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, 2013 ------------------ 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 (FXD) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 7.5% 69,414 BorgWarner, Inc. $ 7,158,666 154,694 Delphi Automotive PLC 8,848,497 176,603 Gentex Corp. 5,199,192 522,579 Goodyear Tire & Rubber (The) Co. 10,963,707 54,442 Johnson Controls, Inc. 2,512,498 163,914 Lear Corp. 12,685,305 164,513 TRW Automotive Holdings Corp. (a) 12,356,571 155,105 Visteon Corp. (a) 11,957,045 ------------- 71,681,481 ------------- AUTOMOBILES -- 5.0% 695,426 Ford Motor Co. 11,898,739 251,283 General Motors Co. (a) 9,284,907 70,353 Harley-Davidson, Inc. 4,505,406 60,664 Tesla Motors, Inc. (a) (b) 9,702,600 202,134 Thor Industries, Inc. 11,725,793 ------------- 47,117,445 ------------- BUILDING PRODUCTS -- 0.8% 169,106 Fortune Brands Home & Security, Inc. 7,285,086 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 320,367 KAR Auction Services, Inc. 9,521,307 ------------- DISTRIBUTORS -- 1.5% 27,925 Genuine Parts Co. 2,201,328 368,135 LKQ Corp. (a) 12,159,499 ------------- 14,360,827 ------------- DIVERSIFIED CONSUMER SERVICES -- 3.1% 563,759 Apollo Group, Inc., Class A (a) 15,046,728 230,353 DeVry, Inc. 8,269,673 121,334 Service Corp. International 2,185,225 120,939 Weight Watchers International, Inc. (b) 3,883,351 ------------- 29,384,977 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 34,459 McGraw Hill Financial, Inc. 2,401,103 ------------- FOOD & STAPLES RETAILING -- 1.3% 39,218 Costco Wholesale Corp. 4,627,724 95,176 Wal-Mart Stores, Inc. 7,304,758 ------------- 11,932,482 ------------- HOTELS, RESTAURANTS & LEISURE -- 9.4% 125,426 Bally Technologies, Inc. (a) 9,173,658 276,898 Carnival Corp. 9,594,516 16,433 Chipotle Mexican Grill, Inc. (a) 8,659,698 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 52,329 Choice Hotels International, Inc. $ 2,438,008 152,065 Darden Restaurants, Inc. 7,835,909 133,001 Domino's Pizza, Inc. 8,919,047 49,931 Dunkin' Brands Group, Inc. 2,380,710 52,591 Hyatt Hotels Corp., Class A (a) 2,503,332 371,867 International Game Technology 6,991,100 136,066 Las Vegas Sands Corp. 9,554,554 40,813 Penn National Gaming, Inc. (a) 2,387,969 118,051 Royal Caribbean Cruises Ltd. 4,962,864 117,422 Starbucks Corp. 9,517,053 28,588 Wynn Resorts Ltd. 4,752,755 ------------- 89,671,173 ------------- HOUSEHOLD DURABLES -- 6.6% 232,565 D.R. Horton, Inc. 4,407,107 100,008 Garmin Ltd. (b) 4,675,374 145,425 Jarden Corp. (a) 8,050,728 149,903 Leggett & Platt, Inc. 4,458,115 63,817 Lennar Corp., Class A 2,268,694 82,165 Newell Rubbermaid, Inc. 2,434,549 399,042 Taylor Morrison Home Corp., Class A (a) 8,874,694 51,392 Tempur Sealy International, Inc. (a) 1,970,883 278,695 Toll Brothers, Inc. (a) 9,163,492 52,335 Tupperware Brands Corp. 4,691,833 80,130 Whirlpool Corp. 11,699,781 ------------- 62,695,250 ------------- INTERNET & CATALOG RETAIL -- 4.7% 22,498 Amazon.com, Inc. (a) 8,189,947 192,562 Liberty Interactive Corp., Class A (a) 5,191,472 37,926 Netflix, Inc. (a) 12,230,376 8,920 priceline.com, Inc. (a) 9,400,164 119,179 TripAdvisor, Inc. (a) 9,857,295 ------------- 44,869,254 ------------- INTERNET SOFTWARE & SERVICES -- 1.2% 466,837 Pandora Media, Inc. (a) 11,731,614 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.5% 47,950 Hasbro, Inc. 2,476,617 90,821 Polaris Industries, Inc. 11,893,010 ------------- 14,369,627 ------------- MACHINERY -- 0.2% 26,800 WABCO Holdings, Inc. (a) 2,296,224 ------------- MEDIA -- 13.6% 65,981 AMC Networks, Inc., Class A (a) 4,624,608 81,943 CBS Corp., Class B 4,846,109 See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 67,087 Charter Communications, Inc., Class A (a) $ 9,005,759 142,361 Cinemark Holdings, Inc. 4,670,864 551,109 Clear Channel Outdoor Holdings, Inc., Class A (a) 4,684,427 156,009 Comcast Corp., Class A 7,422,908 26,752 Discovery Communications, Inc., Class A (a) 2,378,788 100,382 DISH Network Corp., Class A 4,838,412 262,749 Gannett Co., Inc. 7,270,265 526,068 Interpublic Group of Cos. (The), Inc. 8,837,942 47,392 John Wiley & Sons, Inc., Class A 2,383,344 28,472 Liberty Global PLC, Class A (a) 2,231,351 334,738 Lions Gate Entertainment Corp. (a) 11,575,240 730,510 News Corp., Class A (a) 12,856,976 35,631 Omnicom Group, Inc. 2,426,827 238,083 Regal Entertainment Group, Class A (b) 4,525,958 57,870 Scripps Networks Interactive, Class A 4,658,535 1,816,557 Sirius XM Radio, Inc. 6,848,420 80,324 Starz, Class A (a) 2,421,769 20,256 Time Warner Cable, Inc. 2,433,758 68,663 Time Warner, Inc. 4,719,895 134,847 Twenty-First Century Fox, Inc., Class A 4,595,586 54,048 Viacom, Inc., Class B 4,501,658 70,058 Walt Disney (The) Co. 4,805,278 ------------- 129,564,677 ------------- MULTILINE RETAIL -- 7.0% 243,666 Big Lots, Inc. (a) 8,859,696 149,816 Dillard's, Inc., Class A 12,281,916 80,059 Dollar General Corp. (a) 4,625,809 79,062 Dollar Tree, Inc. (a) 4,617,221 97,734 Family Dollar Stores, Inc. 6,731,918 226,713 Kohl's Corp. 12,877,298 208,875 Macy's, Inc. 9,631,226 110,021 Target Corp. 7,128,261 ------------- 66,753,345 ------------- PERSONAL PRODUCTS -- 2.0% 278,775 Coty, Inc., Class A 4,287,559 122,529 Nu Skin Enterprises, Inc., Class A 14,327,316 ------------- 18,614,875 ------------- ROAD & RAIL -- 2.1% 38,235 AMERCO 7,720,793 244,160 Avis Budget Group, Inc. (a) 7,649,533 203,927 Hertz Global Holdings, Inc. (a) 4,682,164 ------------- 20,052,490 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SPECIALTY RETAIL -- 23.8% 423,526 Aaron's, Inc. $ 12,015,433 331,706 Abercrombie & Fitch Co., Class A 12,432,341 838,604 American Eagle Outfitters, Inc. 12,989,976 353,217 Ascena Retail Group, Inc. (a) 6,990,164 173,228 AutoNation, Inc. (a) 8,354,787 90,983 Bed Bath & Beyond, Inc. (a) 7,034,806 312,845 Best Buy Co., Inc. 13,389,766 35,848 Cabela's, Inc. (a) 2,126,503 186,477 CarMax, Inc. (a) 8,762,554 542,505 Chico's FAS, Inc. 9,303,961 303,299 CST Brands, Inc. 9,778,360 42,309 Dick's Sporting Goods, Inc. 2,251,262 105,915 DSW, Inc., Class A 9,285,568 345,656 Foot Locker, Inc. 11,994,263 56,104 Gap (The), Inc. 2,075,287 302,784 Guess?, Inc. 9,462,000 29,781 Home Depot (The), Inc. 2,319,642 115,191 L Brands, Inc. 7,212,109 189,827 Lowe's Cos., Inc. 9,449,588 290,468 Murphy USA, Inc. (a) 11,787,191 55,160 O'Reilly Automotive, Inc. (a) 6,829,360 92,291 PetSmart, Inc. 6,715,093 62,057 Ross Stores, Inc. 4,800,109 98,246 Signet Jewelers Ltd. 7,335,046 29,501 Tiffany & Co. 2,335,594 124,832 TJX (The) Cos., Inc. 7,588,537 134,566 Tractor Supply Co. 9,601,284 75,640 Ulta Salon Cosmetics & Fragrance, Inc. (a) 9,746,214 40,202 Williams-Sonoma, Inc. 2,108,193 ------------- 226,074,991 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 7.4% 92,752 Carter's, Inc. 6,413,801 137,112 Deckers Outdoor Corp. (a) 9,437,419 60,558 Fossil Group, Inc. (a) 7,687,232 188,299 Hanesbrands, Inc. 12,826,928 121,273 Michael Kors Holdings Ltd. (a) 9,331,957 96,913 NIKE, Inc., Class B 7,342,129 19,045 PVH Corp. 2,372,436 147,668 Under Armour, Inc., Class A (a) 11,983,258 11,337 VF Corp. 2,437,455 ------------- 69,832,615 ------------- TOTAL COMMON STOCKS --100.0% 950,210,843 (Cost $822,090,980) ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 564,832 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class 0.03% (c) $ 564,832 (Cost $564,832) ------------- COLLATERAL FOR SECURITIES ON LOAN -- 1.8% MONEY MARKET FUNDS -- 0.4% 3,626,715 Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class - 0.001% (c) 3,626,715 (Cost $3,626,715) PRINCIPAL VALUE --------------- REPURCHASE AGREEMENTS -- 1.4% $13,765,221 JPMorgan Chase & Co., 0.03% (c), dated 10/31/13, due 11/01/13, with a maturity value of $13,765,232. Collateralized by U.S. Treasury Note, interest rate of 0.375%, due 02/15/16. The value of the collateral including accrued interest is $14,041,625. 13,765,221 (Cost $13,765,221) ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN - 1.8% 17,391,936 (Cost $17,391,936) ------------- TOTAL INVESTMENTS -- 101.9% 968,167,611 (Cost $840,047,748) (d) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (17,940,556) ------------- NET ASSETS -- 100.0% $ 950,227,055 ============= (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2C - Securities Lending in the Notes to Quarterly Portfolio of Investments). The aggregate value of such securities is $17,035,362 and the total value of the collateral held by the Fund is $17,391,936. (c) Interest rate shown reflects yield as of October 31, 2013. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $133,824,431 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,704,568. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $950,210,843 $ -- $ -- Money Market Funds 4,191,547 -- -- Repurchase Agreements -- 13,765,221 -- ----------------------------------------------------- Total Investments $954,402,390 $ 13,765,221 $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 12.3% 238,949 Beam, Inc. $ 16,081,267 504,197 Coca-Cola Enterprises, Inc. 21,040,141 538,103 Constellation Brands, Inc., Class A (a) 35,138,126 616,149 Molson Coors Brewing Co., Class B 33,272,046 ------------- 105,531,580 ------------- FOOD & STAPLES RETAILING -- 26.6% 544,331 CVS Caremark Corp. 33,890,048 142,811 Fresh Market (The), Inc. (a) 7,270,508 957,220 Kroger (The) Co. 41,007,305 1,206,966 Safeway, Inc. 42,123,113 152,204 Sprouts Farmers Market, Inc. (a) 7,010,516 636,840 Sysco Corp. 20,595,406 574,126 Walgreen Co. 34,011,224 660,024 Whole Foods Market, Inc. 41,667,315 ------------- 227,575,435 ------------- FOOD PRODUCTS -- 36.9% 550,271 Archer-Daniels-Midland Co. 22,506,084 203,479 Bunge Ltd. 16,711,730 379,389 Campbell Soup Co. 16,150,590 668,201 ConAgra Foods, Inc. 21,255,474 945,500 Flowers Foods, Inc. 23,958,970 140,954 General Mills, Inc. 7,106,901 410,049 Green Mountain Coffee Roasters, Inc. (a) 25,755,178 166,972 Hershey (The) Co. 16,570,301 481,247 Hormel Foods Corp. 20,914,995 583,501 Ingredion, Inc. 38,371,026 193,029 J.M. Smucker (The) Co. 21,466,755 115,066 Kellogg Co. 7,277,924 983,084 Mondelez International, Inc., Class A 33,070,946 255,306 Pinnacle Foods, Inc. 6,916,239 1,365,369 Tyson Foods, Inc., Class A 37,779,760 ------------- 315,812,873 ------------- HOUSEHOLD PRODUCTS -- 12.2% 112,552 Church & Dwight Co., Inc. 7,332,763 189,049 Clorox (The) Co. 17,050,329 113,990 Colgate-Palmolive Co. 7,378,573 338,888 Energizer Holdings, Inc. 33,248,302 163,945 Kimberly-Clark Corp. 17,706,060 268,192 Procter & Gamble (The) Co. 21,656,504 ------------- 104,372,531 ------------- PERSONAL PRODUCTS -- 4.2% 553,386 Herbalife Ltd. 35,870,481 ------------- SPECIALTY RETAIL -- 4.9% 706,824 GNC Holdings, Inc., Class A 41,575,388 ------------- TOBACCO -- 2.9% 344,882 Lorillard, Inc. 17,592,431 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- TOBACCO (CONTINUED) 138,472 Reynolds American, Inc. $ 7,113,306 ------------- 24,705,737 ------------- TOTAL COMMON STOCKS -- 100.0% 855,444,025 (Cost $766,141,139) MONEY MARKET FUNDS -- 0.0% 492,411 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 492,411 (Cost $492,411) ------------- TOTAL INVESTMENTS -- 100.0% 855,936,436 (Cost $766,633,550) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (145,625) ------------- NET ASSETS -- 100.0% $ 855,790,811 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $90,963,624 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,660,738. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $855,444,025 $ -- $ -- Money Market Funds 492,411 -- -- ----------------------------------------------------- Total Investments $855,936,436 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 31.1% 149,466 Atwood Oceanics, Inc. (a) $ 7,941,129 67,021 Baker Hughes, Inc. 3,893,250 28,188 Cameron International Corp. (a) 1,546,394 105,608 Diamond Offshore Drilling, Inc. 6,540,303 43,006 Dril-Quip, Inc. (a) 5,049,765 54,971 Frank's International N.V. (a) 1,681,563 68,334 Halliburton Co. 3,623,752 119,302 Helmerich & Payne, Inc. 9,251,870 307,338 Nabors Industries Ltd. 5,372,268 63,197 National Oilwell Varco, Inc. 5,130,332 40,505 Oceaneering International, Inc. 3,478,569 47,700 Oil States International, Inc. (a) 5,181,651 307,817 Patterson-UTI Energy, Inc. 7,467,640 134,415 Rowan Cos. PLC, Class A (a) 4,849,693 212,694 RPC, Inc. (b) 3,900,808 18,629 Schlumberger Ltd. 1,745,910 36,496 Seadrill Ltd. 1,701,444 262,822 Superior Energy Services, Inc. (a) 7,051,514 106,168 Unit Corp. (a) 5,458,097 ------------- 90,865,952 ------------- OIL, GAS & CONSUMABLE FUELS -- 65.4% 17,700 Anadarko Petroleum Corp. 1,686,633 77,292 Apache Corp. 6,863,530 44,084 Cabot Oil & Gas Corp. 1,557,047 48,188 Cheniere Energy, Inc. (a) 1,917,882 63,571 Chesapeake Energy Corp. 1,777,445 67,712 Chevron Corp. 8,122,731 34,133 Cimarex Energy Co. 3,595,912 15,124 Concho Resources, Inc. (a) 1,672,866 94,670 ConocoPhillips 6,939,311 30,672 Continental Resources, Inc. (a) (b) 3,493,541 268,098 Denbury Resources, Inc. (a) 5,091,181 29,157 EOG Resources, Inc. 5,201,609 37,082 EQT Corp. 3,174,590 76,493 Exxon Mobil Corp. 6,855,303 218,370 Golar LNG Ltd. (b) 8,108,078 25,573 Gulfport Energy Corp. (a) 1,500,879 106,368 Hess Corp. 8,637,082 195,348 HollyFrontier Corp. 8,997,729 110,869 Laredo Petroleum Holdings, Inc. (a) 3,522,308 188,675 Marathon Oil Corp. 6,652,680 127,902 Marathon Petroleum Corp. 9,165,457 109,097 Murphy Oil Corp. 6,580,731 24,561 Noble Energy, Inc. 1,840,356 133,949 Oasis Petroleum, Inc. (a) 7,132,784 52,773 Occidental Petroleum Corp. 5,070,430 366,428 PBF Energy, Inc., Class A (b) 9,648,049 142,270 Phillips 66 9,166,456 26,136 Pioneer Natural Resources Co. 5,352,130 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 118,828 QEP Resources, Inc. $ 3,928,454 85,262 SM Energy Co. 7,555,066 149,631 Tesoro Corp. 7,315,460 240,879 Valero Energy Corp. 9,916,988 82,468 Whiting Petroleum Corp. (a) 5,516,285 88,190 World Fuel Services Corp. 3,364,448 170,851 WPX Energy, Inc. (a) 3,782,641 ------------- 190,704,072 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.5% 204,580 First Solar, Inc. (a) (b) 10,284,237 ------------- TOTAL COMMON STOCKS-- 100.0% 291,854,261 (Cost $264,081,403) ------------- MONEY MARKET FUNDS -- 0.1% 152,128 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 152,128 (Cost $152,128) ------------- COLLATERAL FOR SECURITIES ON LOAN -- 5.1% MONEY MARKET FUNDS -- 1.1% 3,121,121 Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class - 0.001% (c) 3,121,121 (Cost $3,121,121) PRINCIPAL VALUE --------------- REPURCHASE AGREEMENTS -- 4.0% $ 11,846,234 JPMorgan Chase & Co., 0.03% (c), dated 10/31/13, due 11/01/13, with a maturity value of $11,846,244. Collateralized by U.S. Treasury Note, interest rate of 0.375%, due 02/15/16. The value of the collateral including accrued interest is $12,084,105. 11,846,234 (Cost $11,846,234) ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN - 5.1% 14,967,355 (Cost $14,967,355) ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 105.2% $ 306,973,744 (Cost $279,200,886) (d) NET OTHER ASSETS AND LIABILITIES -- (5.2)% (15,157,076) ------------- NET ASSETS -- 100.0% $ 291,816,668 ============= (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2C - Securities Lending in the Notes to Quarterly Portfolio of Investments). The aggregate value of such securities is $14,654,449 and the total value of the collateral held by the Fund is $14,967,355. (c) Interest rate shown reflects yield as of October 31, 2013. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $29,036,031 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,263,173. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $291,854,261 $ -- $ -- Money Market Funds 3,273,249 -- -- Repurchase Agreements -- 11,846,234 -- ----------------------------------------------------- Total Investments $295,127,510 $ 11,846,234 $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% CAPITAL MARKETS -- 11.2% 21,064 Affiliated Managers Group, Inc. (a) $ 4,158,876 349,910 American Capital Ltd. (a) 4,902,239 52,820 Ameriprise Financial, Inc. 5,310,523 278,267 Ares Capital Corp. 4,833,498 95,617 Bank of New York Mellon (The) Corp. 3,040,621 7,103 BlackRock, Inc. 2,136,653 91,039 Charles Schwab (The) Corp. 2,062,033 24,788 Eaton Vance Corp. 1,036,386 70,847 Federated Investors, Inc., Class B 1,921,371 19,028 Franklin Resources, Inc. 1,024,848 24,332 Goldman Sachs Group (The), Inc. 3,914,046 60,323 Invesco Ltd. 2,035,901 53,418 Lazard Ltd., Class A 2,064,606 100,475 LPL Financial Holdings, Inc. 4,093,351 35,713 Morgan Stanley 1,026,034 17,709 Northern Trust Corp. 999,142 46,191 Raymond James Financial, Inc. 2,108,619 93,404 SEI Investments Co. 3,100,079 43,899 State Street Corp. 3,076,003 74,760 Waddell & Reed Financial, Inc., Class A 4,616,430 ------------- 57,461,259 ------------- COMMERCIAL BANKS -- 17.8% 186,350 Associated Banc-Corp. 3,030,051 17,657 Bank of Hawaii Corp. 1,023,753 61,704 BankUnited, Inc. 1,898,632 85,538 BB&T Corp. 2,905,726 45,589 BOK Financial Corp. 2,791,414 81,006 CapitalSource, Inc. 1,059,559 39,452 CIT Group, Inc. (a) 1,900,008 28,870 City National Corp. 2,081,816 73,419 Comerica, Inc. 3,179,043 43,921 Commerce Bancshares, Inc. 2,020,805 13,627 Cullen/Frost Bankers, Inc. 964,655 60,235 East West Bancorp, Inc. 2,029,317 213,229 Fifth Third Bancorp 4,057,748 18,733 First Citizens BancShares, Inc., Class A 3,966,338 175,120 First Horizon National Corp. 1,865,028 371,146 First Niagara Financial Group, Inc. 4,093,740 41,274 First Republic Bank 2,107,863 247,137 Fulton Financial Corp. 3,017,543 465,976 Huntington Bancshares, Inc. 4,100,589 253,201 KeyCorp 3,172,609 25,799 M&T Bank Corp. 2,903,161 53,134 PNC Financial Services Group, Inc. 3,906,943 183,279 Popular, Inc. (a) 4,627,795 311,735 Regions Financial Corp. 3,002,008 31,531 Signature Bank (a) 3,210,486 118,707 SunTrust Banks, Inc. 3,993,304 1,457,923 Synovus Financial Corp. 4,738,250 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 202,150 TCF Financial Corp. $ 3,068,637 52,620 U.S. Bancorp 1,965,883 290,130 Valley National Bancorp 2,828,768 69,852 Wells Fargo & Co. 2,981,982 105,263 Zions Bancorporation 2,986,311 ------------- 91,479,765 ------------- CONSUMER FINANCE -- 2.1% 25,477 American Express Co. 2,084,018 55,979 Capital One Financial Corp. 3,844,078 57,126 Discover Financial Services 2,963,697 77,281 SLM Corp. 1,960,619 ------------- 10,852,412 ------------- DIVERSIFIED FINANCIAL SERVICES -- 7.9% 139,451 Bank of America Corp. 1,946,736 33,905 Berkshire Hathaway, Inc., Class B (a) 3,901,787 42,534 CBOE Holdings, Inc. 2,062,899 59,491 Citigroup, Inc. 2,901,971 13,019 CME Group, Inc. 966,140 131,778 ING US, Inc. 4,087,753 51,266 Interactive Brokers Group, Inc., Class A 1,057,618 5,314 IntercontinentalExchange, Inc. (a) 1,024,167 93,079 JPMorgan Chase & Co. 4,797,292 176,629 Leucadia National Corp. 5,005,666 68,396 Moody's Corp. 4,832,861 47,801 MSCI, Inc. (a) 1,948,847 119,875 NASDAQ OMX Group (The), Inc. 4,247,171 45,840 NYSE Euronext 2,017,877 ------------- 40,798,785 ------------- INSURANCE -- 36.9% 51,415 ACE Ltd. 4,907,048 46,544 Aflac, Inc. 3,024,429 9,400 Alleghany Corp. (a) 3,810,948 38,732 Allied World Assurance Co. Holdings AG 4,194,288 57,115 Allstate (The) Corp. 3,030,522 89,005 American Financial Group, Inc. 5,007,421 98,943 American International Group, Inc. 5,110,406 39,264 American National Insurance Co. 3,968,412 51,710 Aon PLC 4,089,744 71,111 Arch Capital Group Ltd. (a) 4,121,594 44,103 Arthur J. Gallagher & Co. 2,092,687 132,567 Aspen Insurance Holdings Ltd. 5,171,439 71,148 Assurant, Inc. 4,160,735 205,268 Assured Guaranty Ltd. 4,207,994 111,083 Axis Capital Holdings Ltd. 5,267,556 59,939 Brown & Brown, Inc. 1,913,852 43,133 Chubb (The) Corp. 3,971,687 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 61,213 Cincinnati Financial Corp. $ 3,060,650 75,612 CNA Financial Corp. 3,069,091 53,738 Endurance Specialty Holdings Ltd. 2,971,174 13,288 Erie Indemnity Co., Class A 954,344 33,073 Everest Re Group, Ltd. 5,084,643 180,862 Fidelity National Financial, Inc., Class A 5,091,265 150,350 Genworth Financial, Inc., Class A (a) 2,184,585 86,980 Hanover Insurance Group, (The), Inc. 5,091,809 109,778 HCC Insurance Holdings, Inc. 5,011,366 114,549 Kemper Corp. 4,240,604 91,660 Lincoln National Corp. 4,162,281 41,183 Loews Corp. 1,989,551 1,867 Markel Corp. (a) 988,894 44,197 Marsh & McLennan Cos., Inc. 2,024,223 470,282 MBIA, Inc. (a) 5,347,106 19,918 Mercury General Corp. 927,382 20,490 MetLife, Inc. 969,382 62,468 Old Republic International Corp. 1,048,838 52,572 PartnerRe Ltd. 5,268,240 44,935 Principal Financial Group, Inc. 2,132,615 106,759 ProAssurance Corp. 4,838,318 141,352 Progressive (The) Corp. 3,670,911 90,467 Protective Life Corp. 4,168,719 61,700 Prudential Financial, Inc. 5,021,763 57,443 Reinsurance Group of America, Inc. 4,088,793 53,153 RenaissanceRe Holdings Ltd. 4,980,968 69,940 StanCorp Financial Group, Inc. 4,119,466 39,895 Torchmark Corp. 2,906,750 56,756 Travelers (The) Cos., Inc. 4,898,043 126,445 Unum Group 4,013,364 130,092 Validus Holdings Ltd. 5,136,032 89,791 W. R. Berkley Corp. 3,942,723 6,793 White Mountains Insurance Group Ltd. 3,967,588 124,890 XL Group PLC 3,817,887 ------------- 189,240,130 ------------- IT SERVICES -- 8.8% 22,761 Alliance Data Systems Corp. (a) 5,395,723 151,522 Broadridge Financial Solutions, Inc. 5,327,513 106,707 CoreLogic, Inc. (a) 3,550,142 62,164 Fidelity National Information Services, Inc. 3,030,495 28,555 Fiserv, Inc. (a) 2,990,565 43,683 FleetCor Technologies, Inc. (a) 5,038,834 37,686 Global Payments, Inc. 2,241,563 55,872 Jack Henry & Associates, Inc. 3,051,170 57,838 Lender Processing Services, Inc. 1,996,568 5,706 MasterCard, Inc., Class A 4,091,773 98,118 Total System Services, Inc. 2,926,860 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- IT SERVICES (CONTINUED) 103,302 Vantiv, Inc., Class A (a) $ 2,840,805 10,063 Visa, Inc., Class A 1,979,090 51,580 Western Union Co. 877,892 ------------- 45,338,993 ------------- MEDIA -- 0.8% 12,128 Morningstar, Inc. 973,757 82,466 Thomson Reuters Corp. 3,098,248 ------------- 4,072,005 ------------- PROFESSIONAL SERVICES -- 0.8% 18,524 Dun & Bradstreet (The) Corp. 2,015,226 32,168 Equifax, Inc. 2,080,305 ------------- 4,095,531 ------------- REAL ESTATE INVESTMENT TRUSTS -- 9.1% 15,062 Alexandria Real Estate Equities, Inc. 990,778 213,074 American Capital Agency Corp. 4,627,967 415,458 Annaly Capital Management, Inc. 4,898,250 15,647 Camden Property Trust 1,004,537 316,533 Chimera Investment Corp. 959,095 87,822 CommonWealth REIT 2,140,222 111,410 Corrections Corp. of America 4,122,170 63,106 Extra Space Storage, Inc. 2,902,245 257,130 Hatteras Financial Corp. 4,679,766 23,492 HCP, Inc. 974,918 33,992 Hospitality Properties Trust 998,685 17,041 Macerich (The) Co. 1,008,998 645,793 MFA Financial, Inc. 4,785,326 30,248 National Retail Properties, Inc. 1,040,531 32,223 OMEGA Healthcare Investors, Inc. 1,071,093 55,418 Piedmont Office Realty Trust, Inc., Class A 1,024,125 21,376 Post Properties, Inc. 977,738 5,992 Public Storage 1,000,484 41,233 Senior Housing Properties Trust 1,015,981 40,155 Starwood Property Trust, Inc. 1,031,582 495,481 Two Harbors Investment Corp. 4,622,838 33,594 Weyerhaeuser Co. 1,021,258 ------------- 46,898,587 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 41,615 CBRE Group, Inc., Class A (a) 966,716 33,054 Jones Lang LaSalle, Inc. 3,146,741 ------------- 4,113,457 ------------- SOFTWARE -- 0.2% 8,829 FactSet Research Systems, Inc. 961,831 ------------- THRIFTS & MORTGAGE FINANCE -- 3.4% 106,438 Hudson City Bancorp, Inc. 955,813 85,567 Nationstar Mortgage Holdings, Inc. (a) 4,391,298 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 191,055 New York Community Bancorp, Inc. $ 3,097,002 86,260 Ocwen Financial Corp. (a) 4,850,400 133,836 People's United Financial, Inc. 1,931,254 93,062 Washington Federal, Inc. 2,119,952 ------------- 17,345,719 ------------- 512,658,474 TOTAL COMMON STOCKS -- 99.8% (Cost $464,160,013) MONEY MARKET FUNDS -- 0.2% 1,042,604 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% 1,042,604 (Cost $1,042,604) (b) ------------- TOTAL INVESTMENTS -- 100.0% 513,701,078 (Cost $465,202,617) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (251,022) ------------- NET ASSETS -- 100.0% $ 513,450,056 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $52,692,638 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,194,177. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $512,658,474 $ -- $ -- Money Market Funds 1,042,604 -- -- ----------------------------------------------------- Total Investments $513,701,078 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 23.4% 91,334 Alexion Pharmaceuticals, Inc. (a) $ 11,229,515 631,248 Alkermes PLC (a) 22,213,617 94,813 Amgen, Inc. 10,998,308 66,117 Biogen Idec, Inc. (a) 16,145,110 294,068 BioMarin Pharmaceutical, Inc. (a) 18,473,352 172,110 Celgene Corp. (a) 25,556,614 333,945 Cubist Pharmaceuticals, Inc. (a) 20,704,590 337,569 Gilead Sciences, Inc. (a) 23,964,023 695,362 Incyte Corp. Ltd. (a) 27,119,118 265,541 Medivation, Inc. (a) 15,895,284 115,136 Pharmacyclics, Inc. (a) 13,659,735 84,801 Regeneron Pharmaceuticals, Inc. (a) 24,388,768 605,224 Seattle Genetics, Inc. (a) 23,379,803 129,811 Theravance, Inc. (a) 4,756,275 336,415 United Therapeutics Corp. (a) 29,779,456 ------------- 288,263,568 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 17.6% 639,401 Abbott Laboratories 23,370,107 347,113 Alere, Inc. (a) 11,708,121 53,041 Becton, Dickinson & Co. 5,576,200 46,043 C. R. Bard, Inc. 6,271,977 431,332 CareFusion Corp. (a) 16,722,742 122,718 Cooper (The) Cos., Inc. 15,856,393 261,179 Covidien PLC 16,744,186 244,415 DENTSPLY International, Inc. 11,511,947 592,301 Hill-Rom Holdings, Inc. 24,456,108 256,911 Hologic, Inc. (a) 5,752,237 298,886 Medtronic, Inc. 17,156,056 200,895 ResMed, Inc. 10,394,307 197,808 St. Jude Medical, Inc. 11,352,201 156,979 Stryker Corp. 11,594,469 64,487 Teleflex, Inc. 5,944,412 71,009 Varian Medical Systems, Inc. (a) 5,153,833 193,774 Zimmer Holdings, Inc. 16,949,412 ------------- 216,514,708 ------------- HEALTH CARE PROVIDERS & SERVICES -- 32.0% 414,376 Aetna, Inc. 25,981,375 434,183 AmerisourceBergen Corp. 28,365,175 201,716 Brookdale Senior Living, Inc. (a) 5,462,469 115,455 Catamaran Corp. (a) 5,421,767 345,133 Cigna Corp. 26,568,338 511,364 Community Health Systems, Inc. 22,310,811 93,245 DaVita HealthCare Partners, Inc. (a) 5,241,302 171,700 Express Scripts Holding Co. (a) 10,734,684 372,304 HCA Holdings, Inc. 17,550,411 828,994 Health Management Associates, Inc., Class A (a) 10,627,703 167,362 Health Net, Inc. (a) 5,087,805 153,393 Henry Schein, Inc. (a) 17,245,975 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 284,239 Humana, Inc. $ 26,192,624 53,517 Laboratory Corp. of America Holdings (a) 5,399,865 568,908 LifePoint Hospitals, Inc. (a) 29,378,409 165,420 McKesson Corp. 25,861,763 158,527 MEDNAX, Inc. (a) 17,282,614 95,588 Omnicare, Inc. 5,271,678 132,024 Patterson Cos., Inc. 5,612,340 257,601 Quest Diagnostics, Inc. 15,432,876 257,621 Tenet Healthcare Corp. (a) 12,157,135 296,362 UnitedHealth Group, Inc. 20,229,670 283,007 Universal Health Services, Inc., Class B 22,799,044 317,287 WellPoint, Inc. 26,905,938 -------------- 393,121,771 -------------- HEALTH CARE TECHNOLOGY -- 0.9% 201,928 Cerner Corp. (a) 11,314,026 -------------- LIFE SCIENCES TOOLS & SERVICES -- 9.6% 135,384 Bio-Rad Laboratories, Inc., Class A (a) 16,722,632 1,027,713 Bruker Corp. (a) 21,016,731 229,392 Charles River Laboratories International, Inc. (a) 11,288,380 245,465 Covance, Inc. (a) 21,910,206 262,562 Illumina, Inc. (a) 24,552,173 70,888 Life Technologies Corp. (a) 5,338,575 66,267 Techne Corp. 5,791,073 115,163 Thermo Fisher Scientific, Inc. 11,260,638 -------------- 117,880,408 -------------- PHARMACEUTICALS -- 16.5% 184,226 Actavis PLC (a) 28,477,655 421,663 Eli Lilly & Co. 21,007,251 467,032 Endo Health Solutions, Inc. (a) 20,423,309 288,452 Jazz Pharmaceuticals PLC (a) 26,174,134 122,410 Johnson & Johnson 11,336,390 601,672 Mallinckrodt PLC (a) 25,276,241 222,885 Merck & Co., Inc. 10,049,885 694,985 Mylan, Inc. (a) 26,319,082 554,107 Pfizer, Inc. 17,000,003 237,984 Salix Pharmaceuticals Ltd. (a) 17,075,352 -------------- 203,139,302 -------------- TOTAL COMMON STOCKS -- 100.0% 1,230,233,783 (Cost $1,094,834,756) See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 632,289 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) $ 632,289 (Cost $632,289) -------------- TOTAL INVESTMENTS -- 100.1% 1,230,866,072 (Cost $1,095,467,045) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (1,054,908) -------------- NET ASSETS -- 100.0% $1,229,811,164 ============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $144,363,928 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,964,901. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $1,230,233,783 $ -- $ -- Money Market Funds 632,289 -- -- ----------------------------------------------------- Total Investments $1,230,866,072 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 19.6% 72,649 Alliant Techsystems, Inc. $ 7,909,297 95,940 B/E Aerospace, Inc. (a) 7,786,490 60,259 Boeing (The) Co. 7,863,799 360,734 Exelis, Inc. 5,948,504 17,044 Honeywell International, Inc. 1,478,226 105,091 Huntington Ingalls Industries, Inc. 7,519,261 74,917 L-3 Communications Holdings, Inc. 7,525,413 44,462 Lockheed Martin Corp. 5,928,563 59,494 Northrop Grumman Corp. 6,396,200 55,130 Raytheon Co. 4,541,058 20,840 Rockwell Collins, Inc. 1,455,257 233,826 Spirit AeroSystems Holdings, Inc., Class A (a) 6,240,816 153,965 Textron, Inc. 4,432,652 100,910 Triumph Group, Inc. 7,230,202 52,600 United Technologies Corp. 5,588,750 ------------- 87,844,488 ------------- AIR FREIGHT & LOGISTICS -- 2.4% 23,783 C.H. Robinson Worldwide, Inc. 1,420,797 64,298 Expeditors International of Washington, Inc. 2,912,056 49,657 FedEx Corp. 6,505,067 ------------- 10,837,920 ------------- AIRLINES -- 5.3% 90,484 Alaska Air Group, Inc. 6,393,599 30,637 Copa Holdings SA, Class A 4,581,457 300,275 Delta Air Lines, Inc. 7,921,254 291,957 Southwest Airlines Co. 5,027,500 ------------- 23,923,810 ------------- BUILDING PRODUCTS -- 1.8% 156,729 A.O. Smith Corp. 8,095,053 ------------- COMMERCIAL SERVICES & SUPPLIES -- 8.8% 174,184 ADT (The) Corp. 7,554,360 55,365 Cintas Corp. 2,976,976 72,447 Clean Harbors, Inc. (a) 4,473,602 233,642 Pitney Bowes, Inc. 4,985,920 359,110 R.R. Donnelley & Sons Co. 6,668,673 127,435 Republic Services, Inc. 4,265,250 124,795 Waste Connections, Inc. 5,333,738 68,702 Waste Management, Inc. 2,991,285 ------------- 39,249,804 ------------- COMPUTERS & PERIPHERALS -- 1.7% 214,631 Lexmark International, Inc., Class A 7,630,132 ------------- CONSTRUCTION & ENGINEERING -- 6.4% 104,488 Chicago Bridge & Iron Co. N.V. 7,741,516 79,874 Fluor Corp. 5,928,248 48,680 Jacobs Engineering Group, Inc. (a) 2,960,718 154,463 Quanta Services, Inc. (a) 4,666,327 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 131,826 URS Corp. $ 7,147,606 ------------- 28,444,415 ------------- CONTAINERS & PACKAGING -- 0.3% 32,579 Avery Dennison Corp. 1,535,122 ------------- ELECTRICAL EQUIPMENT -- 5.2% 30,825 AMETEK, Inc. 1,474,360 168,036 Babcock & Wilcox (The) Co. 5,412,440 20,621 Eaton Corp. PLC 1,455,018 43,814 Emerson Electric Co. 2,934,224 13,547 Hubbell, Inc., Class B 1,456,844 83,391 Regal-Beloit Corp. 6,115,062 39,755 Rockwell Automation, Inc. 4,389,349 ------------- 23,237,297 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 90,202 FLIR Systems, Inc. 2,568,953 47,663 Trimble Navigation Ltd. (a) 1,361,732 ------------- 3,930,685 ------------- ENERGY EQUIPMENT & SERVICES -- 1.3% 95,491 Tidewater, Inc. 5,750,468 ------------- INDUSTRIAL CONGLOMERATES -- 2.3% 11,875 3M Co. 1,494,469 40,354 Carlisle Cos., Inc. 2,932,929 40,855 Danaher Corp. 2,945,237 118,624 General Electric Co. 3,100,831 ------------- 10,473,466 ------------- IT SERVICES -- 1.3% 293,353 Booz Allen Hamilton Holding Corp. 5,808,389 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 55,326 Agilent Technologies, Inc. 2,808,348 5,867 Mettler-Toledo International, Inc. (a) 1,451,848 ------------- 4,260,196 ------------- MACHINERY -- 25.6% 117,261 AGCO Corp. 6,845,697 33,983 Caterpillar, Inc. 2,832,823 125,418 Colfax Corp. (a) 7,018,391 23,015 Crane Co. 1,461,453 21,352 Cummins, Inc. 2,712,131 47,300 Dover Corp. 4,341,667 45,457 Flowserve Corp. 3,157,898 76,515 Graco, Inc. 5,911,549 65,175 IDEX Corp. 4,506,851 55,737 Illinois Tool Works, Inc. 4,391,518 43,602 Ingersoll-Rand PLC 2,944,443 197,088 ITT Corp. 7,830,306 See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 138,772 Joy Global Inc. $ 7,875,311 93,196 Kennametal, Inc. 4,287,016 63,834 Lincoln Electric Holdings, Inc. 4,419,866 144,854 Manitowoc (The) Co., Inc. 2,818,859 116,539 Navistar International Corp. (a) 4,214,050 19,281 Nordson Corp. 1,389,967 115,675 Oshkosh Corp. (a) 5,504,973 25,467 PACCAR, Inc. 1,415,965 26,096 Parker Hannifin Corp. 3,045,925 28,501 Snap-on, Inc. 2,966,099 15,642 Stanley Black & Decker, Inc. 1,237,126 78,203 Toro (The) Co. 4,609,285 156,166 Trinity Industries, Inc. 7,906,685 112,639 Wabtec Corp. 7,342,937 50,708 Xylem, Inc. 1,749,426 ------------- 114,738,217 ------------- MARINE -- 0.6% 32,712 Kirby Corp. (a) 2,894,685 ------------- OFFICE ELECTRONICS -- 2.2% 688,448 Xerox Corp. 6,843,173 62,202 Zebra Technologies Corp., Class A (a) 3,004,979 ------------- 9,848,152 ------------- PROFESSIONAL SERVICES -- 1.3% 12,361 IHS, Inc., Class A (a) 1,347,967 72,641 Robert Half International, Inc. 2,798,858 21,796 Verisk Analytics, Inc., Class A (a) 1,493,462 ------------- 5,640,287 ------------- ROAD & RAIL -- 6.6% 131,537 Con-way, Inc. 5,419,324 165,155 CSX Corp. 4,303,939 15,256 Genesee & Wyoming, Inc., Class A (a) 1,523,159 19,414 J.B. Hunt Transport Services, Inc. 1,456,632 54,986 Norfolk Southern Corp. 4,729,896 123,185 Old Dominion Freight Line, Inc. (a) 5,777,377 94,909 Ryder System, Inc. 6,247,860 ------------- 29,458,187 ------------- TRADING COMPANIES & DISTRIBUTORS -- 5.5% 204,920 Air Lease Corp. 6,024,648 89,437 GATX Corp. 4,610,477 121,488 United Rentals, Inc. (a) 7,846,910 5,421 W.W. Grainger, Inc. 1,458,086 55,506 WESCO International, Inc. (a) 4,743,543 ------------- 24,683,664 ------------- TOTAL COMMON STOCKS -- 100.1% 448,284,437 (Cost $408,210,163) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 162,958 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) $ 162,958 (Cost $162,958) ------------- TOTAL INVESTMENTS -- 100.1% 448,447,395 (Cost $408,373,121) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (261,846) ------------- NET ASSETS -- 100.0% $ 448,185,549 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $40,580,845 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $506,571. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $448,284,437 $ -- $ -- Money Market Funds 162,958 -- -- ----------------------------------------------------- Total Investments $448,447,395 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 4.7% 313,539 Hexcel Corp. (a) $ 13,265,835 19,459 Precision Castparts Corp. 4,931,884 ------------- 18,197,719 ------------- BUILDING PRODUCTS -- 6.8% 40,256 Armstrong World Industries, Inc. (a) 2,150,878 161,633 Lennox International, Inc. 12,617,072 343,010 Masco Corp. 7,247,801 116,471 Owens Corning, Inc. (a) 4,184,803 ------------- 26,200,554 ------------- CHEMICALS -- 42.0% 41,520 Air Products & Chemicals, Inc. 4,526,095 41,730 Airgas, Inc. 4,551,491 70,290 Albemarle Corp. 4,652,495 207,156 Cabot Corp. 9,655,541 138,282 Celanese Corp., Series A 7,745,175 57,704 CF Industries Holdings, Inc. 12,440,982 230,399 Dow Chemical (The) Co. 9,093,849 75,551 E.I. du Pont de Nemours & Co. 4,623,721 113,588 Eastman Chemical Co. 8,949,599 123,189 Ecolab, Inc. 13,058,034 101,780 FMC Corp. 7,405,513 107,327 Huntsman Corp. 2,492,133 53,743 International Flavors & Fragrances, Inc. 4,441,859 99,692 LyondellBasell Industries N.V., Class A 7,437,023 282,784 Mosaic (The) Co. 12,965,646 7,667 NewMarket Corp. 2,387,197 52,956 PPG Industries, Inc. 9,668,707 33,057 Rockwood Holdings, Inc. 2,090,855 244,416 RPM International, Inc. 9,463,788 132,631 Scotts Miracle-Gro (The) Co., Class A 7,788,092 12,135 Sherwin-Williams (The) Co. 2,281,380 25,934 Sigma-Aldrich Corp. 2,241,476 25,294 W.R. Grace & Co. (a) 2,318,448 84,522 Westlake Chemical Corp. 9,079,353 ------------- 161,358,452 ------------- CONSTRUCTION MATERIALS -- 2.0% 100,603 Eagle Materials, Inc. 7,546,231 ------------- CONTAINERS & PACKAGING -- 20.3% 73,573 AptarGroup, Inc. 4,720,444 113,403 Bemis Co., Inc. 4,524,780 52,329 Crown Holdings, Inc. (a) 2,281,544 180,452 Greif, Inc., Class A 9,652,377 57,642 MeadWestvaco Corp. 2,008,824 243,154 Owens-Illinois, Inc. (a) 7,729,866 213,108 Packaging Corp. of America 13,272,366 120,140 Rock Tenn Co., Class A 12,856,181 447,446 Sealed Air Corp. 13,503,920 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 187,456 Sonoco Products Co. $ 7,618,212 ------------- 78,168,514 ------------- MACHINERY -- 2.0% 146,476 Timken (The) Co. 7,735,398 ------------- METALS & MINING -- 16.5% 1,089,624 Alcoa, Inc. 10,100,815 72,488 Allegheny Technologies, Inc. 2,399,353 125,598 Carpenter Technology Corp. 7,451,729 367,751 Freeport-McMoRan Copper & Gold, Inc. 13,518,527 45,121 Nucor Corp. 2,335,914 120,749 Reliance Steel & Aluminum Co. 8,849,694 436,552 Steel Dynamics, Inc. 7,844,839 429,703 United States Steel Corp. 10,695,308 ------------- 63,196,179 ------------- PAPER & FOREST PRODUCTS -- 4.5% 153,185 Domtar Corp. 12,976,301 98,752 International Paper Co. 4,405,327 ------------- 17,381,628 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 165,068 MRC Global, Inc. (a) 4,613,651 ------------- TOTAL COMMON STOCKS -- 100.0% 384,398,326 (Cost $347,370,218) MONEY MARKET FUNDS -- 0.0% 112,218 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 112,218 (Cost $112,218) ------------- TOTAL INVESTMENTS -- 100.0% 384,510,544 (Cost $347,482,436) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (128,098) ------------- NET ASSETS -- 100.0% $ 384,382,446 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $39,172,745 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,144,637. See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $384,398,326 $ -- $ -- Money Market Funds 112,218 -- -- ----------------------------------------------------- Total Investments $384,510,544 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 6.9% 751,240 Brocade Communications Systems, Inc. (a) $ 6,024,945 258,098 Cisco Systems, Inc. 5,807,205 109,293 EchoStar Corp., Class A (a) 5,241,692 80,985 Harris Corp. 5,017,831 102,779 JDS Uniphase Corp. (a) 1,345,377 76,127 Juniper Networks, Inc. (a) 1,419,007 25,461 Motorola Solutions, Inc. 1,591,822 22,457 QUALCOMM, Inc. 1,560,088 ------------- 28,007,967 ------------- COMPUTERS & PERIPHERALS -- 13.6% 148,246 3D Systems Corp. (a) 9,226,831 12,687 Apple, Inc. 6,627,054 187,886 EMC Corp. 4,522,416 202,075 NCR Corp. (a) 7,385,841 112,678 NetApp, Inc. 4,373,033 80,700 SanDisk Corp. 5,608,650 79,042 Stratasys Ltd. (a) 8,949,926 126,250 Western Digital Corp. 8,790,788 ------------- 55,484,539 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 15.5% 19,540 Amphenol Corp., Class A 1,568,867 124,611 Arrow Electronics, Inc. (a) 5,983,820 144,986 Avnet, Inc. 5,755,944 365,756 AVX Corp. 4,846,267 548,592 Corning, Inc. 9,375,437 139,163 Dolby Laboratories, Inc., Class A 4,973,686 262,360 Ingram Micro, Inc., Class A (a) 6,078,881 278,942 Jabil Circuit, Inc. 5,818,730 78,498 Molex, Inc. 3,030,023 160,369 Tech Data Corp. (a) 8,348,810 620,941 Vishay Intertechnology, Inc. (a) 7,618,946 ------------- 63,399,411 ------------- INTERNET & CATALOG RETAIL -- 1.6% 713,940 Groupon, Inc. (a) 6,518,272 ------------- INTERNET SOFTWARE & SERVICES -- 11.2% 116,975 Akamai Technologies, Inc. (a) 5,233,461 174,879 AOL, Inc. 6,337,615 159,346 Facebook, Inc., Class A (a) 8,008,730 1,723 Google, Inc., Class A (a) 1,775,689 87,843 IAC/InterActiveCorp 4,689,938 32,525 LinkedIn Corp., Class A (a) 7,274,867 57,311 Rackspace Hosting, Inc. (a) 2,936,043 29,711 Verisign, Inc. (a) 1,612,713 241,304 Yahoo!, Inc. (a) 7,946,141 ------------- 45,815,197 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- IT SERVICES -- 9.8% 218,449 Amdocs Ltd. $ 8,399,364 58,479 Cognizant Technology Solutions Corp., Class A (a) 5,083,580 116,882 Computer Sciences Corp. 5,757,607 80,191 DST Systems, Inc. 6,797,791 50,398 Gartner, Inc. (a) 2,970,962 175,833 Leidos Holdings, Inc. 8,279,976 30,556 NeuStar, Inc., Class A (a) 1,403,132 66,135 VeriFone Systems, Inc. (a) 1,498,619 ------------- 40,191,031 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 20.9% 396,818 Advanced Micro Devices, Inc. (a) 1,325,372 40,685 Altera Corp. 1,367,016 64,270 Analog Devices, Inc. 3,168,511 273,940 Applied Materials, Inc. 4,889,829 111,478 Avago Technologies Ltd. 5,064,445 58,104 Broadcom Corp., Class A 1,552,539 50,233 Cree, Inc. (a) 3,051,655 217,689 Fairchild Semiconductor International, Inc. (a) 2,758,120 288,430 Freescale Semiconductor Ltd. (a) 4,453,359 349,196 Intel Corp. 8,530,858 49,690 KLA-Tencor Corp. 3,259,664 156,326 Lam Research Corp. (a) 8,477,559 386,417 LSI Corp. 3,276,816 417,599 Marvell Technology Group Ltd. 5,011,188 75,054 Microchip Technology, Inc. 3,224,320 388,654 NVIDIA Corp. 5,899,768 35,398 Silicon Laboratories, Inc. (a) 1,423,708 243,454 Skyworks Solutions, Inc. (a) 6,276,244 366,068 Teradyne, Inc. (a) 6,402,529 75,054 Texas Instruments, Inc. 3,158,272 64,542 Xilinx, Inc. 2,931,498 ------------- 85,503,270 ------------- SOFTWARE -- 18.8% 479,850 Activision Blizzard, Inc. 7,984,704 58,217 Adobe Systems, Inc. (a) 3,155,361 34,946 ANSYS, Inc. (a) 3,056,028 36,719 Autodesk, Inc. (a) 1,465,455 203,827 CA, Inc. 6,473,546 21,416 Citrix Systems, Inc. (a) 1,216,000 54,725 Concur Technologies, Inc. (a) 5,724,235 187,962 Electronic Arts, Inc. (a) 4,934,002 38,799 Informatica Corp. (a) 1,497,641 60,550 MICROS Systems, Inc. (a) 3,284,838 56,027 NetSuite, Inc. (a) 5,652,004 157,734 Rovi Corp. (a) 2,643,622 92,514 Salesforce.com, Inc. (a) 4,936,547 116,406 ServiceNow, Inc. (a) 6,356,932 133,311 Splunk, Inc. (a) 8,359,933 See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 122,167 Symantec Corp. $ 2,778,078 80,202 Synopsys, Inc. (a) 2,923,363 118,163 TIBCO Software, Inc. (a) 2,902,083 18,691 VMware, Inc., Class A (a) 1,519,204 ------------- 76,863,576 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.7% 20,702 Crown Castle International Corp. (a) 1,573,766 59,686 SBA Communications Corp., Class A (a) 5,220,734 ------------- 6,794,500 ------------- TOTAL COMMON STOCKS -- 100.0% 408,577,763 (Cost $370,690,505) MONEY MARKET FUNDS -- 1.3% 5,293,662 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 5,293,662 (Cost $5,293,662) ------------- TOTAL INVESTMENTS -- 101.3% 413,871,425 (Cost $375,984,167) (c) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (5,166,319) ------------- NET ASSETS -- 100.0% $ 408,705,106 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $40,895,346 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,008,088. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $408,577,763 $ -- $ -- Money Market Funds 5,293,662 -- -- ----------------------------------------------------- Total Investments $413,871,425 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 11.6% 46,667 AT&T, Inc. $ 1,689,345 125,709 CenturyLink, Inc. 4,256,507 566,297 Frontier Communications Corp. 2,497,370 147,799 Level 3 Communications, Inc. (a) 4,515,259 ------------- 12,958,481 ------------- ELECTRIC UTILITIES -- 38.1% 54,631 American Electric Power Co., Inc. 2,558,916 23,610 Duke Energy Corp. 1,693,545 85,649 Edison International 4,199,371 62,431 Entergy Corp. 4,040,534 79,892 Exelon Corp. 2,280,118 43,301 FirstEnergy Corp. 1,639,809 177,676 Great Plains Energy, Inc. 4,164,725 62,872 Hawaiian Electric Industries, Inc. 1,670,509 9,842 NextEra Energy, Inc. 834,110 38,253 Northeast Utilities 1,640,671 100,249 NV Energy, Inc. 2,379,911 21,893 OGE Energy Corp. 807,852 57,633 Pinnacle West Capital Corp. 3,229,177 103,870 PPL Corp. 3,181,538 19,168 Southern (The) Co. 784,163 128,701 Westar Energy, Inc. 4,068,239 114,333 Xcel Energy, Inc. 3,299,650 ------------- 42,472,838 ------------- GAS UTILITIES -- 8.9% 51,430 AGL Resources, Inc. 2,461,440 55,569 Atmos Energy Corp. 2,460,040 11,502 National Fuel Gas Co. 822,968 14,825 ONEOK, Inc. 837,612 35,067 Questar Corp. 829,685 60,523 UGI Corp. 2,503,837 ------------- 9,915,582 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 3.0% 115,507 NRG Energy, Inc. 3,295,415 ------------- MULTI-UTILITIES -- 27.9% 47,768 Alliant Energy Corp. 2,494,445 59,986 CMS Energy Corp. 1,647,216 42,951 Consolidated Edison, Inc. 2,500,607 47,837 DTE Energy Co. 3,307,450 56,442 Integrys Energy Group, Inc. 3,312,017 25,516 NiSource, Inc. 804,264 77,102 PG&E Corp. 3,226,719 119,763 Public Service Enterprise Group, Inc. 4,012,060 68,515 SCANA Corp. 3,194,854 9,235 Sempra Energy 841,678 190,836 TECO Energy, Inc. 3,276,654 47,343 Vectren Corp. 1,653,218 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 19,549 Wisconsin Energy Corp. $ 823,208 ------------- 31,094,390 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.4% 20,665 Energen Corp. 1,618,483 ------------- WATER UTILITIES -- 1.5% 38,253 American Water Works Co., Inc. 1,639,906 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 7.5% 133,474 Telephone & Data Systems, Inc. 4,161,719 86,619 United States Cellular Corp. 4,192,360 ------------- 8,354,079 ------------- TOTAL COMMON STOCKS -- 99.9% 111,349,174 (Cost $112,970,465) MONEY MARKET FUNDS -- 0.2% 159,825 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 159,825 (Cost $159,825) ------------- TOTAL INVESTMENTS -- 100.1% 111,508,999 (Cost $113,130,290) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (61,452) ------------- NET ASSETS -- 100.0% $ 111,447,547 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,476,357 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,097,648. See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $111,349,174 $ -- $ -- Money Market Funds 159,825 -- -- ----------------------------------------------------- Total Investments $111,508,999 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS SECTOR FUNDS OCTOBER 31, 2013 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or a Style Fund, each type having a separate report. This report covers the nine Sector Funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Sector Fund are listed and traded on the NYSE Arca, Inc. First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU") 2. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION 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 1940 Act. Market quotations and prices used to value each Fund's investments are primarily obtained from third party pricing services. 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 an over-the-counter market are valued at the midpoint between the bid and the asked price, if available, and otherwise at the closing bid price. 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 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) SECTOR FUNDS OCTOBER 31, 2013 (UNAUDITED) registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities, 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, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index 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 each Fund's investments as of October 31, 2013, is included with each Fund's Portfolio of Investments. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) SECTOR FUNDS OCTOBER 31, 2013 (UNAUDITED) 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. C. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% 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. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. 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. ("BBH") 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, 2013, only FXD and FXN have securities in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. ADDITIONAL INFORMATION FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS OCTOBER 31, 2013 (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 (FEX) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.8% 22,162 Boeing (The) Co. $ 2,892,141 12,543 Honeywell International, Inc. 1,087,854 27,556 L-3 Communications Holdings, Inc. 2,768,000 16,332 Lockheed Martin Corp. 2,177,709 27,336 Northrop Grumman Corp. 2,938,893 4,584 Precision Castparts Corp. 1,161,815 20,273 Raytheon Co. 1,669,887 7,675 Rockwell Collins, Inc. 535,945 56,588 Textron, Inc. 1,629,169 ------------- 16,861,413 ------------- AIR FREIGHT & LOGISTICS -- 1.0% 17,488 C.H. Robinson Worldwide, Inc. 1,044,733 35,461 Expeditors International of Washington, Inc. 1,606,029 18,256 FedEx Corp. 2,391,536 11,400 United Parcel Service, Inc., Class B 1,119,936 ------------- 6,162,234 ------------- AIRLINES -- 0.9% 110,386 Delta Air Lines, Inc. 2,911,983 143,077 Southwest Airlines Co. 2,463,786 ------------- 5,375,769 ------------- AUTO COMPONENTS -- 0.9% 20,546 BorgWarner, Inc. 2,118,909 44,574 Delphi Automotive PLC 2,549,633 12,549 Johnson Controls, Inc. 579,136 ------------- 5,247,678 ------------- AUTOMOBILES -- 0.9% 61,743 Ford Motor Co. 1,056,423 72,394 General Motors Co. (a) 2,674,958 24,321 Harley-Davidson, Inc. 1,557,517 ------------- 5,288,898 ------------- BEVERAGES -- 0.9% 8,056 Beam, Inc. 542,169 25,904 Coca-Cola Enterprises, Inc. 1,080,974 27,220 Constellation Brands, Inc., Class A (a) 1,777,466 41,556 Molson Coors Brewing Co., Class B 2,244,024 ------------- 5,644,633 ------------- BIOTECHNOLOGY -- 2.1% 13,450 Alexion Pharmaceuticals, Inc. (a) 1,653,677 9,305 Amgen, Inc. 1,079,380 8,653 Biogen Idec, Inc. (a) 2,112,976 16,917 Celgene Corp. (a) 2,512,005 41,439 Gilead Sciences, Inc. (a) 2,941,755 8,323 Regeneron Pharmaceuticals, Inc. (a) 2,393,695 ------------- 12,693,488 ------------- BUILDING PRODUCTS -- 0.2% 73,421 Masco Corp. 1,551,386 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CAPITAL MARKETS -- 1.6% 28,590 Ameriprise Financial, Inc. $ 2,874,439 51,752 Bank of New York Mellon (The) Corp. 1,645,714 3,849 BlackRock, Inc. 1,157,818 10,303 Franklin Resources, Inc. 554,919 13,167 Goldman Sachs Group (The), Inc. 2,118,044 16,326 Invesco Ltd. 551,002 19,325 Morgan Stanley 555,207 7,921 State Street Corp. 555,024 ------------- 10,012,167 ------------- CHEMICALS -- 3.4% 9,774 Air Products & Chemicals, Inc. 1,065,464 9,822 Airgas, Inc. 1,071,286 2,470 CF Industries Holdings, Inc. 532,532 40,688 Dow Chemical (The) Co. 1,605,955 17,787 E.I. du Pont de Nemours & Co. 1,088,564 33,428 Eastman Chemical Co. 2,633,792 26,367 Ecolab, Inc. 2,794,902 29,046 FMC Corp. 2,113,387 12,656 International Flavors & Fragrances, Inc. 1,046,018 35,559 LyondellBasell Industries N.V., Class A 2,652,701 15,587 PPG Industries, Inc. 2,845,875 4,332 Praxair, Inc. 540,244 2,859 Sherwin-Williams (The) Co. 537,492 6,106 Sigma-Aldrich Corp. 527,742 ------------- 21,055,954 ------------- COMMERCIAL BANKS -- 2.5% 30,862 BB&T Corp. 1,048,382 26,497 Comerica, Inc. 1,147,320 115,477 Fifth Third Bancorp 2,197,527 63,051 Huntington Bancshares, Inc. 554,849 137,053 KeyCorp 1,717,274 9,307 M&T Bank Corp. 1,047,317 28,754 PNC Financial Services Group, Inc. 2,114,282 168,726 Regions Financial Corp. 1,624,831 64,257 SunTrust Banks, Inc. 2,161,606 37,812 Wells Fargo & Co. 1,614,194 ------------- 15,227,582 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 64,043 ADT (The) Corp. 2,777,545 30,516 Cintas Corp. 1,640,845 46,835 Republic Services, Inc. 1,567,567 4,513 Stericycle, Inc. (a) 524,411 25,257 Waste Management, Inc. 1,099,690 ------------- 7,610,058 ------------- COMMUNICATIONS EQUIPMENT -- 0.9% 111,187 Cisco Systems, Inc. 2,501,708 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 26,347 Harris Corp. $ 1,632,460 35,405 JDS Uniphase Corp. (a) 463,451 8,771 Motorola Solutions, Inc. 548,363 7,732 QUALCOMM, Inc. 537,142 ------------- 5,683,124 ------------- COMPUTERS & PERIPHERALS -- 1.5% 2,185 Apple, Inc. 1,141,335 20,376 EMC Corp. 490,450 36,659 NetApp, Inc. 1,422,736 26,254 SanDisk Corp. 1,824,653 23,813 Seagate Technology PLC 1,159,217 41,073 Western Digital Corp. 2,859,913 ------------- 8,898,304 ------------- CONSTRUCTION & ENGINEERING -- 0.4% 17,903 Jacobs Engineering Group, Inc. (a) 1,088,861 37,863 Quanta Services, Inc. (a) 1,143,841 ------------- 2,232,702 ------------- CONSUMER FINANCE -- 0.9% 6,896 American Express Co. 564,093 30,306 Capital One Financial Corp. 2,081,113 20,609 Discover Financial Services 1,069,195 83,663 SLM Corp. 2,122,530 ------------- 5,836,931 ------------- CONTAINERS & PACKAGING -- 0.9% 23,934 Avery Dennison Corp. 1,127,770 26,701 Bemis Co., Inc. 1,065,370 13,570 MeadWestvaco Corp. 472,914 95,771 Sealed Air Corp. 2,890,369 ------------- 5,556,423 ------------- DISTRIBUTORS -- 0.1% 6,438 Genuine Parts Co. 507,508 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 19,535 H&R Block, Inc. 555,575 ------------- DIVERSIFIED FINANCIAL SERVICES -- 2.0% 75,478 Bank of America Corp. 1,053,673 21,472 Citigroup, Inc. 1,047,404 40,302 JPMorgan Chase & Co. 2,077,165 95,595 Leucadia National Corp. 2,709,162 7,940 McGraw Hill Financial Inc. 553,259 37,025 Moody's Corp. 2,616,187 48,688 NASDAQ OMX Group (The), Inc. 1,725,016 12,406 NYSE Euronext 546,112 ------------- 12,327,978 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 46,198 AT&T, Inc. $ 1,672,368 82,983 CenturyLink, Inc. 2,809,804 499,569 Frontier Communications Corp. 2,203,099 65,100 Windstream Holdings, Inc. 556,605 ------------- 7,241,876 ------------- ELECTRIC UTILITIES -- 3.9% 48,055 American Electric Power Co., Inc. 2,250,896 23,396 Duke Energy Corp. 1,678,195 56,535 Edison International 2,771,911 41,209 Entergy Corp. 2,667,046 70,283 Exelon Corp. 2,005,877 42,864 FirstEnergy Corp. 1,623,260 12,994 NextEra Energy, Inc. 1,101,241 50,502 Northeast Utilities 2,166,031 38,056 Pinnacle West Capital Corp. 2,132,278 68,572 PPL Corp. 2,100,360 25,294 Southern (The) Co. 1,034,778 75,451 Xcel Energy, Inc. 2,177,516 ------------- 23,709,389 ------------- ELECTRICAL EQUIPMENT -- 1.2% 22,634 AMETEK, Inc. 1,082,584 30,262 Eaton Corp. PLC 2,135,287 24,148 Emerson Electric Co. 1,617,191 19,480 Rockwell Automation, Inc. 2,150,787 3,921 Roper Industries, Inc. 497,222 ------------- 7,483,071 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 6,730 Amphenol Corp., Class A 540,352 178,479 Corning, Inc. 3,050,206 49,758 FLIR Systems, Inc. 1,417,108 120,111 Jabil Circuit, Inc. 2,505,515 67,601 Molex, Inc. 2,609,399 30,174 TE Connectivity Ltd. 1,553,659 ------------- 11,676,239 ------------- ENERGY EQUIPMENT & SERVICES -- 4.3% 31,821 Baker Hughes, Inc. 1,848,482 17,845 Cameron International Corp. (a) 978,977 41,784 Diamond Offshore Drilling, Inc. 2,587,683 48,447 Ensco PLC, Class A 2,792,969 9,397 FMC Technologies, Inc. (a) 475,018 43,265 Halliburton Co. 2,294,343 37,767 Helmerich & Payne, Inc. 2,928,831 162,142 Nabors Industries Ltd. 2,834,242 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 33,338 National Oilwell Varco, Inc. $ 2,706,379 68,944 Noble Corp. 2,599,189 70,915 Rowan Cos. PLC, Class A (a) 2,558,613 17,682 Schlumberger Ltd. 1,657,157 ------------- 26,261,883 ------------- FOOD & STAPLES RETAILING -- 2.2% 13,572 Costco Wholesale Corp. 1,601,496 36,708 CVS Caremark Corp. 2,285,440 38,731 Kroger (The) Co. 1,659,236 48,840 Safeway, Inc. 1,704,516 32,724 Sysco Corp. 1,058,294 9,680 Walgreen Co. 573,443 28,167 Wal-Mart Stores, Inc. 2,161,817 35,610 Whole Foods Market, Inc. 2,248,060 ------------- 13,292,302 ------------- FOOD PRODUCTS -- 1.4% 42,410 Archer-Daniels-Midland Co. 1,734,569 12,793 Campbell Soup Co. 544,598 51,496 ConAgra Foods, Inc. 1,638,088 10,868 General Mills, Inc. 547,965 5,630 Hershey (The) Co. 558,721 12,365 Hormel Foods Corp. 537,383 4,958 J.M. Smucker (The) Co. 551,379 92,079 Tyson Foods, Inc., Class A 2,547,826 ------------- 8,660,529 ------------- GAS UTILITIES -- 0.3% 45,257 AGL Resources, Inc. 2,166,000 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 78,457 Abbott Laboratories 2,867,603 10,414 Becton, Dickinson & Co. 1,094,824 177,445 Boston Scientific Corp. (a) 2,074,332 4,521 C. R. Bard, Inc. 615,851 42,342 CareFusion Corp. (a) 1,641,599 25,638 Covidien PLC 1,643,652 23,994 DENTSPLY International, Inc. 1,130,118 39,121 Medtronic, Inc. 2,245,545 7,705 Stryker Corp. 569,091 6,969 Varian Medical Systems, Inc. (a) 505,810 19,021 Zimmer Holdings, Inc. 1,663,767 ------------- 16,052,192 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 24,405 Aetna, Inc. 1,530,194 13,552 Cigna Corp. 1,043,233 9,153 DaVita HealthCare Partners, Inc. (a) 514,490 16,860 Express Scripts Holding Co. (a) 1,054,087 27,901 Humana, Inc. 2,571,077 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 15,760 Laboratory Corp. of America Holdings (a) $ 1,590,184 12,955 Patterson Cos., Inc. 550,717 16,857 Quest Diagnostics, Inc. 1,009,903 29,091 UnitedHealth Group, Inc. 1,985,752 31,145 WellPoint, Inc. 2,641,096 ------------- 14,490,733 ------------- HEALTH CARE TECHNOLOGY -- 0.2% 19,821 Cerner Corp. (a) 1,110,571 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 79,780 Carnival Corp. 2,764,377 4,859 Chipotle Mexican Grill, Inc. (a) 2,560,547 45,003 Darden Restaurants, Inc. 2,319,005 82,536 International Game Technology 1,551,677 12,382 Marriott International, Inc., Class A 558,181 10,826 McDonald's Corp. 1,044,925 33,831 Starbucks Corp. 2,742,002 8,542 Wyndham Worldwide Corp. 567,189 9,888 Wynn Resorts Ltd. 1,643,880 7,295 Yum! Brands, Inc. 493,288 ------------- 16,245,071 ------------- HOUSEHOLD DURABLES -- 0.8% 34,574 Garmin Ltd. 1,616,335 56,815 Newell Rubbermaid, Inc. 1,683,428 10,669 Whirlpool Corp. 1,557,781 ------------- 4,857,544 ------------- HOUSEHOLD PRODUCTS -- 0.4% 6,373 Clorox (The) Co. 574,781 5,527 Kimberly-Clark Corp. 596,916 13,780 Procter & Gamble (The) Co. 1,112,735 ------------- 2,284,432 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% 76,224 NRG Energy, Inc. 2,174,671 ------------- INDUSTRIAL CONGLOMERATES -- 0.6% 8,723 3M Co. 1,097,790 22,539 Danaher Corp. 1,624,836 43,600 General Electric Co. 1,139,704 ------------- 3,862,330 ------------- INSURANCE -- 5.2% 22,266 ACE Ltd. 2,125,067 25,204 Aflac, Inc. 1,637,756 30,908 Allstate (The) Corp. 1,639,978 42,838 American International Group, Inc. 2,212,583 27,985 Aon PLC 2,213,334 38,507 Assurant, Inc. 2,251,889 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 17,504 Chubb (The) Corp. $ 1,611,768 33,130 Cincinnati Financial Corp. 1,656,500 81,439 Genworth Financial, Inc., Class A (a) 1,183,309 49,612 Lincoln National Corp. 2,252,881 23,917 Marsh & McLennan Cos., Inc. 1,095,399 12,163 Principal Financial Group, Inc. 577,256 38,252 Progressive (The) Corp. 993,404 33,393 Prudential Financial, Inc. 2,717,856 14,397 Torchmark Corp. 1,048,965 24,575 Travelers (The) Cos., Inc. 2,120,823 68,436 Unum Group 2,172,159 67,593 XL Group PLC 2,066,318 ------------- 31,577,245 ------------- INTERNET & CATALOG RETAIL -- 1.7% 6,663 Amazon.com, Inc. (a) 2,425,532 8,421 Netflix, Inc. (a) 2,715,604 2,576 priceline.com, Inc. (a) 2,714,666 34,335 TripAdvisor, Inc. (a) 2,839,848 ------------- 10,695,650 ------------- INTERNET SOFTWARE & SERVICES -- 0.8% 40,294 Akamai Technologies, Inc. (a) 1,802,754 9,335 eBay, Inc. (a) 492,048 595 Google, Inc., Class A (a) 613,195 10,234 VeriSign, Inc. (a) 555,501 47,117 Yahoo!, Inc. (a) 1,551,563 ------------- 5,015,061 ------------- IT SERVICES -- 2.8% 7,072 Accenture PLC, Class A 519,792 14,391 Automatic Data Processing, Inc. 1,078,893 19,026 Cognizant Technology Solutions Corp., Class A (a) 1,653,930 50,329 Computer Sciences Corp. 2,479,207 33,643 Fidelity National Information Services, Inc. 1,640,096 15,462 Fiserv, Inc. (a) 1,619,335 5,625 International Business Machines Corp. 1,008,056 3,096 MasterCard, Inc., Class A 2,220,142 25,630 Paychex, Inc. 1,083,124 53,107 Total System Services, Inc. 1,584,182 5,451 Visa, Inc., Class A 1,072,048 55,820 Western Union Co. 950,057 ------------- 16,908,862 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.1% 11,048 Hasbro, Inc. 570,629 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 30,486 Agilent Technologies, Inc. $ 1,547,469 6,960 Life Technologies Corp. (a) 524,158 41,388 PerkinElmer, Inc. 1,574,399 16,955 Thermo Fisher Scientific, Inc. 1,657,860 4,903 Waters Corp. (a) 494,811 ------------- 5,798,697 ------------- MACHINERY -- 3.7% 18,741 Caterpillar, Inc. 1,562,250 11,759 Cummins, Inc. 1,493,628 19,196 Deere & Co. 1,571,001 23,190 Dover Corp. 2,128,610 33,390 Flowserve Corp. 2,319,603 13,657 Illinois Tool Works, Inc. 1,076,035 24,059 Ingersoll-Rand PLC 1,624,704 51,019 Joy Global, Inc. 2,895,328 18,714 PACCAR, Inc. 1,040,499 6,760 Pall Corp. 544,315 14,371 Parker Hannifin Corp. 1,677,383 40,099 Pentair Ltd. 2,690,242 15,703 Snap-on, Inc. 1,634,211 18,647 Xylem, Inc. 643,322 ------------- 22,901,131 ------------- MEDIA -- 3.0% 28,325 CBS Corp., Class B 1,675,140 23,070 Comcast Corp., Class A 1,097,671 8,716 DIRECTV (a) 544,663 12,338 Discovery Communications, Inc., Class A (a) 1,097,095 77,760 Gannett Co., Inc. 2,151,619 151,572 Interpublic Group of Cos. (The), Inc. 2,546,410 64,857 News Corp., Class A (a) 1,141,483 8,209 Omnicom Group, Inc. 559,115 20,003 Scripps Networks Interactive, Class A 1,610,241 9,333 Time Warner Cable, Inc. 1,121,360 23,741 Time Warner, Inc. 1,631,956 18,693 Viacom, Inc., Class B 1,556,940 16,151 Walt Disney (The) Co. 1,107,797 855 Washington Post (The) Co., Class B 550,039 ------------- 18,391,529 ------------- METALS & MINING -- 1.6% 320,690 Alcoa, Inc. 2,972,796 17,064 Allegheny Technologies, Inc. 564,818 78,718 Freeport-McMoRan Copper & Gold, Inc. 2,893,674 21,248 Nucor Corp. 1,100,009 101,175 United States Steel Corp. 2,518,246 ------------- 10,049,543 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 2.1% 27,673 Dollar General Corp. (a) $ 1,598,946 27,334 Dollar Tree, Inc. (a) 1,596,306 28,925 Family Dollar Stores, Inc. 1,992,354 50,319 Kohl's Corp. 2,858,119 48,144 Macy's, Inc. 2,219,920 9,267 Nordstrom, Inc. 560,375 32,560 Target Corp. 2,109,562 ------------- 12,935,582 ------------- MULTI-UTILITIES -- 3.6% 21,727 CenterPoint Energy, Inc. 534,484 59,362 CMS Energy Corp. 1,630,080 37,780 Consolidated Edison, Inc. 2,199,552 31,573 DTE Energy Co. 2,182,957 37,273 Integrys Energy Group, Inc. 2,187,180 50,580 NiSource, Inc. 1,594,282 50,909 PG&E Corp. 2,130,542 79,077 Public Service Enterprise Group, Inc. 2,649,079 45,248 SCANA Corp. 2,109,914 12,168 Sempra Energy 1,108,992 125,949 TECO Energy, Inc. 2,162,544 38,692 Wisconsin Energy Corp. 1,629,320 ------------- 22,118,926 ------------- OFFICE ELECTRONICS -- 0.4% 253,062 Xerox Corp. 2,515,436 ------------- OIL, GAS & CONSUMABLE FUELS -- 8.2% 16,802 Anadarko Petroleum Corp. 1,601,063 30,585 Apache Corp. 2,715,948 41,865 Cabot Oil & Gas Corp. 1,478,672 40,247 Chesapeake Energy Corp. 1,125,306 21,432 Chevron Corp. 2,570,983 37,462 ConocoPhillips 2,745,965 15,477 CONSOL Energy, Inc. 564,910 15,383 EOG Resources, Inc. 2,744,327 23,481 EQT Corp. 2,010,208 30,265 Exxon Mobil Corp. 2,712,349 33,670 Hess Corp. 2,734,004 74,656 Marathon Oil Corp. 2,632,371 40,485 Marathon Petroleum Corp. 2,901,155 43,170 Murphy Oil Corp. 2,604,014 23,316 Noble Energy, Inc. 1,747,068 27,838 Occidental Petroleum Corp. 2,674,675 45,036 Phillips 66 2,901,669 13,792 Pioneer Natural Resources Co. 2,824,326 75,233 QEP Resources, Inc. 2,487,203 15,215 Spectra Energy Corp. 541,197 76,252 Valero Energy Corp. 3,139,295 108,162 WPX Energy, Inc. (a) 2,394,707 ------------- 49,851,415 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.2% 23,250 International Paper Co. $ 1,037,183 ------------- PERSONAL PRODUCTS -- 0.1% 7,451 Estee Lauder (The) Cos., Inc., Class A 528,723 ------------- PHARMACEUTICALS -- 1.3% 18,083 Actavis, PLC. (a) 2,795,270 5,758 Allergan, Inc. 521,732 12,015 Johnson & Johnson 1,112,709 68,221 Mylan, Inc. (a) 2,583,529 36,280 Pfizer, Inc. 1,113,071 ------------- 8,126,311 ------------- PROFESSIONAL SERVICES -- 0.7% 10,030 Dun & Bradstreet (The) Corp. 1,091,164 8,702 Equifax, Inc. 562,758 14,288 Nielsen Holdings N.V. 563,519 53,374 Robert Half International, Inc. 2,056,500 ------------- 4,273,941 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.1% 18,191 Weyerhaeuser Co. 553,006 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 22,516 CBRE Group, Inc., Class A (a) 523,047 ------------- ROAD & RAIL -- 1.2% 80,932 CSX Corp. 2,109,088 26,932 Norfolk Southern Corp. 2,316,690 34,895 Ryder System, Inc. 2,297,138 3,352 Union Pacific Corp. 507,493 ------------- 7,230,409 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.0% 14,015 Altera Corp. 470,904 11,069 Analog Devices, Inc. 545,702 89,076 Applied Materials, Inc. 1,590,007 64,760 First Solar, Inc. (a) 3,255,485 8,559 KLA-Tencor Corp. 561,470 50,869 Lam Research Corp. (a) 2,758,626 133,197 LSI Corp. 1,129,510 25,853 Microchip Technology, Inc. 1,110,645 119,245 Micron Technology, Inc. (a) 2,108,252 167,352 NVIDIA Corp. 2,540,403 25,865 Texas Instruments, Inc. 1,088,399 22,228 Xilinx, Inc. 1,009,596 ------------- 18,168,999 ------------- SOFTWARE -- 1.5% 20,054 Adobe Systems, Inc. (a) 1,086,927 87,766 CA, Inc. 2,787,448 7,376 Citrix Systems, Inc. (a) 418,809 62,540 Microsoft Corp. 2,210,789 40,131 Salesforce.com, Inc. (a) 2,141,390 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 21,042 Symantec Corp. $ 478,495 ------------- 9,123,858 ------------- SPECIALTY RETAIL -- 4.3% 73,622 Abercrombie & Fitch Co., Class A 2,759,353 49,914 AutoNation, Inc. (a) 2,407,352 1,231 AutoZone, Inc. (a) 535,103 26,929 Bed Bath & Beyond, Inc. (a) 2,082,150 53,724 CarMax, Inc. (a) 2,524,491 25,859 Gap (The), Inc. 956,524 13,732 Home Depot (The), Inc. 1,069,586 34,095 L Brands, Inc. 2,134,688 54,694 Lowe's Cos., Inc. 2,722,667 16,327 O'Reilly Automotive, Inc. (a) 2,021,446 27,317 PetSmart, Inc. 1,987,585 21,462 Ross Stores, Inc. 1,660,086 13,594 Tiffany & Co. 1,076,237 36,943 TJX (The) Cos., Inc. 2,245,765 ------------- 26,183,033 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 17,922 Fossil Group, Inc. (a) 2,275,019 28,678 NIKE, Inc., Class B 2,172,645 13,164 PVH Corp. 1,639,839 5,233 VF Corp. 1,125,095 ------------- 7,212,598 ------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 72,434 People's United Financial, Inc. 1,045,223 ------------- TOBACCO -- 0.1% 11,630 Lorillard, Inc. 593,246 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 3,980 W.W. Grainger, Inc. 1,070,501 ------------- TOTAL COMMON STOCKS -- 99.9% 610,898,422 (Cost $525,712,288) MONEY MARKET FUNDS -- 0.1% 364,351 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 364,351 (Cost $364,351) ------------- DESCRIPTION VALUE -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 611,262,773 (Cost $526,076,639) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (128,498) ------------- NET ASSETS -- 100.0% $ 611,134,275 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $87,256,171 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,070,037. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $610,898,422 $ -- $ -- Money Market Funds 364,351 -- -- ----------------------------------------------------- Total Investments $611,262,773 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.7% 24,175 Alliant Techsystems, Inc. $ 2,631,932 39,931 B/E Aerospace, Inc. (a) 3,240,800 36,898 Esterline Technologies Corp. (a) 2,957,744 150,100 Exelis, Inc. 2,475,149 8,748 Huntington Ingalls Industries, Inc. 625,920 41,979 Triumph Group, Inc. 3,007,795 ------------- 14,939,340 ------------- AIRLINES -- 1.1% 37,656 Alaska Air Group, Inc. 2,660,773 442,575 JetBlue Airways Corp. (a) 3,137,857 ------------- 5,798,630 ------------- AUTO COMPONENTS -- 0.2% 46,068 Gentex Corp. 1,356,242 ------------- AUTOMOBILES -- 0.5% 50,787 Thor Industries, Inc. 2,946,154 ------------- BIOTECHNOLOGY -- 1.0% 37,110 Cubist Pharmaceuticals, Inc. (a) 2,300,820 37,384 United Therapeutics Corp. (a) 3,309,232 ------------- 5,610,052 ------------- BUILDING PRODUCTS -- 0.9% 42,483 Fortune Brands Home & Security, Inc. 1,830,168 39,170 Lennox International, Inc. 3,057,610 ------------- 4,887,778 ------------- CAPITAL MARKETS -- 2.4% 9,684 Affiliated Managers Group, Inc. (a) 1,912,009 289,335 Apollo Investment Corp. 2,468,028 43,411 Federated Investors, Inc., Class B (b) 1,177,306 277,096 Janus Capital Group, Inc. 2,734,937 14,144 Raymond James Financial, Inc. 645,674 38,142 SEI Investments Co. 1,265,933 45,801 Waddell & Reed Financial, Inc., Class A 2,828,212 ------------- 13,032,099 ------------- CHEMICALS -- 3.5% 18,731 Albemarle Corp. 1,239,805 19,126 Ashland, Inc. 1,770,111 55,210 Cabot Corp. 2,573,338 21,736 Cytec Industries, Inc. 1,806,044 187,984 Intrepid Potash, Inc. (b) 2,791,562 23,877 Minerals Technologies, Inc. 1,352,155 2,049 NewMarket Corp. 637,977 127,764 Olin Corp. 2,875,968 65,139 RPM International, Inc. 2,522,182 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CHEMICALS (CONTINUED) 36,931 Sensient Technologies Corp. $ 1,925,213 ------------- 19,494,355 ------------- COMMERCIAL BANKS -- 4.2% 114,169 Associated Banc-Corp. 1,856,388 29,564 BancorpSouth, Inc. 653,364 25,223 Cathay General Bancorp 621,242 8,840 City National Corp. 637,452 13,453 Commerce Bancshares, Inc. 618,973 8,354 Cullen/Frost Bankers, Inc. 591,380 18,452 East West Bancorp, Inc. 621,648 53,638 First Horizon National Corp. 571,245 170,539 First Niagara Financial Group, Inc. 1,881,045 100,944 Fulton Financial Corp. 1,232,526 56,359 Hancock Holding Co. 1,847,448 81,763 International Bancshares Corp. 1,868,285 9,530 Prosperity Bancshares, Inc. 595,148 12,885 Signature Bank (a) 1,311,951 20,480 SVB Financial Group (a) 1,961,574 178,635 Synovus Financial Corp. 580,564 82,559 TCF Financial Corp. 1,253,246 46,051 Trustmark Corp. 1,250,745 118,495 Valley National Bancorp (b) 1,155,326 69,274 Webster Financial Corp. 1,932,052 ------------- 23,041,602 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 30,155 Clean Harbors, Inc. (a) 1,862,071 42,454 Deluxe Corp. 1,999,159 60,603 Herman Miller, Inc. 1,838,695 11,417 Mine Safety Appliances Co. 549,843 51,930 Waste Connections, Inc. 2,219,488 ------------- 8,469,256 ------------- COMMUNICATIONS EQUIPMENT -- 0.8% 117,999 Ciena Corp. (a) 2,745,837 38,401 Plantronics, Inc. 1,648,939 ------------- 4,394,776 ------------- COMPUTERS & PERIPHERALS -- 1.7% 54,590 3D Systems Corp. (a) (b) 3,397,682 89,324 Lexmark International, Inc., Class A 3,175,468 74,412 NCR Corp. (a) 2,719,758 ------------- 9,292,908 ------------- CONSTRUCTION & ENGINEERING -- 0.8% 38,532 Granite Construction, Inc. 1,246,510 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING (CONTINUED) 54,833 URS Corp. $ 2,973,045 ------------- 4,219,555 ------------- CONSTRUCTION MATERIALS -- 0.3% 24,382 Eagle Materials, Inc. 1,828,894 ------------- CONTAINERS & PACKAGING -- 2.2% 19,609 AptarGroup, Inc. 1,258,114 36,069 Greif, Inc., Class A 1,929,331 51,636 Packaging Corp. of America 3,215,890 29,106 Rock Tenn Co., Class A 3,114,633 25,090 Silgan Holdings, Inc. 1,130,806 30,277 Sonoco Products Co. 1,230,457 ------------- 11,879,231 ------------- DISTRIBUTORS -- 0.6% 92,522 LKQ Corp. (a) 3,056,002 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.4% 141,639 Apollo Education Group, Inc., Class A (a) 3,780,345 57,876 DeVry, Inc. 2,077,749 46,442 Matthews International Corp., Class A 1,885,545 120,478 Regis Corp. 1,746,931 63,319 Service Corp. International 1,140,375 47,999 Sotheby's 2,491,148 ------------- 13,122,093 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 13,029 CBOE Holdings, Inc. 631,906 29,288 MSCI, Inc. (a) 1,194,072 ------------- 1,825,978 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 19,734 tw telecom, Inc. (a) 622,016 ------------- ELECTRIC UTILITIES -- 3.5% 39,444 Cleco Corp. 1,827,835 132,775 Great Plains Energy, Inc. 3,112,246 70,459 Hawaiian Electric Industries, Inc. 1,872,096 60,904 IDACORP, Inc. 3,142,646 99,870 NV Energy, Inc. 2,370,914 32,664 OGE Energy Corp. 1,205,301 104,199 PNM Resources, Inc. 2,492,440 96,164 Westar Energy, Inc. 3,039,744 ------------- 19,063,222 ------------- ELECTRICAL EQUIPMENT -- 1.3% 32,036 Acuity Brands, Inc. 3,219,938 11,260 Hubbell, Inc., Class B 1,210,901 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 34,709 Regal-Beloit Corp. $ 2,545,211 ------------- 6,976,050 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 60,737 Arrow Electronics, Inc. (a) 2,916,591 56,537 Avnet, Inc. 2,244,519 102,303 Ingram Micro, Inc., Class A (a) 2,370,360 59,061 Tech Data Corp. (a) 3,074,716 19,843 Trimble Navigation Ltd. (a) 566,914 228,670 Vishay Intertechnology, Inc. (a) 2,805,781 ------------- 13,978,881 ------------- ENERGY EQUIPMENT & SERVICES -- 4.6% 53,555 Atwood Oceanics, Inc. (a) 2,845,377 11,890 CARBO Ceramics, Inc. (b) 1,490,293 9,448 Dresser-Rand Group, Inc. (a) 574,155 25,684 Dril-Quip, Inc. (a) 3,015,815 29,030 Oceaneering International, Inc. 2,493,096 22,796 Oil States International, Inc. (a) 2,476,330 137,867 Patterson-UTI Energy, Inc. 3,344,654 117,718 Superior Energy Services, Inc. (a) 3,158,374 39,769 Tidewater, Inc. 2,394,889 63,396 Unit Corp. (a) 3,259,188 ------------- 25,052,171 ------------- FOOD & STAPLES RETAILING -- 1.3% 35,957 Harris Teeter Supermarkets, Inc. 1,773,399 358,141 SUPERVALU, Inc. (a) 2,517,731 43,851 United Natural Foods, Inc. (a) 3,133,154 ------------- 7,424,284 ------------- FOOD PRODUCTS -- 1.2% 54,991 Flowers Foods, Inc. 1,393,472 31,309 Green Mountain Coffee Roasters, Inc. (a) (b) 1,966,518 8,914 Ingredion, Inc. 586,185 15,057 Lancaster Colony Corp. 1,249,580 29,200 Post Holdings, Inc. (a) 1,254,140 ------------- 6,449,895 ------------- GAS UTILITIES -- 1.6% 55,370 Atmos Energy Corp. 2,451,230 17,144 National Fuel Gas Co. 1,226,653 52,425 Questar Corp. 1,240,376 45,200 UGI Corp. 1,869,924 41,405 WGL Holdings, Inc. 1,863,639 ------------- 8,651,822 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 9,087 Cooper (The) Cos., Inc. $ 1,174,131 49,363 Hill-Rom Holdings, Inc. 2,038,198 28,553 Hologic, Inc. (a) 639,302 88,513 Masimo Corp. 2,267,703 22,326 ResMed, Inc. (b) 1,155,147 41,164 STERIS Corp. 1,860,201 7,164 Teleflex, Inc. 660,378 15,804 Thoratec Corp. (a) 682,575 ------------- 10,477,635 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.8% 56,820 Community Health Systems, Inc. 2,479,057 46,051 Health Management Associates, Inc., Class A (a) 590,374 18,602 Health Net, Inc. (a) 565,501 17,056 Henry Schein, Inc. (a) 1,917,606 63,216 LifePoint Hospitals, Inc. (a) 3,264,474 17,612 MEDNAX, Inc. (a) 1,920,060 10,622 Omnicare, Inc. 585,803 34,091 Owens & Minor, Inc. 1,275,685 23,582 Universal Health Services, Inc., Class B 1,899,766 16,904 WellCare Health Plans, Inc. (a) 1,127,159 ------------- 15,625,485 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 40,903 Bally Technologies, Inc. (a) 2,991,646 41,171 Bob Evans Farms, Inc. 2,350,452 29,091 Brinker International, Inc. 1,292,222 26,825 Cheesecake Factory (The), Inc. 1,267,481 43,381 Domino's Pizza, Inc. 2,909,130 54,753 International Speedway Corp., Class A 1,790,971 45,810 Life Time Fitness, Inc. (a) 2,080,690 ------------- 14,682,592 ------------- HOUSEHOLD DURABLES -- 1.5% 36,538 Jarden Corp. (a) 2,022,744 32,719 KB Home (b) 555,241 22,630 Mohawk Industries, Inc. (a) 2,996,665 644 NVR, Inc. (a) 590,754 13,409 Tempur Sealy International, Inc. (a) 514,235 20,480 Tupperware Brands Corp. 1,836,032 ------------- 8,515,671 ------------- HOUSEHOLD PRODUCTS -- 0.5% 9,811 Church & Dwight Co., Inc. 639,187 19,402 Energizer Holdings, Inc. 1,903,530 ------------- 2,542,717 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.2% 16,778 Carlisle Cos., Inc. $ 1,219,425 ------------- INSURANCE -- 5.6% 4,321 Alleghany Corp. (a) 1,751,820 43,621 American Financial Group, Inc. 2,454,117 13,500 Arthur J. Gallagher & Co. 640,575 64,974 Aspen Insurance Holdings Ltd. 2,534,636 36,730 Brown & Brown, Inc. 1,172,789 20,274 Everest Re Group, Ltd. 3,116,925 110,814 Fidelity National Financial, Inc., Class A 3,119,414 48,424 First American Financial Corp. 1,252,244 10,655 Hanover Insurance Group, (The), Inc. 623,744 53,812 HCC Insurance Holdings, Inc. 2,456,518 52,636 Kemper Corp. 1,948,585 12,205 Mercury General Corp. 568,265 38,283 Old Republic International Corp. 642,771 14,610 Primerica, Inc. 627,499 41,564 Protective Life Corp. 1,915,269 35,195 Reinsurance Group of America, Inc. 2,505,180 32,142 StanCorp Financial Group, Inc. 1,893,164 41,267 W. R. Berkley Corp. 1,812,034 ------------- 31,035,549 ------------- INTERNET SOFTWARE & SERVICES -- 1.1% 68,188 AOL, Inc. 2,471,133 666,867 Monster Worldwide, Inc. (a) 2,880,865 11,169 Rackspace Hosting, Inc. (a) 572,188 ------------- 5,924,186 ------------- IT SERVICES -- 5.1% 83,064 Acxiom Corp. (a) 2,760,217 13,934 Alliance Data Systems Corp. (a) 3,303,194 74,275 Broadridge Financial Solutions, Inc. 2,611,509 157,208 Convergys Corp. 3,103,286 43,590 CoreLogic, Inc. (a) 1,450,239 31,265 DST Systems, Inc. 2,650,334 9,831 Gartner, Inc. (a) 579,537 23,083 Global Payments, Inc. 1,372,977 22,846 Jack Henry & Associates, Inc. 1,247,620 64,749 Leidos Holdings, Inc. 3,049,030 17,722 Lender Processing Services, Inc. 611,763 102,492 ManTech International Corp., Class A 2,863,627 11,919 NeuStar, Inc., Class A (a) 547,321 25,792 VeriFone Systems, Inc. (a) 584,447 13,434 WEX, Inc. (a) 1,254,064 ------------- 27,989,165 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE EQUIPMENT & PRODUCTS -- 0.5% 22,820 Polaris Industries, Inc. $ 2,988,279 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 15,042 Bio-Rad Laboratories, Inc., Class A (a) 1,857,988 12,741 Charles River Laboratories International, Inc. (a) 626,984 27,272 Covance, Inc. (a) 2,434,299 4,908 Mettler-Toledo International, Inc. (a) 1,214,534 7,365 Techne Corp. 643,627 ------------- 6,777,432 ------------- MACHINERY -- 5.5% 48,782 AGCO Corp. 2,847,893 10,617 CLARCOR, Inc. 620,882 19,121 Crane Co. 1,214,184 15,461 Donaldson Co., Inc. 612,410 31,842 Graco, Inc. 2,460,113 36,133 IDEX Corp. 2,498,597 81,991 ITT Corp. 3,257,503 51,713 Kennametal, Inc. 2,378,798 26,547 Lincoln Electric Holdings, Inc. 1,838,114 16,009 Nordson Corp. 1,154,089 48,138 Oshkosh Corp. (a) 2,290,887 52,636 Terex Corp. (a) 1,839,628 9,757 Timken (The) Co. 515,267 51,995 Trinity Industries, Inc. 2,632,507 46,884 Wabtec Corp. 3,056,368 28,876 Woodward, Inc. 1,157,639 ------------- 30,374,879 ------------- MARINE -- 0.4% 13,623 Kirby Corp. (a) 1,205,499 44,954 Matson, Inc. 1,217,804 ------------- 2,423,303 ------------- MEDIA -- 2.3% 17,223 AMC Networks, Inc., Class A (a) 1,207,160 55,717 Cinemark Holdings, Inc. 1,828,075 24,722 John Wiley & Sons, Inc., Class A 1,243,269 37,141 Meredith Corp. 1,905,333 93,796 New York Times (The) Co., Class A 1,297,199 82,301 Scholastic Corp. 2,361,216 102,064 Valassis Communications, Inc. (b) 2,792,471 ------------- 12,634,723 ------------- METALS & MINING -- 2.2% 40,583 Carpenter Technology Corp. 2,407,790 104,342 Commercial Metals Co. 1,915,719 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- METALS & MINING (CONTINUED) 7,724 Compass Minerals International, Inc. $ 575,206 32,179 Reliance Steel & Aluminum Co. 2,358,399 105,834 Steel Dynamics, Inc. 1,901,837 68,482 Worthington Industries, Inc. 2,776,260 ------------- 11,935,211 ------------- MULTILINE RETAIL -- 0.5% 63,573 Big Lots, Inc. (a) 2,311,514 36,982 Saks, Inc. (a) 591,342 ------------- 2,902,856 ------------- MULTI-UTILITIES -- 1.2% 47,589 Alliant Energy Corp. 2,485,098 47,296 Black Hills Corp. 2,398,853 53,035 Vectren Corp. 1,851,982 ------------- 6,735,933 ------------- OFFICE ELECTRONICS -- 0.3% 38,841 Zebra Technologies Corp., Class A (a) 1,876,409 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 395,647 Alpha Natural Resources, Inc. (a) 2,769,529 143,434 Arch Coal, Inc. (b) 608,160 93,914 Bill Barrett Corp. (a) (b) 2,598,600 24,462 Cimarex Energy Co. 2,577,072 23,149 Energen Corp. 1,813,030 43,293 Rosetta Resources, Inc. (a) 2,594,982 38,182 SM Energy Co. 3,383,307 47,399 World Fuel Services Corp. 1,808,272 ------------- 18,152,952 ------------- PAPER & FOREST PRODUCTS -- 1.0% 37,117 Domtar Corp. 3,144,181 134,052 Louisiana-Pacific Corp. (a) 2,280,225 ------------- 5,424,406 ------------- PHARMACEUTICALS -- 0.8% 51,898 Endo Health Solutions, Inc. (a) 2,269,500 26,438 Salix Pharmaceuticals Ltd. (a) 1,896,926 ------------- 4,166,426 ------------- PROFESSIONAL SERVICES -- 0.5% 32,476 Corporate Executive Board (The) Co. 2,367,500 5,513 Towers Watson & Co., Class A 632,948 ------------- 3,000,448 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 38,652 Extra Space Storage, Inc. 1,777,605 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 10,595 Rayonier, Inc. $ 498,177 ------------- 2,275,782 ------------- ROAD & RAIL -- 1.2% 27,356 Con-way, Inc. 1,127,067 12,683 Genesee & Wyoming, Inc., Class A (a) 1,266,271 8,083 J.B. Hunt Transport Services, Inc. 606,468 10,536 Landstar System, Inc. 582,535 126,342 Werner Enterprises, Inc. 2,926,081 ------------- 6,508,422 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 19,591 Cree, Inc. (a) 1,190,153 42,445 Fairchild Semiconductor International, Inc. (a) 537,778 187,745 Integrated Device Technology, Inc. (a) 1,997,607 313,563 RF Micro Devices, Inc. (a) 1,646,206 13,806 Silicon Laboratories, Inc. (a) 555,277 47,459 Skyworks Solutions, Inc. (a) 1,223,493 ------------- 7,150,514 ------------- SOFTWARE -- 3.0% 32,719 ACI Worldwide, Inc. (a) 1,803,471 6,808 ANSYS, Inc. (a) 595,360 20,134 CommVault Systems, Inc. (a) 1,572,063 26,669 Concur Technologies, Inc. (a) 2,789,577 5,399 FactSet Research Systems, Inc. (b) 588,167 42,660 Fair Isaac Corp. 2,443,565 100,903 Mentor Graphics Corp. 2,227,938 11,803 MICROS Systems, Inc. (a) 640,313 41,477 PTC, Inc. (a) 1,149,743 61,500 Rovi Corp. (a) 1,030,740 31,269 Synopsys, Inc. (a) 1,139,755 23,040 TIBCO Software, Inc. (a) 565,862 ------------- 16,546,554 ------------- SPECIALTY RETAIL -- 5.0% 106,414 Aaron's, Inc. 3,018,965 14,263 Advance Auto Parts, Inc. 1,414,604 32,553 ANN, Inc. (a) 1,151,074 88,735 Ascena Retail Group, Inc. (a) 1,756,066 9,347 Cabela's, Inc. (a) 554,464 39,561 CST Brands, Inc. 1,275,447 22,092 Dick's Sporting Goods, Inc. 1,175,515 78,996 Guess?, Inc. 2,468,625 58,385 Murphy USA, Inc. (a) 2,369,263 610,260 Office Depot, Inc. (a) 3,411,354 77,365 Rent-A-Center, Inc. 2,648,978 32,905 Signet Jewelers Ltd. 2,456,687 35,106 Tractor Supply Co. 2,504,813 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 20,981 Williams-Sonoma, Inc. $ 1,100,244 ------------- 27,306,099 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 23,305 Carter's, Inc. 1,611,541 17,880 Deckers Outdoor Corp. (a) 1,230,680 47,307 Hanesbrands, Inc. 3,222,553 37,104 Under Armour, Inc., Class A (a) 3,010,990 ------------- 9,075,764 ------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 47,386 Astoria Financial Corp. 625,969 78,032 New York Community Bancorp, Inc. (b) 1,264,898 28,501 Washington Federal, Inc. 649,253 ------------- 2,540,120 ------------- TOBACCO -- 0.6% 57,880 Universal Corp. 3,069,376 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 37,215 GATX Corp. 1,918,433 50,568 United Rentals, Inc. (a) 3,266,187 25,010 Watsco, Inc. 2,383,203 ------------- 7,567,823 ------------- WATER UTILITIES -- 0.1% 23,835 Aqua America, Inc. 600,165 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 99,750 Telephone & Data Systems, Inc. 3,110,205 ------------- TOTAL COMMON STOCKS -- 100.0% 550,569,792 (Cost $473,537,840) ------------- MONEY MARKET FUNDS -- 0.1% 331,065 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 331,065 (Cost $331,065) ------------- COLLATERAL FOR SECURITIES ON LOAN -- 2.6% MONEY MARKET FUNDS -- 0.5% 3,061,717 Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class - 0.001% (c) 3,061,717 (Cost $3,061,717) See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.1% $11,620,764 JPMorgan Chase & Co., 0.003% (c), dated 10/31/13, due 11/01/13, with a maturity value of $11,620,774. Collateralized by U.S. Treasury Note, interest rate of 0.375%, due 02/15/16. The value of the collateral including accrued interest is $11,854,108. $ 11,620,764 (Cost $11,620,764) ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN - 2.6% 14,682,481 (Cost $14,682,481) ------------- TOTAL INVESTMENTS -- 102.7% 565,583,338 (Cost $488,551,386) (d) NET OTHER ASSETS AND LIABILITIES -- (2.7)% (15,070,348) ------------- NET ASSETS -- 100.0% $ 550,512,990 ============= (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2C - Securities Lending in the Notes to Quarterly Portfolio of Investments). The aggregate value of such securities is $14,343,042 and the total value of the collateral held by the Fund is $14,682,481. (c) Interest rate shown reflects yield as of October 31, 2013. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $80,250,778 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,218,826. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $550,569,792 $ -- $ -- Money Market Funds 3,392,782 -- -- Repurchase Agreements -- 11,620,764 -- ----------------------------------------------------- Total Investments $553,962,574 $11,620,764 $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% 52,638 AAR Corp. $ 1,541,241 4,773 American Science & Engineering, Inc. 313,968 16,087 Cubic Corp. 844,567 18,388 Curtiss-Wright Corp. 915,355 53,851 GenCorp, Inc. (a) (b) 904,697 14,712 Moog, Inc., Class A (b) 878,748 20,424 National Presto Industries, Inc. (a) 1,440,913 54,348 Orbital Sciences Corp. (b) 1,253,808 6,769 Teledyne Technologies, Inc. (b) 601,222 ------------- 8,694,519 ------------- AIR FREIGHT & LOGISTICS -- 0.6% 31,198 Atlas Air Worldwide Holdings, Inc. (b) 1,155,262 14,275 Forward Air Corp. 577,852 14,674 Hub Group, Inc., Class A (b) 538,976 ------------- 2,272,090 ------------- AIRLINES -- 0.5% 5,466 Allegiant Travel Co. 569,940 99,101 SkyWest, Inc. 1,490,479 ------------- 2,060,419 ------------- AUTO COMPONENTS -- 1.3% 17,412 Dorman Products, Inc. 846,397 31,609 Drew Industries, Inc. 1,588,669 35,788 Standard Motor Products, Inc. 1,294,094 80,703 Superior Industries International, Inc. 1,513,181 ------------- 5,242,341 ------------- AUTOMOBILES -- 0.4% 55,424 Winnebago Industries, Inc. (b) 1,643,876 ------------- BEVERAGES -- 0.3% 5,885 Boston Beer (The) Co., Inc., Class A (b) 1,351,137 ------------- BIOTECHNOLOGY -- 0.1% 30,221 Emergent Biosolutions, Inc. (b) 590,216 ------------- BUILDING PRODUCTS -- 1.7% 25,470 A.O. Smith Corp. 1,315,526 43,344 AAON, Inc. 1,170,721 29,080 Apogee Enterprises, Inc. 909,622 60,542 Gibraltar Industries, Inc. (b) 969,277 68,852 Griffon Corp. 862,716 30,574 Quanex Building Products Corp. 543,606 8,838 Simpson Manufacturing Co., Inc. 313,307 13,665 Universal Forest Products, Inc. 723,152 ------------- 6,807,927 ------------- CAPITAL MARKETS -- 2.5% 115,228 Calamos Asset Management, Inc., Class A 1,131,539 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 29,225 Evercore Partners, Inc., Class A $ 1,474,986 24,214 Financial Engines, Inc. 1,352,836 57,454 HFF, Inc., Class A 1,410,496 54,913 Investment Technology Group, Inc. (b) 879,706 41,961 Piper Jaffray Cos., Inc. (b) 1,505,980 128,700 Prospect Capital Corp. 1,459,458 6,970 Stifel Financial Corp. (b) 285,422 1,770 Virtus Investment Partners, Inc. (b) 360,230 ------------- 9,860,653 ------------- CHEMICALS -- 3.3% 39,080 A. Schulman, Inc. 1,294,329 10,680 American Vanguard Corp. 278,748 11,126 Balchem Corp. 637,075 15,164 Calgon Carbon Corp. (b) 302,522 50,055 Flotek Industries, Inc. (b) 1,070,176 25,475 H.B. Fuller Co. 1,219,488 22,870 Hawkins, Inc. 823,549 16,347 Innophos Holdings, Inc. 819,312 13,489 Koppers Holdings, Inc. 600,395 8,570 LSB Industries, Inc. (b) 314,690 46,862 PolyOne Corp. 1,419,918 11,824 Quaker Chemical Corp. 897,560 19,949 Stepan Co. 1,174,398 44,271 Tredegar Corp. 1,293,599 53,097 Zep, Inc. 1,056,099 ------------- 13,201,858 ------------- COMMERCIAL BANKS -- 4.0% 15,077 Banner Corp. 576,846 6,666 City Holding Co. 303,303 11,656 Columbia Banking System, Inc. 299,443 8,443 Community Bank System, Inc. 306,565 56,923 First Financial Bancorp 883,445 4,902 First Financial Bankshares, Inc. 301,522 11,652 Glacier Bancorp, Inc. 321,945 52,093 Hanmi Financial Corp. 910,586 28,438 Home BancShares, Inc. 963,479 8,073 Independent Bank Corp. 289,659 30,579 MB Financial, Inc. 908,196 12,530 NBT Bancorp, Inc. 305,356 60,786 Old National Bancorp 883,828 8,367 PacWest Bancorp (a) 318,364 19,306 Pinnacle Financial Partners, Inc. (b) 598,486 23,757 S&T Bancorp, Inc. 582,522 9,249 Simmons First National Corp., Class A 302,812 68,801 Susquehanna Bancshares, Inc. 810,820 64,961 Taylor Capital Group, Inc. (b) 1,494,103 6,222 Tompkins Financial Corp. 306,869 5,298 UMB Financial Corp. 312,158 35,472 Umpqua Holdings Corp. (a) 580,677 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 9,928 United Bankshares, Inc. (a) $ 293,670 95,928 United Community Banks, Inc. (b) 1,495,518 35,187 Wilshire Bancorp, Inc. 298,034 28,019 Wintrust Financial Corp. 1,219,107 ------------- 15,867,313 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% 32,426 ABM Industries, Inc. 892,039 20,534 Consolidated Graphics, Inc. (b) 1,316,024 4,767 G&K Services, Inc., Class A 297,461 11,169 Healthcare Services Group, Inc. 305,919 29,013 Interface, Inc. 587,513 11,017 UniFirst Corp. 1,132,768 19,844 United Stationers, Inc. 881,868 34,590 Viad Corp. 923,553 ------------- 6,337,145 ------------- COMMUNICATIONS EQUIPMENT -- 2.4% 50,609 ARRIS Group, Inc. (b) 903,877 32,991 Bel Fuse, Inc., Class B 694,131 46,953 Black Box Corp. 1,175,703 81,614 CalAmp Corp. (b) 1,920,377 47,322 Comtech Telecommunications Corp. 1,420,607 57,503 Digi International, Inc. (b) 579,630 45,869 Oplink Communications, Inc. (b) 837,109 97,549 PC-Tel, Inc. 898,426 18,579 Procera Networks, Inc. (b) 262,893 13,555 ViaSat, Inc. (b) 896,257 ------------- 9,589,010 ------------- COMPUTERS & PERIPHERALS -- 0.7% 27,253 Electronics for Imaging, Inc. (b) 935,050 131,525 QLogic Corp. (b) 1,624,334 21,252 Super Micro Computer, Inc. (b) 295,828 ------------- 2,855,212 ------------- CONSTRUCTION & ENGINEERING -- 0.8% 36,394 Aegion Corp. (b) 746,077 17,127 Comfort Systems USA, Inc. 319,076 30,838 Dycom Industries, Inc. (b) 914,347 14,706 EMCOR Group, Inc. 545,004 55,280 Orion Marine Group, Inc. (b) 691,000 ------------- 3,215,504 ------------- CONSTRUCTION MATERIALS -- 0.1% 32,015 Headwaters, Inc. (b) 279,491 4,352 Texas Industries, Inc. (b) 233,702 ------------- 513,193 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSUMER FINANCE -- 1.8% 31,790 Cash America International, Inc. $ 1,254,116 31,369 Encore Capital Group, Inc. (b) 1,532,376 85,254 EZCORP, Inc., Class A (b) 1,341,045 9,929 First Cash Financial Services, Inc. (b) 600,605 19,218 Portfolio Recovery Associates, Inc. (b) 1,142,510 12,793 World Acceptance Corp. (a) (b) 1,332,007 ------------- 7,202,659 ------------- CONTAINERS & PACKAGING -- 0.3% 71,545 Myers Industries, Inc. 1,274,932 ------------- DISTRIBUTORS -- 0.5% 10,256 Pool Corp. 557,721 105,020 VOXX International Corp. (b) 1,628,860 ------------- 2,186,581 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 15,258 Capella Education Co. (b) 929,517 657,033 Corinthian Colleges, Inc. (b) 1,406,051 42,068 Hillenbrand, Inc. 1,187,159 37,138 ITT Educational Services, Inc. (a) (b) 1,489,976 27,734 Strayer Education, Inc. 1,096,325 47,448 Universal Technical Institute, Inc. 630,584 ------------- 6,739,612 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 15,342 Interactive Brokers Group, Inc., Class A 316,505 19,164 MarketAxess Holdings, Inc. 1,250,068 ------------- 1,566,573 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 22,088 Atlantic Tele-Network, Inc. 1,224,117 179,593 Cbeyond, Inc. (b) 1,156,579 60,469 General Communication, Inc., Class A (b) 575,060 53,118 Lumos Networks Corp. 1,169,127 ------------- 4,124,883 ------------- ELECTRIC UTILITIES -- 1.1% 23,842 ALLETE, Inc. 1,204,736 34,472 El Paso Electric Co. 1,212,380 30,963 UIL Holdings Corp. 1,192,695 18,528 UNS Energy Corp. 916,766 ------------- 4,526,577 ------------- ELECTRICAL EQUIPMENT -- 1.2% 6,879 AZZ, Inc. 308,867 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 18,881 Brady Corp., Class A $ 551,136 14,582 Encore Wire Corp. 722,247 18,979 EnerSys, Inc. 1,259,257 14,620 Franklin Electric Co., Inc. 553,367 45,869 II-VI, Inc. (b) 782,525 9,389 Powell Industries, Inc. (b) 589,911 ------------- 4,767,310 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1% 72,423 Agilysys, Inc. (b) 850,970 17,984 Belden, Inc. 1,209,604 50,286 Benchmark Electronics, Inc. (b) 1,143,001 27,542 Cognex Corp. 860,687 9,369 Coherent, Inc. 620,134 77,156 Daktronics, Inc. 922,786 13,693 DTS, Inc. (b) 273,860 9,845 FEI Co. 876,993 76,061 Insight Enterprises, Inc. (b) 1,602,605 3,685 Littelfuse, Inc. 313,336 21,225 Measurement Specialties, Inc. (b) 1,182,869 20,552 Methode Electronics, Inc. 525,720 8,956 MTS Systems Corp. 585,006 3,869 OSI Systems, Inc. (b) 281,818 10,051 Park Electrochemical Corp. 281,931 23,205 Plexus Corp. (b) 888,287 47,557 Rofin-Sinar Technologies, Inc. (b) 1,248,371 19,344 Rogers Corp. (b) 1,179,210 8,318 ScanSource, Inc. (b) 319,910 14,040 SYNNEX Corp. (b) 860,652 59,045 TTM Technologies, Inc. (b) 516,644 ------------- 16,544,394 ------------- ENERGY EQUIPMENT & SERVICES -- 3.3% 68,305 Basic Energy Services, Inc. (b) 1,002,034 15,811 Bristow Group, Inc. 1,272,311 71,663 C&J Energy Services, Inc. (b) 1,651,115 42,345 Era Group, Inc. (b) 1,338,102 41,756 Exterran Holdings, Inc. (b) 1,192,134 6,839 Geospace Technologies Corp. (b) 666,255 5,002 Hornbeck Offshore Services, Inc. (b) 276,461 55,351 ION Geophysical Corp. (b) 256,829 29,342 Matrix Service Co. (b) 610,020 90,934 Newpark Resources, Inc. (b) 1,159,408 153,279 Pioneer Energy Services Corp. (b) 1,287,544 6,365 SEACOR Holdings, Inc. 622,497 86,848 Tesco Corp. (b) 1,492,049 22,974 TETRA Technologies, Inc. (b) 297,973 ------------- 13,124,732 ------------- FOOD & STAPLES RETAILING -- 0.9% 12,357 Andersons (The), Inc. 916,642 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 7,824 Casey's General Stores, Inc. $ 570,213 32,698 Nash Finch Co. 917,506 52,186 Spartan Stores, Inc. 1,227,937 ------------- 3,632,298 ------------- FOOD PRODUCTS -- 2.0% 11,716 Annie's, Inc. (b) 553,581 8,328 B&G Foods, Inc. 281,903 28,542 Calavo Growers, Inc. 847,412 17,938 Cal-Maine Foods, Inc. 909,995 13,604 Darling International, Inc. (b) 316,565 11,188 Hain Celestial Group (The), Inc. (b) 931,177 7,123 J & J Snack Foods Corp. 609,515 17,653 Sanderson Farms, Inc. 1,115,846 47,816 Seneca Foods Corp., Class A (b) 1,401,965 9,966 Snyder's-Lance, Inc. 298,880 8,621 TreeHouse Foods, Inc. (b) 631,575 ------------- 7,898,414 ------------- GAS UTILITIES -- 1.3% 19,175 Laclede Group (The), Inc. 902,567 19,606 New Jersey Resources Corp. 902,464 27,423 Northwest Natural Gas Co. 1,190,981 26,248 Piedmont Natural Gas Co., Inc. 896,107 23,021 Southwest Gas Corp. 1,249,119 ------------- 5,141,238 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 17,932 Align Technology, Inc. (b) 1,023,200 3,491 Analogic Corp. 321,975 45,171 Cantel Medical Corp. 1,585,502 16,942 CONMED Corp. 614,486 123,340 CryoLife, Inc. 1,108,827 16,925 Greatbatch, Inc. (b) 645,181 7,140 Integra LifeSciences Holdings (b) 326,869 12,175 Meridian Bioscience, Inc. 300,966 71,171 Merit Medical Systems, Inc. (b) 1,138,024 20,304 Natus Medical, Inc. (b) 400,598 14,237 Neogen Corp. (b) 658,011 12,092 SurModics, Inc. (b) 285,129 141,069 Symmetry Medical, Inc. (b) 1,142,659 20,993 West Pharmaceutical Services, Inc. 1,015,012 ------------- 10,566,439 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.5% 6,751 Air Methods Corp. 295,154 74,046 Almost Family, Inc. 1,423,905 20,910 AMN Healthcare Services, Inc. (b) 259,284 14,500 AmSurg Corp. (b) 621,905 9,620 Bio-Reference Laboratories, Inc. (a) (b) 311,784 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 12,069 Chemed Corp. (a) $ 818,520 38,924 CorVel Corp. (b) 1,619,238 8,520 Hanger, Inc. (b) 312,684 46,655 Healthways, Inc. (b) 449,288 5,645 IPC Hospitalist (The) Co. (b) 309,289 85,706 Kindred Healthcare, Inc. 1,189,599 61,347 LHC Group, Inc. (b) 1,263,748 24,009 Magellan Health Services, Inc. (b) 1,409,328 24,251 Molina Healthcare, Inc. (b) 767,302 7,719 MWI Veterinary Supply, Inc. (b) 1,224,542 108,443 PharMerica Corp. (b) 1,600,619 ------------- 13,876,189 ------------- HEALTH CARE TECHNOLOGY -- 1.1% 4,925 Computer Programs & Systems, Inc. 280,922 30,397 HealthStream, Inc. (b) 1,085,781 14,540 Medidata Solutions, Inc. (b) 1,603,907 48,621 Omnicell, Inc. (b) 1,121,687 13,248 Quality Systems, Inc. 302,319 ------------- 4,394,616 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% 3,495 Biglari Holdings, Inc. (b) 1,523,890 30,065 BJ's Restaurants, Inc. (b) 813,559 7,766 Buffalo Wild Wings, Inc. (b) 1,107,276 12,553 CEC Entertainment, Inc. 581,831 2,794 Cracker Barrel Old Country Store, Inc. 306,977 8,338 DineEquity, Inc. 684,300 12,184 Interval Leisure Group, Inc. 295,706 14,381 Jack in the Box, Inc. (b) 585,019 79,235 Marcus (The) Corp. 1,137,814 6,542 Marriott Vacations Worldwide Corp. (b) 327,623 60,658 Monarch Casino & Resort, Inc. (b) 1,025,727 41,639 Multimedia Games Holding Co., Inc. (b) 1,353,684 8,249 Papa John's International, Inc. 624,202 8,102 Red Robin Gourmet Burgers, Inc. (b) 617,210 72,788 Ruth's Hospitality Group, Inc. 887,286 50,055 SHFL entertainment, Inc. (b) 1,160,275 48,644 Sonic Corp. (b) 938,829 32,862 Texas Roadhouse, Inc. 901,076 ------------- 14,872,284 ------------- HOUSEHOLD DURABLES -- 1.7% 41,614 Blyth, Inc. (a) 574,689 32,556 Helen of Troy Ltd. (b) 1,521,016 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 7,635 iRobot Corp. (b) $ 258,598 50,678 La-Z-Boy, Inc. 1,169,648 13,960 M/I Homes, Inc. (b) 285,761 6,704 Meritage Homes Corp. (b) 304,295 14,192 Ryland Group (The), Inc. 570,518 181,917 Standard Pacific Corp. (b) 1,442,602 15,968 Universal Electronics, Inc. (b) 621,315 ------------- 6,748,442 ------------- HOUSEHOLD PRODUCTS -- 0.4% 168,036 Central Garden & Pet Co., Class A (b) 1,236,745 4,433 WD-40 Co. 321,348 ------------- 1,558,093 ------------- INSURANCE -- 3.1% 8,110 AMERISAFE, Inc. 312,235 44,603 eHealth, Inc. (b) 1,900,980 48,374 Employers Holdings, Inc. 1,454,606 40,557 Horace Mann Educators Corp. 1,123,429 8,901 Infinity Property & Casualty Corp. 610,430 19,937 Navigators Group (The), Inc. (b) 1,121,257 31,922 ProAssurance Corp. 1,446,705 3,302 RLI Corp. 311,973 21,737 Safety Insurance Group, Inc. 1,188,796 35,236 Selective Insurance Group, Inc. 925,650 44,977 Stewart Information Services Corp. 1,408,680 18,897 United Fire Group, Inc. 599,035 ------------- 12,403,776 ------------- INTERNET & CATALOG RETAIL -- 0.3% 14,050 Blue Nile, Inc. (b) 577,034 52,987 PetMed Express, Inc. 786,327 ------------- 1,363,361 ------------- INTERNET SOFTWARE & SERVICES -- 2.8% 62,622 Blucora, Inc. (b) 1,479,758 39,722 comScore, Inc. (b) 1,061,372 26,875 Dealertrack Technologies, Inc. (b) 1,002,438 17,421 j2 Global, Inc. 957,807 37,061 LogMeIn, Inc. (b) 1,197,070 49,800 NIC, Inc. 1,226,076 8,213 OpenTable, Inc. (b) 570,639 78,378 Perficient, Inc. (b) 1,417,858 25,073 Stamps.com, Inc. (b) 1,139,317 72,113 United Online, Inc. 623,056 44,556 XO Group, Inc. (b) 618,437 ------------- 11,293,828 ------------- IT SERVICES -- 3.0% 20,830 CACI International, Inc., Class A (b) 1,499,343 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 31,020 Cardtronics, Inc. (b) $ 1,217,535 45,963 CSG Systems International, Inc. 1,280,529 14,494 Heartland Payment Systems, Inc. 586,282 150,084 Higher One Holdings, Inc. (b) 1,193,168 41,460 iGATE Corp. (b) 1,320,086 19,161 MAXIMUS, Inc. 928,351 80,343 Sykes Enterprises, Inc. (b) 1,504,021 34,399 TeleTech Holdings, Inc. (b) 910,542 49,522 Virtusa Corp. (b) 1,539,144 ------------- 11,979,001 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.0% 25,209 Arctic Cat, Inc. 1,320,952 28,844 Brunswick Corp. 1,301,730 40,409 Callaway Golf Co. 340,648 18,384 Sturm, Ruger & Co., Inc. (a) 1,202,497 ------------- 4,165,827 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 22,905 PAREXEL International Corp. (b) 1,046,988 ------------- MACHINERY -- 2.8% 14,826 Actuant Corp., Class A 556,865 24,018 Astec Industries, Inc. 812,049 16,479 Barnes Group, Inc. 585,664 14,339 EnPro Industries, Inc. (b) 855,608 8,662 ESCO Technologies, Inc. 312,525 111,812 Federal Signal Corp. (b) 1,530,706 11,558 John Bean Technologies Corp. 314,147 3,528 Lindsay Corp. 268,163 33,511 Lydall, Inc. (b) 610,570 25,846 Mueller Industries, Inc. 1,558,255 9,696 Standex International Corp. 596,401 13,933 Tennant Co. 845,594 98,278 Titan International, Inc. 1,425,031 10,594 Toro (The) Co. 624,410 5,109 Watts Water Technologies, Inc., Class A 295,198 ------------- 11,191,186 ------------- MEDIA -- 0.8% 89,028 Digital Generation, Inc. (a) (b) 1,126,204 31,360 E.W. Scripps (The) Co., Class A (b) 621,555 162,965 Harte-Hanks, Inc. 1,298,831 ------------- 3,046,590 ------------- METALS & MINING -- 2.0% 76,753 AK Steel Holding Corp. (a) (b) 337,713 35,224 AMCOL International Corp. 1,129,986 37,350 Globe Specialty Metals, Inc. 655,119 19,056 Haynes International, Inc. 1,027,119 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- METALS & MINING (CONTINUED) 20,193 Kaiser Aluminum Corp. $ 1,362,018 26,925 Materion Corp. 802,634 20,717 Olympic Steel, Inc. 567,024 17,951 RTI International Metals, Inc. (b) 608,539 78,414 Stillwater Mining Co. (b) 855,497 33,849 SunCoke Energy, Inc. (b) 676,980 ------------- 8,022,629 ------------- MULTILINE RETAIL -- 0.7% 91,931 Fred's, Inc., Class A 1,489,282 94,221 Tuesday Morning Corp. (b) 1,333,227 ------------- 2,822,509 ------------- MULTI-UTILITIES -- 0.7% 54,506 Avista Corp. 1,514,722 25,632 NorthWestern Corp. 1,174,971 ------------- 2,689,693 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 10,954 Approach Resources, Inc. (b) 308,355 38,569 Carrizo Oil & Gas, Inc. (b) 1,690,865 98,081 Cloud Peak Energy, Inc. (b) 1,531,045 72,358 Comstock Resources, Inc. 1,238,045 47,189 Forest Oil Corp. (b) 223,676 8,958 Gulfport Energy Corp. (b) 525,745 4,825 PDC Energy, Inc. (b) 327,183 173,102 Penn Virginia Corp. (b) 1,473,098 44,378 Stone Energy Corp. (b) 1,547,017 126,002 Swift Energy Co. (b) 1,728,748 ------------- 10,593,777 ------------- PAPER & FOREST PRODUCTS -- 1.1% 18,070 Clearwater Paper Corp. (b) 943,616 6,724 KapStone Paper & Packaging Corp. 349,379 36,609 Neenah Paper, Inc. 1,506,094 21,259 P.H. Glatfelter Co. 556,986 14,274 Schweitzer-Mauduit International, Inc. 883,275 ------------- 4,239,350 ------------- PERSONAL PRODUCTS -- 0.5% 19,181 Inter Parfums, Inc. 674,404 21,406 Medifast, Inc. (b) 498,974 28,665 Prestige Brands Holdings, Inc. (b) 895,208 ------------- 2,068,586 ------------- PHARMACEUTICALS -- 0.9% 73,113 Akorn, Inc. (b) 1,494,430 8,598 Medicines (The) Co. (b) 291,644 24,805 Questcor Pharmaceuticals, Inc. (a) 1,522,283 7,313 ViroPharma, Inc. (b) 283,890 ------------- 3,592,247 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 2.4% 93,985 CDI Corp. $ 1,508,459 8,005 Exponent, Inc. 605,258 15,091 Heidrick & Struggles International, Inc. 279,485 73,916 Kelly Services, Inc., Class A 1,541,888 13,448 Korn/Ferry International (b) 320,063 93,077 Navigant Consulting, Inc. (b) 1,614,886 43,594 On Assignment, Inc. (b) 1,473,041 42,424 Resources Connection, Inc. 541,330 11,993 TrueBlue, Inc. (b) 296,227 28,518 WageWorks, Inc. (b) 1,460,407 ------------- 9,641,044 ------------- REAL ESTATE INVESTMENT TRUSTS -- 2.1% 9,539 Agree Realty Corp. 301,146 97,813 Capstead Mortgage Corp. 1,157,128 222,238 Cedar Realty Trust, Inc. 1,268,979 8,482 Coresite Realty Corp. 275,156 55,934 Cousins Properties, Inc. 633,732 11,816 EPR Properties 606,988 24,055 Government Properties Income Trust 588,145 112,531 Inland Real Estate Corp. 1,202,956 51,264 Lexington Realty Trust 599,789 7,582 LTC Properties, Inc. 299,110 47,288 Medical Properties Trust, Inc. 616,636 16,182 Parkway Properties, Inc. 293,056 7,606 Sovran Self Storage, Inc. 581,783 ------------- 8,424,604 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 13,379 Forestar Group, Inc. (b) 298,753 ------------- ROAD & RAIL -- 1.0% 33,632 Arkansas Best Corp. 920,508 81,114 Heartland Express, Inc. 1,164,797 69,689 Knight Transportation, Inc. 1,182,622 18,771 Old Dominion Freight Line, Inc. (b) 880,360 ------------- 4,148,287 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 16,431 Advanced Energy Industries, Inc. (b) 343,079 54,269 ATMI, Inc. (b) 1,483,714 154,550 Brooks Automation, Inc. 1,489,862 14,931 Cabot Microelectronics Corp. (b) 610,529 25,368 Cirrus Logic, Inc. (b) 569,004 23,499 Diodes, Inc. (b) 569,146 65,698 Entropic Communications, Inc. (b) 281,187 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 64,388 Exar Corp. (b) $ 742,394 18,998 Monolithic Power Systems, Inc. 604,896 21,255 Power Integrations, Inc. 1,220,887 102,970 Sigma Designs, Inc. (b) 560,157 19,493 Synaptics, Inc. (b) 906,425 ------------- 9,381,280 ------------- SOFTWARE -- 3.1% 29,497 Blackbaud, Inc. 1,061,892 144,763 Ebix, Inc. (a) 1,647,403 108,845 EPIQ Systems, Inc. 1,628,321 22,662 Interactive Intelligence Group, Inc. (b) 1,392,580 9,042 Manhattan Associates, Inc. (b) 963,064 30,119 Monotype Imaging Holdings, Inc. 849,958 30,248 Synchronoss Technologies, Inc. (b) 1,047,186 79,244 Take-Two Interactive Software, Inc. (b) 1,419,260 60,314 Tangoe, Inc. (b) 1,151,997 13,151 Tyler Technologies, Inc. (b) 1,271,833 ------------- 12,433,494 ------------- SPECIALTY RETAIL -- 6.4% 71,576 Big 5 Sporting Goods Corp. 1,353,502 49,044 Brown Shoe Co., Inc. 1,100,547 10,644 Buckle (The), Inc. (a) 520,917 51,438 Cato (The) Corp., Class A 1,541,597 14,913 Children's Place Retail Stores (The), Inc. (b) 814,101 119,755 Christopher & Banks Corp. (b) 690,986 46,299 Finish Line (The), Inc., Class A 1,159,327 21,942 Genesco, Inc. (b) 1,494,470 7,413 Group 1 Automotive, Inc. 474,432 46,924 Haverty Furniture Cos., Inc. 1,304,956 26,187 Jos. A. Bank Clothiers, Inc. (b) 1,256,452 46,832 Kirkland's, Inc. (b) 831,268 19,711 Lithia Motors, Inc., Class A 1,238,836 13,486 Lumber Liquidators Holdings, Inc. (b) 1,539,966 23,582 MarineMax, Inc. (b) 347,363 42,265 Men's Wearhouse (The), Inc. 1,787,810 6,191 Monro Muffler Brake, Inc. 284,786 112,513 OfficeMax, Inc. 1,685,445 69,230 Pep Boys-Manny, Moe & Jack (The) (b) 895,836 24,193 Sonic Automotive, Inc., Class A 539,020 74,932 Stage Stores, Inc. 1,547,346 62,939 Stein Mart, Inc. 929,609 94,669 Zale Corp. (b) 1,479,677 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 31,351 Zumiez, Inc. (b) $ 929,244 ------------- 25,747,493 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 105,716 Crocs, Inc. (b) 1,287,621 45,812 Fifth & Pacific Cos., Inc. (b) 1,213,560 25,993 Iconix Brand Group, Inc. (b) 938,087 26,320 Movado Group, Inc. 1,227,301 12,706 Oxford Industries, Inc. 911,910 76,362 Perry Ellis International, Inc. 1,451,642 16,048 Steven Madden Ltd. (b) 588,641 19,777 Wolverine World Wide, Inc. 1,141,924 ------------- 8,760,686 ------------- THRIFTS & MORTGAGE FINANCE -- 1.1% 45,890 Bank Mutual Corp. 291,860 22,176 BofI Holding, Inc. (b) 1,339,874 91,738 Brookline Bancorp, Inc. 813,716 17,293 Dime Community Bancshares, Inc. 282,914 21,769 Northwest Bancshares, Inc. 304,548 53,262 Provident Financial Services, Inc. 998,130 48,291 TrustCo Bank Corp. 324,516 ------------- 4,355,558 ------------- TOBACCO -- 0.4% 494,480 Alliance One International, Inc. (b) 1,468,606 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 11,172 Applied Industrial Technologies, Inc. 528,547 14,568 DXP Enterprises, Inc. (b) 1,338,799 15,205 Kaman Corp. 565,322 ------------- 2,432,668 ------------- WATER UTILITIES -- 0.1% 20,884 American States Water Co. 594,776 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 15,295 NTELOS Holdings Corp. 291,217 101,615 USA Mobility, Inc. 1,516,096 ------------- 1,807,313 ------------- TOTAL COMMON STOCKS -- 99.9% 400,862,589 (Cost $351,489,900) ------------- COLLATERAL FOR SECURITIES ON LOAN -- 2.5% MONEY MARKET FUNDS -- 0.5% 2,035,234 Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class - 0.001% (c) 2,035,234 (Cost $2,035,234) PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.0% $7,724,741 JPMorgan Chase & Co., 0.03% (c), dated 10/31/13, due 11/01/13, with a maturity value of $7,724,748. Collateralized by U.S. Treasury Note, interest rate of 0.375%, due 02/15/16. The value of the collateral including accrued interest is $7,879,853. $ 7,724,741 (Cost $7,724,741) ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN - 2.5% 9,759,975 (Cost $9,759,975) ------------- TOTAL INVESTMENTS -- 102.4% 410,622,564 (Cost $361,249,875) (d) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (9,438,452) ------------- NET ASSETS -- 100.0% $ 401,184,112 ============= (a) All or a portion of this security is on loan. (See Note 2C - Securities Lending in the Notes to Quarterly Portfolio of Investments). The aggregate value of such securities is $9,546,696 and the total value of the collateral held by the Fund is $9,759,975, which includes Volterra Semiconductor Corp. in the amount of $799,356. This security was sold on October 2, 2013. (b) Non-income producing security. (c) Interest rate shown reflects yield as of October 31, 2013. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $53,275,978 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,903,289. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $400,862,589 $ -- $ -- Money Market Funds 2,035,234 -- -- Repurchase Agreements -- 7,724,741 -- ----------------------------------------------------- Total Investments $402,897,823 $ 7,724,741 $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.8% 47,952 L-3 Communications Holdings, Inc. $ 4,816,778 37,105 Northrop Grumman Corp. 3,989,159 34,396 Raytheon Co. 2,833,199 13,022 Rockwell Collins, Inc. 909,326 96,014 Textron, Inc. 2,764,243 ------------- 15,312,705 ------------- AIR FREIGHT & LOGISTICS -- 0.7% 30,975 FedEx Corp. 4,057,725 ------------- AUTO COMPONENTS -- 0.2% 21,293 Johnson Controls, Inc. 982,672 ------------- AUTOMOBILES -- 0.3% 104,759 Ford Motor Co. 1,792,426 ------------- BEVERAGES -- 0.7% 70,508 Molson Coors Brewing Co., Class B 3,807,432 ------------- CAPITAL MARKETS -- 1.0% 58,539 Bank of New York Mellon (The) Corp. 1,861,540 16,756 Goldman Sachs Group (The), Inc. 2,695,370 13,439 State Street Corp. 941,671 ------------- 5,498,581 ------------- CHEMICALS -- 1.6% 8,292 Air Products & Chemicals, Inc. 903,911 69,035 Dow Chemical (The) Co. 2,724,812 48,267 LyondellBasell Industries N.V., Class A 3,600,718 7,351 Praxair, Inc. 916,743 10,359 Sigma-Aldrich Corp. 895,328 ------------- 9,041,512 ------------- COMMERCIAL BANKS -- 4.1% 52,364 BB&T Corp. 1,778,805 44,958 Comerica, Inc. 1,946,681 146,948 Fifth Third Bancorp 2,796,421 155,025 KeyCorp 1,942,463 15,791 M&T Bank Corp. 1,776,961 48,786 PNC Financial Services Group, Inc. 3,587,235 286,278 Regions Financial Corp. 2,756,857 109,025 SunTrust Banks, Inc. 3,667,601 64,156 Wells Fargo & Co. 2,738,820 ------------- 22,991,844 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 86,930 ADT (The) Corp. 3,770,154 79,464 Republic Services, Inc. 2,659,660 42,854 Waste Management, Inc. 1,865,863 ------------- 8,295,677 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 1.3% 193,489 Cisco Systems, Inc. $ 4,353,502 29,803 Harris Corp. 1,846,594 14,881 Motorola Solutions, Inc. 930,360 ------------- 7,130,456 ------------- COMPUTERS & PERIPHERALS -- 1.4% 44,546 SanDisk Corp. 3,095,947 71,475 Western Digital Corp. 4,976,804 ------------- 8,072,751 ------------- CONSTRUCTION & ENGINEERING -- 0.3% 30,376 Jacobs Engineering Group, Inc. (a) 1,847,468 ------------- CONSUMER FINANCE -- 0.5% 38,565 Capital One Financial Corp. 2,648,259 ------------- CONTAINERS & PACKAGING -- 0.6% 20,304 Avery Dennison Corp. 956,725 45,303 Bemis Co., Inc. 1,807,590 23,024 MeadWestvaco Corp. 802,386 ------------- 3,566,701 ------------- DISTRIBUTORS -- 0.2% 10,924 Genuine Parts Co. 861,139 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 33,145 H&R Block, Inc. 942,644 ------------- DIVERSIFIED FINANCIAL SERVICES -- 2.3% 36,431 Citigroup, Inc. 1,777,104 68,380 JPMorgan Chase & Co. 3,524,305 129,757 Leucadia National Corp. 3,677,314 82,609 NASDAQ OMX Group (The), Inc. 2,926,837 21,049 NYSE Euronext 926,577 ------------- 12,832,137 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.2% 78,384 AT&T, Inc. 2,837,501 144,408 CenturyLink, Inc. 4,889,655 847,621 Frontier Communications Corp. 3,738,008 110,456 Windstream Holdings, Inc. 944,399 ------------- 12,409,563 ------------- ELECTRIC UTILITIES -- 7.1% 81,536 American Electric Power Co., Inc. 3,819,146 39,697 Duke Energy Corp. 2,847,466 98,383 Edison International 4,823,719 71,712 Entergy Corp. 4,641,201 119,250 Exelon Corp. 3,403,395 72,728 FirstEnergy Corp. 2,754,209 22,047 NextEra Energy, Inc. 1,868,483 64,265 Northeast Utilities 2,756,326 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 64,570 Pinnacle West Capital Corp. $ 3,617,857 116,346 PPL Corp. 3,563,678 42,916 Southern (The) Co. 1,755,694 128,018 Xcel Energy, Inc. 3,694,599 ------------- 39,545,773 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 310,590 Corning, Inc. 5,307,983 56,283 FLIR Systems, Inc. 1,602,940 163,034 Jabil Circuit, Inc. 3,400,889 ------------- 10,311,812 ------------- ENERGY EQUIPMENT & SERVICES -- 6.8% 53,990 Baker Hughes, Inc. 3,136,279 30,277 Cameron International Corp. (a) 1,660,996 72,714 Diamond Offshore Drilling, Inc. 4,503,178 84,307 Ensco PLC, Class A 4,860,299 65,722 Helmerich & Payne, Inc. 5,096,741 282,161 Nabors Industries Ltd. 4,932,174 58,014 National Oilwell Varco, Inc. 4,709,577 119,976 Noble Corp. 4,523,095 123,407 Rowan Cos. PLC, Class A (a) 4,452,525 ------------- 37,874,864 ------------- FOOD & STAPLES RETAILING -- 2.7% 62,283 CVS Caremark Corp. 3,877,739 65,715 Kroger (The) Co. 2,815,231 82,868 Safeway, Inc. 2,892,093 55,523 Sysco Corp. 1,795,614 16,425 Walgreen Co. 973,017 35,843 Wal-Mart Stores, Inc. 2,750,950 ------------- 15,104,644 ------------- FOOD PRODUCTS -- 2.3% 71,958 Archer-Daniels-Midland Co. 2,943,082 21,706 Campbell Soup Co. 924,024 58,249 ConAgra Foods, Inc. 1,852,901 18,440 General Mills, Inc. 929,745 20,979 Hormel Foods Corp. 911,747 8,412 J.M. Smucker (The) Co. 935,499 160,237 Tyson Foods, Inc., Class A 4,433,758 ------------- 12,930,756 ------------- GAS UTILITIES -- 0.5% 57,591 AGL Resources, Inc. 2,756,305 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8% 136,532 Abbott Laboratories 4,990,245 17,669 Becton, Dickinson & Co. 1,857,542 71,841 CareFusion Corp. (a) 2,785,276 43,501 Covidien PLC 2,788,849 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 40,712 DENTSPLY International, Inc. $ 1,917,535 49,783 Medtronic, Inc. 2,857,544 13,074 Stryker Corp. 965,646 32,273 Zimmer Holdings, Inc. 2,822,919 ------------- 20,985,556 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 41,408 Aetna, Inc. 2,596,282 11,497 Cigna Corp. 885,039 48,554 Humana, Inc. 4,474,251 26,739 Laboratory Corp. of America Holdings (a) 2,697,965 21,981 Patterson Cos., Inc. 934,412 28,602 Quest Diagnostics, Inc. 1,713,546 49,359 UnitedHealth Group, Inc. 3,369,245 54,198 WellPoint, Inc. 4,595,991 ------------- 21,266,731 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 138,833 Carnival Corp. 4,810,564 76,357 Darden Restaurants, Inc. 3,934,676 93,359 International Game Technology 1,755,149 9,185 McDonald's Corp. 886,536 ------------- 11,386,925 ------------- HOUSEHOLD DURABLES -- 0.8% 58,662 Garmin Ltd. 2,742,448 12,068 Whirlpool Corp. 1,762,049 ------------- 4,504,497 ------------- HOUSEHOLD PRODUCTS -- 0.4% 9,379 Kimberly-Clark Corp. 1,012,932 11,690 Procter & Gamble (The) Co. 943,967 ------------- 1,956,899 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.7% 129,330 NRG Energy, Inc. 3,689,785 ------------- INDUSTRIAL CONGLOMERATES -- 1.0% 14,800 3M Co. 1,862,580 25,495 Danaher Corp. 1,837,934 73,976 General Electric Co. 1,933,733 ------------- 5,634,247 ------------- INSURANCE -- 6.9% 37,779 ACE Ltd. 3,605,628 28,509 Aflac, Inc. 1,852,515 52,442 Allstate (The) Corp. 2,782,573 72,683 American International Group, Inc. 3,754,077 49,001 Assurant, Inc. 2,865,578 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 29,699 Chubb (The) Corp. $ 2,734,684 37,474 Cincinnati Financial Corp. 1,873,700 69,089 Genworth Financial, Inc., Class A (a) 1,003,863 63,132 Lincoln National Corp. 2,866,824 20,636 Principal Financial Group, Inc. 979,385 64,902 Progressive (The) Corp. 1,685,505 24,427 Torchmark Corp. 1,779,751 41,696 Travelers (The) Cos., Inc. 3,598,365 116,116 Unum Group 3,685,522 114,685 XL Group PLC 3,505,920 ------------- 38,573,890 ------------- IT SERVICES -- 1.5% 12,000 Accenture PLC, Class A 882,000 87,582 Computer Sciences Corp. 4,314,290 9,544 International Business Machines Corp. 1,710,380 94,710 Western Union Co. 1,611,964 ------------- 8,518,634 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.2% 18,745 Hasbro, Inc. 968,179 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 8,320 Waters Corp. (a) 839,654 ------------- MACHINERY -- 2.6% 31,797 Caterpillar, Inc. 2,650,598 32,571 Deere & Co. 2,665,611 88,783 Joy Global, Inc. 5,038,435 24,383 Parker Hannifin Corp. 2,845,984 31,638 Xylem, Inc. 1,091,511 ------------- 14,292,139 ------------- MEDIA -- 0.7% 55,021 News Corp., Class A (a) 968,370 27,404 Walt Disney (The) Co. 1,879,640 1,445 Washington Post (The) Co., Class B 929,597 ------------- 3,777,607 ------------- METALS & MINING -- 2.6% 435,293 Alcoa, Inc. 4,035,166 28,953 Allegheny Technologies, Inc. 958,344 136,986 Freeport-McMoRan Copper & Gold, Inc. 5,035,606 171,665 United States Steel Corp. 4,272,742 ------------- 14,301,858 ------------- MULTILINE RETAIL -- 2.2% 87,565 Kohl's Corp. 4,973,692 81,687 Macy's, Inc. 3,766,588 55,245 Target Corp. 3,579,323 ------------- 12,319,603 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MULTI-UTILITIES -- 6.6% 36,865 CenterPoint Energy, Inc. $ 906,879 100,719 CMS Energy Corp. 2,765,744 64,102 Consolidated Edison, Inc. 3,732,018 53,570 DTE Energy Co. 3,703,830 63,242 Integrys Energy Group, Inc. 3,711,041 57,212 NiSource, Inc. 1,803,322 86,378 PG&E Corp. 3,614,919 137,610 Public Service Enterprise Group, Inc. 4,609,935 76,772 SCANA Corp. 3,579,878 20,646 Sempra Energy 1,881,676 213,699 TECO Energy, Inc. 3,669,212 65,650 Wisconsin Energy Corp. 2,764,522 ------------- 36,742,976 ------------- OFFICE ELECTRONICS -- 0.8% 440,380 Xerox Corp. 4,377,377 ------------- OIL, GAS & CONSUMABLE FUELS -- 12.2% 28,508 Anadarko Petroleum Corp. 2,716,527 53,224 Apache Corp. 4,726,291 68,288 Chesapeake Energy Corp. 1,909,332 37,296 Chevron Corp. 4,474,028 65,192 ConocoPhillips 4,778,574 26,260 CONSOL Energy, Inc. 958,490 52,667 Exxon Mobil Corp. 4,720,017 58,592 Hess Corp. 4,757,670 129,917 Marathon Oil Corp. 4,580,873 70,453 Marathon Petroleum Corp. 5,048,662 75,124 Murphy Oil Corp. 4,531,480 48,445 Occidental Petroleum Corp. 4,654,596 78,373 Phillips 66 5,049,572 127,648 QEP Resources, Inc. 4,220,043 25,815 Spectra Energy Corp. 918,240 132,694 Valero Energy Corp. 5,463,012 183,519 WPX Energy, Inc. (a) 4,063,111 ------------- 67,570,518 ------------- PAPER & FOREST PRODUCTS -- 0.3% 39,448 International Paper Co. 1,759,775 ------------- PHARMACEUTICALS -- 0.8% 9,769 Allergan, Inc. 885,169 20,386 Johnson & Johnson 1,887,947 61,557 Pfizer, Inc. 1,888,569 ------------- 4,661,685 ------------- ROAD & RAIL -- 1.7% 102,989 CSX Corp. 2,683,893 34,272 Norfolk Southern Corp. 2,948,078 59,206 Ryder System, Inc. 3,897,531 ------------- 9,529,502 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 23,779 Altera Corp. $ 798,974 18,781 Analog Devices, Inc. 925,903 112,696 First Solar, Inc. (a) 5,665,228 227,158 NVIDIA Corp. 3,448,259 43,886 Texas Instruments, Inc. 1,846,723 ------------- 12,685,087 ------------- SOFTWARE -- 1.5% 152,730 CA, Inc. 4,850,705 106,112 Microsoft Corp. 3,751,059 ------------- 8,601,764 ------------- SPECIALTY RETAIL -- 0.9% 128,117 Abercrombie & Fitch Co., Class A 4,801,825 ------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 61,450 People's United Financial, Inc. 886,724 ------------- TOTAL COMMON STOCKS -- 99.9% 555,249,283 (Cost $493,348,334) MONEY MARKET FUNDS -- 0.1% 497,755 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 497,755 (Cost $497,755) ------------- TOTAL INVESTMENTS -- 100.0% 555,747,038 (Cost $493,846,089) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 4,684 ------------- NET ASSETS -- 100.0% $ 555,751,722 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $64,717,012 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,816,063. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $555,249,283 $ -- $ -- Money Market Funds 497,755 -- -- ----------------------------------------------------- Total Investments $555,747,038 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 3.0% 15,238 Boeing (The) Co. $ 1,988,559 8,622 Honeywell International, Inc. 747,786 14,037 Lockheed Martin Corp. 1,871,693 4,728 Precision Castparts Corp. 1,198,312 ------------- 5,806,350 ------------- AIR FREIGHT & LOGISTICS -- 1.3% 12,024 C.H. Robinson Worldwide, Inc. 718,314 24,379 Expeditors International of Washington, Inc. 1,104,125 7,840 United Parcel Service, Inc., Class B 770,201 ------------- 2,592,640 ------------- AIRLINES -- 1.9% 75,893 Delta Air Lines, Inc. 2,002,057 98,372 Southwest Airlines Co. 1,693,966 ------------- 3,696,023 ------------- AUTO COMPONENTS -- 1.7% 14,127 BorgWarner, Inc. 1,456,917 30,644 Delphi Automotive PLC 1,752,837 ------------- 3,209,754 ------------- AUTOMOBILES -- 1.5% 49,775 General Motors Co. (a) 1,839,186 16,725 Harley-Davidson, Inc. 1,071,069 ------------- 2,910,255 ------------- BEVERAGES -- 1.4% 26,718 Coca-Cola Enterprises, Inc. 1,114,942 24,953 Constellation Brands, Inc., Class A (a) 1,629,431 ------------- 2,744,373 ------------- BIOTECHNOLOGY -- 4.7% 9,250 Alexion Pharmaceuticals, Inc. (a) 1,137,287 9,596 Amgen, Inc. 1,113,136 5,950 Biogen Idec, Inc. (a) 1,452,931 11,630 Celgene Corp. (a) 1,726,939 28,490 Gilead Sciences, Inc. (a) 2,022,505 5,724 Regeneron Pharmaceuticals, Inc. (a) 1,646,222 ------------- 9,099,020 ------------- BUILDING PRODUCTS -- 0.7% 67,305 Masco Corp. 1,422,155 ------------- CAPITAL MARKETS -- 1.8% 19,659 Ameriprise Financial, Inc. 1,976,516 2,645 BlackRock, Inc. 795,642 6,886 Franklin Resources, Inc. 370,880 10,913 Invesco Ltd. 368,314 ------------- 3,511,352 ------------- CHEMICALS -- 5.6% 10,128 Airgas, Inc. 1,104,661 1,649 CF Industries Holdings, Inc. 355,524 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CHEMICALS (CONTINUED) 12,229 E.I. du Pont de Nemours & Co. $ 748,415 22,986 Eastman Chemical Co. 1,811,067 18,126 Ecolab, Inc. 1,921,356 19,972 FMC Corp. 1,453,163 8,701 International Flavors & Fragrances, Inc. 719,138 10,716 PPG Industries, Inc. 1,956,527 3,931 Sherwin-Williams (The) Co. 739,028 ------------- 10,808,879 ------------- COMMERCIAL BANKS -- 0.2% 42,144 Huntington Bancshares, Inc. 370,867 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 27,975 Cintas Corp. 1,504,216 6,203 Stericycle, Inc. (a) 720,788 ------------- 2,225,004 ------------- COMMUNICATIONS EQUIPMENT -- 0.3% 23,664 JDS Uniphase Corp. (a) 309,762 5,167 QUALCOMM, Inc. 358,951 ------------- 668,713 ------------- COMPUTERS & PERIPHERALS -- 1.5% 1,503 Apple, Inc. 785,092 13,621 EMC Corp. 327,857 25,207 NetApp, Inc. 978,284 16,372 Seagate Technology PLC 796,989 ------------- 2,888,222 ------------- CONSTRUCTION & ENGINEERING -- 0.4% 26,034 Quanta Services, Inc. (a) 786,487 ------------- CONSUMER FINANCE -- 1.5% 9,484 American Express Co. 775,791 14,168 Discover Financial Services 735,036 57,525 SLM Corp. 1,459,409 ------------- 2,970,236 ------------- CONTAINERS & PACKAGING -- 1.2% 7,758 Ball Corp. 379,289 65,847 Sealed Air Corp. 1,987,262 ------------- 2,366,551 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.7% 51,896 Bank of America Corp. 724,468 10,918 McGraw Hill Financial Inc. 760,766 25,456 Moody's Corp. 1,798,721 ------------- 3,283,955 ------------- ELECTRICAL EQUIPMENT -- 2.6% 15,561 AMETEK, Inc. 744,283 20,806 Eaton Corp. PLC 1,468,071 16,601 Emerson Electric Co. 1,111,769 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 13,396 Rockwell Automation, Inc. $ 1,479,053 2,620 Roper Industries, Inc. 332,242 ------------- 5,135,418 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 4,502 Amphenol Corp., Class A 361,466 46,478 Molex, Inc. 1,794,051 27,662 TE Connectivity Ltd. 1,424,316 ------------- 3,579,833 ------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 6,280 FMC Technologies, Inc. (a) 317,454 29,749 Halliburton Co. 1,577,589 12,155 Schlumberger Ltd. 1,139,167 ------------- 3,034,210 ------------- FOOD & STAPLES RETAILING -- 1.6% 9,329 Costco Wholesale Corp. 1,100,822 30,605 Whole Foods Market, Inc. 1,932,094 ------------- 3,032,916 ------------- FOOD PRODUCTS -- 0.2% 3,762 Hershey (The) Co. 373,341 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 122,002 Boston Scientific Corp. (a) 1,426,203 3,022 C. R. Bard, Inc. 411,657 9,584 Varian Medical Systems, Inc. (a) 695,607 ------------- 2,533,467 ------------- HEALTH CARE PROVIDERS & SERVICES -- 0.7% 6,121 DaVita HealthCare Partners, Inc. (a) 344,062 17,387 Express Scripts Holding Co. (a) 1,087,035 ------------- 1,431,097 ------------- HEALTH CARE TECHNOLOGY -- 0.6% 20,440 Cerner Corp. (a) 1,145,253 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 3,341 Chipotle Mexican Grill, Inc. (a) 1,760,607 8,277 Marriott International, Inc., Class A 373,127 23,259 Starbucks Corp. 1,885,142 5,713 Wyndham Worldwide Corp. 379,343 9,066 Wynn Resorts Ltd. 1,507,223 ------------- 5,905,442 ------------- HOUSEHOLD DURABLES -- 0.6% 39,064 Newell Rubbermaid, Inc. 1,157,466 ------------- INSURANCE -- 2.3% 19,244 Aon PLC 1,522,008 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INSURANCE (CONTINUED) 24,665 Marsh & McLennan Cos., Inc. $ 1,129,657 22,957 Prudential Financial, Inc. 1,868,470 ------------- 4,520,135 ------------- INTERNET & CATALOG RETAIL -- 3.8% 4,579 Amazon.com, Inc. (a) 1,666,893 5,788 Netflix, Inc. (a) 1,866,514 1,774 priceline.com, Inc. (a) 1,869,495 23,609 TripAdvisor, Inc. (a) 1,952,700 ------------- 7,355,602 ------------- INTERNET SOFTWARE & SERVICES -- 1.9% 34,631 Akamai Technologies, Inc. (a) 1,549,391 6,241 eBay, Inc. (a) 328,963 398 Google, Inc., Class A (a) 410,171 6,842 VeriSign, Inc. (a) 371,384 32,397 Yahoo!, Inc. (a) 1,066,833 ------------- 3,726,742 ------------- IT SERVICES -- 4.2% 9,895 Automatic Data Processing, Inc. 741,828 13,084 Cognizant Technology Solutions Corp., Class A (a) 1,137,392 23,131 Fidelity National Information Services, Inc. 1,127,636 10,629 Fiserv, Inc. (a) 1,113,175 2,128 MasterCard, Inc., Class A 1,525,989 17,619 Paychex, Inc. 744,579 36,516 Total System Services, Inc. 1,089,272 3,747 Visa, Inc., Class A 736,923 ------------- 8,216,794 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 20,963 Agilent Technologies, Inc. 1,064,082 4,652 Life Technologies Corp. (a) 350,342 28,458 PerkinElmer, Inc. 1,082,542 11,655 Thermo Fisher Scientific, Inc. 1,139,626 ------------- 3,636,592 ------------- MACHINERY -- 5.5% 8,084 Cummins, Inc. 1,026,830 15,945 Dover Corp. 1,463,592 22,955 Flowserve Corp. 1,594,684 9,390 Illinois Tool Works, Inc. 739,838 22,053 Ingersoll-Rand PLC 1,489,239 12,864 PACCAR, Inc. 715,238 4,520 Pall Corp. 363,950 27,570 Pentair Ltd. 1,849,671 14,398 Snap-on, Inc. 1,498,400 ------------- 10,741,442 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 6.3% 25,966 CBS Corp., Class B $ 1,535,629 23,795 Comcast Corp., Class A 1,132,166 5,828 DIRECTV (a) 364,192 8,483 Discovery Communications, Inc., Class A (a) 754,308 66,832 Gannett Co., Inc. 1,849,241 104,214 Interpublic Group of Cos. (The), Inc. 1,750,795 11,290 Omnicom Group, Inc. 768,962 13,752 Scripps Networks Interactive, Class A 1,107,036 6,420 Time Warner Cable, Inc. 771,363 16,325 Time Warner, Inc. 1,122,181 12,851 Viacom, Inc., Class B 1,070,360 ------------- 12,226,233 ------------- METALS & MINING -- 0.4% 14,611 Nucor Corp. 756,411 ------------- MULTILINE RETAIL -- 2.4% 19,024 Dollar General Corp. (a) 1,099,207 25,057 Dollar Tree, Inc. (a) 1,463,329 24,859 Family Dollar Stores, Inc. 1,712,288 6,192 Nordstrom, Inc. 374,430 ------------- 4,649,254 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.8% 28,784 Cabot Oil & Gas Corp. 1,016,651 10,578 EOG Resources, Inc. 1,887,115 16,145 EQT Corp. 1,382,173 16,032 Noble Energy, Inc. 1,201,278 9,484 Pioneer Natural Resources Co. 1,942,134 ------------- 7,429,351 ------------- PERSONAL PRODUCTS -- 0.2% 4,979 Estee Lauder (The) Cos., Inc., Class A 353,310 ------------- PHARMACEUTICALS -- 1.9% 12,433 Actavis, PLC. (a) 1,921,893 46,903 Mylan, Inc. (a) 1,776,217 ------------- 3,698,110 ------------- PROFESSIONAL SERVICES -- 1.5% 6,894 Dun & Bradstreet (The) Corp. 749,998 5,819 Equifax, Inc. 376,315 9,553 Nielsen Holdings N.V. 376,770 36,695 Robert Half International, Inc. 1,413,859 ------------- 2,916,942 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 15,051 CBRE Group, Inc., Class A (a) 349,635 ------------- ROAD & RAIL -- 0.4% 3,186 Kansas City Southern 387,163 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ROAD & RAIL (CONTINUED) 2,240 Union Pacific Corp. $ 339,136 ------------- 726,299 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% 61,242 Applied Materials, Inc. 1,093,169 5,723 KLA-Tencor Corp. 375,429 34,973 Lam Research Corp. (a) 1,896,586 91,581 LSI Corp. 776,607 17,775 Microchip Technology, Inc. 763,614 81,988 Micron Technology, Inc. (a) 1,449,548 15,281 Xilinx, Inc. 694,063 ------------- 7,049,016 ------------- SOFTWARE -- 1.8% 13,791 Adobe Systems, Inc. (a) 747,472 8,458 Autodesk, Inc. (a) 337,559 4,931 Citrix Systems, Inc. (a) 279,982 27,591 Salesforce.com, Inc. (a) 1,472,256 28,932 Symantec Corp. 657,914 ------------- 3,495,183 ------------- SPECIALTY RETAIL -- 8.6% 34,319 AutoNation, Inc. (a) 1,655,206 823 AutoZone, Inc. (a) 357,750 18,513 Bed Bath & Beyond, Inc. (a) 1,431,425 36,939 CarMax, Inc. (a) 1,735,764 17,779 Gap (The), Inc. 657,645 9,439 Home Depot (The), Inc. 735,204 29,302 L Brands, Inc. 1,834,598 37,603 Lowe's Cos., Inc. 1,871,877 11,225 O'Reilly Automotive, Inc. (a) 1,389,767 18,782 PetSmart, Inc. 1,366,578 19,676 Ross Stores, Inc. 1,521,939 9,349 Tiffany & Co. 740,160 25,397 TJX (The) Cos., Inc. 1,543,884 ------------- 16,841,797 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.7% 12,322 Fossil Group, Inc. (a) 1,564,155 19,716 NIKE, Inc., Class B 1,493,684 9,053 PVH Corp. 1,127,732 5,394 VF Corp. 1,159,710 ------------- 5,345,281 ------------- TOBACCO -- 0.2% 7,774 Lorillard, Inc. 396,552 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 6,930 Fastenal Co. 345,114 4,107 W.W. Grainger, Inc. 1,104,660 ------------- 1,449,774 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 4,766 Crown Castle International Corp. (a) $ 362,311 ------------- TOTAL COMMON STOCKS -- 100.1% 194,932,045 (Cost $166,558,792) MONEY MARKET FUNDS -- 0.0% 62,976 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 62,976 (Cost $62,976) ------------- TOTAL INVESTMENTS -- 100.1% 194,995,021 (Cost $166,621,768) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (148,254) ------------- NET ASSETS -- 100.0% $ 194,846,767 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $28,898,022 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $524,769. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $194,932,045 $ -- $ -- Money Market Funds 62,976 -- -- ----------------------------------------------------- Total Investments $194,995,021 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.2% 4,560 AAR Corp. $ 133,517 2,278 Alliant Techsystems, Inc. 248,006 406 American Science & Engineering, Inc. 26,707 1,393 Cubic Corp. 73,132 1,592 Curtiss-Wright Corp. 79,250 3,579 Esterline Technologies Corp. (a) 286,893 14,145 Exelis, Inc. 233,251 824 Huntington Ingalls Industries, Inc. 58,957 4,396 L-3 Communications Holdings, Inc. 441,578 1,275 Moog, Inc., Class A (a) 76,156 1,770 National Presto Industries, Inc. 124,873 3,402 Northrop Grumman Corp. 365,749 4,708 Orbital Sciences Corp. (a) 108,614 3,154 Raytheon Co. 259,795 1,194 Rockwell Collins, Inc. 83,377 587 Teledyne Technologies, Inc. (a) 52,137 8,803 Textron, Inc. 253,438 4,072 Triumph Group, Inc. 291,759 ------------- 3,197,189 ------------- AIR FREIGHT & LOGISTICS -- 0.5% 2,703 Atlas Air Worldwide Holdings, Inc. (a) 100,092 2,840 FedEx Corp. 372,040 1,236 Forward Air Corp. 50,033 ------------- 522,165 ------------- AIRLINES -- 0.4% 42,933 JetBlue Airways Corp. (a) 304,395 8,584 SkyWest, Inc. 129,103 ------------- 433,498 ------------- AUTO COMPONENTS -- 0.3% 1,952 Johnson Controls, Inc. 90,085 3,100 Standard Motor Products, Inc. 112,096 6,990 Superior Industries International, Inc. 131,062 ------------- 333,243 ------------- AUTOMOBILES -- 0.2% 9,605 Ford Motor Co. 164,342 ------------- BEVERAGES -- 0.3% 6,464 Molson Coors Brewing Co., Class B 349,056 ------------- BIOTECHNOLOGY -- 0.1% 2,617 Emergent Biosolutions, Inc. (a) 51,110 ------------- BUILDING PRODUCTS -- 0.2% 5,244 Gibraltar Industries, Inc. (a) 83,957 5,964 Griffon Corp. 74,729 751 Simpson Manufacturing Co., Inc. 26,623 1,184 Universal Forest Products, Inc. 62,657 ------------- 247,966 ------------- CAPITAL MARKETS -- 1.6% 27,265 Apollo Investment Corp. 232,571 5,367 Bank of New York Mellon (The) Corp. 170,671 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 9,981 Calamos Asset Management, Inc., Class A $ 98,013 4,091 Federated Investors, Inc., Class B 110,948 1,536 Goldman Sachs Group (The), Inc. 247,081 4,757 Investment Technology Group, Inc. (a) 76,207 26,112 Janus Capital Group, Inc. 257,725 3,635 Piper Jaffray Cos., Inc. (a) 130,460 11,148 Prospect Capital Corp. 126,418 1,333 Raymond James Financial, Inc. 60,852 1,232 State Street Corp. 86,326 593 Stifel Financial Corp. (a) 24,283 ------------- 1,621,555 ------------- CHEMICALS -- 2.7% 3,385 A. Schulman, Inc. 112,111 760 Air Products & Chemicals, Inc. 82,848 1,765 Albemarle Corp. 116,825 5,203 Cabot Corp. 242,512 6,329 Dow Chemical (The) Co. 249,806 1,982 Hawkins, Inc. 71,372 1,417 Innophos Holdings, Inc. 71,020 18,236 Intrepid Potash, Inc. 270,805 1,169 Koppers Holdings, Inc. 52,032 729 LSB Industries, Inc. (a) 26,769 4,425 LyondellBasell Industries N.V., Class A 330,105 2,250 Minerals Technologies, Inc. 127,417 12,394 Olin Corp. 278,989 674 Praxair, Inc. 84,055 3,480 Sensient Technologies Corp. 181,412 950 Sigma-Aldrich Corp. 82,108 1,727 Stepan Co. 101,668 3,835 Tredegar Corp. 112,059 4,599 Zep, Inc. 91,474 ------------- 2,685,387 ------------- COMMERCIAL BANKS -- 4.7% 10,759 Associated Banc-Corp. 174,941 2,786 BancorpSouth, Inc. 61,571 1,306 Banner Corp. 49,968 4,801 BB&T Corp. 163,090 566 City Holding Co. 25,753 990 Columbia Banking System, Inc. 25,433 4,122 Comerica, Inc. 178,483 1,268 Commerce Bancshares, Inc. 58,341 717 Community Bank System, Inc. 26,034 787 Cullen/Frost Bankers, Inc. 55,712 1,739 East West Bancorp, Inc. 58,587 13,473 Fifth Third Bancorp 256,391 4,930 First Financial Bancorp 76,514 5,055 First Horizon National Corp. 53,836 16,071 First Niagara Financial Group, Inc. 177,263 2,559 FirstMerit Corp. 57,475 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 9,512 Fulton Financial Corp. $ 116,141 5,311 Hancock Holding Co. 174,095 4,513 Hanmi Financial Corp. 78,887 685 Independent Bank Corp. 24,578 7,705 International Bancshares Corp. 176,059 14,213 KeyCorp 178,089 1,448 M&T Bank Corp. 162,943 2,648 MB Financial, Inc. 78,646 1,064 NBT Bancorp, Inc. 25,930 3,511 Old National Bancorp 51,050 4,473 PNC Financial Services Group, Inc. 328,900 898 Prosperity Bancshares, Inc. 56,080 26,247 Regions Financial Corp. 252,759 2,058 S&T Bancorp, Inc. 50,462 787 Simmons First National Corp., Class A 25,766 9,996 SunTrust Banks, Inc. 336,265 5,959 Susquehanna Bancshares, Inc. 70,227 7,781 TCF Financial Corp. 118,116 529 Tompkins Financial Corp. 26,090 4,340 Trustmark Corp. 117,874 450 UMB Financial Corp. 26,514 1,508 Umpqua Holdings Corp. 24,686 844 United Bankshares, Inc. 24,965 8,309 United Community Banks, Inc. (a) 129,537 11,166 Valley National Bancorp 108,868 6,528 Webster Financial Corp. 182,066 5,882 Wells Fargo & Co. 251,103 2,428 Wintrust Financial Corp. 105,642 ------------- 4,801,730 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 2,809 ABM Industries, Inc. 77,276 7,970 ADT (The) Corp. 345,659 1,779 Consolidated Graphics, Inc. (a) 114,016 4,000 Deluxe Corp. 188,360 405 G&K Services, Inc., Class A 25,272 7,286 Republic Services, Inc. 243,862 955 UniFirst Corp. 98,193 1,719 United Stationers, Inc. 76,392 2,997 Viad Corp. 80,020 3,929 Waste Management, Inc. 171,069 ------------- 1,420,119 ------------- COMMUNICATIONS EQUIPMENT -- 1.1% 1,402 Bel Fuse, Inc., Class B 29,498 4,068 Black Box Corp. 101,863 17,740 Cisco Systems, Inc. 399,150 4,100 Comtech Telecommunications Corp. 123,082 4,981 Digi International, Inc. (a) 50,208 2,732 Harris Corp. 169,275 1,364 Motorola Solutions, Inc. 85,277 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (CONTINUED) 3,974 Oplink Communications, Inc. (a) $ 72,526 2,413 Plantronics, Inc. 103,614 ------------- 1,134,493 ------------- COMPUTERS & PERIPHERALS -- 1.2% 8,665 Lexmark International, Inc., Class A 308,041 11,393 QLogic Corp. (a) 140,704 4,084 SanDisk Corp. 283,838 1,806 Super Micro Computer, Inc. (a) 25,139 6,553 Western Digital Corp. 456,285 ------------- 1,214,007 ------------- CONSTRUCTION & ENGINEERING -- 0.8% 3,151 Aegion Corp. (a) 64,595 1,455 Comfort Systems USA, Inc. 27,107 2,672 Dycom Industries, Inc. (a) 79,225 1,274 EMCOR Group, Inc. 47,214 3,631 Granite Construction, Inc. 117,463 2,785 Jacobs Engineering Group, Inc. (a) 169,384 2,349 Orion Marine Group, Inc. (a) 29,363 5,320 URS Corp. 288,450 ------------- 822,801 ------------- CONSUMER FINANCE -- 0.6% 3,536 Capital One Financial Corp. 242,817 2,753 Cash America International, Inc. 108,606 7,384 EZCORP, Inc., Class A (a) 116,150 1,109 World Acceptance Corp. (a) 115,469 ------------- 583,042 ------------- CONTAINERS & PACKAGING -- 1.1% 1,848 AptarGroup, Inc. 118,568 1,862 Avery Dennison Corp. 87,737 4,154 Bemis Co., Inc. 165,745 3,399 Greif, Inc., Class A 181,813 2,111 MeadWestvaco Corp. 73,568 2,823 Rock Tenn Co., Class A 302,089 1,182 Silgan Holdings, Inc. 53,273 2,853 Sonoco Products Co. 115,946 ------------- 1,098,739 ------------- DISTRIBUTORS -- 0.2% 1,002 Genuine Parts Co. 78,988 9,098 VOXX International Corp. (a) 141,110 ------------- 220,098 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 13,740 Apollo Group, Inc., Class A (a) 366,721 1,322 Capella Education Co. (a) 80,536 56,912 Corinthian Colleges, Inc. (a) 121,792 5,453 DeVry, Inc. 195,763 3,039 H&R Block, Inc. 86,429 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 3,216 ITT Educational Services, Inc. (a) $ 129,026 2,918 Matthews International Corp., Class A 118,471 11,353 Regis Corp. 164,618 2,402 Strayer Education, Inc. 94,951 4,110 Universal Technical Institute, Inc. 54,622 ------------- 1,412,929 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 3,340 Citigroup, Inc. 162,925 1,303 Interactive Brokers Group, Inc., Class A 26,881 6,269 JPMorgan Chase & Co. 323,104 11,896 Leucadia National Corp. 337,133 7,574 NASDAQ OMX Group (The), Inc. 268,347 1,930 NYSE Euronext 84,958 ------------- 1,203,348 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 7,186 AT&T, Inc. 260,133 1,913 Atlantic Tele-Network, Inc. 106,019 15,555 Cbeyond, Inc. (a) 100,174 13,240 CenturyLink, Inc. 448,306 77,712 Frontier Communications Corp. 342,710 10,127 Windstream Holdings, Inc. 86,586 ------------- 1,343,928 ------------- ELECTRIC UTILITIES -- 5.8% 2,064 ALLETE, Inc. 104,294 7,475 American Electric Power Co., Inc. 350,129 3,717 Cleco Corp. 172,246 3,639 Duke Energy Corp. 261,025 9,020 Edison International 442,250 2,985 El Paso Electric Co. 104,982 6,575 Entergy Corp. 425,534 10,933 Exelon Corp. 312,028 6,668 FirstEnergy Corp. 252,517 12,880 Great Plains Energy, Inc. 301,907 6,640 Hawaiian Electric Industries, Inc. 176,425 5,908 IDACORP, Inc. 304,853 2,021 NextEra Energy, Inc. 171,280 5,892 Northeast Utilities 252,708 9,412 NV Energy, Inc. 223,441 3,079 OGE Energy Corp. 113,615 5,920 Pinnacle West Capital Corp. 331,698 9,819 PNM Resources, Inc. 234,870 10,667 PPL Corp. 326,730 3,935 Southern (The) Co. 160,981 2,682 UIL Holdings Corp. 103,311 1,604 UNS Energy Corp. 79,366 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 9,329 Westar Energy, Inc. $ 294,890 11,737 Xcel Energy, Inc. 338,730 ------------- 5,839,810 ------------- ELECTRICAL EQUIPMENT -- 0.5% 1,635 Brady Corp., Class A 47,726 1,264 Encore Wire Corp. 62,606 530 Hubbell, Inc., Class B 56,996 3,974 II-VI, Inc. (a) 67,796 813 Powell Industries, Inc. (a) 51,081 3,271 Regal-Beloit Corp. 239,862 ------------- 526,067 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% 5,892 Arrow Electronics, Inc. (a) 282,934 5,328 Avnet, Inc. 211,521 4,356 Benchmark Electronics, Inc. (a) 99,012 811 Coherent, Inc. 53,680 28,476 Corning, Inc. 486,655 4,455 Daktronics, Inc. 53,282 5,160 FLIR Systems, Inc. 146,957 9,640 Ingram Micro, Inc., Class A (a) 223,359 6,588 Insight Enterprises, Inc. (a) 138,809 14,947 Jabil Circuit, Inc. 311,794 1,781 Methode Electronics, Inc. 45,558 775 MTS Systems Corp. 50,623 854 Park Electrochemical Corp. 23,955 2,010 Plexus Corp. (a) 76,943 4,119 Rofin-Sinar Technologies, Inc. (a) 108,124 1,676 Rogers Corp. (a) 102,169 707 ScanSource, Inc. (a) 27,191 1,217 SYNNEX Corp. (a) 74,602 5,729 Tech Data Corp. (a) 298,252 22,183 Vishay Intertechnology, Inc. (a) 272,185 ------------- 3,087,605 ------------- ENERGY EQUIPMENT & SERVICES -- 6.0% 5,195 Atwood Oceanics, Inc. (a) 276,010 4,950 Baker Hughes, Inc. 287,546 5,916 Basic Energy Services, Inc. (a) 86,788 1,370 Bristow Group, Inc. 110,244 6,207 C&J Energy Services, Inc. (a) 143,009 2,776 Cameron International Corp. (a) 152,291 6,667 Diamond Offshore Drilling, Inc. 412,887 7,729 Ensco PLC, Class A 445,577 3,669 Era Group, Inc. (a) 115,940 3,617 Exterran Holdings, Inc. (a) 103,265 6,026 Helmerich & Payne, Inc. 467,316 4,703 ION Geophysical Corp. (a) 21,822 2,541 Matrix Service Co. (a) 52,827 25,869 Nabors Industries Ltd. 452,190 5,319 National Oilwell Varco, Inc. 431,797 11,000 Noble Corp. 414,700 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 2,148 Oil States International, Inc. (a) $ 233,337 13,374 Patterson-UTI Energy, Inc. 324,453 13,277 Pioneer Energy Services Corp. (a) 111,527 11,314 Rowan Cos. PLC, Class A (a) 408,209 551 SEACOR Holdings, Inc. 53,888 11,419 Superior Energy Services, Inc. (a) 306,372 7,522 Tesco Corp. (a) 129,228 1,952 TETRA Technologies, Inc. (a) 25,318 3,748 Tidewater, Inc. 225,705 6,150 Unit Corp. (a) 316,172 ------------- 6,108,418 ------------- FOOD & STAPLES RETAILING -- 1.8% 713 Andersons (The), Inc. 52,890 333 Casey's General Stores, Inc. 24,269 5,710 CVS Caremark Corp. 355,505 3,388 Harris Teeter Supermarkets, Inc. 167,096 6,025 Kroger (The) Co. 258,111 2,832 Nash Finch Co. 79,466 7,598 Safeway, Inc. 265,170 4,520 Spartan Stores, Inc. 106,356 5,090 Sysco Corp. 164,611 1,506 Walgreen Co. 89,215 3,286 Wal-Mart Stores, Inc. 252,200 ------------- 1,814,889 ------------- FOOD PRODUCTS -- 1.7% 6,597 Archer-Daniels-Midland Co. 269,817 1,555 Cal-Maine Foods, Inc. 78,885 1,990 Campbell Soup Co. 84,714 5,340 ConAgra Foods, Inc. 169,865 1,691 General Mills, Inc. 85,260 1,923 Hormel Foods Corp. 83,574 618 J & J Snack Foods Corp. 52,882 771 J.M. Smucker (The) Co. 85,743 710 Lancaster Colony Corp. 58,923 2,752 Post Holdings, Inc. (a) 118,198 1,528 Sanderson Farms, Inc. 96,585 4,142 Seneca Foods Corp., Class A (a) 121,444 848 Snyder's-Lance, Inc. 25,432 366 TreeHouse Foods, Inc. (a) 26,813 14,691 Tyson Foods, Inc., Class A 406,500 ------------- 1,764,635 ------------- GAS UTILITIES -- 1.5% 5,280 AGL Resources, Inc. 252,701 5,217 Atmos Energy Corp. 230,957 1,662 Laclede Group (The), Inc. 78,230 1,616 National Fuel Gas Co. 115,625 1,698 New Jersey Resources Corp. 78,159 2,375 Northwest Natural Gas Co. 103,146 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- GAS UTILITIES (CONTINUED) 2,274 Piedmont Natural Gas Co., Inc. $ 77,634 4,940 Questar Corp. 116,880 1,994 Southwest Gas Corp. 108,195 4,259 UGI Corp. 176,195 3,902 WGL Holdings, Inc. 175,629 ------------- 1,513,351 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 12,518 Abbott Laboratories 457,533 1,620 Becton, Dickinson & Co. 170,311 6,587 CareFusion Corp. (a) 255,378 1,467 CONMED Corp. 53,208 3,988 Covidien PLC 255,671 10,683 CryoLife, Inc. 96,040 3,733 DENTSPLY International, Inc. 175,824 4,651 Hill-Rom Holdings, Inc. 192,040 608 Integra LifeSciences Holdings (a) 27,834 4,564 Medtronic, Inc. 261,974 1,034 Meridian Bioscience, Inc. 25,560 6,165 Merit Medical Systems, Inc. (a) 98,578 3,879 STERIS Corp. 175,292 1,199 Stryker Corp. 88,558 1,028 SurModics, Inc. (a) 24,240 12,219 Symmetry Medical, Inc. (a) 98,974 675 Teleflex, Inc. 62,222 2,959 Zimmer Holdings, Inc. 258,824 ------------- 2,778,061 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 3,796 Aetna, Inc. 238,009 6,415 Almost Family, Inc. 123,360 1,256 AmSurg Corp. (a) 53,870 1,046 Chemed Corp. 70,940 1,054 Cigna Corp. 81,137 5,355 Community Health Systems, Inc. 233,639 4,340 Health Management Associates, Inc., Class A (a) 55,639 1,752 Health Net, Inc. (a) 53,261 4,452 Humana, Inc. 410,252 479 IPC Hospitalist (The) Co. (a) 26,244 7,424 Kindred Healthcare, Inc. 103,045 2,452 Laboratory Corp. of America Holdings (a) 247,407 5,313 LHC Group, Inc. (a) 109,448 6,132 LifePoint Hospitals, Inc. (a) 316,656 2,079 Magellan Health Services, Inc. (a) 122,037 2,101 Molina Healthcare, Inc. (a) 66,476 1,001 Omnicare, Inc. 55,205 3,212 Owens & Minor, Inc. 120,193 2,015 Patterson Cos., Inc. 85,658 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 9,392 PharMerica Corp. (a) $ 138,626 2,622 Quest Diagnostics, Inc. 157,084 4,525 UnitedHealth Group, Inc. 308,877 2,222 Universal Health Services, Inc., Class B 179,004 1,593 WellCare Health Plans, Inc. (a) 106,221 4,969 WellPoint, Inc. 421,371 ------------- 3,883,659 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 302 Biglari Holdings, Inc. (a) 131,678 2,604 BJ's Restaurants, Inc. (a) 70,464 2,741 Brinker International, Inc. 121,755 12,729 Carnival Corp. 441,060 1,087 CEC Entertainment, Inc. 50,382 2,528 Cheesecake Factory (The), Inc. 119,448 237 Cracker Barrel Old Country Store, Inc. 26,039 7,001 Darden Restaurants, Inc. 360,762 723 DineEquity, Inc. 59,337 8,559 International Game Technology 160,909 5,160 International Speedway Corp., Class A 168,784 1,246 Jack in the Box, Inc. (a) 50,687 4,317 Life Time Fitness, Inc. (a) 196,078 6,862 Marcus (The) Corp. 98,538 556 Marriott Vacations Worldwide Corp. (a) 27,845 842 McDonald's Corp. 81,270 5,253 Monarch Casino & Resort, Inc. (a) 88,828 701 Red Robin Gourmet Burgers, Inc. (a) 53,402 ------------- 2,307,266 ------------- HOUSEHOLD DURABLES -- 0.8% 3,605 Blyth, Inc. 49,785 5,378 Garmin Ltd. 251,422 2,820 Helen of Troy Ltd. (a) 131,750 60 NVR, Inc. (a) 55,039 15,757 Standard Pacific Corp. (a) 124,953 1,384 Universal Electronics, Inc. (a) 53,852 1,106 Whirlpool Corp. 161,487 ------------- 828,288 ------------- HOUSEHOLD PRODUCTS -- 0.5% 14,556 Central Garden & Pet Co., Class A (a) 107,132 925 Church & Dwight Co., Inc. 60,264 1,828 Energizer Holdings, Inc. 179,345 860 Kimberly-Clark Corp. 92,880 1,072 Procter & Gamble (The) Co. 86,564 ------------- 526,185 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% 11,857 NRG Energy, Inc. 338,280 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.5% 1,357 3M Co. $ 170,778 2,337 Danaher Corp. 168,474 6,782 General Electric Co. 177,282 ------------- 516,534 ------------- INSURANCE -- 7.0% 3,464 ACE Ltd. 330,604 2,614 Aflac, Inc. 169,858 407 Alleghany Corp. (a) 165,006 4,808 Allstate (The) Corp. 255,112 4,110 American Financial Group, Inc. 231,229 6,664 American International Group, Inc. 344,196 689 AMERISAFE, Inc. 26,526 6,123 Aspen Insurance Holdings Ltd. 238,858 4,493 Assurant, Inc. 262,751 3,461 Brown & Brown, Inc. 110,510 2,723 Chubb (The) Corp. 250,734 3,436 Cincinnati Financial Corp. 171,800 1,966 Everest Re Group, Ltd. 302,253 10,749 Fidelity National Financial, Inc., Class A 302,584 6,334 Genworth Financial, Inc., Class A (a) 92,033 1,004 Hanover Insurance Group, (The), Inc. 58,774 5,071 HCC Insurance Holdings, Inc. 231,491 3,513 Horace Mann Educators Corp. 97,310 772 Infinity Property & Casualty Corp. 52,944 4,960 Kemper Corp. 183,619 5,788 Lincoln National Corp. 262,833 1,150 Mercury General Corp. 53,544 1,726 Navigators Group (The), Inc. (a) 97,070 3,607 Old Republic International Corp. 60,562 1,377 Primerica, Inc. 59,142 1,892 Principal Financial Group, Inc. 89,794 2,766 ProAssurance Corp. 125,355 5,950 Progressive (The) Corp. 154,522 3,917 Protective Life Corp. 180,495 3,317 Reinsurance Group of America, Inc. 236,104 280 RLI Corp. 26,454 1,882 Safety Insurance Group, Inc. 102,927 3,052 Selective Insurance Group, Inc. 80,176 3,029 StanCorp Financial Group, Inc. 178,408 3,896 Stewart Information Services Corp. 122,023 2,240 Torchmark Corp. 163,206 3,823 Travelers (The) Cos., Inc. 329,925 1,636 United Fire Group, Inc. 51,861 10,646 Unum Group 337,904 3,888 W. R. Berkley Corp. 170,722 10,515 XL Group PLC 321,444 ------------- 7,082,663 ------------- INTERNET SOFTWARE & SERVICES -- 0.6% 6,426 AOL, Inc. 232,878 64,691 Monster Worldwide, Inc. (a) 279,465 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 6,248 United Online, Inc. $ 53,983 ------------- 566,326 ------------- IT SERVICES -- 2.6% 1,100 Accenture PLC, Class A 80,850 1,803 CACI International, Inc., Class A (a) 129,780 8,030 Computer Sciences Corp. 395,558 15,250 Convergys Corp. 301,035 3,980 CSG Systems International, Inc. 110,883 2,947 DST Systems, Inc. 249,817 2,175 Global Payments, Inc. 129,369 13,000 Higher One Holdings, Inc. (a) 103,350 875 International Business Machines Corp. 156,809 6,282 Leidos Holdings, Inc. 295,819 9,942 ManTech International Corp., Class A 277,780 6,959 Sykes Enterprises, Inc. (a) 130,272 2,981 TeleTech Holdings, Inc. (a) 78,907 8,683 Western Union Co. 147,785 ------------- 2,588,014 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.1% 1,719 Hasbro, Inc. 88,786 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 1,418 Bio-Rad Laboratories, Inc., Class A (a) 175,151 694 Techne Corp. 60,649 763 Waters Corp. (a) 77,002 ------------- 312,802 ------------- MACHINERY -- 3.1% 4,732 AGCO Corp. 276,254 1,386 Astec Industries, Inc. 46,861 1,428 Barnes Group, Inc. 50,751 2,915 Caterpillar, Inc. 242,994 1,000 CLARCOR, Inc. 58,480 1,802 Crane Co. 114,427 2,986 Deere & Co. 244,374 1,457 Donaldson Co., Inc. 57,712 736 ESCO Technologies, Inc. 26,555 9,684 Federal Signal Corp. (a) 132,574 983 John Bean Technologies Corp. 26,718 8,140 Joy Global, Inc. 461,945 4,873 Kennametal, Inc. 224,158 2,239 Mueller Industries, Inc. 134,989 4,537 Oshkosh Corp. (a) 215,916 2,236 Parker Hannifin Corp. 260,986 8,514 Titan International, Inc. 123,453 4,900 Trinity Industries, Inc. 248,087 434 Watts Water Technologies, Inc., Class A 25,077 2,721 Woodward, Inc. 109,085 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MACHINERY (CONTINUED) 2,901 Xylem, Inc. $ 100,084 ------------- 3,181,480 ------------- MARINE -- 0.2% 1,284 Kirby Corp. (a) 113,621 4,236 Matson, Inc. 114,753 ------------- 228,374 ------------- MEDIA -- 1.4% 2,717 E.W. Scripps (The) Co., Class A (a) 53,851 14,115 Harte-Hanks, Inc. 112,496 2,330 John Wiley & Sons, Inc., Class A 117,176 3,500 Meredith Corp. 179,550 8,839 New York Times (The) Co., Class A 122,243 5,045 News Corp., Class A (a) 88,792 7,756 Scholastic Corp. 222,520 9,901 Valassis Communications, Inc. 270,891 2,512 Walt Disney (The) Co. 172,298 133 Washington Post (The) Co., Class B 85,562 ------------- 1,425,379 ------------- METALS & MINING -- 2.4% 39,909 Alcoa, Inc. 369,956 2,654 Allegheny Technologies, Inc. 87,847 2,288 AMCOL International Corp. 73,399 9,832 Commercial Metals Co. 180,516 728 Compass Minerals International, Inc. 54,214 12,559 Freeport-McMoRan Copper & Gold, Inc. 461,669 1,650 Haynes International, Inc. 88,935 1,749 Kaiser Aluminum Corp. 117,970 2,333 Materion Corp. 69,547 1,795 Olympic Steel, Inc. 49,129 3,033 Reliance Steel & Aluminum Co. 222,289 1,556 RTI International Metals, Inc. (a) 52,748 9,974 Steel Dynamics, Inc. 179,233 6,792 Stillwater Mining Co. (a) 74,101 15,739 United States Steel Corp. 391,744 ------------- 2,473,297 ------------- MULTILINE RETAIL -- 1.5% 5,991 Big Lots, Inc. (a) 217,833 7,964 Fred's, Inc., Class A 129,017 8,028 Kohl's Corp. 455,990 7,489 Macy's, Inc. 345,318 3,485 Saks, Inc. (a) 55,725 5,065 Target Corp. 328,161 ------------- 1,532,044 ------------- MULTI-UTILITIES -- 4.2% 4,485 Alliant Energy Corp. 234,207 3,777 Avista Corp. 104,963 4,457 Black Hills Corp. 226,059 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 3,380 CenterPoint Energy, Inc. $ 83,148 9,234 CMS Energy Corp. 253,566 5,877 Consolidated Edison, Inc. 342,159 4,911 DTE Energy Co. 339,546 5,798 Integrys Energy Group, Inc. 340,227 1,986 MDU Resources Group, Inc. 59,143 5,245 NiSource, Inc. 165,322 1,665 NorthWestern Corp. 76,324 7,919 PG&E Corp. 331,410 12,616 Public Service Enterprise Group, Inc. 422,636 7,039 SCANA Corp. 328,228 1,893 Sempra Energy 172,528 19,592 TECO Energy, Inc. 336,395 4,997 Vectren Corp. 174,495 6,019 Wisconsin Energy Corp. 253,460 ------------- 4,243,816 ------------- OFFICE ELECTRONICS -- 0.6% 40,375 Xerox Corp. 401,327 3,660 Zebra Technologies Corp., Class A (a) 176,815 ------------- 578,142 ------------- OIL, GAS & CONSUMABLE FUELS -- 7.9% 37,284 Alpha Natural Resources, Inc. (a) 260,988 2,614 Anadarko Petroleum Corp. 249,088 4,880 Apache Corp. 433,344 931 Approach Resources, Inc. (a) 26,208 13,517 Arch Coal, Inc. 57,312 8,850 Bill Barrett Corp. (a) 244,880 6,261 Chesapeake Energy Corp. 175,058 3,419 Chevron Corp. 410,143 8,496 Cloud Peak Energy, Inc. (a) 132,623 6,267 Comstock Resources, Inc. 107,228 5,977 ConocoPhillips 438,114 2,408 CONSOL Energy, Inc. 87,892 2,182 Energen Corp. 170,894 4,829 Exxon Mobil Corp. 432,775 5,372 Hess Corp. 436,206 11,911 Marathon Oil Corp. 419,982 6,459 Marathon Petroleum Corp. 462,852 6,888 Murphy Oil Corp. 415,484 4,442 Occidental Petroleum Corp. 426,787 14,994 Penn Virginia Corp. (a) 127,599 7,185 Phillips 66 462,930 11,703 QEP Resources, Inc. 386,901 4,080 Rosetta Resources, Inc. (a) 244,555 2,367 Spectra Energy Corp. 84,194 3,843 Stone Energy Corp. (a) 133,967 10,914 Swift Energy Co. (a) 149,740 12,166 Valero Energy Corp. 500,874 4,467 World Fuel Services Corp. 170,416 16,825 WPX Energy, Inc. (a) 372,506 ------------- 8,021,540 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.6% 1,565 Clearwater Paper Corp. (a) $ 81,724 3,600 Domtar Corp. 304,956 3,617 International Paper Co. 161,354 571 KapStone Paper & Packaging Corp. 29,669 1,842 P.H. Glatfelter Co. 48,261 ------------- 625,964 ------------- PHARMACEUTICALS -- 0.4% 896 Allergan, Inc. 81,187 1,869 Johnson & Johnson 173,088 5,644 Pfizer, Inc. 173,158 ------------- 427,433 ------------- PROFESSIONAL SERVICES -- 0.6% 8,141 CDI Corp. 130,663 1,283 Heidrick & Struggles International, Inc. 23,761 6,402 Kelly Services, Inc., Class A 133,546 1,143 Korn/Ferry International (a) 27,204 8,062 Navigant Consulting, Inc. (a) 139,876 3,674 Resources Connection, Inc. 46,880 519 Towers Watson & Co., Class A 59,586 1,019 TrueBlue, Inc. (a) 25,169 ------------- 586,685 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 810 Agree Realty Corp. 25,572 8,472 Capstead Mortgage Corp. 100,224 19,249 Cedar Realty Trust, Inc. 109,912 4,845 Cousins Properties, Inc. 54,894 1,023 EPR Properties 52,551 2,083 Government Properties Income Trust 50,929 9,747 Inland Real Estate Corp. 104,195 4,439 Lexington Realty Trust 51,936 644 LTC Properties, Inc. 25,406 4,097 Medical Properties Trust, Inc. 53,425 998 Rayonier, Inc. 46,926 ------------- 675,970 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.0% 1,136 Forestar Group, Inc. (a) 25,367 ------------- ROAD & RAIL -- 1.6% 2,913 Arkansas Best Corp. 79,729 2,578 Con-way, Inc. 106,213 9,442 CSX Corp. 246,058 7,027 Heartland Express, Inc. 100,908 6,036 Knight Transportation, Inc. 102,431 992 Landstar System, Inc. 54,848 3,142 Norfolk Southern Corp. 270,275 5,428 Ryder System, Inc. 357,325 12,256 Werner Enterprises, Inc. 283,849 ------------- 1,601,636 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.5% 2,180 Altera Corp. $ 73,248 1,722 Analog Devices, Inc. 84,894 3,760 ATMI, Inc. (a) 102,798 13,388 Brooks Automation, Inc. 129,060 1,294 Cabot Microelectronics Corp. (a) 52,912 2,035 Diodes, Inc. (a) 49,288 3,999 Fairchild Semiconductor International, Inc. (a) 50,667 10,332 First Solar, Inc. (a) 519,390 20,826 NVIDIA Corp. 316,139 4,024 Texas Instruments, Inc. 169,330 ------------- 1,547,726 ------------- SOFTWARE -- 1.2% 14,003 CA, Inc. 444,735 12,539 Ebix, Inc. 142,694 7,542 EPIQ Systems, Inc. 112,829 9,729 Microsoft Corp. 343,920 5,796 Rovi Corp. (a) 97,141 2,947 Synopsys, Inc. (a) 107,418 ------------- 1,248,737 ------------- SPECIALTY RETAIL -- 3.5% 10,323 Aaron's, Inc. 292,864 11,746 Abercrombie & Fitch Co., Class A 440,240 1,344 Advance Auto Parts, Inc. 133,298 6,201 Big 5 Sporting Goods Corp. 117,261 922 Buckle (The), Inc. 45,123 4,455 Cato (The) Corp., Class A 133,516 1,292 Children's Place Retail Stores (The), Inc. (a) 70,530 3,728 CST Brands, Inc. 120,191 4,009 Finish Line (The), Inc., Class A 100,385 1,901 Genesco, Inc. (a) 129,477 642 Group 1 Automotive, Inc. 41,088 7,444 Guess?, Inc. 232,625 2,268 Jos. A. Bank Clothiers, Inc. (a) 108,819 4,055 Kirkland's, Inc. (a) 71,976 2,005 MarineMax, Inc. (a) 29,534 3,660 Men's Wearhouse (The), Inc. 154,818 5,502 Murphy USA, Inc. (a) 223,271 9,745 OfficeMax, Inc. 145,980 5,997 Pep Boys-Manny, Moe & Jack (The) (a) 77,601 7,505 Rent-A-Center, Inc. 256,971 3,101 Signet Jewelers Ltd. 231,521 2,095 Sonic Automotive, Inc., Class A 46,677 6,492 Stage Stores, Inc. 134,060 5,451 Stein Mart, Inc. 80,511 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 2,716 Zumiez, Inc. (a) $ 80,502 ------------- 3,498,839 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 9,158 Crocs, Inc. (a) 111,544 1,685 Deckers Outdoor Corp. (a) 115,979 2,251 Iconix Brand Group, Inc. (a) 81,239 6,616 Perry Ellis International, Inc. 125,770 ------------- 434,532 ------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 4,466 Astoria Financial Corp. 58,996 3,901 Bank Mutual Corp. 24,810 7,947 Brookline Bancorp, Inc. 70,490 1,469 Dime Community Bancshares, Inc. 24,033 7,353 New York Community Bancorp, Inc. 119,192 1,850 Northwest Bancshares, Inc. 25,881 5,634 People's United Financial, Inc. 81,299 4,613 Provident Financial Services, Inc. 86,448 4,104 TrustCo Bank Corp. 27,579 ------------- 518,728 ------------- TOBACCO -- 0.4% 42,831 Alliance One International, Inc. (a) 127,208 5,614 Universal Corp. 297,711 ------------- 424,919 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 968 Applied Industrial Technologies, Inc. 45,796 3,507 GATX Corp. 180,786 646 Kaman Corp. 24,018 ------------- 250,600 ------------- WATER UTILITIES -- 0.1% 1,809 American States Water Co. 51,521 2,246 Aqua America, Inc. 56,554 ------------- 108,075 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 1,301 NTELOS Holdings Corp. 24,771 9,676 Telephone & Data Systems, Inc. 301,698 8,802 USA Mobility, Inc. 131,326 ------------- 457,795 ------------- TOTAL COMMON STOCKS -- 99.9% 101,449,462 (Cost $89,374,011) See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 3,479 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) $ 3,479 (Cost $3,479) ------------- TOTAL INVESTMENTS -- 99.9% 101,452,941 (Cost $89,377,490) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 56,915 ------------- NET ASSETS -- 100.0% $ 101,509,856 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,829,975 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $754,524. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $101,449,462 $ -- $ -- Money Market Funds 3,479 -- -- ----------------------------------------------------- Total Investments $101,452,941 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.0% 2,110 B/E Aerospace, Inc. (a) $ 171,248 1,578 Boeing (The) Co. 205,929 2,557 GenCorp, Inc. (a) 42,958 893 Honeywell International, Inc. 77,450 1,453 Lockheed Martin Corp. 193,743 490 Precision Castparts Corp. 124,190 ------------- 815,518 ------------- AIR FREIGHT & LOGISTICS -- 0.7% 1,245 C.H. Robinson Worldwide, Inc. 74,377 2,525 Expeditors International of Washington, Inc. 114,357 696 Hub Group, Inc., Class A (a) 25,564 812 United Parcel Service, Inc., Class B 79,771 ------------- 294,069 ------------- AIRLINES -- 1.4% 1,990 Alaska Air Group, Inc. 140,613 259 Allegiant Travel Co. 27,006 7,859 Delta Air Lines, Inc. 207,321 10,186 Southwest Airlines Co. 175,403 ------------- 550,343 ------------- AUTO COMPONENTS -- 1.3% 1,463 BorgWarner, Inc. 150,879 3,173 Delphi Automotive PLC 181,496 827 Dorman Products, Inc. 40,201 1,540 Drew Industries, Inc. 77,400 2,434 Gentex Corp. 71,657 ------------- 521,633 ------------- AUTOMOBILES -- 1.3% 5,154 General Motors Co. (a) 190,440 1,732 Harley-Davidson, Inc. 110,917 2,683 Thor Industries, Inc. 155,641 2,702 Winnebago Industries, Inc. (a) 80,142 ------------- 537,140 ------------- BEVERAGES -- 0.9% 287 Boston Beer (The) Co., Inc., Class A (a) 65,893 2,766 Coca-Cola Enterprises, Inc. 115,425 2,584 Constellation Brands, Inc., Class A (a) 168,735 ------------- 350,053 ------------- BIOTECHNOLOGY -- 3.0% 958 Alexion Pharmaceuticals, Inc. (a) 117,786 994 Amgen, Inc. 115,304 616 Biogen Idec, Inc. (a) 150,421 1,204 Celgene Corp. (a) 178,782 1,960 Cubist Pharmaceuticals, Inc. (a) 121,520 2,950 Gilead Sciences, Inc. (a) 209,420 593 Regeneron Pharmaceuticals, Inc. (a) 170,547 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 1,580 United Therapeutics Corp. (a) $ 139,862 ------------- 1,203,642 ------------- BUILDING PRODUCTS -- 1.5% 1,209 A.O. Smith Corp. 62,445 2,057 AAON, Inc. 55,560 1,381 Apogee Enterprises, Inc. 43,198 2,244 Fortune Brands Home & Security, Inc. 96,671 2,069 Lennox International, Inc. 161,506 6,970 Masco Corp. 147,276 1,451 Quanex Building Products Corp. 25,799 ------------- 592,455 ------------- CAPITAL MARKETS -- 2.2% 512 Affiliated Managers Group, Inc. (a) 101,089 2,035 Ameriprise Financial, Inc. 204,599 274 BlackRock, Inc. 82,422 1,425 Evercore Partners, Inc., Class A 71,920 1,180 Financial Engines, Inc. 65,927 713 Franklin Resources, Inc. 38,402 2,800 HFF, Inc., Class A 68,740 1,130 Invesco Ltd. 38,137 2,015 SEI Investments Co. 66,878 84 Virtus Investment Partners, Inc. (a) 17,096 2,420 Waddell & Reed Financial, Inc., Class A 149,435 ------------- 904,645 ------------- CHEMICALS -- 4.3% 1,049 Airgas, Inc. 114,414 507 American Vanguard Corp. 13,233 1,010 Ashland, Inc. 93,476 528 Balchem Corp. 30,233 719 Calgon Carbon Corp. (a) 14,344 171 CF Industries Holdings, Inc. 36,868 1,148 Cytec Industries, Inc. 95,387 1,266 E.I. du Pont de Nemours & Co. 77,479 2,380 Eastman Chemical Co. 187,520 1,877 Ecolab, Inc. 198,962 2,376 Flotek Industries, Inc. (a) 50,799 2,068 FMC Corp. 150,468 1,209 H.B. Fuller Co. 57,875 901 International Flavors & Fragrances, Inc. 74,468 104 NewMarket Corp. 32,381 2,284 PolyOne Corp. 69,205 1,110 PPG Industries, Inc. 202,664 561 Quaker Chemical Corp. 42,586 3,442 RPM International, Inc. 133,274 407 Sherwin-Williams (The) Co. 76,516 ------------- 1,752,152 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS -- 1.3% 826 Cardinal Financial Corp. $ 13,629 1,281 Cathay General Bancorp 31,551 449 City National Corp. 32,377 232 First Financial Bankshares, Inc. 14,270 553 Glacier Bancorp, Inc. 15,279 1,349 Home BancShares, Inc. 45,704 4,364 Huntington Bancshares, Inc. 38,403 398 PacWest Bancorp 15,144 916 Pinnacle Financial Partners, Inc. (a) 28,396 681 Signature Bank (a) 69,340 1,082 SVB Financial Group (a) 103,634 9,075 Synovus Financial Corp. 29,494 3,167 Taylor Capital Group, Inc. (a) 72,841 1,670 Wilshire Bancorp, Inc. 14,145 ------------- 524,207 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 2,897 Cintas Corp. 155,772 1,593 Clean Harbors, Inc. (a) 98,368 530 Healthcare Services Group, Inc. 14,517 3,202 Herman Miller, Inc. 97,149 1,377 Interface, Inc. 27,884 580 Mine Safety Appliances Co. 27,933 643 Stericycle, Inc. (a) 74,716 2,744 Waste Connections, Inc. 117,278 ------------- 613,617 ------------- COMMUNICATIONS EQUIPMENT -- 1.1% 2,402 ARRIS Group, Inc. (a) 42,900 3,979 CalAmp Corp. (a) 93,626 6,234 Ciena Corp. (a) 145,065 2,451 JDS Uniphase Corp. (a) 32,084 4,631 PC-Tel, Inc. 42,652 882 Procera Networks, Inc. (a) 12,480 535 QUALCOMM, Inc. 37,166 643 ViaSat, Inc. (a) 42,515 ------------- 448,488 ------------- COMPUTERS & PERIPHERALS -- 1.7% 2,884 3D Systems Corp. (a) 179,500 156 Apple, Inc. 81,486 1,294 Electronics for Imaging, Inc. (a) 44,397 1,410 EMC Corp. 33,939 3,932 NCR Corp. (a) 143,715 2,610 NetApp, Inc. 101,294 1,695 Seagate Technology PLC 82,513 ------------- 666,844 ------------- CONSTRUCTION & ENGINEERING -- 0.2% 2,696 Quanta Services, Inc. (a) 81,446 ------------- CONSTRUCTION MATERIALS -- 0.3% 1,288 Eagle Materials, Inc. 96,613 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSTRUCTION MATERIALS (CONTINUED) 1,520 Headwaters, Inc. (a) $ 13,270 412 Texas Industries, Inc. (a) 22,124 ------------- 132,007 ------------- CONSUMER FINANCE -- 1.2% 982 American Express Co. 80,328 1,467 Discover Financial Services 76,108 1,530 Encore Capital Group, Inc. (a) 74,740 471 First Cash Financial Services, Inc. (a) 28,491 912 Portfolio Recovery Associates, Inc. (a) 54,218 5,956 SLM Corp. 151,104 ------------- 464,989 ------------- CONTAINERS & PACKAGING -- 1.2% 803 Ball Corp. 39,259 3,488 Myers Industries, Inc. 62,156 2,728 Packaging Corp. of America 169,900 6,818 Sealed Air Corp. 205,767 ------------- 477,082 ------------- DISTRIBUTORS -- 0.5% 4,888 LKQ Corp. (a) 161,451 487 Pool Corp. 26,483 ------------- 187,934 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 1,996 Hillenbrand, Inc. 56,327 3,345 Service Corp. International 60,244 2,536 Sotheby's 131,618 ------------- 248,189 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 5,374 Bank of America Corp. 75,021 662 CBOE Holdings, Inc. 32,107 910 MarketAxess Holdings, Inc. 59,359 1,131 McGraw Hill Financial Inc. 78,808 2,636 Moody's Corp. 186,260 1,547 MSCI, Inc. (a) 63,071 ------------- 494,626 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 2,870 General Communication, Inc., Class A (a) 27,294 2,522 Lumos Networks Corp. 55,509 1,003 tw telecom, Inc. (a) 31,614 ------------- 114,417 ------------- ELECTRICAL EQUIPMENT -- 2.0% 1,692 Acuity Brands, Inc. 170,063 1,611 AMETEK, Inc. 77,054 326 AZZ, Inc. 14,637 2,154 Eaton Corp. PLC 151,986 1,719 Emerson Electric Co. 115,122 901 EnerSys, Inc. 59,781 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 693 Franklin Electric Co., Inc. $ 26,230 1,387 Rockwell Automation, Inc. 153,139 271 Roper Industries, Inc. 34,366 ------------- 802,378 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 3,438 Agilysys, Inc. (a) 40,397 466 Amphenol Corp., Class A 37,415 853 Belden, Inc. 57,373 1,307 Cognex Corp. 40,844 650 DTS, Inc. (a) 13,000 467 FEI Co. 41,600 175 Littelfuse, Inc. 14,880 1,007 Measurement Specialties, Inc. (a) 56,120 4,813 Molex, Inc. 185,782 183 OSI Systems, Inc. (a) 13,330 2,864 TE Connectivity Ltd. 147,467 1,008 Trimble Navigation Ltd. (a) 28,799 4,203 TTM Technologies, Inc. (a) 36,776 ------------- 713,783 ------------- ENERGY EQUIPMENT & SERVICES -- 2.0% 629 CARBO Ceramics, Inc. 78,839 480 Dresser-Rand Group, Inc. (a) 29,170 1,357 Dril-Quip, Inc. (a) 159,339 650 FMC Technologies, Inc. (a) 32,858 324 Geospace Technologies Corp. (a) 31,564 3,080 Halliburton Co. 163,332 4,316 Newpark Resources, Inc. (a) 55,029 1,534 Oceaneering International, Inc. 131,740 1,259 Schlumberger Ltd. 117,993 ------------- 799,864 ------------- FOOD & STAPLES RETAILING -- 1.5% 966 Costco Wholesale Corp. 113,988 18,922 SUPERVALU, Inc. (a) 133,022 2,317 United Natural Foods, Inc. (a) 165,549 3,169 Whole Foods Market, Inc. 200,059 ------------- 612,618 ------------- FOOD PRODUCTS -- 0.9% 556 Annie's, Inc. (a) 26,271 395 B&G Foods, Inc. 13,371 1,355 Calavo Growers, Inc. 40,230 646 Darling International, Inc. (a) 15,032 2,905 Flowers Foods, Inc. 73,613 1,654 Green Mountain Coffee Roasters, Inc. (a) 103,888 531 Hain Celestial Group (The), Inc. (a) 44,195 390 Hershey (The) Co. 38,703 ------------- 355,303 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 852 Align Technology, Inc. (a) $ 48,615 165 Analogic Corp. 15,218 12,633 Boston Scientific Corp. (a) 147,680 313 C. R. Bard, Inc. 42,637 2,202 Cantel Medical Corp. 77,290 480 Cooper (The) Cos., Inc. 62,021 803 Greatbatch, Inc. (a) 30,610 3,507 Masimo Corp. 89,849 1,927 Natus Medical, Inc. (a) 38,020 675 Neogen Corp. (a) 31,199 1,179 ResMed, Inc. 61,001 803 Thoratec Corp. (a) 34,682 992 Varian Medical Systems, Inc. (a) 71,999 996 West Pharmaceutical Services, Inc. 48,157 ------------- 798,978 ------------- HEALTH CARE PROVIDERS & SERVICES -- 1.4% 321 Air Methods Corp. 14,034 993 AMN Healthcare Services, Inc. (a) 12,313 457 Bio-Reference Laboratories, Inc. (a) 14,811 1,897 CorVel Corp. (a) 78,915 634 DaVita HealthCare Partners, Inc. (a) 35,637 1,800 Express Scripts Holding Co. (a) 112,536 405 Hanger, Inc. (a) 14,864 2,214 Healthways, Inc. (a) 21,321 901 Henry Schein, Inc. (a) 101,300 931 MEDNAX, Inc. (a) 101,498 366 MWI Veterinary Supply, Inc. (a) 58,062 ------------- 565,291 ------------- HEALTH CARE TECHNOLOGY -- 0.8% 2,117 Cerner Corp. (a) 118,615 234 Computer Programs & Systems, Inc. 13,347 1,442 HealthStream, Inc. (a) 51,508 709 Medidata Solutions, Inc. (a) 78,210 2,308 Omnicell, Inc. (a) 53,246 629 Quality Systems, Inc. 14,354 ------------- 329,280 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.5% 2,161 Bally Technologies, Inc. (a) 158,055 2,175 Bob Evans Farms, Inc. 124,171 491 Buffalo Wild Wings, Inc. (a) 70,007 346 Chipotle Mexican Grill, Inc. (a) 182,332 2,292 Domino's Pizza, Inc. 153,701 1,156 Interval Leisure Group, Inc. 28,056 857 Marriott International, Inc., Class A 38,634 2,030 Multimedia Games Holding Co., Inc. (a) 65,995 391 Papa John's International, Inc. 29,587 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 3,455 Ruth's Hospitality Group, Inc. $ 42,116 2,376 SHFL entertainment, Inc. (a) 55,076 2,309 Sonic Corp. (a) 44,564 2,409 Starbucks Corp. 195,249 1,559 Texas Roadhouse, Inc. 42,748 591 Wyndham Worldwide Corp. 39,242 939 Wynn Resorts Ltd. 156,109 ------------- 1,425,642 ------------- HOUSEHOLD DURABLES -- 1.7% 363 iRobot Corp. (a) 12,295 1,931 Jarden Corp. (a) 106,900 1,662 KB Home 28,204 2,406 La-Z-Boy, Inc. 55,531 662 M/I Homes, Inc. (a) 13,551 318 Meritage Homes Corp. (a) 14,434 1,196 Mohawk Industries, Inc. (a) 158,374 4,045 Newell Rubbermaid, Inc. 119,853 674 Ryland Group (The), Inc. 27,095 1,417 Tempur Sealy International, Inc. (a) 54,342 1,082 Tupperware Brands Corp. 97,001 ------------- 687,580 ------------- HOUSEHOLD PRODUCTS -- 0.1% 421 WD-40 Co. 30,518 ------------- INDUSTRIAL CONGLOMERATES -- 0.2% 886 Carlisle Cos., Inc. 64,395 ------------- INSURANCE -- 1.9% 1,992 Aon PLC 157,547 686 Arthur J. Gallagher & Co. 32,551 2,174 eHealth, Inc. (a) 92,656 2,359 Employers Holdings, Inc. 70,935 3,837 First American Financial Corp. 99,225 2,554 Marsh & McLennan Cos., Inc. 116,973 2,377 Prudential Financial, Inc. 193,464 ------------- 763,351 ------------- INTERNET & CATALOG RETAIL -- 2.0% 474 Amazon.com, Inc. (a) 172,550 668 Blue Nile, Inc. (a) 27,435 600 Netflix, Inc. (a) 193,488 2,516 PetMed Express, Inc. 37,337 183 priceline.com, Inc. (a) 192,851 2,445 TripAdvisor, Inc. (a) 202,226 ------------- 825,887 ------------- INTERNET SOFTWARE & SERVICES -- 2.3% 3,586 Akamai Technologies, Inc. (a) 160,438 3,053 Blucora, Inc. (a) 72,142 1,886 comScore, Inc. (a) 50,394 1,275 Dealertrack Technologies, Inc. (a) 47,557 646 eBay, Inc. (a) 34,051 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 41 Google, Inc., Class A (a) $ 42,254 828 j2 Global, Inc. 45,523 1,760 LogMeIn, Inc. (a) 56,848 2,364 NIC, Inc. 58,202 390 OpenTable, Inc. (a) 27,097 3,821 Perficient, Inc. (a) 69,122 568 Rackspace Hosting, Inc. (a) 29,099 1,190 Stamps.com, Inc. (a) 54,074 708 Verisign, Inc. (a) 38,430 3,172 XO Group, Inc. (a) 44,027 3,354 Yahoo!, Inc. (a) 110,447 ------------- 939,705 ------------- IT SERVICES -- 4.8% 4,388 Acxiom Corp. (a) 145,813 736 Alliance Data Systems Corp. (a) 174,476 1,025 Automatic Data Processing, Inc. 76,844 3,924 Broadridge Financial Solutions, Inc. 137,968 1,473 Cardtronics, Inc. (a) 57,815 1,355 Cognizant Technology Solutions Corp., Class A (a) 117,790 2,303 CoreLogic, Inc. (a) 76,621 2,395 Fidelity National Information Services, Inc. 116,756 1,101 Fiserv, Inc. (a) 115,308 1,038 Gartner, Inc. (a) 61,190 688 Heartland Payment Systems, Inc. 27,830 2,527 iGATE Corp. (a) 80,460 1,207 Jack Henry & Associates, Inc. 65,914 900 Lender Processing Services, Inc. 31,068 220 MasterCard, Inc., Class A 157,762 910 MAXIMUS, Inc. 44,089 605 NeuStar, Inc., Class A (a) 27,782 1,825 Paychex, Inc. 77,124 3,781 Total System Services, Inc. 112,787 1,310 VeriFone Systems, Inc. (a) 29,685 2,414 Virtusa Corp. (a) 75,027 388 Visa, Inc., Class A 76,308 710 WEX, Inc. (a) 66,279 ------------- 1,952,696 ------------- LEISURE EQUIPMENT & PRODUCTS -- 0.9% 1,230 Arctic Cat, Inc. 64,452 1,369 Brunswick Corp. 61,783 1,919 Callaway Golf Co. 16,177 1,206 Polaris Industries, Inc. 157,926 872 Sturm, Ruger & Co., Inc. 57,037 ------------- 357,375 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 2,170 Agilent Technologies, Inc. 110,149 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 647 Charles River Laboratories $ 31,839 International, Inc. (a) 1,441 Covance, Inc. (a) 128,624 482 Life Technologies Corp. (a) 36,299 259 Mettler-Toledo International, Inc. (a) 64,092 1,088 PAREXEL International Corp. (a) 49,733 2,947 PerkinElmer, Inc. 112,104 1,207 Thermo Fisher Scientific, Inc. 118,020 ------------- 650,860 ------------- MACHINERY -- 5.5% 703 Actuant Corp., Class A 26,405 837 Cummins, Inc. 106,316 1,651 Dover Corp. 151,545 681 EnPro Industries, Inc. (a) 40,635 2,377 Flowserve Corp. 165,130 1,682 Graco, Inc. 129,951 1,909 IDEX Corp. 132,007 972 Illinois Tool Works, Inc. 76,584 2,284 Ingersoll-Rand PLC 154,239 4,332 ITT Corp. 172,110 1,403 Lincoln Electric Holdings, Inc. 97,144 167 Lindsay Corp. 12,694 1,591 Lydall, Inc. (a) 28,988 846 Nordson Corp. 60,988 1,332 PACCAR, Inc. 74,059 468 Pall Corp. 37,683 2,855 Pentair Ltd. 191,542 1,491 Snap-on, Inc. 155,168 690 Standex International Corp. 42,442 661 Tennant Co. 40,116 2,781 Terex Corp. (a) 97,196 496 Timken (The) Co. 26,194 503 Toro (The) Co. 29,647 2,477 Wabtec Corp. 161,476 ------------- 2,210,259 ------------- MEDIA -- 3.7% 910 AMC Networks, Inc., Class A (a) 63,782 2,689 CBS Corp., Class B 159,027 2,944 Cinemark Holdings, Inc. 96,593 2,464 Comcast Corp., Class A 117,237 4,226 Digital Generation, Inc. (a) 53,459 603 DIRECTV (a) 37,681 878 Discovery Communications, Inc., Class A (a) 78,072 6,920 Gannett Co., Inc. 191,476 10,791 Interpublic Group of Cos. (The), Inc. 181,289 1,169 Omnicom Group, Inc. 79,620 1,424 Scripps Networks Interactive, Class A 114,632 664 Time Warner Cable, Inc. 79,780 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MEDIA (CONTINUED) 1,690 Time Warner, Inc. $ 116,171 1,331 Viacom, Inc., Class B 110,859 ------------- 1,479,678 ------------- METALS & MINING -- 1.1% 3,643 AK Steel Holding Corp. (a) 16,029 2,144 Carpenter Technology Corp. 127,204 1,773 Globe Specialty Metals, Inc. 31,098 1,513 Nucor Corp. 78,328 1,607 SunCoke Energy, Inc. (a) 32,140 3,618 Worthington Industries, Inc. 146,674 ------------- 431,473 ------------- MULTILINE RETAIL -- 1.4% 1,970 Dollar General Corp. (a) 113,827 2,595 Dollar Tree, Inc. (a) 151,548 2,574 Family Dollar Stores, Inc. 177,297 641 Nordstrom, Inc. 38,761 4,594 Tuesday Morning Corp. (a) 65,005 ------------- 546,438 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.0% 2,981 Cabot Oil & Gas Corp. 105,289 1,880 Carrizo Oil & Gas, Inc. (a) 82,419 1,292 Cimarex Energy Co. 136,112 1,095 EOG Resources, Inc. 195,348 1,672 EQT Corp. 143,140 2,239 Forest Oil Corp. (a) 10,613 425 Gulfport Energy Corp. (a) 24,943 1,660 Noble Energy, Inc. 124,384 229 PDC Energy, Inc. (a) 15,529 982 Pioneer Natural Resources Co. 201,094 2,017 SM Energy Co. 178,726 ------------- 1,217,597 ------------- PAPER & FOREST PRODUCTS -- 0.6% 7,083 Louisiana-Pacific Corp. (a) 120,482 1,784 Neenah Paper, Inc. 73,393 677 Schweitzer-Mauduit International, Inc. 41,893 ------------- 235,768 ------------- PERSONAL PRODUCTS -- 0.3% 516 Estee Lauder (The) Cos., Inc., Class A 36,615 911 Inter Parfums, Inc. 32,031 1,016 Medifast, Inc. (a) 23,683 1,361 Prestige Brands Holdings, Inc. (a) 42,504 ------------- 134,833 ------------- PHARMACEUTICALS -- 2.0% 1,287 Actavis PLC (a) 198,944 3,564 Akorn, Inc. (a) 72,848 2,742 Endo Health Solutions, Inc. (a) 119,908 408 Medicines (The) Co. (a) 13,839 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 4,857 Mylan, Inc. (a) $ 183,935 1,209 Questcor Pharmaceuticals, Inc. 74,196 1,397 Salix Pharmaceuticals Ltd. (a) 100,235 695 ViroPharma, Inc. (a) 26,980 ------------- 790,885 ------------- PROFESSIONAL SERVICES -- 1.5% 1,716 Corporate Executive Board (The) Co. 125,096 714 Dun & Bradstreet (The) Corp. 77,676 602 Equifax, Inc. 38,931 380 Exponent, Inc. 28,732 989 Nielsen Holdings N.V. 39,006 2,126 On Assignment, Inc. (a) 71,838 3,800 Robert Half International, Inc. 146,414 1,390 WageWorks, Inc. (a) 71,182 ------------- 598,875 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 402 CoreSite Realty Corp. 13,041 2,042 Extra Space Storage, Inc. 93,911 769 Parkway Properties, Inc. 13,927 361 Sovran Self Storage, Inc. 27,613 ------------- 148,492 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 1,559 CBRE Group, Inc., Class A (a) 36,216 ------------- ROAD & RAIL -- 0.5% 670 Genesee & Wyoming, Inc., Class A (a) 66,893 411 J.B. Hunt Transport Services, Inc. 30,837 330 Kansas City Southern 40,101 891 Old Dominion Freight Line, Inc. (a) 41,788 232 Union Pacific Corp. 35,125 ------------- 214,744 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 780 Advanced Energy Industries, Inc. (a) 16,287 6,342 Applied Materials, Inc. 113,205 1,205 Cirrus Logic, Inc. (a) 27,028 1,035 Cree, Inc. (a) 62,876 3,119 Entropic Communications, Inc. (a) 13,349 3,056 Exar Corp. (a) 35,236 9,919 Integrated Device Technology, Inc. (a) 105,538 592 KLA-Tencor Corp. 38,835 3,622 Lam Research Corp. (a) 196,421 9,483 LSI Corp. 80,416 1,841 Microchip Technology, Inc. 79,089 8,490 Micron Technology, Inc. (a) 150,103 902 Monolithic Power Systems, Inc. 28,720 1,009 Power Integrations, Inc. 57,957 16,567 RF Micro Devices, Inc. (a) 86,977 4,887 Sigma Designs, Inc. (a) 26,585 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 701 Silicon Laboratories, Inc. (a) $ 28,194 2,508 Skyworks Solutions, Inc. (a) 64,656 926 Synaptics, Inc. (a) 43,059 1,583 Xilinx, Inc. 71,900 ------------- 1,326,431 ------------- SOFTWARE -- 3.9% 1,728 ACI Worldwide, Inc. (a) 95,247 1,428 Adobe Systems, Inc. (a) 77,398 346 ANSYS, Inc. (a) 30,258 876 Autodesk, Inc. (a) 34,961 1,400 Blackbaud, Inc. 50,400 511 Citrix Systems, Inc. (a) 29,015 1,064 CommVault Systems, Inc. (a) 83,077 1,409 Concur Technologies, Inc. (a) 147,381 274 FactSet Research Systems, Inc. 29,850 2,254 Fair Isaac Corp. 129,109 1,105 Interactive Intelligence Group, Inc. (a) 67,902 429 Manhattan Associates, Inc. (a) 45,693 5,331 Mentor Graphics Corp. 117,708 600 MICROS Systems, Inc. (a) 32,550 1,430 Monotype Imaging Holdings, Inc. 40,355 2,191 PTC, Inc. (a) 60,734 2,857 Salesforce.com, Inc. (a) 152,450 2,996 Symantec Corp. 68,129 1,436 Synchronoss Technologies, Inc. (a) 49,714 3,863 Take-Two Interactive Software, Inc. (a) 69,186 2,940 Tangoe, Inc. (a) 56,154 1,170 TIBCO Software, Inc. (a) 28,735 625 Tyler Technologies, Inc. (a) 60,444 ------------- 1,556,450 ------------- SPECIALTY RETAIL -- 6.8% 1,720 ANN, Inc. (a) 60,819 4,688 Ascena Retail Group, Inc. (a) 92,775 3,554 AutoNation, Inc. (a) 171,409 85 AutoZone, Inc. (a) 36,949 1,917 Bed Bath & Beyond, Inc. (a) 148,222 2,328 Brown Shoe Co., Inc. 52,240 475 Cabela's, Inc. (a) 28,177 3,825 CarMax, Inc. (a) 179,737 5,684 Christopher & Banks Corp. (a) 32,797 1,167 Dick's Sporting Goods, Inc. 62,096 1,841 Gap (The), Inc. 68,099 2,228 Haverty Furniture Cos., Inc. 61,961 978 Home Depot (The), Inc. 76,176 3,034 L Brands, Inc. 189,959 961 Lithia Motors, Inc., Class A 60,399 3,894 Lowe's Cos., Inc. 193,843 658 Lumber Liquidators Holdings, Inc. (a) 75,137 294 Monro Muffler Brake, Inc. 13,524 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 32,242 Office Depot, Inc. (a) $ 180,233 1,162 O'Reilly Automotive, Inc. (a) 143,867 1,945 PetSmart, Inc. 141,518 2,037 Ross Stores, Inc. 157,562 968 Tiffany & Co. 76,637 2,630 TJX (The) Cos., Inc. 159,878 1,855 Tractor Supply Co. 132,354 1,108 Williams-Sonoma, Inc. 58,104 4,615 Zale Corp. (a) 72,132 ------------- 2,726,604 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.0% 1,231 Carter's, Inc. 85,124 2,174 Fifth & Pacific Cos., Inc. (a) 57,589 1,276 Fossil Group, Inc. (a) 161,975 2,499 Hanesbrands, Inc. 170,232 1,249 Movado Group, Inc. 58,241 2,042 NIKE, Inc., Class B 154,702 603 Oxford Industries, Inc. 43,277 937 PVH Corp. 116,722 761 Steven Madden Ltd. (a) 27,914 1,960 Under Armour, Inc., Class A (a) 159,054 559 VF Corp. 120,185 938 Wolverine World Wide, Inc. 54,160 ------------- 1,209,175 ------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 1,082 BofI Holding, Inc. (a) 65,375 1,448 Washington Federal, Inc. 32,985 ------------- 98,360 ------------- TOBACCO -- 0.1% 805 Lorillard, Inc. 41,063 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 888 DXP Enterprises, Inc. (a) 81,607 717 Fastenal Co. 35,707 2,672 United Rentals, Inc. (a) 172,585 425 W.W. Grainger, Inc. 114,312 1,322 Watsco, Inc. 125,973 ------------- 530,184 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 494 Crown Castle International Corp. (a) 37,554 ------------- TOTAL COMMON STOCKS -- 99.9% 40,222,079 (Cost $33,561,608) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 41,784 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) $ 41,784 (Cost $41,784) ------------- TOTAL INVESTMENTS -- 100.0% 40,263,863 (Cost $33,603,392) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (17,563) ------------- NET ASSETS -- 100.0% $ 40,246,300 ============= (a) Non-income producing security. (b) Interest rate shown reflects yield as of October 31, 2013. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of October 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,818,365 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $157,894. ------------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $40,222,079 $ -- $ -- Money Market Funds 41,784 -- -- ----------------------------------------------------- Total Investments $40,263,863 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.7% 1,799 Alliant Techsystems, Inc. $ 195,857 2,826 Esterline Technologies Corp. (a) 226,532 11,168 Exelis, Inc. 184,160 650 Huntington Ingalls Industries, Inc. 46,508 3,215 Triumph Group, Inc. 230,355 ------------- 883,412 ------------- AIRLINES -- 1.0% 33,897 JetBlue Airways Corp. (a) 240,330 ------------- CAPITAL MARKETS -- 2.2% 21,526 Apollo Investment Corp. 183,617 3,230 Federated Investors, Inc., Class B 87,598 20,616 Janus Capital Group, Inc. 203,480 1,053 Raymond James Financial, Inc. 48,069 ------------- 522,764 ------------- CHEMICALS -- 4.0% 1,394 Albemarle Corp. 92,269 4,108 Cabot Corp. 191,474 14,398 Intrepid Potash, Inc. 213,810 1,776 Minerals Technologies, Inc. 100,575 9,786 Olin Corp. 220,283 2,748 Sensient Technologies Corp. 143,253 ------------- 961,664 ------------- COMMERCIAL BANKS -- 5.8% 8,495 Associated Banc-Corp. 138,129 2,199 BancorpSouth, Inc. 48,598 1,001 Commerce Bancshares, Inc. 46,056 622 Cullen/Frost Bankers, Inc. 44,031 1,373 East West Bancorp, Inc. 46,256 3,991 First Horizon National Corp. 42,504 12,688 First Niagara Financial Group, Inc. 139,949 2,020 FirstMerit Corp. 45,369 7,511 Fulton Financial Corp. 91,709 4,194 Hancock Holding Co. 137,479 6,083 International Bancshares Corp. 138,997 710 Prosperity Bancshares, Inc. 44,340 6,143 TCF Financial Corp. 93,251 3,427 Trustmark Corp. 93,077 8,817 Valley National Bancorp 85,966 5,154 Webster Financial Corp. 143,745 ------------- 1,379,456 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 3,159 Deluxe Corp. 148,757 ------------- COMMUNICATIONS EQUIPMENT -- 0.3% 1,905 Plantronics, Inc. 81,801 ------------- COMPUTERS & PERIPHERALS -- 1.0% 6,841 Lexmark International, Inc., Class A 243,198 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 1.3% 2,867 Granite Construction, Inc. $ 92,747 4,200 URS Corp. 227,724 ------------- 320,471 ------------- CONTAINERS & PACKAGING -- 2.5% 1,459 AptarGroup, Inc. 93,610 2,684 Greif, Inc., Class A 143,567 2,229 Rock Tenn Co., Class A 238,525 933 Silgan Holdings, Inc. 42,050 2,252 Sonoco Products Co. 91,521 ------------- 609,273 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.8% 10,848 Apollo Group, Inc., Class A (a) 289,533 4,305 DeVry, Inc. 154,549 2,303 Matthews International Corp., Class A 93,502 8,963 Regis Corp. 129,964 ------------- 667,548 ------------- ELECTRIC UTILITIES -- 6.0% 2,935 Cleco Corp. 136,008 10,169 Great Plains Energy, Inc. 238,361 5,242 Hawaiian Electric Industries, Inc. 139,280 4,664 IDACORP, Inc. 240,662 7,431 NV Energy, Inc. 176,412 2,431 OGE Energy Corp. 89,704 7,753 PNM Resources, Inc. 185,452 7,365 Westar Energy, Inc. 232,808 ------------- 1,438,687 ------------- ELECTRICAL EQUIPMENT -- 1.0% 419 Hubbell, Inc., Class B 45,059 2,583 Regal-Beloit Corp. 189,412 ------------- 234,471 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.3% 4,652 Arrow Electronics, Inc. (a) 223,389 4,206 Avnet, Inc. 166,978 7,612 Ingram Micro, Inc., Class A (a) 176,370 4,523 Tech Data Corp. (a) 235,467 17,514 Vishay Intertechnology, Inc. (a) 214,897 ------------- 1,017,101 ------------- ENERGY EQUIPMENT & SERVICES -- 5.6% 4,101 Atwood Oceanics, Inc. (a) 217,886 1,696 Oil States International, Inc. (a) 184,237 10,559 Patterson-UTI Energy, Inc. 256,161 9,015 Superior Energy Services, Inc. (a) 241,872 2,959 Tidewater, Inc. 178,191 4,856 Unit Corp. (a) 249,647 ------------- 1,327,994 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 0.5% 2,675 Harris Teeter Supermarkets, Inc. $ 131,931 ------------- FOOD PRODUCTS -- 0.6% 560 Lancaster Colony Corp. 46,475 2,173 Post Holdings, Inc. (a) 93,330 ------------- 139,805 ------------- GAS UTILITIES -- 2.7% 4,119 Atmos Energy Corp. 182,348 1,276 National Fuel Gas Co. 91,298 3,900 Questar Corp. 92,274 3,363 UGI Corp. 139,127 3,081 WGL Holdings, Inc. 138,676 ------------- 643,723 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.4% 3,672 Hill-Rom Holdings, Inc. 151,617 3,063 STERIS Corp. 138,417 533 Teleflex, Inc. 49,132 ------------- 339,166 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.7% 4,228 Community Health Systems, Inc. 184,468 3,427 Health Management Associates, Inc., Class A (a) 43,934 1,383 Health Net, Inc. (a) 42,043 4,842 LifePoint Hospitals, Inc. (a) 250,041 790 Omnicare, Inc. 43,569 2,536 Owens & Minor, Inc. 94,897 1,754 Universal Health Services, Inc., Class B 141,302 1,258 WellCare Health Plans, Inc. (a) 83,883 ------------- 884,137 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 2,164 Brinker International, Inc. 96,125 1,996 Cheesecake Factory (The), Inc. 94,311 4,074 International Speedway Corp., Class A 133,261 3,408 Life Time Fitness, Inc. (a) 154,791 ------------- 478,488 ------------- HOUSEHOLD DURABLES -- 0.2% 48 NVR, Inc. (a) 44,031 ------------- HOUSEHOLD PRODUCTS -- 0.8% 730 Church & Dwight Co., Inc. 47,559 1,444 Energizer Holdings, Inc. 141,671 ------------- 189,230 ------------- INSURANCE -- 9.1% 321 Alleghany Corp. (a) 130,140 3,245 American Financial Group, Inc. 182,564 4,834 Aspen Insurance Holdings Ltd. 188,574 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INSURANCE (CONTINUED) 2,733 Brown & Brown, Inc. $ 87,265 1,552 Everest Re Group, Ltd. 238,604 8,487 Fidelity National Financial, Inc., Class A 238,909 793 Hanover Insurance Group (The), Inc. 46,422 4,003 HCC Insurance Holdings, Inc. 182,737 3,916 Kemper Corp. 144,970 907 Mercury General Corp. 42,230 2,849 Old Republic International Corp. 47,835 1,087 Primerica, Inc. 46,687 3,092 Protective Life Corp. 142,479 2,619 Reinsurance Group of America, Inc. 186,420 2,392 StanCorp Financial Group, Inc. 140,889 3,070 W. R. Berkley Corp. 134,804 ------------- 2,181,529 ------------- INTERNET SOFTWARE & SERVICES -- 1.7% 5,073 AOL, Inc. 183,846 51,075 Monster Worldwide, Inc. (a) 220,644 ------------- 404,490 ------------- IT SERVICES -- 4.1% 12,040 Convergys Corp. 237,670 2,327 DST Systems, Inc. 197,260 1,717 Global Payments, Inc. 102,127 4,960 Leidos Holdings, Inc. 233,566 7,850 ManTech International Corp., Class A 219,329 ------------- 989,952 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 1,119 Bio-Rad Laboratories, Inc., Class A (a) 138,219 548 Techne Corp. 47,890 ------------- 186,109 ------------- MACHINERY -- 4.3% 3,737 AGCO Corp. 218,166 789 CLARCOR, Inc. 46,141 1,423 Crane Co. 90,361 1,151 Donaldson Co., Inc. 45,591 3,847 Kennametal, Inc. 176,962 3,582 Oshkosh Corp. (a) 170,467 3,869 Trinity Industries, Inc. 195,888 2,148 Woodward, Inc. 86,113 ------------- 1,029,689 ------------- MARINE -- 0.8% 1,014 Kirby Corp. (a) 89,729 3,345 Matson, Inc. 90,616 ------------- 180,345 ------------- MEDIA -- 3.0% 1,839 John Wiley & Sons, Inc., Class A 92,483 2,764 Meredith Corp. 141,793 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 6,978 New York Times (The) Co., Class A $ 96,506 6,123 Scholastic Corp. 175,669 7,817 Valassis Communications, Inc. 213,873 ------------- 720,324 ------------- METALS & MINING -- 2.1% 7,763 Commercial Metals Co. 142,529 575 Compass Minerals International, Inc. 42,820 2,395 Reliance Steel & Aluminum Co. 175,529 7,874 Steel Dynamics, Inc. 141,496 ------------- 502,374 ------------- MULTILINE RETAIL -- 0.9% 4,730 Big Lots, Inc. (a) 171,983 2,752 Saks, Inc. (a) 44,004 ------------- 215,987 ------------- MULTI-UTILITIES -- 2.3% 3,540 Alliant Energy Corp. 184,859 3,519 Black Hills Corp. 178,484 1,568 MDU Resources Group, Inc. 46,695 3,945 Vectren Corp. 137,759 ------------- 547,797 ------------- OFFICE ELECTRONICS -- 0.6% 2,890 Zebra Technologies Corp., Class A (a) 139,616 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.8% 29,437 Alpha Natural Resources, Inc. (a) 206,059 10,672 Arch Coal, Inc. 45,249 6,987 Bill Barrett Corp. (a) 193,330 1,722 Energen Corp. 134,867 3,221 Rosetta Resources, Inc. (a) 193,067 3,526 World Fuel Services Corp. 134,517 ------------- 907,089 ------------- PAPER & FOREST PRODUCTS -- 1.0% 2,842 Domtar Corp. 240,746 ------------- PROFESSIONAL SERVICES -- 0.2% 410 Towers Watson & Co., Class A 47,072 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 788 Rayonier, Inc. 37,052 ------------- ROAD & RAIL -- 1.5% 2,036 Con-way, Inc. 83,883 783 Landstar System, Inc. 43,292 9,676 Werner Enterprises, Inc. 224,096 ------------- 351,271 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.2% 3,158 Fairchild Semiconductor International, Inc. (a) 40,012 ------------- SOFTWARE -- 0.7% 4,576 Rovi Corp. (a) 76,694 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SOFTWARE (CONTINUED) 2,327 Synopsys, Inc. (a) $ 84,819 ------------- 161,513 ------------- SPECIALTY RETAIL -- 4.9% 8,149 Aaron's, Inc. 231,187 1,061 Advance Auto Parts, Inc. 105,230 2,943 CST Brands, Inc. 94,882 5,878 Guess?, Inc. 183,688 4,343 Murphy USA, Inc. (a) 176,239 5,926 Rent-A-Center, Inc. 202,906 2,449 Signet Jewelers Ltd. 182,842 ------------- 1,176,974 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 1,330 Deckers Outdoor Corp. (a) 91,544 ------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 3,525 Astoria Financial Corp. 46,565 5,805 New York Community Bancorp, Inc. 94,099 ------------- 140,664 ------------- TOBACCO -- 1.0% 4,433 Universal Corp. 235,082 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 2,769 GATX Corp. 142,742 ------------- WATER UTILITIES -- 0.2% 1,773 Aqua America, Inc. 44,644 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 7,639 Telephone & Data Systems, Inc. 238,184 ------------- TOTAL INVESTMENTS -- 100.0% 23,880,239 (Cost $22,168,636) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% (4,385) ------------- NET ASSETS -- 100.0% $ 23,875,854 ============= (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, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,977,684 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $266,081. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $23,880,239 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.4% 5,960 B/E Aerospace, Inc. (a) $ 483,714 ------------- AIRLINES -- 1.2% 5,621 Alaska Air Group, Inc. 397,180 ------------- AUTO COMPONENTS -- 0.6% 6,876 Gentex Corp. 202,429 ------------- AUTOMOBILES -- 1.3% 7,580 Thor Industries, Inc. 439,716 ------------- BIOTECHNOLOGY -- 2.2% 5,539 Cubist Pharmaceuticals, Inc. (a) 343,418 4,465 United Therapeutics Corp. (a) 395,242 ------------- 738,660 ------------- BUILDING PRODUCTS -- 2.1% 6,342 Fortune Brands Home & Security, Inc. 273,213 5,847 Lennox International, Inc. 456,417 ------------- 729,630 ------------- CAPITAL MARKETS -- 2.6% 1,446 Affiliated Managers Group, Inc. (a) 285,498 5,694 SEI Investments Co. 188,984 6,837 Waddell & Reed Financial, Inc., Class A 422,185 ------------- 896,667 ------------- CHEMICALS -- 2.9% 2,855 Ashland, Inc. 264,230 3,245 Cytec Industries, Inc. 269,627 293 NewMarket Corp. 91,229 9,724 RPM International, Inc. 376,513 ------------- 1,001,599 ------------- COMMERCIAL BANKS -- 2.2% 3,620 Cathay General Bancorp 89,160 1,270 City National Corp. 91,580 1,923 Signature Bank (a) 195,800 3,055 SVB Financial Group (a) 292,608 25,640 Synovus Financial Corp. 83,330 ------------- 752,478 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.8% 4,500 Clean Harbors, Inc. (a) 277,875 9,047 Herman Miller, Inc. 274,486 1,639 Mine Safety Appliances Co. 78,934 7,751 Waste Connections, Inc. 331,278 ------------- 962,573 ------------- COMMUNICATIONS EQUIPMENT -- 1.2% 17,613 Ciena Corp. (a) 409,855 ------------- COMPUTERS & PERIPHERALS -- 2.7% 8,149 3D Systems Corp. (a) 507,194 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS (CONTINUED) 11,108 NCR Corp. (a) $ 405,997 ------------- 913,191 ------------- CONSTRUCTION MATERIALS -- 0.8% 3,639 Eagle Materials, Inc. 272,961 ------------- CONTAINERS & PACKAGING -- 1.4% 7,706 Packaging Corp. of America 479,930 ------------- DISTRIBUTORS -- 1.3% 13,810 LKQ Corp. (a) 456,144 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 9,451 Service Corp. International 170,212 7,163 Sotheby's 371,760 ------------- 541,972 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 1,871 CBOE Holdings, Inc. 90,743 4,371 MSCI, Inc. (a) 178,206 ------------- 268,949 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 2,833 tw telecom inc. (a) 89,296 ------------- ELECTRICAL EQUIPMENT -- 1.4% 4,782 Acuity Brands, Inc. 480,639 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.2% 2,847 Trimble Navigation Ltd. (a) 81,339 ------------- ENERGY EQUIPMENT & SERVICES -- 3.3% 1,775 CARBO Ceramics, Inc. 222,479 1,356 Dresser-Rand Group, Inc. (a) 82,404 3,833 Dril-Quip, Inc. (a) 450,071 4,333 Oceaneering International, Inc. 372,118 ------------- 1,127,072 ------------- FOOD & STAPLES RETAILING -- 2.5% 53,459 SUPERVALU, Inc. (a) 375,817 6,546 United Natural Foods, Inc. (a) 467,712 ------------- 843,529 ------------- FOOD PRODUCTS -- 1.5% 8,209 Flowers Foods, Inc. 208,016 4,673 Green Mountain Coffee Roasters, Inc. (a) 293,511 ------------- 501,527 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 1,357 Cooper (The) Cos., Inc. 175,338 9,909 Masimo Corp. 253,868 3,332 ResMed, Inc. 172,398 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,269 Thoratec Corp. (a) $ 97,998 ------------- 699,602 ------------- HEALTH CARE PROVIDERS & SERVICES -- 1.7% 2,546 Henry Schein, Inc. (a) 286,247 2,629 MEDNAX, Inc. (a) 286,613 ------------- 572,860 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 6,106 Bally Technologies, Inc. (a) 446,593 6,145 Bob Evans Farms, Inc. 350,818 6,475 Domino's Pizza, Inc. 434,213 ------------- 1,231,624 ------------- HOUSEHOLD DURABLES -- 3.7% 5,455 Jarden Corp. (a) 301,989 4,696 KB Home 79,691 3,378 Mohawk Industries, Inc. (a) 447,315 4,004 Tempur Sealy International, Inc. (a) 153,553 3,055 Tupperware Brands Corp. 273,881 ------------- 1,256,429 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% 2,503 Carlisle Cos., Inc. 181,918 ------------- INSURANCE -- 1.1% 1,939 Arthur J. Gallagher & Co. 92,006 10,842 First American Financial Corp. 280,374 ------------- 372,380 ------------- INTERNET SOFTWARE & SERVICES -- 0.2% 1,604 Rackspace Hosting, Inc. (a) 82,173 ------------- IT SERVICES -- 6.7% 12,399 Acxiom Corp. (a) 412,019 2,081 Alliance Data Systems Corp. (a) 493,322 11,086 Broadridge Financial Solutions, Inc. 389,784 6,506 CoreLogic, Inc. (a) 216,454 2,934 Gartner, Inc. (a) 172,959 3,410 Jack Henry & Associates, Inc. 186,220 2,544 Lender Processing Services, Inc. 87,819 1,711 NeuStar, Inc., Class A (a) 78,569 3,701 VeriFone Systems, Inc. (a) 83,865 2,005 WEX, Inc. (a) 187,167 ------------- 2,308,178 ------------- LEISURE EQUIPMENT & PRODUCTS -- 1.3% 3,406 Polaris Industries, Inc. 446,016 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 1,828 Charles River Laboratories International, Inc. (a) 89,956 4,070 Covance, Inc. (a) 363,288 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 733 Mettler-Toledo International, Inc. (a) $ 181,388 ------------- 634,632 ------------- MACHINERY -- 7.2% 4,753 Graco, Inc. 367,217 5,394 IDEX Corp. 372,995 12,239 ITT Corp. 486,255 3,962 Lincoln Electric Holdings, Inc. 274,329 2,390 Nordson Corp. 172,295 7,857 Terex Corp. (a) 274,602 1,401 Timken (The) Co. 73,987 6,998 Wabtec Corp. 456,200 ------------- 2,477,880 ------------- MEDIA -- 1.3% 2,570 AMC Networks, Inc., Class A (a) 180,131 8,318 Cinemark Holdings, Inc. 272,914 ------------- 453,045 ------------- METALS & MINING -- 2.3% 6,057 Carpenter Technology Corp. 359,362 10,223 Worthington Industries, Inc. 414,440 ------------- 773,802 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 3,650 Cimarex Energy Co. 384,528 5,700 SM Energy Co. 505,077 ------------- 889,605 ------------- PAPER & FOREST PRODUCTS -- 1.0% 20,010 Louisiana-Pacific Corp. (a) 340,370 ------------- PHARMACEUTICALS -- 1.8% 7,746 Endo Health Solutions, Inc. (a) 338,733 3,948 Salix Pharmaceuticals Ltd. (a) 283,269 ------------- 622,002 ------------- PROFESSIONAL SERVICES -- 1.0% 4,846 Corporate Executive Board (The) Co. 353,273 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.8% 5,770 Extra Space Storage, Inc. 265,362 ------------- ROAD & RAIL -- 0.8% 1,893 Genesee & Wyoming, Inc., Class A (a) 188,997 1,161 J.B. Hunt Transport Services, Inc. 87,110 ------------- 276,107 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 2,923 Cree, Inc. (a) 177,572 28,023 Integrated Device Technology, Inc. (a) 298,165 46,807 RF Micro Devices, Inc. (a) 245,737 1,981 Silicon Laboratories, Inc. (a) 79,676 7,084 Skyworks Solutions, Inc. (a) 182,625 ------------- 983,775 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 6.2% 4,884 ACI Worldwide, Inc. (a) $ 269,206 979 ANSYS, Inc. (a) 85,614 3,007 CommVault Systems, Inc. (a) 234,787 3,982 Concur Technologies, Inc. (a) 416,517 776 FactSet Research Systems, Inc. 84,537 6,368 Fair Isaac Corp. 364,759 15,061 Mentor Graphics Corp. 332,547 1,694 MICROS Systems, Inc. (a) 91,899 6,190 PTC, Inc. (a) 171,587 3,306 TIBCO Software, Inc. (a) 81,195 ------------- 2,132,648 ------------- SPECIALTY RETAIL -- 5.0% 4,485 ANN, Inc. (a) 158,590 13,245 Ascena Retail Group, Inc. (a) 262,118 1,343 Cabela's, Inc. (a) 79,667 3,297 Dick's Sporting Goods, Inc. 175,433 91,092 Office Depot, Inc. (a) 509,204 5,239 Tractor Supply Co. 373,803 3,131 Williams-Sonoma, Inc. 164,190 ------------- 1,723,005 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.4% 3,479 Carter's, Inc 240,573 7,060 Hanesbrands, Inc. 480,927 5,538 Under Armour, Inc., Class A (a) 449,409 ------------- 1,170,909 ------------- THRIFTS & MORTGAGE FINANCE -- 0.3% 4,091 Washington Federal, Inc. 93,193 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.5% 7,548 United Rentals, Inc. (a) 487,525 3,735 Watsco, Inc. 355,908 ------------- 843,433 ------------- TOTAL INVESTMENTS -- 100.1% 34,255,271 (Cost $30,180,456) (b) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (21,503) ------------- NET ASSETS -- 100.0% $ 34,233,768 ============= (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, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,270,328 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $195,513. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $34,255,271 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.3% 15,751 AAR Corp. $ 461,189 1,401 American Science & Engineering, Inc. 92,158 4,811 Cubic Corp. 252,578 5,501 Curtiss-Wright Corp. 273,840 4,402 Moog, Inc., Class A (a) 262,931 6,114 National Presto Industries, Inc. 431,343 16,260 Orbital Sciences Corp. (a) 375,118 2,027 Teledyne Technologies, Inc. (a) 180,038 ------------- 2,329,195 ------------- AIR FREIGHT & LOGISTICS -- 0.7% 9,336 Atlas Air Worldwide Holdings, Inc. (a) 345,712 4,268 Forward Air Corp. 172,769 ------------- 518,481 ------------- AIRLINES -- 0.6% 29,647 SkyWest, Inc. 445,891 ------------- AUTO COMPONENTS -- 1.2% 10,708 Standard Motor Products, Inc. 387,201 24,143 Superior Industries International, Inc. 452,681 ------------- 839,882 ------------- BIOTECHNOLOGY -- 0.3% 9,039 Emergent Biosolutions, Inc. (a) 176,532 ------------- BUILDING PRODUCTS -- 1.2% 18,112 Gibraltar Industries, Inc. (a) 289,973 20,597 Griffon Corp. 258,080 2,593 Simpson Manufacturing Co., Inc. 91,922 4,091 Universal Forest Products, Inc. 216,496 ------------- 856,471 ------------- CAPITAL MARKETS -- 2.2% 34,472 Calamos Asset Management, Inc., Class A 338,515 16,431 Investment Technology Group, Inc. (a) 263,225 12,553 Piper Jaffray Cos., Inc. (a) 450,527 38,505 Prospect Capital Corp. 436,647 2,048 Stifel Financial Corp. (a) 83,865 ------------- 1,572,779 ------------- CHEMICALS -- 3.1% 11,690 A. Schulman, Inc. 387,173 6,844 Hawkins, Inc. 246,453 4,894 Innophos Holdings, Inc. 245,287 4,038 Koppers Holdings, Inc. 179,731 2,518 LSB Industries, Inc. (a) 92,461 5,966 Stepan Co. 351,218 13,246 Tredegar Corp. 387,048 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- CHEMICALS (CONTINUED) 15,885 Zep, Inc. $ 315,953 ------------- 2,205,324 ------------- COMMERCIAL BANKS -- 4.7% 4,513 Banner Corp. 172,667 1,953 City Holding Co. 88,862 3,421 Columbia Banking System, Inc. 87,885 2,477 Community Bank System, Inc. 89,940 17,026 First Financial Bancorp 264,244 15,588 Hanmi Financial Corp. 272,478 2,366 Independent Bank Corp. 84,892 9,146 MB Financial, Inc. 271,636 3,676 NBT Bancorp, Inc. 89,584 12,126 Old National Bancorp 176,312 7,110 S&T Bancorp, Inc. 174,337 2,718 Simmons First National Corp., Class A 88,987 20,581 Susquehanna Bancshares, Inc. 242,547 1,828 Tompkins Financial Corp. 90,157 1,555 UMB Financial Corp. 91,621 5,207 Umpqua Holdings Corp. 85,239 2,915 United Bankshares, Inc. 86,226 28,699 United Community Banks, Inc. (a) 447,417 8,386 Wintrust Financial Corp. 364,875 ------------- 3,269,906 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 9,703 ABM Industries, Inc. 266,930 6,142 Consolidated Graphics, Inc. (a) 393,641 1,398 G&K Services, Inc., Class A 87,235 3,298 UniFirst Corp. 339,100 5,938 United Stationers, Inc. 263,885 10,353 Viad Corp. 276,425 ------------- 1,627,216 ------------- COMMUNICATIONS EQUIPMENT -- 1.9% 4,844 Bel Fuse, Inc., Class B 101,918 14,049 Black Box Corp. 351,787 14,160 Comtech Telecommunications Corp. 425,083 17,202 Digi International, Inc. (a) 173,396 13,724 Oplink Communications, Inc. (a) 250,463 ------------- 1,302,647 ------------- COMPUTERS & PERIPHERALS -- 0.8% 39,350 QLogic Corp. (a) 485,972 6,238 Super Micro Computer, Inc. (a) 86,833 ------------- 572,805 ------------- CONSTRUCTION & ENGINEERING -- 1.2% 10,885 Aegion Corp. (a) 223,143 5,026 Comfort Systems USA, Inc. 93,634 9,228 Dycom Industries, Inc. (a) 273,610 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING (CONTINUED) 4,400 EMCOR Group, Inc. $ 163,064 8,114 Orion Marine Group, Inc. (a) 101,425 ------------- 854,876 ------------- CONSUMER FINANCE -- 1.7% 9,508 Cash America International, Inc. 375,091 25,502 EZCORP, Inc., Class A (a) 401,146 3,829 World Acceptance Corp. (a) 398,676 ------------- 1,174,913 ------------- DISTRIBUTORS -- 0.7% 31,423 VOXX International Corp. (a) 487,371 ------------- DIVERSIFIED CONSUMER SERVICES -- 2.4% 4,567 Capella Education Co. (a) 278,222 196,566 Corinthian Colleges, Inc. (a) 420,651 11,110 ITT Educational Services, Inc. (a) 445,733 8,294 Strayer Education, Inc. 327,862 14,195 Universal Technical Institute, Inc. 188,651 ------------- 1,661,119 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 4,499 Interactive Brokers Group, Inc., Class A 92,814 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 6,606 Atlantic Tele-Network, Inc. 366,104 53,727 Cbeyond, Inc. (a) 346,002 ------------- 712,106 ------------- ELECTRIC UTILITIES -- 1.9% 7,130 ALLETE, Inc. 360,279 10,311 El Paso Electric Co. 362,638 9,264 UIL Holdings Corp. 356,849 5,541 UNS Energy Corp. 274,169 ------------- 1,353,935 ------------- ELECTRICAL EQUIPMENT -- 1.1% 5,646 Brady Corp., Class A 164,807 4,367 Encore Wire Corp. 216,298 13,724 II-VI, Inc. (a) 234,131 2,810 Powell Industries, Inc. (a) 176,552 ------------- 791,788 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.2% 15,045 Benchmark Electronics, Inc. (a) 341,973 2,801 Coherent, Inc. 185,398 15,387 Daktronics, Inc. 184,029 22,753 Insight Enterprises, Inc. (a) 479,406 6,149 Methode Electronics, Inc. 157,291 2,676 MTS Systems Corp. 174,796 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 2,949 Park Electrochemical Corp. $ 82,720 6,943 Plexus Corp. (a) 265,778 14,225 Rofin-Sinar Technologies, Inc. (a) 373,406 5,790 Rogers Corp. (a) 352,958 2,442 ScanSource, Inc. (a) 93,919 4,203 SYNNEX Corp. (a) 257,644 ------------- 2,949,318 ------------- ENERGY EQUIPMENT & SERVICES -- 4.7% 20,435 Basic Energy Services, Inc. (a) 299,781 4,732 Bristow Group, Inc. 380,784 21,439 C&J Energy Services, Inc. (a) 493,955 12,671 Era Group, Inc. (a) 400,404 12,491 Exterran Holdings, Inc. (a) 356,618 16,245 ION Geophysical Corp. (a) 75,377 8,776 Matrix Service Co. (a) 182,453 45,857 Pioneer Energy Services Corp. (a) 385,199 1,903 SEACOR Holdings, Inc. 186,113 25,979 Tesco Corp. (a) 446,319 6,742 TETRA Technologies, Inc. (a) 87,444 ------------- 3,294,447 ------------- FOOD & STAPLES RETAILING -- 1.3% 2,463 Andersons (The), Inc. 182,705 1,149 Casey's General Stores, Inc. 83,739 9,779 Nash Finch Co. 274,399 15,611 Spartan Stores, Inc. 367,327 ------------- 908,170 ------------- FOOD PRODUCTS -- 2.0% 5,370 Cal-Maine Foods, Inc. 272,420 2,133 J & J Snack Foods Corp. 182,521 5,279 Sanderson Farms, Inc. 333,685 14,307 Seneca Foods Corp., Class A (a) 419,481 2,928 Snyder's-Lance, Inc. 87,811 1,264 TreeHouse Foods, Inc. (a) 92,601 ------------- 1,388,519 ------------- GAS UTILITIES -- 2.2% 5,740 Laclede Group (The), Inc. 270,182 5,863 New Jersey Resources Corp. 269,874 8,203 Northwest Natural Gas Co. 356,256 7,856 Piedmont Natural Gas Co., Inc. 268,204 6,887 Southwest Gas Corp. 373,688 ------------- 1,538,204 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% 5,065 CONMED Corp. 183,707 36,899 CryoLife, Inc. 331,722 2,100 Integra LifeSciences Holdings (a) 96,138 3,572 Meridian Bioscience, Inc. 88,300 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 21,294 Merit Medical Systems, Inc. (a) $ 340,491 3,551 SurModics, Inc. (a) 83,733 42,203 Symmetry Medical, Inc. (a) 341,844 ------------- 1,465,935 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.0% 22,155 Almost Family, Inc. 426,041 4,337 AmSurg Corp. (a) 186,014 3,613 Chemed Corp. 245,034 1,656 IPC Hospitalist (The) Co. (a) 90,732 25,643 Kindred Healthcare, Inc. 355,925 18,349 LHC Group, Inc. (a) 377,990 7,179 Magellan Health Services, Inc. (a) 421,407 7,255 Molina Healthcare, Inc. (a) 229,548 32,440 PharMerica Corp. (a) 478,814 ------------- 2,811,505 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.2% 1,043 Biglari Holdings, Inc. (a) 454,769 8,994 BJ's Restaurants, Inc. (a) 243,377 3,755 CEC Entertainment, Inc. 174,044 817 Cracker Barrel Old Country Store, Inc. 89,764 2,496 DineEquity, Inc. 204,847 4,304 Jack in the Box, Inc. (a) 175,087 23,702 Marcus (The) Corp. 340,361 1,920 Marriott Vacations Worldwide Corp. (a) 96,153 18,145 Monarch Casino & Resort, Inc. (a) 306,832 2,421 Red Robin Gourmet Burgers, Inc. (a) 184,432 ------------- 2,269,666 ------------- HOUSEHOLD DURABLES -- 1.8% 12,450 Blyth, Inc. 171,935 9,740 Helen of Troy Ltd. (a) 455,053 54,423 Standard Pacific Corp. (a) 431,574 4,778 Universal Electronics, Inc. (a) 185,912 ------------- 1,244,474 ------------- HOUSEHOLD PRODUCTS -- 0.5% 50,276 Central Garden & Pet Co., Class A (a) 370,031 ------------- INSURANCE -- 3.9% 2,378 AMERISAFE, Inc. 91,553 12,134 Horace Mann Educators Corp. 336,112 2,666 Infinity Property & Casualty Corp. 182,834 5,960 Navigators Group (The), Inc. (a) 335,190 9,554 ProAssurance Corp. 432,987 969 RLI Corp. 91,551 6,502 Safety Insurance Group, Inc. 355,594 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- INSURANCE (CONTINUED) 10,543 Selective Insurance Group, Inc. $ 276,965 13,458 Stewart Information Services Corp. 421,505 5,651 United Fire Group, Inc. 179,137 ------------- 2,703,428 ------------- INTERNET SOFTWARE & SERVICES -- 0.3% 21,578 United Online, Inc. 186,434 ------------- IT SERVICES -- 2.7% 6,229 CACI International, Inc., Class A (a) 448,364 13,749 CSG Systems International, Inc. 383,047 44,901 Higher One Holdings, Inc. (a) 356,963 24,036 Sykes Enterprises, Inc. (a) 449,954 10,294 TeleTech Holdings, Inc. (a) 272,482 ------------- 1,910,810 ------------- MACHINERY -- 2.8% 4,789 Astec Industries, Inc. 161,916 4,932 Barnes Group, Inc. 175,283 2,542 ESCO Technologies, Inc. 91,715 33,449 Federal Signal Corp. (a) 457,917 3,395 John Bean Technologies Corp. 92,276 7,733 Mueller Industries, Inc. 466,223 29,405 Titan International, Inc. 426,373 1,499 Watts Water Technologies, Inc., Class A 86,612 ------------- 1,958,315 ------------- MEDIA -- 0.8% 9,384 E.W. Scripps (The) Co., Class A (a) 185,991 48,751 Harte-Hanks, Inc. 388,545 ------------- 574,536 ------------- METALS & MINING -- 2.6% 7,904 AMCOL International Corp. 253,560 5,698 Haynes International, Inc. 307,122 6,041 Kaiser Aluminum Corp. 407,465 8,057 Materion Corp. 240,179 6,199 Olympic Steel, Inc. 169,667 5,374 RTI International Metals, Inc. (a) 182,179 23,460 Stillwater Mining Co. (a) 255,949 ------------- 1,816,121 ------------- MULTILINE RETAIL -- 0.6% 27,508 Fred's, Inc., Class A 445,630 ------------- MULTI-UTILITIES -- 0.9% 13,045 Avista Corp. 362,521 5,750 NorthWestern Corp. 263,580 ------------- 626,101 ------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 3,214 Approach Resources, Inc. (a) 90,474 29,345 Cloud Peak Energy, Inc. (a) 458,075 21,645 Comstock Resources, Inc. 370,346 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 51,788 Penn Virginia Corp. (a) $ 440,716 13,275 Stone Energy Corp. (a) 462,767 37,696 Swift Energy Co. (a) 517,189 ------------- 2,339,567 ------------- PAPER & FOREST PRODUCTS -- 0.8% 5,407 Clearwater Paper Corp. (a) 282,354 1,974 KapStone Paper & Packaging Corp. 102,569 6,361 P.H. Glatfelter Co. 166,658 ------------- 551,581 ------------- PROFESSIONAL SERVICES -- 2.6% 28,119 CDI Corp. 451,310 4,432 Heidrick & Struggles International, Inc. 82,081 22,110 Kelly Services, Inc., Class A 461,214 3,948 Korn/Ferry International (a) 93,962 27,845 Navigant Consulting, Inc. (a) 483,111 12,689 Resources Connection, Inc. 161,912 3,519 TrueBlue, Inc. (a) 86,919 ------------- 1,820,509 ------------- REAL ESTATE INVESTMENT TRUSTS -- 3.1% 2,798 Agree Realty Corp. 88,333 29,260 Capstead Mortgage Corp. 346,146 66,485 Cedar Realty Trust, Inc. 379,630 16,734 Cousins Properties, Inc. 189,596 3,533 EPR Properties 181,490 7,196 Government Properties Income Trust 175,942 33,664 Inland Real Estate Corp. 359,868 15,333 Lexington Realty Trust 179,396 2,224 LTC Properties, Inc. 87,737 14,149 Medical Properties Trust, Inc. 184,503 ------------- 2,172,641 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 3,923 Forestar Group, Inc. (a) 87,601 ------------- ROAD & RAIL -- 1.4% 10,061 Arkansas Best Corp. 275,369 24,270 Heartland Express, Inc. 348,517 20,846 Knight Transportation, Inc. 353,757 ------------- 977,643 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.7% 12,987 ATMI, Inc. (a) 355,065 46,239 Brooks Automation, Inc. 445,744 4,471 Cabot Microelectronics Corp. (a) 182,819 7,028 Diodes, Inc. (a) 170,218 ------------- 1,153,846 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- SOFTWARE -- 1.3% 43,308 Ebix, Inc. $ 492,845 26,051 EPIQ Systems, Inc. 389,723 ------------- 882,568 ------------- SPECIALTY RETAIL -- 7.7% 21,416 Big 5 Sporting Goods Corp. 404,977 3,187 Buckle (The), Inc. 155,972 15,384 Cato (The) Corp., Class A 461,058 4,465 Children's Place Retail Stores (The), Inc. (a) 243,744 13,848 Finish Line (The), Inc., Class A 346,754 6,564 Genesco, Inc. (a) 447,074 2,217 Group 1 Automotive, Inc. 141,888 7,834 Jos. A. Bank Clothiers, Inc. (a) 375,875 14,007 Kirkland's, Inc. (a) 248,624 6,924 MarineMax, Inc. (a) 101,991 12,642 Men's Wearhouse (The), Inc. 534,757 33,657 OfficeMax, Inc. 504,182 20,712 Pep Boys-Manny, Moe & Jack (The) (a) 268,013 7,234 Sonic Automotive, Inc., Class A 161,174 22,422 Stage Stores, Inc. 463,014 18,825 Stein Mart, Inc. 278,045 9,380 Zumiez, Inc. (a) 278,023 ------------- 5,415,165 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 31,630 Crocs, Inc. (a) 385,253 7,775 Iconix Brand Group, Inc. (a) 280,600 22,850 Perry Ellis International, Inc. 434,379 ------------- 1,100,232 ------------- THRIFTS & MORTGAGE FINANCE -- 1.3% 13,473 Bank Mutual Corp. 85,688 27,448 Brookline Bancorp, Inc. 243,464 5,074 Dime Community Bancshares, Inc. 83,011 6,391 Northwest Bancshares, Inc. 89,410 15,934 Provident Financial Services, Inc. 298,603 14,174 TrustCo Bank Corp. 95,249 ------------- 895,425 ------------- TOBACCO -- 0.6% 147,933 Alliance One International, Inc. (a) 439,361 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 3,344 Applied Industrial Technologies, Inc. 158,205 2,230 Kaman Corp. 82,911 ------------- 241,116 ------------- WATER UTILITIES -- 0.3% 6,249 American States Water Co. 177,971 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 4,493 NTELOS Holdings Corp. $ 85,547 30,401 USA Mobility, Inc. 453,583 ------------- 539,130 ------------- TOTAL INVESTMENTS -- 99.9% 70,102,051 (Cost $65,915,453) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 37,900 ------------- NET ASSETS -- 100.0% $ 70,139,951 ============= (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, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,217,330 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,030,732. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $70,102,051 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.5% 5,933 GenCorp, Inc. (a) $ 99,674 ------------- AIR FREIGHT & LOGISTICS -- 0.3% 1,616 Hub Group, Inc., Class A (a) 59,356 ------------- AIRLINES -- 0.3% 601 Allegiant Travel Co. 62,666 ------------- AUTO COMPONENTS -- 1.5% 1,920 Dorman Products, Inc. 93,331 3,575 Drew Industries, Inc. 179,680 ------------- 273,011 ------------- AUTOMOBILES -- 1.0% 6,271 Winnebago Industries, Inc. (a) 185,998 ------------- BEVERAGES -- 0.8% 666 Boston Beer (The) Co., Inc., Class A (a) 152,907 ------------- BUILDING PRODUCTS -- 2.4% 2,806 A.O. Smith Corp. 144,930 4,774 AAON, Inc. 128,946 3,206 Apogee Enterprises, Inc. 100,283 3,368 Quanex Building Products Corp. 59,883 ------------- 434,042 ------------- CAPITAL MARKETS -- 2.8% 3,306 Evercore Partners, Inc., Class A 166,854 2,740 Financial Engines, Inc. 153,084 6,500 HFF, Inc., Class A 159,575 195 Virtus Investment Partners, Inc. (a) 39,686 ------------- 519,199 ------------- CHEMICALS -- 3.5% 1,179 American Vanguard Corp. 30,772 1,225 Balchem Corp. 70,143 1,669 Calgon Carbon Corp. (a) 33,297 5,514 Flotek Industries, Inc. (a) 117,889 2,807 H.B. Fuller Co. 134,371 5,302 PolyOne Corp. 160,651 1,302 Quaker Chemical Corp. 98,835 ------------- 645,958 ------------- COMMERCIAL BANKS -- 2.8% 1,919 Cardinal Financial Corp. 31,664 538 First Financial Bankshares, Inc. 33,092 1,284 Glacier Bancorp, Inc. 35,477 3,132 Home BancShares, Inc. 106,112 923 PacWest Bancorp 35,120 2,128 Pinnacle Financial Partners, Inc. (a) 65,968 7,350 Taylor Capital Group, Inc. (a) 169,050 3,876 Wilshire Bancorp, Inc. 32,830 ------------- 509,313 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 1,231 Healthcare Services Group, Inc. $ 33,717 3,196 Interface, Inc. 64,719 ------------- 98,436 ------------- COMMUNICATIONS EQUIPMENT -- 3.0% 5,576 ARRIS Group, Inc. (a) 99,588 9,234 CalAmp Corp. (a) 217,276 10,748 PC-Tel, Inc. 98,989 2,046 Procera Networks, Inc. (a) 28,951 1,493 ViaSat, Inc. (a) 98,717 ------------- 543,521 ------------- COMPUTERS & PERIPHERALS -- 0.6% 3,003 Electronics for Imaging, Inc. (a) 103,033 ------------- CONSTRUCTION MATERIALS -- 0.4% 3,526 Headwaters, Inc. (a) 30,782 957 Texas Industries, Inc. (a) 51,391 ------------- 82,173 ------------- CONSUMER FINANCE -- 2.0% 3,550 Encore Capital Group, Inc. (a) 173,418 1,094 First Cash Financial Services, Inc. (a) 66,176 2,116 Portfolio Recovery Associates, Inc. (a) 125,796 ------------- 365,390 ------------- CONTAINERS & PACKAGING -- 0.8% 8,097 Myers Industries, Inc. 144,289 ------------- DISTRIBUTORS -- 0.3% 1,130 Pool Corp. 61,449 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 4,633 Hillenbrand, Inc. 130,743 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 2,111 MarketAxess Holdings, Inc. 137,701 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 6,660 General Communication, Inc., Class A (a) 63,337 5,852 Lumos Networks Corp. 128,802 ------------- 192,139 ------------- ELECTRICAL EQUIPMENT -- 1.3% 757 AZZ, Inc. 33,989 2,092 EnerSys, Inc. 138,804 1,610 Franklin Electric Co., Inc. 60,939 ------------- 233,732 ------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 7,980 Agilysys, Inc. (a) $ 93,765 1,979 Belden, Inc. 133,108 3,032 Cognex Corp. 94,750 1,510 DTS, Inc. (a) 30,200 1,083 FEI Co. 96,474 405 Littelfuse, Inc. 34,437 2,338 Measurement Specialties, Inc. (a) 130,297 426 OSI Systems, Inc. (a) 31,030 9,755 TTM Technologies, Inc. (a) 85,356 ------------- 729,417 ------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 752 Geospace Technologies Corp. (a) 73,260 10,019 Newpark Resources, Inc. (a) 127,742 ------------- 201,002 ------------- FOOD PRODUCTS -- 1.8% 1,291 Annie's, Inc. (a) 61,000 919 B&G Foods, Inc. 31,108 3,146 Calavo Growers, Inc. 93,405 1,498 Darling International, Inc. (a) 34,858 1,234 Hain Celestial Group (The), Inc. (a) 102,706 ------------- 323,077 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 1,977 Align Technology, Inc. (a) 112,808 385 Analogic Corp. 35,508 5,112 Cantel Medical Corp. 179,431 1,863 Greatbatch, Inc. (a) 71,018 4,472 Natus Medical, Inc. (a) 88,233 1,566 Neogen Corp. (a) 72,380 2,312 West Pharmaceutical Services, Inc. 111,785 ------------- 671,163 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.7% 744 Air Methods Corp. 32,528 2,304 AMN Healthcare Services, Inc. (a) 28,570 1,062 Bio-Reference Laboratories, Inc. (a) 34,419 4,404 CorVel Corp. (a) 183,206 939 Hanger, Inc. (a) 34,461 5,138 Healthways, Inc. (a) 49,479 848 MWI Veterinary Supply, Inc. (a) 134,527 ------------- 497,190 ------------- HEALTH CARE TECHNOLOGY -- 2.7% 543 Computer Programs & Systems, Inc. 30,973 3,349 HealthStream, Inc. (a) 119,626 1,647 Medidata Solutions, Inc. (a) 181,681 5,356 Omnicell, Inc. (a) 123,563 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY (CONTINUED) 1,459 Quality Systems, Inc. $ 33,294 ------------- 489,137 ------------- HOTELS, RESTAURANTS & LEISURE -- 4.8% 1,141 Buffalo Wild Wings, Inc. (a) 162,684 2,683 Interval Leisure Group, Inc. 65,116 4,711 Multimedia Games Holding Co., Inc. (a) 153,155 908 Papa John's International, Inc. 68,708 8,020 Ruth's Hospitality Group, Inc. 97,764 5,514 SHFL entertainment, Inc. (a) 127,815 5,358 Sonic Corp. (a) 103,409 3,619 Texas Roadhouse, Inc. 99,233 ------------- 877,884 ------------- HOUSEHOLD DURABLES -- 1.6% 842 iRobot Corp. (a) 28,519 5,585 La-Z-Boy, Inc. 128,902 1,537 M/I Homes, Inc. (a) 31,462 739 Meritage Homes Corp. (a) 33,543 1,564 Ryland Group (The), Inc. 62,873 ------------- 285,299 ------------- HOUSEHOLD PRODUCTS -- 0.4% 977 WD-40 Co. 70,823 ------------- INSURANCE -- 2.1% 5,047 eHealth, Inc. (a) 215,103 5,474 Employers Holdings, Inc. 164,603 ------------- 379,706 ------------- INTERNET & CATALOG RETAIL -- 0.8% 1,549 Blue Nile, Inc. (a) 63,617 5,839 PetMed Express, Inc. 86,651 ------------- 150,268 ------------- INTERNET SOFTWARE & SERVICES -- 6.6% 7,085 Blucora, Inc. (a) 167,419 4,378 comScore, Inc. (a) 116,980 2,961 Dealertrack Technologies, Inc. (a) 110,445 1,921 j2 Global, Inc. 105,617 4,084 LogMeIn, Inc. (a) 131,913 5,488 NIC, Inc. 135,115 907 OpenTable, Inc. (a) 63,018 8,868 Perficient, Inc. (a) 160,422 2,760 Stamps.com, Inc. (a) 125,414 7,361 XO Group, Inc. (a) 102,171 ------------- 1,218,514 ------------- IT SERVICES -- 3.6% 3,419 Cardtronics, Inc. (a) 134,196 1,597 Heartland Payment Systems, Inc. 64,599 5,865 iGATE Corp. (a) 186,741 2,111 MAXIMUS, Inc. 102,278 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 5,603 Virtusa Corp. (a) $ 174,141 ------------- 661,955 ------------- LEISURE EQUIPMENT & PRODUCTS -- 2.5% 2,855 Arctic Cat, Inc. 149,602 3,177 Brunswick Corp. 143,378 4,454 Callaway Golf Co. 37,547 2,025 Sturm, Ruger & Co., Inc. 132,455 ------------- 462,982 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 2,524 PAREXEL International Corp. (a) 115,372 ------------- MACHINERY -- 2.8% 1,633 Actuant Corp., Class A 61,336 1,581 EnPro Industries, Inc. (a) 94,338 389 Lindsay Corp. 29,568 3,693 Lydall, Inc. (a) 67,286 1,601 Standex International Corp. 98,478 1,534 Tennant Co. 93,098 1,167 Toro (The) Co. 68,783 ------------- 512,887 ------------- MEDIA -- 0.7% 9,810 Digital Generation, Inc. (a) 124,097 ------------- METALS & MINING -- 1.0% 8,454 AK Steel Holding Corp. (a) 37,197 4,116 Globe Specialty Metals, Inc. 72,195 3,730 SunCoke Energy, Inc. (a) 74,600 ------------- 183,992 ------------- MULTILINE RETAIL -- 0.8% 10,662 Tuesday Morning Corp. (a) 150,867 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.7% 4,365 Carrizo Oil & Gas, Inc. (a) 191,362 5,198 Forest Oil Corp. (a) 24,638 986 Gulfport Energy Corp. (a) 57,868 533 PDC Energy, Inc. (a) 36,143 ------------- 310,011 ------------- PAPER & FOREST PRODUCTS -- 1.5% 4,143 Neenah Paper, Inc. 170,443 1,572 Schweitzer-Mauduit International, Inc. 97,275 ------------- 267,718 ------------- PERSONAL PRODUCTS -- 1.2% 2,115 Inter Parfums, Inc. 74,363 2,357 Medifast, Inc. (a) 54,942 3,158 Prestige Brands Holdings, Inc. (a) 98,624 ------------- 227,929 ------------- PHARMACEUTICALS -- 2.4% 8,272 Akorn, Inc. (a) 169,080 946 Medicines (The) Co. (a) 32,088 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 2,807 Questcor Pharmaceuticals, Inc. $ 172,265 1,613 ViroPharma, Inc. (a) 62,617 ------------- 436,050 ------------- PROFESSIONAL SERVICES -- 2.2% 883 Exponent, Inc. 66,763 4,935 On Assignment, Inc. (a) 166,754 3,227 WageWorks, Inc. (a) 165,255 ------------- 398,772 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 934 Coresite Realty Corp. 30,299 1,784 Parkway Properties, Inc. 32,308 837 Sovran Self Storage, Inc. 64,022 ------------- 126,629 ------------- ROAD & RAIL -- 0.5% 2,068 Old Dominion Freight Line, Inc. (a) 96,989 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 1,809 Advanced Energy Industries, Inc. (a) 37,772 2,796 Cirrus Logic, Inc. (a) 62,714 7,239 Entropic Communications, Inc. (a) 30,983 7,094 Exar Corp. (a) 81,794 2,094 Monolithic Power Systems, Inc. 66,673 2,342 Power Integrations, Inc. 134,524 11,345 Sigma Designs, Inc. (a) 61,717 2,148 Synaptics, Inc. (a) 99,882 ------------- 576,059 ------------- SOFTWARE -- 5.6% 3,249 Blackbaud, Inc. 116,964 2,564 Interactive Intelligence Group, Inc. (a) 157,558 997 Manhattan Associates, Inc. (a) 106,191 3,318 Monotype Imaging Holdings, Inc. 93,634 3,332 Synchronoss Technologies, Inc. (a) 115,354 8,966 Take-Two Interactive Software, Inc. (a) 160,581 6,824 Tangoe, Inc. (a) 130,338 1,451 Tyler Technologies, Inc. (a) 140,326 ------------- 1,020,946 ------------- SPECIALTY RETAIL -- 4.7% 5,404 Brown Shoe Co., Inc. 121,266 13,193 Christopher & Banks Corp. (a) 76,124 5,171 Haverty Furniture Cos., Inc. 143,805 2,232 Lithia Motors, Inc., Class A 140,281 1,526 Lumber Liquidators Holdings, Inc. (a) 174,254 681 Monro Muffler Brake, Inc. 31,326 10,712 Zale Corp. (a) 167,429 ------------- 854,485 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.1% 5,046 Fifth & Pacific Cos., Inc. (a) 133,669 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 2,899 Movado Group, Inc. $ 135,180 1,400 Oxford Industries, Inc. 100,478 1,767 Steven Madden Ltd. (a) 64,814 2,179 Wolverine World Wide, Inc. 125,815 ------------- 559,956 ------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 2,510 BofI Holding, Inc. (a) 151,654 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 2,063 DXP Enterprises, Inc. (a) 189,590 ------------- TOTAL INVESTMENTS -- 100.0% 18,357,150 (Cost $16,158,473) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% (5) ------------- NET ASSETS -- 100.0% $ 18,357,145 ============= (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, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,321,914 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $123,237. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $18,357,150 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 6.8% 2,604 Boeing (The) Co. $ 339,822 960 Lockheed Martin Corp. 128,006 1,703 United Technologies Corp. 180,944 ------------- 648,772 ------------- AUTOMOBILES -- 5.9% 18,140 Ford Motor Co. 310,375 6,806 General Motors Co. (a) 251,482 ------------- 561,857 ------------- BIOTECHNOLOGY -- 5.3% 254 Biogen Idec, Inc. (a) 62,024 1,590 Celgene Corp. (a) 236,099 2,922 Gilead Sciences, Inc. (a) 207,433 ------------- 505,556 ------------- CAPITAL MARKETS -- 2.0% 774 Goldman Sachs Group (The), Inc. 124,505 2,271 Morgan Stanley 65,246 ------------- 189,751 ------------- CHEMICALS -- 3.9% 3,188 Dow Chemical (The) Co. 125,830 3,343 LyondellBasell Industries N.V., Class A 249,388 ------------- 375,218 ------------- COMMERCIAL BANKS -- 2.0% 2,534 PNC Financial Services Group, Inc. 186,325 ------------- COMMUNICATIONS EQUIPMENT -- 2.5% 10,453 Cisco Systems, Inc. 235,193 ------------- COMPUTERS & PERIPHERALS -- 2.8% 514 Apple, Inc. 268,488 ------------- CONSUMER FINANCE -- 1.3% 1,781 Capital One Financial Corp. 122,301 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.9% 3,552 JPMorgan Chase & Co. 183,070 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 3,619 AT&T, Inc. 131,008 ------------- ENERGY EQUIPMENT & SERVICES -- 2.8% 3,813 Halliburton Co. 202,203 693 Schlumberger Ltd. 64,948 ------------- 267,151 ------------- FOOD & STAPLES RETAILING -- 3.5% 2,157 CVS Caremark Corp. 134,295 2,275 Walgreen Co. 134,771 828 Wal-Mart Stores, Inc. 63,549 ------------- 332,615 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% 7,376 Abbott Laboratories $ 269,593 1,149 Medtronic, Inc. 65,952 ------------- 335,545 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 3,419 UnitedHealth Group, Inc. 233,381 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.4% 1,843 Las Vegas Sands Corp. 129,416 2,385 Starbucks Corp. 193,304 ------------- 322,720 ------------- INSURANCE -- 2.7% 5,034 American International Group, Inc. 260,006 ------------- INTERNET & CATALOG RETAIL -- 4.2% 392 Amazon.com, Inc. (a) 142,700 242 priceline.com, Inc. (a) 255,027 ------------- 397,727 ------------- INTERNET SOFTWARE & SERVICES -- 3.2% 6,091 Facebook, Inc., Class A (a) 306,134 ------------- IT SERVICES -- 0.7% 91 MasterCard, Inc., Class A 65,256 ------------- MACHINERY -- 0.6% 734 Caterpillar, Inc. 61,186 ------------- MEDIA -- 1.3% 1,356 Comcast Corp., Class A 64,519 732 Viacom, Inc., Class B 60,968 ------------- 125,487 ------------- MULTILINE RETAIL -- 0.6% 957 Target Corp. 62,004 ------------- OIL, GAS & CONSUMABLE FUELS -- 17.9% 1,316 Anadarko Petroleum Corp. 125,402 2,519 Chevron Corp. 302,179 4,402 ConocoPhillips 322,667 1,808 EOG Resources, Inc. 322,547 3,557 Exxon Mobil Corp. 318,778 3,272 Occidental Petroleum Corp. 314,374 ------------- 1,705,947 ------------- PHARMACEUTICALS -- 2.5% 4,864 Eli Lilly & Co. 242,325 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 13,352 Intel Corp. 326,189 ------------- SOFTWARE -- 4.0% 5,512 Microsoft Corp. 194,849 See Notes to Quarterly Portfolio of Investments FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2013 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 5,535 Oracle Corp. $ 185,423 ------------- 380,272 ------------- SPECIALTY RETAIL -- 5.4% 6,428 Lowe's Cos., Inc. 319,986 3,256 TJX (The) Cos., Inc. 197,932 ------------- 517,918 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 2,528 NIKE, Inc., Class B 191,521 ------------- TOTAL INVESTMENTS -- 99.9% 9,540,923 (Cost $8,710,738) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 8,465 ------------- NET ASSETS -- 100.0% $ 9,549,388 ============= (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, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $839,135 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,950. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of October 31, 2013 is as follows (see Note 2A - 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* $9,540,923 $ -- $ -- ===================================================== * 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, 2013. See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS STYLE FUNDS OCTOBER 31, 2013 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or Style Fund, each type having a separate report. This report covers the twelve Style Funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Style Fund are listed and traded on the NYSE Arca, Inc. First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK") 2. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION 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 1940 Act. Market quotations and prices used to value each Fund's investments are primarily obtained from third party pricing services. 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 an over-the-counter market are valued at the midpoint between the bid and the asked price, if available, and otherwise at the closing bid price. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) STYLE FUNDS OCTOBER 31, 2013 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities, 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, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index 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. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) STYLE FUNDS OCTOBER 31, 2013 (UNAUDITED) 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 each Fund's investments as of October 31, 2013, 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. C. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% 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. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. 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. ("BBH") 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, 2013, only FNX and FYX have securities in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. ADDITIONAL INFORMATION FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS OCTOBER 31, 2013 (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 Mega Cap 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 nor 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 18, 2013 -------------------- 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 18, 2013 -------------------- By: James M. Dykas ------------------------------------------ James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: December 18, 2013 --------------------