc. (a) 593,522 33,413 SanDisk Corp. (a) 1,395,327 99,147 Western Digital Corp. 3,393,802 ------------- 19,993,232 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 17.4% 24,645 Amphenol Corp., Class A 1,481,904 113,902 Arrow Electronics, Inc. (a) 4,012,767 132,002 Avnet, Inc. (a) 3,781,857 292,007 Corning, Inc. 3,431,082 88,598 Dolby Laboratories, Inc., Class A (a) 2,798,811 190,505 Ingram Micro, Inc., Class A (a) 2,895,676 50,636 IPG Photonics Corp. (a) 2,687,759 154,989 Jabil Circuit, Inc. 2,687,509 87,682 Molex, Inc. 2,277,102 64,118 Tech Data Corp. (a) 2,841,069 390,648 Vishay Intertechnology, Inc. (a) 3,234,565 ------------- 32,130,101 ------------- INTERNET SOFTWARE & SERVICES -- 14.3% 60,213 Akamai Technologies, Inc. (a) 2,287,492 108,988 AOL, Inc. (a) 3,741,558 18,644 Equinix, Inc. (a) 3,363,564 5,088 Google, Inc., Class A (a) 3,458,670 55,732 IAC/InterActiveCorp 2,694,642 24,105 LinkedIn Corp., Class A (a) 2,577,548 58,104 Rackspace Hosting, Inc. (a) 3,700,644 59,594 Verisign, Inc. (a) 2,209,149 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 144,226 Yahoo!, Inc. (a) $ 2,424,439 ------------- 26,457,706 ------------- IT SERVICES -- 7.2% 69,829 Amdocs Ltd. 2,309,245 20,756 Cognizant Technology Solutions Corp., Class A (a) 1,383,387 51,289 DST Systems, Inc. 2,925,525 31,471 Gartner, Inc. (a) 1,460,569 3,501 International Business Machines Corp. 681,050 72,480 NeuStar, Inc., Class A (a) 2,652,043 60,240 SAIC, Inc. 662,038 19,229 Teradata Corp. (a) 1,313,533 ------------- 13,387,390 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 19.4% 37,039 Analog Devices, Inc. 1,448,595 206,365 Applied Materials, Inc. 2,187,469 551,587 Atmel Corp. (a) 2,573,153 41,615 Avago Technologies Ltd. 1,374,544 20,987 Broadcom Corp., Class A 661,825 28,443 Cree, Inc. (a) 862,676 175,619 Fairchild Semiconductor International, Inc. (a) 2,065,280 169,495 Intel Corp. 3,665,329 60,818 KLA-Tencor Corp. 2,829,253 22,832 Lam Research Corp. (a) 808,253 209,935 LSI Corp. (a) 1,438,055 419,454 Marvell Technology Group Ltd. 3,309,492 54,497 Maxim Integrated Products, Inc. 1,500,030 385,281 Micron Technology, Inc. (a) 2,090,149 108,750 NVIDIA Corp. (a) 1,301,738 19,740 Silicon Laboratories, Inc. (a) 797,891 61,577 Skyworks Solutions, Inc. (a) 1,440,902 270,042 Teradyne, Inc. (a) 3,948,014 52,649 Texas Instruments, Inc. 1,478,910 ------------- 35,781,558 ------------- SOFTWARE -- 17.8% 204,351 Activision Blizzard, Inc. 2,225,382 22,358 Adobe Systems, Inc. (a) 760,172 31,399 ANSYS, Inc. (a) 2,225,561 89,426 CA, Inc. 2,013,874 225,533 Cadence Design Systems, Inc. (a) 2,855,248 9,479 Citrix Systems, Inc. (a) 585,897 146,688 Compuware Corp. (a) 1,270,318 39,353 Concur Technologies, Inc. (a) 2,606,349 30,075 Fortinet, Inc. (a) 582,553 60,178 NetSuite, Inc. (a) 3,821,905 See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 29,142 Nuance Communications, Inc. (a) $ 648,701 23,047 Oracle Corp. 715,609 12,738 Red Hat, Inc. (a) 626,328 49,991 Rovi Corp. (a) 676,378 9,505 Salesforce.com, Inc. (a) 1,387,540 68,899 Solarwinds, Inc. (a) 3,485,600 128,176 Symantec Corp. (a) 2,331,521 69,840 Synopsys, Inc. (a) 2,248,848 47,986 TIBCO Software, Inc. (a) 1,209,727 7,502 VMware, Inc., Class A (a) 635,945 ------------- 32,913,456 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.0% 35,953 Crown Castle International Corp. (a) 2,399,863 46,134 SBA Communications Corp., Class A (a) 3,073,908 ------------- 5,473,771 ------------- TOTAL COMMON STOCKS -- 100.0% 184,730,067 (Cost $199,093,986) MONEY MARKET FUND -- 0.1% 189,086 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 189,086 (Cost $189,086) ------------- TOTAL INVESTMENTS -- 100.1% 184,919,153 (Cost $199,283,072) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (216,842) ------------- NET ASSETS -- 100.0% $ 184,702,311 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,807,535 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $22,171,454. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $184,730,067 $ -- $ -- Money Market Fund 189,086 -- -- ----------------------------------------------------- Total Investments $184,919,153 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 8.6% 123,377 CenturyLink, Inc. $ 4,735,209 1,014,147 Frontier Communications Corp. 4,786,774 95,532 tw telecom, Inc. (a) 2,433,200 54,691 Verizon Communications, Inc. 2,441,406 ------------- 14,396,589 ------------- ELECTRIC UTILITIES -- 31.6% 113,441 American Electric Power Co., Inc. 5,041,318 38,459 Duke Energy Corp. 2,526,372 89,909 Entergy Corp. 6,525,595 31,519 Exelon Corp. 1,127,750 84,772 FirstEnergy Corp. 3,875,776 167,945 Great Plains Energy, Inc. 3,768,686 42,631 Hawaiian Electric Industries, Inc. 1,103,290 15,944 NextEra Energy, Inc. 1,117,037 207,578 NV Energy, Inc. 3,946,058 20,216 OGE Energy Corp. 1,164,037 263,729 Pepco Holdings, Inc. 5,240,295 70,802 Pinnacle West Capital Corp. 3,750,382 214,485 PPL Corp. 6,344,466 168,043 Westar Energy, Inc. 4,990,877 89,937 Xcel Energy, Inc. 2,540,720 ------------- 53,062,659 ------------- GAS UTILITIES -- 8.1% 27,417 AGL Resources, Inc. 1,119,436 104,450 Atmos Energy Corp. 3,757,066 128,979 ONEOK, Inc. 6,100,707 78,485 UGI Corp. 2,534,281 ------------- 13,511,490 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 5.1% 340,773 AES (The) Corp. 3,561,078 233,039 NRG Energy, Inc. 5,024,321 ------------- 8,585,399 ------------- MULTI-UTILITIES -- 28.4% 57,449 Alliant Energy Corp. 2,567,970 34,330 Ameren Corp. 1,128,770 175,520 CenterPoint Energy, Inc. 3,803,518 47,621 CMS Energy Corp. 1,158,143 18,731 Consolidated Edison, Inc. 1,130,978 62,360 DTE Energy Co. 3,872,556 47,750 Integrys Energy Group, Inc. 2,580,410 226,163 MDU Resources Group, Inc. 4,914,522 44,023 NiSource, Inc. 1,121,266 87,612 PG&E Corp. 3,725,262 193,620 Public Service Enterprise Group, Inc. 6,203,585 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 51,638 SCANA Corp. $ 2,534,393 38,638 Sempra Energy 2,695,000 280,965 TECO Energy, Inc. 5,020,845 174,291 Vectren Corp. 5,153,785 ------------- 47,611,003 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 118,890 Energen Corp. 5,546,219 ------------- WATER UTILITIES -- 0.7% 30,263 American Water Works Co., Inc. 1,111,863 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 14.1% 532,074 MetroPCS Communications, Inc. (a) 5,432,475 795,742 NII Holdings, Inc. (a) 6,342,064 243,299 Telephone & Data Systems, Inc. 6,050,846 159,238 United States Cellular Corp. (a) 5,890,214 ------------- 23,715,599 ------------- TOTAL COMMON STOCKS -- 99.9% 167,540,821 (Cost $170,036,079) MONEY MARKET FUND -- 0.1% 142,945 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 142,945 (Cost $142,945) ------------- TOTAL INVESTMENTS -- 100.0% 167,683,766 (Cost $170,179,024) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (31,433) ------------- NET ASSETS -- 100.0% $ 167,652,333 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,590,122 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,085,380. See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $167,540,821 $ -- $ -- Money Market Fund 142,945 -- -- ----------------------------------------------------- Total Investments $167,683,766 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS SECTOR FUNDS OCTOBER 31, 2012 (UNAUDITED) VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company. The Trust currently consists of twenty-one exchange-traded funds (each a "Fund" and collectively, the "Funds") considered either a Sector Fund or a Style Fund, each having a separate report. This report covers the nine Sector Funds listed below: 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 Each Fund's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. Each Fund's securities will be valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding the NASDAQ(R) Stock Market, LLC ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. 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 the 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 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) SECTOR FUNDS OCTOBER 31, 2012 (UNAUDITED) 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 including, but not limited to the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. 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 investments. An active market is a market in which transactions for the investment 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 investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, 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 investment (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 investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of October 31, 2012, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) SECTOR FUNDS OCTOBER 31, 2012 (UNAUDITED) C. SECURITIES LENDING The Funds may lend securities representing up to 20% of the value of their 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, 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 Funds. 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. Brown Brothers Harriman & Co. acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. 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, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The dividend and interest earned on the securities loaned are accounted for in the same manner as other dividend and interest income. At October 31, 2012, only FXD had securities in the securities lending program. ADDITIONAL INFORMATION FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS OCTOBER 31, 2012 (UNAUDITED) LICENSING INFORMATION Each of the StrataQuant(R) Consumer Discretionary Index, StrataQuant(R) Consumer Staples Index, StrataQuant(R) Energy Index, StrataQuant(R) Financials Index, StrataQuant(R) Health Care Index, StrataQuant(R) Industrials Index, StrataQuant(R) Materials Index, StrataQuant(R) Technology Index and StrataQuant(R) Utilities Index (the "StrataQuant(R) Series") is a registered trademark of the NYSE Euronext or its affiliates ("NYSE Euronext") and is licensed for use by First Trust Portfolios L.P. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by NYSE Euronext. NYSE Euronext makes no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of investing in securities generally or the Funds particularly or as to the result to be obtained by any person from the use of the StrataQuant(R) Series in connection with the trading of the Funds. FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.8% 4,418 Boeing (The) Co. $ 311,204 18,611 General Dynamics Corp. 1,267,037 15,445 Honeywell International, Inc. 945,852 21,449 L-3 Communications Holdings, Inc. 1,582,936 9,883 Lockheed Martin Corp. 925,741 23,156 Northrop Grumman Corp. 1,590,586 1,883 Precision Castparts Corp. 325,891 21,529 Raytheon Co. 1,217,680 11,471 Rockwell Collins, Inc. 614,616 11,755 Textron, Inc. 296,343 7,858 United Technologies Corp. 614,181 -------------- 9,692,067 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 18,177 FedEx Corp. 1,672,102 -------------- AIRLINES -- 0.4% 140,310 Southwest Airlines Co. 1,237,534 -------------- AUTO COMPONENTS -- 0.6% 13,354 BorgWarner, Inc. (a) 878,960 44,909 Johnson Controls, Inc. 1,156,407 -------------- 2,035,367 -------------- AUTOMOBILES -- 0.5% 155,998 Ford Motor Co. 1,740,938 -------------- BEVERAGES -- 0.9% 4,713 Brown-Forman Corp., Class B 301,915 19,678 Coca-Cola Enterprises, Inc. 618,676 19,020 Constellation Brands, Inc., Class A (a) 672,167 6,908 Dr. Pepper Snapple Group, Inc. 296,008 20,486 Molson Coors Brewing Co., Class B 883,766 4,347 PepsiCo, Inc. 300,986 -------------- 3,073,518 -------------- BIOTECHNOLOGY -- 1.6% 13,444 Alexion Pharmaceuticals, Inc. (a) 1,215,069 14,592 Amgen, Inc. 1,262,864 6,185 Biogen Idec, Inc. (a) 854,891 8,053 Celgene Corp. (a) 590,446 23,190 Gilead Sciences, Inc. (a) 1,557,440 -------------- 5,480,710 -------------- BUILDING PRODUCTS -- 0.4% 102,201 Masco Corp. 1,542,213 -------------- CAPITAL MARKETS -- 1.6% 40,798 Bank of New York Mellon (The) Corp. 1,008,119 104,753 E*TRADE Financial Corp. (a) 875,735 29,736 Federated Investors, Inc., Class B 691,065 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 2,461 Franklin Resources, Inc. $ 314,516 5,414 Goldman Sachs Group (The), Inc. 662,619 12,312 Invesco Ltd. 299,428 12,464 Legg Mason, Inc. 317,583 36,755 Morgan Stanley 638,802 14,664 State Street Corp. 653,574 -------------- 5,461,441 -------------- CHEMICALS -- 4.0% 7,438 Air Products and Chemicals, Inc. 576,668 3,737 Airgas, Inc. 332,481 6,921 CF Industries Holdings, Inc. 1,420,120 31,870 Dow Chemical (The) Co. 933,791 12,238 E.I. du Pont de Nemours & Co. 544,836 26,979 Eastman Chemical Co. 1,598,236 9,492 Ecolab, Inc. 660,643 16,663 FMC Corp. 891,804 29,773 LyondellBasell Industries N.V., Class A 1,589,581 13,520 Monsanto Co. 1,163,666 21,360 Mosaic (The) Co. 1,117,982 13,393 PPG Industries, Inc. 1,568,053 10,330 Sherwin-Williams (The) Co. 1,472,851 -------------- 13,870,712 -------------- COMMERCIAL BANKS -- 1.7% 9,276 BB&T Corp. 268,540 19,815 Comerica, Inc. 590,685 39,667 Fifth Third Bancorp 576,362 133,754 Huntington Bancshares, Inc. 854,688 105,594 KeyCorp 889,102 14,628 PNC Financial Services Group, Inc. 851,203 17,816 Wells Fargo & Co. 600,221 59,575 Zions Bancorporation 1,279,075 -------------- 5,909,876 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% 19,335 Avery Dennison Corp. 626,067 14,845 Cintas Corp. 620,670 9,018 Iron Mountain, Inc. 312,023 22,261 Pitney Bowes, Inc. 319,668 58,042 R.R. Donnelley & Sons Co. 581,581 44,728 Republic Services, Inc. 1,268,039 33,389 Tyco International Ltd. 897,162 28,768 Waste Management, Inc. 941,864 -------------- 5,567,074 -------------- COMMUNICATIONS EQUIPMENT -- 0.8% 64,458 Cisco Systems, Inc. 1,104,810 2,939 F5 Networks, Inc. (a) 242,409 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 18,017 Harris Corp. $ 824,818 9,847 QUALCOMM, Inc. 576,788 -------------- 2,748,825 -------------- COMPUTERS & PERIPHERALS -- 2.1% 2,305 Apple, Inc. 1,371,705 155,998 Dell, Inc. 1,439,862 11,281 EMC Corp. (a) 275,482 69,132 Lexmark International, Inc., Class A 1,469,746 49,619 Seagate Technology PLC 1,355,591 39,716 Western Digital Corp. 1,359,479 -------------- 7,271,865 -------------- CONSTRUCTION & ENGINEERING -- 0.8% 21,864 Fluor Corp. 1,221,104 22,826 Jacobs Engineering Group, Inc. (a) 880,855 24,908 Quanta Services, Inc. (a) 645,865 -------------- 2,747,824 -------------- CONSUMER FINANCE -- 0.5% 10,792 Capital One Financial Corp. 649,355 15,485 Discover Financial Services 634,885 19,569 SLM Corp. 344,023 -------------- 1,628,263 -------------- CONTAINERS & PACKAGING -- 0.5% 14,541 Ball Corp. 622,791 19,551 Bemis Co., Inc. 646,161 19,900 Sealed Air Corp. 322,778 -------------- 1,591,730 -------------- DISTRIBUTORS -- 0.2% 10,082 Genuine Parts Co. 630,932 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 17,751 H&R Block, Inc. 314,193 -------------- DIVERSIFIED FINANCIAL SERVICES -- 2.5% 139,358 Bank of America Corp. 1,298,817 37,610 Citigroup, Inc. 1,406,238 21,474 CME Group, Inc. 1,201,041 30,398 JPMorgan Chase & Co. 1,266,989 20,895 Moody's Corp. 1,006,303 52,825 NASDAQ OMX Group (The), Inc. 1,257,763 49,920 NYSE Euronext 1,236,019 -------------- 8,673,170 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 8,158 AT&T, Inc. 282,185 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 30,457 CenturyLink, Inc. $ 1,168,940 251,128 Frontier Communications Corp. 1,185,324 20,252 Verizon Communications, Inc. 904,049 -------------- 3,540,498 -------------- ELECTRIC UTILITIES -- 3.1% 28,006 American Electric Power Co., Inc. 1,244,587 14,242 Duke Energy Corp. 935,557 6,732 Edison International 316,000 17,756 Entergy Corp. 1,288,730 17,292 Exelon Corp. 618,708 20,927 FirstEnergy Corp. 956,782 8,748 NextEra Energy, Inc. 612,885 65,107 Pepco Holdings, Inc. 1,293,676 17,479 Pinnacle West Capital Corp. 925,863 42,358 PPL Corp. 1,252,950 6,674 Southern (The) Co. 312,610 33,306 Xcel Energy, Inc. 940,894 -------------- 10,699,242 -------------- ELECTRICAL EQUIPMENT -- 1.0% 16,393 Cooper Industries PLC 1,228,492 12,745 Emerson Electric Co. 617,240 4,422 Rockwell Automation, Inc. 314,227 11,199 Roper Industries, Inc. 1,222,595 -------------- 3,382,554 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 10,448 Amphenol Corp., Class A 628,238 116,972 Corning, Inc. 1,374,421 61,604 FLIR Systems, Inc. 1,196,966 65,734 Jabil Circuit, Inc. 1,139,828 46,825 Molex, Inc. 1,216,045 27,136 TE Connectivity Ltd. 873,236 -------------- 6,428,734 -------------- ENERGY EQUIPMENT & SERVICES -- 3.9% 34,008 Baker Hughes, Inc. 1,427,316 27,432 Cameron International Corp. (a) 1,389,156 28,194 Ensco PLC, Class A 1,630,177 19,934 FMC Technologies, Inc. (a) 815,301 45,658 Halliburton Co. 1,474,297 12,922 Helmerich & Payne, Inc. 617,672 109,635 Nabors Industries Ltd. (a) 1,478,976 19,199 National Oilwell Varco, Inc. 1,414,966 34,393 Noble Corp. 1,297,992 27,329 Rowan Cos. PLC, Class A (a) 866,602 12,758 Schlumberger Ltd. 887,064 -------------- 13,299,519 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 2.3% 12,288 Costco Wholesale Corp. $ 1,209,508 12,706 CVS Caremark Corp. 589,558 13,069 Kroger (The) Co. 329,600 95,598 Safeway, Inc. 1,559,203 9,839 Sysco Corp. 305,698 33,769 Walgreen Co. 1,189,682 20,844 Wal-Mart Stores, Inc. 1,563,717 12,634 Whole Foods Market, Inc. 1,196,819 -------------- 7,943,785 -------------- FOOD PRODUCTS -- 2.2% 33,956 Archer-Daniels-Midland Co. 911,379 8,833 Campbell Soup Co. 311,540 7,721 General Mills, Inc. 309,458 5,499 H. J. Heinz Co. 316,247 4,340 Hershey (The) Co. 298,809 21,040 Hormel Foods Corp. 621,311 14,254 J.M. Smucker (The) Co. 1,220,713 14,877 McCormick & Co., Inc. 916,721 34,119 Mondelez International, Inc., Class A 905,518 96,013 Tyson Foods, Inc., Class A 1,613,978 -------------- 7,425,674 -------------- GAS UTILITIES -- 0.6% 15,038 AGL Resources, Inc. 614,002 31,838 ONEOK, Inc. 1,505,937 -------------- 2,119,939 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.0% 10,835 CareFusion Corp. (a) 287,778 15,534 Covidien PLC 853,593 8,066 DENTSPLY International, Inc. 297,151 8,594 Edwards Lifesciences Corp. (a) 746,217 21,403 Medtronic, Inc. 889,937 4,550 Zimmer Holdings, Inc. 292,156 -------------- 3,366,832 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 38,843 Aetna, Inc. 1,697,439 15,790 Cardinal Health, Inc. 649,443 19,565 Cigna Corp. 997,815 29,515 Coventry Health Care, Inc. 1,288,035 14,847 DaVita HealthCare Partners, Inc. (a) 1,670,584 24,545 Express Scripts Holding Co. (a) 1,510,499 21,925 Humana, Inc. 1,628,370 3,578 McKesson Corp. 333,863 8,984 Patterson Cos., Inc. 300,066 9,699 Quest Diagnostics, Inc. 559,826 24,532 Tenet Healthcare Corp. (a) 578,955 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 5,551 UnitedHealth Group, Inc. $ 310,856 26,514 WellPoint, Inc. 1,624,778 -------------- 13,150,529 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.3% 25,326 Carnival Corp. 959,349 22,072 Darden Restaurants, Inc. 1,161,428 47,001 International Game Technology 603,493 7,867 Marriott International, Inc. 286,988 21,229 Starwood Hotels & Resorts Worldwide, Inc. 1,100,724 4,637 Yum! Brands, Inc. 325,100 -------------- 4,437,082 -------------- HOUSEHOLD DURABLES -- 1.9% 74,523 D.R. Horton, Inc. 1,562,002 33,323 Harman International Industries, Inc. 1,397,233 8,846 Lennar Corp., Class A 331,460 99,234 PulteGroup, Inc. (a) 1,720,718 14,844 Whirlpool Corp. 1,449,962 -------------- 6,461,375 -------------- HOUSEHOLD PRODUCTS -- 0.3% 2,867 Colgate-Palmolive Co. 300,920 7,172 Kimberly-Clark Corp. 598,504 4,434 Procter & Gamble (The) Co. 307,010 -------------- 1,206,434 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.7% 112,173 AES (The) Corp. 1,172,208 57,527 NRG Energy, Inc. 1,240,282 -------------- 2,412,490 -------------- INDUSTRIAL CONGLOMERATES -- 0.5% 6,657 3M Co. 583,153 16,735 Danaher Corp. 865,702 13,546 General Electric Co. 285,279 -------------- 1,734,134 -------------- INSURANCE -- 4.2% 8,137 ACE Ltd. 639,975 32,126 Aflac, Inc. 1,599,232 23,298 Allstate (The) Corp. 931,454 46,909 American International Group, Inc. (a) 1,638,531 23,531 Aon PLC 1,269,497 41,236 Assurant, Inc. 1,559,133 3,487 Berkshire Hathaway, Inc., Class B (a) 301,102 8,066 Chubb (The) Corp. 620,921 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 117,643 Genworth Financial, Inc., Class A (a) $ 701,152 15,825 Hartford Financial Services Group (The), Inc. 343,561 35,708 MetLife, Inc. 1,267,277 22,837 Principal Financial Group, Inc. 628,931 16,932 Prudential Financial, Inc. 965,971 17,972 Torchmark Corp. 909,204 13,521 Travelers (The) Cos., Inc. 959,180 -------------- 14,335,121 -------------- INTERNET & CATALOG RETAIL -- 0.6% 4,838 Amazon.com, Inc. (a) 1,126,383 15,954 Expedia, Inc. 943,679 -------------- 2,070,062 -------------- INTERNET SOFTWARE & SERVICES -- 1.8% 32,163 Akamai Technologies, Inc. (a) 1,221,872 31,773 eBay, Inc. (a) 1,534,318 2,039 Google, Inc., Class A (a) 1,386,051 25,273 Verisign, Inc. (a) 936,870 57,770 Yahoo!, Inc. (a) 971,114 -------------- 6,050,225 -------------- IT SERVICES -- 2.5% 21,962 Accenture PLC, Class A 1,480,459 10,490 Automatic Data Processing, Inc. 606,217 4,399 Cognizant Technology Solutions Corp., Class A (a) 293,193 39,413 Fidelity National Information Services, Inc. 1,295,505 8,310 Fiserv, Inc. (a) 622,751 2,045 MasterCard, Inc., Class A 942,602 9,240 Paychex, Inc. 299,653 12,237 Teradata Corp. (a) 835,910 38,939 Total System Services, Inc. 875,738 6,873 Visa, Inc., Class A 953,698 33,769 Western Union Co. 428,866 -------------- 8,634,592 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 16,119 Hasbro, Inc. 580,123 17,340 Mattel, Inc. 637,765 -------------- 1,217,888 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 24,001 Agilent Technologies, Inc. 863,796 6,292 Life Technologies Corp. (a) 307,742 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 15,687 Thermo Fisher Scientific, Inc. $ 957,848 -------------- 2,129,386 -------------- MACHINERY -- 4.6% 10,728 Caterpillar, Inc. 909,842 16,683 Cummins, Inc. 1,561,195 11,189 Deere & Co. 955,988 20,685 Dover Corp. 1,204,281 26,036 Eaton Corp. 1,229,420 12,040 Flowserve Corp. 1,631,300 20,692 Illinois Tool Works, Inc. 1,269,040 6,864 Ingersoll-Rand PLC 322,814 23,057 PACCAR, Inc. 999,290 19,380 Pall Corp. 1,220,165 14,723 Parker Hannifin Corp. 1,158,111 21,402 Snap-on, Inc. 1,655,017 20,174 Stanley Black & Decker, Inc. 1,398,058 12,231 Xylem, Inc. 296,724 -------------- 15,811,245 -------------- MEDIA -- 3.7% 8,468 CBS Corp., Class B 274,363 17,201 Comcast Corp., Class A 645,210 23,456 DIRECTV (a) 1,198,836 20,637 Discovery Communications, Inc., Class A (a) 1,217,996 69,324 Gannett Co., Inc. 1,171,576 82,995 Interpublic Group of Cos. (The), Inc. 838,249 16,908 McGraw-Hill (The) Cos., Inc. 934,674 17,900 Omnicom Group, Inc. 857,589 20,095 Scripps Networks Interactive, Class A 1,220,168 16,179 Time Warner Cable, Inc. 1,603,501 13,573 Time Warner, Inc. 589,747 17,222 Viacom, Inc., Class B 882,972 5,886 Walt Disney (The) Co. 288,826 3,391 Washington Post (The) Co., Class B 1,130,932 -------------- 12,854,639 -------------- METALS & MINING -- 1.6% 139,044 Alcoa, Inc. 1,191,607 28,932 Allegheny Technologies, Inc. 762,358 31,089 Freeport-McMoRan Copper & Gold, Inc. 1,208,740 5,493 Newmont Mining Corp. 299,643 16,081 Nucor Corp. 645,331 47,957 Titanium Metals Corp. 561,577 48,393 United States Steel Corp. 986,733 -------------- 5,655,989 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 2.2% 51,999 Big Lots, Inc. (a) $ 1,514,731 6,374 Dollar Tree, Inc. (a) 254,131 13,922 Family Dollar Stores, Inc. 918,295 30,032 Kohl's Corp. 1,600,105 24,533 Macy's, Inc. 933,971 16,726 Nordstrom, Inc. 949,535 19,386 Target Corp. 1,235,858 -------------- 7,406,626 -------------- MULTI-UTILITIES -- 3.2% 18,833 Ameren Corp. 619,229 43,327 CenterPoint Energy, Inc. 938,896 26,127 CMS Energy Corp. 635,409 10,275 Consolidated Edison, Inc. 620,404 15,397 DTE Energy Co. 956,154 17,680 Integrys Energy Group, Inc. 955,427 24,147 NiSource, Inc. 615,024 21,628 PG&E Corp. 919,623 38,238 Public Service Enterprise Group, Inc. 1,225,146 19,119 SCANA Corp. 938,361 14,310 Sempra Energy 998,122 52,023 TECO Energy, Inc. 929,651 16,333 Wisconsin Energy Corp. 628,330 -------------- 10,979,776 -------------- OFFICE ELECTRONICS -- 0.4% 209,557 Xerox Corp. 1,349,547 -------------- OIL, GAS & CONSUMABLE FUELS -- 10.4% 4,399 Anadarko Petroleum Corp. 302,695 17,787 Apache Corp. 1,471,874 27,405 Cabot Oil & Gas Corp. 1,287,487 81,512 Chesapeake Energy Corp. 1,651,433 13,195 Chevron Corp. 1,454,221 26,900 ConocoPhillips 1,556,165 40,949 CONSOL Energy, Inc. 1,439,767 95,183 Denbury Resources, Inc. (a) 1,459,155 25,426 Devon Energy Corp. 1,480,047 13,729 EOG Resources, Inc. 1,599,291 10,427 EQT Corp. 632,189 16,819 Exxon Mobil Corp. 1,533,388 28,631 Hess Corp. 1,496,256 8,662 Kinder Morgan, Inc. 300,658 52,017 Marathon Oil Corp. 1,563,631 28,178 Marathon Petroleum Corp. 1,547,818 28,651 Murphy Oil Corp. 1,719,060 49,113 Newfield Exploration Co. (a) 1,331,945 6,637 Noble Energy, Inc. 630,581 17,874 Occidental Petroleum Corp. 1,411,331 33,170 Phillips 66 1,564,297 11,786 Pioneer Natural Resources Co. 1,245,191 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 38,867 QEP Resources, Inc. $ 1,127,143 13,207 Range Resources Corp. 863,210 10,480 Spectra Energy Corp. 302,558 36,712 Tesoro Corp. 1,384,410 48,552 Valero Energy Corp. 1,412,863 17,592 Williams (The) Cos., Inc. 615,544 74,175 WPX Energy, Inc. (a) 1,256,525 -------------- 35,640,733 -------------- PAPER & FOREST PRODUCTS -- 0.2% 16,941 International Paper Co. 606,996 -------------- PERSONAL PRODUCTS -- 0.3% 14,989 Estee Lauder (The) Cos., Inc., Class A 923,622 -------------- PHARMACEUTICALS -- 2.1% 8,974 Abbott Laboratories 587,976 9,116 Bristol-Myers Squibb Co. 303,107 19,468 Eli Lilly & Co. 946,729 34,555 Forest Laboratories, Inc. (a) 1,164,849 13,641 Merck & Co., Inc. 622,439 50,430 Mylan, Inc. (a) 1,277,896 2,650 Perrigo Co. 304,776 12,380 Pfizer, Inc. 307,891 18,064 Watson Pharmaceuticals, Inc. (a) 1,552,601 -------------- 7,068,264 -------------- PROFESSIONAL SERVICES -- 0.4% 3,865 Dun & Bradstreet (The) Corp. 313,220 13,207 Equifax, Inc. 660,878 11,551 Robert Half International, Inc. 310,606 -------------- 1,284,704 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.1% 8,616 American Tower Corp. 648,699 2,781 Boston Properties, Inc. 295,620 13,832 HCP, Inc. 612,757 5,326 Health Care REIT, Inc. 316,524 7,019 Plum Creek Timber Co., Inc. 308,134 17,562 Prologis, Inc. 602,201 2,027 Simon Property Group, Inc. 308,530 9,884 Ventas, Inc. 625,361 -------------- 3,717,826 -------------- ROAD & RAIL -- 1.2% 44,475 CSX Corp. 910,403 19,338 Norfolk Southern Corp. 1,186,386 31,504 Ryder System, Inc. 1,421,461 5,185 Union Pacific Corp. 637,911 -------------- 4,156,161 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% 7,849 Analog Devices, Inc. $ 306,974 110,212 Applied Materials, Inc. 1,168,247 41,674 First Solar, Inc. (a) 1,013,095 67,820 Intel Corp. 1,466,607 89,039 LSI Corp. (a) 609,917 205,602 Micron Technology, Inc. (a) 1,115,391 69,183 NVIDIA Corp. (a) 828,121 108,167 Teradyne, Inc. (a) 1,581,402 22,332 Texas Instruments, Inc. 627,306 -------------- 8,717,060 -------------- SOFTWARE -- 1.2% 9,476 Adobe Systems, Inc. (a) 322,184 47,761 CA, Inc. 1,075,578 20,661 Microsoft Corp. 589,562 5,401 Red Hat, Inc. (a) 265,567 4,031 Salesforce.com, Inc. (a) 588,445 68,361 Symantec Corp. (a) 1,243,486 -------------- 4,084,822 -------------- SPECIALTY RETAIL -- 3.4% 18,139 Abercrombie & Fitch Co., Class A 554,691 834 AutoZone, Inc. (a) 312,750 10,869 CarMax, Inc. (a) 366,829 73,244 GameStop Corp., Class A 1,672,160 8,596 Gap (The), Inc. 307,049 25,480 Home Depot (The), Inc. 1,563,962 18,733 Limited Brands, Inc. 897,123 20,344 Lowe's Cos., Inc. 658,739 19,049 Ross Stores, Inc. 1,161,037 133,522 Staples, Inc. 1,537,506 27,471 TJX (The) Cos., Inc. 1,143,618 40,952 Urban Outfitters, Inc. (a) 1,464,443 -------------- 11,639,907 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 3,241 NIKE, Inc., Class B 296,163 2,035 Ralph Lauren Corp. 312,759 9,652 VF Corp. 1,510,345 -------------- 2,119,267 -------------- THRIFTS & MORTGAGE FINANCE -- 0.1% 25,340 People's United Financial, Inc. 304,840 -------------- TOBACCO -- 0.2% 2,640 Lorillard, Inc. 306,266 3,421 Philip Morris International, Inc. 302,964 -------------- 609,230 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 7,155 Fastenal Co. $ 319,829 4,428 W.W. Grainger, Inc. 891,843 -------------- 1,211,672 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 14,399 Crown Castle International Corp. (a) 961,133 105,084 MetroPCS Communications, Inc. (a) 1,072,908 -------------- 2,034,041 -------------- TOTAL COMMON STOCKS -- 99.9% 343,113,416 (Cost $326,515,414) MONEY MARKET FUND -- 0.1% 492,732 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 492,732 (Cost $492,732) -------------- TOTAL INVESTMENTS -- 100.0% 343,606,148 (Cost $327,008,146) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (3,371) -------------- NET ASSETS -- 100.0% $ 343,602,777 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $27,415,241 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $10,817,239. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $343,113,416 $ -- $ -- Money Market Fund 492,732 -- -- ----------------------------------------------------- Total Investments $343,606,148 $ -- $ -- ===================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.8% 34,134 Alliant Techsystems, Inc. $ 1,955,537 8,126 B/E Aerospace, Inc. (a) 366,401 12,187 Esterline Technologies Corp. (a) 704,287 165,421 Exelis, Inc. 1,829,556 10,942 Triumph Group, Inc. 715,826 -------------- 5,571,607 -------------- AIR FREIGHT & LOGISTICS -- 0.2% 50,793 UTi Worldwide, Inc. 705,515 -------------- AIRLINES -- 0.9% 19,515 Alaska Air Group, Inc. (a) 746,254 357,088 JetBlue Airways Corp. (a) 1,888,995 -------------- 2,635,249 -------------- AUTOMOBILES -- 0.2% 18,838 Thor Industries, Inc. 716,409 -------------- BIOTECHNOLOGY -- 1.2% 11,204 Regeneron Pharmaceuticals, Inc. (a) 1,594,329 24,487 United Therapeutics Corp. (a) 1,118,321 18,343 Vertex Pharmaceuticals, Inc. (a) 884,867 -------------- 3,597,517 -------------- BUILDING PRODUCTS -- 0.6% 63,327 Fortune Brands Home & Security, Inc. (a) 1,801,020 -------------- CAPITAL MARKETS -- 1.3% 5,562 Affiliated Managers Group, Inc. (a) 703,593 19,831 Greenhill & Co., Inc. 946,335 72,477 Janus Capital Group, Inc. 616,055 74,965 Jefferies Group, Inc. 1,067,502 15,948 SEI Investments Co. 348,942 10,439 Waddell & Reed Financial, Inc., Class A 347,932 -------------- 4,030,359 -------------- CHEMICALS -- 3.1% 4,778 Ashland, Inc. 339,955 46,772 Cabot Corp. 1,672,567 5,221 Cytec Industries, Inc. 359,309 19,292 Minerals Technologies, Inc. 1,382,465 6,940 NewMarket Corp. 1,882,891 62,971 Olin Corp. 1,306,018 27,918 Sensient Technologies Corp. 1,015,657 24,391 Valspar (The) Corp. 1,366,628 -------------- 9,325,490 -------------- COMMERCIAL BANKS -- 3.2% 51,950 Associated Banc-Corp. 669,635 23,208 BancorpSouth, Inc. 328,393 39,640 Cathay General Bancorp 701,232 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 6,641 City National Corp. $ 339,355 8,482 Commerce Bancshares, Inc. 322,995 32,395 East West Bancorp, Inc. 689,690 84,571 First Niagara Financial Group, Inc. 700,248 46,448 FirstMerit Corp. 643,769 69,389 Fulton Financial Corp. 674,461 53,872 International Bancshares Corp. 977,777 8,027 Prosperity Bancshares, Inc. 336,010 15,299 Signature Bank (a) 1,089,901 5,658 SVB Financial Group (a) 320,186 144,342 Synovus Financial Corp. 353,638 14,055 Trustmark Corp. 329,871 34,141 Valley National Bancorp 332,533 43,303 Webster Financial Corp. 952,666 -------------- 9,762,360 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 26,632 Brink's (The) Co. 700,688 37,009 Copart, Inc. (a) 1,065,489 10,227 Corrections Corp. of America 344,138 44,776 Deluxe Corp. 1,410,892 17,597 Herman Miller, Inc. 341,206 9,179 Mine Safety Appliances Co. 354,309 14,625 Rollins, Inc. 331,549 22,618 Waste Connections, Inc. 742,549 -------------- 5,290,820 -------------- COMMUNICATIONS EQUIPMENT -- 0.9% 29,048 Plantronics, Inc. 942,317 138,638 Polycom, Inc. (a) 1,389,153 14,701 Riverbed Technology, Inc. (a) 271,527 -------------- 2,602,997 -------------- COMPUTERS & PERIPHERALS -- 0.8% 30,444 Diebold, Inc. 905,709 149,777 QLogic Corp. (a) 1,404,908 -------------- 2,310,617 -------------- CONSTRUCTION & ENGINEERING -- 1.2% 80,834 AECOM Technology Corp. (a) 1,735,506 23,822 Granite Construction, Inc. 719,662 45,887 KBR, Inc. 1,278,412 -------------- 3,733,580 -------------- CONSTRUCTION MATERIALS -- 0.2% 8,256 Martin Marietta Materials, Inc. 679,551 -------------- CONTAINERS & PACKAGING -- 1.9% 15,486 Greif, Inc., Class A 649,793 47,120 Packaging Corp. of America 1,661,922 23,697 Rock-Tenn Co., Class A 1,734,383 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 15,725 Silgan Holdings, Inc. $ 681,050 33,116 Sonoco Products Co. 1,030,901 -------------- 5,758,049 -------------- DISTRIBUTORS -- 0.6% 92,457 LKQ Corp. (a) 1,931,427 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 34,415 Matthews International Corp., Class A 990,119 25,415 Service Corp. International 356,827 -------------- 1,346,946 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 11,628 CBOE Holdings, Inc. 342,910 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 39,366 tw telecom, Inc. (a) 1,002,652 -------------- ELECTRIC UTILITIES -- 3.1% 24,447 Cleco Corp. 1,054,888 61,472 Great Plains Energy, Inc. 1,379,432 26,005 Hawaiian Electric Industries, Inc. 673,009 31,624 IDACORP, Inc. 1,414,225 56,983 NV Energy, Inc. 1,083,247 12,336 OGE Energy Corp. 710,307 81,334 PNM Resources, Inc. 1,802,361 46,135 Westar Energy, Inc. 1,370,210 -------------- 9,487,679 -------------- ELECTRICAL EQUIPMENT -- 2.0% 21,620 Acuity Brands, Inc. 1,398,814 28,950 AMETEK, Inc. 1,029,173 34,931 General Cable Corp. (a) 996,581 12,711 Hubbell, Inc., Class B 1,064,165 24,269 Regal-Beloit Corp. 1,581,853 -------------- 6,070,586 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% 50,740 Arrow Electronics, Inc. (a) 1,787,570 58,799 Avnet, Inc. (a) 1,684,591 112,308 Ingram Micro, Inc., Class A (a) 1,707,082 37,758 Tech Data Corp. (a) 1,673,057 14,355 Trimble Navigation Ltd. (a) 677,269 174,003 Vishay Intertechnology, Inc. (a) 1,440,745 -------------- 8,970,314 -------------- ENERGY EQUIPMENT & SERVICES -- 4.8% 30,107 Atwood Oceanics, Inc. (a) 1,439,114 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 31,037 Dresser-Rand Group, Inc. (a) $ 1,599,337 14,278 Dril-Quip, Inc. (a) 988,894 93,621 Helix Energy Solutions Group, Inc. (a) 1,618,707 24,767 Oceaneering International, Inc. 1,296,057 21,526 Oil States International, Inc. (a) 1,573,551 107,983 Patterson-UTI Energy, Inc. 1,747,165 83,355 Superior Energy Services, Inc. (a) 1,694,607 21,147 Tidewater, Inc. 1,004,694 41,216 Unit Corp. (a) 1,663,066 -------------- 14,625,192 -------------- FOOD & STAPLES RETAILING -- 0.3% 26,423 Harris Teeter Supermarkets, Inc. 989,541 -------------- FOOD PRODUCTS -- 1.7% 16,952 Flowers Foods, Inc. 333,785 14,404 Green Mountain Coffee Roasters, Inc. (a) 348,001 24,807 Ingredion, Inc. 1,524,638 4,670 Lancaster Colony Corp. 339,883 4,686 Ralcorp Holdings, Inc. (a) 338,282 87,046 Smithfield Foods, Inc. (a) 1,781,832 25,359 Tootsie Roll Industries, Inc. 675,817 -------------- 5,342,238 -------------- GAS UTILITIES -- 1.0% 28,675 Atmos Energy Corp. 1,031,440 6,330 National Fuel Gas Co. 333,591 16,827 Questar Corp. 340,579 21,549 UGI Corp. 695,817 16,998 WGL Holdings, Inc. 676,010 -------------- 3,077,437 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 10,865 Cooper (The) Cos., Inc. 1,042,823 58,859 Hill-Rom Holdings, Inc. 1,653,349 16,902 Hologic, Inc. (a) 348,519 6,887 IDEXX Laboratories, Inc. (a) 662,529 14,148 Masimo Corp. (a) 310,832 33,812 ResMed, Inc. 1,350,451 28,933 STERIS Corp. 1,030,304 14,908 Teleflex, Inc. 1,012,999 -------------- 7,411,806 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.0% 18,708 AMERIGROUP Corp. (a) 1,708,789 46,958 Community Health Systems, Inc. (a) 1,287,588 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 81,547 Health Management Associates, Inc., Class A (a) $ 595,293 30,394 Health Net, Inc. (a) 654,079 12,947 Henry Schein, Inc. (a) 955,230 20,466 HMS Holdings Corp. (a) 472,560 39,982 LifePoint Hospitals, Inc. (a) 1,412,964 9,190 MEDNAX, Inc. (a) 633,926 10,070 Omnicare, Inc. 347,717 22,898 Owens & Minor, Inc. 651,906 29,923 Universal Health Services, Inc., Class B 1,238,513 52,016 VCA Antech, Inc. (a) 1,018,473 24,197 WellCare Health Plans, Inc. (a) 1,151,777 -------------- 12,128,815 -------------- HEALTH CARE TECHNOLOGY -- 0.1% 27,521 Allscripts Healthcare Solutions, Inc. (a) 355,571 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 27,705 Bally Technologies, Inc. (a) 1,383,034 34,970 Bob Evans Farms, Inc. 1,331,308 19,382 Brinker International, Inc. 596,966 38,276 Cheesecake Factory (The), Inc. 1,265,404 48,233 International Speedway Corp., Class A 1,229,941 7,479 Life Time Fitness, Inc. (a) 335,732 8,007 Panera Bread Co., Class A (a) 1,350,300 41,365 Scientific Games Corp., Class A (a) 340,434 150,369 Wendy's (The) Co. 642,076 104,423 WMS Industries, Inc. (a) 1,715,670 -------------- 10,190,865 -------------- HOUSEHOLD DURABLES -- 0.9% 32,370 Jarden Corp. 1,612,026 8,550 Mohawk Industries, Inc. (a) 713,668 11,445 Tempur-Pedic International, Inc. (a) 302,606 -------------- 2,628,300 -------------- HOUSEHOLD PRODUCTS -- 0.3% 6,336 Church & Dwight Co., Inc. 321,615 9,170 Energizer Holdings, Inc. 669,135 -------------- 990,750 -------------- INDUSTRIAL CONGLOMERATES -- 0.5% 26,355 Carlisle Cos., Inc. 1,464,020 -------------- INSURANCE -- 5.8% 4,959 Alleghany Corp. (a) 1,723,748 36,104 American Financial Group, Inc. 1,400,835 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INSURANCE (CONTINUED) 28,651 Arthur J. Gallagher & Co. $ 1,015,392 44,879 Aspen Insurance Holdings Ltd. 1,451,836 26,244 Brown & Brown, Inc. 670,534 12,793 Everest Re Group, Ltd. 1,420,663 47,979 Fidelity National Financial, Inc., Class A 1,027,230 47,359 First American Financial Corp. 1,077,417 18,362 Hanover Insurance Group (The), Inc. 663,052 30,282 HCC Insurance Holdings, Inc. 1,079,251 26,553 Mercury General Corp. 1,076,193 52,208 Protective Life Corp. 1,425,278 23,645 Reinsurance Group of America, Inc. 1,251,293 43,802 StanCorp Financial Group, Inc. 1,504,599 27,374 W. R. Berkley Corp. 1,064,575 -------------- 17,851,896 -------------- INTERNET & CATALOG RETAIL -- 0.6% 34,872 HSN, Inc. 1,814,042 -------------- INTERNET SOFTWARE & SERVICES -- 2.5% 48,551 AOL, Inc. (a) 1,666,756 8,301 Equinix, Inc. (a) 1,497,583 233,349 Monster Worldwide, Inc. (a) 1,451,431 25,881 Rackspace Hosting, Inc. (a) 1,648,361 79,602 ValueClick, Inc. (a) 1,326,965 -------------- 7,591,096 -------------- IT SERVICES -- 4.2% 37,448 Acxiom Corp. (a) 683,426 9,640 Alliance Data Systems Corp. (a) 1,379,002 29,326 Broadridge Financial Solutions, Inc. 673,032 109,154 Convergys Corp. 1,834,879 24,193 DST Systems, Inc. 1,379,969 22,267 Gartner, Inc. (a) 1,033,411 18,052 Jack Henry & Associates, Inc. 685,976 36,797 Lender Processing Services, Inc. 887,176 71,269 ManTech International Corp., Class A 1,637,049 34,183 NeuStar, Inc., Class A (a) 1,250,756 19,626 WEX, Inc. (a) 1,448,006 -------------- 12,892,682 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.6% 21,151 Polaris Industries, Inc. 1,787,260 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.5% 3,205 Bio-Rad Laboratories, Inc., Class A (a) 324,827 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 25,916 Charles River Laboratories International, Inc., (a) $ 967,185 2,004 Mettler-Toledo International, Inc. (a) 339,417 -------------- 1,631,429 -------------- MACHINERY -- 6.4% 36,025 AGCO Corp. (a) 1,639,498 15,330 CLARCOR, Inc. 693,529 8,567 Crane Co. 359,643 9,856 Donaldson Co., Inc. 318,053 11,326 Gardner Denver, Inc. 785,232 13,607 Graco, Inc. 653,952 16,663 Harsco Corp. 333,093 24,570 IDEX Corp. 1,044,962 46,129 Kennametal, Inc. 1,633,889 26,281 Lincoln Electric Holdings, Inc. 1,139,807 17,507 Nordson Corp. 1,033,438 49,886 Oshkosh Corp. (a) 1,495,582 23,057 Pentair Ltd. 973,928 5,230 SPX Corp. 358,726 30,300 Terex Corp. (a) 683,265 46,029 Timken (The) Co. 1,817,685 45,658 Trinity Industries, Inc. 1,428,182 13,007 Valmont Industries, Inc. 1,757,246 17,043 Wabtec Corp. 1,395,822 -------------- 19,545,532 -------------- MARINE -- 0.5% 24,753 Kirby Corp. (a) 1,422,802 -------------- MEDIA -- 2.8% 23,582 AMC Networks, Inc., Class A (a) 1,101,751 30,503 Cinemark Holdings, Inc. 753,119 17,789 DreamWorks Animation SKG, Inc., Class A (a) 362,362 14,890 John Wiley & Sons, Inc., Class A 645,928 36,923 Lamar Advertising Co., Class A (a) 1,449,228 29,322 Meredith Corp. 981,407 53,822 Scholastic Corp. 1,775,588 55,422 Valassis Communications, Inc. (a) 1,442,081 -------------- 8,511,464 -------------- METALS & MINING -- 2.6% 19,615 Carpenter Technology Corp. 953,485 77,748 Commercial Metals Co. 1,069,813 32,673 Reliance Steel & Aluminum Co. 1,775,451 17,128 Royal Gold, Inc. 1,508,634 121,849 Steel Dynamics, Inc. 1,541,390 47,381 Worthington Industries, Inc. 1,024,377 -------------- 7,873,150 -------------- MULTILINE RETAIL -- 0.3% 99,541 Saks, Inc. (a) 1,023,282 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MULTI-UTILITIES -- 1.4% 23,652 Alliant Energy Corp. $ 1,057,244 19,235 Black Hills Corp. 688,036 46,564 MDU Resources Group, Inc. 1,011,836 47,845 Vectren Corp. 1,414,777 -------------- 4,171,893 -------------- OFFICE ELECTRONICS -- 0.1% 9,113 Zebra Technologies Corp., Class A (a) 327,430 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 162,128 Arch Coal, Inc. 1,290,539 27,621 Bill Barrett Corp. (a) 632,797 32,636 Energen Corp. 1,522,470 41,445 HollyFrontier Corp. 1,601,020 27,389 Plains Exploration & Production Co. (a) 976,692 21,425 Rosetta Resources, Inc. (a) 986,407 19,213 World Fuel Services Corp. 666,691 -------------- 7,676,616 -------------- PAPER & FOREST PRODUCTS -- 0.6% 21,848 Domtar Corp. 1,742,378 -------------- PHARMACEUTICALS -- 0.4% 10,785 Endo Health Solutions, Inc. (a) 309,098 23,718 Medicis Pharmaceutical Corp., Class A 1,029,599 -------------- 1,338,697 -------------- PROFESSIONAL SERVICES -- 1.7% 31,894 Corporate Executive Board (The) Co. 1,433,954 66,945 Korn/Ferry International (a) 896,394 37,184 Manpower, Inc. 1,410,761 25,794 Towers Watson & Co., Class A 1,385,396 -------------- 5,126,505 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 14,386 Hospitality Properties Trust 332,604 5,977 Macerich (The) Co. 340,689 22,432 National Retail Properties, Inc. 710,646 15,050 OMEGA Healthcare Investors, Inc. 345,247 9,154 Potlatch Corp. 352,246 13,960 Rayonier, Inc. 684,179 8,366 Realty Income Corp. 328,533 14,040 Regency Centers Corp. 674,201 4,272 SL Green Realty Corp. 321,682 4,458 Taubman Centers, Inc. 350,176 -------------- 4,440,203 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 4,481 Jones Lang LaSalle, Inc. $ 348,353 -------------- ROAD & RAIL -- 1.7% 49,995 Con-way, Inc. 1,455,354 6,574 J.B. Hunt Transport Services, Inc. 385,894 13,543 Kansas City Southern 1,089,670 7,235 Landstar System, Inc. 366,453 80,040 Werner Enterprises, Inc. 1,853,726 -------------- 5,151,097 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2% 260,144 Atmel Corp. (a) 1,213,572 13,400 Cree, Inc. (a) 406,422 104,296 Fairchild Semiconductor International, Inc. (a) 1,226,521 29,034 Skyworks Solutions, Inc. (a) 679,395 -------------- 3,525,910 -------------- SOFTWARE -- 3.2% 16,190 ACI Worldwide, Inc. (a) 633,029 18,642 ANSYS, Inc. (a) 1,321,345 106,363 Cadence Design Systems, Inc. (a) 1,346,556 18,559 Concur Technologies, Inc. (a) 1,229,163 15,458 Fair Isaac Corp. 720,343 88,395 Mentor Graphics Corp. (a) 1,371,890 15,692 Parametric Technology Corp. (a) 316,664 30,686 Solarwinds, Inc. (a) 1,552,405 31,080 Synopsys, Inc. (a) 1,000,776 11,316 TIBCO Software, Inc. (a) 285,276 -------------- 9,777,447 -------------- SPECIALTY RETAIL -- 7.2% 61,505 Aaron's, Inc. 1,896,199 75,851 Aeropostale, Inc. (a) 906,419 32,456 American Eagle Outfitters, Inc. 677,357 18,134 ANN, Inc. (a) 637,591 63,793 Ascena Retail Group, Inc. (a) 1,263,101 80,303 Barnes & Noble, Inc. (a) 1,352,303 37,779 Chico's FAS, Inc. 702,689 26,391 Dick's Sporting Goods, Inc. 1,319,550 19,273 Foot Locker, Inc. 645,646 67,288 Guess?, Inc. 1,667,397 668,144 Office Depot, Inc. (a) 1,656,997 19,837 PetSmart, Inc. 1,316,978 574,941 RadioShack Corp. 1,287,868 48,759 Rent-A-Center, Inc. 1,625,138 28,063 Signet Jewelers Ltd. 1,452,541 17,296 Tractor Supply Co. 1,664,567 38,900 Williams-Sonoma, Inc. 1,798,347 -------------- 21,870,688 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 25,415 Carter's, Inc. (a) $ 1,373,935 14,601 PVH Corp. 1,605,964 30,637 Under Armour, Inc., Class A (a) 1,601,089 6,591 Warnaco Group (The), Inc. (a) 465,193 -------------- 5,046,181 -------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 34,624 Astoria Financial Corp. 347,279 48,318 New York Community Bancorp, Inc. 669,687 20,509 Washington Federal, Inc. 344,141 -------------- 1,361,107 -------------- TOBACCO -- 0.4% 26,873 Universal Corp. 1,331,826 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 24,182 GATX Corp. 1,002,586 5,071 MSC Industrial Direct Co., Inc., Class A 378,297 31,375 United Rentals, Inc. (a) 1,275,707 13,541 Watsco, Inc. 925,527 -------------- 3,582,117 -------------- TOTAL COMMON STOCKS -- 100.0% 305,641,272 (Cost $294,422,598) MONEY MARKET FUND -- 0.1% 169,672 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 169,672 (Cost $169,672) -------------- TOTAL INVESTMENTS -- 100.1% 305,810,944 (Cost $294,592,270) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (166,792) -------------- NET ASSETS -- 100.0% $ 305,644,152 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $24,300,432 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,081,758. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $305,641,272 $ -- $ -- Money Market Fund 169,672 -- -- ------------------------------------------------------ Total Investments $305,810,944 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.6% 39,402 AAR Corp. $ 594,576 26,482 Ceradyne, Inc. 925,811 5,169 Cubic Corp. 252,247 19,786 Curtiss-Wright Corp. 610,794 35,068 Engility Holdings, Inc. (a) 666,292 17,085 Moog, Inc., Class A (a) 632,316 35,548 Orbital Sciences Corp. (a) 476,343 4,083 Teledyne Technologies, Inc. (a) 261,435 -------------- 4,419,814 -------------- AIR FREIGHT & LOGISTICS -- 0.2% 8,719 Hub Group, Inc., Class A (a) 270,376 -------------- AIRLINES -- 0.6% 4,085 Allegiant Travel Co. (a) 297,143 62,633 SkyWest, Inc. 685,831 -------------- 982,974 -------------- AUTO COMPONENTS -- 1.2% 12,849 Drew Industries, Inc. (a) 406,928 77,637 Spartan Motors, Inc. 364,894 35,124 Standard Motor Products, Inc. 659,629 37,858 Superior Industries International, Inc. 646,993 -------------- 2,078,444 -------------- BEVERAGES -- 0.1% 1,156 Boston Beer (The) Co., Inc., Class A (a) 124,363 -------------- BIOTECHNOLOGY -- 0.6% 10,857 Cubist Pharmaceuticals, Inc. (a) 465,765 36,425 Emergent Biosolutions, Inc. (a) 484,088 11,061 Spectrum Pharmaceuticals, Inc. (a) 123,441 -------------- 1,073,294 -------------- BUILDING PRODUCTS -- 1.4% 11,245 A.O. Smith Corp. 683,359 6,572 AAON, Inc. 137,880 30,281 Gibraltar Industries, Inc. (a) 377,301 50,252 Griffon Corp. 510,058 25,802 NCI Building Systems, Inc. (a) 289,240 4,523 Simpson Manufacturing Co., Inc. 137,771 6,230 Universal Forest Products, Inc. 239,855 -------------- 2,375,464 -------------- CAPITAL MARKETS -- 1.5% 22,233 Calamos Asset Management, Inc., Class A 240,117 10,861 Financial Engines, Inc. (a) 260,773 26,052 HFF, Inc., Class A (a) 362,904 56,162 Prospect Capital Corp. 664,958 7,702 Stifel Financial Corp. (a) 244,153 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 7,524 Virtus Investment Partners, Inc. (a) $ 722,304 -------------- 2,495,209 -------------- CHEMICALS -- 3.7% 21,729 A. Schulman, Inc. 557,566 18,591 American Vanguard Corp. 664,257 3,523 Balchem Corp. 122,706 18,085 Calgon Carbon Corp. (a) 224,073 12,652 H.B. Fuller Co. 384,621 9,342 Hawkins, Inc. 365,272 2,668 Innophos Holdings, Inc. 127,130 11,113 Koppers Holdings, Inc. 396,734 19,830 Kraton Performance Polymers, Inc. (a) 432,691 14,747 LSB Industries, Inc. (a) 593,862 20,939 OM Group, Inc. (a) 423,596 7,809 PolyOne Corp. 147,824 11,089 Quaker Chemical Corp. 587,606 5,384 Stepan Co. 515,787 29,175 Tredegar Corp. 495,100 17,115 Zep, Inc. 245,258 -------------- 6,284,083 -------------- COMMERCIAL BANKS -- 4.2% 15,017 Bank of the Ozarks, Inc. 491,657 10,261 BBCN Bancorp, Inc. 122,414 13,492 Boston Private Financial Holdings, Inc. 124,396 3,610 City Holding Co. 126,783 13,959 Columbia Banking System, Inc. 247,214 9,181 Community Bank System, Inc. 253,304 10,838 CVB Financial Corp. 117,267 11,543 F.N.B. Corp. 123,856 29,277 First BanCorp (a) 124,134 18,356 First Commonwealth Financial Corp. 120,232 7,651 First Financial Bancorp 120,121 3,590 First Financial Bankshares, Inc. 130,066 40,404 Hanmi Financial Corp. (a) 501,414 11,389 Home BancShares, Inc. 394,515 4,301 Independent Bank Corp. 126,922 28,408 National Penn Bancshares, Inc. 253,683 11,725 NBT Bancorp, Inc. 249,391 19,015 Old National Bancorp 233,314 20,093 Pinnacle Financial Partners, Inc. (a) 392,818 8,092 PrivateBancorp, Inc. 130,767 14,697 S&T Bancorp, Inc. 258,226 10,627 Simmons First National Corp., Class A 264,506 13,045 Sterling Bancorp 124,580 12,371 Susquehanna Bancshares, Inc. 128,287 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 13,016 Texas Capital Bancshares, Inc. (a) $ 617,869 3,193 Tompkins Financial Corp. 129,253 2,657 UMB Financial Corp. 118,316 20,077 Umpqua Holdings Corp. 242,731 5,194 United Bankshares, Inc. 123,773 61,620 Wilshire Bancorp, Inc. (a) 401,146 6,889 Wintrust Financial Corp. 254,549 -------------- 7,047,504 -------------- COMMERCIAL SERVICES & SUPPLIES -- 3.7% 20,507 ABM Industries, Inc. 389,633 24,800 Consolidated Graphics, Inc. (a) 731,848 18,316 Encore Capital Group, Inc. (a) 531,164 8,267 G&K Services, Inc., Class A 266,611 9,353 Geo Group (The), Inc. 259,265 22,631 Healthcare Services Group, Inc. 540,881 23,232 Mobile Mini, Inc. (a) 404,702 6,194 Portfolio Recovery Associates, Inc. (a) 648,202 48,139 Sykes Enterprises, Inc. (a) 655,653 14,783 Tetra Tech, Inc. (a) 383,471 9,687 UniFirst Corp. 673,925 19,893 United Stationers, Inc. 577,295 6,202 Viad Corp. 131,544 -------------- 6,194,194 -------------- COMMUNICATIONS EQUIPMENT -- 1.1% 6,926 Bel Fuse, Inc., Class B 114,695 18,726 Comtech Telecommunications Corp. 471,333 25,472 Digi International, Inc. (a) 239,946 57,004 Harmonic, Inc. (a) 247,397 13,572 NETGEAR, Inc. (a) 481,942 7,824 Oplink Communications, Inc. (a) 116,265 37,130 Symmetricom, Inc. (a) 228,350 -------------- 1,899,928 -------------- COMPUTERS & PERIPHERALS -- 0.5% 15,755 3D Systems Corp. (a) 685,342 21,512 Super Micro Computer, Inc. (a) 170,160 -------------- 855,502 -------------- CONSTRUCTION & ENGINEERING -- 0.9% 20,260 Aegion Corp. (a) 374,202 44,991 Dycom Industries, Inc. (a) 640,672 13,601 EMCOR Group, Inc. 437,408 -------------- 1,452,282 -------------- CONSTRUCTION MATERIALS -- 0.9% 13,987 Eagle Materials, Inc. 740,892 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSTRUCTION MATERIALS (CONTINUED) 98,328 Headwaters, Inc. (a) $ 706,978 -------------- 1,447,870 -------------- CONSUMER FINANCE -- 0.3% 5,625 First Cash Financial Services, Inc. (a) 251,213 3,837 World Acceptance Corp. (a) 256,158 -------------- 507,371 -------------- CONTAINERS & PACKAGING -- 0.2% 24,852 Myers Industries, Inc. 368,555 -------------- DISTRIBUTORS -- 0.6% 9,335 Pool Corp. 393,190 86,495 VOXX International Corp. (a) 537,999 -------------- 931,189 -------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 7,105 American Public Education, Inc. (a) 258,835 3,692 Capella Education Co. (a) 115,264 2,876 Coinstar, Inc. (a) 135,000 271,844 Corinthian Colleges, Inc. (a) 742,134 28,454 Hillenbrand, Inc. 582,454 61,620 Lincoln Educational Services Corp. 228,610 18,889 Universal Technical Institute, Inc. 242,157 -------------- 2,304,454 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 27,689 Interactive Brokers Group, Inc., Class A 394,568 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 9,032 Atlantic Tele-Network, Inc. 374,286 26,248 Cbeyond, Inc. (a) 201,060 39,611 General Communication, Inc., Class A (a) 346,200 68,976 Neutral Tandem, Inc. 318,669 -------------- 1,240,215 -------------- ELECTRIC UTILITIES -- 0.9% 9,302 ALLETE, Inc. 387,149 11,334 El Paso Electric Co. 385,243 10,826 UIL Holdings Corp. 391,577 9,274 UNS Energy Corp. 395,443 -------------- 1,559,412 -------------- ELECTRICAL EQUIPMENT -- 1.7% 17,034 AZZ, Inc. 671,821 10,526 Belden, Inc. 376,831 17,690 Encore Wire Corp. 545,913 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 18,334 EnerSys (a) $ 632,156 8,557 Franklin Electric Co., Inc. 495,793 3,347 Powell Industries, Inc. (a) 133,144 -------------- 2,855,658 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.7% 9,007 Anixter International, Inc. 527,990 3,556 Badger Meter, Inc. 152,339 33,896 Benchmark Electronics, Inc. (a) 502,339 51,400 CTS Corp. 425,592 13,606 Daktronics, Inc. 119,325 3,132 FARO Technologies, Inc. (a) 125,906 9,675 FEI Co. 532,609 37,013 Insight Enterprises, Inc. (a) 598,500 11,771 Measurement Specialties, Inc. (a) 383,852 60,921 Mercury Computer Systems, Inc. (a) 499,248 26,653 Methode Electronics, Inc. 269,728 12,082 MTS Systems Corp. 609,054 58,500 Newport Corp. (a) 632,970 8,312 OSI Systems, Inc. (a) 658,726 10,423 Park Electrochemical Corp. 258,699 12,817 Plexus Corp. (a) 344,905 143,777 RadiSys Corp. (a) 408,327 32,793 Rofin-Sinar Technologies, Inc. (a) 597,160 6,109 Rogers Corp. (a) 240,756 16,166 ScanSource, Inc. (a) 472,855 19,858 SYNNEX Corp. (a) 643,201 68,609 TTM Technologies, Inc. (a) 617,481 -------------- 9,621,562 -------------- ENERGY EQUIPMENT & SERVICES -- 2.3% 57,665 Basic Energy Services, Inc. (a) 599,139 7,679 Bristow Group, Inc. 383,336 8,458 Geospace Technologies Corp. (a) 547,486 18,570 Gulf Island Fabrication, Inc. 440,666 7,061 Hornbeck Offshore Services, Inc. (a) 244,593 55,935 ION Geophysical Corp. (a) 361,340 48,968 Matrix Service Co. (a) 513,674 83,053 Pioneer Energy Services Corp. (a) 548,150 64,164 TETRA Technologies, Inc. (a) 343,278 -------------- 3,981,662 -------------- FOOD & STAPLES RETAILING -- 1.3% 17,180 Andersons (The), Inc. 674,830 6,795 Casey's General Stores, Inc. 350,282 42,260 Spartan Stores, Inc. 606,854 11,070 United Natural Foods, Inc. (a) 589,367 -------------- 2,221,333 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- FOOD PRODUCTS -- 2.4% 17,077 B&G Foods, Inc. $ 516,921 10,350 Calavo Growers, Inc. 244,363 11,517 Cal-Maine Foods, Inc. 496,728 28,299 Darling International, Inc. (a) 467,782 34,376 Diamond Foods, Inc. 636,644 10,269 Hain Celestial Group (The), Inc. (a) 593,548 2,256 J & J Snack Foods Corp. 129,201 2,916 Sanderson Farms, Inc. 132,066 21,668 Seneca Foods Corp., Class A (a) 619,380 10,350 Snyder's-Lance, Inc. 262,269 -------------- 4,098,902 -------------- GAS UTILITIES -- 0.7% 9,027 Laclede Group (The), Inc. 375,884 2,831 New Jersey Resources Corp. 125,866 5,254 Northwest Natural Gas Co. 244,469 3,985 Piedmont Natural Gas Co., Inc. 127,002 8,784 Southwest Gas Corp. 381,841 -------------- 1,255,062 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 7,206 Abaxis, Inc. (a) 265,037 17,501 Align Technology, Inc. (a) 465,177 6,620 Analogic Corp. 487,629 14,335 Cantel Medical Corp. 372,853 38,512 CryoLife, Inc. 238,389 9,874 Cyberonics, Inc. (a) 456,672 21,272 Greatbatch, Inc. (a) 467,559 3,227 Haemonetics Corp. (a) 263,646 6,418 ICU Medical, Inc. (a) 380,780 9,445 Integra LifeSciences Holdings (a) 361,271 9,151 Invacare Corp. 124,911 6,746 Meridian Bioscience, Inc. 133,234 26,001 Merit Medical Systems, Inc. (a) 375,454 11,295 NuVasive, Inc. (a) 162,874 27,414 Palomar Medical Technologies, Inc. (a) 236,583 19,197 SurModics, Inc. (a) 345,162 13,083 Symmetry Medical, Inc. (a) 119,840 7,316 West Pharmaceutical Services, Inc. 394,113 -------------- 5,651,184 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.0% 5,420 Air Methods Corp. (a) 594,195 30,405 Almost Family, Inc. (a) 630,296 13,677 AmSurg Corp. (a) 390,068 22,637 Bio-Reference Laboratories, Inc. (a) 628,403 13,836 Centene Corp. (a) 525,491 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 5,602 Chemed Corp. $ 376,735 2,891 CorVel Corp. (a) 122,954 16,911 Ensign Group (The), Inc. 493,125 9,072 Hanger, Inc. (a) 229,975 8,493 IPC Hospitalist (The) Co. (a) 292,924 45,484 Kindred Healthcare, Inc. (a) 445,743 4,332 Landauer, Inc. 251,039 5,015 Magellan Health Services, Inc. (a) 251,502 6,066 MWI Veterinary Supply, Inc. (a) 637,051 51,106 PharMerica Corp. (a) 624,515 11,361 PSS World Medical, Inc. (a) 325,152 -------------- 6,819,168 -------------- HEALTH CARE TECHNOLOGY -- 0.7% 18,186 HealthStream, Inc. (a) 464,470 15,590 Medidata Solutions, Inc. (a) 655,092 -------------- 1,119,562 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 356 Biglari Holdings, Inc. (a) 125,885 5,706 BJ's Restaurants, Inc. (a) 188,583 91,642 Boyd Gaming Corp. (a) 565,431 3,018 Buffalo Wild Wings, Inc. (a) 229,217 7,713 Cracker Barrel Old Country Store, Inc. 490,933 6,931 DineEquity, Inc. (a) 434,574 13,673 Interval Leisure Group, Inc. 260,607 9,205 Jack in the Box, Inc. (a) 239,422 58,289 Marcus (The) Corp. 635,350 59,426 Monarch Casino & Resort, Inc. (a) 541,965 41,132 Multimedia Games Holding Co., Inc. (a) 653,999 12,115 Papa John's International, Inc. (a) 645,972 42,253 Pinnacle Entertainment, Inc. (a) 539,148 15,896 Red Robin Gourmet Burgers, Inc. (a) 530,926 71,393 Ruby Tuesday, Inc. (a) 515,458 40,626 Ruth's Hospitality Group, Inc. (a) 270,163 16,370 SHFL entertainment, Inc. (a) 231,308 12,600 Sonic Corp. (a) 125,622 22,702 Texas Roadhouse, Inc. 369,589 -------------- 7,594,152 -------------- HOUSEHOLD DURABLES -- 2.1% 30,810 American Greetings Corp., Class A 529,008 23,613 Ethan Allen Interiors, Inc. 694,458 20,328 Helen of Troy Ltd. (a) 614,312 26,534 La-Z-Boy, Inc. (a) 430,382 21,567 Ryland Group (The), Inc. 730,474 36,802 Universal Electronics, Inc. (a) 631,522 -------------- 3,630,156 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.3% 21,423 Central Garden & Pet Co., Class A (a) $ 241,437 4,917 WD-40 Co. 235,328 -------------- 476,765 -------------- INDUSTRIAL CONGLOMERATES -- 0.2% 8,733 Standex International Corp. 403,814 -------------- INSURANCE -- 2.7% 4,767 AMERISAFE, Inc. (a) 125,134 13,786 eHealth, Inc. (a) 299,156 14,118 Employers Holdings, Inc. 257,654 35,724 Horace Mann Educators Corp. 686,258 6,428 Infinity Property & Casualty Corp. 367,103 33,652 Meadowbrook Insurance Group, Inc. 189,124 22,970 National Financial Partners Corp. (a) 421,500 5,256 Navigators Group (The), Inc. (a) 278,988 18,577 Presidential Life Corp. 259,706 8,462 Safety Insurance Group, Inc. 392,214 6,813 Selective Insurance Group, Inc. 125,972 25,700 Stewart Information Services Corp. 599,324 13,348 Tower Group, Inc. 240,531 15,452 United Fire Group, Inc. 367,294 -------------- 4,609,958 -------------- INTERNET & CATALOG RETAIL -- 0.4% 6,978 Blue Nile, Inc. (a) 263,559 38,664 PetMed Express, Inc. 421,438 -------------- 684,997 -------------- INTERNET SOFTWARE & SERVICES -- 2.2% 36,328 Blucora, Inc. (a) 637,556 13,939 DealerTrack Holdings, Inc. (a) 380,953 46,105 Dice Holdings, Inc. (a) 407,107 15,535 Digital River, Inc. (a) 222,772 11,827 j2 Global, Inc. 355,283 7,732 Liquidity Services, Inc. (a) 318,790 14,291 LivePerson, Inc. (a) 224,226 10,721 Perficient, Inc. (a) 121,898 61,692 QuinStreet, Inc. (a) 377,555 117,208 United Online, Inc. 628,235 15,497 XO Group, Inc. (a) 124,751 -------------- 3,799,126 -------------- IT SERVICES -- 2.7% 13,036 Cardtronics, Inc. (a) 370,353 37,289 CIBER, Inc. (a) 116,342 28,767 CSG Systems International, Inc. (a) 592,888 17,545 Exlservice Holdings, Inc. (a) 520,034 12,253 Heartland Payment Systems, Inc. 319,558 35,609 iGATE Corp. (a) 571,524 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 10,834 MAXIMUS, Inc. $ 597,820 94,040 NCI, Inc., Class A (a) 528,505 30,357 TeleTech Holdings, Inc. (a) 511,212 29,127 Virtusa Corp. (a) 499,819 -------------- 4,628,055 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.7% 6,242 Arctic Cat, Inc. (a) 226,397 11,436 Brunswick Corp. 269,775 8,882 JAKKS Pacific, Inc. 114,667 10,457 Sturm, Ruger & Co., Inc. 493,884 -------------- 1,104,723 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 89,652 Affymetrix, Inc. (a) 284,197 33,095 Cambrex Corp. (a) 399,787 63,430 Enzo Biochem, Inc. (a) 126,860 16,826 PAREXEL International Corp. (a) 516,390 -------------- 1,327,234 -------------- MACHINERY -- 4.0% 13,565 Actuant Corp., Class A 383,075 12,281 Astec Industries, Inc. (a) 353,693 20,695 Barnes Group, Inc. 473,502 13,862 Briggs & Stratton Corp. 273,774 11,818 Cascade Corp. 768,052 13,711 CIRCOR International, Inc. 472,892 14,374 EnPro Industries, Inc. (a) 525,513 3,331 ESCO Technologies, Inc. 124,713 7,925 John Bean Technologies Corp. 122,203 17,377 Kaydon Corp. 388,550 7,192 Lindsay Corp. 549,253 36,735 Lydall, Inc. (a) 474,249 2,847 Mueller Industries, Inc. 124,699 10,857 Robbins & Myers, Inc. 643,603 3,022 Tennant Co. 113,083 13,012 Toro (The) Co. 549,367 10,261 Watts Water Technologies, Inc., Class A 412,800 -------------- 6,753,021 -------------- MEDIA -- 0.6% 3,414 Arbitron, Inc. 124,133 45,563 Digital Generation, Inc. (a) 423,736 12,150 E.W. Scripps (The) Co., Class A (a) 128,911 30,058 Live Nation Entertainment, Inc. (a) 275,031 -------------- 951,811 -------------- METALS & MINING -- 1.9% 15,277 AMCOL International Corp. 482,447 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- METALS & MINING (CONTINUED) 17,005 Globe Specialty Metals, Inc. $ 255,585 7,443 Haynes International, Inc. 377,211 6,648 Kaiser Aluminum Corp. 402,736 27,186 Materion Corp. 569,547 38,327 Olympic Steel, Inc. 689,886 5,405 RTI International Metals, Inc. (a) 123,180 16,055 SunCoke Energy, Inc. (a) 258,004 -------------- 3,158,596 -------------- MULTILINE RETAIL -- 0.4% 45,467 Fred's, Inc., Class A 616,078 19,755 Tuesday Morning Corp. (a) 117,937 -------------- 734,015 -------------- MULTI-UTILITIES -- 0.7% 20,110 Avista Corp. 511,196 1,985 CH Energy Group, Inc. 129,085 14,287 NorthWestern Corp. 511,617 -------------- 1,151,898 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.4% 12,884 Approach Resources, Inc. (a) 317,333 35,744 Cloud Peak Energy, Inc. (a) 754,198 28,160 Comstock Resources, Inc. (a) 482,099 16,558 Gulfport Energy Corp. (a) 549,394 16,365 PDC Energy, Inc. (a) 495,369 83,482 Penn Virginia Corp. 377,339 25,755 Stone Energy Corp. (a) 607,561 30,986 Swift Energy Co. (a) 517,776 -------------- 4,101,069 -------------- PAPER & FOREST PRODUCTS -- 1.3% 20,181 Buckeye Technologies, Inc. 528,742 15,661 Clearwater Paper Corp. (a) 619,236 28,896 KapStone Paper & Packaging Corp. (a) 634,845 13,555 Neenah Paper, Inc. 351,074 3,921 Schweitzer-Mauduit International, Inc. 137,353 -------------- 2,271,250 -------------- PERSONAL PRODUCTS -- 0.7% 28,284 Inter Parfums, Inc. 516,466 24,741 Medifast, Inc. (a) 631,390 -------------- 1,147,856 -------------- PHARMACEUTICALS -- 0.5% 19,577 Akorn, Inc. (a) 235,120 20,053 Medicines (The) Co. (a) 439,562 8,565 ViroPharma, Inc. (a) 216,266 -------------- 890,948 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.6% 15,197 CDI Corp. $ 261,237 4,532 Exponent, Inc. (a) 249,169 5,130 Insperity, Inc. 133,944 51,348 Kelly Services, Inc., Class A 682,415 58,551 Navigant Consulting, Inc. (a) 608,345 39,480 Resources Connection, Inc. 487,183 16,464 TrueBlue, Inc. (a) 214,855 -------------- 2,637,148 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.8% 5,214 Acadia Realty Trust 133,895 6,147 Colonial Properties Trust 132,960 2,433 EastGroup Properties, Inc. 126,662 5,825 Entertainment Properties Trust 258,921 15,566 Extra Space Storage, Inc. 536,871 11,690 Franklin Street Properties Corp. 133,383 5,614 Healthcare Realty Trust, Inc. 131,873 2,889 Kilroy Realty Corp. 128,300 4,063 LTC Properties, Inc. 134,120 1,935 PS Business Parks, Inc. 124,092 2,914 Saul Centers, Inc. 126,089 6,709 Sovran Self Storage, Inc. 387,780 4,004 Tanger Factory Outlet Centers, Inc. 126,006 11,258 Universal Health Realty Income Trust 556,596 -------------- 3,037,548 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 7,766 Forestar Group, Inc. (a) 124,334 -------------- ROAD & RAIL -- 1.2% 81,692 Arkansas Best Corp. 657,621 29,058 Heartland Express, Inc. 405,359 36,195 Knight Transportation, Inc. 547,268 12,870 Old Dominion Freight Line, Inc. (a) 431,660 -------------- 2,041,908 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 21,006 Advanced Energy Industries, Inc. (a) 248,081 80,571 Brooks Automation, Inc. 581,723 16,853 Cirrus Logic, Inc. (a) 686,928 13,779 Cohu, Inc. 121,255 30,427 Diodes, Inc. (a) 461,273 22,233 Entropic Communications, Inc. (a) 106,941 12,441 Kulicke & Soffa Industries, Inc. (a) 127,645 12,419 Micrel, Inc. 120,340 12,895 Microsemi Corp. (a) 247,584 20,306 MKS Instruments, Inc. 479,831 6,552 Monolithic Power Systems, Inc. (a) 127,305 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 18,740 Nanometrics, Inc. (a) $ 257,862 14,900 Pericom Semiconductor Corp. (a) 115,177 36,972 Rudolph Technologies, Inc. (a) 351,604 76,870 TriQuint Semiconductor, Inc. (a) 361,289 12,371 Ultratech, Inc. (a) 382,388 -------------- 4,777,226 -------------- SOFTWARE -- 2.7% 10,481 Bottomline Technologies, Inc. (a) 245,255 8,817 CommVault Systems, Inc. (a) 550,798 16,442 Ebix, Inc. 358,271 28,927 EPIQ Systems, Inc. 353,199 4,307 Interactive Intelligence Group, Inc. (a) 136,575 8,144 JDA Software Group, Inc. (a) 310,612 9,037 Manhattan Associates, Inc. (a) 542,220 966 MicroStrategy, Inc., Class A (a) 91,258 8,299 Monotype Imaging Holdings, Inc. 127,058 20,290 NetScout Systems, Inc. (a) 501,772 7,596 OPNET Technologies, Inc. 322,298 5,278 Sourcefire, Inc. (a) 225,846 5,652 Synchronoss Technologies, Inc. (a) 115,809 8,818 Tyler Technologies, Inc. (a) 421,589 41,385 VASCO Data Security International, Inc. (a) 293,006 -------------- 4,595,566 -------------- SPECIALTY RETAIL -- 6.4% 39,015 Big 5 Sporting Goods Corp. 348,404 2,849 Buckle (The), Inc. 128,689 17,420 Cato (The) Corp., Class A 494,379 8,626 Children's Place Retail Stores (The), Inc. (a) 504,017 22,761 Finish Line (The), Inc., Class A 473,543 7,755 Genesco, Inc. (a) 444,361 4,298 Group 1 Automotive, Inc. 266,519 46,614 Haverty Furniture Cos., Inc. 699,676 6,529 Hibbett Sports, Inc. (a) 352,501 59,493 Hot Topic, Inc. 511,640 2,668 Jos. A. Bank Clothiers, Inc. (a) 124,836 65,157 Kirkland's, Inc. (a) 624,856 11,654 Lithia Motors, Inc., Class A 398,567 12,765 Lumber Liquidators Holdings, Inc. (a) 712,542 18,791 Men's Wearhouse (The), Inc. 616,157 66,274 OfficeMax, Inc. 487,114 63,555 Pep Boys-Manny, Moe & Jack (The) 634,914 16,615 rue21, Inc. (a) 500,278 20,507 Select Comfort Corp. (a) 570,710 20,452 Sonic Automotive, Inc., Class A 396,769 24,578 Stage Stores, Inc. 602,161 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 45,615 Stein Mart, Inc. (a) $ 358,534 8,876 Vitamin Shoppe, Inc. (a) 508,062 4,666 Zumiez, Inc. (a) 118,096 -------------- 10,877,325 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 31,930 Crocs, Inc. (a) 402,318 30,375 Fifth & Pacific Cos., Inc. (a) 333,517 28,376 Iconix Brand Group, Inc. (a) 525,240 6,318 Maidenform Brands, Inc. (a) 118,210 7,674 Movado Group, Inc. 243,189 11,462 Oxford Industries, Inc. 635,912 17,606 Perry Ellis International, Inc. (a) 363,388 194,876 Quiksilver, Inc. (a) 623,603 14,799 Steven Madden Ltd. (a) 635,173 8,749 Wolverine World Wide, Inc. 366,321 -------------- 4,246,871 -------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 28,440 Bank Mutual Corp. 128,264 14,671 Brookline Bancorp, Inc. 124,410 17,923 Dime Community Bancshares, Inc. 259,884 10,580 Northwest Bancshares, Inc. 125,902 16,389 Provident Financial Services, Inc. 245,835 22,621 TrustCo Bank Corp. 126,225 20,249 ViewPoint Financial Group, Inc. 421,179 -------------- 1,431,699 -------------- TOBACCO -- 0.2% 120,183 Alliance One International, Inc. (a) 365,356 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 12,494 Applied Industrial Technologies, Inc. 507,132 10,826 Kaman Corp. 402,727 -------------- 909,859 -------------- WATER UTILITIES -- 0.2% 8,737 American States Water Co. 384,603 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 7,448 NTELOS Holdings Corp. 113,582 54,507 USA Mobility, Inc. 602,302 -------------- 715,884 -------------- TOTAL COMMON STOCKS -- 99.9% 169,495,929 (Cost $162,990,000) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.2% 373,369 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) $ 373,369 -------------- (Cost $373,369) TOTAL INVESTMENTS -- 100.1% 169,869,298 (Cost $163,363,369) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (108,942) -------------- NET ASSETS -- 100.0% $ 169,760,356 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $14,783,294 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,277,365. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $169,495,929 $ -- $ -- Money Market Fund 373,369 -- -- ------------------------------------------------------ Total Investments $169,869,298 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.5% 25,100 General Dynamics Corp. $ 1,708,808 29,622 L-3 Communications Holdings, Inc. 2,186,103 31,975 Northrop Grumman Corp. 2,196,363 2,540 Precision Castparts Corp. 439,598 29,035 Raytheon Co. 1,642,220 7,736 Rockwell Collins, Inc. 414,495 15,855 Textron, Inc. 399,704 5,298 United Technologies Corp. 414,092 -------------- 9,401,383 -------------- AIR FREIGHT & LOGISTICS -- 0.7% 19,614 FedEx Corp. 1,804,292 -------------- AIRLINES -- 0.6% 189,247 Southwest Airlines Co. 1,669,159 -------------- AUTO COMPONENTS -- 1.0% 18,011 BorgWarner, Inc. (a) 1,185,484 60,575 Johnson Controls, Inc. 1,559,806 -------------- 2,745,290 -------------- AUTOMOBILES -- 0.9% 215,420 Ford Motor Co. 2,404,087 -------------- BEVERAGES -- 1.1% 26,537 Coca-Cola Enterprises, Inc. 834,323 25,654 Constellation Brands, Inc., Class A (a) 906,612 27,633 Molson Coors Brewing Co., Class B 1,192,088 -------------- 2,933,023 -------------- CAPITAL MARKETS -- 2.3% 55,031 Bank of New York Mellon (The) Corp. 1,359,816 141,292 E*TRADE Financial Corp. (a) 1,181,201 20,053 Federated Investors, Inc., Class B 466,032 7,302 Goldman Sachs Group (The), Inc. 893,692 16,603 Invesco Ltd. 403,785 16,811 Legg Mason, Inc. 428,344 49,571 Morgan Stanley 861,544 9,889 State Street Corp. 440,753 -------------- 6,035,167 -------------- CHEMICALS -- 1.2% 10,036 Air Products and Chemicals, Inc. 778,091 28,654 Dow Chemical (The) Co. 839,562 28,809 Mosaic (The) Co. 1,507,863 -------------- 3,125,516 -------------- COMMERCIAL BANKS -- 2.5% 12,515 BB&T Corp. 362,309 13,362 Comerica, Inc. 398,321 53,503 Fifth Third Bancorp 777,399 180,402 Huntington Bancshares, Inc. 1,152,769 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 142,422 KeyCorp $ 1,199,193 13,151 PNC Financial Services Group, Inc. 765,257 24,035 Wells Fargo & Co. 809,739 60,266 Zions Bancorporation 1,293,911 -------------- 6,758,898 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 13,038 Avery Dennison Corp. 422,170 10,012 Cintas Corp. 418,602 30,024 Pitney Bowes, Inc. 431,145 78,288 R.R. Donnelley & Sons Co. 784,446 60,330 Republic Services, Inc. 1,710,355 30,024 Tyco International Ltd. 806,745 25,869 Waste Management, Inc. 846,951 -------------- 5,420,414 -------------- COMMUNICATIONS EQUIPMENT -- 0.8% 86,941 Cisco Systems, Inc. 1,490,169 16,202 Harris Corp. 741,727 -------------- 2,231,896 -------------- COMPUTERS & PERIPHERALS -- 2.2% 215,420 Dell, Inc. 1,988,326 95,461 Lexmark International, Inc., Class A 2,029,501 54,843 Western Digital Corp. 1,877,276 -------------- 5,895,103 -------------- CONSTRUCTION & ENGINEERING -- 0.6% 30,788 Jacobs Engineering Group, Inc. (a) 1,188,109 16,797 Quanta Services, Inc. (a) 435,546 -------------- 1,623,655 -------------- CONSUMER FINANCE -- 0.5% 7,276 Capital One Financial Corp. 437,797 10,444 Discover Financial Services 428,204 26,396 SLM Corp. 464,042 -------------- 1,330,043 -------------- CONTAINERS & PACKAGING -- 0.5% 26,368 Bemis Co., Inc. 871,463 26,838 Sealed Air Corp. 435,312 -------------- 1,306,775 -------------- DIVERSIFIED FINANCIAL SERVICES -- 3.4% 187,961 Bank of America Corp. 1,751,796 38,042 Citigroup, Inc. 1,422,390 21,725 CME Group, Inc. 1,215,079 30,751 JPMorgan Chase & Co. 1,281,702 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES (CONTINUED) 71,248 NASDAQ OMX Group (The), Inc. $ 1,696,415 67,331 NYSE Euronext 1,667,116 -------------- 9,034,498 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 30,811 CenturyLink, Inc. 1,182,526 338,717 Frontier Communications Corp. 1,598,744 -------------- 2,781,270 -------------- ELECTRIC UTILITIES -- 5.4% 37,773 American Electric Power Co., Inc. 1,678,632 19,211 Duke Energy Corp. 1,261,971 9,080 Edison International 426,215 23,949 Entergy Corp. 1,738,218 23,325 Exelon Corp. 834,568 28,227 FirstEnergy Corp. 1,290,538 11,801 NextEra Energy, Inc. 826,778 87,816 Pepco Holdings, Inc. 1,744,904 23,575 Pinnacle West Capital Corp. 1,248,768 57,131 PPL Corp. 1,689,935 9,002 Southern (The) Co. 421,654 44,923 Xcel Energy, Inc. 1,269,075 -------------- 14,431,256 -------------- ELECTRICAL EQUIPMENT -- 0.3% 17,194 Emerson Electric Co. 832,705 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% 161,522 Corning, Inc. 1,897,884 83,091 FLIR Systems, Inc. 1,614,458 88,661 Jabil Circuit, Inc. 1,537,382 63,155 Molex, Inc. 1,640,135 36,599 TE Connectivity Ltd. 1,177,756 -------------- 7,867,615 -------------- ENERGY EQUIPMENT & SERVICES -- 4.1% 46,961 Baker Hughes, Inc. 1,970,953 38,929 Ensco PLC, Class A 2,250,875 63,045 Halliburton Co. 2,035,723 151,392 Nabors Industries Ltd. (a) 2,042,278 46,388 Noble Corp. 1,750,683 24,576 Rowan Cos. PLC, Class A (a) 779,305 -------------- 10,829,817 -------------- FOOD & STAPLES RETAILING -- 1.9% 17,138 CVS Caremark Corp. 795,203 17,627 Kroger (The) Co. 444,553 103,151 Safeway, Inc. 1,682,393 13,270 Sysco Corp. 412,299 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 45,546 Walgreen Co. $ 1,604,585 -------------- 4,939,033 -------------- FOOD PRODUCTS -- 1.6% 45,796 Archer-Daniels-Midland Co. 1,229,165 28,382 Hormel Foods Corp. 838,120 132,588 Tyson Foods, Inc., Class A 2,228,804 -------------- 4,296,089 -------------- GAS UTILITIES -- 0.3% 20,286 AGL Resources, Inc. 828,277 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6% 14,614 CareFusion Corp. (a) 388,148 28,866 Medtronic, Inc. 1,200,248 -------------- 1,588,396 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 53,637 Aetna, Inc. 2,343,937 21,293 Cardinal Health, Inc. 875,781 17,594 Cigna Corp. 897,294 39,810 Coventry Health Care, Inc. 1,737,308 30,278 Humana, Inc. 2,248,747 4,824 McKesson Corp. 450,128 16,544 Tenet Healthcare Corp. (a) 390,438 36,613 WellPoint, Inc. 2,243,645 -------------- 11,187,278 -------------- HOTELS, RESTAURANTS & LEISURE -- 0.8% 34,161 Carnival Corp. 1,294,019 63,395 International Game Technology 813,992 -------------- 2,108,011 -------------- HOUSEHOLD DURABLES -- 2.4% 102,910 D.R. Horton, Inc. 2,156,994 46,016 Harman International Industries, Inc. 1,929,451 11,932 Lennar Corp., Class A 447,092 20,017 Whirlpool Corp. 1,955,260 -------------- 6,488,797 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.9% 113,470 AES (The) Corp. 1,185,762 58,193 NRG Energy, Inc. 1,254,641 -------------- 2,440,403 -------------- INDUSTRIAL CONGLOMERATES -- 0.3% 8,980 3M Co. 786,648 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 4.7% 5,486 ACE Ltd. $ 431,474 20,949 Allstate (The) Corp. 837,541 64,777 American International Group, Inc. (a) 2,262,660 56,943 Assurant, Inc. 2,153,015 4,704 Berkshire Hathaway, Inc., Class B (a) 406,190 158,674 Genworth Financial, Inc., Class A (a) 945,697 21,346 Hartford Financial Services Group (The), Inc. 463,422 48,165 MetLife, Inc. 1,709,376 30,803 Principal Financial Group, Inc. 848,315 22,836 Prudential Financial, Inc. 1,302,794 24,242 Torchmark Corp. 1,226,403 -------------- 12,586,887 -------------- INTERNET SOFTWARE & SERVICES -- 0.5% 77,921 Yahoo!, Inc. (a) 1,309,852 -------------- IT SERVICES -- 1.2% 39,873 Fidelity National Information Services, Inc. 1,310,626 52,523 Total System Services, Inc. 1,181,242 45,546 Western Union Co. 578,434 -------------- 3,070,302 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 21,742 Hasbro, Inc. 782,495 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 32,375 Agilent Technologies, Inc. 1,165,176 21,161 Thermo Fisher Scientific, Inc. 1,292,091 -------------- 2,457,267 -------------- MACHINERY -- 3.6% 9,647 Caterpillar, Inc. 818,162 23,035 Cummins, Inc. 2,155,615 27,899 Dover Corp. 1,624,280 35,118 Eaton Corp. 1,658,272 31,101 PACCAR, Inc. 1,347,917 19,856 Parker Hannifin Corp. 1,561,873 16,499 Xylem, Inc. 400,266 -------------- 9,566,385 -------------- MEDIA -- 2.2% 11,419 CBS Corp., Class B 369,976 23,200 Comcast Corp., Class A 870,232 93,503 Gannett Co., Inc. 1,580,201 111,941 Interpublic Group of Cos. (The), Inc. 1,130,604 9,154 Time Warner, Inc. 397,741 7,936 Walt Disney (The) Co. 389,419 3,429 Washington Post (The) Co., Class B 1,143,606 -------------- 5,881,779 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- METALS & MINING -- 2.6% 187,538 Alcoa, Inc. $ 1,607,201 39,022 Allegheny Technologies, Inc. 1,028,230 41,933 Freeport-McMoRan Copper & Gold, Inc. 1,630,355 21,688 Nucor Corp. 870,339 32,342 Titanium Metals Corp. 378,725 65,276 United States Steel Corp. 1,330,977 -------------- 6,845,827 -------------- MULTILINE RETAIL -- 1.9% 71,807 Big Lots, Inc. (a) 2,091,738 32,403 Kohl's Corp. 1,726,432 33,089 Macy's, Inc. 1,259,698 -------------- 5,077,868 -------------- MULTI-UTILITIES -- 4.9% 25,401 Ameren Corp. 835,185 58,442 CenterPoint Energy, Inc. 1,266,438 35,239 CMS Energy Corp. 857,012 13,856 Consolidated Edison, Inc. 836,625 20,766 DTE Energy Co. 1,289,569 15,896 Integrys Energy Group, Inc. 859,020 32,569 NiSource, Inc. 829,532 29,172 PG&E Corp. 1,240,393 51,578 Public Service Enterprise Group, Inc. 1,652,559 17,194 SCANA Corp. 843,882 12,866 Sempra Energy 897,404 70,169 TECO Energy, Inc. 1,253,920 11,014 Wisconsin Energy Corp. 423,709 -------------- 13,085,248 -------------- OFFICE ELECTRONICS -- 0.7% 289,379 Xerox Corp. 1,863,601 -------------- OIL, GAS & CONSUMABLE FUELS -- 14.5% 24,562 Apache Corp. 2,032,506 112,560 Chesapeake Energy Corp. 2,280,466 18,222 Chevron Corp. 2,008,247 37,145 ConocoPhillips 2,148,838 55,232 CONSOL Energy, Inc. 1,941,957 131,437 Denbury Resources, Inc. (a) 2,014,929 35,108 Devon Energy Corp. 2,043,637 23,226 Exxon Mobil Corp. 2,117,514 39,540 Hess Corp. 2,066,360 71,830 Marathon Oil Corp. 2,159,210 38,908 Marathon Petroleum Corp. 2,137,216 39,562 Murphy Oil Corp. 2,373,720 67,818 Newfield Exploration Co. (a) 1,839,224 24,680 Occidental Petroleum Corp. 1,948,733 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 45,804 Phillips 66 $ 2,160,117 52,422 QEP Resources, Inc. 1,520,238 14,134 Spectra Energy Corp. 408,049 50,694 Tesoro Corp. 1,911,671 67,044 Valero Energy Corp. 1,950,980 100,043 WPX Energy, Inc. (a) 1,694,728 -------------- 38,758,340 -------------- PAPER & FOREST PRODUCTS -- 0.3% 22,849 International Paper Co. 818,680 -------------- PHARMACEUTICALS -- 1.4% 12,293 Bristol-Myers Squibb Co. 408,742 26,256 Eli Lilly & Co. 1,276,829 46,608 Forest Laboratories, Inc. (a) 1,571,156 16,698 Pfizer, Inc. 415,279 -------------- 3,672,006 -------------- ROAD & RAIL -- 1.8% 59,988 CSX Corp. 1,227,954 26,084 Norfolk Southern Corp. 1,600,254 42,491 Ryder System, Inc. 1,917,194 -------------- 4,745,402 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.5% 10,588 Analog Devices, Inc. 414,097 148,653 Applied Materials, Inc. 1,575,722 93,651 Intel Corp. 2,025,203 277,313 Micron Technology, Inc. (a) 1,504,423 93,310 NVIDIA Corp. (a) 1,116,921 149,370 Teradyne, Inc. (a) 2,183,789 15,062 Texas Instruments, Inc. 423,091 -------------- 9,243,246 -------------- SOFTWARE -- 1.5% 12,783 Adobe Systems, Inc. (a) 434,622 48,311 CA, Inc. 1,087,964 27,867 Microsoft Corp. 795,185 92,205 Symantec Corp. (a) 1,677,209 -------------- 3,994,980 -------------- SPECIALTY RETAIL -- 2.1% 24,465 Abercrombie & Fitch Co., Class A 748,140 101,145 GameStop Corp., Class A 2,309,140 13,720 Lowe's Cos., Inc. 444,253 184,376 Staples, Inc. 2,123,090 -------------- 5,624,623 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 34,179 People's United Financial, Inc. $ 411,173 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 141,733 MetroPCS Communications, Inc. (a) 1,447,094 -------------- TOTAL COMMON STOCKS -- 99.9% 266,367,849 (Cost $260,263,421) MONEY MARKET FUND -- 0.1% 272,261 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 272,261 (Cost $272,261) -------------- TOTAL INVESTMENTS -- 100.0% 266,640,110 (Cost $260,535,682) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (47,713) -------------- NET ASSETS -- 100.0% $266,592,397 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $15,938,728 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,834,300. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $266,367,849 $ -- $ -- Money Market Fund 272,261 -- -- ------------------------------------------------------ Total Investments $266,640,110 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.7% 7,643 Boeing (The) Co. $ 538,373 13,359 Honeywell International, Inc. 818,105 8,548 Lockheed Martin Corp. 800,691 -------------- 2,157,169 -------------- BEVERAGES -- 0.6% 3,954 Brown-Forman Corp., Class B 253,293 5,794 Dr. Pepper Snapple Group, Inc. 248,273 3,646 PepsiCo, Inc. 252,449 -------------- 754,015 -------------- BIOTECHNOLOGY -- 4.0% 11,629 Alexion Pharmaceuticals, Inc. (a) 1,051,029 12,622 Amgen, Inc. 1,092,371 5,349 Biogen Idec, Inc. (a) 739,339 10,448 Celgene Corp. (a) 766,047 20,057 Gilead Sciences, Inc. (a) 1,347,028 -------------- 4,995,814 -------------- BUILDING PRODUCTS -- 1.1% 88,395 Masco Corp. 1,333,881 -------------- CAPITAL MARKETS -- 0.4% 4,255 Franklin Resources, Inc. 543,789 -------------- CHEMICALS -- 8.6% 6,466 Airgas, Inc. 575,280 5,986 CF Industries Holdings, Inc. 1,228,267 10,586 E.I. du Pont de Nemours & Co. 471,289 23,335 Eastman Chemical Co. 1,382,365 12,316 Ecolab, Inc. 857,194 19,218 FMC Corp. 1,028,547 4,330 International Flavors & Fragrances, Inc. 279,805 25,752 LyondellBasell Industries N.V., Class A 1,374,899 11,693 Monsanto Co. 1,006,416 11,584 PPG Industries, Inc. 1,356,255 8,934 Sherwin-Williams (The) Co. 1,273,810 -------------- 10,834,127 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 7,564 Iron Mountain, Inc. 261,714 2,850 Stericycle, Inc. (a) 270,066 -------------- 531,780 -------------- COMMUNICATIONS EQUIPMENT -- 0.6% 2,464 F5 Networks, Inc. (a) 203,231 8,516 QUALCOMM, Inc. 498,824 -------------- 702,055 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 2.3% 1,994 Apple, Inc. $ 1,186,629 19,514 EMC Corp. (a) 476,532 42,914 Seagate Technology PLC 1,172,411 -------------- 2,835,572 -------------- CONSTRUCTION & ENGINEERING -- 0.8% 18,910 Fluor Corp. 1,056,123 -------------- CONTAINERS & PACKAGING -- 0.6% 18,866 Ball Corp. 808,031 -------------- DISTRIBUTORS -- 0.4% 8,719 Genuine Parts Co. 545,635 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 18,071 Moody's Corp. 870,299 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 17,516 Verizon Communications, Inc. 781,914 -------------- ELECTRICAL EQUIPMENT -- 2.1% 17,724 Cooper Industries PLC 1,328,237 3,710 Rockwell Automation, Inc. 263,633 9,685 Roper Industries, Inc. 1,057,311 -------------- 2,649,181 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.4% 9,038 Amphenol Corp., Class A 543,455 -------------- ENERGY EQUIPMENT & SERVICES -- 3.5% 23,727 Cameron International Corp. (a) 1,201,535 17,240 FMC Technologies, Inc. (a) 705,116 11,177 Helmerich & Payne, Inc. 534,261 16,607 National Oilwell Varco, Inc. 1,223,936 11,036 Schlumberger Ltd. 767,333 -------------- 4,432,181 -------------- FOOD & STAPLES RETAILING -- 2.7% 10,629 Costco Wholesale Corp. 1,046,212 18,026 Wal-Mart Stores, Inc. 1,352,311 10,927 Whole Foods Market, Inc. 1,035,115 -------------- 3,433,638 -------------- FOOD PRODUCTS -- 2.7% 6,474 General Mills, Inc. 259,478 4,611 H. J. Heinz Co. 265,178 3,640 Hershey (The) Co. 250,614 12,328 J.M. Smucker (The) Co. 1,055,770 12,866 McCormick & Co., Inc. 792,803 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 29,511 Mondelez International, Inc., Class A $ 783,222 -------------- 3,407,065 -------------- GAS UTILITIES -- 1.0% 27,538 ONEOK, Inc. 1,302,547 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% 4,282 Baxter International, Inc. 268,182 13,433 Covidien PLC 738,143 13,952 DENTSPLY International, Inc. 513,992 9,912 Edwards Lifesciences Corp. (a) 860,659 3,816 Zimmer Holdings, Inc. 245,025 -------------- 2,626,001 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.2% 12,840 DaVita HealthCare Partners, Inc. (a) 1,444,757 21,228 Express Scripts Holding Co. (a) 1,306,371 2,790 Laboratory Corp. of America Holdings (a) 236,397 7,535 Patterson Cos., Inc. 251,669 8,389 Quest Diagnostics, Inc. 484,213 4,656 UnitedHealth Group, Inc. 260,736 -------------- 3,984,143 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 19,090 Darden Restaurants, Inc. 1,004,516 13,610 Marriott International, Inc. 496,493 18,362 Starwood Hotels & Resorts Worldwide, Inc. 952,070 8,021 Yum! Brands, Inc. 562,352 -------------- 3,015,431 -------------- HOUSEHOLD DURABLES -- 1.2% 85,829 PulteGroup, Inc. (a) 1,488,275 -------------- HOUSEHOLD PRODUCTS -- 0.8% 2,406 Colgate-Palmolive Co. 252,533 6,204 Kimberly-Clark Corp. 517,724 3,720 Procter & Gamble (The) Co. 257,573 -------------- 1,027,830 -------------- INDUSTRIAL CONGLOMERATES -- 0.6% 14,473 Danaher Corp. 748,688 -------------- INSURANCE -- 3.3% 27,785 Aflac, Inc. 1,383,137 20,353 Aon PLC 1,098,044 6,976 Chubb (The) Corp. 537,013 15,592 Travelers (The) Cos., Inc. 1,106,097 -------------- 4,124,291 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 1.6% 4,185 Amazon.com, Inc. (a) $ 974,352 18,400 Expedia, Inc. 1,088,360 -------------- 2,062,712 -------------- INTERNET SOFTWARE & SERVICES -- 3.5% 27,817 Akamai Technologies, Inc. (a) 1,056,768 27,481 eBay, Inc. (a) 1,327,057 1,763 Google, Inc., Class A (a) 1,198,435 21,858 Verisign, Inc. (a) 810,276 -------------- 4,392,536 -------------- IT SERVICES -- 4.8% 18,997 Accenture PLC, Class A 1,280,588 9,072 Automatic Data Processing, Inc. 524,271 7,611 Cognizant Technology Solutions Corp., Class A (a) 507,273 7,188 Fiserv, Inc. (a) 538,669 1,768 MasterCard, Inc., Class A 814,924 15,985 Paychex, Inc. 518,393 10,585 Teradata Corp. (a) 723,061 7,926 Visa, Inc., Class A 1,099,812 -------------- 6,006,991 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.7% 22,497 Mattel, Inc. 827,440 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.4% 10,887 Life Technologies Corp. (a) 532,483 -------------- MACHINERY -- 5.6% 9,676 Deere & Co. 826,717 10,414 Flowserve Corp. 1,410,993 17,896 Illinois Tool Works, Inc. 1,097,562 16,763 Pall Corp. 1,055,399 18,510 Snap-on, Inc. 1,431,378 17,447 Stanley Black & Decker, Inc. 1,209,077 -------------- 7,031,126 -------------- MEDIA -- 5.8% 20,287 DIRECTV (a) 1,036,869 17,848 Discovery Communications, Inc., Class A (a) 1,053,389 14,622 McGraw-Hill (The) Cos., Inc. 808,304 20,642 Omnicom Group, Inc. 988,958 17,382 Scripps Networks Interactive, Class A 1,055,435 13,995 Time Warner Cable, Inc. 1,387,045 19,860 Viacom, Inc., Class B 1,018,222 -------------- 7,348,222 -------------- METALS & MINING -- 0.2% 4,606 Newmont Mining Corp. 251,257 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 2.5% 11,023 Dollar Tree, Inc. (a) $ 439,487 12,039 Family Dollar Stores, Inc. 794,092 14,466 Nordstrom, Inc. 821,235 16,768 Target Corp. 1,068,960 -------------- 3,123,774 -------------- OIL, GAS & CONSUMABLE FUELS -- 5.3% 29,629 Cabot Oil & Gas Corp. 1,391,970 11,873 EOG Resources, Inc. 1,383,086 9,019 EQT Corp. 546,822 7,264 Kinder Morgan, Inc. 252,133 5,740 Noble Energy, Inc. 545,357 10,194 Pioneer Natural Resources Co. 1,076,996 15,232 Range Resources Corp. 995,564 15,217 Williams (The) Cos., Inc. 532,443 -------------- 6,724,371 -------------- PERSONAL PRODUCTS -- 0.6% 12,964 Estee Lauder (The) Cos., Inc., Class A 798,842 -------------- PHARMACEUTICALS -- 3.6% 11,642 Abbott Laboratories 762,784 17,699 Merck & Co., Inc. 807,605 43,618 Mylan, Inc. (a) 1,105,280 4,581 Perrigo Co. 526,861 15,622 Watson Pharmaceuticals, Inc. (a) 1,342,711 -------------- 4,545,241 -------------- PROFESSIONAL SERVICES -- 0.9% 3,240 Dun & Bradstreet (The) Corp. 262,570 11,424 Equifax, Inc. 571,657 9,689 Robert Half International, Inc. 260,537 -------------- 1,094,764 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.6% 11,181 American Tower Corp. 841,818 4,811 Boston Properties, Inc. 511,409 11,964 HCP, Inc. 530,005 9,215 Health Care REIT, Inc. 547,648 12,138 Plum Creek Timber Co., Inc. 532,858 22,786 Prologis, Inc. 781,332 1,700 Simon Property Group, Inc. 258,757 8,548 Ventas, Inc. 540,832 -------------- 4,544,659 -------------- ROAD & RAIL -- 0.7% 6,725 Union Pacific Corp. 827,377 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 36,045 First Solar, Inc. (a) 876,254 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 115,515 LSI Corp. (a) $ 791,278 -------------- 1,667,532 -------------- SOFTWARE -- 1.0% 3,370 Citrix Systems, Inc. (a) 208,300 4,531 Red Hat, Inc. (a) 222,789 5,228 Salesforce.com, Inc. (a) 763,183 -------------- 1,194,272 -------------- SPECIALTY RETAIL -- 5.1% 698 AutoZone, Inc. (a) 261,750 4,095 Bed Bath & Beyond, Inc. (a) 236,200 22,037 Home Depot (The), Inc. 1,352,631 16,204 Limited Brands, Inc. 776,010 3,085 O'Reilly Automotive, Inc. (a) 264,323 16,475 Ross Stores, Inc. 1,004,151 4,169 Tiffany & Co. 263,564 23,762 TJX (The) Cos., Inc. 989,212 35,419 Urban Outfitters, Inc. (a) 1,266,583 -------------- 6,414,424 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 3,046 Fossil, Inc. (a) 265,307 2,718 NIKE, Inc., Class B 248,371 1,706 Ralph Lauren Corp. 262,195 8,348 VF Corp. 1,306,295 -------------- 2,082,168 -------------- TOBACCO -- 0.4% 5,917 Philip Morris International, Inc. 524,010 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 6,002 Fastenal Co. 268,289 3,831 W.W. Grainger, Inc. 771,602 -------------- 1,039,891 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 16,603 Crown Castle International Corp. (a) 1,108,250 -------------- TOTAL COMMON STOCKS -- 99.8% 125,675,272 (Cost $115,155,046) MONEY MARKET FUND -- 0.2% 201,388 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 201,388 (Cost $201,388) -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 125,876,660 (Cost $115,356,434) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 9,214 -------------- NET ASSETS -- 100.0% $ 125,885,874 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,564,685 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,044,459. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $125,675,272 $ -- $ -- Money Market Fund 201,388 -- -- ------------------------------------------------------ Total Investments $125,876,660 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.4% 4,056 AAR Corp. $ 61,205 3,167 Alliant Techsystems, Inc. 181,437 733 B/E Aerospace, Inc. (a) 33,051 2,726 Ceradyne, Inc. 95,301 2,037 Curtiss-Wright Corp. 62,882 3,610 Engility Holdings, Inc. (a) 68,590 1,130 Esterline Technologies Corp. (a) 65,303 15,349 Exelis, Inc. 169,760 2,530 General Dynamics Corp. 172,242 2,986 L-3 Communications Holdings, Inc. 220,367 1,760 Moog, Inc., Class A (a) 65,138 3,224 Northrop Grumman Corp. 221,456 3,594 Orbital Sciences Corp. (a) 48,160 257 Precision Castparts Corp. 44,479 2,927 Raytheon Co. 165,551 780 Rockwell Collins, Inc. 41,792 1,598 Textron, Inc. 40,286 535 United Technologies Corp. 41,816 -------------- 1,798,816 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 1,977 FedEx Corp. 181,864 882 Hub Group, Inc., Class A (a) 27,351 4,713 UTi Worldwide, Inc. 65,464 -------------- 274,679 -------------- AIRLINES -- 0.8% 33,133 JetBlue Airways Corp. (a) 175,274 6,449 SkyWest, Inc. 70,616 19,077 Southwest Airlines Co. 168,259 -------------- 414,149 -------------- AUTO COMPONENTS -- 0.9% 1,815 BorgWarner, Inc. (a) 119,463 1,299 Drew Industries, Inc. (a) 41,140 6,107 Johnson Controls, Inc. 157,255 7,849 Spartan Motors, Inc. 36,890 3,616 Standard Motor Products, Inc. 67,909 3,899 Superior Industries International, Inc. 66,634 -------------- 489,291 -------------- AUTOMOBILES -- 0.6% 21,716 Ford Motor Co. 242,351 1,747 Thor Industries, Inc. 66,438 -------------- 308,789 -------------- BEVERAGES -- 0.6% 2,676 Coca-Cola Enterprises, Inc. 84,134 2,586 Constellation Brands, Inc., Class A (a) 91,389 2,786 Molson Coors Brewing Co., Class B 120,188 -------------- 295,711 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- BIOTECHNOLOGY -- 0.1% 3,682 Emergent Biosolutions, Inc. (a) $ 48,934 -------------- BUILDING PRODUCTS -- 0.2% 3,061 Gibraltar Industries, Inc. (a) 38,140 5,079 Griffon Corp. 51,552 456 Simpson Manufacturing Co., Inc. 13,890 631 Universal Forest Products, Inc. 24,293 -------------- 127,875 -------------- CAPITAL MARKETS -- 1.9% 5,547 Bank of New York Mellon (The) Corp. 137,066 2,247 Calamos Asset Management, Inc., Class A 24,268 14,243 E*TRADE Financial Corp. (a) 119,071 2,021 Federated Investors, Inc., Class B 46,968 737 Goldman Sachs Group (The), Inc. 90,201 1,673 Invesco Ltd. 40,687 6,725 Janus Capital Group, Inc. 57,163 6,956 Jefferies Group, Inc. 99,053 1,695 Legg Mason, Inc. 43,189 4,997 Morgan Stanley 86,848 5,782 Prospect Capital Corp. 68,459 1,437 SEI Investments Co. 31,442 996 State Street Corp. 44,392 779 Stifel Financial Corp. (a) 24,694 775 Virtus Investment Partners, Inc. (a) 74,400 -------------- 987,901 -------------- CHEMICALS -- 1.9% 2,197 A. Schulman, Inc. 56,375 1,012 Air Products and Chemicals, Inc. 78,460 4,340 Cabot Corp. 155,198 1,829 Calgon Carbon Corp. (a) 22,661 2,889 Dow Chemical (The) Co. 84,648 1,341 Minerals Technologies, Inc. 96,096 2,903 Mosaic (The) Co. 151,943 5,843 Olin Corp. 121,184 2,116 OM Group, Inc. (a) 42,807 789 PolyOne Corp. 14,936 2,590 Sensient Technologies Corp. 94,224 2,950 Tredegar Corp. 50,062 1,730 Zep, Inc. 24,791 -------------- 993,385 -------------- COMMERCIAL BANKS -- 3.6% 4,821 Associated Banc-Corp. 62,143 2,093 BancorpSouth, Inc. 29,616 1,261 BB&T Corp. 36,506 1,038 BBCN Bancorp, Inc. 12,383 1,364 Boston Private Financial Holdings, Inc. 12,576 3,678 Cathay General Bancorp 65,064 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 366 City Holding Co. $ 12,854 599 City National Corp. 30,609 1,410 Columbia Banking System, Inc. 24,971 1,348 Comerica, Inc. 40,184 764 Commerce Bancshares, Inc. 29,093 927 Community Bank System, Inc. 25,576 1,095 CVB Financial Corp. 11,848 3,005 East West Bancorp, Inc. 63,976 1,166 F.N.B. Corp. 12,511 5,394 Fifth Third Bancorp 78,375 2,959 First BanCorp (a) 12,546 1,856 First Commonwealth Financial Corp. 12,157 774 First Financial Bancorp 12,152 7,847 First Niagara Financial Group, Inc. 64,973 4,310 FirstMerit Corp. 59,737 6,437 Fulton Financial Corp. 62,568 4,084 Hanmi Financial Corp. (a) 50,682 18,186 Huntington Bancshares, Inc. 116,208 435 Independent Bank Corp. 12,837 4,998 International Bancshares Corp. 90,714 14,357 KeyCorp 120,886 2,871 National Penn Bancshares, Inc. 25,638 1,186 NBT Bancorp, Inc. 25,226 1,923 Old National Bancorp 23,595 2,032 Pinnacle Financial Partners, Inc. (a) 39,726 1,326 PNC Financial Services Group, Inc. 77,160 818 PrivateBancorp, Inc. 13,219 723 Prosperity Bancshares, Inc. 30,265 1,486 S&T Bancorp, Inc. 26,109 1,075 Simmons First National Corp., Class A 26,757 1,319 Sterling Bancorp 12,596 1,251 Susquehanna Bancshares, Inc. 12,973 13,010 Synovus Financial Corp. 31,874 322 Tompkins Financial Corp. 13,035 1,266 Trustmark Corp. 29,713 2,030 Umpqua Holdings Corp. 24,543 524 United Bankshares, Inc. 12,487 2,679 Webster Financial Corp. 58,938 2,422 Wells Fargo & Co. 81,597 6,228 Wilshire Bancorp, Inc. (a) 40,544 695 Wintrust Financial Corp. 25,680 6,076 Zions Bancorporation 130,452 -------------- 1,925,872 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 2,073 ABM Industries, Inc. 39,387 1,315 Avery Dennison Corp. 42,580 2,472 Brink's (The) Co. 65,038 1,010 Cintas Corp. 42,228 2,553 Consolidated Graphics, Inc. (a) 75,339 922 Corrections Corp. of America 31,025 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 3,117 Deluxe Corp. $ 98,217 1,851 Encore Capital Group, Inc. (a) 53,679 836 G&K Services, Inc., Class A 26,961 946 Geo Group (The), Inc. 26,223 1,587 Herman Miller, Inc. 30,772 827 Mine Safety Appliances Co. 31,922 2,348 Mobile Mini, Inc. (a) 40,902 3,027 Pitney Bowes, Inc. 43,468 7,892 R.R. Donnelley & Sons Co. 79,078 6,082 Republic Services, Inc. 172,425 4,957 Sykes Enterprises, Inc. (a) 67,514 1,494 Tetra Tech, Inc. (a) 38,754 3,027 Tyco International Ltd. 81,336 997 UniFirst Corp. 69,361 2,011 United Stationers, Inc. 58,359 626 Viad Corp. 13,278 1,019 Waste Connections, Inc. 33,454 2,608 Waste Management, Inc. 85,386 -------------- 1,346,686 -------------- COMMUNICATIONS EQUIPMENT -- 1.0% 701 Bel Fuse, Inc., Class B 11,609 8,765 Cisco Systems, Inc. 150,232 1,894 Comtech Telecommunications Corp. 47,672 2,575 Digi International, Inc. (a) 24,256 5,763 Harmonic, Inc. (a) 25,011 1,633 Harris Corp. 74,759 1,797 Plantronics, Inc. 58,295 9,648 Polycom, Inc. (a) 96,673 3,753 Symmetricom, Inc. (a) 23,081 -------------- 511,588 -------------- COMPUTERS & PERIPHERALS -- 1.5% 21,716 Dell, Inc. 200,439 2,825 Diebold, Inc. 84,044 9,623 Lexmark International, Inc., Class A 204,585 13,897 QLogic Corp. (a) 130,354 2,175 Super Micro Computer, Inc. (a) 17,204 5,529 Western Digital Corp. 189,257 -------------- 825,883 -------------- CONSTRUCTION & ENGINEERING -- 1.2% 7,501 AECOM Technology Corp. (a) 161,046 2,048 Aegion Corp. (a) 37,827 4,632 Dycom Industries, Inc. (a) 65,960 1,374 EMCOR Group, Inc. 44,188 2,210 Granite Construction, Inc. 66,764 3,103 Jacobs Engineering Group, Inc. (a) 119,745 4,257 KBR, Inc. 118,600 1,694 Quanta Services, Inc. (a) 43,925 -------------- 658,055 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 0.2% 735 Capital One Financial Corp. $ 44,225 1,053 Discover Financial Services 43,173 2,660 SLM Corp. 46,763 -------------- 134,161 -------------- CONTAINERS & PACKAGING -- 0.6% 2,658 Bemis Co., Inc. 87,847 1,436 Greif, Inc., Class A 60,255 2,513 Myers Industries, Inc. 37,268 2,706 Sealed Air Corp. 43,891 3,072 Sonoco Products Co. 95,631 -------------- 324,892 -------------- DISTRIBUTORS -- 0.1% 8,906 VOXX International Corp. (a) 55,395 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 27,989 Corinthian Colleges, Inc. (a) 76,410 2,877 Hillenbrand, Inc. 58,892 6,228 Lincoln Educational Services Corp. 23,106 3,193 Matthews International Corp., Class A 91,863 2,290 Service Corp. International 32,152 1,909 Universal Technical Institute, Inc. 24,473 -------------- 306,896 -------------- DIVERSIFIED FINANCIAL SERVICES -- 1.8% 18,947 Bank of America Corp. 176,586 1,048 CBOE Holdings, Inc. 30,906 3,835 Citigroup, Inc. 143,391 2,189 CME Group, Inc. 122,431 2,798 Interactive Brokers Group, Inc., Class A 39,871 3,100 JPMorgan Chase & Co. 129,208 7,182 NASDAQ OMX Group (The), Inc. 171,003 6,788 NYSE Euronext 168,071 -------------- 981,467 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 2,653 Cbeyond, Inc. (a) 20,322 3,105 CenturyLink, Inc. 119,170 34,147 Frontier Communications Corp. 161,174 7,102 Neutral Tandem, Inc. 32,811 -------------- 333,477 -------------- ELECTRIC UTILITIES -- 4.6% 941 ALLETE, Inc. 39,164 3,808 American Electric Power Co., Inc. 169,228 2,269 Cleco Corp. 97,907 1,937 Duke Energy Corp. 127,242 916 Edison International 42,997 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 1,146 El Paso Electric Co. $ 38,953 2,414 Entergy Corp. 175,208 2,351 Exelon Corp. 84,119 2,846 FirstEnergy Corp. 130,119 4,278 Great Plains Energy, Inc. 95,998 2,413 Hawaiian Electric Industries, Inc. 62,448 2,934 IDACORP, Inc. 131,209 1,190 NextEra Energy, Inc. 83,371 5,288 NV Energy, Inc. 100,525 1,145 OGE Energy Corp. 65,929 8,852 Pepco Holdings, Inc. 175,889 2,377 Pinnacle West Capital Corp. 125,910 7,546 PNM Resources, Inc. 167,219 5,759 PPL Corp. 170,351 908 Southern (The) Co. 42,531 1,094 UIL Holdings Corp. 39,570 938 UNS Energy Corp. 39,996 4,281 Westar Energy, Inc. 127,146 4,528 Xcel Energy, Inc. 127,916 -------------- 2,460,945 -------------- ELECTRICAL EQUIPMENT -- 0.6% 1,063 Belden, Inc. 38,055 1,733 Emerson Electric Co. 83,929 1,789 Encore Wire Corp. 55,209 1,889 EnerSys (a) 65,133 3,240 General Cable Corp. (a) 92,437 338 Powell Industries, Inc. (a) 13,446 -------------- 348,209 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.2% 911 Anixter International, Inc. 53,403 4,707 Arrow Electronics, Inc. (a) 165,828 5,455 Avnet, Inc. (a) 156,286 3,427 Benchmark Electronics, Inc. (a) 50,788 16,283 Corning, Inc. 191,325 5,196 CTS Corp. 43,023 1,375 Daktronics, Inc. 12,059 8,375 FLIR Systems, Inc. 162,726 10,421 Ingram Micro, Inc., Class A (a) 158,399 3,811 Insight Enterprises, Inc. (a) 61,624 8,938 Jabil Circuit, Inc. 154,985 1,190 Measurement Specialties, Inc. (a) 38,806 6,274 Mercury Computer Systems, Inc. (a) 51,415 2,694 Methode Electronics, Inc. 27,263 6,366 Molex, Inc. 165,325 6,023 Newport Corp. (a) 65,169 1,054 Park Electrochemical Corp. 26,160 1,295 Plexus Corp. (a) 34,848 14,535 RadiSys Corp. (a) 41,279 2,652 Rofin-Sinar Technologies, Inc. (a) 48,293 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 1,634 ScanSource, Inc. (a) $ 47,795 2,044 SYNNEX Corp. (a) 66,205 3,691 TE Connectivity Ltd. 118,776 2,802 Tech Data Corp. (a) 124,157 7,065 TTM Technologies, Inc. (a) 63,585 16,145 Vishay Intertechnology, Inc. (a) 133,681 -------------- 2,263,203 -------------- ENERGY EQUIPMENT & SERVICES -- 4.3% 2,793 Atwood Oceanics, Inc. (a) 133,505 4,734 Baker Hughes, Inc. 198,686 5,938 Basic Energy Services, Inc. (a) 61,696 777 Bristow Group, Inc. 38,788 3,924 Ensco PLC, Class A 226,886 1,877 Gulf Island Fabrication, Inc. 44,541 6,356 Halliburton Co. 205,235 8,687 Helix Energy Solutions Group, Inc. (a) 150,198 356 Hornbeck Offshore Services, Inc. (a) 12,332 5,654 ION Geophysical Corp. (a) 36,525 4,951 Matrix Service Co. (a) 51,936 15,262 Nabors Industries Ltd. (a) 205,884 4,677 Noble Corp. 176,510 10,020 Patterson-UTI Energy, Inc. 162,124 8,552 Pioneer Energy Services Corp. (a) 56,443 2,477 Rowan Cos. PLC, Class A (a) 78,546 7,735 Superior Energy Services, Inc. (a) 157,253 6,487 TETRA Technologies, Inc. (a) 34,705 1,963 Tidewater, Inc. 93,262 3,823 Unit Corp. (a) 154,258 -------------- 2,279,313 -------------- FOOD & STAPLES RETAILING -- 1.3% 1,769 Andersons (The), Inc. 69,486 1,728 CVS Caremark Corp. 80,179 2,451 Harris Teeter Supermarkets, Inc. 91,790 1,776 Kroger (The) Co. 44,791 10,399 Safeway, Inc. 169,608 4,351 Spartan Stores, Inc. 62,480 1,337 Sysco Corp. 41,541 4,591 Walgreen Co. 161,741 -------------- 721,616 -------------- FOOD PRODUCTS -- 1.5% 4,617 Archer-Daniels-Midland Co. 123,920 1,164 Cal-Maine Foods, Inc. 50,203 3,539 Diamond Foods, Inc. 65,542 1,528 Flowers Foods, Inc. 30,086 2,861 Hormel Foods Corp. 84,486 2,232 Seneca Foods Corp., Class A (a) 63,802 8,077 Smithfield Foods, Inc. (a) 165,336 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 13,365 Tyson Foods, Inc., Class A $ 224,666 -------------- 808,041 -------------- GAS UTILITIES -- 0.8% 2,045 AGL Resources, Inc. 83,497 2,660 Atmos Energy Corp. 95,680 913 Laclede Group (The), Inc. 38,017 571 National Fuel Gas Co. 30,092 532 Northwest Natural Gas Co. 24,754 403 Piedmont Natural Gas Co., Inc. 12,844 1,517 Questar Corp. 30,704 888 Southwest Gas Corp. 38,601 2,000 UGI Corp. 64,580 767 WGL Holdings, Inc. 30,504 -------------- 449,273 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8% 1,473 CareFusion Corp. (a) 39,123 3,894 CryoLife, Inc. 24,104 2,150 Greatbatch, Inc. (a) 47,257 4,370 Hill-Rom Holdings, Inc. 122,753 925 Invacare Corp. 12,626 2,911 Medtronic, Inc. 121,039 682 Meridian Bioscience, Inc. 13,470 2,772 Palomar Medical Technologies, Inc. (a) 23,922 1,323 Symmetry Medical, Inc. (a) 12,119 -------------- 416,413 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 5,407 Aetna, Inc. 236,286 3,130 Almost Family, Inc. (a) 64,885 1,383 AmSurg Corp. (a) 39,443 2,146 Cardinal Health, Inc. 88,265 1,773 Cigna Corp. 90,423 4,357 Community Health Systems, Inc. (a) 119,469 4,013 Coventry Health Care, Inc. 175,127 917 Hanger, Inc. (a) 23,246 7,567 Health Management Associates, Inc., Class A (a) 55,239 2,820 Health Net, Inc. (a) 60,686 3,053 Humana, Inc. 226,746 4,597 Kindred Healthcare, Inc. (a) 45,051 3,709 LifePoint Hospitals, Inc. (a) 131,076 486 McKesson Corp. 45,349 908 Omnicare, Inc. 31,353 1,031 Owens & Minor, Inc. 29,353 5,262 PharMerica Corp. (a) 64,302 1,149 PSS World Medical, Inc. (a) 32,884 1,667 Tenet Healthcare Corp. (a) 39,341 4,826 VCA Antech, Inc. (a) 94,493 2,245 WellCare Health Plans, Inc. (a) 106,862 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 3,692 WellPoint, Inc. $ 226,246 -------------- 2,026,125 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 3,244 Bob Evans Farms, Inc. 123,499 9,436 Boyd Gaming Corp. (a) 58,220 874 Brinker International, Inc. 26,919 3,443 Carnival Corp. 130,421 6,391 International Game Technology 82,060 4,476 International Speedway Corp., Class A 114,138 930 Jack in the Box, Inc. (a) 24,189 6,002 Marcus (The) Corp. 65,422 6,008 Monarch Casino & Resort, Inc. (a) 54,793 4,272 Pinnacle Entertainment, Inc. (a) 54,511 1,606 Red Robin Gourmet Burgers, Inc. (a) 53,640 7,216 Ruby Tuesday, Inc. (a) 52,099 4,107 Ruth's Hospitality Group, Inc. (a) 27,312 3,729 Scientific Games Corp., Class A (a) 30,690 1,273 Sonic Corp. (a) 12,692 2,296 Texas Roadhouse, Inc. 37,379 6,776 Wendy's (The) Co. 28,934 9,689 WMS Industries, Inc. (a) 159,190 -------------- 1,136,108 -------------- HOUSEHOLD DURABLES -- 1.9% 3,115 American Greetings Corp., Class A 53,484 10,374 D.R. Horton, Inc. 217,439 2,387 Ethan Allen Interiors, Inc. 70,202 4,638 Harman International Industries, Inc. 194,471 2,094 Helen of Troy Ltd. (a) 63,281 2,683 La-Z-Boy, Inc. (a) 43,518 1,202 Lennar Corp., Class A 45,039 793 Mohawk Industries, Inc. (a) 66,192 3,788 Universal Electronics, Inc. (a) 65,002 2,017 Whirlpool Corp. 197,021 -------------- 1,015,649 -------------- HOUSEHOLD PRODUCTS -- 0.2% 2,166 Central Garden & Pet Co., Class A (a) 24,411 851 Energizer Holdings, Inc. 62,097 -------------- 86,508 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5% 11,440 AES (The) Corp. 119,548 5,867 NRG Energy, Inc. 126,492 -------------- 246,040 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.2% 906 3M Co. $ 79,365 883 Standex International Corp. 40,830 -------------- 120,195 -------------- INSURANCE -- 5.9% 553 ACE Ltd. 43,494 461 Alleghany Corp. (a) 160,244 2,112 Allstate (The) Corp. 84,438 3,351 American Financial Group, Inc. 130,019 6,530 American International Group, Inc. (a) 228,093 482 AMERISAFE, Inc. (a) 12,653 4,163 Aspen Insurance Holdings Ltd. 134,673 5,741 Assurant, Inc. 217,067 474 Berkshire Hathaway, Inc., Class B (a) 40,930 1,427 Employers Holdings, Inc. 26,043 1,187 Everest Re Group, Ltd. 131,816 4,452 Fidelity National Financial, Inc., Class A 95,317 4,394 First American Financial Corp. 99,964 15,996 Genworth Financial, Inc., Class A (a) 95,336 1,703 Hanover Insurance Group (The), Inc. 61,495 2,151 Hartford Financial Services Group (The), Inc. 46,698 2,810 HCC Insurance Holdings, Inc. 100,148 3,678 Horace Mann Educators Corp. 70,654 3,402 Meadowbrook Insurance Group, Inc. 19,119 1,642 Mercury General Corp. 66,550 4,856 MetLife, Inc. 172,339 2,321 National Financial Partners Corp. (a) 42,590 532 Navigators Group (The), Inc. (a) 28,239 1,878 Presidential Life Corp. 26,254 3,105 Principal Financial Group, Inc. 85,512 4,843 Protective Life Corp. 132,214 2,303 Prudential Financial, Inc. 131,386 2,195 Reinsurance Group of America, Inc. 116,159 855 Safety Insurance Group, Inc. 39,629 688 Selective Insurance Group, Inc. 12,721 4,065 StanCorp Financial Group, Inc. 139,633 2,597 Stewart Information Services Corp. 60,562 2,444 Torchmark Corp. 123,642 1,350 Tower Group, Inc. 24,327 1,562 United Fire Group, Inc. 37,129 2,540 W. R. Berkley Corp. 98,781 -------------- 3,135,868 -------------- INTERNET & CATALOG RETAIL -- 0.1% 3,909 PetMed Express, Inc. 42,608 -------------- INTERNET SOFTWARE & SERVICES -- 1.4% 4,506 AOL, Inc. (a) 154,691 1,408 DealerTrack Holdings, Inc. (a) 38,481 4,660 Dice Holdings, Inc. (a) 41,148 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 1,570 Digital River, Inc. (a) $ 22,514 17,322 Monster Worldwide, Inc. (a) 107,743 1,084 Perficient, Inc. (a) 12,325 6,235 QuinStreet, Inc. (a) 38,158 12,068 United Online, Inc. 64,684 7,385 ValueClick, Inc. (a) 123,108 1,566 XO Group, Inc. (a) 12,606 7,855 Yahoo!, Inc. (a) 132,043 -------------- 747,501 -------------- IT SERVICES -- 1.8% 3,474 Acxiom Corp. (a) 63,400 3,770 CIBER, Inc. (a) 11,762 10,128 Convergys Corp. 170,252 2,245 DST Systems, Inc. 128,055 4,019 Fidelity National Information Services, Inc. 132,104 6,614 ManTech International Corp., Class A 151,924 9,683 NCI, Inc., Class A (a) 54,418 3,068 TeleTech Holdings, Inc. (a) 51,665 5,295 Total System Services, Inc. 119,085 4,591 Western Union Co. 58,306 -------------- 940,971 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.2% 632 Arctic Cat, Inc. (a) 22,923 2,191 Hasbro, Inc. 78,854 897 JAKKS Pacific, Inc. 11,580 -------------- 113,357 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 9,064 Affymetrix, Inc. (a) 28,733 3,264 Agilent Technologies, Inc. 117,471 3,345 Cambrex Corp. (a) 40,408 2,134 Thermo Fisher Scientific, Inc. 130,302 -------------- 316,914 -------------- MACHINERY -- 4.4% 1,370 Actuant Corp., Class A 38,689 3,342 AGCO Corp. (a) 152,094 1,242 Astec Industries, Inc. (a) 35,770 2,093 Barnes Group, Inc. 47,888 1,401 Briggs & Stratton Corp. 27,670 1,217 Cascade Corp. 79,093 973 Caterpillar, Inc. 82,520 690 CLARCOR, Inc. 31,216 2,321 Cummins, Inc. 217,199 2,813 Dover Corp. 163,773 3,540 Eaton Corp. 167,159 1,454 EnPro Industries, Inc. (a) 53,158 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MACHINERY (CONTINUED) 337 ESCO Technologies, Inc. $ 12,617 1,502 Harsco Corp. 30,025 802 John Bean Technologies Corp. 12,367 1,757 Kaydon Corp. 39,286 4,280 Kennametal, Inc. 151,598 2,439 Lincoln Electric Holdings, Inc. 105,779 3,713 Lydall, Inc. (a) 47,935 287 Mueller Industries, Inc. 12,571 4,628 Oshkosh Corp. (a) 138,747 3,135 PACCAR, Inc. 135,871 2,002 Parker Hannifin Corp. 157,477 306 Tennant Co. 11,450 2,812 Terex Corp. (a) 63,411 4,271 Timken (The) Co. 168,662 4,237 Trinity Industries, Inc. 132,533 1,663 Xylem, Inc. 40,344 -------------- 2,356,902 -------------- MARINE -- 0.2% 2,298 Kirby Corp. (a) 132,089 -------------- MEDIA -- 2.2% 1,152 CBS Corp., Class B 37,325 2,830 Cinemark Holdings, Inc. 69,873 2,339 Comcast Corp., Class A 87,736 4,605 Digital Generation, Inc. (a) 42,826 1,603 DreamWorks Animation SKG, Inc., Class A (a) 32,653 1,228 E.W. Scripps (The) Co., Class A (a) 13,029 9,426 Gannett Co., Inc. 159,299 11,285 Interpublic Group of Cos. (The), Inc. 113,979 1,382 John Wiley & Sons, Inc., Class A 59,951 3,038 Live Nation Entertainment, Inc. (a) 27,798 1,813 Meredith Corp. 60,681 4,994 Scholastic Corp. 164,752 922 Time Warner, Inc. 40,061 5,142 Valassis Communications, Inc. (a) 133,795 801 Walt Disney (The) Co. 39,305 345 Washington Post (The) Co., Class B 115,061 -------------- 1,198,124 -------------- METALS & MINING -- 2.7% 18,905 Alcoa, Inc. 162,016 3,934 Allegheny Technologies, Inc. 103,661 7,213 Commercial Metals Co. 99,251 4,227 Freeport-McMoRan Copper & Gold, Inc. 164,346 1,720 Globe Specialty Metals, Inc. 25,852 752 Haynes International, Inc. 38,111 673 Kaiser Aluminum Corp. 40,770 2,798 Materion Corp. 58,618 2,186 Nucor Corp. 87,724 3,946 Olympic Steel, Inc. 71,028 3,031 Reliance Steel & Aluminum Co. 164,704 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 546 RTI International Metals, Inc. (a) $ 12,443 11,306 Steel Dynamics, Inc. 143,021 1,623 SunCoke Energy, Inc. (a) 26,082 3,260 Titanium Metals Corp. 38,175 6,581 United States Steel Corp. 134,187 4,396 Worthington Industries, Inc. 95,041 -------------- 1,465,030 -------------- MULTILINE RETAIL -- 1.3% 7,239 Big Lots, Inc. (a) 210,872 4,682 Fred's, Inc., Class A 63,441 3,266 Kohl's Corp. 174,013 3,335 Macy's, Inc. 126,963 9,236 Saks, Inc. (a) 94,946 1,998 Tuesday Morning Corp. (a) 11,928 -------------- 682,163 -------------- MULTI-UTILITIES -- 3.4% 2,195 Alliant Energy Corp. 98,116 2,560 Ameren Corp. 84,173 2,033 Avista Corp. 51,679 1,784 Black Hills Corp. 63,814 5,891 CenterPoint Energy, Inc. 127,658 201 CH Energy Group, Inc. 13,071 3,551 CMS Energy Corp. 86,360 1,397 Consolidated Edison, Inc. 84,351 2,094 DTE Energy Co. 130,037 1,602 Integrys Energy Group, Inc. 86,572 4,320 MDU Resources Group, Inc. 93,874 3,284 NiSource, Inc. 83,643 1,443 NorthWestern Corp. 51,674 2,942 PG&E Corp. 125,094 5,199 Public Service Enterprise Group, Inc. 166,576 1,733 SCANA Corp. 85,056 1,297 Sempra Energy 90,466 7,073 TECO Energy, Inc. 126,394 4,440 Vectren Corp. 131,291 1,111 Wisconsin Energy Corp. 42,740 -------------- 1,822,639 -------------- OFFICE ELECTRONICS -- 0.3% 29,171 Xerox Corp. 187,861 -------------- OIL, GAS & CONSUMABLE FUELS -- 9.1% 2,477 Apache Corp. 204,972 15,044 Arch Coal, Inc. 119,750 11,348 Chesapeake Energy Corp. 229,911 1,837 Chevron Corp. 202,456 3,680 Cloud Peak Energy, Inc. (a) 77,648 2,847 Comstock Resources, Inc. (a) 48,741 3,744 ConocoPhillips 216,590 5,568 CONSOL Energy, Inc. 195,771 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 13,250 Denbury Resources, Inc. (a) $ 203,123 3,539 Devon Energy Corp. 206,005 3,028 Energen Corp. 141,256 2,342 Exxon Mobil Corp. 213,520 1,673 Gulfport Energy Corp. (a) 55,510 3,985 Hess Corp. 208,256 3,845 HollyFrontier Corp. 148,532 7,241 Marathon Oil Corp. 217,664 3,922 Marathon Petroleum Corp. 215,435 3,987 Murphy Oil Corp. 239,220 6,836 Newfield Exploration Co. (a) 185,392 2,488 Occidental Petroleum Corp. 196,452 1,655 PDC Energy, Inc. (a) 50,097 8,439 Penn Virginia Corp. 38,144 4,618 Phillips 66 217,785 2,542 Plains Exploration & Production Co. (a) 90,648 5,284 QEP Resources, Inc. 153,236 1,425 Spectra Energy Corp. 41,140 2,652 Stone Energy Corp. (a) 62,561 3,191 Swift Energy Co. (a) 53,322 5,110 Tesoro Corp. 192,698 6,759 Valero Energy Corp. 196,687 1,782 World Fuel Services Corp. 61,835 10,086 WPX Energy, Inc. (a) 170,857 -------------- 4,855,214 -------------- PAPER & FOREST PRODUCTS -- 0.6% 2,078 Buckeye Technologies, Inc. 54,444 2,028 Domtar Corp. 161,733 2,304 International Paper Co. 82,552 1,370 Neenah Paper, Inc. 35,483 -------------- 334,212 -------------- PHARMACEUTICALS -- 0.7% 1,238 Bristol-Myers Squibb Co. 41,163 2,647 Eli Lilly & Co. 128,724 4,698 Forest Laboratories, Inc. (a) 158,370 1,684 Pfizer, Inc. 41,881 -------------- 370,138 -------------- PROFESSIONAL SERVICES -- 1.0% 1,536 CDI Corp. 26,404 518 Insperity, Inc. 13,525 5,288 Kelly Services, Inc., Class A 70,277 6,212 Korn/Ferry International (a) 83,179 2,587 Manpower, Inc. 98,151 6,028 Navigant Consulting, Inc. (a) 62,631 3,990 Resources Connection, Inc. 49,237 1,795 Towers Watson & Co., Class A 96,409 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 1,664 TrueBlue, Inc. (a) $ 21,715 -------------- 521,528 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.3% 588 Entertainment Properties Trust 26,137 1,182 Franklin Street Properties Corp. 13,487 1,296 Hospitality Properties Trust 29,963 411 LTC Properties, Inc. 13,567 1,137 Universal Health Realty Income Trust 56,213 -------------- 139,367 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 785 Forestar Group, Inc. (a) 12,568 404 Jones Lang LaSalle, Inc. 31,407 -------------- 43,975 -------------- ROAD & RAIL -- 1.9% 8,410 Arkansas Best Corp. 67,700 4,638 Con-way, Inc. 135,012 6,048 CSX Corp. 123,803 2,936 Heartland Express, Inc. 40,957 3,660 Knight Transportation, Inc. 55,339 652 Landstar System, Inc. 33,024 2,629 Norfolk Southern Corp. 161,289 1,301 Old Dominion Freight Line, Inc. (a) 43,636 4,283 Ryder System, Inc. 193,249 7,425 Werner Enterprises, Inc. 171,963 -------------- 1,025,972 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 2,123 Advanced Energy Industries, Inc. (a) 25,073 1,067 Analog Devices, Inc. 41,730 14,986 Applied Materials, Inc. 158,852 24,137 Atmel Corp. (a) 112,599 6,517 Brooks Automation, Inc. 47,053 1,393 Cohu, Inc. 12,258 1,209 Cree, Inc. (a) 36,669 3,075 Diodes, Inc. (a) 46,617 9,678 Fairchild Semiconductor International, Inc. (a) 113,813 9,442 Intel Corp. 204,183 1,256 Micrel, Inc. 12,171 27,955 Micron Technology, Inc. (a) 151,656 2,052 MKS Instruments, Inc. 48,489 1,895 Nanometrics, Inc. (a) 26,075 9,407 NVIDIA Corp. (a) 112,602 1,506 Pericom Semiconductor Corp. (a) 11,641 3,737 Rudolph Technologies, Inc. (a) 35,539 1,307 Skyworks Solutions, Inc. (a) 30,584 15,058 Teradyne, Inc. (a) 220,148 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,519 Texas Instruments, Inc. $ 42,669 7,772 TriQuint Semiconductor, Inc. (a) 36,528 -------------- 1,526,949 -------------- SOFTWARE -- 1.1% 1,289 Adobe Systems, Inc. (a) 43,826 4,870 CA, Inc. 109,673 2,924 EPIQ Systems, Inc. 35,702 8,201 Mentor Graphics Corp. (a) 127,280 2,810 Microsoft Corp. 80,183 840 Monotype Imaging Holdings, Inc. 12,860 9,294 Symantec Corp. (a) 169,058 -------------- 578,582 -------------- SPECIALTY RETAIL -- 4.8% 5,707 Aaron's, Inc. 175,947 2,467 Abercrombie & Fitch Co., Class A 75,441 7,038 Aeropostale, Inc. (a) 84,104 1,463 American Eagle Outfitters, Inc. 30,533 1,682 ANN, Inc. (a) 59,139 7,450 Barnes & Noble, Inc. (a) 125,458 3,944 Big 5 Sporting Goods Corp. 35,220 1,762 Cato (The) Corp., Class A 50,006 3,505 Chico's FAS, Inc. 65,193 2,302 Finish Line (The), Inc., Class A 47,893 1,789 Foot Locker, Inc. 59,931 10,196 GameStop Corp., Class A 232,775 435 Group 1 Automotive, Inc. 26,974 6,244 Guess?, Inc. 154,726 4,799 Haverty Furniture Cos., Inc. 72,033 6,014 Hot Topic, Inc. 51,720 6,708 Kirkland's, Inc. (a) 64,330 1,179 Lithia Motors, Inc., Class A 40,322 1,384 Lowe's Cos., Inc. 44,814 1,520 Men's Wearhouse (The), Inc. 49,841 49,594 Office Depot, Inc. (a) 122,993 6,699 OfficeMax, Inc. 49,238 6,545 Pep Boys-Manny, Moe & Jack (The) 65,384 53,344 RadioShack Corp. 119,491 4,524 Rent-A-Center, Inc. 150,785 2,605 Signet Jewelers Ltd. 134,835 2,068 Sonic Automotive, Inc., Class A 40,119 2,484 Stage Stores, Inc. 60,858 18,587 Staples, Inc. 214,029 4,612 Stein Mart, Inc. (a) 36,250 472 Zumiez, Inc. (a) 11,946 -------------- 2,552,328 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 3,228 Crocs, Inc. (a) 40,673 3,070 Fifth & Pacific Cos., Inc. (a) 33,709 2,868 Iconix Brand Group, Inc. (a) 53,087 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 639 Maidenform Brands, Inc. (a) $ 11,956 776 Movado Group, Inc. 24,591 1,779 Perry Ellis International, Inc. (a) 36,718 20,064 Quiksilver, Inc. (a) 64,205 -------------- 264,939 -------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 3,121 Astoria Financial Corp. 31,304 2,876 Bank Mutual Corp. 12,971 1,484 Brookline Bancorp, Inc. 12,584 1,811 Dime Community Bancshares, Inc. 26,260 2,177 New York Community Bancorp, Inc. 30,173 1,069 Northwest Bancshares, Inc. 12,721 3,445 People's United Financial, Inc. 41,443 1,657 Provident Financial Services, Inc. 24,855 2,286 TrustCo Bank Corp. 12,756 1,848 Washington Federal, Inc. 31,009 -------------- 236,076 -------------- TOBACCO -- 0.3% 12,149 Alliance One International, Inc. (a) 36,933 2,493 Universal Corp. 123,553 -------------- 160,486 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 14,287 MetroPCS Communications, Inc. (a) 145,870 753 NTELOS Holdings Corp. 11,483 5,612 USA Mobility, Inc. 62,013 -------------- 219,366 -------------- TOTAL COMMON STOCKS -- 99.9% 53,492,699 (Cost $52,648,394) MONEY MARKET FUND -- 0.2% 88,596 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 88,596 (Cost $88,596) -------------- TOTAL INVESTMENTS -- 100.1% 53,581,295 (Cost $52,736,990) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (26,763) -------------- NET ASSETS -- 100.0% $ 53,554,532 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,183,955 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,339,650. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 53,492,699 $ -- $ -- Money Market Fund 88,596 -- -- ------------------------------------------------------ Total Investments $ 53,581,295 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.3% 926 Boeing (The) Co. $ 65,227 471 Cubic Corp. 22,985 1,618 Honeywell International, Inc. 99,086 1,035 Lockheed Martin Corp. 96,949 372 Teledyne Technologies, Inc. (a) 23,819 1,142 Triumph Group, Inc. 74,710 -------------- 382,776 -------------- AIRLINES -- 0.3% 1,357 Alaska Air Group, Inc. (a) 51,892 372 Allegiant Travel Co. (a) 27,059 -------------- 78,951 -------------- BEVERAGES -- 0.3% 105 Boston Beer (The) Co., Inc., Class A (a) 11,296 479 Brown-Forman Corp., Class B 30,685 702 Dr. Pepper Snapple Group, Inc. 30,080 442 PepsiCo, Inc. 30,604 -------------- 102,665 -------------- BIOTECHNOLOGY -- 3.0% 1,408 Alexion Pharmaceuticals, Inc. (a) 127,255 1,529 Amgen, Inc. 132,327 648 Biogen Idec, Inc. (a) 89,567 1,265 Celgene Corp. (a) 92,750 989 Cubist Pharmaceuticals, Inc. (a) 42,428 2,429 Gilead Sciences, Inc. (a) 163,132 811 Regeneron Pharmaceuticals, Inc. (a) 115,405 1,007 Spectrum Pharmaceuticals, Inc. (a) 11,238 1,703 United Therapeutics Corp. (a) 77,776 1,276 Vertex Pharmaceuticals, Inc. (a) 61,554 -------------- 913,432 -------------- BUILDING PRODUCTS -- 1.3% 1,024 A.O. Smith Corp. 62,228 599 AAON, Inc. 12,567 4,581 Fortune Brands Home & Security, Inc. (a) 130,284 10,706 Masco Corp. 161,554 2,350 NCI Building Systems, Inc. (a) 26,343 -------------- 392,976 -------------- CAPITAL MARKETS -- 1.2% 580 Affiliated Managers Group, Inc. (a) 73,370 822 Eaton Vance Corp. 23,131 989 Financial Engines, Inc. (a) 23,746 515 Franklin Resources, Inc. 65,817 1,839 Greenhill & Co., Inc. 87,757 2,373 HFF, Inc., Class A (a) 33,056 1,452 Waddell & Reed Financial, Inc., Class A 48,395 -------------- 355,272 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CHEMICALS -- 6.3% 783 Airgas, Inc. $ 69,663 1,693 American Vanguard Corp. 60,491 321 Balchem Corp. 11,180 725 CF Industries Holdings, Inc. 148,763 1,282 E.I. du Pont de Nemours & Co. 57,075 2,826 Eastman Chemical Co. 167,412 1,492 Ecolab, Inc. 103,843 2,328 FMC Corp. 124,595 1,152 H.B. Fuller Co. 35,021 851 Hawkins, Inc. 33,274 243 Innophos Holdings, Inc. 11,579 524 International Flavors & Fragrances, Inc. 33,861 1,012 Koppers Holdings, Inc. 36,128 1,806 Kraton Performance Polymers, Inc. (a) 39,407 1,343 LSB Industries, Inc. (a) 54,083 3,119 LyondellBasell Industries N.V., Class A 166,523 1,416 Monsanto Co. 121,875 502 NewMarket Corp. 136,198 1,403 PPG Industries, Inc. 164,263 1,010 Quaker Chemical Corp. 53,520 1,082 Sherwin-Williams (The) Co. 154,272 490 Stepan Co. 46,942 1,697 Valspar (The) Corp. 95,083 -------------- 1,925,051 -------------- COMMERCIAL BANKS -- 0.8% 1,368 Bank of the Ozarks, Inc. 44,788 327 First Financial Bankshares, Inc. 11,847 1,037 Home BancShares, Inc. 35,922 1,064 Signature Bank (a) 75,799 394 SVB Financial Group (a) 22,297 1,185 Texas Capital Bancshares, Inc. (a) 56,252 242 UMB Financial Corp. 10,776 -------------- 257,681 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 2,574 Copart, Inc. (a) 74,105 2,061 Healthcare Services Group, Inc. 49,258 916 Iron Mountain, Inc. 31,694 564 Portfolio Recovery Associates, Inc. (a) 59,023 2,035 Rollins, Inc. 46,133 345 Stericycle, Inc. (a) 32,692 -------------- 292,905 -------------- COMMUNICATIONS EQUIPMENT -- 0.6% 298 F5 Networks, Inc. (a) 24,579 1,236 NETGEAR, Inc. (a) 43,891 713 Oplink Communications, Inc. (a) 10,595 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 1,031 QUALCOMM, Inc. $ 60,391 2,045 Riverbed Technology, Inc. (a) 37,771 -------------- 177,227 -------------- COMPUTERS & PERIPHERALS -- 1.3% 1,435 3D Systems Corp. (a) 62,423 241 Apple, Inc. 143,419 2,363 EMC Corp. (a) 57,704 5,197 Seagate Technology PLC 141,982 -------------- 405,528 -------------- CONSTRUCTION & ENGINEERING -- 0.4% 2,290 Fluor Corp. 127,897 -------------- CONSTRUCTION MATERIALS -- 0.6% 1,274 Eagle Materials, Inc. 67,484 8,955 Headwaters, Inc. (a) 64,386 574 Martin Marietta Materials, Inc. 47,246 -------------- 179,116 -------------- CONSUMER FINANCE -- 0.1% 512 First Cash Financial Services, Inc. (a) 22,866 349 World Acceptance Corp. (a) 23,299 -------------- 46,165 -------------- CONTAINERS & PACKAGING -- 1.3% 2,285 Ball Corp. 97,867 3,409 Packaging Corp. of America 120,235 1,714 Rock-Tenn Co., Class A 125,448 1,094 Silgan Holdings, Inc. 47,381 -------------- 390,931 -------------- DISTRIBUTORS -- 0.8% 1,056 Genuine Parts Co. 66,085 6,689 LKQ Corp. (a) 139,733 850 Pool Corp. 35,802 -------------- 241,620 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 647 American Public Education, Inc. (a) 23,570 336 Capella Education Co. (a) 10,490 262 Coinstar, Inc. (a) 12,298 -------------- 46,358 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 2,189 Moody's Corp. 105,422 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 823 Atlantic Tele-Network, Inc. 34,105 3,608 General Communication, Inc., Class A (a) 31,534 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 2,738 tw telecom, Inc. (a) $ 69,737 2,121 Verizon Communications, Inc. 94,681 -------------- 230,057 -------------- ELECTRICAL EQUIPMENT -- 2.7% 1,504 Acuity Brands, Inc. 97,309 2,685 AMETEK, Inc. 95,452 1,551 AZZ, Inc. 61,171 2,147 Cooper Industries PLC 160,896 974 Franklin Electric Co., Inc. 56,434 884 Hubbell, Inc., Class B 74,009 1,756 Regal-Beloit Corp. 114,456 449 Rockwell Automation, Inc. 31,906 1,173 Roper Industries, Inc. 128,056 -------------- 819,689 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 1,095 Amphenol Corp., Class A 65,843 324 Badger Meter, Inc. 13,880 285 FARO Technologies, Inc. (a) 11,457 881 FEI Co. 48,499 1,100 MTS Systems Corp. 55,451 757 OSI Systems, Inc. (a) 59,992 556 Rogers Corp. (a) 21,912 999 Trimble Navigation Ltd. (a) 47,133 -------------- 324,167 -------------- ENERGY EQUIPMENT & SERVICES -- 3.3% 2,874 Cameron International Corp. (a) 145,539 2,245 Dresser-Rand Group, Inc. (a) 115,685 1,324 Dril-Quip, Inc. (a) 91,700 2,088 FMC Technologies, Inc. (a) 85,399 770 Geospace Technologies Corp. (a) 49,842 1,354 Helmerich & Payne, Inc. 64,721 2,011 National Oilwell Varco, Inc. 148,211 1,723 Oceaneering International, Inc. 90,165 1,557 Oil States International, Inc. (a) 113,817 1,337 Schlumberger Ltd. 92,962 -------------- 998,041 -------------- FOOD & STAPLES RETAILING -- 1.6% 619 Casey's General Stores, Inc. 31,909 1,287 Costco Wholesale Corp. 126,679 1,008 United Natural Foods, Inc. (a) 53,666 2,183 Wal-Mart Stores, Inc. 163,769 1,323 Whole Foods Market, Inc. 125,328 -------------- 501,351 -------------- FOOD PRODUCTS -- 2.9% 1,555 B&G Foods, Inc. 47,070 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 943 Calavo Growers, Inc. $ 22,264 2,577 Darling International, Inc. (a) 42,598 784 General Mills, Inc. 31,423 1,002 Green Mountain Coffee Roasters, Inc. (a) 24,208 558 H. J. Heinz Co. 32,090 935 Hain Celestial Group (The), Inc. (a) 54,043 441 Hershey (The) Co. 30,363 1,726 Ingredion, Inc. 106,080 206 J & J Snack Foods Corp. 11,798 1,493 J.M. Smucker (The) Co. 127,860 325 Lancaster Colony Corp. 23,653 1,558 McCormick & Co., Inc. 96,004 3,574 Mondelez International, Inc., Class A 94,854 652 Ralcorp Holdings, Inc. (a) 47,068 266 Sanderson Farms, Inc. 12,047 943 Snyder's-Lance, Inc. 23,896 1,764 Tootsie Roll Industries, Inc. 47,011 -------------- 874,330 -------------- GAS UTILITIES -- 0.6% 258 New Jersey Resources Corp. 11,471 3,335 ONEOK, Inc. 157,745 -------------- 169,216 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8% 656 Abaxis, Inc. (a) 24,128 1,594 Align Technology, Inc. (a) 42,368 603 Analogic Corp. 44,417 519 Baxter International, Inc. 32,505 1,306 Cantel Medical Corp. 33,969 756 Cooper (The) Cos., Inc. 72,561 1,627 Covidien PLC 89,404 899 Cyberonics, Inc. (a) 41,579 1,690 DENTSPLY International, Inc. 62,259 1,201 Edwards Lifesciences Corp. (a) 104,283 294 Haemonetics Corp. (a) 24,020 2,351 Hologic, Inc. (a) 48,478 585 ICU Medical, Inc. (a) 34,708 479 IDEXX Laboratories, Inc. (a) 46,080 573 Integra LifeSciences Holdings (a) 21,917 984 Masimo Corp. (a) 21,618 2,368 Merit Medical Systems, Inc. (a) 34,194 1,029 NuVasive, Inc. (a) 14,838 2,352 ResMed, Inc. 93,939 2,013 STERIS Corp. 71,683 1,749 SurModics, Inc. (a) 31,447 1,037 Teleflex, Inc. 70,464 688 Thoratec Corp. (a) 24,562 666 West Pharmaceutical Services, Inc. 35,877 462 Zimmer Holdings, Inc. 29,665 -------------- 1,150,963 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 494 Air Methods Corp. (a) $ 54,157 1,353 AMERIGROUP Corp. (a) 123,583 2,062 Bio-Reference Laboratories, Inc. (a) 57,241 1,260 Centene Corp. (a) 47,855 510 Chemed Corp. 34,298 263 CorVel Corp. (a) 11,185 1,555 DaVita HealthCare Partners, Inc. (a) 174,969 1,540 Ensign Group (The), Inc. 44,906 2,571 Express Scripts Holding Co. (a) 158,219 901 Henry Schein, Inc. (a) 66,476 1,424 HMS Holdings Corp. (a) 32,880 774 IPC Hospitalist (The) Co. (a) 26,695 338 Laboratory Corp. of America Holdings (a) 28,639 395 Landauer, Inc. 22,890 457 Magellan Health Services, Inc. (a) 22,919 639 MEDNAX, Inc. (a) 44,078 552 MWI Veterinary Supply, Inc. (a) 57,971 913 Patterson Cos., Inc. 30,494 1,016 Quest Diagnostics, Inc. 58,644 564 UnitedHealth Group, Inc. 31,584 2,706 Universal Health Services, Inc., Class B 112,001 -------------- 1,241,684 -------------- HEALTH CARE TECHNOLOGY -- 0.4% 1,914 Allscripts Healthcare Solutions, Inc. (a) 24,729 1,656 HealthStream, Inc. (a) 42,294 1,420 Medidata Solutions, Inc. (a) 59,669 -------------- 126,692 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 1,927 Bally Technologies, Inc. (a) 96,196 32 Biglari Holdings, Inc. (a) 11,316 520 BJ's Restaurants, Inc. (a) 17,186 275 Buffalo Wild Wings, Inc. (a) 20,886 3,461 Cheesecake Factory (The), Inc. 114,421 702 Cracker Barrel Old Country Store, Inc. 44,682 2,312 Darden Restaurants, Inc. 121,657 631 DineEquity, Inc. (a) 39,564 1,245 Interval Leisure Group, Inc. 23,730 520 Life Time Fitness, Inc. (a) 23,343 1,648 Marriott International, Inc. 60,119 3,746 Multimedia Games Holding Co., Inc. (a) 59,561 724 Panera Bread Co., Class A (a) 122,095 1,103 Papa John's International, Inc. (a) 58,812 1,491 SHFL entertainment, Inc. (a) 21,068 2,224 Starwood Hotels & Resorts Worldwide, Inc. 115,314 971 Yum! Brands, Inc. 68,077 -------------- 1,018,027 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES -- 1.3% 2,342 Jarden Corp. $ 116,632 10,395 PulteGroup, Inc. (a) 180,249 1,964 Ryland Group (The), Inc. 66,521 796 Tempur-Pedic International, Inc. (a) 21,046 -------------- 384,448 -------------- HOUSEHOLD PRODUCTS -- 0.6% 441 Church & Dwight Co., Inc. 22,385 291 Colgate-Palmolive Co. 30,544 751 Kimberly-Clark Corp. 62,671 451 Procter & Gamble (The) Co. 31,227 448 WD-40 Co. 21,441 -------------- 168,268 -------------- INDUSTRIAL CONGLOMERATES -- 0.6% 1,833 Carlisle Cos., Inc. 101,823 1,753 Danaher Corp. 90,683 -------------- 192,506 -------------- INSURANCE -- 2.2% 3,365 Aflac, Inc. 167,510 2,465 Aon PLC 132,987 1,993 Arthur J. Gallagher & Co. 70,632 1,826 Brown & Brown, Inc. 46,654 845 Chubb (The) Corp. 65,048 1,256 eHealth, Inc. (a) 27,255 585 Infinity Property & Casualty Corp. 33,409 1,888 Travelers (The) Cos., Inc. 133,935 -------------- 677,430 -------------- INTERNET & CATALOG RETAIL -- 1.3% 507 Amazon.com, Inc. (a) 118,040 635 Blue Nile, Inc. (a) 23,984 2,229 Expedia, Inc. 131,845 2,523 HSN, Inc. 131,247 -------------- 405,116 -------------- INTERNET SOFTWARE & SERVICES -- 3.0% 3,369 Akamai Technologies, Inc. (a) 127,988 3,309 Blucora, Inc. (a) 58,073 3,328 eBay, Inc. (a) 160,709 601 Equinix, Inc. (a) 108,426 214 Google, Inc., Class A (a) 145,471 1,077 j2 Global, Inc. 32,353 704 Liquidity Services, Inc. (a) 29,026 1,301 LivePerson, Inc. (a) 20,413 1,872 Rackspace Hosting, Inc. (a) 119,228 2,647 Verisign, Inc. (a) 98,124 -------------- 899,811 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- IT SERVICES -- 5.1% 2,301 Accenture PLC, Class A $ 155,110 671 Alliance Data Systems Corp. (a) 95,987 1,099 Automatic Data Processing, Inc. 63,511 2,040 Broadridge Financial Solutions, Inc. 46,818 1,187 Cardtronics, Inc. (a) 33,723 922 Cognizant Technology Solutions Corp., Class A (a) 61,451 2,620 CSG Systems International, Inc. (a) 53,998 1,598 Exlservice Holdings, Inc. (a) 47,365 871 Fiserv, Inc. (a) 65,273 1,549 Gartner, Inc. (a) 71,889 1,116 Heartland Payment Systems, Inc. 29,105 3,243 iGATE Corp. (a) 52,050 1,256 Jack Henry & Associates, Inc. 47,728 2,560 Lender Processing Services, Inc. 61,722 214 MasterCard, Inc., Class A 98,639 987 MAXIMUS, Inc. 54,463 2,378 NeuStar, Inc., Class A (a) 87,011 1,936 Paychex, Inc. 62,784 1,282 Teradata Corp. (a) 87,573 2,653 Virtusa Corp. (a) 45,525 960 Visa, Inc., Class A 133,210 1,365 WEX, Inc. (a) 100,710 -------------- 1,555,645 -------------- LEISURE EQUIPMENT & PRODUCTS -- 1.0% 1,042 Brunswick Corp. 24,581 2,725 Mattel, Inc. 100,225 1,530 Polaris Industries, Inc. 129,285 953 Sturm, Ruger & Co., Inc. 45,010 -------------- 299,101 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 223 Bio-Rad Laboratories, Inc., Class A (a) 22,601 1,803 Charles River Laboratories International, Inc., (a) 67,288 5,777 Enzo Biochem, Inc. (a) 11,554 1,319 Life Technologies Corp. (a) 64,512 139 Mettler-Toledo International, Inc. (a) 23,543 1,533 PAREXEL International Corp. (a) 47,048 -------------- 236,546 -------------- MACHINERY -- 5.6% 1,249 CIRCOR International, Inc. 43,078 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 596 Crane Co. $ 25,020 1,172 Deere & Co. 100,136 1,371 Donaldson Co., Inc. 44,242 1,261 Flowserve Corp. 170,853 788 Gardner Denver, Inc. 54,632 947 Graco, Inc. 45,513 1,709 IDEX Corp. 72,684 2,167 Illinois Tool Works, Inc. 132,902 491 Lindsay Corp. 37,497 1,218 Nordson Corp. 71,898 2,030 Pall Corp. 127,809 1,604 Pentair Ltd. 67,753 989 Robbins & Myers, Inc. 58,628 2,242 Snap-on, Inc. 173,374 364 SPX Corp. 24,967 2,113 Stanley Black & Decker, Inc. 146,431 1,185 Toro (The) Co. 50,031 941 Valmont Industries, Inc. 127,129 1,186 Wabtec Corp. 97,133 935 Watts Water Technologies, Inc., Class A 37,615 -------------- 1,709,325 -------------- MEDIA -- 3.5% 1,640 AMC Networks, Inc., Class A (a) 76,621 311 Arbitron, Inc. 11,308 2,457 DIRECTV (a) 125,577 2,162 Discovery Communications, Inc., Class A (a) 127,601 2,568 Lamar Advertising Co., Class A (a) 100,794 1,771 McGraw-Hill (The) Cos., Inc. 97,901 2,500 Omnicom Group, Inc. 119,775 2,105 Scripps Networks Interactive, Class A 127,816 1,695 Time Warner Cable, Inc. 167,992 2,405 Viacom, Inc., Class B 123,304 -------------- 1,078,689 -------------- METALS & MINING -- 0.8% 1,391 AMCOL International Corp. 43,928 1,364 Carpenter Technology Corp. 66,304 558 Newmont Mining Corp. 30,439 1,239 Royal Gold, Inc. 109,131 -------------- 249,802 -------------- MULTILINE RETAIL -- 1.2% 1,335 Dollar Tree, Inc. (a) 53,226 1,458 Family Dollar Stores, Inc. 96,170 1,752 Nordstrom, Inc. 99,461 2,031 Target Corp. 129,476 -------------- 378,333 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- OFFICE ELECTRONICS -- 0.1% 634 Zebra Technologies Corp., Class A (a) $ 22,780 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 1,173 Approach Resources, Inc. (a) 28,891 1,921 Bill Barrett Corp. (a) 44,010 3,588 Cabot Oil & Gas Corp. 168,564 1,438 EOG Resources, Inc. 167,513 1,092 EQT Corp. 66,208 880 Kinder Morgan, Inc. 30,545 695 Noble Energy, Inc. 66,032 1,235 Pioneer Natural Resources Co. 130,478 1,845 Range Resources Corp. 120,589 1,987 Rosetta Resources, Inc. (a) 91,481 440 SM Energy Co. 23,725 1,843 Williams (The) Cos., Inc. 64,486 -------------- 1,002,522 -------------- PAPER & FOREST PRODUCTS -- 0.4% 1,426 Clearwater Paper Corp. (a) 56,384 2,632 KapStone Paper & Packaging Corp. (a) 57,825 357 Schweitzer-Mauduit International, Inc. 12,506 -------------- 126,715 -------------- PERSONAL PRODUCTS -- 0.7% 1,570 Estee Lauder (The) Cos., Inc., Class A 96,743 2,576 Inter Parfums, Inc. 47,038 2,253 Medifast, Inc. (a) 57,497 -------------- 201,278 -------------- PHARMACEUTICALS -- 2.4% 1,410 Abbott Laboratories 92,383 1,783 Akorn, Inc. (a) 21,414 750 Endo Health Solutions, Inc. (a) 21,495 1,826 Medicines (The) Co. (a) 40,026 1,650 Medicis Pharmaceutical Corp., Class A 71,626 2,144 Merck & Co., Inc. 97,831 5,283 Mylan, Inc. (a) 133,871 555 Perrigo Co. 63,831 780 ViroPharma, Inc. (a) 19,695 1,892 Watson Pharmaceuticals, Inc. (a) 162,617 -------------- 724,789 -------------- PROFESSIONAL SERVICES -- 0.8% 2,307 Corporate Executive Board (The) Co. 103,723 392 Dun & Bradstreet (The) Corp. 31,767 1,384 Equifax, Inc. 69,255 413 Exponent, Inc. (a) 22,707 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 1,173 Robert Half International, Inc. $ 31,542 -------------- 258,994 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.4% 475 Acadia Realty Trust 12,198 1,354 American Tower Corp. 101,943 583 Boston Properties, Inc. 61,973 222 EastGroup Properties, Inc. 11,557 1,418 Extra Space Storage, Inc. 48,907 1,449 HCP, Inc. 64,191 1,116 Health Care REIT, Inc. 66,324 511 Healthcare Realty Trust, Inc. 12,003 263 Kilroy Realty Corp. 11,680 416 Macerich (The) Co. 23,712 1,560 National Retail Properties, Inc. 49,421 2,094 OMEGA Healthcare Investors, Inc. 48,036 1,470 Plum Creek Timber Co., Inc. 64,533 637 Potlatch Corp. 24,512 2,760 Prologis, Inc. 94,640 176 PS Business Parks, Inc. 11,287 971 Rayonier, Inc. 47,589 582 Realty Income Corp. 22,855 977 Regency Centers Corp. 46,915 265 Saul Centers, Inc. 11,467 206 Simon Property Group, Inc. 31,355 297 SL Green Realty Corp. 22,364 611 Sovran Self Storage, Inc. 35,316 365 Tanger Factory Outlet Centers, Inc. 11,487 310 Taubman Centers, Inc. 24,350 1,035 Ventas, Inc. 65,484 -------------- 1,026,099 -------------- ROAD & RAIL -- 0.8% 915 J.B. Hunt Transport Services, Inc. 53,711 942 Kansas City Southern 75,793 814 Union Pacific Corp. 100,146 -------------- 229,650 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2% 1,535 Cirrus Logic, Inc. (a) 62,567 2,025 Entropic Communications, Inc. (a) 9,740 4,365 First Solar, Inc. (a) 106,113 1,133 Kulicke & Soffa Industries, Inc. (a) 11,625 13,990 LSI Corp. (a) 95,831 1,174 Microsemi Corp. (a) 22,541 597 Monolithic Power Systems, Inc. (a) 11,600 1,127 Ultratech, Inc. (a) 34,835 -------------- 354,852 -------------- SOFTWARE -- 3.7% 1,126 ACI Worldwide, Inc. (a) 44,027 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SOFTWARE (CONTINUED) 1,297 ANSYS, Inc. (a) $ 91,931 955 Bottomline Technologies, Inc. (a) 22,347 7,399 Cadence Design Systems, Inc. (a) 93,671 408 Citrix Systems, Inc. (a) 25,219 803 CommVault Systems, Inc. (a) 50,163 1,291 Concur Technologies, Inc. (a) 85,503 1,497 Ebix, Inc. 32,620 1,613 Fair Isaac Corp. 75,166 392 Interactive Intelligence Group, Inc. (a) 12,430 742 JDA Software Group, Inc. (a) 28,300 823 Manhattan Associates, Inc. (a) 49,380 88 MicroStrategy, Inc., Class A (a) 8,313 1,848 NetScout Systems, Inc. (a) 45,701 692 OPNET Technologies, Inc. 29,362 1,092 Parametric Technology Corp. (a) 22,037 549 Red Hat, Inc. (a) 26,994 633 Salesforce.com, Inc. (a) 92,405 2,220 Solarwinds, Inc. (a) 112,310 481 Sourcefire, Inc. (a) 20,582 515 Synchronoss Technologies, Inc. (a) 10,552 2,162 Synopsys, Inc. (a) 69,616 787 TIBCO Software, Inc. (a) 19,840 803 Tyler Technologies, Inc. (a) 38,392 3,769 VASCO Data Security International, Inc. (a) 26,685 -------------- 1,133,546 -------------- SPECIALTY RETAIL -- 5.5% 4,438 Ascena Retail Group, Inc. (a) 87,873 85 AutoZone, Inc. (a) 31,875 496 Bed Bath & Beyond, Inc. (a) 28,609 259 Buckle (The), Inc. 11,699 786 Children's Place Retail Stores (The), Inc. (a) 45,926 1,836 Dick's Sporting Goods, Inc. 91,800 706 Genesco, Inc. (a) 40,454 595 Hibbett Sports, Inc. (a) 32,124 2,669 Home Depot (The), Inc. 163,823 243 Jos. A. Bank Clothiers, Inc. (a) 11,370 1,963 Limited Brands, Inc. 94,008 1,163 Lumber Liquidators Holdings, Inc. (a) 64,919 374 O'Reilly Automotive, Inc. (a) 32,044 1,380 PetSmart, Inc. 91,618 1,995 Ross Stores, Inc. 121,595 1,892 rue21, Inc. (a) 56,968 1,868 Select Comfort Corp. (a) 51,987 505 Tiffany & Co. 31,926 2,878 TJX (The) Cos., Inc. 119,811 1,251 Tractor Supply Co. 120,396 4,290 Urban Outfitters, Inc. (a) 153,411 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 808 Vitamin Shoppe, Inc. (a) $ 46,250 2,814 Williams-Sonoma, Inc. 130,091 -------------- 1,660,577 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 1,768 Carter's, Inc. (a) 95,578 369 Fossil, Inc. (a) 32,140 329 NIKE, Inc., Class B 30,064 1,044 Oxford Industries, Inc. 57,921 1,016 PVH Corp. 111,750 207 Ralph Lauren Corp. 31,814 1,348 Steven Madden Ltd. (a) 57,856 2,216 Under Armour, Inc., Class A (a) 115,808 1,011 VF Corp. 158,201 459 Warnaco Group (The), Inc. (a) 32,396 797 Wolverine World Wide, Inc. 33,371 -------------- 756,899 -------------- THRIFTS & MORTGAGE FINANCE -- 0.1% 1,844 ViewPoint Financial Group, Inc. 38,355 -------------- TOBACCO -- 0.2% 717 Philip Morris International, Inc. 63,498 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 1,138 Applied Industrial Technologies, Inc. 46,191 727 Fastenal Co. 32,497 1,682 GATX Corp. 69,736 986 Kaman Corp. 36,679 353 MSC Industrial Direct Co., Inc., Class A 26,334 2,183 United Rentals, Inc. (a) 88,761 464 W.W. Grainger, Inc. 93,454 1,256 Watsco, Inc. 85,848 -------------- 479,500 -------------- WATER UTILITIES -- 0.1% 796 American States Water Co. 35,040 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 2,011 Crown Castle International Corp. (a) 134,234 -------------- TOTAL COMMON STOCKS -- 99.9% 30,360,538 (Cost $27,761,580) MONEY MARKET FUND -- 0.2% 43,396 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.03% (b) 43,396 (Cost $43,396) -------------- DESCRIPTION VALUE -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 30,403,934 (Cost $27,804,976) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (15,605) -------------- NET ASSETS -- 100.0% $ 30,388,329 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2012. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,144,739 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $545,781. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 30,360,538 $ -- $ -- Money Market Fund 43,396 -- -- ------------------------------------------------------ Total Investments $ 30,403,934 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.8% 1,818 Alliant Techsystems, Inc. $ 104,153 420 B/E Aerospace, Inc. (a) 18,938 649 Esterline Technologies Corp. (a) 37,506 8,809 Exelis, Inc. 97,427 -------------- 258,024 -------------- AIR FREIGHT & LOGISTICS -- 0.4% 2,705 UTi Worldwide, Inc. 37,572 -------------- AIRLINES -- 1.1% 19,015 JetBlue Airways Corp. (a) 100,589 -------------- AUTOMOBILES -- 0.4% 1,003 Thor Industries, Inc. 38,144 -------------- CAPITAL MARKETS -- 1.1% 3,859 Janus Capital Group, Inc. 32,802 3,992 Jefferies Group, Inc. 56,846 825 SEI Investments Co. 18,051 -------------- 107,699 -------------- CHEMICALS -- 2.9% 2,491 Cabot Corp. 89,078 770 Minerals Technologies, Inc. 55,178 3,353 Olin Corp. 69,542 1,487 Sensient Technologies Corp. 54,097 -------------- 267,895 -------------- COMMERCIAL BANKS -- 4.4% 2,766 Associated Banc-Corp. 35,654 1,201 BancorpSouth, Inc. 16,994 2,111 Cathay General Bancorp 37,344 344 City National Corp. 17,578 439 Commerce Bancshares, Inc. 16,717 1,725 East West Bancorp, Inc. 36,725 4,503 First Niagara Financial Group, Inc. 37,285 2,473 FirstMerit Corp. 34,276 3,695 Fulton Financial Corp. 35,915 2,869 International Bancshares Corp. 52,072 415 Prosperity Bancshares, Inc. 17,372 7,467 Synovus Financial Corp. 18,294 727 Trustmark Corp. 17,063 1,537 Webster Financial Corp. 33,814 -------------- 407,103 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 1,418 Brink's (The) Co. 37,308 529 Corrections Corp. of America 17,801 1,788 Deluxe Corp. 56,340 910 Herman Miller, Inc. 17,645 475 Mine Safety Appliances Co. 18,335 585 Waste Connections, Inc. 19,205 -------------- 166,634 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 0.9% 1,031 Plantronics, Inc. $ 33,445 5,537 Polycom, Inc. (a) 55,481 -------------- 88,926 -------------- COMPUTERS & PERIPHERALS -- 1.3% 1,621 Diebold, Inc. 48,225 7,976 QLogic Corp. (a) 74,815 -------------- 123,040 -------------- CONSTRUCTION & ENGINEERING -- 2.1% 4,304 AECOM Technology Corp. (a) 92,407 1,269 Granite Construction, Inc. 38,336 2,443 KBR, Inc. 68,062 -------------- 198,805 -------------- CONTAINERS & PACKAGING -- 1.0% 825 Greif, Inc., Class A 34,617 1,763 Sonoco Products Co. 54,882 -------------- 89,499 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 1,833 Matthews International Corp., Class A 52,735 1,315 Service Corp. International 18,463 -------------- 71,198 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 601 CBOE Holdings, Inc. 17,724 -------------- ELECTRIC UTILITIES -- 5.2% 1,302 Cleco Corp. 56,181 2,455 Great Plains Energy, Inc. 55,090 1,385 Hawaiian Electric Industries, Inc. 35,844 1,684 IDACORP, Inc. 75,309 3,034 NV Energy, Inc. 57,676 657 OGE Energy Corp. 37,830 4,331 PNM Resources, Inc. 95,975 2,457 Westar Energy, Inc. 72,973 -------------- 486,878 -------------- ELECTRICAL EQUIPMENT -- 0.6% 1,860 General Cable Corp. (a) 53,066 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.6% 2,702 Arrow Electronics, Inc. (a) 95,191 3,131 Avnet, Inc. (a) 89,703 5,980 Ingram Micro, Inc., Class A (a) 90,896 1,608 Tech Data Corp. (a) 71,251 9,266 Vishay Intertechnology, Inc. (a) 76,723 -------------- 423,764 -------------- ENERGY EQUIPMENT & SERVICES -- 5.2% 1,603 Atwood Oceanics, Inc. (a) 76,623 4,985 Helix Energy Solutions Group, Inc. (a) 86,191 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 5,750 Patterson-UTI Energy, Inc. $ 93,035 4,439 Superior Energy Services, Inc. (a) 90,245 1,126 Tidewater, Inc. 53,496 2,195 Unit Corp. (a) 88,568 -------------- 488,158 -------------- FOOD & STAPLES RETAILING -- 0.6% 1,407 Harris Teeter Supermarkets, Inc. 52,692 -------------- FOOD PRODUCTS -- 1.2% 877 Flowers Foods, Inc. 17,268 4,635 Smithfield Foods, Inc. (a) 94,879 -------------- 112,147 -------------- GAS UTILITIES -- 1.5% 1,527 Atmos Energy Corp. 54,926 327 National Fuel Gas Co. 17,233 870 Questar Corp. 17,609 1,147 UGI Corp. 37,036 440 WGL Holdings, Inc. 17,499 -------------- 144,303 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 2,507 Hill-Rom Holdings, Inc. 70,422 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.9% 2,501 Community Health Systems, Inc. (a) 68,577 4,342 Health Management Associates, Inc., Class A (a) 31,697 1,619 Health Net, Inc. (a) 34,841 2,129 LifePoint Hospitals, Inc. (a) 75,239 521 Omnicare, Inc. 17,990 592 Owens & Minor, Inc. 16,854 2,770 VCA Antech, Inc. (a) 54,237 1,289 WellCare Health Plans, Inc. (a) 61,356 -------------- 360,791 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 1,862 Bob Evans Farms, Inc. 70,887 501 Brinker International, Inc. 15,431 2,568 International Speedway Corp., Class A 65,484 2,140 Scientific Games Corp., Class A (a) 17,612 3,889 Wendy's (The) Co. 16,606 5,561 WMS Industries, Inc. (a) 91,367 -------------- 277,387 -------------- HOUSEHOLD DURABLES -- 0.4% 455 Mohawk Industries, Inc. (a) 37,979 -------------- HOUSEHOLD PRODUCTS -- 0.4% 488 Energizer Holdings, Inc. 35,609 -------------- INSURANCE -- 9.0% 264 Alleghany Corp. (a) 91,766 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INSURANCE (CONTINUED) 1,923 American Financial Group, Inc. $ 74,612 2,390 Aspen Insurance Holdings Ltd. 77,317 681 Everest Re Group, Ltd. 75,625 2,555 Fidelity National Financial, Inc., Class A 54,703 2,522 First American Financial Corp. 57,375 978 Hanover Insurance Group (The), Inc. 35,316 1,613 HCC Insurance Holdings, Inc. 57,487 943 Mercury General Corp. 38,220 2,780 Protective Life Corp. 75,894 1,259 Reinsurance Group of America, Inc. 66,626 2,332 StanCorp Financial Group, Inc. 80,104 1,458 W. R. Berkley Corp. 56,702 -------------- 841,747 -------------- INTERNET SOFTWARE & SERVICES -- 2.4% 2,585 AOL, Inc. (a) 88,743 9,941 Monster Worldwide, Inc. (a) 61,833 4,239 ValueClick, Inc. (a) 70,664 -------------- 221,240 -------------- IT SERVICES -- 3.2% 1,994 Acxiom Corp. (a) 36,390 5,812 Convergys Corp. 97,700 1,288 DST Systems, Inc. 73,468 3,795 ManTech International Corp., Class A 87,171 -------------- 294,729 -------------- MACHINERY -- 6.0% 1,918 AGCO Corp. (a) 87,288 396 CLARCOR, Inc. 17,915 862 Harsco Corp. 17,231 2,456 Kennametal, Inc. 86,991 1,399 Lincoln Electric Holdings, Inc. 60,675 2,656 Oshkosh Corp. (a) 79,627 1,613 Terex Corp. (a) 36,373 2,451 Timken (The) Co. 96,790 2,431 Trinity Industries, Inc. 76,042 -------------- 558,932 -------------- MARINE -- 0.8% 1,318 Kirby Corp. (a) 75,759 -------------- MEDIA -- 3.2% 1,624 Cinemark Holdings, Inc. 40,097 920 DreamWorks Animation SKG, Inc., Class A (a) 18,741 793 John Wiley & Sons, Inc., Class A 34,400 1,041 Meredith Corp. 34,842 2,866 Scholastic Corp. 94,549 2,951 Valassis Communications, Inc. (a) 76,785 -------------- 299,414 -------------- METALS & MINING -- 3.1% 4,140 Commercial Metals Co. 56,967 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 1,740 Reliance Steel & Aluminum Co. $ 94,552 6,488 Steel Dynamics, Inc. 82,073 2,523 Worthington Industries, Inc. 54,547 -------------- 288,139 -------------- MULTILINE RETAIL -- 0.6% 5,301 Saks, Inc. (a) 54,494 -------------- MULTI-UTILITIES -- 2.4% 1,259 Alliant Energy Corp. 56,277 1,024 Black Hills Corp. 36,629 2,480 MDU Resources Group, Inc. 53,891 2,548 Vectren Corp. 75,344 -------------- 222,141 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.5% 8,633 Arch Coal, Inc. 68,719 1,738 Energen Corp. 81,078 2,207 HollyFrontier Corp. 85,256 1,458 Plains Exploration & Production Co. (a) 51,992 1,023 World Fuel Services Corp. 35,498 -------------- 322,543 -------------- PAPER & FOREST PRODUCTS -- 1.0% 1,163 Domtar Corp. 92,749 -------------- PROFESSIONAL SERVICES -- 1.7% 3,565 Korn/Ferry International (a) 47,736 1,485 Manpower, Inc. 56,341 1,030 Towers Watson & Co., Class A 55,321 -------------- 159,398 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 744 Hospitality Properties Trust 17,201 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 232 Jones Lang LaSalle, Inc. 18,036 -------------- ROAD & RAIL -- 2.1% 2,662 Con-way, Inc. 77,491 374 Landstar System, Inc. 18,943 4,262 Werner Enterprises, Inc. 98,708 -------------- 195,142 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.8% 13,853 Atmel Corp. (a) 64,624 693 Cree, Inc. (a) 21,019 5,554 Fairchild Semiconductor International, Inc. (a) 65,315 751 Skyworks Solutions, Inc. (a) 17,573 -------------- 168,531 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SOFTWARE -- 0.8% 4,707 Mentor Graphics Corp. (a) $ 73,053 -------------- SPECIALTY RETAIL -- 7.9% 3,275 Aaron's, Inc. 100,968 4,039 Aeropostale, Inc. (a) 48,266 839 American Eagle Outfitters, Inc. 17,510 966 ANN, Inc. (a) 33,965 4,276 Barnes & Noble, Inc. (a) 72,008 2,012 Chico's FAS, Inc. 37,423 1,026 Foot Locker, Inc. 34,371 3,583 Guess?, Inc. 88,787 28,463 Office Depot, Inc. (a) 70,588 30,616 RadioShack Corp. 68,580 2,596 Rent-A-Center, Inc. 86,525 1,494 Signet Jewelers Ltd. 77,329 -------------- 736,320 -------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 1,791 Astoria Financial Corp. 17,964 1,250 New York Community Bancorp, Inc. 17,325 1,061 Washington Federal, Inc. 17,803 -------------- 53,092 -------------- TOBACCO -- 0.8% 1,431 Universal Corp. 70,920 -------------- TOTAL INVESTMENTS -- 99.8% 9,279,628 (Cost $9,258,877) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 15,049 -------------- NET ASSETS -- 100.0% $ 9,294,677 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $455,036 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $434,285. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 9,279,628 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 1,999 Triumph Group, Inc. $ 130,775 -------------- AIRLINES -- 0.6% 2,377 Alaska Air Group, Inc. (a) 90,896 -------------- BIOTECHNOLOGY -- 2.8% 1,419 Regeneron Pharmaceuticals, Inc. (a) 201,924 2,982 United Therapeutics Corp. (a) 136,188 2,234 Vertex Pharmaceuticals, Inc. (a) 107,768 -------------- 445,880 -------------- BUILDING PRODUCTS -- 1.4% 8,021 Fortune Brands Home & Security, Inc. (a) 228,117 -------------- CAPITAL MARKETS -- 2.6% 1,016 Affiliated Managers Group, Inc. (a) 128,524 1,439 Eaton Vance Corp. 40,494 3,220 Greenhill & Co., Inc. 153,658 2,543 Waddell & Reed Financial, Inc., Class A 84,758 -------------- 407,434 -------------- CHEMICALS -- 2.5% 879 NewMarket Corp. 238,482 2,971 Valspar (The) Corp. 166,465 -------------- 404,947 -------------- COMMERCIAL BANKS -- 1.1% 1,863 Signature Bank (a) 132,720 689 SVB Financial Group (a) 38,991 -------------- 171,711 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 4,508 Copart, Inc. (a) 129,786 3,563 Rollins, Inc. 80,773 -------------- 210,559 -------------- COMMUNICATIONS EQUIPMENT -- 0.4% 3,581 Riverbed Technology, Inc. (a) 66,141 -------------- CONSTRUCTION MATERIALS -- 0.5% 1,006 Martin Marietta Materials, Inc. 82,804 -------------- CONTAINERS & PACKAGING -- 3.2% 5,968 Packaging Corp. of America 210,491 3,002 Rock-Tenn Co., Class A 219,716 1,915 Silgan Holdings, Inc. 82,939 -------------- 513,146 -------------- DISTRIBUTORS -- 1.5% 11,711 LKQ Corp. (a) 244,643 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 4,795 tw telecom, Inc. (a) 122,129 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 4.2% 2,633 Acuity Brands, Inc. $ 170,355 4,701 AMETEK, Inc. 167,120 1,548 Hubbell, Inc., Class B 129,599 3,074 Regal-Beloit Corp. 200,363 -------------- 667,437 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 1,748 Trimble Navigation Ltd. (a) 82,471 -------------- ENERGY EQUIPMENT & SERVICES -- 4.5% 3,931 Dresser-Rand Group, Inc. (a) 202,564 2,319 Dril-Quip, Inc. (a) 160,614 3,016 Oceaneering International, Inc. 157,827 2,727 Oil States International, Inc. (a) 199,344 -------------- 720,349 -------------- FOOD PRODUCTS -- 2.7% 1,754 Green Mountain Coffee Roasters, Inc. (a) 42,376 3,021 Ingredion, Inc. 185,671 569 Lancaster Colony Corp. 41,412 1,141 Ralcorp Holdings, Inc. (a) 82,369 3,089 Tootsie Roll Industries, Inc. 82,322 -------------- 434,150 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.9% 1,323 Cooper (The) Cos., Inc. 126,981 4,117 Hologic, Inc. (a) 84,893 839 IDEXX Laboratories, Inc. (a) 80,712 1,723 Masimo Corp. (a) 37,854 4,118 ResMed, Inc. 164,473 3,524 STERIS Corp. 125,490 1,816 Teleflex, Inc. 123,397 1,204 Thoratec Corp. (a) 42,983 -------------- 786,783 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 2,370 AMERIGROUP Corp. (a) 216,476 1,577 Henry Schein, Inc. (a) 116,351 2,493 HMS Holdings Corp. (a) 57,563 1,119 MEDNAX, Inc. (a) 77,189 4,738 Universal Health Services, Inc., Class B 196,106 -------------- 663,685 -------------- HEALTH CARE TECHNOLOGY -- 0.3% 3,352 Allscripts Healthcare Solutions, Inc. (a) 43,308 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 3.9% 3,374 Bally Technologies, Inc. (a) $ 168,430 6,060 Cheesecake Factory (The), Inc. 200,344 911 Life Time Fitness, Inc. (a) 40,895 1,268 Panera Bread Co., Class A (a) 213,835 -------------- 623,504 -------------- HOUSEHOLD DURABLES -- 1.5% 4,100 Jarden Corp. 204,180 1,394 Tempur-Pedic International, Inc. (a) 36,857 -------------- 241,037 -------------- HOUSEHOLD PRODUCTS -- 0.3% 772 Church & Dwight Co., Inc. 39,187 -------------- INDUSTRIAL CONGLOMERATES -- 1.1% 3,210 Carlisle Cos., Inc. 178,315 -------------- INSURANCE -- 1.3% 3,489 Arthur J. Gallagher & Co. 123,650 3,196 Brown & Brown, Inc. 81,658 -------------- 205,308 -------------- INTERNET & CATALOG RETAIL -- 1.4% 4,417 HSN, Inc. 229,772 -------------- INTERNET SOFTWARE & SERVICES -- 2.5% 1,051 Equinix, Inc. (a) 189,611 3,278 Rackspace Hosting, Inc. (a) 208,776 -------------- 398,387 -------------- IT SERVICES -- 5.6% 1,174 Alliance Data Systems Corp. (a) 167,941 3,572 Broadridge Financial Solutions, Inc. 81,977 2,712 Gartner, Inc. (a) 125,864 2,199 Jack Henry & Associates, Inc. 83,562 4,482 Lender Processing Services, Inc. 108,061 4,163 NeuStar, Inc., Class A (a) 152,324 2,390 WEX, Inc. (a) 176,334 -------------- 896,063 -------------- LEISURE EQUIPMENT & PRODUCTS -- 1.4% 2,679 Polaris Industries, Inc. 226,375 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 390 Bio-Rad Laboratories, Inc., Class A (a) 39,527 3,156 Charles River Laboratories International, Inc. (a) 117,782 244 Mettler-Toledo International, Inc. (a) 41,326 -------------- 198,635 -------------- MACHINERY -- 6.9% 1,043 Crane Co. 43,785 2,401 Donaldson Co., Inc. 77,480 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MACHINERY (CONTINUED) 1,379 Gardner Denver, Inc. $ 95,606 1,657 Graco, Inc. 79,636 2,992 IDEX Corp. 127,250 2,132 Nordson Corp. 125,852 2,808 Pentair Ltd. 118,610 637 SPX Corp. 43,692 1,648 Valmont Industries, Inc. 222,645 2,076 Wabtec Corp. 170,024 -------------- 1,104,580 -------------- MEDIA -- 1.9% 2,872 AMC Networks, Inc., Class A (a) 134,180 4,497 Lamar Advertising Co., Class A (a) 176,507 -------------- 310,687 -------------- METALS & MINING -- 1.9% 2,389 Carpenter Technology Corp. 116,129 2,170 Royal Gold, Inc. 191,134 -------------- 307,263 -------------- OFFICE ELECTRONICS -- 0.3% 1,110 Zebra Technologies Corp., Class A (a) 39,882 -------------- OIL, GAS & CONSUMABLE FUELS -- 1.7% 3,364 Bill Barrett Corp. (a) 77,069 3,479 Rosetta Resources, Inc. (a) 160,173 770 SM Energy Co. 41,519 -------------- 278,761 -------------- PHARMACEUTICALS -- 1.0% 1,314 Endo Health Solutions, Inc. (a) 37,659 2,889 Medicis Pharmaceutical Corp., Class A 125,412 -------------- 163,071 -------------- PROFESSIONAL SERVICES -- 1.1% 4,040 Corporate Executive Board (The) Co. 181,638 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.4% 728 Macerich (The) Co. 41,496 2,732 National Retail Properties, Inc. 86,550 3,666 OMEGA Healthcare Investors, Inc. 84,098 1,115 Potlatch Corp. 42,905 1,700 Rayonier, Inc. 83,317 1,019 Realty Income Corp. 40,016 1,710 Regency Centers Corp. 82,114 520 SL Green Realty Corp. 39,156 543 Taubman Centers, Inc. 42,653 -------------- 542,305 -------------- ROAD & RAIL -- 1.4% 1,601 J.B. Hunt Transport Services, Inc. 93,979 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 1,649 Kansas City Southern $ 132,678 -------------- 226,657 -------------- SOFTWARE -- 6.7% 1,972 ACI Worldwide, Inc. (a) 77,105 2,271 ANSYS, Inc. (a) 160,969 12,954 Cadence Design Systems, Inc. (a) 163,998 2,260 Concur Technologies, Inc. (a) 149,680 2,824 Fair Isaac Corp. 131,598 1,911 Parametric Technology Corp. (a) 38,564 3,887 Solarwinds, Inc. (a) 196,643 3,785 Synopsys, Inc. (a) 121,877 1,378 TIBCO Software, Inc. (a) 34,739 -------------- 1,075,173 -------------- SPECIALTY RETAIL -- 5.7% 7,770 Ascena Retail Group, Inc. (a) 153,846 3,214 Dick's Sporting Goods, Inc. 160,700 2,416 PetSmart, Inc. 160,398 2,191 Tractor Supply Co. 210,862 4,927 Williams-Sonoma, Inc. 227,775 -------------- 913,581 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.9% 3,095 Carter's, Inc. (a) 167,316 1,778 PVH Corp. 195,562 3,881 Under Armour, Inc., Class A (a) 202,821 803 Warnaco Group (The), Inc. (a) 56,676 -------------- 622,375 -------------- TRADING COMPANIES & DISTRIBUTORS -- 3.0% 2,945 GATX Corp. 122,100 618 MSC Industrial Direct Co., Inc., Class A 46,103 3,821 United Rentals, Inc. (a) 155,362 2,199 Watsco, Inc. 150,301 -------------- 473,866 -------------- TOTAL INVESTMENTS -- 99.9% 15,993,787 (Cost $15,093,485) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 13,670 -------------- NET ASSETS -- 100.0% $ 16,007,457 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,223,491 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $323,189. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 15,993,787 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 3.8% 2,434 AAR Corp. $ 36,729 1,636 Ceradyne, Inc. 57,195 1,222 Curtiss-Wright Corp. 37,723 2,166 Engility Holdings, Inc. (a) 41,154 1,055 Moog, Inc., Class A (a) 39,046 2,156 Orbital Sciences Corp. (a) 28,890 -------------- 240,737 -------------- AIR FREIGHT & LOGISTICS -- 0.3% 528 Hub Group, Inc., Class A (a) 16,373 -------------- AIRLINES -- 0.7% 3,869 SkyWest, Inc. 42,365 -------------- AUTO COMPONENTS -- 2.0% 778 Drew Industries, Inc. (a) 24,639 4,709 Spartan Motors, Inc. 22,132 2,170 Standard Motor Products, Inc. 40,753 2,339 Superior Industries International, Inc. 39,974 -------------- 127,498 -------------- BIOTECHNOLOGY -- 0.5% 2,209 Emergent Biosolutions, Inc. (a) 29,358 -------------- BUILDING PRODUCTS -- 1.2% 1,837 Gibraltar Industries, Inc. (a) 22,889 3,048 Griffon Corp. 30,937 274 Simpson Manufacturing Co., Inc. 8,346 377 Universal Forest Products, Inc. 14,515 -------------- 76,687 -------------- CAPITAL MARKETS -- 1.8% 1,349 Calamos Asset Management, Inc., Class A 14,569 3,470 Prospect Capital Corp. 41,085 466 Stifel Financial Corp. (a) 14,772 464 Virtus Investment Partners, Inc. (a) 44,544 -------------- 114,970 -------------- CHEMICALS -- 2.0% 1,318 A. Schulman, Inc. 33,820 1,097 Calgon Carbon Corp. (a) 13,592 1,270 OM Group, Inc. (a) 25,692 473 PolyOne Corp. 8,954 1,770 Tredegar Corp. 30,037 1,038 Zep, Inc. 14,874 -------------- 126,969 -------------- COMMERCIAL BANKS -- 5.1% 621 BBCN Bancorp, Inc. 7,409 817 Boston Private Financial Holdings, Inc. 7,533 219 City Holding Co. 7,691 847 Columbia Banking System, Inc. 15,000 556 Community Bank System, Inc. 15,340 656 CVB Financial Corp. 7,098 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 699 F.N.B. Corp. $ 7,500 1,776 First BanCorp (a) 7,530 1,113 First Commonwealth Financial Corp. 7,290 463 First Financial Bancorp 7,269 2,451 Hanmi Financial Corp. (a) 30,417 260 Independent Bank Corp. 7,673 1,723 National Penn Bancshares, Inc. 15,386 710 NBT Bancorp, Inc. 15,102 1,153 Old National Bancorp 14,147 1,219 Pinnacle Financial Partners, Inc. (a) 23,832 490 PrivateBancorp, Inc. 7,918 890 S&T Bancorp, Inc. 15,637 645 Simmons First National Corp., Class A 16,054 790 Sterling Bancorp 7,545 749 Susquehanna Bancshares, Inc. 7,767 193 Tompkins Financial Corp. 7,813 1,218 Umpqua Holdings Corp. 14,726 314 United Bankshares, Inc. 7,483 3,738 Wilshire Bancorp, Inc. (a) 24,334 417 Wintrust Financial Corp. 15,408 -------------- 320,902 -------------- COMMERCIAL SERVICES & SUPPLIES -- 4.9% 1,244 ABM Industries, Inc. 23,636 1,532 Consolidated Graphics, Inc. (a) 45,209 1,111 Encore Capital Group, Inc. (a) 32,219 500 G&K Services, Inc., Class A 16,125 566 Geo Group (The), Inc. 15,690 1,409 Mobile Mini, Inc. (a) 24,545 2,974 Sykes Enterprises, Inc. (a) 40,506 897 Tetra Tech, Inc. (a) 23,268 597 UniFirst Corp. 41,533 1,207 United Stationers, Inc. 35,027 376 Viad Corp. 7,975 -------------- 305,733 -------------- COMMUNICATIONS EQUIPMENT -- 1.2% 419 Bel Fuse, Inc., Class B 6,938 1,136 Comtech Telecommunications Corp. 28,593 1,545 Digi International, Inc. (a) 14,554 3,458 Harmonic, Inc. (a) 15,008 2,252 Symmetricom, Inc. (a) 13,850 -------------- 78,943 -------------- COMPUTERS & PERIPHERALS -- 0.2% 1,305 Super Micro Computer, Inc. (a) 10,323 -------------- CONSTRUCTION & ENGINEERING -- 1.4% 1,229 Aegion Corp. (a) 22,700 2,780 Dycom Industries, Inc. (a) 39,587 825 EMCOR Group, Inc. 26,532 -------------- 88,819 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING -- 0.4% 1,507 Myers Industries, Inc. $ 22,349 -------------- DISTRIBUTORS -- 0.5% 5,344 VOXX International Corp. (a) 33,240 -------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 16,795 Corinthian Colleges, Inc. (a) 45,850 1,726 Hillenbrand, Inc. 35,331 3,738 Lincoln Educational Services Corp. 13,868 1,146 Universal Technical Institute, Inc. 14,692 -------------- 109,741 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 1,680 Interactive Brokers Group, Inc., Class A 23,940 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 1,592 Cbeyond, Inc. (a) 12,194 4,261 Neutral Tandem, Inc. 19,686 -------------- 31,880 -------------- ELECTRIC UTILITIES -- 1.5% 563 ALLETE, Inc. 23,432 686 El Paso Electric Co. 23,317 657 UIL Holdings Corp. 23,764 563 UNS Energy Corp. 24,006 -------------- 94,519 -------------- ELECTRICAL EQUIPMENT -- 1.6% 637 Belden, Inc. 22,805 1,073 Encore Wire Corp. 33,113 1,133 EnerSys (a) 39,066 203 Powell Industries, Inc. (a) 8,075 -------------- 103,059 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 7.0% 545 Anixter International, Inc. 31,948 2,056 Benchmark Electronics, Inc. (a) 30,470 3,118 CTS Corp. 25,817 824 Daktronics, Inc. 7,227 2,287 Insight Enterprises, Inc. (a) 36,981 713 Measurement Specialties, Inc. (a) 23,251 3,764 Mercury Computer Systems, Inc. (a) 30,846 1,617 Methode Electronics, Inc. 16,364 3,614 Newport Corp. (a) 39,103 631 Park Electrochemical Corp. 15,661 776 Plexus Corp. (a) 20,882 8,721 RadiSys Corp. (a) 24,768 1,591 Rofin-Sinar Technologies, Inc. (a) 28,972 981 ScanSource, Inc. (a) 28,694 1,227 SYNNEX Corp. (a) 39,743 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 4,239 TTM Technologies, Inc. (a) $ 38,151 -------------- 438,878 -------------- ENERGY EQUIPMENT & SERVICES -- 3.2% 3,563 Basic Energy Services, Inc. (a) 37,019 465 Bristow Group, Inc. 23,213 1,127 Gulf Island Fabrication, Inc. 26,744 214 Hornbeck Offshore Services, Inc. (a) 7,413 3,393 ION Geophysical Corp. (a) 21,919 2,970 Matrix Service Co. (a) 31,155 5,131 Pioneer Energy Services Corp. (a) 33,865 3,892 TETRA Technologies, Inc. (a) 20,822 -------------- 202,150 -------------- FOOD & STAPLES RETAILING -- 1.3% 1,061 Andersons (The), Inc. 41,676 2,611 Spartan Stores, Inc. 37,494 -------------- 79,170 -------------- FOOD PRODUCTS -- 1.7% 699 Cal-Maine Foods, Inc. 30,148 2,124 Diamond Foods, Inc. 39,337 1,339 Seneca Foods Corp., Class A (a) 38,275 -------------- 107,760 -------------- GAS UTILITIES -- 1.1% 548 Laclede Group (The), Inc. 22,819 318 Northwest Natural Gas Co. 14,796 241 Piedmont Natural Gas Co., Inc. 7,681 532 Southwest Gas Corp. 23,126 -------------- 68,422 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 2,336 CryoLife, Inc. 14,460 1,290 Greatbatch, Inc. (a) 28,354 554 Invacare Corp. 7,562 408 Meridian Bioscience, Inc. 8,058 1,663 Palomar Medical Technologies, Inc. (a) 14,352 794 Symmetry Medical, Inc. (a) 7,273 -------------- 80,059 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 1,878 Almost Family, Inc. (a) 38,931 830 AmSurg Corp. (a) 23,672 549 Hanger, Inc. (a) 13,917 2,759 Kindred Healthcare, Inc. (a) 27,038 3,157 PharMerica Corp. (a) 38,578 688 PSS World Medical, Inc. (a) 19,691 -------------- 161,827 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 4.2% 5,662 Boyd Gaming Corp. (a) $ 34,934 557 Jack in the Box, Inc. (a) 14,487 3,601 Marcus (The) Corp. 39,251 3,605 Monarch Casino & Resort, Inc. (a) 32,878 2,563 Pinnacle Entertainment, Inc. (a) 32,704 964 Red Robin Gourmet Burgers, Inc. (a) 32,198 4,330 Ruby Tuesday, Inc. (a) 31,263 2,464 Ruth's Hospitality Group, Inc. (a) 16,386 763 Sonic Corp. (a) 7,607 1,377 Texas Roadhouse, Inc. 22,417 -------------- 264,125 -------------- HOUSEHOLD DURABLES -- 2.8% 1,869 American Greetings Corp., Class A 32,091 1,432 Ethan Allen Interiors, Inc. 42,115 1,256 Helen of Troy Ltd. (a) 37,956 1,609 La-Z-Boy, Inc. (a) 26,098 2,274 Universal Electronics, Inc. (a) 39,022 -------------- 177,282 -------------- HOUSEHOLD PRODUCTS -- 0.2% 1,299 Central Garden & Pet Co., Class A (a) 14,640 -------------- INDUSTRIAL CONGLOMERATES -- 0.4% 529 Standex International Corp. 24,461 -------------- INSURANCE -- 3.8% 289 AMERISAFE, Inc. (a) 7,586 855 Employers Holdings, Inc. 15,604 2,207 Horace Mann Educators Corp. 42,397 2,041 Meadowbrook Insurance Group, Inc. 11,470 1,393 National Financial Partners Corp. (a) 25,562 318 Navigators Group (The), Inc. (a) 16,879 1,127 Presidential Life Corp. 15,755 512 Safety Insurance Group, Inc. 23,731 412 Selective Insurance Group, Inc. 7,618 1,559 Stewart Information Services Corp. 36,356 810 Tower Group, Inc. 14,596 937 United Fire Group, Inc. 22,273 -------------- 239,827 -------------- INTERNET & CATALOG RETAIL -- 0.4% 2,345 PetMed Express, Inc. 25,560 -------------- INTERNET SOFTWARE & SERVICES -- 2.2% 844 DealerTrack Holdings, Inc. (a) 23,067 2,797 Dice Holdings, Inc. (a) 24,697 942 Digital River, Inc. (a) 13,508 649 Perficient, Inc. (a) 7,379 3,742 QuinStreet, Inc. (a) 22,901 7,241 United Online, Inc. 38,812 940 XO Group, Inc. (a) 7,567 -------------- 137,931 -------------- IT SERVICES -- 1.1% 2,262 CIBER, Inc. (a) 7,058 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- IT SERVICES (CONTINUED) 5,810 NCI, Inc., Class A (a) $ 32,652 1,841 TeleTech Holdings, Inc. (a) 31,002 -------------- 70,712 -------------- LEISURE EQUIPMENT & PRODUCTS -- 0.3% 378 Arctic Cat, Inc. (a) 13,710 538 JAKKS Pacific, Inc. 6,946 -------------- 20,656 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 5,438 Affymetrix, Inc. (a) 17,238 2,007 Cambrex Corp. (a) 24,245 -------------- 41,483 -------------- MACHINERY -- 4.0% 823 Actuant Corp., Class A 23,242 745 Astec Industries, Inc. (a) 21,456 1,255 Barnes Group, Inc. 28,714 841 Briggs & Stratton Corp. 16,610 729 Cascade Corp. 47,378 872 EnPro Industries, Inc. (a) 31,880 202 ESCO Technologies, Inc. 7,563 480 John Bean Technologies Corp. 7,402 1,054 Kaydon Corp. 23,567 2,228 Lydall, Inc. (a) 28,763 172 Mueller Industries, Inc. 7,534 183 Tennant Co. 6,848 -------------- 250,957 -------------- MEDIA -- 0.8% 2,764 Digital Generation, Inc. (a) 25,705 737 E.W. Scripps (The) Co., Class A (a) 7,820 1,823 Live Nation Entertainment, Inc. (a) 16,680 -------------- 50,205 -------------- METALS & MINING -- 2.6% 1,031 Globe Specialty Metals, Inc. 15,496 451 Haynes International, Inc. 22,857 402 Kaiser Aluminum Corp. 24,353 1,679 Materion Corp. 35,175 2,368 Olympic Steel, Inc. 42,624 327 RTI International Metals, Inc. (a) 7,452 974 SunCoke Energy, Inc. (a) 15,652 -------------- 163,609 -------------- MULTILINE RETAIL -- 0.7% 2,809 Fred's, Inc., Class A 38,062 1,198 Tuesday Morning Corp. (a) 7,152 -------------- 45,214 -------------- MULTI-UTILITIES -- 1.1% 1,220 Avista Corp. 31,012 120 CH Energy Group, Inc. 7,804 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 867 NorthWestern Corp. $ 31,047 -------------- 69,863 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.7% 2,208 Cloud Peak Energy, Inc. (a) 46,589 1,708 Comstock Resources, Inc. (a) 29,241 1,004 Gulfport Energy Corp. (a) 33,313 993 PDC Energy, Inc. (a) 30,058 5,064 Penn Virginia Corp. 22,889 1,591 Stone Energy Corp. (a) 37,531 1,914 Swift Energy Co. (a) 31,983 -------------- 231,604 -------------- PAPER & FOREST PRODUCTS -- 0.9% 1,247 Buckeye Technologies, Inc. 32,671 822 Neenah Paper, Inc. 21,290 -------------- 53,961 -------------- PROFESSIONAL SERVICES -- 2.3% 922 CDI Corp. 15,849 310 Insperity, Inc. 8,094 3,172 Kelly Services, Inc., Class A 42,156 3,617 Navigant Consulting, Inc. (a) 37,581 2,395 Resources Connection, Inc. 29,554 999 TrueBlue, Inc. (a) 13,037 -------------- 146,271 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.0% 353 Entertainment Properties Trust 15,691 708 Franklin Street Properties Corp. 8,078 246 LTC Properties, Inc. 8,120 683 Universal Health Realty Income Trust 33,768 -------------- 65,657 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 470 Forestar Group, Inc. (a) 7,525 -------------- ROAD & RAIL -- 2.0% 5,047 Arkansas Best Corp. 40,628 1,762 Heartland Express, Inc. 24,580 2,196 Knight Transportation, Inc. 33,203 781 Old Dominion Freight Line, Inc. (a) 26,195 -------------- 124,606 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 1,274 Advanced Energy Industries, Inc. (a) 15,046 3,910 Brooks Automation, Inc. 28,230 836 Cohu, Inc. 7,357 1,846 Diodes, Inc. (a) 27,985 752 Micrel, Inc. 7,287 1,232 MKS Instruments, Inc. 29,112 1,137 Nanometrics, Inc. (a) 15,645 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 904 Pericom Semiconductor Corp. (a) $ 6,988 2,243 Rudolph Technologies, Inc. (a) 21,331 4,663 TriQuint Semiconductor, Inc. (a) 21,916 -------------- 180,897 -------------- SOFTWARE -- 0.5% 1,755 EPIQ Systems, Inc. 21,428 502 Monotype Imaging Holdings, Inc. 7,686 -------------- 29,114 -------------- SPECIALTY RETAIL -- 6.7% 2,367 Big 5 Sporting Goods Corp. 21,137 1,057 Cato (The) Corp., Class A 29,998 1,381 Finish Line (The), Inc., Class A 28,732 260 Group 1 Automotive, Inc. 16,123 2,880 Haverty Furniture Cos., Inc. 43,229 3,609 Hot Topic, Inc. 31,037 4,025 Kirkland's, Inc. (a) 38,600 707 Lithia Motors, Inc., Class A 24,179 912 Men's Wearhouse (The), Inc. 29,904 4,020 OfficeMax, Inc. 29,547 3,926 Pep Boys-Manny, Moe & Jack (The) 39,221 1,241 Sonic Automotive, Inc., Class A 24,075 1,491 Stage Stores, Inc. 36,530 2,767 Stein Mart, Inc. (a) 21,749 282 Zumiez, Inc. (a) 7,137 -------------- 421,198 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 1,937 Crocs, Inc. (a) 24,406 1,842 Fifth & Pacific Cos., Inc. (a) 20,225 1,721 Iconix Brand Group, Inc. (a) 31,856 382 Maidenform Brands, Inc. (a) 7,147 465 Movado Group, Inc. 14,736 1,068 Perry Ellis International, Inc. (a) 22,044 12,040 Quiksilver, Inc. (a) 38,528 -------------- 158,942 -------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 1,725 Bank Mutual Corp. 7,780 890 Brookline Bancorp, Inc. 7,547 1,087 Dime Community Bancshares, Inc. 15,761 642 Northwest Bancshares, Inc. 7,640 994 Provident Financial Services, Inc. 14,910 1,372 TrustCo Bank Corp. 7,656 -------------- 61,294 -------------- TOBACCO -- 0.3% 7,290 Alliance One International, Inc. (a) 22,162 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 451 NTELOS Holdings Corp. $ 6,878 3,367 USA Mobility, Inc. 37,205 -------------- 44,083 -------------- TOTAL INVESTMENTS -- 99.8% 6,280,510 (Cost $6,367,435) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 14,917 -------------- NET ASSETS -- 100.0% $ 6,295,427 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $320,421 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $407,346. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 6,280,510 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 899 Cubic Corp. $ 43,871 710 Teledyne Technologies, Inc. (a) 45,462 -------------- 89,333 -------------- AIRLINES -- 0.4% 710 Allegiant Travel Co. (a) 51,645 -------------- BEVERAGES -- 0.2% 201 Boston Beer (The) Co., Inc., Class A (a) 21,624 -------------- BIOTECHNOLOGY -- 0.9% 1,894 Cubist Pharmaceuticals, Inc. (a) 81,252 1,930 Spectrum Pharmaceuticals, Inc. (a) 21,539 -------------- 102,791 -------------- BUILDING PRODUCTS -- 1.7% 1,962 A.O. Smith Corp. 119,231 1,147 AAON, Inc. 24,064 4,502 NCI Building Systems, Inc. (a) 50,467 -------------- 193,762 -------------- CAPITAL MARKETS -- 0.9% 1,895 Financial Engines, Inc. (a) 45,499 4,545 HFF, Inc., Class A (a) 63,312 -------------- 108,811 -------------- CHEMICALS -- 6.3% 3,244 American Vanguard Corp. 115,908 613 Balchem Corp. 21,351 2,208 H.B. Fuller Co. 67,123 1,630 Hawkins, Inc. 63,733 464 Innophos Holdings, Inc. 22,109 1,939 Koppers Holdings, Inc. 69,222 3,460 Kraton Performance Polymers, Inc. (a) 75,497 2,573 LSB Industries, Inc. (a) 103,615 1,935 Quaker Chemical Corp. 102,536 936 Stepan Co. 89,669 -------------- 730,763 -------------- COMMERCIAL BANKS -- 2.7% 2,620 Bank of the Ozarks, Inc. 85,779 625 First Financial Bankshares, Inc. 22,644 1,987 Home BancShares, Inc. 68,829 2,271 Texas Capital Bancshares, Inc. (a) 107,804 462 UMB Financial Corp. 20,573 -------------- 305,629 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 3,949 Healthcare Services Group, Inc. 94,381 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 1,081 Portfolio Recovery Associates, Inc. (a) $ 113,127 -------------- 207,508 -------------- COMMUNICATIONS EQUIPMENT -- 0.9% 2,368 NETGEAR, Inc. (a) 84,088 1,365 Oplink Communications, Inc. (a) 20,284 -------------- 104,372 -------------- COMPUTERS & PERIPHERALS -- 1.0% 2,749 3D Systems Corp. (a) 119,582 -------------- CONSTRUCTION MATERIALS -- 2.2% 2,440 Eagle Materials, Inc. 129,247 17,155 Headwaters, Inc. (a) 123,344 -------------- 252,591 -------------- CONSUMER FINANCE -- 0.8% 978 First Cash Financial Services, Inc. (a) 43,677 667 World Acceptance Corp. (a) 44,529 -------------- 88,206 -------------- DISTRIBUTORS -- 0.6% 1,629 Pool Corp. 68,613 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 1,239 American Public Education, Inc. (a) 45,137 642 Capella Education Co. (a) 20,043 500 Coinstar, Inc. (a) 23,470 -------------- 88,650 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 1,576 Atlantic Tele-Network, Inc. 65,310 6,911 General Communication, Inc., Class A (a) 60,402 -------------- 125,712 -------------- ELECTRICAL EQUIPMENT -- 2.0% 2,972 AZZ, Inc. 117,216 1,866 Franklin Electric Co., Inc. 108,116 -------------- 225,332 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 618 Badger Meter, Inc. 26,475 545 FARO Technologies, Inc. (a) 21,909 1,688 FEI Co. 92,924 2,108 MTS Systems Corp. 106,264 1,450 OSI Systems, Inc. (a) 114,913 1,066 Rogers Corp. (a) 42,011 -------------- 404,496 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.8% 1,475 Geospace Technologies Corp. (a) $ 95,477 -------------- FOOD & STAPLES RETAILING -- 1.4% 1,185 Casey's General Stores, Inc. 61,087 1,931 United Natural Foods, Inc. (a) 102,806 -------------- 163,893 -------------- FOOD PRODUCTS -- 3.6% 2,979 B&G Foods, Inc. 90,174 1,806 Calavo Growers, Inc. 42,640 4,937 Darling International, Inc. (a) 81,609 1,792 Hain Celestial Group (The), Inc. (a) 103,577 392 J & J Snack Foods Corp. 22,450 507 Sanderson Farms, Inc. 22,962 1,806 Snyder's-Lance, Inc. 45,764 -------------- 409,176 -------------- GAS UTILITIES -- 0.2% 492 New Jersey Resources Corp. 21,874 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.4% 1,257 Abaxis, Inc. (a) 46,232 3,053 Align Technology, Inc. (a) 81,149 1,155 Analogic Corp. 85,077 2,501 Cantel Medical Corp. 65,051 1,723 Cyberonics, Inc. (a) 79,689 561 Haemonetics Corp. (a) 45,834 1,120 ICU Medical, Inc. (a) 66,449 1,099 Integra LifeSciences Holdings (a) 42,037 4,536 Merit Medical Systems, Inc. (a) 65,500 1,971 NuVasive, Inc. (a) 28,422 3,349 SurModics, Inc. (a) 60,215 1,276 West Pharmaceutical Services, Inc. 68,738 -------------- 734,393 -------------- HEALTH CARE PROVIDERS & SERVICES -- 6.3% 943 Air Methods Corp. (a) 103,381 3,950 Bio-Reference Laboratories, Inc. (a) 109,652 2,414 Centene Corp. (a) 91,684 974 Chemed Corp. 65,501 503 CorVel Corp. (a) 21,393 2,951 Ensign Group (The), Inc. 86,051 1,482 IPC Hospitalist (The) Co. (a) 51,114 754 Landauer, Inc. 43,694 872 Magellan Health Services, Inc. (a) 43,731 1,055 MWI Veterinary Supply, Inc. (a) 110,796 -------------- 726,997 -------------- HEALTH CARE TECHNOLOGY -- 1.7% 3,173 HealthStream, Inc. (a) 81,039 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY (CONTINUED) 2,720 Medidata Solutions, Inc. (a) $ 114,294 -------------- 195,333 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.9% 62 Biglari Holdings, Inc. (a) 21,924 996 BJ's Restaurants, Inc. (a) 32,918 525 Buffalo Wild Wings, Inc. (a) 39,874 1,346 Cracker Barrel Old Country Store, Inc. 85,673 1,209 DineEquity, Inc. (a) 75,804 2,385 Interval Leisure Group, Inc. 45,458 7,176 Multimedia Games Holding Co., Inc. (a) 114,099 2,113 Papa John's International, Inc. (a) 112,665 2,856 SHFL entertainment, Inc. (a) 40,355 -------------- 568,770 -------------- HOUSEHOLD DURABLES -- 1.1% 3,763 Ryland Group (The), Inc. 127,453 -------------- HOUSEHOLD PRODUCTS -- 0.4% 855 WD-40 Co. 40,920 -------------- INSURANCE -- 1.0% 2,405 eHealth, Inc. (a) 52,188 1,118 Infinity Property & Casualty Corp. 63,849 -------------- 116,037 -------------- INTERNET & CATALOG RETAIL -- 0.4% 1,217 Blue Nile, Inc. (a) 45,966 -------------- INTERNET SOFTWARE & SERVICES -- 2.3% 6,338 Blucora, Inc. (a) 111,232 2,064 j2 Global, Inc. 62,003 1,349 Liquidity Services, Inc. (a) 55,619 2,493 LivePerson, Inc. (a) 39,115 -------------- 267,969 -------------- IT SERVICES -- 5.3% 2,274 Cardtronics, Inc. (a) 64,604 5,019 CSG Systems International, Inc. (a) 103,442 3,061 Exlservice Holdings, Inc. (a) 90,728 2,138 Heartland Payment Systems, Inc. 55,759 6,212 iGATE Corp. (a) 99,703 1,890 MAXIMUS, Inc. 104,290 5,082 Virtusa Corp. (a) 87,207 -------------- 605,733 -------------- LEISURE EQUIPMENT & PRODUCTS -- 1.2% 1,995 Brunswick Corp. 47,062 1,825 Sturm, Ruger & Co., Inc. 86,195 -------------- 133,257 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES -- 1.0% 11,066 Enzo Biochem, Inc. (a) $ 22,132 2,936 PAREXEL International Corp. (a) 90,106 -------------- 112,238 -------------- MACHINERY -- 3.8% 2,392 CIRCOR International, Inc. 82,500 938 Lindsay Corp. 71,635 1,894 Robbins & Myers, Inc. 112,276 2,270 Toro (The) Co. 95,840 1,790 Watts Water Technologies, Inc., Class A 72,012 -------------- 434,263 -------------- MEDIA -- 0.2% 594 Arbitron, Inc. 21,598 -------------- METALS & MINING -- 0.7% 2,665 AMCOL International Corp. 84,161 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 2,248 Approach Resources, Inc. (a) 55,368 -------------- PAPER & FOREST PRODUCTS -- 2.1% 2,732 Clearwater Paper Corp. (a) 108,023 5,041 KapStone Paper & Packaging Corp. (a) 110,751 682 Schweitzer-Mauduit International, Inc. 23,891 -------------- 242,665 -------------- PERSONAL PRODUCTS -- 1.7% 4,935 Inter Parfums, Inc. 90,113 4,317 Medifast, Inc. (a) 110,170 -------------- 200,283 -------------- PHARMACEUTICALS -- 1.3% 3,415 Akorn, Inc. (a) 41,014 3,499 Medicines (The) Co. (a) 76,698 1,494 ViroPharma, Inc. (a) 37,724 -------------- 155,436 -------------- PROFESSIONAL SERVICES -- 0.4% 788 Exponent, Inc. (a) 43,324 -------------- REAL ESTATE INVESTMENT TRUSTS -- 2.8% 907 Acadia Realty Trust 23,292 423 EastGroup Properties, Inc. 22,021 2,716 Extra Space Storage, Inc. 93,675 976 Healthcare Realty Trust, Inc. 22,926 502 Kilroy Realty Corp. 22,294 337 PS Business Parks, Inc. 21,612 507 Saul Centers, Inc. 21,938 1,171 Sovran Self Storage, Inc. 67,684 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 696 Tanger Factory Outlet Centers, Inc. $ 21,903 -------------- 317,345 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% 2,940 Cirrus Logic, Inc. (a) 119,834 3,879 Entropic Communications, Inc. (a) 18,658 2,171 Kulicke & Soffa Industries, Inc. (a) 22,274 2,250 Microsemi Corp. (a) 43,200 1,143 Monolithic Power Systems, Inc. (a) 22,209 2,158 Ultratech, Inc. (a) 66,704 -------------- 292,879 -------------- SOFTWARE -- 6.2% 1,829 Bottomline Technologies, Inc. (a) 42,799 1,538 CommVault Systems, Inc. (a) 96,079 2,869 Ebix, Inc. 62,515 749 Interactive Intelligence Group, Inc. (a) 23,751 1,421 JDA Software Group, Inc. (a) 54,197 1,577 Manhattan Associates, Inc. (a) 94,620 168 MicroStrategy, Inc., Class A (a) 15,871 3,540 NetScout Systems, Inc. (a) 87,544 1,325 OPNET Technologies, Inc. 56,220 918 Sourcefire, Inc. (a) 39,281 983 Synchronoss Technologies, Inc. (a) 20,142 1,539 Tyler Technologies, Inc. (a) 73,579 7,220 VASCO Data Security International, Inc. (a) 51,118 -------------- 717,716 -------------- SPECIALTY RETAIL -- 6.0% 495 Buckle (The), Inc. 22,359 1,505 Children's Place Retail Stores (The), Inc. (a) 87,937 1,353 Genesco, Inc. (a) 77,527 1,139 Hibbett Sports, Inc. (a) 61,495 464 Jos. A. Bank Clothiers, Inc. (a) 21,710 2,227 Lumber Liquidators Holdings, Inc. (a) 124,311 3,624 rue21, Inc. (a) 109,119 3,578 Select Comfort Corp. (a) 99,576 1,548 Vitamin Shoppe, Inc. (a) 88,607 -------------- 692,641 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 2,000 Oxford Industries, Inc. 110,960 2,582 Steven Madden Ltd. (a) 110,819 1,526 Wolverine World Wide, Inc. 63,894 -------------- 285,673 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE -- 0.6% 3,533 ViewPoint Financial Group, Inc. $ 73,486 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 2,180 Applied Industrial Technologies, Inc. 88,486 1,889 Kaman Corp. 70,271 -------------- 158,757 -------------- WATER UTILITIES -- 0.6% 1,524 American States Water Co. 67,086 -------------- TOTAL INVESTMENTS -- 99.9% 11,497,587 (Cost $11,783,388) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 16,835 -------------- NET ASSETS -- 100.0% $ 11,514,422 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $292,636 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $578,437. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 11,497,587 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.7% 1,275 Honeywell International, Inc. $ 78,081 -------------- AUTOMOBILES -- 6.8% 38,629 Ford Motor Co. 431,100 13,394 General Motors Co. (a) 341,547 -------------- 772,647 -------------- BIOTECHNOLOGY -- 5.5% 2,710 Amgen, Inc. 234,537 5,742 Gilead Sciences, Inc. (a) 385,633 -------------- 620,170 -------------- CHEMICALS -- 3.3% 5,261 Dow Chemical (The) Co. 154,147 2,511 Monsanto Co. 216,122 -------------- 370,269 -------------- COMMERCIAL BANKS -- 1.3% 1,207 PNC Financial Services Group, Inc. 70,235 2,206 Wells Fargo & Co. 74,320 -------------- 144,555 -------------- COMMUNICATIONS EQUIPMENT -- 1.8% 11,971 Cisco Systems, Inc. 205,183 -------------- COMPUTERS & PERIPHERALS -- 2.4% 457 Apple, Inc. 271,961 -------------- DIVERSIFIED FINANCIAL SERVICES -- 5.0% 25,881 Bank of America Corp. 241,211 4,656 Citigroup, Inc. 174,088 3,764 JPMorgan Chase & Co. 156,883 -------------- 572,182 -------------- ELECTRIC UTILITIES -- 1.4% 2,351 Duke Energy Corp. 154,437 -------------- ELECTRICAL EQUIPMENT -- 0.7% 1,578 Emerson Electric Co. 76,423 -------------- ENERGY EQUIPMENT & SERVICES -- 3.1% 3,804 National Oilwell Varco, Inc. 280,355 1,053 Schlumberger Ltd. 73,215 -------------- 353,570 -------------- FOOD & STAPLES RETAILING -- 7.9% 1,522 Costco Wholesale Corp. 149,811 4,720 CVS Caremark Corp. 219,008 8,362 Walgreen Co. 294,593 3,097 Wal-Mart Stores, Inc. 232,337 -------------- 895,749 -------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 3,533 Medtronic, Inc. $ 146,902 -------------- HEALTH CARE PROVIDERS & SERVICES -- 5.3% 6,078 Express Scripts Holding Co. (a) 374,040 4,124 UnitedHealth Group, Inc. 230,944 -------------- 604,984 -------------- INDUSTRIAL CONGLOMERATES -- 0.6% 3,354 General Electric Co. 70,635 -------------- INSURANCE -- 4.9% 9,293 American International Group, Inc. (a) 324,604 6,632 MetLife, Inc. 235,370 -------------- 559,974 -------------- INTERNET & CATALOG RETAIL -- 1.8% 899 Amazon.com, Inc. (a) 209,305 -------------- INTERNET SOFTWARE & SERVICES -- 5.8% 7,868 eBay, Inc. (a) 379,946 404 Google, Inc., Class A (a) 274,627 -------------- 654,573 -------------- IT SERVICES -- 3.3% 4,351 Accenture PLC, Class A 293,301 567 Visa, Inc., Class A 78,677 -------------- 371,978 -------------- MACHINERY -- 0.7% 885 Caterpillar, Inc. 75,057 -------------- MEDIA -- 8.7% 10,648 Comcast Corp., Class A 399,407 6,211 News Corp., Class A 148,567 6,722 Time Warner, Inc. 292,071 2,914 Walt Disney (The) Co. 142,990 -------------- 983,035 -------------- METALS & MINING -- 2.0% 5,774 Freeport-McMoRan Copper & Gold, Inc. 224,493 -------------- MULTILINE RETAIL -- 1.3% 2,400 Target Corp. 153,000 -------------- OIL, GAS & CONSUMABLE FUELS -- 14.9% 4,405 Apache Corp. 364,514 3,268 Chevron Corp. 360,166 5,329 ConocoPhillips 308,283 3,332 Exxon Mobil Corp. 303,778 4,426 Occidental Petroleum Corp. 349,477 -------------- 1,686,218 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MEGA CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS -- 0.7% 1,607 Eli Lilly & Co. $ 78,148 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.2% 16,794 Intel Corp. 363,170 -------------- SPECIALTY RETAIL -- 5.4% 6,309 Home Depot (The), Inc. 387,247 2,519 Lowe's Cos., Inc. 81,565 3,402 TJX (The) Cos., Inc. 141,625 -------------- 610,437 -------------- TOTAL INVESTMENTS -- 99.8% 11,307,136 (Cost $10,980,372) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 20,407 -------------- NET ASSETS -- 100.0% $ 11,327,543 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $572,972 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $246,208. ---------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $ 11,307,136 $ -- $ -- ====================================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at October 31, 2012. See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS STYLE FUNDS OCTOBER 31, 2012 (UNAUDITED) VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company. The Trust currently consists of twenty-one exchange-traded funds (each a "Fund" and collectively, the "Funds") considered either a Sector Fund or a Style Fund, each having a separate report. This report covers the twelve Style Funds listed below: 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 Each Fund's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. Each Fund's securities will be valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding the NASDAQ(R) Stock Market, LLC ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. 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 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) STYLE FUNDS OCTOBER 31, 2012 (UNAUDITED) market has closed but before the calculation of the 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 including, but not limited to the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. 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 investments. An active market is a market in which transactions for the investment 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 investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, 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 investment (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 investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of October 31, 2012, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) STYLE FUNDS OCTOBER 31, 2012 (UNAUDITED) C. SECURITIES LENDING The Funds may lend securities representing up to 20% of the value of their 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, 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 Funds. 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. Brown Brothers Harriman & Co. acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. 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, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The dividend and interest earned on the securities loaned are accounted for in the same manner as other dividend and interest income. At October 31, 2012, the Style Funds had no securities in the securities lending program. ADDITIONAL INFORMATION FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS OCTOBER 31, 2012 (UNAUDITED) LICENSING INFORMATION Each of the Defined Large Cap Core Index, Defined Mid Cap Core Index, Defined Small Cap Core Index, Defined Large Cap Value Index, Defined Large Cap Growth Index, Defined Multi Cap Value Index, Defined Multi Cap Growth Index, Defined Mid Cap Growth Index, Defined Mid Cap Value Index, Defined Small Cap Growth Index and Defined Small Cap Value Index (the "Defined Series") is the exclusive property of S&P Dow Jones Indices LLC ("S&P Dow Jones"). First Trust Portfolios L.P. has contracted with S&P Dow Jones to calculate and maintain the Defined Series. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC ("S&P") and have been licensed to S&P Dow Jones and have been sublicensed for use by First Trust Portfolios L.P. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by S&P Dow Jones or S&P and neither S&P Dow Jones or S&P makes any representation regarding the advisability of investing in the Funds. ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ----------------------------------------------- By: /s/ Mark R. Bradley ----------------------------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: December 24, 2012 ------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Mark R. Bradley ----------------------------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: December 24, 2012 ------------------------------ By: /s/ James M. Dykas ----------------------------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: December 24, 2012 ------------------------------ EX-99.CERT 2 certifications.txt SECTION 302 CERTIFICATIONS CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 24, 2012 ------------------------ /s/ Mark R. Bradley --------------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 24, 2012 ------------------------ /s/ James M. Dykas --------------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)