First Trust Exchange-Traded AlphaDEX(R) Fund 120 East Liberty Drive, Suite 400 Wheaton, Illinois 60187 May 9, 2011 Securities and Exchange Commission 100 F Street, N.E. Washington, DC 20549 Re: First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") Ladies and Gentlemen: The undersigned, First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant") and First Trust Portfolios L.P., the principal underwriter of the Funds, pursuant to the provisions of Rule 461 of the General Rules and Conditions of the Securities and Exchange Commission (the "Commission") under the Securities Act of 1933, as amended, hereby respectfully request that the Commission grant acceleration of the effectiveness of Post-Effective Amendment No. 15 to the Registrant's Registration Statement on Form N-1A (Registration No. 333-140895), filed on May 9, 2011, so that the same may become effective at 3:00 p.m., Eastern Time on May 10, 2011, or as soon thereafter as practicable. Very truly yours, First Trust Exchange-Traded AlphaDEX(R) Fund By: /s/ W. Scott Jardine ------------------------------------ W. Scott Jardine, Secretary First Trust Portfolios L.P. By: /s/ W. Scott Jardine ------------------------------------ W. Scott Jardine, Secretary