We could not find any results for:
Make sure your spelling is correct or try broadening your search.
Register to chat with like-minded investors on our interactive forums.
| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Fusion Antibodies Plc | LSE:FAB | London | Ordinary Share | GB00BDQZGK16 | ORD 4P |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1.01 | 12.24% | 9.26 | 9.00 | 9.50 | 9.25 | 8.25 | 8.25 | 2,761,961 | 16:40:48 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| Pharmaceutical Preparations | 1.14M | -2.23M | -0.0233 | -3.97 | 7.87M |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Exact name of registrant as specified in charter)
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
EXPLANATORY NOTE: The Registrant is filing this amendment to its Form N-CSR for the period ended July 31, 2012, originally filed with the Securities and Exchange Commission on October 4, 2012 (Accession Number 0001445546-12-004333). The sole purpose of this amendment is to include as an attachment the Code of Ethics referenced in Item 2. The Code of Ethics was inadvertently omitted from the original filing.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
FIRST TRUST
First Trust Exchange-Traded AlphaDEX(R) Fund
Annual Report July 31, 2012
AlphaDEX(R) Sector Funds
First Trust Consumer Discretionary AlphaDEX(R) Fund
First Trust Consumer Staples AlphaDEX(R) Fund
First Trust Energy AlphaDEX(R) Fund
First Trust Financials AlphaDEX(R) Fund
First Trust Health Care AlphaDEX(R) Fund
First Trust Industrials/Producer Durables AlphaDEX(R) Fund
First Trust Materials AlphaDEX(R) Fund
First Trust Technology AlphaDEX(R) Fund
First Trust Utilities AlphaDEX(R) Fund
AlphaDEX(R)
FAMILY OF ETFS
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
Shareholder Letter............................................................ 2
Market Overview............................................................... 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund..................... 4
First Trust Consumer Staples AlphaDEX(R) Fund........................... 6
First Trust Energy AlphaDEX(R) Fund..................................... 8
First Trust Financials AlphaDEX(R) Fund.................................10
First Trust Health Care AlphaDEX(R) Fund................................12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund..............14
First Trust Materials AlphaDEX(R) Fund..................................16
First Trust Technology AlphaDEX(R) Fund.................................18
First Trust Utilities AlphaDEX(R) Fund..................................20
Notes to Fund Performance Overview............................................22
Understanding Your Fund Expenses..............................................23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund.....................25
First Trust Consumer Staples AlphaDEX(R) Fund...........................28
First Trust Energy AlphaDEX(R) Fund.....................................29
First Trust Financials AlphaDEX(R) Fund.................................30
First Trust Health Care AlphaDEX(R) Fund................................33
First Trust Industrials/Producer Durables AlphaDEX(R) Fund..............35
First Trust Materials AlphaDEX(R) Fund..................................37
First Trust Technology AlphaDEX(R) Fund.................................39
First Trust Utilities AlphaDEX(R) Fund..................................41
Statements of Assets and Liabilities..........................................44
Statements of Operations......................................................46
Statements of Changes in Net Assets...........................................48
Financial Highlights..........................................................52
Notes to Financial Statements.................................................57
Report of Independent Registered Public Accounting Firm ......................66
Additional Information .......................................................67
Board of Trustees and Officers ...............................................70
Risk Considerations...........................................................72
Privacy Policy................................................................75
|
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary by Robert F. Carey, Chief Market Strategist, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2012
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First Trust Exchange-Traded AlphaDEX(R) Fund.
The report you hold contains detailed information about the Sector Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund over the twelve months ended July 31, 2012. It contains a market overview and a performance analysis for the period. I encourage you to read this document and discuss it with your financial advisor. A successful investor is also typically a knowledgeable one, as we have found to be the case at First Trust.
First Trust remains committed to being a long-term investor and investment manager and to bringing you quality financial solutions regardless of market ups and downs. We have always believed, as I have written previously, that there are two ways to attain success in reaching your financial goals: staying invested in quality products and having a long-term investment horizon. We are committed to this approach in the products we manage or supervise and offer to investors.
As you know, First Trust offers a variety of products that we believe could fit many financial plans to help investors seeking long-term investment success. We encourage you to talk to your advisor about the other investments First Trust offers that might also fit your financial goals and to discuss those goals with your advisor regularly so that he or she can help keep you on track.
First Trust will continue to make available up-to-date information about your investments so you and your financial advisor are current on any First Trust investments you own. We value our relationship with you, and thank you for the opportunity to assist you in achieving your financial goals. I look forward to the remainder of 2012 and to the next edition of your Fund's report.
Sincerely,
/s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund and Chief Executive Officer of First Trust Advisors L.P. |
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2012
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 23 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
The U.S., while clearly not hitting on all cylinders, is one of the most attractive markets for investors to consider committing capital to, in our opinion. Interest rate levels are near their historic lows in some instances, inflation has declined from 3.6% in July 2011 to 1.4% in July 2012, corporate profits are still relatively strong but expected to strengthen, and, aside from the high unemployment rate, the U.S. economy is performing better than most people realize. The U.S. gross domestic product (GDP) growth rate was 2.3% over the past four quarters (through June 2012). That is actually higher than the 1.7% GDP growth rate for the 10-year period ended June 2012. The Blue Chip Economic Indicators survey of 50 leading economists in early August revealed a 2013 U.S. Gross Domestic Product (GDP) forecast of 2.5%.
Data compiled by the Rockefeller Institute shows that total state tax collections rose 4.7% (year-over-year) in Q1'12, the ninth consecutive quarter in which revenues were up, according to its own release. Eleven states reported double-digit growth. Overall state tax revenues are now above peak levels attained several months into the recession. With respect to the banking industry, data from the Federal Deposit Insurance Corporation (FDIC) revealed that U.S. banks saw their earnings rise 21% (year-over-year) in Q2'12. Industry profits increased for the 12th consecutive quarter, with 89% of banks posting gains.
There are other indications that the economy has taken a turn for the better. The U.S. consumer credit default rate is currently at its lowest point since late 2006, according to the S&P/Experian Consumer Credit Default Composite Index. The default rate stood at 1.5% in July 2012, below the 2.0% level it registered in August 2007, which was just before the start of the financial crisis. The BGOV (Bloomberg Government) Barometer shows that household debt as a percentage of GDP has declined to 83.5%, the lowest level since 2004, and significantly below the all-time high of 97.7% reached during the financial crisis, according to Bloomberg. Zillow Inc. announced that home values posted their first year-over-year increase since 2007 in Q2'12, according to Bloomberg. Residential property values rose 0.2% from Q2'11. Home values rose four consecutive months through June.
U.S. STOCKS AND BONDS
All of the major U.S. stock indices posted gains for the 12-month period ended July 31, 2012. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were up 9.1%, 1.2%, and 4.0%, respectively, according to Bloomberg. We could be witnessing a changing of the guard in the market with respect to leadership. Large-cap stocks had lagged mid- and small-caps for the past 3, 5, 10, 15 and 20-year periods (as of 6/30/12), according to Bloomberg. Eight of the 10 major sectors in the S&P 500 posted gains over the past 12 months. The top performing sector was Telecommunication Services, up 30.5%, while the weakest showing came from Materials, down 5.2%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected to be 5.4% in 2012 and 13.4% in 2013, according to Standard & Poor's.
The current bull market has lasted 1,240 days (as of 7/31/12). It is the ninth longest on record, according to Bespoke Investment Group. The longest bull market on record lasted 4,494 days (12/4/87-3/24/00). The S&P 500's price-only return from 3/9/09-7/31/12 was 103.9%, also the ninth best on record. The aforementioned longest rally also posted the best return at 582.1%. In the 25 bull markets prior to this one, the average length was 890 days with an average price-only return of 101.6%.
In the U.S. bond market, all of the domestic categories performed well. The onset of economic weakness in Europe, stemming from its ongoing debt crisis, the tempering of growth in China and the drop in inflation in the U.S. and abroad, helped fuel a rally in bonds. The yield on the benchmark 10-Year T-Note fell 133 basis points from 2.80% on 7/29/11 to 1.47% on 7/31/12. Its yield actually hit an all-time low of 1.39% on 7/24/12. Despite concerns from a small number of influential pundits warning there could be a potential spike in the default rate for municipalities (never materialized), the top performing major group by far was tax-free debt. The Barclays Capital Municipal Bond: Long Bond (22+) Index posted a total return of 16.8%. The next closest domestic category was high yield corporate bonds, up 8.1%, as measured by the Barclays Capital U.S. Corporate High Yield Index. Treasuries, while posting a positive return, had the weakest showing of the major categories, up 4.6%, as measured by the Barclays Capital U.S. Treasury: Intermediate Index.
FOREIGN STOCKS AND BONDS
Since the biggest and most pressing concern overseas has been the debt crisis in the European Union, which is comprised of developed nations, investors appeared to be more comfortable with investing in emerging markets debt. The Barclays Capital Global Emerging Markets Index of debt securities rose 8.5% (USD), while the Barclays Capital Global Aggregate Index of higher quality debt returned 1.8% (USD), according to Barclays Capital. Due to the slowing of economic activity abroad, investors did not appear to be enthusiastic about foreign equities in general. The MSCI Emerging Markets Index of stocks declined by 13.9% (USD), while the MSCI World Index (excluding the U.S.) of stocks from developed countries fell 11.6% (USD). The U.S. dollar appreciated 11.8% against a basket of major currencies, as measured by the Dollar Index (DXY).
FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index designed by NYSE Euronext or its affiliates ("NYSE Euronext"), to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -3.06% 2.38% 1.10% 12.50% 5.92%
Market Price -3.16% 2.35% 1.09% 12.32% 5.81%
INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary Index -2.45% 3.15% 1.88% 16.78% 10.23%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Consumer Discretionary Index 11.90% 5.12% 3.70% 23.38% 20.91%
Russell 1000(R) Consumer Discretionary Index(1) 12.52% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
FXD's one-year net asset value ("NAV") return of -3.06% underperformed the
benchmark S&P 500(R) Consumer Discretionary Index return of +11.90% by -14.96%.
A major cause of the Fund's underperformance was being underweight in large
companies that performed well. For example, Home Depot, Inc. (+53.5% one-year
return), Comcast Corp. (+38.4%), and Walt Disney Co. (+29.4%) combined for an
average weight of 2.3% in the Fund, versus a 16.5% average weight in the
benchmark. The three companies contributed +1.0% to the Fund's total return and
+5.9% to the benchmark's performance. The Fund's relative performance was also
hindered by being overweight in the Diversified Consumer Services industry
relative to the benchmark (3.9% vs. 0.9% average weight). For-profit education
companies Education Management Corp. (-83.1% annual return), Career Education
Corp. (-79.2%), and DeVry, Inc. (-68.1%) caused the industry to have extremely
weak performance for the year covered by this report. In total, the Diversified
Consumer Services industry caused -3.7% of the Fund's underperformance.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 93.41%
Consumer Staples 3.18
Industrials 1.94
Information Technology 1.47
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Jarden Corp. 1.49%
Ross Stores, Inc. 1.48
TRW Automotive Holdings Corp. 1.48
Wal-Mart Stores, Inc. 1.48
American Eagle Outfitters, Inc. 1.47
LKQ Corp. 1.47
eBay, Inc. 1.46
TJX (The) Cos., Inc. 1.43
Amazon.com, Inc. 1.42
Dillard's, Inc., Class A 1.42
-------
Total 14.60%
=======
-------------------
|
(1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Discretionary Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund.
FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Consumer StrataQuant(R) S&P 500(R)
Discretionary Consumer Discretionary Russell 1000(R) Consumer Discretionary
AlphaDEX(R) Fund Index Index Index
5/8/07 10000 10000 10000 10000
7/31/07 9415 9439 9674 9418
1/31/08 8296 8349 9261 8326
7/31/08 7133 7194 8647 7355
1/31/09 4347 4406 5911 5679
7/31/09 6482 6601 6903 6667
1/31/10 7427 7592 7611 7697
7/31/10 8108 8319 7904 8410
1/31/11 9984 10281 9387 10051
7/31/11 10925 11302 9539 10806
1/31/12 10699 11120 9757 11372
7/31/12 10591 11024 10298 12091
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 134 7 0 0
8/1/08 - 7/31/09 112 5 4 1
8/1/09 - 7/31/10 175 0 0 0
8/1/10 - 7/31/11 224 0 0 0
8/1/11 - 7/31/12 130 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 104 3 2 0
8/1/08 - 7/31/09 124 9 0 0
8/1/09 - 7/31/10 76 0 0 0
8/1/10 - 7/31/11 28 0 0 0
8/1/11 - 7/31/12 123 0 0 0
|
FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -3.03% 5.44% 4.29% 30.35% 24.55%
Market Price -3.11% 5.42% 4.26% 30.18% 24.38%
INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index -1.97% 6.29% 5.13% 35.68% 29.89%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Consumer Staples Index 19.67% 9.44% 8.48% 57.02% 53.05%
Russell 1000(R) Consumer Staples Index(1) 16.67% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
FXG's one-year NAV return of -3.03% underperformed the benchmark S&P 500(R) Consumer Staples Index return of +19.67% by -22.70%. A major cause of the Fund's underperformance was being underweight in large companies that performed well. The five leading contributors to the benchmark's return were Wal-Mart Stores, Inc. (+45.1% one-year return), Philip Morris International, Inc. (+33.7%), Coca-Cola Co. (+22.2%), Altria Group (+44.5%), and Proctor & Gamble Co. (+8.5%). In total, these companies comprised 48.9% of the benchmark's average weight and contributed +12.6% to the benchmark's total return. The same companies comprised 5.4% of the Fund's average weight and contributed +1.6% to the Fund's total return. The Fund's position in Green Mountain Coffee Roasters, Inc. was another contributor to underperformance. While the company was in the Fund during the year covered by this report, the company returned -66.9% and contributed -4.6% to the Fund's total return. Green Mountain Coffee Roasters, Inc. was not in the benchmark.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Staples 95.16%
Consumer Discretionary 4.84%
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
GNC Holdings, Inc., Class A 4.84%
Walgreen Co. 4.84
CVS Caremark Corp. 4.77
Whole Foods Market, Inc. 4.74
Monster Beverage Corp. 4.60
Smithfield Foods, Inc. 4.21
Bunge Ltd. 4.13
Green Mountain Coffee Roasters, Inc. 4.13
Church & Dwight Co., Inc. 4.09
Molson Coors Brewing Co., Class B 4.01
-------
Total 44.36%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Staples Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund.
FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer
AlphaDEX(R) Fund Staples Index Index Staples Index
5/8/07 10000 10000 10000 10000
7/31/07 9555 9574 9674 9747
1/31/08 8917 8971 9261 10285
7/31/08 9091 9180 8647 10386
1/31/09 7142 7224 5646 8404
7/31/09 8442 8577 6903 9587
1/31/10 9133 9311 7611 10426
7/31/10 9790 10017 7904 10865
1/31/11 10958 11264 9387 11840
7/31/11 12844 13250 9539 12790
1/31/12 12410 12853 9757 13505
7/31/12 12455 12989 10298 15305
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 142 8 0 1
8/1/08 - 7/31/09 106 8 8 5
8/1/09 - 7/31/10 167 0 0 0
8/1/10 - 7/31/11 194 0 0 0
8/1/11 - 7/31/12 158 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 93 6 0 0
8/1/08 - 7/31/09 119 7 2 0
8/1/09 - 7/31/10 84 0 0 0
8/1/10 - 7/31/11 58 0 0 0
8/1/11 - 7/31/12 94 1 0 0
|
FXN - FIRST TRUST ENERGY ALPHADEX(R) FUND
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN."
The Energy Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmarks. NYSE Euronext constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -21.50% -1.78% -1.02% -8.60% -5.22%
Market Price -21.61% -1.80% -1.03% -8.70% -5.27%
INDEX PERFORMANCE
StrataQuant(R) Energy Index -20.90% -1.08% -0.32% -5.30% -1.64%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Energy Index -5.03% 1.60% 2.93% 8.26% 16.31%
Russell 1000(R) Energy Index(1) -6.66% NA NA NA NA
|
(See Notes to Fund Performance Overview on page 22.)
FXN's one-year NAV return of -21.50% underperformed the benchmark S&P 500(R) Energy Index return of -5.03% by -16.47%. In general, the Energy sector had weak performance during the year covered by this report due to global economic uncertainty. Despite the sector's weak performance, oil and gas behemoths Exxon Mobil Corp. (+11.6% one-year return) and Chevron Corp. (+8.8%) had solid returns. Underweighting the two companies were the primary cause of the Fund's underperformance relative to the benchmark as they comprised 43.3% of the benchmark's average weight and contributed +5.4% to the benchmark's performance. In comparison, Exxon and Chevron combined to comprise 5.4% of the Fund's average weight and contributed +0.5% to the Fund's total return.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Energy 99.10%
Materials 0.90%
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Unit Corp. 3.45%
Helmerich & Payne, Inc. 3.43
Patterson-UTI Energy, Inc. 3.41
HollyFrontier Corp. 3.38
Newfield Exploration Co. 3.34
Chevron Corp. 3.33
Cimarex Energy Co. 3.29
Sunoco, Inc. 3.25
Apache Corp. 3.14
ConocoPhillips 3.12
-------
Total 33.14%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008.
The StrataQuant(R) Energy Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund.
FXN - FIRST TRUST ENERGY ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Energy StrataQuant(R)
AlphaDEX(R) Fund Energy Index Russell 1000(R) Index S&P 500(R) Energy Index
5/8/07 10000 10000 10000 10000
7/31/07 10370 10387 9674 10743
1/31/08 10594 10638 9261 10891
7/31/08 11990 12080 8647 11455
1/31/09 4831 4864 6047 7332
7/31/09 6865 6965 6903 8138
1/31/10 8005 8153 7611 8656
7/31/10 8119 8301 7904 8601
1/31/11 11422 11720 9387 11719
7/31/11 12073 12437 9539 12248
1/31/12 10110 10453 9757 11606
7/31/12 9477 9838 10298 11633
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 111 4 4 0
8/1/08 - 7/31/09 116 9 10 2
8/1/09 - 7/31/10 162 1 0 0
8/1/10 - 7/31/11 190 0 0 0
8/1/11 - 7/31/12 156 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 124 7 0 0
8/1/08 - 7/31/09 108 5 4 1
8/1/09 - 7/31/10 86 2 0 0
8/1/10 - 7/31/11 62 0 0 0
8/1/11 - 7/31/12 96 1 0 0
|
FXO - FIRST TRUST FINANCIALS ALPHADEX(R) FUND
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 4.57% -2.47% -4.40% -11.74% -20.96%
Market Price 4.65% -2.49% -4.40% -11.84% -20.97%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 5.43% -1.56% -3.49% -7.56% -16.94%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Financials Index 1.11% -13.17% -14.58% -50.64% -56.15%
Russell 1000(R) Financial Index(1) 3.78% NA NA NA NA
|
(See Notes to Fund Performance Overview on page 22.)
FXO's one-year NAV return of +4.57% outperformed the benchmark S&P 500(R) Financials Index return of +1.11% by +3.46%. Performance of Financial stocks was mixed for the year covered by this report with Consumer Finance companies posting strong returns, while larger diversified financial companies had poor performance. The Fund's outperformance came from being underweight in a handful of large financial institutions. Citigroup, Inc. (-29.2% one-year return), Bank of America Corp. (-24.0%), Goldman Sachs Group, Inc. (-24.1%), JPMorgan Chase & Co. (-8.3%), and Morgan Stanley (-37.9%) were the largest detractors from the benchmark's performance. The five companies comprised an average of 23.0% of the benchmark's weight and contributed -7.1% to the benchmark's annual performance. The same five banks combined to comprise 4.0% of the Fund's average weight and contributed -0.5% to the Fund's total return. The Consumer Finance industry was a bright spot in the Fund as the Fund's holdings in the industry returned +25.7% for the year. Discover Financial Services and Capital One Financial Corp. led the Fund's holdings in the industry, with one-year returns of +42.2% and +18.7%, respectively.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 90.17%
Information Technology 8.55
Industrials 1.28
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Extra Space Storage, Inc. 1.13%
HCP, Inc. 1.12
Reinsurance Group of America, Inc. 1.10
Visa, Inc., Class A 1.10
American Tower Corp. 1.09
Assurant, Inc. 1.09
KeyCorp 1.08
Alleghany Corp. 1.07
Leucadia National Corp. 1.07
MasterCard, Inc., Class A 1.07
-------
Total 10.92%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Financials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund.
FXO - FIRST TRUST FINANCIALS ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Financials StrataQuant(R) S&P 500(R)
AlphaDEX(R) Fund Financials Index Russell 1000(R) Index Financials Index
5/8/07 10000 10000 10000 10000
7/31/07 8955 8986 9674 8883
1/31/08 7939 8017 9261 7875
7/31/08 6363 6450 8647 5950
1/31/09 3908 3976 5646 3444
7/31/09 5412 5550 6903 3713
1/31/10 6429 6618 7611 4081
7/31/10 6856 7086 7904 4253
1/31/11 7898 8199 9387 4772
7/31/11 7558 7878 9539 4336
1/31/12 7621 7979 9757 4162
7/31/12 7904 8307 10298 4385
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 117 4 4 1
8/1/08 - 7/31/09 127 11 4 6
8/1/09 - 7/31/10 175 0 0 0
8/1/10 - 7/31/11 164 0 0 0
8/1/11 - 7/31/12 151 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 112 10 2 0
8/1/08 - 7/31/09 99 3 4 1
8/1/09 - 7/31/10 76 0 0 0
8/1/10 - 7/31/11 88 0 0 0
8/1/11 - 7/31/12 102 0 0 0
|
FXH - FIRST TRUST HEALTH CARE ALPHADEX(R) FUND
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Health Care Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 5.17% 9.08% 8.12% 54.43% 50.41%
Market Price 5.10% 9.05% 8.11% 54.22% 50.36%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 5.83% 9.92% 8.97% 60.47% 56.69%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Health Care Index 15.42% 4.88% 3.06% 26.92% 17.05%
Russell 1000(R) Health Care Index(1) 15.19% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXH's one-year NAV return of +5.17% underperformed the benchmark S&P 500(R) Health Care Index return of +15.42% by -10.25%. A major cause of the Fund's underperformance was being underweight in large pharmaceutical companies that performed well. Pfizer, Inc. (+30.1% annual return), Merck & Co., Inc. (+35.5%), Abbott Laboratories (+33.7%), Amgen, Inc. (+54.2%), and Johnson & Johnson (+10.8%) were the leading contributors to the benchmark's performance. The five companies combined had an average weight in the benchmark of 43.4% and contributed +11.7% to the benchmark's performance. The same companies combined for an average weight of 5.1% in the Fund and contributed +1.6% to the Fund's total return.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Health Care 100.00%
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Lincare Holdings, Inc. 2.95%
Onyx Pharmaceuticals, Inc. 2.74
Medivation, Inc. 2.65
Alexion Pharmaceuticals, Inc. 2.56
Coventry Health Care, Inc. 2.55
Watson Pharmaceuticals, Inc. 2.55
DaVita, Inc. 2.43
McKesson Corp. 2.35
Forest Laboratories, Inc. 2.33
Henry Schein, Inc. 2.31
-------
Total 25.42%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Health Care Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund.
FXH - FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Health Care StrataQuant(R) S&P 500(R)
AlphaDEX(R) Fund (FXH) Health Care Index Russell 1000(R) Index Health Care Index
5/8/07 10000 10000 10000 10000
7/31/07 9740 9764 9674 9222
1/31/08 9645 9702 9261 9269
7/31/08 9465 9573 8647 8940
1/31/09 7330 7443 5646 7696
7/31/09 8830 9001 6903 7974
1/31/10 10750 10993 7611 9042
7/31/10 10780 11068 7904 8318
1/31/11 13190 13601 9387 9306
7/31/11 14302 14805 9539 10142
1/31/12 14342 14909 9757 10762
7/31/12 15042 15667 10298 11706
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 133 7 2 0
8/1/08 - 7/31/09 118 6 7 2
8/1/09 - 7/31/10 161 0 0 0
8/1/10 - 7/31/11 203 0 0 0
8/1/11 - 7/31/12 135 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 93 15 0 0
8/1/08 - 7/31/09 116 5 1 0
8/1/09 - 7/31/10 90 0 0 0
8/1/10 - 7/31/11 49 0 0 0
8/1/11 - 7/31/12 118 0 0 0
|
FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -0.72% -0.55% -1.63% -2.73% -8.23%
Market Price -0.55% -0.60% -1.63% -2.98% -8.22%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index 0.10% 0.20% -0.87% 0.99% -4.49%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Industrials Index 6.64% -0.28% 0.48% -1.39% 2.56%
Russell 1000(R) Producer Durables Index(1) 5.39% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXR's one-year NAV return of -0.72% underperformed the benchmark S&P 500(R) Industrials Index return of +6.64% by -7.36%. A major cause of the Fund's underperformance was being underweight in large companies that performed well. General Electric Co. had an average weight in the Fund of 0.5% versus 15.3% in the benchmark. For the year covered by the report, the company returned +20.1%. As a result, General Electric Co. contributed +0.1% to the Fund's total return and +3.0% to the benchmark's performance. Union Pacific Corp. (+22.3% one-year return) and United Parcel Service, Inc. (+12.6%) also caused Fund underperformance by being overweight in the benchmark. The two companies combined to have an average Fund weight of 1.1% versus 9.8% of the benchmark's weight. In terms of contribution to return, the two companies contributed -1.7% to the Fund's underperformance.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 91.00%
Information Technology 8.33
Energy 0.67
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Kennametal, Inc. 1.88%
GrafTech International Ltd. 1.83
Gardner Denver, Inc. 1.82
KBR, Inc. 1.79
Northrop Grumman Corp. 1.75
IHS, Inc., Class A 1.73
Toro (The) Co. 1.73
L-3 Communications Holdings, Inc. 1.68
AECOM Technology Corp. 1.66
Spirit AeroSystems Holdings, Inc., Class A 1.66
-------
Total 17.53%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Industrials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund.
FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Industrials/Producer StrataQuant(R) S&P 500(R)
Durables AlphaDEX(R) Fund Industrials Index Russell 1000(R) Index Industrials Index
5/8/07 10000 10000 10000 10000
7/31/07 9435 9457 9674 10400
1/31/08 8770 8820 9261 9935
7/31/08 8792 8874 8647 9138
1/31/09 4967 5030 5646 5934
7/31/09 6081 6182 6903 6422
1/31/10 7233 7384 7611 7464
7/31/10 7854 8048 7904 8263
1/31/11 9675 9954 9387 9982
7/31/11 9243 9542 9539 9618
1/31/12 9549 9904 9757 10177
7/31/12 9177 9552 10298 10257
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 121 4 3 0
8/1/08 - 7/31/09 115 3 6 0
8/1/09 - 7/31/10 163 0 0 0
8/1/10 - 7/31/11 210 0 0 0
8/1/11 - 7/31/12 111 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 115 6 1 0
8/1/08 - 7/31/09 122 6 3 0
8/1/09 - 7/31/10 88 0 0 0
8/1/10 - 7/31/11 42 0 0 0
8/1/11 - 7/31/12 142 0 0 0
|
FXZ - FIRST TRUST MATERIALS ALPHADEX(R) FUND
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -4.78% 3.81% 3.81% 20.57% 21.59%
Market Price -4.94% 3.79% 3.79% 20.46% 21.48%
INDEX PERFORMANCE
StrataQuant(R) Materials Index -3.91% 4.62% 4.62% 25.35% 26.65%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Materials Index -5.20% 0.13% 0.04% 0.65% 0.21%
Russell 1000(R) Materials and Processing Index(1) -3.83% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
FXZ's one-year NAV return of -4.78% outperformed the benchmark S&P 500(R) Materials Index return of -5.20% by +0.42%. Performance in the Fund was relatively flat except for the Metals & Mining industry. Metals & Mining companies in the Fund had a one-year return of -25.9% and contributed -4.5% to the Fund's total return. Cliffs Natural Resources, Inc. was the largest detractor from the Fund's total return. During the time it was held in the Fund for the year covered by this report, Cliffs Natural Resources, Inc. returned -60.1% and contributed -1.5% to the Fund's total return. Though the Metals & Mining industry hurt the Fund's absolute performance, the Fund gained +4.3% in relative performance to the benchmark by being underweight in the industry. Much of the Fund's outperformance in the industry came from having almost no weight invested in Freeport-McMoRan Copper & Gold, Inc., which had a one-year return of -34.4% and an average weight in the benchmark of 9.0%. The Fund lost -2.3% of relative performance by being underweight Monsanto Co. relative to the benchmark. The chemical company had a one-year return of +18.4% and an average weight of 0.9% in the Fund versus an average weight of 9.8% in the benchmark.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Materials 87.87%
Industrials 12.13
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Kronos Worldwide, Inc. 3.25%
NewMarket Corp. 3.22
PPG Industries, Inc. 3.13
Valmont Industries, Inc. 3.11
Sherwin-Williams (The) Co. 3.08
CF Industries Holdings, Inc. 3.07
Domtar Corp. 2.92
Ecolab, Inc. 2.90
Valspar (The) Corp. 2.90
Lennox International, Inc. 2.84
-------
Total 30.42%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Materials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund.
FXZ - FIRST TRUST MATERIALS ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Materials StrataQuant(R) S&P 500(R)
AlphaDEX(R) Fund Materials Index Russell 1000(R) Index Materials Index
5/8/07 10000 10000 10000 10000
7/31/07 10085 10104 9674 9956
1/31/08 10310 10362 9261 10271
7/31/08 11037 11128 8647 10387
1/31/09 5255 5323 5646 5394
7/31/09 7814 7950 6903 7499
1/31/10 9265 9468 7611 7890
7/31/10 10371 10617 7904 8450
1/31/11 12736 13090 9387 10544
7/31/11 12769 13180 9539 10572
1/31/12 12616 13091 9757 10586
7/31/12 12159 12665 10298 10021
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 132 3 5 0
8/1/08 - 7/31/09 104 8 3 1
8/1/09 - 7/31/10 172 0 0 0
8/1/10 - 7/31/11 200 0 0 0
8/1/11 - 7/31/12 119 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 98 10 2 0
8/1/08 - 7/31/09 131 8 0 0
8/1/09 - 7/31/10 79 0 0 0
8/1/10 - 7/31/11 52 0 0 0
8/1/11 - 7/31/12 134 0 0 0
|
FXL - FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -3.80% 0.50% 0.92% 2.52% 4.93%
Market Price -3.85% 0.51% 0.92% 2.57% 4.88%
INDEX PERFORMANCE
StrataQuant(R) Technology Index -3.02% 1.40% 1.82% 7.17% 9.87%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Information Technology Index 13.05% 4.88% 4.98% 26.93% 28.96%
Russell 1000(R) Technology Index(1) 10.54% NA NA NA NA
|
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXL's one-year NAV return of -3.80% underperformed the benchmark S&P 500(R) Information Technology Index return of +13.05% by -16.85%. The Fund's underperformance was caused by strong performance from large technology companies, which the Fund held at a much lower weight than the benchmark. The benchmark's three largest constituents were Apple, Inc. (+56.4% one-year return), International Business Machines Corp. (+9.6%), and Microsoft Corp. (+10.5%). In total, these companies combined for an average benchmark weight of 38.2% and contributed +10.8% to the benchmark's performance. In comparison, the same companies combined to have an average Fund weight of 3.1% and contributed +1.0% to the Fund's total return.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 97.22%
Telecommunication Services 2.78
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Western Digital Corp. 2.54%
Solarwinds, Inc. 2.39
AOL, Inc. 2.21
SanDisk Corp. 2.20
Apple, Inc. 2.04
Teradyne, Inc. 2.04
Vishay Intertechnology, Inc. 2.04
Arrow Electronics, Inc. 2.00
NCR Corp. 2.00
Avnet, Inc. 1.99
-------
Total 21.45%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Technology Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund.
FXL - FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Technology StrataQuant(R) S&P 500(R) Information
AlphaDEX(R) Fund Technology Index Russell 1000(R) Index Technology Index
5/8/07 10000 10000 10000 10000
7/31/07 10235 10252 9674 10160
1/31/08 9030 9078 9261 9501
7/31/08 8815 8895 8647 9320
1/31/09 5205 5295 5646 6101
7/31/09 7236 7397 6903 8416
1/31/10 8246 8457 7611 9142
7/31/10 9060 9330 7904 9570
1/31/11 11868 12273 9387 11466
7/31/11 10908 11328 9539 11407
1/31/12 11048 11523 9757 12125
7/31/12 10493 10986 10298 12896
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 130 4 4 0
8/1/08 - 7/31/09 111 2 11 1
8/1/09 - 7/31/10 163 0 0 0
8/1/10 - 7/31/11 197 0 0 0
8/1/11 - 7/31/12 161 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 107 4 1 0
8/1/08 - 7/31/09 119 10 0 1
8/1/09 - 7/31/10 87 1 0 0
8/1/10 - 7/31/11 55 0 0 0
8/1/11 - 7/31/12 92 0 0 0
|
FXU - FIRST TRUST UTILITIES ALPHADEX(R) FUND
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 6.65% 3.20% 1.40% 17.07% 7.53%
Market Price 6.65% 3.20% 1.40% 17.06% 7.52%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 7.55% 4.08% 2.27% 22.15% 12.44%
Russell 1000(R) Index 7.96% 1.26% 0.56% 6.45% 2.98%
S&P 500(R) Utilities Index 19.29% 4.24% 2.05% 23.07% 11.18%
Russell 1000(R) Utilities Index(1) 21.15% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 22.)
FXU's one-year NAV return of +6.65% underperformed the benchmark S&P 500(R) Utilities Index return of +19.29% by -12.64%. Much of the Fund's underperformance came from companies that were not held in the benchmark because they are classified by GICS(R) as being from the Telecommunication Services sector. The Fund had an average weight in the sector of 23.4% and the Fund's holdings in the sector returned -23.8%, resulting in -10.5% of Fund underperformance.
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Utilities 63.88%
Telecommunication Services 32.10
Energy 4.02
-------
Total 100.00%
=======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
MetroPCS Communications, Inc. 5.13%
NRG Energy, Inc. 4.05
Telephone & Data Systems, Inc. 4.03
Energen Corp. 4.02
United States Cellular Corp. 3.77
Frontier Communications Corp. 3.63
Verizon Communications, Inc. 3.60
tw telecom, Inc. 3.47
Entergy Corp. 3.04
American Electric Power Co., Inc. 3.00
-------
Total 37.74%
=======
-------------------
|
(1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS.
The StrataQuant(R) Utilities Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund.
FXU - FIRST TRUST UTILITIES ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Utilities StrataQuant(R) S&P 500(R)
AlphaDEX(R) Fund Utilities Index Russell 1000(R) Index Utilities Index
5/8/07 10000 10000 10000 10000
7/31/07 9185 9205 9674 9034
1/31/08 8789 8856 9261 9588
7/31/08 8506 8601 8647 9394
1/31/09 6660 6760 5646 7262
7/31/09 7440 7593 6903 7463
1/31/10 8033 8229 7611 7777
7/31/10 8616 8863 7904 8170
1/31/11 9597 9912 9387 8727
7/31/11 10083 10456 9539 9322
1/31/12 10008 10420 9757 9970
7/31/12 10753 11245 10298 11120
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 140 5 1 1
8/1/08 - 7/31/09 110 9 5 1
8/1/09 - 7/31/10 165 0 0 0
8/1/10 - 7/31/11 220 0 0 0
8/1/11 - 7/31/12 157 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 96 5 2 0
8/1/08 - 7/31/09 125 4 1 0
8/1/09 - 7/31/10 85 1 0 0
8/1/10 - 7/31/11 32 0 0 0
8/1/11 - 7/31/12 96 0 0 0
|
Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2012 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2012.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2012 JULY 31, 2012 PERIOD (a) PERIOD (b)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
Actual $1,000.00 $ 989.90 0.70% $3.46
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND
Actual $1,000.00 $1,003.60 0.70% $3.49
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST ENERGY ALPHADEX(R) FUND
Actual $1,000.00 $ 937.40 0.70% $3.37
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
Actual $1,000.00 $1,037.10 0.70% $3.55
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND
Actual $1,000.00 $1,048.80 0.70% $3.57
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2012 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2012 JULY 31, 2012 PERIOD (a) PERIOD (b)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
Actual $1,000.00 $ 961.00 0.70% $3.41
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MATERIALS ALPHADEX(R) FUND
Actual $1,000.00 $ 963.80 0.70% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
Actual $1,000.00 $949.80 0.70% $3.39
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST UTILITIES ALPHADEX(R) FUND
Actual $1,000.00 $1,074.40 0.70% $3.61
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
|
(a) These expense ratios reflect expense caps.
(b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2012 through July 31, 2012), multiplied by 182/366 (to reflect the one-half year period).
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
95,937 Goodyear Tire & Rubber
(The) Co. (a) $ 1,098,479
127,775 Johnson Controls, Inc. 3,149,654
156,407 Lear Corp. 5,560,269
160,534 TRW Automotive Holdings
Corp. (a) 6,308,986
30,215 Visteon Corp. (a) 979,872
-------------
17,097,260
-------------
AUTOMOBILES -- 4.1%
615,373 Ford Motor Co. 5,686,047
299,255 General Motors Co. (a) 5,898,316
49,549 Harley-Davidson, Inc. 2,142,003
129,180 Thor Industries, Inc. 3,711,341
-------------
17,437,707
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
65,918 KAR Auction Services, Inc. (a) 1,055,347
-------------
DISTRIBUTORS -- 2.0%
37,609 Genuine Parts Co. 2,408,104
176,684 LKQ Corp. (a) 6,242,246
-------------
8,650,350
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.4%
190,555 DeVry, Inc. 3,740,595
70,910 H&R Block, Inc. 1,143,778
91,602 Service Corp. International 1,177,086
-------------
6,061,459
-------------
FOOD & STAPLES RETAILING -- 2.9%
62,121 Costco Wholesale Corp. 5,974,798
84,651 Wal-Mart Stores, Inc. 6,300,574
-------------
12,275,372
-------------
HOTELS, RESTAURANTS & LEISURE
-- 11.2%
75,891 Bally Technologies, Inc. (a) 3,317,196
142,211 Brinker International, Inc. 4,609,058
103,314 Carnival Corp. 3,438,290
5,971 Chipotle Mexican Grill, Inc. (a) 1,745,502
56,754 Choice Hotels International, Inc. 2,274,700
44,761 Darden Restaurants, Inc. 2,290,868
71,936 International Game Technology 814,316
90,330 Marriott International, Inc.,
Class A 3,289,819
528,801 MGM Resorts International (a) 5,034,186
8,119 Panera Bread Co., Class A (a) 1,278,661
101,639 Penn National Gaming, Inc. (a) 3,955,790
174,109 Royal Caribbean Cruises Ltd. 4,349,243
42,495 Starbucks Corp. 1,924,174
21,356 Starwood Hotels & Resorts
Worldwide, Inc. 1,156,427
240,053 Wendy's (The) Co. 1,101,843
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
111,900 Wyndham Worldwide Corp. $ 5,824,395
17,597 Yum! Brands, Inc. 1,140,989
-------------
47,545,457
-------------
HOUSEHOLD DURABLES -- 6.4%
246,579 D.R. Horton, Inc. 4,347,188
59,182 Garmin Ltd. (b) 2,285,017
114,458 Harman International Industries,
Inc. 4,618,380
140,446 Jarden Corp. 6,348,159
53,615 Leggett & Platt, Inc. 1,242,796
16,229 Mohawk Industries, Inc. (a) 1,078,092
4,167 NVR, Inc. (a) 3,225,175
57,892 Whirlpool Corp. 3,911,184
-------------
27,055,991
-------------
INTERNET & CATALOG RETAIL
-- 3.4%
25,851 Amazon.com, Inc. (a) 6,031,038
47,140 Expedia, Inc. 2,686,509
127,377 Liberty Interactive Corp.,
Class A (a) 2,385,771
5,326 priceline.com, Inc. (a) 3,524,427
-------------
14,627,745
-------------
INTERNET SOFTWARE & SERVICES
-- 1.5%
140,481 eBay, Inc. (a) 6,223,308
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 2.3%
66,900 Hasbro, Inc. 2,396,358
69,851 Mattel, Inc. 2,456,660
63,408 Polaris Industries, Inc. 4,765,745
-------------
9,618,763
-------------
MACHINERY -- 1.5%
56,887 Snap-on, Inc. 3,855,801
42,821 WABCO Holdings, Inc. (a) 2,351,729
-------------
6,207,530
-------------
MEDIA -- 17.7%
69,131 CBS Corp., Class B 2,313,123
63,960 Charter Communications, Inc.,
Class A (a) 4,919,803
198,350 Cinemark Holdings, Inc. 4,637,423
184,589 Comcast Corp., Class A 6,008,372
46,420 DIRECTV, Class A (a) 2,305,217
83,926 Discovery Communications, Inc.,
Class A (a) 4,249,173
39,685 DISH Network Corp., Class A 1,220,711
59,440 DreamWorks Animation SKG, Inc.,
Class A (a) (b) 1,141,248
307,692 Gannett Co., Inc. 4,341,534
208,862 Interpublic Group of Cos.
(The), Inc. 2,061,468
46,252 John Wiley & Sons, Inc., Class A 2,203,908
71,350 Liberty Global, Inc., Class A (a) 3,765,853
|
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
25,782 Liberty Media Corp. - Liberty
Capital, Class A (a) $ 2,438,977
94,580 Madison Square Garden
(The) Co., Class A (a) 3,428,525
203,333 News Corp., Class A 4,680,726
46,622 Omnicom Group, Inc. 2,339,492
104,234 Pandora Media, Inc. (a) (b) 1,028,790
257,319 Regal Entertainment Group,
Class A (b) 3,556,148
62,279 Scripps Networks Interactive,
Class A 3,353,724
43,131 Time Warner Cable, Inc. 3,663,116
58,863 Time Warner, Inc. 2,302,720
24,101 Viacom, Inc., Class B 1,125,758
46,460 Virgin Media, Inc. 1,272,075
73,012 Walt Disney (The) Co. 3,587,810
9,470 Washington Post (The) Co.,
Class B (b) 3,205,595
-------------
75,151,289
-------------
MULTILINE RETAIL -- 9.1%
86,801 Big Lots, Inc. (a) 3,516,308
92,669 Dillard's, Inc., Class A 6,044,799
108,502 Dollar General Corp. (a) 5,534,687
109,690 Dollar Tree, Inc. (a) 5,521,795
68,169 Family Dollar Stores, Inc. 4,504,607
99,626 Kohl's Corp. 4,953,405
103,081 Macy's, Inc. 3,694,423
22,804 Nordstrom, Inc. 1,234,609
60,849 Target Corp. 3,690,492
-------------
38,695,125
-------------
PERSONAL PRODUCTS -- 0.3%
24,165 Nu Skin Enterprises, Inc.,
Class A 1,232,657
-------------
ROAD & RAIL -- 0.2%
88,517 Hertz Global Holdings, Inc. (a) 996,701
-------------
SPECIALTY RETAIL -- 26.2%
160,089 Aaron's, Inc. 4,695,410
66,383 Abercrombie & Fitch Co., Class A 2,243,745
299,115 American Eagle Outfitters, Inc. 6,227,574
121,703 Ascena Retail Group, Inc. (a) 2,232,033
64,235 AutoNation, Inc. (a) (b) 2,532,786
9,649 AutoZone, Inc. (a) 3,620,594
18,339 Bed Bath & Beyond, Inc. (a) 1,117,762
43,676 CarMax, Inc. (a) 1,215,503
238,605 Chico's FAS, Inc. 3,655,429
94,423 Dick's Sporting Goods, Inc. 4,638,058
83,317 DSW, Inc., Class A 4,925,701
148,209 Foot Locker, Inc. 4,893,861
321,432 GameStop Corp., Class A (b) 5,149,341
165,654 Gap (The), Inc. 4,885,136
149,242 Guess?, Inc. 4,492,184
85,523 Home Depot (The), Inc. 4,462,590
26,647 Limited Brands, Inc. 1,267,065
79,689 Lowe's Cos., Inc. 2,021,710
|
13,520 O'Reilly Automotive, Inc. (a) $ 1,159,205
86,557 PetSmart, Inc. 5,722,283
94,470 Ross Stores, Inc. 6,276,587
176,083 Sally Beauty Holdings, Inc. (a) 4,652,113
102,978 Signet Jewelers Ltd. 4,522,794
452,217 Staples, Inc. 5,761,245
21,393 Tiffany & Co. 1,175,118
137,466 TJX (The) Cos., Inc. 6,086,995
42,629 Tractor Supply Co. 3,873,697
48,539 Ulta Salon Cosmetics &
Fragrance, Inc. 4,119,990
101,246 Williams-Sonoma, Inc. 3,518,299
-------------
111,144,808
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 5.6%
112,193 Carter's, Inc. (a) 5,684,819
102,978 Deckers Outdoor Corp. (a) (b) 4,295,213
81,728 Hanesbrands, Inc. (a) 2,453,475
29,138 PVH Corp. 2,314,431
95,937 Under Armour, Inc., Class A (a) (b) 5,222,810
26,534 VF Corp. 3,961,526
-------------
23,932,274
-------------
TOTAL COMMON STOCKS -- 100.1%
(Cost $415,406,121) 425,009,143
-------------
MONEY MARKET FUND -- 0.0%
17,457 Morgan Stanley Institutional
Treasury Money Market Fund
- 0.03% (c) 17,457
(Cost $17,457) -------------
INVESTMENTS OF COLLATERAL FOR
SECURITIES LOANED -- 4.1%
MONEY MARKET FUND -- 1.1%
4,519,107 Goldman Sachs Financial Square
Government Fund, 0.05% (c) 4,519,107
(Cost $4,519,107) -------------
PRINCIPAL
VALUE
-----------
REPURCHASE AGREEMENT -- 3.0%
$12,922,243 JPMorgan Chase & Co., 0.11% (c),
dated 07/31/12, due 08/01/12,
with a maturity value of
$12,922,283. Collateralized by
U.S. Treasury Note, interest
rate of 1.75%, due 03/31/14.
The value of the collateral
including accrued interest is
$13,114,386. 12,922,243
|
(Cost $12,922,243) -------------
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL INVESTMENTS OF COLLATERAL
FOR SECURITIES LOANED - 4.1% $ 17,441,350
(Cost $17,441,350) -------------
TOTAL INVESTMENTS -- 104.2% 442,467,950
(Cost $432,864,928) (d)
NET OTHER ASSETS AND
LIABILITIES -- (4.2)% (17,729,447)
-------------
NET ASSETS -- 100.0% $ 424,738,503
=============
|
(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 Financial Statements). The aggregate value of such securities is $17,077,417 and the total value of the collateral held by the Fund is $17,441,350.
(c) Interest rate shown reflects yield as of July 31, 2012.
(d) Aggregate cost for federal income tax purposes is $438,577,822. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $30,384,502 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $26,494,374.
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $425,009,143 $ -- $ --
Money Market Fund 4,536,564 -- --
Repurchase Agreement -- 12,922,243 --
--------------------------------------
Total Investments $429,545,707 $12,922,243 $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
BEVERAGES -- 19.7%
92,861 Brown-Forman Corp., Class B $ 8,688,075
115,022 Coca-Cola (The) Co. 9,293,778
244,377 Coca-Cola Enterprises, Inc. 7,165,134
110,792 Constellation Brands, Inc.,
Class A (a) 3,125,442
156,629 Dr. Pepper Snapple Group, Inc. 7,139,150
329,361 Molson Coors Brewing Co.,
Class B 13,938,557
240,604 Monster Beverage Corp. (a) 15,992,948
42,430 PepsiCo, Inc. 3,085,934
-------------
68,429,018
-------------
FOOD & STAPLES RETAILING -- 20.3%
366,595 CVS Caremark Corp. 16,588,424
167,695 Fresh Market (The), Inc. (a) 9,875,559
495,528 Safeway, Inc. 7,705,460
100,567 Sysco Corp. 2,955,664
463,318 Walgreen Co. 16,846,242
179,724 Whole Foods Market, Inc. 16,495,069
-------------
70,466,418
-------------
FOOD PRODUCTS -- 39.7%
304,672 Archer-Daniels-Midland Co. 7,948,892
218,439 Bunge Ltd. 14,366,733
264,265 ConAgra Foods, Inc. 6,524,703
1,005,939 Dean Foods Co. (a) 12,443,465
589,964 Flowers Foods, Inc. 12,607,531
786,554 Green Mountain Coffee
Roasters, Inc. (a) 14,362,476
124,859 Hershey (The) Co. 8,957,385
98,550 Hormel Foods Corp. 2,750,530
181,614 Ingredion, Inc. 9,429,399
77,628 Kraft Foods, Inc., Class A 3,082,608
225,970 McCormick & Co., Inc. 13,757,054
85,108 Mead Johnson Nutrition Co. 6,209,480
792,001 Smithfield Foods, Inc. (a) 14,652,018
727,820 Tyson Foods, Inc., Class A 10,924,578
-------------
138,016,852
-------------
HOUSEHOLD PRODUCTS -- 9.7%
247,065 Church & Dwight Co., Inc. 14,233,415
41,371 Clorox (The) Co. 3,008,085
65,829 Colgate-Palmolive Co. 7,067,401
107,361 Kimberly-Clark Corp. 9,330,745
-------------
33,639,646
-------------
SPECIALTY RETAIL -- 4.8%
437,022 GNC Holdings, Inc., Class A 16,838,458
-------------
TOBACCO -- 5.8%
198,335 Altria Group, Inc. 7,134,110
22,717 Lorillard, Inc. 2,922,315
78,531 Philip Morris International, Inc. 7,180,874
66,811 Reynolds American, Inc. 3,091,345
-------------
20,328,644
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL COMMON STOCKS -- 100.0% $ 347,719,036
(Cost $360,136,938)
|
MONEY MARKET FUND -- 0.1%
211,625 Morgan Stanley Institutional Treasury Money Market Fund
- 0.03% (b) 211,625 (Cost $211,625) ------------- TOTAL INVESTMENTS -- 100.1% 347,930,661 (Cost $360,348,563) (c) NET OTHER ASSETS AND |
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $361,823,914. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,107,956 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $26,001,209.
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $347,719,036 $ -- $ --
Money Market Fund 211,625 -- --
--------------------------------------
Total Investments $347,930,661 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 28 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
ENERGY EQUIPMENT & SERVICES -- 32.0%
75,787 Atwood Oceanics, Inc. (a) $ 3,374,795
69,786 Baker Hughes, Inc. 3,232,488
40,015 Diamond Offshore Drilling, Inc. 2,617,781
100,978 Halliburton Co. 3,345,401
90,686 Helmerich & Payne, Inc. 4,216,899
64,356 McDermott International, Inc. (a) 752,965
164,265 Nabors Industries Ltd. (a) 2,273,428
22,234 National Oilwell Varco, Inc. 1,607,518
14,996 Oceaneering International, Inc. 775,143
43,329 Oil States International, Inc. (a) 3,150,018
270,780 Patterson-UTI Energy, Inc. 4,191,675
22,186 Rowan Cos. PLC, Class A (a) 779,394
120,596 RPC, Inc. 1,622,016
8,005 SEACOR Holdings, Inc. (a) 680,025
116,922 Superior Energy Services, Inc. (a) 2,533,700
106,894 Unit Corp. (a) 4,250,106
-------------
39,403,352
-------------
METALS & MINING -- 0.9%
32,460 Walter Energy, Inc. 1,113,378
-------------
OIL, GAS & CONSUMABLE FUELS
-- 67.1%
44,844 Apache Corp. 3,861,965
36,407 Cabot Oil & Gas Corp. 1,536,011
48,648 Cheniere Energy, Inc. (a) 663,072
127,167 Chesapeake Energy Corp. 2,393,283
37,371 Chevron Corp. 4,095,114
71,536 Cimarex Energy Co. 4,055,376
70,530 ConocoPhillips 3,839,653
47,386 CONSOL Energy, Inc. 1,373,246
189,771 Denbury Resources, Inc. (a) 2,869,338
40,806 Devon Energy Corp. 2,412,451
13,342 EQT Corp. 752,489
16,755 Exxon Mobil Corp. 1,455,172
54,425 Hess Corp. 2,566,683
111,292 HollyFrontier Corp. 4,161,208
68,913 Laredo Petroleum Holdings, Inc. (a) 1,583,621
112,129 Marathon Oil Corp. 2,968,055
63,834 Marathon Petroleum Corp. 3,019,348
47,054 Murphy Oil Corp. 2,524,918
134,493 Newfield Exploration Co. (a) 4,106,071
8,473 Noble Energy, Inc. 740,794
27,562 Occidental Petroleum Corp. 2,398,721
116,925 Peabody Energy Corp. 2,441,394
32,485 Pioneer Natural Resources Co. 2,879,146
20,366 Plains Exploration & Production
Co. (a) 813,825
47,852 QEP Resources, Inc. 1,436,996
11,580 Range Resources Corp. 724,908
107,166 SandRidge Energy, Inc. (a) 730,872
29,168 SM Energy Co. 1,373,521
22,460 Southwestern Energy Co. (a) 746,795
82,997 Sunoco, Inc. 3,999,625
114,888 Tesoro Corp. (a) 3,176,653
|
102,538 Ultra Petroleum Corp. (a) $ 2,436,303
97,927 Valero Energy Corp. 2,692,993
69,716 Whiting Petroleum Corp. (a) 2,816,526
37,676 World Fuel Services Corp. 1,525,501
88,595 WPX Energy, Inc. (a) 1,413,090
-------------
82,584,737
-------------
TOTAL INVESTMENTS -- 100.0% 123,101,467
(Cost $129,290,696) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (36,368)
-------------
NET ASSETS -- 100.0% $123,065,099
=============
(a) Non-income producing security.
|
(b) Aggregate cost for federal income tax purposes is $131,778,535. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,722,236 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $12,399,304.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $123,101,467 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
See Notes to Financial Statements Page 29
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.9%
CAPITAL MARKETS -- 12.2%
12,007 Affiliated Managers Group,
Inc. (a) $ 1,339,861
217,480 American Capital Ltd. (a) 2,166,101
16,252 Ameriprise Financial, Inc. 840,553
106,451 Ares Capital Corp. 1,770,280
77,401 Bank of New York Mellon (The)
Corp. 1,647,093
5,000 BlackRock, Inc. 851,300
211,311 E*TRADE Financial Corp. (a) 1,612,303
15,761 Eaton Vance Corp. 418,139
38,877 Federated Investors, Inc., Class B 781,817
11,839 Franklin Resources, Inc. 1,360,893
13,710 Goldman Sachs Group (The), Inc. 1,383,339
58,143 Invesco Ltd. 1,286,705
280,053 Janus Capital Group, Inc. 2,024,783
130,787 Jefferies Group, Inc. 1,640,069
49,830 Legg Mason, Inc. 1,221,832
25,153 LPL Financial Holdings, Inc. 704,787
90,064 Morgan Stanley 1,230,274
29,435 State Street Corp. 1,188,585
13,493 T. Rowe Price Group, Inc. 819,700
24,986 TD Ameritrade Holding Corp. 397,777
28,052 Waddell & Reed Financial, Inc.,
Class A 816,033
-------------
25,502,224
-------------
COMMERCIAL BANKS -- 12.3%
99,623 Associated Banc-Corp. 1,244,291
13,769 BB&T Corp. 431,934
14,597 BOK Financial Corp. 824,584
8,741 City National Corp. 430,756
13,830 Comerica, Inc. 417,804
11,207 Commerce Bancshares, Inc. 441,332
7,390 Cullen/Frost Bankers, Inc. 408,741
18,105 East West Bancorp, Inc. 394,689
126,785 Fifth Third Bancorp 1,752,169
10,193 First Citizens BancShares, Inc.,
Class A 1,674,608
49,100 First Horizon National Corp. 404,093
171,765 First Niagara Financial Group, Inc. 1,301,979
12,641 First Republic Bank 411,212
85,030 Fulton Financial Corp. 781,426
265,459 Huntington Bancshares, Inc. 1,649,828
282,947 KeyCorp 2,257,917
10,289 M&T Bank Corp. 883,208
27,804 PNC Financial Services Group, Inc. 1,643,216
102,283 Popular, Inc. (a) 1,541,405
125,847 Regions Financial Corp. 875,895
13,931 Signature Bank (a) 898,549
17,530 SunTrust Banks, Inc. 414,584
7,233 SVB Financial Group (a) 418,140
13,208 U.S. Bancorp 442,468
40,069 Valley National Bancorp 372,642
39,293 Wells Fargo & Co. 1,328,496
112,774 Zions Bancorporation 2,052,487
-------------
25,698,453
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSUMER FINANCE -- 2.3%
29,184 American Express Co. $ 1,684,209
31,082 Capital One Financial Corp. 1,755,822
38,000 Discover Financial Services 1,366,480
-------------
4,806,511
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 8.5%
51,922 Bank of America Corp. 381,107
30,691 CBOE Holdings, Inc. 874,693
79,897 Citigroup, Inc. 2,167,606
40,841 CME Group, Inc. 2,128,225
89,268 Interactive Brokers Group, Inc.,
Class A 1,236,362
9,666 IntercontinentalExchange, Inc. (a) 1,268,373
61,295 JPMorgan Chase & Co. 2,206,620
102,966 Leucadia National Corp. 2,232,303
11,619 Moody's Corp. 470,918
12,483 MSCI, Inc. (a) 413,811
96,602 NASDAQ OMX Group (The), Inc. 2,192,865
85,614 NYSE Euronext 2,181,445
-------------
17,754,328
-------------
INSURANCE -- 31.2%
17,728 ACE Ltd. 1,303,008
30,852 Aflac, Inc. 1,350,701
6,444 Alleghany Corp. (a) 2,228,400
27,559 Allied World Assurance Co.
Holdings AG 2,078,775
12,104 Allstate (The) Corp. 415,167
43,305 American Financial Group, Inc. 1,633,032
68,247 American International Group,
Inc. (a) 2,134,084
23,839 American National Insurance Co. 1,678,981
18,158 Aon PLC 893,374
42,807 Arch Capital Group Ltd. (a) 1,660,912
48,443 Arthur J. Gallagher & Co. 1,718,758
29,393 Aspen Insurance Holdings Ltd. 844,755
62,858 Assurant, Inc. 2,276,088
30,125 Assured Guaranty Ltd. 360,897
67,284 Axis Capital Holdings Ltd. 2,210,952
10,192 Berkshire Hathaway, Inc.,
Class B (a) 864,689
62,299 Brown & Brown, Inc. 1,572,427
18,047 Chubb (The) Corp. 1,311,836
47,405 CNA Financial Corp. 1,237,745
22,168 Endurance Specialty Holdings Ltd. 768,565
5,933 Erie Indemnity Co., Class A 422,964
16,416 Everest Re Group, Ltd. 1,669,507
68,226 Fidelity National Financial, Inc.,
Class A 1,270,368
55,966 Hanover Insurance Group (The), Inc. 1,962,728
96,368 Hartford Financial Services Group
(The), Inc. 1,585,254
54,107 HCC Insurance Holdings, Inc. 1,657,838
13,813 Kemper Corp. 451,961
10,382 Loews Corp. 411,023
960 Markel Corp. (a) 414,778
26,359 Marsh & McLennan Cos., Inc. 875,382
52,554 Mercury General Corp. 1,903,506
70,987 MetLife, Inc. 2,184,270
|
Page 30 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
28,939 PartnerRe Ltd. $ 2,096,341
50,096 Principal Financial Group, Inc. 1,281,957
24,580 ProAssurance Corp. 2,201,631
20,391 Progressive (The) Corp. 402,518
74,468 Protective Life Corp. 2,078,402
17,541 Prudential Financial, Inc. 846,879
41,159 Reinsurance Group of America, Inc. 2,291,321
22,353 RenaissanceRe Holdings Ltd. 1,653,898
58,937 StanCorp Financial Group, Inc. 1,753,965
33,610 Torchmark Corp. 1,672,097
26,610 Travelers (The) Cos., Inc. 1,667,116
22,202 Unum Group 419,396
53,041 Validus Holdings Ltd. 1,725,424
21,827 W. R. Berkley Corp. 799,523
1,630 White Mountains Insurance
Group Ltd. 832,262
-------------
65,075,455
-------------
IT SERVICES -- 8.4%
16,221 Alliance Data Systems Corp. (a) 2,108,730
46,393 CoreLogic, Inc. (a) 1,067,039
49,851 Fidelity National Information
Services, Inc. 1,567,316
23,526 Fiserv, Inc. (a) 1,649,878
37,500 FleetCor Technologies, Inc. (a) 1,384,500
9,824 Global Payments, Inc. 420,664
24,606 Jack Henry & Associates, Inc. 854,566
67,203 Lender Processing Services, Inc. 1,657,898
5,093 MasterCard, Inc., Class A 2,223,451
91,519 Total System Services, Inc. 2,164,424
17,717 Visa, Inc., Class A 2,286,733
-------------
17,385,199
-------------
PROFESSIONAL SERVICES -- 1.3%
11,933 Dun & Bradstreet (The) Corp. 956,907
36,460 Equifax, Inc. 1,707,787
-------------
2,664,694
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 20.6%
29,211 American Campus Communities, Inc. 1,392,196
50,551 American Capital Agency Corp. 1,776,362
31,328 American Tower Corp. 2,265,328
48,614 Apartment Investment &
Management Co., Class A 1,333,482
12,125 Boston Properties, Inc. 1,344,663
12,555 Camden Property Trust 895,297
927,977 Chimera Investment Corp. 2,004,430
44,427 CommonWealth REIT 810,348
22,633 Digital Realty Trust, Inc. 1,766,958
19,051 Equity Lifestyle Properties, Inc. 1,370,148
13,621 Equity Residential 862,346
8,539 Essex Property Trust, Inc. 1,343,697
71,572 Extra Space Storage, Inc. 2,343,267
12,625 Federal Realty Investment Trust 1,371,833
45,947 Hatteras Financial Corp. 1,343,950
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
49,603 HCP, Inc. $ 2,341,758
13,844 Home Properties, Inc. 908,305
17,149 Hospitality Properties Trust 416,206
45,239 Kilroy Realty Corp. 2,141,614
215,329 MFA Financial, Inc. 1,739,858
12,447 Mid-America Apartment
Communities, Inc. 861,706
10,698 Plum Creek Timber Co., Inc. 434,232
17,353 Post Properties, Inc. 896,282
9,101 Public Storage 1,355,594
9,460 Rayonier, Inc. 451,147
35,714 Regency Centers Corp. 1,708,915
19,029 Senior Housing Properties Trust 432,910
10,915 Simon Property Group, Inc. 1,751,748
10,588 SL Green Realty Corp. 833,805
53,008 Tanger Factory Outlet Centers, Inc. 1,706,858
17,029 Taubman Centers, Inc. 1,320,088
58,766 Weyerhaeuser Co. 1,372,186
-------------
42,897,517
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.2%
25,961 CBRE Group, Inc., Class A (a) 404,472
21,318 Howard Hughes (The) Corp. (a) 1,313,828
12,072 Jones Lang LaSalle, Inc. 805,082
-------------
2,523,382
-------------
SOFTWARE -- 0.2%
4,571 FactSet Research Systems, Inc. 424,920
-------------
THRIFTS & MORTGAGE FINANCE
-- 1.7%
36,024 BankUnited, Inc. 877,545
104,869 New York Community Bancorp, Inc. 1,361,200
73,166 People's United Financial, Inc. 838,482
25,145 Washington Federal, Inc. 400,560
-------------
3,477,787
-------------
TOTAL COMMON STOCKS -- 99.9% 208,210,470
(Cost $216,227,917)
MONEY MARKET FUND -- 0.1%
215,507 Morgan Stanley Institutional
Treasury Money Market Fund
- 0.03% (b) 215,507
(Cost $215,507) -------------
TOTAL INVESTMENTS -- 100.0% 208,425,977
(Cost $216,443,424) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (56,916)
-------------
NET ASSETS -- 100.0% $208,369,061
=============
|
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2012 |
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $220,659,158. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,760,867 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $14,994,048.
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $208,210,470 $ -- $ --
Money Market Fund 215,507 -- --
--------------------------------------
Total Investments $208,425,977 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 32 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 21.6%
130,244 Alexion Pharmaceuticals, Inc. (a) $ 13,656,083
70,822 Amgen, Inc. 5,849,897
256,557 Amylin Pharmaceuticals, Inc. (a) 7,899,390
140,284 Ariad Pharmaceuticals, Inc. (a) 2,683,633
50,169 Biogen Idec, Inc. (a) 7,316,145
182,996 BioMarin Pharmaceutical, Inc. (a) 7,189,913
141,236 Gilead Sciences, Inc. (a) 7,673,352
106,348 Incyte Corp. (a) 2,657,637
141,497 Medivation, Inc. (a) 14,107,251
217,644 Myriad Genetics, Inc. (a) 5,408,453
194,638 Onyx Pharmaceuticals, Inc. (a) 14,592,011
90,589 Regeneron Pharmaceuticals, Inc. (a) 12,197,809
48,887 United Therapeutics Corp. (a) 2,678,030
231,284 Vertex Pharmaceuticals, Inc. (a) 11,219,587
-------------
115,129,191
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 19.3%
372,574 Alere, Inc. (a) 7,030,471
45,422 Baxter International, Inc. 2,657,641
69,208 Becton, Dickinson & Co. 5,239,738
1,824,828 Boston Scientific Corp. (a) 9,434,361
48,145 C. R. Bard, Inc. 4,682,583
30,273 Cooper (The) Cos., Inc. 2,278,346
96,705 Covidien PLC 5,403,875
63,850 DENTSPLY International, Inc. 2,320,309
100,164 Edwards Lifesciences Corp. (a) 10,136,597
88,114 Gen-Probe, Inc. (a) 7,286,147
234,777 Hill-Rom Holdings, Inc. 6,139,419
107,636 IDEXX Laboratories, Inc. (a) 9,490,266
18,677 Intuitive Surgical, Inc. (a) 8,992,975
187,002 Medtronic, Inc. 7,371,619
165,815 ResMed, Inc. (a) 5,233,121
43,822 Stryker Corp. 2,280,059
112,535 Zimmer Holdings, Inc. 6,631,687
-------------
102,609,214
-------------
HEALTH CARE PROVIDERS
& SERVICES -- 38.8%
266,871 Aetna, Inc. 9,623,368
109,881 AMERIGROUP Corp. (a) 9,876,104
61,350 AmerisourceBergen Corp. 2,435,595
57,480 Cardinal Health, Inc. 2,476,813
130,368 Catamaran Corp. (a) 11,017,400
117,580 Cigna Corp. 4,736,122
369,128 Community Health Systems, Inc. (a) 9,084,240
406,840 Coventry Health Care, Inc. 13,559,977
131,691 DaVita, Inc. (a) 12,961,028
185,327 Express Scripts Holding Co. (a) 10,737,846
425,026 HCA Holdings, Inc. 11,254,689
659,035 Health Management Associates,
Inc., Class A (a) 4,336,450
213,166 Health Net, Inc. (a) 4,693,915
164,780 Henry Schein, Inc. (a) 12,327,192
133,616 Humana, Inc. 8,230,746
252,486 LifePoint Hospitals, Inc. (a) 9,624,766
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE PROVIDERS
& SERVICES (CONTINUED)
380,170 Lincare Holdings, Inc. $ 15,739,038
137,950 McKesson Corp. 12,516,204
75,474 MEDNAX, Inc. (a) 4,991,096
210,115 Patterson Cos., Inc. 7,164,922
40,297 Quest Diagnostics, Inc. 2,354,554
460,730 Tenet Healthcare Corp. (a) 2,128,573
88,435 UnitedHealth Group, Inc. 4,518,144
239,735 Universal Health Services, Inc.,
Class B 9,368,844
109,845 VCA Antech, Inc. (a) 1,999,179
162,198 WellPoint, Inc. 8,643,531
-------------
206,400,336
-------------
HEALTH CARE TECHNOLOGY -- 2.5%
220,885 Allscripts Healthcare Solutions,
Inc. (a) 2,032,142
156,461 Cerner Corp. (a) 11,565,597
-------------
13,597,739
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.2%
72,420 Bio-Rad Laboratories, Inc.,
Class A (a) 6,967,528
73,688 Charles River Laboratories
International, Inc. (a) 2,507,603
114,988 Life Technologies Corp. (a) 5,045,673
139,525 Thermo Fisher Scientific, Inc. 7,767,357
-------------
22,288,161
-------------
PHARMACEUTICALS -- 13.6%
112,350 Abbott Laboratories 7,449,929
143,911 Bristol-Myers Squibb Co. 5,123,232
168,796 Eli Lilly & Co. 7,432,088
369,636 Forest Laboratories, Inc. (a) 12,401,288
123,914 Merck & Co., Inc. 5,473,281
112,977 Mylan, Inc. (a) 2,601,860
87,739 Perrigo Co. 10,004,001
190,064 Salix Pharmaceuticals Ltd. (a) 8,518,668
174,806 Watson Pharmaceuticals, Inc. (a) 13,605,151
-------------
72,609,498
-------------
TOTAL COMMON STOCKS -- 100.0% 532,634,139
(Cost $525,342,512)
MONEY MARKET FUND -- 0.1%
249,079 Morgan Stanley Institutional
Treasury Money Market Fund
- 0.03% (b) 249,079
(Cost $249,079) -------------
TOTAL INVESTMENTS -- 100.1% 532,883,218
(Cost $525,591,591) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (435,078)
-------------
NET ASSETS -- 100.0% $532,448,140
=============
|
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2012 |
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $535,716,900. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $24,983,499 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $27,817,181.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $532,634,139 $ -- $ --
Money Market Fund 249,079 -- --
--------------------------------------
Total Investments $532,883,218 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 34 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
34,640 Alliant Techsystems, Inc. $ 1,604,525
22,927 BE Aerospace, Inc. (a) 899,426
8,982 Boeing (The) Co. 663,860
135,361 Exelis, Inc. 1,272,393
20,235 General Dynamics Corp. 1,283,708
24,679 L-3 Communications Holdings, Inc. 1,749,494
7,661 Lockheed Martin Corp. 683,898
27,462 Northrop Grumman Corp. 1,817,984
17,688 Raytheon Co. 981,330
73,509 Spirit AeroSystems Holdings,
Inc., Class A (a) 1,727,462
40,249 Textron, Inc. 1,048,486
13,042 TransDigm Group, Inc. (a) 1,608,861
23,720 Triumph Group, Inc. 1,483,212
-------------
16,824,639
-------------
AIR FREIGHT & LOGISTICS -- 1.9%
14,571 FedEx Corp. 1,315,761
4,236 United Parcel Service, Inc.,
Class B 320,284
22,837 UTI Worldwide, Inc. 302,590
-------------
1,938,635
-------------
AIRLINES -- 5.6%
21,240 Copa Holdings SA, Class A 1,646,737
159,975 Delta Air Lines, Inc. (a) 1,543,759
144,756 Southwest Airlines Co. 1,330,308
71,998 United Continental
Holdings, Inc. (a) 1,360,042
-------------
5,880,846
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 7.0%
24,410 Avery Dennison Corp. 751,584
25,927 Cintas Corp. 1,027,487
11,331 Corrections Corp. of America 352,168
58,368 Covanta Holding Corp. 1,002,762
10,125 Iron Mountain, Inc. 326,126
28,348 R.R. Donnelley & Sons Co. 343,578
37,829 Republic Services, Inc. 1,094,393
14,914 Rollins, Inc. 351,672
10,918 Stericycle, Inc. (a) 1,013,736
11,151 Waste Connections, Inc. 343,116
19,981 Waste Management, Inc. 687,347
-------------
7,293,969
-------------
COMPUTERS & PERIPHERALS -- 1.1%
65,903 Lexmark International, Inc.,
Class A 1,152,643
-------------
CONSTRUCTION & ENGINEERING
-- 5.4%
106,488 AECOM Technology Corp. (a) 1,726,170
17,579 Chicago Bridge & Iron Co.
N.V., ADR 628,273
6,763 Fluor Corp. 335,310
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
26,440 Jacobs Engineering Group,
Inc. (a) $ 1,019,791
70,892 KBR, Inc. 1,860,206
-------------
5,569,750
-------------
ELECTRICAL EQUIPMENT -- 8.4%
30,084 AMETEK, Inc. 932,604
13,617 Babcock & Wilcox (The) Co. (a) 341,787
19,574 Cooper Industries PLC 1,406,979
7,162 Emerson Electric Co. 342,129
38,590 General Cable Corp. (a) 1,008,357
181,529 GrafTech International Ltd. (a) 1,896,978
17,123 Hubbell, Inc., Class B 1,408,880
10,720 Regal-Beloit Corp. 690,046
6,770 Roper Industries, Inc. 673,277
-------------
8,701,037
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.3%
51,334 FLIR Systems, Inc. 1,049,780
7,252 Trimble Navigation Ltd. (a) 320,974
-------------
1,370,754
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.7%
14,394 Tidewater, Inc. 699,117
-------------
INDUSTRIAL CONGLOMERATES -- 3.6%
3,725 3M Co. 339,832
33,038 Carlisle Cos., Inc. 1,668,089
12,815 Danaher Corp. 676,760
16,011 General Electric Co. 332,228
12,627 Tyco International Ltd. 693,727
-------------
3,710,636
-------------
IT SERVICES -- 3.4%
11,106 Accenture PLC, Class A 669,692
5,994 Automatic Data Processing, Inc. 338,960
87,349 Booz Allen Hamilton Holding Corp. 1,522,493
60,190 Genpact Ltd. (a) 1,048,510
-------------
3,579,655
-------------
MACHINERY -- 25.4%
38,305 AGCO Corp. (a) 1,679,291
34,347 CNH Global N.V. (a) 1,309,308
12,101 Colfax Corp. (a) 350,203
6,887 Cummins, Inc. 660,463
12,379 Deere & Co. 950,955
24,897 Dover Corp. 1,356,140
33,679 Eaton Corp. 1,476,487
8,725 Flowserve Corp. 1,046,826
33,108 Gardner Denver, Inc. 1,886,494
16,372 Harsco Corp. 347,905
8,559 IDEX Corp. 326,526
12,618 Illinois Tool Works, Inc. 685,662
23,732 Ingersoll-Rand PLC 1,006,474
52,844 Kennametal, Inc. 1,949,944
|
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
30,481 Lincoln Electric Holdings, Inc. $ 1,215,582
57,035 Manitowoc (The) Co., Inc. 684,420
23,522 Navistar International Corp. (a) 578,641
63,709 Oshkosh Corp. (a) 1,434,727
25,541 PACCAR, Inc. 1,021,895
17,359 Parker Hannifin Corp. 1,394,275
5,183 Stanley Black & Decker, Inc. 346,691
47,805 Toro (The) Co. 1,797,468
53,431 Trinity Industries, Inc. 1,496,068
17,108 Wabtec Corp. 1,354,611
-------------
26,357,056
-------------
MARINE -- 1.4%
28,348 Kirby Corp. (a) 1,495,924
-------------
OFFICE ELECTRONICS -- 2.4%
222,583 Xerox Corp. 1,542,500
29,133 Zebra Technologies Corp.,
Class A (a) 1,006,254
-------------
2,548,754
-------------
PROFESSIONAL SERVICES -- 4.9%
16,261 IHS, Inc., Class A (a) 1,793,100
27,310 Manpower, Inc. 971,690
23,359 Robert Half International, Inc. 630,927
5,572 Towers Watson & Co., Class A 326,686
27,096 Verisk Analytics, Inc., Class A (a) 1,361,574
-------------
5,083,977
-------------
ROAD & RAIL -- 7.5%
36,961 Con-way, Inc. 1,316,551
29,845 CSX Corp. 684,644
29,391 J.B. Hunt Transport Services, Inc. 1,617,093
4,797 Kansas City Southern 349,222
12,902 Landstar System, Inc. 637,488
9,296 Norfolk Southern Corp. 688,369
37,064 Ryder System, Inc. 1,461,804
8,391 Union Pacific Corp. 1,028,820
-------------
7,783,991
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 3.8%
34,416 Air Lease Corp. (a) 677,307
25,999 GATX Corp. 1,093,778
39,208 United Rentals, Inc. (a) 1,133,503
1,745 W.W. Grainger, Inc. 357,428
11,595 WESCO International, Inc. (a) 645,958
-------------
3,907,974
-------------
TOTAL INVESTMENTS -- 100.0% 103,899,357
(Cost $107,590,681) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (23,580)
-------------
NET ASSETS -- 100.0% $103,875,777
=============
(a) Non-income producing security.
|
(b) Aggregate cost for federal income tax purposes is $108,755,312. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,499,778 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,355,733.
ADR American Depositary Receipt
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $103,899,357 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 36 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
16,382 Armstrong World Industries, Inc. $ 633,164
94,205 Lennox International, Inc. 4,113,932
253,348 Masco Corp. 3,047,777
92,337 Owens Corning, Inc. (a) 2,480,172
-------------
10,275,045
-------------
CHEMICALS -- 51.2%
9,987 Air Products and Chemicals, Inc. 803,254
20,923 Airgas, Inc. 1,659,612
29,461 Albemarle Corp. 1,715,219
64,756 Cabot Corp. 2,525,484
22,685 CF Industries Holdings, Inc. 4,440,816
29,964 Cytec Industries, Inc. 1,844,584
25,555 Dow Chemical (The) Co. 735,473
15,912 E.I. du Pont de Nemours & Co. 790,826
69,754 Eastman Chemical Co. 3,646,739
64,102 Ecolab, Inc. 4,195,476
49,277 FMC Corp. 2,695,452
203,673 Huntsman Corp. 2,576,463
77,199 Intrepid Potash, Inc. (a) 1,801,825
278,163 Kronos Worldwide, Inc. 4,706,518
87,257 LyondellBasell Industries
N.V., Class A 3,885,554
31,846 Monsanto Co. 2,726,655
64,162 Mosaic (The) Co. 3,728,454
20,288 NewMarket Corp. 4,663,805
41,392 PPG Industries, Inc. 4,530,768
59,425 Rockwood Holdings, Inc. 2,627,774
129,181 RPM International, Inc. 3,423,297
33,178 Sherwin-Williams (The) Co. 4,457,464
10,899 Sigma-Aldrich Corp. 754,211
83,683 Valspar (The) Corp. 4,200,887
34,819 W.R. Grace & Co. (a) 1,951,257
50,426 Westlake Chemical Corp. 2,993,287
-------------
74,081,154
-------------
CONTAINERS & PACKAGING -- 10.4%
15,769 AptarGroup, Inc. 788,608
42,799 Ball Corp. 1,778,726
25,685 Bemis Co., Inc. 789,814
64,275 Greif, Inc., Class A 2,780,536
28,528 Packaging Corp. of America 878,377
48,301 Rock-Tenn Co., Class A 2,812,084
52,163 Sealed Air Corp. 845,041
61,731 Silgan Holdings, Inc. 2,543,935
58,277 Sonoco Products Co. 1,766,376
-------------
14,983,497
-------------
MACHINERY -- 5.0%
76,733 Timken (The) Co. 2,777,735
36,313 Valmont Industries, Inc. 4,498,454
-------------
7,276,189
-------------
METALS & MINING -- 20.7%
401,582 Alcoa, Inc. 3,401,399
55,098 Allegheny Technologies, Inc. 1,654,593
|
89,122 Cliffs Natural Resources, Inc. $ 3,644,199
138,984 Commercial Metals Co. 1,791,504
103,134 Freeport-McMoRan Copper
& Gold, Inc. 3,472,522
46,356 Nucor Corp. 1,817,155
69,585 Reliance Steel & Aluminum Co. 3,582,236
44,822 Royal Gold, Inc. 3,392,129
25,549 Southern Copper Corp. 824,722
299,059 Steel Dynamics, Inc. 3,854,870
71,209 Titanium Metals Corp. 830,297
85,300 United States Steel Corp. 1,761,445
-------------
30,027,071
-------------
PAPER & FOREST PRODUCTS -- 5.5%
57,263 Domtar Corp. 4,229,445
91,165 International Paper Co. 2,991,123
28,022 MeadWestvaco Corp. 795,825
-------------
8,016,393
-------------
TOTAL COMMON STOCKS -- 99.9% 144,659,349
(Cost $151,866,727)
MONEY MARKET FUND -- 0.1%
102,112 Morgan Stanley Institutional
Treasury Money Market
Fund - 0.03% (b) 102,112
(Cost $102,112) -------------
TOTAL INVESTMENTS -- 100.0% 144,761,461
(Cost $151,968,839) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (72,087)
-------------
NET ASSETS -- 100.0% $144,689,374
=============
(a) Non-income producing security.
|
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $154,383,240. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,826,692 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,448,471.
See Notes to Financial Statements Page 37
FIRST TRUST MATERIALS ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $144,659,349 $ -- $ --
Money Market Fund 102,112 -- --
--------------------------------------
Total Investments $144,761,461 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 38 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
-- 6.7%
483,794 Brocade Communications
Systems, Inc. (a) $ 2,404,456
138,909 Cisco Systems, Inc. 2,215,599
127,454 EchoStar Corp., Class A (a) 3,670,675
40,233 Harris Corp. 1,675,704
48,743 Juniper Networks, Inc. (a) 854,465
16,528 Motorola Solutions, Inc. 798,964
226,718 Polycom, Inc. (a) 1,981,515
14,284 QUALCOMM, Inc. 852,469
-------------
14,453,847
-------------
COMPUTERS & PERIPHERALS -- 13.7%
7,207 Apple, Inc. (a) 4,401,747
268,941 Dell, Inc. (a) 3,195,019
64,614 Diebold, Inc. 2,090,263
31,018 EMC Corp. (a) 812,982
209,295 Hewlett-Packard Co. 3,817,541
185,180 NCR Corp. (a) 4,318,398
24,989 NetApp, Inc. (a) 816,391
115,373 SanDisk Corp. (a) 4,745,291
138,089 Western Digital Corp. (a) 5,491,799
-------------
29,689,431
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 17.2%
30,650 Amphenol Corp., Class A 1,804,672
128,291 Arrow Electronics, Inc. (a) 4,329,821
136,384 Avnet, Inc. (a) 4,296,096
314,988 AVX Corp. 3,067,983
325,526 Corning, Inc. 3,714,252
57,754 Dolby Laboratories, Inc.,
Class A (a) 2,035,829
192,743 Ingram Micro, Inc., Class A (a) 2,889,218
18,240 IPG Photonics Corp. (a) 945,379
117,322 Jabil Circuit, Inc. 2,545,887
140,658 Molex, Inc. 3,533,329
69,905 Tech Data Corp. (a) 3,502,240
446,329 Vishay Intertechnology, Inc. (a) 4,405,267
-------------
37,069,973
-------------
INTERNET SOFTWARE & SERVICES
-- 10.8%
25,041 Akamai Technologies, Inc. (a) 880,943
149,897 AOL, Inc. (a) 4,775,719
23,967 Equinix, Inc. (a) 4,270,440
1,364 Google, Inc., Class A (a) 863,371
52,300 IAC/InterActiveCorp 2,751,503
31,680 LinkedIn Corp., Class A (a) 3,251,952
18,089 Rackspace Hosting, Inc. (a) 793,745
77,281 Verisign, Inc. (a) 3,432,822
150,668 Yahoo!, Inc. (a) 2,386,581
-------------
23,407,076
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
IT SERVICES -- 6.0%
80,258 Amdocs Ltd. (a) $ 2,387,675
43,917 DST Systems, Inc. 2,367,126
55,399 Gartner, Inc. (a) 2,459,162
4,060 International Business
Machines Corp. 795,679
50,399 NeuStar, Inc., Class A (a) 1,784,629
46,757 Teradata Corp. (a) 3,161,708
-------------
12,955,979
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 19.5%
44,690 Analog Devices, Inc. 1,746,485
293,811 Applied Materials, Inc. 3,199,602
502,569 Atmel Corp. (a) 2,945,054
46,888 Avago Technologies Ltd. 1,734,856
23,524 Broadcom Corp., Class A 796,993
30,976 Cree, Inc. (a) 741,875
238,800 Fairchild Semiconductor
International, Inc. (a) 3,309,768
126,348 Intel Corp. 3,247,144
48,427 KLA-Tencor Corp. 2,465,419
44,618 Lam Research Corp. (a) 1,535,305
124,799 LSI Corp. (a) 861,113
373,142 Marvell Technology Group Ltd. 4,201,579
65,655 Maxim Integrated Products, Inc. 1,787,786
377,982 Micron Technology, Inc. (a) 2,347,268
121,824 NVIDIA Corp. (a) 1,649,497
123,022 Skyworks Solutions, Inc. (a) 3,559,027
299,361 Teradyne, Inc. (a) 4,403,600
58,676 Texas Instruments, Inc. 1,598,334
-------------
42,130,705
-------------
SOFTWARE -- 23.3%
280,823 Activision Blizzard, Inc. 3,378,301
24,564 Adobe Systems, Inc. (a) 758,536
26,685 ANSYS, Inc. (a) 1,600,033
94,039 Ariba, Inc. (a) 4,178,153
22,726 Autodesk, Inc. (a) 770,866
39,454 BMC Software, Inc. (a) 1,562,378
88,046 CA, Inc. 2,119,267
153,197 Cadence Design Systems, Inc. (a) 1,872,067
28,411 Citrix Systems, Inc. (a) 2,064,912
181,231 Compuware Corp. (a) 1,669,138
61,803 Concur Technologies, Inc. (a) 4,174,175
28,360 Intuit, Inc. 1,645,447
15,534 MICROS Systems, Inc. (a) 741,593
55,038 Microsoft Corp. 1,621,970
76,845 NetSuite, Inc. (a) 4,252,602
33,375 Nuance Communications, Inc. (a) 679,181
26,766 Oracle Corp. 808,333
42,227 Red Hat, Inc. (a) 2,265,901
12,178 Salesforce.com, Inc. (a) 1,514,456
96,621 Solarwinds, Inc. (a) 5,158,595
230,474 Symantec Corp. (a) 3,629,966
|
See Notes to Financial Statements Page 39
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
57,198 Synopsys, Inc. (a) $ 1,732,527
79,711 TIBCO Software, Inc. (a) 2,239,082
-------------
50,437,479
-------------
WIRELESS TELECOMMUNICATION SERVICES
-- 2.8%
40,664 Crown Castle International
Corp. (a) 2,516,288
59,028 SBA Communications Corp.,
Class A (a) 3,486,194
-------------
6,002,482
-------------
TOTAL COMMON STOCKS -- 100.0% 216,146,972
(Cost $225,238,884)
MONEY MARKET FUND -- 0.1%
142,383 Morgan Stanley Institutional
Treasury Money Market Fund
- 0.03% (b) 142,383
(Cost $142,383) -------------
TOTAL INVESTMENTS -- 100.1% 216,289,355
(Cost $225,381,267) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (229,174)
-------------
NET ASSETS -- 100.0% $216,060,181
=============
(a) Non-income producing security.
|
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $227,805,145. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,836,990 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $20,352,780.
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $216,146,972 $ -- $ --
Money Market Fund 142,383 -- --
--------------------------------------
Total Investments $216,289,355 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 40 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
-- 14.9%
106,025 CenturyLink, Inc. $ 4,404,279
1,366,608 Frontier Communications Corp. 5,357,103
94,523 Level 3 Communications, Inc. (a) 1,821,458
203,977 tw telecom, Inc. (a) 5,125,942
117,773 Verizon Communications, Inc. 5,316,273
-------------
22,025,055
-------------
ELECTRIC UTILITIES -- 27.1%
104,940 American Electric Power Co., Inc. 4,432,666
13,610 Duke Energy Corp. 922,486
61,679 Entergy Corp. 4,482,213
55,645 Exelon Corp. 2,176,832
42,570 FirstEnergy Corp. 2,137,865
195,570 Great Plains Energy, Inc. 4,337,743
30,426 NextEra Energy, Inc. 2,157,203
119,085 NV Energy, Inc. 2,178,065
40,427 OGE Energy Corp. 2,147,078
213,963 Pepco Holdings, Inc. 4,270,701
40,472 Pinnacle West Capital Corp. 2,166,871
150,572 PPL Corp. 4,351,531
104,863 Westar Energy, Inc. 3,204,613
33,162 Xcel Energy, Inc. 971,647
-------------
39,937,514
-------------
GAS UTILITIES -- 7.3%
59,694 Atmos Energy Corp. 2,140,030
20,044 National Fuel Gas Co. 980,953
98,960 ONEOK, Inc. 4,404,710
106,705 UGI Corp. 3,270,508
-------------
10,796,201
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 6.1%
244,782 AES (The) Corp. (a) 2,952,071
301,496 NRG Energy, Inc. 5,975,651
-------------
8,927,722
-------------
MULTI-UTILITIES -- 22.1%
20,684 Alliant Energy Corp. 966,150
151,926 CenterPoint Energy, Inc. 3,199,562
40,091 CMS Energy Corp. 988,644
15,151 Consolidated Edison, Inc. 977,239
70,584 DTE Energy Co. 4,331,740
145,316 MDU Resources Group, Inc. 3,253,625
38,076 NiSource, Inc. 974,365
69,369 PG&E Corp. 3,202,073
128,844 Public Service Enterprise Group,
Inc. 4,282,775
19,701 SCANA Corp. 968,698
45,597 Sempra Energy 3,210,485
173,891 TECO Energy, Inc. 3,163,077
106,379 Vectren Corp. 3,175,413
-------------
32,693,846
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 4.0%
|
WIRELESS TELECOMMUNICATION SERVICES
-- 17.2%
865,132 MetroPCS Communications, Inc. (a) 7,578,556
511,639 NII Holdings, Inc. (a) 3,453,563
642,218 Sprint Nextel Corp. (a) 2,800,070
245,847 Telephone & Data Systems, Inc. 5,956,873
135,523 United States Cellular Corp. (a) 5,572,706
-------------
25,361,768
-------------
TOTAL COMMON STOCKS -- 100.0% 147,645,854
(Cost $149,238,815)
MONEY MARKET FUND -- 0.0%
42,301 Morgan Stanley Institutional
Treasury Money Market Fund
- 0.03% (b) 42,301
(Cost $42,301) -------------
TOTAL INVESTMENTS -- 100.0% 147,688,155
(Cost $149,281,116) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (29,994)
-------------
NET ASSETS -- 100.0% $147,658,161
=============
(a) Non-income producing security.
|
(b) Interest rate shown reflects yield as of July 31, 2012.
(c) Aggregate cost for federal income tax purposes is $152,079,408. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,241,559 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $11,632,812.
See Notes to Financial Statements Page 41
FIRST TRUST UTILITIES ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $147,645,854 $ -- $ --
Money Market Fund 42,301 -- --
--------------------------------------
Total Investments $147,688,155 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 42 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2012
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
-------------------- -------------------- --------------------
ASSETS:
Investments, at value............................................. $ 442,467,950 $ 347,930,661 $ 123,101,467
Cash ............................................................ -- -- --
Receivables:
Investment securities sold.................................. 9,266,102 4,695,217 --
Dividends................................................... 147,566 212,890 94,968
Securities lending income................................... 35,023 -- --
Interest.................................................... 38 10 3
Capital shares sold......................................... -- -- --
Prepaid expenses.................................................. 4,032 2,788 2,071
-------------- -------------- --------------
TOTAL ASSETS.......................................... 451,920,711 352,841,566 123,198,509
-------------- -------------- --------------
LIABILITIES:
Due to custodian.................................................. 151 143 22,979
Payables:
Collateral for securities on loan........................... 17,441,350 -- --
Capital shares redeemed..................................... 9,264,367 4,695,244 --
Investment advisory fees.................................... 185,143 146,705 34,395
Licensing fees.............................................. 169,646 135,551 28,453
Audit and tax fees.......................................... 23,750 23,750 23,750
Printing fees............................................... 22,251 28,707 6,052
Investment securities purchased............................. -- -- --
Other liabilities................................................. 75,550 71,364 17,781
-------------- -------------- --------------
TOTAL LIABILITIES...................................... 27,182,208 5,101,464 133,410
-------------- -------------- --------------
NET ASSETS.......................................................... $ 424,738,503 $ 347,740,102 $ 123,065,099
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 508,841,563 $ 384,628,587 $ 162,212,939
Par value......................................................... 207,000 148,000 66,500
Accumulated net investment income (loss).......................... 59,708 2,540,740 --
Accumulated net realized gain (loss) on investments............... (93,972,790) (27,159,323) (33,025,111)
Net unrealized appreciation (depreciation) on investments......... 9,603,022 (12,417,902) (6,189,229)
-------------- -------------- --------------
NET ASSETS.......................................................... $ 424,738,503 $ 347,740,102 $ 123,065,099
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 20.52 $ 23.50 $ 18.51
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 20,700,002 14,800,002 6,650,002
============== ============== ==============
Investments, at cost................................................ $ 432,864,928 $ 360,348,563 $ 129,290,696
============== ============== ==============
Securities on loan, at value........................................ $ 17,077,417 $ -- $ --
============== ============== ==============
|
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 208,425,977 $ 532,883,218 $ 103,899,357 $ 144,761,461 $ 216,289,355 $ 147,688,155
-- -- -- -- -- --
-- 1,518,120 961,740 -- 4,195,738 --
160,123 145,930 17,936 95,098 11,837 141,580
-- -- -- -- -- --
2 57 2 3 4 3
2,182,795 -- 3,551,307 1,142,989 -- --
1,960 2,660 1,841 3,445 2,355 2,141
-------------- -------------- -------------- -------------- -------------- --------------
210,770,857 534,549,985 108,432,183 146,002,996 220,499,289 147,831,879
-------------- -------------- -------------- -------------- -------------- --------------
122 159 906,188 121 127 120
-- -- -- -- -- --
-- 1,517,599 -- -- 4,193,308 --
74,995 223,282 25,014 56,134 86,132 61,265
60,594 191,133 23,094 59,130 81,400 54,901
23,750 23,750 23,750 23,750 23,750 23,750
16,014 37,933 5,547 5,654 12,337 1,693
2,181,910 -- 3,555,556 1,143,090 -- --
44,411 107,989 17,257 25,743 42,054 31,989
-------------- -------------- -------------- -------------- -------------- --------------
2,401,796 2,101,845 4,556,406 1,313,622 4,439,108 173,718
-------------- -------------- -------------- -------------- -------------- --------------
$ 208,369,061 $ 532,448,140 $ 103,875,777 $ 144,689,374 $ 216,060,181 $ 147,658,161
============== ============== ============== ============== ============== ==============
$ 233,387,361 $ 561,150,048 $ 118,202,785 $ 208,862,658 $ 263,856,657 $ 158,696,061
144,000 177,500 58,500 63,500 103,050 80,500
316,338 26,198 -- 160,246 (96,141) 185,022
(17,461,191) (36,197,233) (10,694,184) (57,189,652) (38,711,473) (9,710,461)
(8,017,447) 7,291,627 (3,691,324) (7,207,378) (9,091,912) (1,592,961)
-------------- -------------- -------------- -------------- -------------- --------------
$ 208,369,061 $ 532,448,140 $ 103,875,777 $ 144,689,374 $ 216,060,181 $ 147,658,161
============== ============== ============== ============== ============== ==============
$ 14.47 $ 30.00 $ 17.76 $ 22.79 $ 20.97 $ 18.34
============== ============== ============== ============== ============== ==============
14,400,002 17,750,002 5,850,002 6,350,002 10,305,000 8,050,002
============== ============== ============== ============== ============== ==============
$ 216,443,424 $ 525,591,591 $ 107,590,681 $ 151,968,839 $ 225,381,267 $ 149,281,116
============== ============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ============== ==============
|
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2012
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
-------------------- -------------------- --------------------
INVESTMENT INCOME:
Dividends......................................................... $ 7,013,708 $ 7,603,726 $ 1,314,852
Securities lending income (net of fees)........................... 468,301 -- --
Interest.......................................................... 518 54 28
Foreign tax withholding........................................... -- -- (949)
-------------- -------------- --------------
Total investment income..................................... 7,482,527 7,603,780 1,313,931
-------------- -------------- --------------
EXPENSES:
Investment advisory fees.......................................... 2,432,835 1,422,841 493,267
Licensing fees.................................................... 486,567 284,569 98,653
Accounting and administration fees................................ 252,419 144,123 51,361
Legal fees........................................................ 120,083 72,733 27,467
Printing fees..................................................... 61,983 57,410 15,542
Custodian fees.................................................... 60,821 35,571 12,332
Transfer agent fees............................................... 24,328 14,228 4,933
Audit and tax fees................................................ 24,100 24,100 24,100
Trustees' fees and expenses....................................... 18,710 11,436 5,063
Listing fees...................................................... 8,219 8,220 8,219
Registration and filing fees...................................... (2,125) 9,889 (499)
Other expenses.................................................... 24,615 11,989 7,104
-------------- -------------- --------------
Total expenses.............................................. 3,512,555 2,097,109 747,542
Less fees waived and expenses reimbursed by the
investment advisor..................................... (106,586) (105,132) (56,968)
-------------- -------------- --------------
Net expenses................................................ 3,405,969 1,991,977 690,574
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................................... 4,076,558 5,611,803 623,357
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................. (81,619,814) (30,540,354) (25,094,275)
In-kind redemptions......................................... 57,591,812 17,274,310 (1,847,020)
-------------- -------------- --------------
Net realized gain (loss).......................................... (24,028,002) (13,266,044) (26,941,295)
Net change in unrealized appreciation (depreciation) on investments (18,367,325) (10,541,678) (10,797,382)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (42,395,327) (23,807,722) (37,738,677)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ (38,318,769) $ (18,195,919) $ (37,115,320)
============== ============== ==============
|
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 2,857,364 $ 3,472,903 $ 1,016,877 $ 3,811,485 $ 1,296,810 $ 7,184,590
-- -- -- -- -- --
19 155 12 217 18 27
(2,689) -- (688) (142,019) -- --
-------------- -------------- -------------- -------------- -------------- --------------
2,854,694 3,473,058 1,016,201 3,669,683 1,296,828 7,184,617
-------------- -------------- -------------- -------------- -------------- --------------
616,572 2,241,043 345,605 996,408 1,010,032 1,017,667
123,314 448,209 69,121 199,282 202,006 203,533
64,687 226,318 37,090 101,711 103,389 103,747
17,316 115,844 17,554 54,687 50,871 37,117
14,624 79,161 12,260 18,773 29,580 21,879
15,414 56,026 8,640 24,910 25,251 25,442
6,166 22,410 3,456 9,964 10,100 10,177
24,100 24,100 24,100 24,100 24,100 24,100
6,265 18,522 4,746 8,279 9,320 10,212
8,219 8,220 8,220 8,220 8,220 8,220
10,383 8,736 1,843 (1,929) 3,266 4,732
8,147 13,505 5,509 18,275 9,329 7,925
-------------- -------------- -------------- -------------- -------------- --------------
915,207 3,262,094 538,144 1,462,680 1,485,464 1,474,751
(52,006) (124,634) (54,297) (67,709) (71,419) (50,018)
-------------- -------------- -------------- -------------- -------------- --------------
863,201 3,137,460 483,847 1,394,971 1,414,045 1,424,733
-------------- -------------- -------------- -------------- -------------- --------------
1,991,493 335,598 532,354 2,274,712 (117,217) 5,759,884
-------------- -------------- -------------- -------------- -------------- --------------
(11,799,423) (39,717,185) (7,371,217) (48,441,420) (30,229,465) (8,802,453)
9,026,323 57,090,168 11,170,770 (3,020,539) 9,742,486 14,930,990
-------------- -------------- -------------- -------------- -------------- --------------
(2,773,100) 17,372,983 3,799,553 (51,461,959) (20,486,979) 6,128,537
(617,081) 19,725,231 (3,722,400) (30,518,299) 3,046,592 (1,314,630)
-------------- -------------- -------------- -------------- -------------- --------------
(3,390,181) 37,098,214 77,153 (81,980,258) (17,440,387) 4,813,907
-------------- -------------- -------------- -------------- -------------- --------------
$ (1,398,688) $ 37,433,812 $ 609,507 $ (79,705,546) $ (17,557,604) $ 10,573,791
============== ============== ============== ============== ============== ==============
|
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................. $ 4,076,558 $ 1,836,286 $ 5,611,803 $ 554,371
Net realized gain (loss)................................. (24,028,002) 67,094,756 (13,266,044) 10,435,820
Net change in unrealized appreciation (depreciation)..... (18,367,325) 24,000,362 (10,541,678) (3,235,197)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations....................................... (38,318,769) 92,931,404 (18,195,919) 7,754,994
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................... (4,016,850) (1,938,170) (3,136,681) (519,675)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................ 427,447,196 748,121,746 482,407,690 282,498,516
Cost of shares redeemed.................................. (585,968,809) (350,374,014) (363,115,605) (65,359,227)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions......................... (158,521,613) 397,747,732 119,292,085 217,139,289
------------- ------------- ------------- -------------
Total increase (decrease) in net assets.................. (200,857,232) 488,740,966 97,959,485 224,374,608
NET ASSETS:
Beginning of period...................................... 625,595,735 136,854,769 249,780,617 25,406,009
------------- ------------- ------------- -------------
End of period............................................ $ 424,738,503 $ 625,595,735 $ 347,740,102 $ 249,780,617
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period...................................... $ 59,708 $ -- $ 2,540,740 $ 65,618
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period.................. 29,300,002 8,600,002 10,200,002 1,350,002
Shares sold.............................................. 20,300,000 37,350,000 19,850,000 11,650,000
Shares redeemed.......................................... (28,900,000) (16,650,000) (15,250,000) (2,800,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period........................ 20,700,002 29,300,002 14,800,002 10,200,002
============= ============= ============= =============
|
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
------------------------------------------ ------------------------------------------ ------------------------------------------
For the For the For the For the For the For the
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 623,357 $ 480,247 $ 1,991,493 $ 3,839,819 $ 335,598 $ 12,157
(26,941,295) 20,438,895 (2,773,100) 42,090,966 17,372,983 16,497,084
(10,797,382) 6,164,891 (617,081) (11,001,578) 19,725,231 (11,998,114)
-------------- -------------- -------------- -------------- -------------- --------------
(37,115,320) 27,084,033 (1,398,688) 34,929,207 37,433,812 4,511,127
-------------- -------------- -------------- -------------- -------------- --------------
(599,560) (480,290) (1,798,590) (4,076,241) (309,400) (419,500)
-------------- -------------- -------------- -------------- -------------- --------------
90,742,748 211,285,734 292,002,782 372,456,598 791,273,324 341,874,444
(98,573,157) (113,428,238) (180,815,948) (429,186,698) (537,084,946) (152,270,043)
-------------- -------------- -------------- -------------- -------------- --------------
(7,830,409) 97,857,496 111,186,834 (56,730,100) 254,188,378 189,604,401
-------------- -------------- -------------- -------------- -------------- --------------
(45,545,289) 124,461,239 107,989,556 (25,877,134) 291,312,790 193,696,028
168,610,388 44,149,149 100,379,505 126,256,639 241,135,350 47,439,322
-------------- -------------- -------------- -------------- -------------- --------------
$ 123,065,099 $ 168,610,388 $ 208,369,061 $ 100,379,505 $ 532,448,140 $ 241,135,350
============== ============== ============== ============== ============== ==============
$ -- $ 1,276 $ 316,338 $ 2 $ 26,198 $ --
============== ============== ============== ============== ============== ==============
7,100,002 2,750,002 7,150,002 9,700,002 8,450,002 2,200,002
4,850,000 9,400,000 19,750,000 26,150,000 27,850,000 11,700,000
(5,300,000) (5,050,000) (12,500,000) (28,700,000) (18,550,000) (5,450,000)
-------------- -------------- -------------- -------------- -------------- --------------
6,650,002 7,100,002 14,400,002 7,150,002 17,750,002 8,450,002
============== ============== ============== ============== ============== ==============
|
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGE IN NET ASSETS
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 532,354 $ 236,103 $ 2,274,712 $ 3,377,031
Net realized gain (loss).................................. 3,799,553 5,778,805 (51,461,959) 40,056,634
Net change in unrealized appreciation (depreciation)...... (3,722,400) (1,837,646) (30,518,299) 18,413,551
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations....................................... 609,507 4,177,262 (79,705,546) 61,847,216
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................... (551,615) (252,090) (2,166,181) (6,954,230)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................ 192,935,848 65,434,780 155,484,105 663,106,313
Cost of shares redeemed.................................. (155,030,583) (34,292,004) (517,472,100) (278,289,444)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions......................... 37,905,265 31,142,776 (361,987,995) 384,816,869
------------- ------------- ------------- -------------
Total increase (decrease) in net assets.................. 37,963,157 35,067,948 (443,859,722) 439,709,855
NET ASSETS:
Beginning of period...................................... 65,912,620 30,844,672 588,549,096 148,839,241
------------- ------------- ------------- -------------
End of period............................................ $ 103,875,777 $ 65,912,620 $ 144,689,374 $ 588,549,096
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period...................................... $ -- $ 11,165 $ 160,246 $ --
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period ................. 3,650,002 2,000,002 24,300,002 7,450,002
Shares sold.............................................. 10,400,000 3,500,000 6,550,000 28,450,000
Shares redeemed.......................................... (8,200,000) (1,850,000) (24,500,000) (11,600,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period........................ 5,850,002 3,650,002 6,350,002 24,300,002
============= ============= ============= =============
|
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
----------------------------------------- -----------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
-------------------- -------------------- -------------------- -------------------
$ (117,217) $ (193,728) $ 5,759,884 $ 1,396,359
(20,486,979) 15,980,554 6,128,537 5,714,396
3,046,592 (13,796,850) (1,314,630) (1,071,266)
-------------- ------------- ------------- --------------
(17,557,604) 1,989,976 10,573,791 6,039,489
-------------- ------------- ------------- --------------
(124,254) (30,330) (5,735,711) (1,292,371)
-------------- ------------- ------------- --------------
227,697,802 247,389,281 456,124,401 94,385,800
(191,484,941) (111,695,006) (400,670,631) (42,603,726)
-------------- ------------- ------------- --------------
36,212,861 135,694,275 55,453,770 51,782,074
-------------- ------------- ------------- --------------
18,531,003 137,653,921 60,291,850 56,529,192
197,529,178 59,875,257 87,366,311 30,837,119
-------------- ------------- ------------- --------------
$ 216,060,181 $ 197,529,178 $ 147,658,161 $ 87,366,311
============== ============= ============= ==============
$ (96,141) $ -- $ 185,022 $ 160,849
============== ============= ============= ==============
9,055,000 3,305,000 4,950,002 2,000,002
10,450,000 10,650,000 25,950,000 5,400,000
(9,200,000) (4,900,000) (22,850,000) (2,450,000)
-------------- ------------- ------------- --------------
10,305,000 9,055,000 8,050,002 4,950,002
============== ============= ============= ==============
|
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 21.35 $ 15.91 $ 12.77 $ 14.19 $ 18.83
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.08 0.06 0.10 0.08
Net realized and unrealized gain (loss) (0.84) 5.44 3.14 (1.42) (4.64)
-------- -------- -------- -------- --------
Total from investment operations (0.66) 5.52 3.20 (1.32) (4.56)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.17) (0.08) (0.06) (0.10) (0.08)
Return of capital -- -- (0.00) (c) (0.00) (c) --
-------- -------- -------- -------- --------
Total distributions (0.17) (0.08) (0.06) (0.10) (0.08)
-------- -------- -------- -------- --------
Net asset value, end of period $ 20.52 $ 21.35 $ 15.91 $ 12.77 $ 14.19
======== ======== ======== ======== ========
TOTAL RETURN (a) (3.06)% 34.75% 25.08% (9.12)% (24.24)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $424,739 $625,596 $136,855 $ 6,386 $ 3,547
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.72% 0.73% 0.86% 1.59% 3.36%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.84% 0.44% 0.47% 1.00% 0.58%
Portfolio turnover rate (b) 98% 90% 114% 133% 91%
|
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 24.49 $ 18.82 $ 16.39 $ 17.96 $ 19.11
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.17 0.18 0.25 0.21
Net realized and unrealized gain (loss) (1.16) 5.68 2.43 (1.57) (1.14)
-------- -------- -------- -------- --------
Total from investment operations (0.74) 5.85 2.61 (1.32) (0.93)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.25) (0.18) (0.18) (0.25) (0.22)
-------- -------- -------- -------- --------
Net asset value, end of period $ 23.50 $ 24.49 $ 18.82 $ 16.39 $ 17.96
======== ======== ======== ======== ========
TOTAL RETURN (a) (3.03)% 31.21% 15.97% (7.14)% (4.86)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $347,740 $249,781 $ 25,406 $ 9,017 $ 2,695
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.74% 0.79% 0.98% 1.30% 2.55%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.97% 0.80% 1.18% 1.99% 1.10%
Portfolio turnover rate (b) 126% 108% 95% 145% 96%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
(c) Amount represents less than $0.01 per share.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 23.75 $ 16.05 $ 13.62 $ 23.85 $ 20.74
---------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.14 0.10 0.06 0.03 0.12
Net realized and unrealized gain (loss) (5.25) 7.71 2.42 (10.23) 3.12
---------- --------- --------- --------- ---------
Total from investment operations (5.11) 7.81 2.48 (10.20) 3.24
---------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.11) (0.05) (0.03) (0.13)
Net realized gain -- -- -- -- (0.00) (c)
Return of capital -- -- -- (0.00) (c) --
---------- --------- --------- --------- ---------
Total distributions (0.13) (0.11) (0.05) (0.03) (0.13)
---------- --------- --------- --------- ---------
Net asset value, end of period $ 18.51 $ 23.75 $ 16.05 $ 13.62 $ 23.85
========== ========= ========= ========= =========
TOTAL RETURN (a) (21.50)% 48.70% 18.26% (42.74)% 15.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 123,065 $ 168,610 $ 44,149 $ 9,531 $ 8,347
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.76% 0.75% 0.89% 1.35% 1.80%
Ratio of net expenses to average net
assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss)
to average net assets 0.63% 0.42% 0.36% 0.24% 0.48%
Portfolio turnover rate (b) 90% 101% 103% 116% 67%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 14.04 $ 13.02 $ 10.37 $ 12.41 $ 17.91
---------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21 0.30 0.11 0.18 0.29
Net realized and unrealized gain (loss) 0.42 1.05 2.65 (2.05) (5.44)
---------- --------- --------- --------- ---------
Total from investment operations 0.63 1.35 2.76 (1.87) (5.15)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.33) (0.11) (0.17) (0.35)
---------- --------- --------- --------- ---------
Net asset value, end of period $ 14.47 $ 14.04 $ 13.02 $ 10.37 $ 12.41
========== ========== ========= ========= =========
TOTAL RETURN (a) 4.57% 10.25% 26.68% (14.94)% (28.95)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 208,369 $ 100,380 $ 126,257 $ 8,295 $ 1,861
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.74% 0.74% 0.87% 1.50% 3.89%
Ratio of net expenses to average net
assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.61% 1.68% 1.43% 2.49% 2.13%
Portfolio turnover rate (b) 93% 62% 89% 140% 74%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
(c) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 28.54 $ 21.56 $ 17.66 $ 18.93 $ 19.48
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 0.01 (0.03) (0.02) (0.03)
Net realized and unrealized gain (loss) 1.46 7.03 3.93 (1.25) (0.52)
-------- -------- -------- -------- --------
Total from investment operations 1.48 7.04 3.90 (1.27) (0.55)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.02) (0.06) -- -- --
-------- -------- -------- -------- --------
Net asset value, end of period $ 30.00 $ 28.54 $ 21.56 $ 17.66 $ 18.93
======== ======== ======== ======== ========
TOTAL RETURN (a) 5.17% 32.67% 22.08% (6.71)% (2.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $532,448 $241,135 $ 47,439 $ 15,015 $ 8,521
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.73% 0.75% 0.87% 1.15% 2.03%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average net
assets 0.07% 0.01% (0.19)% (0.17)% (0.34)%
Portfolio turnover rate (b) 109% 116% 87% 138% 89%
|
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 18.06 $ 15.42 $ 12.03 $ 17.54 $ 18.87
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.16 0.08 0.11 0.10 0.05
Net realized and unrealized gain (loss) (0.29) 2.65 3.39 (5.52) (1.33)
-------- -------- -------- -------- --------
Total from investment operations (0.13) 2.73 3.50 (5.42) (1.28)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.17) (0.09) (0.11) (0.09) (0.05)
-------- -------- -------- -------- --------
Net asset value, end of period $ 17.76 $ 18.06 $ 15.42 $ 12.03 $ 17.54
======== ======== ======== ======== ========
TOTAL RETURN (a) (0.72)% 17.68% 29.16% (30.83)% (6.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $103,876 $ 65,913 $ 30,845 $ 5,412 $ 4,384
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.78% 0.79% 0.99% 1.63% 1.90%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average net
assets 0.77% 0.47% 0.95% 0.99% 0.29%
Portfolio turnover rate (b) 97% 102% 95% 153% 81%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 24.22 $ 19.98 $ 15.26 $ 21.90 $ 20.17
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.29 0.22 0.25 0.20 0.16
Net realized and unrealized gain (loss) (1.45) 4.40 4.72 (6.64) 1.75
-------- -------- -------- -------- --------
Total from investment operations (1.16) 4.62 4.97 (6.44) 1.91
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.27) (0.38) (0.25) (0.20) (0.18)
-------- -------- -------- -------- --------
Net asset value, end of period $ 22.79 $ 24.22 $ 19.98 $ 15.26 $ 21.90
======== ======== ======== ======== ========
TOTAL RETURN (a) (4.78)% 23.12% 32.72% (29.20)% 9.44%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $144,689 $588,549 $148,839 $ 9,922 $ 5,474
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.73% 0.73% 0.84% 1.40% 2.33%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average net
assets 1.14% 0.77% 1.15% 1.46% 0.75%
Portfolio turnover rate (b) 92% 116% 90% 153% 59%
|
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 21.81 $ 18.12 $ 14.47 $ 17.63 $ 20.47
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01) (0.02) (0.04) (0.02) (0.02)
Net realized and unrealized gain (loss) (0.82) 3.72 3.69 (3.14) (2.82)
-------- -------- -------- -------- --------
Total from investment operations (0.83) 3.70 3.65 (3.16) (2.84)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.01) (0.01) -- -- --
-------- -------- -------- -------- --------
Net asset value, end of period $ 20.97 $ 21.81 $ 18.12 $ 14.47 $ 17.63
======== ======== ======== ======== ========
TOTAL RETURN (a) (3.80)% 20.40% 25.22% (17.92)% (13.87)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $216,060 $197,529 $ 59,875 $ 12,374 $ 8,904
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.74% 0.74% 0.90% 1.26% 2.01%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average net
assets (0.06)% (0.14)% (0.40)% (0.17)% (0.29)%
Portfolio turnover rate (b) 101% 109% 112% 135% 89%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR -ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------- ------------- ------------- ------------- -------------
-Net asset value, beginning of period $ 17.65 $ 15.42 $ 13.66 $ 16.19 $ 18.37
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.45 0.39 0.38 0.44 0.90
Net realized and unrealized gain (loss) 0.70 2.22 1.76 (2.50) (2.17)
-------- -------- -------- -------- --------
Total from investment operations 1.15 2.61 2.14 (2.06) (1.27)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.46) (0.38) (0.38) (0.47) (0.91)
-------- -------- -------- -------- --------
Net asset value, end of period $ 18.34 $ 17.65 $ 15.42 $ 13.66 $ 16.19
======== ======== ======== ======== ========
TOTAL RETURN (a) 6.65% 17.03% 15.80% (12.53)% (7.39)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $147,658 $ 87,366 $ 30,837 $ 13,660 $ 5,667
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.72% 0.79% 0.92% 1.15% 2.50%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average net
assets 2.83% 2.77% 2.97% 4.03% 2.96%
Portfolio turnover rate (b) 72% 66% 60% 128% 68%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 56 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one funds considered either a Sector Fund or a Style Fund, each type having a separate report. This report covers the nine Sector Funds listed below:
First Trust Consumer Discretionary AlphaDEX(R) Fund - (NYSE Arca, Inc.
("NYSE Arca") ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (NYSE Arca ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (NYSE Arca ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (NYSE Arca ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (NYSE Arca ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (NYSE Arca
ticker "FXR")
First Trust Materials AlphaDEX(R) Fund - (NYSE Arca ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (NYSE Arca ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (NYSE Arca ticker "FXU")
Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1) |
(1) This index is developed, maintained and sponsored by NYSE Euronext or its affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the Index was developed,maintained and sponsored by AMEX.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally
4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Each Fund's securities will be valued as follows:
Securities listed on any exchange other than the NASDAQ Stock Market, Inc. ("NASDAQ") or the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked prices on such day. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there is no official closing price on the valuation day, the securities are valued at the mean of the most recent bid and ask prices on such day.
Securities traded in the over-the-counter market, but excluding securities trading on the NASDAQ or the AIM, are valued at the closing bid prices.
Short-term investments that mature in less than 60 days when purchased are valued at amortized cost.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodology 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 July 31, 2012, is included with each Fund's Portfolio of Investments.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. SECURITIES LENDING
The Funds may lend securities representing up to 20% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities.
These events could also trigger adverse tax consequences for the Funds. Under the Funds' securities lending agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The dividend and interest earned on the securities loaned are accounted for in the same manner as other dividend and interest income. At July 31, 2012, FXD has securities in the securities lending program.
D. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually.
On January 23, 2012, the Board of Trustees approved a change to quarterly dividends for each of the Funds. This change will be effective with the filing with the SEC of each Fund's prospectus in November 2012.
Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the year ended July 31, 2012 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 4,016,850 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 3,136,681 -- --
First Trust Energy AlphaDEX(R) Fund 599,560 -- --
First Trust Financials AlphaDEX(R) Fund 1,798,590 -- --
First Trust Health Care AlphaDEX(R) Fund 309,400 -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 551,615 -- --
First Trust Materials AlphaDEX(R) Fund 2,166,181 -- --
First Trust Technology AlphaDEX(R) Fund 124,254 -- --
First Trust Utilities AlphaDEX(R) Fund 5,735,711
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
The tax character of distributions paid by each Fund during the year ended July 31, 2011 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,938,170 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 519,675 -- --
First Trust Energy AlphaDEX(R) Fund 480,290 -- --
First Trust Financials AlphaDEX(R) Fund 4,076,241 -- --
First Trust Health Care AlphaDEX(R) Fund 419,500 -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 252,090 -- --
First Trust Materials AlphaDEX(R) Fund 6,954,230 -- --
First Trust Technology AlphaDEX(R) Fund 30,330 -- --
First Trust Utilities AlphaDEX(R) Fund 1,292,371 -- --
|
As of July 31, 2012, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ----------------- ------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 59,708 $ (88,259,896) $ 3,890,128
First Trust Consumer Staples AlphaDEX(R) Fund 2,540,740 (25,683,972) (13,893,253)
First Trust Energy AlphaDEX(R) Fund -- (30,537,272) (8,677,068)
First Trust Financials AlphaDEX(R) Fund 316,338 (13,245,457) (12,233,181)
First Trust Health Care AlphaDEX(R) Fund 26,198 (26,071,924) (2,833,682)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (9,529,553) (4,855,955)
First Trust Materials AlphaDEX(R) Fund 160,246 (54,775,251) (9,621,779)
First Trust Technology AlphaDEX(R) Fund -- (36,191,454) (11,515,790)
First Trust Utilities AlphaDEX(R) Fund 185,022 (6,912,169) (4,391,253)
|
E. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2009, 2010, 2011 and 2012 remain open to federal and state audit. As of July 31, 2012, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At July 31, 2012, the Fund had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Available Available Effective - Capital
through through through through through no Loss
July 31, 2015 July 31, 2016 July 31, 2017 July 31, 2018 July 31, 2019 expiration Available
------------- ------------- ------------- ------------- ------------- ---------- ---------
First Trust Consumer
Discretionary
AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $1,138,594 $9,617,858 $76,653,214 $88,259,896
First Trust Consumer
Staples AlphaDEX(R)
Fund -- 63,580 422,511 1,058,131 -- 24,139,750 25,683,972
First Trust Energy
AlphaDEX(R) Fund -- 73,845 2,326,320 2,084,336 3,349,453 22,703,318 30,537,272
First Trust Financials
AlphaDEX(R) Fund 2,757 13,300 671,958 1,630,337 3,464,108 7,462,997 13,245,457
First Trust Health Care
AlphaDEX(R) Fund 18,355 28,397 774,570 2,582,977 1,764,162 20,903,463 26,071,924
First Trust Industrials/
Producer Durables
AlphaDEX(R) Fund 23,631 183,210 798,398 1,325,584 1,133,736 6,064,994 9,529,553
First Trust Materials
AlphaDEX(R) Fund 4,424 13,424 1,265,429 886,622 7,397,299 45,208,053 54,775,251
First Trust Technology
AlphaDEX(R) Fund 12,398 22,456 1,608,491 2,508,150 2,516,610 29,619,490 36,287,595
First Trust Utilities
AlphaDEX(R) Fund -- -- 557,777 1,956,482 -- 4,397,910 6,912,169
|
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for Federal income tax purposes. For the fiscal year ended July 31, 2012, the following Funds incurred and elected to defer net ordinary losses as follows:
Qualified Late Year Losses
------------------------------
Ordinary Losses
-------------------
First Trust Consumer Staples AlphaDEX(R) Fund $ --
First Trust Consumer Discretionary AlphaDEX(R) Fund --
First Trust Energy AlphaDEX(R) Fund --
First Trust Financials AlphaDEX(R) Fund --
First Trust Health Care AlphaDEX(R) Fund --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund --
First Trust Materials AlphaDEX(R) Fund --
First Trust Technology AlphaDEX(R) Fund 96,141
First Trust Utilities AlphaDEX(R) Fund --
|
In order to present paid-in capital and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2012, the adjustments for each Fund were as follows:
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (47,887,382) $ 47,887,382
First Trust Consumer Staples AlphaDEX(R) Fund -- (11,407,603) 11,407,603
First Trust Energy AlphaDEX(R) Fund (25,073) 3,815,474 (3,790,401)
First Trust Financials AlphaDEX(R) Fund 123,433 (6,540,815) 6,417,382
First Trust Health Care AlphaDEX(R) Fund -- (47,688,853) 47,688,853
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 8,096 (9,824,939) 9,816,843
First Trust Materials AlphaDEX(R) Fund 51,715 8,843,912 (8,895,627)
First Trust Technology AlphaDEX(R) Fund 145,330 (5,481,906) 5,336,576
First Trust Utilities AlphaDEX(R) Fund -- (12,256,381) 12,256,381
|
F. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.
FTP has entered into a licensing agreement with Archipelago for each of the Sector Funds. The license agreement allows for the use by FTP of certain trademarks and trade names of Archipelago and certain trademarks and trade names of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the "Advisor") are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations.
G. ACCOUNTING PRONOUNCEMENTS
In April 2011, the Financial Accounting Standards Board ("FASB") released Accounting Standards Update ("ASU") No. 2011-03, "Reconsideration of Effective Control for Repurchase Agreements." This ASU amends FASB Accounting Standards Codification ("ASC") Topic 860, "Transfers and Servicing"; specifically the criteria required to determine whether a repurchase agreement and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. This ASU is effective for fiscal years and interim periods beginning on or after December 15, 2011. Management has concluded that the adoption of ASU No. 2011-03 is not expected to have a material impact on the Funds' financial statements and the accompanying notes, net assets or results of operations.
In May 2011, FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs", modifying Topic 820, "Fair Value Measurements and Disclosures". At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, "Fair Value Measurement." The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose (i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, (ii) for Level 3 fair value measurements, quantitative information about significant unobservable inputs used, (iii) a description of the valuation processes used by the reporting entity, and (iv) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the updated standards on the Funds' financial statements, if any.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain other services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap, pursuant to a contractual agreement, will be in effect until at least November 30, 2013.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts, if any, would be included in "Expenses previously waived or reimbursed" on the Statements of Operations.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
The advisory fee waivers and expense reimbursements for the year ended July 31, 2012 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows:
Expenses Borne by Advisor Subject to Recovery
------------------------------------------------------
Advisory Expense Year Year Year
Fee Reim- Ended Ended Ended
Waivers bursements July 31, 2010 July 31, 2011 July 31, 2012 Total
---------- ---------- ------------- ------------- ------------- ---------
First Trust Consumer Discretionary
AlphaDEX(R) Fund $ 106,586 $ -- $ 110,096 $ 109,492 $ 106,586 $ 326,174
First Trust Consumer Staples
AlphaDEX(R) Fund 105,132 -- 51,148 59,013 105,132 215,293
First Trust Energy AlphaDEX(R) Fund 56,968 -- 67,669 52,991 56,968 177,628
First Trust Financials AlphaDEX(R) Fund 52,006 -- 104,140 90,841 52,006 246,987
First Trust Health Care AlphaDEX(R) Fund 124,634 -- 66,052 66,543 124,634 257,229
First Trust Industrials/Producer Durables
AlphaDEX(R) Fund 54,297 -- 52,980 45,159 54,297 152,436
Fir Trust Materials AlphaDEX(R) Fund 67,709 -- 114,679 114,169 67,709 296,557
First Trust Technology AlphaDEX(R) Fund 71,419 -- 67,139 62,099 71,419 200,657
First Trust Utilities AlphaDEX(R) Fund 50,018 -- 53,420 46,722 50,018 150,160
|
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for performing transfer agency services for the Trust. BNYM is a subsidiary of the Bank of New York Mellon Corporation, a financial holding company.
Effective January 23, 2012, James A. Bowen resigned from his position as the President and Chief Executive Officer of the Trust. He will continue as a Trustee, the Chairman of the Board of Trustees and a member of the Executive Committee. The Board elected Mark R. Bradley to serve as the President and Chief Executive Officer of the Trust and James M. Dykas to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Trust.
Effective January 1, 2012, each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer of $125,000 per year and an annual per fund fee of $4,000 for each closed-end fund or other actively managed fund and $1,000 for each index fund in the First Trust Fund Complex. The fixed annual retainer is allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, each Independent Trustee received an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each additional trust in the First Trust Fund Complex. The annual retainer was allocated equally among each of the trusts.
Additionally, the Lead Independent Trustee is paid $15,000 annually, the Chairman of the Audit Committee is paid $10,000 annually, and each of the Chairmen of the Nominating and Governance Committee and the Valuation Committee is paid $5,000 annually to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, the annual amounts paid were $10,000, $5,000 and $2,500, respectively. Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and each Committee chairman will serve two-year terms before rotating to serve as chairman of another committee or as Lead Independent Trustee. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
4. PURCHASES AND SALES OF SECURITIES
For the year ended July 31, 2012, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $487,115,242 $500,589,931
First Trust Consumer Staples AlphaDEX(R) Fund 366,670,366 379,901,642
First Trust Energy AlphaDEX(R) Fund 92,773,536 92,499,461
First Trust Financials AlphaDEX(R) Fund 118,658,332 118,916,745
First Trust Health Care AlphaDEX(R) Fund 487,091,617 490,086,537
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 66,953,858 66,897,741
First Trust Materials AlphaDEX(R) Fund 199,947,393 211,964,420
First Trust Technology AlphaDEX(R) Fund 209,922,891 213,359,106
First Trust Utilities AlphaDEX(R) Fund 139,177,715 138,595,680
For the year ended July 31, 2012, the cost of in-kind purchases and proceeds
from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $426,462,317 $571,157,906
First Trust Consumer Staples AlphaDEX(R) Fund 481,712,883 346,712,641
First Trust Energy AlphaDEX(R) Fund 90,637,664 98,712,641
First Trust Financials AlphaDEX(R) Fund 291,712,382 180,195,403
First Trust Health Care AlphaDEX(R) Fund 788,431,344 531,090,992
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 192,813,149 154,919,808
First Trust Materials AlphaDEX(R) Fund 155,174,424 491,959,849
First Trust Technology AlphaDEX(R) Fund 277,784,870 188,326,018
First Trust Utilities AlphaDEX(R) Fund 455,481,807 400,492,382
|
5. CREATION, REDEMPTION & TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012
Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before November 30, 2013.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. --However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust Utilities AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Fund"), including the portfolios of investments, as of July 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of July 31, 2012 by correspondence with the Fund's custodian and brokers; where replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2012, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP -------------------------------- Chicago, Illinois September 27, 2012 |
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the 12-months ended July 31, 2012 is available
(1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of each Fund's portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling
(800) 988-5891; (2) on the Trust's website located at
http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2012, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction
---------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 100.00%
First Trust Health Care AlphaDEX(R) Fund 100.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2012, the following percentages of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
---------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 100.00%
First Trust Health Care AlphaDEX(R) Fund 100.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU)
The Board approved the continuation of the Agreement for a one-year period ending March 31, 2013, for each Fund at a meeting held on March 11-12, 2012. The Board of Trustees determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the services, expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged to a peer group of Funds compiled by Lipper Inc. ("Lipper"), an independent source (the "Lipper Expense Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other exchange-traded funds ("ETFs") managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's Lipper Expense Group; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P.; and a summary of the Advisor's compliance program. Following receipt of this information, counsel to the Independent Trustees posed follow-up questions to the Advisor, and the Independent Trustees and their counsel then met separately to discuss the information provided by the Advisor, including the supplemental responses. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's investment advisory fee. The Board also considered that the Agreement was approved by shareholders of each Fund at meetings held in December 2010.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. In light of the information presented and the considerations made, the Board concluded that the nature, quality and extent of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective and policies.
The Board considered the advisory fees payable by each Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2013. For each Fund, the Board noted that expenses borne by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne by the Advisor. The Board considered the fees charged by the Advisor to other ETFs and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
to the fees charged to the Funds. In addition, the Board received data prepared by Lipper showing the management fees and expense ratios of each Fund as compared to the Fund's Lipper Expense Group. Because each Fund's Lipper Expense Group included peer funds that pay a unitary fee, the Board determined that the Funds' expense ratios were the more relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median of the Fund's Lipper Expense Group. The Board discussed with representatives of the Advisor the limitations in creating a relevant peer group for each Fund, including that (i) many of the Funds are unique in their composition, which makes assembling peers with similar strategies and asset mix difficult and (ii) Lipper omitted certain peer funds due to size that are otherwise logical and appropriate comparisons based on style, strategy and objective. The Board took these limitations into account in considering the Lipper data. The Board also considered information regarding First Trust ETFs from a February 2012 report from Cogent Research on ETF investors.
The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund was consistent with the target set forth in the Fund's prospectus. In addition, the Board received data prepared by Lipper comparing each Fund's performance to a peer group selected by Lipper (the "Lipper Performance Group") and to a broad-based benchmark. In reviewing each Fund's performance as compared to the performance of the Fund's Lipper Performance Group, the Board took into account the limitations described above with respect to creating relevant peer groups for the Funds.
On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fees for each Fund were reasonable and appropriate in light of the nature, quality and extent of services provided by the Advisor to each Fund under the Agreement.
The Board noted that the Advisor has continued to invest in personnel and infrastructure and considered whether fee levels reflect any economies of scale for the benefit of shareholders. The Board concluded that the advisory fee for each Fund reflects an appropriate level of sharing of any economies of scale at current asset levels. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2011, as set forth in the materials provided to the Board. Based on the information provided, the Board concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund for calendar year 2011 were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of Trust and each Fund. No single factor was determinative in the Board's analysis.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2012 (UNAUDITED)
The Trust's respective statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
Number of
Portfolios in
Term of Office the First Trust Other
Name, Address, and Year First Fund Complex Trusteeships or
Date of Birth and Elected or Principal Occupations Overseen by Directorships
Position with the Trust Appointed During Past 5 Years Trustee Held by Trustee
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton Orthope- 93 None
c/o First Trust Advisors L.P. dics; Co-Owner and Co-Director (January
120 E. Liberty Drive, o Since Inception 1996 to May 2007), Sports Med Center for
Suite 400 Fitness; Limited Partner, Gundersen Real
Wheaton, IL 60187 Estate Limited Partnership; Member,
D.O.B.: 04/51 Sportsmed LLC
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to present), Senior 93 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), Vice President Inc. and ADM
Suite 400 and Chief Financial Officer (1990 to May Investor Services,
Wheaton, IL 60187 2007), ADM Investor Services, Inc. International
D.O.B.: 11/57 (Futures Commission Merchant)
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 93 None
c/o First Trust Advisors L.P. Enterprises (Financial and Management
120 E. Liberty Drive, o Since Inception Consulting)
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term President and Chief Executive Officer 93 Director of
c/o First Trust Advisors L.P. (June 2012 to Present), Dew Learning LLC Covenant
120 E. Liberty Drive, o Since Inception (Educational Products and Services); Transport Inc.
Suite 400 President (June 2002 to June 2012),
Wheaton, IL 60187 Covenant College
D.O.B.: 03/54
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 to 93 None
Chairman of the Board Present), President (until December 2010),
120 E. Liberty Drive, o Since Inception First Trust Advisors L.P. and First Trust
Suite 400 Portfolios L.P.; Chairman of the Board of
Wheaton, IL 60187 Directors, BondWave LLC
D.O.B.: 09/55 (Software Development Company/
Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2012 (UNAUDITED)
Position and Term of Office
Name, Address Offices and Length of Principal Occupations
and Date of Birth with Trust Service During Past 5 Years
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(2)
------------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley President and Chief Executive o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Officer and Chief Financial Officer, First Trust Advisors L.P.
Suite 400 o Since January 2012 and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Officer, BondWave LLC (Software Development
D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
James M. Dykas Treasurer, Chief Financial o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, Officer and Chief Accounting President (April 2007 to Present), Vice President
Suite 400 Officer o Since January 2012 (January 2005 to April 2007), First Trust Advisors
Wheaton, IL 60187 L.P. and First Trust Portfolios L.P.
D.O.B.: 01/66
Rosanne Gatta Assistant Secretary o Indefinite Term Board Liaison Associate (July 2010 to Present), First
120 E. Liberty Drive, Trust Advisors L.P. and First Trust Portfolios L.P.;
Suite 400 o Since March 2011 Assistant Vice President (February 2001 to July
Wheaton, IL 60187 2010), PNC?Global Investment Servicing
D.O.B.: 07/55
W. Scott Jardine Secretary o Indefinite Term General Counsel, First Trust Advisors L.P. and First
120 E. Liberty Drive, Trust Portfolios L.P.; Secretary, BondWave LLC
Suite 400 o Since Inception (Software Development Company/Investment Advisor)
Wheaton, IL 60187 and Stonebridge Advisors LLC (Investment Advisor)
D.O.B.: 05/60
Erin E. Klassman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to Present),
120 E. Liberty Drive, Associate Counsel (March 2006 to October 2007),
Suite 400 o Since June 2009 First Trust Advisors L.P. and First Trust Portfolios
Wheaton, IL 60187 L.P.; Associate Attorney (November 2003 to March
D.O.B.: 08/76 2006), Doyle & Bolotin, Ltd.
Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to
120 E. Liberty Drive, Present), Vice President (April 2004 to September
Suite 400 o Since Inception 2005), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 02/70
Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present),
120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios
Suite 400 o Since July 2008 L.P.; Vice President (May 1998 to January 2008), Van
Wheaton, IL 60187 Kampen Asset Management and Morgan Stanley
D.O.B.: 07/58 Investment Management
Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel (May 2007 to Present),
120 E. Liberty Drive, Chief Compliance Officer Assistant General Counsel (March 2004 to May
Suite 400 o Since Inception 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 12/66
Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present),
120 E. Liberty Drive, Vice President (August 2001 to November 2003), First
Suite 400 o Since Inception Trust Advisors L. P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Vice President (August 2005 to Present), First Trust
120 E. Liberty Drive, Advisors L.P. and First Trust Portfolios L.P; Vice
Suite 400 o Since Inception President (May 2004 to August 2005), BondWave LLC
Wheaton, IL 60187 (Software Development Company/Investment Advisor)
D.O.B.: 11/70
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the Funds.
Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments.
An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund.
Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index.
Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index.
Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track.
Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund.
Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds.
Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence.
Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets.
The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
and the First Trust Utilities AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies.
The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace.
The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits and may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products.
The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, oil prices have been extremely volatile.
The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; decreases in the availability of capital; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. In addition, the Fund may invest in companies that may be significantly affected by the downturn in the U.S. and world economies that began with the significant decline in the subprime mortgage lending market in the United States.
The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Companies in the health care sector are involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services, and are subject to extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers.
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives.
The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Companies in the materials sector are involved in the extracting or processing of raw materials. General risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices.
The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. General risks of technology companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2012 (UNAUDITED)
The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees.
Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of a Fund's assets can decline as can the value of a Fund's distributions. Common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase.
The Funds may invest in non-U.S. securities publicly traded in the United
States. Securities issued by non-U.S. companies present risks beyond those of
securities of U.S. issuers. Risks of investing in non-U.S. securities include:
different accounting standards; expropriation, nationalization or other adverse
political or economic developments; currency devaluation, blockages or transfer
restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions
on non-U.S. investments and exchange of securities; and less government
supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S.
securities also may be more volatile.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
PRIVACY POLICY OF FIRST TRUST PORTFOLIOS L.P. AND FIRST TRUST ADVISORS L.P.
("FIRST TRUST")
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;
o Information about your transactions with us, our affiliates or others;
o Information we receive from your inquiries by mail, e-mail or telephone; and
o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:
o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.
o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.
PRIVACY ONLINE
We allow third-party companies, including AddThis (a social media sharing service), to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).
This page is intentionally left blank.
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2012
AlphaDEX(R)
FAMILY OF ETFS
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund............................ 4
First Trust Mid Cap Core AlphaDEX(R) Fund.............................. 6
First Trust Small Cap Core AlphaDEX(R) Fund............................ 8
First Trust Large Cap Value AlphaDEX(R) Fund........................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund.......................... 12
First Trust Multi Cap Value AlphaDEX(R) Fund........................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund.......................... 16
First Trust Mid Cap Value AlphaDEX(R) Fund............................. 18
First Trust Mid Cap Growth AlphaDEX(R) Fund............................ 20
First Trust Small Cap Value AlphaDEX(R) Fund........................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund.......................... 24
First Trust Mega Cap AlphaDEX(R) Fund.................................. 26
Notes to Fund Performance Overview........................................... 28
Understanding Your Fund Expenses............................................. 29
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund............................ 31
First Trust Mid Cap Core AlphaDEX(R) Fund.............................. 37
First Trust Small Cap Core AlphaDEX(R) Fund............................ 42
First Trust Large Cap Value AlphaDEX(R) Fund........................... 49
First Trust Large Cap Growth AlphaDEX(R) Fund.......................... 53
First Trust Multi Cap Value AlphaDEX(R) Fund........................... 57
First Trust Multi Cap Growth AlphaDEX(R) Fund.......................... 66
First Trust Mid Cap Value AlphaDEX(R) Fund............................. 73
First Trust Mid Cap Growth AlphaDEX(R) Fund............................ 77
First Trust Small Cap Value AlphaDEX(R) Fund........................... 80
First Trust Small Cap Growth AlphaDEX(R) Fund.......................... 85
First Trust Mega Cap AlphaDEX(R) Fund.................................. 89
Statements of Assets and Liabilities......................................... 92
Statements of Operations..................................................... 95
Statements of Changes in Net Assets.......................................... 98
Financial Highlights.........................................................102
Notes to Financial Statements................................................109
Report of Independent Registered Public Accounting Firm......................118
Additional Information.......................................................119
Board of Trustees and Officers...............................................122
Risk Considerations..........................................................124
Privacy Policy...............................................................126
|
-------------------------------------------------------------------------------- |
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks in investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It includes details about the portfolios and presents data and analysis that provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2012
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First Trust Exchange-Traded AlphaDEX(R) Fund.
The report you hold contains detailed information about the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund over the twelve months ended July 31, 2012. It contains a market overview and a performance analysis for the period. I encourage you to read this document and discuss it with your financial advisor. A successful investor is also typically a knowledgeable one, as we have found to be the case at First Trust.
First Trust remains committed to being a long-term investor and investment manager and to bringing you quality financial solutions regardless of market ups and downs. We have always believed, as I have written previously, that there are two ways to attain success in reaching your financial goals: staying invested in quality products and having a long-term investment horizon. We are committed to this approach in the products we manage or supervise and offer to investors.
As you know, First Trust offers a variety of products that we believe could fit many financial plans to help investors seeking long-term investment success. We encourage you to talk to your advisor about the other investments First Trust offers that might also fit your financial goals and to discuss those goals with your advisor regularly so that he or she can help keep you on track.
First Trust will continue to make available up-to-date information about your investments so you and your financial advisor are current on any First Trust investments you own. We value our relationship with you, and thank you for the opportunity to assist you in achieving your financial goals. I look forward to the remainder of 2012 and to the next edition of your Fund's report.
Sincerely,
/s/ James A. Bowen ------------------------- James A. Bowen Chairman of the Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund and Chief Executive Officer of First Trust Advisors L.P. |
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2012
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 23 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
The U.S., while clearly not hitting on all cylinders, is one of the most attractive markets for investors to consider committing capital to, in our opinion. Interest rate levels are near their historic lows in some instances, inflation has declined from 3.6% in July 2011 to 1.4% in July 2012, corporate profits are still relatively strong but expected to strengthen, and, aside from the high unemployment rate, the U.S. economy is performing better than most people realize. The U.S. gross domestic product (GDP) growth rate was 2.3% over the past four quarters (through June 2012). That is actually higher than the 1.7% GDP growth rate for the 10-year period ended June 2012. The Blue Chip Economic Indicators survey of 50 leading economists in early August revealed a 2013 U.S. Gross Domestic Product (GDP) forecast of 2.5%.
Data compiled by the Rockefeller Institute shows that total state tax collections rose 4.7% (year-over-year) in Q1'12, the ninth consecutive quarter in which revenues were up, according to its own release. Eleven states reported double-digit growth. Overall state tax revenues are now above peak levels attained several months into the recession. With respect to the banking industry, data from the Federal Deposit Insurance Corporation (FDIC) revealed that U.S. banks saw their earnings rise 21% (year-over-year) in Q2'12. Industry profits increased for the 12th consecutive quarter, with 89% of banks posting gains.
There are other indications that the economy has taken a turn for the better. The U.S. consumer credit default rate is currently at its lowest point since late 2006, according to the S&P/Experian Consumer Credit Default Composite Index. The default rate stood at 1.5% in July 2012, below the 2.0% level it registered in August 2007, which was just before the start of the financial crisis. The BGOV (Bloomberg Government) Barometer shows that household debt as a percentage of GDP has declined to 83.5%, the lowest level since 2004, and significantly below the all-time high of 97.7% reached during the financial crisis, according to Bloomberg. Zillow Inc. announced that home values posted their first year-over-year increase since 2007 in Q2'12, according to Bloomberg. Residential property values rose 0.2% from Q2'11. Home values rose four consecutive months through June.
U.S. STOCKS AND BONDS
All of the major U.S. stock indices posted gains for the 12-month period ended July 31, 2012. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were up 9.1%, 1.2%, and 4.0%, respectively, according to Bloomberg. We could be witnessing a changing of the guard in the market with respect to leadership. Large-cap stocks had lagged mid- and small-caps for the past 3, 5, 10, 15 and 20-year periods (as of 6/30/12), according to Bloomberg. Eight of the 10 major sectors in the S&P 500 posted gains over the past 12 months. The top performing sector was Telecommunication Services, up 30.5%, while the weakest showing came from Materials, down 5.2%. The year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected to be 5.4% in 2012 and 13.4% in 2013, according to Standard & Poor's.
The current bull market has lasted 1,240 days (as of 7/31/12). It is the ninth longest on record, according to Bespoke Investment Group. The longest bull market on record lasted 4,494 days (12/4/87-3/24/00). The S&P 500's price-only return from 3/9/09-7/31/12 was 103.9%, also the ninth best on record. The aforementioned longest rally also posted the best return at 582.1%. In the 25 bull markets prior to this one, the average length was 890 days with an average price-only return of 101.6%.
In the U.S. bond market, all of the domestic categories performed well. The onset of economic weakness in Europe, stemming from its ongoing debt crisis, the tempering of growth in China and the drop in inflation in the U.S. and abroad, helped fuel a rally in bonds. The yield on the benchmark 10-Year T-Note fell 133 basis points from 2.80% on 7/29/11 to 1.47% on 7/31/12. Its yield actually hit an all-time low of 1.39% on 7/24/12. Despite concerns from a small number of influential pundits warning there could be a potential spike in the default rate for municipalities (never materialized), the top performing major group by far was tax-free debt. The Barclays Capital Municipal Bond: Long Bond (22+) Index posted a total return of 16.8%. The next closest domestic category was high yield corporate bonds, up 8.1%, as measured by the Barclays Capital U.S. Corporate High Yield Index. Treasuries, while posting a positive return, had the weakest showing of the major categories, up 4.6%, as measured by the Barclays Capital U.S. Treasury: Intermediate Index.
FOREIGN STOCKS AND BONDS
Since the biggest and most pressing concern overseas has been the debt crisis in the European Union, which is comprised of developed nations, investors appeared to be more comfortable with investing in emerging markets debt. The Barclays Capital Global Emerging Markets Index of debt securities rose 8.5% (USD), while the Barclays Capital Global Aggregate Index of higher quality debt returned 1.8% (USD), according to Barclays Capital. Due to the slowing of economic activity abroad, investors did not appear to be enthusiastic about foreign equities in general. The MSCI Emerging Markets Index of stocks declined by 13.9% (USD), while the MSCI World Index (excluding the U.S.) of stocks from developed countries fell 11.6% (USD). The U.S. dollar appreciated 11.8% against a basket of major currencies, as measured by the Dollar Index (DXY).
FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX."
The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of McGraw-Hill Companies, Inc. ("S&P") to objectively identify and select stocks from the S&P 500(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 2.20% 1.12% 0.21% 5.74% 1.09%
Market Price 2.24% 1.13% 0.20% 5.76% 1.07%
INDEX PERFORMANCE
Defined Large Cap Core Index 2.97% 1.89% 0.97% 9.81% 5.19%
S&P 500(R) Index 9.13% 1.13% 0.47% 5.78% 2.50%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FEX's one-year NAV return of +2.20% underperformed the benchmark S&P 500(R) Index return of +9.13% by -6.93%. The Information Technology sector was a major cause of Fund underperformance relative to the benchmark. The benchmark's holdings in the sector were heavily concentrated in large companies such as Apple, Inc. (+56.4% annual return) and Intel (+19.0%) where the Fund had much less concentrated holdings. As a result, the Fund's holdings from the Information Technology sector returned -3.5% versus +13.0 for the benchmark's constituents from the sector. In total, the Information Technology sector caused -2.5% of Fund underperformance relative to the benchmark. The Health Care sector was another source of FEX's underperformance relative to the benchmark. The benchmark's concentration in large pharmaceutical companies such as Abbott Laboratories (+33.7% annual return), Merck & Co., Inc. (+35.5%), and Pfizer, Inc. (+30.1%) was the major cause of the benchmark's outperformance relative to FEX within the sector. In total, the Fund's holdings in the Health Care sector returned +2.9% versus +15.4% for the benchmark's constituents in the sector, resulting in -1.4% of Fund underperformance.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 15.21%
Information Technology 13.07
Industrials 12.20
Financials 11.42
Energy 11.19
Health Care 10.91
Consumer Staples 9.42
Materials 7.30
Utilities 6.85
Telecommunication Services 2.43
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
MetroPCS Communications, Inc. 0.64%
Western Digital Corp. 0.58
Seagate Technology PLC 0.54
Walgreen Co. 0.54
Halliburton Co. 0.52
Baker Hughes, Inc. 0.50
Valero Energy Corp. 0.50
Tesoro Corp. 0.49
Kohl's Corp. 0.48
Hess Corp. 0.48
-------
Total 5.27%
=======
-------------------
|
The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Large Cap Core Defined Large Cap
AlphaDEX(R) Fund Core Index S&P 500(R) Index
5/8/07 10000 10000 10000
7/31/07 9560 9579 9690
1/31/08 9022 9071 9271
7/31/08 8304 8383 8615
1/31/09 5325 5398 5690
7/31/09 6711 6830 6896
1/31/10 7618 7783 7576
7/31/10 8205 8410 7850
1/31/11 9765 10049 9257
7/31/11 9891 10216 9393
1/31/12 9963 10335 9647
7/31/12 10109 10520 10250
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 126 2 7 0
8/1/08 - 7/31/09 106 9 2 1
8/1/09 - 7/31/10 151 0 0 0
8/1/10 - 7/31/11 211 0 0 0
8/1/11 - 7/31/12 190 2 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 109 5 1 0
8/1/08 - 7/31/09 127 8 2 0
8/1/09 - 7/31/10 100 0 0 0
8/1/10 - 7/31/11 41 0 0 0
8/1/11 - 7/31/12 61 0 0 0
|
FNX - FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNX."
The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 0.66% 4.32% 3.17% 23.56% 17.71%
Market Price 0.63% 4.31% 3.15% 23.49% 17.61%
INDEX PERFORMANCE
Defined Mid Cap Core Index 1.46% 5.12% 3.95% 28.38% 22.47%
S&P MidCap 400 Index 1.20% 3.45% 2.52% 18.49% 13.93%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNX's one-year NAV return of +0.66% underperformed the benchmark S&P MidCap 400
Index return of +1.20% by -0.54%. On the positive side, the Fund's holdings in
the Utilities sector had a one-year return of +14.7% and contributed +0.8% to
total return. Electric Utilities did particularly well with a +20.7% one-year
return. The Industrials sector was the heaviest weighted sector in the Fund with
a +21.1% average weight. This helped it be the top contributing sector with a
+1.6% contribution even though the Fund's holdings in the sector had a one-year
return of +2.9%. On the negative side, the Energy sector was by far the
worst-performing sector as the Fund's Energy holdings had a -35.0% return. The
sector contributed -2.8% to the Fund's total return. Being overweight the Energy
sector relative to the benchmark cost the Fund -0.7% in performance against the
benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 19.80%
Consumer Discretionary 16.74
Information Technology 15.64
Financials 14.21
Health Care 8.47
Materials 7.84
Energy 7.12
Utilities 5.78
Consumer Staples 3.32
Telecommunication Services 1.08
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
WellCare Health Plans, Inc. 0.69%
Lincare Holdings, Inc. 0.68
Atwood Oceanics, Inc. 0.66
Under Armour, Inc., Class A 0.65
Telephone & Data Systems, Inc. 0.64
Kennametal, Inc. 0.63
Steel Dynamics, Inc. 0.62
Helix Energy Solutions Group, Inc. 0.61
Unit Corp. 0.61
Superior Energy Services, Inc. 0.60
-------
Total 6.39%
=======
-------------------
|
The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FNX - FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Mid Cap Core Defined Mid Cap S&P MidCap 400
AlphaDEX(R) Fund Core Index Index
5/8/07 10000 10000 10000
7/31/07 9527 9540 9615
1/31/08 8872 8911 9091
7/31/08 8812 8889 9138
1/31/09 5561 5625 5731
7/31/09 7453 7576 7288
1/31/10 8498 8674 8215
7/31/10 9236 9464 8951
1/31/11 11339 11665 10964
7/31/11 11693 12072 11256
1/31/12 11880 12312 11260
7/31/12 11771 12248 11391
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 124 14 4 0
8/1/08 - 7/31/09 95 9 1 2
8/1/09 - 7/31/10 184 2 0 0
8/1/10 - 7/31/11 217 0 0 0
8/1/11 - 7/31/12 151 0 0 0
|
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/07 - 7/31/08 102 4 2 0 8/1/08 - 7/31/09 138 10 0 0 8/1/09 - 7/31/10 65 0 0 0 8/1/10 - 7/31/11 35 0 0 0 8/1/11 - 7/31/12 102 0 0 0 |
FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX."
The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 1.42% 2.38% 1.14% 12.46% 6.09%
Market Price 1.46% 2.39% 1.13% 12.55% 6.05%
INDEX PERFORMANCE
Defined Small Cap Core Index 2.16% 3.22% 1.98% 17.19% 10.80%
S&P SmallCap 600 Index 3.99% 2.74% 1.68% 14.45% 9.12%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYX's one-year NAV return of +1.42% underperformed the benchmark S&P SmallCap
600 Index return of +3.99% by -2.57%. The Consumer Discretionary sector was the
top contributing sector to the Fund's total return with a +2.0% contribution to
total return. The Fund's holdings in the sector had a total return of +8.2% and
an average weight in the Fund of 21.5% for the year. The Specialty Retail
industry was responsible for +1.0% of the sector's contribution to the Fund. The
Fund's holdings in the industry returned +15.3% for the year. The Financials
sector was the best performing sector in the Fund as the Fund's holdings in the
sector had a one-year total return of +15.1% and contributed +1.6% to the Fund's
total return. Commercial banks were the best performing component of the
Financials sector. The Fund's Commercial Bank holdings had an annual return of
+24.9%. The Industrials sector was the worst contributing sector in the Fund
with a -1.1% contribution to the Fund's total return. Within the sector, it was
the Commercial Services & Supplies industry that did the most damage. Companies
such as Standard Register Co. (-76.2% one-year return) and Consolidated
Graphics, Inc. (-54.0%) caused the industry to contribute -0.4% to the Fund's
total return. On a relative basis, underperformance in the Industrials sector
and an underweight position in the Financials sector relative to the benchmark
contributed -1.7% to the Fund's underperformance of the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 19.92%
Information Technology 19.53
Industrials 15.90
Health Care 11.11
Financials 11.09
Materials 8.20
Consumer Staples 5.96
Energy 4.70
Utilities 2.38
Telecommunication Services 1.21
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
NCI, Inc., Class A 0.55%
Brightpoint, Inc. 0.50
Lumber Liquidators Holdings, Inc. 0.47
Cirrus Logic, Inc. 0.46
Stratasys, Inc. 0.46
Quiksilver, Inc. 0.46
Headwaters, Inc. 0.45
Medifast, Inc. 0.43
Presidential Life Corp. 0.42
3D Systems Corp. 0.42
-------
Total 4.62%
=======
-------------------
|
The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Small Cap Core Defined Small Cap S&P SmallCap 600
AlphaDEX(R) Fund Core Index Index
5/8/07 10000 10000 10000
7/31/07 9433 9454 9535
1/31/08 8476 8534 8771
7/31/08 8288 8382 8746
1/31/09 5043 5124 5550
7/31/09 6981 7125 7060
1/31/10 7805 8001 7712
7/31/10 8421 8667 8414
1/31/11 10106 10442 10097
7/31/11 10460 10846 10494
1/31/12 10881 11315 10855
7/31/12 10608 11080 10914
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 116 5 5 0
8/1/08 - 7/31/09 102 5 5 0
8/1/09 - 7/31/10 112 0 0 0
8/1/10 - 7/31/11 195 0 0 0
8/1/11 - 7/31/12 146 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 116 5 3 0
8/1/08 - 7/31/09 131 9 3 0
8/1/09 - 7/31/10 139 0 0 0
8/1/10 - 7/31/11 57 0 0 0
8/1/11 - 7/31/12 106 1 0 0
|
FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA."
The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 4.96% 1.57% 0.41% 8.12% 2.17%
Market Price 4.89% 1.52% 0.40% 7.81% 2.10%
INDEX PERFORMANCE
Defined Large Cap Value Index 5.79% 2.40% 1.22% 12.61% 6.55%
S&P 500(R) Index 9.13% 1.13% 0.47% 5.78% 2.50%
S&P 500(R) Value Index 7.73% -1.73% -2.45% -8.36% -12.16%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTA's one-year NAV return of +4.96% underperformed the benchmark S&P 500(R) Value Index return of +7.73% by -2.77%. The Utilities sector was the best-performing and top-contributing sector in the Fund. The Fund's holdings in the sector had a one year total return of +19.1% and contributed +2.2% to the Fund's total return. The Industrials sector was the next best contributing sector with a +1.6% contribution. Solid performance from the Fund's holdings in the Industrial Conglomerates industry (+14.7% one-year return) and the Electrical Equipment industry (+13.9%) boosted the performance of the Fund's holdings in the Industrials sector to +7.0%. The Fund's holdings in the Energy sector had a one-year return of -10.5% versus +1.0% for the benchmark's constituents in the sector. A main reason for the Fund's performance lag relative to the benchmark was the benchmark's large concentration in Exxon Mobil Corp. (+11.6% one-year return) and Chevron Corp. (+8.8%). In total, the Energy sector caused -1.6% of Fund underperformance.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Energy 18.63%
Information Technology 13.56
Industrials 13.16
Financials 13.02
Consumer Discretionary 10.78
Utilities 10.25
Health Care 7.27
Materials 5.80
Consumer Staples 4.86
Telecommunication Services 2.67
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
MetroPCS Communications, Inc. 1.14%
Western Digital Corp. 1.02
Walgreen Co. 0.97
Halliburton Co. 0.92
Valero Energy Corp. 0.89
Baker Hughes, Inc. 0.88
Tesoro Corp. 0.87
Kohl's Corp. 0.86
Hess Corp. 0.85
Symantec Corp. 0.85
-------
Total 9.25%
=======
-------------------
|
The Defined Large Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FTA - FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R)
AlphaDEX(R) Fund Value Index Index Value Index
5/8/07 10000 10000 10000 10000
7/31/07 9450 9462 9690 9586
1/31/08 8821 8870 9271 9148
7/31/08 7858 7933 8615 8066
1/31/09 4993 5064 5690 5060
7/31/09 6661 6790 6896 6157
1/31/10 7765 7947 7576 6840
7/31/10 8228 8447 7850 7079
1/31/11 9688 9988 9257 8294
7/31/11 9733 10072 9393 8153
1/31/12 10072 10465 9647 8388
7/31/12 10216 10655 10250 8784
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 127 3 5 0
8/1/08 - 7/31/09 115 7 5 1
8/1/09 - 7/31/10 155 0 0 0
8/1/10 - 7/31/11 228 0 0 0
8/1/11 - 7/31/12 193 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 109 5 1 0
8/1/08 - 7/31/09 119 7 0 1
8/1/09 - 7/31/10 96 0 0 0
8/1/10 - 7/31/11 24 0 0 0
8/1/11 - 7/31/12 60 0 0 0
|
FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC."
The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -1.89% 0.12% -0.39% 0.58% -2.03%
Market Price -1.82% 0.09% -0.39% 0.44% -2.00%
INDEX PERFORMANCE
Defined Large Cap Growth Index -1.14% 0.87% 0.36% 4.45% 1.91%
S&P 500(R) Index 9.13% 1.13% 0.47% 5.78% 2.50%
S&P 500(R) Growth Index 10.38% 3.88% 3.31% 20.95% 18.55%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTC's one-year NAV return of -1.89% underperformed the benchmark S&P 500(R)
Growth Index return of +10.38% by -12.27%. The Information Technology sector was
a major cause of Fund underperformance. The benchmark's holdings in the sector
were heavily concentrated in large companies such as Apple, Inc. (+56.4% annual
return) and Intel (+19.0%) where the Fund had much less concentrated holdings.
As a result, the Fund's holdings from the Information Technology sector returned
-1.5% versus +17.0% for the benchmark's constituents from the sector. In total,
the Information Technology sector caused -3.8% of Fund underperformance. The
Health Care sector was another source of Fund underperformance. The benchmark's
concentration in large pharmaceutical companies such as Abbott Laboratories
(+33.7% annual return), and Merck & Co., Inc. (+35.5%) was the major cause of
the Fund's underperformance within the sector relative to the benchmark. In
total, the Fund's holdings in the Health Care sector returned -0.5% versus
+14.3% for the benchmark's constituents in the sector, resulting in -1.9% of
Fund underperformance relative to the benchmark. A third cause of
underperformance came from the Financials sector, where the Fund's holdings
underperformed the benchmark's return -6.91% versus +11.8% for the year. One
source of the Fund's lagging return in the sector was the REIT industry where
the Fund's holdings returned +3.9% versus +22.4% for the benchmark's
constituents in the industry. In total, the Financials sector caused -1.2% of
Fund underperformance.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 21.24%
Health Care 15.51
Consumer Staples 15.32
Information Technology 12.55
Industrials 11.35
Materials 9.56
Financials 9.09
Utilities 1.94
Telecommunication Services 1.93
Energy 1.51
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Seagate Technology PLC 1.26%
Ross Stores, Inc. 1.11
Ventas, Inc. 1.11
Wal-Mart Stores, Inc. 1.11
Alexion Pharmaceuticals, Inc. 1.10
eBay, Inc. 1.10
PulteGroup, Inc. 1.10
Apple, Inc. 1.09
Watson Pharmaceuticals, Inc. 1.09
Eastman Chemical Co. 1.08
-------
Total 11.15%
=======
-------------------
|
The Defined Large Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FTC - FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Large Cap Defined Large Cap S&P 500(R) S&P 500(R)
Growth AlphaDEX(R) Fund Growth Index Index Growth Index
5/8/07 10000 10000 10000 10000
7/31/07 9740 9757 9690 9802
1/31/08 9341 9388 9271 9410
7/31/08 8900 8982 8615 9185
1/31/09 5737 5807 5690 6357
7/31/09 6730 6840 6896 7675
1/31/10 7373 7518 7576 8341
7/31/10 8090 8282 7850 8651
1/31/11 9790 10064 9257 10272
7/31/11 9985 10309 9393 10740
1/31/12 9674 10028 9647 11023
7/31/12 9797 10191 10250 11854
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 132 2 5 0
8/1/08 - 7/31/09 113 4 2 0
8/1/09 - 7/31/10 146 0 0 0
8/1/10 - 7/31/11 193 0 0 0
8/1/11 - 7/31/12 153 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 105 5 1 0
8/1/08 - 7/31/09 133 3 0 0
8/1/09 - 7/31/10 105 0 0 0
8/1/10 - 7/31/11 59 0 0 0
8/1/11 - 7/31/12 100 0 0 0
|
FUND PERFORMANCE OVERVIEW (CONTINUED)
FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB."
The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500 Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 3.62% 2.84% 1.34% 15.05% 7.19%
Market Price 3.62% 2.75% 1.32% 14.52% 7.08%
INDEX PERFORMANCE
Defined Multi Cap Value Index 4.46% 3.68% 2.16% 19.82% 11.84%
S&P Composite 1500 Index 8.27% 1.38% 0.68% 7.07% 3.63%
S&P Composite 1500 Value Index 7.18% -1.31% -2.09% -6.40% -10.46%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAB's one-year NAV return of +3.62% underperformed the benchmark S&P Composite 1500 Value Index return of +7.18% by -3.56%. The Utilities sector was the best performing and top-contributing sector in the Fund. The Fund's holdings in the sector returned +18.1% and contributed +1.6% to the Fund's total return for the year. Behind the Utilities sector, the Fund's holdings in the Financials sector returned +8.2% for the year to be the second-best performing sector in the Fund. Consumer Finance companies Discover Financial Services (+42.2% one-year return) and Capital One Financial Corp. (+18.7%) boosted the Financials sector's return. The Fund's holdings in the Energy sector returned -19.4% for the year and contributed -1.5% to the Fund's total return, making it the worst performing and contributing sector in the Fund. The Fund's significant underweight position in energy companies Exxon Mobil Corp. (+11.6% one-year return) and Chevron Corp. (+8.8%) caused the Fund's holdings in the Energy sector to underperform the benchmark's constituents in the sector -19.4% versus -0.7% for the year. This resulted in -1.9% of Fund underperformance relative to the benchmark. The Telecommunication Services sector also caused the Fund to underperform its benchmark. Most of the benchmark's allocation to the sector was in AT&T, Inc. (+37.1% one-year return). The Fund had more diverse holdings in the sector, which returned +1.6% for the year. In total, the Telecommunication Services sector caused -1.0% of Fund underperformance relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 16.04%
Consumer Discretionary 14.90
Information Technology 14.58
Energy 14.19
Financials 12.40
Utilities 8.19
Materials 7.15
Health Care 6.62
Consumer Staples 3.85
Telecommunication Services 2.08
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
MetroPCS Communications, Inc. 0.57%
Western Digital Corp. 0.52
Walgreen Co. 0.49
Halliburton Co. 0.46
Baker Hughes, Inc. 0.45
Valero Energy Corp. 0.45
Tesoro Corp. 0.44
Hess Corp. 0.43
Kohl's Corp. 0.43
Symantec Corp. 0.43
-------
Total 4.67%
=======
-------------------
|
The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Multi Cap Defined Multi Cap S&P Composite 1500 S&P Composite 1500
Value AlphaDEX(R) Fund Value Index Index Value Index
5/8/07 10000 10000 10000 10000
7/31/07 9317 9334 9678 9567
1/31/08 8603 8655 9241 9092
7/31/08 7870 7948 8661 8123
1/31/09 4973 5045 5446 5336
7/31/09 6964 7099 6931 6238
1/31/10 8086 8275 7629 6942
7/31/10 8611 8845 7953 7218
1/31/11 10279 10602 9414 8479
7/31/11 10345 10707 9571 8355
1/31/12 10799 11224 9811 8592
7/31/12 10720 11185 10362 8955
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 128 6 2 0
8/1/08 - 7/31/09 126 8 0 0
8/1/09 - 7/31/10 113 0 0 0
8/1/10 - 7/31/11 168 0 0 0
8/1/11 - 7/31/12 141 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 106 6 2 0
8/1/08 - 7/31/09 113 8 0 0
8/1/09 - 7/31/10 138 0 0 0
8/1/10 - 7/31/11 84 0 0 0
8/1/11 - 7/31/12 111 1 0 0
|
FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD."
The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500 Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/12 07/31/12 to 07/31/12 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -1.10% 1.45% 0.99% 7.46% 5.28%
Market Price -1.13% 1.41% 0.98% 7.24% 5.21%
INDEX PERFORMANCE
Defined Multi Cap Growth Index -0.31% 2.23% 1.77% 11.66% 9.63%
S&P Composite 1500 Index 8.27% 1.38% 0.68% 7.07% 3.63%
S&P Composite 1500 Growth Index 9.25% 4.00% 3.41% 21.65% 19.17%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAD's one-year NAV return of -1.10% underperformed the benchmark S&P Composite 1500 Growth Index return of +9.25% by -10.35%. The Information Technology sector was the main cause of Fund underperformance. Not only was the Fund underweight in the sector relative to the benchmark, but the Fund's performance in the sector lagged due to being underweight in large companies that performed well in general. For example, the benchmark had an average weight of 6.3% in Apple, Inc. (+56.4% one-year return) versus the Fund's average weight of 0.4% in the company. Intel (+19.0% one-year return) and Microsoft (+10.5%) were other examples of large companies with strong performance that the Fund was significantly underweight relative to the benchmark. In total, the Fund's holdings in the Information Technology sector returned +0.6% versus +15.9% for the benchmark's constituents in the sector. The Health Care sector was another cause of Fund underperformance as the Fund's underweight position in large pharmaceutical companies caused the Fund's performance in the sector to lag the benchmark's +1.3% versus +13.8% for the year. Abbott Laboratories (+33.7% one-year return), and Merck & Co. Inc., (+35.5%) were two examples of large pharmaceutical companies that the Fund was significantly underweight relative to the benchmark. In total, the Information Technology and Health Care sectors contributed -6.7% to the Fund's total return.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 18.99%
Information Technology 16.07
Health Care 15.23
Industrials 13.90
Financials 11.75
Consumer Staples 11.14
Materials 8.58
Utilities 1.80
Telecommunication Services 1.28
Energy 1.26
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Seagate Technology PLC 0.64%
Ross Stores, Inc. 0.56
Ventas, Inc. 0.56
Wal-Mart Stores, Inc. 0.56
Alexion Pharmaceuticals, Inc. 0.55
Apple, Inc. 0.55
eBay, Inc. 0.55
PulteGroup, Inc. 0.55
Watson Pharmaceuticals, Inc. 0.55
Eastman Chemical Co. 0.54
-------
Total 5.61%
=======
-------------------
|
The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2012
First Trust Multi Cap Defined Multi Cap S&P Composite 1500 S&P Composite 1500
Growth AlphaDEX(R) Fund Growth Index Index Growth Index
5/8/07 10000 10000 10000 10000
7/31/07 9797 9818 9678 9796
1/31/08 9217 9265 9241 9396
7/31/08 9224 9309 8661 9223
1/31/09 5782 5854 5689 6307
7/31/09 6961 7078 6931 7669
1/31/10 7641 7801 7629 8350
7/31/10 8399 8608 7953 8725
1/31/11 10221 10518 9414 10412
7/31/11 10644 10997 9571 10907
1/31/12 10438 10827 9811 11155
7/31/12 10528 10963 10362 11916
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2007 through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 128 5 3 0
8/1/08 - 7/31/09 96 12 1 2
8/1/09 - 7/31/10 128 0 0 0
8/1/10 - 7/31/11 176 0 0 0
8/1/11 - 7/31/12 156 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/07 - 7/31/08 108 5 1 0
8/1/08 - 7/31/09 137 7 0 0
8/1/09 - 7/31/10 122 1 0 0
8/1/10 - 7/31/11 76 0 0 0
8/1/11 - 7/31/12 97 0 0 0
|
FNK - FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Value Index (the "Mid Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNK."
The Mid Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) MidCap 400 Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
-----------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/19/11) Inception (04/19/11)
07/31/12 to 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 3.23% -0.50% -0.64%
Market Price 3.28% -0.38% -0.49%
INDEX PERFORMANCE
Defined Mid Cap Value Index 4.04% 0.28% 0.36%
S&P MidCap 400 Value Index 3.01% -1.02% -1.30%
-----------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNK's one-year NAV return of +3.23% outperformed the benchmark S&P MidCap 400
Value Index return of +3.01% by +0.22%. The Utilities sector was the best
performing sector in the Fund. The Fund's holdings in the sector had a total
return of +17.3% and contributed +1.4% to the Fund's total return for the year.
Behind Utilities, the Financials sector was the second-best performing sector
with a one-year return of +13.0%. Companies from the Insurance industry returned
+17.7% in the Fund giving the sector a performance boost. In total, the
Financials sector contributed +1.6% to the Fund's total return. The Energy
sector was by far the worst performing sector in the Fund with a -42.2% one-year
return. In relative terms, the Fund managed slight outperformance of its
benchmark. Being overweight the Energy sector and underperformance within the
Consumer Discretionary sector caused a drag in the Fund's relative performance;
however, the drag was made up by outperformance within the Industrials and
Health Care sectors.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 18.84%
Consumer Discretionary 16.99
Information Technology 14.39
Financials 12.63
Energy 11.01
Materials 8.62
Utilities 7.95
Health Care 6.42
Consumer Staples 2.02
Telecommunication Services 1.13
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
WellCare Health Plans, Inc. 1.21%
Atwood Oceanics, Inc. 1.16
Telephone & Data Systems, Inc. 1.13
Kennametal, Inc. 1.10
Helix Energy Solutions Group, Inc. 1.08
Stell Dynamics, Inc. 1.08
Unit Corp. 1.07
Scholastic Corp. 1.06
Superior Energy Services, Inc. 1.06
PNM Resources, Inc. 1.05
-------
Total 11.00%
=======
-------------------
|
The Defined Mid Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FNK - FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2012
First Trust Mid Cap Value Defined Mid Cap S&P MidCap 400
AlphaDEX(R) Fund Value Index Value Index
4/19/11 10000 10000 10000
7/31/11 9625 9646 9581
1/31/12 9982 10041 9720
7/31/12 9935 10036 9869
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 66 0 0 0
8/1/11 - 7/31/12 198 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 4 0 0 0
8/1/11 - 7/31/12 55 0 0 0
|
FNY - FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Growth Index (the "Mid Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNY."
The Mid Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) MidCap 400 Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
-------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/19/11) Inception (04/19/11)
07/31/12 to 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -2.11% -2.56% -3.27%
Market Price -2.16% -2.52% -3.22%
INDEX PERFORMANCE
Defined Mid Cap Growth Index -1.40% -1.84% -2.36%
S&P MidCap 400 Growth Index -0.49% -1.08% -1.39%
-------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNY's one-year NAV return of -2.11% underperformed the benchmark S&P MidCap 400 Growth Index return of -0.49% by -1.62%. The Industrials sector was the leading contributor to the Fund's total return with a +1.2% contribution. The Fund's holdings in the sector comprised an average of 27.2% of the Fund's weight and had a one-year return of +2.2%. Within the sector, the Electrical Equipment industry had the best performance as the Fund's holdings in the industry had a one-year return of +23.4%. The Fund's holdings in the Energy sector had a one-year return of -17.3% and contributed -1.6% to the Fund's total return, making it the worst contributing sector in the Fund. Relative to the benchmark the Fund received -1.5% of underperformance from the Health Care sector. Most of the underperformance came from the Biotech industry where the Fund was underweight in Regeneron Pharmaceuticals, Inc. (+153.8% one-year return) relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 19.96%
Information Technology 18.24
Consumer Discretionary 16.69
Financials 15.94
Health Care 11.74
Materials 7.30
Consumer Staples 5.57
Utilities 2.12
Energy 1.42
Telecommunication Services 1.02
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Lincare Holdings, Inc. 1.59%
Under Armour, Inc., Class A 1.51
NewMarket Corp. 1.39
LKQ Corp. 1.38
HSN, Inc. 1.37
Polaris Industries, Inc. 1.37
Cinemark Holdings, Inc. 1.34
Dick's Sporting Goods, Inc. 1.34
Valmont Industries, Inc. 1.34
Wabtec Corp. 1.33
-------
Total 13.96%
=======
-------------------
|
The Defined Mid Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FNY - FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2012
First Trust Mid Cap Growth Defined Mid Cap S&P MidCap 400
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 10000 10000 10000
7/31/11 9881 9903 9910
1/31/12 9804 9866 9779
7/31/12 9673 9765 9861
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 61 0 0 0
8/1/11 - 7/31/12 201 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 9 0 0 0
8/1/11 - 7/31/12 51 0 0 0
|
FYT - FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Value Index (the "Small Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYT."
The Small Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) SmallCap 600 Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
-------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/19/11) Inception (04/19/11)
07/31/12 to 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 0.75% 0.03% 0.04%
Market Price 0.45% -0.04% -0.06%
INDEX PERFORMANCE
Defined Small Cap Value Index 1.53% 0.80% 1.02%
S&P SmallCap 600 Value Index 4.26% 1.80% 2.31%
-------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYT's one-year NAV return of +0.75 underperformed the benchmark S&P SmallCap 600 Value Index return of +4.26% by -3.51%. The Financials sector was the top-performing and contributing sector in the Fund. The Fund's holdings from the sector returned +25.0% and contributed +2.1% to the Fund's total return for the year. Insurance companies performed particularly well as the Fund's holdings in the industry had a one-year return of +32.8% and contributed +1.1% to the Fund's total return. Just behind the Financials sector in contribution was the Consumer Discretionary sector with a +2.0% contribution. The Fund's holdings in the sector returned +7.7% and had an average weight in the Fund of +21.8% for the year. The Industrials sector was the largest detractor from the Fund's total return with a -1.2% contribution to total return. The Fund's holdings in the sector returned -6.7% and had an average Fund weight of 17.8% for the year. The Aerospace & Defense industry was a primary cause of the sector's poor performance as the companies from the industry had a one-year return of -23.4%. In relative terms, the Fund's underweight position in the Financials and Utilities sectors relative to the benchmark caused -2.7% of Fund underperformance relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 22.24%
Industrials 19.19
Information Technology 17.46
Financials 10.49
Materials 8.38
Energy 7.63
Health Care 5.27
Consumer Staples 3.99
Utilities 3.33
Telecommunication Services 2.02
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
NCI Inc., Class A 0.93%
Brightpoint, Inc. 0.83
Quiksilver, Inc. 0.79
Presidential Life Corp. 0.70
Kraton Performance Polymers, Inc. 0.68
PDC Energy, Inc. 0.68
SkyWest, Inc. 0.68
AAR Corp. 0.67
KapStone Paper & Packaging Corp. 0.67
Basic Energy Services, Inc. 0.66
-------
Total 7.29%
=======
-------------------
|
The Defined Small Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FYT - FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2012
First Trust Small Cap Value Defined Small Cap S&P SmallCap 600
AlphaDEX(R) Fund Value Index Value Index
4/19/11 10000 10000 10000
7/31/11 9930 9950 9813
1/31/12 10692 10748 10331
7/31/12 10005 10103 10231
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 38 0 0 0
8/1/11 - 7/31/12 154 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 32 0 0 0
8/1/11 - 7/31/12 95 1 0 0
|
FYC - FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Growth Index (the "Small Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYC."
The Small Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) SmallCap 600 Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
-------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/19/11) Inception (04/19/11)
07/31/12 to 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV 2.38% 1.22% 1.57%
Market Price 2.08% 1.11% 1.42%
INDEX PERFORMANCE
Defined Small Cap Growth Index 3.13% 1.97% 2.53%
S&P SmallCap 600 Growth Index 3.81% 2.82% 3.63%
-------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYC's one-year NAV return of +2.38% underperformed the benchmark S&P SmallCap
600 Growth Index return of +3.81% by -1.43%. The Fund's holdings in the Health
Care sector returned +12.8% for the year, more than any other sector in the
Fund. Pharmaceutical companies led the way in the sector with a one-year return
of +30.8%. In total, Health Care companies contributed +1.9% to the Fund's total
return. The Consumer Discretionary sector led all sectors in the Fund in terms
of contribution to total return with a +2.0% contribution. Consumer
Discretionary stocks had an average weight in the Fund of 21.2% and returned
+10.7% for the year. Within the sector, the Specialty Retail industry
contributed the most to the Fund's total return with a +1.2% contribution on a
one-year return of +19.8%. The Energy sector stood out as the worst performing
sector in the Fund as the Fund's holdings in the sector returned -37.6% and
contributed -1.3% to the Fund's total return. Relative to the benchmark, the
Fund received -1.0% of underperformance from its holdings in the Industrials
sector. The Fund's holdings in the sector had a one-year return of -8.4% versus
-0.5% for the benchmark's constituents from the Industrials sector. One reason
for the underperformance in the sector was the Machinery industry where the
Fund's holdings returned -13.6% for the year versus +3.6% for the benchmark's
constituents from the industry.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 21.73%
Health Care 19.79
Consumer Discretionary 16.75
Financials 12.13
Industrials 11.24
Consumer Staples 8.96
Materials 8.04
Utilities 0.95
Energy 0.41
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Lumber Liquidators Holdings, Inc. 1.18%
Cirrus Logic, Inc. 1.16
Stratasys, Inc. 1.16
Headwaters, Inc. 1.14
Medifast, Inc. 1.07
3D Systems Corp. 1.05
Air Methods Corp. 1.04
Papa John's International, Inc. 1.01
Texas Capital Bancshares, Inc. 1.00
Heartland Payment Systems, Inc. 0.99
-------
Total 10.80%
=======
-------------------
|
The Defined Small Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FYC - FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2012
First Trust Small Cap Growth Defined Small Cap S&P SmallCap 600
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 10000 10000 10000
7/31/11 9920 9942 9982
1/31/12 9826 9878 10155
7/31/12 10157 10253 10362
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 61 0 0 0
8/1/11 - 7/31/12 145 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 9 0 0 0
8/1/11 - 7/31/12 105 2 0 0
|
FMK - FIRST TRUST MEGA CAP ALPHADEX(R) FUND
The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mega Cap Index (the "Mega Cap Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mega Cap Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FMK."
The Mega Cap Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) US BMI universe that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JULY 31, 2012
-------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (05/11/11) Inception (05/11/11)
07/31/12 to 07/31/12 to 07/31/12
FUND PERFORMANCE
NAV -3.78% -6.19% -7.51%
Market Price -3.78% -6.19% -7.51%
INDEX PERFORMANCE
Defined Mega Cap Index -2.94% -5.36% -6.51%
S&P 100 Index 12.29% 7.80% 9.61%
-------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FMK's one-year NAV return of -3.78% underperformed the benchmark S&P 100 Index return of +12.29% by -16.07%. The Energy sector caused the most underperformance of any sector in the Fund. For the year covered by this report the Fund's holdings in the sector returned -15.0% versus -2.1% for the benchmark's Energy constituents. The Fund's relative overweight positions in Apache Corp. (-29.9% one-year return) and Halliburton Co. (-38.9%) and relative underweight position in Exxon Mobil Corp. (+11.6%) contributed to the performance discrepancy. In total, the Energy sector caused -3.8% of Fund underperformance. The Consumer Discretionary sector was the second worst sector in terms of Fund underperformance. The Fund's holdings in the sector returned -3.9% for the year versus +17.6% for the benchmark. The major cause of the performance lag within the sector was the Fund's overweight position in the poor-performing Automobiles industry. The Fund's holdings in the Automobiles industry had a one-year return of -31.3% and made up an average of 3.7% of the Fund's weight. In comparison, the benchmark had an average weight of only 0.6% in the industry. In total, the Consumer Discretionary sector caused -3.6% of Fund underperformance. The Fund also received -2.4% of underperformance from the Information Technology sector, mostly from the Fund being overweight in Hewlett-Packard Co. (-47.1% one-year return) and underweight in Apple, Inc. (+56.4%) relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 23.37%
Information Technology 16.46
Energy 16.04
Consumer Staples 12.17
Financials 11.92
Health Care 11.39
Materials 4.56
Telecommunication Services 2.72
Utilities 0.69
Industrials 0.68
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2012
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Wal-Mart Stores, Inc. 3.54%
Chevron Corp. 3.44
TJX (The) Cos., Inc. 3.42
Amazon.com, Inc. 3.38
Comcast Corp., Class A 3.37
Occidental Petroleum Corp. 3.36
Freeport-McMoRan Copper & Gold, Inc. 3.27
Apache Corp. 3.24
CVS Caremark Corp. 3.21
Ford Motor Co. 3.19
-------
Total 33.42%
=======
-------------------
|
The Defined Mega Cap Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mega Cap Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mega Cap AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund.
FMK - FIRST TRUST MEGA CAP ALPHADEX(R) FUND (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 11, 2011 - JULY 31, 2012
First Trust Mega Cap Defined Mega S&P 100
AlphaDEX(R) Fund Cap Index Index
5/11/11 10000 10000 10000
7/31/11 9612 9632 9761
1/31/12 9571 9631 10120
7/31/12 9248 9349 10960
|
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2012
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 12, 2011 (commencement of trading) through July 31, 2012. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
5/12/11 - 7/31/11 33 0 0 0
8/1/11 - 7/31/12 183 0 0 0
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
5/12/11 - 7/31/11 21 0 0 0
8/1/11 - 7/31/12 70 0 0 0
|
Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2012 (UNAUDITED)
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First
Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund
(each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service fees, and other Fund expenses. This Example is
intended to help you understand your ongoing costs of investing in the Funds and
to compare these costs with the ongoing costs of -investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2012.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2012 JULY 31, 2012 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
Actual $1,000.00 $1,014.60 0.70% $3.51
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
Actual $1,000.00 $990.80 0.70% $3.46
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Actual $1,000.00 $974.90 0.70% $3.44
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
Actual $1,000.00 $1,014.30 0.70% $3.51
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
Actual $1,000.00 $1,012.70 0.70% $3.50
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
Page 29
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2012 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2012 JULY 31, 2012 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
Actual $1,000.00 $992.70 0.70% $3.47
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Actual $1,000.00 $1,008.60 0.70% $3.50
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
Actual $1,000.00 $995.30 0.70% $3.47
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
Actual $1,000.00 $986.60 0.70% $3.46
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
Actual $1,000.00 $935.80 0.70% $3.37
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
Actual $1,000.00 $1,033.70 0.70% $3.54
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MEGA CAP ALPHADEX(R) FUND
Actual $1,000.00 $966.30 0.70% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
|
(a) These expense ratios reflect expense caps. See Note 3 in Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2012 through July 31, 2012), multiplied by 182/366 (to reflect the one-half year period).
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.4%
11,652 Boeing (The) Co. $ 861,199
17,501 General Dynamics Corp. 1,110,264
5,168 Honeywell International, Inc. 300,002
20,328 L-3 Communications Holdings, Inc. 1,441,052
6,628 Lockheed Martin Corp. 591,682
22,620 Northrop Grumman Corp. 1,497,444
1,754 Precision Castparts Corp. 272,852
20,399 Raytheon Co. 1,131,737
5,848 Rockwell Collins, Inc. 295,733
3,821 United Technologies Corp. 284,435
-------------
7,786,400
-------------
AIR FREIGHT & LOGISTICS -- 0.5%
12,601 FedEx Corp. 1,137,870
7,328 United Parcel Service, Inc.,
Class B 554,070
-------------
1,691,940
-------------
AIRLINES -- 0.3%
93,902 Southwest Airlines Co. 862,959
-------------
AUTO COMPONENTS -- 0.6%
13,200 BorgWarner, Inc. (a) 885,720
41,659 Johnson Controls, Inc. 1,026,894
-------------
1,912,614
-------------
AUTOMOBILES -- 0.7%
150,465 Ford Motor Co. 1,390,297
18,932 Harley-Davidson, Inc. 818,430
-------------
2,208,727
-------------
BEVERAGES -- 2.5%
11,919 Brown-Forman Corp., Class B 1,115,142
14,764 Coca-Cola (The) Co. 1,192,931
30,876 Coca-Cola Enterprises, Inc. 905,284
21,330 Constellation Brands, Inc.,
Class A (a) 601,719
19,789 Dr. Pepper Snapple Group, Inc. 901,983
27,742 Molson Coors Brewing Co., Class B 1,174,041
20,266 Monster Beverage Corp. (a) 1,347,081
12,253 PepsiCo, Inc. 891,161
-------------
8,129,342
-------------
BIOTECHNOLOGY -- 1.5%
14,531 Alexion Pharmaceuticals, Inc. (a) 1,523,575
11,853 Amgen, Inc. 979,058
7,995 Biogen Idec, Inc. (a) 1,165,911
22,511 Gilead Sciences, Inc. (a) 1,223,023
-------------
4,891,567
-------------
BUILDING PRODUCTS -- 0.4%
104,034 Masco Corp. 1,251,529
-------------
CAPITAL MARKETS -- 1.4%
5,522 Ameriprise Financial, Inc. 285,598
39,443 Bank of New York Mellon
(The) Corp. 839,347
|
107,683 E*TRADE Financial Corp. (a) $ 821,621
13,208 Federated Investors, Inc., Class B 265,613
6,021 Goldman Sachs Group (The), Inc. 607,519
12,770 Invesco Ltd. 282,600
21,888 Legg Mason, Inc. 536,694
39,560 Morgan Stanley 540,389
6,465 State Street Corp. 261,057
4,584 T. Rowe Price Group, Inc. 278,478
-------------
4,718,916
-------------
CHEMICALS -- 4.3%
3,575 Air Products and Chemicals, Inc. 287,537
10,306 Airgas, Inc. 817,472
7,448 CF Industries Holdings, Inc. 1,458,020
18,323 Dow Chemical (The) Co. 527,336
17,120 E.I. du Pont de Nemours & Co. 850,864
28,647 Eastman Chemical Co. 1,497,665
21,056 Ecolab, Inc. 1,378,115
21,585 FMC Corp. 1,180,700
13,945 Monsanto Co. 1,193,971
21,080 Mosaic (The) Co. 1,224,959
13,597 PPG Industries, Inc. 1,488,328
10,903 Sherwin-Williams (The) Co. 1,464,818
7,807 Sigma-Aldrich Corp. 540,244
-------------
13,910,029
-------------
COMMERCIAL BANKS -- 1.5%
9,355 BB&T Corp. 293,466
43,073 Fifth Third Bancorp 595,269
135,277 Huntington Bancshares, Inc. 840,747
111,857 KeyCorp 892,619
3,495 M&T Bank Corp. 300,011
14,167 PNC Financial Services Group, Inc. 837,270
8,630 Wells Fargo & Co. 291,780
44,582 Zions Bancorporation 811,392
-------------
4,862,554
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.3%
21,111 Avery Dennison Corp. 650,008
7,475 Cintas Corp. 296,234
8,756 Iron Mountain, Inc. 282,031
19,278 Pitney Bowes, Inc. 257,554
24,519 R.R. Donnelley & Sons Co. 297,170
32,720 Republic Services, Inc. 946,590
9,444 Stericycle, Inc. (a) 876,876
17,281 Waste Management, Inc. 594,466
-------------
4,200,929
-------------
COMMUNICATIONS EQUIPMENT -- 0.2%
50,424 Cisco Systems, Inc. 804,263
-------------
COMPUTERS & PERIPHERALS -- 2.7%
2,471 Apple, Inc. (a) 1,509,188
92,202 Dell, Inc. (a) 1,095,360
|
See Notes to Financial Statements Page 31
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMPUTERS & PERIPHERALS
(CONTINUED)
11,260 EMC Corp. (a) $ 295,124
71,753 Hewlett-Packard Co. 1,308,775
54,287 Lexmark International, Inc.,
Class A 949,480
58,348 Seagate Technology PLC 1,751,607
47,341 Western Digital Corp. (a) 1,882,751
-------------
8,792,285
-------------
CONSTRUCTION & ENGINEERING -- 0.5%
11,698 Fluor Corp. 579,987
22,868 Jacobs Engineering Group, Inc. (a) 882,019
11,990 Quanta Services, Inc. (a) 275,650
-------------
1,737,656
-------------
CONSUMER FINANCE -- 0.7%
14,873 American Express Co. 858,321
15,839 Capital One Financial Corp. 894,745
16,691 Discover Financial Services 600,208
-------------
2,353,274
-------------
CONTAINERS & PACKAGING -- 0.7%
28,121 Ball Corp. 1,168,709
18,417 Bemis Co., Inc. 566,323
37,382 Sealed Air Corp. 605,588
-------------
2,340,620
-------------
DISTRIBUTORS -- 0.2%
9,580 Genuine Parts Co. 613,407
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.1%
18,060 H&R Block, Inc. 291,308
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.4%
42,115 Citigroup, Inc. 1,142,580
21,528 CME Group, Inc. 1,121,824
4,245 IntercontinentalExchange, Inc. (a) 557,029
32,308 JPMorgan Chase & Co. 1,163,088
54,272 Leucadia National Corp. 1,176,617
7,896 Moody's Corp. 320,025
50,920 NASDAQ OMX Group (The), Inc. 1,155,884
45,128 NYSE Euronext 1,149,861
-------------
7,786,908
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.2%
8,093 AT&T, Inc. 306,886
21,924 CenturyLink, Inc. 910,723
301,400 Frontier Communications Corp. 1,181,488
32,470 Verizon Communications, Inc. 1,465,696
-------------
3,864,793
-------------
ELECTRIC UTILITIES -- 3.0%
28,931 American Electric Power Co., Inc. 1,222,045
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
8,343 Duke Energy Corp. $ 565,489
6,247 Edison International 288,486
17,003 Entergy Corp. 1,235,608
15,342 Exelon Corp. 600,179
11,734 FirstEnergy Corp. 589,282
16,776 NextEra Energy, Inc. 1,189,418
7,436 Northeast Utilities 296,548
44,240 Pepco Holdings, Inc. 883,030
16,733 Pinnacle West Capital Corp. 895,885
41,509 PPL Corp. 1,199,610
6,233 Southern (The) Co. 300,119
20,316 Xcel Energy, Inc. 595,259
-------------
9,860,958
-------------
ELECTRICAL EQUIPMENT -- 0.7%
16,931 Cooper Industries PLC 1,217,000
6,196 Emerson Electric Co. 295,983
8,782 Roper Industries, Inc. 873,370
-------------
2,386,353
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.0%
5,255 Amphenol Corp., Class A 309,414
111,597 Corning, Inc. 1,273,322
59,198 FLIR Systems, Inc. 1,210,599
56,781 Jabil Circuit, Inc. 1,232,148
48,219 Molex, Inc. 1,211,261
36,176 TE Connectivity Ltd. 1,194,170
-------------
6,430,914
-------------
ENERGY EQUIPMENT & SERVICES
-- 2.4%
35,108 Baker Hughes, Inc. 1,626,203
50,826 Halliburton Co. 1,683,865
100,205 Nabors Industries Ltd. (a) 1,386,837
17,914 National Oilwell Varco, Inc. 1,295,182
35,486 Noble Corp. 1,312,982
17,853 Rowan Cos. plc, Class A (a) 627,176
-------------
7,932,245
-------------
FOOD & STAPLES RETAILING -- 2.5%
15,189 Costco Wholesale Corp. 1,460,878
12,351 CVS Caremark Corp. 558,883
12,445 Kroger (The) Co. 275,906
63,601 Safeway, Inc. 988,995
9,681 Sysco Corp. 284,525
48,781 Walgreen Co. 1,773,677
20,696 Wal-Mart Stores, Inc. 1,540,403
15,138 Whole Foods Market, Inc. 1,389,366
-------------
8,272,633
-------------
FOOD PRODUCTS -- 2.7%
29,328 Archer-Daniels-Midland Co. 765,167
8,646 Campbell Soup Co. 286,269
22,259 ConAgra Foods, Inc. 549,575
7,488 General Mills, Inc. 289,786
10,614 H. J. Heinz Co. 585,999
|
Page 32 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
16,026 Hershey (The) Co. $ 1,149,705
18,974 Hormel Foods Corp. 529,564
3,821 J.M. Smucker (The) Co. 293,453
22,418 Kraft Foods, Inc., Class A 890,219
23,792 McCormick & Co., Inc. 1,448,457
10,754 Mead Johnson Nutrition Co. 784,612
76,631 Tyson Foods, Inc., Class A 1,150,231
-------------
8,723,037
-------------
GAS UTILITIES -- 0.5%
7,448 AGL Resources, Inc. 301,644
27,283 ONEOK, Inc. 1,214,366
-------------
1,516,010
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 2.2%
203,591 Boston Scientific Corp. (a) 1,052,565
5,372 C. R. Bard, Inc. 522,481
11,238 CareFusion Corp. (a) 274,320
16,183 Covidien PLC 904,306
15,265 DENTSPLY International, Inc. 554,730
13,969 Edwards Lifesciences Corp. (a) 1,413,663
2,084 Intuitive Surgical, Inc. (a) 1,003,446
22,354 Medtronic, Inc. 881,195
5,238 Stryker Corp. 272,533
4,484 Zimmer Holdings, Inc. 264,242
-------------
7,143,481
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.7%
37,218 Aetna, Inc. 1,342,081
6,871 Cardinal Health, Inc. 296,071
19,677 Cigna Corp. 792,590
45,390 Coventry Health Care, Inc. 1,512,849
14,693 DaVita, Inc. (a) 1,446,085
20,676 Express Scripts Holding Co. (a) 1,197,967
14,907 Humana, Inc. 918,271
6,232 Laboratory Corp. of America
Holdings (a) 524,049
25,117 Patterson Cos., Inc. 856,490
4,818 Quest Diagnostics, Inc. 281,516
110,149 Tenet Healthcare Corp. (a) 508,888
24,666 UnitedHealth Group, Inc. 1,260,186
22,620 WellPoint, Inc. 1,205,420
-------------
12,142,463
-------------
HEALTH CARE TECHNOLOGY -- 0.4%
17,457 Cerner Corp. (a) 1,290,421
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.6%
25,263 Carnival Corp. 840,753
1,519 Chipotle Mexican Grill, Inc. (a) 444,049
17,100 Darden Restaurants, Inc. 875,178
18,323 International Game Technology 207,417
29,448 Marriott International, Inc.,
Class A 1,072,496
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
16,237 Starbucks Corp. $ 735,211
10,882 Starwood Hotels & Resorts
Worldwide, Inc. 589,260
8,960 Yum! Brands, Inc. 580,967
-------------
5,345,331
-------------
HOUSEHOLD DURABLES -- 1.3%
36,438 Harman International Industries,
Inc. 1,470,273
134,856 PulteGroup, Inc. (a) 1,523,873
18,874 Whirlpool Corp. 1,275,128
-------------
4,269,274
-------------
HOUSEHOLD PRODUCTS -- 0.8%
7,966 Clorox (The) Co. 579,208
8,317 Colgate-Palmolive Co. 892,913
13,780 Kimberly-Clark Corp. 1,197,620
-------------
2,669,741
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.7%
67,480 AES (The) Corp. (a) 813,809
66,496 NRG Energy, Inc. 1,317,951
-------------
2,131,760
-------------
INDUSTRIAL CONGLOMERATES -- 0.7%
6,442 3M Co. 587,704
11,083 Danaher Corp. 585,293
13,848 General Electric Co. 287,346
16,382 Tyco International Ltd. 900,027
-------------
2,360,370
-------------
INSURANCE -- 2.6%
7,786 ACE Ltd. 572,271
6,776 Aflac, Inc. 296,653
44,966 American International Group,
Inc. (a) 1,406,087
6,169 Aon PLC 303,515
33,133 Assurant, Inc. 1,199,746
7,926 Chubb (The) Corp. 576,141
49,108 Hartford Financial Services Group
(The), Inc. 807,827
37,419 MetLife, Inc. 1,151,383
22,005 Principal Financial Group, Inc. 563,108
5,959 Prudential Financial, Inc. 287,700
11,418 Torchmark Corp. 568,045
13,562 Travelers (The) Cos., Inc. 849,659
-------------
8,582,135
-------------
INTERNET & CATALOG RETAIL -- 1.1%
6,319 Amazon.com, Inc. (a) 1,474,223
18,011 Expedia, Inc. 1,026,447
1,737 Priceline.com, Inc. (a) 1,149,442
-------------
3,650,112
-------------
|
See Notes to Financial Statements Page 33
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
-- 1.2%
34,348 eBay, Inc. (a) $ 1,521,616
33,118 Verisign, Inc. (a) 1,471,102
54,692 Yahoo!, Inc. (a) 866,321
-------------
3,859,039
-------------
IT SERVICES -- 2.5%
14,408 Accenture PLC, Class A 868,802
5,185 Automatic Data Processing, Inc. 293,212
16,936 Fidelity National Information
Services, Inc. 532,468
11,988 Fiserv, Inc. (a) 840,718
1,476 International Business Machines
Corp. 289,266
2,684 MasterCard, Inc., Class A 1,171,754
9,188 Paychex, Inc. 300,356
20,038 Teradata Corp. (a) 1,354,970
24,120 Total System Services, Inc. 570,438
9,337 Visa, Inc., Class A 1,205,127
34,274 Western Union Co. 597,396
-------------
8,024,507
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.5%
25,562 Hasbro, Inc. 915,631
17,792 Mattel, Inc. 625,745
-------------
1,541,376
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.5%
22,064 Agilent Technologies, Inc. 844,831
16,678 Thermo Fisher Scientific, Inc. 928,464
-------------
1,773,295
-------------
MACHINERY -- 3.5%
6,798 Caterpillar, Inc. 572,460
11,912 Cummins, Inc. 1,142,361
10,706 Deere & Co. 822,435
21,533 Dover Corp. 1,172,902
29,129 Eaton Corp. 1,277,015
10,060 Flowserve Corp. 1,206,999
16,369 Illinois Tool Works, Inc. 889,491
22,092 PACCAR, Inc. 883,901
15,015 Parker Hannifin Corp. 1,206,005
18,544 Snap-on, Inc. 1,256,912
8,968 Stanley Black & Decker, Inc. 599,870
11,466 Xylem, Inc. 274,955
-------------
11,305,306
-------------
MEDIA -- 3.2%
8,804 CBS Corp., Class B 294,582
18,054 Comcast Corp., Class A 587,658
17,734 DIRECTV, Class A (a) 880,670
26,721 Discovery Communications, Inc.,
Class A (a) 1,352,884
97,960 Gannett Co., Inc. 1,382,216
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MEDIA (CONTINUED)
53,196 Interpublic Group of Cos. (The),
Inc. $ 525,044
12,947 News Corp., Class A 298,040
17,814 Omnicom Group, Inc. 893,906
20,302 Scripps Networks Interactive,
Class A 1,093,263
10,545 Time Warner Cable, Inc. 895,587
22,488 Time Warner, Inc. 879,731
6,138 Viacom, Inc., Class B 286,706
5,950 Walt Disney (The) Co. 292,383
2,316 Washington Post (The) Co.,
Class B 783,966
-------------
10,446,636
-------------
METALS & MINING -- 1.7%
131,927 Alcoa, Inc. 1,117,422
27,149 Allegheny Technologies, Inc. 815,284
42,353 Freeport-McMoRan Copper &
Gold, Inc. 1,426,025
22,844 Nucor Corp. 895,485
51,033 Titanium Metals Corp. 595,045
42,028 United States Steel Corp. 867,878
-------------
5,717,139
-------------
MULTILINE RETAIL -- 2.1%
28,300 Big Lots, Inc. (a) 1,146,433
21,705 Family Dollar Stores, Inc. 1,434,267
31,720 Kohl's Corp. 1,577,118
25,204 Macy's, Inc. 903,311
11,616 Nordstrom, Inc. 628,890
19,838 Target Corp. 1,203,175
-------------
6,893,194
-------------
MULTI-UTILITIES -- 2.7%
8,604 Ameren Corp. 294,343
41,885 CenterPoint Energy, Inc. 882,098
24,561 CMS Energy Corp. 605,674
4,640 Consolidated Edison, Inc. 299,280
5,344 Dominion Resources, Inc. 290,233
14,592 DTE Energy Co. 895,511
5,075 Integrys Energy Group, Inc. 307,240
23,320 NiSource, Inc. 596,759
19,125 PG&E Corp. 882,810
35,519 Public Service Enterprise Group,
Inc. 1,180,652
12,065 SCANA Corp. 593,236
12,569 Sempra Energy 884,983
47,939 TECO Energy, Inc. 872,010
7,293 Wisconsin Energy Corp. 297,117
-------------
8,881,946
-------------
OFFICE ELECTRONICS -- 0.4%
183,349 Xerox Corp. 1,270,609
-------------
OIL, GAS & CONSUMABLE FUELS
-- 8.8%
16,418 Apache Corp. 1,413,918
21,974 Cabot Oil & Gas Corp. 927,083
77,578 Chesapeake Energy Corp. 1,460,018
13,677 Chevron Corp. 1,498,726
|
Page 34 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
25,822 ConocoPhillips $ 1,405,750
38,173 CONSOL Energy, Inc. 1,106,254
95,497 Denbury Resources, Inc. (a) 1,443,915
24,883 Devon Energy Corp. 1,471,083
10,762 EQT Corp. 606,977
13,490 Exxon Mobil Corp. 1,171,606
33,210 Hess Corp. 1,566,184
56,432 Marathon Oil Corp. 1,493,755
32,123 Marathon Petroleum Corp. 1,519,418
28,693 Murphy Oil Corp. 1,539,666
49,231 Newfield Exploration Co. (a) 1,503,022
6,805 Noble Energy, Inc. 594,961
16,824 Occidental Petroleum Corp. 1,464,193
38,517 QEP Resources, Inc. 1,156,665
9,329 Range Resources Corp. 583,995
9,931 Spectra Energy Corp. 304,782
57,811 Tesoro Corp. (a) 1,598,474
59,750 Valero Energy Corp. 1,643,125
71,345 WPX Energy, Inc. (a) 1,137,953
-------------
28,611,523
-------------
PAPER & FOREST PRODUCTS -- 0.6%
39,930 International Paper Co. 1,310,103
20,076 MeadWestvaco Corp. 570,159
-------------
1,880,262
-------------
PHARMACEUTICALS -- 2.6%
13,429 Abbott Laboratories 890,477
3,118 Allergan, Inc. 255,894
16,055 Bristol-Myers Squibb Co. 571,558
26,902 Eli Lilly & Co. 1,184,495
41,239 Forest Laboratories, Inc. (a) 1,383,568
4,272 Johnson & Johnson 295,708
13,825 Merck & Co., Inc. 610,650
12,236 Perrigo Co. 1,395,149
12,547 Pfizer, Inc. 301,630
19,502 Watson Pharmaceuticals, Inc. (a) 1,517,841
-------------
8,406,970
-------------
PROFESSIONAL SERVICES -- 0.5%
24,772 Equifax, Inc. 1,160,321
20,202 Robert Half International, Inc. 545,656
-------------
1,705,977
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 2.8%
20,640 American Tower Corp. 1,492,478
21,353 Apartment Investment &
Management Co., Class A 585,713
2,040 AvalonBay Communities, Inc. 300,064
5,326 Boston Properties, Inc. 590,653
4,628 Equity Residential 292,999
26,146 HCP, Inc. 1,234,353
14,850 Health Care REIT, Inc. 924,115
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
8,685 Prologis, Inc. $ 280,786
3,997 Public Storage 595,353
7,416 Simon Property Group, Inc. 1,190,194
22,860 Ventas, Inc. 1,537,335
-------------
9,024,043
-------------
ROAD & RAIL -- 1.2%
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.1%
15,322 Analog Devices, Inc. 598,784
100,730 Applied Materials, Inc. 1,096,950
54,145 Intel Corp. 1,391,526
5,860 KLA-Tencor Corp. 298,333
182,942 Micron Technology, Inc. (a) 1,136,070
41,764 NVIDIA Corp. (a) 565,484
102,628 Teradyne, Inc. (a) 1,509,658
10,059 Texas Instruments, Inc. 274,007
-------------
6,870,812
-------------
SOFTWARE -- 2.0%
8,915 Adobe Systems, Inc. (a) 275,295
6,762 BMC Software, Inc. (a) 267,775
21,306 CA, Inc. 512,836
13,752 Citrix Systems, Inc. (a) 999,495
9,725 Intuit, Inc. 564,245
28,302 Microsoft Corp. 834,060
9,717 Oracle Corp. 293,453
20,438 Red Hat, Inc. (a) 1,096,703
2,087 Salesforce.com, Inc. (a) 259,539
98,765 Symantec Corp. (a) 1,555,549
-------------
6,658,950
-------------
SPECIALTY RETAIL -- 3.4%
16,906 Abercrombie & Fitch Co., Class A 571,423
2,358 AutoZone, Inc. (a) 884,792
9,340 Bed Bath & Beyond, Inc. (a) 569,273
11,125 CarMax, Inc. (a) 309,609
78,592 GameStop Corp., Class A 1,259,044
21,096 Gap (The), Inc. 622,121
27,231 Home Depot (The), Inc. 1,420,914
6,786 Limited Brands, Inc. 322,674
10,147 Lowe's Cos., Inc. 257,429
3,445 O'Reilly Automotive, Inc. (a) 295,374
23,098 Ross Stores, Inc. 1,534,631
110,571 Staples, Inc. 1,408,675
33,612 TJX (The) Cos., Inc. 1,488,339
10,460 Urban Outfitters, Inc. (a) 319,553
-------------
11,263,851
-------------
|
See Notes to Financial Statements Page 35
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
2,060 Ralph Lauren Corp. $ 297,340
6,488 VF Corp. 968,659
-------------
1,265,999
-------------
TOBACCO -- 0.9%
25,059 Altria Group, Inc. 901,372
4,374 Lorillard, Inc. 562,671
9,922 Philip Morris International, Inc. 907,268
12,863 Reynolds American, Inc. 595,171
-------------
2,966,482
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.2%
3,018 W.W. Grainger, Inc. 618,177
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.2%
19,679 Crown Castle International
Corp. (a) 1,217,736
238,505 MetroPCS Communications, Inc. (a) 2,089,304
177,050 Sprint Nextel Corp. (a) 771,938
-------------
4,078,978
-------------
TOTAL INVESTMENTS -- 100.0% 326,720,324
(Cost $316,898,967) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (30,451)
-------------
NET ASSETS -- 100.0% $ 326,689,873
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $321,508,912. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $22,079,817 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,868,405.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $326,720,324 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 36 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
32,731 Alliant Techsystems, Inc. $ 1,516,100
22,747 BE Aerospace, Inc. (a) 892,365
21,237 Esterline Technologies Corp. (a) 1,247,036
167,870 Exelis, Inc. 1,577,978
17,649 Triumph Group, Inc. 1,103,592
-------------
6,337,071
-------------
AIR FREIGHT & LOGISTICS -- 0.2%
45,317 UTi Worldwide, Inc. 600,450
-------------
AIRLINES -- 0.8%
27,663 Alaska Air Group, Inc. (a) 964,055
249,841 JetBlue Airways Corp. (a) 1,376,624
-------------
2,340,679
-------------
AUTOMOBILES -- 0.5%
48,309 Thor Industries, Inc. 1,387,918
-------------
BIOTECHNOLOGY -- 1.3%
11,593 Regeneron Pharmaceuticals,
Inc. (a) 1,560,997
13,408 United Therapeutics Corp. (a) 734,490
29,599 Vertex Pharmaceuticals, Inc. (a) 1,435,848
-------------
3,731,335
-------------
CAPITAL MARKETS -- 1.4%
6,049 Affiliated Managers Group,
Inc. (a) 675,008
12,283 Eaton Vance Corp. 325,868
9,286 Greenhill & Co., Inc. 368,840
169,330 Janus Capital Group, Inc. 1,224,256
76,453 Jefferies Group, Inc. 958,720
16,644 SEI Investments Co. 352,520
10,933 Waddell & Reed Financial, Inc.,
Class A 318,041
-------------
4,223,253
-------------
CHEMICALS -- 3.3%
11,101 Albemarle Corp. 646,300
24,401 Cabot Corp. 951,639
16,936 Cytec Industries, Inc. 1,042,580
20,761 Minerals Technologies, Inc. 1,327,458
7,642 NewMarket Corp. 1,756,743
63,387 Olin Corp. 1,282,953
27,038 Sensient Technologies Corp. 958,497
31,534 Valspar (The) Corp. 1,583,007
-------------
9,549,177
-------------
COMMERCIAL BANKS -- 2.4%
50,196 Associated Banc-Corp. 626,948
40,102 Cathay General Bancorp 649,251
6,814 City National Corp. 335,794
8,735 Commerce Bancshares, Inc. 343,984
14,111 East West Bancorp, Inc. 307,620
86,546 First Niagara Financial Group, Inc. 656,019
20,039 FirstMerit Corp. 324,632
33,137 Fulton Financial Corp. 304,529
50,877 International BancShares Corp. 932,576
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL BANKS (CONTINUED)
7,876 Prosperity Bancshares, Inc. $ 319,529
5,430 Signature Bank (a) 350,235
11,275 SVB Financial Group (a) 651,808
13,523 Trustmark Corp. 326,986
45,850 Webster Financial Corp. 940,842
-------------
7,070,753
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.1%
28,563 Brink's (The) Co. 662,662
5,867 Clean Harbors, Inc. (a) 355,188
22,481 Corrections Corp. of America 698,710
53,094 Deluxe Corp. 1,503,622
35,749 Herman Miller, Inc. 654,207
32,907 Mine Safety Appliances Co. 1,129,368
29,597 Rollins, Inc. 697,897
11,064 Waste Connections, Inc. 340,439
-------------
6,042,093
-------------
COMMUNICATIONS EQUIPMENT -- 1.0%
60,667 Ciena Corp. (a) 972,492
29,734 Plantronics, Inc. 975,870
125,871 Polycom, Inc. (a) 1,100,112
-------------
3,048,474
-------------
COMPUTERS & PERIPHERALS -- 0.6%
17,938 Diebold, Inc. 580,294
96,724 QLogic Corp. (a) 1,116,195
-------------
1,696,489
-------------
CONSTRUCTION & ENGINEERING
-- 1.5%
100,620 AECOM Technology Corp. (a) 1,631,050
38,036 Granite Construction, Inc. 985,132
66,985 KBR, Inc. 1,757,687
-------------
4,373,869
-------------
CONTAINERS & PACKAGING -- 1.5%
24,222 Greif, Inc., Class A 1,047,844
23,445 Packaging Corp. of America 721,871
6,069 Rock-Tenn Co., Class A 353,337
31,018 Silgan Holdings, Inc. 1,278,252
32,939 Sonoco Products Co. 998,381
-------------
4,399,685
-------------
DISTRIBUTORS -- 0.6%
49,557 LKQ Corp. (a) 1,750,849
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.6%
30,567 Matthews International Corp.,
Class A 886,443
26,761 Service Corp. International 343,879
9,923 Sotheby's 291,240
3,037 Strayer Education, Inc. 220,668
-------------
1,742,230
-------------
|
See Notes to Financial Statements Page 37
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
11,960 CBOE Holdings, Inc. $ 340,860
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
51,604 tw telecom, Inc. (a) 1,296,809
-------------
ELECTRIC UTILITIES -- 2.9%
23,742 Cleco Corp. 1,038,950
61,848 Great Plains Energy, Inc. 1,371,789
11,607 Hawaiian Electric Industries, Inc. 330,684
31,468 IDACORP, Inc. 1,327,950
56,491 NV Energy, Inc. 1,033,220
12,784 OGE Energy Corp. 678,958
84,708 PNM Resources, Inc. 1,761,926
33,159 Westar Energy, Inc. 1,013,339
-------------
8,556,816
-------------
ELECTRICAL EQUIPMENT -- 1.9%
6,502 Acuity Brands, Inc. 376,726
39,796 AMETEK, Inc. 1,233,676
51,047 General Cable Corp. (a) 1,333,858
16,989 Hubbell, Inc., Class B 1,397,855
21,268 Regal-Beloit Corp. 1,369,021
-------------
5,711,136
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.8%
50,448 Arrow Electronics, Inc. (a) 1,702,620
53,636 Avnet, Inc. (a) 1,689,534
75,796 Ingram Micro, Inc., Class A (a) 1,136,182
27,489 Tech Data Corp. (a) 1,377,199
14,390 Trimble Navigation Ltd. (a) 636,901
175,525 Vishay Intertechnology, Inc. (a) 1,732,432
-------------
8,274,868
-------------
ENERGY EQUIPMENT & SERVICES
-- 3.9%
43,742 Atwood Oceanics, Inc. (a) 1,947,831
7,432 Dresser-Rand Group, Inc. (a) 345,662
5,047 Dril-Quip, Inc. (a) 369,996
100,865 Helix Energy Solutions Group,
Inc. (a) 1,803,466
13,834 Oceaneering International, Inc. 715,079
5,001 Oil States International, Inc. (a) 363,573
113,681 Patterson-UTI Energy, Inc. 1,759,782
81,819 Superior Energy Services, Inc. (a) 1,773,018
14,281 Tidewater, Inc. 693,628
44,868 Unit Corp. (a) 1,783,952
-------------
11,555,987
-------------
FOOD & STAPLES RETAILING -- 0.2%
16,152 Harris Teeter Supermarkets, Inc. 667,724
-------------
FOOD PRODUCTS -- 2.0%
71,253 Flowers Foods, Inc. 1,522,677
57,095 Hillshire Brands Co. 1,462,203
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
13,370 Ingredion, Inc. $ 694,170
9,298 Lancaster Colony Corp. 644,258
76,523 Smithfield Foods, Inc. (a) 1,415,676
-------------
5,738,984
-------------
GAS UTILITIES -- 1.3%
28,318 Atmos Energy Corp. 1,015,200
14,093 National Fuel Gas Co. 689,711
31,739 Questar Corp. 645,889
33,745 UGI Corp. 1,034,284
8,328 WGL Holdings, Inc. 336,868
-------------
3,721,952
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.8%
8,301 Cooper (The) Cos., Inc. 624,733
32,192 Hill-Rom Holdings, Inc. 841,821
13,775 IDEXX Laboratories, Inc. (a) 1,214,542
31,831 ResMed, Inc. (a) 1,004,586
31,658 STERIS Corp. 953,856
5,435 Teleflex, Inc. 346,427
9,858 Thoratec Corp. (a) 338,228
-------------
5,324,193
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 4.9%
15,068 AMERIGROUP Corp. (a) 1,354,312
47,241 Community Health Systems, Inc. (a) 1,162,601
84,341 Health Management Associates,
Inc., Class A (a) 554,964
40,920 Health Net, Inc. (a) 901,058
21,088 Henry Schein, Inc. (a) 1,577,593
29,814 HMS Holdings Corp. (a) 1,025,900
40,390 LifePoint Hospitals, Inc. (a) 1,539,667
48,654 Lincare Holdings, Inc. 2,014,276
10,600 Omnicare, Inc. 332,946
10,808 Owens & Minor, Inc. 304,894
30,680 Universal Health Services, Inc.,
Class B 1,198,974
30,122 VCA Antech, Inc. (a) 548,220
31,230 WellCare Health Plans, Inc. (a) 2,024,329
-------------
14,539,734
-------------
HOTELS, RESTAURANTS & LEISURE
-- 2.8%
28,379 Bally Technologies, Inc. (a) 1,240,446
32,939 Bob Evans Farms, Inc. 1,268,810
20,774 Brinker International, Inc. 673,285
31,074 Cheesecake Factory (The), Inc. (a) 1,041,601
50,579 International Speedway Corp.,
Class A 1,296,846
7,118 Life Time Fitness, Inc. (a) 323,228
2,374 Panera Bread Co., Class A (a) 373,881
38,718 Scientific Games Corp., Class A (a) 327,554
70,135 Wendy's (The) Co. 321,920
66,374 WMS Industries, Inc. (a) 1,219,291
-------------
8,086,862
-------------
|
Page 38 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES -- 0.2%
9,481 Mohawk Industries, Inc. (a) $ 629,823
-------------
HOUSEHOLD PRODUCTS -- 0.7%
23,872 Church & Dwight Co., Inc. 1,375,266
8,798 Energizer Holdings, Inc. (a) 684,220
-------------
2,059,486
-------------
INDUSTRIAL CONGLOMERATES -- 0.5%
31,218 Carlisle Cos., Inc. 1,576,197
-------------
INSURANCE -- 5.1%
4,872 Alleghany Corp. (a) 1,684,786
33,754 American Financial Group, Inc. 1,272,863
37,758 Arthur J. Gallagher & Co. 1,339,654
22,909 Aspen Insurance Holdings Ltd. 658,405
36,418 Brown & Brown, Inc. 919,190
9,596 Everest Re Group, Ltd. 975,913
34,376 Fidelity National Financial, Inc.,
Class A 640,081
58,557 First American Financial Corp. 1,072,764
31,628 HCC Insurance Holdings, Inc. 969,082
31,777 Mercury General Corp. 1,150,963
45,024 Protective Life Corp. 1,256,620
24,886 Reinsurance Group of America, Inc. 1,385,404
35,634 StanCorp Financial Group, Inc. 1,060,468
17,011 W. R. Berkley Corp. 623,113
-------------
15,009,306
-------------
INTERNET & CATALOG RETAIL -- 0.5%
32,817 HSN, Inc. 1,390,128
-------------
INTERNET SOFTWARE & SERVICES
-- 1.6%
23,578 AOL, Inc. (a) 751,195
9,423 Equinix, Inc. (a) 1,678,990
155,783 Monster Worldwide, Inc. (a) 1,129,427
80,791 ValueClick, Inc. (a) 1,269,227
-------------
4,828,839
-------------
IT SERVICES -- 4.0%
65,726 Acxiom Corp. (a) 1,102,225
12,261 Alliance Data Systems Corp. (a) 1,593,930
15,564 Broadridge Financial Solutions,
Inc. 329,490
112,065 Convergys Corp. 1,651,838
18,080 CoreLogic, Inc. (a) 415,840
12,191 DST Systems, Inc. 657,095
23,069 Gartner, Inc. (a) 1,024,033
19,180 Jack Henry & Associates, Inc. 666,121
39,285 Lender Processing Services, Inc. 969,161
70,524 ManTech International Corp.,
Class A 1,546,591
19,823 NeuStar, Inc., Class A (a) 701,933
16,091 Wright Express Corp. (a) 1,035,939
-------------
11,694,196
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.6%
23,156 Polaris Industries, Inc. $ 1,740,405
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.5%
20,210 Charles River Laboratories
International, Inc. (a) 687,746
6,918 Covance, Inc. (a) 324,731
4,461 Techne Corp. 308,166
-------------
1,320,643
-------------
MACHINERY -- 5.6%
36,195 AGCO Corp. (a) 1,586,789
6,874 CLARCOR, Inc. 332,358
9,920 Donaldson Co., Inc. 338,569
32,487 Harsco Corp. 690,349
16,985 IDEX Corp. 647,978
49,931 Kennametal, Inc. 1,842,454
30,239 Lincoln Electric Holdings, Inc. 1,205,931
6,454 Nordson Corp. 330,832
63,206 Oshkosh Corp. (a) 1,423,399
17,296 Pentair, Inc. 758,084
5,068 SPX Corp. 307,729
18,566 Terex Corp. (a) 362,037
36,148 Timken (The) Co. 1,308,558
53,009 Trinity Industries, Inc. 1,484,252
13,683 Valmont Industries, Inc. 1,695,050
21,218 Wabtec Corp. 1,680,041
16,787 Woodward, Inc. 563,539
-------------
16,557,949
-------------
MARINE -- 0.9%
28,126 Kirby Corp. (a) 1,484,209
47,157 Matson, Inc. 1,158,176
-------------
2,642,385
-------------
MEDIA -- 2.3%
72,438 Cinemark Holdings, Inc. 1,693,600
17,368 DreamWorks Animation SKG, Inc.,
Class A (a) 333,466
13,515 John Wiley & Sons, Inc., Class A 643,990
31,093 Meredith Corp. 1,027,313
58,778 Scholastic Corp. 1,770,981
60,881 Valassis Communications, Inc. (a) 1,372,866
-------------
6,842,216
-------------
METALS & MINING -- 2.6%
6,920 Carpenter Technology Corp. 331,191
78,569 Commercial Metals Co. 1,012,754
32,776 Reliance Steel & Aluminum Co. 1,687,309
21,112 Royal Gold, Inc. 1,597,756
140,868 Steel Dynamics, Inc. 1,815,789
48,516 Worthington Industries, Inc. 1,052,797
-------------
7,497,596
-------------
MULTILINE RETAIL -- 0.3%
93,251 Saks, Inc. (a) 972,608
-------------
|
See Notes to Financial Statements Page 39
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES -- 1.3%
|
OIL, GAS & CONSUMABLE FUELS
-- 3.2%
240,232 Arch Coal, Inc. 1,732,073
29,341 Energen Corp. 1,502,553
225,811 Forest Oil Corp. (a) 1,546,805
46,717 HollyFrontier Corp. 1,746,749
18,820 Plains Exploration & Production
Co. (a) 752,047
305,387 Quicksilver Resources, Inc. (a) 1,380,349
17,409 World Fuel Services Corp. 704,890
-------------
9,365,466
-------------
PAPER & FOREST PRODUCTS -- 0.5%
21,577 Domtar Corp. 1,593,677
-------------
PROFESSIONAL SERVICES -- 1.2%
8,098 Corporate Executive Board (The)
Co. 373,561
92,276 Korn/Ferry International (a) 1,214,352
36,130 Manpower, Inc. 1,285,506
11,053 Towers Watson & Co., Class A 648,037
-------------
3,521,456
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 4.6%
4,552 Alexandria Real Estate Equities,
Inc. 334,481
22,079 American Campus Communities,
Inc. 1,052,285
9,784 Camden Property Trust 697,697
4,301 Essex Property Trust, Inc. 676,805
6,361 Federal Realty Investment Trust 691,186
19,675 Highwoods Properties, Inc. 666,392
5,395 Home Properties, Inc. 353,966
17,972 Liberty Property Trust 652,204
22,424 Macerich (The) Co. 1,309,786
35,105 National Retail Properties, Inc. 1,035,598
44,139 OMEGA Healthcare Investors, Inc. 1,069,929
7,373 Rayonier, Inc. 351,618
31,701 Realty Income Corp. 1,306,081
20,877 Regency Centers Corp. 998,965
14,832 Senior Housing Properties Trust 337,428
8,251 SL Green Realty Corp. 649,766
12,871 Taubman Centers, Inc. 997,760
12,811 UDR, Inc. 340,901
-------------
13,522,848
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
4,704 Jones Lang LaSalle, Inc. 313,710
-------------
|
18,335 Con-way, Inc. $ 653,093
27,772 J.B. Hunt Transport Services, Inc. 1,528,016
9,518 Kansas City Southern 692,910
19,202 Landstar System, Inc. 948,771
55,427 Werner Enterprises, Inc. 1,279,255
-------------
5,102,045
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.8%
197,635 Atmel Corp. (a) 1,158,141
93,912 Fairchild Semiconductor
International, Inc. (a) 1,301,620
58,904 Integrated Device Technology,
Inc. (a) 296,876
49,681 International Rectifier Corp. (a) 846,564
31,084 Intersil Corp., Class A 286,284
48,380 Skyworks Solutions, Inc. (a) 1,399,634
-------------
5,289,119
-------------
SOFTWARE -- 3.8%
37,439 ACI Worldwide, Inc. (a) 1,647,690
24,422 Advent Software, Inc. (a) 555,845
10,491 ANSYS, Inc. (a) 629,040
60,244 Cadence Design Systems, Inc. (a) 736,182
24,305 Concur Technologies, Inc. (a) 1,641,560
23,489 Fair Isaac Corp. 1,016,839
66,208 Mentor Graphics Corp. (a) 1,011,658
6,466 MICROS Systems, Inc. (a) 308,687
15,794 Parametric Technology Corp. (a) 340,203
59,433 Quest Software, Inc. (a) 1,660,558
22,497 Synopsys, Inc. (a) 681,434
33,192 TIBCO Software, Inc. (a) 932,363
-------------
11,162,059
-------------
SPECIALTY RETAIL -- 6.9%
58,467 Aaron's, Inc. 1,714,837
4,853 Advance Auto Parts, Inc. 340,438
18,566 Aeropostale, Inc. (a) 366,122
16,778 American Eagle Outfitters, Inc. 349,318
38,961 ANN, Inc. (a) 1,055,064
53,336 Ascena Retail Group, Inc. (a) 978,182
40,224 Barnes & Noble, Inc. (a) 533,772
66,922 Chico's FAS, Inc. 1,025,245
34,483 Dick's Sporting Goods, Inc. 1,693,805
32,476 Foot Locker, Inc. 1,072,358
43,601 Guess?, Inc. 1,312,390
766,295 Office Depot, Inc. (a) 1,364,005
24,277 PetSmart, Inc. 1,604,952
431,041 RadioShack Corp. 1,254,329
49,057 Rent-A-Center, Inc. 1,744,467
30,088 Signet Jewelers Ltd. 1,321,465
15,942 Tractor Supply Co. 1,448,650
28,399 Williams-Sonoma, Inc. 986,865
-------------
20,166,264
-------------
|
Page 40 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY
GOODS -- 1.5%
31,468 Carter's, Inc. (a) $ 1,594,483
12,767 PVH Corp. 1,014,083
35,038 Under Armour, Inc., Class A (a) 1,907,469
-------------
4,516,035
-------------
THRIFTS & MORTGAGE FINANCE -- 0.5%
33,780 Astoria Financial Corp. 318,208
52,839 New York Community Bancorp, Inc. 685,850
19,600 Washington Federal, Inc. 312,228
-------------
1,316,286
-------------
TOBACCO -- 0.4%
28,581 Universal Corp. 1,301,579
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.2%
25,795 GATX Corp. 1,085,196
38,900 United Rentals, Inc. (a) 1,124,599
17,943 Watsco, Inc. 1,219,047
-------------
3,428,842
-------------
WATER UTILITIES -- 0.3%
39,788 Aqua America, Inc. 1,020,164
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
77,745 Telephone & Data Systems, Inc. 1,883,761
-------------
TOTAL COMMON STOCKS -- 100.0% 294,070,397
(Cost $291,404,710)
MONEY MARKET FUND -- 0.1%
187,141 Morgan Stanley Institutional
Treasury Money Market
Fund - 0.03% (b) 187,141
(Cost $187,141) -------------
TOTAL INVESTMENTS -- 100.1% 294,257,538
(Cost $291,591,851) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (182,163)
-------------
NET ASSETS -- 100.0% $ 294,075,375
=============
|
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012. (c) Aggregate cost for federal income tax purposes is $295,671,163. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $18,604,811 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $20,018,436.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $294,070,397 $ -- $ --
Money Market Fund 187,141 -- --
--------------------------------------
Total Investments $294,257,538 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
See Notes to Financial Statements Page 41
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.0%
38,991 AAR Corp. $ 554,062
20,491 Ceradyne, Inc. 450,802
4,373 Cubic Corp. 211,522
16,927 Curtiss-Wright Corp. 507,302
7,627 Moog, Inc., Class A (a) 277,547
40,681 Orbital Sciences Corp. (a) 532,921
5,115 Teledyne Technologies, Inc. (a) 318,664
-------------
2,852,820
-------------
AIR FREIGHT & LOGISTICS -- 0.4%
3,258 Forward Air Corp. 109,013
14,519 Hub Group, Inc., Class A (a) 431,940
-------------
540,953
-------------
AIRLINES -- 0.8%
7,543 Allegiant Travel Co. (a) 536,006
80,490 SkyWest, Inc. 563,430
-------------
1,099,436
-------------
AUTO COMPONENTS -- 0.9%
7,549 Drew Industries, Inc. (a) 202,766
37,329 Standard Motor Products, Inc. 524,846
32,107 Superior Industries International,
Inc. 548,709
-------------
1,276,321
-------------
BEVERAGES -- 0.2%
2,606 Boston Beer (The) Co., Inc.,
Class A (a) 280,718
-------------
BIOTECHNOLOGY -- 0.6%
2,773 Cubist Pharmaceuticals, Inc. (a) 119,405
20,816 Emergent Biosolutions, Inc. (a) 304,122
27,023 Spectrum Pharmaceuticals, Inc. (a) 378,052
-------------
801,579
-------------
BUILDING PRODUCTS -- 1.2%
8,600 A.O. Smith Corp. 425,012
40,509 Gibraltar Industries, Inc. (a) 385,646
49,007 Griffon Corp. 430,772
29,119 NCI Building Systems, Inc. (a) 313,320
3,562 Simpson Manufacturing Co., Inc. 86,343
2,697 Universal Forest Products, Inc. 86,115
-------------
1,727,208
-------------
CAPITAL MARKETS -- 1.0%
27,542 Calamos Asset Management, Inc.,
Class A 291,119
46,146 Prospect Capital Corp. 511,298
3,402 Stifel Financial Corp. (a) 102,400
6,489 Virtus Investment Partners,
Inc. (a) 543,259
-------------
1,448,076
-------------
CHEMICALS -- 4.2%
21,183 A. Schulman, Inc. 463,060
19,767 American Vanguard Corp. 462,350
14,785 Calgon Carbon Corp. (a) 204,624
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CHEMICALS (CONTINUED)
13,696 H.B. Fuller Co. $ 400,197
8,260 Hawkins, Inc. 314,211
7,447 Innophos Holdings, Inc. 431,703
6,184 Koppers Holdings, Inc. 203,701
23,989 Kraton Performance Polymers,
Inc. (a) 561,822
13,603 LSB Industries, Inc. (a) 437,064
22,130 OM Group, Inc. (a) 347,441
15,368 PolyOne Corp. 226,371
11,374 Quaker Chemical Corp. 503,527
5,581 Stepan Co. 494,812
36,099 Tredegar Corp. 534,626
15,312 Zep, Inc. 233,661
-------------
5,819,170
-------------
COMMERCIAL BANKS -- 3.3%
6,989 Bank of the Ozarks, Inc. 224,976
11,772 Boston Private Financial Holdings,
Inc. 110,775
3,120 City Holding Co. 103,116
5,586 Columbia Banking System, Inc. 100,827
3,876 Community Bank System, Inc. 106,629
9,023 CVB Financial Corp. 106,471
9,671 F.N.B. Corp. 105,220
26,545 First BanCorp (a) 100,340
6,578 First Financial Bancorp 104,985
20,061 Hanmi Financial Corp. (a) 219,668
10,313 Home BancShares, Inc. 310,937
3,599 Independent Bank Corp. 106,926
10,984 National Penn Bancshares, Inc. 97,099
4,869 NBT Bancorp, Inc. 102,298
17,505 Old National Bancorp 214,261
8,882 PacWest Bancorp 203,487
10,776 Pinnacle Financial Partners,
Inc. (a) 210,671
7,122 PrivateBancorp, Inc. 109,109
11,383 S&T Bancorp, Inc. 187,820
9,043 Simmons First National Corp.,
Class A 211,064
10,206 Susquehanna Bancshares, Inc. 108,796
13,013 Texas Capital Bancshares, Inc. (a) 560,730
2,790 Tompkins Financial Corp. 109,535
8,208 UMB Financial Corp. 394,476
7,988 Umpqua Holdings Corp. 99,690
38,365 Wilshire Bancorp, Inc. (a) 243,234
2,961 Wintrust Financial Corp. 108,698
-------------
4,661,838
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.1%
10,748 ABM Industries, Inc. 199,913
14,474 Consolidated Graphics, Inc. (a) 343,179
17,745 Encore Capital Group, Inc. (a) 496,860
6,741 G&K Services, Inc., Class A 212,409
13,880 Geo Group (The), Inc. (a) 320,906
16,272 Healthcare Services Group, Inc. 352,777
21,900 Mobile Mini, Inc. (a) 313,608
|
Page 42 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
4,607 Portfolio Recovery Associates,
Inc. (a) $ 390,121
32,932 Sykes Enterprises, Inc. (a) 487,064
16,123 Tetra Tech, Inc. (a) 414,522
6,596 UniFirst Corp. 413,042
11,702 United Stationers, Inc. 295,007
5,256 Viad Corp. 91,086
-------------
4,330,494
-------------
COMMUNICATIONS EQUIPMENT -- 1.0%
14,712 Comtech Telecommunications Corp. 401,932
20,531 Digi International, Inc. (a) 187,859
49,352 Harmonic, Inc. (a) 209,252
3,046 NETGEAR, Inc. (a) 105,483
38,847 Oplink Communications, Inc. (a) 515,111
-------------
1,419,637
-------------
COMPUTERS & PERIPHERALS -- 0.9%
15,395 3D Systems Corp. (a) 585,010
10,607 Stratasys, Inc. (a) 649,997
6,628 Super Micro Computer, Inc. (a) 82,253
-------------
1,317,260
-------------
CONSTRUCTION & ENGINEERING -- 0.6%
17,628 Aegion Corp. (a) 306,727
22,594 Dycom Industries, Inc. (a) 393,587
7,557 EMCOR Group, Inc. 198,976
-------------
899,290
-------------
CONSTRUCTION MATERIALS -- 0.7%
11,261 Eagle Materials, Inc. 391,320
102,058 Headwaters, Inc. (a) 637,862
-------------
1,029,182
-------------
CONSUMER FINANCE -- 0.3%
2,387 Cash America International, Inc. 91,470
5,234 First Cash Financial Services,
Inc. (a) 209,883
1,598 World Acceptance Corp. (a) 113,890
-------------
415,243
-------------
CONTAINERS & PACKAGING -- 0.2%
12,252 Myers Industries, Inc. 201,423
-------------
DISTRIBUTORS -- 0.6%
12,991 Pool Corp. 478,848
56,395 Voxx International Corp. (a) 422,399
-------------
901,247
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
47,139 Career Education Corp. (a) 222,025
7,655 Coinstar, Inc. (a) 363,536
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
181,868 Corinthian Colleges, Inc. (a) $ 367,373
17,158 Hillenbrand, Inc. 296,662
80,861 Lincoln Educational Services Corp. 352,554
15,562 Universal Technical Institute,
Inc. 178,807
-------------
1,780,957
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
14,283 Interactive Brokers Group, Inc.,
Class A 197,820
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
46,582 Cbeyond, Inc. (a) 332,130
25,300 General Communication, Inc.,
Class A (a) 238,832
39,878 Neutral Tandem, Inc. (a) 544,733
-------------
1,115,695
-------------
ELECTRIC UTILITIES -- 0.8%
5,030 ALLETE, Inc. 208,544
9,510 El Paso Electric Co. 321,913
5,863 UIL Holdings Corp. 217,166
8,210 UNS Energy Corp. 334,147
-------------
1,081,770
-------------
ELECTRICAL EQUIPMENT -- 1.4%
17,160 AZZ, Inc. 526,984
6,304 Belden, Inc. 202,548
15,701 Encore Wire Corp. 430,207
11,990 EnerSys (a) 409,458
6,168 Franklin Electric Co., Inc. 347,937
-------------
1,917,134
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 5.6%
7,926 Anixter International, Inc. 451,069
8,398 Badger Meter, Inc. 284,608
30,142 Benchmark Electronics, Inc. (a) 475,038
77,722 Brightpoint, Inc. (a) 697,166
33,478 CTS Corp. 297,954
15,213 Daktronics, Inc. 117,597
8,893 Electro Scientific Industries, Inc. 110,362
6,592 FEI Co. 314,504
31,230 Insight Enterprises, Inc. (a) 523,415
1,848 Littelfuse, Inc. 99,127
6,467 Measurement Specialties, Inc. (a) 192,587
24,390 Mercury Computer Systems, Inc. (a) 284,631
24,705 Methode Electronics, Inc. 217,404
2,727 MTS Systems Corp. 118,543
43,727 Newport Corp. (a) 491,929
8,298 OSI Systems, Inc. (a) 535,553
4,062 Park Electrochemical Corp. 109,715
14,911 Plexus Corp. (a) 428,244
27,765 Rofin-Sinar Technologies, Inc. (a) 503,379
7,962 Rogers Corp. (a) 285,438
|
See Notes to Financial Statements Page 43
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
10,292 ScanSource, Inc. (a) $ 297,130
15,239 SYNNEX Corp. (a) 515,535
44,684 TTM Technologies, Inc. (a) 488,843
-------------
7,839,771
-------------
ENERGY EQUIPMENT & SERVICES
-- 2.1%
50,930 Basic Energy Services, Inc. (a) 551,063
7,754 Bristow Group, Inc. 354,900
8,245 Exterran Holdings, Inc. (a) 121,779
7,453 Gulf Island Fabrication, Inc. 207,268
5,421 Hornbeck Offshore Services,
Inc. (a) 229,579
31,903 ION Geophysical Corp. (a) 212,155
37,047 Matrix Service Co. (a) 383,807
65,947 Pioneer Energy Services Corp. (a) 530,214
44,230 TETRA Technologies, Inc. (a) 306,514
-------------
2,897,279
-------------
FOOD & STAPLES RETAILING -- 1.6%
9,857 Andersons (The), Inc. 374,270
8,910 Casey's General Stores, Inc. 529,521
24,469 Nash Finch Co. 468,826
23,192 Spartan Stores, Inc. 398,903
9,581 United Natural Foods, Inc. (a) 520,248
-------------
2,291,768
-------------
FOOD PRODUCTS -- 2.8%
11,856 B&G Foods, Inc. 331,968
16,438 Calavo Growers, Inc. 443,497
8,065 Cal-Maine Foods, Inc. 304,292
25,499 Darling International, Inc. (a) 421,244
29,462 Diamond Foods, Inc. 479,347
9,549 Hain Celestial Group (The),
Inc. (a) 531,784
7,115 J & J Snack Foods Corp. 411,176
2,294 Sanderson Farms, Inc. 84,488
11,723 Seneca Foods Corp., Class A (a) 289,324
16,666 Snyder's-Lance, Inc. 390,484
3,375 TreeHouse Foods, Inc. (a) 188,966
-------------
3,876,570
-------------
GAS UTILITIES -- 0.8%
7,922 Laclede Group (The), Inc. 330,981
2,410 New Jersey Resources Corp. 110,619
4,417 Northwest Natural Gas Co. 215,064
3,266 Piedmont Natural Gas Co., Inc. 103,793
7,225 Southwest Gas Corp. 322,669
-------------
1,083,126
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 4.0%
11,364 Abaxis, Inc. (a) 405,581
15,708 Align Technology, Inc. (a) 533,444
3,391 Analogic Corp. 217,092
19,288 Cantel Medical Corp. 503,803
60,298 CryoLife, Inc. (a) 335,257
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
9,356 Cyberonics, Inc. (a) $ 405,115
18,515 Greatbatch, Inc. (a) 422,697
4,255 Haemonetics Corp. (a) 305,977
5,908 ICU Medical, Inc. (a) 315,074
5,655 Integra LifeSciences Holdings (a) 217,491
6,813 Invacare Corp. 95,995
5,138 Meridian Bioscience, Inc. 85,856
15,224 Merit Medical Systems, Inc. (a) 205,676
6,826 Neogen Corp. (a) 262,596
16,580 NuVasive, Inc. (a) 346,356
24,734 Palomar Medical Technologies,
Inc. (a) 198,119
12,153 SurModics, Inc. (a) 193,719
12,252 Symmetry Medical, Inc. (a) 94,953
8,328 West Pharmaceutical Services, Inc. 414,568
-------------
5,559,369
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.3%
5,350 Air Methods Corp. (a) 583,311
23,527 Almost Family, Inc. (a) 517,829
17,727 AMN Healthcare Services, Inc. (a) 103,526
14,025 AmSurg Corp. (a) 414,299
20,000 Bio-Reference Laboratories,
Inc. (a) 495,000
10,456 Centene Corp. (a) 397,746
3,478 Chemed Corp. 218,314
4,291 CorVel Corp. (a) 197,987
72,164 Cross Country Healthcare, Inc. (a) 329,068
11,155 Ensign Group (The), Inc. 312,898
8,200 Hanger, Inc. (a) 211,314
6,958 IPC Hospitalist (The) Co. (a) 299,194
42,775 Kindred Healthcare, Inc. (a) 405,079
3,667 Landauer, Inc. 208,872
4,481 Molina Healthcare, Inc. (a) 109,381
5,114 MWI Veterinary Supply, Inc. 465,834
48,132 PharMerica Corp. (a) 495,278
10,016 PSS World Medical, Inc. (a) 209,234
-------------
5,974,164
-------------
HEALTH CARE TECHNOLOGY -- 0.4%
1,837 Computer Programs & Systems, Inc. 90,931
12,870 Medidata Solutions, Inc. (a) 455,727
-------------
546,658
-------------
HOTELS, RESTAURANTS & LEISURE
-- 4.3%
544 Biglari Holdings, Inc. (a) 204,408
58,400 Boyd Gaming Corp. (a) 332,880
4,853 Buffalo Wild Wings, Inc. (a) 352,279
2,890 CEC Entertainment, Inc. 99,589
8,369 Cracker Barrel Old Country Store,
Inc. 524,402
22,119 Interval Leisure Group, Inc. 405,662
3,770 Jack in the Box, Inc. (a) 101,752
30,558 Marcus (The) Corp. 400,921
46,004 Monarch Casino & Resort, Inc. (a) 343,650
|
Page 44 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
37,543 Multimedia Games Holding Co.,
Inc. (a) $ 531,233
11,049 Papa John's International,
Inc. (a) 563,610
43,709 Pinnacle Entertainment, Inc. (a) 474,243
13,782 Red Robin Gourmet Burgers,
Inc. (a) 411,393
77,180 Ruby Tuesday, Inc. (a) 494,724
31,854 Ruth's Hospitality Group, Inc. (a) 214,059
15,235 Shuffle Master, Inc. (a) 222,583
22,815 Texas Roadhouse, Inc. 394,928
-------------
6,072,316
-------------
HOUSEHOLD DURABLES -- 2.3%
35,951 American Greetings Corp., Class A 477,789
9,125 Blyth, Inc. 312,805
21,098 Ethan Allen Interiors, Inc. 435,252
15,509 Helen of Troy Ltd. (a) 472,404
42,766 La-Z-Boy, Inc. (a) 511,481
20,547 Ryland Group (The), Inc. 490,663
39,909 Universal Electronics, Inc. (a) 502,454
-------------
3,202,848
-------------
HOUSEHOLD PRODUCTS -- 0.4%
19,306 Central Garden & Pet Co.,
Class A (a) 220,474
6,331 WD-40 Co. 304,205
-------------
524,679
-------------
INDUSTRIAL CONGLOMERATES -- 0.2%
7,408 Standex International Corp. 316,914
-------------
INSURANCE -- 2.8%
4,051 AMERISAFE, Inc. (a) 101,133
6,525 eHealth, Inc. (a) 119,864
11,654 Employers Holdings, Inc. 208,374
18,041 Horace Mann Educators Corp. 314,635
7,291 Infinity Property & Casualty Corp. 421,493
35,877 Meadowbrook Insurance Group,
Inc. 252,574
31,379 National Financial Partners
Corp. (a) 465,978
6,301 Navigators Group (The), Inc. (a) 305,157
42,775 Presidential Life Corp. 594,145
2,360 ProAssurance Corp. 211,385
1,541 RLI Corp. 99,256
5,173 Safety Insurance Group, Inc. 219,232
6,038 Selective Insurance Group, Inc. 104,216
6,848 Stewart Information Services Corp. 116,895
15,111 Tower Group, Inc. 281,669
4,928 United Fire Group, Inc. 96,589
-------------
3,912,595
-------------
INTERNET & CATALOG RETAIL -- 0.1%
17,289 PetMed Express, Inc. 168,049
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INTERNET SOFTWARE & SERVICES
-- 2.5%
34,130 Blucora, Inc. (a) $ 520,482
10,474 DealerTrack Holdings, Inc. (a) 305,527
12,650 Digital River, Inc. (a) 225,043
3,979 j2 Global, Inc. 119,091
10,268 Liquidity Services, Inc. (a) 469,453
27,576 LivePerson, Inc. (a) 515,671
4,671 OpenTable, Inc. (a) 169,838
9,361 Perficient, Inc. (a) 124,408
45,408 QuinStreet, Inc. (a) 411,851
4,261 Stamps.com, Inc. (a) 90,120
124,549 United Online, Inc. 528,088
-------------
3,479,572
-------------
IT SERVICES -- 3.2%
1,911 CACI International, Inc.,
Class A (a) 107,876
17,398 Cardtronics, Inc. (a) 539,512
24,333 CSG Systems International,
Inc. (a) 428,991
8,532 Exlservice Holdings, Inc. (a) 210,314
6,209 Forrester Research, Inc. 177,205
17,473 Heartland Payment Systems, Inc. 553,894
24,705 iGATE Corp. (a) 392,809
10,156 MAXIMUS, Inc. 512,878
129,777 NCI, Inc., Class A (a) 769,578
26,280 TeleTech Holdings, Inc. (a) 432,569
23,622 Virtusa Corp. (a) 357,873
-------------
4,483,499
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.8%
5,751 Arctic Cat, Inc. (a) 253,044
14,193 Brunswick Corp. 312,104
6,566 JAKKS Pacific, Inc. 105,187
7,855 Sturm, Ruger & Co., Inc. 388,273
-------------
1,058,608
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.6%
22,342 Cambrex Corp. (a) 206,217
12,877 Luminex Corp. (a) 220,583
14,895 PAREXEL International Corp. (a) 409,910
-------------
836,710
-------------
MACHINERY -- 3.7%
11,611 Actuant Corp., Class A 330,449
16,855 Albany International Corp.,
Class A 301,705
10,279 Astec Industries, Inc. (a) 300,147
12,983 Barnes Group, Inc. 309,774
12,021 Briggs & Stratton Corp. 209,646
11,171 Cascade Corp. 526,266
9,251 CIRCOR International, Inc. 284,838
8,439 EnPro Industries, Inc. (a) 290,892
2,885 ESCO Technologies, Inc. 103,889
7,746 John Bean Technologies Corp. 113,479
14,743 Kaydon Corp. 311,077
4,859 Lindsay Corp. 344,503
23,325 Lydall, Inc. (a) 297,627
2,468 Mueller Industries, Inc. 105,211
|
See Notes to Financial Statements Page 45
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
10,054 Robbins & Myers, Inc. $ 460,875
2,631 Tennant Co. 109,634
11,474 Toro (The) Co. 431,423
9,459 Watts Water Technologies, Inc.,
Class A 318,201
-------------
5,149,636
-------------
MEDIA -- 0.7%
42,490 Digital Generation, Inc. (a) 452,943
46,004 Harte-Hanks, Inc. 289,825
22,902 Live Nation Entertainment,
Inc. (a) 204,286
-------------
947,054
-------------
METALS & MINING -- 1.8%
9,898 A.M. Castle & Co. (a) 72,156
11,139 AMCOL International Corp. 341,967
14,341 Century Aluminum Co. (a) 87,624
23,482 Globe Specialty Metals, Inc. 294,230
4,127 Haynes International, Inc. 198,880
4,056 Kaiser Aluminum Corp. 221,214
22,822 Materion Corp. 447,996
32,010 Olympic Steel, Inc. 500,957
4,645 RTI International Metals, Inc. (a) 104,280
14,351 SunCoke Energy, Inc. (a) 229,616
-------------
2,498,920
-------------
MULTILINE RETAIL -- 0.5%
27,500 Fred's, Inc., Class A 390,500
73,510 Tuesday Morning Corp. (a) 371,961
-------------
762,461
-------------
MULTI-UTILITIES -- 0.6%
11,811 Avista Corp. 326,928
3,200 CH Energy Group, Inc. 208,096
8,593 NorthWestern Corp. 317,340
-------------
852,364
-------------
OIL, GAS & CONSUMABLE FUELS
-- 2.6%
31,082 Cloud Peak Energy, Inc. (a) 514,407
25,608 Comstock Resources, Inc. (a) 414,337
25,477 Gulfport Energy Corp. (a) 524,826
21,435 PDC Energy, Inc. (a) 561,597
57,286 Penn Virginia Corp. 383,816
42,048 PetroQuest Energy, Inc. (a) 231,685
20,742 Stone Energy Corp. (a) 544,685
28,243 Swift Energy Co. (a) 527,862
-------------
3,703,215
-------------
PAPER & FOREST PRODUCTS -- 1.4%
14,759 Buckeye Technologies, Inc. 444,541
12,324 Clearwater Paper Corp. (a) 434,298
33,161 KapStone Paper & Packaging
Corp. (a) 557,436
7,877 Neenah Paper, Inc. 211,576
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PAPER & FOREST PRODUCTS (CONTINUED)
4,628 Schweitzer-Mauduit International,
Inc. $ 315,167
-------------
1,963,018
-------------
PERSONAL PRODUCTS -- 0.7%
24,347 Inter Parfums, Inc. 395,882
21,366 Medifast, Inc. (a) 600,385
-------------
996,267
-------------
PHARMACEUTICALS -- 1.3%
33,329 Akorn, Inc. (a) 455,607
3,244 Hi-Tech Pharmacal Co., Inc. (a) 111,464
18,329 Medicines (The) Co. (a) 458,958
2,909 Par Pharmaceutical Cos., Inc. (a) 145,334
9,872 Questcor Pharmaceuticals, Inc. (a) 363,980
7,724 Salix Pharmaceuticals Ltd. (a) 346,190
-------------
1,881,533
-------------
PROFESSIONAL SERVICES -- 1.3%
19,229 CDI Corp. 310,740
3,980 Exponent, Inc. (a) 205,726
40,712 Kelly Services, Inc., Class A 482,844
24,949 Navigant Consulting, Inc. (a) 290,157
6,586 On Assignment, Inc. (a) 102,676
34,185 Resources Connection, Inc. 385,949
6,791 TrueBlue, Inc. (a) 103,359
-------------
1,881,451
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 2.8%
4,535 Acadia Realty Trust 108,568
9,496 Colonial Properties Trust 215,084
3,944 EastGroup Properties, Inc. 210,925
2,557 Entertainment Properties Trust 115,474
13,741 Extra Space Storage, Inc. 449,880
9,936 Franklin Street Properties Corp. 103,036
13,228 Healthcare Realty Trust, Inc. 324,880
8,686 Kilroy Realty Corp. 411,195
8,692 LTC Properties, Inc. 310,304
1,540 Mid-America Apartment
Communities, Inc. 106,614
2,147 Post Properties, Inc. 110,893
4,657 PS Business Parks, Inc. 314,860
4,904 Saul Centers, Inc. 204,203
4,197 Sovran Self Storage, Inc. 239,649
6,560 Tanger Factory Outlet Centers, Inc. 211,232
10,125 Universal Health Realty Income
Trust 440,843
5,317 Urstadt Biddle Properties, Inc.,
Class A 100,970
-------------
3,978,610
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
8,206 Forestar Group, Inc. (a) 93,384
-------------
|
Page 46 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL -- 0.8%
33,371 Arkansas Best Corp. $ 456,849
14,692 Heartland Express, Inc. 204,219
13,148 Knight Transportation, Inc. 201,559
7,285 Old Dominion Freight Line,
Inc. (a) 308,884
-------------
1,171,511
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.9%
7,833 Advanced Energy Industries,
Inc. (a) 96,503
55,678 Brooks Automation, Inc. 515,578
17,590 Cirrus Logic, Inc. (a) 646,784
20,693 Cohu, Inc. 177,960
5,350 Cymer, Inc. (a) 306,073
16,801 Diodes, Inc. (a) 318,211
12,882 Exar Corp. (a) 95,327
22,061 Micrel, Inc. 206,050
11,370 Microsemi Corp. (a) 220,123
14,534 MKS Instruments, Inc. 383,698
10,581 Monolithic Power Systems, Inc. (a) 205,060
13,687 Nanometrics, Inc. (a) 207,905
11,680 Pericom Semiconductor Corp. (a) 93,907
48,220 Rudolph Technologies, Inc. (a) 482,200
11,398 Standard Microsystems Corp. (a) 420,700
76,451 TriQuint Semiconductor, Inc. (a) 431,184
13,349 Ultratech, Inc. (a) 424,632
6,119 Veeco Instruments, Inc. (a) 218,509
-------------
5,450,404
-------------
SOFTWARE -- 2.4%
11,648 Bottomline Technologies, Inc. (a) 221,196
6,362 CommVault Systems, Inc. (a) 308,684
25,744 EPIQ Systems, Inc. 290,650
3,726 Interactive Intelligence Group,
Inc. (a) 97,174
7,081 JDA Software Group, Inc. (a) 209,456
6,899 Manhattan Associates, Inc. (a) 322,114
809 MicroStrategy, Inc., Class A (a) 94,216
18,805 Monotype Imaging Holdings,
Inc. (a) 276,057
9,738 NetScout Systems, Inc. (a) 227,480
5,037 Progress Software Corp. (a) 97,919
10,226 Sourcefire, Inc. (a) 522,037
10,421 Tyler Technologies, Inc. (a) 406,628
38,552 VASCO Data Security International,
Inc. (a) 356,606
-------------
3,430,217
-------------
SPECIALTY RETAIL -- 6.1%
55,619 Big 5 Sporting Goods Corp. 419,367
2,780 Cabela's, Inc. (a) 127,713
10,353 Cato (The) Corp., Class A 289,884
2,110 Children's Place Retail Stores
(The), Inc. (a) 107,188
15,082 Finish Line (The), Inc., Class A 314,912
5,243 Genesco, Inc. (a) 347,191
6,914 Group 1 Automotive, Inc. 371,628
|
47,054 Haverty Furniture Cos., Inc. $ 530,769
7,286 Hibbett Sports, Inc. (a) 442,770
10,848 Hot Topic, Inc. 110,216
46,720 Kirkland's, Inc. (a) 505,043
18,242 Lithia Motors, Inc., Class A 508,222
15,555 Lumber Liquidators Holdings,
Inc. (a) 657,821
18,678 Men's Wearhouse (The), Inc. 508,976
83,098 OfficeMax, Inc. (a) 373,110
42,473 Pep Boys-Manny, Moe & Jack (The) 385,230
8,330 rue21, Inc. (a) 205,251
5,025 Select Comfort Corp. (a) 130,700
30,759 Sonic Automotive, Inc., Class A 526,594
22,952 Stage Stores, Inc. 434,711
39,668 Stein Mart, Inc. (a) 315,361
9,569 Vitamin Shoppe, Inc. (a) 525,530
13,273 Zumiez, Inc. (a) 482,208
-------------
8,620,395
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 2.3%
19,527 Crocs, Inc. (a) 299,740
29,390 Fifth & Pacific Cos., Inc. (a) 325,641
24,069 Iconix Brand Group, Inc. (a) 426,743
5,277 Maidenform Brands, Inc. (a) 111,239
8,403 Movado Group, Inc. 196,966
7,055 Oxford Industries, Inc. 305,058
20,264 Perry Ellis International,
Inc. (a) 381,977
225,579 Quiksilver, Inc. (a) 651,923
3,311 Steven Madden Ltd. (a) 133,864
3,627 True Religion Apparel, Inc. 95,173
5,421 Wolverine World Wide, Inc. 240,855
-------------
3,169,179
-------------
THRIFTS & MORTGAGE FINANCE -- 0.6%
11,878 Brookline Bancorp, Inc. 99,894
15,819 Dime Community Bancshares, Inc. 229,376
8,977 Northwest Bancshares, Inc. 104,582
7,305 Oritani Financial Corp. 102,927
13,696 Provident Financial Services, Inc. 208,590
6,721 ViewPoint Financial Group, Inc. 118,323
-------------
863,692
-------------
TOBACCO -- 0.3%
121,526 Alliance One International,
Inc. (a) 396,175
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.3%
5,705 Applied Industrial Technologies,
Inc. 211,998
6,795 Kaman Corp. 221,381
-------------
433,379
-------------
WATER UTILITIES -- 0.2%
7,968 American States Water Co. 323,899
-------------
|
See Notes to Financial Statements Page 47
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
WIRELESS TELECOMMUNICATION
SERVICES -- 0.4%
5,577 NTELOS Holdings Corp. $ 118,232
40,871 USA Mobility, Inc. 455,303
-------------
573,535
-------------
TOTAL COMMON STOCKS -- 100.0% 140,380,065
(Cost $138,184,273) -------------
MONEY MARKET FUND -- 0.1%
74,478 Morgan Stanley Institutional
Treasury Money Market
Fund - 0.03% (b) 74,478
(Cost $74,478) -------------
TOTAL INVESTMENTS -- 100.1% 140,454,543
(Cost $138,258,751) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (70,950)
-------------
NET ASSETS -- 100.0% $ 140,383,593
=============
|
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012. (c) Aggregate cost for federal income tax purposes is $139,788,448. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,952,697 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $11,286,602.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $140,380,065 $ -- $ --
Money Market Fund 74,478 -- --
--------------------------------------
Total Investments $140,454,543 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 48 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.6%
23,014 General Dynamics Corp. $ 1,460,008
27,369 L-3 Communications Holdings, Inc. 1,940,189
30,456 Northrop Grumman Corp. 2,016,187
2,307 Precision Castparts Corp. 358,877
7,690 Rockwell Collins, Inc. 388,883
5,024 United Technologies Corp. 373,987
-------------
6,538,131
-------------
AIR FREIGHT & LOGISTICS -- 0.6%
16,571 FedEx Corp. 1,496,361
-------------
AIRLINES -- 0.5%
126,428 Southwest Airlines Co. 1,161,873
-------------
AUTO COMPONENTS -- 1.0%
17,772 BorgWarner, Inc. (a) 1,192,501
54,785 Johnson Controls, Inc. 1,350,450
-------------
2,542,951
-------------
AUTOMOBILES -- 0.8%
202,582 Ford Motor Co. 1,871,858
-------------
BEVERAGES -- 1.4%
41,572 Coca-Cola Enterprises, Inc. 1,218,891
28,051 Constellation Brands, Inc.,
Class A (a) 791,319
36,484 Molson Coors Brewing Co., Class B 1,544,003
-------------
3,554,213
-------------
CAPITAL MARKETS -- 2.4%
7,263 Ameriprise Financial, Inc. 375,642
53,105 Bank of New York Mellon (The)
Corp. 1,130,075
144,982 E*TRADE Financial Corp. (a) 1,106,213
17,369 Federated Investors, Inc., Class B 349,291
7,918 Goldman Sachs Group (The), Inc. 798,926
16,794 Invesco Ltd. 371,651
28,783 Legg Mason, Inc. 705,759
52,023 Morgan Stanley 710,634
8,502 State Street Corp. 343,311
-------------
5,891,502
-------------
CHEMICALS -- 1.1%
4,700 Air Products and Chemicals, Inc. 378,021
24,096 Dow Chemical (The) Co. 693,483
27,721 Mosaic (The) Co. 1,610,867
-------------
2,682,371
-------------
COMMERCIAL BANKS -- 2.5%
56,644 Fifth Third Bancorp 782,820
182,134 Huntington Bancshares, Inc. 1,131,963
150,601 KeyCorp 1,201,796
4,597 M&T Bank Corp. 394,606
19,076 PNC Financial Services Group, Inc. 1,127,392
11,350 Wells Fargo & Co. 383,743
60,024 Zions Bancorporation 1,092,437
-------------
6,114,757
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.6%
27,762 Avery Dennison Corp. $ 854,792
9,829 Cintas Corp. 389,523
25,352 Pitney Bowes, Inc. 338,703
32,245 R.R. Donnelley & Sons Co. 390,809
44,054 Republic Services, Inc. 1,274,482
22,726 Waste Management, Inc. 781,775
-------------
4,030,084
-------------
COMMUNICATIONS EQUIPMENT -- 0.4%
67,889 Cisco Systems, Inc. 1,082,830
-------------
COMPUTERS & PERIPHERALS -- 2.8%
121,251 Dell, Inc. (a) 1,440,462
96,607 Hewlett-Packard Co. 1,762,112
73,092 Lexmark International, Inc.,
Class A 1,278,379
63,739 Western Digital Corp. (a) 2,534,900
-------------
7,015,853
-------------
CONSTRUCTION & ENGINEERING -- 0.9%
15,385 Fluor Corp. 762,788
30,789 Jacobs Engineering Group, Inc. (a) 1,187,532
15,766 Quanta Services, Inc. (a) 362,460
-------------
2,312,780
-------------
CONSUMER FINANCE -- 0.8%
21,326 Capital One Financial Corp. 1,204,706
21,950 Discover Financial Services 789,322
-------------
1,994,028
-------------
CONTAINERS & PACKAGING -- 0.6%
24,219 Bemis Co., Inc. 744,735
49,161 Sealed Air Corp. 796,408
-------------
1,541,143
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
23,749 H&R Block, Inc. 383,071
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 3.8%
55,383 Citigroup, Inc. 1,502,541
28,308 CME Group, Inc. 1,475,130
42,488 JPMorgan Chase & Co. 1,529,568
71,370 Leucadia National Corp. 1,547,302
10,383 Moody's Corp. 420,823
66,965 NASDAQ OMX Group (The), Inc. 1,520,105
59,346 NYSE Euronext 1,512,136
-------------
9,507,605
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.1%
29,517 CenturyLink, Inc. 1,226,136
396,362 Frontier Communications Corp. 1,553,739
-------------
2,779,875
-------------
|
See Notes to Financial Statements Page 49
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 4.5%
38,047 American Electric Power Co., Inc. $ 1,607,105
10,974 Duke Energy Corp. 743,818
8,214 Edison International 379,322
22,361 Entergy Corp. 1,624,974
20,176 Exelon Corp. 789,285
15,430 FirstEnergy Corp. 774,895
9,778 Northeast Utilities 389,947
59,564 Pepco Holdings, Inc. 1,188,897
22,529 Pinnacle West Capital Corp. 1,206,203
54,587 PPL Corp. 1,577,564
26,717 Xcel Energy, Inc. 782,808
-------------
11,064,818
-------------
ELECTRICAL EQUIPMENT -- 0.2%
8,148 Emerson Electric Co. 389,230
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.3%
150,252 Corning, Inc. 1,714,375
77,850 FLIR Systems, Inc. 1,592,033
74,672 Jabil Circuit, Inc. 1,620,382
63,412 Molex, Inc. 1,592,909
47,574 TE Connectivity Ltd. 1,570,418
-------------
8,090,117
-------------
ENERGY EQUIPMENT & SERVICES
-- 4.3%
47,268 Baker Hughes, Inc. 2,189,454
68,431 Halliburton Co. 2,267,119
134,913 Nabors Industries Ltd. (a) 1,867,196
23,558 National Oilwell Varco, Inc. 1,703,243
46,667 Noble Corp. 1,726,679
23,478 Rowan Cos. plc, Class A (a) 824,782
-------------
10,578,473
-------------
FOOD & STAPLES RETAILING -- 1.9%
8,122 CVS Caremark Corp. 367,521
16,366 Kroger (The) Co. 362,834
83,640 Safeway, Inc. 1,300,602
12,732 Sysco Corp. 374,194
65,679 Walgreen Co. 2,388,088
-------------
4,793,239
-------------
FOOD PRODUCTS -- 1.5%
39,488 Archer-Daniels-Midland Co. 1,030,242
11,369 Campbell Soup Co. 376,428
29,273 ConAgra Foods, Inc. 722,750
103,174 Tyson Foods, Inc., Class A 1,548,642
-------------
3,678,062
-------------
GAS UTILITIES -- 0.2%
9,793 AGL Resources, Inc. 396,617
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.7%
267,737 Boston Scientific Corp. (a) $ 1,384,200
14,779 CareFusion Corp. (a) 360,755
21,788 Covidien PLC 1,217,514
30,097 Medtronic, Inc. 1,186,424
-------------
4,148,893
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.4%
50,109 Aetna, Inc. 1,806,931
9,037 Cardinal Health, Inc. 389,404
17,251 Cigna Corp. 694,870
61,113 Coventry Health Care, Inc. 2,036,896
19,604 Humana, Inc. 1,207,607
144,854 Tenet Healthcare Corp. (a) 669,226
30,456 WellPoint, Inc. 1,623,000
-------------
8,427,934
-------------
HOTELS, RESTAURANTS & LEISURE
-- 0.6%
34,014 Carnival Corp. 1,131,986
24,096 International Game Technology 272,767
-------------
1,404,753
-------------
HOUSEHOLD DURABLES -- 1.5%
49,059 Harman International Industries,
Inc. 1,979,530
24,821 Whirlpool Corp. 1,676,907
-------------
3,656,437
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 1.1%
90,855 AES (The) Corp. (a) 1,095,711
87,446 NRG Energy, Inc. 1,733,180
-------------
2,828,891
-------------
INDUSTRIAL CONGLOMERATES -- 1.0%
8,472 3M Co. 772,900
18,212 General Electric Co. 377,899
22,057 Tyco International Ltd. 1,211,812
-------------
2,362,611
-------------
INSURANCE -- 3.5%
10,240 ACE Ltd. 752,640
60,541 American International Group,
Inc. (a) 1,893,117
43,572 Assurant, Inc. 1,577,742
66,117 Hartford Financial Services Group
(The), Inc. 1,087,625
49,207 MetLife, Inc. 1,514,099
28,938 Principal Financial Group, Inc. 740,523
7,835 Prudential Financial, Inc. 378,274
15,016 Torchmark Corp. 747,046
-------------
8,691,066
-------------
|
Page 50 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
-- 0.5%
73,637 Yahoo!, Inc. (a) $ 1,166,410
-------------
IT SERVICES -- 0.9%
22,271 Fidelity National Information
Services, Inc. 700,200
|
MEDIA -- 2.7%
11,577 CBS Corp., Class B 387,366
23,742 Comcast Corp., Class A 772,802
131,892 Gannett Co., Inc. 1,860,996
69,958 Interpublic Group of Cos. (The),
Inc. 690,486
17,026 News Corp., Class A 391,939
30,277 Time Warner, Inc. 1,184,436
7,826 Walt Disney (The) Co. 384,570
3,118 Washington Post (The) Co., Class B 1,055,443
-------------
6,728,038
-------------
METALS & MINING -- 3.1%
173,493 Alcoa, Inc. 1,469,486
36,552 Allegheny Technologies, Inc. 1,097,656
57,023 Freeport-McMoRan Copper &
Gold, Inc. 1,919,964
30,756 Nucor Corp. 1,205,635
67,112 Titanium Metals Corp. 782,526
56,584 United States Steel Corp. 1,168,460
-------------
7,643,727
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MULTILINE RETAIL -- 1.3%
42,707 Kohl's Corp. $ 2,123,392
33,934 Macy's, Inc. 1,216,195
-------------
3,339,587
-------------
MULTI-UTILITIES -- 4.5%
11,316 Ameren Corp. 387,120
|
56,395 CenterPoint Energy, Inc. 1,187,679 32,298 CMS Energy Corp. 796,469 6,102 Consolidated Edison, Inc. 393,579 19,646 DTE Energy Co. 1,205,675 6,673 Integrys Energy Group, Inc. 403,983 30,669 NiSource, Inc. 784,820 25,750 PG&E Corp. 1,188,620 46,711 Public Service Enterprise Group,
Inc. 1,552,674
15,866 SCANA Corp. 780,131
16,923 Sempra Energy 1,191,548
64,543 TECO Energy, Inc. 1,174,037
-------------
11,046,335
-------------
OFFICE ELECTRONICS -- 0.7%
246,856 Xerox Corp. 1,710,712
-------------
OIL, GAS & CONSUMABLE FUELS --
14.3%
22,104 Apache Corp. 1,903,596
104,451 Chesapeake Energy Corp. 1,965,768
18,414 Chevron Corp. 2,017,806
34,766 ConocoPhillips 1,892,661
50,201 CONSOL Energy, Inc. 1,454,825
128,574 Denbury Resources, Inc. (a) 1,944,039
33,502 Devon Energy Corp. 1,980,638
17,740 Exxon Mobil Corp. 1,540,719
44,713 Hess Corp. 2,108,665
75,978 Marathon Oil Corp. 2,011,138
43,249 Marathon Petroleum Corp. 2,045,678
38,632 Murphy Oil Corp. 2,072,993
66,283 Newfield Exploration Co. (a) 2,023,620
8,948 Noble Energy, Inc. 782,324
22,650 Occidental Petroleum Corp. 1,971,229
50,652 QEP Resources, Inc. 1,521,080
13,060 Spectra Energy Corp. 400,811
77,836 Tesoro Corp. (a) 2,152,165
80,446 Valero Energy Corp. 2,212,265
93,824 WPX Energy, Inc. (a) 1,496,493
-------------
35,498,513
-------------
PAPER & FOREST PRODUCTS -- 1.0%
52,511 International Paper Co. 1,722,886
26,401 MeadWestvaco Corp. 749,788
-------------
2,472,674
-------------
PHARMACEUTICALS -- 1.4%
27,166 Eli Lilly & Co. 1,196,119
55,524 Forest Laboratories, Inc. (a) 1,862,830
16,500 Pfizer, Inc. 396,660
-------------
3,455,609
-------------
|
See Notes to Financial Statements Page 51
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL -- 1.5%
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.4%
10,075 Analog Devices, Inc. 393,731
132,466 Applied Materials, Inc. 1,442,555
72,900 Intel Corp. 1,873,530
240,581 Micron Technology, Inc. (a) 1,494,008
54,923 NVIDIA Corp. (a) 743,657
138,177 Teradyne, Inc. (a) 2,032,584
13,229 Texas Instruments, Inc. 360,358
-------------
8,340,423
-------------
SOFTWARE -- 1.6%
28,019 CA, Inc. 674,417
38,105 Microsoft Corp. 1,122,954
132,974 Symantec Corp. (a) 2,094,341
-------------
3,891,712
-------------
SPECIALTY RETAIL -- 2.2%
22,234 Abercrombie & Fitch Co., Class A 751,509
14,631 CarMax, Inc. (a) 407,181
105,815 GameStop Corp., Class A 1,695,156
13,871 Gap (The), Inc. 409,056
13,344 Lowe's Cos., Inc. 338,537
148,871 Staples, Inc. 1,896,617
-------------
5,498,056
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.5%
321,117 MetroPCS Communications, Inc. (a) 2,812,985
232,832 Sprint Nextel Corp. (a) 1,015,147
-------------
3,828,132
-------------
TOTAL COMMON STOCKS -- 100.0% 247,297,464
(Cost $248,554,936) -------------
MONEY MARKET FUND -- 0.0%
96,655 Morgan Stanley Institutional
Treasury Money Market
Fund - 0.03% (b) 96,655
(Cost $96,655) -------------
TOTAL INVESTMENTS -- 100.0% 247,394,119
(Cost $248,651,591) (c) -------------
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (23,836)
-------------
NET ASSETS -- 100.0% $ 247,370,283
-------------
|
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012. (c) Aggregate cost for federal income tax purposes is $255,024,584. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,016,941 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $17,647,406.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $247,297,464 $ -- $ --
Money Market Fund 96,655 -- --
--------------------------------------
Total Investments $247,394,119 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 52 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.0%
10,582 Boeing (The) Co. $ 782,115
|
11,163 Brown-Forman Corp., Class B 1,044,410
13,827 Coca-Cola (The) Co. 1,117,222
17,972 Dr. Pepper Snapple Group, Inc. 819,164
18,980 Monster Beverage Corp. (a) 1,261,600
11,127 PepsiCo, Inc. 809,267
-------------
5,051,663
-------------
BIOTECHNOLOGY -- 3.5%
13,609 Alexion Pharmaceuticals, Inc. (a) 1,426,904
10,765 Amgen, Inc. 889,189
7,488 Biogen Idec, Inc. (a) 1,091,975
21,083 Gilead Sciences, Inc. (a) 1,145,439
-------------
4,553,507
-------------
BUILDING PRODUCTS -- 0.9%
97,433 Masco Corp. 1,172,119
-------------
CAPITAL MARKETS -- 0.2%
4,163 T. Rowe Price Group, Inc. 252,902
-------------
CHEMICALS -- 8.7%
9,359 Airgas, Inc. 742,356
6,975 CF Industries Holdings, Inc. 1,365,426
15,548 E.I. du Pont de Nemours & Co. 772,736
26,829 Eastman Chemical Co. 1,402,620
19,720 Ecolab, Inc. 1,290,674
20,215 FMC Corp. 1,105,760
13,060 Monsanto Co. 1,118,197
12,735 PPG Industries, Inc. 1,393,973
2,410 Praxair, Inc. 250,062
10,211 Sherwin-Williams (The) Co. 1,371,848
7,312 Sigma-Aldrich Corp. 505,990
-------------
11,319,642
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
16,400 Iron Mountain, Inc. 528,244
8,577 Stericycle, Inc. (a) 796,375
-------------
1,324,619
-------------
COMPUTERS & PERIPHERALS -- 2.6%
2,314 Apple, Inc. (a) 1,413,299
10,226 EMC Corp. (a) 268,023
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMPUTERS & PERIPHERALS
(CONTINUED)
54,646 Seagate Technology PLC $ 1,640,473
-------------
3,321,795
-------------
CONSUMER FINANCE -- 0.6%
13,507 American Express Co. 779,489
-------------
CONTAINERS & PACKAGING -- 0.8%
26,337 Ball Corp. 1,094,566
-------------
DISTRIBUTORS -- 0.4%
8,972 Genuine Parts Co. 574,477
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
3,975 IntercontinentalExchange, Inc. (a) 521,600
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.1%
30,409 Verizon Communications, Inc. 1,372,662
-------------
ELECTRIC UTILITIES -- 0.9%
15,712 NextEra Energy, Inc. 1,113,981
-------------
ELECTRICAL EQUIPMENT -- 1.5%
15,857 Cooper Industries PLC 1,139,801
7,976 Roper Industries, Inc. 793,213
-------------
1,933,014
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.2%
4,772 Amphenol Corp., Class A 280,975
-------------
FOOD & STAPLES RETAILING -- 3.2%
14,225 Costco Wholesale Corp. 1,368,160
19,383 Wal-Mart Stores, Inc. 1,442,677
14,177 Whole Foods Market, Inc. 1,301,165
-------------
4,112,002
-------------
FOOD PRODUCTS -- 4.3%
6,800 General Mills, Inc. 263,160
9,940 H. J. Heinz Co. 548,787
15,009 Hershey (The) Co. 1,076,746
17,770 Hormel Foods Corp. 495,961
3,470 J.M. Smucker (The) Co. 266,496
20,359 Kraft Foods, Inc., Class A 808,456
22,282 McCormick & Co., Inc. 1,356,528
9,766 Mead Johnson Nutrition Co. 712,527
-------------
5,528,661
-------------
GAS UTILITIES -- 0.9%
25,552 ONEOK, Inc. 1,137,320
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 2.9%
5,031 C. R. Bard, Inc. 489,315
14,297 DENTSPLY International, Inc. 519,553
13,082 Edwards Lifesciences Corp. (a) 1,323,898
|
See Notes to Financial Statements Page 53
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES
(CONTINUED)
1,952 Intuitive Surgical, Inc. (a) $ 939,888
4,757 Stryker Corp. 247,507
4,072 Zimmer Holdings, Inc. 239,963
-------------
3,760,124
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.8%
13,760 DaVita, Inc. (a) 1,354,259
19,364 Express Scripts Holding Co. (a) 1,121,950
5,837 Laboratory Corp. of America
Holdings (a) 490,834
22,810 Patterson Cos., Inc. 777,821
4,375 Quest Diagnostics, Inc. 255,631
18,481 UnitedHealth Group, Inc. 944,194
-------------
4,944,689
-------------
HEALTH CARE TECHNOLOGY -- 0.9%
16,349 Cerner Corp. (a) 1,208,518
-------------
HOTELS, RESTAURANTS & LEISURE
-- 3.1%
1,423 Chipotle Mexican Grill, Inc. (a) 415,986
15,530 Darden Restaurants, Inc. 794,825
27,580 Marriott International, Inc.,
Class A 1,004,464
14,746 Starbucks Corp. 667,699
10,192 Starwood Hotels & Resorts
Worldwide, Inc. 551,897
8,391 Yum! Brands, Inc. 544,072
-------------
3,978,943
-------------
HOUSEHOLD DURABLES -- 1.1%
126,299 PulteGroup, Inc. (a) 1,427,179
-------------
HOUSEHOLD PRODUCTS -- 1.9%
7,460 Clorox (The) Co. 542,417
7,553 Colgate-Palmolive Co. 810,890
12,906 Kimberly-Clark Corp. 1,121,660
-------------
2,474,967
-------------
INDUSTRIAL CONGLOMERATES -- 0.4%
10,379 Danaher Corp. 548,115
-------------
INSURANCE -- 1.4%
6,154 Aflac, Inc. 269,422
5,603 Aon PLC 275,668
7,423 Chubb (The) Corp. 539,578
12,316 Travelers (The) Cos., Inc. 771,597
-------------
1,856,265
-------------
INTERNET & CATALOG RETAIL -- 2.6%
5,918 Amazon.com, Inc. (a) 1,380,669
16,357 Expedia, Inc. 932,186
1,627 Priceline.com, Inc. (a) 1,076,651
-------------
3,389,506
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INTERNET SOFTWARE & SERVICES
-- 2.4%
32,168 eBay, Inc. (a) $ 1,425,042
452 Google, Inc., Class A (a) 286,103
31,017 Verisign, Inc. (a) 1,377,775
-------------
3,088,920
-------------
IT SERVICES -- 4.5%
13,085 Accenture PLC, Class A 789,026
4,709 Automatic Data Processing, Inc. 266,294
10,887 Fiserv, Inc. (a) 763,505
1,340 International Business Machines
Corp. 262,613
2,514 MasterCard, Inc., Class A 1,097,537
8,344 Paychex, Inc. 272,765
18,767 Teradata Corp. (a) 1,269,025
8,745 Visa, Inc., Class A 1,128,717
-------------
5,849,482
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.4%
16,663 Mattel, Inc. 586,038
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
5,826 Life Technologies Corp. (a) 255,645
-------------
MACHINERY -- 2.3%
9,723 Deere & Co. 746,921
9,422 Flowserve Corp. 1,130,452
17,367 Snap-on, Inc. 1,177,135
-------------
3,054,508
-------------
MEDIA -- 3.8%
16,105 DIRECTV, Class A (a) 799,774
25,026 Discovery Communications, Inc.,
Class A (a) 1,267,066
16,178 Omnicom Group, Inc. 811,812
19,014 Scripps Networks Interactive,
Class A 1,023,904
9,577 Time Warner Cable, Inc. 813,375
5,574 Viacom, Inc., Class B 260,362
-------------
4,976,293
-------------
MULTILINE RETAIL -- 3.2%
26,504 Big Lots, Inc. (a) 1,073,677
20,328 Family Dollar Stores, Inc. 1,343,274
10,879 Nordstrom, Inc. 588,989
18,579 Target Corp. 1,126,817
-------------
4,132,757
-------------
MULTI-UTILITIES -- 0.2%
4,854 Dominion Resources, Inc. 263,621
-------------
|
Page 54 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
-- 1.5%
19,956 Cabot Oil & Gas Corp. $ 841,944
10,079 EQT Corp. 568,455
8,737 Range Resources Corp. 546,936
-------------
1,957,335
-------------
PHARMACEUTICALS -- 4.2%
12,196 Abbott Laboratories 808,717
2,831 Allergan, Inc. 232,340
15,036 Bristol-Myers Squibb Co. 535,282
3,879 Johnson & Johnson 268,504
12,948 Merck & Co., Inc. 571,913
12,264 Mylan, Inc. (a) 282,440
11,459 Perrigo Co. 1,306,555
18,265 Watson Pharmaceuticals, Inc. (a) 1,421,565
-------------
5,427,316
-------------
PROFESSIONAL SERVICES -- 1.4%
23,200 Equifax, Inc. 1,086,688
27,521 Robert Half International, Inc. 743,342
-------------
1,830,030
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 6.5%
19,331 American Tower Corp. 1,397,825
19,998 Apartment Investment &
Management Co., Class A 548,545
1,852 AvalonBay Communities, Inc. 272,411
4,988 Boston Properties, Inc. 553,169
4,203 Equity Residential 266,092
24,487 HCP, Inc. 1,156,031
13,487 Health Care REIT, Inc. 839,296
7,887 Prologis, Inc. 254,987
3,743 Public Storage 557,520
6,945 Simon Property Group, Inc. 1,114,603
21,410 Ventas, Inc. 1,439,822
-------------
8,400,301
-------------
ROAD & RAIL -- 0.9%
9,061 Union Pacific Corp. 1,110,969
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.2%
5,322 KLA-Tencor Corp. 270,943
-------------
SOFTWARE -- 2.7%
8,097 Adobe Systems, Inc. (a) 250,035
6,141 BMC Software, Inc. (a) 243,184
12,880 Citrix Systems, Inc. (a) 936,118
9,108 Intuit, Inc. 528,446
8,825 Oracle Corp. 266,515
19,142 Red Hat, Inc. (a) 1,027,160
1,896 Salesforce.com, Inc. (a) 235,787
-------------
3,487,245
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SPECIALTY RETAIL -- 5.1%
2,141 AutoZone, Inc. (a) $ 803,367
8,747 Bed Bath & Beyond, Inc. (a) 533,130
25,503 Home Depot (The), Inc. 1,330,747
6,162 Limited Brands, Inc. 293,003
6,453 O'Reilly Automotive, Inc. (a) 553,280
21,633 Ross Stores, Inc. 1,437,297
31,479 TJX (The) Cos., Inc. 1,393,890
9,499 Urban Outfitters, Inc. (a) 290,194
-------------
6,634,908
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.9%
1,871 Ralph Lauren Corp. 270,060
5,892 VF Corp. 879,676
-------------
1,149,736
-------------
TOBACCO -- 2.1%
22,757 Altria Group, Inc. 818,569
4,097 Lorillard, Inc. 527,038
9,011 Philip Morris International, Inc. 823,966
12,047 Reynolds American, Inc. 557,415
-------------
2,726,988
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.4%
2,827 W.W. Grainger, Inc. 579,054
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.9%
18,430 Crown Castle International
Corp. (a) 1,140,448
-------------
TOTAL INVESTMENTS -- 100.0% 129,886,725
(Cost $118,284,929) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (23,084)
-------------
NET ASSETS -- 100.0% $ 129,863,641
-------------
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $118,501,600. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,426,063 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,040,938.
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $129,886,725 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 56 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.1%
AEROSPACE & DEFENSE -- 2.6%
4,465 AAR Corp. $ 63,448
2,783 Alliant Techsystems, Inc. 128,908
2,347 Ceradyne, Inc. 51,634
1,939 Curtiss-Wright Corp. 58,112
1,354 Esterline Technologies Corp. (a) 79,507
14,274 Exelis, Inc. 134,176
2,250 General Dynamics Corp. 142,740
2,675 L-3 Communications Holdings, Inc. 189,631
1,143 Moog, Inc., Class A (a) 41,594
2,977 Northrop Grumman Corp. 197,077
4,659 Orbital Sciences Corp. (a) 61,033
226 Precision Castparts Corp. 35,156
752 Rockwell Collins, Inc. 38,029
491 United Technologies Corp. 36,550
-------------
1,257,595
-------------
AIR FREIGHT & LOGISTICS -- 0.4%
1,620 FedEx Corp. 146,286
1,927 UTi Worldwide, Inc. 25,533
-------------
171,819
-------------
AIRLINES -- 0.6%
21,244 JetBlue Airways Corp. (a) 117,054
9,218 SkyWest, Inc. 64,526
12,357 Southwest Airlines Co. 113,561
-------------
295,141
-------------
AUTO COMPONENTS -- 0.8%
1,737 BorgWarner, Inc. (a) 116,553
848 Drew Industries, Inc. (a) 22,777
5,355 Johnson Controls, Inc. 132,001
4,275 Standard Motor Products, Inc. 60,106
3,677 Superior Industries International,
Inc. 62,840
-------------
394,277
-------------
AUTOMOBILES -- 0.6%
19,801 Ford Motor Co. 182,961
3,081 Thor Industries, Inc. 88,517
-------------
271,478
-------------
BEVERAGES -- 0.7%
4,063 Coca-Cola Enterprises, Inc. 119,127
2,742 Constellation Brands, Inc.,
Class A (a) 77,352
3,566 Molson Coors Brewing Co., Class B 150,913
-------------
347,392
-------------
BIOTECHNOLOGY -- 0.1%
2,340 Emergent Biosolutions, Inc. (a) 34,187
-------------
BUILDING PRODUCTS -- 0.2%
4,553 Gibraltar Industries, Inc. (a) 43,345
5,508 Griffon Corp. 48,415
400 Simpson Manufacturing Co., Inc. 9,696
303 Universal Forest Products, Inc. 9,675
-------------
111,131
-------------
|
710 Ameriprise Financial, Inc. $ 36,721
5,191 Bank of New York Mellon (The)
Corp. 110,464
3,096 Calamos Asset Management, Inc.,
Class A 32,725
14,171 E*TRADE Financial Corp. (a) 108,125
1,698 Federated Investors, Inc., Class B 34,147
774 Goldman Sachs Group (The), Inc. 78,097
790 Greenhill & Co., Inc. 31,379
1,641 Invesco Ltd. 36,315
14,398 Janus Capital Group, Inc. 104,097
6,501 Jefferies Group, Inc. 81,522
2,813 Legg Mason, Inc. 68,975
5,085 Morgan Stanley 69,461
5,285 Prospect Capital Corp. 58,558
1,415 SEI Investments Co. 29,970
831 State Street Corp. 33,556
382 Stifel Financial Corp. (a) 11,498
743 Virtus Investment Partners,
Inc. (a) 62,204
-------------
987,814
-------------
CHEMICALS -- 2.2%
2,381 A. Schulman, Inc. 52,049
459 Air Products and Chemicals, Inc. 36,917
2,075 Cabot Corp. 80,925
1,662 Calgon Carbon Corp. (a) 23,002
1,440 Cytec Industries, Inc. 88,646
2,355 Dow Chemical (The) Co. 67,777
2,747 Kraton Performance Polymers,
Inc. (a) 64,335
1,529 LSB Industries, Inc. (a) 49,127
1,765 Minerals Technologies, Inc. 112,854
2,710 Mosaic (The) Co. 157,478
5,390 Olin Corp. 109,094
2,487 OM Group, Inc. (a) 39,046
1,727 PolyOne Corp. 25,439
2,299 Sensient Technologies Corp. 81,500
4,134 Tredegar Corp. 61,224
1,721 Zep, Inc. 26,262
-------------
1,075,675
-------------
COMMERCIAL BANKS -- 2.8%
4,268 Associated Banc-Corp. 53,307
1,323 Boston Private Financial Holdings,
Inc. 12,449
1,705 Cathay General Bancorp 27,604
351 City Holding Co. 11,601
628 Columbia Banking System, Inc. 11,335
871 Community Bank System, Inc. 23,961
1,200 East West Bancorp, Inc. 26,160
1,087 F.N.B. Corp. 11,827
5,536 Fifth Third Bancorp 76,508
2,984 First BanCorp (a) 11,280
739 First Financial Bancorp 11,795
1,076 First Midwest Bancorp, Inc. 12,159
7,359 First Niagara Financial Group, Inc. 55,781
1,704 FirstMerit Corp. 27,605
|
See Notes to Financial Statements Page 57
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS (CONTINUED)
2,818 Fulton Financial Corp. $ 25,897
17,802 Huntington Bancshares, Inc. 110,639
404 Independent Bank Corp. 12,003
4,326 International BancShares Corp. 79,296
14,720 KeyCorp 117,466
449 M&T Bank Corp. 38,542
1,235 National Penn Bancshares, Inc. 10,917
1,095 NBT Bancorp, Inc. 23,006
1,968 Old National Bancorp 24,088
1,211 Pinnacle Financial Partners,
Inc. (a) 23,675
1,864 PNC Financial Services Group, Inc. 110,162
800 PrivateBancorp, Inc. 12,256
670 Prosperity Bancshares, Inc. 27,182
1,279 S&T Bancorp, Inc. 21,104
1,016 Simmons First National Corp.,
Class A 23,713
1,147 Susquehanna Bancshares, Inc. 12,227
314 Tompkins Financial Corp. 12,328
1,150 Trustmark Corp. 27,807
898 Umpqua Holdings Corp. 11,207
2,599 Webster Financial Corp. 53,332
1,109 Wells Fargo & Co. 37,495
4,312 Wilshire Bancorp, Inc. (a) 27,338
333 Wintrust Financial Corp. 12,224
5,867 Zions Bancorporation 106,779
-------------
1,334,055
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
1,208 ABM Industries, Inc. 22,469
2,714 Avery Dennison Corp. 83,564
2,429 Brink's (The) Co. 56,353
961 Cintas Corp. 38,084
1,627 Consolidated Graphics, Inc. (a) 38,576
956 Corrections Corp. of America 29,713
3,386 Deluxe Corp. 95,892
1,136 G&K Services, Inc., Class A 35,795
1,560 Geo Group (The), Inc. (a) 36,067
3,040 Herman Miller, Inc. 55,632
2,462 Mobile Mini, Inc. (a) 35,256
2,478 Pitney Bowes, Inc. 33,106
3,152 R.R. Donnelley & Sons Co. 38,202
4,306 Republic Services, Inc. 124,573
3,771 Sykes Enterprises, Inc. (a) 55,773
741 UniFirst Corp. 46,401
1,315 United Stationers, Inc. 33,151
591 Viad Corp. 10,242
941 Waste Connections, Inc. 28,955
2,221 Waste Management, Inc. 76,402
-------------
974,206
-------------
COMMUNICATIONS EQUIPMENT -- 0.8%
6,636 Cisco Systems, Inc. 105,844
1,654 Comtech Telecommunications Corp. 45,187
2,308 Digi International, Inc. (a) 21,118
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMUNICATIONS EQUIPMENT
(CONTINUED)
5,547 Harmonic, Inc. (a) $ 23,519
4,449 Oplink Communications, Inc. (a) 58,994
1,686 Plantronics, Inc. 55,335
10,703 Polycom, Inc. (a) 93,544
-------------
403,541
-------------
COMPUTERS & PERIPHERALS -- 1.8%
11,851 Dell, Inc. (a) 140,790
1,525 Diebold, Inc. 49,334
9,442 Hewlett-Packard Co. 172,222
7,144 Lexmark International, Inc.,
Class A 124,949
8,224 QLogic Corp. (a) 94,905
745 Super Micro Computer, Inc. (a) 9,245
6,230 Western Digital Corp. (a) 247,767
-------------
839,212
-------------
CONSTRUCTION & ENGINEERING -- 1.4%
8,556 AECOM Technology Corp. (a) 138,693
1,981 Aegion Corp. (a) 34,469
2,540 Dycom Industries, Inc. (a) 44,247
849 EMCOR Group, Inc. 22,354
1,504 Fluor Corp. 74,568
2,156 Granite Construction, Inc. 55,841
3,009 Jacobs Engineering Group, Inc. (a) 116,057
5,696 KBR, Inc. 149,463
1,541 Quanta Services, Inc. (a) 35,428
-------------
671,120
-------------
CONSUMER FINANCE -- 0.4%
2,084 Capital One Financial Corp. 117,725
2,145 Discover Financial Services 77,134
-------------
194,859
-------------
CONTAINERS & PACKAGING -- 0.7%
2,367 Bemis Co., Inc. 72,785
2,060 Greif, Inc., Class A 89,115
1,377 Myers Industries, Inc. 22,638
4,805 Sealed Air Corp. 77,841
1,867 Sonoco Products Co. 56,589
-------------
318,968
-------------
DISTRIBUTORS -- 0.1%
6,458 Voxx International Corp. (a) 48,370
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.7%
5,298 Career Education Corp. (a) 24,953
20,827 Corinthian Colleges, Inc. (a) 42,070
2,321 H&R Block, Inc. 37,438
1,928 Hillenbrand, Inc. 33,335
9,260 Lincoln Educational Services Corp. 40,374
2,599 Matthews International Corp.,
Class A 75,371
2,276 Service Corp. International 29,247
844 Sotheby's 24,771
|
Page 58 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
2,624 Universal Technical Institute,
Inc. $ 30,150
-------------
337,709
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.0%
5,413 Citigroup, Inc. 146,855
2,765 CME Group, Inc. 144,084
1,605 Interactive Brokers Group, Inc.,
Class A 22,229
4,153 JPMorgan Chase & Co. 149,508
6,976 Leucadia National Corp. 151,240
1,015 Moody's Corp. 41,138
6,545 NASDAQ OMX Group (The), Inc. 148,572
5,801 NYSE Euronext 147,809
-------------
951,435
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
5,236 Cbeyond, Inc. (a) 37,333
2,885 CenturyLink, Inc. 119,843
38,741 Frontier Communications Corp. 151,865
2,844 General Communication, Inc.,
Class A (a) 26,847
4,567 Neutral Tandem, Inc. (a) 62,385
-------------
398,273
-------------
ELECTRIC UTILITIES -- 3.9%
565 ALLETE, Inc. 23,425
3,719 American Electric Power Co., Inc. 157,091
2,019 Cleco Corp. 88,351
1,072 Duke Energy Corp. 72,660
803 Edison International 37,082
1,069 El Paso Electric Co. 36,186
2,186 Entergy Corp. 158,857
1,972 Exelon Corp. 77,145
1,508 FirstEnergy Corp. 75,732
5,259 Great Plains Energy, Inc. 116,645
987 Hawaiian Electric Industries, Inc. 28,120
2,007 IDACORP, Inc. 84,695
956 Northeast Utilities 38,125
3,202 NV Energy, Inc. 58,565
1,087 OGE Energy Corp. 57,731
5,822 Pepco Holdings, Inc. 116,207
2,202 Pinnacle West Capital Corp. 117,895
7,203 PNM Resources, Inc. 149,822
5,335 PPL Corp. 154,181
659 UIL Holdings Corp. 24,409
923 UNS Energy Corp. 37,566
2,820 Westar Energy, Inc. 86,179
2,611 Xcel Energy, Inc. 76,502
-------------
1,873,171
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.6%
709 Belden, Inc. $ 22,780
796 Emerson Electric Co. 38,025
1,765 Encore Wire Corp. 48,361
1,348 EnerSys (a) 46,034
4,340 General Cable Corp. (a) 113,404
-------------
268,604
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 4.5%
891 Anixter International, Inc. 50,707
4,290 Arrow Electronics, Inc. (a) 144,787
4,561 Avnet, Inc. (a) 143,671
3,388 Benchmark Electronics, Inc. (a) 53,395
8,736 Brightpoint, Inc. (a) 78,362
14,686 Corning, Inc. 167,567
3,763 CTS Corp. 33,491
3,420 Daktronics, Inc. 26,437
1,000 Electro Scientific Industries, Inc. 12,410
7,609 FLIR Systems, Inc. 155,604
6,445 Ingram Micro, Inc., Class A (a) 96,610
3,576 Insight Enterprises, Inc. (a) 59,934
7,298 Jabil Circuit, Inc. 158,367
727 Measurement Specialties, Inc. (a) 21,650
2,741 Mercury Computer Systems, Inc. (a) 31,987
2,777 Methode Electronics, Inc. 24,438
6,198 Molex, Inc. 155,694
5,008 Newport Corp. (a) 56,340
457 Park Electrochemical Corp. 12,344
1,676 Plexus Corp. (a) 48,135
3,180 Rofin-Sinar Technologies, Inc. (a) 57,653
1,542 ScanSource, Inc. (a) 44,517
1,745 SYNNEX Corp. (a) 59,033
4,650 TE Connectivity Ltd. 153,496
2,337 Tech Data Corp. (a) 117,084
5,022 TTM Technologies, Inc. (a) 54,941
14,925 Vishay Intertechnology, Inc. (a) 147,310
-------------
2,165,964
-------------
ENERGY EQUIPMENT & SERVICES
-- 4.5%
3,719 Atwood Oceanics, Inc. (a) 165,607
4,620 Baker Hughes, Inc. 213,998
5,832 Basic Energy Services, Inc. (a) 63,102
872 Bristow Group, Inc. 39,912
927 Exterran Holdings, Inc. (a) 13,692
838 Gulf Island Fabrication, Inc. 23,305
6,689 Halliburton Co. 221,607
8,577 Helix Energy Solutions Group,
Inc. (a) 153,357
3,586 ION Geophysical Corp. (a) 23,847
4,164 Matrix Service Co. (a) 43,139
13,187 Nabors Industries Ltd. (a) 182,508
2,303 National Oilwell Varco, Inc. 166,507
4,561 Noble Corp. 168,757
9,666 Patterson-UTI Energy, Inc. 149,630
7,552 Pioneer Energy Services Corp. (a) 60,718
2,295 Rowan Cos. plc, Class A (a) 80,623
|
See Notes to Financial Statements Page 59
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
6,957 Superior Energy Services,
Inc. (a) $ 150,758
4,971 TETRA Technologies, Inc. (a) 34,449
1,214 Tidewater, Inc. 58,964
3,815 Unit Corp. (a) 151,684
-------------
2,166,164
-------------
FOOD & STAPLES RETAILING -- 1.4%
1,108 Andersons (The), Inc. 42,071
794 CVS Caremark Corp. 35,929
1,373 Harris Teeter Supermarkets, Inc. 56,760
1,600 Kroger (The) Co. 35,472
2,802 Nash Finch Co. 53,686
8,175 Safeway, Inc. 127,121
2,607 Spartan Stores, Inc. 44,840
1,244 Sysco Corp. 36,561
6,419 Walgreen Co. 233,395
-------------
665,835
-------------
FOOD PRODUCTS -- 1.4%
3,860 Archer-Daniels-Midland Co. 100,708
907 Cal-Maine Foods, Inc. 34,221
1,111 Campbell Soup Co. 36,785
2,861 ConAgra Foods, Inc. 70,638
2,866 Darling International, Inc. (a) 47,346
3,374 Diamond Foods, Inc. 54,895
1,318 Seneca Foods Corp., Class A (a) 32,528
6,507 Smithfield Foods, Inc. (a) 120,380
10,084 Tyson Foods, Inc., Class A 151,361
-------------
648,862
-------------
GAS UTILITIES -- 0.8%
957 AGL Resources, Inc. 38,759
1,605 Atmos Energy Corp. 57,539
890 Laclede Group (The), Inc. 37,184
1,198 National Fuel Gas Co. 58,630
271 New Jersey Resources Corp. 12,439
496 Northwest Natural Gas Co. 24,150
367 Piedmont Natural Gas Co., Inc. 11,663
812 Southwest Gas Corp. 36,264
2,869 UGI Corp. 87,935
708 WGL Holdings, Inc. 28,639
-------------
393,202
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.4%
26,169 Boston Scientific Corp. (a) 135,294
1,444 CareFusion Corp. (a) 35,248
2,130 Covidien PLC 119,024
6,777 CryoLife, Inc. (a) 37,680
2,081 Greatbatch, Inc. (a) 47,509
2,737 Hill-Rom Holdings, Inc. 71,572
766 Invacare Corp. 10,793
2,942 Medtronic, Inc. 115,974
2,780 Palomar Medical Technologies,
Inc. (a) 22,268
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES
(CONTINUED)
2,692 STERIS Corp. $ 81,110
1,377 Symmetry Medical, Inc. (a) 10,672
-------------
687,144
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.8%
4,898 Aetna, Inc. 176,622
2,694 Almost Family, Inc. (a) 59,295
1,992 AMN Healthcare Services, Inc. (a) 11,633
883 Cardinal Health, Inc. 38,049
1,175 Centene Corp. (a) 44,697
1,686 Cigna Corp. 67,912
4,017 Community Health Systems, Inc. (a) 98,858
5,973 Coventry Health Care, Inc. 199,080
8,111 Cross Country Healthcare, Inc. (a) 36,986
922 Hanger, Inc. (a) 23,760
7,171 Health Management Associates,
Class A (a) 47,185
2,320 Health Net, Inc. (a) 51,086
1,916 Humana, Inc. 118,026
4,808 Kindred Healthcare, Inc. (a) 45,532
3,434 LifePoint Hospitals, Inc. (a) 130,904
504 Molina Healthcare, Inc. (a) 12,303
901 Omnicare, Inc. 28,300
919 Owens & Minor, Inc. 25,925
5,512 PharMerica Corp. (a) 56,719
1,126 PSS World Medical, Inc. (a) 23,522
14,158 Tenet Healthcare Corp. (a) 65,410
2,609 Universal Health Services, Inc.,
Class B 101,960
2,561 VCA Antech, Inc. (a) 46,610
2,655 WellCare Health Plans, Inc. (a) 172,097
2,977 WellPoint, Inc. 158,644
-------------
1,841,115
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.8%
2,801 Bob Evans Farms, Inc. 107,894
8,360 Boyd Gaming Corp. (a) 47,652
883 Brinker International, Inc. 28,618
3,325 Carnival Corp. 110,656
2,355 International Game Technology 26,659
4,301 International Speedway Corp.,
Class A 110,278
424 Jack in the Box, Inc. (a) 11,444
3,435 Marcus (The) Corp. 45,067
5,171 Monarch Casino & Resort, Inc. (a) 38,627
4,913 Pinnacle Entertainment, Inc. (a) 53,306
1,549 Red Robin Gourmet Burgers,
Inc. (a) 46,238
8,839 Ruby Tuesday, Inc. (a) 56,658
3,580 Ruth's Hospitality Group, Inc. (a) 24,058
3,292 Scientific Games Corp.,
Class A (a) 27,850
5,964 Wendy's (The) Co. 27,375
5,644 WMS Industries, Inc. (a) 103,680
-------------
866,060
-------------
|
Page 60 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES -- 1.4%
4,117 American Greetings Corp., Class A $ 54,715
2,371 Ethan Allen Interiors, Inc. 48,914
4,795 Harman International Industries,
Inc. 193,478
1,776 Helen of Troy Ltd. (a) 54,097
4,898 La-Z-Boy, Inc. (a) 58,580
806 Mohawk Industries, Inc. (a) 53,543
4,570 Universal Electronics, Inc. (a) 57,536
2,426 Whirlpool Corp. 163,900
-------------
684,763
-------------
HOUSEHOLD PRODUCTS -- 0.1%
2,170 Central Garden & Pet Co.,
Class A (a) 24,781
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.6%
8,880 AES (The) Corp. (a) 107,093
8,547 NRG Energy, Inc. 169,401
-------------
276,494
-------------
INDUSTRIAL CONGLOMERATES -- 0.6%
828 3M Co. 75,538
1,780 General Electric Co. 36,935
833 Standex International Corp. 35,636
2,156 Tyco International Ltd. 118,451
-------------
266,560
-------------
INSURANCE -- 4.5%
1,001 ACE Ltd. 73,574
414 Alleghany Corp. (a) 143,165
2,153 American Financial Group, Inc. 81,190
5,917 American International Group,
Inc. (a) 185,025
455 AMERISAFE, Inc. (a) 11,359
974 Aspen Insurance Holdings Ltd. 27,993
4,259 Assurant, Inc. 154,218
1,310 Employers Holdings, Inc. 23,423
816 Everest Re Group, Ltd. 82,987
2,923 Fidelity National Financial, Inc.,
Class A 54,426
4,979 First American Financial Corp. 91,215
6,462 Hartford Financial Services Group
(The), Inc. 106,300
2,689 HCC Insurance Holdings, Inc. 82,391
2,028 Horace Mann Educators Corp. 35,368
5,377 Meadowbrook Insurance Group, Inc. 37,854
2,702 Mercury General Corp. 97,866
4,810 MetLife, Inc. 148,004
3,527 National Financial Partners
Corp. (a) 52,376
4,808 Presidential Life Corp. 66,783
2,828 Principal Financial Group, Inc. 72,369
3,828 Protective Life Corp. 106,839
766 Prudential Financial, Inc. 36,982
2,116 Reinsurance Group of America, Inc. 117,798
581 Safety Insurance Group, Inc. 24,623
679 Selective Insurance Group, Inc. 11,720
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE (CONTINUED)
2,272 StanCorp Financial Group, Inc. $ 67,615
770 Stewart Information Services Corp. 13,144
1,468 Torchmark Corp. 73,033
1,698 Tower Group, Inc. 31,651
554 United Fire Group, Inc. 10,858
723 W. R. Berkley Corp. 26,483
-------------
2,148,632
-------------
INTERNET & CATALOG RETAIL -- 0.0%
1,943 PetMed Express, Inc. 18,886
-------------
INTERNET SOFTWARE & SERVICES
-- 1.0%
1,002 AOL, Inc. (a) 31,924
1,422 Digital River, Inc. (a) 25,297
13,246 Monster Worldwide, Inc. (a) 96,034
1,052 Perficient, Inc. (a) 13,981
5,104 QuinStreet, Inc. (a) 46,293
14,263 United Online, Inc. 60,475
6,870 ValueClick, Inc. (a) 107,928
7,197 Yahoo!, Inc. (a) 114,000
-------------
495,932
-------------
IT SERVICES -- 1.8%
3,726 Acxiom Corp. (a) 62,485
1,323 Broadridge Financial Solutions,
Inc. 28,008
9,529 Convergys Corp. 140,457
1,537 CoreLogic, Inc. (a) 35,351
1,037 DST Systems, Inc. 55,894
2,177 Fidelity National Information
Services, Inc. 68,445
5,997 ManTech International Corp.,
Class A 131,514
14,862 NCI, Inc., Class A (a) 88,132
3,762 TeleTech Holdings, Inc. (a) 61,923
3,100 Total System Services, Inc. 73,315
2,655 Virtusa Corp. (a) 40,223
4,406 Western Union Co. 76,797
-------------
862,544
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.3%
646 Arctic Cat, Inc. (a) 28,424
3,364 Hasbro, Inc. 120,498
738 JAKKS Pacific, Inc. 11,823
-------------
160,745
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.6%
2,903 Agilent Technologies, Inc. 111,156
2,511 Cambrex Corp. (a) 23,176
1,718 Charles River Laboratories
International, Inc. (a) 58,464
1,429 Thermo Fisher Scientific, Inc. 79,552
-------------
272,348
-------------
|
See Notes to Financial Statements Page 61
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 4.9%
1,305 Actuant Corp., Class A $ 37,140
3,078 AGCO Corp. (a) 134,940
1,894 Albany International Corp.,
Class A 33,903
1,155 Astec Industries, Inc. (a) 33,726
1,459 Barnes Group, Inc. 34,812
1,351 Briggs & Stratton Corp. 23,561
1,279 Cascade Corp. 60,254
874 Caterpillar, Inc. 73,600
1,040 CIRCOR International, Inc. 32,022
584 CLARCOR, Inc. 28,236
1,531 Cummins, Inc. 146,823
2,768 Dover Corp. 150,773
3,744 Eaton Corp. 164,137
949 EnPro Industries, Inc. (a) 32,712
324 ESCO Technologies, Inc. 11,667
2,762 Harsco Corp. 58,692
1,444 IDEX Corp. 55,089
2,154 Illinois Tool Works, Inc. 117,048
871 John Bean Technologies Corp. 12,760
1,657 Kaydon Corp. 34,963
4,246 Kennametal, Inc. 156,677
2,622 Lydall, Inc. (a) 33,457
277 Mueller Industries, Inc. 11,809
5,374 Oshkosh Corp. (a) 121,022
2,907 PACCAR, Inc. 116,309
1,930 Parker Hannifin Corp. 155,018
1,130 Robbins & Myers, Inc. 51,799
1,153 Stanley Black & Decker, Inc. 77,124
1,579 Terex Corp. (a) 30,790
3,074 Timken (The) Co. 111,279
4,507 Trinity Industries, Inc. 126,196
1,063 Watts Water Technologies, Inc.,
Class A 35,759
1,474 Xylem, Inc. 35,347
-------------
2,339,444
-------------
MARINE -- 0.3%
2,392 Kirby Corp. (a) 126,226
-------------
MEDIA -- 2.5%
1,132 CBS Corp., Class B 37,877
2,321 Comcast Corp., Class A 75,549
4,866 Digital Generation, Inc. (a) 51,872
1,477 DreamWorks Animation SKG, Inc.,
Class A (a) 28,358
12,891 Gannett Co., Inc. 181,892
5,171 Harte-Hanks, Inc. 32,577
6,838 Interpublic Group of Cos.
(The), Inc. 67,491
1,149 John Wiley & Sons, Inc., Class A 54,750
2,574 Live Nation Entertainment, Inc. (a) 22,960
1,763 Meredith Corp. 58,250
1,664 News Corp., Class A 38,305
4,998 Scholastic Corp. 150,590
2,959 Time Warner, Inc. 115,756
5,177 Valassis Communications, Inc. (a) 116,741
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MEDIA (CONTINUED)
765 Walt Disney (The) Co. $ 37,592
305 Washington Post (The) Co., Class B 103,242
-------------
1,173,802
-------------
METALS & MINING -- 3.1%
1,113 A.M. Castle & Co. (a) 8,114
16,957 Alcoa, Inc. 143,626
3,573 Allegheny Technologies, Inc. 107,297
1,252 AMCOL International Corp. 38,436
1,612 Century Aluminum Co. (a) 9,849
6,681 Commercial Metals Co. 86,118
5,573 Freeport-McMoRan Copper &
Gold, Inc. 187,643
2,639 Globe Specialty Metals, Inc. 33,067
464 Haynes International, Inc. 22,360
456 Kaiser Aluminum Corp. 24,870
2,614 Materion Corp. 51,313
3,006 Nucor Corp. 117,835
3,666 Olympic Steel, Inc. 57,373
2,787 Reliance Steel & Aluminum Co. 143,475
522 RTI International Metals, Inc. (a) 11,719
11,978 Steel Dynamics, Inc. 154,396
1,613 SunCoke Energy, Inc. (a) 25,808
6,560 Titanium Metals Corp. 76,490
5,531 United States Steel Corp. 114,215
4,125 Worthington Industries, Inc. 89,513
-------------
1,503,517
-------------
MULTILINE RETAIL -- 1.0%
3,091 Fred's, Inc., Class A 43,892
4,174 Kohl's Corp. 207,531
3,317 Macy's, Inc. 118,881
7,929 Saks, Inc. (a) 82,700
8,262 Tuesday Morning Corp. (a) 41,806
-------------
494,810
-------------
MULTI-UTILITIES -- 2.9%
1,106 Ameren Corp. 37,836
1,328 Avista Corp. 36,759
1,750 Black Hills Corp. 55,737
5,512 CenterPoint Energy, Inc. 116,083
3,157 CMS Energy Corp. 77,852
596 Consolidated Edison, Inc. 38,442
1,920 DTE Energy Co. 117,830
652 Integrys Energy Group, Inc. 39,472
3,908 MDU Resources Group, Inc. 87,500
2,998 NiSource, Inc. 76,719
966 NorthWestern Corp. 35,674
2,517 PG&E Corp. 116,185
4,565 Public Service Enterprise Group,
Inc. 151,741
1,551 SCANA Corp. 76,263
1,654 Sempra Energy 116,458
6,309 TECO Energy, Inc. 114,761
2,861 Vectren Corp. 85,401
-------------
1,380,713
-------------
|
Page 62 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
OFFICE ELECTRONICS -- 0.4%
24,128 Xerox Corp. $ 167,207
-------------
OIL, GAS & CONSUMABLE FUELS
-- 9.7%
2,161 Apache Corp. 186,105
16,341 Arch Coal, Inc. 117,819
10,209 Chesapeake Energy Corp. 192,133
1,800 Chevron Corp. 197,244
3,559 Cloud Peak Energy, Inc. (a) 58,901
2,878 Comstock Resources, Inc. (a) 46,566
3,398 ConocoPhillips 184,987
4,907 CONSOL Energy, Inc. 142,205
12,567 Denbury Resources, Inc. (a) 190,013
3,274 Devon Energy Corp. 193,559
2,495 Energen Corp. 127,769
1,734 Exxon Mobil Corp. 150,598
19,201 Forest Oil Corp. (a) 131,527
2,918 Gulfport Energy Corp. (a) 60,111
4,370 Hess Corp. 206,089
3,972 HollyFrontier Corp. 148,513
7,426 Marathon Oil Corp. 196,566
4,227 Marathon Petroleum Corp. 199,937
3,776 Murphy Oil Corp. 202,620
6,479 Newfield Exploration Co. (a) 197,804
875 Noble Energy, Inc. 76,501
2,214 Occidental Petroleum Corp. 192,684
2,455 PDC Energy, Inc. (a) 64,321
6,439 Penn Virginia Corp. 43,141
4,726 PetroQuest Energy, Inc. (a) 26,040
1,600 Plains Exploration & Production
Co. (a) 63,936
4,951 QEP Resources, Inc. 148,679
25,967 Quicksilver Resources, Inc. (a) 117,371
1,276 Spectra Energy Corp. 39,160
2,375 Stone Energy Corp. (a) 62,368
3,234 Swift Energy Co. (a) 60,444
7,608 Tesoro Corp. (a) 210,361
7,863 Valero Energy Corp. 216,233
740 World Fuel Services Corp. 29,963
9,170 WPX Energy, Inc. (a) 146,262
-------------
4,628,530
-------------
PAPER & FOREST PRODUCTS -- 1.1%
1,659 Buckeye Technologies, Inc. 49,969
1,835 Domtar Corp. 135,533
5,132 International Paper Co. 168,381
3,798 KapStone Paper & Packaging
Corp. (a) 63,845
2,580 MeadWestvaco Corp. 73,272
1,328 Neenah Paper, Inc. 35,670
-------------
526,670
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PHARMACEUTICALS -- 0.7%
2,655 Eli Lilly & Co. $ 116,900
5,427 Forest Laboratories, Inc. (a) 182,076
1,613 Pfizer, Inc. 38,776
-------------
337,752
-------------
PROFESSIONAL SERVICES -- 1.0%
2,161 CDI Corp. 34,922
4,662 Kelly Services, Inc., Class A 55,291
7,846 Korn/Ferry International (a) 103,253
3,072 Manpower, Inc. 109,302
2,804 Navigant Consulting, Inc. (a) 32,611
740 On Assignment, Inc. (a) 11,537
3,842 Resources Connection, Inc. 43,376
940 Towers Watson & Co., Class A 55,112
763 TrueBlue, Inc. (a) 11,613
-------------
457,017
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.3%
287 Entertainment Properties Trust 12,961
1,117 Franklin Street Properties Corp. 11,583
702 SL Green Realty Corp. 55,282
1,138 Universal Health Realty Income
Trust 49,549
-------------
129,375
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
922 Forestar Group, Inc. (a) 10,492
400 Jones Lang LaSalle, Inc. 26,676
-------------
37,168
-------------
ROAD & RAIL -- 1.3%
3,751 Arkansas Best Corp. 51,351
1,559 Con-way, Inc. 55,532
3,318 CSX Corp. 76,115
2,477 Heartland Express, Inc. 34,430
1,478 Knight Transportation, Inc. 22,658
1,587 Norfolk Southern Corp. 117,517
4,120 Ryder System, Inc. 162,493
4,713 Werner Enterprises, Inc. 108,776
-------------
628,872
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.1%
880 Advanced Energy Industries,
Inc. (a) 10,842
985 Analog Devices, Inc. 38,494
12,947 Applied Materials, Inc. 140,993
16,805 Atmel Corp. (a) 98,477
6,376 Brooks Automation, Inc. 59,042
2,326 Cohu, Inc. 20,004
1,888 Diodes, Inc. (a) 35,759
7,985 Fairchild Semiconductor
International, Inc. (a) 110,672
5,009 Integrated Device Technology,
Inc. (a) 25,245
|
See Notes to Financial Statements Page 63
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
7,125 Intel Corp. $ 183,112
4,224 International Rectifier Corp. (a) 71,977
2,643 Intersil Corp., Class A 24,342
2,480 Micrel, Inc. 23,163
23,515 Micron Technology, Inc. (a) 146,028
1,634 MKS Instruments, Inc. 43,138
1,538 Nanometrics, Inc. (a) 23,362
5,368 NVIDIA Corp. (a) 72,683
1,313 Pericom Semiconductor Corp. (a) 10,557
5,420 Rudolph Technologies, Inc. (a) 54,200
13,506 Teradyne, Inc. (a) 198,673
1,293 Texas Instruments, Inc. 35,221
8,593 TriQuint Semiconductor, Inc. (a) 48,464
-------------
1,474,448
-------------
SOFTWARE -- 1.2%
1,309 Bottomline Technologies, Inc. (a) 24,858
2,739 CA, Inc. 65,928
2,894 EPIQ Systems, Inc. 32,673
5,630 Mentor Graphics Corp. (a) 86,026
3,725 Microsoft Corp. 109,776
566 Progress Software Corp. (a) 11,003
12,997 Symantec Corp. (a) 204,703
4,333 VASCO Data Security International,
Inc. (a) 40,080
-------------
575,047
-------------
SPECIALTY RETAIL -- 5.0%
4,971 Aaron's, Inc. 145,799
2,173 Abercrombie & Fitch Co., Class A 73,447
1,427 American Eagle Outfitters, Inc. 29,710
3,313 ANN, Inc. (a) 89,716
4,535 Ascena Retail Group, Inc. (a) 83,172
3,420 Barnes & Noble, Inc. (a) 45,383
6,251 Big 5 Sporting Goods Corp. 47,133
312 Cabela's, Inc. (a) 14,333
1,430 CarMax, Inc. (a) 39,797
5,690 Chico's FAS, Inc. 87,171
1,695 Finish Line (The), Inc., Class A 35,392
2,761 Foot Locker, Inc. 91,168
10,342 GameStop Corp., Class A 165,679
1,356 Gap (The), Inc. 39,988
777 Group 1 Automotive, Inc. 41,764
3,707 Guess?, Inc. 111,581
5,389 Haverty Furniture Cos., Inc. 60,788
2,439 Hot Topic, Inc. 24,780
5,350 Kirkland's, Inc. (a) 57,834
2,050 Lithia Motors, Inc., Class A 57,113
1,304 Lowe's Cos., Inc. 33,083
2,139 Men's Wearhouse (The), Inc. 58,288
65,158 Office Depot, Inc. (a) 115,981
9,340 OfficeMax, Inc. (a) 41,937
4,774 Pep Boys-Manny, Moe & Jack (The) 43,300
36,651 RadioShack Corp. 106,654
4,171 Rent-A-Center, Inc. 148,321
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
2,558 Signet Jewelers Ltd. $ 112,347
3,457 Sonic Automotive, Inc., Class A 59,184
2,580 Stage Stores, Inc. 48,865
14,551 Staples, Inc. 185,380
4,459 Stein Mart, Inc. (a) 35,449
2,415 Williams-Sonoma, Inc. 83,921
-------------
2,414,458
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.6%
2,195 Crocs, Inc. (a) 33,693
3,303 Fifth & Pacific Cos., Inc. (a) 36,597
2,705 Iconix Brand Group, Inc. (a) 47,960
593 Maidenform Brands, Inc. (a) 12,501
944 Movado Group, Inc. 22,127
2,278 Perry Ellis International,
Inc. (a) 42,940
25,833 Quiksilver, Inc. (a) 74,658
-------------
270,476
-------------
THRIFTS & MORTGAGE FINANCE -- 0.3%
1,335 Brookline Bancorp, Inc. 11,228
1,778 Dime Community Bancshares, Inc. 25,781
4,493 New York Community Bancorp, Inc. 58,319
1,009 Northwest Bancshares, Inc. 11,755
1,539 Provident Financial Services, Inc. 23,439
1,667 Washington Federal, Inc. 26,555
-------------
157,077
-------------
TOBACCO -- 0.3%
13,659 Alliance One International,
Inc. (a) 44,529
2,430 Universal Corp. 110,662
-------------
155,191
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.2%
641 Applied Industrial Technologies,
Inc. 23,820
2,193 GATX Corp. 92,259
-------------
116,079
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.3%
31,386 MetroPCS Communications, Inc. (a) 274,941
627 NTELOS Holdings Corp. 13,292
22,757 Sprint Nextel Corp. (a) 99,221
6,611 Telephone & Data Systems, Inc. 160,185
4,680 USA Mobility, Inc. 52,135
-------------
599,774
-------------
TOTAL COMMON STOCKS -- 100.1% 47,899,716
(Cost $48,493,269)
MONEY MARKET FUND -- 0.0%
14,512 Morgan Stanley Institutional
Treasury Money Market
Fund - 0.03% (b) 14,512
(Cost $14,512) -------------
|
Page 64 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL INVESTMENTS -- 100.1% $ 47,914,228
(Cost $48,507,781) (c)
|
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2012. (c) Aggregate cost for federal income tax purposes is $50,305,552. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,048,153 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,439,477.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $47,899,716 $ -- $ --
Money Market Fund 14,512 -- --
--------------------------------------
Total Investments $47,914,228 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
See Notes to Financial Statements Page 65
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.8%
2,123 BE Aerospace, Inc. (a) $ 83,285
1,213 Boeing (The) Co. 89,653
458 Cubic Corp. 22,153
538 Honeywell International, Inc. 31,231
711 Lockheed Martin Corp. 63,471
2,189 Raytheon Co. 121,446
536 Teledyne Technologies, Inc. (a) 33,393
1,235 Triumph Group, Inc. 77,225
-------------
521,857
-------------
AIR FREIGHT & LOGISTICS -- 0.4%
332 Forward Air Corp. 11,109
1,217 Hub Group, Inc., Class A (a) 36,206
787 United Parcel Service, Inc.,
Class B 59,505
-------------
106,820
-------------
AIRLINES -- 0.4%
1,936 Alaska Air Group, Inc. (a) 67,470
790 Allegiant Travel Co. (a) 56,137
-------------
123,607
-------------
AUTOMOBILES -- 0.3%
1,971 Harley-Davidson, Inc. 85,206
-------------
BEVERAGES -- 2.1%
272 Boston Beer (The) Co., Inc.,
Class A (a) 29,300
1,279 Brown-Forman Corp., Class B 119,663
1,585 Coca-Cola (The) Co. 128,068
2,060 Dr. Pepper Snapple Group, Inc. 93,895
2,175 Monster Beverage Corp. (a) 144,572
1,275 PepsiCo, Inc. 92,731
-------------
608,229
-------------
BIOTECHNOLOGY -- 2.8%
1,560 Alexion Pharmaceuticals, Inc. (a) 163,566
1,234 Amgen, Inc. 101,928
858 Biogen Idec, Inc. (a) 125,122
283 Cubist Pharmaceuticals, Inc. (a) 12,186
2,416 Gilead Sciences, Inc. (a) 131,261
811 Regeneron Pharmaceuticals, Inc. (a) 109,201
2,831 Spectrum Pharmaceuticals, Inc. (a) 39,606
938 United Therapeutics Corp. (a) 51,384
2,072 Vertex Pharmaceuticals, Inc. (a) 100,513
-------------
834,767
-------------
BUILDING PRODUCTS -- 0.7%
901 A.O. Smith Corp. 44,527
11,166 Masco Corp. 134,327
3,051 NCI Building Systems, Inc. (a) 32,829
-------------
211,683
-------------
CAPITAL MARKETS -- 0.4%
635 Affiliated Managers Group, Inc. (a) 70,859
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
477 T. Rowe Price Group, Inc. $ 28,978
765 Waddell & Reed Financial, Inc.,
Class A 22,254
-------------
122,091
-------------
CHEMICALS -- 6.3%
1,073 Airgas, Inc. 85,110
777 Albemarle Corp. 45,237
2,071 American Vanguard Corp. 48,441
799 CF Industries Holdings, Inc. 156,412
1,782 E.I. du Pont de Nemours & Co. 88,565
3,075 Eastman Chemical Co. 160,761
2,260 Ecolab, Inc. 147,917
2,317 FMC Corp. 126,740
1,435 H.B. Fuller Co. 41,931
865 Hawkins, Inc. 32,905
780 Innophos Holdings, Inc. 45,217
648 Koppers Holdings, Inc. 21,345
1,497 Monsanto Co. 128,173
535 NewMarket Corp. 122,986
1,459 PPG Industries, Inc. 159,702
275 Praxair, Inc. 28,534
1,192 Quaker Chemical Corp. 52,770
1,170 Sherwin-Williams (The) Co. 157,189
838 Sigma-Aldrich Corp. 57,990
585 Stepan Co. 51,866
2,207 Valspar (The) Corp. 110,791
-------------
1,870,582
-------------
COMMERCIAL BANKS -- 1.1%
732 Bank of the Ozarks, Inc. 23,563
920 CVB Financial Corp. 10,856
2,102 Hanmi Financial Corp. (a) 23,017
1,080 Home BancShares, Inc. 32,562
931 PacWest Bancorp 21,329
760 Signature Bank (a) 49,020
1,184 SVB Financial Group (a) 68,447
1,363 Texas Capital Bancshares, Inc. (a) 58,732
860 UMB Financial Corp. 41,332
-------------
328,858
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.6%
411 Clean Harbors, Inc. (a) 24,882
1,859 Encore Capital Group, Inc. (a) 52,052
1,137 Healthcare Services Group, Inc. 24,650
1,880 Iron Mountain, Inc. 60,555
2,303 Mine Safety Appliances Co. 79,039
483 Portfolio Recovery Associates,
Inc. (a) 40,900
2,072 Rollins, Inc. 48,858
983 Stericycle, Inc. (a) 91,272
1,689 Tetra Tech, Inc. (a) 43,424
-------------
465,632
-------------
|
Page 66 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT -- 0.3%
5,662 Ciena Corp. (a) $ 90,762
311 NETGEAR, Inc. (a) 10,770
-------------
101,532
-------------
COMPUTERS & PERIPHERALS -- 1.7%
1,613 3D Systems Corp. (a) 61,294
264 Apple, Inc. (a) 161,241
1,172 EMC Corp. (a) 30,718
6,263 Seagate Technology PLC 188,015
1,111 Stratasys, Inc. (a) 68,082
-------------
509,350
-------------
CONSTRUCTION MATERIALS -- 0.4%
885 Eagle Materials, Inc. 30,754
10,693 Headwaters, Inc. (a) 66,831
293 Martin Marietta Materials, Inc. 22,016
-------------
119,601
-------------
CONSUMER FINANCE -- 0.4%
1,548 American Express Co. 89,335
242 Cash America International, Inc. 9,273
548 First Cash Financial Services,
Inc. (a) 21,975
162 World Acceptance Corp. (a) 11,546
-------------
132,129
-------------
CONTAINERS & PACKAGING -- 1.1%
454 AptarGroup, Inc. 22,705
3,018 Ball Corp. 125,428
1,641 Packaging Corp. of America 50,526
850 Rock-Tenn Co., Class A 49,487
2,171 Silgan Holdings, Inc. 89,467
-------------
337,613
-------------
DISTRIBUTORS -- 0.8%
1,028 Genuine Parts Co. 65,823
3,469 LKQ Corp. (a) 122,560
1,361 Pool Corp. 50,166
-------------
238,549
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
802 Coinstar, Inc. (a) 38,087
212 Strayer Education, Inc. 15,404
-------------
53,491
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
1,674 CBOE Holdings, Inc. 47,709
456 IntercontinentalExchange, Inc. (a) 59,836
-------------
107,545
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
3,612 tw telecom, Inc. (a) $ 90,769
3,485 Verizon Communications, Inc. 157,313
-------------
248,082
-------------
ELECTRIC UTILITIES -- 0.4%
1,801 NextEra Energy, Inc. 127,691
-------------
ELECTRICAL EQUIPMENT -- 2.0%
2,786 AMETEK, Inc. 86,366
1,798 AZZ, Inc. 55,217
1,817 Cooper Industries PLC 130,606
646 Franklin Electric Co., Inc. 36,441
1,189 Hubbell, Inc., Class B 97,831
1,489 Regal-Beloit Corp. 95,847
914 Roper Industries, Inc. 90,897
-------------
593,205
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.8%
547 Amphenol Corp., Class A 32,207
880 Badger Meter, Inc. 29,823
691 FEI Co. 32,968
187 Littelfuse, Inc. 10,031
277 MTS Systems Corp. 12,041
863 National Instruments Corp. 22,300
696 OSI Systems, Inc. (a) 44,920
556 Rogers Corp. (a) 19,932
1,007 Trimble Navigation Ltd. (a) 44,570
-------------
248,792
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.5%
520 Dresser-Rand Group, Inc. (a) 24,185
352 Dril-Quip, Inc. (a) 25,805
568 Hornbeck Offshore Services,
Inc. (a) 24,055
968 Oceaneering International, Inc. 50,036
350 Oil States International, Inc. (a) 25,445
-------------
149,526
-------------
FOOD & STAPLES RETAILING -- 2.0%
934 Casey's General Stores, Inc. 55,508
1,630 Costco Wholesale Corp. 156,773
1,004 United Natural Foods, Inc. (a) 54,517
2,221 Wal-Mart Stores, Inc. 165,309
1,625 Whole Foods Market, Inc. 149,143
-------------
581,250
-------------
FOOD PRODUCTS -- 4.1%
1,242 B&G Foods, Inc. 34,776
1,722 Calavo Growers, Inc. 46,460
4,987 Flowers Foods, Inc. 106,572
779 General Mills, Inc. 30,147
1,139 H. J. Heinz Co. 62,884
1,001 Hain Celestial Group (The),
Inc. (a) 55,746
1,720 Hershey (The) Co. 123,393
|
See Notes to Financial Statements Page 67
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
3,996 Hillshire Brands Co. $ 102,338
2,037 Hormel Foods Corp. 56,853
936 Ingredion, Inc. 48,597
745 J & J Snack Foods Corp. 43,054
398 J.M. Smucker (The) Co. 30,566
2,333 Kraft Foods, Inc., Class A 92,643
976 Lancaster Colony Corp. 67,627
2,554 McCormick & Co., Inc. 155,488
1,119 Mead Johnson Nutrition Co. 81,642
233 Sanderson Farms, Inc. 8,581
1,746 Snyder's-Lance, Inc. 40,909
354 TreeHouse Foods, Inc. (a) 19,820
-------------
1,208,096
-------------
GAS UTILITIES -- 0.6%
2,928 ONEOK, Inc. 130,325
2,222 Questar Corp. 45,218
-------------
175,543
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 3.8%
1,191 Abaxis, Inc. (a) 42,507
1,646 Align Technology, Inc. (a) 55,898
354 Analogic Corp. 22,663
577 C. R. Bard, Inc. 56,119
2,021 Cantel Medical Corp. 52,789
581 Cooper (The) Cos., Inc. 43,726
980 Cyberonics, Inc. (a) 42,434
1,638 DENTSPLY International, Inc. 59,525
1,499 Edwards Lifesciences Corp. (a) 151,699
446 Haemonetics Corp. (a) 32,072
619 ICU Medical, Inc. (a) 33,011
964 IDEXX Laboratories, Inc. (a) 84,996
592 Integra LifeSciences Holdings (a) 22,768
223 Intuitive Surgical, Inc. (a) 107,375
524 Meridian Bioscience, Inc. 8,756
1,595 Merit Medical Systems, Inc. (a) 21,548
715 Neogen Corp. (a) 27,506
1,303 NuVasive, Inc. (a) 27,220
2,228 ResMed, Inc. (a) 70,316
545 Stryker Corp. 28,356
1,273 SurModics, Inc. (a) 20,292
379 Teleflex, Inc. 24,157
690 Thoratec Corp. (a) 23,674
873 West Pharmaceutical Services, Inc. 43,458
467 Zimmer Holdings, Inc. 27,520
-------------
1,130,385
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.5%
560 Air Methods Corp. (a) 61,057
1,055 AMERIGROUP Corp. (a) 94,823
1,469 AmSurg Corp. (a) 43,394
2,095 Bio-Reference Laboratories,
Inc. (a) 51,851
363 Chemed Corp. 22,786
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
450 CorVel Corp. (a) $ 20,763
1,577 DaVita, Inc. (a) 155,208
1,169 Ensign Group (The), Inc. 32,791
2,219 Express Scripts Holding Co. (a) 128,569
1,476 Henry Schein, Inc. (a) 110,420
2,783 HMS Holdings Corp. (a) 95,763
729 IPC Hospitalist (The) Co. (a) 31,347
669 Laboratory Corp. of America
Holdings (a) 56,256
384 Landauer, Inc. 21,873
3,406 Lincare Holdings, Inc. 141,008
536 MWI Veterinary Supply, Inc. (a) 48,824
2,614 Patterson Cos., Inc. 89,137
501 Quest Diagnostics, Inc. 29,273
2,118 UnitedHealth Group, Inc. 108,209
-------------
1,343,352
-------------
HEALTH CARE TECHNOLOGY -- 0.7%
1,874 Cerner Corp. (a) 138,526
186 Computer Programs & Systems, Inc. 9,207
1,348 Medidata Solutions, Inc. (a) 47,733
-------------
195,466
-------------
HOTELS, RESTAURANTS & LEISURE
-- 3.6%
1,986 Bally Technologies, Inc. (a) 86,808
57 Biglari Holdings, Inc. (a) 21,418
508 Buffalo Wild Wings, Inc. (a) 36,876
295 CEC Entertainment, Inc. 10,166
2,900 Cheesecake Factory (The), Inc. (a) 97,208
162 Chipotle Mexican Grill, Inc. (a) 47,357
877 Cracker Barrel Old Country Store,
Inc. 54,953
1,780 Darden Restaurants, Inc. 91,100
2,317 Interval Leisure Group, Inc. 42,494
996 Life Time Fitness, Inc. (a) 45,228
3,161 Marriott International, Inc.,
Class A 115,124
3,933 Multimedia Games Holding Co.,
Inc. (a) 55,652
165 Panera Bread Co., Class A (a) 25,986
1,158 Papa John's International, Inc. (a) 59,070
1,596 Shuffle Master, Inc. (a) 23,317
1,690 Starbucks Corp. 76,523
1,168 Starwood Hotels & Resorts
Worldwide, Inc. 63,247
2,390 Texas Roadhouse, Inc. 41,371
962 Yum! Brands, Inc. 62,376
-------------
1,056,274
-------------
HOUSEHOLD DURABLES -- 0.8%
956 Blyth, Inc. 32,772
14,475 PulteGroup, Inc. (a) 163,567
2,153 Ryland Group (The), Inc. 51,414
-------------
247,753
-------------
|
Page 68 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS -- 1.6%
1,671 Church & Dwight Co., Inc. $ 96,266
855 Clorox (The) Co. 62,167
866 Colgate-Palmolive Co. 92,974
924 Energizer Holdings, Inc. (a) 71,860
1,479 Kimberly-Clark Corp. 128,540
663 WD-40 Co. 31,857
-------------
483,664
-------------
INDUSTRIAL CONGLOMERATES -- 0.6%
2,185 Carlisle Cos., Inc. 110,321
1,190 Danaher Corp. 62,844
-------------
173,165
-------------
INSURANCE -- 1.6%
705 Aflac, Inc. 30,865
642 Aon PLC 31,586
2,643 Arthur J. Gallagher & Co. 93,774
2,549 Brown & Brown, Inc. 64,337
851 Chubb (The) Corp. 61,859
665 eHealth, Inc. (a) 12,216
573 Infinity Property & Casualty Corp. 33,125
660 Navigators Group (The), Inc. (a) 31,964
120 ProAssurance Corp. 10,748
156 RLI Corp. 10,048
1,412 Travelers (The) Cos., Inc. 88,462
-------------
468,984
-------------
INTERNET & CATALOG RETAIL -- 1.7%
678 Amazon.com, Inc. (a) 158,177
1,875 Expedia, Inc. 106,856
2,871 HSN, Inc. 121,616
186 Priceline.com, Inc. (a) 123,084
-------------
509,733
-------------
INTERNET SOFTWARE & SERVICES
-- 2.3%
3,576 Blucora, Inc. (a) 54,534
1,097 DealerTrack Holdings, Inc. (a) 32,000
3,687 eBay, Inc. (a) 163,334
660 Equinix, Inc. (a) 117,599
52 Google, Inc., Class A (a) 32,914
406 j2 Global, Inc. 12,152
1,076 Liquidity Services, Inc. (a) 49,195
2,889 LivePerson, Inc. (a) 54,024
237 OpenTable, Inc. (a) 8,617
434 Stamps.com, Inc. (a) 9,179
3,555 Verisign, Inc. (a) 157,913
-------------
691,461
-------------
IT SERVICES -- 4.8%
1,500 Accenture PLC, Class A 90,450
858 Alliance Data Systems Corp. (a) 111,540
540 Automatic Data Processing, Inc. 30,537
194 CACI International, Inc.,
Class A (a) 10,951
1,458 Cardtronics, Inc. (a) 45,212
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
IT SERVICES (CONTINUED)
2,549 CSG Systems International,
Inc. (a) $ 44,939
894 Exlservice Holdings, Inc. (a) 22,037
1,248 Fiserv, Inc. (a) 87,522
315 Forrester Research, Inc. 8,990
2,153 Gartner, Inc. (a) 95,572
1,831 Heartland Payment Systems, Inc. 58,043
2,588 iGATE Corp. (a) 41,149
153 International Business Machines
Corp. 29,985
1,342 Jack Henry & Associates, Inc. 46,608
2,750 Lender Processing Services, Inc. 67,842
287 MasterCard, Inc., Class A 125,296
1,064 MAXIMUS, Inc. 53,732
1,388 NeuStar, Inc., Class A (a) 49,149
956 Paychex, Inc. 31,252
2,151 Teradata Corp. (a) 145,451
1,002 Visa, Inc., Class A 129,328
1,502 Wright Express Corp. (a) 96,699
-------------
1,422,284
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.9%
1,487 Brunswick Corp. 32,699
1,910 Mattel, Inc. 67,175
1,621 Polaris Industries, Inc. 121,834
823 Sturm, Ruger & Co., Inc. 40,681
-------------
262,389
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.6%
969 Covance, Inc. (a) 45,485
668 Life Technologies Corp. (a) 29,312
1,349 Luminex Corp. (a) 23,108
148 Mettler-Toledo International,
Inc. (a) 22,910
1,561 PAREXEL International Corp. (a) 42,959
311 Techne Corp. 21,484
-------------
185,258
-------------
MACHINERY -- 3.2%
1,114 Deere & Co. 85,577
694 Donaldson Co., Inc. 23,686
1,080 Flowserve Corp. 129,578
503 Graco, Inc. 23,078
2,117 Lincoln Electric Holdings, Inc. 84,426
509 Lindsay Corp. 36,088
452 Nordson Corp. 23,170
1,211 Pentair, Inc. 53,078
1,990 Snap-on, Inc. 134,882
355 SPX Corp. 21,556
267 Tennant Co. 11,126
1,202 Toro (The) Co. 45,195
958 Valmont Industries, Inc. 118,677
1,485 Wabtec Corp. 117,582
1,175 Woodward, Inc. 39,445
-------------
947,144
-------------
|
See Notes to Financial Statements Page 69
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MARINE -- 0.3%
3,301 Matson, Inc. $ 81,073
-------------
MEDIA -- 2.3%
5,070 Cinemark Holdings, Inc. 118,536
1,846 DIRECTV, Class A (a) 91,672
2,868 Discovery Communications, Inc.,
Class A (a) 145,207
1,854 Omnicom Group, Inc. 93,034
2,179 Scripps Networks Interactive,
Class A 117,339
1,098 Time Warner Cable, Inc. 93,253
639 Viacom, Inc., Class B 29,848
-------------
688,889
-------------
METALS & MINING -- 0.4%
304 Compass Minerals International,
Inc. 21,991
1,478 Royal Gold, Inc. 111,855
-------------
133,846
-------------
MULTILINE RETAIL -- 1.6%
3,038 Big Lots, Inc. (a) 123,069
2,330 Family Dollar Stores, Inc. 153,966
1,247 Nordstrom, Inc. 67,513
2,129 Target Corp. 129,124
-------------
473,672
-------------
MULTI-UTILITIES -- 0.4%
1,525 Alliant Energy Corp. 71,233
334 CH Energy Group, Inc. 21,720
556 Dominion Resources, Inc. 30,196
-------------
123,149
-------------
OIL, GAS & CONSUMABLE FUELS
-- 0.8%
2,287 Cabot Oil & Gas Corp. 96,488
1,155 EQT Corp. 65,142
1,001 Range Resources Corp. 62,663
-------------
224,293
-------------
PAPER & FOREST PRODUCTS -- 0.3%
1,291 Clearwater Paper Corp. (a) 45,495
485 Schweitzer-Mauduit International,
Inc. 33,028
-------------
78,523
-------------
PERSONAL PRODUCTS -- 0.4%
2,551 Inter Parfums, Inc. 41,479
2,239 Medifast, Inc. (a) 62,916
-------------
104,395
-------------
PHARMACEUTICALS -- 2.8%
1,398 Abbott Laboratories 92,701
3,492 Akorn, Inc. (a) 47,736
323 Allergan, Inc. 26,509
1,723 Bristol-Myers Squibb Co. 61,339
331 Hi-Tech Pharmacal Co., Inc. (a) 11,373
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
445 Johnson & Johnson $ 30,803
1,920 Medicines (The) Co. (a) 48,077
1,484 Merck & Co., Inc. 65,548
1,406 Mylan, Inc. (a) 32,380
297 Par Pharmaceutical Cos., Inc. (a) 14,838
1,313 Perrigo Co. 149,708
1,034 Questcor Pharmaceuticals, Inc. (a) 38,124
809 Salix Pharmaceuticals Ltd. (a) 36,259
2,093 Watson Pharmaceuticals, Inc. (a) 162,898
-------------
818,293
-------------
PROFESSIONAL SERVICES -- 0.9%
567 Corporate Executive Board (The) Co. 26,156
2,659 Equifax, Inc. 124,548
417 Exponent, Inc. (a) 21,555
3,154 Robert Half International, Inc. 85,189
-------------
257,448
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 7.7%
462 Acadia Realty Trust 11,060
319 Alexandria Real Estate Equities,
Inc. 23,440
1,545 American Campus Communities,
Inc. 73,635
2,215 American Tower Corp. 160,167
2,292 Apartment Investment &
Management Co., Class A 62,869
211 AvalonBay Communities, Inc. 31,036
572 Boston Properties, Inc. 63,435
685 Camden Property Trust 48,847
995 Colonial Properties Trust 22,537
413 EastGroup Properties, Inc. 22,087
482 Equity Residential 30,515
452 Essex Property Trust, Inc. 71,127
1,440 Extra Space Storage, Inc. 47,146
668 Federal Realty Investment Trust 72,585
2,806 HCP, Inc. 132,471
1,546 Health Care REIT, Inc. 96,208
1,386 Healthcare Realty Trust, Inc. 34,040
1,377 Highwoods Properties, Inc. 46,639
378 Home Properties, Inc. 24,801
910 Kilroy Realty Corp. 43,079
1,258 Liberty Property Trust 45,653
911 LTC Properties, Inc. 32,523
1,570 Macerich (The) Co. 91,704
156 Mid-America Apartment
Communities, Inc. 10,800
2,457 National Retail Properties, Inc. 72,481
3,090 OMEGA Healthcare Investors, Inc. 74,902
218 Post Properties, Inc. 11,260
904 Prologis, Inc. 29,226
324 PS Business Parks, Inc. 21,906
429 Public Storage 63,899
516 Rayonier, Inc. 24,608
2,219 Realty Income Corp. 91,423
1,461 Regency Centers Corp. 69,909
514 Saul Centers, Inc. 21,403
|
Page 70 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
2,076 Senior Housing Properties Trust $ 47,229
796 Simon Property Group, Inc. 127,750
440 Sovran Self Storage, Inc. 25,124
687 Tanger Factory Outlet Centers, Inc. 22,121
901 Taubman Centers, Inc. 69,845
1,793 UDR, Inc. 47,712
542 Urstadt Biddle Properties, Inc.,
Class A 10,293
2,454 Ventas, Inc. 165,031
-------------
2,294,526
-------------
ROAD & RAIL -- 1.3%
1,944 J.B. Hunt Transport Services, Inc. 106,959
666 Kansas City Southern 48,485
1,344 Landstar System, Inc. 66,407
763 Old Dominion Freight Line, Inc. (a) 32,351
1,038 Union Pacific Corp. 127,269
-------------
381,471
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.2%
1,843 Cirrus Logic, Inc. (a) 67,767
374 Cymer, Inc. (a) 21,397
1,313 Exar Corp. (a) 9,716
610 KLA-Tencor Corp. 31,055
580 Microsemi Corp. (a) 11,229
1,109 Monolithic Power Systems, Inc. (a) 21,492
3,386 Skyworks Solutions, Inc. (a) 97,957
1,194 Standard Microsystems Corp. (a) 44,071
1,399 Ultratech, Inc. (a) 44,502
312 Veeco Instruments, Inc. (a) 11,141
-------------
360,327
-------------
SOFTWARE -- 4.8%
2,621 ACI Worldwide, Inc. (a) 115,350
928 Adobe Systems, Inc. (a) 28,657
2,564 Advent Software, Inc. (a) 58,357
1,101 ANSYS, Inc. (a) 66,016
704 BMC Software, Inc. (a) 27,878
4,217 Cadence Design Systems, Inc. (a) 51,532
1,476 Citrix Systems, Inc. (a) 107,276
667 CommVault Systems, Inc. (a) 32,363
1,701 Concur Technologies, Inc. (a) 114,885
1,644 Fair Isaac Corp. 71,169
380 Interactive Intelligence Group,
Inc. (a) 9,910
1,044 Intuit, Inc. 60,573
742 JDA Software Group, Inc. (a) 21,948
723 Manhattan Associates, Inc. (a) 33,757
453 MICROS Systems, Inc. (a) 21,626
82 MicroStrategy, Inc., Class A (a) 9,550
1,970 Monotype Imaging Holdings,
Inc. (a) 28,920
1,020 NetScout Systems, Inc. (a) 23,827
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SOFTWARE (CONTINUED)
1,011 Oracle Corp. $ 30,532
1,106 Parametric Technology Corp. (a) 23,823
4,160 Quest Software, Inc. (a) 116,230
2,194 Red Hat, Inc. (a) 117,730
216 Salesforce.com, Inc. (a) 26,862
1,071 Sourcefire, Inc. (a) 54,675
2,362 Synopsys, Inc. (a) 71,545
2,323 TIBCO Software, Inc. (a) 65,253
819 Tyler Technologies, Inc. (a) 31,957
-------------
1,422,201
-------------
SPECIALTY RETAIL -- 5.1%
340 Advance Auto Parts, Inc. 23,851
2,599 Aeropostale, Inc. (a) 51,252
244 AutoZone, Inc. (a) 91,556
1,002 Bed Bath & Beyond, Inc. (a) 61,072
1,085 Cato (The) Corp., Class A 30,380
214 Children's Place Retail Stores
(The), Inc. (a) 10,871
2,414 Dick's Sporting Goods, Inc. 118,576
549 Genesco, Inc. (a) 36,355
763 Hibbett Sports, Inc. (a) 46,367
2,923 Home Depot (The), Inc. 152,522
706 Limited Brands, Inc. 33,570
1,630 Lumber Liquidators Holdings,
Inc. (a) 68,933
740 O'Reilly Automotive, Inc. (a) 63,448
1,699 PetSmart, Inc. 112,321
2,479 Ross Stores, Inc. 164,705
873 rue21, Inc. (a) 21,511
512 Select Comfort Corp. (a) 13,317
3,608 TJX (The) Cos., Inc. 159,762
1,116 Tractor Supply Co. 101,411
1,089 Urban Outfitters, Inc. (a) 33,269
1,003 Vitamin Shoppe, Inc. (a) 55,085
1,391 Zumiez, Inc. (a) 50,535
-------------
1,500,669
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.7%
2,203 Carter's, Inc. (a) 111,626
493 Oxford Industries, Inc. 21,317
894 PVH Corp. 71,011
213 Ralph Lauren Corp. 30,744
370 True Religion Apparel, Inc. 9,709
2,453 Under Armour, Inc., Class A (a) 133,541
675 VF Corp. 100,778
568 Wolverine World Wide, Inc. 25,236
-------------
503,962
-------------
THRIFTS & MORTGAGE FINANCE -- 0.1%
745 Oritani Financial Corp. 10,497
685 ViewPoint Financial Group, Inc. 12,059
-------------
22,556
-------------
|
See Notes to Financial Statements Page 71
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
TOBACCO -- 1.1%
2,608 Altria Group, Inc. $ 93,810
470 Lorillard, Inc. 60,461
1,033 Philip Morris International, Inc. 94,457
1,381 Reynolds American, Inc. 63,899
-------------
312,627
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.9%
712 Kaman Corp. 23,197
2,723 United Rentals, Inc. (a) 78,722
324 W.W. Grainger, Inc. 66,365
1,256 Watsco, Inc. 85,332
-------------
253,616
-------------
WATER UTILITIES -- 0.4%
835 American States Water Co. 33,943
2,785 Aqua America, Inc. 71,407
-------------
105,350
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.4%
2,112 Crown Castle International
Corp. (a) 130,691
-------------
TOTAL INVESTMENTS -- 100.0% 29,600,216
(Cost $27,080,138) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 5,941
-------------
NET ASSETS -- 100.0% $ 29,606,157
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $27,129,003. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,805,819 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $334,606.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $29,600,216 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 72 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
1,737 Alliant Techsystems, Inc. $ 80,458
845 Esterline Technologies Corp. (a) 49,618
8,909 Exelis, Inc. 83,745
-------------
213,821
-------------
AIR FREIGHT & LOGISTICS -- 0.2%
1,203 UTi Worldwide, Inc. 15,940
-------------
AIRLINES -- 0.8%
13,260 JetBlue Airways Corp. (a) 73,063
-------------
AUTOMOBILES -- 0.6%
1,923 Thor Industries, Inc. 55,248
-------------
CAPITAL MARKETS -- 1.7%
493 Greenhill & Co., Inc. 19,582
8,987 Janus Capital Group, Inc. 64,976
4,058 Jefferies Group, Inc. 50,887
883 SEI Investments Co. 18,702
-------------
154,147
-------------
CHEMICALS -- 3.3%
1,295 Cabot Corp. 50,505
899 Cytec Industries, Inc. 55,342
1,102 Minerals Technologies, Inc. 70,462
3,364 Olin Corp. 68,087
1,435 Sensient Technologies Corp. 50,871
-------------
295,267
-------------
COMMERCIAL BANKS -- 2.8%
2,664 Associated Banc-Corp. 33,273
1,064 Cathay General Bancorp 17,226
749 East West Bancorp, Inc. 16,328
4,593 First Niagara Financial Group, Inc. 34,815
1,063 FirstMerit Corp. 17,221
1,759 Fulton Financial Corp. 16,165
2,700 International BancShares Corp. 49,491
418 Prosperity Bancshares, Inc. 16,958
718 Trustmark Corp. 17,361
1,622 Webster Financial Corp. 33,284
-------------
252,122
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.9%
1,516 Brink's (The) Co. 35,171
597 Corrections Corp. of America 18,555
2,113 Deluxe Corp. 59,840
1,897 Herman Miller, Inc. 34,715
587 Waste Connections, Inc. 18,062
-------------
166,343
-------------
COMMUNICATIONS EQUIPMENT -- 1.0%
1,052 Plantronics, Inc. 34,527
6,680 Polycom, Inc. (a) 58,383
-------------
92,910
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMPUTERS & PERIPHERALS -- 1.0%
952 Diebold, Inc. $ 30,797
5,133 QLogic Corp. (a) 59,235
-------------
90,032
-------------
CONSTRUCTION & ENGINEERING -- 2.4%
5,340 AECOM Technology Corp. (a) 86,561
1,346 Granite Construction, Inc. 34,862
3,555 KBR, Inc. 93,283
-------------
214,706
-------------
CONTAINERS & PACKAGING -- 1.0%
1,286 Greif, Inc., Class A 55,633
1,165 Sonoco Products Co. 35,311
-------------
90,944
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
1,622 Matthews International Corp.,
Class A 47,038
1,420 Service Corp. International 18,247
527 Sotheby's 15,467
-------------
80,752
-------------
ELECTRIC UTILITIES -- 4.7%
1,260 Cleco Corp. 55,138
3,282 Great Plains Energy, Inc. 72,795
616 Hawaiian Electric Industries, Inc. 17,550
1,253 IDACORP, Inc. 52,876
1,999 NV Energy, Inc. 36,562
678 OGE Energy Corp. 36,008
4,496 PNM Resources, Inc. 93,517
1,760 Westar Energy, Inc. 53,785
-------------
418,231
-------------
ELECTRICAL EQUIPMENT -- 0.8%
2,709 General Cable Corp. (a) 70,786
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 4.6%
2,677 Arrow Electronics, Inc. (a) 90,349
2,847 Avnet, Inc. (a) 89,680
4,023 Ingram Micro, Inc., Class A (a) 60,305
1,459 Tech Data Corp. (a) 73,096
9,315 Vishay Intertechnology, Inc. (a) 91,939
-------------
405,369
-------------
ENERGY EQUIPMENT & SERVICES
-- 5.8%
2,321 Atwood Oceanics, Inc. (a) 103,354
5,353 Helix Energy Solutions Group,
Inc. (a) 95,712
6,033 Patterson-UTI Energy, Inc. 93,391
4,342 Superior Energy Services, Inc. (a) 94,091
758 Tidewater, Inc. 36,816
2,381 Unit Corp. (a) 94,668
-------------
518,032
-------------
|
See Notes to Financial Statements Page 73
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING -- 0.4%
857 Harris Teeter Supermarkets, Inc. $ 35,428
-------------
FOOD PRODUCTS -- 0.8%
4,061 Smithfield Foods, Inc. (a) 75,129
-------------
GAS UTILITIES -- 1.6%
1,002 Atmos Energy Corp. 35,922
748 National Fuel Gas Co. 36,607
1,791 UGI Corp. 54,894
442 WGL Holdings, Inc. 17,879
-------------
145,302
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.1%
1,708 Hill-Rom Holdings, Inc. 44,664
1,680 STERIS Corp. 50,619
-------------
95,283
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 4.9%
2,507 Community Health Systems, Inc. (a) 61,697
4,476 Health Management Associates,
Inc., Class A (a) 29,452
1,448 Health Net, Inc. (a) 31,885
2,144 LifePoint Hospitals, Inc. (a) 81,729
563 Omnicare, Inc. 17,684
574 Owens & Minor, Inc. 16,193
1,628 Universal Health Services, Inc.,
Class B 63,622
1,599 VCA Antech, Inc. (a) 29,102
1,657 WellCare Health Plans, Inc. (a) 107,407
-------------
438,771
-------------
HOTELS, RESTAURANTS & LEISURE -- 2.9%
1,748 Bob Evans Farms, Inc. 67,333
551 Brinker International, Inc. 17,858
2,684 International Speedway Corp.,
Class A 68,818
2,055 Scientific Games Corp., Class A (a) 17,385
3,722 Wendy's (The) Co. 17,084
3,523 WMS Industries, Inc. (a) 64,717
-------------
253,195
-------------
HOUSEHOLD DURABLES -- 0.4%
503 Mohawk Industries, Inc. (a) 33,414
-------------
INSURANCE -- 6.9%
259 Alleghany Corp. (a) 89,565
1,344 American Financial Group, Inc. 50,682
608 Aspen Insurance Holdings Ltd. 17,474
509 Everest Re Group, Ltd. 51,765
1,824 Fidelity National Financial, Inc.,
Class A 33,963
3,108 First American Financial Corp. 56,938
1,679 HCC Insurance Holdings, Inc. 51,445
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE (CONTINUED)
|
INTERNET SOFTWARE & SERVICES
-- 1.7%
626 AOL, Inc. (a) 19,944
8,268 Monster Worldwide, Inc. (a) 59,943
4,288 ValueClick, Inc. (a) 67,365
-------------
147,252
-------------
IT SERVICES -- 3.2%
2,325 Acxiom Corp. (a) 38,990
826 Broadridge Financial Solutions,
Inc. 17,486
5,948 Convergys Corp. 87,674
960 CoreLogic, Inc. (a) 22,080
647 DST Systems, Inc. 34,873
3,743 ManTech International Corp.,
Class A 82,084
-------------
283,187
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.4%
1,073 Charles River Laboratories
International, Inc. (a) 36,514
-------------
MACHINERY -- 5.8%
1,921 AGCO Corp. (a) 84,217
365 CLARCOR, Inc. 17,648
1,724 Harsco Corp. 36,635
901 IDEX Corp. 34,373
2,650 Kennametal, Inc. 97,785
3,354 Oshkosh Corp. (a) 75,532
985 Terex Corp. (a) 19,207
1,918 Timken (The) Co. 69,432
2,813 Trinity Industries, Inc. 78,764
-------------
513,593
-------------
MARINE -- 0.9%
1,493 Kirby Corp. (a) 78,786
-------------
MEDIA -- 2.9%
922 DreamWorks Animation SKG, Inc.,
Class A (a) 17,702
717 John Wiley & Sons, Inc., Class A 34,165
1,100 Meredith Corp. 36,344
3,119 Scholastic Corp. 93,976
3,231 Valassis Communications, Inc. (a) 72,859
-------------
255,046
-------------
METALS & MINING -- 3.3%
4,170 Commercial Metals Co. 53,751
1,740 Reliance Steel & Aluminum Co. 89,575
7,476 Steel Dynamics, Inc. 96,366
|
Page 74 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
METALS & MINING (CONTINUED)
2,575 Worthington Industries, Inc. $ 55,878
-------------
295,570
-------------
MULTILINE RETAIL -- 0.6%
4,949 Saks, Inc. (a) 51,618
-------------
MULTI-UTILITIES -- 1.6%
1,092 Black Hills Corp. 34,780
2,439 MDU Resources Group, Inc. 54,609
1,785 Vectren Corp. 53,283
-------------
142,672
-------------
OIL, GAS & CONSUMABLE FUELS -- 5.2%
10,200 Arch Coal, Inc. 73,542
1,557 Energen Corp. 79,734
11,984 Forest Oil Corp. (a) 82,091
2,479 HollyFrontier Corp. 92,690
999 Plains Exploration & Production
Co. (a) 39,920
16,208 Quicksilver Resources, Inc. (a) 73,260
462 World Fuel Services Corp. 18,706
-------------
459,943
-------------
PAPER & FOREST PRODUCTS -- 1.0%
1,145 Domtar Corp. 84,570
-------------
PROFESSIONAL SERVICES -- 1.9%
4,897 Korn/Ferry International (a) 64,444
1,917 Manpower, Inc. 68,207
587 Towers Watson & Co., Class A 34,416
-------------
167,067
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.4%
438 SL Green Realty Corp. 34,492
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
250 Jones Lang LaSalle, Inc. 16,673
-------------
ROAD & RAIL -- 1.2%
973 Con-way, Inc. 34,658
2,942 Werner Enterprises, Inc. 67,902
-------------
102,560
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.3%
10,489 Atmel Corp. (a) 61,466
4,984 Fairchild Semiconductor
International, Inc. (a) 69,078
3,126 Integrated Device Technology,
Inc. (a) 15,755
2,637 International Rectifier Corp. (a) 44,934
1,650 Intersil Corp., Class A 15,197
-------------
206,430
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SOFTWARE -- 0.6%
3,514 Mentor Graphics Corp. (a) $ 53,694
-------------
SPECIALTY RETAIL -- 8.8%
3,103 Aaron's, Inc. 91,011
890 American Eagle Outfitters, Inc. 18,530
2,068 ANN, Inc. (a) 56,001
2,831 Ascena Retail Group, Inc. (a) 51,921
2,135 Barnes & Noble, Inc. (a) 28,331
3,552 Chico's FAS, Inc. 54,417
1,724 Foot Locker, Inc. 56,927
2,314 Guess?, Inc. 69,651
40,669 Office Depot, Inc. (a) 72,391
22,876 RadioShack Corp. 66,569
2,604 Rent-A-Center, Inc. 92,598
1,597 Signet Jewelers Ltd. 70,140
1,507 Williams-Sonoma, Inc. 52,368
-------------
780,855
-------------
THRIFTS & MORTGAGE FINANCE -- 0.6%
2,804 New York Community Bancorp, Inc. 36,396
1,040 Washington Federal, Inc. 16,567
-------------
52,963
-------------
TOBACCO -- 0.8%
1,517 Universal Corp. 69,084
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.6%
1,369 GATX Corp. 57,594
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.1%
4,126 Telephone & Data Systems, Inc. 99,973
-------------
TOTAL INVESTMENTS -- 100.0% 8,886,235
(Cost $9,087,368) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (1,279)
-------------
NET ASSETS -- 100.0% $ 8,884,956
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $9,198,695. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $355,166 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $667,626.
See Notes to Financial Statements Page 75
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $ 8,886,235 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 76 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.8%
3,967 BE Aerospace, Inc. (a) $ 155,625
2,309 Triumph Group, Inc. 144,382
-------------
300,007
-------------
AIRLINES -- 0.8%
3,619 Alaska Air Group, Inc. (a) 126,122
-------------
BIOTECHNOLOGY -- 2.9%
1,516 Regeneron Pharmaceuticals, Inc. (a) 204,129
1,754 United Therapeutics Corp. (a) 96,084
3,872 Vertex Pharmaceuticals, Inc. (a) 187,831
-------------
488,044
-------------
CAPITAL MARKETS -- 1.1%
1,187 Affiliated Managers Group, Inc. (a) 132,457
1,430 Waddell & Reed Financial, Inc.,
Class A 41,599
-------------
174,056
-------------
CHEMICALS -- 3.1%
1,452 Albemarle Corp. 84,535
1,000 NewMarket Corp. 229,880
4,125 Valspar (The) Corp. 207,075
-------------
521,490
-------------
COMMERCIAL BANKS -- 1.3%
1,420 Signature Bank (a) 91,590
2,212 SVB Financial Group (a) 127,876
-------------
219,466
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.7%
767 Clean Harbors, Inc. (a) 46,434
4,304 Mine Safety Appliances Co. 147,714
3,871 Rollins, Inc. 91,278
-------------
285,426
-------------
COMMUNICATIONS EQUIPMENT -- 1.0%
10,581 Ciena Corp. (a) 169,613
-------------
CONSTRUCTION MATERIALS -- 0.2%
549 Martin Marietta Materials, Inc. 41,252
-------------
CONTAINERS & PACKAGING -- 2.4%
848 AptarGroup, Inc. 42,409
3,067 Packaging Corp. of America 94,433
1,588 Rock-Tenn Co., Class A 92,453
4,057 Silgan Holdings, Inc. 167,189
-------------
396,484
-------------
DISTRIBUTORS -- 1.4%
6,482 LKQ Corp. (a) 229,009
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
397 Strayer Education, Inc. $ 28,846
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
3,129 CBOE Holdings, Inc. 89,177
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.0%
6,750 tw telecom, Inc. (a) 169,628
-------------
ELECTRICAL EQUIPMENT -- 3.2%
5,206 AMETEK, Inc. 161,386
2,222 Hubbell, Inc., Class B 182,826
2,782 Regal-Beloit Corp. 179,077
-------------
523,289
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.8%
1,612 National Instruments Corp. 41,654
1,882 Trimble Navigation Ltd. (a) 83,297
-------------
124,951
-------------
ENERGY EQUIPMENT & SERVICES
-- 1.4%
972 Dresser-Rand Group, Inc. (a) 45,208
660 Dril-Quip, Inc. (a) 48,384
1,810 Oceaneering International, Inc. 93,559
654 Oil States International, Inc. (a) 47,546
-------------
234,697
-------------
FOOD PRODUCTS -- 3.7%
9,320 Flowers Foods, Inc. 199,168
7,468 Hillshire Brands Co. 191,256
1,749 Ingredion, Inc. 90,808
1,824 Lancaster Colony Corp. 126,385
-------------
607,617
-------------
GAS UTILITIES -- 0.5%
4,152 Questar Corp. 84,493
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 2.8%
1,086 Cooper (The) Cos., Inc. 81,733
1,802 IDEXX Laboratories, Inc. (a) 158,882
4,164 ResMed, Inc. (a) 131,416
711 Teleflex, Inc. 45,319
1,290 Thoratec Corp. (a) 44,260
-------------
461,610
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 5.0%
1,971 AMERIGROUP Corp. (a) 177,153
2,758 Henry Schein, Inc. (a) 206,326
5,200 HMS Holdings Corp. (a) 178,932
6,364 Lincare Holdings, Inc. 263,470
-------------
825,881
-------------
|
See Notes to Financial Statements Page 77
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
-- 2.9%
3,712 Bally Technologies, Inc. (a) $ 162,252
5,419 Cheesecake Factory (The), Inc. (a) 181,645
1,862 Life Time Fitness, Inc. (a) 84,553
311 Panera Bread Co., Class A (a) 48,979
-------------
477,429
-------------
HOUSEHOLD PRODUCTS -- 1.9%
3,123 Church & Dwight Co., Inc. 179,916
1,726 Energizer Holdings, Inc. (a) 134,231
-------------
314,147
-------------
INDUSTRIAL CONGLOMERATES -- 1.2%
4,084 Carlisle Cos., Inc. 206,201
-------------
INSURANCE -- 1.8%
4,939 Arthur J. Gallagher & Co. 175,236
4,764 Brown & Brown, Inc. 120,243
-------------
295,479
-------------
INTERNET & CATALOG RETAIL -- 1.4%
5,366 HSN, Inc. 227,304
-------------
INTERNET SOFTWARE & SERVICES
-- 1.3%
1,233 Equinix, Inc. (a) 219,696
-------------
IT SERVICES -- 5.3%
1,604 Alliance Data Systems Corp. (a) 208,520
4,023 Gartner, Inc. (a) 178,581
2,509 Jack Henry & Associates, Inc. 87,138
5,139 Lender Processing Services, Inc. 126,779
2,593 NeuStar, Inc., Class A (a) 91,818
2,806 Wright Express Corp. (a) 180,650
-------------
873,486
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 1.4%
3,029 Polaris Industries, Inc. 227,660
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
1,810 Covance, Inc. (a) 84,961
278 Mettler-Toledo International,
Inc. (a) 43,035
584 Techne Corp. 40,343
-------------
168,339
-------------
MACHINERY -- 5.7%
1,298 Donaldson Co., Inc. 44,301
940 Graco, Inc. 43,127
3,955 Lincoln Electric Holdings, Inc. 157,725
844 Nordson Corp. 43,263
2,262 Pentair, Inc. 99,144
663 SPX Corp. 40,257
1,790 Valmont Industries, Inc. 221,745
2,775 Wabtec Corp. 219,725
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MACHINERY (CONTINUED)
2,196 Woodward, Inc. $ 73,720
-------------
943,007
-------------
MARINE -- 0.9%
6,168 Matson, Inc. 151,486
-------------
MEDIA -- 1.3%
9,475 Cinemark Holdings, Inc. 221,526
-------------
METALS & MINING -- 1.5%
568 Compass Minerals International,
Inc. 41,089
2,762 Royal Gold, Inc. 209,028
-------------
250,117
-------------
MULTI-UTILITIES -- 0.8%
2,851 Alliant Energy Corp. 133,170
-------------
PROFESSIONAL SERVICES -- 0.3%
1,059 Corporate Executive Board (The)
Co. 48,852
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 11.2%
595 Alexandria Real Estate Equities,
Inc. 43,720
2,888 American Campus Communities,
Inc. 137,642
1,280 Camden Property Trust 91,277
844 Essex Property Trust, Inc. 132,812
1,248 Federal Realty Investment Trust 135,608
2,574 Highwoods Properties, Inc. 87,181
706 Home Properties, Inc. 46,321
2,351 Liberty Property Trust 85,318
2,933 Macerich (The) Co. 171,316
4,592 National Retail Properties, Inc. 135,464
5,774 OMEGA Healthcare Investors, Inc. 139,962
964 Rayonier, Inc. 45,973
4,147 Realty Income Corp. 170,856
2,731 Regency Centers Corp. 130,678
3,880 Senior Housing Properties Trust 88,270
1,684 Taubman Centers, Inc. 130,544
3,352 UDR, Inc. 89,197
-------------
1,862,139
-------------
ROAD & RAIL -- 2.5%
3,633 J.B. Hunt Transport Services, Inc. 199,888
1,245 Kansas City Southern 90,636
2,512 Landstar System, Inc. 124,118
-------------
414,642
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.1%
6,328 Skyworks Solutions, Inc. (a) 183,069
-------------
SOFTWARE -- 8.7%
4,897 ACI Worldwide, Inc. (a) 215,517
4,792 Advent Software, Inc. (a) 109,066
2,058 ANSYS, Inc. (a) 123,398
7,880 Cadence Design Systems, Inc. (a) 96,293
|
Page 78 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
3,179 Concur Technologies, Inc. (a) $ 214,710
3,073 Fair Isaac Corp. 133,030
846 MICROS Systems, Inc. (a) 40,388
2,066 Parametric Technology Corp. (a) 44,502
7,774 Quest Software, Inc. (a) 217,205
4,414 Synopsys, Inc. (a) 133,700
4,342 TIBCO Software, Inc. (a) 121,967
-------------
1,449,776
-------------
SPECIALTY RETAIL -- 4.6%
635 Advance Auto Parts, Inc. 44,545
4,857 Aeropostale, Inc. (a) 95,780
4,511 Dick's Sporting Goods, Inc. 221,580
3,176 PetSmart, Inc. 209,966
2,085 Tractor Supply Co. 189,464
-------------
761,335
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 3.6%
4,116 Carter's, Inc. (a) 208,558
1,670 PVH Corp. 132,648
4,583 Under Armour, Inc., Class A (a) 249,498
-------------
590,704
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.9%
5,088 United Rentals, Inc. (a) 147,094
2,347 Watsco, Inc. 159,455
-------------
306,549
-------------
WATER UTILITIES -- 0.8%
5,205 Aqua America, Inc. 133,456
-------------
TOTAL INVESTMENTS -- 99.9% 16,560,727
(Cost $16,156,352) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 10,804
-------------
NET ASSETS -- 100.0% $ 16,571,531
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $16,346,328. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $620,623 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $406,224.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $16,560,727 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
See Notes to Financial Statements Page 79
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.9%
2,796 AAR Corp. $ 39,731
1,469 Ceradyne, Inc. 32,318
1,214 Curtiss-Wright Corp. 36,384
716 Moog, Inc., Class A (a) 26,055
2,917 Orbital Sciences Corp. (a) 38,213
-------------
172,701
-------------
AIRLINES -- 0.7%
5,772 SkyWest, Inc. 40,404
-------------
AUTO COMPONENTS -- 1.5%
531 Drew Industries, Inc. (a) 14,263
2,677 Standard Motor Products, Inc. 37,638
2,302 Superior Industries International,
Inc. 39,341
-------------
91,242
-------------
BIOTECHNOLOGY -- 0.4%
1,465 Emergent Biosolutions, Inc. (a) 21,404
-------------
BUILDING PRODUCTS -- 1.2%
2,851 Gibraltar Industries, Inc. (a) 27,141
3,449 Griffon Corp. 30,317
251 Simpson Manufacturing Co., Inc. 6,084
190 Universal Forest Products, Inc. 6,067
-------------
69,609
-------------
CAPITAL MARKETS -- 1.7%
1,939 Calamos Asset Management, Inc.,
Class A 20,495
3,309 Prospect Capital Corp. 36,664
239 Stifel Financial Corp. (a) 7,194
465 Virtus Investment Partners,
Inc. (a) 38,930
-------------
103,283
-------------
CHEMICALS -- 3.6%
1,491 A. Schulman, Inc. 32,593
1,041 Calgon Carbon Corp. (a) 14,408
1,720 Kraton Performance Polymers,
Inc. (a) 40,282
957 LSB Industries, Inc. (a) 30,748
1,558 OM Group, Inc. (a) 24,461
1,082 PolyOne Corp. 15,938
2,589 Tredegar Corp. 38,343
1,078 Zep, Inc. 16,450
-------------
213,223
-------------
COMMERCIAL BANKS -- 3.5%
829 Boston Private Financial Holdings,
Inc. 7,801
220 City Holding Co. 7,271
393 Columbia Banking System, Inc. 7,094
546 Community Bank System, Inc. 15,020
681 F.N.B. Corp. 7,409
1,868 First BanCorp (a) 7,061
463 First Financial Bancorp 7,389
674 First Midwest Bancorp, Inc. 7,616
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL BANKS (CONTINUED)
253 Independent Bank Corp. $ 7,517
773 National Penn Bancshares, Inc. 6,833
685 NBT Bancorp, Inc. 14,392
1,232 Old National Bancorp 15,080
758 Pinnacle Financial Partners,
Inc. (a) 14,819
501 PrivateBancorp, Inc. 7,675
801 S&T Bancorp, Inc. 13,217
636 Simmons First National Corp.,
Class A 14,844
718 Susquehanna Bancshares, Inc. 7,654
196 Tompkins Financial Corp. 7,695
562 Umpqua Holdings Corp. 7,014
2,700 Wilshire Bancorp, Inc. (a) 17,118
208 Wintrust Financial Corp. 7,636
-------------
208,155
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.3%
757 ABM Industries, Inc. 14,080
1,019 Consolidated Graphics, Inc. (a) 24,161
712 G&K Services, Inc., Class A 22,435
977 Geo Group (The), Inc. (a) 22,588
1,541 Mobile Mini, Inc. (a) 22,067
2,362 Sykes Enterprises, Inc. (a) 34,934
464 UniFirst Corp. 29,056
824 United Stationers, Inc. 20,773
370 Viad Corp. 6,412
-------------
196,506
-------------
COMMUNICATIONS EQUIPMENT -- 1.6%
1,036 Comtech Telecommunications Corp. 28,303
1,445 Digi International, Inc. (a) 13,222
3,474 Harmonic, Inc. (a) 14,730
2,786 Oplink Communications, Inc. (a) 36,942
-------------
93,197
-------------
COMPUTERS & PERIPHERALS -- 0.1%
467 Super Micro Computer, Inc. (a) 5,795
-------------
CONSTRUCTION & ENGINEERING -- 1.1%
1,241 Aegion Corp. (a) 21,593
1,590 Dycom Industries, Inc. (a) 27,698
532 EMCOR Group, Inc. 14,008
-------------
63,299
-------------
CONTAINERS & PACKAGING -- 0.2%
862 Myers Industries, Inc. 14,171
-------------
DISTRIBUTORS -- 0.5%
4,044 Voxx International Corp. (a) 30,290
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.8%
3,318 Career Education Corp. (a) 15,628
|
13,042 Corinthian Colleges, Inc. (a) 26,345
Page 80 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
1,208 Hillenbrand, Inc. $ 20,886
5,799 Lincoln Educational Services Corp. 25,284
1,643 Universal Technical Institute,
Inc. 18,878
-------------
107,021
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.2%
1,005 Interactive Brokers Group, Inc.,
Class A 13,919
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.3%
3,279 Cbeyond, Inc. (a) 23,379
1,781 General Communication, Inc.,
Class A (a) 16,813
2,860 Neutral Tandem, Inc. (a) 39,067
-------------
79,259
-------------
ELECTRIC UTILITIES -- 1.3%
354 ALLETE, Inc. 14,677
669 El Paso Electric Co. 22,646
413 UIL Holdings Corp. 15,297
578 UNS Energy Corp. 23,525
-------------
76,145
-------------
ELECTRICAL EQUIPMENT -- 1.2%
444 Belden, Inc. 14,266
1,105 Encore Wire Corp. 30,277
844 EnerSys (a) 28,822
-------------
73,365
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 7.6%
558 Anixter International, Inc. 31,756
2,122 Benchmark Electronics, Inc. (a) 33,443
5,470 Brightpoint, Inc. (a) 49,066
2,356 CTS Corp. 20,968
2,141 Daktronics, Inc. 16,550
626 Electro Scientific Industries, Inc. 7,769
2,240 Insight Enterprises, Inc. (a) 37,542
455 Measurement Specialties, Inc. (a) 13,550
1,717 Mercury Computer Systems, Inc. (a) 20,037
1,739 Methode Electronics, Inc. 15,303
3,136 Newport Corp. (a) 35,280
286 Park Electrochemical Corp. 7,725
1,049 Plexus Corp. (a) 30,127
1,991 Rofin-Sinar Technologies, Inc. (a) 36,097
966 ScanSource, Inc. (a) 27,889
1,093 SYNNEX Corp. (a) 36,976
3,145 TTM Technologies, Inc. (a) 34,406
-------------
454,484
-------------
ENERGY EQUIPMENT & SERVICES
-- 3.2%
3,652 Basic Energy Services, Inc. (a) 39,515
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
546 Bristow Group, Inc. $ 24,990
580 Exterran Holdings, Inc. (a) 8,567
525 Gulf Island Fabrication, Inc. 14,600
2,245 ION Geophysical Corp. (a) 14,929
2,607 Matrix Service Co. (a) 27,009
4,729 Pioneer Energy Services Corp. (a) 38,021
3,113 TETRA Technologies, Inc. (a) 21,573
-------------
189,204
-------------
FOOD & STAPLES RETAILING -- 1.5%
694 Andersons (The), Inc. 26,351
1,755 Nash Finch Co. 33,626
1,632 Spartan Stores, Inc. 28,070
-------------
88,047
-------------
FOOD PRODUCTS -- 1.8%
568 Cal-Maine Foods, Inc. 21,431
1,795 Darling International, Inc. (a) 29,653
2,113 Diamond Foods, Inc. 34,379
825 Seneca Foods Corp., Class A (a) 20,361
-------------
105,824
-------------
GAS UTILITIES -- 1.3%
558 Laclede Group (The), Inc. 23,313
170 New Jersey Resources Corp. 7,803
311 Northwest Natural Gas Co. 15,143
230 Piedmont Natural Gas Co., Inc. 7,309
509 Southwest Gas Corp. 22,732
-------------
76,300
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.4%
4,244 CryoLife, Inc. (a) 23,597
1,303 Greatbatch, Inc. (a) 29,747
480 Invacare Corp. 6,763
1,741 Palomar Medical Technologies,
Inc. (a) 13,945
862 Symmetry Medical, Inc. (a) 6,681
-------------
80,733
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.3%
1,687 Almost Family, Inc. (a) 37,131
1,248 AMN Healthcare Services, Inc. (a) 7,288
736 Centene Corp. (a) 27,998
5,079 Cross Country Healthcare, Inc. (a) 23,160
577 Hanger, Inc. (a) 14,869
3,011 Kindred Healthcare, Inc. (a) 28,514
315 Molina Healthcare, Inc. (a) 7,689
3,452 PharMerica Corp. (a) 35,521
705 PSS World Medical, Inc. (a) 14,728
-------------
196,898
-------------
|
See Notes to Financial Statements Page 81
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
-- 3.4%
5,235 Boyd Gaming Corp. (a) $ 29,840
265 Jack in the Box, Inc. (a) 7,152
2,151 Marcus (The) Corp. 28,221
3,238 Monarch Casino & Resort, Inc. (a) 24,188
3,076 Pinnacle Entertainment, Inc. (a) 33,375
970 Red Robin Gourmet Burgers, Inc. (a) 28,955
5,535 Ruby Tuesday, Inc. (a) 35,479
2,242 Ruth's Hospitality Group, Inc. (a) 15,066
-------------
202,276
-------------
HOUSEHOLD DURABLES -- 2.9%
2,578 American Greetings Corp., Class A 34,262
1,485 Ethan Allen Interiors, Inc. 30,636
1,112 Helen of Troy Ltd. (a) 33,871
3,067 La-Z-Boy, Inc. (a) 36,681
2,862 Universal Electronics, Inc. (a) 36,033
-------------
171,483
-------------
HOUSEHOLD PRODUCTS -- 0.3%
1,359 Central Garden & Pet Co.,
Class A (a) 15,520
-------------
INDUSTRIAL CONGLOMERATES -- 0.4%
521 Standex International Corp. 22,288
-------------
INSURANCE -- 3.4%
285 AMERISAFE, Inc. (a) 7,115
820 Employers Holdings, Inc. 14,661
1,270 Horace Mann Educators Corp. 22,149
3,367 Meadowbrook Insurance Group, Inc. 23,704
2,209 National Financial Partners
Corp. (a) 32,804
3,011 Presidential Life Corp. 41,823
364 Safety Insurance Group, Inc. 15,426
425 Selective Insurance Group, Inc. 7,335
482 Stewart Information Services Corp. 8,228
1,064 Tower Group, Inc. 19,833
347 United Fire Group, Inc. 6,801
-------------
199,879
-------------
INTERNET & CATALOG RETAIL -- 0.2%
1,217 PetMed Express, Inc. 11,829
-------------
INTERNET SOFTWARE & SERVICES
-- 1.5%
890 Digital River, Inc. (a) 15,833
659 Perficient, Inc. (a) 8,758
3,196 QuinStreet, Inc. (a) 28,988
8,932 United Online, Inc. 37,872
-------------
91,451
-------------
IT SERVICES -- 2.0%
9,307 NCI, Inc., Class A (a) 55,191
2,356 TeleTech Holdings, Inc. (a) 38,780
1,663 Virtusa Corp. (a) 25,194
-------------
119,165
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS
-- 0.4%
405 Arctic Cat, Inc. (a) $ 17,820
462 JAKKS Pacific, Inc. 7,401
-------------
25,221
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
1,573 Cambrex Corp. (a) 14,519
-------------
MACHINERY -- 5.1%
817 Actuant Corp., Class A 23,252
1,186 Albany International Corp.,
Class A 21,229
723 Astec Industries, Inc. (a) 21,112
914 Barnes Group, Inc. 21,808
846 Briggs & Stratton Corp. 14,754
801 Cascade Corp. 37,735
651 CIRCOR International, Inc. 20,044
594 EnPro Industries, Inc. (a) 20,475
203 ESCO Technologies, Inc. 7,310
545 John Bean Technologies Corp. 7,984
1,038 Kaydon Corp. 21,902
1,642 Lydall, Inc. (a) 20,952
174 Mueller Industries, Inc. 7,418
708 Robbins & Myers, Inc. 32,455
666 Watts Water Technologies, Inc.,
Class A 22,404
-------------
300,834
-------------
MEDIA -- 1.1%
3,047 Digital Generation, Inc. (a) 32,481
3,238 Harte-Hanks, Inc. 20,399
1,612 Live Nation Entertainment,
Inc. (a) 14,379
-------------
67,259
-------------
METALS & MINING -- 3.0%
697 A.M. Castle & Co. (a) 5,081
784 AMCOL International Corp. 24,069
1,009 Century Aluminum Co. (a) 6,165
1,653 Globe Specialty Metals, Inc. 20,712
290 Haynes International, Inc. 13,975
285 Kaiser Aluminum Corp. 15,544
1,637 Materion Corp. 32,134
2,295 Olympic Steel, Inc. 35,917
327 RTI International Metals, Inc. (a) 7,341
1,010 SunCoke Energy, Inc. (a) 16,160
-------------
177,098
-------------
MULTILINE RETAIL -- 0.9%
1,936 Fred's, Inc., Class A 27,491
5,174 Tuesday Morning Corp. (a) 26,181
-------------
53,672
-------------
MULTI-UTILITIES -- 0.8%
831 Avista Corp. 23,002
605 NorthWestern Corp. 22,343
-------------
45,345
-------------
|
Page 82 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
-- 4.4%
2,229 Cloud Peak Energy, Inc. (a) $ 36,890
1,802 Comstock Resources, Inc. (a) 29,156
1,827 Gulfport Energy Corp. (a) 37,636
1,537 PDC Energy, Inc. (a) 40,269
4,032 Penn Virginia Corp. 27,015
2,960 PetroQuest Energy, Inc. (a) 16,310
1,487 Stone Energy Corp. (a) 39,049
2,025 Swift Energy Co. (a) 37,847
-------------
264,172
-------------
PAPER & FOREST PRODUCTS -- 1.6%
1,039 Buckeye Technologies, Inc. 31,295
2,378 KapStone Paper & Packaging
Corp. (a) 39,974
832 Neenah Paper, Inc. 22,347
-------------
93,616
-------------
PROFESSIONAL SERVICES -- 2.0%
1,353 CDI Corp. 21,865
2,920 Kelly Services, Inc., Class A 34,631
1,756 Navigant Consulting, Inc. (a) 20,422
464 On Assignment, Inc. (a) 7,234
2,406 Resources Connection, Inc. 27,164
478 TrueBlue, Inc. (a) 7,275
-------------
118,591
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.8%
180 Entertainment Properties Trust 8,129
699 Franklin Street Properties Corp. 7,248
713 Universal Health Realty Income
Trust 31,044
-------------
46,421
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
578 Forestar Group, Inc. (a) 6,578
-------------
ROAD & RAIL -- 1.1%
2,349 Arkansas Best Corp. 32,158
1,551 Heartland Express, Inc. 21,559
925 Knight Transportation, Inc. 14,180
-------------
67,897
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.5%
551 Advanced Energy Industries,
Inc. (a) 6,788
3,993 Brooks Automation, Inc. 36,975
1,456 Cohu, Inc. 12,522
1,183 Diodes, Inc. (a) 22,406
1,553 Micrel, Inc. 14,505
1,023 MKS Instruments, Inc. 27,007
963 Nanometrics, Inc. (a) 14,628
822 Pericom Semiconductor Corp. (a) 6,609
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
3,394 Rudolph Technologies, Inc. (a) $ 33,940
5,381 TriQuint Semiconductor, Inc. (a) 30,349
-------------
205,729
-------------
SOFTWARE -- 1.1%
820 Bottomline Technologies, Inc. (a) 15,572
1,812 EPIQ Systems, Inc. 20,458
355 Progress Software Corp. (a) 6,901
2,713 VASCO Data Security International,
Inc. (a) 25,095
-------------
68,026
-------------
SPECIALTY RETAIL -- 6.6%
3,915 Big 5 Sporting Goods Corp. 29,519
196 Cabela's, Inc. (a) 9,004
1,062 Finish Line (The), Inc., Class A 22,175
487 Group 1 Automotive, Inc. 26,176
3,374 Haverty Furniture Cos., Inc. 38,059
1,527 Hot Topic, Inc. 15,514
3,350 Kirkland's, Inc. (a) 36,214
1,284 Lithia Motors, Inc., Class A 35,772
1,339 Men's Wearhouse (The), Inc. 36,488
5,849 OfficeMax, Inc. (a) 26,262
2,989 Pep Boys-Manny, Moe & Jack (The) 27,110
2,165 Sonic Automotive, Inc., Class A 37,065
1,615 Stage Stores, Inc. 30,588
2,792 Stein Mart, Inc. (a) 22,196
-------------
392,142
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 2.8%
1,374 Crocs, Inc. (a) 21,091
2,069 Fifth & Pacific Cos., Inc. (a) 22,924
1,694 Iconix Brand Group, Inc. (a) 30,035
371 Maidenform Brands, Inc. (a) 7,821
591 Movado Group, Inc. 13,853
1,426 Perry Ellis International,
Inc. (a) 26,880
16,177 Quiksilver, Inc. (a) 46,751
-------------
169,355
-------------
THRIFTS & MORTGAGE FINANCE -- 0.8%
836 Brookline Bancorp, Inc. 7,031
1,113 Dime Community Bancshares, Inc. 16,138
632 Northwest Bancshares, Inc. 7,363
964 Provident Financial Services, Inc. 14,682
-------------
45,214
-------------
TOBACCO -- 0.5%
8,553 Alliance One International,
Inc. (a) 27,883
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.2%
402 Applied Industrial Technologies,
Inc. 14,938
-------------
|
See Notes to Financial Statements Page 83
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
WIRELESS TELECOMMUNICATION
SERVICES -- 0.7%
393 NTELOS Holdings Corp. $ 8,332
2,931 USA Mobility, Inc. 32,651
-------------
40,983
-------------
TOTAL INVESTMENTS -- 100.0% 5,943,862
(Cost $6,279,988) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (51)
-------------
NET ASSETS -- 100.0% $ 5,943,811
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $6,398,876. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $136,375 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $591,389.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $ 5,943,862 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 84 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.9%
717 Cubic Corp. $ 34,681
839 Teledyne Technologies, Inc. (a) 52,270
-------------
86,951
-------------
AIR FREIGHT & LOGISTICS -- 0.8%
520 Forward Air Corp. 17,399
1,904 Hub Group, Inc., Class A (a) 56,644
-------------
74,043
-------------
AIRLINES -- 1.0%
1,237 Allegiant Travel Co. (a) 87,901
-------------
BEVERAGES -- 0.5%
427 Boston Beer (The) Co., Inc.,
Class A (a) 45,996
-------------
BIOTECHNOLOGY -- 0.9%
442 Cubist Pharmaceuticals, Inc. (a) 19,032
4,430 Spectrum Pharmaceuticals, Inc. (a) 61,976
-------------
81,008
-------------
BUILDING PRODUCTS -- 1.3%
1,410 A.O. Smith Corp. 69,682
4,774 NCI Building Systems, Inc. (a) 51,368
-------------
121,050
-------------
CHEMICALS -- 5.0%
3,241 American Vanguard Corp. 75,807
2,246 H.B. Fuller Co. 65,628
1,354 Hawkins, Inc. 51,506
1,221 Innophos Holdings, Inc. 70,781
1,014 Koppers Holdings, Inc. 33,401
1,865 Quaker Chemical Corp. 82,564
915 Stepan Co. 81,124
-------------
460,811
-------------
COMMERCIAL BANKS -- 3.6%
1,146 Bank of the Ozarks, Inc. 36,890
1,439 CVB Financial Corp. 16,980
3,289 Hanmi Financial Corp. (a) 36,014
1,691 Home BancShares, Inc. 50,984
1,456 PacWest Bancorp 33,357
2,134 Texas Capital Bancshares, Inc. (a) 91,954
1,346 UMB Financial Corp. 64,689
-------------
330,868
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.7%
2,909 Encore Capital Group, Inc. (a) 81,452
1,779 Healthcare Services Group, Inc. 38,569
755 Portfolio Recovery Associates,
Inc. (a) 63,933
2,643 Tetra Tech, Inc. (a) 67,952
-------------
251,906
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.2%
486 NETGEAR, Inc. (a) $ 16,830
-------------
COMPUTERS & PERIPHERALS -- 2.2%
2,524 3D Systems Corp. (a) 95,912
1,739 Stratasys, Inc. (a) 106,566
-------------
202,478
-------------
CONSTRUCTION MATERIALS -- 1.7%
1,385 Eagle Materials, Inc. 48,129
16,733 Headwaters, Inc. (a) 104,581
-------------
152,710
-------------
CONSUMER FINANCE -- 0.7%
381 Cash America International, Inc. 14,600
858 First Cash Financial Services,
Inc. (a) 34,405
255 World Acceptance Corp. (a) 18,174
-------------
67,179
-------------
DISTRIBUTORS -- 0.9%
2,130 Pool Corp. 78,512
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.6%
1,255 Coinstar, Inc. (a) 59,600
-------------
ELECTRICAL EQUIPMENT -- 1.6%
2,813 AZZ, Inc. 86,387
1,011 Franklin Electric Co., Inc. 57,031
-------------
143,418
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.6%
1,377 Badger Meter, Inc. 46,667
1,081 FEI Co. 51,574
295 Littelfuse, Inc. 15,824
435 MTS Systems Corp. 18,909
1,088 OSI Systems, Inc. (a) 70,220
870 Rogers Corp. (a) 31,189
-------------
234,383
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.4%
889 Hornbeck Offshore Services,
Inc. (a) 37,649
-------------
FOOD & STAPLES RETAILING -- 1.9%
1,461 Casey's General Stores, Inc. 86,827
1,571 United Natural Foods, Inc. (a) 85,305
-------------
172,132
-------------
FOOD PRODUCTS -- 4.3%
1,944 B&G Foods, Inc. 54,432
2,695 Calavo Growers, Inc. 72,711
1,566 Hain Celestial Group (The),
Inc. (a) 87,211
1,166 J & J Snack Foods Corp. 67,383
366 Sanderson Farms, Inc. 13,480
2,732 Snyder's-Lance, Inc. 64,011
|
See Notes to Financial Statements Page 85
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
553 TreeHouse Foods, Inc. (a) $ 30,962
-------------
390,190
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 7.7%
1,863 Abaxis, Inc. (a) 66,491
2,575 Align Technology, Inc. (a) 87,447
556 Analogic Corp. 35,595
3,162 Cantel Medical Corp. 82,591
1,534 Cyberonics, Inc. (a) 66,422
698 Haemonetics Corp. (a) 50,193
969 ICU Medical, Inc. (a) 51,677
927 Integra LifeSciences Holdings (a) 35,652
820 Meridian Bioscience, Inc. 13,702
2,496 Merit Medical Systems, Inc. (a) 33,721
1,119 Neogen Corp. (a) 43,048
2,039 NuVasive, Inc. (a) 42,595
1,992 SurModics, Inc. (a) 31,753
1,365 West Pharmaceutical Services, Inc. 67,950
-------------
708,837
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 5.7%
877 Air Methods Corp. (a) 95,619
2,299 AmSurg Corp. (a) 67,913
3,279 Bio-Reference Laboratories, Inc. (a) 81,155
570 Chemed Corp. 35,779
703 CorVel Corp. (a) 32,436
1,829 Ensign Group (The), Inc. 51,303
1,141 IPC Hospitalist (The) Co. (a) 49,063
601 Landauer, Inc. 34,233
839 MWI Veterinary Supply, Inc. (a) 76,425
-------------
523,926
-------------
HEALTH CARE TECHNOLOGY -- 1.0%
293 Computer Programs & Systems, Inc. 14,504
2,110 Medidata Solutions, Inc. (a) 74,715
-------------
89,219
-------------
HOTELS, RESTAURANTS & LEISURE
-- 5.9%
89 Biglari Holdings, Inc. (a) 33,442
796 Buffalo Wild Wings, Inc. (a) 57,782
461 CEC Entertainment, Inc. 15,886
1,372 Cracker Barrel Old Country Store,
Inc. 85,969
3,626 Interval Leisure Group, Inc. 66,501
6,155 Multimedia Games Holding Co.,
Inc. (a) 87,093
1,811 Papa John's International, Inc. (a) 92,379
2,498 Shuffle Master, Inc. (a) 36,496
3,741 Texas Roadhouse, Inc. 64,757
-------------
540,305
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOUSEHOLD DURABLES -- 1.4%
1,496 Blyth, Inc. $ 51,283
3,369 Ryland Group (The), Inc. 80,452
-------------
131,735
-------------
HOUSEHOLD PRODUCTS -- 0.5%
1,038 WD-40 Co. 49,876
-------------
INSURANCE -- 1.7%
1,041 eHealth, Inc. (a) 19,123
897 Infinity Property & Casualty Corp. 51,856
1,033 Navigators Group (The), Inc. (a) 50,028
188 ProAssurance Corp. 16,839
246 RLI Corp. 15,845
-------------
153,691
-------------
INTERNET SOFTWARE & SERVICES
-- 3.7%
5,596 Blucora, Inc. (a) 85,339
1,717 DealerTrack Holdings, Inc. (a) 50,085
635 j2 Global, Inc. 19,005
1,683 Liquidity Services, Inc. (a) 76,947
4,521 LivePerson, Inc. (a) 84,543
373 OpenTable, Inc. (a) 13,562
680 Stamps.com, Inc. (a) 14,382
-------------
343,863
-------------
IT SERVICES -- 4.9%
305 CACI International, Inc.,
Class A (a) 17,217
2,282 Cardtronics, Inc. (a) 70,765
3,989 CSG Systems International, Inc. (a) 70,326
1,399 Exlservice Holdings, Inc. (a) 34,485
495 Forrester Research, Inc. 14,127
2,865 Heartland Payment Systems, Inc. 90,821
4,050 iGATE Corp. (a) 64,395
1,665 MAXIMUS, Inc. 84,083
-------------
446,219
-------------
LEISURE EQUIPMENT & PRODUCTS
-- 1.3%
2,327 Brunswick Corp. 51,171
1,288 Sturm, Ruger & Co., Inc. 63,666
-------------
114,837
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.1%
2,111 Luminex Corp. (a) 36,161
2,442 PAREXEL International Corp. (a) 67,204
-------------
103,365
-------------
MACHINERY -- 1.6%
797 Lindsay Corp. 56,507
420 Tennant Co. 17,501
1,881 Toro (The) Co. 70,726
-------------
144,734
-------------
MULTI-UTILITIES -- 0.4%
525 CH Energy Group, Inc. 34,141
-------------
|
Page 86 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS -- 1.3%
2,020 Clearwater Paper Corp. (a) $ 71,185
759 Schweitzer-Mauduit International,
Inc. 51,688
-------------
122,873
-------------
PERSONAL PRODUCTS -- 1.8%
3,992 Inter Parfums, Inc. 64,910
3,503 Medifast, Inc. (a) 98,434
-------------
163,344
-------------
PHARMACEUTICALS -- 3.4%
5,464 Akorn, Inc. (a) 74,693
518 Hi-Tech Pharmacal Co., Inc. (a) 17,799
3,005 Medicines (The) Co. (a) 75,245
464 Par Pharmaceutical Cos., Inc. (a) 23,181
1,619 Questcor Pharmaceuticals, Inc. (a) 59,693
1,266 Salix Pharmaceuticals Ltd. (a) 56,742
-------------
307,353
-------------
PROFESSIONAL SERVICES -- 0.4%
652 Exponent, Inc. (a) 33,702
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 5.7%
723 Acadia Realty Trust 17,309
1,557 Colonial Properties Trust 35,266
647 EastGroup Properties, Inc. 34,602
2,253 Extra Space Storage, Inc. 73,763
2,169 Healthcare Realty Trust, Inc. 53,271
1,424 Kilroy Realty Corp. 67,412
1,425 LTC Properties, Inc. 50,872
246 Mid-America Apartment
Communities, Inc. 17,031
343 Post Properties, Inc. 17,716
509 PS Business Parks, Inc. 34,413
804 Saul Centers, Inc. 33,479
688 Sovran Self Storage, Inc. 39,285
1,075 Tanger Factory Outlet Centers, Inc. 34,615
848 Urstadt Biddle Properties, Inc.,
Class A 16,103
-------------
525,137
-------------
ROAD & RAIL -- 0.5%
1,194 Old Dominion Freight Line,
Inc. (a) 50,626
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.9%
2,884 Cirrus Logic, Inc. (a) 106,045
585 Cymer, Inc. (a) 33,468
2,055 Exar Corp. (a) 15,207
907 Microsemi Corp. (a) 17,560
1,735 Monolithic Power Systems, Inc. (a) 33,624
1,869 Standard Microsystems Corp. (a) 68,985
2,189 Ultratech, Inc. (a) 69,632
488 Veeco Instruments, Inc. (a) 17,426
-------------
361,947
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SOFTWARE -- 4.2%
1,043 CommVault Systems, Inc. (a) $ 50,606
594 Interactive Intelligence Group,
Inc. (a) 15,492
1,161 JDA Software Group, Inc. (a) 34,342
1,131 Manhattan Associates, Inc. (a) 52,806
129 MicroStrategy, Inc., Class A (a) 15,023
3,083 Monotype Imaging Holdings,
Inc. (a) 45,259
1,597 NetScout Systems, Inc. (a) 37,306
1,677 Sourcefire, Inc. (a) 85,611
1,281 Tyler Technologies, Inc. (a) 49,985
-------------
386,430
-------------
SPECIALTY RETAIL -- 5.7%
1,697 Cato (The) Corp., Class A 47,516
337 Children's Place Retail Stores
(The), Inc. (a) 17,120
860 Genesco, Inc. (a) 56,949
1,195 Hibbett Sports, Inc. (a) 72,620
2,550 Lumber Liquidators Holdings,
Inc. (a) 107,840
1,366 rue21, Inc. (a) 33,658
802 Select Comfort Corp. (a) 20,860
1,569 Vitamin Shoppe, Inc. (a) 86,169
2,176 Zumiez, Inc. (a) 79,054
-------------
521,786
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.0%
771 Oxford Industries, Inc. 33,338
579 True Religion Apparel, Inc. 15,193
889 Wolverine World Wide, Inc. 39,498
-------------
88,029
-------------
THRIFTS & MORTGAGE FINANCE -- 0.4%
1,165 Oritani Financial Corp. 16,415
1,072 ViewPoint Financial Group, Inc. 18,872
-------------
35,287
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.4%
1,114 Kaman Corp. 36,294
-------------
WATER UTILITIES -- 0.6%
1,306 American States Water Co. 53,089
-------------
TOTAL INVESTMENTS -- 100.0% 9,166,260
(Cost $8,507,509) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 1,031
-------------
NET ASSETS -- 100.0% $ 9,167,291
=============
|
See Notes to Financial Statements Page 87
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $8,582,885. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $787,023 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $203,648.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $ 9,166,260 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 88 See Notes to Financial Statements
FIRST TRUST MEGA CAP ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2012
37,301 Ford Motor Co. $ 344,661
14,512 General Motors Co. (a) 286,032
-------------
630,693
-------------
BEVERAGES -- 0.7%
915 Coca-Cola (The) Co. 73,932
-------------
BIOTECHNOLOGY -- 3.4%
1,487 Biogen Idec, Inc. (a) 216,849
2,790 Gilead Sciences, Inc. (a) 151,581
-------------
368,430
-------------
CAPITAL MARKETS -- 0.7%
746 Goldman Sachs Group (The), Inc. 75,271
-------------
CHEMICALS -- 1.3%
2,271 Dow Chemical (The) Co. 65,359
864 Monsanto Co. 73,976
-------------
139,335
-------------
COMMERCIAL BANKS -- 1.3%
2,341 PNC Financial Services Group, Inc. 138,353
-------------
COMMUNICATIONS EQUIPMENT -- 1.8%
12,500 Cisco Systems, Inc. 199,375
-------------
COMPUTERS & PERIPHERALS -- 4.6%
490 Apple, Inc. (a) 299,272
10,673 Hewlett-Packard Co. 194,676
-------------
493,948
-------------
CONSUMER FINANCE -- 1.4%
2,618 Capital One Financial Corp. 147,891
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.6%
5,220 Citigroup, Inc. 141,619
4,005 JPMorgan Chase & Co. 144,180
-------------
285,799
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.7%
2,006 AT&T, Inc. 76,068
4,830 Verizon Communications, Inc. 218,026
-------------
294,094
-------------
ELECTRIC UTILITIES -- 0.7%
1,902 Exelon Corp. 74,406
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.7%
1,102 Schlumberger Ltd. 78,529
-------------
FOOD & STAPLES RETAILING -- 9.4%
3,012 Costco Wholesale Corp. 289,694
7,655 CVS Caremark Corp. 346,389
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
FOOD & STAPLES RETAILING
(CONTINUED)
5,131 Wal-Mart Stores, Inc. $ 381,900
-------------
1,017,983
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 2.0%
5,542 Medtronic, Inc. 218,466
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.5%
2,563 Express Scripts Holding Co. (a) 148,500
2,446 UnitedHealth Group, Inc. 124,966
-------------
273,466
-------------
HOUSEHOLD PRODUCTS -- 2.1%
2,562 Kimberly-Clark Corp. 222,663
-------------
INSURANCE -- 4.6%
8,918 American International Group,
Inc. (a) 278,866
6,957 MetLife, Inc. 214,067
-------------
492,933
-------------
INTERNET & CATALOG RETAIL -- 3.4%
1,567 Amazon.com, Inc. (a) 365,581
-------------
INTERNET SOFTWARE & SERVICES
-- 2.8%
6,812 eBay, Inc. (a) 301,772
-------------
IT SERVICES -- 3.4%
333 MasterCard, Inc., Class A 145,378
1,736 Visa, Inc., Class A 224,065
-------------
369,443
-------------
MEDIA -- 8.1%
11,189 Comcast Corp., Class A 364,202
12,839 News Corp., Class A 295,554
4,425 Walt Disney (The) Co. 217,444
-------------
877,200
-------------
METALS & MINING -- 3.3%
10,499 Freeport-McMoRan Copper &
Gold, Inc. 353,501
-------------
OIL, GAS & CONSUMABLE FUELS
-- 15.3%
4,070 Apache Corp. 350,508
3,391 Chevron Corp. 371,586
5,121 ConocoPhillips 278,787
3,344 Exxon Mobil Corp. 290,427
4,171 Occidental Petroleum Corp. 363,002
-------------
1,654,310
-------------
PHARMACEUTICALS -- 3.4%
1,110 Abbott Laboratories 73,604
5,002 Eli Lilly & Co. 220,238
1,714 Merck & Co., Inc. 75,708
-------------
369,550
-------------
|
See Notes to Financial Statements Page 89
FIRST TRUST MEGA CAP ALPHADEX(R) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2012
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
-- 1.4%
919 Simon Property Group, Inc. $ 147,490
-------------
ROAD & RAIL -- 0.7%
600 Union Pacific Corp. 73,566
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.6%
10,738 Intel Corp. 275,967
-------------
SOFTWARE -- 1.3%
4,678 Microsoft Corp. 137,861
-------------
SPECIALTY RETAIL -- 6.0%
5,401 Home Depot (The), Inc. 281,824
8,333 TJX (The) Cos., Inc. 368,985
-------------
650,809
-------------
TOTAL INVESTMENTS -- 100.0% 10,802,617
(Cost $10,715,168) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (1,516)
-------------
NET ASSETS -- 100.0% $ 10,801,101
=============
|
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $10,816,191. As of July 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $423,111 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $436,685.
A summary of the inputs used to value the Fund's investments as of July 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $10,802,617 $ -- $ --
======================================
|
* See Portfolio of Investments for industry breakout.
There were no transfers between levels at July 31, 2012.
Page 90 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2012
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 326,720,324 $ 294,257,538 $ 140,454,543
Cash................................................................ -- -- --
Receivables:
Investment securities sold.................................... 867,286 1,325,974 476,654
Dividends..................................................... 208,604 134,234 47,952
Interest...................................................... 5 6 2
Prepaid expenses.................................................... 3,094 2,865 2,163
-------------- -------------- --------------
TOTAL ASSETS.................................................. 327,799,313 295,720,617 140,981,314
-------------- -------------- --------------
LIABILITIES:
Due to custodian.................................................... 768,215 8,707 117
Payables:
Investment advisory fees...................................... 200,985 194,107 78,372
Licensing fees................................................ 35,405 32,917 17,159
Audit and tax fees............................................ 23,750 23,750 23,750
Printing fees................................................. 21,962 18,952 6,089
Investment securities purchased............................... 791 1,316,114 444,390
Other liabilities................................................... 58,332 50,695 27,844
-------------- -------------- --------------
TOTAL LIABILITIES............................................. 1,109,440 1,645,242 597,721
-------------- -------------- --------------
NET ASSETS.......................................................... $ 326,689,873 $ 294,075,375 $ 140,383,593
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 351,155,869 $ 330,652,577 $ 153,257,839
Par value........................................................... 114,000 86,000 45,000
Accumulated net investment income (loss)............................ 285,819 84,604 --
Accumulated net realized gain (loss) on investments................. (34,687,172) (39,413,493) (15,115,038)
Net unrealized appreciation (depreciation) on investments........... 9,821,357 2,665,687 2,195,792
-------------- -------------- --------------
NET ASSETS.......................................................... $ 326,689,873 $ 294,075,375 $ 140,383,593
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 28.66 $ 34.19 $ 31.20
============== ============== ==============
Number of shares outstanding
(unlimited number of shares authorized, par value $0.01 per share).. 11,400,002 8,600,002 4,500,002
============== ============== ==============
Investments, at cost................................................ $ 316,898,967 $ 291,591,851 $ 138,258,751
============== ============== ==============
Page 92 See Notes to Financial Statements
|
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ---------------- ---------------- ----------------
$ 247,394,119 $ 129,886,725 $ 47,914,228 $ 29,600,216 $ 8,886,235
-- -- -- -- 777
-- 785,325 -- 232,494 --
219,358 40,115 30,386 11,687 3,253
2 3 1 1 --
2,600 2,263 2,489 1,674 --
-------------- ---------------- ---------------- ---------------- ----------------
247,616,079 130,714,431 47,947,104 29,846,072 8,890,265
-------------- ---------------- ---------------- ---------------- ----------------
127 702,306 108 58,860 --
132,993 78,432 18,514 8,733 5,309
25,684 15,321 7,622 3,634 --
23,750 23,750 23,750 23,750 --
17,326 7,502 1,999 828 --
-- -- -- 134,876 --
45,916 23,479 12,997 9,234 --
-------------- ---------------- ---------------- ---------------- ----------------
245,796 850,790 64,990 239,915 5,309
-------------- ---------------- ---------------- ---------------- ----------------
$ 247,370,283 $ 129,863,641 $ 47,882,114 $ 29,606,157 $ 8,884,956
============== ================ ================ ================ ================
$ 270,084,804 $ 154,332,688 $ 56,665,073 $ 37,728,288 $ 9,485,111
88,000 45,500 16,000 9,500 4,500
201,533 107,852 25,971 14,463 1,898
(21,746,582) (36,224,195) (8,231,377) (10,666,172) (405,420)
(1,257,472) 11,601,796 (593,553) 2,520,078 (201,133)
-------------- ---------------- ---------------- ---------------- ----------------
$ 247,370,283 $ 129,863,641 $ 47,882,114 $ 29,606,157 $ 8,884,956
============== ================ ================ ================ ================
$ 28.11 $ 28.54 $ 29.93 $ 31.16 $ 19.74
============== ================ ================ ================ ================
8,800,002 4,550,002 1,600,002 950,002 450,002
============== ================ ================ ================ ================
$ 248,651,591 $ 118,284,929 $ 48,507,781 $ 27,080,138 $ 9,087,368
============== ================ ================ ================ ================
|
See Notes to Financial Statements Page 93
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2012
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value.............................. $ 16,560,727 $ 5,943,862 $ 9,166,260 $ 10,802,617
Cash............................................... 12,519 1,233 2,068 --
Receivables:
Investment securities sold................... 172,393 -- 77,738 --
Dividends.................................... 10,431 2,253 2,324 10,699
Interest..................................... -- -- -- --
Prepaid expenses................................... -- -- -- --
--------------- --------------- --------------- ---------------
TOTAL ASSETS................................. 16,756,070 5,947,348 9,248,390 10,813,316
--------------- --------------- --------------- ---------------
LIABILITIES:
Due to custodian................................... -- -- -- 5,879
Payables:
Investment advisory fees..................... 9,820 3,537 5,449 6,336
Licensing fees............................... -- -- -- --
Audit and tax fees........................... -- -- -- --
Printing fees................................ -- -- -- --
Investment securities purchased.............. 174,719 -- 75,650 --
Other liabilities.................................. -- -- -- --
--------------- --------------- --------------- ---------------
TOTAL LIABILITIES............................ 184,539 3,537 81,099 12,215
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 16,571,531 $ 5,943,811 $ 9,167,291 $ 10,801,101
=============== =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital.................................... $ 17,911,325 $ 6,581,570 $ 9,792,537 $ 11,705,221
Par value.......................................... 8,500 3,000 4,500 6,000
Accumulated net investment income (loss)........... 6,020 -- -- 9,762
Accumulated net realized gain (loss) on
investments..................................... (1,758,689) (304,633) (1,288,497) (1,007,331)
Net unrealized appreciation (depreciation) on
investments..................................... 404,375 (336,126) 658,751 87,449
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 16,571,531 $ 5,943,811 $ 9,167,291 $ 10,801,101
=============== =============== =============== ===============
NET ASSET VALUE, per share......................... $ 19.50 $ 19.81 $ 20.37 $ 18.00
=============== =============== =============== ===============
Number of shares outstanding
(unlimited number of shares authorized, par value
$0.01 per share)................................ 850,002 300,002 450,002 600,002
=============== =============== =============== ===============
Investments, at cost............................... $ 16,156,352 $ 6,279,988 $ 8,507,509 $ 10,715,168
=============== =============== =============== ===============
|
Page 94 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2012
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP MID CAP SMALL CAP
CORE CORE CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 5,732,356 $ 3,626,781 $ 1,697,040
Interest............................................................ 79 53 23
-------------- -------------- ---------------
Total investment income....................................... 5,732,435 3,626,834 1,697,063
-------------- -------------- ---------------
EXPENSES:
Investment advisory fees............................................ 1,453,334 1,362,349 672,126
Accounting and administration fees.................................. 155,876 140,774 73,273
Licensing fees...................................................... 108,906 103,282 59,749
Expense previously waived or reimbursed............................. 85,722 82,780 12,825
Legal fees.......................................................... 74,823 69,850 33,502
Printing fees....................................................... 42,789 43,451 18,403
Custodian fees...................................................... 36,333 34,059 16,803
Audit and tax fees.................................................. 24,100 24,100 24,100
Transfer agent fees................................................. 14,533 13,623 6,721
Trustees' fees and expenses......................................... 11,944 11,452 6,799
Listing fees........................................................ 8,220 8,220 8,219
Registration and filing fees........................................ 3,945 620 1,106
Other expenses...................................................... 14,142 12,729 7,350
-------------- -------------- ---------------
Total expenses................................................ 2,034,667 1,907,289 940,976
Less fees waived and expenses reimbursed by the
investment advisor....................................... -- -- --
-------------- -------------- ---------------
Net expenses.................................................. 2,034,667 1,907,289 940,976
-------------- -------------- ---------------
NET INVESTMENT INCOME (LOSS)........................................ 3,697,768 1,719,545 756,087
-------------- -------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (24,898,980) (32,105,534) (7,910,806)
In-kind redemptions........................................... 13,117,801 9,291,899 4,125,825
-------------- -------------- ---------------
Net realized gain (loss)............................................ (11,781,179) (22,813,635) (3,784,981)
Net change in unrealized appreciation (depreciation) on investments. 9,671,236 5,862,318 2,049,712
-------------- -------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (2,109,943) (16,951,317) (1,735,269)
-------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ 1,587,825 $ (15,231,772) $ (979,182)
============== ============== ===============
See Notes to Financial Statements Page 95
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
JULY 31, 2012
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP LARGE CAP MULTI CAP
VALUE GROWTH VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends .......................................................... $ 4,575,464 $ 1,973,653 $ 844,228
Interest............................................................ 29 23 7
-------------- -------------- ---------------
Total......................................................... 4,575,493 1,973,676 844,235
-------------- -------------- ---------------
EXPENSES:
Investment advisory fees............................................ 1,010,095 633,927 217,164
Accounting and administration fees.................................. 104,593 66,626 29,590
Licensing fees...................................................... 81,243 57,830 38,422
Expense previously waived or reimbursed............................. 41,910 11,872 --
Legal fees.......................................................... 52,095 32,059 10,758
Printing fees....................................................... 32,193 16,790 6,430
Custodian fees...................................................... 25,252 15,848 5,429
Audit and tax fees.................................................. 24,100 24,100 24,100
Transfer agent fees................................................. 10,101 6,339 2,172
Trustees' fees and expenses......................................... 8,816 6,173 2,668
Listing fees........................................................ 8,220 8,219 7,889
Registration and filing fees........................................ 4,985 69 827
Other expenses...................................................... 10,531 7,645 3,252
-------------- -------------- ---------------
Total expenses................................................ 1,414,134 887,497 348,701
Less fees waived and expenses reimbursed by the
investment advisor....................................... -- -- (44,672)
-------------- -------------- ---------------
Net expenses.................................................. 1,414,134 887,497 304,029
-------------- -------------- ---------------
NET INVESTMENT INCOME (LOSS)........................................ 3,161,359 1,086,179 540,206
-------------- -------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (12,141,512) (17,475,532) (4,945,651)
In-kind redemptions........................................... 12,673,230 6,741,444 4,866,880
-------------- -------------- ---------------
Net realized gain (loss)............................................ 531,718 (10,734,088) (78,771)
Net change in unrealized appreciation (depreciation) on investments. 4,779,857 5,355,775 484,210
-------------- -------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 5,311,575 (5,378,313) 405,439
-------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ 8,472,934 $ (4,292,134)$ 945,645
============== ============== ===============
|
Page 96 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST
GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 347,484 $ 110,719 $ 89,790 $ 50,920 $ 49,505 $ 127,040
9 -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
347,493 110,719 89,790 50,920 49,505 127,040
-------------- -------------- -------------- -------------- -------------- --------------
147,330 46,033 77,747 23,467 41,348 44,986
21,291 -- -- -- -- --
27,710 -- -- -- -- --
-- -- -- -- -- --
7,313 -- -- -- -- --
4,600 -- -- -- -- --
3,683 -- -- -- -- --
24,100 -- -- -- -- --
1,473 -- -- -- -- --
2,993 -- -- -- -- --
7,889 -- -- -- -- --
(88) -- -- -- -- --
2,260 -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
250,554 46,033 77,747 23,467 41,348 44,986
(44,292) -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
206,262 46,033 77,747 23,467 41,348 44,986
-------------- -------------- -------------- -------------- -------------- --------------
141,231 64,686 12,043 27,453 8,157 82,054
-------------- -------------- -------------- -------------- -------------- --------------
(5,430,586) (406,229) (1,855,632) (293,984) (1,275,121) (1,011,602)
2,061,109 750,118 297,299 375,137 325,389 74,969
-------------- -------------- -------------- -------------- -------------- --------------
(3,369,477) 343,889 (1,558,333) 81,153 (949,732) (936,633)
1,487,826 (40,580) 772,870 (205,585) 834,605 261,188
-------------- -------------- -------------- -------------- -------------- --------------
(1,881,651) 303,309 (785,463) (124,432) (115,127) (675,445)
-------------- -------------- -------------- -------------- -------------- --------------
$ (1,740,420) $ 367,995 $ (773,420) $ (96,979) $ (106,970) $ (593,391)
============== ============== ============== ============== ============== ==============
|
See Notes to Financial Statements Page 97
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND
------------------------------------ ------------------------------------
For the For the Year For the For the Year
Year Ended Ended Year Ended Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
----------------- ----------------- ----------------- -----------------
OPERATIONS:
OPERATIONS:
Net investment income (loss).......................... $ 3,697,768 $ 1,754,987 $ 1,719,545 $ 760,493
Net realized gain (loss).............................. (11,781,179) 14,094,972 (22,813,635) 20,837,782
Net change in unrealized appreciation (depreciation).. 9,671,236 (841,369) 5,862,318 (4,250,084)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations.................................... 1,587,825 15,008,590 (15,231,772) 17,348,191
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (3,513,526) (1,696,550) (1,639,580) (829,065)
Return of capital..................................... -- -- -- --
------------- ------------- ------------- -------------
Total distributions to shareholders................... (3,513,526) (1,696,550) (1,639,580) (829,065)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................. 190,451,762 319,894,079 179,569,448 373,773,117
Cost of shares redeemed............................... (135,697,581) (117,559,030) (188,114,212) (127,719,332)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions...................... 54,754,181 202,335,049 (8,544,764) 246,053,785
------------- ------------- ------------- -------------
Total increase (decrease) in net assets............... 52,828,480 215,647,089 (25,416,116) 262,572,911
NET ASSETS:
Beginning of period................................... 273,861,393 58,214,304 319,491,491 56,918,580
------------- ------------- ------------- -------------
End of period......................................... $ 326,689,873 $ 273,861,393 $ 294,075,375 $ 319,491,491
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period................................... $ 285,819 $ 101,577$ 84,604$ --
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period............... 9,650,002 2,450,002 9,350,002 2,100,002
Shares sold........................................... 6,650,000 11,300,000 5,200,000 10,950,000
Shares redeemed....................................... (4,900,000) (4,100,000) (5,950,000) (3,700,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period..................... 11,400,002 9,650,002 8,600,002 9,350,002
============= ============= ============= =============
|
Page 98 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended Ended Ended
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 756,087 $ 210,389 $ 3,161,359 $ 1,663,077 $ 1,086,179 $ 559,488 $ 540,206 $ 335,487
(3,784,981) 13,028,619 531,718 13,674,596 (10,734,088) 6,941,737 (78,771) 4,076,680
2,049,712 (902,356) 4,779,857 (6,010,004) 5,355,775 4,069,109 484,210 (642,034)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(979,182) 12,336,652 8,472,934 9,327,669 (4,292,134) 11,570,334 945,645 3,770,133
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(765,930) (276,075) (3,138,591) (1,524,286) (1,045,280) (626,975) (533,761) (335,071)
-- -- -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(765,930) (276,075) (3,138,591) (1,524,286) (1,045,280) (626,975) (533,761) (335,071)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
67,371,164 142,546,748 147,469,809 218,828,559 60,592,085 164,875,818 35,938,107 40,201,315
(42,772,095) (74,552,757) (83,485,811) (98,538,066) (64,713,498) (75,941,646) (27,937,723) (25,083,144)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
24,599,069 67,993,991 63,983,998 120,290,493 (4,121,413) 88,934,172 8,000,384 15,118,171
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
22,853,957 80,054,568 69,318,341 128,093,876 (9,458,827) 99,877,531 8,412,268 18,553,233
117,529,636 37,475,068 178,051,942 49,958,066 139,322,468 39,444,937 39,469,846 20,916,613
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$140,383,593 $117,529,636 $247,370,283 $178,051,942 $129,863,641 $139,322,468 $ 47,882,114 $ 39,469,846
============ ============ ============ ============ ============ ============ ============ ============
$ -- $ -- $ 201,533 $ 178,765 $ 107,852 $ -- $ 25,971 $ 19,526
============ ============ ============ ============ ============ ============ ============ ============
3,800,002 1,500,002 6,550,002 2,150,002 4,750,002 1,650,002 1,350,002 850,002
2,150,000 4,700,000 5,250,000 7,950,000 2,050,000 5,750,000 1,200,000 1,350,000
(1,450,000) (2,400,000) (3,000,000) (3,550,000) (2,250,000) (2,650,000) (950,000) (850,000)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
4,500,002 3,800,002 8,800,002 6,550,002 4,550,002 4,750,002 1,600,002 1,350,002
============ ============ ============ ============ ============ ============ ============ ============
|
See Notes to Financial Statements Page 99
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND
------------------------------------ ------------------------------------
For the Period
For the Year For the Year For the Year April 19, 2011 (a)
Ended Ended Ended through
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss).......................... $ 141,231 $ 38,541 $ 64,686 $ 4,262
Net realized gain (loss).............................. (3,369,477) 1,972,558 343,889 73,892
Net change in unrealized appreciation (depreciation).. 1,487,826 226,026 (40,580) (160,553)
------------- ------------- ------------- -------------
from operations.................................... (1,740,420) 2,237,125 367,995 (82,399)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (134,015) (59,430) (63,030) (4,020)
Return of capital..................................... -- -- -- --
------------- ------------- ------------- -------------
Total distributions to shareholders................... (134,015) (59,430) (63,030) (4,020)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................. 14,612,366 46,519,284 10,704,488 3,045,850
Cost of shares redeemed............................... (21,121,579) (18,227,305) (4,051,756) (1,032,172)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions...................... (6,509,213) 28,291,979 6,652,732 2,013,678
------------- ------------- ------------- -------------
Total increase (decrease) in net assets............... (8,383,648) 30,469,674 6,957,697 1,927,259
NET ASSETS:
Beginning of period................................... 37,989,805 7,520,131 1,927,259 --
------------- ------------- ------------- -------------
End of period......................................... $ 29,606,157 $ 37,989,805 $ 8,884,956 $ 1,927,259
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period................................... $ 14,463 $ -- $ 1,898 $ 242
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period............... 1,200,002 300,002 100,002 --
Shares sold........................................... 450,000 1,500,000 550,000 150,002
Shares redeemed....................................... (700,000) (600,000) (200,000) (50,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period..................... 950,002 1,200,002 450,002 100,002
============= ============= ============= =============
|
(a) Inception date.
Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Period For the Period For the Period For the Period
For the Year April 19, 2011(a) For the Year April 19, 2011(a) For the Year April 19, 2011(a) For the Year May 11, 2011 (a)
Ended through Ended through Ended through Ended through
July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011 July 31, 2012 July 31, 2011
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 12,043 $ (1,585) $ 27,453 $ 3,315 $ 8,157 $ (3,943) $ 82,054 $ 4,318
(1,558,333) 36,780 81,153 105,539 (949,732) 28,163 (936,633) (10,137)
772,870 (368,495) (205,585) (130,541) 834,605 (175,854) 261,188 (173,739)
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
(773,420) (333,300) (96,979) (21,687) (106,970) (151,634) (593,391) (179,558)
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
(6,080) -- (27,780) (3,020) (9,945) -- (74,860) (1,750)
-- -- -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
(6,080) -- (27,780) (3,020) (9,945) -- (74,860) (1,750)
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
21,769,260 8,379,715 7,976,496 3,048,791 7,090,962 7,199,910 15,846,454 4,942,237
(11,394,273) (1,070,371) (3,888,173) (1,043,837) (3,784,153) (1,070,879) (8,154,456) (983,575)
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
10,374,987 7,309,344 4,088,323 2,004,954 3,306,809 6,129,031 7,691,998 3,958,662
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
9,595,487 6,976,044 3,963,564 1,980,247 3,189,894 5,977,397 7,023,747 3,777,354
6,976,044 -- 1,980,247 -- 5,977,397 -- 3,777,354 --
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
$ 16,571,531 $ 6,976,044 $ 5,943,811 $ 1,980,247 $ 9,167,291 $ 5,977,397 $ 10,801,101 $ 3,777,354
============ ============ ============ ============ ============ ============= ============ ============
$ 6,020 $ -- $ -- $ 295 $ -- $ -- $ 9,762 $ 2,568
============ ============ ============ ============ ============ ============= ============ ============
350,002 -- 100,002 -- 300,002 -- 200,002 --
1,100,000 400,002 400,000 150,002 350,000 350,002 850,000 250,002
(600,000) (50,000) (200,000) (50,000) (200,000) (50,000) (450,000) (50,000)
------------ ------------ ------------ ------------ ------------ ------------- ------------ ------------
850,002 350,002 300,002 100,002 450,002 300,002 600,002 200,002
============ ============ ============ ============ ============ ============= ============ ============
|
See Notes to Financial Statements Page 101
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 28.38 $ 23.76 $ 19.60 $ 24.66 $ 28.68
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.35 0.25 0.20 0.29 0.25
Net realized and unrealized gain (loss) 0.26 4.63 4.15 (5.06) (4.00)
-------- -------- -------- -------- --------
Total from investment operations 0.61 4.88 4.35 (4.77) (3.75)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.26) (0.19) (0.29) (0.27)
-------- -------- -------- -------- --------
Net asset value, end of period $ 28.66 $ 28.38 $ 23.76 $ 19.60 $ 24.66
======== ======== ======== ======== ========
TOTAL RETURN (a) 2.20% 20.54% 22.26% (19.18)% (13.14)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $326,690 $273,861 $ 58,214 $ 13,720 $ 14,799
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.90% 1.17% 1.42%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.27% 1.04% 1.13% 1.63% 1.16%
Portfolio turnover rate (b) 95% 81% 91% 114% 90%
|
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 34.17 $ 27.10 $ 22.00 $ 26.30 $ 28.58
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21 0.12 0.16 0.21 0.14
Net realized and unrealized gain (loss) 0.01 7.09 5.10 (4.30) (2.28)
-------- -------- -------- -------- --------
Total from investment operations 0.22 7.21 5.26 (4.09) (2.14)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.14) (0.16) (0.21) (0.14)
-------- -------- -------- -------- --------
Net asset value, end of period $ 34.19 $ 34.17 $ 27.10 $ 22.00 $ 26.30
======== ======== ======== ======== ========
TOTAL RETURN (a) 0.66% 26.60% 23.94% (15.42)% (7.51)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $294,075 $319,491 $ 56,919 $ 8,799 $ 10,521
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.90% 1.28% 1.61%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.63% 0.44% 0.73% 1.07% 0.54%
Portfolio turnover rate (b) 94% 86% 100% 120% 82%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 102 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 30.93 $ 24.98 $ 20.77 $ 24.79 $ 28.30
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17 0.07 0.07 0.10 0.06
Net realized and unrealized gain (loss) 0.27 5.97 4.21 (4.02) (3.50)
-------- -------- -------- -------- --------
Total from investment operations 0.44 6.04 4.28 (3.92) (3.44)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.17) (0.09) (0.07) (0.10) (0.07)
-------- -------- -------- -------- --------
Net asset value, end of period $ 31.20 $ 30.93 $ 24.98 $ 20.77 $ 24.79
======== ======== ======== ======== ========
TOTAL RETURN (a) 1.42% 24.20% 20.63% (15.77)% (12.14)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $140,384 $117,530 $ 37,475 $ 8,307 $ 9,916
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.74% 0.97% 1.40% 1.87%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.56% 0.24% 0.36% 0.49% 0.25%
Portfolio turnover rate (b) 101% 90% 97% 105% 95%
|
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 27.18 $ 23.24 $ 19.10 $ 23.16 $ 28.35
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.40 0.32 0.34 0.47 0.43
Net realized and unrealized gain (loss) 0.93 3.93 4.14 (4.06) (5.18)
-------- -------- -------- -------- --------
Total from investment operations 1.33 4.25 4.48 (3.59) (4.75)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.40) (0.31) (0.34) (0.47) (0.44)
-------- -------- -------- -------- --------
Net asset value, end of period $ 28.11 $ 27.18 $ 23.24 $ 19.10 $ 23.16
======== ======== ======== ======== ========
TOTAL RETURN (a) 4.96% 18.30% 23.53% (15.23)% (16.85)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $247,370 $178,052 $ 49,958 $ 18,141 $ 23,163
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.71% 0.88% 1.07% 1.35%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.56% 1.47% 1.73% 2.47% 1.80%
Portfolio turnover rate (b) 88% 76% 100% 146% 104%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 29.33 $ 23.91 $ 19.94 $ 26.57 $ 29.22
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.17 0.06 0.14 0.15
Net realized and unrealized gain (loss) (0.80) 5.43 3.96 (6.63) (2.65)
-------- -------- -------- -------- --------
Total from investment operations (0.56) 5.60 4.02 (6.49) (2.50)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.23) (0.18) (0.05) (0.14) (0.15)
Return of capital -- -- -- (0.00)(a) --
-------- -------- -------- -------- --------
Total distributions (0.23) (0.18) (0.05) (0.14) (0.15)
-------- -------- -------- -------- --------
Net asset value, end of period $ 28.54 $ 29.33 $ 23.91 $ 19.94 $ 26.57
======== ======== ======== ======== ========
TOTAL RETURN (b) (1.89)% 23.43% 20.20% (24.38)% (8.62)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $129,864 $139,322 $ 39,445 $ 13,960 $ 37,204
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.72% 0.91% 1.01% 1.17%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.86% 0.59% 0.31% 0.54% 0.43%
Portfolio turnover rate (c) 162% 146% 168% 152% 134%
|
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 29.24 $ 24.61 $ 20.20 $ 23.23 $ 27.95
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.36 0.32 0.37 0.29 0.35
Net realized and unrealized gain (loss) 0.69 4.64 4.39 (3.02) (4.68)
-------- -------- -------- -------- --------
Total from investment operations 1.05 4.96 4.76 (2.73) (4.33)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.36) (0.33) (0.35) (0.30) (0.39)
-------- -------- -------- -------- --------
Net asset value, end of period $ 29.93 $ 29.24 $ 24.61 $ 20.20 $ 23.23
======== ======== ======== ======== ========
TOTAL RETURN (B) 3.62% 20.13% 23.65% (11.51)% (15.53)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 47,882 $ 39,470 $ 20,917 $ 10,101 $ 4,647
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.80% 0.87% 0.94% 2.17% 1.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.24% 1.16% 1.45% 1.99% 1.45%
Portfolio turnover rate (c) 90% 74% 93% 134% 59%
|
(a) Amount represents less than $0.01 per share.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment advisor.
(c) Portfolio turnover is calculated for the time period presented and is
not annualized for periods of less than a year and does not include
securities received or delivered from processing creations or redemptions
and in-kind transactions.
Page 104 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2012 JULY 31, 2011 JULY 31, 2010 JULY 31, 2009 JULY 31, 2008
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 31.66 $ 25.07 $ 20.78 $ 27.63 $ 29.39
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.16 0.08 0.02 0.06 0.05
Net realized and unrealized gain (loss) (0.51) 6.62 4.27 (6.84) (1.76)
-------- -------- -------- -------- --------
Total from investment operations (0.35) 6.70 4.29 (6.78) (1.71)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.15) (0.11) -- (0.06) (0.04)
Return of capital -- -- -- (0.01) (0.01)
-------- -------- -------- -------- --------
Total distributions (0.15) (0.11) -- (0.07) (0.05)
-------- -------- -------- -------- --------
Net asset value, end of period $ 31.16 $ 31.66 $ 25.07 $ 20.78 $ 27.63
======== ======== ======== ======== ========
TOTAL RETURN (A) (1.10)% 26.74% 20.64% (24.53)% (5.85)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 29,606 $ 37,990 $ 7,520 $ 5,196 $ 8,288
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.85% 0.95% 1.40% 1.56% 1.55%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.48% 0.20% 0.08% 0.29% 0.12%
Portfolio turnover rate (b) 155% 149% 155% 153% 110%
|
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND
FOR THE PERIOD
FOR THE APRIL 19, 2011 (a)
YEAR ENDED THROUGH
JULY 31, 2012 JULY 31, 2011
------------- -----------------
Net asset value, beginning of period $ 19.27 $ 20.06
--------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.15 0.04
Net realized and unrealized gain (loss) 0.47 (0.79)
--------- ---------
Total from investment operations 0.62 (0.75)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.15) (0.04)
--------- ---------
Net asset value, end of period $ 19.74 $ 19.27
========= =========
TOTAL RETURN (b) 3.23% (3.75)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 8,885 $ 1,927
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.98% 0.74% (c)
Portfolio turnover rate (d) 100% 14%
|
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND
FOR THE PERIOD
FOR THE APRIL 19, 2011 (a)
YEAR ENDED THROUGH
JULY 31, 2012 JULY 31, 2011
------------- -----------------
Net asset value, beginning of period $ 19.93 $ 20.17
--------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 (0.00) (e)
Net realized and unrealized gain (loss) (0.44) (0.24)
--------- ---------
Total from investment operations (0.42) (0.24)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.01) --
--------- ---------
Net asset value, end of period $ 19.50 $ 19.93
========= =========
TOTAL RETURN (B) (2.11)% (1.19)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 16,572 $ 6,976
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.11% (0.18)% (c)
Portfolio turnover rate (d) 166% 48%
|
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) Amount represents less than $0.01 per share.
Page 106 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND
FOR THE PERIOD
FOR THE APRIL 19, 2011 (a)
YEAR ENDED THROUGH
JULY 31, 2012 JULY 31, 2011
------------- -----------------
Net asset value, beginning of period $ 19.80 $ 19.97
--------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.14 0.03
Net realized and unrealized gain (loss) 0.01 (0.17)
--------- ---------
Total from investment operations 0.15 (0.14)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.14) (0.03)
--------- ---------
Net asset value, end of period $ 19.81 $ 19.80
========= =========
TOTAL RETURN (B) 0.75% (0.70)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,944 $ 1,980
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.82% 0.57% (c)
Portfolio turnover rate (d) 103% 15%
|
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND
FOR THE PERIOD
FOR THE APRIL 19, 2011 (a)
YEAR ENDED THROUGH
JULY 31, 2012 JULY 31, 2011
------------- -----------------
Net asset value, beginning of period $ 19.92 $ 20.08
--------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 (0.01)
Net realized and unrealized gain (loss) 0.46 (0.15)
--------- ---------
Total from investment operations 0.48 (0.16)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.03) --
--------- ---------
Net asset value, end of period $ 20.37 $ 19.92
========= =========
TOTAL RETURN (B) 2.38% (0.80)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 9,167 $ 5,977
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.14% (0.36)% (c)
Portfolio turnover rate (d) 162% 36%
|
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MEGA CAP ALPHADEX(R) FUND
FOR THE PERIOD
FOR THE MAY 11, 2011 (a)
YEAR ENDED THROUGH
JULY 31, 2012 JULY 31, 2011
------------- -----------------
Net asset value, beginning of period $ 18.89 $ 19.67
--------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.03
Net realized and unrealized gain (loss) (0.90) (0.79)
--------- ---------
Total from investment operations (0.72) (0.76)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.17) (0.02)
--------- ---------
Net asset value, end of period $ 18.00 $ 18.89
========= =========
TOTAL RETURN (B) (3.78)% (3.88)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 10,801 $ 3,777
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 1.28% 0.77% (c)
Portfolio turnover rate (d) 164% 52%
|
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 108 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one funds considered either a Sector Fund or Style Fund, each type having a separate report. This report covers the twelve Style Funds listed below:
First Trust Large Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ("NYSE Arca")
ticker "FEX")
First Trust Mid Cap Core AlphaDEX(R) Fund - (NYSE Arca ticker "FNX")
First Trust Small Cap Core AlphaDEX(R) Fund - (NYSE Arca ticker "FYX")
First Trust Large Cap Value AlphaDEX(R) Fund - (NYSE Arca ticker "FTA")
First Trust Large Cap Growth AlphaDEX(R) Fund - (NYSE Arca ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (NYSE Arca ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(R) Fund - (NYSE Arca ticker "FAD")
First Trust Mid Cap Value AlphaDEX(R) Fund - (NYSE Arca ticker "FNK")
First Trust Mid Cap Growth AlphaDEX(R) Fund - (NYSE Arca ticker "FNY")
First Trust Small Cap Value AlphaDEX(R) Fund - (NYSE Arca ticker "FYT")
First Trust Small Cap Growth AlphaDEX(R) Fund - (NYSE Arca ticker "FYC")
First Trust Mega Cap AlphaDEX(R) Fund - (NYSE Arca ticker "FMK")
Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit". Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index (1) First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index (1) First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index (1) First Trust Large Cap Value AlphaDEX(R) Fund Defined Large Cap Value Index (1) First Trust Large Cap Growth AlphaDEX(R) Fund Defined Large Cap Growth Index (1) First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index (1) First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (1) First Trust Mid Cap Value AlphaDEX(R) Fund Defined Mid Cap Value Index (1) First Trust Mid Cap Growth AlphaDEX(R) Fund Defined Mid Cap Growth Index (1) First Trust Small Cap Value AlphaDEX(R) Fund Defined Small Cap Value Index (1) First Trust Small Cap Growth AlphaDEX(R) Fund Defined Small Cap Growth Index (1) First Trust Mega Cap AlphaDEX(R) Fund Defined Mega Cap Index |
(1) This index is developed, maintained and sponsored by Standard & Poor's Financial Services LLC (as successor to Standard & Poor's, a Division of The McGraw-Hill Companies, Inc., "S&P"), and licensed to First Trust Portfolios L.P., the distributor of the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION:
Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Each Fund's securities will be valued as follows:
Securities listed on any exchange other than the NASDAQ Stock Market, Inc. ("NASDAQ") or the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
prices on such day. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities.
Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there is no official closing price on the valuation day, the securities are valued at the mean of the most recent bid and ask prices on such day.
Securities traded in the over-the-counter market, but excluding securities trading on the NASDAQ or the AIM, are valued at the closing bid prices.
Short-term investments that mature in less than 60 days when purchased are valued at amortized cost.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities including, but not limited to the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect the value of the security.
In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where there
are few transactions for 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 methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of July 31, 2012, is included with each Fund's Portfolio of Investments.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year are not known until after the REITs fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually.
On January 23, 2012, the Board of Trustees approved a change to quarterly dividends for each of the Funds. This change will be effective with the filing with the SEC of the annual update to each Fund's annual prospectus in November 2012.
Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from
U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the year ended July 31, 2012 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 3,513,526 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 1,639,580 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 765,930 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 3,138,591 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 1,045,280 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 533,761 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 134,015 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 63,030 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 6,080 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 27,780 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 9,945 -- --
First Trust Mega Cap AlphaDEX(R) Fund 74,860 -- --
|
The tax character of distributions paid by each Fund during the period ended July 31, 2011 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,696,550 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 829,065 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 276,075 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 1,524,286 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 626,975 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 335,071 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 59,430 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 4,020 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- --
First Trust Small Cap Value AlphaDEX(R) Fund 3,020 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund -- -- --
First Trust Mega Cap AlphaDEX(R) Fund 1,750 -- --
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
As of July 31, 2012, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------- ----------------- -----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 285,819 $ (30,077,227) $ 5,211,412
First Trust Mid Cap Core AlphaDEX(R) Fund 84,604 (35,334,181) (1,413,625)
First Trust Small Cap Core AlphaDEX(R) Fund -- (13,585,341) 666,095
First Trust Large Cap Value AlphaDEX(R) Fund 201,533 (15,373,589) (7,630,465)
First Trust Large Cap Growth AlphaDEX(R) Fund 107,852 (36,007,524) 11,385,125
First Trust Multi Cap Value AlphaDEX(R) Fund 25,971 (6,433,606) (2,391,324)
First Trust Multi Cap Growth AlphaDEX(R) Fund 14,463 (10,617,307) 2,471,213
First Trust Mid Cap Value AlphaDEX(R) Fund 1,898 (294,093) (312,460)
First Trust Mid Cap Growth AlphaDEX(R) Fund 6,020 (1,568,713) 214,399
First Trust Small Cap Value AlphaDEX(R) Fund -- (185,745) (455,014)
First Trust Small Cap Growth AlphaDEX(R) Fund -- (1,213,121) 583,375
First Trust Mega Cap AlphaDEX(R) Fund 9,762 (906,308) (13,574)
|
D. INCOME TAXES:
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distribution from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2009, 2010, 2011 and 2012 remain open to federal and state audit. As of July 31, 2012, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At July 31, 2012, the Funds had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Available Available Effective - Capital
through through through through through No Loss
July 31, 2015 July 31, 2016 July 31, 2017 July 31, 2018 July 31, 2019 Expiration Available
------------- ------------- ------------- ------------- ------------- ------------- -----------
First Trust Large Cap Core
AlphaDEX(R) Fund $ 15,102 $ 8,528 $ 2,600,275 $ 2,800,653 $1,020,863 $23,631,806 $30,077,227
First Trust Mid Cap Core
AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,119,642 1,502,304 29,633,968 35,334,181
First Trust Small Cap Core
AlphaDEX(R) Fund 14,770 111,735 1,882,188 1,600,982 1,258,833 8,716,833 13,585,341
First Trust Large Cap Value
AlphaDEX(R) Fund 1,854 80,299 2,272,260 5,098,300 298,768 7,622,108 15,373,589
First Trust Large Cap Growth
AlphaDEX(R) Fund -- 162,514 10,217,162 3,224,180 1,803,151 20,600,517 36,007,524
First Trust Multi Cap Value
AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,180,819 322,362 3,533,112 6,433,606
First Trust Multi Cap Growth
AlphaDEX(R) Fund 26,562 241,100 2,554,292 1,438,794 345,171 6,011,388 10,617,307
First Trust Mid Cap Value
AlphaDEX(R) Fund -- -- -- -- -- 294,093 294,093
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Available Available Effective - Capital
through through through through through No Loss
July 31, 2015 July 31, 2016 July 31, 2017 July 31, 2018 July 31, 2019 Expiration Available
------------- ------------- ------------- ------------- ------------- ------------- -----------
First Trust Mid Cap Growth
AlphaDEX(R) Fund $ -- $ -- $ -- $ -- $ -- $ 1,568,713 $ 1,568,713
First Trust Small Cap Value
AlphaDEX(R) Fund -- -- -- -- -- 185,745 185,745
First Trust Small Cap Growth
AlphaDEX(R) Fund -- -- -- -- -- 1,213,121 1,213,121
First Trust Mega Cap
AlphaDEX(R) Fund -- -- -- -- -- 906,308 906,308
|
In order to present paid-in capital and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2012, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (11,716,720) $ 11,716,720
First Trust Mid Cap Core AlphaDEX(R) Fund 4,639 (6,632,358) 6,627,719
First Trust Small Cap Core AlphaDEX(R) Fund 9,843 (3,341,118) 3,331,275
First Trust Large Cap Value AlphaDEX(R) Fund -- (11,849,846) 11,849,846
First Trust Large Cap Growth AlphaDEX(R) Fund 66,953 (6,428,750) 6,361,797
First Trust Multi Cap Value AlphaDEX(R) Fund -- (4,410,627) 4,410,627
First Trust Multi Cap Growth AlphaDEX(R) Fund 7,247 (1,959,716) 1,952,469
First Trust Mid Cap Value AlphaDEX(R) Fund -- (734,766) 734,766
First Trust Mid Cap Growth AlphaDEX(R) Fund 57 (149,743) 149,686
First Trust Small Cap Value AlphaDEX(R) Fund 32 (367,445) 367,413
First Trust Small Cap Growth AlphaDEX(R) Fund 1,788 (268,527) 266,739
First Trust Mega Cap AlphaDEX(R) Fund -- (31,136) 31,136
|
E. EXPENSES:
Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid CapValue AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, for which expenses other than excluded expenses (discussed in Note 3) are paid by First Trust Advisors L.P. ("First Trust" or the "Advisor"). General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with Standard & Poor's for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and tradenames. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds.
F. ACCOUNTING PRONOUNCEMENTS:
In April 2011, the Financial Accounting Standards Board ("FASB") released Accounting Standards Update ("ASU") No. 2011-03, "Reconsideration of Effective Control for Repurchase Agreements." This ASU amends FASB Accounting Standards Codification ("ASC") Topic 860, "Transfers and Servicing"; specifically the criteria required to determine whether a repurchase agreement and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. This ASU is effective for fiscal years and interim
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
periods beginning on or after December 15, 2011. Management has concluded that the adoption of ASU No. 2011-03 is not expected to have a material impact on the Funds' financial statements and the accompanying notes, net assets or results of operations.
In May 2011, FASB issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs", modifying Topic 820, "Fair Value Measurements and Disclosures". At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, "Fair Value Measurement." The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose (i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, (ii) for Level 3 fair value measurements, quantitative information about significant unobservable inputs used, (iii) a description of the valuation processes used by the reporting entity, and (iv) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the updated standards on the Funds' financial statements, if any.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain other services necessary for the management of the Funds.
For the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust Mega Cap AlphaDEX(R) Fund (such Funds, the "Unitary Fee Funds"), First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and excluding distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, taxes, interest, and extraordinary expenses.
For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of such Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which the Advisor has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2013.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by the Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts, if any, would be included in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the year ended July 31, 2012 and the expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows:
Expenses Borne by Advisor Subject to Recovery
---------------------------------------------------------------------
Advisory Expense Year Year Year
Fee Reim- Ended Ended Ended
Waivers bursements July 31, 2010 July 31, 2011 July 31, 2012 Total
----------- ----------- ------------- ------------- ------------- -----------
First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ -- $ -- $ -- $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund -- -- -- -- -- --
First Trust Small Cap Core AlphaDEX(R) Fund -- -- 53,176 31,316 -- 84,492
First Trust Large Cap Value AlphaDEX(R) Fund -- -- 22,492 15,536 -- 38,028
First Trust Large Cap Growth AlphaDEX(R) Fund -- -- 40,938 22,615 -- 63,553
First Trust Multi Cap Value AlphaDEX(R) Fund 44,672 -- 41,081 48,799 44,672 134,552
First Trust Multi Cap Growth AlphaDEX(R) Fund 44,292 -- 49,427 48,197 44,292 141,916
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Trust. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Effective January 23, 2012, James A. Bowen resigned from his position as the President and Chief Executive Officer of the Trust. He will continue as a Trustee, the Chairman of the Board of Trustees and a member of the Executive Committee. The Board elected Mark R. Bradley to serve as the President and Chief Executive Officer of the Trust and James M. Dykas to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Trust.
Effective January 1, 2012, each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer of $125,000 per year and an annual per fund fee of $4,000 for each closed-end fund or other actively managed fund and $1,000 for each index fund in the First Trust Fund Complex. The fixed annual retainer is allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, each Independent Trustee received an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each additional trust in the First Trust Fund Complex. The annual retainer was allocated equally among each of the trusts.
Additionally, the Lead Independent Trustee is paid $15,000 annually, the Chairman of the Audit Committee is paid $10,000 annually, and each of the Chairmen of the Nominating and Governance Committee and the Valuation Committee is paid $5,000 annually to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Prior to January 1, 2012, the annual amounts paid were $10,000, $5,000 and $2,500, respectively. Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and each Committee chairman will serve two-year terms before rotating to serve as chairman of another committee or as Lead Independent Trustee. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the year ended July 31, 2012, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 280,857,240 $ 280,105,297
First Trust Mid Cap Core AlphaDEX(R) Fund 262,737,554 264,572,785
First Trust Small Cap Core AlphaDEX(R) Fund 136,125,512 135,962,244
First Trust Large Cap Value AlphaDEX(R) Fund 179,462,794 179,169,020
First Trust Large Cap Growth AlphaDEX(R) Fund 207,929,420 207,914,899
First Trust Multi Cap Value AlphaDEX(R) Fund 39,655,693 39,607,560
First Trust Multi Cap Growth AlphaDEX(R) Fund 46,394,664 46,432,321
First Trust Mid Cap Value AlphaDEX(R) Fund 6,517,458 6,497,953
First Trust Mid Cap Growth AlphaDEX(R) Fund 18,533,187 18,514,789
First Trust Small Cap Value AlphaDEX(R) Fund 3,506,735 3,467,560
First Trust Small Cap Growth AlphaDEX(R) Fund 9,970,252 10,352,894
First Trust Mega Cap AlphaDEX(R) Fund 10,652,695 10,632,505
|
For the year ended July 31, 2012, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 190,086,108 $ 134,382,845
First Trust Mid Cap Core AlphaDEX(R) Fund 179,426,927 185,983,105
First Trust Small Cap Core AlphaDEX(R) Fund 67,339,317 42,752,930
First Trust Large Cap Value AlphaDEX(R) Fund 147,360,036 83,464,627
First Trust Large Cap Growth AlphaDEX(R) Fund 60,542,268 64,673,547
First Trust Multi Cap Value AlphaDEX(R) Fund 35,908,654 27,927,650
First Trust Multi Cap Growth AlphaDEX(R) Fund 14,605,170 21,065,509
First Trust Mid Cap Value AlphaDEX(R) Fund 10,691,981 4,054,859
First Trust Mid Cap Growth AlphaDEX(R) Fund 21,725,383 11,365,932
First Trust Small Cap Value AlphaDEX(R) Fund 7,932,515 3,880,856
First Trust Small Cap Growth AlphaDEX(R) Fund 7,088,962 3,395,530
First Trust Mega Cap AlphaDEX(R) Fund 15,835,326 8,152,204
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
5. CREATION, REDEMPTION & TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
-------------------- --------------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes.
Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
-------------------- --------------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees before November 30, 2013.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Fund"), including the portfolios of investments, as of July 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2012 by correspondence with the Fund's custodian and brokers; where replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2012, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ DELOITTE & TOUCHE LLP Chicago, Illinois September 27, 2012 |
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012 (UNAUDITED)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the 12-months ended July 31, 2012 is available
(1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's website at http://www.sec.gov.
Portfolio Holdings
The Trust files its complete schedule of each Fund's portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling
(800) 988-5891; (2) on the Trust's website located at
http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.
Federal Tax Information
For the taxable year ended July 31, 2012, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction
----------------------------
First Trust Large Cap Core AlphaDex Fund 100.00%
First Trust Mid Cap Core AlphaDex Fund 100.00%
First Trust Small Cap Core AlphaDex Fund 100.00%
First Trust Large Cap Growth AlphaDex Fund 100.00%
First Trust Large Cap Value AlphaDex Fund 100.00%
First Trust Multi Cap Growth AlphaDex Fund 100.00%
First Trust Multi Cap Value AlphaDex Fund 100.00%
First Trust Mid Cap Growth AlphaDex Fund 100.00%
First Trust Mid Cap Value AlphaDex Fund 100.00%
First Trust Small Cap Growth AlphaDex Fund 100.00%
First Trust Small Cap Value AlphaDex Fund 100.00%
First Trust Mega Cap AlphaDex Fund 100.00%
|
For the taxable year ended July 31, 2012, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
-------------------------
First Trust Large Cap Core AlphaDex Fund 100.00%
First Trust Mid Cap Core AlphaDex Fund 100.00%
First Trust Small Cap Core AlphaDex Fund 100.00%
First Trust Large Cap Growth AlphaDex Fund 100.00%
First Trust Large Cap Value AlphaDex Fund 100.00%
First Trust Multi Cap Growth AlphaDex Fund 100.00%
First Trust Multi Cap Value AlphaDex Fund 100.00%
First Trust Mid Cap Growth AlphaDex Fund 100.00%
First Trust Mid Cap Value AlphaDex Fund 100.00%
First Trust Small Cap Growth AlphaDex Fund 100.00%
First Trust Small Cap Value AlphaDex Fund 100.00%
First Trust Mega Cap AlphaDex Fund 100.00%
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012 (UNAUDITED)
ADVISORY AGREEMENT
Board Considerations Regarding Approval of Investment Management Agreement
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following seven series of the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
The Board approved the continuation of the Agreement for a one-year period ending March 31, 2013, for each Fund at a meeting held on March 11-12, 2012. The Board of Trustees determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the services, expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged to a peer group of Funds compiled by Lipper Inc. ("Lipper"), an independent source (the "Lipper Expense Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other exchange-traded funds ("ETFs") managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's Lipper Expense Group; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P.; and a summary of the Advisor's compliance program. Following receipt of this information, counsel to the Independent Trustees posed follow-up questions to the Advisor, and the Independent Trustees and their counsel then met separately to discuss the information provided by the Advisor, including the supplemental responses. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's investment advisory fee. The Board also considered that the Agreement was approved by shareholders of each Fund at meetings held in December 2010.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. In light of the information presented and the considerations made, the Board concluded that the nature, quality and extent of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective and policies.
The Board considered the advisory fees payable by each Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2013. For each Fund, the Board noted that expenses borne by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the fee or expense was incurred, but
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012 (UNAUDITED)
no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne by the Advisor. The Board considered the fees charged by the Advisor to other ETFs and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the fees charged to the Funds. In addition, the Board received data prepared by Lipper showing the management fees and expense ratios of each Fund as compared to the Fund's Lipper Expense Group. Because each Fund's Lipper Expense Group included peer funds that pay a unitary fee, the Board determined that the Funds' expense ratios were the more relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median of the Fund's Lipper Expense Group. The Board discussed with representatives of the Advisor the limitations in creating a relevant peer group for each Fund, including that (i) many of the Funds are unique in their composition, which makes assembling peers with similar strategies and asset mix difficult and (ii) Lipper omitted certain peer funds due to size that are otherwise logical and appropriate comparisons based on style, strategy and objective. The Board took these limitations into account in considering the Lipper data. The Board also considered information regarding First Trust ETFs from a February 2012 report from Cogent Research on ETF investors.
The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund was consistent with the target set forth in the Fund's prospectus. In addition, the Board received data prepared by Lipper comparing each Fund's performance to a peer group selected by Lipper (the "Lipper Performance Group") and to a broad-based benchmark. In reviewing each Fund's performance as compared to the performance of the Fund's Lipper Performance Group, the Board took into account the limitations described above with respect to creating relevant peer groups for the Funds.
On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fees for each Fund were reasonable and appropriate in light of the nature, quality and extent of services provided by the Advisor to each Fund under the Agreement.
The Board noted that the Advisor has continued to invest in personnel and infrastructure and considered whether fee levels reflect any economies of scale for the benefit of shareholders. The Board concluded that the advisory fee for each Fund reflects an appropriate level of sharing of any economies of scale at current asset levels. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2011, as set forth in the materials provided to the Board. Based on the information provided, the Board concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund for calendar year 2011 were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of Trust and each Fund. No single factor was determinative in the Board's analysis.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2012 (UNAUDITED)
The Trust's respective statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
Number of
Portfolios in
Term of Office the First Trust Other
Name, Address, and Year First Fund Complex Trusteeships or
Date of Birth and Elected or Principal Occupations Overseen by Directorships
Position with the Trust Appointed During Past 5 Years Trustee Held by Trustee
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton Orthope- 93 None
c/o First Trust Advisors L.P. dics; Co-Owner and Co-Director (January
120 E. Liberty Drive, o Since Inception 1996 to May 2007), Sports Med Center for
Suite 400 Fitness; Limited Partner, Gundersen Real
Wheaton, IL 60187 Estate Limited Partnership; Member,
D.O.B.: 04/51 Sportsmed LLC
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to present), Senior 93 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), Vice President Inc. and ADM
Suite 400 and Chief Financial Officer (1990 to May Investor Services,
Wheaton, IL 60187 2007), ADM Investor Services, Inc. International
D.O.B.: 11/57 (Futures Commission Merchant)
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 93 None
c/o First Trust Advisors L.P. Enterprises (Financial and Management
120 E. Liberty Drive, o Since Inception Consulting)
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term President and Chief Executive Officer 93 Director of
c/o First Trust Advisors L.P. (June 2012 to Present), Dew Learning LLC Covenant
120 E. Liberty Drive, o Since Inception (Educational Products and Services); Transport Inc.
Suite 400 President (June 2002 to June 2012),
Wheaton, IL 60187 Covenant College
D.O.B.: 03/54
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 to 93 None
Chairman of the Board Present), President (until December 2010),
120 E. Liberty Drive, o Since Inception First Trust Advisors L.P. and First Trust
Suite 400 Portfolios L.P.; Chairman of the Board of
Wheaton, IL 60187 Directors, BondWave LLC
D.O.B.: 09/55 (Software Development Company/
Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2012 (UNAUDITED)
Position and Term of Office
Name, Address Offices and Length of Principal Occupations
and Date of Birth with Trust Service During Past 5 Years
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(2)
------------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley President and Chief Executive o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Officer and Chief Financial Officer, First Trust Advisors L.P.
Suite 400 o Since January 2012 and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Officer, BondWave LLC (Software Development
D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
James M. Dykas Treasurer, Chief Financial o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, Officer and Chief Accounting President (April 2007 to Present), Vice President
Suite 400 Officer o Since January 2012 (January 2005 to April 2007), First Trust Advisors
Wheaton, IL 60187 L.P. and First Trust Portfolios L.P.
D.O.B.: 01/66
Rosanne Gatta Assistant Secretary o Indefinite Term Board Liaison Associate (July 2010 to Present), First
120 E. Liberty Drive, Trust Advisors L.P. and First Trust Portfolios L.P.;
Suite 400 o Since March 2011 Assistant Vice President (February 2001 to July
Wheaton, IL 60187 2010), PNC?Global Investment Servicing
D.O.B.: 07/55
W. Scott Jardine Secretary o Indefinite Term General Counsel, First Trust Advisors L.P. and First
120 E. Liberty Drive, Trust Portfolios L.P.; Secretary, BondWave LLC
Suite 400 o Since Inception (Software Development Company/Investment Advisor)
Wheaton, IL 60187 and Stonebridge Advisors LLC (Investment Advisor)
D.O.B.: 05/60
Erin E. Klassman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to Present),
120 E. Liberty Drive, Associate Counsel (March 2006 to October 2007),
Suite 400 o Since June 2009 First Trust Advisors L.P. and First Trust Portfolios
Wheaton, IL 60187 L.P.; Associate Attorney (November 2003 to March
D.O.B.: 08/76 2006), Doyle & Bolotin, Ltd.
Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to
120 E. Liberty Drive, Present), Vice President (April 2004 to September
Suite 400 o Since Inception 2005), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 02/70
Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present),
120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios
Suite 400 o Since July 2008 L.P.; Vice President (May 1998 to January 2008), Van
Wheaton, IL 60187 Kampen Asset Management and Morgan Stanley
D.O.B.: 07/58 Investment Management
Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel (May 2007 to Present),
120 E. Liberty Drive, Chief Compliance Officer Assistant General Counsel (March 2004 to May
Suite 400 o Since Inception 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 12/66
Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present),
120 E. Liberty Drive, Vice President (August 2001 to November 2003), First
Suite 400 o Since Inception Trust Advisors L. P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Vice President (August 2005 to Present), First Trust
120 E. Liberty Drive, Advisors L.P. and First Trust Portfolios L.P; Vice
Suite 400 o Since Inception President (May 2004 to August 2005), BondWave LLC
Wheaton, IL 60187 (Software Development Company/Investment Advisor)
D.O.B.: 11/70
|
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012 (UNAUDITED)
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the Funds.
Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments.
An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund.
Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index.
Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index.
Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track.
Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund.
Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds.
Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence.
Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2012 (UNAUDITED)
The First Trust Multi Cap Value AlphaDEX(R) Fund, the First Trust Multi Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund and the First Trust Small Cap Growth AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies.
The First Trust Large Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price.
The First Trust Large Cap Growth AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes.
Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value AlphaDEX(R) Fund, the First Trust Large Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund and the First Trust Mega Cap AlphaDEX(R) Fund normally invests at least 90% of its assets in common stocks that comprise the Index upon which it is based. The securities of companies represented in the Index upon which each Fund is based generally have market capitalizations that are consistent with the name of the Index. For purposes of determining the market capitalization range of such securities, the Fund will use the current range of the Index upon which it is based. However, the Fund will not be forced to sell a stock because the stock has exceeded or fallen below the current market capitalization range of the Index. Because of market movement, there can be no assurance that the securities in a Fund will stay within a given market capitalization range. As a result, each Fund may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range.
Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of a Fund's assets can decline as can the value of a Fund's distributions. Common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase.
The Funds may invest in non-U.S. securities publicly traded in the United
States. Securities issued by non-U.S. companies present risks beyond those of
securities of U.S. issuers. Risks of investing in non-U.S. securities include:
different accounting standards; expropriation, nationalization or other adverse
political or economic developments; currency devaluation, blockages or transfer
restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions
on non-U.S. investments and exchange of securities; and less government
supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S.
securities also may be more volatile.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
PRIVACY POLICY OF FIRST TRUST PORTFOLIOS L.P. AND FIRST TRUST ADVISORS L.P.
("FIRST TRUST")
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;
o Information about your transactions with us, our affiliates or others;
o Information we receive from your inquiries by mail, e-mail or telephone; and
o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:
o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.
o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.
PRIVACY ONLINE
We allow third-party companies, including AddThis (a social media sharing service), to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).
September 2012
This page is intentionally left blank.
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.
(d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions.
(e) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas
R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for 2011 and $430,500 for 2012.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2011 and $0 for 2012.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2011 and $0 for 2012.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $60,242.86 for 2011 and $68,250.00 for 2012. These fees were for tax consultation.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2011 and $0 for 2012.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2010 and $0 for 2011.
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $3,720.00 for 2011 and $6,600.00 for 2012 for the Adviser and $35,433.00 for 2011 and $86,065 for 2012 for the Distributor.
(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% |
(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2010 were $66,000 for the registrant, $36,000 for the registrant's investment adviser and $37,300 for the registrant's distributor, and for 2011 were $60,242.86 for the registrant, $3,720 for the registrant's investment adviser and $35,433 for the registrant's distributor.
(h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a) (3) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded AlphaDEX(R) Fund
-------------------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date September 24, 2012
-----------------------
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
|
By (Signature and Title)* /s/ James M. Dykas
------------------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
|
* Print the name and title of each signing officer under his or her signature.
1 Year Fusion Antibodies Chart |
1 Month Fusion Antibodies Chart |
It looks like you are not logged in. Click the button below to log in and keep track of your recent history.
Support: +44 (0) 203 8794 460 | support@advfn.com
By accessing the services available at ADVFN you are agreeing to be bound by ADVFN's Terms & Conditions
Hot Features
Premium
