FBT First Trust NYSE Arca Biotechnology Index Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

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 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

 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

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.

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

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.

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.

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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-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
 ------
 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%
 ======

__________________________

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.

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-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
 ------
 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%
 ======

____________________________

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.

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.

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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%
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(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-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%
 ======

____________________________

IPOX is a trademark of IPOX Schuster LLC, IPOX IPO Indexes and Derivatives (patent pending).

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-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.

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-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.

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-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.

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-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.

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-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.

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-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.

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-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.

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%
 ======

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-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.

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-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.

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%
 ======

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-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.

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-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.

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-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.

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-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.

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.

FVL - FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (CONTINUED)

 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%
 ======

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.

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.

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)
 -------------

(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)
 -------------

(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)
 --------------

(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

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

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.

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.

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

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

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%

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.

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

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.

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.

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.

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.

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.

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.

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.

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

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[BLANK INSIDE BACK COVER]

[LOGO OMITTED] FIRST TRUST

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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