FBT First Trust NYSE Arca Biotechnology Index Fund

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 COMMERCIAL BANKS--6.9%
 2,318 Bank of the Ozarks, Inc. $ 70,769
 3,965 Cascade Bancorp 88,261
 4,136 Chemical Financial Corp. 100,298
 3,094 City Holding Co. 112,652
 3,526 CoBiz Financial, Inc. 60,365
 5,505 Community Bank System, Inc. 107,458
 2,191 Greene Bancshares, Inc. 79,862
 2,540 Independent Bank Corp. 75,438
 4,090 Nara Bancorp, Inc. 63,886
 6,134 NBT Bancorp, Inc. 133,352
 4,051 PrivateBancorp, Inc. 141,136
 3,898 Renasant Corp. 84,314
 2,800 Seacoast Banking Corp. of Florida 52,360
 4,758 Texas Capital Bancshares, Inc. (a) 103,439
 2,856 West Coast Bancorp 81,139
 ------------
 1,354,729
 ------------
 COMMERCIAL SERVICES & SUPPLIES--6.7%
 2,901 American Ecology Corp. 61,472
 5,104 Bowne & Co., Inc. 85,033
 9,664 CBIZ, Inc. (a) 76,829
 2,405 CDI Corp. 67,051
 2,475 COMSYS IT Partners, Inc. (a) 41,605
 1,852 Cornell Cos., Inc. (a) 43,615
 2,147 CRA International, Inc. (a) 103,464
 4,677 Ennis, Inc. 103,081
 4,614 Hudson Highland Group, Inc.(a) 58,736
 1,240 ICF International, Inc. (a) 34,199
 5,100 Innerworkings, Inc. (a) 87,873
 7,518 Kforce, Inc. (a) 96,681
 4,398 LECG Corp. (a) 65,530
 6,468 On Assignment, Inc. (a) 60,411
 3,195 Pike Electric Corp. (a) 59,938
 1,968 Schawk, Inc. 44,418
 10,409 Spherion Corp. (a) 85,978
 3,315 Team, Inc. (a) 90,765
 1,219 Waste Industries USA, Inc. 34,888
 ------------
 1,301,567
 ------------
 COMMUNICATION EQUIPMENT--1.6%
 3,157 Anaren, Inc. (a) 44,514
 8,141 C-COR, Inc. (a) 93,540
 2,817 EMS Technologies, Inc. (a) 69,101
 6,792 Ixia (a) 59,226
 3,826 Oplink Communications, Inc.(a) 52,263
 ------------
 318,644
 ------------

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 COMPUTERS & PERIPHERALS--0.7%
 3,843 STEC, Inc. (a) $ 29,322
 3,846 Stratasys, Inc. (a) 105,996
 ------------
 135,318
 ------------
 CONSTRUCTION & ENGINEERING--0.9%
 1,895 Integrated Electrical Services, Inc. (a) 48,531
 1,281 Michael Baker Corp. (a) 62,782
 1,644 Northwest Pipe Co. (a) 62,176
 ------------
 173,489
 ------------
 CONSUMER FINANCE--0.6%
 5,211 First Cash Financial Services, Inc. (a) 122,042
 ------------
 DIVERSIFIED CONSUMER SERVICES--0.6%
 978 CPI Corp. 37,673
 4,383 Universal Technical Institute, Inc. (a) 78,894
 ------------
 116,567
 ------------
 DIVERSIFIED FINANCIAL SERVICES--0.4%
 1,994 ASTA Funding, Inc. 76,410
 ------------
 DIVERSIFIED TELECOMMUNICATIONS--2.4%
 7,862 Alaska Communications Systems Group, Inc. 113,606
 1,755 Atlantic Tele-Network, Inc. 63,794
 3,732 Consolidated Communications Holdings, Inc. 73,185
 5,063 FairPoint Communications, Inc. 95,488
 5,781 Iowa Telecommunications Services, Inc. 114,753
 ------------
 460,826
 ------------
 ELECTRICAL EQUIPMENT--0.8%
 2,175 Azz, Inc. (a) 76,038
 3,687 LSI Industries, Inc. 75,657
 ------------
 151,695
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--3.9%
 6,604 CTS Corp. 85,192
 2,809 FARO Technologies, Inc. (a) 124,017
 15,411 Kemet Corp. (a) 113,271
 3,449 LoJack Corp. (a) 65,393
 6,876 Methode Electronics, Inc. 103,484
 3,406 Park Electrochemical Corp. 114,373
 3,034 SYNNEX Corp. (a) 62,379
 7,686 TTM Technologies, Inc. (a) 88,927
 ------------
 757,036
 ------------

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 ENERGY EQUIPMENT & SERVICES--4.5%
 4,789 Bronco Drilling Co., Inc. (a) $ 70,877
 1,313 Dawson Geophysical Co. (a) 101,771
 2,045 Gulf Island Fabrication, Inc. 78,508
 4,894 Matrix Service Co. (a) 102,529
 16,449 Newpark Resources, Inc. (a) 88,167
 841 OYO Geospace Corp. (a) 77,969
 9,123 Pioneer Drilling Co. (a) 111,118
 2,126 Superior Well Services, Inc. (a) 48,324
 2,239 T-3 Energy Services, Inc. (a) 95,471
 2,320 Trico Marine Services, Inc. (a) 69,136
 2,049 Union Drilling, Inc. (a) 29,874
 ------------
 873,744
 ------------
 FOOD & STAPLES RETAILING--1.2%
 2,467 Nash Finch Co. 98,260
 2,211 PriceSmart, Inc. 52,180
 3,923 Spartan Stores, Inc. 88,385
 ------------
 238,825
 ------------
 FOOD PRODUCTS--0.9%
 13,147 Darling International, Inc. (a) 130,024
 1,534 Imperial Sugar Co. 40,083
 170,107
 ------------
 GAS UTILITIES--0.6%
 3,722 Laclede Group (The), Inc. 120,146
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--4.4%
 2,021 Aspect Medical Systems, Inc. (a) 27,425
 1,292 Cynosure, Inc. (a) 47,675
 2,358 Datascope Corp. 79,724
 2,464 ICU Medical, Inc. (a) 95,480
 3,353 IRIS International, Inc. (a) 64,378
 2,058 Kensey Nash Corp. (a) 53,734
 2,710 Medical Action Industries, Inc. (a) 64,119
 3,263 Natus Medical, Inc. (a) 52,012
 5,653 Quidel Corp. (a) 110,572
 5,947 Symmetry Medical, Inc. (a) 99,315
 1,492 Vital Signs, Inc. 77,793
 3,684 Zoll Medical Corp. (a) 95,489
 ------------
 867,716
 ------------
 HEALTH CARE PROVIDERS & SERVICES--5.9%
 1,970 Air Methods Corp. (a) 91,014
 4,524 Alliance Imaging, Inc. (a) 40,987
 2,295 American Dental Partners, Inc. (a) 64,283
 2,163 Bio-Reference Laboratories, Inc. (a) 73,023
 5,443 Cross Country Healthcare, Inc. (a) 95,089
 1,702 Emergency Medical Services Corp. (a) 51,486

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 HEALTH CARE PROVIDERS & SERVICES (CONTINUED)
 4,767 Gentiva Health Services, Inc. (a) $ 91,574
 3,946 Matria Healthcare, Inc. (a) 103,227
 2,380 Medcath Corp. (a) 65,355
 2,211 MWI Veterinary Supply, Inc. (a) 83,465
 6,039 Odyssey HealthCare, Inc. (a) 58,035
 2,139 Providence Service (The) Corp. (a) 62,801
 3,213 RehabCare Group, Inc. (a) 56,517
 4,590 Res-Care, Inc. (a) 104,836
 7,022 Sun Healthcare Group, Inc. (a) 117,337
 ------------
 1,159,029
 ------------
 HEALTH CARE TECHNOLOGY--0.2%
 1,876 Computer Programs & Systems, Inc. 49,451
 ------------
 HOTELS, RESTAURANTS & LEISURE--4.5%
 5,457 AFC Enterprises (a) 82,128
 3,323 BJ'S Restaurants, Inc. (a) 69,949
 2,828 Buffalo Wild Wings, Inc. (a) 106,672
 5,351 California Pizza Kitchen, Inc. (a) 94,017
 3,943 Marcus (The) Corp. 75,706
 2,607 McCormick & Schmick's Seafood Restaurants, Inc. (a) 49,090
 2,164 Monarch Casino & Resort, Inc. (a) 61,566
 2,047 Morton's Restaurant Group, Inc. (a) 32,547
 2,483 Peet's Coffee & Tea, Inc. (a) 69,301
 2,812 Red Robin Gourmet Burgers, Inc. (a) 120,634
 4,764 Steak N Shake (The) Co. (a) 71,508
 2,464 Town Sports International Holdings, Inc. (a) 37,477
 ------------
 870,595
 ------------
 HOUSEHOLD DURABLES--1.1%
 5,226 Helen of Troy Ltd. (a) 100,914
 1,752 Lifetime Brands, Inc. 35,548
 2,641 Universal Electronics, Inc. (a) 85,833
 ------------
 222,295
 ------------
 HOUSEHOLD PRODUCTS--0.5%
 3,051 WD-40 Co. 104,161
 ------------
 INDUSTRIAL CONGLOMERATES--0.7%
 3,329 Raven Industries, Inc. 133,326
 ------------
 INSURANCE--2.9%
 9,785 American Equity Investment Life Holding Co. 104,210
 1,885 American Physicians Capital, Inc. 73,440
 2,789 First Mercury Financial Corp. (a) 59,991
 6,616 Meadowbrook Insurance Group, Inc. (a) 59,610
 4,834 OneBeacon Insurance Group Ltd. 104,173
 2,869 Seabright Insurance Holdings (a) 48,974

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 INSURANCE (CONTINUED)
 3,144 Stewart Information Services Corp. $ 107,745
 ------------
 558,143
 ------------
 INTERNET & CATALOG RETAIL--1.1%
 3,517 FTD Group, Inc. 52,333
 2,549 Gaiam, Inc. (a) 61,252
 4,476 PetMed Express, Inc. (a) 62,710
 3,256 Stamps.com, Inc. (a) 38,974
 ------------
 215,269
 ------------
 INTERNET SOFTWARE & SERVICES--1.9%
 3,772 Greenfield Online, Inc. (a) 57,523
 5,083 Perficient, Inc. (a) 111,165
 11,909 SonicWALL, Inc. (a) 103,966
 5,084 Vignette Corp. (a) 102,036
 ------------
 374,690
 ------------
 IT SERVICES--1.7%
 9,833 Ciber, Inc.(a) 76,796
 6,135 infoUSA, Inc. 56,994
 3,626 ManTech International Corp., Class A (a) 130,463
 2,412 SI International, Inc. (a) 68,911
 ------------
 333,164
 ------------
 LEISURE EQUIPMENT & PRODUCTS--1.7%
 5,195 Jakks Pacific, Inc. (a) 138,758
 3,885 RC2 Corp. (a) 107,576
 4,167 Sturm, Ruger & Co., Inc. (a) 74,631
 ------------
 320,965
 ------------
 LIFE SCIENCES TOOLS & SERVICES--1.2%
 4,540 Albany Molecular Research, Inc. (a) 68,554
 5,317 Cambrex Corp. 57,902
 2,358 Kendle International, Inc. (a) 97,928
 ------------
 224,384
 ------------
 MACHINERY--7.6%
 4,834 Altra Holdings, Inc. (a) 80,583
 1,664 American Railcar Industries, Inc. 36,641
 1,371 Ampco-Pittsburgh Corp. 53,990
 2,270 Badger Meter, Inc. 72,754
 7,006 Blount International, Inc. (a) 79,588
 5,072 Chart Industries, Inc. (a) 163,115
 2,988 CIRCOR International, Inc. 135,684
 3,445 Columbus McKinnon Corp. (a) 85,746
 2,180 Dynamic Materials Corp. 104,400

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MACHINERY (CONTINUED)
 1,963 Gehl Co. (a) $ 43,834
 2,749 Greenbrier Cos., Inc. 73,426
 2,107 Hardinge, Inc. 73,387
 975 Hurco Cos., Inc. (a) 52,709
 2,559 Kadant, Inc. (a) 71,652
 1,933 L.B. Foster Co. (a) 84,008
 1,985 Lindsay Corp. 86,903
 2,159 Sun Hydraulics Corp. 68,656
 876 Twin Disc, Inc. 50,983
 5,314 Wabash National Corp. 59,995
 ------------
 1,478,054
 ------------
 MARINE--0.4%
 1,978 TBS International Ltd. (a) 81,593
 ------------
 MEDIA--2.9%
 2,048 Courier Corp. 72,110
 6,238 Cox Radio, Inc., Class A (a) 81,406
 11,630 Entravision Communications Corp., Class A (a) 107,229
 2,784 DG Fastchannel, Inc. (a) 65,647
 8,888 Journal Communications, Inc., Class A 84,258
 3,785 Playboy Enterprises, Inc., Class B (a) 40,651
 9,721 Sinclair Broadcast Group, Inc., Class A 117,041
 ------------
 568,342
 ------------
 METALS & MINING--0.7%
 3,226 A.M. Castle & Co. 105,168
 1,855 Claymont Steel Holdings, Inc. (a) 37,564
 ------------
 142,732
 ------------
 OIL, GAS & CONSUMABLE FUELS--1.3%
 2,610 DCP Midstream Partners LP 112,178
 7,548 PetroQuest Energy, Inc. (a) 80,990
 1,679 TransMontaigne Partners L.P. 55,407
 ------------
 248,575
 ------------
 PAPER & FOREST PRODUCTS--2.0%
 6,976 Buckeye Technologies, Inc. (a) 105,617
 8,242 Glatfelter 122,311
 2,717 Neenah Paper, Inc. 89,906
 2,874 Schweitzer-Mauduit International, Inc. 66,964
 ------------
 384,798
 ------------
 PERSONAL PRODUCTS--1.3%
 4,944 Elizabeth Arden, Inc. (a) 133,290
 1,733 Inter Parfums, Inc. 41,020

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 PERSONAL PRODUCTS (CONTINUED)
 6,456 Prestige Brands Holdings, Inc. (a) $ 70,887
 ------------
 245,197
 ------------
 PHARMACEUTICALS--0.9%
 2,527 Bradley Prarmaceuticals, Inc. (a) 45,991
 1,180 Obagi Medical Products, Inc. (a) 21,795
 8,679 Salix Pharmaceuticals, Ltd. (a) 107,793
 ------------
 175,579
 ------------
 ROAD & RAIL--0.5%
 4,310 Celadon Group, Inc. (a) 50,729
 2,773 Marten Transport Ltd. (a) 42,732
 ------------
 93,461
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.9%
 14,769 Cirrus Logic, Inc. (a) 94,521
 3,885 Cohu, Inc. 72,844
 9,653 Mattson Technology, Inc. (a) 83,499
 4,993 Rudolph Technologies, Inc. (a) 69,053
 3,556 Ultra Clean Holdings (a) 52,273
 ------------
 372,190
 ------------
 SOFTWARE--1.4%
 11,105 Actuate Corp. 71,627
 1,548 Interactive Intelligence, Inc. (a) 29,412
 4,475 Radiant Systems, Inc. (a) 70,839
 7,113 Tyler Technologies, Inc. (a) 94,959
 ------------
 266,837
 ------------
 SPECIALTY RETAIL--3.3%
 3,724 A.C. Moore Arts & Crafts, Inc. (a) 58,690
 3,910 Big 5 Sporting Goods Corp. 73,117
 6,746 Casual Male Retail Group, Inc. (a) 60,444
 5,640 Cato (The) Corp. 115,283
 2,233 Conn's, Inc. (a) 53,346
 3,312 Jos. A. Bank Clothiers, Inc. (a) 110,687
 2,714 Midas, Inc. (a) 51,213
 2,648 Monro Muffler Brake, Inc. 89,476
 2,633 West Marine, Inc. (a) 30,411
 ------------
 642,667
 ------------

FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (Continued)
 TEXTILES, APPAREL & LUXURY GOODS--2.2%
 2,885 Maidenform Brands, Inc. (a) $ 45,814
 3,548 Movado Group, Inc. 113,252
 2,128 Perry Ellis International, Inc. (a) 58,967
 3,581 Steven Madden, Ltd. (a) 67,860
 2,576 True Religion Apparel, Inc. (a) 45,338
 2,633 UniFirst Corp. 98,632
 ------------
 429,863
 ------------
 THRIFTS & MORTGAGE FINANCE--1.9%
 3,527 Anchor BanCorp Wisconsin, Inc. 95,229
 9,920 Bank Mutual Corp. 116,957
 5,776 Dime Community Bancshares 86,467
 1,161 WSFS Financial Corp. 72,446
 ------------
 371,099
 ------------
 TOBACCO--0.6%
 17,607 Alliance One International, Inc. (a) 115,150
 ------------
 TRADING COMPANIES & DISTRIBUTORS--0.4%
 3,186 Rush Enterprises, Inc., Class A (a) 80,765
 ------------
 WATER UTILITIES--1.3%
 3,136 American States Water Co. 122,305
 2,388 SJW Corp. 81,526
 4,429 Southwest Water Co. 55,938
 ------------
 259,769
 ------------
 WIRELESS TELECOMMUNICATION SERVICES--0.4%
 4,251 USA Mobility, Inc. 71,714
 ------------


 TOTAL INVESTMENTS--100.3%
 (Cost $19,575,325) (b) 19,548,908
 NET OTHER ASSETS AND LIABILITIES--(0.3%) (53,814)
 ------------
 NET ASSETS--100.0% $ 19,495,094
 ============


 (a) Non-income producing security.

FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.0%
 BUILDING PRODUCTS--0.6%
 22,897 Masco Corp. $ 530,523
 ------------
 CHEMICALS--3.0%
 50,707 Dow Chemical (The) Co. 2,183,444
 4,066 Olin Corp. 90,997
 6,238 RPM International, Inc. 149,400
 ------------
 2,423,841
 ------------
 COMMERCIAL BANKS--28.0%
 7,921 Associated Banc-Corp. 234,699
 4,123 BancorpSouth, Inc. 100,189
 38,819 BB&T Corp. 1,567,899
 1,549 Chemical Financial Corp. 37,563
 8,036 Citizens Banking Corp. 129,460
 7,994 Colonial BancGroup (The), Inc. 172,830
 11,490 Comerica, Inc. 589,207
 1,953 Community Bank System, Inc. 38,123
 5,390 F.N.B. Corp. 89,151
 36,873 Fifth Third Bancorp 1,249,257
 1,471 First Charter Corp. 44,380
 3,162 First Financial Bancorp 40,410
 12,926 First Horizon National Corp. 344,607
 2,900 First Midwest Bancorp, Inc. 99,064
 6,951 FirstMerit Corp. 137,352
 11,158 Fulton Financial Corp. 160,452
 35,124 Huntington Bancshares, Inc. 596,406
 25,075 KeyCorp 810,675
 57,173 National City Corp. 1,434,471
 2,894 National Penn Bancshares, Inc. 47,346
 1,867 NBT Bancorp, Inc. 40,589
 5,608 Old National Bancorp 92,925
 2,525 Pacific Capital Bancorp 66,408
 766 Park National Corp. 66,795
 19,467 PNC Financial Services Group, Inc. 1,325,703
 21,452 Popular, Inc. 263,431
 2,089 Provident Bankshares Corp. 65,448
 1,392 S&T Bancorp., Inc. 44,669
 3,666 South Financial Group (The), Inc. 83,365
 21,001 SunTrust Banks, Inc. 1,589,145
 4,200 Susquehanna Bancshares, Inc. 84,420
 7,462 TCF Financial Corp. 195,355
 2,566 Trustmark Corp. 71,951
 86,616 U.S. Bancorp 2,817,617
 2,508 United Bankshares, Inc. 76,344
 7,094 Valley National Bancorp 157,345
 15,865 W Holding Co., Inc. 35,538
 82,172 Wachovia Corp. 4,120,925
 98,050 Wells Fargo & Co. 3,492,540
 1,262 WesBanco, Inc. 31,525
 4,626 Whitney Holding Corp. 122,034
 3,646 Wilmington Trust Corp. 141,829
 --------------
 22,909,442
 --------------

FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 DIVERSIFIED FINANCIAL SERVICES--19.4%
164,001 Bank of America Corp. $ 8,244,330
163,519 Citigroup, Inc. 7,631,432
 ------------
 15,875,762
 ------------
 DIVERSIFIED TELECOMMUNICATION SERVICES--13.4%
158,822 AT&T, Inc. 6,719,759
 94,639 Verizon Communications, Inc. 4,190,615
 ------------
 10,910,374
 ------------
 ELECTRIC UTILITIES--5.2%
 3,574 Cleco Corp. 90,315
 7,264 DPL, Inc. 190,753
 2,747 Empire District Electric (The) Co. 62,055
 8,132 Great Plains Energy, Inc. 234,283
 1,387 Otter Tail Corp. 49,447
 11,953 Pepco Holdings, Inc. 323,687
 8,856 Pinnacle West Capital Corp. 349,901
 21,582 Progress Energy, Inc. 1,011,117
 52,994 Southern Co. 1,922,621
 ------------
 4,234,179
 ------------
 GAS UTILITIES--1.0%
 5,245 AGL Resources, Inc. 207,806
 6,686 Atmos Energy Corp. 189,348
 1,476 Laclede Group (The), Inc. 47,645
 3,143 Nicor, Inc. 134,835
 4,407 Piedmont Natural Gas Co., Inc. 110,572
 3,277 WGL Holdings, Inc. 111,058
 ------------
 801,264
 ------------
 HOUSEHOLD DURABLES--0.2%
 2,351 Kimball International, Inc., Class B 26,754
 2,767 Tupperware Brands Corp. 87,133
 ------------
 113,887
 ------------
 INSURANCE--1.3%
 6,523 Arthur J. Gallagher & Co. 188,971
 8,470 Cincinnati Financial Corp. 366,837
 3,607 Commerce Group (The), Inc. 106,298
 1,642 Mercury General Corp. 88,553
 2,972 Unitrin, Inc. 147,381
 2,661 Zenith National Insurance Corp. 119,452
 ------------
 1,017,492
 ------------
 METALS & MINING--0.2%
 3,363 Nucor Corp. 199,998
 ------------

FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MULTI-UTILITIES--6.4%
 16,052 Ameren Corp. $ 842,730
 1,954 Black Hills Corp. 80,153
 1,154 CH Energy Group, Inc. 55,161
 21,709 Consolidated Edison, Inc. 1,005,127
 15,601 Dominion Resources, Inc. 1,315,165
 11,948 DTE Energy Co. 578,761
 11,968 Energy East Corp. 323,734
 6,083 NSTAR 211,749
 6,007 OGE Energy Corp. 198,832
 7,820 Puget Energy, Inc. 191,355
 7,762 SCANA Corp. 300,700
 5,818 Vectren Corp. 158,773
 ------------
 5,262,240
 ------------
 PHARMACEUTICALS--10.6%
 89,822 Bristol-Myers Squibb Co. 2,588,670
249,834 Pfizer, Inc. 6,103,445
 ------------
 8,692,115
 ------------
 REAL ESTATE INVESTMENT TRUSTS--0.3%
 5,388 Rayonier, Inc. 258,840
 ------------
 THRIFTS & MORTGAGE FINANCE--3.3%
 5,523 Astoria Financial Corp. 146,525
 3,509 Corus Bankshares, Inc. 45,687
 6,621 First Niagara Financial Group, Inc. 93,687
 1,884 Flagstar Bancorp, Inc. 18,331
 4,398 Washington Federal, Inc. 115,491
 63,994 Washington Mutual, Inc. 2,259,629
 ------------
 2,679,350
 ------------
 TOBACCO--7.1%
 74,730 Altria Group, Inc. 5,195,977
 12,859 UST, Inc. 637,806
 ------------
 5,833,783
 ------------


 TOTAL INVESTMENTS--100.0%
 (Cost $84,278,216) (a) 81,743,090
 NET OTHER ASSETS AND LIABILITIES--0.0% 29,830
 -------------
 NET ASSETS--100.0% $ 81,772,920
 =============

FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.2%
 AEROSPACE & DEFENSE--1.0%
 6,581 Spirit Aerosystems Holdings, Inc., Class A. (a) $ 256,264
 ------------
 AUTO COMPONENTS--0.6%
 4,744 TRW Automotive Holdings Corp. (a) 150,290
 ------------
 BIOTECHNOLOGY--0.6%
 1,739 Pharmion Corp. (a) 80,238
 2,860 Theravance, Inc. (a) 74,617
 ------------
 154,855
 ------------
 BUILDING PRODUCTS--0.3%
 3,250 Goodman Global, Inc. (a) 77,610
 ------------
 CAPITAL MARKETS--5.3%
 11,094 Ameriprise Financial, Inc. 700,142
 1,380 GFI Group, Inc. (a) 118,846
 1,313 Greenhill & Co., Inc. 80,159
 5,076 Lazard Ltd., Class A 215,222
 5,641 MF Global Ltd. (a) 163,589
 2,969 optionsXpress Holdings, Inc. 77,610
 ------------
 1,355,568
 ------------
 CHEMICALS--4.5%
 7,037 Celanese Corp., Class A 274,302
 2,625 CF Industries Holding, Inc. 199,264
 10,468 Huntsman Corp. 277,297
 6,807 Nalco Holding Co. 201,828
 3,480 Rockwood Holdings, Inc. (a) 124,688
 3,087 Westlake Chemical Corp. 78,194
 ------------
 1,155,573
 ------------
 COMMUNICATIONS EQUIPMENT--0.3%
 3,626 Aruba Networks, Inc. (a) 72,520
 ------------
 COMMERCIAL SERVICES & SUPPLIES--0.9%
 2,752 IHS, Inc., Class A (a) 155,460
 4,864 RSC Holdings, Inc. (a) 79,770
 ------------
 235,230
 ------------
 CONSTRUCTION & ENGINEERING--1.8%
 4,637 Aecom Technology Corp. (a) 161,970
 7,968 KBR, Inc. (a) 308,920
 ------------
 470,890
 ------------
 CONSUMER FINANCE--1.8%
 22,502 Discover Financial Services 468,042
 ------------

FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 DIVERSIFIED FINANCIALS--3.8%
 12,448 NYSEEuronext $ 985,508
 ------------
 DIVERSIFIED TELECOMMUNICATION SERVICES--2.0%
 7,194 Embarq Corp. 399,986
 3,603 NeuStar, Inc., Class A (a) 123,547
 ------------
 523,533
 ------------
 ELECTRIC UTILITIES--0.4%
 2,009 ITC Holdings Corp. 99,546
 ------------
 ELECTRICAL EQUIPMENT--2.9%
 3,636 First Solar, Inc (a). 428,103
 3,928 SunPower Corp., Class A (a) 325,317
 ------------
 753,420
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--4.2%
 4,467 Cogent, Inc. (a) 70,043
 5,187 Dolby Laboratories, Inc., Class A (a) 180,611
 23,443 Tyco Electronics Ltd. 830,585
 ------------
 1,081,239
 ------------
 ENERGY EQUIPMENT & SERVICES--1.4%
 3,436 Complete Production Services, Inc. (a) 70,369
 4,046 Dresser-Rand Group, Inc. (a) 172,805
 4,190 Hercules Offshore, Inc. (a) 109,401
 ------------
 352,575
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--4.5%
 23,442 Covidien Ltd. 972,843
 3,374 Kinetic Concepts, Inc. (a) 189,889
 ------------
 1,162,732
 ------------
 HEALTH CARE PROVIDERS & SERVICES--1.5%
 4,788 Brookdale Senior Living, Inc. 190,610
 1,966 WellCare Health Plans, Inc. (a) 207,276
 ------------
 397,886
 ------------
 HOTELS, RESTAURANTS & LEISURE--3.3%
 6,372 Burger King Holdings, Inc. 162,422
 1,736 Life Time Fitness, Inc. (a) 106,486
 8,882 Tim Hortons, Inc. 309,538
 8,421 Wyndham Worldwide Corp. 275,872
 ------------
 854,318
 ------------

FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 HOUSEHOLD DURABLES--0.5%
 3,738 Tempur-Pedic International, Inc. $ 133,634
 ------------
 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.3
 1,798 Ormat Technologies, Inc. 83,319
 ------------
 INSURANCE--5.4%
 2,848 Allied World Assurance Holdings Ltd. 147,840
 4,156 Aspen Insurance Holdings Ltd. 115,994
 5,617 Assurant, Inc. 300,510
 3,196 Assured Guaranty Ltd. 86,835
 20,873 Genworth Financial, Inc., Class A 641,427
 3,601 Validus Holdings Ltd. (a) 87,288
 ------------
 1,379,894
 ------------
 INTERNET SOFTWARE & SERVICES--11.7%
 1,882 DealerTrack Holdings, Inc. (a) 78,818
 4,636 Google, Inc., Class A (a) 2,629,863
 2,736 Omniture, Inc. (a) 82,956
 2,034 VistaPrint Ltd. (a) 76,011
 2,694 WebMD Health Corp., Class A (a) 140,357
 ------------
 3,008,005
 ------------
 IT SERVICES--8.7%
 9,983 Genpact Ltd. (a) 169,212
 6,374 MasterCard, Inc., Class A 943,160
 6,041 SAIC, Inc. (a) 115,927
 3,933 VeriFone Holdings, Inc. (a) 174,350
 36,432 Western Union Co. 763,979
 1,885 Wright Express Corp. (a) 68,784
 ------------
 2,235,412
 ------------
 MACHINERY--0.5%
 1,763 Bucyrus International, Inc., Class A 128,576
 ------------
 MARINE--0.3%
 1,203 Genco Shipping & Trading Ltd. 78,833
 ------------
 MEDIA--12.5%
 5,020 Cinemark Holdings, Inc. (a) 93,171
 4,926 DreamWorks Animation SKG, Inc., Class A (a) 164,627
 2,038 Morningstar, Inc. (a) 125,133
 46,063 Time Warner Cable, Inc., Class A (a) 1,510,865
 32,375 Viacom, Inc., Class B (a) 1,261,654
 7,050 Warner Music Group Corp. 71,205
 ------------
 $ 3,226,655
 ------------

FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 OIL, GAS & CONSUMABLE FUELS--6.7%
 2,207 Alon USA Energy,Inc. $ 74,552
 3,089 Alpha Natural Resources, Inc. (a) 71,757
 2,105 Bill Barrett Corp. (a) 82,958
 7,922 Continental Resources, Inc. (a) 143,706
 1,996 Copano Energy LLC 73,313
 2,168 Crosstex Energy, Inc. 82,189
 4,923 EXCO Resources, Inc. (a) 81,426
 2,140 Foundation Coal Holdings, Inc. 83,888
 29,805 Spectra Energy Corp. 729,627
 3,594 W&T Offshore, Inc. 87,622
 3,214 Western Refining, Inc. 130,424
 2,003 Whiting Petroleum Corp. (a) 89,033
 ------------
 1,730,495
 ------------
 PERSONAL PRODUCTS--1.0%
 4,253 Bare Escentuals, Inc. (a) 105,772
 3,387 Herbalife Ltd. 153,973
 ------------
 259,745
 ------------
 PHARMACEUTICALS--0.8%
 11,815 Warner Chilcott Ltd., Class A (a) 209,953
 ------------
 REAL ESTATE MANAGEMENT & DEVELOPMENT--1.2%
 10,811 CB Richard Ellis Group, Inc., Class A (a) 300,978
 ------------
 ROAD & RAIL--1.3%
 15,155 Hertz Global Holdings, Inc. (a) 344,322
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.7%
 2,651 Atheros Communications (a) 79,450
 2,248 Tessera Technologies, Inc. (a) 84,300
 ------------
 163,750
 ------------
 SOFTWARE--1.4%
 4,629 NAVTEQ Corp. (a) 360,923
 ------------
 SPECIALTY RETAIL--0.8%
 3,103 Cabela's, Inc. (a) 73,386
 2,896 J. Crew Group, Inc. (a) 120,184
 ------------
 193,570
 ------------
 TEXTILES, APPAREL & LUXURY GOODS--1.5%
 3,845 Crocs, Inc. (a) 258,577
 4,521 Hanesbrands, Inc. (a) 126,859
 ------------
 385,436
 ------------

FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 THRIFTS & MORTGAGE FINANCE--0.3%
 5,308 NewAlliance Bancshares,Inc. $ 77,921
 ------------
 TRADING COMPANIES & DISTRIBUTORS--1.1%
 3,180 Aircastle Ltd. 106,275
 2,212 TransDigm Group, Inc. (a) 101,111
 2,450 UAP Holding Corp. 76,832
 ------------
 284,218
 ------------
 WIRELESS TELECOMMUNICARTION SERVICES--2.4%
 7,710 Clearwire Corp., Class A (a) 188,432
 16,356 Metropcs Communications (a) 446,192
 ------------
 634,624
 ------------


 TOTAL INVESTMENTS--100.2%
 (Cost $23,804,958) (b) 25,827,862
 NET OTHER ASSETS AND LIABILITIES--(0.2%) (48,113)
 ------------
 NET ASSETS--100.0% $ 25,779,749
 ============


 (a) Non-income producing security.

FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.5%
 AIR FREIGHT & LOGISTICS--2.1%
 4,280 C.H. Robinson Worldwide, Inc. $ 232,361
 4,985 Expeditors International of Washington, Inc. 235,791
 ------------
 468,152
 ------------
 AIRLINES--1.9%
 5,084 Ryanair Holdings PLC ADR (a) 211,037
 4,732 UAL Corp. (a) 220,180
 ------------
 431,217
 ------------
 BIOTECHNOLOGY--7.8%
 4,014 Amgen, Inc. (a) 227,072
 4,439 Amylin Pharmaceuticals, Inc. (a) 221,950
 3,302 Biogen Idec, Inc. (a) 219,022
 3,146 Celgene Corp. (a) 224,341
 2,852 Cephalon, Inc. (a) 208,367
 3,376 Genzyme Corp. (a) 209,177
 5,675 Gilead Sciences, Inc. (a) 231,936
 5,355 Vertex Pharmaceuticals, Inc. (a) 205,686
 ------------
 1,747,551
 ------------
 CHEMICALS--1.1%
 4,931 Sigma-Aldrich Corp. 240,337
 ------------
 COMMERCIAL SERVICES & SUPPLIES--2.0%
 5,942 Cintas Corp. 220,448
 6,572 Monster Worldwide, Inc. (a) 223,843
 ------------
 444,291
 ------------
 COMMUNICATIONS EQUIPMENT--6.1%
 6,725 Cisco Systems, Inc. (a) 222,665
 5,978 Juniper Networks, Inc. (a) 218,855
 5,690 QUALCOMM, Inc. 240,459
 2,605 Research In Motion Ltd. (a) 256,723
 5,653 Telefonaktiebolaget LM Ericsson ADR 224,989
 20,877 Tellabs, Inc. (a) 198,749
 ------------
 1,362,440
 ------------
 COMPUTERS & PERIPHERALS--6.0%
 1,596 Apple Computer, Inc. (a) 245,049
 8,028 Dell, Inc. (a) 221,573
 8,064 Logitech International S.A. (a) 238,291
 7,794 Network Appliance, Inc. (a) 209,737
 3,987 SanDisk Corp. (a) 219,684

FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 COMPUTERS & PERIPHERALS (CONTINUED)
 37,878 Sun Microsystems, Inc. (a) $ 212,496
 ------------
 1,346,830
 ------------
 CONSTRUCTION &
 ENGINEERING--1.1%
 1,820 Foster Wheeler Ltd. (a) 238,930

 ------------
 DIVERSIFIED CONSUMER SERVICES--1.0%
 3,660 Apollo Group, Inc., Class A (a) 220,149
 ------------
 DIVERSIFIED TELECOMMUNICATION SERVICES--1.0%
 45,822 Level 3 Communications, Inc. (a) 213,072
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--1.9%
 2,508 CDW Corp. (a) 218,698
 18,144 Flextronics International Ltd. (a) 202,850
 ------------
 421,548
 ------------
 ENERGY EQUIPMENT & SERVICES--1.0%
 9,457 Patterson-UTI Energy, Inc. 213,444
 ------------
 FOOD & STAPLES RETAILING--2.1%
 3,691 Costco Wholesale Corp. 226,517
 4,903 Whole Foods Market, Inc. 240,051
 ------------
 466,568
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--2.0%
 5,390 DENTSPLY International, Inc. 224,440
 986 Intuitive Surgical, Inc. (a) 226,780
 ------------
 451,220
 ------------
 HEALTH CARE PROVIDERS & SERVICES--2.0%
 3,970 Express Scripts, Inc. (a) 221,605
 5,659 Patterson Cos., Inc. (a) 218,494
 ------------
 440,099
 ------------
 HOTELS, RESTAURANTS & LEISURE--2.1%
 7,914 Starbucks Corp. (a) 207,347
 1,642 Wynn Resorts Ltd. (a) 258,713
 ------------
 466,060
 ------------
 HOUSEHOLD DURABLES--1.1%
 2,024 Garmin Ltd. 241,666
 ------------

FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 INTERNET & CATALOG RETAIL--4.2%
 2,507 Amazon.Com, Inc. (a) $ 233,527
 7,473 Expedia, Inc. (a) 238,239
 7,819 IAC/InterActiveCorp (a) 231,990
 11,560 Liberty Media Corp. - Interactive, Class A (a) 222,068
 ------------
 925,824
 ------------
 INTERNET SOFTWARE & SERVICES--5.1%
 7,169 Akamai Technologies, Inc. (a) 205,965
 5,957 eBay, Inc. (a) 232,442
 415 Google, Inc., Class A (a) 235,417
 6,628 VeriSign, Inc. (a) 223,629
 9,122 Yahoo!, Inc. (a) 244,835
 ------------
 1,142,288
 ------------
 IT SERVICES--5.1%
 4,668 CheckFree Corp. (a) 217,249
 3,161 Cognizant Technology Solutions Corp., Class A (a) 252,153
 4,608 Fiserv, Inc. (a) 234,363
 4,631 Infosys Technologies Ltd. ADR 224,094
 4,899 Paychex, Inc. 200,859
 ------------
 1,128,718
 ------------
 MACHINERY--2.1%
 4,872 Joy Global, Inc. 247,790
 2,595 PACCAR, Inc. 221,224
 ------------
 469,014
 ------------
 MEDIA--8.1%
 8,485 Comcast Corp., Class A (a) 205,167
 8,258 Discovery Holding Co., Class A (a) 238,243
 5,224 EchoStar Communications Corp., Class A (a) 244,535
 4,304 Lamar Advertising Co., Class A 210,767
 5,313 Liberty Global, Inc., Class A (a) 217,939
 65,342 Sirius Satellite Radio, Inc. (a) 228,044
 9,387 Virgin Media, Inc. 227,822
 15,880 XM Satellite Radio Holdings, Inc., Class A (a) 225,020
 ------------
 1,797,537
 ------------
 MULTILINE RETAIL--0.9%
 1,648 Sears Holdings Corp. (a) 209,626
 ------------
 PHARMACEUTICALS--1.9%
 7,659 Sepracor, Inc. (a) 210,623

FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 PHARMACEUTICALS (CONTINUED)
 4,989 Teva Pharmaceutical Industries Ltd. ADR $ 221,860
 ------------
 432,483
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--11.6%
 9,004 Altera Corp. 216,816
 10,289 Applied Materials, Inc. 212,982
 6,099 Broadcom Corp., Class A (a) 222,248
 8,429 Intel Corp. 217,974
 3,735 KLA-Tencor Corp. 208,338
 4,101 Lam Research Corp. (a) 218,419
 6,237 Linear Technology Corp. 218,233
 12,936 Marvell Technology Group Ltd. (a) 211,762
 7,231 Maxim Integrated Products, Inc. 212,230
 5,761 Microchip Technology, Inc. 209,240
 6,255 NVIDIA Corp. (a) 226,680
 8,261 Xilinx, Inc. 215,943
 ------------
 2,590,865
 ------------
 SOFTWARE--12.2%
 10,863 Activision, Inc. (a) 234,532
 4,945 Adobe Systems, Inc. (a) 215,899
 4,646 Autodesk, Inc. (a) 232,161
 16,963 BEA Systems, Inc. (a) 235,276
 9,995 Cadence Design Systems, Inc. (a) 221,789
 8,771 Check Point Software Technologies Ltd. (a) 220,854
 5,772 Citrix Systems, Inc. (a) 232,727
 3,998 Electronic Arts, Inc. (a) 223,848
 7,917 Intuit, Inc. (a) 239,884
 7,476 Microsoft Corp. 220,243
 10,571 Oracle Corp. (a) 228,862
 11,149 Symantec Corp. (a) 216,068
 ------------
 2,722,143
 ------------
 SPECIALTY RETAIL--3.8%
 6,564 Bed Bath & Beyond, Inc. (a) 223,963
 6,524 PetSmart, Inc. 208,116
 8,070 Ross Stores, Inc. 206,915
 9,604 Staples, Inc. 206,390
 ------------
 845,384
 ------------
 TRADING COMPANIES & DISTRIBUTORS--1.0%
 4,962 Fastenal Co. 225,324
 ------------

FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 WIRELESS TELECOMMUNICATION SERVICES--2.2%
 2,950 Millicom International Cellular S.A. (a) $ 247,505
 3,005 NII Holdings, Inc. (a) 246,861
 -----------
 494,366


 TOTAL INVESTMENTS--100.5%
 (Cost $21,605,547) (b) 22,397,146
 NET OTHER ASSETS AND LIABILITIES--(0.5%) (99,373)
 ------------
 NET ASSETS--100.0% $ 22,297,773
 ============


 (a) Non-income producing security.

FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.4%
 COMMUNICATIONS EQUIPMENT--14.9%
 17,825 Cisco Systems, Inc. (a) $ 590,186
 15,844 Juniper Networks, Inc. (a) 580,049
 15,082 QUALCOMM, Inc. 637,365
 6,905 Research In Motion Ltd. (a) 680,488
 14,983 Telefonaktiebolaget LM Ericsson ADR 596,323
 55,333 Tellabs, Inc. (a) 526,770
 ------------
 3,611,181
 ------------
 COMPUTERS & PERIPHERALS--14.7%
 4,231 Apple Computer, Inc. (a) 649,628
 21,279 Dell, Inc. (a) 587,300
 21,374 Logitech International S.A. (a) 631,602
 20,658 Network Appliance, Inc. (a) 555,907
 10,567 SanDisk Corp. (a) 582,242
100,394 Sun Microsystems, Inc. (a) 563,210
 ------------
 3,569,889
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--2.4%
 6,648 CDW Corp. (a) 579,706
 ------------
 INTERNET SOFTWARE & SERVICES--10.0%
 19,001 Akamai Technologies, Inc. (a) 545,899
 1,100 Google, Inc., Class A (a) 623,997
 17,568 VeriSign, Inc. (a) 592,744
 24,178 Yahoo!, Inc. (a) 648,938
 ------------
 2,411,578
 ------------
 IT SERVICES--5.2%
 8,378 Cognizant Technology Solutions Corp., Class A (a) 668,313
 12,275 Infosys Technologies Ltd. ADR 593,987
 ------------
 1,262,300
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--28.4%
 23,866 Altera Corp. 574,693
 27,272 Applied Materials, Inc. 564,530
 16,166 Broadcom Corp., Class A (a) 589,089
 22,340 Intel Corp. 577,712
 9,901 KLA-Tencor Corp. 552,278
 10,869 Lam Research Corp. (a) 578,883
 16,530 Linear Technology Corp. 578,385
 34,285 Marvell Technology Group Ltd. (a) 561,245
 19,166 Maxim Integrated Products, Inc. 562,522
 15,270 Microchip Technology, Inc. 554,606
 16,578 NVIDIA Corp. (a) 600,787
 21,897 Xilinx, Inc. 572,388
 ------------
 6,867,118
 ------------
 SOFTWARE--24.8%
 13,106 Adobe Systems, Inc. (a) 572,208

FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 SOFTWARE (CONTINUED)
 12,315 Autodesk, Inc. (a) $ 615,381
 44,961 BEA Systems, Inc. (a) 623,609
 26,490 Cadence Design Systems, Inc. (a) 587,813
 23,246 Check Point Software Technologies Ltd. (a) 585,334
 15,299 Citrix Systems, Inc. (a) 616,856
 20,983 Intuit, Inc. (a) 635,784
 19,815 Microsoft Corp. 583,750
 28,018 Oracle Corp. (a) 606,590
 29,549 Symantec Corp. (a) 572,660
 ------------
 5,999,985
 ------------


 TOTAL INVESTMENTS--100.4%
 (Cost $23,397,644) (b) 24,301,757
 NET OTHER ASSETS AND LIABILITIES--(0.4%) (87,461)
 ------------
 NET ASSETS--100.0% $ 24,214,296
 ============

FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.1%
 BIOTECHNOLOGY--80.7%
 64,095 Amgen, Inc. (a) $ 3,625,854
 82,703 Amylin Pharmaceuticals, Inc. (a) 4,135,150
283,977 Applera Corp. - Celera Group (a) 3,992,717
 65,592 Biogen Idec, Inc. (a) 4,350,717
 61,591 Celgene Corp. (a) 4,392,055
 43,982 Cephalon, Inc. (a) 3,213,325
 47,457 Genentech, Inc. (a) 3,702,595
 59,215 Genzyme Corp. (a) 3,668,961
 90,729 Gilead Sciences, Inc. (a) 3,708,094
418,281 Human Genome Sciences, Inc. (a) 4,304,111
100,203 ImClone Systems, Inc. (a) 4,142,392
144,430 InterMune, Inc. (a) 2,762,946
341,947 Millennium Pharmaceuticals, Inc. (a) 3,470,762
107,062 OSI Pharmaceuticals, Inc. (a) 3,639,037
138,931 PDL BioPharma, Inc. (a) 3,002,299
122,805 Vertex Pharmaceuticals, Inc. (a) 4,716,941
 ------------
 60,827,956
 ------------
 LIFE SCIENCES TOOLS & SERVICES--19.4%
142,184 Affymetrix, Inc. (a) 3,607,208
 47,969 Invitrogen Corp. (a) 3,920,507
 45,983 Millipore Corp. (a) 3,485,511
409,168 Nektar Therapeutics (a) 3,612,953
 ------------
 14,626,179
 ------------


 TOTAL INVESTMENTS--100.1%
 (Cost $74,737,431) (b) 75,454,135
 NET OTHER ASSETS AND LIABILITIES--(0.1%) (84,178)
 ------------
 NET ASSETS--100.0% $ 75,369,957
 ============


 (a) Non-income producing security.

FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.0%
 CAPITAL MARKETS--8.0%
239,419 E*TRADE Financial Corp. (a) $ 3,126,812
135,360 TD Ameritrade Holding Corp. (a) 2,466,259
 ------------
 5,593,071
 ------------
 COMMERCIAL SERVICES & SUPPLIES--3.2%
 66,511 Monster Worldwide, Inc. (a) 2,265,365
 ------------
 HEALTH CARE TECHNOLOGY--3.2%
 31,024 Allscripts Healthcare Solutions, Inc. (a) 838,579
101,671 Hllth Corp. (a) 1,440,678
 ------------
 2,279,257
 ------------
 INTERNET & CATALOG RETAIL--17.9%
 77,616 Amazon.Com, Inc. (a) 7,229,930
 10,877 Audible, Inc. (a) 141,401
111,873 IAC/InterActiveCorp (a) 3,319,272
 7,325 Overstock.com, Inc. (a) 210,960
 19,204 Priceline.com, Inc. (a) 1,704,355
 ------------
 12,605,918
 ------------
 INTERNET SOFTWARE & SERVICES--54.7%
 92,033 Akamai Technologies, Inc. (a) 2,644,108
 44,205 Ariba, Inc. (a) 476,530
 71,579 Art Technology Group, Inc. (a) 216,169
 24,325 Autobytel, Inc. (a) 79,300
258,833 CMGI, Inc. (a) 352,013
 77,166 CNET Networks, Inc. (a) 574,887
 19,173 DealerTrack Holdings, Inc. (a) 802,965
 22,492 Digital River, Inc. (a) 1,006,517
 68,713 EarthLink, Inc. (a) 544,207
180,944 eBay, Inc. (a) 7,060,435
 12,871 Google, Inc., Class A (a) 7,301,332
 18,489 InfoSpace, Inc. 324,667
 27,420 Internap Network Services Corp. (a) 388,541
 22,059 Interwoven, Inc. (a) 313,900
 27,444 j2 Global Communications, Inc. (a) 898,242
 12,624 Jupitermedia Corp. (a) 79,910
 55,778 RealNetworks, Inc. (a) 378,175
 36,266 SonicWALL, Inc. (a) 316,602
 37,228 United Online, Inc. 558,792
 55,924 ValueClick, Inc. (a) 1,256,053
139,658 VeriSign, Inc. (a) 4,712,061
 15,483 Vignette Corp. (a) 310,744
 25,118 Websense, Inc. (a) 495,578

FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 INTERNET SOFTWARE & SERVICES (CONTINUED)
274,885 Yahoo!, Inc. (a) $ 7,377,912
 ------------
 38,469,640
 ------------
 IT SERVICES--3.2%
 40,857 Checkfree Corp. (a) 1,901,484
 45,581 Sapient Corp. (a) 305,849
 ------------
 2,207,333
 ------------
 SOFTWARE--9.8%
218,324 BEA Systems, Inc. (a) 3,028,154
100,428 Check Point Software Technologies Ltd. (a) 2,528,777
 30,891 Quest Software, Inc. (a) 530,090
111,813 TIBCO Software, Inc. (a) 826,298
 ------------
 6,913,319
 ------------


 TOTAL INVESTMENTS--100.0%
 (Cost $70,513,727) (b) 70,333,903
 NET OTHER ASSETS AND LIABILITIES--0.0% 23,383
 ------------
 NET ASSETS--100.0% $ 70,357,286
 ============


 (a) Non-income producing security.

FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.2%
 AUTOMOBILES--2.1%
 21,649 Harley-Davidson, Inc. $ 1,000,400
 ------------
 BIOTECHNOLOGY--5.1%
 22,515 Amgen, Inc. (a) 1,273,674
 17,601 Biogen Idec, Inc. (a) 1,167,474
 ------------
 2,441,148
 ------------
 CHEMICALS--2.5%
 27,487 Dow Chemical (The) Co. 1,183,590
 ------------
 COMPUTERS & PERIPHERALS--2.5%
 9,956 International Business Machines Corp. 1,172,817
 ------------
 ENERGY EQUIPMENT & SERVICES--2.7%
 32,912 Halliburton Co. 1,263,821
 ------------
 FOOD & STAPLES RETAILING--2.5%
 27,385 Wal-Mart Stores, Inc. 1,195,355
 ------------
 FOOD PRODUCTS--2.5%
 35,324 Archer-Daniels-Midland Co. 1,168,518
 ------------
 HOTELS, RESTAURANTS & LEISURE--2.6%
 25,368 Carnival Corp. 1,228,572
 ------------
 MACHINERY--5.0%
 22,258 Ingersoll-Rand Co., Ltd., Class A 1,212,393
 13,788 PACCAR, Inc. 1,175,427
 ------------
 2,387,820
 ------------
 MEDIA--4.9%
 55,054 News Corp., Class A 1,210,638
 62,023 Time Warner, Inc. 1,138,742
 ------------
 2,349,380
 ------------
 METALS & MINING--2.6%
 21,167 Nucor Corp. 1,258,801
 ------------
 MULTILINE RETAIL--5.0%
 17,737 J. C. Penney Co., Inc. 1,123,994
 21,526 Kohl's Corp. (a) 1,234,085
 ------------
 2,358,079
 ------------

FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 OIL, GAS & CONSUMABLE FUELS--23.4%
 23,142 Anadarko Petroleum Corp. $ 1,243,883
 14,565 Apache Corp. 1,311,724
 13,168 Chevron Corp. 1,232,261
 14,002 ConocoPhillips 1,228,956
 16,563 EOG Resources, Inc. 1,198,002
 13,384 Exxon Mobil Corp. 1,238,823
 18,596 Hess Corp. 1,237,192
 20,696 Marathon Oil Corp. 1,180,086
 19,814 Occidental Petroleum Corp. 1,269,681
 ------------
 11,140,608
 ------------
 PHARMACEUTICALS--12.3%
 20,383 Eli Lilly & Co. 1,160,404
 18,991 Johnson & Johnson 1,247,709
 23,202 Merck & Co., Inc. 1,199,311
 47,563 Pfizer, Inc. 1,161,964
 24,632 Wyeth 1,097,356
 ------------
 5,866,744
 ------------
 ROAD & RAIL--2.5%
 23,229 Norfolk Southern Corp. 1,205,817
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.9%
 54,899 Applied Materials, Inc. 1,136,409
 32,482 Texas Instruments, Inc. 1,188,517
 ------------
 2,324,926
 ------------
 SOFTWARE--2.5%
 40,505 Microsoft Corp. 1,193,277
 ------------
 SPECIALTY RETAIL--9.5%
 27,100 Best Buy Co., Inc. 1,247,143
 33,248 Home Depot (The), Inc. 1,078,565
 38,762 Lowe's Cos., Inc. 1,086,111
 38,545 TJX (The) Cos., Inc. 1,120,503
 ------------
 4,532,322
 ------------
 TEXTILES, APPAREL & LUXURY GOODS--2.6%
 20,986 NIKE, Inc., Class B 1,231,039
 ------------
 WIRELESS TELECOMMUNICATION SERVICES--2.5%
 62,957 Sprint Nextel Corp. 1,196,183
 ------------

FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
 VALUE
 ------------
 TOTAL INVESTMENTS--100.2%
 (Cost $46,858,332) (b) 47,699,217
 NET OTHER ASSETS AND LIABILITIES--(0.2%) (98,549)
 ------------
 NET ASSETS--100.0% $ 47,600,668
 ============

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.3%
 AEROSPACE & DEFENSE--2.8%
 579 Ceradyne, Inc. (a) $ 43,853
 1,986 Northrop Grumman Corp. 154,908
 2,803 Raytheon Co. 178,888
 ------------
 377,649
 ------------
 AIR FREIGHT & LOGISTICS--1.4%
 1,113 Forward Air Corp. 33,145
 2,010 United Parcel Service, Inc., Class B 150,951
 ------------
 184,096
 ------------
 AUTO COMPONENTS--0.7%
 3,022 Gentex Corp. 64,792
 1,185 Tenneco, Inc. (a) 36,747
 ------------
 101,539
 ------------
 AUTOMOBILES--2.5%
 1,840 DaimlerChrysler AG 184,368
 1,293 Toyota Motor Corp. ADR 151,100
 ------------
 335,468
 ------------
 BEVERAGES--1.8%
 1,353 Hansen Natural Corp. (a) 76,688
 2,270 PepsiCo, Inc. 166,300
 ------------
 242,988
 ------------
 BIOTECHNOLOGY--0.7%
 1,275 LifeCell Corp. (a) 47,902
 621 United Therapeutics Corp. (a) 41,321
 ------------
 89,223
 ------------
 CHEMICALS--2.2%
 1,742 Air Products & Chemicals, Inc. 170,297
 3,125 Hercules, Inc. 65,688
 1,301 Sigma-Aldrich Corp. 63,411
 ------------
 299,396
 ------------
 COMMERCIAL BANKS--2.1%
 3,416 Huntington Bancshares, Inc. 58,004
 2,156 Old National Bancorp 35,725
 2,185 PNC Financial Services Group, Inc. 148,798

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 COMMERCIAL BANKS (CONTINUED)
 1,653 Whitney Holding Corp. $ 43,606
 -------------
 286,133
 -------------
 COMMERCIAL SERVICES & SUPPLIES--1.3%
 704 Advisory Board (The) Co. (a) 41,163
 4,869 Allied Waste Industries, Inc. (a) 62,080
 1,143 HNI Corp. 41,148
 714 United Stationers, Inc. (a) 39,641
 -------------
 184,032
 -------------
 COMMUNICATIONS EQUIPMENT--4.0%
 11,574 3Com Corp. (a) 57,176
 1,914 ADTRAN, Inc. 44,079
 1,012 Dycom Industries, Inc. (a) 30,998
 5,168 Nokia Oyj ADR 196,022
 2,235 Research In Motion Ltd. (a) 220,259
 -------------
 548,534
 -------------
 COMPUTERS & PERIPHERALS--1.2%
 1,369 International Business Machines Corp. 161,268
 -------------
 CONTAINERS & PACKAGING--0.9%
 2,638 Crown Holdings, Inc. (a) 60,041
 2,177 Sonoco Products Co. 65,702
 -------------
 125,743
 -------------
 DISTRIBUTORS--0.3%
 1,287 LKQ Corp. (a) 44,800
 -------------
 DIVERSIFIED CONSUMER SERVICES--2.0%
 2,690 Apollo Group, Inc., Class A (a) 161,804
 926 Bright Horizons Family Solutions, Inc. (a) 39,670
 391 Strayer Education, Inc. 65,934
 -------------
 267,408
 -------------
 DIVERSIFIED FINANCIAL SERVICES--1.0%
 2,825 Moody's Corp. 142,380
 -------------

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 DIVERSIFIED TELECOMMUNICATION SERVICES--2.1%
 1,470 CenturyTel, Inc. $ 67,943
 8,861 Cincinnati Bell, Inc. (a) 43,773
 18,460 Qwest Communications International, Inc. (a) 169,094
 ------------
 280,810
 ------------
 ELECTRIC UTILITIES--3.3%
 967 ALLETE, Inc. 43,283
 1,835 El Paso Electric Co. (a) 42,444
 1,835 Hawaiian Electric Industries, Inc. 39,838
 1,519 Pinnacle West Capital Corp. 60,016
 1,480 Portland General Electric Co. 41,144
 6,180 Reliant Energy, Inc. (a) 158,207
 2,475 Westar Energy, Inc. 60,786
 ------------
 445,718
 ------------
 ELECTRICAL EQUIPMENT--0.3%
 868 Belden, Inc. 40,718
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--1.4%
 1,454 Arrow Electronics, Inc. (a) 61,824
 4,000 AVX Corp. 64,400
 1,224 FLIR Systems, Inc. (a) 67,797
 ------------
 194,021
 ------------
 ENERGY EQUIPMENT & SERVICES--10.7%
 2,370 BJ Services Co. 62,924
 543 Core Laboratories N.V. (a) 69,173
 1,601 Diamond Offshore Drilling, Inc. 181,377
 2,692 ENSCO International, Inc. 151,021
 2,829 Global Industries Ltd. (a) 72,875
 2,293 GlobalSantaFe Corp. 174,314
 4,650 Halliburton Co. 178,560
 1,955 Helmerich & Payne, Inc. 64,183
 3,183 Noble Corp. 156,126
 1,675 Schlumberger Ltd. 175,875
 1,531 Transocean, Inc. (a) 173,080
 ------------
 1,459,508
 ------------
 FOOD PRODUCTS--1.7%
 4,488 Archer-Daniels-Midland Co. 148,463
 1,997 Flowers Foods, Inc. 43,535
 1,030 Lancaster Colony Corp. 39,315
 ------------
 231,313
 ------------

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 GAS UTILITIES--1.8%
 2,219 Atmos Energy Corp. $ 62,842
 856 Northwest Natural Gas Co. 39,119
 1,174 South Jersey Industries, Inc. 40,855
 2,600 UGI Corp. 67,549
 1,243 WGL Holdings, Inc. 42,125
 ------------
 252,490
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--1.2%
 785 ArthroCare Corp. (a) 43,874
 572 IDEXX Laboratories, Inc. (a) 62,685
 1,086 Kinetic Concepts, Inc. (a) 61,120
 ------------
 167,679
 ------------
 HOUSEHOLD DURABLES--3.1%
 1,548 Garmin Ltd. 184,831
 3,110 Leggett & Platt, Inc. 59,588
 2,104 Tempur-Pedic International, Inc. 75,218
 1,379 Tupperware Brands Corp. 43,425
 654 Whirlpool Corp. 58,271
 ------------
 421,333
 ------------
 INDUSTRIAL CONGLOMERATES--1.2%
 1,795 3M Co. 167,976
 ------------
 INSURANCE--7.6%
 934 Ambac Financial Group, Inc. 58,758
 1,716 Assured Guaranty Ltd. 46,624
 43 Berkshire Hathaway, Inc., Class B (a) 169,935
 643 Everest Re Group Ltd. 70,884
 1,469 Hanover Insurance Group, Inc. 64,915
 3,488 Loews Corp. 168,645
 1,616 MaxCapital Group Ltd. 45,313
 624 RLI Corp. 35,393
 981 Transatlantic Holdings, Inc. 68,994
 3,052 Travelers (The) Cos., Inc. 153,638
 2,053 XL Capital Ltd., Class A 162,598
 ------------
 1,045,697
 ------------
 LIFE SCIENCES TOOLS & SERVICES--0.5%
 763 Ventana Medical Systems, Inc. (a) 65,549
 ------------
 MACHINERY--7.8%
 660 Actuant Corp., Class A 42,880
 777 Astec Industries, Inc. (a) 44,639

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MACHINERY (CONTINUED)
 1,290 Barnes Group, Inc. $ 41,177
 1,056 CLARCOR, Inc. 36,126
 3,051 CNH Global N.V. 185,317
 1,352 Cummins, Inc. 172,906
 1,080 Gardner Denver, Inc. (a) 42,120
 1,470 Graco, Inc. 57,492
 2,824 Illinois Tool Works, Inc. 168,423
 1,286 Joy Global, Inc. 65,406
 750 Kaydon Corp. 38,993
 834 Lincoln Electric Holdings, Inc. 64,727
 1,085 Toro (The) Co. 63,831
 494 Valmont Industries, Inc. 41,916
 ------------
 1,065,953
 ------------
 MEDIA--2.9%
 6,073 Comcast Corp., Class A (a) 146,845
 1,640 Harte-Hanks, Inc. 32,275
 8,298 Time Warner, Inc. 152,352
 2,329 Tribune Co. 63,628
 ------------
 395,100
 ------------
 METALS & MINING--5.7%
 1,630 Alcan, Inc. 163,130
 2,626 BHP Billiton Ltd. ADR 206,404
 917 Cleveland-Cliffs, Inc. 80,668
 2,051 Fording Canadian Coal Trust 79,538
 1,589 Southern Copper Corp. 196,766
 1,964 Worthington Industries, Inc. 46,272
 ------------
 772,778
 ------------
 MULTILINE RETAIL--0.5%
 2,374 Big Lots, Inc. (a) 70,840
 ------------
 MULTI-UTILITIES--1.7%
 1,666 Alliant Energy Corp. 63,841
 1,912 NSTAR 66,557
 1,978 OGE Energy Corp. 65,472
 1,693 PNM Resources, Inc. 39,413
 ------------
 235,283
 ------------
 OIL, GAS & CONSUMABLE FUELS--7.7%
 1,144 Berry Petroleum Co., Class A 45,291
 2,272 Canadian Natural Resources Ltd. 172,104

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 OIL, GAS & CONSUMABLE FUELS (CONTINUED)
 1,825 Exxon Mobil $ 168,922
 1,717 Frontier Oil Corp. 71,496
 1,439 Frontline Ltd. 69,475
 1,059 Holly Corp. 63,360
 3,585 Imperial Oil Ltd. 177,673
 2,148 Massey Energy Co. 46,869
 3,083 Petro-Canada 176,933
 1,497 Pioneer Natural Resources Co. 67,335
 ------------
 1,059,458
 ------------
 PERSONAL PRODUCTS--0.5%
 1,622 NBTY, Inc. (a) 65,853
 ------------
 REAL ESTATE INVESTMENT TRUSTS--1.2%
 2,781 Archstone-Smith Trust 167,249
 ------------
 ROAD & RAIL--2.1%
 3,283 CSX Corp. 140,283
 1,323 Union Pacific Corp. 149,578
 ------------
 289,861
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.8%
 7,062 Applied Materials, Inc. 146,183
 2,824 Brooks Automation, Inc. (a) 40,214
 1,503 FEI Co. (a) 47,239
 4,350 Linear Technology Corp. 152,207
 ------------
 385,843
 ------------
 SOFTWARE--1.2%
 2,823 SAP AG ADR 165,625
 ------------
 SPECIALTY RETAIL--2.6%
 1,923 Aeropostale, Inc. (a) 36,652
 1,252 Barnes & Noble, Inc. 44,146
 1,247 Guess?, Inc. 61,140
 1,262 Men's Wearhouse (The), Inc. 63,756
 2,231 Sherwin-Williams (The) Co. 146,600
 ------------
 352,294
 ------------
 TEXTILES, APPAREL & LUXURY GOODS--0.3%
 433 Deckers Outdoor Corp. (a) 47,543
 ------------

FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 TOBACCO--1.5%
 2,366 British American Tobacco PLC ADR $ 170,305
 817 Universal Corp. 39,992
 ------------
 210,297
 ------------
 TRADING COMPANIES & DISTRIBUTORS--0.8%
 1,375 Applied Industrial Technologies, Inc. 42,391
 714 W.W. Grainger, Inc. 65,110
 ------------
 107,501
 ------------
 WIRELESS TELECOMMUNICATION SERVICES--1.2%
 2,341 ALLTEL Corp. 163,121
 ------------


 TOTAL INVESTMENTS--100.3%
 (Cost $12,577,078) (b) 13,718,068
 NET OTHER ASSETS AND LIABILITIES--0.3% (41,591)
 ------------
 NET ASSETS--100.0% $ 13,676,477
 ============


 (a) Non-income producing security.

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--99.9%
 AEROSPACE & DEFENSE--0.5%
 14,400 Northrop Grumman Corp. $ 1,123,200
 ------------
 AIR FREIGHT & LOGISTICS--0.5%
 15,019 United Parcel Service, Inc., Class B 1,127,927
 ------------
 BEVERAGES--1.6%
 22,684 Anheuser-Busch Cos., Inc. 1,133,973
 19,990 Coca-Cola (The) Co. 1,148,825
 15,916 PepsiCo, Inc. 1,166,007
 ------------
 3,448,805
 ------------
 BUILDING PRODUCTS--0.5%
 48,080 Masco Corp. 1,114,014
 ------------
 CAPITAL MARKETS--1.1%
 30,157 Federated Investors, Inc., Class B 1,197,233
 15,390 Merrill Lynch & Co., Inc. 1,096,999
 ------------
 2,294,232
 ------------
 CHEMICALS--1.1%
 22,856 E.I. du Pont de Nemours & Co. 1,132,743
 15,206 PPG Industries, Inc. 1,148,814
 ------------
 2,281,557
 ------------
 COMMERCIAL BANKS--16.0%
 38,484 Associated Banc-Corp. 1,140,281
 21,599 Bank of Hawaii Corp. 1,141,507
 18,195 Bank of Montreal 1,191,408
 22,000 Bank of Nova Scotia 1,155,000
 27,870 BB&T Corp. 1,125,669
 11,571 Canadian Imperial Bank of Commerce 1,156,406
 16,082 City National Corp. 1,117,860
 21,518 Comerica, Inc. 1,103,443
 24,692 Commerce Bancshares, Inc. 1,133,116
 22,847 Cullen/Frost Bankers, Inc. 1,145,092
 32,751 Fifth Third Bancorp 1,109,604
 40,324 First Horizon National Corp. 1,075,038
 32,569 First Midwest Bancorp, Inc. 1,112,557
 65,309 Huntington Bancshares, Inc. 1,108,947
 10,763 M&T Bank Corp. 1,113,432
 25,495 Marshall & Ilsley Corp. 1,115,916
 44,510 National City Corp. 1,116,756
 67,565 Old National Bancorp 1,119,552
 16,276 PNC Financial Services Group, Inc. 1,108,396
 37,708 Regions Financial Corp. 1,111,632
 21,238 Royal Bank of Canada 1,179,134
 14,779 SunTrust Banks, Inc. 1,118,327
 40,770 Synovus Financial Corp. 1,143,599
 15,330 Toronto-Dominion Bank (The) 1,175,504
 34,439 U.S. Bancorp 1,120,301
 22,499 Wachovia Corp. 1,128,325

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 COMMERCIAL BANKS (CONTINUED)
 31,532 Wells Fargo & Co. $ 1,123,170
 42,718 Whitney Holding Corp. 1,126,901
 29,161 Wilmington Trust Corp. 1,134,363
 16,187 Zions Bancorporation 1,111,561
 ------------
 33,862,797
 ------------
 COMMERCIAL SERVICES & SUPPLIES--3.8%
 20,098 Avery Dennison Corp. 1,145,988
 16,301 Corporate Executive Board (The) Co. 1,210,186
 30,702 HNI Corp. 1,105,272
 25,158 Pitney Bowes, Inc. 1,142,676
 32,049 R.R. Donnelley & Sons Co. 1,171,711
 35,250 Republic Services, Inc. 1,153,028
 29,943 Waste Management, Inc. 1,130,049
 ------------
 8,058,910
 ------------
 COMPUTERS & PERIPHERALS--0.5%
 24,757 Diebold, Inc. 1,124,463
 ------------
 CONSTRUCTION MATERIALS--0.6%
 13,181 Vulcan Materials Co. 1,175,086
 ------------
 CONTAINERS & PACKAGING--1.1%
 38,446 Bemis Co., Inc. 1,119,163
 37,104 Sonoco Products Co. 1,119,799
 ------------
 2,238,962
 ------------
 DISTRIBUTORS--0.5%
 22,410 Genuine Parts Co. 1,120,500
 ------------
 DIVERSIFIED FINANCIAL SERVICES--1.1%
 22,404 Bank of America Corp. 1,126,249
 24,330 Citigroup, Inc. 1,135,481
 ------------
 2,261,730
 ------------
 DIVERSIFIED TELECOMMUNICATION SERVICES--1.7%
 26,814 AT&T, Inc. 1,134,500
 71,090 Telecom Corp. of New Zealand Ltd. ADR 1,205,686
 25,700 Verizon Communications, Inc. 1,137,996
 ------------
 3,478,182
 ------------
 ELECTRIC UTILITIES--8.0%
 25,707 ALLETE, Inc. 1,150,645
 60,660 Duke Energy Corp. 1,133,735
 10,340 Entergy Corp. 1,119,719
 14,508 Exelon Corp. 1,093,323
 17,605 FirstEnergy Corp. 1,115,101
 18,282 FPL Group, Inc. 1,113,008
 39,669 Great Plains Energy, Inc. 1,142,864
 53,119 Hawaiian Electric Industries, Inc. 1,153,214

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 ELECTRIC UTILITIES (CONTINUED)
 31,308 Otter Tail Corp. $ 1,116,130
 28,479 Pinnacle West Capital Corp. 1,125,205
 40,592 Portland General Electric Co. 1,128,458
 22,959 PPL Corp. 1,063,002
 23,818 Progress Energy, Inc. 1,115,873
 30,755 Southern Co. 1,115,791
 45,568 Westar Energy, Inc. 1,119,150
 ------------
 16,805,218
 ------------
 ELECTRICAL EQUIPMENT--1.1%
 22,557 Emerson Electric Co. 1,200,483
 20,997 Hubbell, Inc., Class B 1,199,349
 ------------
 2,399,832
 ------------
 FOOD & STAPLES RETAILING--1.6%
 32,948 Sysco Corp. 1,172,619
 25,780 Wal-Mart Stores, Inc. 1,125,297
 26,953 Weis Markets, Inc. 1,150,624
 ------------
 3,448,540
 ------------
 FOOD PRODUCTS--7.0%
 24,474 Cadbury Schweppes PLC ADR 1,138,530
 31,824 Campbell Soup Co. 1,177,488
 44,132 ConAgra Foods, Inc. 1,153,169
 19,590 General Mills, Inc. 1,136,416
 24,846 H.J. Heinz Co. 1,147,885
 24,556 Hershey (The) Co. 1,139,644
 21,109 J.M. Smucker (The) Co. 1,127,643
 20,342 Kellogg Co. 1,139,152
 32,663 Kraft Foods, Inc., Class A 1,127,200
 30,098 Lancaster Colony Corp. 1,148,841
 31,002 McCormick & Co., Inc. 1,115,142
 68,504 Sara Lee Corp. 1,143,332
 35,214 Unilever PLC ADR 1,115,227
 ------------
 14,809,669
 ------------
 GAS UTILITIES--4.8%
 28,379 AGL Resources, Inc. 1,124,376
 40,035 Atmos Energy Corp. 1,133,791
 24,960 National Fuel Gas Co. 1,168,378
 23,138 New Jersey Resources Corp. 1,147,413
 24,407 Northwest Natural Gas Co. 1,115,400
 44,638 Piedmont Natural Gas Co. 1,119,967
 31,867 South Jersey Industries, Inc. 1,108,972
 43,211 UGI Corp. 1,122,622
 33,815 WGL Holdings, Inc. 1,145,990
 ------------
 10,186,909
 ------------

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 HEALTH CARE EQUIPMENT & SUPPLIES--1.1%
 25,005 Arrow International, Inc. $ 1,137,477
 20,081 Hillenbrand Industries, Inc. 1,104,857
 ------------
 2,242,334
 ------------
 HOTELS, RESTAURANTS & LEISURE--0.5%
 20,629 McDonald's Corp. 1,123,662
 ------------
 HOUSEHOLD DURABLES--1.6%
 14,011 Fortune Brands, Inc. 1,141,756
 58,588 Leggett & Platt, Inc. 1,122,546
 23,450 Snap-on, Inc. 1,161,713
 ------------
 3,426,015
 ------------
 HOUSEHOLD PRODUCTS--2.2%
 18,580 Clorox (The) Co. 1,133,194
 16,274 Colgate-Palmolive Co. 1,160,662
 16,277 Kimberly-Clark Corp. 1,143,622
 16,241 Procter & Gamble (The) Co. 1,142,392
 ------------
 4,579,870
 ------------
 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.5%
 12,653 Constellation Energy Group 1,085,501
 ------------
 INDUSTRIAL CONGLOMERATES--1.1%
 12,344 3M Co. 1,155,151
 27,757 General Electric Co. 1,149,140
 ------------
 2,304,291
 ------------
 INSURANCE--6.6%
 20,463 Allstate (The) Corp. 1,170,279
 38,594 Arthur J. Gallagher & Co. 1,118,068
 22,051 Chubb (The) Corp. 1,182,816
 26,639 Cincinnati Financial Corp. 1,153,735
 19,014 Erie Indemnity Co., Class A 1,162,326
 17,688 Lincoln National Corp. 1,166,877
 28,093 Manulife Financial Corp. 1,159,117
 21,319 Mercury General Corp. 1,149,734
 61,246 Old Republic International Corp. 1,147,750
 27,465 Protective Life Corp. 1,165,615
 22,860 Travelers (The) Cos., Inc. 1,150,772
 14,607 XL Capital Ltd., Class A 1,156,874
 ------------
 13,883,963
 ------------
 IT SERVICES--0.5%
 24,700 Automatic Data Processing, Inc. 1,134,471
 ------------
 MACHINERY--0.6%
 19,632 Illinois Tool Works, Inc. 1,170,852
 ------------

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MEDIA--2.1%
 25,430 Gannett Co., Inc. $ 1,111,291
 56,093 McClatchy (The) Co., Class A 1,120,738
 57,993 New York Times (The) Co., Class A 1,145,941
 26,562 Thomson (The) Corp. 1,113,745
 ------------
 4,491,715
 ------------
 MULTI-UTILITIES--8.6%
 29,685 Alliant Energy Corp. 1,137,529
 21,382 Ameren Corp. 1,122,555
 24,102 Consolidated Edison, Inc. 1,115,923
 13,136 Dominion Resources, Inc. 1,107,365
 42,246 Energy East Corp. 1,142,754
 21,883 Integrys Energy Group, Inc. 1,121,066
 42,067 MDU Resources Group, Inc. 1,171,145
 33,238 NSTAR 1,157,015
 33,715 OGE Energy Corp. 1,115,967
 23,737 PG&E Corp. 1,134,629
 51,189 PNM Resources, Inc. 1,191,679
 29,455 SCANA Corp. 1,141,087
 19,135 Sempra Energy 1,112,126
 42,550 Vectren Corp. 1,161,190
 25,116 Wisconsin Energy Corp. 1,130,973
 51,888 Xcel Energy, Inc. 1,117,668
 ------------
 18,180,671
 ------------
 OIL, GAS & CONSUMABLE FUELS--3.2%
 15,910 BP PLC ADR 1,103,359
 12,013 Chevron Corp. 1,124,177
 30,810 Enbridge, Inc. 1,129,803
 13,541 Royal Dutch Shell PLC ADR 1,112,799
 13,886 Total SA ADR 1,125,183
 31,269 TransCanada Corp. 1,144,757
 ------------
 6,740,078
 ------------
 PAPER & FOREST PRODUCTS--0.5%
 31,853 International Paper Co. 1,142,567
 ------------
 PHARMACEUTICALS--3.8%
 21,052 Abbott Laboratories 1,128,808
 39,379 Bristol-Myers Squibb Co. 1,134,903
 19,707 Eli Lilly & Co. 1,121,920
 21,132 GlaxoSmithKline PLC ADR 1,124,222
 17,389 Johnson & Johnson 1,142,457
 46,427 Pfizer, Inc. 1,134,212
 26,714 Sanofi-Aventis ADR 1,133,208
 ------------
 7,919,730
 ------------
 REAL ESTATE INVESTMENT TRUSTS--8.5%
 9,446 AvalonBay Communities, Inc. 1,115,195
 19,971 BRE Properties, Inc. 1,116,978

FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
 33,444 Duke Realty Corp. $ 1,130,742
 26,539 Equity Residential 1,124,192
 12,746 Federal Realty Investment Trust 1,129,296
 34,128 Health Care Property Investors, Inc. 1,132,026
 24,408 Kimco Realty Corp. 1,103,486
 28,732 Liberty Property Trust 1,155,313
 27,405 Mack-Cali Realty Corp. 1,126,346
 25,701 Plum Creek Timber Co., Inc. 1,150,376
 17,011 ProLogis 1,128,680
 14,197 Public Storage 1,116,594
 11,123 Simon Property Group, Inc. 1,112,300
 45,949 United Dominion Realty Trust, Inc. 1,117,480
 34,190 Washington Real Estate Investment Trust 1,134,423
 27,007 Weingarten Realty Investors 1,119,710
 ------------
 18,013,137
 ------------
 SPECIALTY RETAIL--1.1%
 33,470 Home Depot (The), Inc. 1,085,767
 17,535 Sherwin-Williams (The) Co. 1,152,225
 ------------
 2,237,992
 ------------
 TEXTILES, APPAREL & LUXURY GOODS--0.5%
 13,631 VF Corp. 1,100,703
 ------------
 THRIFTS & MORTGAGE FINANCE--2.7%
 42,767 Astoria Financial Corp. 1,134,609
 33,067 Capitol Federal Financial 1,130,891
 19,059 Freddie Mac 1,124,672
 43,941 Washington Federal, Inc. 1,153,891
 31,824 Washington Mutual, Inc. 1,123,705
 ------------
 5,667,768
 ------------
 TOBACCO--1.1%
 16,563 Altria Group, Inc. 1,151,625
 22,930 Universal Corp. 1,122,424
 ------------
 2,274,049
 ------------


 TOTAL INVESTMENTS--99.9%
 (Cost $208,391,905) (a) 211,079,902
 NET OTHER ASSETS AND LIABILITIES--0.1% 236,814
 ------------
 NET ASSETS - 100.0% $211,316,716
 ============

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--101.8%
 AIR FREIGHT & LOGISTICS--3.6%
 735 C.H. Robinson Worldwide, Inc. $ 39,903
 856 Expeditors International of Washington, Inc. 40,489
 ------------
 80,392
 ------------
 AIRLINES--3.3%
 873 Ryanair Holdings PLC ADR (a) 36,238
 813 UAL Corp. (a) 37,829
 ------------
 74,067
 ------------
 BIOTECHNOLOGY--13.5%
 689 Amgen, Inc. (a) 38,977
 762 Amylin Pharmaceuticals, Inc. (a) 38,100
 567 Biogen Idec, Inc. (a) 37,609
 540 Celgene Corp. (a) 38,507
 490 Cephalon, Inc. (a) 35,799
 580 Genzyme Corp. (a) 35,937
 975 Gilead Sciences, Inc. (a) 39,849
 920 Vertex Pharmaceuticals, Inc. (a) 35,337
 ------------
 300,115
 ------------
 CHEMICALS--1.8%
 847 Sigma-Aldrich Corp. 41,283
 ------------
 COMMERCIAL SERVICES & SUPPLIES--3.4%
 1,020 Cintas Corp. 37,842
 1,129 Monster Worldwide, Inc. (a) 38,454
 ------------
 76,296
 ------------
 CONSTRUCTION & ENGINEERING--1.8%
 313 Foster Wheeler Ltd. (a) 41,091
 ------------
 DIVERSIFIED CONSUMER SERVICES--1.7%
 628 Apollo Group, Inc., Class A (a) 37,774
 ------------
 DIVERSIFIED TELECOMMUNICATION SERVICES--1.6%
 7,869 Level 3 Communications, Inc. (a) 36,591
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--1.6%
 3,116 Flextronics International Ltd. (a) 34,837
 ------------
 ENERGY EQUIPMENT & SERVICES--1.6%
 1,624 Patterson-UTI Energy, Inc. 36,654
 ------------
 FOOD & STAPLES RETAILING--3.6%
 634 Costco Wholesale Corp. 38,909
 842 Whole Foods Market, Inc. 41,224
 ------------
 80,133
 ------------

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 HEALTH CARE EQUIPMENT & SUPPLIES--3.5%
 926 DENTSPLY International, Inc. $ 38,559
 169 Intuitive Surgical, Inc. (a) 38,870
 ------------
 77,429
 ------------
 HEALTH CARE PROVIDERS & SERVICES--3.4%
 682 Express Scripts, Inc. (a) 38,069
 972 Patterson Cos., Inc. (a) 37,529
 ------------
 75,598
 ------------
 HOTELS, RESTAURANTS & LEISURE--3.6%
 1,359 Starbucks Corp. (a) 35,606
 282 Wynn Resorts Ltd. (a) 44,432
 ------------
 80,038
 ------------
 HOUSEHOLD DURABLES--1.9%
 348 Garmin Ltd. 41,551
 ------------
 INTERNET & CATALOG RETAIL--7.2%
 430 Amazon.Com, Inc. (a) 40,055
 1,283 Expedia, Inc. (a) 40,901
 1,343 IAC/InterActiveCorp (a) 39,847
 1,985 Liberty Media Corp. - Interactive, Class A (a) 38,132
 ------------
 158,935
 ------------
 INTERNET SOFTWARE & SERVICES--1.8%
 1,023 eBay, Inc. (a) 39,917
 ------------
 IT SERVICES--5.0%
 802 CheckFree Corp. (a) 37,325
 791 Fiserv, Inc. (a) 40,230
 841 Paychex, Inc. 34,481
 ------------
 112,036
 ------------
 MACHINERY--3.6%
 837 Joy Global, Inc. 42,569
 446 PACCAR, Inc. 38,022
 ------------
 80,591
 ------------
 MEDIA--13.9%
 1,457 Comcast Corp., Class A (a) 35,230
 1,418 Discovery Holding Co., Class A (a) 40,909
 897 EchoStar Communications Corp., Class A (a) 41,989
 739 Lamar Advertising Co., Class A 36,189
 912 Liberty Global, Inc., Class A (a) 37,410
 11,221 Sirius Satellite Radio, Inc. (a) 39,161
 1,612 Virgin Media, Inc. 39,123

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MEDIA (CONTINUED)
 2,727 XM Satellite Radio Holdings, Inc., Class A (a) $ 38,642
 ------------
 308,653
 ------------
 MULTILINE RETAIL--1.6%
 283 Sears Holdings Corp. (a) 35,998
 ------------
 PHARMACEUTICALS--3.3%
 1,315 Sepracor, Inc. (a) 36,163
 857 Teva Pharmaceutical Industries Ltd. ADR 38,110
 ------------
 74,273
 ------------
 SOFTWARE--3.5%
 1,866 Activision, Inc. (a) 40,287
 687 Electronic Arts, Inc. (a) 38,465
 ------------
 78,752
 ------------
 SPECIALTY RETAIL--6.5%
 1,127 Bed Bath & Beyond, Inc. (a) 38,453
 1,120 PetSmart, Inc. 35,728
 1,386 Ross Stores, Inc. 35,537
 1,649 Staples, Inc. 35,437
 ------------
 145,155
 ------------
 TRADING COMPANIES & DISTRIBUTORS--1.7%
 852 Fastenal Co. 38,689
 ------------
 WIRELESS TELECOMMUNICATION SERVICES--3.8%
 507 Millicom International Cellular S.A. (a) 42,538
 516 NII Holdings, Inc. (a) 42,389
 ------------
 84,927
 ------------
 TOTAL INVESTMENTS--101.8%
 (Cost $2,345,338) (b) 2,271,775
 NET OTHER ASSETS AND LIABILITIES--(1.8%) (39,677)
 ------------
 NET ASSETS--100.0% $ 2,232,098
 ============


 (a) Non-income producing security.

FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.2%
 AEROSPACE & DEFENSE--3.1%
 32,915 Hexcel Corp. (a) $ 747,500
 ------------
 AUTO COMPONENTS--0.8%
 39,851 Ballard Power Systems, Inc. (a) 198,458
 ------------
 BEVERAGES--0.3%
 5,884 MGP Ingredients, Inc. 60,429
 ------------
 BIOTECHNOLOGY--0.8%
 7,719 Metabolix, Inc. (a) 187,263
 ------------
 CHEMICALS--2.5%
 24,393 Altair Nanotechnologies, Inc. (a) 80,009
 11,679 Zoltek Cos., Inc. (a) 509,555
 ------------
 589,564
 ------------
 ELECTRICAL EQUIPMENT--33.4%
 14,184 American Superconductor Corp. (a) 290,488
 15,951 Baldor Electric Co. 637,242
 9,541 Canadian Solar, Inc. (a) 90,067
 50,560 Capstone Turbine Corp. (a) 60,672
 17,126 China BAK Battery, Inc. (a) 133,240
 13,861 Energy Conversion Devices, Inc. (a) 314,922
 35,014 Evergreen Solar, Inc. (a) 312,675
 17,797 First Solar, Inc. (a) 2,095,420
 23,647 FuelCell Energy, Inc. (a) 211,404
 36,263 GrafTech International Ltd. (a) 646,932
 5,843 Hoku Scientific, Inc. (a) 56,560
 5,999 JA Solar Holdings Co., Ltd. ADR (a) 269,655
 12,190 Medis Technologies Ltd. (a) 158,470
 30,457 Plug Power, Inc. (a) 94,417
 30,312 Power-One, Inc. (a) 154,591
 12,368 SunPower Corp., Class A (a) 1,024,318
 25,899 Suntech Power Holdings Co. Ltd., ADR (a) 1,033,370
 10,332 Vicor Corp. 125,224
 10,085 Yingli Green Energy Holding Co., Ltd. ADR (a) 262,916
 ------------
 7,972,583
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--10.8%
 59,782 AVX Corp. 962,490
 6,784 Comverge, Inc. (a) 222,922
 13,834 Echelon Corp. (a) 345,988
 10,403 Itron, Inc. (a) 968,208
 6,553 Maxwell Technologies, Inc. (a) 76,211
 ------------
 2,575,819
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--0.9%
 7,812 Greatbatch, Inc. (a) 207,721
 ------------

FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--2.6%
 13,259 Ormat Technologies, Inc. $ 614,422

 ------------
 IT SERVICES--1.0%
 6,348 EnerNOC, Inc. (a) 242,367
 ------------
 OIL, GAS & CONSUMABLE FUELS--4.3%
 14,582 Aventine Renewable Energy Holdings, Inc. (a) 154,132
 38,253 Nova Biosource Fuels, Inc. (a) 107,491
 14,112 Pacific Ethanol, Inc. (a) 135,757
 27,563 US BioEnergy Corp. (a) 212,511
 27,226 VeraSun Energy (a) 299,486
 21,808 Verenium Corp. (a) 115,146
 ------------
 1,024,523
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--39.7%
 15,595 Advanced Analogic Technologies, Inc. (a) 165,931
 29,473 Cree, Inc. (a) 916,610
 17,730 EMCORE Corp. (a) 170,208
 43,207 Fairchild Semiconductor International, Inc. (a) 807,107
 25,218 International Rectifier Corp. (a) 831,942
 11,263 IXYS Corp. (a) 117,473
 6,046 LDK Solar Co., Ltd. ADR (a) 416,569
 52,441 Linear Technology Corp. 1,834,910
 30,478 MEMC Electronic Materials, Inc. (a) 1,793,935
 26,649 Microsemi Corp. (a) 742,974
 13,050 O2Micro International Ltd. ADR (a) 201,884
 75,840 ON Semiconductor Corp. (a) 952,550
 9,977 Power Integrations, Inc. (a) 296,417
 3,901 Trina Solar Ltd. ADR (a) 222,240
 ------------
 9,470,750
 ------------

 TOTAL INVESTMENTS--100.2%
 (Cost $22,107,297) (b) 23,891,399
 NET OTHER ASSETS AND LIABILITIES--(0.2%) (46,927)
 ------------
 NET ASSETS--100.0% $ 23,844,472
 ============


 (a) Non-income producing security.

FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--102.6%
 REAL ESTATE INVESTMENT TRUSTS--102.6%
 189 Acadia Realty Trust $ 5,128
 45 Agree Realty Corp. 1,410
 185 Alexandria Real Estate Equities, Inc. 17,808
 586 AMB Property Corp. 35,049
 138 American Campus Communities, Inc. 4,042
 42 American Land Lease, Inc. 944
 568 Apartment Investment & Management Co. 25,634
 1,313 Archstone-Smith Trust 78,964
 92 Associated Estates Realty Corp. 1,200
 468 AvalonBay Communities, Inc. 55,252
 384 BioMed Realty Trust, Inc. 9,254
 699 Boston Properties, Inc. 72,626
 510 Brandywine Realty Trust 12,908
 298 BRE Properties, Inc. 16,667
 329 Camden Property Trust 21,138
 385 CBL & Associates Properties, Inc. 13,494
 260 Cedar Shopping Centers, Inc. 3,541
 276 Colonial Properties Trust 9,467
 277 Corporate Office Properties Trust 11,532
 219 Cousins Properties, Inc. 6,430
 729 Developers Diversified Realty Corp. 40,729
 556 DiamondRock Hospitality Co. 9,680
 356 Digital Realty Trust, Inc. 14,023
 845 Duke Realty Corp. 28,569
 140 EastGroup Properties, Inc. 6,336
 167 Education Realty Trust, Inc. 2,255
 157 Entertainment Properties Trust 7,976
 323 Equity Inns, Inc. 7,293
 143 Equity Lifestyle Properties, Inc. 7,407
 217 Equity One, Inc. 5,902
 1,627 Equity Residential 68,920
 148 Essex Property Trust, Inc. 17,400
 381 Extra Space Storage, Inc. 5,864
 331 Federal Realty Investment Trust 29,327
 366 FelCor Lodging Trust, Inc. 7,294
 267 First Industrial Realty Trust, Inc. 10,378
 142 First Potomac Realty Trust 3,096
 1,441 General Growth Properties, Inc. 77,266
 221 Glimcher Realty Trust 5,194
 1,211 HCP, Inc. 40,169
 475 Health Care REIT, Inc. 21,014
 281 Healthcare Realty Trust, Inc. 7,491
 241 Hersha Hospitality Trust 2,386
 335 Highwoods Properties, Inc. 12,284
 197 Home Properties, Inc. 10,279
 551 Hospitality Properties Trust 22,398
 3,065 Host Hotels & Resorts, Inc. 68,779
 1,244 HRPT Properties Trust 12,303
 341 Inland Real Estate Corp. 5,282
 288 Investors Real Estate Trust 3,110
 753 iStar Financial, Inc. 25,594
 192 Kilroy Realty Corp. 11,641
 1,480 Kimco Realty Corp. 66,911
 170 Kite Realty Group Trust 3,196

FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
 235 LaSalle Hotel Properties $ 9,889
 376 Lexington Realty Trust 7,524
 536 Liberty Property Trust 21,553
 121 LTC Properties, Inc. 2,864
 422 Macerich (The) Co. 36,959
 399 Mack-Cali Realty Corp. 16,399
 291 Medical Properties Trust, Inc. 3,876
 150 Mid-America Apartment Communities, Inc. 7,478
 141 Monmouth Real Estate Investment Corp. 1,187
 138 National Health Investors, Inc. 4,266
 394 National Retail Properties, Inc. 9,606
 534 Nationwide Health Properties, Inc. 16,089
 47 One Liberty Properties, Inc. 914
 93 Parkway Properties, Inc. 4,105
 227 Pennsylvania Real Estate Investment Trust 8,839
 1,025 Plum Creek Timber Co., Inc. 45,879
 256 Post Properties, Inc. 9,907
 229 Potlatch Corp. 10,312
 1,508 ProLogis 100,056
 94 PS Business Parks, Inc. 5,344
 731 Public Storage 57,493
 108 Ramco-Gershenson Properties 3,374
 457 Rayonier, Inc. 21,954
 593 Realty Income Corp. 16,574
 408 Regency Centers Corp. 31,314
 153 Republic Property Trust 2,245
 63 Saul Centers, Inc. 3,245
 491 Senior Housing Properties Trust 10,831
 1,311 Simon Property Group, Inc. 131,099
 349 SL Green Realty Corp. 40,753
 127 Sovran Self Storage, Inc. 5,822
 436 Strategic Hotels & Resorts, Inc. 8,977
 94 Sun Communities, Inc. 2,828
 351 Sunstone Hotel Investors, Inc. 9,000
 102 Supertel Hospitality, Inc. 769
 184 Tanger Factory Outlet Centers, Inc. 7,469
 311 Taubman Centers, Inc. 17,027
 721 Thornburg Mortgage, Inc. 9,265
 791 UDR, Inc. 19,237
 69 Universal Health Realty Income Trust 2,452
 130 Urstadt Biddle Properties, Inc. 2,011
 284 U-Store-It Trust 3,749
 785 Vornado Realty Trust 85,840
 274 Washington Real Estate Investment Trust 9,091
 452 Weingarten Realty Investors 18,740
 297 Winthrop Realty Trust, Inc. 1,999
 ------------
 1,916,438
 ------------

FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED


 MARKET
 VALUE
 ------------

 TOTAL INVESTMENTS--102.6%
 (Cost $2,098,567) (a) 1,916,438
 NET OTHER ASSETS AND LIABILITIES--(2.6%) (48,351)
 ------------
 NET ASSETS--100.00% $ 1,868,087
 ============

FIRST TRUST ISE WATER INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.3%
 BUILDING PRODUCTS--2.5%
 2,413 Ameron International Corp. $ 255,223
 ------------
 CHEMICALS--11.5%
 5,445 Arch Chemicals, Inc. 255,262
 5,346 Ashland, Inc. 321,883
 11,181 Calgon Carbon Corp. (a) 156,087
 14,225 Nalco Holding Co. 421,770
 ------------
 1,155,002
 ------------
 COMMERCIAL SERVICES & SUPPLIES--4.2%
 4,453 Layne Christensen Co. (a) 247,052
 8,500 Tetra Tech, Inc. (a) 179,520
 ------------
 426,572
 ------------
 CONSTRUCTION & ENGINEERING--5.4%
 9,683 Insituform Technologies, Inc., Class A (a) 147,472
 10,495 Northwest Pipe Co. (a) 396,921
 ------------
 544,393
 ------------
 ELECTRICAL EQUIPMENT--6.1%
 4,174 Franklin Electric Co., Inc. 171,593
 6,789 Roper Industries, Inc. 444,680
 ------------
 616,273
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--3.6%
 3,927 Itron, Inc. (a) 365,486
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--4.1%
 3,778 IDEXX Laboratories, Inc. (a) 414,031
 ------------
 MACHINERY--42.2%
 4,251 Badger Meter, Inc. 136,245
 6,479 Crane Co. 310,798
 5,221 Danaher Corp. 431,828
 9,546 Flow International Corp. (a) 84,196
 5,581 Flowserve Corp. 425,160
 11,965 Gorman-Rupp (The) Co. 396,759
 8,872 IDEX Corp. 322,852
 5,727 ITT Corp. 389,035
 3,492 Lindsay Corp. 152,880
 5,557 Mueller Industries, Inc. 200,830
 18,050 Mueller Water Products, Inc., Class B 198,550
 8,213 Pall Corp. 319,486
 9,006 Pentair, Inc. 298,819
 4,089 Valmont Industries, Inc. 346,952
 7,530 Watts Water Technologies, Inc., Class A 231,171
 ------------
 4,245,561
 ------------

FIRST TRUST ISE WATER INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 MULTI-UTILITIES--4.0%
 4,720 Veolia Environnement ADR $ 406,581
 ------------
 WATER UTILITIES--16.7%
 5,399 American States Water Co. 210,561
 14,942 Aqua America, Inc. 338,885
 5,228 California Water Service Group 201,226
 9,733 Companhia de Saneamento Basico do Estado
 de Sao Paulo ADR (a) 480,809
 4,452 Consolidated Water Co., Ltd. 133,649
 6,026 SJW Corp. 205,728
 9,165 Southwest Water Co. 115,754
 ------------
 1,686,612


 TOTAL INVESTMENTS--100.3%
 (Cost $9,603,939) (b) 10,115,734
 NET OTHER ASSETS AND LIABILITIES--(0.3%) (34,402)
 ------------
 NET ASSETS--100.0% $ 10,081,332
 ============


 (a) Non-income producing security.

FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.7%
 GAS UTILITIES--10.4%
 3,028 Energen Corp. $ 172,959
 3,725 ONEOK, Inc. 176,565
 3,411 Questar Corp. 179,180
 ------------
 528,704
 ------------
 OIL, GAS & CONSUMABLE FUELS--90.3%
 2,077 Apache Corp. 187,055
 3,363 Atlas America, Inc. 173,632
 3,617 ATP Oil & Gas Corp. (a) 170,108
 4,578 Bill Barrett Corp. (a) 180,419
 4,841 Cabot Oil & Gas Corp. 170,210
 3,949 Carrizo Oil & Gas, Inc. (a) 177,152
 5,043 Chesapeake Energy Corp. 177,816
 18,519 Compton Petroleum Corp. (a) 172,967
 2,799 EnCana Corp. (Canada) 173,118
 3,852 Enerplus Resources Fund 181,814
 2,388 EOG Resources, Inc. 172,724
 4,702 EV Energy Partner LP (b) 168,285
 5,346 GMX Resources, Inc. (a) 171,981
 23,865 Ngas Resources, Inc. (a) 162,282
 2,670 Noble Energy, Inc. 187,007
 4,286 Penn Virginia Corp. 188,498
 4,262 Petroleum Development Corp. (a) 189,020
 3,909 Pioneer Natural Resources Co. 175,827
 3,752 Quicksilver Resources, Inc. (a) 176,532
 4,307 Range Resources Corp. 175,123
 9,310 Rosetta Resources, Inc. (a) 170,745
 4,066 Southwestern Energy Co. (a) 170,162
 4,856 St. Mary Land & Exploration Co. 173,214
 5,423 Statoil ASA ADR 183,948
 9,637 Talisman Energy, Inc. 189,848
 3,067 Ultra Petroleum Corp. (a) 190,276
 ------------
 4,609,763
 ------------


 TOTAL INVESTMENTS--100.7%
 (Cost $5,301,985) (c) 5,138,467
 NET OTHER ASSETS AND LIABILITIES--(0.7%) (36,232)
 ------------
 NET ASSETS--100.0% $ 5,102,235
 ============


 (a) Non-income producing security.

 (b) Master limited partnership ("MLP").

FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--99.2%
 CHEMICALS--0.7%
 3,287 Sinopec Shanghai Petrochemical Co., Ltd. ADR $ 266,740
 ------------
 COMMERCIAL BANKS--10.2%
 15,413 HDFC Bank Ltd. ADR 1,651,195
 47,621 ICICI Bank Ltd. ADR 2,510,579
 ------------
 4,161,774
 ------------
 COMMUNICATIONS EQUIPMENT--1.1%
 12,916 Comtech Group, Inc. (a) 235,200
 17,696 Qiao Xing Universal Telephone, Inc. (a) 195,718
 ------------
 430,918
 ------------
 CONSTRUCTION & ENGINEERING--0.6%
 8,105 KHD Humboldt Wedag International Ltd. (a) 247,203
 ------------
 DIVERSIFIED CONSUMER SERVICES--0.8%
 4,796 New Oriental Education & Technology
 Group, Inc. ADR (a) 319,222
 ------------
 DIVERSIFIED TELECOMMUNICATIONS--1.8%
 4,246 China Netcom Group Corp., Ltd. ADR 222,915
 3,783 China Telecom Corp., Ltd. ADR 289,362
 9,886 Videsh Sanchar Nigam Ltd. ADR 216,701
 ------------
 728,978
 ------------
 ELECTRICAL EQUIPMENT--3.8%
 9,406 JA Solar Holdings Co., Ltd. ADR (a) 422,800
 24,697 Solarfun Power Holdings Co., Ltd. ADR (a) 326,000
 20,105 Suntech Power Holdings Co., Ltd. ADR (a) 802,190
 ------------
 1,550,990
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.5%
 17,640 Nam Tai Electronics, Inc. 221,911
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--1.7%
 8,882 China Medical Technologies, Inc. ADR 380,061
 7,539 Mindray Medical International Ltd. ADR 323,800
 ------------
 703,861
 ------------
 HOTELS, RESTAURANTS & LEISURE--2.0%
 5,948 Ctrip.com International Ltd. ADR 308,106
 7,138 Home Inns & Hotels Managment, Inc. ADR (a) 248,402
 16,529 Melco PBL Entertainment Ltd. ADR (a) 272,729
 ------------
 829,237
 ------------
 INDEPENDENT POWER PRODUCERS &
 ENERGY TRADERS--0.7%
 5,272 Huaneng Power International, Inc. ADR 278,256
 ------------

FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 INSURANCE--5.6%
 26,744 China Life Insurance Co., Ltd. ADR $ 2,305,868
 ------------
 INTERNET SOFTWARE & SERVICES--5.2%
 4,653 Baidu.com ADR (a) 1,347,742
 11,946 NetEase.com, Inc. ADR (a) 201,887
 5,594 SINA Corp. (a) 267,673
 8,433 Sohu.com, Inc. (a) 318,008
 ------------
 2,135,310
 ------------
 IT SERVICES--15.5%
 41,353 Infosys Technologies Ltd. ADR 2,001,072
 23,613 Patni Computer Systems Ltd. ADR 551,364
 87,235 Satyam Computer Services Ltd. ADR 2,258,513
 79,216 Wipro Ltd. ADR 1,143,879
 22,457 WNS Holdings Ltd. ADR (a) 386,260
 ------------
 6,341,088
 ------------
 MACHINERY--3.6%
 77,392 Tata Motors Ltd. ADR 1,481,283
 ------------
 MARINE--0.6%
 7,389 Seaspan Corp. 243,098
 ------------
 MEDIA--2.6%
 14,511 Focus Media Holding Ltd. ADR (a) 841,928
 28,086 Xinhua Finance Media Ltd. ADR (a) 215,139
 ------------
 1,057,067
 ------------
 METALS & MINING--6.5%
 37,799 Aluminum Corp. of China Ltd. ADR 2,647,064
 ------------
 OIL, GAS & CONSUMABLE FUELS--19.3%
 20,388 China Petroleum & Chemical Corp. ADR 2,509,966
 11,957 CNOOC Ltd. ADR 1,990,004
 16,565 PetroChina Co., Ltd. ADR 3,066,346
 3,327 Yanzhou Coal Mining Co., Ltd. ADR 340,086
 ------------
 7,906,402
 ------------
 PERSONAL PRODUCTS--0.6%
 22,726 American Oriental Bioengineering, Inc. (a) 253,395
 ------------
 PHARMACEUTICALS--1.7%
 41,544 Dr. Reddy's Laboratories Ltd. ADR 679,660
 ------------
 ROAD & RAIL--0.6%
 5,509 Guangshen Railway Co., Ltd. ADR 240,358
 ------------

FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.2%
 31,983 Semiconductor Manufacturing International
 Corp. ADR (a) $ 191,578
 5,278 Trina Solar Ltd. ADR (a) 300,688
 ------------
 492,266
 ------------
 SOFTWARE--1.6%
 26,619 CDC Corp., Class A (a) 195,117
 7,989 Shanda Interactive Entertainment Ltd. ADR (a) 297,271
 5,047 The9 Ltd. ADR (a) 174,071
 ------------
 666,459
 ------------
 WIRELESS TELECOMMUNICATION SERVICES--10.7%
 47,610 China Mobile Ltd. ADR 3,905,925
 15,100 China Unicom Ltd. ADR 314,684
 6,831 Hutchison Telecommunications
 International Ltd. ADR (a) 141,948
 ------------
 4,362,557
 ------------
 TOTAL INVESTMENTS--99.2%
 (Cost $35,027,524) (b) 40,550,965
 NET OTHER ASSETS AND LIABILITIES--0.8% 317,332
 ------------
 NET ASSETS--100.0% $ 40,868,297
 ============


 (a) Non-income producing security.

FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS--100.3%
 AEROSPACE & DEFENSE--3.1%
 45,796 Cubic Corp. $ 1,931,217
 32,641 Honeywell International, Inc. 1,941,160
 13,108 Precision Castparts Corp. 1,939,722
 ------------
 5,812,099
 ------------
 AUTO COMPONENTS--1.0%
 75,583 Cooper Tire & Rubber Co. 1,844,225
 ------------
 BEVERAGES--3.1%
 33,402 Coca-Cola (The) Co. 1,919,613
 35,074 Hansen Natural Corp. (a) 1,987,994
 59,432 PepsiAmericas, Inc. 1,927,974
 ------------
 5,835,581
 ------------
 BIOTECHNOLOGY--2.0%
 27,674 Biogen Idec, Inc. (a) 1,835,616
 51,034 LifeCell Corp. (a) 1,917,348
 ------------
 3,752,964
 ------------
 CAPITAL MARKETS--1.0%
 68,905 Janus Capital Group, Inc. 1,948,633
 ------------
 CHEMICALS--3.1%
 23,946 Monsanto Co. 2,053,130
 50,493 Penford Corp. 1,903,586
 18,789 Potash Corp. of Saskatchewan, Inc. 1,985,997
 ------------
 5,942,713
 ------------
 COMMERCIAL SERVICES & SUPPLIES--3.0%
 36,967 FTI Consulting, Inc. (a) 1,859,810
 65,299 CDI Corp. 1,820,536
 34,276 Stericycle, Inc. (a) 1,959,216
 ------------
 5,639,562
 ------------
 COMMUNICATIONS EQUIPMENT--6.1%
 50,609 Ciena Corp. (a) 1,927,191
 59,383 Cisco Systems, Inc. (a) 1,966,171
 36,521 CommScope, Inc. (a) 1,834,815
 78,660 Corning, Inc. 1,938,969
 51,787 Nokia Oyj 1,964,281
 20,043 Research In Motion Ltd. (a) 1,975,237
 ------------
 11,606,664
 ------------
 COMPUTERS & PERIPHERALS--3.1%
 12,767 Apple Computer, Inc. (a) 1,960,245
 92,341 EMC Corp. (a) 1,920,693
 16,291 International Business Machines Corp. 1,919,080
 ------------
 5,800,018
 ------------

FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 CONSTRUCTION & ENGINEERING--2.0%
 13,389 Fluor Corp. $ 1,927,748
 24,546 Jacobs Engineering Group, Inc. (a) 1,855,187
 ------------
 3,782,935
 ------------
 CONTAINERS & PACKAGING--1.0%
 47,372 Owens-Illinois, Inc. (a) 1,963,569
 ------------
 DISTRIBUTORS--1.0%
 54,416 LKQ Corp. (a) 1,894,221
 ------------
 DIVERSIFIED CONSUMER SERVICES--3.1%
 52,962 DeVry, Inc. 1,960,123
 15,607 ITT Educational Services, Inc. (a) 1,899,216
 11,514 Strayer Education, Inc. 1,941,606
 ------------
 5,800,945
 ------------
 ELECTRICAL EQUIPMENT--1.0%
 27,813 Rockwell Automation, Inc. 1,933,282
 ------------
 ELECTRONIC EQUIPMENT & INSTRUMENTS--5.1%
 23,916 Anixter International, Inc. (a) 1,971,875
 43,323 FARO Technologies, Inc. 1,912,710
 35,301 FLIR Systems, Inc. (a) 1,955,322
 20,475 Itron, Inc. (a) 1,905,608
 56,121 National Instruments Corp. 1,926,634
 ------------
 9,672,149
 ------------
 ENERGY EQUIPMENT & SERVICES--8.1%
 20,394 Cameron International Corp. (a) 1,882,162
 15,587 Core Laboratories N.V. (a) 1,985,629
 16,594 Diamond Offshore Drilling, Inc. 1,879,934
 37,693 Noble Corp. 1,848,842
 50,920 Rowan Cos., Inc. 1,862,654
 18,031 Schlumberger Ltd. 1,893,255
 26,187 Smith International, Inc. 1,869,752
 28,306 Weatherford International Ltd. (a) 1,901,597
 ------------
 15,123,825
 ------------
 FOOD & STAPLES RETAILING--1.0%
 41,381 Walgreen Co. 1,954,838
 ------------
 FOOD PRODUCTS--1.0%
 65,601 Fresh Del Monte Produce, Inc. (a) 1,886,029
 ------------
 HEALTH CARE EQUIPMENT & SUPPLIES--5.1%
 13,335 Alcon, Inc. 1,919,173
 34,954 ArthroCare Corp. (a) 1,953,579
 8,468 Intuitive Surgical, Inc. (a) 1,947,640
 33,374 Kinetic Concepts, Inc. (a) 1,878,289
 42,457 St. Jude Medical, Inc. (a) 1,871,080
 ------------
 9,569,761
 ------------

FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 HEALTH CARE PROVIDERS & SERVICES--3.1%
 35,892 Aetna, Inc. $ 1,947,859
 30,470 Chemed Corp. 1,894,015
 35,532 Express Scripts, Inc. (a) 1,983,396
 ------------
 5,825,270
 ------------
 HEALTH CARE TECHNOLOGY--1.0%
 80,186 Eclipsys Corp. (a) 1,869,938
 ------------
 HOUSEHOLD DURABLES--3.0%
 16,473 Garmin Ltd. 1,966,876
 53,030 Tempur-Pedic International, Inc. 1,895,823
 60,217 Tupperware Brands Corp. 1,896,233
 ------------
 5,758,932
 ------------
 HOUSEHOLD PRODUCTS--1.0%
 17,111 Energizer Holdings, Inc. (a) 1,896,754
 ------------
 INDUSTRIAL CONGLOMERATES--1.0%
 34,616 McDermott International, Inc. (a) 1,872,033
 ------------
 INSURANCE--2.0%
 28,383 American International Group, Inc. 1,920,110
 43,393 Aon Corp. 1,944,440
 ------------
 3,864,550
 ------------
 INTERNET & CATALOG RETAIL--2.0%
 20,434 Amazon.Com, Inc. (a) 1,903,427
 21,620 Priceline.com, Inc. (a) 1,918,775
 ------------
 3,822,202
 ------------
 INTERNET SOFTWARE & SERVICES--2.1%
 49,086 eBay, Inc. (a) 1,915,336
220,726 SkillSoft PLC ADR (a) 1,984,326
 ------------
 3,899,662
 ------------
 IT SERVICES--2.0%
 34,562 Computer Sciences Corp. (a) 1,932,016
 43,765 Paychex, Inc. 1,794,365
 ------------
 3,726,381
 ------------
 LEISURE EQUIPMENT & PRODUCTS--1.0%
119,791 Callaway Golf Co. 1,917,854
 ------------
 LIFE SCIENCES TOOLS & SERVICES--3.0%
 34,338 Charles River Laboratories International, Inc. (a) 1,928,079
 24,472 Covance, Inc. (a) 1,906,369

FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 LIFE SCIENCES TOOLS & SERVICES (CONTINUED)
 22,874 Invitrogen Corp. (a) $ 1,869,492
 ------------
 5,703,940
 ------------
 MACHINERY--6.2%
 30,750 Actuant Corp., Class A 1,997,828
 62,092 Axsys Technologies, Inc. (a) 1,922,368
 27,256 Bucyrus International, Inc., Class A 1,987,780
 33,432 CNH Global N.V. 2,030,660
 43,721 Manitowoc (The) Co., Inc. 1,935,966
 20,742 Valmont Industries, Inc. 1,759,959
 ------------
 11,634,561
 ------------
 MEDIA--1.0%
 75,520 Shaw Communications, Inc., Class B 1,875,917
 ------------
 METALS & MINING--2.0%
 24,926 BHP Billiton Ltd. ADR 1,959,184
 15,303 Southern Copper Corp. 1,894,970
 ------------
 3,854,154
 ------------
 OIL, GAS & CONSUMABLE FUELS--1.0%
 56,392 Williams (The), Cos., Inc. 1,920,712
 ------------
 PAPER & FOREST PRODUCTS--1.0%
 53,201 International Paper Co. 1,908,320
 ------------
 PHARMACEUTICALS--3.0%
 36,636 Merck & Co., Inc. 1,893,715
 15,791 Novo Nordisk A/S 1,911,342
 59,647 Schering-Plough Corp. 1,886,635
 ------------
 5,691,692
 ------------
 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--5.0%
 33,667 KLA-Tencor Corp. 1,877,945
 53,523 NVIDIA Corp. (a) 1,939,674
 37,506 Sigma Designs, Inc. (a) 1,809,289
 36,354 Varian Semiconductor Equipment Associates, Inc. (a) 1,945,666
108,395 ANADIGICS, Inc. (a) 1,959,782
 ------------
 9,532,356
 ------------
 SOFTWARE--2.0%
 73,485 Jack Henry & Associates, Inc. 1,900,322
 86,894 Oracle Corp. (a) 1,881,255
 ------------
 3,781,577
 ------------

FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2007 (UNAUDITED)


 MARKET
SHARES DESCRIPTION VALUE
------ ------------------------------------------------ ------------

 COMMON STOCKS (CONTINUED)
 SPECIALTY RETAIL--1.0%
 33,704 GameStop Corp., Class A (a) $ 1,899,220
 ------------
 TEXTILES, APPAREL & LUXURY GOODS--1.0%
 17,227 Deckers Outdoor Corp. (a) 1,891,525
 ------------
 TRADING COMPANIES & DISTRIBUTORS--2.0%
 62,130 Applied Industrial Technologies, Inc. 1,915,468
 42,446 Fastenal Co. 1,927,473
 ------------
 3,842,941
 ------------
 TOTAL INVESTMENTS--100.3%
 (Cost $167,303,787) (b) 189,754,504
 NET OTHER ASSETS AND LIABILITIES--(0.3%) (539,039)
 ------------
 NET ASSETS--100.0% $189,215,465
 ============


 (a) Non-income producing security.