UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21774
First Trust Exchange-Traded Fund
(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
Lisle, Illinois 60532
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
Lisle, Illinois 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-241-4141
Date of fiscal year end: December 31
Date of reporting period: June 30, 2008
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's semi-annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is attached herewith:
[LOGO OMITTED] FIRST TRUST
First Trust Exchange-Traded Fund
First Trust Dow Jones Select MicroCap Index(SM) Fund
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund
First Trust IPOX-100 Index Fund
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund
First Trust NASDAQ-100-Technology Sector Index(SM) Fund
First Trust Amex(R) Biotechnology Index Fund
First Trust Dow Jones Internet Index(SM) Fund
First Trust DB Strategic Value Index Fund
First Trust Value Line(R) Equity Allocation Index Fund
First Trust Value Line(R) Dividend Index Fund
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
First Trust S&P REIT Index Fund
First Trust ISE Water Index Fund
First Trust ISE-Revere Natural Gas Index Fund
First Trust ISE Chindia Index Fund
First Trust Value Line(R) 100 Exchange-Traded Fund
|--------------------------|
| Semi-Annual Report |
| June 30, 2008 |
|--------------------------|
Front Cover
Table of Contents
First Trust Exchange-Traded Fund
June 30, 2008
Shareholder Letter...........................................................2
Market Overview..............................................................3
Fund Performance Overview
First Trust Dow Jones Select MicroCap Index(SM) Fund......................4
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund................5
First Trust IPOX-100 Index Fund...........................................6
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund .....................7
First Trust NASDAQ-100-Technology Sector Index(SM) Fund ..................8
First Trust Amex(R) Biotechnology Index Fund .............................9
First Trust Dow Jones Internet Index(SM) Fund ...........................10
First Trust DB Strategic Value Index Fund ...............................11
First Trust Value Line(R) Equity Allocation Index Fund ..................12
First Trust Value Line(R) Dividend Index Fund ...........................13
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund ..............15
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund .......16
First Trust S&P REIT Index Fund .........................................18
First Trust ISE Water Index Fund ........................................19
First Trust ISE-Revere Natural Gas Index Fund ...........................20
First Trust ISE Chindia Index Fund ......................................21
First Trust Value Line(R) 100 Exchange-Traded Fund ......................22
Notes to Fund Performance Overview..........................................24
Understanding Your Fund Expenses............................................25
Portfolio of Investments
First Trust Dow Jones Select MicroCap Index(SM) Fund.....................27
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund...............31
First Trust IPOX-100 Index Fund..........................................33
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund ....................36
First Trust NASDAQ-100-Technology Sector Index(SM) Fund .................38
First Trust Amex(R) Biotechnology Index Fund ............................39
First Trust Dow Jones Internet Index(SM) Fund ...........................40
First Trust DB Strategic Value Index Fund ...............................41
First Trust Value Line(R) Equity Allocation Index Fund ..................42
First Trust Value Line(R) Dividend Index Fund ...........................45
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund ..............48
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund .......50
First Trust S&P REIT Index Fund .........................................52
First Trust ISE Water Index Fund ........................................54
First Trust ISE-Revere Natural Gas Index Fund ...........................55
First Trust ISE Chindia Index Fund ......................................56
First Trust Value Line(R) 100 Exchange-Traded Fund ......................58
Statements of Assets and Liabilities........................................60
Statements of Operations....................................................64
Statements of Changes in Net Assets.........................................68
Financial Highlights........................................................74
Notes to Financial Statements...............................................84
Additional Information .....................................................94
Risk Considerations.........................................................97
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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 respective 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
First Trust Exchange-Traded Fund (the "Trust") 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 respective
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 series of the Trust described in this report
(individually, each such series is referred to as a "Fund" and collectively, the
"Funds") 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 the portfolios and presents data and analysis that
provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer
of the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by Mr. Carey 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
regulatory filings.
Page 1
Shareholder Letter
FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2008
Dear Shareholders:
The first half of 2008 has been challenging for the financial markets and for
many investors. Yet, regardless of the market, First Trust Advisors L.P. ("First
Trust") believes that in order to be successful in reaching your financial
goals, you should be invested for the long term. We also believe that investors
should seek professional help from a financial advisor who has been through many
types of markets, knows the range of investments available, and is committed to
bringing you investments suitable to your particular situation.
Our goal at First Trust has always been to provide a wide range of investment
products, including our family of exchange-traded funds, to help us meet the
challenge of maximizing our customers' financial opportunities. We have
continued to expand our product line to ensure that you have many choices to fit
your investment needs.
The report you hold will give you detailed information about the Funds that
comprise the First Trust Exchange-Traded Fund (the "Fund") for the period
covered by this report. It contains a performance analysis and a Fund recap.
Additionally, the report provides each Fund's financial statements for the
period covered by this report. I encourage you to read this document and discuss
it with your financial advisor.
First Trust has been through many types of markets and remains committed to
bringing you quality investment solutions regardless of the inevitable ups and
downs experienced in the market. We offer a variety of products that may fit
many financial plans to help those investors seeking long-term investment
success. As well, we are committed to making available up-to-date information
about your investments so you are always current on your portfolio.
We continue to value our relationship with you, and we thank you for the
opportunity to assist you in achieving your financial goals.
Sincerely,
/s/ James A. Bowen
James A. Bowen
President of First Trust Exchange-Traded Fund
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Page 2
Market Overview
FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2008
[PHOTO OMMITTED] ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER
FIRST TRUST ADVISORS L.P.
|
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has 21 years of experience as an Equity
and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst
("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY
The combination of continued weakness in the residential housing market, higher
energy prices, falling dollar, rising inflation and substantial losses taken by
financial institutions on subprime-related mortgage debt pushed stock indices
down both domestically and abroad in the first half of 2008. These and other
factors also slashed economic growth in the U.S. in the past few quarters. The
following data reflects the sharp deterioration in real Gross Domestic Product
("GDP") growth: third quarter of 2007 (+4.8%), fourth quarter of 2007 (-0.2%);
first quarter of 2008 (+0.9%) and second quarter of 2008 (+1.9%). While
technically not a recessionary environment (two consecutive quarters of negative
growth), this climate has had a similar impact on equity valuations.
Had the Federal Reserve Bank (the "Fed") not moved to aggressively lower
short-term lending rates (September 2007 through April 2008), the economy more
than likely would have slid into a full-fledged recession. Since it can take up
to nine months for a Fed rate action to impact the economy, we are encouraged by
the fact that five of the six rate cuts made by the Fed will reach the nine
month mark in the second half of 2008. All in all, during the period from
September 2007 through April 2008, the Fed lowered the federal funds target rate
from 5.25% to 2.00%.
U.S. STOCKS AND BONDS
The major U.S. stock indices posted negative returns across the board in the
first half of 2008, but mid-caps managed to continue to outpace large- and
small-caps even on the way down. The S&P 500 Index, S&P 400 Index (Mid-Caps) and
S&P 600 Index (Small-Caps) were down 11.9%, 3.9% and 7.1%, respectively. Of the
10 major sectors in the S&P 500 Index, only two were in positive territory over
the six-month span: Energy (+8.9%) and Materials (+1.3%). Both benefitted from
the weakness in the U.S. dollar and rising inflation. Only 27 of the 130
subsectors that comprise the S&P 500 Index were up, indicating a very broad
sell-off. Even many of the most recognizable blue chip names were not spared.
At the midpoint of 2008, Standard & Poor's is reporting that earnings estimates
for all of 2008 favor growth stocks over value stocks. With respect to the S&P
500 Index, growth stocks are expected to post a 13% rise in 2008 earnings per
share (EPS), vs. a 2% rise for the value stocks in the index. With respect to
the S&P 400 Index, growth stocks are expected to post a 23% rise in 2008 EPS,
vs. a 7% rise for the value stocks in the index. With respect to the S&P 600
Index, growth stocks are expected to post a 14% rise in 2008 EPS, vs. a 3% rise
for the value stocks in the index.
In the U.S. bond market, a clear delineation existed between investment-grade
debt and speculative-grade debt during the first half of 2008. The
speculative-grade debt sold-off in light of the weakness in economic activity.
The Lehman Brothers U.S. Corporate High Yield Index posted a total return of
-1.31% in the first half of 2008, compared to a gain of 2.38% for the Lehman
Brothers U.S. Treasury: Intermediate Index.
FOREIGN STOCKS AND BONDS
In the fourth quarter of 2007, there were some pundits touting the notion that
emerging countries were far enough along in their maturation process to decouple
from the U.S., allowing them to maintain superior growth rates irrespective of
the U.S.'s sluggishness. At the midpoint of 2008, we can comfortably proclaim
that we believe this notion to be false. We believe foreign economies are still
very much tethered to the economic climate in the U.S. The spike in inflation
alone resulting from the Fed's aggressive easing of monetary policy and
corresponding decline in the U.S. dollar significantly impacted those countries
that are big importers of natural resources, particularly oil and food
commodities. The International Monetary Fund's global GDP growth rate outlook
looks as follows: 5.0% (2007); 4.1% estimated (2008) and 3.9% estimated (2009).
The MSCI World (ex U.S.) and MSCI Emerging Markets indices declined by 9.31%
(USD) and 11.82% (USD) in the first half of 2008, according to Bloomberg.
Foreign bonds fared better than foreign equities during this same period. The
Lehman Brothers Global Aggregate Index and Global Emerging Markets Index
returned 3.53% and 0.68%, respectively, in the first half of 2008.
Page 3
Fund Performance Overview
FDM - FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
The First Trust Dow Jones Select MicroCap Index(SM) 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 Dow Jones Select
MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its total assets in common stocks that comprise the Index. The Index measures
the performance of selected U.S. micro-capitalization companies chosen from all
common stocks traded on the New York Stock Exchange ("NYSE(R)"), the American
Stock Exchange, Inc. ("AMEX") and The NASDAQ Stock Market, Inc. ("NASDAQ(R)")
that are comparatively liquid and have strong fundamentals relative to the
micro-capitalization segment as a whole. The Fund's shares are listed for
trading on the AMEX. The first day of secondary market trading in shares of the
Fund was 09/30/05.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (09/27/05) Inception (09/27/05)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -12.25% -22.36% -1.04% -0.38%
Market Value -12.23% -22.11% -0.84% -0.30%
INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM) -11.97% -21.77% 1.00% 0.36%
Russell 2000 Index -9.37% -16.19% 8.36% 2.95%
-----------------------------------------------------------------------------------------------------------------------------------
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(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The energy sector was the biggest contributor to portfolio performance over the
six months ended June 30, 2008, led by PetroQuest Energy, Inc., T-3 Energy
Services, Inc. and Pioneer Drilling Co. Consumer staples was the only other
sector to post a positive return for the six months ended June 30, 2008.
Information technology had the biggest negative impact on portfolio performance
on an absolute basis. Consumer discretionary and health care stocks also held
back portfolio performance.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
PetroQuest Energy, Inc. Dynamic Materials Corp.
Chart Industries, Inc. Flotek Industries, Inc.
T-3 Energy Services, Inc. Anchor BanCorp Wisconsin, Inc.
Darling International, Inc. Kemet Corp.
Pioneer Drilling Co. Calamos Asset Management, Inc., Class A
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Industrials 22.55%
Consumer Discretionary 14.51
Health Care 12.45
Financials 12.28
Information Technology 11.89
Energy 9.55
Consumer Staples 5.90
Materials 5.64
Telecommunication Services 2.91
Utilities 2.32
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Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Chart Industries, Inc. 1.59%
Darling International, Inc. 1.54
PetroQuest Energy, Inc. 1.33
ManTech International Corp., Class A 1.15
T-3 Energy Services, Inc. 1.15
Lindsay Corp. 1.09
Pioneer Drilling Co. 1.08
Private Bancorp, Inc. 1.08
Koppers Holdings, Inc. 1.00
Laclede Group (The), Inc. 0.95
------
Total 11.96%
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__________________________
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Dow Jones and Dow Jones Select MicroCap Index(SM) are trademarks of Dow Jones &
Company, Inc. and have been licensed for use. The Fund, based on the Dow Jones
Select MicroCap Index(SM), is not sponsored, endorsed, sold or promoted by Dow
Jones, and Dow Jones makes no representation regarding the advisability of
trading in the Fund.
Page 4
Fund Performance Overview (Continued)
FDL - FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
The First Trust Morningstar(R) Dividend Leaders(SM) Index 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
Morningstar(R) Dividend Leaders(SM) Index (the "Index"). The Fund will normally
invest at least 90% of its total assets in common stocks that comprise the
Index. The objective of the Index is to offer investors a benchmark for dividend
portfolios as well as a means to invest in a portfolio of stocks that have a
consistent record of growing dividends as well as the ability to sustain them.
The Index consists of the top 100 stocks, based on dividend yield, of the
securities listed on one of the three major exchanges (the New York Stock
Exchange ("NYSE(R)"), the American Stock Exchange, Inc. ("AMEX") or The NASDAQ
Stock Market, Inc. ("NASDAQ(R)")) that have been selected through the
application of Morningstar, Inc.'s proprietary multi-step screening process. The
Index is rebalanced four times annually in March, June, September and December.
The Fund's shares are listed for trading on the AMEX. The first day of secondary
market trading in shares of the Fund was 03/15/06.
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PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (03/09/06) Inception (03/09/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -25.92% -35.48% -20.05% -9.23%
Market Value -26.44% -35.47% -20.11% -9.26%
INDEX PERFORMANCE
Morningstar(R) Dividend Leaders(SM) Index -25.76% -35.25% -19.31% -8.86%
S&P 500 Index -11.91% -13.12% 5.16% 2.20%
-----------------------------------------------------------------------------------------------------------------------------------
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(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Financials, the largest sector weighting at a 51.6% average weight in the
portfolio over the six months ended June 30, 2008, was the worst performing
sector in the portfolio as deteriorating credit market conditions hurt
performance within the sector. Telecommunication services stocks also weighed on
overall portfolio performance as AT&T, Inc., one of the portfolio's largest
holdings, posted disappointing returns.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Merck & Co., Inc. Bank of America Corp.
Philip Morris International, Inc. Wachovia Corp.
Dominion Resources, Inc. Citigroup, Inc.
Nucor Corp. Pfizer, Inc.
Olin Corp. AT&T, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Financials 38.79%
Health Care 23.14
Telecommunications Services 15.32
Utilities 14.42
Consumer Discretionary 2.98
Materials 2.81
Consumer Staples 1.77
Industrials 0.77
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Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
AT&T, Inc. 8.93%
Pfizer, Inc. 8.84
Bank of America Corp. 8.72
Verizon Communications, Inc. 6.40
Merck & Co., Inc. 5.88
Wells Fargo & Co. 5.42
Bristol-Myers Squibb Co. 4.91
Wachovia Corp. 4.88
U.S. Bancorp 4.73
Eli Lilly & Co. 3.51
------
Total 62.22%
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____________________________
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Morningstar is a service mark of Morningstar, Inc. and has been licensed for
use. The First Trust Morningstar(R) Dividend Leaders(SM) Index Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar, Inc., nor does
this company make any representation regarding the advisability of investing in
the Fund.
Page 5
Fund Performance Overview (Continued)
FPX - FIRST TRUST IPOX-100 INDEX FUND
The First Trust IPOX-100 Index 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 IPOX-100 U.S. Index (the "Index"). The
Fund will normally invest at least 90% of its total assets in common stocks that
comprise the Index. The Index is a modified value-weighted price index measuring
the performance of the top 100 U.S. companies ranked quarterly by market
capitalization in the IPOX Global Composite Index. The Index utilizes a 10%
capping on all constituents and includes the 100 largest, typically best
performing and most liquid initial public offerings ("IPOs") of the U.S.
companies in the IPOX Global Composite Index. The IPOX Global Composite Index is
reconstituted regularly with IPOs being added to the IPOX Global Composite Index
at their seventh trading day upon "going public" and automatically exiting after
1,000 trading days or approximately four years thereafter. The Index is
reconstituted quarterly to reflect changes in the stock market values of the
IPOX Global Composite Index constituents and IPO activity during the past
quarter, with potential new companies entering the Index while other companies
reach 1,000 days in the Index and automatically drop out. The Fund's shares are
listed for trading on the AMEX. The first day of secondary market trading on
shares of the Fund was 04/13/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (04/12/06) Inception (04/12/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -7.30% -4.85% 17.84% 7.69%
Market Value -7.62% -4.81% 17.89% 7.71%
INDEX PERFORMANCE
IPOX-100 U.S. Index -7.03% -4.32% 19.41% 8.32%
Russell 3000 Index -11.04% -12.62% 3.63% 1.62%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Energy, led by top performers Continental Resources, Inc. and Alpha Natural
Resources, Inc., was the biggest contributor to the portfolio's return. Health
care was the only other sector to post a positive return over the period.
Financials had the largest negative impact on portfolio performance as continued
turmoil in the credit markets weighed on results. Consumer discretionary and
industrial stocks also posted returns that trailed the broad market, thus
hurting portfolio results.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
MasterCard, Inc., Class A Google, Inc., Class A
Continental Resources, Inc. NYSE Euronext
Alpha Natural Resources, Inc. Viacom, Inc., Class B
SandRidge Energy, Inc. SunPower Corp., Class A
CF Industries Holdings, Inc. MF Global Ltd.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Information Technology 34.20%
Consumer Staples 13.65
Energy 13.48
Consumer Discretionary 10.67
Industrials 8.03
Financials 7.44
Health Care 5.03
Materials 3.60
Telecomunication Services 2.64
Utilities 1.26
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Philip Morris International, Inc. 10.38%
Visa, Inc., Class A 10.17
Google, Inc., Class A 9.81
MasterCard, Inc., Class A 5.23
Time Warner Cable, Inc., Class A 3.92
Covidien Ltd. 3.63
First Solar, Inc. 3.30
Viacom, Inc., Class B 2.93
Western Union Co. 2.77
Spectra Energy Corp. 2.76
------
Total 54.90%
======
____________________________
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IPOX is a trademark of IPOX Schuster LLC, IPOX IPO Indexes and Derivatives
(patent pending).
Page 6
Fund Performance Overview (Continued)
QQEW - FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
The First Trust NASDAQ-100 Equal Weighted Index(SM) 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 NASDAQ-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its total assets in common stocks that comprise the Index. The Index is the
equal-weighted version of the NASDAQ-100 Index(R) which includes 100 of the
largest non-financial securities listed on The NASDAQ Stock Market, Inc.
("NASDAQ(R)") based on market capitalization. The Index contains the same
securities as the NASDAQ-100 Index(R) but each of the securities is initially
set at a weight of 1.00% of the Index and is rebalanced quarterly. The Fund's
shares are listed for trading on the NASDAQ(R). The first day of secondary
market trading in shares of the Fund was 04/25/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (04/19/06) Inception (04/19/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -12.38% -12.46% -3.26% -1.50%
Market Value -13.08% -12.41% -3.21% -1.48%
INDEX PERFORMANCE
NASDAQ-100 Equal Weighted Index(SM) -12.18% -11.98% -2.15% -0.98%
NASDAQ-100 Index(R) -11.68% -4.54% 7.08% 3.16%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Materials stocks posted strong returns over the period ended June 30, 2008 and
were the only sector to post a positive return. Consumer discretionary stocks
had the biggest negative impact on performance as the strength of consumer
spending was called into question over the period. Consumer staples also posted
weak returns, although a small weight (2.8% average weight in the portfolio over
the period) limited their impact on overall portfolio performance.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Vertex Pharmaceuticals, Inc. UAL Corp.
Celgene Corp. Garmin Ltd.
Steel Dynamics, Inc. Focus Media Holding Ltd., ADR
Marvell Technology Group Ltd. Apollo Group, Inc., Class A
BEA Systems, Inc. NVIDIA Corp.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Information Technology 44.21%
Consumer Discretionary 20.43
Health Care 15.93
Industrials 10.74
Telecommunication Services 3.61
Consumer Staples 2.93
Materials 2.15
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Amgen, Inc. 1.18%
Genzyme Corp. 1.17
Celgene Corp. 1.15
Marvell Technology Group Ltd. 1.14
Vertex Pharmaceuticals, Inc. 1.14
Steel Dynamics, Inc. 1.13
Staples, Inc. 1.13
Teva Pharmaceuticals Industries Ltd., ADR 1.12
Applied Materials, Inc. 1.11
Activision, Inc. 1.10
------
Total 11.37%
======
_______________________
|
NASDAQ(R), NASDAQ-100, NASDAQ-100 Index(R), and NASDAQ-100 Equal Weighted
Index(SM) are trademarks of The NASDAQ Stock Market, Inc. (which with its
affiliates is referred to as the Corporations) and are licensed for use by First
Trust Advisors L.P. The Fund has not been passed on by the Corporations as to
its legality or suitability. The Fund is not issued, endorsed, sold, or promoted
by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY
WITH RESPECT TO THE FUND.
Page 7
Fund Performance Overview (Continued)
QTEC - FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
The First Trust NASDAQ-100-Technology Sector Index(SM) 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
NASDAQ-100 Technology Sector Index(SM) (the "Index"). The Fund will normally
invest at least 90% of its total assets in common stocks that comprise the
Index. The Index is an equal-weighted index based on the securities of the
NASDAQ-100 Index(R) that are classified as "technology" according to the
Industry Classification Benchmark classification system. The NASDAQ-100 Index(R)
includes 100 of the largest domestic and international non-financial companies
listed on The NASDAQ Stock Market, Inc. ("NASDAQ(R)") based on market
capitalization. The Fund's shares are listed for trading on the NASDAQ(R). The
first day of secondary market trading in shares of the Fund was 04/25/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (04/19/06) Inception (04/19/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -9.26% -10.71% -2.45% -1.12%
Market Value -9.30% -10.79% -2.45% -1.12%
INDEX PERFORMANCE
NASDAQ-100 Technology Sector Index(SM) -9.00% -10.17% -1.28% -0.59%
S&P 500 Information Technology Index -13.07% -7.53% 4.09% 1.84%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Marvell Technology Group Ltd. was the biggest contributor to performance over
the six months ended June 30, 2008 as the maker of chips for Blackberries and
iPhones reported earnings that surpassed expectations. BEA Systems, Inc. boosted
performance as the business software maker was acquired by Oracle during the
period. NVIDIA Corp. was the biggest drag on performance after the graphics chip
maker reported disappointing results over the period.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Marvell Technology Group Ltd. NVIDIA Corp.
BEA Systems, Inc. Cadence Design Systems, Inc.
Xilinx, Inc. SanDisk Corp.
Symantec Corp. Sun Microsystems, Inc.
Broadcom Corp. Juniper Networks, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Information Technology 100.00%
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Marvell Technology Group Ltd. 3.00%
Applied Materials, Inc. 2.93
Microsoft Corp. 2.90
Broadcom Corp., Class A 2.89
Check Point Software Technologies Ltd. 2.77
Symantec Corp. 2.77
Intuit, Inc. 2.75
KLA-Tencor Corp. 2.75
VeriSign, Inc. 2.74
QUALCOMM, Inc. 2.73
------
Total 28.23%
======
_______________________
|
NASDAQ(R), NASDAQ-100, NASDAQ-100 Index(R), and NASDAQ-100 Technology Sector
Index(SM) are trademarks of The NASDAQ Stock Market, Inc. (which with its
affiliates is referred to as the Corporations) and are licensed for use by First
Trust Advisors L.P. The Fund has not been passed on by the Corporations as to
its legality or suitability. The Fund is not issued, endorsed, sold, or promoted
by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY
WITH RESPECT TO THE FUND.
Page 8
Fund Performance Overview (Continued)
FBT - FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
The First Trust Amex(R) Biotechnology Index 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 Amex(R) Biotechnology Index(SM) (the
"Index"). The Fund will normally invest at least 90% of its total assets in
common stocks that comprise the Index. The Index is an equal dollar-weighted
index designed to measure the performance of a cross section of companies in the
biotechnology industry that are primarily involved in the use of biological
processes to develop products or provide services. Such processes include, but
are not limited to, recombinant DNA technology, molecular biology, genetic
engineering, monoclonal antibody-based technology, lipid/liposome technology,
and genomics. This Index is rebalanced quarterly based on closing prices on the
third Friday in January, April, July and October to ensure that each component
stock continues to represent approximately equal weight in the Index. The Fund's
shares are listed for trading on the AMEX. The first day of secondary market
trading in shares of the Fund was 06/23/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (06/19/06) Inception (06/19/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -6.52% -5.74% 14.10% 6.71%
Market Value -6.93% -5.74% 14.10% 6.71%
INDEX PERFORMANCE
Amex(R) Biotechnology Index(SM) -6.20% -5.11% 15.57% 7.38%
NASDAQ(R) Biotechnology Index -4.68% -0.82% 10.86% 5.20%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Millennium Pharmaceuticals, Inc. was the biggest contributor to the portfolio
return over the six months ended June 30, 2008, as it was acquired by Takeda
Pharmaceuticals at a 67% announced premium. Vertex Pharmaceuticals, Inc. also
posted strong returns aided by positive study results from its hepatitis C drug
Telaprevir. Affymetrix, Inc. had the most negative impact on returns after the
company reduced revenue forecasts due to reduced spending by pharmaceutical
companies.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Millennium Pharmaceuticals, Inc. Affymetrix, Inc.
Vertex Pharmaceuticals, Inc. Nektar Therapeutics
Celgene Corp. Human Genome Sciences, Inc.
Illumina, Inc. Amylin Pharmaceuticals, Inc.
Gilead Sciences, Inc. Applera Corp.- Celera Group
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Health Care 100.00%
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Vertex Pharmaceuticals, Inc. 6.79%
Illumina, Inc. 6.21
OSI Pharmaceuticals, Inc. 6.17
PDL BioPharma, Inc. 5.77
Amgen, Inc. 5.72
Cephalon, Inc. 5.52
Genentech, Inc. 5.45
Genzyme Corp. 4.96
Celgene Corp. 4.95
Gilead Sciences, Inc. 4.95
------
Total 56.49%
======
______________________
|
The Amex(R) Biotechnology Index(SM) is a trademark of the American Stock
Exchange LLC and is licensed for use by First Trust Advisors L.P. The Fund is
not sponsored or endorsed by the American Stock Exchange LLC. American Stock
Exchange LLC makes no representation or warranty, express or implied, to the
owners of the Fund or any member of the public regarding the advisability of
investing in the Fund or the ability of the Fund to track the performance of the
various sectors represented in the stock market. American Stock Exchange LLC has
no obligation to take the needs of the owners of the Fund into consideration in
determining, composing or calculating the Index. American Stock Exchange LLC is
not responsible for and has not participated in any determination or calculation
made with respect to issuance or redemption of the Fund.
Page 9
Fund Performance Overview (Continued)
FDN - FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
The First Trust Dow Jones Internet Index(SM) 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 Dow Jones Internet Composite
Index(SM) (the "Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Index. The Index represents companies
that generate the majority of their revenues via the Internet. The Index was
designed and is maintained according to a set of rules that were devised with
the goal of providing clear and accurate views of the growing Internet market
segment. The Index aims to consistently represent 80% of the float-adjusted
Internet equity universe. The Index contains two sub-indexes, the Dow Jones
Internet Commerce Index and the Dow Jones Internet Services Index. For its stock
to be eligible for the "universe," a company must generate at least 50% of
annual sales/revenues from the Internet, and be currently included in the Dow
Jones U.S. Index. The Fund's shares are listed for trading on the AMEX. The
first day of secondary market trading in shares of the Fund was 06/23/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (06/19/06) Inception (06/19/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -10.70% -13.65% 12.03% 5.76%
Market Value -11.05% -13.62% 12.08% 5.78%
INDEX PERFORMANCE
Dow Jones Internet Composite Index(SM) -10.46% -13.16% 13.28% 6.32%
S&P 500 Index -11.91% -13.12% 7.36% 3.56%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
BEA Systems, Inc. was the biggest contributor to the portfolio's return over the
six months ended June 30, 2008, as the firm was acquired by Oracle Corp. during
the period. Check Point Software Technologies Ltd. and Ariba, Inc. contributed
positively to portfolio results, as both reported solid earnings results over
the period. Amazon.com, Inc. was the biggest drag on performance after the
Internet retailer posted results that did not live up to lofty expectations.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
BEA Systems, Inc. Amazon.com, Inc.
Check Point Software Technologies Ltd. Google, Inc., Class A
Ariba, Inc. eBay, Inc.
CNET Networks, Inc. IAC/InterActiveCorp.
Priceline.com, Inc. Monster Worldwide, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Information Technology 71.19%
Consumer Discretionary 20.19
Financials 4.50
Health Care 2.18
Industrials 1.94
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
eBay, Inc. 10.44%
Google, Inc., Class A 10.17
Yahoo!, Inc. 9.78
Amazon.com, Inc. 9.72
Jupiner Networks, Inc. 9.13
Salesforce. Com 4.98
VeriSign, Inc. 4.96
Akamai Technologies, Inc. 4.56
TD Ameritrade Holding Corp. 3.45
Check Point Software Technologies Ltd. 3.29
------
Total 70.48%
======
_____________________
|
Dow Jones and Dow Jones Internet Composite Index(SM) are trademarks of Dow Jones
& Company, Inc. and have been licensed for use. The Fund, based on the Dow Jones
Internet Composite Index(SM), is not sponsored, endorsed, sold or promoted by
Dow Jones, and Dow Jones makes no representation regarding the advisability of
trading in the Fund.
Page 10
Fund Performance Overview (Continued)
FDV - FIRST TRUST DB STRATEGIC VALUE INDEX FUND
The First Trust DB Strategic Value Index 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 Deutsche Bank CROCI(R) US+ Index(TM)
(the "Index"). The objective of the Index is to identify companies that may be
undervalued based upon their "economic" price/earnings ratios. The Index is an
equal dollar-weighted index which is intended to reflect the total return
performance of 40 stocks with the lowest CROCI(R) Economic Price Earnings Ratios
determined by taking the 251 stocks with the highest market capitalization in
the S&P 500(R) Index and then excluding any stocks issued by financial
companies. The Fund will normally invest at least 90% of its total assets in
common stocks that comprise the Index. The Fund's shares are listed for trading
on the AMEX. The first day of secondary market trading in shares of the Fund was
07/11/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (07/06/06) Inception (07/06/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -7.84% -9.57% 12.53% 6.13%
Market Value -8.26% -9.68% 12.53% 6.13%
INDEX PERFORMANCE
Deutsche Bank CROCI(R) US+ Index(TM) -7.67% -9.14% 13.32% 6.50%
S&P 500 Value Index -16.04% -20.24% -3.25% -1.65%
------------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The energy sector was the biggest contributor to performance over the six months
ended June 30, 2008. The sector posted strong returns as sustained global
economic activity led to rising crude oil prices throughout the first half of
the year. Materials stocks also posted strong returns over the period, boosting
portfolio performance. The portfolio had no financial exposure as the Index does
not hold them. Consumer discretionary stocks were the biggest drag on absolute
portfolio performance, as consumer spending worries weighed on shares over the
period. Industrials and telecommunication services also posted returns that
trailed the overall market.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Apache Corp. Merck & Co., Inc.
Yahoo!, Inc. Ingersoll-Rand Co. Ltd.
Occidental Petroleum Corp. News Corp., Class A
Zimmer Holdings, Inc. CBS Corp., Class B
Nucor Corp. Sun Microsystems, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Health Care 28.47%
Consumer Discretionary 23.23
Energy 18.97
Information Technology 14.61
Industrials 9.43
Telecommunication Services 2.79
Materials 2.50
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Wyeth 2.91%
Amgen, Inc. 2.83
Sprint Nextel Corp. 2.79
Apache Corp. 2.77
Noble Corp. 2.75
Marathon Oil Corp. 2.74
ConocoPhilips 2.71
Chevron Corp. 2.67
Exxon Mobil Corp. 2.66
Xerox Corp. 2.66
------
Total 27.49%
======
________________________
|
"Deutsche Bank" and "Deutsche Bank CROCI(R) US+ Index(TM)" are service marks of
Deutsche Bank AG ("Deutsche Bank"). Deutsche Bank has no relationship to First
Trust or the Fund, other than the licensing of the Index and its service marks
for use in connection with the Fund.
Page 11
Fund Performance Overview (Continued)
FVI - FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
The First Trust Value Line(R) Equity Allocation Index 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 Value Line(R) Equity
Allocation Index (the "Index"). The Fund will normally invest at least 90% of
its total assets in common stocks that comprise the Index. The Index is designed
to objectively identify and select those stocks from the 1,700-stock Value
Line(R) universe across market capitalizations and investment styles for growth
and value that appear to have the greatest potential for capital appreciation.
The Index is rebalanced on a semi-annual basis on the fourth business day of the
week containing the third Friday of February and August. The Fund's shares are
listed for trading on the AMEX. The first day of secondary market trading in
shares of the Fund was 12/07/06.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (12/05/06) Inception (12/05/06)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -8.50% -10.74% -5.30% -3.41%
Market Value -8.76% -10.74% -5.25% -3.38%
INDEX PERFORMANCE
Value Line(R) Equity Allocation Index -8.15% -10.10% -4.49% -2.88%
Russell 3000 Index -11.04% -12.62% -6.30% -4.06%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Materials and energy were the best performing sectors and biggest contributors
to portfolio performance over the six months ended June 30, 2008. Both sectors
benefited from continued global economic growth over the period which pushed
many commodities to record highs. The financials sector had the biggest negative
impact on portfolio performance as continued credit market turmoil sent shares
of these stocks lower. Industrials and telecommunications stocks also posted
returns that trailed the broader market and held back portfolio performance.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Alpha Natural Resources, Inc. Bank of America Corp.
Massey Energy Co. CNH Global N.V.
Cleveland-Cliffs, Inc. XL Capital Ltd., Class A
Halliburton Co. International Paper Co.
Fording Canadian Coal Trust Garmin Ltd.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Financials 15.69%
Consumer Discretionary 14.49
Industrials 12.64
Consumer Staples 11.19
Materials 10.98
Information Technology 9.36
Health Care 8.49
Energy 8.48
Utilities 7.63
Telecommunication Services 1.05
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Halliburton Co. 1.90%
BHP Billiton Ltd. PLC, ADR 1.57
Diamond Offshore Drilling, Inc. 1.55
Nucor Corp. 1.50
Union Pacific Corp. 1.46
Alpha Natural Resources, Inc. 1.41
Wal-Mart Stores, Inc. 1.39
Southern Copper Corp. 1.35
Exxon Mobil Corp. 1.30
Estee Lauder (The) Cos., Inc., Class A 1.29
------
Total 14.72%
======
_________________________
|
"Value Line(R)" and "Value Line(R) Equity Allocation Index" are trademarks of
Value Line(R), Inc. and have been licensed for use for certain purposes by First
Trust on behalf of the Fund. The Fund, based on the Value Line(R) Equity
Allocation Index, is not sponsored, endorsed, sold, or promoted by Value
Line(R), Inc., and Value Line(R) makes no representation regarding the
advisability of investing in the Fund.
Page 12
Fund Performance Overview (Continued)
FVD - FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
The First Trust Value Line(R) Dividend Index 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 Value Line(R) Dividend
Index (the "Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Index. The Index is designed to
objectively identify and select those stocks from the universe of stocks of
which Value Line, Inc.(R) gives a Safety(TM) Ranking of #1 or #2 in the Value
Line(R) Safety(TM) Ranking System and have the potential to pay above-average
dividend and capital appreciation. The Index is rebalanced on a monthly basis.
The Fund's shares are listed for trading on the AMEX.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (08/19/03) Inception (08/19/03)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -9.74% -15.06% 40.67% 7.27%
Market Value -10.03% -15.01% 40.67% 7.27%
INDEX PERFORMANCE
Value Line(R) Dividend Index -9.45% -14.46% N/A N/A
S&P 500 Index -11.91% -13.12% 39.76% 7.12%
-----------------------------------------------------------------------------------------------------------------------------------
|
On December 15, 2006, the Fund acquired the assets and adopted the financial
and performance history of First Trust Value Line(R) Dividend Fund (the
"Predecessor FVD Fund," a closed-end fund), which had an inception date of
August 19, 2003. The inception date total returns at NAV include the sales
load of $0.675 per share on the initial offering. The investment goals,
strategies and policies of the Fund are substantially similar to those of the
Predecessor FVD Fund. The inception date of the Index was July 3, 2006.
Returns for the Index are only disclosed for those periods in which the Index
was in existence for the entire period. The cumulative total returns for the
period from the reorganization date (12/15/06) through period end (6/30/08)
were -13.03% and -12.62% at NAV and Market Value, respectively. That compares
to an Index return of -12.06% for the same period. The average annual returns
for the period from the reorganization date (12/15/06) through period end
(6/30/08) were -8.67% and -8.39% at NAV and Market Value, respectively. That
compares to an Index return of -7.99% for the same period.
NAV and Market Value returns assume that all dividend distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
December 15, 2006, NAV and Market Value returns assumed that all dividend
distributions were reinvested at prices obtained by the Dividend Reinvestment
Plan of the Predecessor FVD Fund and the price used to calculate Market Value
return was the AMEX closing market price of the Predecessor FVD Fund.
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The energy sector was the only sector to post a positive return in the portfolio
over the six months ended June 30, 2008. Utility shares (21.7% average weight in
the portfolio over the period) posted a small negative return although this
return was well ahead of the broader market. The financials sector was the
biggest drag on performance, as deteriorating credit market conditions weighed
on shares. The sector had the largest weight in the portfolio (27.8% average
weight in the portfolio over the period) and also turned in the second worst
performance. Consumer discretionary and telecommunication services stocks also
turned in performance that trailed the overall market.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
National Fuel Gas Co. Fifth Third Bancorp
Diebold, Inc. Gannett Co., Inc.
Snap-on, Inc. HNI Corp.
UDR, Inc. Bank of America Corp.
William Wrigley Jr. Co. XL Capital Ltd., Class A
___________________
|
"Value Line(R)" and "Value Line(R) Dividend Index" are trademarks of Value
Line(R), Inc. and have been licensed for use for certain purposes by First Trust
on behalf of the Fund. The Fund, based on the Value Line(R) Dividend Index, is
not sponsored, endorsed, sold, or promoted by Value Line(R), Inc., and Value
Line(R) makes no representation regarding the advisability of investing in the
Fund.
Page 13
Fund Performance Overview (Continued)
FVD - FIRST TRUST VALUE LINE (R) DIVIDEND INDEX FUND (CONTINUED)
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Financials 28.70%
Utilities 24.14
Consumer Staples 12.52
Consumer Discretionary 8.69
Industrials 8.03
Health Care 5.90
Materials 3.66
Energy 3.29
Telecommunication Services 2.54
Information Technology 2.53
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Novartis AG, ADR 0.69%
Bristol-Myers Squibb Co. 0.68
Royal Dutch Shell PLC, ADR 0.68
City National Corp. 0.67
Sanofi-Aventis, ADR 0.67
Total SA, ADR 0.67
BP PLC, ADR 0.66
Energy East Corp. 0.66
Sempra Energy 0.66
Zions Bancorporation 0.66
------
Total 6.70%
======
|
Page 14
Fund Performance Overview (Continued)
QQXT - FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
The First Trust NASDAQ-100 Ex-Technology Sector Index(SM)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 NASDAQ-100 Ex-Tech
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its total assets in common stocks that comprise the Index. The Index contains
securities of the NASDAQ-100 Index(R) that are not classified as "technology"
according to the Industry Classification Benchmark classification system and, as
a result, is a subset of the NASDAQ-100 Index(R). The NASDAQ-100 Index(R)
includes 100 of the largest domestic and international non-financial companies
listed on The Nasdaq Stock Market, Inc. ("NASDAQ(R)") based on market
capitalization. The Index is equally-weighted and is rebalanced four times
annually in March, June, September and December. The Fund's shares are listed
for trading on the NASDAQ(R). The first day of secondary market trading in
shares of the Fund was 02/15/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (02/08/07) Inception (02/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -14.52% -13.37% -9.43% -6.88%
Market Value -14.51% -13.33% -9.38% -6.85%
INDEX PERFORMANCE
NASDAQ-100 Ex-Tech Sector Index(SM) -14.34% -12.93% -7.11% -5.20%
Russell 1000 Index -11.20% -12.36% -8.67% -6.31%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The materials sector produced strong returns over the six months ended June 30,
2008 and was the only sector to post a positive return in the portfolio.
Telecommunication services and health care stocks also performed well relative
to the broader market. Consumer discretionary stocks were the biggest drag on
portfolio performance. The sector had the largest weight in the portfolio (31.3%
average weight in the portfolio over the period) and had the second worst
performance over the period. Industrial and consumer staples stocks also hurt
performance as both sectors posted returns that trailed the broader market.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Vertex Pharmaceuticals, Inc. UAL Corp.
Celgene Corp. Garmin Ltd.
Steel Dynamics, Inc. Focus Media Holding Ltd., ADR
Gilead Sciences, Inc. Apollo Group, Inc., Class A
Activision Blizzard, Inc. Whole Foods Market, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector (1) Investments
-------------------------------------------------------------------------
Consumer Discretionary 36.83%
Health Care 24.18
Industrials 17.11
Information Technology 8.98
Telecommunication Services 4.99
Consumer Staples 4.97
Materials 2.94
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Amgen, Inc. 1.90%
Genzyme Corp. 1.89
Celgene Corp. 1.85
Vertex Pharmaceuticals, Inc. 1.85
Steel Dynamics, Inc. 1.83
Staples, Inc. 1.82
Teva Pharmaceutical Industries Ltd., ADR 1.81
Activision, Inc. 1.78
Ryanair Holdings PLC, ADR 1.77
Costco Wholesale Corp. 1.75
------
Total 18.25%
======
|
(1) The above sector allocation is based on Standard & Poor's Global Industry
Classification Standard (GICS), and is different than the industry sector
classification system used by the Index to select securities, which is the
Industry Classification Benchmark (ICB) system, the joint classification system
of Dow Jones Indexes and FTSE Group.
NASDAQ, NASDAQ-100, NASDAQ-100 Index(R), and NASDAQ-100 Ex-Tech Sector Index(SM)
are trademarks of the NASDAQ Stock Market, Inc. (which with its affiliates is
referred to as the Corporations) and are licensed for use by First Trust
Advisors L.P. The Fund has not been passed on by the Corporations as to its
legality or suitability. The Fund is not issued, endorsed, sold, or promoted by
the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH
RESPECT TO THE FUND.
Page 15
Fund Performance Overview (Continued)
QCLN - FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
The First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index 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
NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index (the "Index"). The Fund will
normally invest at least 90% of its total assets in common stocks that comprise
the Index. All component securities of the Index are included in the NASDAQ(R)
Clean Edge(R) U.S. Index (the "Clean Edge(R) Index"), an equity index designed
to track the performance of clean energy companies that are publicly traded in
the United States and includes companies engaged in manufacturing, development,
distribution and installation of emerging clean-energy technologies including,
but not limited to, solar photovoltaics, biofuels and advanced batteries. The
Index is a modified market capitalization weighted index and under the Index's
weighting methodology, in contrast to the Clean Edge(R) Index, larger companies
receive a larger Index weighting. The Index weighting methodology also includes
caps to prevent high concentrations among larger alternative energy stocks. The
Index is reconstituted semi-annually in March and September and rebalanced
quarterly. The Fund's shares are listed for trading on the NASDAQ(R). The first
day of secondary market trading in shares of the Fund was 02/14/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (02/08/07) Inception (02/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -19.96% 5.15% 23.50% 16.41%
Market Value -19.93% 5.42% 23.55% 16.44%
INDEX PERFORMANCE
NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index -19.65% 5.85% 24.72% 17.20%
Russell 2000 Index -9.37% -16.19% -14.00% -10.27%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
Over the six months ended June 30, 2008, the portfolio produced returns that
trailed the broader market despite rising energy prices as investors are
believed to have questioned valuations in the group given future growth
prospects. (Rising energy prices are generally positive for alternative energy
firms as they can help make a company's technologies more cost-competitive with
traditional supply sources.) Companies focused on producing semiconductors were
among the better performers in the portfolio over the period. Solar-focused
companies had a big negative impact on portfolio performance as evidenced by
Suntech Power Holdings Co., Ltd. and SunPower Corp., the two worst performers in
the portfolio by contribution to return.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Energy Conversion Devices, Inc. Suntech Power Holdings Co., Ltd., ADR
GrafTech International Ltd. SunPower Corp., Class A
Linear Technology Corp. MEMC Electronic Materials, Inc.
First Solar, Inc. VeraSun Energy Corp.
ON Semiconductor Corp. International Rectifier Corp.
_____________________________
|
NASDAQ(R) and Clean Edge(R) are the registered trademarks (the "Marks") of The
NASDAQ Stock Market, Inc. ("NASDAQ(R)") and Clean Edge, Inc. ("Clean Edge(R)")
respectively. NASDAQ(R) and Clean Edge(R) are, collectively with their
affiliates, the "Corporations." The Marks are licensed for use by First Trust
Advisors L.P. The Fund has not been passed on by the Corporations as to its
legality or suitability. The Fund is not issued, endorsed, sold, or promoted by
the Corporations. The Fund should not be construed in any way as investment
advice by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE FUND.
Page 16
Fund Performance Overview (Continued)
QCLN - FIRST TURST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
(CONTINUED)
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Industrials 47.17%
Information Technology 45.00
Utilities 3.18
Energy 1.90
Materials 1.38
Health Care 0.88
Consumer Discretionary 0.49
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
First Solar, Inc. 9.28%
MEMC Electronic Materials, Inc. 8.07
Linear Technology Corp. 7.94
Suntech Power Holdings Co., Ltd. ADR 5.34
ON Semiconductor Corp. 5.13
Itron, Inc, 4.34
Energy Conversion Devices, Inc. 4.25
GrafTech International Ltd. 3.95
SunPower Corp., Class A 3.88
Ormat Technologies, Inc. 3.18
------
Total 55.36%
======
|
Page 17
Fund Performance Overview (Continued)
FRI - FIRST TRUST S&P REIT INDEX FUND
The First Trust S&P REIT Index 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 S&P REIT Composite Index (the "Index").
The Fund will normally invest at least 90% of its total assets in common stocks
that comprise the Index. The Index measures the securitized U.S. real estate
investment trust ("REIT") market and is comprised of 100 companies and covers
approximately 89% of the U.S. REIT market (based on capitalization) and
maintains a constituency that reflects the composition of the overall REIT
market. The Index contains securities selected for market representation
according to geography and property type. All securities in the Index satisfy
the Index's liquidity, price, and market capitalization requirements. The
Standard & Poor's Index Committee, a team of Standard & Poor's economists and
index analysts, maintains the Index. The S&P Index Committee makes constituent
changes on an as-needed basis. Share adjustments that exceed 5% are made at the
time of the change. Share adjustments of less than 5% are made on a quarterly
basis. The Fund's shares are listed for trading on the AMEX. The first day of
secondary market trading in shares of the Fund was 05/10/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
FUND PERFORMANCE
NAV -4.36% -15.65% -22.61% -20.05%
Market Value -4.12% -15.77% -22.55% -20.00%
INDEX PERFORMANCE
S&P REIT Composite Index -4.30% -15.60% -22.52% -19.93%
Russell 3000 Index -11.04% -12.62% -12.72% -11.18%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
REIT shares held up well relative to the broader equity market in the six months
ended June 30, 2008. Residential REITs were the top performing REIT sub-industry
led by top performers Equity Residential and UDR, Inc. Diversified REITs also
posted positive returns over the period. Mortgage REITs turned in the worst
performance of REIT shares as both stocks in the group (iStar Financial, Inc.
and Thornburg Mortgage, Inc.) were among the bottom performers in the portfolio.
A small weighting in mortgage REITs (1.1% average weight in the portfolio over
the period) limited their impact on overall performance. Industrial REITs were
the second worst performing sub-industry in the portfolio.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Public Storage ProLogis
Simon Property Group, Inc. iStar Financial, Inc.
Equity Residential General Growth Properties, Inc.
UDR, Inc. Host Hotels & Resorts, Inc.
Liberty Property Trust Thornburg Mortgage, Inc.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Financials 100.00%
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Simon Property Group, Inc. 7.74%
ProLogis 5.46
Vornado Realty Trust 4.56
Boston Properties, Inc. 4.14
Equity Residential 3.97
Public Storage 3.82
General Growth Properties, Inc. 3.59
Kimco Realty Corp. 3.36
HCP, Inc. 2.86
Plum Creek Timber Co., Inc. 2.80
------
Total 42.30%
======
______________________________
|
Standard & Poor's(R), S&P(R) and S&P REIT Composite Index are registered
trademarks of Standard & Poor's, a division of The McGraw-Hill Companies, Inc.
and have been licensed for use by First Trust Advisors L.P. The Fund is not
sponsored, endorsed, sold or promoted by S&P and S&P makes no representation,
warranty or condition regarding the advisability of investing in the Fund.
Page 18
Fund Performance Overview (Continued)
FIW - FIRST TRUST ISE WATER INDEX FUND
The First Trust ISE Water Index 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 ISE Water Index(TM) (the "Index"). The
Fund will normally invest at least 90% of its total assets in common stocks that
comprise the Index. The Index is a modified market capitalization weighted index
comprised of 36 stocks that derive a substantial portion of their revenues from
the potable and wastewater industries. The Index is rebalanced on a semi-annual
basis. The Fund's shares are listed for trading on the NYSE Arca, Inc. The first
day of secondary market trading in shares of the Fund was 05/11/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -1.96% 0.98% 9.92% 8.61%
Market Value -1.92% 1.22% 9.97% 8.65%
INDEX PERFORMANCE
ISE Water Index(TM) -1.81% 1.48% 10.56% 9.14%
Russell 3000 Index -11.04% -12.62% -12.72% -11.18%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The portfolio produced solid returns over the six months ended June 30, 2008
relative to the broader equity market due to the continued global demand for
water and water infrastructure needed to support both developed and developing
economies. Companies focused on producing the parts and equipment and technology
needed to support the growth of the water industry fared best over the period.
Water utilities posted returns that trailed those of the portfolio as a whole
during the period.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Flowserve Corp. Veolia Environment, ADR
Lindsay Corp. Aqua America, Inc.
Northwest Pipe Co. IDEXX Laboratories, Inc.
Mueller Industries, Inc. Nalco Holding Co.
Ameron International Corp. SJW Corp.
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Industrials 62.81%
Utilities 24.07
Materials 6.56
Health Care 3.03
Information Technology 2.19
Financials 1.34
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Penair, Inc. 4.38%
Flowserve Corp. 4.34
ITT Corp. 4.26
Companhia de Saneamento Basico do
Estado de Sao Paulo, ADR 4.17
IDEX Corp. 4.03
Aqua America, Inc. 3.93
Veolia Environment, ADR 3.92
Crane Co. 3.90
Tetra Tech, Inc. 3.74
Roper Industries, Inc. 3.72
------
Total 40.39%
======
__________________________
|
"International Securities Exchange(TM)", "ISE(TM)" and "ISE Water Index(TM)" are
trademarks of the International Securities Exchange(TM) and have been licensed
for use for certain purposes by First Trust Advisors L.P. The Fund, based on the
ISE Water Index(TM), is not sponsored, endorsed, sold or promoted by the
International Securities Exchange(TM) and the International Securities
Exchange(TM) makes no representation regarding the advisability of trading in
such products.
Page 19
Fund Performance Overview (Continued)
FCG - FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
The First Trust ISE-Revere Natural Gas Index 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 ISE-REVERE Natural Gas Index(TM)
(the "Index"). The Fund will normally invest at least 90% of its total assets in
common stocks that comprise the Index. The Index is an equal-weighted index
comprised of exchange-listed companies that derive a substantial portion of
their revenues from the exploration and production of natural gas. The Index is
constructed by establishing the universe of stocks listed in the U.S. of
companies involved in the natural gas exploration and production industries and
then eliminates stocks whose natural gas proven reserves do not meet certain
requirements. The Index then ranks all candidate stocks using four different
methods and, often averaging the rankings, selects the top 30 stocks based on
the final rank. The Index is rebalanced on a quarterly basis. The Fund's shares
are listed for trading on the NYSE Arca, Inc. The first day of secondary market
trading in shares of the Fund was 05/11/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV 41.10% 55.23% 57.55% 48.73%
Market Value 41.11% 55.33% 57.50% 48.69%
INDEX PERFORMANCE
ISE-REVERE Natural Gas Index(TM) 42.17% 56.90% 59.42% 50.12%
Russell 3000 Index -11.04% -12.62% -12.72% -11.18%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The Fund posted strong returns over the six months ended June 30, 2008, helped
by rising natural gas prices. Natural gas prices rose dramatically over the
period going from $7.483/Million British Thermal Units ("MMbtu") at the
beginning of the year to $13.353/MMbtu as of 6/30/08. Drilling activity was
especially strong as Baker Hughes reported that natural gas rig counts resumed
their increase to a new record high of 1,530 by the end of June 2008. In
addition, front month Nymex WTI crude oil gained 46% over the period, increasing
from $95.98 per barrel to $140.00 per barrel by the end of the period, which
helped the bottom line of many natural gas companies that have oil operations.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Brigham Exploration Co. Edge Petroleum Corp.
Comstock Resources, Inc. NGAS Resources, Inc.
Cimarex Energy Co. McMoRan Exploration Co.
Cabot Oil & Gas Corp. Petrohawk Energy Corp.
St. Mary Land & Exploration Co. Dorchester Minerals LP
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Energy 96.58%
Utilities 3.42
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Comstock Resources, Inc. 4.05%
PetroQuest Energy, Inc. 3.77
Dorchester Minerals LP 3.64
Chesapeake Energy Corp. 3.59
St. Mary Land & Exploration Co. 3.55
Mariner Energy, Inc. 3.47
Questar Corp. 3.42
Newfield Exploration Co. 3.40
Ultra Petroleum Corp. 3.39
W&T Offshore, Inc. 3.39
------
Total 35.67%
======
__________________________
|
"International Securities Exchange(TM)", "ISE(TM)" and "ISE-REVERE Natural Gas
Index(TM)" are trademarks of the International Securities Exchange(TM) and have
been licensed for use for certain purposes by First Trust Advisors L.P. The
Fund, based on the ISE-REVERE Natural Gas Index(TM), is not sponsored, endorsed,
sold or promoted by the International Securities Exchange(TM) and the
International Securities Exchange(TM) makes no representation regarding the
advisability of trading in such products.
Page 20
Fund Performance Overview (Continued)
FNI - FIRST TRUST ISE CHINDIA INDEX FUND
The First Trust ISE Chindia Index 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 ISE ChIndia Index(TM) (the "Index"). The
Fund will normally invest at least 90% of its total assets in common stocks that
comprise the Index. The Index is a non-market capitalization weighted portfolio
of 50 American Depositary Receipts, American Depositary Shares and/or stocks
selected from a universe of all listed ADRs, ADSs, and/or stocks of companies
from China and India currently trading on a U.S. exchange. The Index is
rebalanced on a semi-annual basis. The Fund's shares are listed for trading on
the NYSE Arca, Inc. The first day of secondary market trading in shares of the
Fund was 05/11/07.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (05/08/07) Inception (05/08/07)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -28.02% -8.81% -0.15% -0.13%
Market Value -28.08% -8.81% -0.20% -0.17%
INDEX PERFORMANCE
ISE ChIndia Index(TM) -27.90% -8.22% 0.59% 0.51%
Russell 3000 Index -11.04% -12.62% -12.72% -11.18%
-----------------------------------------------------------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The portfolio produced poor results over the six months ended June 30, 2008 as
investors took profits given mounting questions about the sustainability of
economic growth in both China and India and uneasiness over equity valuations.
Both countries shared equally in producing the downside results to the
portfolio's return. Chinese stocks were responsible for slightly more of the
absolute downside contribution to return but when adjusted for each country's
weight in the portfolio during the period, Indian stocks slightly underperformed
their Chinese peers.
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Infosys Technologies Ltd., ADR ICICI Bank Ltd., ADR
CNOOC Ltd., ADR Sterlite Industries (India) Ltd., ADR
Sohu.com, Inc. China Petroleum & Chemical Corp., ADR
Nam Tai Electronics, Inc. HDFC Bank Ltd., ADR
WuXi PharmaTech, Inc. PetroChina Co. Ltd., ADR
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Information Technology 30.93%
Financials 17.24
Energy 15.56
Telecommunications Services 12.21
Industrials 9.88
Consumer Discretionary 4.73
Health Care 4.49
Materials 4.33
Utilities 0.63
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
PetroChina Co., Ltd., ADR 7.52%
China Mobile Ltd., ADR 7.41
Baidu.com, Inc., ADR 7.26
Infosys Technologies Ltd., ADR 6.97
HDFC Bank Ltd., ADR 6.43
ICICI Bank Ltd., ADR 5.96
CNOOC Ltd., ADR 4.49
China Life Insurance Co. Ltd., ADR 4.12
Suntech Power Holdings Co. Ltd., ADR 3.95
Wipro Ltd., ADR 3.90
------
Total 58.01%
======
___________________________
|
"International Securities Exchange(TM)", "ISE(TM)" and "ISE ChIndia Index(TM)"
are trademarks of the International Securities Exchange(TM) and have been
licensed for use for certain purposes by First Trust Advisors L.P. The Fund,
based on the ISE ChIndia Index(TM), is not sponsored, endorsed, sold or promoted
by the International Securities Exchange(TM) and the International Securities
Exchange(TM) makes no representation regarding the advisability of trading in
such products.
Page 21
Fund Performance Overview (Continued)
FVL - FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
The First Trust Value Line(R) 100 Exchange-Traded 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 Value Line(R) 100 Index (the "Index").
The Fund will normally invest at least 90% of its total assets in common stocks
that comprise the Index. The Index is an equal-dollar weighted index that is
designed to objectively identify and select 100 stocks from the universe of
stocks to which Value Line(R) assigns a #1 ranking in the Value Line(R)
TimelinessTM Ranking System (the "Ranking System"). At any one time, only 100
stocks are assigned a #1 ranking in the Ranking System. The Index is rebalanced
quarterly. The Fund's shares are listed for trading on the AMEX.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE AS OF JUNE 30, 2008
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (06/12/03) Inception (06/12/03)
06/30/08 06/30/08 to 06/30/08 to 06/30/08
FUND PERFORMANCE
NAV -8.54% -1.80% 60.63% 9.83%
Market Value -8.85% -1.74% 60.63% 9.83%
INDEX PERFORMANCE
Value Line(R) 100 Index -8.52% -1.39% N/A N/A
Russell 3000 Index -11.04% -12.62% 48.02% 8.07%
-----------------------------------------------------------------------------------------------------------------------------------
|
On June 15, 2007, the Fund acquired the assets and adopted the financial and
performance history of First Trust Value Line(R) 100 Fund (the "Predecessor
FVL Fund," a closed-end fund), which had an inception date of June 12, 2003.
The inception date total returns at NAV include the sales load of $0.675 per
share on the initial offering. The investment goals, strategies and policies
of the Fund are substantially similar to those of the Predecessor FVL Fund.
The inception date of the Index was January 16, 2007. Returns for the Index
will only be disclosed for those periods in which the Index was in existence
for the entire period. The cumulative total returns for the period from the
reorganization date (06/15/07) through period end (6/30/08) were -2.50% and
-2.50% at NAV and Market Value, respectively. That compares to an Index
return of -2.09% for that same period. The average annual returns for the
period from the reorganization date (6/15/07) through period end (6/30/08)
were -2.40% and -2.40% at NAV and Market Value, respectively. That compares
to an Index return of -2.01% for the same period.
NAV and Market Value returns assume that all dividend distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to June
15, 2007, NAV and Market Value returns assumed that all dividend
distributions were reinvested at prices obtained by the Dividend Reinvestment
Plan of the Predecessor FVL Fund and the price used to calculate Market Value
return was the AMEX closing market price of the Predecessor FVL Fund.
(See Notes to Fund Performance Overview on page 24.)
PERFORMANCE REVIEW
The portfolio produced returns ahead of the broader market over the six months
ended June 30, 2008, as the growth-oriented momentum stocks the portfolio favors
outpaced the broader market. Energy stocks were the biggest contributors to
portfolio performance on an absolute basis. The portfolio benefited from strong
returns in the sector since energy stocks in the portfolio outperformed the
energy stocks in the benchmark. Materials stocks were the second largest
contributor to portfolio performance as strong returns and a large weighting
relative to the broader market benefitted portfolio performance. Information
technology stocks had the biggest negative impact on portfolio performance as
returns in the sector trailed the broader market. Poor performance from the
portfolio's consumer discretionary and health care holdings also hurt portfolio
performance.
"Value Line(R)" and "Value Line(R) 100 Index" are trademarks of Value Line(R),
Inc. and have been licensed for use for certain purposes by First Trust on
behalf of the Fund. The Fund, based on the Value Line(R) 100 Index, is not
sponsored, endorsed, sold, or promoted by Value Line(R), Inc., and Value Line(R)
makes no representation regarding the advisability of investing in the Fund.
Page 22
Fund Performance Overview (Continued)
FVL - FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (CONTINUED)
TOP FIVE AND BOTTOM FIVE PERFORMING STOCKS
(by contribution to return over the six months ended June 30, 2008)
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS
Cleveland-Cliffs, Inc. Sigma Designs, Inc.
Southwestern Energy Co. Onyx Pharmaceuticals, Inc.
Potash Corp. of Saskatchewan, Inc. Global Sources Ltd.
Mosaic Co. Learning Tree International, Inc.
Agrium, Inc. SunPower Corp., Class A
Portfolio Sector Allocation as of June 30, 2008
% of Long-Term
Sector Investments
-------------------------------------------------------------------------
Industrials 25.84%
Energy 23.80
Materials 12.95
Information Technology 11.90
Consumer Discretionary 10.88
Health Care 9.39
Consumer Staples 3.16
Utilities 1.06
Financials 1.02
------
Total 100.00%
======
Top Ten Portfolio Holdings as of June 30, 2008
% of Long-Term
Security Investments
-------------------------------------------------------------------------
Alpha Natural Resources, Inc. 1.13%
Genco Shipping & Trading Ltd. 1.13
Cleveland-Cliffs, Inc. 1.12
Weatherford International Ltd. 1.11
Illumina, Inc. 1.10
FTI Consulting, Inc. 1.09
Murphy Oil Corp. 1.09
Flowserve Corp. 1.08
Universal Health Services, Inc., Class B 1.07
FLIR Systems, Inc. 1.07
------
Total 10.99%
======
|
Page 23
Notes to Fund Performance Overview
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" respresent 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. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
The 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 Value") 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 Value returns assume that all dividend
distributions have been reinvested in the Fund at NAV and Market Value,
respectively.
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. 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 the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future results.
Page 24
First Trust Exchange-Traded Fund
Understanding Your Fund Expenses
June 30, 2008 (Unaudited)
As a shareholder of First Trust Dow Jones Select MicroCap Index(SM) Fund, First
Trust Morningstar(R) Dividend Leaders(SM) Index Fund, First Trust IPOX-100 Index
Fund, First Trust NASDAQ-100 Equal Weighted Index(SM) Fund, First Trust
NASDAQ-100-Technology Sector Index(SM) Fund, First Trust Amex(R) Biotechnology
Index Fund, First Trust Dow Jones Internet Index(SM) Fund, First Trust DB
Strategic Value Index Fund, First Trust Value Line(R) Equity Allocation Index
Fund, First Trust Value Line(R) Dividend Index Fund, First Trust NASDAQ-100
Ex-Technology Sector Index(SM) Fund, First Trust NASDAQ(R) Clean Edge(R) U.S.
Liquid Series Index Fund, First Trust S&P REIT Index Fund, First Trust ISE Water
Index Fund, First Trust ISE-Revere Natural Gas Index Fund, First Trust ISE
Chindia Index Fund, or First Trust Value Line(R) 100 Exchange-Traded Fund
(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 (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual 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 June 30, 2008.
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
six-month 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
each 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 paid on purchases and sales of Fund shares. 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
Beginning Ending Based on the Expenses Paid
Account Value Account Value Six-Month During the
January 1, 2008 June 30, 2008 Period (a) Six-Month Period (b)
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
Actual $1,000.00 $ 877.50 0.60% $2.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
Actual $1,000.00 $ 740.80 0.45% $1.95
Hypothetical (5% return before expenses) $1,000.00 $1,022.63 0.45% $2.26
FIRST TRUST IPOX-100 INDEX FUND
Actual $1,000.00 $ 927.00 0.60% $2.87
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
Actual $1,000.00 $ 876.20 0.60% $2.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
Actual $1,000.00 $ 907.40 0.60% $2.85
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
Page 25
First Trust Exchange-Traded Fund
Understanding Your Fund Expenses (Continued)
June 30, 2008 (Unaudited)
Annualized
Expense Ratio
Beginning Ending Based on the Expenses Paid
Account Value Account Value Six-Month During the
January 1, 2008 June 30, 2008 Period (a) Six-Month Period (b)
FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
Actual $1,000.00 $ 934.80 0.60% $2.89
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
Actual $1,000.00 $ 893.00 0.60% $2.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST DB STRATEGIC VALUE INDEX FUND
Actual $1,000.00 $ 921.60 0.65% $3.11
Hypothetical (5% return before expenses) $1,000.00 $1,021.63 0.65% $3.27
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
Actual $1,000.00 $ 915.00 0.70% $3.33
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
Actual $1,000.00 $ 902.60 0.70% $3.31
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
Actual $1,000.00 $ 854.80 0.60% $2.77
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
Actual $1,000.00 $ 800.40 0.60% $2.69
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST S&P REIT INDEX FUND
Actual $1,000.00 $ 956.40 0.50% $2.43
Hypothetical (5% return before expenses) $1,000.00 $1,022.38 0.50% $2.51
FIRST TRUST ISE WATER INDEX FUND
Actual $1,000.00 $ 980.40 0.60% $2.95
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
Actual $1,000.00 $1,411.00 0.60% $3.60
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST ISE CHINDIA INDEX FUND
Actual $1,000.00 $ 719.80 0.60% $2.57
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
Actual $1,000.00 $ 914.60 0.70% $3.33
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 (January 1, 2008
through June 30, 2008), multiplied by 182/366.
Page 26
First Trust Dow Jones Select MicroCap Index(SM) Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.2%
AEROSPACE & DEFENSE--0.7%
1,773 American Science & Engineering,
Inc. $ 91,363
1,704 LMI Aerospace, Inc. (b) 29,939
-------------
121,302
-------------
AIR FREIGHT & LOGISTICS--0.1%
1,478 Park-Ohio Holdings Corp. (b) 21,815
-------------
AIRLINES--0.4%
2,624 Allegiant Travel Co. (b) 48,780
3,482 Pinnacle Airlines Corp. (b) 11,003
-------------
59,783
-------------
AUTO COMPONENTS--1.3%
4,217 ATC Technology Corp. (b) 98,172
5,824 Spartan Motors, Inc. 43,505
4,201 Superior Industries International,
Inc. 70,913
-------------
212,590
-------------
BEVERAGES--0.5%
1,924 Boston Beer (The) Co., Inc.,
Class A (b) 78,269
1,989 MGP Ingredients, Inc. 11,536
-------------
89,805
-------------
BUILDING PRODUCTS--0.9%
5,400 Gibraltar Industries, Inc. 86,238
3,171 Insteel Industries, Inc. 58,061
-------------
144,299
-------------
CAPITAL MARKETS--0.8%
3,902 Calamos Asset Management, Inc.,
Class A 66,451
6,761 TradeStation Group, Inc. (b) 68,624
-------------
135,075
-------------
CHEMICALS--3.4%
4,702 A. Schulman, Inc. 108,287
3,641 American Vanguard Corp. 44,784
4,394 Flotek Industries, Inc. (b) 90,604
5,303 ICO, Inc. (b) 31,924
4,007 Koppers Holdings, Inc. 167,774
4,690 Landec Corp. (b) 30,344
2,951 LSB Industries, Inc. (b) 58,430
2,176 Penford Corp. 32,379
-------------
564,526
-------------
COMMERCIAL BANKS--6.5%
2,443 Bank of the Ozarks, Inc. 36,303
4,118 Cascade Bancorp 31,709
4,278 Chemical Financial Corp. 87,271
3,146 City Holding Co. 128,262
3,892 CoBiz Financial, Inc. 25,609
5,800 Community Bank System, Inc. 119,596
Shares Description Value
-------------------------------------------------------------
COMMERCIAL BANKS (CONTINUED)
2,309 Greene Bancshares, Inc. $ 32,372
3,159 Independent Bank Corp. 75,311
4,359 Nara Bancorp, Inc. 46,772
6,252 NBT Bancorp, Inc. 128,854
5,943 PrivateBancorp, Inc. 180,548
4,056 Renasant Corp. 59,745
2,950 Seacoast Banking Corp. of Florida 22,892
5,170 Texas Capital Bancshares, Inc. (b) 82,720
3,010 West Coast Bancorp 26,097
-------------
1,084,061
-------------
COMMERCIAL SERVICES &
SUPPLIES--6.4%
3,056 American Ecology Corp. 90,243
5,177 Bowne & Co., Inc. 66,007
9,707 CBIZ, Inc. (b) 77,171
2,741 CDI Corp. 69,731
2,697 COMSYS IT Partners, Inc. (b) 24,597
2,209 Cornell Cos., Inc. (b) 53,259
2,141 Courier Corp. 42,991
2,131 CRA International, Inc. (b) 77,036
4,930 Ennis, Inc. 77,155
4,959 Hudson Highland Group, Inc. (b) 51,921
1,358 ICF International, Inc. (b) 22,570
5,488 Innerworkings, Inc. (b) 65,636
7,364 Kforce, Inc. (b) 62,520
4,640 LECG Corp. (b) 40,554
6,816 On Assignment, Inc. (b) 54,664
2,074 Schawk, Inc. 24,867
10,640 Spherion Corp. (b) 49,157
3,580 Team, Inc. (b) 122,865
-------------
1,072,944
-------------
COMMUNICATION EQUIPMENT--1.4%
2,833 Anaren, Inc. (b) 29,945
2,933 DG Fastchannel, Inc. (b) 50,594
2,968 EMS Technologies, Inc. (b) 64,821
7,068 Ixia (b) 49,123
3,752 Oplink Communications, Inc. (b) 36,019
-------------
230,502
-------------
COMPUTERS & PERIPHERALS--0.8%
4,982 STEC, Inc. (b) 51,165
4,052 Stratasys, Inc. (b) 74,800
-------------
125,965
-------------
CONSTRUCTION & ENGINEERING--1.2%
1,553 Integrated Electrical Services,
Inc. (b) 26,712
1,350 Michael Baker Corp. (b) 29,538
1,732 Northwest Pipe Co. (b) 96,645
3,366 Pike Electric Corp. (b) 55,909
-------------
208,804
-------------
CONSUMER FINANCE--0.5%
5,115 First Cash Financial Services,
Inc. (b) 76,674
-------------
|
See Notes to Financial Statements. Page 27
First Trust Dow Jones Select MicroCap Index(SM) Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES--0.4%
1,031 CPI Corp. $ 19,311
4,395 Universal Technical Institute,
Inc. (b) 54,761
-------------
74,072
-------------
DIVERSIFIED FINANCIAL
SERVICES--0.1%
2,149 ASTA Funding, Inc. 19,470
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--2.7%
8,399 Alaska Communications Systems
Group, Inc. 100,284
1,850 Atlantic Tele-Network, Inc. 50,894
4,569 Consolidated Communications
Holdings, Inc. 68,032
17,418 FairPoint Communications, Inc. 125,584
6,205 Iowa Telecommunications Services,
Inc. 109,270
-------------
454,064
-------------
ELECTRICAL EQUIPMENT--0.7%
2,293 Azz, Inc. (b) 91,491
3,886 LSI Industries, Inc. 31,554
-------------
123,045
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--3.4%
6,524 CTS Corp. 65,566
2,960 FARO Technologies, Inc. (b) 74,503
16,239 Kemet Corp. (b) 52,614
3,520 LoJack Corp. (b) 28,019
7,247 Methode Electronics, Inc. 75,731
3,588 Park Electrochemical Corp. 87,224
3,297 SYNNEX Corp. (b) 82,722
8,196 T(TM) Technologies, Inc. (b) 108,270
-------------
574,649
-------------
ENERGY EQUIPMENT & SERVICES--7.1%
5,046 Bronco Drilling Co., Inc. (b) 92,745
1,384 Dawson Geophysical Co. (b) 82,293
2,155 Gulf Island Fabrication, Inc. 105,444
5,042 Matrix Service Co. (b) 116,269
17,333 Newpark Resources, Inc. (b) 136,237
887 OYO Geospace Corp. (b) 52,280
9,614 Pioneer Drilling Co. (b) 180,839
2,897 Superior Well Services, Inc. (b) 91,864
2,419 T-3 Energy Services, Inc. (b) 192,237
2,446 Trico Marine Services, Inc. (b) 89,083
2,242 Union Drilling, Inc. (b) 48,607
-------------
1,187,898
-------------
FOOD & STAPLES RETAILING--1.4%
2,484 Nash Finch Co. 85,127
2,810 PriceSmart, Inc. 55,582
Shares Description Value
-------------------------------------------------------------
FOOD & STAPLES RETAILING (CONTINUED)
4,244 Spartan Stores, Inc. $ 97,611
-------------
238,320
-------------
FOOD PRODUCTS--1.7%
15,656 Darling International, Inc. (b) 258,638
1,616 Imperial Sugar Co. 25,096
-------------
283,734
-------------
GAS UTILITIES--0.9%
3,923 Laclede Group (The), Inc. 158,372
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--5.4%
3,295 Aspect Medical Systems, Inc. (b) 20,726
1,854 Cynosure, Inc. (b) 36,746
2,485 Datascope Corp. 116,795
2,456 ICU Medical, Inc. (b) 56,193
3,533 IRIS International, Inc. (b) 55,291
1,681 Kensey Nash Corp. (b) 53,876
2,856 Medical Action Industries, Inc. (b) 29,617
5,216 Natus Medical, Inc. (b) 109,223
5,958 Quidel Corp. (b) 98,426
6,268 Symmetry Medical, Inc. (b) 101,667
1,573 Vital Signs, Inc. 89,315
4,021 Zoll Medical Corp. (b) 135,388
-------------
903,263
-------------
HEALTH CARE PROVIDERS &
SERVICES--5.3%
2,131 Air Methods Corp. (b) 53,275
5,485 Alliance Imaging, Inc. (b) 47,555
2,490 American Dental Partners, Inc. (b) 29,556
2,279 Bio-Reference Laboratories, Inc. (b) 50,844
5,535 Cross Country Healthcare, Inc. (b) 79,759
1,794 Emergency Medical Services Corp. (b) 40,598
5,508 Gentiva Health Services, Inc. (b) 104,928
2,321 Medcath Corp. (b) 41,732
2,330 MWI Veterinary Supply, Inc. (b) 77,146
6,363 Odyssey HealthCare, Inc. (b) 61,976
2,364 Providence Service (The) Corp. (b) 49,904
3,498 RehabCare Group, Inc. (b) 56,073
4,902 Res-Care, Inc. (b) 87,158
7,400 Sun Healthcare Group, Inc. (b) 99,086
-------------
879,590
-------------
HEALTH CARE TECHNOLOGY--0.2%
1,976 Computer Programs & Systems, Inc. 34,244
-------------
HOTELS, RESTAURANTS &
LEISURE--3.2%
4,897 AFC Enterprises (b) 39,127
3,547 BJ'S Restaurants, Inc. (b) 34,512
3,232 Buffalo Wild Wings, Inc. (b) 80,251
4,914 California Pizza Kitchen, Inc. (b) 54,988
4,033 Marcus (The) Corp. 60,293
2,863 McCormick & Schmick's Seafood
Restaurants, Inc. (b) 27,599
|
Page 28 See Notes to Financial Statements.
First Trust Dow Jones Select MicroCap Index(SM) Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
2,120 Monarch Casino & Resort, Inc. (b) $ 25,016
2,085 Morton's Restaurant Group, Inc. (b) 14,345
2,692 Peet's Coffee & Tea, Inc. (b) 53,355
3,010 Red Robin Gourmet Burgers, Inc. (b) 83,497
5,072 Steak N Shake (The) Co. (b) 32,106
2,596 Town Sports International Holdings,
Inc. (b) 24,247
-------------
529,336
-------------
HOUSEHOLD DURABLES--1.0%
5,506 Helen of Troy Ltd. (b) 88,757
1,662 Lifetime Brands, Inc. 13,545
2,782 Universal Electronics, Inc. (b) 58,144
-------------
160,446
-------------
HOUSEHOLD PRODUCTS--0.5%
3,002 WD-40 Co. 87,809
-------------
INDUSTRIAL CONGLOMERATES--0.7%
3,509 Raven Industries, Inc. 115,025
-------------
INSURANCE--2.8%
10,709 American Equity Investment Life
Holding Co. 87,278
1,745 American Physicians Capital, Inc. 84,528
3,068 First Mercury Financial Corp. (b) 54,120
7,180 Meadowbrook Insurance Group, Inc. 38,054
4,686 OneBeacon Insurance Group Ltd. 82,333
4,041 Seabright Insurance Holdings (b) 58,514
3,313 Stewart Information Services Corp. 64,073
-------------
468,900
-------------
INTERNET & CATALOG RETAIL--1.1%
3,816 FTD Group, Inc. 50,867
2,757 Gaiam, Inc. (b) 37,247
4,717 PetMed Express, Inc. (b) 57,784
3,277 Stamps.com, Inc. (b) 40,897
-------------
186,795
-------------
INTERNET SOFTWARE & SERVICES--1.5%
3,975 Greenfield Online, Inc. (b) 59,307
5,845 Perficient, Inc. (b) 56,463
11,139 SonicWALL, Inc. (b) 71,846
4,794 Vignette Corp. (b) 57,528
-------------
245,144
-------------
IT SERVICES--2.0%
10,146 Ciber, Inc. (b) 63,007
6,465 InfoGROUP, Inc. 28,381
3,993 ManTech International Corp.,
Class A (b) 192,143
2,541 SI International, Inc. (b) 53,209
-------------
336,740
-------------
Shares Description Value
-------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--1.3%
5,474 JAKKS Pacific, Inc. (b) $ 119,606
3,378 RC2 Corp. (b) 62,696
4,031 Sturm Ruger & Co., Inc. (b) 28,459
-------------
210,761
-------------
LIFE SCIENCES TOOLS & SERVICES--1.1%
4,386 Albany Molecular Research, Inc. (b) 58,202
5,603 Cambrex Corp. 32,890
2,524 Kendle International, Inc. (b) 91,697
-------------
182,789
-------------
MACHINERY--9.8%
5,094 Altra Holdings, Inc. (b) 85,630
1,753 American Railcar Industries, Inc. 29,415
1,618 Ampco-Pittsburgh Corp. 71,969
2,821 Badger Meter, Inc. 142,545
7,383 Blount International, Inc. (b) 85,717
5,491 Chart Industries, Inc. (b) 267,081
3,228 CIRCOR International, Inc. 158,140
3,630 Columbus McKinnon Corp. (b) 87,410
2,445 Dynamic Materials Corp. 80,563
2,069 Gehl Co. (b) 30,601
2,941 Greenbrier Cos., Inc. 59,702
2,221 Hardinge, Inc. 29,251
1,230 Hurco Cos., Inc. (b) 37,995
2,696 Kadant, Inc. (b) 60,930
2,140 L.B. Foster Co., Class A (b) 71,048
2,148 Lindsay Corp. 182,515
2,275 Sun Hydraulics Corp. 73,414
1,782 Twin Disc, Inc. 37,297
5,920 Wabash National Corp. 44,755
-------------
1,635,978
-------------
MARINE--0.7%
3,106 TBS International Ltd., Class A (b) 124,085
-------------
MEDIA--1.4%
5,096 Cox Radio, Inc., Class A (b) 60,133
10,404 Entravision Communications Corp.,
Class A (b) 41,824
8,144 Journal Communications, Inc.,
Class A 39,254
3,989 Playboy Enterprises, Inc.,
Class B (b) 19,706
10,245 Sinclair Broadcast Group, Inc.,
Class A 77,862
-------------
238,779
-------------
METALS & MINING--0.6%
3,493 A.M. Castle & Co. 99,935
-------------
OIL, GAS & CONSUMABLE FUELS--2.5%
4,783 DCP Midstream Partners LP (c) 139,903
8,301 PetroQuest Energy, Inc. (b) 223,297
1,769 TransMontaigne Partners LP (c) 47,798
-------------
410,998
-------------
PAPER & FOREST PRODUCTS--1.7%
7,580 Buckeye Technologies, Inc. (b) 64,127
|
See Notes to Financial Statements. Page 29
First Trust Dow Jones Select MicroCap Index(SM) Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS (CONTINUED)
8,686 Glatfelter $ 117,348
2,864 Neenah Paper, Inc. 47,857
3,029 Schweitzer-Mauduit International,
Inc. 51,039
-------------
280,371
-------------
PERSONAL PRODUCTS--1.2%
5,275 Elizabeth Arden, Inc. (b) 80,074
2,740 Inter Parfums, Inc. 41,100
6,803 Prestige Brands Holdings, Inc. (b) 72,520
-------------
193,694
-------------
PHARMACEUTICALS--0.5%
2,466 Obagi Medical Products, Inc. (b) 21,084
9,147 Salix Pharmaceuticals, Ltd. (b) 64,304
-------------
85,388
-------------
ROAD & RAIL--0.5%
4,237 Celadon Group, Inc. (b) 42,328
2,921 Marten Transport, Ltd. (b) 46,648
-------------
88,976
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--1.4%
11,374 Cirrus Logic, Inc. (b) 63,240
4,186 Cohu, Inc. 61,450
9,570 Mattson Technology, Inc. (b) 45,553
5,555 Rudolph Technologies, Inc. (b) 42,774
3,748 Ultra Clean Holdings (b) 29,834
-------------
242,851
-------------
SOFTWARE--1.4%
11,703 Actuate Corp. (b) 45,759
2,658 Interactive Intelligence, Inc. (b) 30,939
5,402 Radiant Systems, Inc. (b) 57,963
7,372 Tyler Technologies, Inc. (b) 100,038
-------------
234,699
-------------
SPECIALTY RETAIL--2.3%
3,924 A.C. Moore Arts & Crafts, Inc. (b) 27,664
3,704 Big 5 Sporting Goods Corp. 28,039
7,109 Casual Male Retail Group, Inc. (b) 21,682
5,363 Cato (The) Corp., Class A 76,369
2,230 Conn's, Inc. (b) 35,836
3,527 Jos. A. Bank Clothiers, Inc. (b) 94,348
2,681 Midas, Inc. (b) 36,194
3,580 Monro Muffler Brake, Inc. 55,454
2,775 West Marine Inc. (b) 11,378
-------------
386,964
-------------
TEXTILES, APPAREL & LUXURY
GOODS--2.6%
3,623 Maidenform Brands, Inc. (b) 48,911
3,588 Movado Group, Inc. 71,042
2,242 Perry Ellis International, Inc. (b) 47,575
Shares Description Value
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY
GOODS (CONTINUED)
3,123 Steven Madden Ltd. (b) $ 57,401
3,062 True Religion Apparel, Inc. (b) 81,602
2,775 UniFirst Corp. 123,932
-------------
430,463
-------------
THRIFTS & MORTGAGE FINANCE--1.6%
3,717 Anchor BanCorp Wisconsin, Inc. 26,056
9,427 Bank Mutual Corp. 94,647
5,962 Dime Community Bancshares 98,433
1,202 WSFS Financial Corp. 53,609
-------------
272,745
-------------
TOBACCO--0.6%
18,553 Alliance One International, Inc. (b) 94,806
-------------
TRADING COMPANIES &
DISTRIBUTORS--0.4%
5,037 Rush Enterprises, Inc., Class A (b) 60,494
-------------
WATER UTILITIES--1.4%
3,344 American States Water Co. 116,839
2,517 SJW Corp. 66,449
4,666 Southwest Water Co. 46,753
-------------
230,041
-------------
WIRELESS TELECOMMUNICATION
SERVICES--0.2%
4,479 USA Mobility, Inc. (b) 33,816
------------
TOTAL INVESTMENTS--100.2%
(Cost $20,171,269) 16,747,694
NET OTHER ASSETS AND
LIABILITIES--(0.2%) (28,560)
-------------
NET ASSETS--100.0% $ 16,719,134
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
(c) Master limited partnership ("MLP")
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 16,747,694
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 16,747,694
==================
|
Page 30 See Notes to Financial Statements.
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.8%
AUTO COMPONENTS--0.0%
2,508 Cooper Tire & Rubber Co. $ 19,663
-------------
CHEMICALS--2.8%
36,218 Dow Chemical (The) Co. 1,264,370
-------------
COMMERCIAL BANKS--27.7%
5,816 Associated Banc-Corp. 112,191
34,786 BB&T Corp. 792,077
1,572 City National Corp. 66,134
11,441 Comerica, Inc. 293,233
5,745 F.N.B. Corp. 67,676
60,998 Fifth Third Bancorp 620,960
1,176 First Busey Corp. 15,547
2,368 First Midwest Bancorp, Inc. 44,163
4,147 FirstMerit Corp. 67,638
2,767 Frontier Financial Corp. 23,575
8,710 Fulton Financial Corp. 87,536
57,397 Huntington Bancshares, Inc. 331,181
15,381 Marshall & Ilsley Corp. 235,791
3,246 National Penn Bancshares, Inc. 43,107
3,417 Old National Bancorp 48,726
2,238 Pacific Capital Bancorp 30,840
1,793 PacWest Bancorp 26,680
597 Park National Corp. 32,178
14,151 PNC Financial Services Group, Inc. 808,022
17,552 Popular, Inc. 115,668
865 S&T Bancorp., Inc. 25,137
23,871 SunTrust Banks, Inc. 864,608
5,017 Susquehanna Bancshares, Inc. 68,683
18,665 Synovus Financial Corp. 162,945
8,444 TCF Financial Corp. 101,581
2,286 Trustmark Corp. 40,348
76,406 U.S. Bancorp 2,130,962
3,362 Umpqua Holdings Corp. 40,781
2,262 UnionBanCal Corp. 91,430
1,818 United Bankshares, Inc. 41,723
5,343 Valley National Bancorp 84,259
141,743 Wachovia Corp. 2,201,268
2,963 Webster Financial Corp. 55,112
102,942 Wells Fargo & Co. 2,444,872
3,828 Whitney Holding Corp. 70,052
2,732 Wilmington Trust Corp. 72,234
4,969 Zions Bancorp 156,474
-------------
12,515,392
-------------
COMMERCIAL SERVICES &
SUPPLIES--0.6%
7,122 Pitney Bowes, Inc. 242,860
2,875 Steelcase, Inc., Class A 28,836
-------------
271,696
-------------
DIVERSIFIED FINANCIAL
SERVICES--8.7%
164,706 Bank of America Corp. 3,931,532
-------------
Shares Description Value
-------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--15.3%
119,441 AT&T, Inc. $ 4,023,967
81,444 Verizon Communications, Inc. 2,883,118
-------------
6,907,085
-------------
ELECTRIC UTILITIES--6.9%
13,909 American Electric Power Co., Inc. 559,559
3,980 DPL, Inc. 104,992
1,939 Empire District Electric (The) Co. 35,949
4,858 Great Plains Energy, Inc. 122,810
3,500 Hawaiian Electric Industries, Inc. 86,555
7,352 Pepco Holdings, Inc. 188,579
5,865 Pinnacle West Capital Corp. 180,466
13,569 Progress Energy, Inc. 567,591
33,059 Southern Co. 1,154,421
1,094 UIL Holdings Corp. 32,175
4,689 Westar Energy, Inc. 100,860
-------------
3,133,957
-------------
GAS UTILITIES--1.0%
3,389 AGL Resources, Inc. 117,192
3,860 Atmos Energy Corp. 106,420
685 Laclede Group (The), Inc. 27,653
1,749 Nicor, Inc. 74,490
2,381 Piedmont Natural Gas Co., Inc. 62,287
1,761 WGL Holdings, Inc. 61,177
-------------
449,219
-------------
HOTELS, RESTAURANTS &
LEISURE--1.2%
17,133 Carnival Corp. 564,704
-------------
HOUSEHOLD DURABLES--0.7%
8,423 Leggett & Platt, Inc. 141,254
11,404 Newell Rubbermaid, Inc. 191,473
-------------
332,727
-------------
INSURANCE--0.9%
4,104 Arthur J. Gallagher & Co. 98,906
7,172 Cincinnati Financial Corp. 182,170
1,106 Mercury General Corp. 51,672
1,751 Zenith National Insurance Corp. 61,565
-------------
394,313
-------------
LEISURE EQUIPMENT &
PRODUCTS--0.1%
3,665 Brunswick Corp. 38,849
-------------
MACHINERY--0.1%
2,773 Briggs & Stratton Corp. 35,162
-------------
MEDIA--0.7%
12,957 Gannett Co., Inc. 280,778
4,734 McClatchy (The) Co., Class A 32,097
-------------
312,875
-------------
|
See Notes to Financial Statements. Page 31
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES--6.5%
11,049 Ameren Corp. $ 466,599
1,366 Black Hills Corp. 43,794
11,517 CenterPoint Energy, Inc. 184,848
832 CH Energy Group, Inc. 29,594
14,192 Consolidated Edison, Inc. 554,766
7,101 DTE Energy Co. 301,366
7,252 Energy East Corp. 179,269
3,541 Integrys Energy Group, Inc. 179,989
3,824 NSTAR 129,328
3,447 OGE Energy Corp. 109,304
4,384 SCANA Corp. 162,208
6,599 TECO Energy, Inc. 141,813
2,878 Vectren Corp. 89,822
17,180 Xcel Energy, Inc. 344,803
-------------
2,917,503
-------------
PHARMACEUTICALS--23.1%
107,804 Bristol-Myers Squibb Co. 2,213,216
34,284 Eli Lilly & Co. 1,582,549
70,332 Merck & Co., Inc. 2,650,813
227,980 Pfizer, Inc. 3,982,811
-------------
10,429,389
-------------
REAL ESTATE INVESTMENT TRUSTS--0.4%
3,134 Rayonier, Inc. 133,070
2,527 Redwood Trust, Inc. 57,590
-------------
190,660
-------------
SPECIALTY RETAIL--0.2%
6,062 Foot Locker, Inc. 75,472
-------------
THRIFTS & MORTGAGE FINANCE--1.0%
3,666 Astoria Financial Corp. 73,613
3,959 First Niagara Financial Group, Inc. 50,913
15,333 New York Community Bancorp, Inc. 273,541
3,078 Washington Federal, Inc. 55,712
-------------
453,779
-------------
TOBACCO--1.8%
10,206 Reynolds American, Inc. 476,314
5,887 UST, Inc. 321,489
-------------
797,803
-------------
TRADING COMPANIES &
DISTRIBUTORS--0.1%
967 Watsco, Inc. 40,421
-------------
TOTAL INVESTMENTS--99.8%
(Cost $62,909,687) 45,076,571
NET OTHER ASSETS AND
LIABILITIES--0.2% 81,205
-------------
NET ASSETS--100.0% $ 45,157,776
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 45,076,571
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 45,076,571
==================
|
Page 32 See Notes to Financial Statements.
First Trust IPOX-100 Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.0%
AEROSPACE & DEFENSE--0.7%
5,712 Spirit Aerosystems Holdings, Inc.,
Class A (b) $ 109,557
1,977 TransDigm Group, Inc. (b) 66,407
-------------
175,964
-------------
BEVERAGES--0.8%
10,375 Dr. Pepper Snapple Group, Inc. (b) 217,668
-------------
CAPITAL MARKETS--2.9%
9,092 Ameriprise Financial, Inc. 369,772
1,138 FCStone Group, Inc. (b) 31,784
4,813 GFI Group, Inc. 43,365
4,414 Lazard Ltd., Class A 150,738
4,897 MF Global Ltd. (b) 30,900
3,034 Och-Ziff Capital Management
Group, Class A 57,676
2,461 optionsXpress Holdings, Inc. 54,979
2,477 RiskMetrics Group, Inc. (b) 48,648
-------------
787,862
-------------
CHEMICALS--3.6%
6,179 Celanese Corp., Class A 282,133
2,307 CF Industries Holding, Inc. 352,510
9,596 Huntsman Corp. 109,394
5,781 Nalco Holding Co. 122,268
3,025 Rockwood Holdings, Inc. (b) 105,270
-------------
971,575
-------------
COMMERCIAL SERVICES &
SUPPLIES--0.3%
3,614 EnergySolutions, Inc. 80,773
-------------
COMMUNICATIONS EQUIPMENT--0.1%
2,850 Starent Networks Corp. (b) 35,853
-------------
CONSTRUCTION & ENGINEERING--1.4%
4,143 Aecom Technology Corp. (b) 134,772
6,949 KBR, Inc. 242,589
-------------
377,361
-------------
CONSUMER FINANCE--1.0%
19,617 Discover Financial Services 258,356
-------------
DIVERSIFIED FINANCIAL SERVICES--2.8%
1,643 Interactive Brokers Group, Inc.,
Class A (b) 52,790
4,093 MSCI, Inc., Class A (b) 148,535
10,846 NYSE Euronext 549,458
-------------
750,783
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--1.2%
6,039 Embarq Corp. 285,463
1,723 NTELOS Holdings Corp. 43,713
-------------
329,176
-------------
Shares Description Value
-------------------------------------------------------------
ELECTRIC UTILITIES--0.4%
2,023 ITC Holdings Corp. $ 103,396
-------------
ELECTRICAL EQUIPMENT--4.2%
3,264 First Solar, Inc. (b) 890,484
3,465 SunPower Corp., Class A (b) 249,411
-------------
1,139,895
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--3.3%
4,574 Dolby Laboratories, Inc.,
Class A (b) 184,332
19,564 Tyco Electronics Ltd. 700,783
-------------
885,115
-------------
ENERGY EQUIPMENT &
SERVICES--2.5%
1,688 Basic Energy Services, Inc. (b) 53,172
4,328 Cal Dive International, Inc. (b) 61,847
3,023 Complete Production Services,
Inc. (b) 110,098
3,520 Dresser-Rand Group, Inc. (b) 137,632
3,637 Hercules Offshore, Inc. (b) 138,279
2,557 IHS, Inc., Class A (b) 177,967
-------------
678,995
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--4.1%
20,446 Covidien Ltd. 979,159
4,314 ev3, Inc. (b) 40,897
2,291 Masimo Corp. (b) 78,696
-------------
1,098,752
-------------
HEALTH CARE PROVIDERS &
SERVICES--0.3%
4,184 Brookdale Senior Living, Inc. 85,186
-------------
HOTELS, RESTAURANTS &
LEISURE--1.8%
5,517 Burger King Holdings, Inc. 147,800
7,560 Tim Hortons, Inc. 216,897
7,239 Wyndham Worldwide Corp. 129,650
-------------
494,347
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--0.3%
1,855 Ormat Technologies, Inc. 91,229
-------------
INSURANCE--0.8%
1,999 Allied World Assurance Holdings Ltd. 79,200
3,926 OneBeacon Insurance Group Ltd. 68,980
3,038 Validus Holdings Ltd. 64,558
-------------
212,738
-------------
INTERNET SOFTWARE & SERVICES--10.4%
5,035 Google, Inc., Class A (b) 2,650,525
2,941 Omniture, Inc. (b) 54,614
1,807 VistaPrint Ltd. (b) 48,355
|
See Notes to Financial Statements. Page 33
First Trust IPOX-100 Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
(CONTINUED)
2,356 WebMD Health Corp., Class A (b) $ 65,732
-------------
2,819,226
-------------
IT SERVICES--19.7%
8,699 Genpact Ltd. (b) 129,789
5,321 MasterCard, Inc., Class A 1,412,833
3,174 NeuStar, Inc., Class A (b) 68,431
6,829 SAIC, Inc. (b) 142,111
3,335 VeriFone Holdings, Inc. (b) 39,853
30,285 Western Union Co. 748,646
1,588 Wright Express Corp. (b) 39,382
33,764 Visa, Inc., Class A 2,745,351
-------------
5,326,396
-------------
MACHINERY--0.4%
1,159 Chart Industries, Inc. (b) 56,374
4,697 Mueller Water Products, Inc.,
Class A 37,905
-------------
94,279
-------------
MARINE--0.5%
1,914 Eagle Bulk Shipping Inc 56,597
1,190 Genco Shipping & Trading Ltd. 77,588
-------------
134,185
-------------
MEDIA--8.2%
4,394 Cinemark Holdings, Inc. 57,386
3,789 DreamWorks Animation SKG, Inc.,
Class A (b) 112,950
1,871 Morningstar, Inc. (b) 134,768
39,983 Time Warner Cable, Inc., Class A (b) 1,058,749
25,898 Viacom, Inc., Class B (b) 790,925
6,305 Warner Music Group Corp. 45,018
-------------
2,199,796
-------------
OIL, GAS & CONSUMABLE
FUELS--11.0%
2,877 Alpha Natural Resources, Inc. (b) 300,042
1,651 Atlas America, Inc. 74,378
1,841 Bill Barrett Corp. (b) 109,374
2,720 Bois d'Arc Energy, Inc. (b) 66,123
3,110 Concho Resources, Inc. (b) 116,003
6,920 Continental Resources, Inc. (b) 479,694
1,874 Copano Energy LLC 63,248
3,525 CVR Energy, Inc. (b) 67,856
4,304 EXCO Resources, Inc. (b) 158,861
1,857 Foundation Coal Holdings, Inc. 164,493
5,983 SandRidge Energy, Inc. (b) 386,382
25,905 Spectra Energy Corp. 744,509
2,082 Venoco, Inc. (b) 48,323
3,125 W&T Offshore, Inc. 182,844
-------------
2,962,130
-------------
Shares Description Value
-------------------------------------------------------------
PERSONAL PRODUCTS--0.6%
3,738 Bare Escentuals, Inc. (b) $ 70,013
2,665 Herbalife Ltd. 103,268
-------------
173,281
-------------
PHARMACEUTICALS--0.6%
10,264 Warner Chilcott Ltd., Class A (b) 173,975
-------------
ROAD & RAIL--0.5%
13,206 Hertz Global Holdings, Inc. (b) 126,778
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--0.2%
1,275 Hittite Microwave Corp. (b) 45,416
-------------
SOFTWARE--0.5%
2,465 NetSuite Inc (b) 50,459
2,653 Solera Holdings, Inc. (b) 73,382
-------------
123,841
-------------
SPECIALTY RETAIL--0.3%
2,546 J. Crew Group, Inc. (b) 84,043
-------------
TEXTILES, APPAREL & LUXURY
GOODS--0.4%
3,850 Hanesbrands, Inc. (b) 104,489
-------------
TOBACCO--12.2%
7,118 Lorillard, Inc. (b) 492,281
56,743 Philip Morris International, Inc. 2,802,536
-------------
3,294,817
-------------
TRADING COMPANIES &
DISTRIBUTORS--0.1%
4,224 RSC Holdings, Inc. (b) 39,114
-------------
WATER UTILITIES--0.5%
6,548 American Water Works Co., Inc. (b) 145,235
-------------
WIRELESS TELECOMMUNICATION
SERVICES--1.4%
6,721 Clearwire Corp., Class A (b) 87,104
14,263 MetroPCS Communications, Inc. (b) 252,598
2,796 Syniverse Holdings, Inc. (b) 45,295
-------------
384,997
-------------
TOTAL INVESTMENTS - 100.0%
(Cost $26,108,637) 27,007,022
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (2,320)
-------------
NET ASSETS -- 100.0% $ 27,004,702
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
Page 34 See Notes to Financial Statements.
First Trust IPOX-100 Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 27,007,022
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 27,007,022
==================
|
See Notes to Financial Statements. Page 35
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.3%
AIR FREIGHT & LOGISTICS--2.0%
4,554 C.H. Robinson Worldwide, Inc. $ 249,741
6,101 Expeditors International of
Washington, Inc. 262,343
-------------
512,084
-------------
AIRLINES--1.8%
9,649 Ryanair Holdings PLC, ADR (b) 276,637
32,187 UAL Corp. 168,016
-------------
444,653
-------------
BEVERAGES--1.0%
8,089 Hansen Natural Corp. (b) 233,125
-------------
BIOTECHNOLOGY--8.7%
6,286 Amgen, Inc. (b) 296,448
9,291 Amylin Pharmaceuticals, Inc. (b) 235,898
4,455 Biogen Idec, Inc. (b) 248,990
4,530 Celgene Corp. (b) 289,331
4,023 Cephalon, Inc. (b) 268,294
4,094 Genzyme Corp. (b) 294,850
5,078 Gilead Sciences, Inc. (b) 268,880
8,626 Vertex Pharmaceuticals, Inc. (b) 288,712
-------------
2,191,403
-------------
CHEMICALS--1.0%
4,785 Sigma-Aldrich Corp. 257,720
-------------
COMMERCIAL SERVICES &
SUPPLIES--3.0%
9,889 Cintas Corp. 262,157
12,054 Monster Worldwide, Inc. (b) 248,433
4,874 Stericycle, Inc. (b) 251,986
-------------
762,576
-------------
COMMUNICATIONS EQUIPMENT--3.9%
10,478 Cisco Systems, Inc. (b) 243,718
10,435 Juniper Networks, Inc. (b) 231,448
5,899 QUALCOMM, Inc. 261,740
2,116 Research In Motion Ltd. (b) 247,360
-------------
984,266
-------------
COMPUTERS & PERIPHERALS--5.7%
1,498 Apple Computer, Inc. (b) 250,825
11,714 Dell, Inc. (b) 256,303
8,618 Logitech International S.A. (b) 230,962
11,714 NetApp, Inc. (b) 253,725
10,076 SanDisk Corp. (b) 188,421
22,591 Sun Microsystems, Inc. (b) 245,790
-------------
1,426,026
-------------
CONSTRUCTION & ENGINEERING--1.1%
3,671 Foster Wheeler Ltd. (b) 268,534
-------------
DIVERSIFIED CONSUMER
SERVICES--1.0%
5,825 Apollo Group, Inc., Class A (b) 257,815
-------------
Shares Description Value
-------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--0.8%
67,010 Level 3 Communications, Inc. (b) $ 197,680
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--1.0%
25,466 Flextronics International Ltd. (b) 239,380
-------------
FOOD & STAPLES RETAILING--2.0%
3,906 Costco Wholesale Corp. 273,967
9,758 Whole Foods Market, Inc. 231,167
-------------
505,134
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--3.1%
7,112 DENTSPLY International, Inc. 261,722
11,879 Hologic, Inc. (b) 258,962
990 Intuitive Surgical, Inc. (b) 266,706
-------------
787,390
-------------
HEALTH CARE PROVIDERS &
SERVICES--3.0%
3,963 Express Scripts, Inc. (b) 248,559
5,066 Henry Schein, Inc. (b) 261,254
8,359 Patterson Cos., Inc. (b) 245,671
-------------
755,484
-------------
HOTELS, RESTAURANTS &
LEISURE--1.9%
15,738 Starbucks Corp. (b) 247,716
2,934 Wynn Resorts Ltd. 238,681
-------------
486,397
-------------
HOUSEHOLD DURABLES--0.9%
5,417 Garmin Ltd. 232,064
-------------
INTERNET & CATALOG RETAIL--3.9%
3,449 Amazon.com, Inc. (b) 252,914
12,426 Expedia, Inc. (b) 228,390
13,099 IAC/InterActiveCorp (b) 252,549
16,339 Liberty Media Corp. - Interactive,
Class A (b) 241,164
-------------
975,017
-------------
INTERNET SOFTWARE & SERVICES--6.0%
7,440 Akamai Technologies, Inc. (b) 258,838
806 Baidu.com, Inc., ADR (b) 252,246
9,504 eBay, Inc. (b) 259,744
490 Google, Inc., Class A (b) 257,946
6,968 VeriSign, Inc. (b) 263,390
10,518 Yahoo!, Inc. (b) 217,302
-------------
1,509,466
-------------
IT SERVICES--4.1%
7,998 Cognizant Technology Solutions
Corp., Class A (b) 260,015
5,562 Fiserv, Inc. (b) 252,348
5,858 Infosys Technologies Ltd., ADR 254,589
|
Page 36 See Notes to Financial Statements.
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
8,384 Paychex, Inc. $ 262,251
-------------
1,029,203
-------------
MACHINERY--1.9%
3,177 Joy Global, Inc. 240,912
5,601 PACCAR, Inc. 234,290
-------------
475,202
-------------
MEDIA--8.6%
12,675 Comcast Corp., Class A 240,445
10,039 DIRECTV Group (The), Inc. (b) 260,111
10,842 Discovery Holding Co., Class A (b) 238,090
7,916 DISH Network Corp., Class A (b) 231,780
8,945 Focus Media Holding Ltd., ADR (b) 247,956
7,049 Lamar Advertising Co., Class A (b) 253,976
7,847 Liberty Global, Inc., Class A (b) 246,631
108,207 Sirius Satellite Radio, Inc. (b) 207,757
17,294 Virgin Media, Inc. 235,371
-------------
2,162,117
-------------
METALS & MINING--1.1%
7,316 Steel Dynamics, Inc. 285,836
-------------
MULTILINE RETAIL--1.0%
3,377 Sears Holdings Corp. (b) 248,750
-------------
PHARMACEUTICALS--1.1%
6,173 Teva Pharmaceutical Industries
Ltd., ADR 282,723
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--11.4%
12,049 Altera Corp. 249,414
14,722 Applied Materials, Inc. 281,043
10,160 Broadcom Corp., Class A (b) 277,266
12,144 Intel Corp. 260,853
6,493 KLA-Tencor Corp. 264,330
7,182 Lam Research Corp. (b) 259,629
7,921 Linear Technology Corp. 257,987
16,310 Marvell Technology Group Ltd. (b) 288,035
7,989 Microchip Technology, Inc. 243,984
11,558 NVIDIA Corp. (b) 216,366
10,190 Xilinx, Inc. 257,298
-------------
2,856,205
-------------
SOFTWARE--12.3%
8,174 Activision, Inc. (b) 278,487
6,574 Adobe Systems, Inc. (b) 258,950
6,865 Autodesk, Inc. (b) 232,106
11,150 CA, Inc. 257,454
24,351 Cadence Design Systems, Inc. (b) 245,945
11,222 Check Point Software Technologies
Ltd. (b) 265,625
8,019 Citrix Systems, Inc. (b) 235,839
5,848 Electronic Arts, Inc. (b) 259,827
9,563 Intuit, Inc. (b) 263,652
Shares Description Value
-------------------------------------------------------------
SOFTWARE (CONTINUED)
10,116 Microsoft Corp. $ 278,291
12,382 Oracle Corp. (b) 260,022
13,760 Symantec Corp. (b) 266,256
-------------
3,102,454
-------------
SPECIALTY RETAIL--3.2%
9,127 Bed Bath & Beyond, Inc. (b) 256,469
12,409 PetSmart, Inc. 247,560
11,971 Staples, Inc. 284,311
-------------
788,340
-------------
TRADING COMPANIES &
DISTRIBUTORS--1.0%
5,702 Fastenal Co. 246,098
-------------
WIRELESS TELECOMMUNICATION
SERVICES--2.8%
4,775 Leap Wireless International, Inc. (b) 206,137
2,419 Millicom International Cellular SA 250,367
5,378 NII Holdings, Inc. (b) 255,400
-------------
711,904
-------------
TOTAL INVESTMENTS--100.3%
(Cost $29,832,077) 25,215,046
NET OTHER ASSETS AND
LIABILITIES--(0.3%) (71,938)
-------------
NET ASSETS--100.0% $ 25,143,108
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
ADR -- American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 25,215,046
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 25,215,046
==================
|
See Notes to Financial Statements. Page 37
First Trust NASDAQ-100-Technology Sector Index(SM) Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.4%
COMMUNICATIONS EQUIPMENT--10.3%
17,110 Cisco Systems, Inc. (b) $ 397,979
17,040 Juniper Networks, Inc. (b) 377,947
9,633 QUALCOMM, Inc. 427,416
3,456 Research In Motion Ltd. (b) 404,006
-------------
1,607,348
-------------
COMPUTERS & PERIPHERALS--14.9%
2,446 Apple Computer, Inc. (b) 409,558
19,128 Dell, Inc. (b) 418,521
14,072 Logitech International SA (b) 377,130
19,128 NetApp Inc. (b) 414,312
16,453 SanDisk Corp. (b) 307,671
36,889 Sun Microsystems, Inc. (b) 401,352
-------------
2,328,544
-------------
INTERNET SOFTWARE & SERVICES--13.1%
12,148 Akamai Technologies, Inc. (b) 422,629
1,316 Baidu.com, ADR (b) 411,855
801 Google, Inc., Class A (b) 421,662
11,378 VeriSign, Inc. (b) 430,089
17,175 Yahoo!, Inc. (b) 354,836
-------------
2,041,071
-------------
IT SERVICES--5.4%
13,060 Cognizant Technology Solutions
Corp., Class A (b) 424,581
9,566 Infosys Technologies Ltd., ADR 415,738
-------------
840,319
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--29.9%
19,675 Altera Corp. 407,273
24,039 Applied Materials, Inc. 458,906
16,591 Broadcom Corp., Class A (b) 452,768
19,830 Intel Corp. 425,948
10,602 KLA-Tencor Corp. 431,607
11,728 Lam Research Corp. (b) 423,967
12,934 Linear Technology Corp. 421,260
26,634 Marvell Technology Group Ltd. (b) 470,357
13,045 Microchip Technology, Inc. 398,394
18,874 NVIDIA Corp. (b) 353,321
16,640 Xilinx, Inc. 420,160
-------------
4,663,961
-------------
SOFTWARE--26.8%
10,735 Adobe Systems, Inc. (b) 422,852
11,210 Autodesk, Inc. (b) 379,010
18,208 CA, Inc. 420,423
39,764 Cadence Design Systems, Inc. (b) 401,616
18,325 Check Point Software Technologies
Ltd. (b) 433,753
13,094 Citrix Systems, Inc. (b) 385,095
15,616 Intuit, Inc. (b) 430,533
16,519 Microsoft Corp. 454,437
20,218 Oracle Corp. (b) 424,578
Shares Description Value
-------------------------------------------------------------
SOFTWARE (CONTINUED)
22,469 Symantec Corp. (b) $ 434,775
-------------
4,187,072
-------------
TOTAL INVESTMENTS-100.4%
(Cost $18,604,786) $ 15,668,315
NET OTHER ASSETS AND
LIABILITIES--(0.4%) (60,117)
-------------
NET ASSETS--100.0% $ 15,608,198
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 15,668,315
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 15,668,315
==================
|
Page 38 See Notes to Financial Statements.
First Trust Amex(R) Biotechnology Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.1%
BIOTECHNOLOGY--75.0%
59,640 Amgen, Inc. (b) $ 2,812,622
81,776 Amylin Pharmaceuticals, Inc. (b) 2,076,293
166,114 Applera Corp. - Celera Group (b) 1,887,055
39,516 Biogen Idec, Inc. (b) 2,208,549
38,121 Celgene Corp. (b) 2,434,788
40,705 Cephalon, Inc. (b) 2,714,616
35,308 Genentech, Inc. (b) 2,679,877
33,864 Genzyme Corp. (b) 2,438,885
45,935 Gilead Sciences, Inc. (b) 2,432,258
423,152 Human Genome Sciences, Inc. (b) 2,204,622
55,798 ImClone Systems, Inc. (b) 2,257,587
141,600 InterMune, Inc. (b) 1,857,792
73,361 OSI Pharmaceuticals, Inc. (b) 3,031,277
266,825 PDL BioPharma, Inc. 2,833,682
99,705 Vertex Pharmaceuticals, Inc. (b) 3,337,127
-------------
37,207,030
-------------
LIFE SCIENCES TOOLS &
SERVICES--24.1%
230,145 Affymetrix, Inc. (b) 2,368,192
35,034 Illumina, Inc. (b) 3,051,813
59,457 Invitrogen Corp. (b) 2,334,282
35,804 Millipore Corp. (b) 2,429,659
525,327 Nektar Therapeutics (b) 1,759,845
-------------
11,943,791
-------------
TOTAL INVESTMENTS--99.1%
(Cost $58,709,435) 49,150,821
NET OTHER ASSETS AND
LIABILITIES--0.9% 448,429
-------------
NET ASSETS--100.0% $ 49,599,250
=============
|
(a) All percentages shown in Portfolio of Investments are based on net assets.
(b) Non-income producing security.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 49,150,821
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
------------------
Total $ 49,150,821
==================
|
See Notes to Financial Statements. Page 39
First Trust Dow Jones Internet Index(SM) Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--98.8%
CAPITAL MARKETS--4.5%
73,927 E*TRADE Financial Corp. (b) $ 232,131
42,135 TD Ameritrade Holding Corp. (b) 762,222
-------------
994,353
-------------
COMMERCIAL SERVICES &
SUPPLIES--1.9%
20,852 Monster Worldwide, Inc. (b) 429,760
-------------
COMMUNICATIONS EQUIPMENT--9.7%
90,995 Juniper Networks, Inc. (b) 2,018,269
46,816 Sonus Networks, Inc. (b) 160,111
-------------
2,178,380
-------------
HEALTH CARE TECHNOLOGY--2.2%
9,906 Allscripts Healthcare Solutions,
Inc. (b) 122,933
31,648 HLTH Corp. (b) 358,256
-------------
481,189
-------------
INTERNET & CATALOG RETAIL--19.9%
29,302 Amazon.com, Inc. (b) 2,148,716
36,422 Expedia, Inc. (b) 669,436
33,653 IAC/InterActiveCorp. (b) 648,830
8,461 NetFlix, Inc. (b) 220,578
2,772 Overstock.com, Inc. (b) 71,933
6,078 Priceline.com, Inc. (b) 701,766
-------------
4,461,259
-------------
INTERNET SOFTWARE & SERVICES--48.1%
28,988 Akamai Technologies, Inc. (b) 1,008,493
14,809 Ariba, Inc. (b) 217,840
22,280 Art Technology Group, Inc. (b) 71,296
8,487 CMGI, Inc. (b) 89,962
6,890 DealerTrack Holdings, Inc. (b) 97,218
6,476 Digital River, Inc. (b) 249,844
19,285 EarthLink, Inc. (b) 166,815
84,386 eBay, Inc. (b) 2,306,270
4,269 Google, Inc., Class A (b) 2,247,287
3,659 GSI Commerce, Inc. (b) 49,872
8,796 Internap Network Services Corp. (b) 41,165
7,903 Interwoven, Inc. (b) 94,915
7,747 j2 Global Communications, Inc. (b) 178,181
16,817 RealNetworks, Inc. (b) 110,992
10,019 SonicWALL, Inc. (b) 64,623
11,806 United Online, Inc. 118,414
16,602 ValueClick, Inc. (b) 251,520
28,970 VeriSign, Inc. (b) 1,095,066
7,819 Websense, Inc. (b) 131,672
104,566 Yahoo!, Inc. (b) 2,160,334
-------------
10,751,779
-------------
IT SERVICES--1.3%
11,817 CyberSource Corp. (b) 197,698
14,442 Sapient Corp. (b) 92,718
-------------
290,416
-------------
Shares Description Value
-------------------------------------------------------------
SOFTWARE--11.2%
30,685 Check Point Software Technologies
Ltd. (b) $ 726,314
7,518 Concur Technologies, Inc. (b) 249,823
12,327 Quest Software, Inc. (b) 182,563
16,133 Salesforce.com, Inc. (b) 1,100,754
32,526 TIBCO Software, Inc. (b) 248,824
-------------
2,508,278
-------------
TOTAL COMMON STOCKS--98.8%
(Cost $26,443,865) 22,095,414
MONEY MARKET FUND--0.3%
78,048 Morgan Stanley Institutional Treasury
Money Market Fund--1.85 % (c)
(Cost $78,048) 78,048
-------------
TOTAL INVESTMENTS--99.1%
(Cost $26,521,913) 22,173,462
NET OTHER ASSETS AND
LIABILITIES--0.9% 198,548
-------------
NET ASSETS--100.0% $ 22,372,010
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at June 30, 2008.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 22,095,414
Level 2 - Other Significant Observable Inputs 78,048
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 22,173,462
==================
|
Page 40 See Notes to Financial Statements.
First Trust DB Strategic Value Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.0%
AEROSPACE & DEFENSE--2.3%
25,079 Boeing (The) Co. $ 1,648,192
-------------
BIOTECHNOLOGY--5.2%
43,153 Amgen, Inc. (b) 2,035,095
30,028 Biogen Idec, Inc. (b) 1,678,265
-------------
3,713,360
-------------
COMPUTERS & PERIPHERALS--4.9%
80,720 Dell, Inc. (b) 1,766,154
40,026 Hewlett-Packard Co. 1,769,549
-------------
3,535,703
-------------
ENERGY EQUIPMENT &
SERVICES--2.7%
30,376 Noble Corp. 1,973,225
-------------
HEALTH CARE PROVIDERS &
SERVICES--5.0%
33,832 Cardinal Health, Inc. 1,745,055
33,389 McKesson Corp. 1,866,779
-------------
3,611,834
-------------
HOTELS, RESTAURANTS &
LEISURE--4.6%
49,273 Carnival Corp. 1,624,038
104,691 Starbucks Corp. (b) 1,647,836
-------------
3,271,874
-------------
INDUSTRIAL CONGLOMERATES--2.3%
63,012 General Electric Co. 1,681,790
-------------
MACHINERY--4.8%
37,648 Illinois Tool Works, Inc. 1,788,657
44,236 Ingersoll-Rand Co. Ltd., Class A 1,655,753
-------------
3,444,410
-------------
MEDIA--7.1%
86,985 CBS Corp., Class B 1,695,338
106,240 News Corp., Class A 1,597,850
121,105 Time Warner, Inc. 1,792,353
-------------
5,085,541
-------------
METALS & MINING--2.5%
24,074 Nucor Corp. 1,797,606
-------------
MULTILINE RETAIL--2.3%
41,314 Kohl's Corp. (b) 1,654,213
------------
OFFICE ELECTRONICS--2.7%
141,215 Xerox Corp. 1,914,875
-------------
OIL, GAS & CONSUMABLE
FUELS--16.2%
14,320 Apache Corp. 1,990,480
19,391 Chevron Corp. 1,922,230
20,666 ConocoPhillips 1,950,664
21,710 Exxon Mobil Corp. 1,913,302
38,017 Marathon Oil Corp. 1,971,942
Shares Description Value
-------------------------------------------------------------
OIL, GAS & CONSUMABLE
FUELS (CONTINUED)
21,221 Occidental Petroleum Corp. $ 1,906,919
-------------
11,655,537
-------------
PHARMACEUTICALS--18.3%
89,473 Bristol-Myers Squibb Co. 1,836,881
39,201 Eli Lilly & Co. 1,809,518
28,956 Johnson & Johnson 1,863,029
49,856 Merck & Co., Inc. 1,879,073
103,850 Pfizer, Inc. 1,814,260
93,576 Schering-Plough Corp. 1,842,511
43,570 Wyeth 2,089,616
-------------
13,134,888
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.4%
78,024 NVIDIA Corp. (b) 1,460,609
60,533 Texas Instruments, Inc. 1,704,610
-------------
3,165,219
-------------
SOFTWARE--2.6%
68,512 Microsoft Corp. 1,884,765
-------------
SPECIALTY RETAIL--9.3%
40,801 Best Buy Co., Inc. 1,615,720
108,439 Gap (The), Inc. 1,807,678
69,469 Home Depot (The), Inc. 1,626,964
78,752 Lowe's Cos., Inc. 1,634,104
-------------
6,684,466
-------------
WIRELESS TELECOMMUNICATION
SERVICES--2.8%
210,748 Sprint Nextel Corp. 2,002,106
-------------
TOTAL INVESTMENTS--100.0%
(Cost $77,458,889) 71,859,604
NET OTHER ASSETS AND
LIABILITIES--(0.0%) (34,361)
-------------
NET ASSETS--100.0% $ 71,825,243
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 71,859,604
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 71,859,604
==================
|
See Notes to Financial Statements. Page 41
First Trust Value Line(R) Equity Allocation Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.0%
AEROSPACE & DEFENSE--2.3%
2,944 GenCorp, Inc. (b) $ 21,079
1,565 Northrop Grumman Corp. 104,699
1,888 Raytheon Co. 106,256
-------------
232,034
-------------
AIR FREIGHT & LOGISTICS--1.0%
1,754 United Parcel Service, Inc., Class B 107,818
-------------
AUTOMOBILES--1.0%
1,139 Toyota Motor Corp., ADR 107,066
-------------
BIOTECHNOLOGY--0.8%
2,156 Applera Corp. - Celera Group (b) 24,492
2,755 Incyte Corp. (b) 20,966
1,043 Martek Biosciences Corp. (b) 35,159
-------------
80,617
-------------
CAPITAL MARKETS--1.4%
2,680 Bank of New York Mellon (The) 101,384
1,192 Federated Investors, Inc., Class B 41,029
-------------
142,413
-------------
CHEMICALS--2.6%
2,724 E.I. du Pont de Nemours & Co. 116,832
2,849 Hercules, Inc. 48,234
563 NewMarket Corp. 37,287
1,632 Olin Corp. 42,726
633 OM Group, Inc. (b) 20,756
-------------
265,835
-------------
COMMERCIAL BANKS--0.5%
1,253 Whitney Holding Corp. 22,930
954 Zions Bancorporation 30,041
-------------
52,971
-------------
COMMERCIAL SERVICES &
SUPPLIES--4.5%
7,094 Allied Waste Industries, Inc. (b) 89,526
797 Brink's (The) Co. 52,140
606 Clean Harbors, Inc. (b) 43,062
1,283 Copart, Inc. (b) 54,938
1,122 Herman Miller, Inc. 27,927
1,066 HNI Corp. 18,826
2,526 MPS Group, Inc. (b) 26,851
3,356 Pitney Bowes, Inc. 114,439
2,116 Rollins, Inc. 31,359
-------------
459,068
-------------
COMMUNICATIONS EQUIPMENT--3.9%
765 Comtech Telecommunications Corp. (b) 37,485
5,260 Corning, Inc. 121,243
4,147 JDS Uniphase Corp. (b) 47,110
2,953 QUALCOMM, Inc. 131,024
9,680 Sycamore Networks, Inc. (b) 31,170
5,563 UTStarcom, Inc. (b) 30,430
-------------
398,462
-------------
Shares Description Value
-------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.6%
1,756 Western Digital Corp. (b) $ 60,635
-------------
CONSTRUCTION MATERIALS--0.4%
706 Vulcan Materials Co. 42,205
-------------
DIVERSIFIED CONSUMER
SERVICES--0.3%
696 Matthews International Corp.,
Class A 31,501
-------------
DIVERSIFIED FINANCIAL SERVICES--0.7%
2,936 Bank of America Corp. 70,082
-------------
ELECTRIC UTILITIES--2.9%
1,294 Cleco Corp. 30,189
6,731 Duke Energy Corp. 116,985
1,366 Portland General Electric Co. 30,762
2,788 Progress Energy, Inc. 116,622
-------------
294,558
-------------
ELECTRICAL EQUIPMENT--0.2%
590 II-VI, Inc. (b) 20,603
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--2.3%
5,273 Celestica, Inc. (b) 44,451
1,255 Dolby Laboratories, Inc.,
Class A (b) 50,577
11,101 Flextronics International Ltd. (b) 104,349
986 Tech Data Corp. (b) 33,416
-------------
232,793
-------------
ENERGY EQUIPMENT & SERVICES--4.3%
1,142 Diamond Offshore Drilling, Inc. 158,898
3,669 Halliburton Co. 194,714
1,198 Helmerich & Payne, Inc. 86,280
-------------
439,892
-------------
FOOD & STAPLES RETAILING--2.5%
3,946 Safeway, Inc. 112,658
2,539 Wal-Mart Stores, Inc. 142,692
-------------
255,350
-------------
FOOD PRODUCTS--3.4%
2,989 Archer-Daniels-Midland Co. 100,879
1,133 Bunge Ltd. 122,013
2,032 Flowers Foods, Inc. 57,587
937 Lancaster Colony Corp. 28,372
1,477 TreeHouse Foods, Inc. (b) 35,832
-------------
344,683
-------------
GAS UTILITIES--2.4%
1,800 Atmos Energy Corp. 49,626
799 Energen Corp. 62,346
695 Northwest Natural Gas Co. 32,151
1,321 Piedmont Natural Gas Co., Inc. 34,557
1,158 Southwest Gas Corp. 34,427
1,004 WGL Holdings, Inc. 34,879
-------------
247,986
-------------
|
Page 42 See Notes to Financial Statements.
First Trust Value Line(R) Equity Allocation Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT &
SUPPLIES--1.7%
1,376 Becton, Dickinson & Co. $ 111,869
944 Cyberonics, Inc. (b) 20,485
984 Kinetic Concepts, Inc. (b) 39,271
-------------
171,625
-------------
HEALTH CARE PROVIDERS &
SERVICES--1.4%
740 Amedisys, Inc. (b) 37,311
1,565 Laboratory Corp. of America
Holdings (b) 108,971
-------------
146,282
-------------
HOTELS, RESTAURANTS &
LEISURE--0.9%
976 CEC Entertainment, Inc. (b) 27,338
962 Panera Bread Co., Class A (b) 44,501
2,849 Texas Roadhouse, Inc., Class A (b) 25,556
-------------
97,395
-------------
HOUSEHOLD DURABLES--3.8%
2,786 Leggett & Platt, Inc. 46,721
5,965 Matsushita Electric Industrial Co.,
Ltd., ADR 127,771
80 NVR, Inc. (b) 40,006
1,011 Snap-On, Inc. 52,582
2,879 Sony Corp., ADR 125,927
-------------
393,007
-------------
INDUSTRIAL CONGLOMERATES--1.1%
1,576 3M Co. 109,674
-------------
INSURANCE--11.2%
140 Alleghany Corp. (b) 46,487
1,812 American Financial Group, Inc. 48,471
2,383 Chubb (The) Corp. 116,792
3,840 CNA Financial Corp. 96,576
500 Everest Re Group Ltd. 39,855
5,377 Genworth Financial, Inc., Class A 95,764
1,108 Hanover Insurance Group, Inc. 47,090
2,767 Loews Corp. 129,773
1,009 Mercury General Corp. 47,140
3,266 Old Republic International Corp. 38,669
617 PartnerRe Ltd. 42,653
899 Reinsurance Group of America, Inc. 39,124
616 RLI Corp. 30,474
736 Transatlantic Holdings, Inc. 41,562
2,658 Travelers (The) Cos., Inc. 115,358
5,455 Unum Group 111,555
1,653 W.R. Berkley Corp. 39,936
1,160 XL Capital Ltd., Class A 23,850
-------------
1,151,129
-------------
INTERNET & CATALOG RETAIL--0.9%
1,228 NetFlix, Inc. (b) 32,014
Shares Description Value
-------------------------------------------------------------
INTERNET & CATALOG RETAIL (CONTINUED)
486 Priceline.com, Inc. (b) $ 56,114
-------------
88,128
-------------
INTERNET SOFTWARE & SERVICES--0.3%
2,413 Interwoven, Inc. (b) 28,980
-------------
IT SERVICES--0.4%
757 ManTech International Corp.,
Class A (b) 36,427
-------------
LEISURE EQUIPMENT &
PRODUCTS--0.3%
2,501 Callaway Golf Co. 29,587
-------------
LIFE SCIENCES TOOLS &
SERVICES--0.9%
1,149 Parexel International Corp. (b) 30,230
744 Techne Corp. (b) 57,578
-------------
87,808
-------------
MACHINERY--0.8%
1,194 Donaldson Co., Inc. 53,300
823 Tecumseh Products Co., Class A (b) 26,978
-------------
80,278
-------------
MARINE--0.5%
1,031 Kirby Corp. (b) 49,488
-------------
MEDIA--0.3%
951 Scholastic Corp. (b) 27,256
-------------
METALS & MINING--7.1%
1,881 BHP Billiton Ltd. PLC, ADR 160,243
916 Cleveland-Cliffs, Inc. 109,178
774 Compass Minerals International, Inc. 62,353
1,064 Fording Canadian Coal Trust 101,729
2,063 Nucor Corp. 154,045
1,296 Southern Copper Corp. 138,192
-------------
725,740
-------------
MULTI-UTILITIES--2.3%
1,342 Alliant Energy Corp. 45,977
1,456 Avista Corp. 31,246
2,893 Consolidated Edison, Inc. 113,087
2,666 NiSource, Inc. 47,775
-------------
238,085
-------------
OIL, GAS & CONSUMABLE
FUELS--4.2%
1,384 Alpha Natural Resources, Inc. (b) 144,337
1,515 Exxon Mobil Corp. 133,517
1,220 Massey Energy Co. 114,375
918 Quicksilver Resources, Inc. (b) 35,472
-------------
427,701
-------------
PAPER & FOREST PRODUCTS--0.9%
3,888 International Paper Co. 90,590
-------------
|
See Notes to Financial Statements. Page 43
First Trust Value Line(R) Equity Allocation Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PERSONAL PRODUCTS--2.8%
1,824 Alberto-Culver Co. $ 47,916
410 Chattem, Inc. (b) 26,671
2,842 Estee Lauder (The) Cos., Inc.,
Class A 132,011
1,220 Herbalife Ltd. 47,275
2,021 Nu Skin Enterprises, Inc., Class A 30,153
-------------
284,026
-------------
PHARMACEUTICALS--3.7%
2,936 GlaxoSmithKline PLC, ADR 129,830
1,998 Novo-Nordisk A/S, ADR 131,868
2,654 Teva Pharmaceutical Industries
Ltd., ADR 121,553
-------------
383,251
-------------
REAL ESTATE INVESTMENT TRUST--0.9%
6,041 Annaly Capital Management, Inc. 93,696
-------------
ROAD & RAIL--2.0%
1,305 Kansas City Southern (b) 57,407
1,975 Union Pacific Corp. 149,112
-------------
206,519
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--1.7%
1,800 Linear Technology Corp. 58,626
4,182 Texas Instruments, Inc. 117,765
-------------
176,391
-------------
SOFTWARE--0.2%
673 Advent Software, Inc. (b) 24,282
-------------
SPECIALTY RETAIL--6.2%
1,861 Aeropostale, Inc. (b) 58,305
4,143 Bed Bath & Beyond, Inc. (b) 116,418
2,650 Best Buy Co., Inc. 104,940
6,258 Gap (The), Inc. 104,321
757 Gymboree (The) Corp. (b) 30,333
901 Sherwin-Williams (The) Co. 41,383
4,080 TJX (The) Cos., Inc. 128,398
1,634 Urban Outfitters, Inc. (b) 50,964
-------------
635,062
-------------
TEXTILES, APPAREL & LUXURY
GOODS--0.7%
1,398 Fossil, Inc. (b) 40,639
1,277 Wolverine World Wide, Inc. 34,058
-------------
74,697
-------------
THRIFTS & MORTGAGE FINANCE--0.9%
2,860 New York Community Bancorp, Inc. 51,023
2,899 People's United Financial, Inc. 45,224
-------------
96,247
-------------
TOBACCO--2.6%
5,491 Altria Group, Inc. 112,895
1,717 British American Tobacco PLC, ADR 118,902
Shares Description Value
-------------------------------------------------------------
TOBACCO (CONTINUED)
653 Universal Corp. $ 29,529
-------------
261,326
-------------
TRADING COMPANIES &
DISTRIBUTORS--0.3%
1,160 Applied Industrial Technologies,
Inc. 28,037
-------------
WIRELESS TELECOMMUNICATION
SERVICES--1.0%
3,662 Vodafone Group PLC, ADR 107,883
-------------
TOTAL COMMON STOCKS--100.0%
(Cost $10,319,302) $ 10,237,169
MONEY MARKET FUND--1.0%
94,985 Morgan Stanley Institutional Treasury
Money Market Fund -- 1.85% (c)
(Cost $94,985) 94,985
-------------
TOTAL INVESTMENTS--101.0%
(Cost $10,414,287) 10,332,154
NET OTHER ASSETS AND
LIABILITIES--(1.0%) (99,433)
-------------
NET ASSETS--100.0% $ 10,232,721
=============
|
(a) All percentages shown in Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at June 30, 2008.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 10,237,169
Level 2 - Other Significant Observable Inputs 94,985
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 10,332,154
==================
|
Page 44 See Notes to Financial Statements.
First Trust Value Line(R) Dividend Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.9%
AEROSPACE & DEFENSE--0.6%
12,682 Northrop Grumman Corp. $ 848,426
-------------
AIR FREIGHT & LOGISTICS--0.6%
13,388 United Parcel Service, Inc., Class B 822,960
-------------
AUTO COMPONENTS--1.2%
17,449 Autoliv, Inc. 813,472
13,648 Magna International, Inc., Class A 808,508
-------------
1,621,980
-------------
AUTOMOBILES--0.6%
9,066 Toyota Motor Corp., ADR 852,204
-------------
BEVERAGES--1.3%
16,656 Coca-Cola (The) Co. 865,779
13,726 PepsiCo, Inc. 872,836
-------------
1,738,615
-------------
CAPITAL MARKETS--1.2%
22,122 Bank of New York Mellon (The) 836,875
24,560 Federated Investors, Inc., Class B 845,355
-------------
1,682,230
-------------
CHEMICALS--2.5%
23,581 Dow Chemical (The) Co. 823,213
19,510 E.I. du Pont de Nemours & Co. 836,784
21,769 International Flavors & Fragrances, Inc. 850,297
14,639 PPG Industries, Inc. 839,839
-------------
3,350,133
-------------
COMMERCIAL BANKS--12.0%
43,337 Associated Banc-Corp. 835,971
17,553 Bank of Hawaii Corp. 839,033
21,012 Bank of Montreal 866,325
18,478 Bank of Nova Scotia 846,662
36,901 BB&T Corp. 840,236
21,647 City National Corp. 910,689
21,595 Commerce Bancshares, Inc. 856,458
17,119 Cullen/Frost Bankers, Inc. 853,382
12,289 M&T Bank Corp. 866,866
52,710 Marshall & Ilsley Corp. 808,044
15,687 PNC Financial Services Group, Inc. 895,728
19,454 Royal Bank of Canada 869,010
24,683 SunTrust Banks, Inc. 894,018
100,693 Synovus Financial Corp. 879,050
14,052 Toronto-Dominion Bank (The) 875,018
30,696 U.S. Bancorp 856,111
36,567 Wells Fargo & Co. 868,466
30,000 Wilmington Trust Corp. 793,200
28,534 Zions Bancorporation 898,536
-------------
16,352,803
-------------
COMMERCIAL SERVICES &
SUPPLIES--2.5%
18,959 Avery Dennison Corp. 832,869
25,484 Pitney Bowes, Inc. 869,004
Shares Description Value
-------------------------------------------------------------
COMMERCIAL SERVICES &
SUPPLIES (CONTINUED)
28,756 R.R. Donnelley & Sons Co. $ 853,766
22,994 Waste Management, Inc. 867,104
-------------
3,422,743
-------------
COMPUTERS & PERIPHERALS--0.6%
24,311 Diebold, Inc. 864,985
-------------
CONTAINERS & PACKAGING--1.2%
37,478 Bemis Co., Inc. 840,257
26,441 Sonoco Products Co. 818,349
-------------
1,658,606
-------------
DISTRIBUTORS--0.6%
21,668 Genuine Parts Co. 859,786
-------------
DIVERSIFIED FINANCIAL SERVICES--1.2%
34,278 Bank of America Corp. 818,216
24,060 JPMorgan Chase & Co. 825,498
-------------
1,643,714
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--2.5%
25,803 AT&T, Inc. 869,303
62,341 Telecom Corp. of New Zealand
Ltd., ADR 842,227
11,181 Telefonica SA, ADR 889,784
24,704 Verizon Communications, Inc. 874,522
-------------
3,475,836
-------------
ELECTRIC UTILITIES--8.9%
19,948 ALLETE, Inc. 837,816
50,006 Duke Energy Corp. 869,104
7,222 Entergy Corp. 870,107
9,757 Exelon Corp. 877,740
10,845 FirstEnergy Corp. 892,869
13,264 FPL Group, Inc. 869,853
33,262 Great Plains Energy, Inc. 840,863
34,912 Hawaiian Electric Industries, Inc. 863,374
27,516 Pinnacle West Capital Corp. 846,667
37,336 Portland General Electric Co. 840,807
17,079 PPL Corp. 892,719
20,775 Progress Energy, Inc. 869,018
25,440 Southern Co. 888,365
39,045 Westar Energy, Inc. 839,858
-------------
12,099,160
-------------
ELECTRICAL EQUIPMENT--1.2%
16,541 Emerson Electric Co. 817,952
20,139 Hubbell, Inc., Class B 802,942
-------------
1,620,894
-------------
FOOD & STAPLES RETAILING--0.6%
30,728 Sysco Corp. 845,327
-------------
FOOD PRODUCTS--6.8%
26,520 Campbell Soup Co. 887,358
|
See Notes to Financial Statements. Page 45
First Trust Value Line(R) Dividend Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
39,924 ConAgra Foods, Inc. $ 769,735
13,992 General Mills, Inc. 850,294
17,889 H.J. Heinz Co. 855,989
26,528 Hershey (The) Co. 869,588
20,254 J.M. Smucker (The) Co. 823,123
17,446 Kellogg Co. 837,757
30,287 Kraft Foods, Inc., Class A 861,665
23,924 McCormick & Co., Inc. 853,130
70,405 Sara Lee Corp. 862,461
30,760 Unilever PLC, ADR 873,892
-------------
9,344,992
-------------
GAS UTILITIES--5.7%
25,969 AGL Resources, Inc. 898,008
32,060 Atmos Energy Corp. 883,894
15,038 National Fuel Gas Co. 894,460
26,153 New Jersey Resources Corp. 853,895
18,715 Northwest Natural Gas Co. 865,756
32,566 Piedmont Natural Gas Co. 851,927
22,746 South Jersey Industries, Inc. 849,791
31,192 UGI Corp. 895,522
24,912 WGL Holdings, Inc. 865,443
-------------
7,858,696
-------------
HOTELS, RESTAURANTS &
LEISURE--0.6%
15,561 McDonald's Corp. 874,839
-------------
HOUSEHOLD DURABLES--1.2%
13,883 Fortune Brands, Inc. 866,438
49,950 Leggett & Platt, Inc. 837,662
-------------
1,704,100
-------------
HOUSEHOLD PRODUCTS--2.5%
16,557 Clorox (The) Co. 864,275
12,887 Colgate-Palmolive Co. 890,491
14,488 Kimberly-Clark Corp. 866,093
14,097 Procter & Gamble (The) Co. 857,239
-------------
3,478,098
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--0.6%
10,675 Constellation Energy Group 876,418
-------------
INDUSTRIAL CONGLOMERATES--2.5%
12,159 3M Co. 846,145
32,376 General Electric Co. 864,115
21,753 Otter Tail Corp. 844,669
15,358 Teleflex, Inc. 853,751
-------------
3,408,680
-------------
INSURANCE--8.7%
18,652 Allstate (The) Corp. 850,345
34,939 Arthur J. Gallagher & Co. 842,030
17,452 Chubb (The) Corp. 855,323
33,064 Cincinnati Financial Corp. 839,826
Shares Description Value
-------------------------------------------------------------
INSURANCE (CONTINUED)
18,586 Erie Indemnity Co., Class A $ 857,743
10,680 Everest Re Group Ltd. 851,303
12,951 Hartford Financial Services Group
(The), Inc. 836,246
18,656 Lincoln National Corp. 845,490
24,553 Manulife Financial Corp. 852,235
18,280 Mercury General Corp. 854,042
17,958 Nationwide Financial Services,
Class A 862,163
68,768 Old Republic International Corp. 814,213
21,893 Protective Life Corp. 833,029
19,784 Travelers (The) Cos., Inc. 858,625
-------------
11,852,613
-------------
IT SERVICES--1.3%
20,917 Automatic Data Processing, Inc. 876,422
27,722 Paychex, Inc. 867,144
-------------
1,743,566
-------------
MACHINERY--0.6%
18,359 Illinois Tool Works, Inc. 872,236
-------------
MEDIA--2.5%
39,656 Gannett Co., Inc. 859,346
33,808 Interactive Data Corp. 849,595
31,116 Meredith Corp. 880,271
26,980 Thomson (The) Corp. 868,486
-------------
3,457,698
-------------
MULTI-UTILITIES--8.9%
24,787 Alliant Energy Corp. 849,203
20,626 Ameren Corp. 871,036
22,278 Consolidated Edison, Inc. 870,847
18,672 Dominion Resources, Inc. 886,733
36,402 Energy East Corp. 899,857
17,083 Integrys Energy Group, Inc. 868,329
25,893 NSTAR 875,701
26,988 OGE Energy Corp. 855,789
22,233 PG&E Corp. 882,428
23,345 SCANA Corp. 863,765
15,955 Sempra Energy 900,660
27,636 Vectren Corp. 862,520
18,903 Wisconsin Energy Corp. 854,794
43,274 Xcel Energy, Inc. 868,509
-------------
12,210,171
-------------
OIL, GAS & CONSUMABLE FUELS--3.3%
13,032 BP PLC, ADR 906,636
8,955 Chevron Corp. 887,709
11,340 Royal Dutch Shell PLC, ADR 926,592
10,780 Total SA, ADR 919,211
22,368 TransCanada Corp. 867,207
-------------
4,507,355
-------------
PHARMACEUTICALS--5.9%
16,340 Abbott Laboratories 865,530
45,031 Bristol-Myers Squibb Co. 924,486
18,637 Eli Lilly & Co. 860,284
|
Page 46 See Notes to Financial Statements.
First Trust Value Line(R) Dividend Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
20,208 GlaxoSmithKline PLC, ADR $ 893,598
13,798 Johnson & Johnson 887,763
17,195 Novartis AG, ADR 946,414
51,042 Pfizer, Inc. 891,704
27,567 Sanofi-Aventis, ADR 916,051
18,539 Wyeth 889,130
-------------
8,074,960
-------------
REAL ESTATE INVESTMENT TRUSTS--3.8%
12,480 Federal Realty Investment Trust 861,120
20,407 Plum Creek Timber Co., Inc. 871,583
11,046 Public Storage 892,407
9,507 Simon Property Group, Inc. 854,584
28,488 Washington Real Estate Investment
Trust 856,064
28,905 Weingarten Realty Investors 876,400
-------------
5,212,158
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--0.6%
39,674 Intel Corp. 852,198
-------------
SPECIALTY RETAIL--1.2%
35,399 Home Depot (The), Inc. 829,045
17,696 Sherwin-Williams (The) Co. 812,777
-------------
1,641,822
-------------
TEXTILES, APPAREL & LUXURY
GOODS--0.7%
12,458 VF Corp. 886,760
-------------
THRIFTS & MORTGAGE FINANCE--1.9%
42,629 Astoria Financial Corp. 855,990
22,899 Capitol Federal Financial 861,232
45,798 Washington Federal, Inc. 828,944
-------------
2,546,166
-------------
TOBACCO--1.3%
42,445 Altria Group, Inc. 872,670
19,020 Universal Corp. 860,084
-------------
1,732,754
-------------
TOTAL INVESTMENTS--99.9%
(Cost $154,022,956) 136,896,682
NET OTHER ASSETS AND
LIABILITIES--0.1% 118,680
--------------
NET ASSETS--100.0% $ 137,015,362
==============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 136,896,682
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 136,896,682
==================
|
See Notes to Financial Statements. Page 47
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (B)--100.2%
AIR FREIGHT & LOGISTICS--3.3%
1,058 C.H. Robinson Worldwide, Inc. $ 58,021
1,418 Expeditors International of
Washington, Inc. 60,974
-------------
118,995
-------------
AIRLINES--2.9%
2,240 Ryanair Holdings PLC, ADR (c) 64,221
7,474 UAL Corp. 39,014
-------------
103,235
-------------
BEVERAGES--1.5%
1,879 Hansen Natural Corp. (c) 54,153
-------------
BIOTECHNOLOGY--14.1%
1,459 Amgen, Inc. (c) 68,807
2,159 Amylin Pharmaceuticals, Inc. (c) 54,817
1,034 Biogen Idec, Inc. (c) 57,790
1,053 Celgene Corp. (c) 67,255
934 Cephalon, Inc. (c) 62,288
950 Genzyme Corp. (c) 68,419
1,179 Gilead Sciences, Inc. (c) 62,428
2,003 Vertex Pharmaceuticals, Inc. (c) 67,040
-------------
508,844
-------------
CHEMICALS--1.7%
1,111 Sigma-Aldrich Corp. 59,838
-------------
COMMERCIAL SERVICES &
SUPPLIES--4.9%
2,296 Cintas Corp. 60,867
2,800 Monster Worldwide, Inc. (c) 57,708
1,131 Stericycle, Inc. (c) 58,473
-------------
177,048
-------------
CONSTRUCTION & ENGINEERING--1.7%
853 Foster Wheeler Ltd. (c) 62,397
-------------
DIVERSIFIED CONSUMER
SERVICES--1.7%
1,354 Apollo Group, Inc., Class A (c) 59,928
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--1.3%
15,562 Level 3 Communications, Inc. (c) 45,908
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--1.5%
5,914 Flextronics International Ltd. (c) 55,592
-------------
FOOD & STAPLES RETAILING--3.2%
906 Costco Wholesale Corp. 63,547
2,267 Whole Foods Market, Inc. 53,705
-------------
117,252
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--5.0%
1,651 DENTSPLY International, Inc. 60,757
2,758 Hologic, Inc. (c) 60,124
Shares Description Value
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
229 Intuitive Surgical, Inc. (c) $ 61,693
-------------
182,574
-------------
HEALTH CARE PROVIDERS &
SERVICES--4.8%
921 Express Scripts, Inc. (c) 57,765
1,177 Henry Schein, Inc. (c) 60,698
1,940 Patterson Cos., Inc. (c) 57,017
-------------
175,480
-------------
HOTELS, RESTAURANTS &
LEISURE--3.1%
3,655 Starbucks Corp. (c) 57,530
681 Wynn Resorts Ltd. 55,399
-------------
112,929
-------------
HOUSEHOLD DURABLES--1.5%
1,258 Garmin Ltd. 53,893
-------------
INTERNET & CATALOG RETAIL--6.2%
801 Amazon.com, Inc. (c) 58,737
2,885 Expedia, Inc. (c) 53,026
3,042 IAC/InterActiveCorp. (c) 58,650
3,795 Liberty Media Corp. - Interactive,
Class A (c) 56,014
-------------
226,427
-------------
INTERNET SOFTWARE & SERVICES--1.7%
2,208 eBay, Inc. (c) 60,345
-------------
IT SERVICES--3.3%
1,291 Fiserv, Inc. (c) 58,573
1,947 Paychex, Inc. 60,902
-------------
119,475
-------------
MACHINERY--3.0%
738 Joy Global, Inc. 55,962
1,302 PACCAR, Inc. 54,463
-------------
110,425
-------------
MEDIA--13.9%
2,944 Comcast Corp., Class A 55,848
2,332 DIRECTV Group (The), Inc. (c) 60,421
2,517 Discovery Holding Co., Class A (c) 55,273
1,839 DISH Network Corp., Class A (c) 53,846
2,076 Focus Media Holding Ltd., ADR (c) 57,547
1,638 Lamar Advertising Co., Class A (c) 59,016
1,823 Liberty Global, Inc., Class A (c) 57,297
25,128 Sirius Satellite Radio, Inc. (c) 48,246
4,016 Virgin Media, Inc. 54,658
-------------
502,152
-------------
METALS & MINING--1.8%
1,699 Steel Dynamics, Inc. 66,380
-------------
|
Page 48 See Notes to Financial Statements.
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (B) (CONTINUED)
MULTILINE RETAIL--1.6%
785 Sears Holdings Corp. (c) $ 57,823
-------------
PHARMACEUTICALS--1.8%
1,434 Teva Pharmaceutical Industries
Ltd., ADR 65,677
-------------
SOFTWARE--3.4%
1,899 Activision, Inc. (c) 64,699
1,358 Electronic Arts, Inc. (c) 60,336
-------------
125,035
-------------
SPECIALTY RETAIL--5.1%
2,120 Bed Bath & Beyond, Inc. (c) 59,572
2,881 PetSmart, Inc. 57,476
2,780 Staples, Inc. 66,025
-------------
183,073
-------------
TRADING COMPANIES &
DISTRIBUTORS--1.6%
1,323 Fastenal Co. 57,101
-------------
WIRELESS TELECOMMUNICATION
SERVICES--4.6%
1,109 Leap Wireless International, Inc. (c) 47,876
561 Millicom International Cellular SA 58,064
1,250 NII Holdings, Inc. (c) 59,362
-------------
165,302
-------------
TOTAL COMMON STOCKS--100.2%
(Cost $4,112,111) 3,627,281
MONEY MARKET FUND--0.8%
28,300 Morgan Stanley Institutional Treasury
Money Market Fund--1.85% (d)
(Cost $28,300) 28,300
-------------
TOTAL INVESTMENTS--101.0%
(Cost $4,140,411) 3,655,581
NET OTHER ASSETS AND
LIABILITIES--(1.0%) (35,276)
-------------
|
NET ASSETS--100.0% $ 3,620,305
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) The industry allocation is based on Standard & Poor's Global Industry
Classification Standard (GICS), and is different than the industry sector
classification system used by the Index to select securities, which is the
Industry Classification Benchmark (ICB) system, the joint classification
system of Dow Jones Indexes and FTSE Group.
(c) Non-income producing security.
(d) Represents annualized 7-day yield at June 30, 2008.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
------------------------------------------------------------
Level 1 - Quoted Prices $ 3,627,281
Level 2 - Other Significant Observable Inputs 28,300
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 3,655,581
==================
|
See Notes to Financial Statements. Page 49
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.1%
AEROSPACE & DEFENSE--2.9%
13,306 Ascent Solar Technologies, Inc. (b) $ 137,717
69,301 Hexcel Corp. (b) 1,337,509
-------------
1,475,226
-------------
AUTO COMPONENTS--0.5%
59,292 Ballard Power Systems, Inc. (b) 247,248
-------------
BIOTECHNOLOGY--0.3%
16,418 Metabolix, Inc. (b) 160,896
-------------
CHEMICALS--1.4%
61,046 Altair Nanotechnologies, Inc. (b) 103,778
24,599 Zoltek Cos., Inc. (b) 596,526
-------------
700,304
-------------
COMMERCIAL SERVICES &
SUPPLIES--0.5%
14,254 EnerNOC, Inc. (b) 255,859
-------------
ELECTRICAL EQUIPMENT--43.8%
35,893 Advanced Battery Technologies,
Inc. (b) 207,103
20,760 Akeena Solar, Inc. (b) 116,671
30,338 American Superconductor Corp. (b) 1,087,617
33,310 Baldor Electric Co. 1,165,184
20,062 Canadian Solar, Inc. (b) 806,292
105,164 Capstone Turbine Corp (b) 440,637
38,448 China BAK Battery, Inc. (b) 181,090
29,255 Energy Conversion Devices, Inc. (b) 2,154,338
87,728 Evergreen Solar, Inc. (b) 850,084
17,239 First Solar, Inc. (b) 4,703,145
49,181 FuelCell Energy, Inc. (b) 349,185
74,557 GrafTech International Ltd. (b) 2,000,364
14,301 Hoku Scientific, Inc. (b) 71,791
72,093 JA Solar Holdings Co. Ltd., ADR (b) 1,214,767
28,280 Medis Technologies Ltd., (b) 95,304
19,462 Orion Energy Systems, Inc. (b) 194,620
63,734 Plug Power, Inc. (b) 149,775
63,178 Power-One, Inc. (b) 119,406
19,525 Solarfun Power Holdings Co., Ltd.,
ADR (b) 341,688
27,346 SunPower Corp., Class A (b) 1,968,365
72,307 Suntech Power Holdings Co. Ltd.,
ADR (b) 2,708,620
12,562 Ultralife Batteries, Inc. (b) 134,288
83,420 Valence Technology, Inc. (b) 369,551
21,563 Vicor Corp. 215,199
33,325 Yingli Green Energy Holding Co.
Ltd., ADR (b) 530,534
-------------
22,175,618
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--8.5%
123,576 AVX Corp. 1,397,645
15,760 Comverge, Inc. (b) 220,325
29,502 Echelon Corp. (b) 321,572
Shares Description Value
-------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS (CONTINUED)
22,344 Itron, Inc. (b) $ 2,197,531
15,040 Maxwell Technologies, Inc. (b) 159,725
-------------
4,296,798
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--0.5%
16,517 Greatbatch, Inc. (b) 285,744
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--3.2%
32,740 Ormat Technologies, Inc. 1,610,153
-------------
OIL, GAS & CONSUMABLE
FUELS--1.9%
30,318 Aventine Renewable Energy
Holdings, Inc. (b) 133,399
13,889 Gushan Enviromental Energy
Ltd., ADR 161,390
79,491 Nova Biosource Fuels, Inc. (b) 53,259
31,878 Pacific Ethanol, Inc. (b) 57,699
114,008 VeraSun Energy (b) 470,853
45,975 Verenium Corp. (b) 88,732
-------------
965,332
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--36.6%
32,967 Advanced Analogic Technologies,
Inc. (b) 136,154
64,771 Cree, Inc. (b) 1,477,427
55,842 EMCORE Corp. (b) 349,571
89,985 Fairchild Semiconductor
International, Inc. (b) 1,055,524
52,380 International Rectifier Corp. (b) 1,005,696
22,458 IXYS Corp. (b) 268,149
20,056 LDK Solar Co., Ltd., ADR (b) 759,721
123,577 Linear Technology Corp. 4,024,903
66,484 MEMC Electronic Materials, Inc. (b) 4,091,424
56,797 Microsemi Corp. (b) 1,430,148
27,392 O2Micro International Ltd., ADR (b) 182,157
283,664 ON Semiconductor Corp. (b) 2,601,199
21,960 Power Integrations, Inc. (b) 694,156
14,165 Trina Solar Ltd., ADR (b) 434,016
-------------
18,510,245
-------------
TOTAL INVESTMENTS--100.1%
(Cost $54,306,697) 50,683,423
NET OTHER ASSETS AND
LIABILITIES--(0.1%) (48,572)
-------------
NET ASSETS--100.0% $ 50,634,851
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
ADR - American Depositary Receipt.
Page 50 See Notes to Financial Statements.
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 50,683,423
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 50,683,423
==================
|
See Notes to Financial Statements. Page 51
First Trust S&P REIT Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.5%
REAL ESTATE INVESTMENT TRUSTS--99.5%
275 Acadia Realty Trust $ 6,366
67 Agree Realty Corp. 1,477
274 Alexandria Real Estate Equities,
Inc. 26,671
836 AMB Property Corp. 42,118
360 American Campus Communities, Inc. 10,022
61 American Land Lease, Inc. 1,159
766 Apartment Investment & Management
Co. 26,090
879 Ashford Hospitality Trust 4,061
126 Associated Estates Realty Corp. 1,349
657 AvalonBay Communities, Inc. 58,578
612 BioMed Realty Trust, Inc. 15,012
1,022 Boston Properties, Inc. 92,205
748 Brandywine Realty Trust 11,788
435 BRE Properties, Inc. 18,827
454 Camden Property Trust 20,094
566 CBL & Associates Properties, Inc. 12,927
379 Cedar Shopping Centers, Inc. 4,442
113 Cogdell Spencer, Inc. 1,836
405 Colonial Properties Trust 8,108
406 Corporate Office Properties Trust 13,938
315 Cousins Properties, Inc. 7,277
1,465 DCT Industrial Trust, Inc. 12,130
1,022 Developers Diversified Realty Corp. 35,474
809 DiamondRock Hospitality Co. 8,810
562 Digital Realty Trust, Inc. 22,991
1,252 Duke Realty Corp. 28,107
212 EastGroup Properties, Inc. 9,095
243 Education Realty Trust, Inc. 2,831
261 Entertainment Properties Trust 12,904
210 Equity Lifestyle Properties, Inc. 9,240
316 Equity One, Inc. 6,494
2,309 Equity Residential 88,365
218 Essex Property Trust, Inc. 23,217
678 Extra Space Storage, Inc. 10,414
502 Federal Realty Investment Trust 34,638
537 FelCor Lodging Trust, Inc. 5,639
378 First Industrial Realty Trust, Inc. 10,384
209 First Potomac Realty Trust 3,185
2,283 General Growth Properties, Inc. 79,973
323 Glimcher Realty Trust 3,611
2,005 HCP, Inc. 63,779
766 Health Care REIT, Inc. 34,087
433 Healthcare Realty Trust, Inc. 10,292
403 Hersha Hospitality Trust 3,043
489 Highwoods Properties, Inc. 15,364
270 Home Properties, Inc. 12,976
802 Hospitality Properties Trust 19,617
4,457 Host Hotels & Resorts, Inc. 60,838
1,924 HRPT Properties Trust 13,025
501 Inland Real Estate Corp. 7,224
490 Investors Real Estate Trust 4,675
1,147 iStar Financial, Inc. 15,152
279 Kilroy Realty Corp. 13,121
2,165 Kimco Realty Corp. 74,736
Shares Description Value
-------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
249 Kite Realty Group Trust $ 3,113
342 LaSalle Hotel Properties 8,594
515 Lexington Realty Trust 7,019
791 Liberty Property Trust 26,222
173 LTC Properties, Inc. 4,422
638 Macerich (The) Co. 39,639
561 Mack-Cali Realty Corp. 19,169
566 Medical Properties Trust, Inc. 5,728
224 Mid-America Apartment Communities,
Inc. 11,433
206 Monmouth Real Estate Investment Corp. 1,318
202 National Health Investors, Inc. 5,759
627 National Retail Properties, Inc. 13,104
822 Nationwide Health Properties, Inc. 25,885
69 One Liberty Properties, Inc. 1,125
130 Parkway Properties, Inc. 4,385
336 Pennsylvania Real Estate Investment
Trust 7,775
1,460 Plum Creek Timber Co., Inc. 62,357
376 Post Properties, Inc. 11,186
336 Potlatch Corp. 15,160
2,237 ProLogis 121,582
131 PS Business Parks, Inc. 6,760
1,054 Public Storage 85,153
158 Ramco-Gershenson Properties Trust 3,245
669 Rayonier, Inc. 28,406
865 Realty Income Corp. 19,687
597 Regency Centers Corp. 35,295
93 Saul Centers, Inc. 4,370
955 Senior Housing Properties Trust 18,651
1,918 Simon Property Group, Inc. 172,410
498 SL Green Realty Corp. 41,195
186 Sovran Self Storage, Inc. 7,730
635 Strategic Hotels & Resorts, Inc. 5,950
138 Sun Communities, Inc. 2,516
438 Sunstone Hotel Investors, Inc. 7,271
150 Supertel Hospitality, Inc. 744
269 Tanger Factory Outlet Centers, Inc. 9,665
451 Taubman Centers, Inc. 21,941
1,094 UDR, Inc. 24,484
101 Universal Health Realty Income Trust 3,030
188 Urstadt Biddle Properties, Inc. 2,756
415 U-Store-It Trust 4,959
1,182 Ventas, Inc. 50,318
1,154 Vornado Realty Trust 101,553
422 Washington Real Estate Investment
Trust 12,681
638 Weingarten Realty Investors 19,344
506 Winthrop Realty Trust, Inc. 1,822
-------------
TOTAL COMMON STOCKS--99.5%
(Cost $2,747,489) 2,226,687
-------------
|
Page 52 See Notes to Financial Statements.
First Trust S&P REIT Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
MONEY MARKET FUND--2.4%
53,035 Morgan Stanley Institutional Treasury
Money Market Fund--1.85% (b)
(Cost $53,035) $ 53,035
-------------
TOTAL INVESTMENTS--101.9%
(Cost $2,800,524) 2,279,722
NET OTHER ASSETS AND
LIABILITIES--(1.9%) (43,059)
-------------
|
NET ASSETS--100.0% $ 2,236,663
(a) All percentages shown in Portfolio of Investments are based on net assets.
(b) Represents annualized 7-day yield at June 30, 2008.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
------------------------------------------------------------
Level 1 - Quoted Prices $ 2,226,687
Level 2 - Other Significant Observable Inputs 53,035
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 2,279,722
==================
|
See Notes to Financial Statements. Page 53
First Trust ISE Water Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.9%
BUILDING PRODUCTS--1.4%
4,909 Ameron International Corp. $ 588,982
-------------
CHEMICALS--6.6%
14,667 Arch Chemicals, Inc. 486,211
47,263 Calgon Carbon Corp. (b) 730,686
74,985 Nalco Holding Co. 1,585,933
-------------
2,802,830
-------------
COMMERCIAL SERVICES &
SUPPLIES--3.7%
70,584 Tetra Tech, Inc. (b) 1,596,610
-------------
CONSTRUCTION & ENGINEERING--7.2%
51,352 Insituform Technologies, Inc.,
Class A (b) 782,091
29,166 Layne Christensen Co. (b) 1,277,179
18,285 Northwest Pipe Co. (b) 1,020,303
-------------
3,079,573
-------------
DIVERSIFIED FINANCIAL SERVICES--1.3%
13,142 PICO Holdings, Inc. (b) 571,020
-------------
ELECTRICAL EQUIPMENT--6.7%
32,864 Franklin Electric Co., Inc. 1,274,466
24,112 Roper Industries, Inc. 1,588,498
-------------
2,862,964
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--2.2%
9,517 Itron, Inc. (b) 935,997
-------------
LIFE SCIENCES TOOLS & SERVICES--3.0%
19,032 Millipore Corp. (b) 1,291,512
-------------
MACHINERY--43.8%
18,466 Badger Meter, Inc. 933,087
43,249 Crane Co. 1,666,384
98,392 Flow International Corp. (b) 767,458
13,569 Flowserve Corp. 1,854,882
33,150 Gorman-Rupp (The) Co. 1,320,696
46,731 IDEX Corp. 1,721,570
28,690 ITT Corp. 1,816,938
12,714 Lindsay Corp. 1,080,309
26,289 Mueller Industries, Inc. 846,506
169,811 Mueller Water Products Inc.,
Class A, ADR 1,370,375
13,480 Pall Corp. 534,886
53,439 Pentair, Inc. 1,871,433
13,693 Valmont Industries, Inc. 1,428,043
59,399 Watts Water Technologies, Inc.,
Class A 1,479,035
-------------
18,691,602
-------------
MULTI-UTILITIES--3.9%
29,964 Veolia Environment, ADR 1,673,489
-------------
WATER UTILITIES--20.1%
25,264 American States Water Co. 882,724
Shares Description Value
-------------------------------------------------------------
WATER UTILITIES (CONTINUED)
105,065 Aqua America, Inc. $ 1,677,888
37,197 California Water Service Group 1,218,946
86,971 Cascal N.V. (b) 1,069,743
34,802 Companhia de Saneamento Basico do
Estado de Sao Paulo, ADR (b) 1,780,470
33,605 Consolidated Water Co., Ltd. 665,379
29,157 SJW Corp. 769,745
53,895 Southwest Water Co. 540,028
-------------
8,604,923
-------------
TOTAL COMMON STOCKS--99.9%
(Cost $44,407,007) 42,699,502
MONEY MARKET FUND--3.6%
1,521,823 Morgan Stanley Institutional Treasury
Money Market Fund - 1.85% (c)
(Cost $1,521,823) 1,521,823
-------------
TOTAL INVESTMENTS--103.5%
(Cost $45,928,830) 44,221,325
NET OTHER ASSETS AND
LIABILITIES--(3.5%) (1,496,173)
-------------
NET ASSETS--100.0% $ 42,725,152
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at June 30, 2008.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 42,699,502
Level 2 - Other Significant Observable Inputs 1,521,823
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 44,221,325
==================
|
Page 54 See Notes to Financial Statements.
First Trust ISE-Revere Natural Gas Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.1%
GAS UTILITIES--3.4%
66,579 Questar Corp. $ 4,729,772
-------------
OIL, GAS & CONSUMABLE FUELS--96.7%
57,788 Anadarko Petroleum Corp. 4,324,854
32,274 Apache Corp. 4,486,086
182,548 Bois d'Arc Energy, Inc. (b) 4,437,742
67,281 Cabot Oil & Gas Corp. 4,556,942
75,409 Chesapeake Energy Corp. 4,973,978
63,504 Cimarex Energy Co. 4,424,324
360,385 Compton Petroleum Corp. (b) 4,580,493
66,499 Comstock Resources, Inc. (b) 5,614,511
47,408 ConocoPhillips 4,474,841
38,449 Devon Energy Corp. 4,620,032
158,580 Dorchester Minerals LP (d) 5,042,844
49,075 EnCana Corp. 4,462,390
97,147 Enerplus Resources Fund 4,492,077
34,293 EOG Resources, Inc. 4,499,242
129,945 Mariner Energy, Inc. (b) 4,804,067
148,218 McMoRan Exploration Co. (b) 4,078,959
72,205 Newfield Exploration Co. (b) 4,711,376
194,041 PetroQuest Energy, Inc. (b) 5,219,703
59,520 Pioneer Natural Resources Co. 4,659,226
112,621 Quicksilver Resources, Inc. (b) 4,351,675
157,352 Rosetta Resources, Inc. (b) 4,484,532
56,057 Royal Dutch Shell PLC, ADR 4,580,417
75,962 St. Mary Land & Exploration Co. 4,910,184
119,774 Statoil ASA, ADR 4,477,152
67,545 Stone Energy Corp. (b) 4,451,891
186,510 Talisman Energy, Inc. 4,127,466
47,855 Ultra Petroleum Corp.(b) 4,699,361
80,157 W&T Offshore, Inc. 4,689,986
65,688 XTO Energy, Inc. 4,500,285
-------------
133,736,636
-------------
TOTAL COMMON STOCKS--100.1%
(Cost $123,104,040) 138,466,408
MONEY MARKET FUND--0.2%
240,311 Morgan Stanley Institutional Treasury
Money Market Fund--1.85% (c)
(Cost $240,311) 240,311
-------------
TOTAL INVESTMENTS--100.3%
(Cost $123,344,351) 138,706,719
NET OTHER ASSETS AND
LIABILITIES--(0.3%) (366,746)
--------------
NET ASSETS--100.0% $ 138,339,973
==============
|
(a) All percentages shown in Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at June 30, 2008.
(d) Master limited partnership ("MLP")
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 138,466,408
Level 2 - Other Significant Observable Inputs 240,311
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 138,706,719
==================
|
See Notes to Financial Statements. Page 55
First Trust ISE Chindia Index Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--99.6%
COMMERCIAL BANKS--12.3%
69,941 HDFC Bank Ltd., ADR $ 5,011,972
161,524 ICICI Bank Ltd., ADR 4,645,430
-------------
9,657,402
-------------
CONSTRUCTION & ENGINEERING--0.7%
17,299 KHD Humboldt Wedag International
Ltd. (b) 545,437
-------------
DIVERSIFIED CONSUMER
SERVICES--0.7%
8,916 New Oriental Education &
Technology Group, Inc., ADR (b) 520,873
-------------
DIVERSIFIED TELECOMMUNICATIONS
--4.1%
10,281 China Netcom Group Corp., Ltd.,
ADR 561,240
9,997 China Telecom Corp., Ltd., ADR 543,737
129,780 Mahanagar Telephone Nigam.,
Ltd., ADR 552,863
84,696 Tata Communications Ltd., ADR 1,510,976
-------------
3,168,816
-------------
ELECTRICAL EQUIPMENT--6.7%
14,908 Canadian Solar, Inc. (b) 599,153
29,847 JA Solar Holdings Co., Ltd., ADR (b) 502,922
31,025 Solarfun Power Holdings Co., Ltd.,
ADR (b) 542,938
82,306 Suntech Power Holdings Co., Ltd.,
ADR (b) 3,083,182
30,844 Yingli Green Energy Holding Co.,
Ltd., ADR (b) 491,036
-------------
5,219,231
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--1.6%
14,388 China Medical Technologies, Inc.,
ADR 710,767
14,543 Mindray Medical International Ltd.,
ADR 542,745
-------------
1,253,512
-------------
HOTELS, RESTAURANTS &
LEISURE--1.3%
11,591 Ctrip.com International Ltd., ADR 530,636
55,691 Melco PBL Entertainment Ltd.,
ADR (b) 519,040
-------------
1,049,676
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--0.6%
17,667 Huaneng Power International,
Inc., ADR 488,493
-------------
Shares Description Value
-------------------------------------------------------------
INSURANCE--4.1%
61,550 China Life Insurance Co., Ltd.,
ADR $ 3,211,679
-------------
INTERNET SOFTWARE & SERVICES--9.3%
18,095 Baidu.com., ADR (b) 5,663,011
25,290 NetEase.com, Inc., ADR (b) 551,069
12,078 SINA Corp. (b) 513,919
7,320 Sohu.com, Inc. (b) 515,621
-------------
7,243,620
-------------
IT SERVICES--16.0%
125,102 Infosys Technologies Ltd., ADR 5,436,932
49,993 Patni Computer Systems Ltd., ADR 501,930
123,911 Satyam Computer Services Ltd.,
ADR 3,038,298
250,020 Wipro Ltd., ADR 3,045,244
31,530 WNS Holdings Ltd., ADR (b) 531,281
-------------
12,553,685
-------------
LIFE SCIENCES TOOLS & SERVICES--0.9%
32,737 WuXi PharmaTech Cayman, Inc.,
ADR (b) 664,561
-------------
MACHINERY--1.7%
136,073 Tata Motors Ltd., ADR 1,367,534
-------------
MARINE--0.7%
23,966 Seaspan Corp. 575,663
-------------
MEDIA--2.7%
56,758 Focus Media Holding Ltd., ADR (b) 1,573,332
34,383 VisionChina Media, Inc., ADR (b) 545,658
-------------
2,118,990
-------------
METALS & MINING--4.3%
15,920 Aluminum Corp. of China Ltd.,
ADR 454,357
184,046 Sterlite Industries (India) Ltd.,
ADR (b) 2,926,331
-------------
3,380,688
-------------
OIL, GAS & CONSUMABLE
FUELS--15.5%
17,694 China Petroleum & Chemical
Corp., ADR 1,643,596
20,172 CNOOC Ltd., ADR 3,500,649
50,470 Gushan Enviromental Energy
Ltd., ADR 586,461
45,541 PetroChina Co., Ltd., ADR 5,868,414
5,797 Yanzhou Coal Mining Co., Ltd.,
ADR 539,179
-------------
12,138,299
-------------
PHARMACEUTICALS--2.0%
101,402 Dr. Reddy's Laboratories
Ltd., ADR 1,581,871
-------------
|
Page 56 See Notes to Financial Statements.
First Trust ISE Chindia Index Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT--0.7%
50,778 E-House China Holdings Ltd.,
ADR (b) $ 576,838
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--3.5%
44,277 LDK Solar Co., Ltd., ADR (b) 1,677,213
32,664 Renesola Ltd., ADR (b) 565,087
14,912 Trina Solar Ltd., ADR (b) 456,904
-------------
2,699,204
-------------
SOFTWARE--2.1%
43,584 Giant Interactive Group, Inc.,
ADR (b) 528,238
23,118 Perfect World Co., Ltd., ADR (b) 577,719
19,342 Shanda Interactive Entertainment
Ltd., ADR (b) 525,135
-------------
1,631,092
-------------
WIRELESS TELECOMMUNICATION
SERVICES--8.1%
86,371 China Mobile Ltd., ADR 5,782,538
30,861 China Unicom Ltd., ADR 571,546
-------------
6,354,084
-------------
TOTAL INVESTMENTS--99.6%
(Cost $97,447,790) 78,001,248
NET OTHER ASSETS AND
LIABILITIES--0.4% 314,591
-------------
NET ASSETS--100.0% $ 78,315,839
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
ADR - American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 78,001,248
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 78,001,248
==================
|
See Notes to Financial Statements. Page 57
First Trust Value Line(R) 100 Exchange-Traded Fund
Portfolio of Investments (a)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS--100.3%
AEROSPACE & DEFENSE--1.0%
30,752 Axsys Technologies, Inc. (b) $ 1,600,334
-------------
AIR FREIGHT & LOGISTICS--1.0%
28,549 C.H. Robinson Worldwide, Inc. 1,565,627
-------------
BEVERAGES--1.1%
22,557 Central European Distribution
Corp. (b) 1,672,602
-------------
BIOTECHNOLOGY--2.1%
29,988 Gilead Sciences, Inc. (b) 1,587,865
48,340 Martek Biosciences Corp. (b) 1,629,541
-------------
3,217,406
-------------
CHEMICALS--9.8%
14,603 Agrium, Inc. 1,570,407
25,373 Airgas, Inc. 1,481,529
9,754 CF Industries Holdings, Inc. 1,490,411
20,804 FMC Corp. 1,611,062
11,561 Monsanto Co. 1,461,773
10,899 Mosaic (The) Co. (b) 1,577,085
23,171 NewMarket Corp. 1,534,615
6,951 Potash Corp. of Saskatchewan, Inc. 1,588,790
16,504 Praxair, Inc. 1,555,337
29,059 Sigma-Aldrich Corp. 1,565,118
-------------
15,436,127
-------------
COMMERCIAL SERVICES &
SUPPLIES--3.0%
21,790 Clean Harbors, Inc. (b) 1,548,397
33,900 Copart, Inc. (b) 1,451,598
25,150 FTI Consulting, Inc. (b) 1,721,769
-------------
4,721,764
-------------
COMMUNICATIONS
EQUIPMENT--1.8%
64,650 Corning, Inc. 1,490,183
11,478 Research In Motion Ltd. (b) 1,341,778
-------------
2,831,961
-------------
COMPUTERS & PERIPHERALS--2.0%
9,483 Apple Computer, Inc. (b) 1,587,833
45,437 Western Digital Corp. (b) 1,568,940
-------------
3,156,773
-------------
CONSTRUCTION &
ENGINEERING--2.0%
8,325 Fluor Corp. 1,549,116
18,620 Jacobs Engineering Group, Inc. (b) 1,502,634
-------------
3,051,750
-------------
DIVERSIFIED CONSUMER
SERVICES--1.0%
7,609 Strayer Education, Inc. 1,590,814
-------------
Shares Description Value
-------------------------------------------------------------
ELECTRICAL EQUIPMENT--1.9%
32,281 AMETEK, Inc. $ 1,524,309
43,327 II-VI, Inc. (b) 1,512,979
-------------
3,037,288
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--2.0%
33,781 Amphenol Corp., Class A 1,516,091
41,636 FLIR Systems, Inc. (b) 1,689,173
-------------
3,205,264
-------------
ENERGY EQUIPMENT &
SERVICES--7.3%
29,162 Cameron International Corp. (b) 1,614,117
19,972 ENSCO International, Inc. 1,612,539
30,977 Halliburton Co. 1,643,949
24,476 Noble Corp. 1,589,961
20,112 Smith International, Inc. 1,672,112
10,617 Transocean, Inc. (b) 1,617,925
35,141 Weatherford International Ltd. (b) 1,742,642
-------------
11,493,245
-------------
FOOD & STAPLES RETAILING--1.0%
28,992 Wal-Mart Stores, Inc. 1,629,350
-------------
FOOD PRODUCTS--1.1%
59,047 Flowers Foods, Inc. 1,673,392
-------------
GAS UTILITIES--1.1%
23,536 Questar Corp. 1,671,997
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--1.1%
147,407 CryoLife, Inc. (b) 1,686,336
-------------
HEALTH CARE PROVIDERS &
SERVICES--3.1%
32,029 Amedisys, Inc. (b) 1,614,902
25,591 Express Scripts, Inc. (b) 1,605,068
26,771 Universal Health Services, Inc.,
Class B 1,692,462
-------------
4,912,432
-------------
HOTELS, RESTAURANTS &
LEISURE--1.0%
35,125 Panera Bread Co., Class A (b) 1,624,883
-------------
HOUSEHOLD DURABLES--1.0%
74,642 Matsushita Electric Industrial Co.,
Ltd., ADR 1,598,832
-------------
INSURANCE--1.0%
25,462 AFLAC, Inc. 1,599,014
-------------
INTERNET & CATALOG RETAIL--0.9%
12,437 Priceline.com, Inc. (b) 1,435,976
-------------
IT SERVICES--1.0%
33,227 ManTech International Corp.,
Class A (b) 1,598,883
-------------
|
Page 58 See Notes to Financial Statements.
First Trust Value Line(R) 100 Exchange-Traded Fund
Portfolio of Investments (a) (Continued)
June 30, 2008 (Unaudited)
Shares Description Value
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS &
SERVICES--3.2%
94,755 eResearch Technology Inc (b) $ 1,652,527
19,847 Illumina, Inc. (b) 1,728,873
20,596 Techne Corp. (b) 1,593,924
-------------
4,975,324
-------------
MACHINERY--11.9%
21,133 Bucyrus International, Inc., Class A 1,543,132
22,318 Cummins, Inc. 1,462,275
33,234 Donaldson Co., Inc. 1,483,566
31,470 Dover Corp. 1,522,204
12,457 Flowserve Corp. 1,702,871
29,667 Gardner Denver, Inc. (b) 1,685,086
39,944 Gorman-Rupp (The) Co. 1,591,369
19,914 Joy Global, Inc. 1,510,079
12,440 K-Tron International Inc. (b) 1,612,224
16,440 Lindsay Corp. 1,396,907
21,517 Nordson Corp. 1,568,374
15,143 Valmont Industries, Inc. 1,579,263
-------------
18,657,350
-------------
MARINE--2.1%
27,182 Genco Shipping & Trading Ltd. 1,772,266
31,936 Kirby Corp. (b) 1,532,928
-------------
3,305,194
-------------
METALS & MINING--3.2%
14,758 Cleveland-Cliffs, Inc. 1,759,006
19,909 Compass Minerals International, Inc. 1,603,869
21,360 Nucor Corp. 1,594,951
-------------
4,957,826
-------------
OIL, GAS & CONSUMABLE
FUELS--16.6%
17,092 Alpha Natural Resources, Inc. (b) 1,782,524
11,410 Apache Corp. 1,585,990
22,021 Arch Coal, Inc. 1,652,236
26,592 Berry Petroleum Co., Class A 1,565,737
16,042 Canadian Natural Resources Ltd. 1,608,211
13,405 Devon Energy Corp. 1,610,745
12,115 EOG Resources, Inc. 1,589,488
12,785 Hess Corp. 1,613,339
17,585 Massey Energy Co. 1,648,594
17,461 Murphy Oil Corp. 1,712,050
40,041 Nexen, Inc. 1,591,630
15,907 Noble Energy, Inc. 1,599,608
20,726 Pioneer Natural Resources Co. 1,622,431
40,268 Quicksilver Resources, Inc. (b) 1,555,956
24,861 Range Resources Corp. 1,629,390
34,090 Southwestern Energy Co. (b) 1,623,025
-------------
25,990,954
-------------
ROAD & RAIL--3.0%
25,642 CSX Corp. 1,610,575
35,352 Kansas City Southern (b) 1,555,134
Shares Description Value
-------------------------------------------------------------
ROAD & RAIL (CONTINUED)
22,957 Ryder System, Inc. $ 1,581,278
-------------
4,746,987
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--2.0%
50,557 Linear Technology Corp. 1,646,642
60,909 Xilinx, Inc. 1,537,952
-------------
3,184,594
-------------
SOFTWARE--3.0%
34,938 ANSYS, Inc. (b) 1,646,278
44,454 BMC Software, Inc. (b) 1,600,344
51,461 Sybase, Inc. (b) 1,513,983
-------------
4,760,605
-------------
SPECIALTY RETAIL--5.0%
51,590 Aeropostale, Inc. (b) 1,616,314
34,146 Buckle (The), Inc. 1,561,496
38,756 Gymboree (The) Corp. (b) 1,552,953
43,626 Ross Stores, Inc. 1,549,596
49,761 Urban Outfitters, Inc. (b) 1,552,046
-------------
7,832,405
-------------
TEXTILES, APPAREL & LUXURY
GOODS--2.0%
24,546 NIKE, Inc., Class B 1,463,187
35,344 UniFirst Corp. 1,578,463
-------------
3,041,650
-------------
TOTAL INVESTMENTS--100.3%
(Cost $145,083,587) 157,464,939
NET OTHER ASSETS AND
LIABILITIES--(0.3%) (394,310)
--------------
|
NET ASSETS--100.0% $ 157,070,629
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
ADR- American Depositary Receipt.
A summary of the inputs used to value the Fund's net assets as of June 30, 2008
is as follows (See Note 2A):
Investments
in Securities
-------------------------------------------------------------
Level 1 - Quoted Prices $ 157,464,939
Level 2 - Other Significant Observable Inputs --
Level 3 - Significant Unobservable Inputs --
------------------
Total $ 157,464,939
==================
|
See Notes to Financial Statements. Page 59
First Trust Exchange-Traded Fund
Statements of Assets and Liabilities
June 30, 2008 (Unaudited)
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR(R) FIRST TRUST
MICROCAP DIVIDEND LEADERS(SM) IPOX-100
INDEX(SM) FUND INDEX FUND INDEX FUND
---------------- -------------------- ------------
ASSETS:
Investments at value $ 16,747,694 $ 45,076,571 $ 27,007,022
Cash 1,282 30,256 2,986
Receivables:
Capital shares sold 1,955,454 -- --
Investment securities sold -- 40,466 --
Dividends 17,068 121,162 28,082
Interest -- -- --
Reclaims -- -- --
From investment advisor 14,332 -- 5,276
Other assets 12,119 1,557 33,185
------------ ------------ ------------
TOTAL ASSETS 18,747,949 45,270,012 27,076,551
------------ ------------ ------------
LIABILITIES:
Due to Custodian -- -- --
Payables:
Investment securities purchased 1,954,153 -- --
Investment advisory fees 6,471 15,025 9,271
Licensing fees -- 27,215 --
Accrued expenses and other liabilities 68,191 69,996 62,578
------------ ------------ ------------
TOTAL LIABILITIES 2,028,815 112,236 71,849
------------ ------------ ------------
NET ASSETS $ 16,719,134 $ 45,157,776 $ 27,004,702
============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital $ 22,885,924 $ 76,125,298 $ 28,625,535
Par value 8,550 31,000 11,500
Undistributed net investment income (loss) 10,218 60,282 21,814
Accumulated net realized gain (loss) on investments (2,761,983) (13,225,688) (2,552,532)
Net unrealized appreciation (depreciation) on investments (3,423,575) (17,833,116) 898,385
------------ ------------ ------------
NET ASSETS $ 16,719,134 $ 45,157,776 $ 27,004,702
============ ============ ============
NET ASSET VALUE, per share $ 19.55 $ 14.57 $ 23.48
============ ============ ============
Number of shares outstanding
(unlimited number of shares has been authorized, par value $0.01 per share) 855,000 3,100,002 1,150,002
------------ ------------ ------------
Investments at cost $ 20,171,269 $ 62,909,687 $ 26,108,637
============ ============ ============
|
Page 60 See Notes to Financial Statements.
FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST VALUE LINE(R) FIRST TRUST
NASDAQ-100 NASDAQ-100- AMEX(R) DOW JONES DB STRATEGIC EQUITY VALUE LINE(R)
EQUAL WEIGHTED TECHNOLOGY SECTOR BIOTECHNOLOGY INTERNET VALUE ALLOCATION DIVIDEND
INDEX(SM) FUND INDEX(SM) FUND INDEX FUND INDEX(SM) FUND INDEX FUND INDEX FUND INDEX FUND
-------------- ----------------- ------------- -------------- ------------ ------------- -------------
$ 25,215,046 $ 15,668,315 $ 49,150,821 $ 22,173,462 $ 71,859,604 $ 10,332,154 $136,896,682
1,936 10,945 5,346 -- 10,539 -- --
-- -- -- -- -- -- --
-- -- 531,865 567,236 -- -- --
2,104 -- -- -- 112,913 17,869 354,224
-- -- -- 47 -- 37 --
-- -- -- -- -- 246 9,490
23,499 18,637 5,081 5,083 -- -- 39,628
639 528 1,703 10,936 13,338 -- 4,167
------------ ------------ ------------ ------------ ------------ ------------ ------------
25,243,224 15,698,425 49,694,816 22,756,764 71,996,394 10,350,306 137,304,191
------------ ------------ ------------ ------------ ------------ ------------ ------------
-- -- -- 36,525 -- 61,790 1,396
-- -- -- 280,462 -- -- --
8,860 5,498 16,738 7,405 30,831 5,055 60,563
6,445 4,090 9,529 -- 29,943 4,106 58,421
84,811 80,639 69,299 60,362 110,377 46,634 168,449
------------ ------------ ------------ ------------ ------------ ------------ ------------
100,116 90,227 95,566 384,754 171,151 117,585 288,829
------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 25,143,108 $ 15,608,198 $ 49,599,250 $ 22,372,010 $ 71,825,243 $ 10,232,721 $137,015,362
============ ============ ============ ============ ============ ============ ============
$ 31,785,895 $ 20,679,485 $ 62,673,531 $ 35,471,197 $ 80,060,763 $ 12,153,602 $171,889,537
13,000 8,000 22,000 10,000 32,500 5,500 97,880
(4,495) (5,425) (9,931) (4,546) 37,737 6,575 114,588
(2,034,261) (2,137,391) (3,527,736) (8,756,190) (2,706,472) (1,850,823) (17,960,369)
(4,617,031) (2,936,471) (9,558,614) (4,348,451) (5,599,285) (82,133) (17,126,274)
------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 25,143,108 $ 15,608,198 $ 49,599,250 $ 22,372,010 $ 71,825,243 $ 10,232,721 $137,015,362
============ ============ ============ ============ ============ ============ ============
$ 19.34 $ 19.51 $ 22.55 $ 22.37 $ 22.10 $ 18.60 $ 14.00
============ ============ ============ ============ ============ ============ ============
1,300,002 800,002 2,200,002 1,000,002 3,250,002 550,002 9,787,986
------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 29,832,077 $ 18,604,786 $ 58,709,435 $ 26,521,913 $ 77,458,889 $ 10,414,287 $154,022,956
============ ============ ============ ============ ============ ============ ============
|
See Notes to Financial Statements. Page 61
First Trust Exchange-Traded Fund
Statements of Assets and Liabilities (Continued)
June 30, 2008 (Unaudited)
FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ(R) CLEAN EDGE(R)
EX-TECHNOLOGY SECTOR U.S. LIQUID SERIES
INDEX(SM) FUND INDEX FUND
-------------------- -----------------------
ASSETS:
Investments at value $ 3,655,581 $ 50,683,423
Cash -- 21,482
Receivables:
Capital shares sold 1,825,047 2,516,058
Investment securities sold -- --
Dividends 249 --
Interest 46 --
Reclaims -- --
From investment advisor 222 4,874
Other assets -- --
------------ ------------
TOTAL ASSETS 5,481,145 53,225,837
------------ ------------
LIABILITIES:
Due to Custodian 1,278 --
Payables:
Investment securities purchased 1,825,195 2,519,185
Investment advisory fees 718 16,889
Licensing fees 506 12,382
Accrued expenses and other liabilities 33,143 42,530
------------ ------------
TOTAL LIABILITIES 1,860,840 2,590,986
------------ ------------
NET ASSETS $ 3,620,305 $ 50,634,851
============ ============
NET ASSETS CONSIST OF:
Paid-in capital $ 4,210,325 $ 57,049,872
Par value 2,000 20,500
Undistributed net investment income (loss) (352) (57,741)
Accumulated net realized gain (loss) on investments (106,838) (2,754,506)
Net unrealized appreciation (depreciation) on investments (484,830) (3,623,274)
------------ ------------
NET ASSETS $ 3,620,305 $ 50,634,851
============ ============
NET ASSET VALUE, per share $ 18.10 $ 24.70
============ ============
Number of shares outstanding
(unlimited number of shares has been authorized, par value $0.01 per share) 200,002 2,050,002
------------ ------------
Investments at cost $ 4,140,411 $ 54,306,697
============ ============
|
Page 62 See Notes to Financial Statements.
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
S&P ISE ISE-REVERE ISE FIRST TRUST
REIT WATER NATURAL GAS CHINDIA VALUE LINE(R) 100
INDEX FUND INDEX FUND INDEX FUND INDEX FUND EXCHANGE-TRADED FUND
---------- ----------- ----------- ----------- --------------------
$ 2,279,722 $ 44,221,325 $138,706,719 $ 78,001,248 $157,464,939
-- -- -- 96,180 --
-- -- -- -- --
1,045 -- -- -- --
9,381 27,733 13,538 314,121 50,842
33 525 329 -- --
-- -- -- -- 3,509
10,608 1,449 757 13,338 34,063
7,859 -- -- -- 3,958
------------ ------------ ------------ ------------ ------------
2,308,648 44,251,032 138,721,343 78,424,887 157,557,311
------------ ------------ ------------ ------------ ------------
31,389 1,454,280 258,848 -- 265,645
-- -- -- -- --
577 13,609 42,471 28,276 65,853
-- 3,554 23,293 17,411 62,789
40,019 54,437 56,758 63,361 92,395
------------ ------------ ------------ ------------ ------------
71,985 1,525,880 381,370 109,048 486,682
------------ ------------ ------------ ------------ ------------
$ 2,236,663 $ 42,725,152 $138,339,973 $ 78,315,839 $157,070,629
============ ============ ============ ============ ============
$ 2,848,243 $ 44,102,781 $115,261,829 $109,114,324 $162,587,905
1,500 19,500 44,000 39,500 95,900
6,880 2,033 (15,324) (86,657) (174,651)
(99,158) 308,343 7,687,100 (11,304,786) (17,819,877)
(520,802) (1,707,505) 15,362,368 (19,446,542) 12,381,352
------------ ------------ ------------ ------------ ------------
$ 2,236,663 $ 42,725,152 $138,339,973 $ 78,315,839 $157,070,629
============ ============ ============ ============ ============
$ 14.91 $ 21.91 $ 31.44 $ 19.83 $ 16.38
============ ============ ============ ============ ============
150,002 1,950,002 4,400,002 3,950,002 9,589,982
------------ ------------ ------------ ------------ ------------
$ 2,800,524 $ 45,928,830 $123,344,351 $ 97,447,790 $145,083,587
============ ============ ============ ============ ============
|
See Notes to Financial Statements. Page 63
First Trust Exchange-Traded Fund
Statements of Operations
For the Six Months Ended June 30, 2008 (Unaudited)
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR(R) FIRST TRUST
MICROCAP DIVIDEND LEADERS(SM) IPOX-100
INDEX(SM) FUND INDEX FUND INDEX FUND
---------------- -------------------- -------------
INVESTMENT INCOME:
Dividends (a) $ 98,798 $ 1,554,913 $ 120,175
Interest -- -- --
------------ ------------ ------------
Total investment income 98,798 1,554,913 120,175
------------ ------------ ------------
EXPENSES:
Investment advisory fees 39,025 88,688 44,266
Audit and tax fees 12,173 12,408 12,409
Accounting and administration fees 5,379 15,907 6,713
Licensing fees 12,465 52,081 32,458
Printing fees -- 9,922 --
Legal fees -- -- --
Custodian fees 2,194 4,427 2,136
Listing fees 4,987 4,987 4,987
Registration and filing fees -- -- --
Trustees' fees and expenses 714 2,213 1,898
Transfer agent fees 390 1,478 553
Other expenses 646 10,341 2,002
------------ ------------ -------------
Total Expenses 77,973 202,452 107,422
Less fees waived and expenses reimbursed by the investment advisor (31,143) (69,420) (41,023)
------------ ------------ -------------
Net Expenses 46,830 133,032 66,399
------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 51,968 1,421,881 53,776
------------ ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (194,853) (12,185,374) (1,862,375)
In-kind redemptions (13,869) (59,919) 665,632
------------ ------------ -------------
Net realized gain (loss) (208,722) (12,245,293) (1,196,743)
------------ ------------ -------------
Net change in unrealized appreciation (depreciation) on investments. (2,009,922) (5,750,328) (1,090,162)
------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (2,218,644) (17,995,621) (2,286,905)
------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ (2,166,676) $(16,573,740) $ (2,233,129)
============ ============ =============
|
(a) Net of foreign witholding taxes of $762 for the First Trust Morningstar(R)
Dividend Leaders(SM) Index Fund, $1,215 for the First Trust NASDAQ-100 Equal
Weighted Index(SM) Fund, $214 for the First Trust NASDAQ-100-Technology
Sector Index(SM) Fund and $973 for the First Trust Value Line(R) Equity
Allocation Index Fund.
Page 64 See Notes to Financial Statements.
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ-100- AMEX(R) DOW JONES DB STRATEGIC VALUE LINE(R)
EQUAL WEIGHTED TECHNOLOGY SECTOR BIOTECHNOLOGY INTERNET VALUE EQUITY ALLOCATION
INDEX(SM) FUND INDEX(SM) FUND INDEX FUND INDEX(SM) FUND INDEX FUND INDEX FUND
-------------- ----------------- ------------- -------------- ------------ -----------------
$ 84,121 $ 44,732 $ 743,278 $ 102,272 $ 665,964 $ 102,397
-- -- -- 1,035 -- 39
------------ ------------ ----------- ----------- ----------- -----------
84,121 44,732 743,278 103,307 665,964 102,436
------------ ------------ ----------- ----------- ----------- -----------
52,664 33,438 106,579 47,502 176,500 26,536
12,409 12,409 12,416 12,416 12,993 13,699
7,762 4,998 13,956 6,716 18,338 3,277
13,166 8,359 21,316 12,465 -- 8,436
-- -- 27,091 12,653 6,345 --
-- -- -- -- -- 2,357
2,352 1,648 3,730 1,905 4,793 1,374
18,031 19,147 6,013 4,991 5,204 5,021
-- -- -- -- -- --
194 2,451 796 -- 2,354 46
658 418 1,332 594 1,765 265
4,778 3,325 10,733 8,492 1,707 --
------------ ------------ ----------- ----------- ----------- -----------
112,014 86,193 203,962 107,734 229,999 61,011
(33,018) (36,036) (44,093) (36,481) (549) (23,861)
------------ ------------ ----------- ----------- ----------- -----------
78,996 50,157 159,869 71,253 229,450 37,150
------------ ------------ ----------- ----------- ----------- -----------
5,125 (5,425) 583,409 32,054 436,514 65,286
------------ ------------ ----------- ----------- ----------- -----------
(1,017,618) (795,256) (2,745,504) (1,596,148) (4,109,909) (839,616)
(146,719) (394,159) (415,325) (1,049,116) 2,790,134 428,084
------------ ------------ ----------- ----------- ----------- -----------
(1,164,337) (1,189,415) (3,160,829) (2,645,264) (1,319,775) (411,532)
------------ ------------ ----------- ----------- ----------- -----------
(2,970,125) (1,156,574) (3,656,003) (1,480,900) (3,996,097) (749,615)
------------ ------------ ----------- ----------- ----------- -----------
(4,134,462) (2,345,989) (6,816,832) (4,126,164) (5,315,872) (1,161,147)
------------ ------------ ----------- ----------- ----------- -----------
$( 4,129,337) $ (2,351,414) $(6,233,423) $(4,094,110) $(4,879,358) $(1,095,861)
============ ============ =========== =========== =========== ===========
|
See Notes to Financial Statements. Page 65
First Trust Exchange-Traded Fund
Statements of Operations (Continued)
For the Six Months Ended June 30, 2008 (Unaudited)
FIRST TRUST FIRST TRUST FIRST TRUST
VALUE LINE(R) NASDAQ-100 NASDAQ(R) CLEAN EDGE(R)
DIVIDEND EX-TECHNOLOGY SECTOR U.S. LIQUID SERIES
INDEX FUND INDEX(SM) FUND INDEX FUND
------------- -------------------- -----------------------
INVESTMENT INCOME:
Dividends (a) $ 2,880,581 $ 6,435 $ 81,262
Interest -- 477 --
------------ ----------- ------------
Total investment income 2,880,581 6,912 81,262
------------ ----------- ------------
EXPENSES:
Investment advisory fees 392,112 3,950 92,669
Audit and tax fees 10,589 15,891 15,882
Accounting and administration fees 39,795 1,582 12,682
Licensing fees 119,909 988 23,167
Printing fees 9,335 -- 5,993
Legal fees -- 2,493 2,992
Custodian fees 10,750 897 3,784
Listing fees 5,463 6,737 20,561
Registration and filing fees -- -- 75
Trustees' fees and expenses 934 9 737
Transfer agent fees 3,921 49 1,158
Other expenses 42,911 761 10,225
------------ ----------- ------------
Total Expenses 635,719 33,357 189,925
Less fees waived and expenses reimbursed by the investment
advisor (86,763) (27,433) (50,922)
------------ ----------- ------------
Net Expenses 548,956 5,924 139,003
------------ ----------- ------------
NET INVESTMENT INCOME (LOSS) 2,331,625 988 (57,741)
------------ ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (12,318,392) (46,940) (2,459,605)
In-kind redemptions 1,501,272 -- 161,183
------------ ----------- ------------
Net realized gain (loss) (10,817,120) (46,940) (2,298,422)
------------ ----------- ------------
Net change in unrealized appreciation (depreciation) on investments (7,565,750) (276,022) (9,195,243)
------------ ---------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) (18,382,870) (322,962) (11,493,665)
------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $(16,051,245) $ (321,974) $(11,551,406)
============ =========== ============
|
(a) Net of foreign witholding taxes of $34,872 for the First Trust Value
Line(R) Dividend Index Fund, $130 for the First Trust NASDAQ-100
Ex-Technology Sector Index(SM) Fund, $3,251 for the First Trust ISE-Revere
Natural Gas Index Fund and $4,850 for the First Trust Value Line(R) 100
Exchange-Traded Fund.
Page 66 See Notes to Financial Statements.
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
S&P ISE ISE-REVERE ISE FIRST TRUST
REIT WATER NATURAL GAS CHINDIA VALUE LINE(R) 100
INDEX FUND INDEX FUND INDEX FUND INDEX FUND EXCHANGE-TRADED FUND
----------- ----------- ----------- ----------- --------------------
$ 41,983 $ 118,834 $ 319,483 $ 686,840 $ 394,073
712 887 919 -- --
----------- ----------- ------------ ------------ ------------
42,695 119,721 320,402 686,840 394,073
----------- ----------- ------------ ------------ ------------
2,562 40,965 117,688 174,589 406,232
15,914 15,701 15,758 15,700 9,103
2,242 6,202 15,763 23,117 42,259
37,397 5,121 29,422 34,918 129,737
-- -- 2,236 23,165 21,943
2,493 2,493 2,493 3,491 --
1,845 2,863 5,517 7,998 11,378
5,033 5,584 5,584 5,584 6,148
-- -- 231 -- --
22 1,644 1,396 1,525 5,951
43 512 1,471 2,182 4,062
2,893 7,454 7,338 16,768 40,871
----------- ----------- ------------ ------------ ------------
70,444 88,539 204,897 309,037 677,684
(66,174) (27,091) (28,365) (47,154) (108,960)
----------- ----------- ------------ ------------ ------------
4,270 61,448 176,532 261,883 568,724
----------- ----------- ------------ ------------ ------------
38,425 58,273 143,870 424,957 (174,651)
----------- ----------- ------------ ------------ ------------
(50,857) (622,227) (1,485,218) (9,895,898) (17,954,631)
-- 966,570 9,278,204 529,499 11,322,642
----------- ----------- ------------ ------------ ------------
(50,857) 344,343 7,792,986 (9,366,399) (6,631,989)
----------- ----------- ------------ ------------ ------------
(136,487) (2,030,759) 15,341,608 (21,898,150) (10,284,403)
----------- ----------- ------------ ------------ ------------
(187,344) (1,686,416) 23,134,594 (31,264,549) (16,916,392)
----------- ----------- ------------ ------------ ------------
$ (148,919) $(1,628,143) $ 23,278,464 $(30,839,592) $(17,091,043)
=========== =========== ============ ============ ============
|
See Notes to Financial Statements. Page 67
First Trust Exchange-Traded Fund
Statements of Changes in Net Assets
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR(R)
MICROCAP DIVIDEND LEADERS(SM)
INDEX(SM) FUND INDEX FUND
-------------------------------------------- ---------------------------------------
For the Six For the Six
Months Ended For the Year Months Ended For the Year
June 30, 2008 Ended June 30, 2008 Ended
(Unaudited) December 31, 2007 (Unaudited) December 31, 2007
-------------------------------------------- ---------------------------------------
OPERATIONS:
Net investment income (loss) $ 51,968 $ 104,779 $ 1,421,881 $ 3,301,865
Net realized gain (loss) (208,722) 1,235,896 (12,245,293) 4,928,844
Net change in unrealized appreciation
(depreciation) (2,009,922) (2,332,891) (5,750,328) (17,025,191)
------------ ------------- ------------ ------------
Net increase (decrease) in net assets resulting
from operations (2,166,676) (992,216) (16,573,740) (8,794,482)
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (46,130) (101,775) (1,371,101) (3,182,601)
Net realized gain -- -- -- --
------------ ------------- ------------ ------------
Total distributions to shareholders (46,130) (101,775) (1,371,101) (3,182,601)
------------ ------------- ------------ ------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold 1,955,454 20,378,526 4,768,586 69,676,425
Value of shares repurchased (1,016,315) (18,156,774) (6,316,458) (68,286,075)
------------ ------------- ------------ ------------
Net increase (decrease) in net assets resulting
from shareholder transactions 939,139 2,221,752 (1,547,872) 1,390,350
------------ ------------- ------------ ------------
Total increase (decrease) in net assets (1,273,667) 1,127,761 (19,492,713) (10,586,733)
NET ASSETS:
Beginning of period 17,992,801 16,865,040 64,650,489 75,237,222
------------ ------------- ------------ ------------
End of period $ 16,719,134 $ 17,992,801 $ 45,157,776 $ 64,650,489
============ ============= ============ ============
Undistributed net investment income (loss)
at end of period $ 10,218 $ 4,380 $ 60,282 $ 9,502
============ ============= ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period 805,000 705,000 3,200,002 3,200,002
Shares sold 100,000 850,000 250,000 2,950,000
Shares repurchased (50,000) (750,000) (350,000) (2,950,000)
------------ ------------- ------------ ------------
Shares outstanding, end of period 855,000 805,000 3,100,002 3,200,002
============ ============= ============ ============
|
(a) Inception date.
Page 68 See Notes to Financial Statements.
FIRST TRUST FIRST TRUST FIRST TRUST
FIRST TRUST NASDAQ-100 NASDAQ-100- AMEX(R)
IPOX-100 EQUAL WEIGHTED TECHNOLOGY SECTOR BIOTECHNOLOGY
INDEX FUND INDEX(SM) FUND INDEX(SM) FUND INDEX FUND
-------------------------------- ------------------------------ ------------------------------- ------------------------------
For the Six For the Six For the Six For the Six
Months Ended For the Year Months Ended For the Year Months Ended For the Year Months Ended For the Year
June 30, 2008 Ended June 30, 2008 Ended June 30, 2008 Ended June 30, 2008 Ended
(Unaudited) Dec. 31, 2007 (Unaudited) Dec. 31, 2007 (Unaudited) Dec. 31, 2007 (Unaudited) Dec. 31, 2007
-------------------------------- ------------------------------ ------------------------------- -----------------------------
$ 53,776 $ 59,250 $ 5,125 $ (19,001) $ (5,425) $ (37,744) $ 583,409 $ (302,002)
(1,196,743) 1,899,376 (1,164,337) 3,268,754 (1,189,415) 3,065,233 (3,160,829) 7,149,648
(1,090,162) 1,187,879 (2,970,125) (1,694,511) (1,156,574) (1,702,778) (3,656,003) (7,597,605)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
(2,233,129) 3,146,505 (4,129,337) 1,555,242 (2,351,414) 1,324,711 (6,233,423) (749,959)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
(33,120) (67,725) (9,620) -- -- -- (593,340) --
-- -- -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
(33,120) (67,725) (9,620) -- -- -- (593,340) --
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
8,503,116 22,872,902 2,120,585 26,192,404 -- 21,483,865 28,075,688 90,771,660
(5,864,896) (19,299,601) (3,749,822) (22,994,445) (5,691,939) (27,116,601) (44,890,722) (46,218,394)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
2,638,220 3,573,301 (1,629,237) 3,197,959 (5,691,939) (5,632,736) (16,815,034) 44,553,266
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
371,971 6,652,081 (5,768,194) 4,753,201 (8,043,353) (4,308,025) (23,641,797) 43,803,307
26,632,731 19,980,650 30,911,302 26,158,101 23,651,551 27,959,576 73,241,047 29,437,740
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
$ 27,004,702 $ 26,632,731 $ 25,143,108 $ 30,911,302 $ 15,608,198 $ 23,651,551 $ 49,599,250 $ 73,241,047
============ ============ ============ ============ ============= ============= ============== ============
$ 21,814 $ 1,158 $ (4,495) $ -- $ (5,425) $ -- $ (9,931) $ --
============ ============ ============ =========== ============= ============= ============= ============
1,050,002 900,002 1,400,002 1,300,002 1,100,002 1,400,002 3,000,002 1,250,002
350,000 950,000 100,000 1,150,000 -- 950,000 1,200,000 3,600,000
(250,000) (800,000) (200,000) (1,050,000) (300,000) (1,250,000) (2,000,000) (1,850,000)
------------ ------------ ------------ ----------- ------------- ------------- ------------- ------------
1,150,002 1,050,002 1,300,002 1,400,002 800,002 1,100,002 2,200,002 3,000,002
============ ============ ============ =========== ============= ============= ============= ============
|
See Notes to Financial Statements. Page 69
First Trust Exchange-Traded Fund
Statements of Changes in Net Assets (Continued)
FIRST TRUST FIRST TRUST
DOW JONES INTERNET DB STRATEGIC VALUE
INDEX(SM) FUND INDEX FUND
------------------------------------- ----------------------------------------
For the Six For the Six
Months Ended For the Year Months Ended For the Year
June 30, 2008 Ended June 30, 2008 Ended
(Unaudited) Dec. 31, 2007 (Unaudited) Dec. 31, 2007
------------------------------------- ----------------------------------------
OPERATIONS:
Net investment income (loss) $ 32,054 $ (231,090) $ 436,514 $ 399,329
Net realized gain (loss) (2,645,264) 6,875,695 (1,319,775) 4,078,150
Net change in unrealized
appreciation (depreciation) (1,480,900) (4,669,550) (3,996,097) (2,024,723)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations (4,094,110) 1,975,055 (4,879,358) 2,452,756
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (36,600) -- (421,200) (394,875)
Net realized gain -- -- -- --
------------- ------------- ------------- -------------
Total distributions to shareholders (36,600) -- (421,200) (394,875)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold 4,746,505 79,688,355 59,994,396 104,762,439
Value of shares repurchased (14,629,441) (71,230,802) (44,386,288) (62,952,782)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from shareholder transactions (9,882,936) 8,457,553 15,608,108 41,809,657
------------- ------------- ------------- -------------
Total increase (decrease) in net assets (14,013,646) 10,432,608 10,307,550 43,867,538
NET ASSETS:
Beginning of Period 36,385,656 25,953,048 61,517,693 17,650,155
------------- ------------- ------------- -------------
End of Period $ 22,372,010 $ 36,385,656 $ 71,825,243 $ 61,517,693
============= ============= ============= =============
Undistributed net investment income (loss)
at end of period $ (4,546) $ -- $ 37,737 $ 22,423
============= ============= ============= =============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period 1,450,002 1,150,002 2,550,002 800,002
Shares sold 200,000 3,200,000 2,650,000 4,350,000
Shares repurchased (650,000) (2,900,000) (1,950,000) (2,600,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period 1,000,002 1,450,002 3,250,002 2,550,002
============= ============= ============= =============
|
(a) Inception date.
Page 70 See Notes to Financial Statements.
FIRST TRUST
FIRST TRUST FIRST TRUST NASDAQ-100
VALUE LINE(R) EQUITY ALLOCATION VALUE LINE(R) DIVIDEND EX-TECHNOLOGY SECTOR
INDEX FUND INDEX FUND INDEX(SM) FUND
--------------------------------------- ---------------------------------------- -------------------------------------------
For the Six For the Six For the Six For the Period
Months Ended For the Year Months Ended For the Year Months Ended February 8, 2007 (a)
June 30, 2008 Ended June 30, 2008 Ended June 30, 2008 through
(Unaudited) December 31, 2007 (Unaudited) December 31, 2007 (Unaudited) Dec. 31, 2007
--------------------------------------- ---------------------------------------- -------------------------------------------
$ 65,286 $ 156,232 $ 2,331,625 $ 6,133,255 $ 988 $ (1,364)
(411,532) (403,914) (10,817,120) 55,377,383 (46,940) 457,158
(749,615) 851,149 (7,565,750) (65,904,350) (276,022) (208,808)
-------------- -------------- ------------- ------------- -------------- ---------------
(1,095,861) 603,467 (16,051,245) (4,393,712) (321,974) 246,986
-------------- -------------- ------------- ------------- -------------- ---------------
(61,875) (171,605) (2,217,037) (6,533,096) (1,340) --
-- -- -- -- -- --
-------------- -------------- ------------- ------------- -------------- ---------------
(61,875) (171,605) (2,217,037) (6,533,096) (1,340) --
-------------- -------------- ------------- ------------- -------------- ---------------
7,651,900 25,789,407 731,920 177,729,932 1,825,047 8,275,318
(9,552,809) (31,723,062) (25,601,498) (438,291,965) -- (6,403,732)
-------------- -------------- ------------- ------------- -------------- ---------------
(1,900,909) (5,933,655) (24,869,578) (260,562,033) 1,825,047 1,871,586
-------------- -------------- ------------- ------------- -------------- ---------------
(3,058,645) (5,501,793) (43,137,860) (271,488,841) 1,501,733 2,118,572
13,291,366 18,793,159 180,153,222 451,642,063 2,118,572 --
-------------- -------------- ------------- ------------- -------------- ---------------
$ 10,232,721 $ 13,291,366 $ 137,015,362 $ 180,153,222 $ 3,620,305 $ 2,118,572
============== ============== ============= ============= ============== ===============
$ 6,575 $ 3,164 $ 114,588 $ -- $ (352) $ --
============== ============== ============= ============= ============== ===============
650,002 950,002 11,437,986 26,938,000 100,002 --
400,000 1,300,000 50,000 10,500,000 100,000 400,002
(500,000) (1,600,000) (1,700,000) (26,000,014) -- (300,000)
--------------- -------------- ------------- ------------- -------------- ---------------
550,002 650,002 9,787,986 11,437,986 200,002 100,002
=============== ============== ============= ============= ============== ===============
|
See Notes to Financial Statements. Page 71
First Trust Exchange-Traded Fund
Statements of Changes in Net Assets (Continued)
FIRST TRUST FIRST TRUST
NASDAQ(R) S&P
CLEAN EDGE(R) U.S. LIQUID REIT
SERIES INDEX FUND INDEX FUND
--------------------------------------- ----------------------------------
For the Six For the Period For the Six For the Period
Months Ended February 8, 2007 (a) Months Ended May 8, 2007 (a)
June 30, 2008 through June 30, 2008 through
(Unaudited) December 31, 2007 (Unaudited) Dec. 31, 2007
--------------------------------------- ----------------------------------
OPERATIONS:
Net investment income (loss) $ (57,741) $ (64,652) $ 38,425 $ 37,501
Net realized gain (loss) (2,298,422) 4,547,068 (50,857) (64,033)
Net change in unrealized
appreciation (depreciation) (9,195,243) 5,571,969 (136,487) (384,315)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations (11,551,406) 10,054,385 (148,919) (410,847)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- (31,545) (37,501)
Net realized gain -- -- -- --
------------ ------------ ------------ ------------
Total distributions to shareholders -- -- (31,545) (37,501)
------------ ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold 13,472,742 57,955,176 835,849 3,796,816
Value of shares repurchased (2,199,520) (17,096,526) -- (1,767,190)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from shareholder transactions 11,273,222 40,858,650 835,849 2,029,626
------------ ------------ ------------ ------------
Total increase (decrease) in net assets (278,184) 50,913,035 655,385 1,581,278
NET ASSETS:
Beginning of Period 50,913,035 -- 1,581,278 --
------------ ------------ ------------ ------------
End of Period $ 50,634,851 $ 50,913,035 $ 2,236,663 $ 1,581,278
============ ============ ============ ============
Undistributed net investment income (loss)
at end of period $ (57,741) $ -- $ 6,880 $ --
============ ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period 1,650,002 -- 100,002 --
Shares sold 500,000 2,350,002 50,000 200,002
Shares repurchased (100,000) (700,000) -- (100,000)
------------ ------------ ------------ ------------
Shares outstanding, end of period 2,050,002 1,650,002 150,002 100,002
============ ============ ============ ============
|
(a) Inception date.
(b) Results prior to June 18, 2007 are of First Trust Value Line(R) 100 Fund.
Page 72 See Notes to Financial Statements.
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
ISE WATER ISE-REVERE NATURAL GAS ISE CHINDIA VALUE LINE(R) 100
INDEX FUND INDEX FUND INDEX FUND EXCHANGE-TRADED FUND
------------------------------- ------------------------------- ------------------------------- ----------------------------
For the Six For the Period For the Six For the Period For the Six For the Period For the Six For the
Months Ended May 8, 2007 (a) Months Ended May 8, 2007 (a) Months Ended May 8, 2007 (a) Months Ended Year Ended
June 30, 2008 through June 30, 2008 through June 30, 2008 through June 30, 2008 Dec. 31,
(Unaudited) Dec. 31, 2007 (Unaudited) Dec. 31, 2007 Unaudited) Dec. 31, 2007 (Unaudited) 2007 (b)
------------------------------- ------------------------------- ------------------------------- ----------------------------
$ 58,273 $ 24,450 $ 143,870 $ 10,866 $ 424,957 $ 47,735 $ (174,651) $ (497,794)
344,343 263,879 7,792,986 403,859 (9,366,399) 2,084,309 (6,631,989) 52,128,707
(2,030,759) 323,254 15,341,608 20,760 (21,898,150) 2,451,608 (10,284,403) (5,434,509)
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
(1,628,143) 611,583 23,278,464 435,485 (30,839,592) 4,583,652 (17,091,043) 46,196,404
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
(56,240) (24,475) (160,860) (9,200) (512,710) (58,125) -- --
-- -- -- -- -- -- -- (18,451,951)
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
(56,240) (24,475) (160,860) (9,200) (512,710) (58,125) -- (18,451,951)
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
40,134,319 18,295,951 151,280,730 17,272,326 13,396,977 119,626,564 59,176,893 219,100,688
(8,034,503) (6,573,340) (47,215,745) (6,541,227) (7,733,136) (20,147,791) (89,928,646) (319,833,579)
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
32,099,816 11,722,611 104,064,985 10,731,099 5,663,841 99,478,773 (30,751,753) (100,732,891)
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
30,415,433 12,309,719 127,182,589 11,157,384 (25,688,461) 104,004,300 (47,842,796) (72,988,438)
12,309,719 -- 11,157,384 -- 104,004,300 -- 204,913,425 277,901,863
----------- ------------ ------------ ------------ ------------ ------------ ------------- -------------
$42,725,152 $ 12,309,719 $138,339,973 $ 11,157,384 $ 78,315,839 $104,004,300 $ 157,070,629 $ 204,913,425
=========== ============ ============ ============ ============ ============ ============= =============
$ 2,033 $ -- $ (15,324) $ 1,666 $ (86,657) $ 1,096 $ (174,651) $ --
=========== ============ ============ ============ ============ ============ ============= =============
550,002 -- 500,002 -- 3,750,002 -- 11,439,982 17,490,000
1,750,000 850,002 5,500,000 800,002 550,000 4,500,002 3,750,000 12,750,000
(350,000) (300,000) (1,600,000) (300,000) (350,000) (750,000) (5,600,000) (18,800,018)
------------ ------------- ------------ ------------ ------------ ------------ ------------- -------------
1,950,002 550,002 4,400,002 500,002 3,950,002 3,750,002 9,589,982 11,439,982
============ ============= ============ ============ ============ ============ ============= =============
|
See Notes to Financial Statements. Page 73
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
For the For the Period
Six Months Ended For the For the September 27, 2005 (a)
June 30, 2008 Year Ended Year Ended through
(Unaudited) December 31, 2007 December 31, 2006 December 31, 2005
---------------- ----------------- ----------------- ----------------------
Net asset value, beginning of period $ 22.35 $ 23.92 $ 20.73 $ 20.00
---------- ---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.07 0.16 0.06 (b) 0.03 (b)
Net realized and unrealized gain (loss) (2.81) (1.60) 3.19 (b) 0.72 (b)
---------- ---------- ---------- ----------
Total from investment operations (2.74) (1.44) 3.25 0.75
---------- ---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.06) (0.13) (0.06) (0.02)
---------- ---------- ---------- ----------
Net asset value, end of period $ 19.55 $ 22.35 $ 23.92 $ 20.73
========== ========== ========== ==========
TOTAL RETURN (c) (12.25)% (6.02)% 15.69% 3.74%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 16,719 $ 17,993 $ 16,865 $ 39,492
Ratios to average net assets:
Ratio of total expenses to average net assets 1.00% (d) 1.35% 1.18% 1.44% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% 0.60% (d)
Ratio of net investment income to average
net assets 0.67% (d) 0.58% 0.24% 0.51% (d)
Portfolio turnover rate (e) 5% 11% 20% 6%
|
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
For the For the Period
Six Months Ended For the March 9, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- -----------------
Net asset value, beginning of period $ 20.20 $ 23.51 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.45 0.92 0.59 (b)
Net realized and unrealized gain (loss) (5.65) (3.35) 3.52 (b)
---------- ---------- ----------
Total from investment operations (5.20) (2.43) 4.11
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.43) (0.88) (0.60)
---------- ---------- ----------
Net asset value, end of period $ 14.57 $ 20.20 $ 23.51
========== ========== ==========
TOTAL RETURN (c) (25.92)% (10.64)% 20.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 45,158 $ 64,650 $ 75,237
Ratios to average net assets:
Ratio of total expenses to average net assets 0.68% (d) 0.68% 0.99% (d)
Ratio of net expenses to average net assets 0.45% (d) 0.45% 0.45% (d)
Ratio of net investment income to average
net assets 4.81% (d) 3.87% 3.55% (d)
Portfolio turnover rate (e) 32% 9% 9%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. Total return calculated for a
period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by
the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
|
Page 74 See Notes to Financial Statements.
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST IPOX-100 INDEX FUND
For the For the Period
Six Months Ended For the April 12, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- ------------------
Net asset value, beginning of period $ 25.36 $ 22.20 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.05 0.05 0.01 (b)
Net realized and unrealized gain (loss) (1.90) 3.17 2.19 (b)
---------- ---------- ----------
Total from investment operations (1.85) 3.22 2.20
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.03) (0.06) --
---------- ---------- ----------
Net asset value, end of period $ 23.48 $ 25.36 $ 22.20
========== ========== ==========
TOTAL RETURN (c) (7.30)% 14.53% 11.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 27,005 $ 26,633 $ 19,981
Ratios to average net assets:
Ratio of total expenses to average net assets 0.97% (d) 1.06% 1.44% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% (d)
Ratio of net investment income to average
net assets 0.49% (d) 0.24% 0.07% (d)
Portfolio turnover rate (e) 35% 11% 26%
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
For the For the Period
Six Months Ended For the April 19, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- ------------------
Net asset value, beginning of period $ 22.08 $ 20.12 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.01 (0.02) (0.01)(b)
Net realized and unrealized gain (loss) (2.74) 1.98 0.13 (b)
---------- ---------- ----------
Total from investment operations (2.73) 1.96 0.12
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.01) -- --
---------- ---------- ----------
Net asset value, end of period $ 19.34 $ 22.08 $ 20.12
========== ========== ==========
TOTAL RETURN (c) (12.38)% 9.74% 0.60%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 25,143 $ 30,911 $ 26,158
Ratios to average net assets:
Ratio of total expenses to average net assets 0.85% (d) 0.95% 1.31% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% (d)
Ratio of net investment income (loss) to
average net assets 0.04% (d) (0.08)% (0.07)% (d)
Portfolio turnover rate (e) 15% 15% 1%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. Total return calculated for a
period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by
the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
|
See Notes to Financial Statements. Page 75
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
For the For the Period
Six Months Ended For the April 19, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- ------------------
Net asset value, beginning of period $ 21.50 $ 19.97 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) (0.01) (0.03) (0.03)(b)
Net realized and unrealized gain (loss) (1.98) 1.56 0.00 (b)(f)
---------- ---------- ----------
Total from investment operations (1.99) 1.53 (0.03)
---------- ---------- ----------
Net asset value, end of period $ 19.51 $ 21.50 $ 19.97
========== ========== ==========
TOTAL RETURN (c) (9.26)% 7.66% (0.15)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 15,608 $ 23,652 $ 27,960
Ratios to average net assets:
Ratio of total expenses to average net assets 1.03% (d) 0.92% 1.37% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% (d)
Ratio of net investment loss to average
net assets (0.06)% (d) (0.16)% (0.20)% (d)
Portfolio turnover rate (e) 16% 10% 7%
FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
For the For the Period
Six Months Ended For the June 19, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- -----------------
Net asset value, beginning of period $ 24.41 $ 23.55 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.27 (0.10) (0.07)(b)
Net realized and unrealized gain (loss) (1.86) 0.96 3.62 (b)
---------- ---------- ----------
Total from investment operations (1.59) 0.86 3.55
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.27) -- --
---------- ---------- ----------
Net asset value, end of period $ 22.55 $ 24.41 $ 23.55
========== ========== ==========
TOTAL RETURN (c) (6.52)% 3.65% 17.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 49,599 $ 73,241 $ 29,438
Ratios to average net assets:
Ratio of total expenses to average net assets 0.77% (d) 0.73% 1.22% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% (d)
Ratio of net investment income (loss) to
average net assets 2.19% (d) (0.60)% (0.60)% (d)
Portfolio turnover rate (e) 12% 11% 4%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. Total return calculated for a
period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by
the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(f) Amount represents less than $0.01 per share.
|
Page 76 See Notes to Financial Statements.
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
For the For the Period
Six Months Ended For the June 19, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
----------------- ----------------- -----------------
Net asset value, beginning of period $ 25.09 $ 22.57 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.04 (0.16) (0.07)(b)
Net realized and unrealized gain (loss) (2.72) 2.68 2.64 (b)
---------- ---------- ----------
Total from investment operations (2.68) 2.52 2.57
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.04) -- --
---------- ---------- ----------
Net asset value, end of period $ 22.37 $ 25.09 $ 22.57
========== ========== ==========
TOTAL RETURN (c) (10.70)% 11.17% 12.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 22,372 $ 36,386 $ 25,953
Ratios to average net assets:
Ratio of total expenses to average net assets 0.91% (d) 0.70% 1.24% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% 0.60% (d)
Ratio of net investment income (loss) to
average net assets 0.27% (d) (0.42)% (0.55)% (d)
Portfolio turnover rate (e) 34% 6% 4%
FIRST TRUST DB STRATEGIC VALUE INDEX FUND
For the For the Period
Six Months Ended For the July 6, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- -----------------
Net asset value, beginning of period $ 24.12 $ 22.06 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.13 0.20 0.12 (b)
Net realized and unrealized gain (loss) (2.02) 2.07 2.03 (b)
---------- ---------- ----------
Total from investment operations (1.89) 2.27 2.15
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.13) (0.21) (0.09)
---------- ---------- ----------
Net asset value, end of period $ 22.10 $ 24.12 $ 22.06
========== ========== ==========
TOTAL RETURN (c) (7.84)% 10.26% 10.74%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 71,825 $ 61,518 $ 17,650
Ratios to average net assets:
Ratio of total expenses to average net assets 0.65% (d) 1.12% 2.59% (d)
Ratio of net expenses to average net assets 0.65% (d) 0.65% 0.65% (d)
Ratio of net investment income to average
net assets 1.24% (d) 1.09% 1.29% (d)
Portfolio turnover rate (e) 50% 10% 4%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. Total return calculated for a
period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by
the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
|
See Notes to Financial Statements. Page 77
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
For the For the Period
Six Months Ended For the December 5, 2006 (a)
June 30, 2008 Year Ended through
(Unaudited) December 31, 2007 December 31, 2006
---------------- ----------------- --------------------
Net asset value, beginning of period $ 20.45 $ 19.78 $ 20.00
---------- ---------- ----------
Income from investment operations:
Net investment income (loss) 0.12 0.24 0.03 (b)
Net realized and unrealized gain (loss) (1.86) 0.68 (0.25)(b)
---------- ---------- ----------
Total from investment operations (1.74) 0.92 (0.22)
---------- ---------- ----------
Distributions paid to shareholders from:
Net investment income (0.11) (0.25) --
---------- ---------- ----------
Net asset value, end of period $ 18.60 $ 20.45 $ 19.78
========== ========== ==========
TOTAL RETURN (c) (8.50)% 4.65% (1.10)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 10,233 $ 13,291 $ 18,793
Ratios to average net assets:
Ratio of total expenses to average net assets 1.15% (d) 1.36% 3.25% (d)
Ratio of net expenses to average net assets 0.70% (d) 0.70% 0.70% (d)
Ratio of net investment income to average
net assets 1.23% (d) 1.04% 1.82% (d)
Portfolio turnover rate (e) 15% 43% 1%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. Total return calculated for a
period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by
the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
|
Page 78 See Notes to Financial Statements.
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
For the For the Period
Six Months Ended For the Year June 1, 2006 For the Year For the Year For the Year
June 30, 2008 Ended through Ended Ended Ended
(Unaudited) 12/31/07(a) 12/31/06(a) 5/31/06(a) 5/31/05(a) 5/31/04 (a)
---------------- ------------ -------------- ------------ ------------- ------------
Net asset value, beginning
of period $ 15.75 $ 16.77 $ 16.55 $ 17.24 $ 16.13 $ 14.33(i)
---------- ---------- ---------- ---------- --------- ---------
Income from investment
operations:
Net investment income (loss) 0.23 0.44 0.24(b) 0.43 0.41 0.27
Net realized and unrealized
gain (loss) (1.76) (0.99) 2.10(b) 1.00 1.99 1.86
---------- ---------- ---------- ---------- ---------- ---------
Total from investment
operations (1.53) (0.55) 2.34 1.43 2.40 2.13
---------- ---------- ---------- ---------- --------- ---------
Distributions paid to
shareholders from:
Net investment income (0.22) (0.47) (0.63) (0.42) (0.37) (0.20)
Net realized gains -- -- (1.49) (1.70) (0.92) (0.11)
---------- ---------- ---------- ---------- --------- ---------
Total distributions to
shareholders ( 0.22) ( 0.47) (2.12) (2.12) (1.29) (0.31)
---------- ---------- ---------- ---------- --------- ---------
Common Shares offering costs
charged to paid-in
capital -- -- -- -- (0.00)(c) (0.02)
---------- ---------- ---------- ---------- --------- ---------
Net asset value, end
of period $ 14.00 $ 15.75 $ 16.77 $ 16.55 $ 17.24 $ 16.13
========== ========= ========= ========= ========= =========
TOTAL RETURN, BASED ON
NET ASSET VALUE (9.74)%(e) (3.42)%(e) 14.70%(e)(j) 10.26%(d) 16.05%(d) 15.09%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's) $ 137,015 $ 180,153 $ 451,642 $ 536,258 $ 558,705 $ 522,731
Ratios to average net assets:
Ratio of total expenses to
average net assets 0.81%(f) 0.85% 0.94%(f) 0.93% 0.93% 0.93%(f)
Ratio of net expenses to
average net assets 0.70%(f) 0.70% 0.93%(f)(h) 0.93% 0.93% 0.93%
Ratio of net investment income to
average net assets 2.97%(f) 2.37% 2.36%(f) 2.51% 2.45% 2.29%(f)
Portfolio turnover rate (g) 42% 5% 28% 58% 57% 46%
(a) The Fund commenced operations on August 19, 2003. Results for periods prior to December 18, 2006 are of First Trust
Value Line(R) Dividend Fund. See Reorganization History below.
(b) Per share amounts have been calculated using the average share method.
(c) Amount represents less than $0.01 per share.
(d) Total return based on net asset value is the combination of reinvested dividend distributions and reinvested capital gains
distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in net asset value per share and does
not reflect sales load.
(e) Total return based on net asset value 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. Total return calculated for a period of less than one year is not annualized. The
total return would have been lower if certain fees had not been reimbursed by the investment advisor.
(f) Annualized.
(g) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or
redemptions and in-kind transactions.
(h) The annualized expense ratio is capped at 0.70% for the first two years from the date of the reorganization. This ratio of 0.93%
includes expenses for a portion of the period prior to the reorganization for the First Trust Value Line(R) Dividend Fund.
(i) Net of sales load $0.675 per Common Share on initial offering.
(j) Prior to December 18, 2006, total return based on net asset value assumed that all dividend distributions were reinvested at
prices obtained by the Dividend Reinvestment Plan of First Trust Value Line(R) Dividend Fund. See Reorganization History below.
REORGANIZATION HISTORY:
First Trust Value Line(R) Dividend Fund (the "Predecessor FVD Fund"), a closed-end fund organized as a Massachusetts business trust
on June 11, 2003, reorganized with and into First Trust Value Line(R) Dividend Index Fund ("FVD"), an exchange-traded fund and newly
created series of the Trust effective Friday, December 15, 2006. The Predecessor FVD Fund ceased trading on the AMEX on Friday,
December 15, 2006, and FVD began trading on the AMEX on Monday, December 18, 2006 under the ticker symbol "FVD," the same ticker
symbol used by the Predecessor FVD Fund. The assets of the Predecessor FVD Fund were transferred to, and the liabilities of the
Predecessor FVD Fund were assumed by, FVD in exchange for shares of FVD on a one share for one share basis based upon the net asset
value ("NAV") of the Predecessor FVD Fund on Friday, December 15, 2006. FVD shares have been distributed to the Predecessor FVD Fund
shareholders, on a tax-free basis for federal income tax purposes, and the Predecessor FVD Fund has been terminated. The historical
results of the Predecessor FVD Fund will survive for financial reporting purposes.
|
See Notes to Financial Statements. Page 79
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
For the For the Period
Six Months Ended February 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
---------------- --------------------
Net asset value, beginning of period $ 21.19 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) 0.01 (0.01)
Net realized and unrealized gain (loss) (3.09) 1.20
---------- ----------
Total from investment operations (3.08) 1.19
---------- ----------
Distributions paid to shareholders from:
Net investment income $ (0.01) --
---------- ----------
Net asset value, end of period $ 18.10 $ 21.19
========== ==========
TOTAL RETURN (b) (14.52)% 5.95%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,620 $ 2,119
Ratios to average net assets:
Ratio of total expenses to average net assets 3.38% (c) 2.61% (c)
Ratio of net expenses to average net assets 0.60% (c) 0.60% (c)
Ratio of net investment income (loss) to average net assets 0.10% (c) (0.04)%(c)
Portfolio turnover rate (d) 12% 27%
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
For the For the Period
Six Months Ended February 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
---------------------- -------------------------
Net asset value, beginning of period $ 30.86 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) (0.03) (0.04)
Net realized and unrealized gain (loss) (6.13) 10.90
---------- ----------
Total from investment operations (6.16) 10.86
---------- ----------
Net asset value, end of period $ 24.70 $ 30.86
========== ==========
TOTAL RETURN (b) (19.96)% 54.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 50,635 $ 50,913
Ratios to average net assets:
Ratio of total expenses to average net assets 0.82% (c) 1.00% (c)
Ratio of net expenses to average net assets 0.60% (c) 0.60% (c)
Ratio of net investment loss to average net assets (0.25)% (c) (0.33)% (c)
Portfolio turnover rate (d) 14% 4%
(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. Total return calculated for a period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(c) Annualized.
(d) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or
redemptions and in-kind transactions.
|
Page 80 See Notes to Financial Statements.
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST S&P REIT INDEX FUND
For the For the Period
Six Months Ended May 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
------------------------ -----------------------
Net asset value, beginning of period $ 15.81 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) 0.26 0.32 (b)
Net realized and unrealized gain (loss) (0.95) (4.13)(b)
---------- ----------
Total from investment operations (0.69) (3.81)
---------- ----------
Distributions paid to shareholders from:
Net investment income $ (0.21) (0.38)
---------- ----------
Net asset value, end of period $ 14.91 $ 15.81
========== ==========
TOTAL RETURN (c) (4.36)% (19.08)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,237 $ 1,581
Ratios to average net assets:
Ratio of total expenses to average net assets 8.25% (d) 8.41% (d)
Ratio of net expenses to average net assets 0.50% (d) 0.50% (d)
Ratio of net investment income to average net assets 4.50% (d) 2.73% (d)
Portfolio turnover rate (e) 7% 25%
FIRST TRUST ISE WATER INDEX FUND
For the For the Period
Six Months Ended May 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
------------------------ -----------------------
Net asset value, beginning of period $ 22.38 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) 0.03 0.04
Net realized and unrealized gain (loss) (0.47) 2.38
---------- ----------
Total from investment operations (0.44) 2.42
---------- ----------
Distributions paid to shareholders from:
Net investment income $ (0.03) (0.04)
---------- ----------
Net asset value, end of period $ 21.91 $ 22.38
========== ==========
TOTAL RETURN (c) (1.96)% 12.12%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 47,725 $ 12,310
Ratios to average net assets:
Ratio of total expenses to average net assets 0.86% (d) 1.68% (d)
Ratio of net expenses to average net assets 0.60% (d) 0.60% (d)
Ratio of net investment income to average net assets 0.57% (d) 0.46% (d)
Portfolio turnover rate (e) 34% 3%
(a) Inception date.
(b) Per share amounts have been calculated using the average share method.
(c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period,
reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last
day of the period. Total return calculated for a period of less than one year is not annualized. The total return would
have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or
redemptions and in-kind transactions.
|
See Notes to Financial Statements. Page 81
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
For the For the Period
Six Months Ended May 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
------------------------ -----------------------
Net asset value, beginning of period $ 22.31 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) 0.03 0.03
Net realized and unrealized gain (loss) 9.14 2.30
---------- ----------
Total from investment operations 9.17 2.33
---------- ----------
Distributions paid to shareholders from:
Net investment income $ (0.04) (0.02)
---------- ----------
Net asset value, end of period $ 31.44 $ 22.31
========== ==========
TOTAL RETURN (b) 41.10% 11.67%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $138,340 $ 11,157
Ratios to average net assets:
Ratio of total expenses to average net assets 0.70% (c) 2.36% (c)
Ratio of net expenses to average net assets 0.60% (c) 0.60% (c)
Ratio of net investment income to average net assets 0.49% (c) 0.32% (c)
Portfolio turnover rate (d) 53% 5%
FIRST TRUST ISE CHINDIA INDEX FUND
For the For the Period
Six Months Ended May 8, 2007 (a)
June 30, 2008 through
(Unaudited) December 31, 2007
------------------------ -----------------------
Net asset value, beginning of period $ 27.73 $ 20.00
---------- ----------
Income from investment operations:
Net investment income (loss) 0.11 0.02
Net realized and unrealized gain (loss) (7.88) 7.73
---------- ----------
Total from investment operations (7.77) 7.75
---------- ----------
Distributions paid to shareholders from:
Net investment income $ (0.13) (0.02)
---------- ----------
Net asset value, end of period $ 19.83 $ 27.73
========== ==========
TOTAL RETURN (b) (28.02)% 38.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 78,316 $ 104,004
Ratios to average net assets:
Ratio of total expenses to average net assets 0.71% (c) 0.82% (c)
Ratio of net expenses to average net assets 0.60% (c) 0.60% (c)
Ratio of net investment income to average net assets 0.97% (c) 0.17% (c)
Portfolio turnover rate (d) 23% 2%
(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. Total return calculated for a period of less than one year is not annualized. The total return would have
been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(c) Annualized.
(d) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or
redemptions and in-kind transactions.
|
Page 82 See Notes to Financial Statements.
First Trust Exchange-Traded Fund
Financial Highlights
For a Share outstanding throughout each period
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
For the For the Period
Six Months Ended For the Year For the Year For the Year For the Year June 12, 2003
June 30, 2008 Ended Ended Ended Ended through
(Unaudited) 12/31/07 (a) 12/31/06 (a) 12/31/05 (a) 12/31/04 (a) 12/31/03 (a)
----------------- ------------ ------------ ------------ ------------ --------------
Net asset value, beginning
of period $ 17.91 $ 15.89 $ 17.16 $ 18.05 $ 16.61 $ 14.33(e)
--------- --------- --------- --------- --------- --------
Income from investment
operations:
Net investment income (loss) (0.02) 1.02 (0.07) (0.08) (0.09) (0.06)
Net realized and
unrealized gain (loss) (1.51) 2.06 0.68 2.00 2.19 2.37
--------- --------- --------- --------- --------- --------
Total from investment operations (1.53) 3.08 0.61 1.92 2.10 2.31
--------- --------- --------- --------- --------- --------
Distributions paid to
shareholders from:
Net realized gains -- (1.06) (1.88) (2.81) (0.66) --
--------- --------- --------- --------- --------- --------
Common Shares offering costs
charged to paid-in capital -- -- -- -- (0.00)(b) (0.03)
--------- --------- --------- --------- --------- --------
Net asset value, end of period $ 16.38 $ 17.91 $ 15.89 $ 17.16 $ 18.05 $ 16.61
========= --------- --------- --------- --------- --------
TOTAL RETURN, BASED ON
NET ASSET VALUE (8.54)% (d) 19.91% (d) 4.59%(c)(i) 11.86%(c) 13.05%(c) 15.91%(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (in 000's) $ 157,071 $ 204,913 $ 277,902 $300,049 $ 315,632 $290,464
Ratios to average net assets:
Ratio of total expenses to
average net assets 0.83% (f) 0.89% 0.97% 0.95% 0.97% 1.02%(f)
Ratio of net expenses to
average net assets 0.70% (f) 0.83% (h) 0.97% 0.95% 0.97% 1.02%(f)
Ratio of net investment loss to
average net assets (0.21)% (f) (0.21)% (0.40)% (0.43)% (0.52)% (0.75)%(f)
Portfolio turnover rate (g) 117% 111% 234% 240% 220% 144%
(a) The Fund commenced operations on June 12, 2003. Results for periods prior to June 18, 2007 are of First Trust Value
Line(R) 100 Fund. See Reorganization History below.
(b) Amount represents less than $0.01 per share.
(c) Total return based on net asset value is the combination of reinvested dividend distributions and reinvested capital gains
distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in net asset value per share and does
not reflect sales load.
(d) Total return based on net asset value 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. Total return calculated for a period of less than one year is not annualized.
The total return would have been lower if certain fees had not been reimbursed by the investment advisor.
(e) Net of sales load $0.675 per Common Share on initial offering.
(f) Annualized.
(g) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or
redemptions and in-kind transactions.
(h) The annualized expense ratio is capped at 0.70% for the first two years from the date of the reorganization. This ratio of
0.83% includes expenses for a portion of the period prior to the reorganization for the First Trust Value Line(R) 100 Fund.
(i) Prior to June 18, 2007, total return based on net asset value assumed that all dividend distributions were reinvested at
prices obtained by the Dividend Reinvestment Plan of First Trust Value Line(R) 100 Fund. See Reorganization History below.
REORGANIZATION HISTORY:
First Trust Value Line(R) 100 Fund (the "Predecessor FVL Fund"), a closed-end fund organized as a Massachusetts business trust on
April 18, 2003, reorganized with and into First Trust Value Line(R) 100 Exchange-Traded Fund ("FVL"), an exchange-traded fund
and newly created series of the Trust effective Friday, June 15, 2007. The Predecessor FVL Fund ceased trading on the AMEX on
Friday, June 15, 2007, and FVL began trading on the AMEX on Monday, June 18, 2007 under the ticker symbol "FVL," the same ticker
symbol used by the Predecessor FVL Fund. The assets of the Predecessor FVL Fund were transferred to, and the liabilities of the
Predecessor FVL Fund were assumed by, FVL in exchange for shares of FVL on a one share for one share basis based upon the NAV
of the Predecessor FVL Fund on Friday, June 15, 2007. FVL shares have been distributed to the Predecessor FVL Fund shareholders,
on a tax-free basis for federal income tax purposes, and the Predecessor FVL Fund has been terminated. The historical results of
the Predecessor FVL Fund will survive for financial reporting purposes.
|
See Notes to Financial Statements. Page 83
Notes to Financial Statements
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, 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 seventeen exchange-traded funds:
First Trust Dow Jones Select MicroCap Index(SM) Fund - (AMEX ticker "FDM")
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund -
(AMEX ticker "FDL")
First Trust IPOX-100 Index Fund - (AMEX ticker "FPX")
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund - (NASDAQ ticker "QQEW")
First Trust NASDAQ-100-Technology Sector Index(SM) Fund -
(NASDAQ ticker "QTEC")
First Trust Amex(R) Biotechnology Index Fund - (AMEX ticker "FBT")
First Trust Dow Jones Internet Index(SM) Fund - (AMEX ticker "FDN")
First Trust DB Strategic Value Index Fund - (AMEX ticker "FDV")
First Trust Value Line(R) Equity Allocation Index Fund - (AMEX ticker "FVI")
First Trust Value Line(R) Dividend Index Fund - (AMEX ticker "FVD")
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund -
(NASDAQ ticker "QQXT")
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund -
(NASDAQ ticker "QCLN")
First Trust S&P REIT Index Fund - (AMEX ticker "FRI")
First Trust ISE Water Index Fund - (NYSE Arca, Inc. ticker "FIW")
First Trust ISE-Revere Natural Gas Index Fund - (NYSE Arca, Inc. ticker "FCG")
First Trust ISE Chindia Index Fund - (NYSE Arca, Inc. ticker "FNI")
First Trust Value Line(R) 100 Exchange-Traded Fund - (AMEX ticker "FVL")
Each fund represents a separate series of beneficial interest in the Trust
(individually, each a "Fund" and collectively, "the Funds"). Each Fund's shares
are listed and traded on the American Stock Exchange ("AMEX") except for the
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund, the First Trust
NASDAQ-100-Technology Sector Index(SM) Fund, the First Trust NASDAQ-100
Ex-Technology Sector Index(SM) Fund and the First Trust NASDAQ(R) Clean Edge(R)
U.S. Liquid Series Index Fund, which are listed and traded on The NASDAQ Stock
Market, Inc. ("NASDAQ(R)"), and the First Trust ISE Water Index Fund, the First
Trust ISE-Revere Natural Gas Index Fund and the First Trust Chindia Index Fund,
which are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). Unlike
conventional mutual funds, each Fund issues and redeems shares on a continuous
basis, at 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 Dow Jones Select MicroCap Index(SM) Fund Dow Jones Select MicroCap Index(SM)
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund Morningstar(R) Dividend Leaders(SM) Index
First Trust IPOX-100 Index Fund IPOX-100 U.S. Index
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund NASDAQ-100 Equal Weighted Index(SM)
First Trust NASDAQ-100-Technology Sector Index(SM) Fund NASDAQ-100 Technology Sector Index(SM)
First Trust Amex(R) Biotechnology Index Fund Amex(R) Biotechnology Index(SM)
First Trust Dow Jones Internet Index(SM) Fund Dow Jones Internet Composite Index(SM)
First Trust DB Strategic Value Index Fund Deutsche Bank CROCI(R) US+ Index(TM)
First Trust Value Line(R) Equity Allocation Index Fund Value Line(R) Equity Allocation Index
First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund NASDAQ-100 Ex-Tech Sector Index(SM)
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index
First Trust S&P REIT Index Fund S&P REIT Composite Index
First Trust ISE Water Index Fund ISE Water Index(TM)
First Trust ISE-Revere Natural Gas Index Fund ISE-REVERE Natural Gas Index(TM)
First Trust ISE Chindia Index Fund ISE ChIndia Index(TM)
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line(R) 100 Index
|
Page 84
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
preparation of the financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
The NAV of each Fund's shares 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 at market value or, in the absence of market
value with respect to any portfolio securities, at fair value according to
procedures adopted by the Trust's Board of Trustees. Portfolio securities listed
on any exchange other than the NASDAQ(R) 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 the NASDAQ(R) are valued
at the NASDAQ(R) Official Closing Price as determined by NASDAQ(R). Portfolio
securities traded on more than one securities exchange are valued at the last
sale price 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.
Portfolio securities traded in the over-the-counter market, but excluding
securities traded on the NASDAQ(R), 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) 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 the prices used by a Fund differing from the closing sale prices on
the applicable exchange and fair value prices may not reflect the actual value
of a security. A variety of factors may be considered in determining the fair
value of such securities.
Valuing a Fund's securities using fair value pricing will result in using prices
for the securities that may differ from current market valuations. Use of fair
value prices and certain current market valuations 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 such index.
In September 2006, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for fiscal years beginning after November 15, 2007. This standard
clarifies the definition of fair value for financial reporting, establishes a
framework for measuring fair value and requires additional disclosures about the
use of fair value measurements. FAS 157 became effective for the Funds as of
January 1, 2008, the beginning of each Fund's current fiscal year. The three
levels of the fair value hierarchy under FAS 157 are described below:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
o Level 3 - significant unobservable inputs (including a Fund's own
assumption in determining the fair value of investments)
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 net assets as of June 30, 2008 is
included with each Fund's Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Page 85
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
A Fund may hold publicly-traded master limited partnerships ("MLPs") and real
estate investment trusts ("REITs"). Distributions from such investments may
include a return of capital component from the MLP or REIT to the extent of the
cost basis of such investments. Cumulative distributions received in excess of a
Fund's cost basis in an MLP or REIT generally are recorded as dividend income.
C. Dividends and Distribution to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid
semi-annually, except for First Trust Morningstar(R) Dividend Leaders(SM) Index
Fund and First Trust Value Line(R) Dividend Index Fund, which declare and pay
dividends quarterly, or as the Board of Trustees may determine from time to
time. Distributions of net realized gains earned by each Fund, if any, are
distributed at least annually.
Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by a Fund, timing differences and differing characterization of distributions
made by a Fund.
The tax character of distributions paid by each Fund during the period ended
December 31, 2007 were as follows:
Distributions Distributions Distributions
paid from paid paid from
Ordinary from Capital Return of
Income Gains Capital
--------------- --------------- ----------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ 101,775 $ -- $ --
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund (A) 3,792,601 -- --
First Trust IPOX-100 Index Fund 67,725 -- --
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund -- -- --
First Trust NASDAQ-100-Technology Sector Index(SM) Fund -- -- --
First Trust Amex(R) Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index(SM) Fund -- -- --
First Trust DB Strategic Value Index Fund 394,875 -- --
First Trust Value Line(R) Equity Allocation Index Fund 171,605 -- --
First Trust Value Line(R) Dividend Index Fund 6,533,096 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund -- -- --
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund -- -- --
First Trust S&P REIT Index Fund 37,501 -- --
First Trust ISE Water Index Fund 24,475 -- --
First Trust ISE-Revere Natural Gas Index Fund 9,200 -- --
First Trust ISE Chindia Index Fund 58,125 -- --
First Trust Value Line(R) 100 Exchange-Traded Fund (B) -- -- --
(A) For the tax year ended November 30, 2007, the Fund distributed $2,951,001
from ordinary income. The Fund changed its tax year to December 31, effective
December 1, 2007, and therefore had a short tax year of December 1 to December
31, 2007. The Fund distributed $841,600 from ordinary income for the period
December 1 through December 31, 2007.
(B) All distributions were paid prior to June 18, 2007 and are of First Trust
Value Line(R) 100 Fund.
|
Page 86
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
As of December 31, 2007, the components of distributable earnings on a tax basis
for each Fund were as follows:
Undistributed Net Unrealized
Ordinary Income Appreciation (Depreciation)
------------------- ---------------------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ 4,380 $ (1,430,004)
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund (A) 9,502 (12,609,479)
First Trust IPOX-100 Index Fund 1,158 1,958,507
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund -- (1,743,296)
First Trust NASDAQ-100-Technology Sector Index(SM) Fund -- (1,783,779)
First Trust Amex(R) Biotechnology Index Fund -- (6,269,136)
First Trust Dow Jones Internet Index(SM) Fund -- (3,579,723)
First Trust DB Strategic Value Index Fund 22,423 (1,794,979)
First Trust Value Line(R) Equity Allocation Index Fund 3,164 667,292
First Trust Value Line(R) Dividend Index Fund -- (10,114,015)
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund -- (226,358)
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund -- 5,269,569
First Trust S&P REIT Index Fund -- (413,643)
First Trust ISE Water Index Fund -- 318,303
First Trust ISE-Revere Natural Gas Index Fund 1,666 10,424
First Trust ISE Chindia Index Fund 86,380 1,612,014
First Trust Value Line(R) 100 Exchange-Traded Fund -- 22,656,895
(A) The Fund changed its tax year to December 31, effective December 1, 2007,
and therefore had a short tax year of December 1 to December 31, 2007.
|
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.
In June 2006, the Financial Accounting Standards Board ("FASB") issued
Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes."
FIN 48 establishes the minimum threshold for recognizing, and a system for
measuring, the benefits of tax-return positions in financial statements,
effective for the Funds' current fiscal year. Management has analyzed the Funds'
tax positions taken on federal income tax returns for all open tax years (tax
years ended December 31, 2004-2007) for purposes of implementing FIN 48, and has
concluded that no provision for income tax is required in the Funds' financial
statements.
At December 31, 2007 for federal income tax purposes, each Fund that has capital
loss carryforwards available are shown in the table below, to the extent
provided by regulations, to offset future capital gains through the years
indicated. To the extent that these loss carryforwards are used to offset future
capital gains, it is probable that the capital gains so offset will not be
distributed to Fund shareholders.
Capital Loss Capital Loss Capital Loss
Available Available Available Total
Through Through Through Capital Loss
2013 2014 2015 Available
-------------- ------------- ------------- -------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ -- $ 1,604,481 $ 910,503 $2,514,984
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 52,755 202,279 198,670 453,704
First Trust IPOX-100 Index Fund -- 303,759 740,683 1,044,442
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund -- 15,480 271,083 286,563
First Trust NASDAQ-100-Technology Sector Index(SM) Fund -- 95,862 535,229 631,091
First Trust Amex(R) Biotechnology Index Fund- -- -- -- --
First Trust Dow Jones Internet Index(SM) Fund -- -- 15 15
First Trust DB Strategic Value Index Fund -- 45,432 831,336 876,768
First Trust Value Line(R) Equity Allocation Index Fund -- -- 1,439,101 1,439,101
First Trust Value Line(R) Dividend Index Fund -- -- 4,488,019 4,488,019
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund -- -- 7,779 7,779
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund -- -- 141,332 141,332
First Trust S&P REIT Index Fund -- -- 10,162 10,162
First Trust ISE Water Index Fund -- -- 592 592
First Trust ISE-Revere Natural Gas Index Fund -- -- 5,274 5,274
First Trust ISE Chindia Index Fund -- -- -- --
First Trust Value Line(R) 100 Exchange-Traded Fund -- -- 6,804,100 6,804,100
|
Page 87
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
Capital losses incurred after October 31 ("post-October lossess") within the
taxable year can be deemed to arise on the first business day of each Fund's
next tabable year.
The following Funds incurred and elected to defer net capital losses as follows:
Post-October Losses
-------------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ 21,926
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund --
First Trust IPOX-100 Index Fund 281,307
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 486,971
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 313,003
First Trust Amex(R) Biotechnology Index Fund 382
First Trust Dow Jones Internet Index(SM) Fund 5,398,739
First Trust DB Strategic Value Index Fund 318,138
First Trust Value Line(R) Equity Allocation Index Fund --
First Trust Value Line(R) Dividend Index Fund 2,101,739
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 34,569
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 12,352
First Trust S&P REIT Index Fund 8,811
First Trust ISE Water Index Fund 30,457
First Trust ISE-Revere Natural Gas Index Fund 90,276
First Trust ISE Chindia Index Fund 1,184,077
First Trust Value Line(R) 100 Exchange-Traded Fund 4,374,928
|
E. Expenses
Expenses that are directly related to one of the Funds are charged directly to
that Fund. General expenses of the Trust are allocated to all the Funds based
upon the average net assets of each Fund. First Trust Advisors L.P. ("First
Trust" or the "Advisor") has entered into licensing agreements with each of the
following "Licensors" for the respective Funds:
FUND LICENSOR
First Trust Dow Jones Select MicroCap Index(SM) Fund Dow Jones & Company, Inc.
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund Morningstar, Inc.
First Trust IPOX-100 Index Fund IPOX Schuster LLC
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund The NASDAQ Stock Market, Inc.
First Trust NASDAQ-100-Technology Sector Index(SM) Fund The NASDAQ Stock Market, Inc.
First Trust Amex(R) Biotechnology Index Fund American Stock Exchange LLC
First Trust Dow Jones Internet Index(SM) Fund Dow Jones & Company, Inc.
First Trust DB Strategic Value Index Fund Deutsche Bank AG
First Trust Value Line(R) Equity Allocation Index Fund Value Line Publishing, Inc.(R)
First Trust Value Line(R) Dividend Index Fund Value Line Publishing, Inc.(R)
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund The NASDAQ Stock Market, Inc.
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund The NASDAQ Stock Market, Inc. / Clean Edge, Inc.
First Trust S&P REIT Index Fund Standard & Poor's
First Trust ISE Water Index Fund International Securities Exchange, LLC
First Trust ISE-Revere Natural Gas Index Fund International Securities Exchange, LLC
First Trust ISE Chindia Index Fund International Securities Exchange, LLC
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line Publishing, Inc.(R)
|
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
F. Accounting Pronouncement
In March 2008, the Financial Accounting Standards Board released Statement of
Financial Accounting Standards No. 161, "Disclosures about Derivative
Instruments and Hedging Activities" ("FAS 161"). FAS 161 requires qualitative
disclosures about objectives and strategies for using derivatives, quantitative
disclosures about fair value amounts of and gains and losses on derivative
Page 88
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
instruments, and disclosures about credit risk related contingent features in
derivative agreements. The application of FAS 161 is required for fiscal years
beginning after November 15, 2008 and interim periods within those fiscal years.
Management is currently evaluating the impact the adoption of FAS 161 will have
on the Funds' financial statement disclosures, if any.
3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS
First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to each Fund pursuant to an Investment Management
Agreement. First Trust is responsible for the selection and ongoing monitoring
of the securities in each Fund's portfolio and providing certain other services
necessary for the management of each Fund.
For these services, First Trust is entitled to a monthly fee for each Fund
calculated at the following annual rates:
% of Average
Daily Net Assets
----------------
First Trust Dow Jones Select MicroCap Index(SM) Fund 0.50%
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 0.30%
First Trust IPOX-100 Index Fund 0.40%
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 0.40%
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 0.40%
First Trust Amex(R) Biotechnology Index Fund 0.40%
First Trust Dow Jones Internet Index(SM) Fund 0.40%
First Trust DB Strategic Value Index Fund 0.50%
First Trust Value Line(R) Equity Allocation Index Fund 0.50%
First Trust Value Line(R) Dividend Index Fund 0.50%
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 0.40%
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 0.40%
First Trust S&P REIT Index Fund 0.30%
First Trust ISE Water Index Fund 0.40%
First Trust ISE-Revere Natural Gas Index Fund 0.40%
First Trust ISE Chindia Index Fund 0.40%
First Trust Value Line(R) 100 Exchange-Traded Fund (1) 0.50%
|
(1) Prior to June 18, 2007, First Trust was entitled to a monthly fee calculated
at an annual rate of 0.65% of the Fund's average daily net assets for its
investment advisory services to First Trust Value Line(R) 100 Fund.
The Trust and the Advisor have entered into an Excess Expense Agreement in which
the Advisor has agreed to waive fees and/or reimburse the Funds' other expenses
to the extent that the operating expenses of each Fund (excluding interest
expense, brokerage commissions and other trading expenses, taxes and
extraordinary expenses) exceeded the percentage of average daily net assets per
year (the "Expense Cap") as shown below:
Expense Cap
-----------
First Trust Dow Jones Select MicroCap Index(SM) Fund 0.60%
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 0.45%
First Trust IPOX-100 Index Fund 0.60%
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 0.60%
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 0.60%
First Trust Amex(R) Biotechnology Index Fund 0.60%
First Trust Dow Jones Internet Index(SM) Fund 0.60%
First Trust DB Strategic Value Index Fund 0.65%
First Trust Value Line(R) Equity Allocation Index Fund 0.70%
First Trust Value Line(R) Dividend Index Fund 0.70%
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 0.60%
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 0.60%
First Trust S&P REIT Index Fund 0.50%
First Trust ISE Water Index Fund 0.60%
First Trust ISE-Revere Natural Gas Index Fund 0.60%
First Trust ISE Chindia Index Fund 0.60%
First Trust Value Line(R) 100 Exchange-Traded Fund 0.70%
|
Page 89
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
Except for First Trust Value Line(R) 100 Exchange-Traded Fund's Expense Cap,
which has an Expense Cap Termination Date of June 18, 2009, each Fund's Expense
Cap will be in effect until the Expense Cap Termination Date of May 15, 2009.
Expenses borne by the Advisor are subject to reimbursement by a Fund 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 would result in the Fund exceeding its
Expense Cap.
For the period ended June 30, 2008, the advisory fee waivers and reimbursements
of expenses (in order to maintain the Expense Caps) for each Fund were as
follows:
Advisory Fee Expense
Waivers Reimbursements
------------- --------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ 31,143 $ --
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 69,420 --
First Trust IPOX-100 Index Fund 41,023 --
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 33,018 --
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 33,438 2,598
First Trust Amex(R) Biotechnology Index Fund 44,093 --
First Trust Dow Jones Internet Index(SM) Fund 36,481 --
First Trust DB Strategic Value Index Fund 549 --
First Trust Value Line(R) Equity Allocation Index Fund 23,861 --
First Trust Value Line(R) Dividend Index Fund 86,763 --
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 3,950 23,483
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 50,922 --
First Trust S&P REIT Index Fund 2,562 63,612
First Trust ISE Water Index Fund 27,091 --
First Trust ISE-Revere Natural Gas Index Fund 28,365 --
First Trust ISE Chindia Index Fund 47,154 --
First Trust Value Line(R) 100 Exchange-Traded Fund 108,960 --
|
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM") (formerly known as The Bank of New York). Under the servicing
agreements, BNYM will perform custodial, fund accounting, certain administrative
services, and transfer agency services for the Trust. As custodian, BNYM is
responsible for the 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.
PNC Global Investment Servicing (U.S.) Inc. ("PNC"), formerly known as PFPC,
Inc., provides certain administrative services to the Trust and Funds in
connection with the Board's meetings and other related matters.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid 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 subsequent trust added to the
First Trust Fund Complex. The annual retainer is allocated equally among each of
the trusts. No additional meeting fees are paid in connection with board or
committee meetings.
Additionally, the Lead Independent Trustee is paid $10,000 annually and the
Audit Committee Chairman is paid $5,000 annually, with such compensation paid by
the trusts in the First Trust Fund Complex and divided among those trusts.
Trustees are also reimbursed by the trusts in the First Trust Fund Complex for
travel and out-of-pocket expenses in connection with all meetings. Effective
January 1, 2008, each of the chairmen of the Nominating and Governance Committee
and Valuation Committee will be paid $2,500 annually to serve in such capacities
with such compensation paid by the trusts in the First Trust Fund Complex and
divided among those trusts. Also effective January 1, 2008, the Lead Independent
Trustee and each Committee chairman will serve two-year terms.
Page 90
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
4. PURCHASES AND SALES OF SECURITIES
For the period ended June 30, 2008, 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 Dow Jones Select MicroCap Index(SM) Fund $ 765,532 $ 777,301
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 18,991,945 18,900,722
First Trust IPOX-100 Index Fund 8,122,155 8,141,736
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 4,001,792 4,021,026
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 2,740,295 2,751,569
First Trust Amex(R) Biotechnology Index Fund 6,729,251 8,276,635
First Trust Dow Jones Internet Index(SM) Fund 8,527,568 8,367,244
First Trust DB Strategic Value Index Fund 35,474,338 50,834,373
First Trust Value Line(R) Equity Allocation Index Fund 1,650,388 4,886,544
First Trust Value Line(R) Dividend Index Fund 66,551,726 66,453,896
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 277,012 270,909
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 6,695,622 6,611,041
First Trust S&P REIT Index Fund 132,353 114,635
First Trust ISE Water Index Fund 7,346,525 7,937,808
First Trust ISE-Revere Natural Gas Index Fund 31,129,023 38,583,971
First Trust ISE Chindia Index Fund 20,034,531 20,519,542
First Trust Value Line(R) 100 Exchange-Traded Fund 194,570,621 204,847,175
|
For the period ended June 30, 2008, the cost of in-kind purchases and proceeds
from in-kind sales for each Fund were as follows:
Purchases Sales
------------ ------------
First Trust Dow Jones Select MicroCap Index(SM) Fund $ 1,954,154 $ 1,017,055
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 4,742,625 6,267,539
First Trust IPOX-100 Index Fund 8,500,769 5,866,866
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 2,120,476 3,753,952
First Trust NASDAQ-100-Technology Sector Index(SM) Fund - 5,708,475
First Trust Amex(R) Biotechnology Index Fund 27,535,808 42,841,355
First Trust Dow Jones Internet Index(SM) Fund 4,760,907 14,714,068
First Trust DB Strategic Value Index Fund 59,825,183 28,812,658
First Trust Value Line(R) Equity Allocation Index Fund 7,221,535 5,928,807
First Trust Value Line(R) Dividend Index Fund 751,061 25,765,091
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 1,825,196 -
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 13,486,583 2,206,023
First Trust S&P REIT Index Fund 826,721 -
First Trust ISE Water Index Fund 40,083,700 7,429,307
First Trust ISE-Revere Natural Gas Index Fund 151,267,690 39,637,652
First Trust ISE Chindia Index Fund 13,398,811 7,739,782
First Trust Value Line(R) 100 Exchange-Traded Fund 58,728,655 79,873,706
|
See Notes to Financial Statements. Page 91
Notes to Financial Statements - (Continued)
As of June 30, 2008, the costs of investments for federal income tax purposes
and accumulated net unrealized appreciation/depreciation on investments for
each Fund were as follows:
Net
Unrealized Gross Gross
Appreciation Unrealized Unrealized
Cost (Depreciation) Appreciation (Depreciation)
----------- -------------- ------------ --------------
First Trust Dow Jones Select MicroCap Index(SM) Fund 20,171,269 (3,423,575) 1,181,598 (4,605,173)
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund 62,909,687 (17,833,116) 209,529 (18,042,645)
First Trust IPOX-100 Index Fund 26,108,637 898,385 3,398,359 (2,499,974)
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund 29,832,077 (4,617,031) 956,910 (5,573,941)
First Trust NASDAQ-100-Technology Sector Index(SM) Fund 18,604,786 (2,936,471) 294,993 (3,231,464)
First Trust Amex(R) Biotechnology Index Fund 58,709,435 (9,558,614) 1,068,729 (10,627,343)
First Trust Dow Jones Internet Index(SM) Fund 26,521,913 (4,348,451) 443,451 (4,791,902)
First Trust DB Strategic Value Index Fund 77,458,889 (5,599,285) 2,804,308 (8,403,593)
First Trust Value Line(R) Equity Allocation Index Fund 10,414,287 (82,133) 910,253 (992,386)
First Trust Value Line(R) Dividend Index Fund 154,022,956 (17,126,274) 4,424,846 (21,551,120)
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund 4,140,411 (484,830) 85,335 (570,165)
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund 54,306,697 (3,623,274) 5,290,681 (8,913,955)
First Trust S&P REIT Index Fund 2,800,524 (520,802) -- (520,802)
First Trust ISE Water Index Fund 45,928,830 (1,707,505) 887,523 (2,595,028)
First Trust ISE-Revere Natural Gas Index Fund 123,344,351 15,362,368 15,672,985 (310,617)
First Trust ISE Chindia Index Fund 97,447,790 (19,446,542) 1,148,455 (20,594,997)
First Trust Value Line(R) 100 Exchange-Traded Fund 145,083,587 12,381,352 16,353,334 (3,971,982)
|
5. CAPITAL
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 times the number of Shares in a Creation Unit
on the transaction date. Purchasers of Creation Units must pay 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 to approximate additional expenses incurred by a Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per Share of a Fund on the transaction date times the number of Shares in a
Creation Unit plus the fees described above and, if applicable, any transfer
taxes.
Page 92
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
Parties redeeming Creation Units must pay 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 to approximate additional expenses incurred by a Fund 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 a 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 First Trust Portfolios L.P., the distributor, for amounts
expended to finance activities primarily intended to result in the sale of
Creation Units or the provision of investor services. First Trust Portfolios
L.P. 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 June 30, 2009.
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. FIRST TRUST S&P REIT INDEX FUND - CHANGE IN UNDERLYING INDEX
Since its inception, the Fund has sought, as its investment objective,
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the S&P REIT Composite Index
(the "Current Index"). On July 29, 2008, the Board approved a change to the
Fund's underlying index from the Current Index to the S&P Citigroup/US REIT
Index (the "New Index"). The name of the New Index will be changed to S&P US
REIT Index on October 1, 2008. It is anticipated that the Fund will begin
tracking the New Index on or about November 4, 2008. Accordingly, beginning at
such time, the Fund's investment objective will be to seek investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of the New Index, which at such time will be called the S&P US REIT
Index. The Fund's investment objective and investment strategy are
non-fundamental policies and require 60 days' prior written notice to
shareholders before they can be changed by the Board without receiving
shareholder approval. The index methodology and related information regarding
the New Index will be available at http://www.ftportfolios.com.
Page 93
Additional Information
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Funds use to determine how
to vote proxies and information on how each Fund voted proxies relating to its
portfolio securities during the period ended June 30, 2008 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 a 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 Form N-Q is 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.
ADVISORY AGREEMENT
Board Considerations Regarding Approval of Continuation of Advisory Contract
The Board of Trustees of the First Trust Exchange-Traded 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 thirteen series of the Trust (each a
"Fund" and collectively, the "Funds"):
First Trust Dow Jones Select MicroCap Index(SM) Fund
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund
First Trust IPOX-100 Index Fund
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund
First Trust NASDAQ-100-Technology Sector Index(SM) Fund
First Trust Amex(R) Biotechnology Index Fund
First Trust Dow Jones Internet Index(SM) Fund
First Trust DB Strategic Value Index Fund
First Trust Value Line(R) Equity Allocation Index Fund
First Trust Value Line(R) Dividend Index Fund
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
First Trust Value Line(R) 100 Exchange-Traded Fund
The Board approved the continuation of the Agreement for a one-year period for
each Fund at a meeting held on March 3, 2008. The Board of Trustees determined
that the terms of the Agreement are fair and reasonable and that the Agreement
continues to be in the best interests of the Trust and each Fund.
To reach this determination, 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 by investment advisors to comparable funds, particularly other
exchange-traded funds ("ETFs"), including ETFs for which the Advisor serves as
investment advisor; expenses of each Fund compared to expense ratios of
comparable funds; 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; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P.; and information on the Advisor's compliance program. The
Independent Trustees also met separately with their independent legal counsel to
discuss the information provided by the Advisor. The Board applied its business
judgment to determine whether the arrangements between the Trust and the Advisor
are reasonable business arrangements from each Fund's perspective as well as
from the perspective of shareholders.
Page 94
Additional Information (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
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. The Board also considered the
compliance program that had been developed by the Advisor and the skills of its
employees who work with the Funds. The Board considered information on the
investment performance of each Fund and the performance of each Fund's
underlying index. The Board also reviewed the correlation between the each
Fund's underlying index and the Fund's performance and concluded that the
correlation between each Fund's performance, before expenses, and its underlying
index was appropriate. 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.
The Board considered the advisory fees payable by each Fund under the Agreement.
The Board reviewed data prepared by Lipper Inc. ("Lipper"), an independent
source, showing the management fees and expense ratios of each Fund as compared
to the management fees and expense ratios of one peer group selected by Lipper
and a second peer group selected by the Advisor. The Board discussed with
representatives of the Advisor the differences between the two peer groups and
considered the limitations of each peer group, including that there are a
limited number of peer funds (particularly ETFs with sufficient financial
information to be included in Lipper's peer group) and that many peer funds pay
a unitary fee. The Board considered that the Advisor has agreed to extend the
current expense cap for each Fund through May 15, 2009 (June 18, 2009 for the
First Trust Value Line(R) 100 Exchange-Traded Fund). For each Fund, the Board
noted that expenses borne by the Advisor are proposed 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 its expense cap, or if the expense cap is no longer
in effect, would result in the Fund exceeding an expense ratio equal to its most
recent expense cap. 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 light of the nature, extent and quality of services
provided to each Fund under the Agreement, and in light of the Advisor's
agreement to extend the current expense cap for each Fund through May 15, 2009
or June 18, 2009, as applicable, the Board determined that the investment
advisory fee for each Fund was reasonable.
The Board noted the Advisor's commitment to attempt to analyze whether economies
of scale can be realized for a Fund as its assets increase and operations
experience is accumulated, and noted that the Advisor intends to continue to
make investments in infrastructure and personnel. The Board took the costs borne
by the Advisor in connection with its services performed under the Agreement
into consideration and noted that the Agreement was not profitable to the
Advisor. 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 upon all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, 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 each Fund. No single factor was
determinative in the Board's analysis.
Page 95
Additional Information (Continued)
First Trust Exchange-Traded Fund
June 30, 2008 (Unaudited)
LICENSING INFORMATION
Dow Jones, Dow Jones Internet Composite Index(SM) and Dow Jones Select MicroCap
Index(SM) are trademarks of Dow Jones & Company, Inc. and have been licensed for
use. The First Trust Dow Jones Select MicroCap Index(SM) Fund, based on the Dow
Jones Select MicroCap Index(SM) and the First Trust Dow Jones Internet Index(SM)
Fund based on the Dow Jones Internet Composite Index(SM) are not sponsored,
endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation
regarding the advisability of trading in the Funds.
Morningstar is a service mark of Morningstar, Inc. and has been licensed for
use. The First Trust Morningstar(R) Dividend Leaders(SM) Index Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar, Inc., nor does
this company make any representation regarding the advisability of investing in
the Fund.
IPOX is a trademark of IPOX Schuster LLC. IPOX IPO Indexes and Derivatives
(patent pending).
NASDAQ(R), NASDAQ-100, NASDAQ-100 Index(R), NASDAQ-100 Technology Sector
Index(SM), NASDAQ-100 Equal-Weighted Index(SM), and NASDAQ-100 Ex-Tech Sector
Index(SM), are trademarks of the NASDAQ Stock Market, Inc. (which with its
affiliates is referred to as the Corporations) and are licensed for use by First
Trust Advisors L.P. The Funds have not been passed on by the Corporations as to
their legality or suitability. The Funds are not issued, endorsed, sold, or
promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE FUND.
NASDAQ(R) and Clean Edge(R) are the registered trademarks (the "Marks") of The
Nasdaq Stock Market, Inc. ("NASDAQ(R)") and Clean Edge, Inc. ("Clean Edge")
respectively. NASDAQ(R) and Clean Edge are, collectively with their affiliates,
the "Corporations." The Marks are licensed for use by First Trust Advisors L.P.
The Fund has not been passed on by the Corporations as to its legality or
suitability. The Fund is not issued, endorsed, sold, or promoted by the
Corporations. The Fund should not be construed in any way as investment advice
by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY
WITH RESPECT TO THE FUND.
The Amex(R) Biotechnology Index(SM) is a trademark of the American Stock
Exchange LLC and is licensed for use by First Trust Advisors L.P. The Fund is
not sponsored or endorsed by the American Stock Exchange LLC. American Stock
Exchange LLC makes no representation or warranty, express or implied, to the
owners of the Fund or any member of the public regarding the advisability of
investing in the Fund or the ability of the Fund to track the performance of the
various sectors represented in the stock market. American Stock Exchange LLC has
no obligation to take the needs of the owners of the Fund into consideration in
determining, composing or calculating the Index. American Stock Exchange LLC is
not responsible for and has not participated in any determination or calculation
made with respect to issuance or redemption of the Fund.
"Deutsche Bank" and "Deutsche Bank CROCI(R) US+ Index" are service marks of
Deutsche Bank AG ("Deutsche Bank"). Deutsche Bank has no relationship to First
Trust or the First Trust DB Strategic Value Index Fund, other than the licensing
of the Index and its service marks for use in connection with the Fund.
"Value Line(R)", "Value Line(R) Equity Allocation Index", "Value Line(R)
Dividend Index" and "Value Line(R) 100 Index" are trademarks of Value Line(R),
Inc. and have been licensed for use for certain purposes by First Trust on
behalf of the Funds. The First Trust Value Line(R) Equity Allocation Index Fund
based on the Value Line(R) Equity Allocation Index, the First Trust Value
Line(R) Dividend Index Fund, based on the Value Line(R) Dividend Index and the
First Trust Value Line(R) 100 Exchange-Traded Fund, based on the Value Line(R)
100 Index, are not sponsored, endorsed, sold, or promoted by Value Line(R),
Inc., and Value Line(R) makes no representation regarding the advisability of
investing in the Fund.
Standard & Poor's(R), S&P(R) and S&P REIT Composite Index are registered
trademarks of Standard & Poor's, a division of The McGraw-Hill Companies, Inc.
and have been licensed for use by First Trust Advisors L.P. The Fund is not
sponsored, endorsed, sold or promoted by S&P and S&P makes no representation,
warranty or condition regarding the advisability of investing in the Fund.
"International Securities Exchange(TM)", "ISE(TM)", "ISE Water Index(TM)", "ISE
ChIndia Index(TM)" and the ISE-REVERE Natural Gas Index(TM)" are trademarks of
the International Securities Exchange(TM) and have been licensed for use for
certain purposes by First Trust Advisors L.P. Each Fund, based on its
corresponding index, is not sponsored, endorsed, sold or promoted by the
International Securities Exchange(TM) and the International Securities
Exchange(TM) makes no representation regarding the advisability of trading in
such products.
Page 96
Risk Considerations (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 1-800-621-1675 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 FUND.
The following summarizes some of the risks that should be considered for the
Funds.
Risk Considerations:
Each Fund's shares will change in value, and you could lose money by investing
in a Fund. 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 Fund shares will decline, more or less, in correlation with any decline
in the value of the index that the Fund seeks to track.
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 also exposed to additional market risk due to a policy of investing
principally in the securities included in its corresponding index. As a result
of such policies, 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, each Fund 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 from an index provider that permits the Fund to
use its corresponding index and associated trade names and trademarks in
connection with the name and investment strategies of the Fund. Such licenses
may be terminated by the respective index provider and, as a result, each Fund
may lose its ability to use such intellectual property. There is also no
guarantee that the index provider has all rights to license the respective
intellectual property to First Trust, on behalf of the Fund. Accordingly, in the
event the license is terminated or the index provider does not have rights to
license the particular intellectual property, it may have a significant effect
on the operation of the related Fund.
Each Fund is subject to issuer specific changes risk. The value of an individual
security or a 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 will be concentrated in stocks of companies of a given 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 related
industry and may subject a Fund to greater market risk than more diversified
funds.
With the exception of First Trust Dow Jones Select MicroCap Index(SM) Fund,
First Trust Value Line(R) Dividend Index Fund, First Trust Value Line(R) Equity
Allocation Index Fund and First Trust Value Line(R) 100 Exchange-Traded Fund,
each Fund is considered to be non-diversified. As a result, those Funds are
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.
The Funds are not actively managed. The Funds may be affected by a general
decline in certain market segments relating to their corresponding index. The
Funds invests in securities included in or representative of their corresponding
index regardless of their investment merit. The Funds generally will not attempt
to take defensive positions in declining markets.
The First Trust Dow Jones Select MicroCap Index(SM) Fund invests in
micro-capitalization companies. Such companies may be more vulnerable to adverse
general market or economic developments, may be less liquid, and may experience
greater price volatility than larger, more established companies.
The First Trust Morningstar(R) Dividend Leaders(SM) Index Fund, the First Trust
Amex(R) Biotechnology Index Fund and the First Trust Dow Jones Internet
Index(SM) Fund invest in small-cap companies and are subject to additional
risks, as the share prices of small-cap companies may be less liquid and are
often more volatile than those of larger companies.
Page 97
Risk Considerations (Unaudited) (Continued)
The First Trust Dow Jones Internet Index(SM) Fund invests in the securities of
Internet companies. Internet companies are subject to rapid changes in
technology, worldwide competition, rapid obsolescence of products and services,
loss of patent protections, cyclical market patterns, evolving industry
standards, frequent new product introductions and the considerable risk of
owning small capitalization companies that have recently begun operations.
The First Trust NASDAQ-100 Equal Weighted Index(SM) Fund, the First Trust
NASDAQ-100-Technology Sector Index(SM) Fund and the First Trust Dow Jones
Internet Index(SM) Fund invest in stocks of companies in the technology sector.
You should be aware that an investment in a portfolio which invests in a
particular sector involves additional risks, including limited diversification.
The companies engaged in the technology sector are subject to fierce competition
and high research and development costs, and their products and services may be
subject to rapid obsolescence.
The First Trust Amex(R) Biotechnology Index Fund is concentrated in stocks of
companies in the biotechnology sector. You should be aware that an investment in
a portfolio which is concentrated in a particular sector involves additional
risks, including limited diversification. The companies engaged in the
biotechnology sector are subject to fierce competition, substantial research and
development costs, governmental regulations and pricing constraints, and their
products and services may be subject to rapid obsolescence.
The First Trust Amex(R) Biotechnology Index Fund invests in the securities of
companies in the health care sector. Because 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, general problems of these companies include extensive competition,
generic drug sales or the loss of patent protection, product liability
litigation and increased government regulations.
The First Trust IPOX-100 Fund invests in companies that have recently conducted
an initial public offering. The stocks of such companies are often subject to
extreme price volatility and speculative trading.
The First Trust Morningstar(R) Dividend Leaders(SM) Index Fund, First Trust S&P
REIT Index Fund and First Trust Value Line(R) Dividend Index Fund invest in
securities of companies in the financial services industry. Banks, thrifts and
their holding companies are especially subject to the adverse effects of
economic recession; 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. Although recently
enacted legislation repealed most of the barriers which separated the banking,
insurance and securities industries, these industries are still extensively
regulated at both the federal and state level and may be adversely affected by
increased regulations.
The First Trust IPOX-100 Fund, the First Trust Dow Jones Internet Index(SM)
Fund, the First Trust ISE Chindia Index Fund, the First Trust NASDAQ-100 Equal
Weighted Index(SM) Fund, the First Trust NASDAQ-100-Technology Sector Index(SM)
Fund and the First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
invest in securities of companies in the information technology industry.
Information technology companies are generally subject to the risks of rapidly
changing technologies; short product life cycles; fierce competition; and
aggressive pricing and reduced profit margins.
The First Trust DB Strategic Value Index Fund and the First Trust NASDAQ-100
Ex-Technology Sector Index(SM) Fund invest in the securities of companies in the
consumer discretionary sector. Because companies in the consumer discretionary
sector manufacture products and provide discretionary services directly to the
consumer, 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 ISE-Revere Natural Gas Index Fund invests in the securities of
companies in the energy sector. General problems of issuers in the energy sector
include volatile fluctuations in price and supply of energy fuels, international
politics, terrorist attacks, reduced demand as a result of increases in energy
efficiency and energy conservation, 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. In addition,
recently oil prices have been at historic highs and extremely volatile.
The First Trust ISE Water Index Fund and the First Trust NASDAQ(R) Clean Edge(R)
U.S. Liquid Series Index Fund invest in the securities of companies in the
industrials sector. 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 S&P REIT Index Fund invests in companies in the real estate
industry, including real estate investment trusts ("REITs") and is subject to
the risks associated with investing in real estate (any of which could cause the
value of a REIT's stock price to decline), which may include, but are not
limited to, possible declines in the value of real estate, adverse general and
local economic conditions, possible lack of availability of mortgage funds,
overbuilding in a REIT's market, changes in interest rates and environmental
problems. Furthermore, increases in interest rates typically lower the present
value of a REIT's future earnings stream, and may make financing property
purchases and improvements more costly.
Page 98
Risk Considerations (Unaudited)(Continued)
The First Trust Amex(R) Biotechnology Index Fund, the First Trust Dow Jones
Internet Index(SM) Fund, the First Trust Morningstar(R) Dividend Leaders(SM)
Index Fund, the First Trust Value Line(R) Equity Allocation Index Fund, the
First Trust Value Line(R) Dividend Index Fund, the First Trust Value Line(R) 100
Exchange-Traded Fund, the First Trust NASDAQ-100 Equal Weighted Index(SM) Fund,
the First Trust NASDAQ-100-Technology Index(SM) Fund, the First Trust NASDAQ-100
Ex-Technology Sector Index(SM) Fund, the NASDAQ(R) Clean Edge(R) U.S. Liquid
Series Index Fund, the First Trust IPOX-100 Index Fund, the First Trust ISE
Water Index Fund, the First Trust ISE-Revere Natural Gas Index Fund, the First
Trust ISE Chindia Index Fund and the First Trust S&P REIT Index Fund may invest
in small capitalization and mid-capitalization companies. Such companies'
securities may be less liquid and may experience greater price volatility than
securities of larger, more established companies.
The First Trust Value Line(R) 100 Exchange-Traded Fund, the First Trust ISE
Water Index Fund, the First Trust ISE-Revere Natural Gas Index Fund and the
First Trust ISE Chindia Index Fund invest in non-U.S. securities and such
securities may be denominated in currencies other than the U.S. Dollar. Non-U.S.
companies, in general, are not subject to the regulatory requirements of U.S.
companies and, as such, there may be less publicly available information about
these companies. Moreover, non-U.S. accounting, auditing and financial reporting
standards generally are different from those applicable to U.S. companies.
The NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund invests in renewable
and alternative energy companies. You should be aware that share prices of
renewable and alternative energy companies have been significantly more volatile
than shares of companies operating in other more established industries and the
securities included in the NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
may be subject to sharp price declines. This industry is relatively nascent and
under-researched in comparison to more established and mature sectors, and
should therefore be regarded as having greater investment risk.
The First Trust ISE Water Index Fund invests in companies in the potable water
and wastewater industries. You should be aware that adverse developments in
these industries may significantly affect the value of the shares of the First
Trust ISE Water Index Fund. Companies involved in the potable water and
wastewater industries are subject to environmental considerations, taxes,
government regulation, price and supply fluctuations, competition and
conservation.
The First Trust ISE-Revere Natural Gas Index Fund invests in companies in the
natural gas industry. You should be aware that one of the natural gas industry's
primary risks is the competitive risk associated with the prices of alternative
fuels, such as coal and oil. Additionally, the natural gas industry is sensitive
to increased interest rates because of the industry's capital intensive nature.
Furthermore, there are additional risks and hazards that are inherent in the
natural gas industry that may cause the price of natural gas to widely
fluctuate.
The First Trust ISE Chindia Index Fund invests in the securities of Chinese and
Indian companies. You should be aware that investments in such companies are
subject to additional risks, which are associated with possible adverse
economic, political and social developments in those countries.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 99
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[BLANK INSIDE BACK COVER]
[LOGO OMITTED] FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
1001 Warrenville Road
Lisle, IL 60532
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
BOARD ADMINISTRATOR
PNC Global Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
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
Back Cover
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 Fund
By: /s/ James A. Bowen
---------------------------
Name: James A. Bowen
Title: Chairman of the Board, President and Chief Executive Officer
Date: August 20, 2008
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ James A. Bowen
---------------------------
Name: James A. Bowen
Title: Chairman of the Board, President and Chief Executive Officer
Date: August 20, 2008
By: /s/ Mark R. Bradley
---------------------------
Name: Mark R. Bradley
Title: Treasurer, Controller, Chief Financial Officer and
Chief Accounting Officer
Date: August 20, 2008
|
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