UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21774
First Trust Exchange-Traded Fund
(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
Lisle, Illinois 60532
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
Lisle, IL 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-241-4141
Date of fiscal year end: December 31
Date of reporting period: March 31, 2008
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (Sections 239.24 and 274.5
of this chapter), to file reports with the Commission, not later than 60 days
after the close of the first and third fiscal quarters, pursuant to rule 30b1-5
under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. Section 3507.
Item 1. SCHEDULE OF INVESTMENTS.
The Portfolios of Investments are attached herewith.
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.4%
AEROSPACE & DEFENSE--0.8%
1,569 American Science & Engineering, Inc. $ 85,621
1,509 LMI Aerospace, Inc. (b) 29,229
-------------
114,850
-------------
AIR FREIGHT & LOGISTICS--0.1%
1,308 Park-Ohio Holdings Corp. (b) 20,549
-------------
AIRLINES--0.6%
2,376 Allegiant Travel Co. (b) 62,774
3,080 Pinnacle Airlines Corp. (b) 26,888
-------------
89,662
-------------
AUTO COMPONENTS--1.3%
3,731 Aftermarket Technology Corp. (b) 72,531
5,152 Spartan Motors, Inc. 43,586
3,717 Superior Industries International, Inc. 77,127
-------------
193,244
-------------
BEVERAGES--0.6%
1,756 Boston Beer (The) Co., Inc., Class A (b) 83,481
1,760 MGP Ingredients, Inc. 12,302
-------------
95,783
-------------
BUILDING PRODUCTS--0.6%
4,777 Gibraltar Industries, Inc. 56,034
2,805 Insteel Industries, Inc. 32,622
-------------
88,656
-------------
CAPITAL MARKETS--0.7%
3,659 Calamos Asset Management, Inc., Class A 59,568
5,982 TradeStation Group, Inc. (b) 50,967
-------------
110,535
-------------
CHEMICALS--2.9%
4,290 A. Schulman, Inc. 88,074
3,162 American Vanguard Corp. 52,616
2,886 Flotek Industries, Inc. (b) 42,107
4,693 ICO, Inc. (b) 32,569
2,662 Koppers Holdings, Inc. 117,953
4,149 Landec Corp. (b) 34,976
2,555 LSB Industries, Inc. (b) 37,661
1,926 Penford Corp. 41,852
-------------
447,808
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 1
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS--7.4%
2,161 Bank of the Ozarks, Inc. $ 51,648
3,696 Cascade Bancorp 35,334
3,856 Chemical Financial Corp. 91,927
2,819 City Holding Co. 112,478
3,193 CoBiz Financial, Inc. 41,573
5,132 Community Bank System, Inc. 126,041
2,042 Greene Bancshares, Inc. 36,123
2,795 Independent Bank Corp. 82,592
3,813 Nara Bancorp, Inc. 49,531
5,531 NBT Bancorp, Inc. 122,788
4,923 PrivateBancorp, Inc. 154,926
3,634 Renasant Corp. 81,765
2,611 Seacoast Banking Corp. of Florida 28,590
4,436 Texas Capital Bancshares, Inc. (b) 74,880
2,662 West Coast Bancorp 38,839
-------------
1,129,035
-------------
COMMERCIAL SERVICES & SUPPLIES--6.8%
2,705 American Ecology Corp. 68,518
4,580 Bowne & Co., Inc. 69,844
8,866 CBIZ, Inc. (b) 71,991
2,242 CDI Corp. 56,162
2,308 COMSYS IT Partners, Inc. (b) 19,526
1,955 Cornell Cos., Inc. (b) 43,909
1,946 Courier Corp. 48,553
1,886 CRA International, Inc. (b) 60,616
4,361 Ennis, Inc. 73,177
4,302 Hudson Highland Group, Inc. (b) 36,438
1,156 ICF International, Inc. (b) 23,178
4,754 Innerworkings, Inc. (b) 66,699
7,126 Kforce, Inc. (b) 62,994
4,333 LECG Corp. (b) 40,557
6,030 On Assignment, Inc. (b) 38,291
2,979 Pike Electric Corp. (b) 41,497
1,835 Schawk, Inc. 29,342
9,705 Spherion Corp. (b) 59,395
3,091 Team, Inc. (b) 84,383
1,137 Waste Industries USA, Inc. 41,103
-------------
1,036,173
-------------
COMMUNICATIONS EQUIPMENT--1.2%
2,613 Anaren, Inc. (b) 33,081
2,626 EMS Technologies, Inc. (b) 71,270
6,332 Ixia (b) 49,136
3,490 Oplink Communications, Inc. (b) 30,956
-------------
184,443
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 2
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMPUTERS & PERIPHERALS--0.6%
4,407 STEC, Inc. (b) $ 27,279
3,585 Stratasys, Inc. (b) 63,813
-------------
91,092
-------------
CONSTRUCTION & ENGINEERING--0.7%
1,373 Integrated Electrical Services, Inc. (b) 21,570
1,194 Michael Baker Corp. (b) 26,817
1,533 Northwest Pipe Co. (b) 65,137
-------------
113,524
-------------
CONSUMER FINANCE--0.3%
4,758 First Cash Financial Services, Inc. (b) 49,150
-------------
DIVERSIFIED CONSUMER SERVICES--0.4%
912 CPI Corp. 15,750
3,647 Universal Technical Institute, Inc. (b) 42,780
-------------
58,530
-------------
DIVERSIFIED FINANCIAL SERVICES--0.2%
1,902 ASTA Funding, Inc. 26,495
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--2.8%
7,329 Alaska Communications Systems Group, Inc. 89,707
1,636 Atlantic Tele-Network, Inc. 55,346
4,000 Consolidated Communications Holdings, Inc. 60,520
14,120 FairPoint Communications, Inc. 127,362
5,390 Iowa Telecommunications Services, Inc. 95,565
-------------
428,500
-------------
ELECTRICAL EQUIPMENT--0.8%
2,028 Azz, Inc. (b) 72,156
3,437 LSI Industries, Inc. 45,403
-------------
117,559
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--3.6%
6,157 CTS Corp. 65,880
2,618 FARO Technologies, Inc. (b) 81,629
14,368 Kemet Corp. (b) 58,047
3,215 LoJack Corp. (b) 40,638
6,411 Methode Electronics, Inc. 74,945
3,175 Park Electrochemical Corp. 82,074
2,829 SYNNEX Corp. (b) 60,031
7,251 TTM Technologies, Inc. (b) 82,081
-------------
545,325
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 3
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES--5.3%
4,465 Bronco Drilling Co., Inc. (b) $ 71,931
1,224 Dawson Geophysical Co. (b) 82,620
1,906 Gulf Island Fabrication, Inc. 54,740
4,563 Matrix Service Co. (b) 78,392
15,335 Newpark Resources, Inc. (b) 78,209
784 OYO Geospace Corp. (b) 35,609
8,505 Pioneer Drilling Co. (b) 135,485
2,563 Superior Well Services, Inc. (b) 56,053
2,088 T-3 Energy Services, Inc. (b) 88,865
2,163 Trico Marine Services, Inc. (b) 84,292
1,983 Union Drilling, Inc. (b) 34,683
-------------
800,879
-------------
FOOD & STAPLES RETAILING--1.5%
2,300 Nash Finch Co. 78,154
2,486 PriceSmart, Inc. 68,887
3,754 Spartan Stores, Inc. 78,271
-------------
225,312
-------------
FOOD PRODUCTS--1.4%
13,852 Darling International, Inc. (b) 179,383
1,430 Imperial Sugar Co. 26,913
-------------
206,296
-------------
GAS UTILITIES--0.8%
3,470 Laclede Group (The), Inc. 123,636
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--4.8%
1,884 Aspect Medical Systems, Inc. (b) 11,492
1,449 Cynosure, Inc. (b) 30,864
2,198 Datascope Corp. 91,063
2,173 ICU Medical, Inc. (b) 62,517
3,126 IRIS International, Inc. (b) 41,482
1,569 Kensey Nash Corp. (b) 45,423
2,526 Medical Action Industries, Inc. (b) 41,502
3,720 Natus Medical, Inc. (b) 67,518
5,270 Quidel Corp. (b) 84,636
5,544 Symmetry Medical, Inc. (b) 92,030
1,391 Vital Signs, Inc. 70,454
3,557 Zoll Medical Corp. (b) 94,582
-------------
733,563
-------------
HEALTH CARE PROVIDERS & SERVICES--6.0%
1,837 Air Methods Corp. (b) 88,856
4,218 Alliance Imaging, Inc. (b) 36,275
2,140 American Dental Partners, Inc. (b) 20,694
2,017 Bio-Reference Laboratories, Inc. (b) 53,309
5,075 Cross Country Healthcare, Inc. (b) 62,778
1,587 Emergency Medical Services Corp. (b) 39,183
4,444 Gentiva Health Services, Inc. (b) 96,701
|
See Notes to Quarterly Portfolio of Investments
Page 4
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES (CONTINUED)
3,784 Matria Healthcare, Inc. (b) $ 84,383
2,243 Medcath Corp. (b) 40,823
2,062 MWI Veterinary Supply, Inc. (b) 72,706
5,630 Odyssey HealthCare, Inc. (b) 50,670
1,994 Providence Service (The) Corp. (b) 59,820
2,995 RehabCare Group, Inc. (b) 44,925
4,337 Res-Care, Inc. (b) 74,380
6,546 Sun Healthcare Group, Inc. (b) 86,014
-------------
911,517
-------------
HEALTH CARE TECHNOLOGY--0.2%
1,749 Computer Programs & Systems, Inc. 36,554
-------------
HOTELS, RESTAURANTS & LEISURE--3.8%
4,760 AFC Enterprises (b) 42,792
3,098 BJ'S Restaurants, Inc. (b) 44,642
2,636 Buffalo Wild Wings, Inc. (b) 64,582
4,989 California Pizza Kitchen, Inc. (b) 65,406
3,611 Marcus (The) Corp. 69,331
2,533 McCormick & Schmick's Seafood Restaurants, Inc. (b) 29,509
2,017 Monarch Casino & Resort, Inc. (b) 35,721
1,908 Morton's Restaurant Group, Inc. (b) 15,130
2,382 Peet's Coffee & Tea, Inc. (b) 56,001
2,662 Red Robin Gourmet Burgers, Inc. (b) 100,012
4,487 Steak N Shake (The) Co. (b) 35,313
2,297 Town Sports International Holdings, Inc. (b) 14,724
-------------
573,163
-------------
HOUSEHOLD DURABLES--1.0%
4,872 Helen of Troy Ltd. (b) 81,704
1,543 Lifetime Brands, Inc. 13,794
2,462 Universal Electronics, Inc. (b) 59,605
-------------
155,103
-------------
HOUSEHOLD PRODUCTS--0.6%
2,727 WD-40 Co. 90,673
-------------
INDUSTRIAL CONGLOMERATES--0.6%
3,103 Raven Industries, Inc. 94,021
-------------
INSURANCE--3.2%
9,123 American Equity Investment Life Holding Co. 84,661
1,658 American Physicians Capital, Inc. 76,865
2,600 First Mercury Financial Corp. (b) 45,266
6,168 Meadowbrook Insurance Group, Inc. 48,172
4,772 OneBeacon Insurance Group Ltd. 90,764
3,574 Seabright Insurance Holdings (b) 52,645
2,932 Stewart Information Services Corp. 82,067
-------------
480,440
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 5
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
INTERNET & CATALOG RETAIL--1.1%
3,375 FTD Group, Inc. $ 45,293
2,439 Gaiam, Inc. (b) 42,243
4,173 PetMed Express, Inc. (b) 46,278
2,899 Stamps.com, Inc. (b) 29,744
-------------
163,558
-------------
INTERNET SOFTWARE & SERVICES--1.5%
3,517 Greenfield Online, Inc. (b) 41,712
4,965 Perficient, Inc. (b) 39,422
10,655 SonicWALL, Inc. (b) 87,052
4,426 Vignette Corp. (b) 58,467
-------------
226,653
-------------
IT SERVICES--1.8%
9,168 Ciber, Inc. (b) 44,923
5,720 infoUSA, Inc. 34,949
3,424 ManTech International Corp., Class A (b) 155,313
2,249 SI International, Inc. (b) 43,158
-------------
278,343
-------------
LEISURE EQUIPMENT & PRODUCTS--1.5%
4,844 JAKKS Pacific, Inc. (b) 133,550
3,252 RC2 Corp. (b) 68,194
3,885 Sturm Ruger & Co., Inc. (b) 32,012
-------------
233,756
-------------
LIFE SCIENCES TOOLS & SERVICES--1.2%
4,025 Albany Molecular Research, Inc. (b) 48,864
4,957 Cambrex Corp. 34,352
2,198 Kendle International, Inc. (b) 98,734
-------------
181,950
-------------
MACHINERY--9.5%
4,507 Altra Holdings, Inc. (b) 60,619
1,552 American Railcar Industries, Inc. 31,552
1,278 Ampco-Pittsburgh Corp. 54,941
2,116 Badger Meter, Inc. 91,411
6,531 Blount International, Inc. (b) 80,788
4,728 Chart Industries, Inc. (b) 159,996
2,856 CIRCOR International, Inc. 132,090
3,211 Columbus McKinnon Corp. (b) 99,477
2,085 Dynamic Materials Corp. 90,072
1,830 Gehl Co. (b) 31,000
2,601 Greenbrier Cos., Inc. 68,979
1,965 Hardinge, Inc. 27,038
1,088 Hurco Cos., Inc. (b) 50,897
|
See Notes to Quarterly Portfolio of Investments
Page 6
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
2,386 Kadant, Inc. (b) $ 70,101
1,830 L.B. Foster Co., Class A (b) 78,800
1,901 Lindsay Corp. 194,794
2,013 Sun Hydraulics Corp. 58,921
1,576 Twin Disc, Inc. 24,932
5,238 Wabash National Corp. 47,090
-------------
1,453,498
-------------
MARINE--0.4%
1,844 TBS International Ltd., Class A (b) 55,689
-------------
MEDIA--2.3%
5,480 Cox Radio, Inc., Class A (b) 65,102
2,595 DG Fastchannel, Inc. (b) 49,772
10,236 Entravision Communications Corp., Class A (b) 68,172
8,086 Journal Communications, Inc., Class A 59,675
3,528 Playboy Enterprises, Inc., Class B (b) 29,388
9,063 Sinclair Broadcast Group, Inc., Class A 80,752
-------------
352,861
-------------
METALS & MINING--0.5%
3,008 A.M. Castle & Co. 81,216
-------------
OIL, GAS & CONSUMABLE FUELS--1.8%
3,619 DCP Midstream Partners LP (c) 104,951
7,344 PetroQuest Energy, Inc. (b) 127,345
1,565 TransMontaigne Partners LP (c) 44,383
-------------
276,679
-------------
PAPER & FOREST PRODUCTS--2.1%
6,706 Buckeye Technologies, Inc. (b) 74,839
7,684 Glatfelter 116,105
2,534 Neenah Paper, Inc. 65,327
2,679 Schweitzer-Mauduit International, Inc. 61,992
-------------
318,263
-------------
PERSONAL PRODUCTS--1.2%
4,666 Elizabeth Arden, Inc. (b) 93,087
1,616 Inter Parfums, Inc. 35,681
6,019 Prestige Brands Holdings, Inc. (b) 49,235
-------------
178,003
-------------
PHARMACEUTICALS--0.5%
2,181 Obagi Medical Products, Inc. (b) 18,931
8,092 Salix Pharmaceuticals Ltd. (b) 50,818
-------------
69,749
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 7
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL--0.5%
3,749 Celadon Group, Inc. (b) $ 36,290
2,585 Marten Transport, Ltd. (b) 40,120
-------------
76,410
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.9%
13,769 Cirrus Logic, Inc. (b) 92,527
3,622 Cohu, Inc. 58,858
8,764 Mattson Technology, Inc. (b) 53,373
4,655 Rudolph Technologies, Inc. (b) 45,479
3,315 Ultra Clean Holdings (b) 32,487
-------------
282,724
-------------
SOFTWARE--1.5%
10,354 Actuate Corp. (b) 42,451
2,293 Interactive Intelligence, Inc. (b) 26,989
4,172 Radiant Systems, Inc. (b) 58,283
6,632 Tyler Technologies, Inc. (b) 92,715
-------------
220,438
-------------
SPECIALTY RETAIL--2.4%
3,472 A.C. Moore Arts & Crafts, Inc. (b) 23,679
3,556 Big 5 Sporting Goods Corp. 31,186
6,289 Casual Male Retail Group, Inc. (b) 26,414
5,058 Cato (The) Corp., Class A 75,567
2,112 Conn's, Inc. (b) 34,447
3,088 Jos. A. Bank Clothiers, Inc. (b) 63,304
2,455 Midas, Inc. (b) 42,201
3,167 Monro Muffler Brake, Inc. 53,522
2,455 West Marine, Inc. (b) 17,111
-------------
367,431
-------------
TEXTILES, APPAREL & LUXURY GOODS--2.3%
3,206 Maidenform Brands, Inc. (b) 52,162
3,308 Movado Group, Inc. 64,473
1,984 Perry Ellis International, Inc. (b) 43,311
3,145 Steven Madden Ltd. (b) 53,874
2,708 True Religion Apparel, Inc. (b) 50,233
2,455 UniFirst Corp. 91,055
-------------
355,108
-------------
THRIFTS & MORTGAGE FINANCE--2.0%
3,289 Anchor BanCorp Wisconsin, Inc. 62,392
8,551 Bank Mutual Corp. 91,838
5,274 Dime Community Bancshares 92,190
1,064 WSFS Financial Corp. 52,434
-------------
298,854
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 8
FIRST TRUST DOW JONES SELECT MICROCAP INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
TOBACCO--0.7%
16,415 Alliance One International, Inc. (b) $ 99,147
-------------
TRADING COMPANIES & DISTRIBUTORS--0.5%
4,456 Rush Enterprises, Inc., Class A (b) 70,583
-------------
WATER UTILITIES--1.4%
2,924 American States Water Co. 105,264
2,227 SJW Corp. 63,670
4,129 Southwest Water Co. 45,708
-------------
214,642
-------------
WIRELESS TELECOMMUNICATION SERVICES--0.2%
3,963 USA Mobility, Inc. (b) 28,296
-------------
TOTAL INVESTMENTS -- 100.4%
(Cost $18,393,367) (d) 15,255,921
NET OTHER ASSETS AND LIABILITIES--(0.4%) (59,727)
-------------
NET ASSETS--100.0% $ 15,196,194
==============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) Master limited partnership ("MLP")
|
(d) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $681,563 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $3,819,009.
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $15,255,921
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $15,255,921
=================
|
See Notes to Quarterly Portfolio of Investments
Page 9
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.0%
BUILDING PRODUCTS--0.7%
21,247 Masco Corp. $ 421,328
-------------
CHEMICALS--3.0%
43,372 Dow Chemical (The) Co. 1,598,258
3,487 Olin Corp. 68,903
5,420 RPM International, Inc. 113,495
-------------
1,780,656
-------------
COMMERCIAL BANKS--29.5%
6,707 Associated Banc-Corp. 178,607
3,285 BancorpSouth, Inc. 76,081
37,171 BB&T Corp. 1,191,702
1,380 Chemical Financial Corp. 32,899
8,790 Citizens Banking Corp. 109,260
12,570 Colonial BancGroup (The), Inc. 121,049
12,314 Comerica, Inc. 431,975
1,223 Community Bank System, Inc. 30,037
4,525 F.N.B. Corp. 70,635
47,749 Fifth Third Bancorp 998,909
1,213 First Charter Corp. 32,399
2,478 First Financial Bancorp 33,329
16,184 First Horizon National Corp. 226,738
2,666 First Midwest Bancorp, Inc. 74,035
5,247 FirstMerit Corp. 108,403
10,092 Fulton Financial Corp. 124,031
44,492 Huntington Bancshares, Inc. 478,289
30,797 KeyCorp 675,994
74,310 National City Corp. 739,385
3,509 National Penn Bancshares, Inc. 63,829
1,406 NBT Bancorp, Inc. 31,213
4,069 Old National Bancorp 73,242
2,306 Pacific Capital Bancorp 49,579
766 Park National Corp. 54,271
16,267 PNC Financial Services Group, Inc. 1,066,627
18,350 Popular, Inc. 213,961
4,792 Provident Bankshares Corp. 51,466
1,161 S&T Bancorp., Inc. 37,349
4,567 South Financial Group (The), Inc. 67,866
23,071 SunTrust Banks, Inc. 1,272,135
5,413 Susquehanna Bancshares, Inc. 110,263
7,738 TCF Financial Corp. 138,665
2,685 Trustmark Corp. 59,822
65,375 U.S. Bancorp 2,115,535
2,293 United Bankshares, Inc. 61,108
6,077 Valley National Bancorp 116,739
7,076 W Holding Co., Inc. 8,420
117,507 Wachovia Corp. 3,172,690
88,581 Wells Fargo & Co. 2,577,708
988 WesBanco, Inc. 24,413
3,835 Whitney Holding Corp. 95,070
3,620 Wilmington Trust Corp. 112,582
-------------
17,308,310
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 10
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES--0.0%
1,799 Kimball International, Inc. $ 19,285
-------------
DIVERSIFIED FINANCIAL SERVICES--17.3%
156,750 Bank of America Corp. 5,942,393
196,263 Citigroup, Inc. 4,203,953
-------------
10,146,346
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--14.2%
136,280 AT&T, Inc. 5,219,524
85,773 Verizon Communications, Inc. 3,126,426
-------------
8,345,950
-------------
ELECTRIC UTILITIES--5.4%
2,829 Cleco Corp. 62,747
5,819 DPL, Inc. 149,199
2,499 Empire District Electric (The) Co. 50,605
6,781 Great Plains Energy, Inc. 167,152
1,099 Otter Tail Corp. 38,894
10,014 Pepco Holdings, Inc. 247,546
6,970 Pinnacle West Capital Corp. 244,508
17,757 Progress Energy, Inc. 740,467
40,353 Southern Co. 1,436,969
-------------
3,138,087
-------------
GAS UTILITIES--1.0%
4,531 AGL Resources, Inc. 155,504
5,262 Atmos Energy Corp. 134,181
1,005 Laclede Group (The), Inc. 35,808
2,974 Nicor, Inc. 99,659
3,158 Piedmont Natural Gas Co., Inc. 82,929
2,461 WGL Holdings, Inc. 78,900
-------------
586,981
-------------
HOUSEHOLD DURABLES--0.1%
1,739 Tupperware Brands Corp. 67,265
-------------
INSURANCE--1.3%
5,591 Arthur J. Gallagher & Co. 132,059
6,881 Cincinnati Financial Corp. 261,754
2,138 Commerce Group (The), Inc. 77,096
1,490 Mercury General Corp. 66,022
3,089 Unitrin, Inc. 109,165
2,577 Zenith National Insurance Corp. 92,411
-------------
738,507
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 11
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
METALS & MINING--0.6%
5,218 Nucor Corp. $ 353,467
-------------
MULTI-UTILITIES--6.8%
14,503 Ameren Corp. 638,712
1,724 Black Hills Corp. 61,685
1,067 CH Energy Group, Inc. 41,506
18,161 Consolidated Edison, Inc. 720,992
26,461 Dominion Resources, Inc. 1,080,667
10,471 DTE Energy Co. 407,217
9,349 Energy East Corp. 225,498
5,416 NSTAR 164,809
4,924 OGE Energy Corp. 153,481
5,254 Puget Energy, Inc. 135,921
5,974 SCANA Corp. 218,529
4,433 Vectren Corp. 118,937
-------------
3,967,954
-------------
PHARMACEUTICALS--11.2%
94,253 Bristol-Myers Squibb Co. 2,007,589
218,938 Pfizer, Inc. 4,582,372
-------------
6,589,961
-------------
REAL ESTATE INVESTMENT TRUST--0.3%
4,507 Rayonier, Inc. 195,784
-------------
THRIFTS & MORTGAGE FINANCE--1.7%
4,082 Astoria Financial Corp. 110,867
4,095 Corus Bankshares, Inc. 39,844
5,560 First Niagara Financial Group, Inc. 75,560
1,528 Flagstar Bancorp, Inc. 11,032
3,728 Washington Federal, Inc. 85,148
65,700 Washington Mutual, Inc. 676,711
-------------
999,162
-------------
TOBACCO--6.9%
50,077 Altria Group, Inc. 1,111,709
50,077 Philip Morris International, Inc. (b) 2,532,895
7,620 UST, Inc. 415,442
-------------
4,060,046
-------------
TOTAL INVESTMENTS--100.0%
(Cost $75,708,973) (c) 58,719,089
NET OTHER ASSETS AND LIABILITIES--0.0% 13,678
-------------
NET ASSETS--100.0% $ 58,732,767
=============
|
See Notes to Quarterly Portfolio of Investments
Page 12
FIRST TRUST MORNINGSTAR(R) DIVIDEND LEADERS(SM) INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) This security spun-off from Altria Group, Inc. on March 28,
2008. As of March 31, 2008, this security had not paid a
distribution to the Fund.
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $738,475 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was 17,728,359.
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
--------------------------------------------------------------------------
Level 1- Quoted Prices $58,719,089
Level 2- Other Significant Observable Inputs -
Level 3- Significant Unobservable Inputs -
-----------------
Total $58,719,089
=================
|
See Notes to Quarterly Portfolio of Investments
Page 13
FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.2%
AEROSPACE & DEFENSE--1.0%
5,699 Spirit Aerosystems Holdings, Inc., Class A (b) $ 126,404
1,941 TransDigm Group, Inc. (b) 71,914
-------------
198,318
-------------
CAPITAL MARKETS--5.1%
9,271 Ameriprise Financial, Inc. 480,702
1,204 GFI Group, Inc. 68,989
1,107 Greenhill & Co., Inc. 77,003
4,405 Lazard Ltd., Class A 168,271
4,905 MF Global Ltd. (b) 48,609
3,029 Och-Ziff Capital Management Group, Class A 63,609
2,575 optionsXpress Holdings, Inc. 53,328
2,361 Riskmetrics Group, Inc. (b) 45,685
-------------
1,006,196
-------------
CHEMICALS--4.7%
6,223 Celanese Corp., Class A 243,007
2,298 CF Industries Holding, Inc. 238,119
9,561 Huntsman Corp. 225,162
5,736 Nalco Holding Co. 121,316
3,019 Rockwood Holdings, Inc. (b) 98,933
-------------
926,537
-------------
COMMERCIAL SERVICES & SUPPLIES--1.5%
3,554 EnergySolutions, Inc. 81,529
2,553 IHS, Inc., Class A (b) 164,183
4,214 RSC Holdings, Inc. (b) 45,933
-------------
291,645
-------------
CONSTRUCTION & ENGINEERING--1.5%
4,093 Aecom Technology Corp. (b) 106,459
6,934 KBR, Inc. 192,280
-------------
298,739
-------------
CONSUMER FINANCE--1.6%
19,572 Discover Financial Services 320,394
-------------
DIVERSIFIED FINANCIAL SERVICES--4.3%
1,640 Interactive Brokers Group, Inc., Class A (b) 42,099
4,085 MSCI, Inc., Class A (b) 121,529
10,825 NYSE Euronext 668,010
-------------
831,638
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.3%
6,267 Embarq Corp. 251,307
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 14
FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES--0.5%
2,016 ITC Holdings Corp. $ 104,953
-------------
ELECTRICAL EQUIPMENT--5.4%
1,988 EnerSys (b) 47,553
3,213 First Solar, Inc. (b) 742,653
3,447 SunPower Corp., Class A (b) 256,836
-------------
1,047,042
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--4.3%
4,536 Dolby Laboratories, Inc., Class A (b) 164,475
19,911 Tyco Electronics Ltd. 683,346
-------------
847,821
-------------
ENERGY EQUIPMENT & SERVICES--1.6%
4,304 Cal Dive International, Inc. (b) 44,676
3,000 Complete Production Services, Inc. (b) 68,820
3,506 Dresser-Rand Group, Inc. (b) 107,809
3,630 Hercules Offshore, Inc. (b) 91,186
-------------
312,491
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--5.2%
20,373 Covidien Ltd. 901,505
2,252 Masimo Corp. (b) 58,552
1,447 NuVasive, Inc. (b) 49,936
-------------
1,009,993
-------------
HEALTH CARE PROVIDERS & SERVICES--0.9%
4,164 Brookdale Senior Living, Inc. 99,519
1,704 WellCare Health Plans, Inc. (b) 66,371
-------------
165,890
-------------
HOTELS, RESTAURANTS & LEISURE--3.1%
5,542 Burger King Holdings, Inc. 153,292
1,599 Life Time Fitness, Inc. (b) 49,905
7,593 Tim Hortons, Inc. 258,541
7,231 Wyndham Worldwide Corp. 149,537
-------------
611,275
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.4%
1,725 Ormat Technologies, Inc. 74,192
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 15
FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE--3.5%
2,469 Allied World Assurance Holdings Ltd. $ 98,019
3,485 Flagstone Reinsurance Holdings Ltd. 42,169
17,673 Genworth Financial, Inc., Class A 400,117
3,982 OneBeacon Insurance Group Ltd. 75,738
3,031 Validus Holdings Ltd. 71,016
-------------
687,059
-------------
INTERNET SOFTWARE & SERVICES--10.8%
4,383 Google, Inc., Class A (b) 1,930,581
2,926 Omniture, Inc. (b) 67,912
1,797 VistaPrint Ltd. (b) 62,805
2,351 WebMD Health Corp., Class A (b) 55,413
-------------
2,116,711
-------------
IT SERVICES--11.6%
8,651 Genpact Ltd. (b) 105,975
5,357 MasterCard, Inc., Class A 1,194,558
3,161 NeuStar, Inc., Class A (b) 83,703
6,816 SAIC, Inc. (b) 126,709
3,328 VeriFone Holdings, Inc. (b) 52,815
30,622 Western Union Co. 651,330
1,604 Wright Express Corp. (b) 49,291
-------------
2,264,381
-------------
MACHINERY--0.8%
1,529 Bucyrus International, Inc., Class A 155,423
-------------
MARINE--0.6%
1,910 Eagle Bulk Shipping, Inc. 49,202
1,188 Genco Shipping & Trading Ltd. 67,038
-------------
116,240
-------------
MEDIA--11.8%
4,351 Cinemark Holdings, Inc. 55,649
3,863 DreamWorks Animation SKG, Inc., Class A (b) 99,588
1,854 Morningstar, Inc. (b) 113,743
39,907 Time Warner Cable, Inc., Class A (b) 996,877
26,180 Viacom, Inc., Class B (b) 1,037,251
-------------
2,303,108
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 16
FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS--9.6%
2,699 Alpha Natural Resources, Inc. (b) $ 117,245
1,099 Atlas America, Inc. 66,424
1,830 Bill Barrett Corp. (b) 86,468
2,714 Bois d'Arc Energy, Inc. (b) 58,324
3,098 Concho Resources, Inc. (b) 79,433
6,865 Continental Resources, Inc. (b) 218,924
1,871 Copano Energy LLC 63,969
3,519 CVR Energy, Inc. (b) 81,043
4,275 EXCO Resources, Inc. (b) 79,088
1,838 Foundation Coal Holdings, Inc. 92,507
5,830 SandRidge Energy, Inc. (b) 228,244
25,839 Spectra Energy Corp. 587,836
3,112 W&T Offshore, Inc. 106,150
-------------
1,865,655
-------------
PERSONAL PRODUCTS--1.1%
3,729 Bare Escentuals, Inc. (b) 87,333
2,615 Herbalife Ltd. 124,213
-------------
211,546
-------------
PHARMACEUTICALS--1.2%
1,668 Auxilium Pharmaceuticals, Inc. (b) 44,602
10,236 Warner Chilcott Ltd., Class A (b) 184,248
-------------
228,850
-------------
REAL ESTATE MANAGEMENT & DEVELOPMENT--0.9%
8,254 CB Richard Ellis Group, Inc., Class A (b) 178,617
-------------
ROAD & RAIL--0.8%
13,173 Hertz Global Holdings, Inc. (b) 158,866
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
1,271 Hittite Microwave Corp. (b) 47,561
-------------
SOFTWARE--0.8%
1,840 Blackbaud, Inc. 44,675
2,431 NetSuite, Inc. (b) 52,364
2,647 Solera Holdings, Inc. (b) 64,481
-------------
161,520
-------------
SPECIALTY RETAIL--0.6%
2,511 J. Crew Group, Inc. (b) 110,911
-------------
TEXTILES, APPAREL & LUXURY GOODS--0.9%
3,368 Crocs, Inc. (b) 58,839
3,890 Hanesbrands, Inc. (b) 113,588
-------------
172,427
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 17
FIRST TRUST IPOX-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS--0.6%
3,209 Aircastle Ltd. $ 36,101
2,143 UAP Holding Corp. 82,163
-------------
118,264
-------------
WIRELESS TELECOMMUNICATION SERVICES--2.0%
6,706 Clearwire Corp., Class A (b) 99,316
14,221 MetroPCS Communications, Inc. (b) 241,757
2,790 Syniverse Holdings, Inc. (b) 46,481
-------------
387,554
-------------
TOTAL INVESTMENTS--100.2%
(Cost $21,253,356) (c) 19,583,124
NET OTHER ASSETS AND LIABILITIES--(0.2%) (39,763)
-------------
NET ASSETS--100.0% $ 19,543,361
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
|
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $1,475,581 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was 3,145,813.
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $19,583,124
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $19,583,124
=================
|
See Notes to Quarterly Portfolio of Investments
Page 18
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.4%
AIR FREIGHT & LOGISTICS--2.1%
4,383 C.H. Robinson Worldwide, Inc. $ 238,435
5,731 Expeditors International of Washington, Inc. 258,927
-------------
497,362
-------------
AIRLINES--1.7%
7,838 Ryanair Holdings PLC, ADR (b) 221,659
8,112 UAL Corp. (b) 174,651
-------------
396,310
-------------
BEVERAGES--0.9%
5,618 Hansen Natural Corp. (b) 198,315
-------------
BIOTECHNOLOGY--8.8%
5,158 Amgen, Inc. (b) 215,501
9,078 Amylin Pharmaceuticals, Inc. (b) 265,169
4,054 Biogen Idec, Inc. (b) 250,091
4,014 Celgene Corp. (b) 246,018
3,786 Cephalon, Inc. (b) 243,818
3,102 Genzyme Corp. (b) 231,223
4,679 Gilead Sciences, Inc. (b) 241,109
14,188 Vertex Pharmaceuticals, Inc. (b) 338,952
-------------
2,031,881
-------------
CHEMICALS--1.1%
4,233 Sigma-Aldrich Corp. 252,498
-------------
COMMERCIAL SERVICES & SUPPLIES--2.9%
8,066 Cintas Corp. 230,204
9,206 Monster Worldwide, Inc. (b) 222,877
4,220 Stericycle, Inc. (b) 217,330
-------------
670,411
-------------
COMMUNICATIONS EQUIPMENT--5.0%
9,451 Cisco Systems, Inc. (b) 227,675
9,133 Juniper Networks, Inc. (b) 228,325
5,662 QUALCOMM, Inc. 232,142
2,324 Research In Motion Ltd. (b) 260,822
39,017 Tellabs, Inc. (b) 212,643
-------------
1,161,607
-------------
COMPUTERS & PERIPHERALS--6.0%
1,864 Apple Computer, Inc. (b) 267,483
11,776 Dell, Inc. (b) 234,578
9,177 Logitech International S.A. (b) 233,463
10,127 NetApp, Inc. (b) 203,046
|
See Notes to Quarterly Portfolio of Investments
Page 19
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMPUTERS & PERIPHERALS (CONTINUED)
10,643 SanDisk Corp. (b) $ 240,213
14,241 Sun Microsystems, Inc. (b) 221,163
-------------
1,399,946
-------------
CONSTRUCTION & ENGINEERING--0.9%
3,627 Foster Wheeler Ltd. (b) 205,361
-------------
DIVERSIFIED CONSUMER SERVICES--0.8%
4,259 Apollo Group, Inc., Class A (b) 183,989
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.0%
104,522 Level 3 Communications, Inc. (b) 221,587
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.9%
22,605 Flextronics International Ltd. (b) 212,261
-------------
FOOD & STAPLES RETAILING--2.0%
3,779 Costco Wholesale Corp. 245,522
6,688 Whole Foods Market, Inc. 220,503
-------------
466,025
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--3.2%
5,882 DENTSPLY International, Inc. 227,045
4,181 Hologic, Inc. (b) 232,464
861 Intuitive Surgical, Inc. (b) 279,265
-------------
738,774
-------------
HEALTH CARE PROVIDERS & SERVICES--3.1%
3,894 Express Scripts, Inc. (b) 250,462
3,970 Henry Schein, Inc. (b) 227,878
6,765 Patterson Cos., Inc. (b) 245,570
-------------
723,910
-------------
HOTELS, RESTAURANTS & LEISURE--2.1%
13,325 Starbucks Corp. (b) 233,188
2,455 Wynn Resorts Ltd. (b) 247,071
-------------
480,259
-------------
HOUSEHOLD DURABLES--1.0%
4,132 Garmin Ltd. 223,169
-------------
INTERNET & CATALOG RETAIL--4.2%
3,555 Amazon.com, Inc. (b) 253,472
10,825 Expedia, Inc. (b) 236,959
11,667 IAC/InterActiveCorp (b) 242,207
15,180 Liberty Media Corp. - Interactive, Class A (b) 245,005
-------------
977,643
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 20
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES--5.9%
6,664 Akamai Technologies, Inc. (b) $ 187,658
938 Baidu.com, Inc. ADR (b) 224,773
8,839 eBay, Inc. (b) 263,755
526 Google, Inc., Class A (b) 231,687
6,749 VeriSign, Inc. (b) 224,337
7,849 Yahoo!, Inc. (b) 227,072
-------------
1,359,282
-------------
IT SERVICES--4.0%
7,806 Cognizant Technology Solutions Corp., Class A (b) 225,047
4,560 Fiserv, Inc. (b) 219,290
6,345 Infosys Technologies Ltd., ADR 226,961
7,471 Paychex, Inc. 255,956
-------------
927,254
-------------
MACHINERY--2.0%
3,426 Joy Global, Inc. 223,238
5,405 PACCAR, Inc. 243,225
-------------
466,463
-------------
MEDIA--7.7%
11,584 Comcast Corp., Class A 224,035
10,955 Discovery Holding Co., Class A (b) 232,465
8,040 DISH Network Corp., Class A (b) 230,989
5,202 Focus Media Holding Ltd., ADR (b) 182,850
6,444 Lamar Advertising Co., Class A 231,533
6,209 Liberty Global, Inc., Class A (b) 211,603
83,465 Sirius Satellite Radio, Inc. (b) 238,710
16,357 Virgin Media, Inc. 230,143
-------------
1,782,328
-------------
METALS & MINING--1.1%
7,530 Steel Dynamics, Inc. 248,791
-------------
MULTILINE RETAIL--1.1%
2,467 Sears Holdings Corp. (b) 251,856
-------------
PHARMACEUTICALS--1.0%
4,772 Teva Pharmaceutical Industries Ltd., ADR 220,419
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--11.0%
13,028 Altera Corp. 240,106
11,342 Applied Materials, Inc. 221,282
13,028 Broadcom Corp., Class A (b) 251,050
11,353 Intel Corp. 240,457
5,454 KLA-Tencor Corp. 202,343
5,940 Lam Research Corp. (b) 227,027
7,860 Linear Technology Corp. 241,223
|
See Notes to Quarterly Portfolio of Investments
Page 21
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED)
20,828 Marvell Technology Group Ltd. (b) $ 226,609
7,259 Microchip Technology, Inc. 237,587
11,655 NVIDIA Corp. (b) 230,652
10,069 Xilinx, Inc. 239,139
-------------
2,557,475
-------------
SOFTWARE--12.0%
8,350 Activision, Inc. (b) 228,039
7,000 Adobe Systems, Inc. (b) 249,129
7,208 Autodesk, Inc. (b) 226,908
11,924 BEA Systems, Inc. (b) 228,345
21,157 Cadence Design Systems, Inc. (b) 225,957
10,845 Check Point Software Technologies Ltd. (b) 242,928
6,962 Citrix Systems, Inc. (b) 204,195
4,920 Electronic Arts, Inc. (b) 245,606
8,515 Intuit, Inc. (b) 229,990
8,176 Microsoft Corp. 232,035
11,993 Oracle Corp. (b) 234,583
13,451 Symantec Corp. (b) 223,556
-------------
2,771,271
-------------
SPECIALTY RETAIL--3.1%
8,420 Bed Bath & Beyond, Inc. (b) 248,390
11,880 PetSmart, Inc. 242,827
10,481 Staples, Inc. 231,735
-------------
722,952
-------------
TRADING COMPANIES & DISTRIBUTORS--1.1%
5,802 Fastenal Co. 266,486
-------------
WIRELESS TELECOMMUNICATION SERVICES--2.7%
5,077 Leap Wireless International, Inc. (b) 236,589
2,108 Millicom International Cellular S.A. (b) 199,311
6,163 NII Holdings, Inc. (b) 195,860
-------------
631,760
-------------
TOTAL INVESTMENTS--100.4%
(Cost $28,515,823) (c) 23,247,645
NET OTHER ASSETS AND LIABILITIES--(0.4%) (90,497)
-------------
NET ASSETS--100.0% $ 23,157,148
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
|
See Notes to Quarterly Portfolio of Investments
Page 22
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $666,727 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $5,934,905.
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $23,247,645
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $23,247,645
=================
|
See Notes to Quarterly Portfolio of Investments
Page 23
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.5%
COMMUNICATIONS EQUIPMENT--13.0%
15,589 Cisco Systems, Inc. (b) $ 375,539
15,064 Juniper Networks, Inc. (b) 376,600
9,340 QUALCOMM, Inc. 382,940
3,834 Research In Motion Ltd. (b) 430,290
64,356 Tellabs, Inc. (b) 350,740
-------------
1,916,109
-------------
COMPUTERS & PERIPHERALS--15.7%
3,074 Apple Computer, Inc. (b) 441,119
19,423 Dell, Inc. (b) 386,906
15,137 Logitech International S.A. (b) 385,085
16,704 NetApp, Inc (b) 334,915
17,554 SanDisk Corp. (b) 396,194
23,490 Sun Microsystems, Inc. (b) 364,800
-------------
2,309,019
-------------
INTERNET SOFTWARE & SERVICES--12.3%
10,993 Akamai Technologies, Inc. (b) 309,563
1,547 Baidu.com, ADR (b) 370,708
867 Google, Inc., Class A (b) 381,887
11,133 VeriSign, Inc. (b) 370,061
12,947 Yahoo!, Inc. (b) 374,557
-------------
1,806,776
-------------
IT SERVICES--5.1%
12,876 Cognizant Technology Solutions Corp., Class A (b) 371,215
10,466 Infosys Technologies Ltd., ADR 374,369
-------------
745,584
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--28.7%
21,489 Altera Corp. 396,042
18,708 Applied Materials, Inc. 364,993
21,489 Broadcom Corp., Class A (b) 414,093
18,726 Intel Corp. 396,617
8,996 KLA-Tencor Corp. 333,752
9,798 Lam Research Corp. (b) 374,480
12,964 Linear Technology Corp. 397,865
34,355 Marvell Technology Group Ltd. (b) 373,782
11,973 Microchip Technology, Inc. 391,876
19,225 NVIDIA Corp. (b) 380,463
16,608 Xilinx, Inc. 394,440
-------------
4,218,403
-------------
SOFTWARE--25.7%
11,547 Adobe Systems, Inc. (b) 410,958
11,890 Autodesk, Inc. (b) 374,297
19,667 BEA Systems, Inc. (b) 376,623
34,897 Cadence Design Systems, Inc. (b) 372,700
17,889 Check Point Software Technologies Ltd. (b) 400,714
11,483 Citrix Systems, Inc. (b) 336,796
|
See Notes to Quarterly Portfolio of Investments
Page 24
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
14,045 Intuit, Inc. (b) $ 379,355
13,485 Microsoft Corp. 382,704
19,781 Oracle Corp. (b) 386,916
22,187 Symantec Corp. (b) 368,748
-------------
3,789,811
-------------
TOTAL INVESTMENTS--100.5%
(Cost $19,255,085) (c) 14,785,702
NET OTHER ASSETS AND LIABILITIES--(0.5%) (80,796)
-------------
NET ASSETS--100.0% $ 14,704,906
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
|
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $223,161 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $4,692,544.
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
--------------------------------------------------------------------------
Level 1 - Quoted Prices $14,785,702
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
------------------
Total $14,785,702
==================
|
See Notes to Quarterly Portfolio of Investments
Page 25
FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--98.8%
BIOTECHNOLOGY--79.4%
41,022 Amgen, Inc. (b) $ 1,713,899
58,037 Amylin Pharmaceuticals, Inc. (b) 1,695,261
120,459 Applera Corp. - Celera Group (b) 1,770,747
32,480 Biogen Idec, Inc. (b) 2,003,691
35,579 Celgene Corp. (b) 2,180,637
27,770 Cephalon, Inc. (b) 1,788,388
28,309 Genentech, Inc. (b) 2,298,125
23,769 Genzyme Corp. (b) 1,771,741
42,166 Gilead Sciences, Inc. (b) 2,172,814
186,092 Human Genome Sciences, Inc. (b) 1,096,082
46,012 ImClone Systems, Inc. (b) 1,951,829
107,547 InterMune, Inc. (b) 1,568,035
122,548 Millennium Pharmaceuticals, Inc. (b) 1,894,592
47,208 OSI Pharmaceuticals, Inc. (b) 1,765,107
125,842 PDL BioPharma, Inc. (b) 1,332,667
85,353 Vertex Pharmaceuticals, Inc. (b) 2,039,083
-------------
29,042,698
-------------
LIFE SCIENCES TOOLS & SERVICES--19.4%
90,605 Affymetrix, Inc. (b) 1,577,433
20,582 Invitrogen Corp. (b) 1,759,144
29,120 Millipore Corp. (b) 1,962,979
257,550 Nektar Therapeutics (b) 1,787,397
-------------
7,086,953
-------------
TOTAL INVESTMENTS--98.8%
(Cost $44,136,063) (c) 36,129,651
NET OTHER ASSETS AND LIABILITIES-- 1.2% 423,474
-------------
NET ASSETS--100.0% $ 36,553,125
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
|
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $826,010 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $8,832,422.
See Notes to Quarterly Portfolio of Investments.
Page 26
FIRST TRUST AMEX(R) BIOTECHNOLOGY INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $36,129,651
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $36,129,651
=================
|
See Notes to Quarterly Portfolio of Investments.
Page 27
FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--97.7%
CAPITAL MARKETS--5.4%
81,731 E*TRADE Financial Corp. (b) $ 315,482
47,266 TD Ameritrade Holding Corp. (b) 780,361
-------------
1,095,843
-------------
COMMERCIAL SERVICES & SUPPLIES--2.7%
21,981 Monster Worldwide, Inc. (b) 532,160
-------------
HEALTH CARE TECHNOLOGY--2.3%
11,111 Allscripts Healthcare Solutions, Inc. (b) 114,666
35,501 HLTH Corp. (b) 338,679
-------------
453,345
-------------
INTERNET & CATALOG RETAIL--18.3%
28,526 Amazon.com, Inc. (b) 2,033,904
37,752 IAC/InterActiveCorp. (b) 783,732
2,557 Overstock.com, Inc. (b) 30,454
6,707 Priceline.com, Inc. (b) 810,608
-------------
3,658,698
-------------
INTERNET SOFTWARE & SERVICES--53.5%
32,516 Akamai Technologies, Inc. (b) 915,651
16,612 Ariba, Inc. (b) 160,472
24,992 Art Technology Group, Inc. (b) 96,969
8,494 Autobytel, Inc. (b) 18,347
9,519 CMGI, Inc. (b) 126,222
27,576 CNET Networks, Inc. (b) 195,790
7,729 DealerTrack Holdings, Inc. (b) 156,280
7,855 Digital River, Inc. (b) 243,269
21,633 EarthLink, Inc. (b) 163,329
73,645 eBay, Inc. (b) 2,197,566
4,520 Google, Inc., Class A (b) 1,990,924
6,458 InfoSpace, Inc. 74,719
9,573 Internap Network Services Corp. (b) 47,482
8,867 Interwoven, Inc. (b) 94,700
9,734 j2 Global Communications, Inc. (b) 217,263
4,408 Jupitermedia Corp. (b) 9,213
18,865 RealNetworks, Inc. (b) 108,096
12,153 SonicWALL, Inc. (b) 99,290
13,244 United Online, Inc. 139,857
19,527 ValueClick, Inc. (b) 336,841
29,259 VeriSign, Inc. (b) 972,569
5,050 Vignette Corp. (b) 66,711
8,770 Websense, Inc. (b) 164,438
73,417 Yahoo!, Inc. (b) 2,123,954
-------------
10,719,952
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 28
FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
IT SERVICES--1.5%
13,254 CyberSource Corp. (b) $ 193,641
15,916 Sapient Corp. (b) 110,775
-------------
304,416
-------------
SOFTWARE--14.0%
70,684 BEA Systems, Inc. (b) 1,353,599
34,421 Check Point Software Technologies Ltd. (b) 771,030
8,621 Concur Technologies, Inc. (b) 267,682
10,786 Quest Software, Inc. (b) 140,973
37,292 TIBCO Software, Inc. (b) 266,265
-------------
2,799,549
-------------
TOTAL COMMON STOCKS--97.7%
(Cost $25,202,697) 19,563,963
MONEY MARKET FUNDS--0.3%
65,949 J.P. Morgan Institutional Treasury Money
Market Fund -- 0.84% (c)
(Cost $65,949) 65,949
-------------
TOTAL INVESTMENTS--98.0%
(Cost $25,268,646) (d) 19,629,912
NET OTHER ASSETS AND LIABILITIES--2.0% 394,977
-------------
NET ASSETS--100.0% $ 20,024,889
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at March 31, 2008.
|
(d) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $611,121 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $6,249,855.
See Notes to Quarterly Portfolio of Investments
Page 29
FIRST TRUST DOW JONES INTERNET INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $19,563,963
Level 2 - Other Significant Observable Inputs 65,949
Level 3 - Significant Unobservable Inputs -
-----------------
Total $19,629,912
=================
|
See Notes to Quarterly Portfolio of Investments
Page 30
FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.0%
BIOTECHNOLOGY--5.1%
41,020 Amgen, Inc. (b) $ 1,713,816
32,043 Biogen Idec, Inc. (b) 1,976,733
-------------
3,690,549
-------------
CHEMICALS--2.5%
48,992 Dow Chemical (The) Co. 1,805,355
-------------
COMPUTERS & PERIPHERALS--5.2%
93,396 Dell, Inc. (b) 1,860,448
16,127 International Business Machines Corp. 1,856,863
-------------
3,717,311
-------------
ENERGY EQUIPMENT & SERVICES--7.5%
26,017 Baker Hughes, Inc. 1,782,165
46,964 Halliburton Co. 1,847,094
36,251 Noble Corp. 1,800,587
-------------
5,429,846
-------------
HOTELS, RESTAURANTS & LEISURE--5.2%
47,086 Carnival Corp. 1,906,041
103,108 Starbucks Corp. (b) 1,804,390
-------------
3,710,431
-------------
MACHINERY--7.6%
22,437 Eaton Corp. 1,787,556
37,964 Illinois Tool Works, Inc. 1,831,004
41,939 PACCAR, Inc. 1,887,255
-------------
5,505,815
-------------
MEDIA--4.9%
82,113 CBS Corp., Class B 1,813,055
121,548 Time Warner, Inc. 1,704,103
-------------
3,517,158
-------------
METALS & MINING--2.5%
26,493 Nucor Corp. 1,794,636
-------------
MULTILINE RETAIL--2.5%
42,570 Kohl's Corp. (b) 1,825,827
-------------
OFFICE ELECTRONICS--2.7%
128,156 Xerox Corp. 1,918,495
-------------
OIL, GAS & CONSUMABLE FUELS--14.6%
15,674 Apache Corp. 1,893,733
20,669 Chevron Corp. 1,764,306
22,643 ConocoPhillips 1,725,623
21,472 Exxon Mobil Corp. 1,816,102
|
See Notes to Quarterly Portfolio of Investments
Page 31
FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS (CONTINUED)
34,933 Marathon Oil Corp. $ 1,592,945
24,050 Occidental Petroleum Corp. 1,759,739
-------------
10,552,448
-------------
PHARMACEUTICALS--19.3%
83,357 Bristol-Myers Squibb Co. 1,775,504
36,527 Eli Lilly & Co. 1,884,428
46,235 Forest Laboratories, Inc. (b) 1,849,862
28,974 Johnson & Johnson 1,879,543
42,808 Merck & Co., Inc. 1,624,564
84,054 Pfizer, Inc. 1,759,250
90,598 Schering-Plough Corp. 1,305,517
43,676 Wyeth 1,823,910
-------------
13,902,578
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--10.1%
90,148 Applied Materials, Inc. 1,758,787
91,100 Intel Corp. 1,929,498
91,465 NVIDIA Corp. (b) 1,810,092
62,148 Texas Instruments, Inc. 1,756,924
-------------
7,255,301
-------------
SPECIALTY RETAIL--7.8%
44,433 Best Buy Co., Inc. 1,842,192
70,478 Home Depot (The), Inc. 1,971,270
80,192 Lowe's Cos., Inc. 1,839,604
-------------
5,653,066
-------------
WIRELESS TELECOMMUNICATION SERVICES--2.5%
266,868 Sprint Nextel Corp. 1,785,347
-------------
TOTAL INVESTMENTS--100.0%
(Cost $78,818,660) (c) 72,064,163
NET OTHER ASSETS AND LIABILITIES--(0.0%) (4,675)
-------------
NET ASSETS--100.0% $ 72,059,488
=============
|
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $1,167,363 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $7,921,860.
See Notes to Quarterly Portfolio of Investments
Page 32
FIRST TRUST DB STRATEGIC VALUE INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $72,064,163
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $72,064,163
=================
|
See Notes to Quarterly Portfolio of Investments
Page 33
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.5%
AEROSPACE & DEFENSE--2.7%
2,965 GenCorp, Inc. (b) $ 30,510
1,576 Northrop Grumman Corp. 122,629
1,901 Raytheon Co. 122,823
-------------
275,962
-------------
AIR FREIGHT & LOGISTICS--1.3%
1,766 United Parcel Service, Inc., Class B 128,953
-------------
AIRLINES--0.2%
1,209 Alaska Air Group, Inc. (b) 23,721
-------------
AUTOMOBILES--1.1%
1,147 Toyota Motor Corp., ADR 115,721
-------------
BIOTECHNOLOGY--1.5%
2,171 Applera Corp. - Celera Group (b) 31,914
2,774 Incyte Corp. (b) 29,155
1,045 Martek Biosciences Corp. (b) 31,946
3,607 Millennium Pharmaceuticals, Inc. (b) 55,763
-------------
148,778
-------------
CAPITAL MARKETS--1.6%
2,699 Bank of New York Mellon (The) Corp. 112,629
1,200 Federated Investors, Inc., Class B 46,992
-------------
159,621
-------------
CHEMICALS--2.9%
2,743 E.I. du Pont de Nemours & Co. 128,263
2,868 Hercules, Inc. 52,456
566 NewMarket Corp. 42,705
1,644 Olin Corp. 32,485
637 OM Group, Inc. (b) 34,742
-------------
290,651
-------------
COMMERCIAL BANKS--1.8%
2,920 First Commonwealth Financial Corp. 33,843
934 Hancock Holding Co. 39,247
1,552 Pacific Capital Bancorp 33,368
1,262 Whitney Holding Corp. 31,285
960 Zions Bancorporation 43,727
-------------
181,470
-------------
COMMERCIAL SERVICES & SUPPLIES--3.0%
802 Brink's (The) Co. 53,878
1,292 Copart, Inc. (b) 50,078
1,130 Herman Miller, Inc. 27,764
1,073 HNI Corp. 28,853
508 Huron Consulting Group, Inc. (b) 21,107
|
See Notes to Quarterly Portfolio of Investments
Page 34
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES (CONTINUED)
3,379 Pitney Bowes, Inc. $ 118,333
-------------
300,013
-------------
COMMUNICATIONS EQUIPMENT--3.7%
771 Comtech Telecommunications Corp. (b) 30,069
5,297 Corning, Inc. 127,340
4,175 JDS Uniphase Corp. (b) 55,903
2,973 QUALCOMM, Inc. 121,893
9,747 Sycamore Networks, Inc. (b) 35,674
-------------
370,879
-------------
COMPUTERS & PERIPHERALS--0.5%
1,768 Western Digital Corp. (b) 47,807
-------------
CONSTRUCTION MATERIALS--0.5%
711 Vulcan Materials Co. 47,210
-------------
DIVERSIFIED CONSUMER SERVICES--0.3%
701 Matthews International Corp., Class A 33,823
-------------
DIVERSIFIED FINANCIAL SERVICES--1.1%
2,956 Bank of America Corp. 112,062
-------------
ELECTRIC UTILITIES--2.9%
1,303 Cleco Corp. 28,901
6,777 Duke Energy Corp. 120,969
1,375 Portland General Electric Co. 31,006
2,808 Progress Energy, Inc. 117,094
-------------
297,970
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.7%
5,309 Celestica, Inc. (b) 35,676
11,178 Flextronics International Ltd. (b) 104,962
992 Tech Data Corp. (b) 32,538
-------------
173,176
-------------
ENERGY EQUIPMENT & SERVICES--3.3%
1,150 Diamond Offshore Drilling, Inc. 133,860
3,694 Halliburton Co. 145,285
1,206 Helmerich & Payne, Inc. 56,525
-------------
335,670
-------------
FOOD & STAPLES RETAILING--3.1%
1,293 Casey's General Stores, Inc. 29,222
975 Ruddick Corp. 35,939
3,973 Safeway, Inc. 116,608
|
See Notes to Quarterly Portfolio of Investments
Page 35
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING (CONTINUED)
2,556 Wal-Mart Stores, Inc. $ 134,649
-------------
316,418
-------------
FOOD PRODUCTS--3.8%
3,010 Archer-Daniels-Midland Co. 123,891
1,140 Bunge Ltd. 99,043
2,046 Flowers Foods, Inc. 50,639
943 Lancaster Colony Corp. 37,682
600 Ralcorp Holdings, Inc. (b) 34,890
1,488 TreeHouse Foods, Inc. (b) 34,016
-------------
380,161
-------------
GAS UTILITIES--1.9%
1,812 Atmos Energy Corp. 46,206
804 Energen Corp. 50,090
700 Northwest Natural Gas Co. 30,408
1,331 Piedmont Natural Gas Co. 34,952
1,166 Southwest Gas Corp. 32,601
-------------
194,257
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--2.0%
1,386 Becton Dickinson & Co. 118,988
581 Haemonetics Corp. (b) 34,616
991 Kinetic Concepts, Inc. (b) 45,814
-------------
199,418
-------------
HEALTH CARE PROVIDERS & SERVICES--1.4%
745 Amedisys, Inc. (b) 29,308
1,575 Laboratory Corp. of America Holdings (b) 116,046
-------------
145,354
-------------
HEALTH CARE TECHNOLOGY--0.4%
4,703 HLTH Corp. (b) 44,867
-------------
HOTELS, RESTAURANTS & LEISURE--0.4%
968 Panera Bread Co., Class A (b) 40,550
-------------
HOUSEHOLD DURABLES--3.4%
2,805 Leggett & Platt, Inc. 42,776
6,006 Matsushita Electric Industrial Co., Ltd., ADR 130,391
1,018 Snap-On, Inc. 51,765
2,899 Sony Corp., ADR 116,163
-------------
341,095
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 36
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
INDUSTRIAL CONGLOMERATES--1.2%
1,587 3M Co. $ 125,611
-------------
INSURANCE--12.8%
140 Alleghany Corp. (b) 47,810
1,824 American Financial Group, Inc. 46,621
1,541 Assured Guaranty Ltd. 36,583
2,400 Chubb (The) Corp. 118,752
3,867 CNA Financial Corp. 99,730
503 Everest Re Group Ltd. 45,034
5,414 Genworth Financial, Inc., Class A 122,574
1,115 Hanover Insurance Group, Inc. 45,871
2,786 Loews Corp. 112,053
1,165 MaxCapital Group Ltd. 30,511
1,016 Mercury General Corp. 45,019
3,288 Old Republic International Corp. 42,448
621 PartnerRe Ltd. 47,382
905 Reinsurance Group of America, Inc. 49,268
620 RLI Corp. 30,733
741 Transatlantic Holdings, Inc. 49,165
2,677 Travelers (The) Cos., Inc. 128,095
5,493 Unum Group 120,901
1,665 W.R. Berkley Corp. 46,104
1,168 XL Capital Ltd., Class A 34,514
-------------
1,299,168
-------------
INTERNET & CATALOG RETAIL--1.0%
1,236 NetFlix, Inc. (b) 42,827
490 Priceline.com, Inc. (b) 59,222
-------------
102,049
-------------
INTERNET SOFTWARE & SERVICES--0.3%
2,430 Interwoven, Inc. (b) 25,952
-------------
IT SERVICES--0.6%
762 ManTech International Corp., Class A (b) 34,565
2,543 MPS Group, Inc. (b) 30,058
-------------
64,623
-------------
LIFE SCIENCES TOOLS & SERVICES--0.8%
1,157 Parexel International Corp. (b) 30,198
749 Techne Corp. (b) 50,452
-------------
80,650
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 37
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
MACHINERY--0.8%
1,202 Donaldson Co., Inc. $ 48,416
690 Nordson Corp. 37,157
-------------
85,573
-------------
MARINE--0.6%
1,039 Kirby Corp. (b) 59,223
-------------
MEDIA--0.3%
958 Scholastic Corp. (b) 28,999
-------------
METALS & MINING--5.5%
1,894 BHP Billiton Ltd. PLC, ADR 124,720
461 Cleveland-Cliffs, Inc. 55,237
779 Compass Minerals International, Inc. 45,945
1,071 Fording Canadian Coal Trust 55,906
2,077 Nucor Corp. 140,697
1,305 Southern Copper Corp. 135,498
-------------
558,003
-------------
MULTI-UTILITIES--2.3%
1,351 Alliant Energy Corp. 47,299
1,453 Avista Corp. 28,421
2,913 Consolidated Edison, Inc. 115,646
2,685 NiSource, Inc. 46,289
-------------
237,655
-------------
OIL, GAS & CONSUMABLE FUELS--2.3%
1,394 Alpha Natural Resources, Inc. (b) 60,555
1,525 Exxon Mobil Corp. 128,984
1,229 Massey Energy Co. 44,859
-------------
234,398
-------------
PAPER & FOREST PRODUCTS--1.1%
3,914 International Paper Co. 106,461
-------------
PERSONAL PRODUCTS--3.0%
1,837 Alberto-Culver Co. 50,352
413 Chattem, Inc. (b) 27,398
2,862 Estee Lauder (The) Cos., Inc., Class A 131,223
1,228 Herbalife Ltd. 58,330
2,035 Nu Skin Enterprises, Inc., Class A 36,671
-------------
303,974
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 38
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS--3.8%
2,956 GlaxoSmithKline PLC, ADR $ 125,423
2,012 Novo-Nordisk A/S, ADR 139,311
2,672 Teva Pharmaceutical Industries Ltd., ADR 123,420
-------------
388,154
-------------
REAL ESTATE INVESTMENT TRUST--0.9%
6,083 Annaly Capital Management, Inc. 93,192
-------------
ROAD & RAIL--1.8%
1,314 Kansas City Southern (b) 52,705
994 Union Pacific Corp. 124,627
-------------
177,332
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.7%
1,813 Linear Technology Corp. 55,641
4,211 Texas Instruments, Inc. 119,045
-------------
174,686
-------------
SOFTWARE--0.3%
677 Advent Software, Inc. (b) 28,854
-------------
SPECIALTY RETAIL--7.2%
638 Abercrombie & Fitch Co., Class A 46,663
1,874 Aeropostale, Inc. (b) 50,804
4,171 Bed Bath & Beyond, Inc. (b) 123,045
2,669 Best Buy Co., Inc. 110,657
1,528 Dick's Sporting Goods, Inc. (b) 40,920
6,301 Gap (The), Inc. 124,003
907 Sherwin-Williams (The) Co. 46,293
4,108 TJX (The) Cos., Inc. 135,851
1,645 Urban Outfitters, Inc. (b) 51,571
-------------
729,807
-------------
TEXTILES, APPAREL & LUXURY GOODS--0.4%
1,407 Fossil, Inc. (b) 42,970
-------------
THRIFTS & MORTGAGE FINANCE--1.0%
2,880 New York Community Bancorp, Inc. 52,473
2,919 People's United Financial, Inc. 50,528
-------------
103,001
-------------
TOBACCO--2.9%
1,705 Altria Group, Inc. 37,851
1,729 British American Tobacco PLC, ADR 130,972
1,705 Philip Morris International, Inc. (c) 86,239
|
See Notes to Quarterly Portfolio of Investments
Page 39
FIRST TRUST VALUE LINE(R) EQUITY ALLOCATION INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
TOBACCO (CONTINUED)
657 Universal Corp. $ 43,053
-------------
298,115
-------------
TRADING COMPANIES & DISTRIBUTORS--0.3%
1,168 Applied Industrial Technologies, Inc. 34,912
-------------
WIRELESS TELECOMMUNICATION SERVICES--1.1%
3,687 Vodafone Group PLC, ADR 108,803
-------------
TOTAL INVESTMENTS--100.5%
(Cost $10,409,381) (d) 10,197,772
NET OTHER ASSETS AND LIABILITIES--(0.5%) (53,902)
-------------
NET ASSETS--100.0% $ 10,143,870
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) This security spun-off from Altria Group, Inc. on March 28,
2008. As of March 31, 2008, this security had not paid a
distribution to the Fund.
|
(d) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $439,952 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $651,561.
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $10,197,772
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $10,197,772
=================
|
See Notes to Quarterly Portfolio of Investments
Page 40
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.1%
AIR FREIGHT & LOGISTICS--0.6%
11,733 United Parcel Service, Inc., Class B $ 856,744
-------------
AUTO COMPONENTS--0.6%
16,911 Autoliv, Inc. 848,932
-------------
AUTOMOBILES--0.6%
28,982 Honda Motor Co., Ltd., ADR 834,971
-------------
BEVERAGES--1.1%
18,256 Anheuser-Busch Cos., Inc. 866,247
14,069 Coca-Cola (The) Co. 856,380
-------------
1,722,627
-------------
BUILDING PRODUCTS--0.5%
41,988 Masco Corp. 832,622
-------------
CHEMICALS--2.8%
17,929 Ashland, Inc. 848,042
22,856 Dow Chemical (The) Co. 842,244
18,447 E.I. du Pont de Nemours & Co. 862,582
19,994 International Flavors & Fragrances, Inc. 880,735
14,216 PPG Industries, Inc. 860,210
-------------
4,293,813
-------------
COMMERCIAL BANKS--13.2%
30,940 Associated Banc-Corp. 823,932
16,821 Bank of Hawaii Corp. 833,649
18,790 Bank of Montreal 841,980
19,252 Bank of Nova Scotia 870,382
24,405 BB&T Corp. 782,424
15,899 City National Corp. 786,365
21,813 Comerica, Inc. 765,200
19,554 Commerce Bancshares, Inc. 821,855
15,642 Cullen/Frost Bankers, Inc. 829,652
36,303 Fifth Third Bancorp. 759,459
28,530 First Midwest Bancorp, Inc. 792,278
9,991 M&T Bank Corp. 804,076
34,320 Marshall & Ilsley Corp. 796,224
45,470 Old National Bancorp 818,460
12,509 PNC Financial Services Group, Inc. 820,215
38,878 Regions Financial Corp. 767,841
18,372 Royal Bank of Canada 854,298
14,101 SunTrust Banks, Inc. 777,529
67,089 Synovus Financial Corp. 742,004
13,702 Toronto-Dominion Bank (The) 840,618
24,827 U.S. Bancorp 803,402
26,823 Wells Fargo & Co. 780,549
32,828 Whitney Holding Corp. 813,806
26,798 Wilmington Trust Corp. 833,418
16,766 Zions Bancorporation 763,691
-------------
20,123,307
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 41
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES--3.9%
17,591 Avery Dennison Corp. $ 866,357
21,138 Corporate Executive Board (The) Co. 855,666
29,960 HNI Corp. 805,624
23,870 Pitney Bowes, Inc. 835,927
29,458 R.R. Donnelley & Sons Co. 892,872
29,228 Republic Services, Inc. 854,627
25,496 Waste Management, Inc. 855,646
-------------
5,966,719
-------------
COMPUTERS & PERIPHERALS--0.6%
23,264 Diebold, Inc. 873,563
-------------
CONSTRUCTION MATERIALS--0.5%
12,221 Vulcan Materials Co. 811,474
-------------
CONTAINERS & PACKAGING--1.1%
34,116 Bemis Co., Inc. 867,570
30,588 Sonoco Products Co. 875,734
-------------
1,743,304
-------------
DISTRIBUTORS--0.6%
20,912 Genuine Parts Co. 841,081
-------------
DIVERSIFIED FINANCIAL SERVICES--1.0%
20,277 Bank of America Corp. 768,701
18,491 JPMorgan Chase & Co. 794,189
-------------
1,562,890
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--2.2%
22,634 AT&T, Inc. 866,882
56,406 Telecom Corp. of New Zealand Ltd., ADR 838,757
10,072 Telefonica SA, ADR 871,329
23,282 Verizon Communications, Inc. 848,629
-------------
3,425,597
-------------
ELECTRIC UTILITIES--8.5%
22,622 ALLETE, Inc. 873,662
47,793 Duke Energy Corp. 853,105
8,226 Entergy Corp. 897,292
10,769 Exelon Corp. 875,197
12,491 FirstEnergy Corp. 857,132
13,792 FPL Group, Inc. 865,310
35,349 Great Plains Energy, Inc. 871,353
36,706 Hawaiian Electric Industries, Inc. 876,172
25,153 Otter Tail Corp. 890,165
24,057 Pinnacle West Capital Corp. 843,920
37,620 Portland General Electric Co. 848,331
18,663 PPL Corp. 857,005
20,592 Progress Energy, Inc. 858,686
|
See Notes to Quarterly Portfolio of Investments
Page 42
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
24,063 Southern Co. $ 856,883
37,375 Westar Energy, Inc. 851,029
-------------
12,975,242
-------------
ELECTRICAL EQUIPMENT--1.7%
21,885 Cooper Industries Ltd., Class A 878,683
16,964 Emerson Electric Co. 872,967
20,036 Hubbell, Inc., Class B 875,373
-------------
2,627,023
-------------
FOOD & STAPLES RETAILING--0.6%
29,001 Sysco Corp. 841,609
-------------
FOOD PRODUCTS--7.4%
18,901 Cadbury Schweppes PLC, ADR (b) 835,802
25,756 Campbell Soup Co. 874,416
39,358 ConAgra Foods, Inc. 942,625
14,435 General Mills, Inc. 864,368
18,993 H.J. Heinz Co. 892,101
22,415 Hershey (The) Co. 844,373
16,877 J.M. Smucker (The) Co. 854,145
16,730 Kellogg Co. 879,329
27,928 Kraft Foods, Inc., Class A 866,047
21,476 Lancaster Colony Corp. 858,181
23,732 McCormick & Co., Inc. 877,372
65,110 Sara Lee Corp. 910,238
25,549 Unilever PLC, ADR 861,512
-------------
11,360,509
-------------
GAS UTILITIES--5.1%
25,176 AGL Resources, Inc. 864,040
34,279 Atmos Energy Corp. 874,115
18,591 National Fuel Gas Co. 877,681
27,847 New Jersey Resources Corp. 864,649
20,368 Northwest Natural Gas Co. 884,785
33,272 Piedmont Natural Gas Co. 873,723
24,763 South Jersey Industries, Inc. 869,429
34,806 UGI Corp. 867,366
26,983 WGL Holdings, Inc. 865,075
-------------
7,840,863
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.6%
17,574 Hillenbrand Industries, Inc. (b) 840,037
-------------
HOTELS, RESTAURANTS & LEISURE--0.6%
15,453 McDonald's Corp. 861,814
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 43
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES--1.7%
12,788 Fortune Brands, Inc. $ 888,766
53,898 Leggett & Platt, Inc. 821,945
17,246 Snap-On, Inc. 876,959
-------------
2,587,670
-------------
HOUSEHOLD PRODUCTS--1.1%
15,178 Clorox (The) Co. 859,682
13,251 Kimberly-Clark Corp. 855,352
-------------
1,715,034
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.6%
10,125 Constellation Energy Group, Inc. 893,734
-------------
INDUSTRIAL CONGLOMERATES--1.7%
10,945 3M Co. 866,296
23,003 General Electric Co. 851,341
17,184 Teleflex, Inc. 819,849
-------------
2,537,486
-------------
INSURANCE--7.9%
17,929 Allstate (The) Corp. 861,668
36,000 Arthur J. Gallagher & Co. 850,320
17,164 Chubb (The) Corp. 849,275
22,071 Cincinnati Financial Corp. 839,581
32,506 CNA Financial Corp. 838,330
16,815 Erie Indemnity Co., Class A 860,760
11,345 Hartford Financial Services Group (The), Inc. 859,611
16,277 Lincoln National Corp. 846,404
23,390 Manulife Financial Corp. 888,351
19,751 Mercury General Corp. 875,167
18,408 Nationwide Financial Services, Class A 870,330
63,431 Old Republic International Corp. 818,894
21,524 Protective Life Corp. 873,013
18,049 Travelers (The) Cos., Inc. 863,645
-------------
11,995,349
-------------
IT SERVICES--1.1%
20,607 Automatic Data Processing, Inc. 873,531
25,294 Paychex, Inc. 866,572
-------------
1,740,103
-------------
MACHINERY--1.1%
10,487 Eaton Corp. 835,499
17,417 Illinois Tool Works, Inc. 840,022
-------------
1,675,521
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 44
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
MEDIA--2.6%
27,102 Gannett Co., Inc. $ 787,313
22,202 McGraw-Hill (The) Cos., Inc. 820,364
21,279 Meredith Corp. 813,922
42,318 New York Times (The) Co., Class A 798,964
23,447 Thomson (The) Corp. 786,178
-------------
4,006,741
-------------
MULTI-UTILITIES--8.5%
24,756 Alliant Energy Corp. 866,708
19,860 Ameren Corp. 874,634
21,243 Consolidated Edison, Inc. 843,347
21,154 Dominion Resources, Inc. 863,929
34,947 Energy East Corp. 842,922
18,914 Integrys Energy Group, Inc. 882,149
34,403 MDU Resources Group, Inc. 844,594
28,836 NSTAR 877,479
28,194 OGE Energy Corp. 878,807
23,251 PG&E Corp. 856,102
23,531 SCANA Corp. 860,764
17,130 Sempra Energy 912,686
32,691 Vectren Corp. 877,100
20,064 Wisconsin Energy Corp. 882,615
42,781 Xcel Energy, Inc. 853,481
-------------
13,017,317
-------------
OIL, GAS & CONSUMABLE FUELS--3.4%
14,187 BP PLC, ADR 860,442
10,246 Chevron Corp. 874,599
11,390 ConocoPhillips 868,032
12,924 Royal Dutch Shell PLC, ADR 891,497
11,943 Total SA, ADR 883,901
22,880 TransCanada Corp. 881,566
-------------
5,260,037
-------------
PAPER & FOREST PRODUCTS--0.6%
31,915 International Paper Co. 868,088
-------------
PHARMACEUTICALS--5.1%
15,529 Abbott Laboratories 856,424
40,468 Bristol-Myers Squibb Co. 861,968
17,181 Eli Lilly & Co. 886,368
20,426 GlaxoSmithKline PLC, ADR 866,675
13,265 Johnson & Johnson 860,501
17,566 Novartis AG, ADR 899,906
41,764 Pfizer, Inc. 874,121
23,563 Sanofi-Aventis, ADR 884,555
20,421 Wyeth 852,781
-------------
7,843,299
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 45
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS--5.5%
17,862 BRE Properties, Inc. $ 813,793
10,644 Federal Realty Investment Trust 829,700
25,997 HCP, Inc. 878,958
21,824 Kimco Realty Corp. 854,846
20,441 Plum Creek Timber Co., Inc. 831,949
9,108 Public Storage 807,151
9,272 Simon Property Group, Inc. 861,461
33,401 United Dominion Realty Trust, Inc. 818,993
25,036 Washington Real Estate Investment Trust 836,703
24,713 Weingarten Realty Investors 851,116
-------------
8,384,670
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
38,755 Intel Corp. 820,831
-------------
SPECIALTY RETAIL--1.1%
29,417 Home Depot (The), Inc. 822,793
16,281 Sherwin-Williams (The) Co. 830,983
-------------
1,653,776
-------------
TEXTILES, APPAREL & LUXURY GOODS--0.6%
10,878 VF Corp. 843,154
-------------
THRIFTS & MORTGAGE FINANCE--2.1%
30,985 Astoria Financial Corp. 841,553
23,095 Capitol Federal Financial 865,600
28,120 Freddie Mac 711,998
35,820 Washington Federal, Inc. 818,129
-------------
3,237,280
-------------
TOBACCO--1.1%
12,008 Altria Group, Inc. 266,578
12,008 Philip Morris International, Inc. (c) 607,365
13,056 Universal Corp. 855,559
-------------
1,729,502
-------------
TOTAL INVESTMENTS--100.1%
(Cost $167,898,318) (d) 152,894,333
NET OTHER ASSETS AND LIABILITIES--(0.1%) (93,200)
-------------
NET ASSETS--100.0% $ 152,801,133
=============
|
See Notes to Quarterly Portfolio of Investments
Page 46
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) This security spun-off from Altria Group, Inc. on March 28,
2008. As of March 31, 2008, this security had not paid a
distribution to the Fund.
(d) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $4,814,421 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $19,818,406.
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
--------------------------------------------------------------------------
Level 1 - Quoted Prices $152,894,333
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
------------------
Total $152,894,333
==================
|
See Notes to Quarterly Portfolio of Investments
Page 47
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (B)--99.2%
AIR FREIGHT & LOGISTICS--3.5%
572 C.H. Robinson Worldwide, Inc. $ 31,117
748 Expeditors International of Washington, Inc. 33,794
-------------
64,911
-------------
AIRLINES--2.8%
1,023 Ryanair Holdings PLC, ADR (c) 28,931
1,059 UAL Corp. 22,800
-------------
51,731
-------------
BEVERAGES--1.4%
733 Hansen Natural Corp. (c) 25,875
-------------
BIOTECHNOLOGY--14.1%
673 Amgen, Inc. (c) 28,118
1,185 Amylin Pharmaceuticals, Inc. (c) 34,613
529 Biogen Idec, Inc. (c) 32,634
524 Celgene Corp. (c) 32,116
494 Cephalon, Inc. (c) 31,814
405 Genzyme Corp. (c) 30,189
611 Gilead Sciences, Inc. (c) 31,485
1,851 Vertex Pharmaceuticals, Inc. (c) 44,219
-------------
265,188
-------------
CHEMICALS--1.8%
552 Sigma-Aldrich Corp. 32,927
-------------
COMMERCIAL SERVICES & SUPPLIES--4.7%
1,053 Cintas Corp. 30,052
1,201 Monster Worldwide, Inc. (c) 29,076
551 Stericycle, Inc. (c) 28,377
-------------
87,505
-------------
CONSTRUCTION & ENGINEERING--1.4%
473 Foster Wheeler Ltd. (c) 26,781
-------------
DIVERSIFIED CONSUMER SERVICES--1.3%
556 Apollo Group, Inc., Class A (c) 24,019
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.5%
13,639 Level 3 Communications, Inc. (c) 28,915
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.5%
2,950 Flextronics International Ltd. (c) 27,701
-------------
FOOD & STAPLES RETAILING--3.2%
493 Costco Wholesale Corp. 32,030
873 Whole Foods Market, Inc. 28,783
-------------
60,813
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--5.1%
768 DENTSPLY International, Inc. 29,645
546 Hologic, Inc. (c) 30,358
|
See Notes to Quarterly Portfolio of Investments
Page 48
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED)
112 Intuitive Surgical, Inc. (c) $ 36,327
-------------
96,330
-------------
HEALTH CARE PROVIDERS & SERVICES--5.0%
508 Express Scripts, Inc. (c) 32,675
518 Henry Schein, Inc. (c) 29,733
883 Patterson Cos., Inc. (c) 32,053
-------------
94,461
-------------
HOTELS, RESTAURANTS & LEISURE--3.3%
1,739 Starbucks Corp. (c) 30,433
320 Wynn Resorts Ltd. (c) 32,204
-------------
62,637
-------------
HOUSEHOLD DURABLES--1.5%
539 Garmin Ltd. 29,111
-------------
INTERNET & CATALOG RETAIL--6.8%
464 Amazon.com, Inc. (c) 33,083
1,413 Expedia, Inc. (c) 30,931
1,522 IAC/InterActiveCorp. (c) 31,597
1,981 Liberty Media Corp. - Interactive, Class A (c) 31,973
-------------
127,584
-------------
INTERNET SOFTWARE & SERVICES--1.8%
1,153 eBay, Inc. (c) 34,406
-------------
IT SERVICES--3.3%
595 Fiserv, Inc. (c) 28,614
975 Paychex, Inc. 33,403
-------------
62,017
-------------
MACHINERY--3.2%
447 Joy Global, Inc. 29,127
705 PACCAR, Inc. 31,725
-------------
60,852
-------------
MEDIA--12.4%
1,512 Comcast Corp., Class A 29,242
1,429 Discovery Holding Co., Class A (c) 30,323
1,049 DISH Network Corp., Class A (c) 30,138
679 Focus Media Holding Ltd., ADR (c) 23,867
841 Lamar Advertising Co., Class A 30,217
810 Liberty Global, Inc., Class A (c) 27,605
10,891 Sirius Satellite Radio, Inc. (c) 31,149
2,134 Virgin Media, Inc. 30,025
-------------
232,566
-------------
METALS & MINING--1.7%
982 Steel Dynamics, Inc. 32,445
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 49
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL--1.8%
322 Sears Holdings Corp. (c) $ 32,873
-------------
PHARMACEUTICALS--1.5%
623 Teva Pharmaceutical Industries Ltd., ADR 28,776
-------------
SOFTWARE--3.3%
1,090 Activision, Inc. (c) 29,768
642 Electronic Arts, Inc. (c) 32,049
-------------
61,817
-------------
SPECIALTY RETAIL--5.0%
1,099 Bed Bath & Beyond, Inc. (c) 32,421
1,550 PetSmart, Inc. 31,682
1,368 Staples, Inc. 30,246
-------------
94,349
-------------
TRADING COMPANIES & DISTRIBUTORS--1.9%
757 Fastenal Co. 34,769
-------------
WIRELESS TELECOMMUNICATION SERVICES--4.4%
663 Leap Wireless International, Inc. (c) 30,896
275 Millicom International Cellular S.A. (c) 26,001
804 NII Holdings, Inc. (c) 25,551
-------------
82,448
-------------
TOTAL COMMON STOCKS--99.2%
(Cost $2,300,673) 1,863,807
-------------
MONEY MARKET FUNDS--2.0%
25,000 Federated Treasury Obligation--0.47% (d) 25,000
12,286 J.P. Morgan Institutional Treasury Money
Market Fund--0.84% (d) 12,286
-------------
TOTAL MONEY MARKET FUNDS
(Cost $37,286) 37,286
-------------
TOTAL INVESTMENTS--101.2%
(Cost $2,337,959) (e) 1,901,093
NET OTHER ASSETS AND LIABILITIES--(1.2%) (22,409)
-------------
NET ASSETS--100.0% $ 1,878,684
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
|
(b) The industry allocation is based on Standard & Poor's Global
Industry Classification Standard (GICS), and is different than
the industry sector classification system used by the Index to
select securities, which is the Industry Classification
Benchmark (ICB) system, the joint classification system of Dow
Jones Indexes and FTSE Group.
(c) Non-income producing security.
(d) Represents annualized 7-day yield at March 31, 2008.
(e) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $59,381 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $496,247.
ADR - American Depositary Receipt
See Notes to Quarterly Portfolio of Investments
Page 50
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX(SM) FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $ 1,863,807
Level 2 - Other Significant Observable Inputs 37,286
Level 3 - Significant Unobservable Inputs -
-----------------
Total $ 1,901,093
=================
|
See Notes to Quarterly Portfolio of Investments
Page 51
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.2%
AEROSPACE & DEFENSE--3.4%
7,636 Ascent Solar Technologies, Inc. (b) $ 126,070
64,851 Hexcel Corp. (b) 1,239,303
-------------
1,365,373
-------------
AUTO COMPONENTS--0.5%
54,810 Ballard Power Systems, Inc. (b) 224,721
-------------
BIOTECHNOLOGY--0.4%
15,176 Metabolix, Inc. (b) 166,177
-------------
CHEMICALS--1.9%
55,646 Altair Nanotechnologies, Inc. (b) 146,905
22,955 Zoltek Cos., Inc. (b) 608,767
-------------
755,672
-------------
COMMERCIAL SERVICES & SUPPLIES--0.4%
12,933 EnerNOC, Inc. (b) 147,436
-------------
ELECTRICAL EQUIPMENT--41.0%
33,624 Advanced Battery Technologies, Inc. (b) 149,963
18,992 Akeena Solar, Inc. (b) 146,048
28,083 American Superconductor Corp. (b) 651,245
31,055 Baldor Electric Co. 869,540
18,488 Canadian Solar, Inc. (b) 386,399
98,518 Capstone Turbine Corp. (b) 208,858
36,016 China BAK Battery, Inc. (b) 135,780
27,275 Energy Conversion Devices, Inc. (b) 815,523
81,872 Evergreen Solar, Inc. (b) 758,953
15,393 First Solar, Inc. (b) 3,557,939
46,287 FuelCell Energy, Inc. (b) 307,809
69,478 GrafTech International Ltd. (b) 1,126,238
13,386 Hoku Scientific, Inc. (b) 108,694
38,393 JA Solar Holdings Co., Ltd., ADR (b) 714,110
23,720 Medis Technologies Ltd. (b) 215,140
18,232 Orion Energy Systems, Inc. (b) 173,933
59,437 Plug Power, Inc. (b) 184,849
59,108 Power-One, Inc. (b) 189,737
11,245 Solarfun Power Holdings Co., Ltd., ADR (b) 135,615
25,247 SunPower Corp., Class A (b) 1,881,154
66,914 Suntech Power Holdings Co., Ltd., ADR (b) 2,714,032
11,015 Ultralife Batteries, Inc. (b) 130,087
78,150 Valence Technology, Inc. (b) 344,642
20,173 Vicor Corp. 240,866
19,963 Yingli Green Energy Holding Co., Ltd., ADR (b) 341,367
----------
16,488,521
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS--9.9%
115,853 AVX Corp. 1,484,077
13,857 Comverge, Inc. (b) 143,143
27,532 Echelon Corp. (b) 371,682
20,613 Itron, Inc. (b) 1,859,911
|
See Notes to Quarterly Portfolio of Investments
Page 52
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED)
13,844 Maxwell Technologies, Inc. (b) $ 141,070
-------------
3,999,883
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.7%
15,285 Greatbatch, Inc. (b) 281,397
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--3.1%
28,573 Ormat Technologies, Inc. 1,228,925
-------------
OIL, GAS & CONSUMABLE FUELS--3.7%
28,402 Aventine Renewable Energy Holdings, Inc. (b) 147,690
12,181 Gushan Enviromental Energy Ltd., ADR 159,206
74,469 Nova Biosource Fuels, Inc. (b) 112,448
27,477 Pacific Ethanol, Inc. (b) 120,899
54,128 US BioEnergy Corp. (b) 319,355
62,999 VeraSun Energy (b) 463,043
42,675 Verenium Corp. (b) 150,216
-------------
1,472,857
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--35.2%
30,783 Advanced Analogic Technologies, Inc. (b) 173,000
54,686 Cree, Inc. (b) 1,529,021
49,579 EMCORE Corp. (b) 285,575
84,278 Fairchild Semiconductor International, Inc. (b) 1,004,594
49,071 International Rectifier Corp. (b) 1,055,027
21,038 IXYS Corp. (b) 143,690
12,180 LDK Solar Co., Ltd., ADR (b) 328,860
104,505 Linear Technology Corp. 3,207,258
40,880 MEMC Electronic Materials, Inc. (b) 2,898,392
52,915 Microsemi Corp. (b) 1,206,462
25,806 O2Micro International Ltd., ADR (b) 199,480
198,061 ON Semiconductor Corp. (b) 1,124,986
20,041 Power Integrations, Inc. (b) 586,400
13,049 Trina Solar Ltd., ADR (b) 401,126
-------------
14,143,871
-------------
TOTAL INVESTMENTS--100.2%
(Cost $48,540,220) (c) 40,274,833
NET OTHER ASSETS AND LIABILITIES--(0.2%) (76,384)
-------------
NET ASSETS--100.0% $ 40,198,449
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
|
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $1,583,204 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $9,848,591.
ADR - American Depositary Receipt
See Notes to Quarterly Portfolio of Investments
Page 53
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) U.S. LIQUID SERIES INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $ 40,274,833
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $ 40,274,833
=================
|
See Notes to Quarterly Portfolio of Investments
Page 54
FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--99.3%
REAL ESTATE INVESTMENT TRUSTS (REITS)--99.3%
184 Acadia Realty Trust $ 4,444
45 Agree Realty Corp. 1,235
183 Alexandria Real Estate Equities, Inc. 16,968
561 AMB Property Corp. 30,530
156 American Campus Communities, Inc. 4,268
41 American Land Lease, Inc. 844
526 Apartment Investment & Management Co. 18,836
593 Ashford Hospitality Trust 3,368
84 Associated Estates Realty Corp. 961
440 AvalonBay Communities, Inc. 42,469
376 BioMed Realty Trust, Inc. 8,983
685 Boston Properties, Inc. 63,068
499 Brandywine Realty Trust 8,463
292 BRE Properties, Inc. 13,304
302 Camden Property Trust 15,160
380 CBL & Associates Properties, Inc. 8,941
255 Cedar Shopping Centers, Inc. 2,978
59 Cogdell Spencer, Inc. 927
271 Colonial Properties Trust 6,518
272 Corporate Office Properties Trust 9,142
212 Cousins Properties, Inc. 5,239
966 DCT Industrial Trust, Inc. 9,621
685 Developers Diversified Realty Corp. 28,688
543 DiamondRock Hospitality Co. 6,880
375 Digital Realty Trust, Inc. 13,313
838 Duke Realty Corp. 19,115
136 EastGroup Properties, Inc. 6,319
163 Education Realty Trust, Inc. 2,049
173 Entertainment Properties Trust 8,534
140 Equity Lifestyle Properties, Inc. 6,912
212 Equity One, Inc. 5,082
1,545 Equity Residential 64,101
146 Essex Property Trust, Inc. 16,641
381 Extra Space Storage, Inc. 6,168
337 Federal Realty Investment Trust 26,269
359 FelCor Lodging Trust, Inc. 4,319
250 First Industrial Realty Trust, Inc. 7,723
139 First Potomac Realty Trust 2,136
1,529 General Growth Properties, Inc. 58,362
216 Glimcher Realty Trust 2,583
1,343 HCP, Inc. 45,407
509 Health Care REIT, Inc. 22,971
291 Healthcare Realty Trust, Inc. 7,610
236 Hersha Hospitality Trust 2,131
328 Highwoods Properties, Inc. 10,191
187 Home Properties, Inc. 8,974
538 Hospitality Properties Trust 18,303
3,000 Host Hotels & Resorts, Inc. 47,760
1,292 HRPT Properties Trust 8,695
336 Inland Real Estate Corp. 5,111
329 Investors Real Estate Trust 3,218
783 iStar Financial, Inc. 10,985
188 Kilroy Realty Corp. 9,233
1,449 Kimco Realty Corp. 56,757
166 Kite Realty Group Trust 2,324
230 LaSalle Hotel Properties 6,608
|
See Notes to Quarterly Portfolio of Investments
Page 55
FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (REITS) (CONTINUED)
351 Lexington Realty Trust $ 5,058
528 Liberty Property Trust 16,426
116 LTC Properties, Inc. 2,982
415 Macerich (The) Co. 29,162
376 Mack-Cali Realty Corp. 13,427
371 Medical Properties Trust, Inc. 4,200
148 Mid-America Apartment Communities, Inc. 7,376
137 Monmouth Real Estate Investment Corp. 1,096
135 National Health Investors, Inc. 4,219
416 National Retail Properties, Inc. 9,173
546 Nationwide Health Properties, Inc. 18,428
46 One Liberty Properties, Inc. 740
87 Parkway Properties, Inc. 3,216
225 Pennsylvania Real Estate Investment Trust 5,488
981 Plum Creek Timber Co., Inc. 39,927
252 Post Properties, Inc. 9,732
225 Potlatch Corp. 9,286
1,480 ProLogis 87,112
88 PS Business Parks, Inc. 4,567
714 Public Storage 63,274
106 Ramco-Gershenson Properties Trust 2,238
449 Rayonier, Inc. 19,505
580 Realty Income Corp. 14,860
399 Regency Centers Corp. 25,839
62 Saul Centers, Inc. 3,115
544 Senior Housing Properties Trust 12,893
1,278 Simon Property Group, Inc. 118,738
337 SL Green Realty Corp. 27,455
125 Sovran Self Storage, Inc. 5,339
426 Strategic Hotels & Resorts, Inc. 5,593
92 Sun Communities, Inc. 1,886
343 Sunstone Hotel Investors, Inc. 5,491
100 Supertel Hospitality, Inc. 530
180 Tanger Factory Outlet Centers, Inc. 6,925
302 Taubman Centers, Inc. 15,734
764 UDR, Inc. 18,733
68 Universal Health Realty Income Trust 2,264
126 Urstadt Biddle Properties, Inc., Class A 1,982
278 U-Store-It Trust 3,150
793 Ventas, Inc. 35,614
773 Vornado Realty Trust 66,639
268 Washington Real Estate Investment Trust 8,957
427 Weingarten Realty Investors 14,706
292 Winthrop Realty Trust, Inc. 1,203
-------------
TOTAL COMMON STOCKS--99.3%
(Cost $1,933,536) 1,582,017
|
See Notes to Quarterly Portfolio of Investments
Page 56
FIRST TRUST S&P REIT INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
MONEY MARKET FUND--3.1%
50,000 Federated Treasury Obligation-- 0.47% (b)
(Cost $50,000) $ 50,000
-------------
TOTAL INVESTMENTS--102.4%
(Cost $1,983,536) (c) 1,632,017
NET OTHER ASSETS AND LIABILITIES--(2.4%) (38,691)
-------------
NET ASSETS--100.0% $ 1,593,326
=============
|
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Represents annualized 7-day yield at March 31, 2008.
(c) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $9,173 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $360,692.
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $ 1,582,017
Level 2 - Other Significant Observable Inputs 50,000
Level 3 - Significant Unobservable Inputs -
-----------------
Total $ 1,632,017
=================
|
See Notes to Quarterly Portfolio of Investments
Page 57
FIRST TRUST ISE WATER INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.0%
BUILDING PRODUCTS--2.0%
3,299 Ameron International Corp. $ 308,555
-------------
CHEMICALS--11.7%
8,500 Arch Chemicals, Inc. 316,710
11,976 Ashland, Inc. 566,465
21,827 Calgon Carbon Corp. (b) 328,496
28,675 Nalco Holding Co. 606,476
-------------
1,818,147
-------------
COMMERCIAL SERVICES & SUPPLIES--4.5%
7,082 Layne Christensen Co. (b) 248,012
23,490 Tetra Tech, Inc. (b) 458,290
-------------
706,302
-------------
CONSTRUCTION & ENGINEERING--3.0%
15,795 Insituform Technologies, Inc., Class A (b) 218,445
5,922 Northwest Pipe Co. (b) 251,626
-------------
470,071
-------------
ELECTRICAL EQUIPMENT--5.9%
8,877 Franklin Electric Co., Inc. 303,327
10,211 Roper Industries, Inc. 606,942
-------------
910,269
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--4.2%
7,296 Itron, Inc. (b) 658,318
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--3.4%
10,762 IDEXX Laboratories, Inc. (b) 530,136
-------------
MACHINERY--46.7%
8,151 Badger Meter, Inc. 352,123
13,047 Crane Co. 526,446
7,626 Danaher Corp. 579,805
22,000 Flow International Corp. (b) 204,380
6,585 Flowserve Corp. 687,343
6,963 Gorman-Rupp (The) Co. 229,013
16,049 IDEX Corp. 492,544
10,555 ITT Corp. 546,855
5,656 Lindsay Corp. 579,570
17,253 Mueller Industries, Inc. 497,749
52,239 Mueller Water Products, Inc., Class B 411,643
16,140 Pall Corp. 566,030
19,030 Pentair, Inc. 607,057
5,752 Valmont Industries, Inc. 505,543
17,073 Watts Water Technologies, Inc., Class A 478,556
-------------
7,264,657
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 58
FIRST TRUST ISE WATER INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES--3.3%
7,431 Veolia Environnement, ADR $ 519,650
-------------
WATER UTILITIES--15.3%
8,072 American States Water Co. 290,592
26,690 Aqua America, Inc. 501,238
8,794 California Water Service Group 335,491
14,095 Companhia de Saneamento Basico do Estado
de Sao Paulo, ADR 624,831
6,703 Consolidated Water Co., Ltd. 147,667
9,923 SJW Corp. 283,699
17,245 Southwest Water Co. 190,902
-------------
2,374,420
-------------
TOTAL COMMON STOCKS - 100.0%
(Cost $16,158,992) 15,560,525
MONEY MARKET FUND--0.2%
38,218 J.P. Morgan Institutional Treasury Money
Market Fund - 0.84% (c)
(Cost $38,218) 38,218
-------------
TOTAL INVESTMENTS - 100.2%
(Cost $16,197,210) (d) 15,598,743
NET OTHER ASSETS AND LIABILITIES--(0.2%) (32,904)
-------------
NET ASSETS--100.0% $ 15,565,839
=============
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at March 31, 2008.
|
(d) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $687,317 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $1,285,784.
ADR - American Depositary Receipt
See Notes to Quarterly Portfolio of Investments
Page 59
FIRST TRUST ISE WATER INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $15,560,525
Level 2 - Other Significant Observable Inputs 38,218
Level 3 - Significant Unobservable Inputs -
-----------------
Total $15,598,743
=================
|
See Notes to Quarterly Portfolio of Investments
Page 60
FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.1%
GAS UTILITIES--9.9%
16,329 Energen Corp. $ 1,017,297
21,555 ONEOK, Inc. 962,000
18,226 Questar Corp. 1,030,862
-------------
3,010,159
-------------
OIL, GAS & CONSUMABLE FUELS--90.2%
15,736 Anadarko Petroleum Corp. 991,840
8,651 Apache Corp. 1,045,214
46,883 Bois d'Arc Energy, Inc. (b) 1,007,516
172,619 Brigham Exploration Co. (b) 1,047,797
19,036 Cabot Oil & Gas Corp. 967,790
21,190 Chesapeake Energy Corp. 977,919
19,007 Cimarex Energy Co. 1,040,443
86,531 Compton Petroleum Corp. (b) 959,629
27,522 Comstock Resources, Inc. (b) 1,109,136
15,975 Contango Oil & Gas Co. (b) 1,032,145
9,853 Devon Energy Corp. 1,027,963
12,753 EnCana Corp. 966,040
23,365 Enerplus Resources Fund 1,014,041
8,049 EOG Resources, Inc. 965,880
40,616 EV Energy Partner LP (c) 1,041,800
22,157 Forest Oil Corp. (b) 1,084,807
37,289 Mariner Energy, Inc. (b) 1,007,176
18,076 Newfield Exploration Co. (b) 955,317
13,308 Noble Energy, Inc. 968,822
21,182 Pioneer Natural Resources Co. 1,040,460
28,195 Quicksilver Resources, Inc. (b) 1,029,963
51,471 Rosetta Resources, Inc. (b) 1,012,435
28,455 St. Mary Land & Exploration Co. 1,095,517
33,878 Statoil ASA, ADR 1,011,936
18,883 Stone Energy Corp. (b) 987,770
57,572 Talisman Energy, Inc. 1,019,024
16,667 XTO Energy, Inc. 1,031,021
-------------
27,439,401
-------------
TOTAL COMMON STOCKS--100.1%
(Cost $28,724,149) 30,449,560
MONEY MARKET FUND--0.1%
18,472 J.P. Morgan Institutional Treasury Money
Market Fund--1.24% (d)
(Cost $18,472) 18,472
-------------
TOTAL INVESTMENTS--100.2%
(Cost $28,742,621) (e) 30,468,032
NET OTHER ASSETS AND LIABILITIES--(0.2%) (50,439)
-------------
NET ASSETS--100.0% $ 30,417,593
=============
|
See Notes to Quarterly Portfolio of Investments
Page 61
FIRST TRUST ISE-REVERE NATURAL GAS INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
(a) All percentages shown in the Portfolio of Investments are
based on net assets.
(b) Non-income producing security.
(c) Master limited partnership ("MLP")
(d) Represents annualized 7-day yield at March 31, 2008.
(e) Aggregate cost for federal income tax and financial reporting
purposes. As of March 31, 2008, the aggregate gross unrealized
appreciation for all securities in which there was an excess
of value over tax cost was $2,060,487 and the aggregate gross
unrealized depreciation for all securities in which there was
an excess of tax cost over value was $335,076.
ADR - American Depositary Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $30,449,560
Level 2 - Other Significant Observable Inputs 18,472
Level 3 - Significant Unobservable Inputs -
-----------------
Total $30,468,032
=================
|
See Notes to Quarterly Portfolio of Investments
Page 62
FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.2%
AIRLINES--0.6%
12,586 China Southern Airlines Co., Ltd., ADR (b) $ 499,035
-------------
CHEMICALS--0.5%
11,496 Sinopec Shanghai Petrochemical Co., Ltd., ADR 402,245
-------------
COMMERCIAL BANKS--9.9%
32,169 HDFC Bank Ltd., ADR 3,160,283
119,843 ICICI Bank Ltd., ADR 4,576,804
-------------
7,737,087
-------------
COMMUNICATIONS EQUIPMENT--0.6%
42,298 Comtech Group, Inc. (b) 456,395
-------------
CONSTRUCTION & ENGINEERING--0.8%
24,002 KHD Humboldt Wedag International Ltd. (b) 584,689
-------------
DIVERSIFIED CONSUMER SERVICES--0.8%
9,198 New Oriental Education & Technology
Group, Inc., ADR (b) 596,582
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES--3.7%
11,806 China Netcom Group Corp., Ltd., ADR 684,630
10,051 China Telecom Corp., Ltd., ADR 631,504
64,881 Tata Communications, Ltd., ADR 1,610,347
-------------
2,926,481
-------------
ELECTRICAL EQUIPMENT--2.5%
31,245 JA Solar Holdings Co., Ltd., ADR (b) 581,157
27,589 Solarfun Power Holdings Co., Ltd., ADR (b) 332,723
25,582 Suntech Power Holdings Co., Ltd., ADR (b) 1,037,606
-------------
1,951,486
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8%
63,263 Nam Tai Electronics, Inc. 607,325
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--1.5%
17,171 China Medical Technologies, Inc., ADR 705,557
17,460 Mindray Medical International Ltd., ADR 505,292
-------------
1,210,849
-------------
HOTELS, RESTAURANTS & LEISURE--2.2%
12,282 Ctrip.com International Ltd., ADR 651,192
19,846 Home Inns & Hotels Managment, Inc., ADR (b) 390,768
62,023 Melco PBL Entertainment Ltd., ADR (b) 705,821
-------------
1,747,781
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 63
FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.7%
18,043 Huaneng Power International, Inc., ADR $ 551,033
-------------
INSURANCE--3.6%
54,316 China Life Insurance Co., Ltd., ADR 2,827,691
-------------
INTERNET SOFTWARE & SERVICES--5.6%
10,773 Baidu.com, ADR (b) 2,581,534
36,358 NetEase.com, Inc., ADR (b) 698,437
14,915 SINA Corp. (b) 525,754
12,990 Sohu.com, Inc. (b) 586,239
-------------
4,391,964
-------------
IT SERVICES--18.4%
173,926 Infosys Technologies Ltd., ADR 6,221,332
43,538 Patni Computer Systems Ltd., ADR 497,639
159,552 Satyam Computer Services Ltd., ADR 3,604,280
291,921 Wipro Ltd., ADR 3,365,849
45,020 WNS Holdings Ltd., ADR (b) 695,559
-------------
14,384,659
-------------
MACHINERY--2.3%
114,463 Tata Motors Ltd., ADR 1,787,912
-------------
MARINE--1.0%
28,767 Seaspan Corp. 819,572
-------------
MEDIA--2.1%
36,616 Focus Media Holding Ltd., ADR (b) 1,287,053
119,659 Xinhua Finance Media Ltd., ADR (b) 378,122
-------------
1,665,175
-------------
METALS & MINING--10.6%
82,159 Aluminum Corp. of China Ltd., ADR 3,321,688
280,906 Sterlite Industries (India), ADR (b) 5,005,745
-------------
8,327,433
-------------
OIL, GAS & CONSUMABLE FUELS--15.4%
52,166 China Petroleum & Chemical Corp., ADR 4,485,233
13,261 CNOOC Ltd., ADR 1,946,582
40,744 PetroChina Co., Ltd., ADR 5,105,630
7,704 Yanzhou Coal Mining Co., Ltd., ADR 547,215
-------------
12,084,660
-------------
PERSONAL PRODUCTS--0.7%
65,661 American Oriental Bioengineering, Inc. (b) 531,854
-------------
PHARMACEUTICALS--2.2%
118,106 Dr. Reddy's Laboratories Ltd., ADR 1,710,175
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 64
FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL--0.7%
20,385 Guangshen Railway Co., Ltd., ADR $ 536,126
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.6%
14,898 Trina Solar Ltd., ADR (b) 457,965
-------------
SOFTWARE--2.3%
174,050 CDC Corp., Class A (b) 614,397
19,812 Shanda Interactive Entertainment Ltd., ADR (b) 576,529
30,176 The9 Ltd., ADR (b) 618,608
-------------
1,809,534
-------------
WIRELESS TELECOMMUNICATION SERVICES--10.1%
85,038 China Mobile Ltd., ADR 6,378,700
37,119 China Unicom Ltd., ADR 789,521
33,311 Hutchison Telecommunications International Ltd., ADR 716,520
-------------
7,884,741
-------------
TOTAL INVESTMENTS--100.2%
(Cost $105,044,062) (c) 78,490,449
NET OTHER ASSETS AND LIABILITIES--(0.2%) (183,224)
-------------
NET ASSETS--100.0% $ 78,307,225
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax and financial reporting purposes.
As of March 31, 2008, the aggregate gross unrealized appreciation for
all securities in which there was an excess of value over tax cost was
$378,130 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$26,931,743.
ADR - American Depositary Receipt
See Notes to Quarterly Portfolio of Investments
Page 65
FIRST TRUST ISE CHINDIA INDEX FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
-------------------------------------------------------------------------
Level 1 - Quoted Prices $78,490,449
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-----------------
Total $78,490,449
=================
|
See Notes to Quarterly Portfolio of Investments
Page 66
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS--100.2%
AEROSPACE & DEFENSE--1.0%
24,489 Raytheon Co. $ 1,582,234
-------------
BEVERAGES--1.0%
25,498 Coca-Cola (The) Co. 1,552,063
-------------
BIOTECHNOLOGY--5.1%
25,380 Biogen Idec, Inc. (b) 1,565,692
21,289 Genzyme Corp. (b) 1,586,882
36,887 LifeCell Corp. (b) 1,550,361
48,916 Martek Biosciences Corp. (b) 1,495,362
39,421 OSI Pharmaceuticals, Inc. (b) 1,473,951
-------------
7,672,248
-------------
CHEMICALS--9.4%
24,666 Agrium, Inc. 1,532,005
33,431 E.I. du Pont de Nemours & Co. 1,563,234
27,605 FMC Corp. 1,531,801
14,960 Monsanto Co. 1,668,040
16,715 Mosaic (The) Co. (b) 1,714,960
21,471 NewMarket Corp. 1,619,987
28,270 OM Group, Inc. (b) 1,541,846
10,329 Potash Corp. of Saskatchewan, Inc. 1,603,164
18,374 Praxair, Inc. 1,547,642
-------------
14,322,679
-------------
COMMERCIAL SERVICES & SUPPLIES--5.0%
24,474 Clean Harbors, Inc. (b) 1,590,810
21,727 FTI Consulting, Inc. (b) 1,543,486
59,425 Herman Miller, Inc. 1,460,072
22,235 IHS, Inc., Class A (b) 1,429,933
30,962 Stericycle, Inc. (b) 1,594,543
-------------
7,618,844
-------------
COMMUNICATIONS EQUIPMENT--4.1%
63,309 Corning, Inc. 1,521,948
112,791 JDS Uniphase Corp. (b) 1,510,271
51,518 Nokia Oyj, ADR 1,639,819
13,948 Research In Motion Ltd. (b) 1,565,384
-------------
6,237,422
-------------
COMPUTERS & PERIPHERALS--2.9%
13,104 International Business Machines Corp. 1,508,794
95,292 Sun Microsystems, Inc. (b) 1,479,885
49,491 Western Digital Corp. (b) 1,338,237
-------------
4,326,916
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 67
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING--1.0%
20,986 Jacobs Engineering Group, Inc. (b) $ 1,544,360
-------------
CONTAINERS & PACKAGING--1.0%
27,865 Owens-Illinois, Inc. (b) 1,572,422
-------------
DISTRIBUTORS--1.0%
65,242 LKQ Corp. (b) 1,465,988
-------------
DIVERSIFIED CONSUMER SERVICES--1.6%
25,765 Apollo Group, Inc., Class A (b) 1,113,048
32,797 DeVry, Inc. 1,372,226
-------------
2,485,274
-------------
DIVERSIFIED FINANCIAL SERVICES--1.0%
37,718 Nasdaq Stock Market (The), Inc. (b) 1,458,178
-------------
ELECTRIC UTILITIES--1.0%
30,050 ITC Holdings Corp. 1,564,403
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--4.1%
43,247 Dolby Laboratories, Inc., Class A (b) 1,568,136
154,908 Flextronics International Ltd. (b) 1,454,586
54,371 FLIR Systems, Inc. (b) 1,636,024
42,694 ScanSource, Inc. (b) 1,545,096
-------------
6,203,842
-------------
ENERGY EQUIPMENT & SERVICES--2.2%
11,904 Transocean, Inc. (b) 1,609,421
23,908 Weatherford International Ltd. (b) 1,732,613
-------------
3,342,034
-------------
FOOD & STAPLES RETAILING--1.0%
29,093 Wal-Mart Stores, Inc. 1,532,619
-------------
FOOD PRODUCTS--1.0%
41,365 Fresh Del Monte Produce, Inc. (b) 1,505,686
-------------
HEALTH CARE EQUIPMENT & SUPPLIES--7.1%
15,686 C.R. Bard, Inc. 1,512,130
35,957 Hospira, Inc. (b) 1,537,881
4,767 Intuitive Surgical, Inc. (b) 1,546,176
31,770 Kinetic Concepts, Inc. (b) 1,468,727
49,145 Meridian Bioscience, Inc. 1,642,918
35,957 St. Jude Medical, Inc. (b) 1,552,983
33,139 Varian Medical Systems, Inc. (b) 1,552,231
-------------
10,813,046
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 68
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES--2.1%
39,361 Amedisys, Inc. (b) $ 1,548,462
24,808 Express Scripts, Inc. (b) 1,595,650
-------------
3,144,112
-------------
HOTELS, RESTAURANTS & LEISURE--0.9%
39,321 WMS Industries, Inc. (b) 1,414,376
-------------
HOUSEHOLD DURABLES--1.1%
74,387 Matsushita Electric Industrial Co., Ltd., ADR 1,614,942
-------------
INSURANCE--1.0%
24,393 AFLAC, Inc. 1,584,325
-------------
INTERNET & CATALOG RETAIL--1.9%
40,868 NetFlix, Inc. (b) 1,416,076
12,505 Priceline.com, Inc. (b) 1,511,355
-------------
2,927,431
-------------
IT SERVICES--1.0%
33,670 ManTech International Corp., Class A (b) 1,527,271
-------------
LIFE SCIENCES TOOLS & SERVICES--4.1%
18,699 Covance, Inc. (b) 1,551,456
20,986 Illumina, Inc. (b) 1,592,837
18,754 Invitrogen Corp. (b) 1,602,905
58,644 Parexel International Corp. (b) 1,530,608
-------------
6,277,806
-------------
MACHINERY--9.1%
27,190 AGCO Corp. (b) 1,628,138
31,786 Axsys Technologies, Inc. (b) 1,585,486
14,931 Bucyrus International, Inc., Class A 1,517,736
19,176 Deere & Co. 1,542,517
14,590 Flowserve Corp. 1,522,904
12,947 K-Tron International, Inc (b) 1,555,064
14,874 Lindsay Corp. 1,524,139
40,835 Robbins & Myers, Inc. 1,333,263
18,230 Valmont Industries, Inc. 1,602,235
-------------
13,811,482
-------------
MARINE--1.0%
27,483 Kirby Corp. (b) 1,566,531
-------------
MEDIA--1.0%
48,688 Walt Disney (The) Co. 1,527,829
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 69
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
METALS & MINING--3.1%
13,339 Cleveland-Cliffs, Inc. $ 1,598,279
25,761 Compass Minerals International, Inc. 1,519,384
42,657 Pan American Silver Corp. (b) 1,636,749
-------------
4,754,412
-------------
OIL, GAS & CONSUMABLE FUELS--5.5%
14,172 Apache Corp. 1,712,261
20,473 Murphy Oil Corp. 1,681,652
25,459 Range Resources Corp. 1,615,374
50,367 Southwestern Energy Co. (b) 1,696,864
48,431 Williams (The) Cos., Inc. 1,597,254
-------------
8,303,405
-------------
PAPER & FOREST PRODUCTS--2.1%
107,064 Glatfelter 1,617,737
57,839 International Paper Co. 1,573,221
-------------
3,190,958
-------------
PERSONAL PRODUCTS--1.0%
21,727 Chattem, Inc. (b) 1,441,369
-------------
PHARMACEUTICALS--2.1%
23,067 Novo-Nordisk A/S, ADR 1,597,159
40,193 Perrigo Co. 1,516,482
-------------
3,113,641
-------------
ROAD & RAIL--1.0%
27,827 CSX Corp. 1,560,260
-------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.9%
18,589 MEMC Electronic Materials, Inc. (b) 1,317,960
63,103 Xilinx, Inc. 1,498,696
-------------
2,816,656
-------------
SOFTWARE--6.8%
40,214 ANSYS, Inc. (b) 1,388,187
46,303 BMC Software, Inc. (b) 1,505,774
68,567 CA, Inc. 1,542,757
90,326 Informatica Corp. (b) 1,540,961
42,669 MICROS Systems, Inc. (b) 1,436,239
53,402 Microsoft Corp. 1,515,549
75,068 Oracle Corp. (b) 1,468,330
-------------
10,397,797
-------------
|
See Notes to Quarterly Portfolio of Investments
Page 70
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------- ------------------------------------------------ --------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL--2.0%
28,894 GameStop Corp., Class A (b) $ 1,494,109
47,982 Urban Outfitters, Inc. (b) 1,504,235
-------------
2,998,344
-------------
TEXTILES, APPAREL & LUXURY GOODS--1.0%
22,580 NIKE, Inc., Class B 1,535,440
-------------
TOTAL INVESTMENTS--100.2%
(Cost $147,295,710) (c) 152,308,645
NET OTHER ASSETS AND LIABILITIES--(0.2%) (341,490)
-------------
NET ASSETS--100.0% $ 151,967,155
=============
|
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax and financial reporting purposes.
As of March 31, 2008, the aggregate gross unrealized appreciation for
all securities in which there was an excess of value over tax cost was
$11,615,604 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$6,602,669.
ADR - American Depository Receipt
A summary of the inputs used to value the Fund's net assets
as of March 31, 2008 is as follows (See Note 1A):
Investments
in Securities
--------------------------------------------------------------------------
Level 1 - Quoted Prices $152,308,645
Level 2 - Other Significant Observable Inputs -
Level 3 - Significant Unobservable Inputs -
-------------------
Total $152,308,645
===================
|
See Notes to Quarterly Portfolio of Investments
Page 71
FIRST TRUST EXCHANGE-TRADED FUND
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
MARCH 31, 2008 (UNAUDITED)
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company that currently consists of seventeen exchange-traded funds
(each a "Fund" or collectively the "Funds") as follows:
First Trust Dow Jones Select MicroCap Index(SM) Fund
First Trust Morningstar(R) Dividend Leaders(SM) Index Fund
First Trust IPOX-100 Index Fund
First Trust NASDAQ-100 Equal Weighted Index(SM) Fund
First Trust NASDAQ-100-Technology Sector Index(SM) Fund
First Trust Amex(R) Biotechnology Index Fund
First Trust Dow Jones Internet Index(SM) Fund
First Trust DB Strategic Value Index Fund
First Trust Value Line(R) Equity Allocation Index Fund
First Trust Value Line(R) Dividend Index Fund
First Trust NASDAQ-100 Ex-Technology Sector Index(SM) Fund
First Trust NASDAQ(R) Clean Edge(R) U.S. Liquid Series Index Fund
First Trust S&P REIT Index Fund
First Trust ISE Water Index Fund
First Trust ISE-Revere Natural Gas Index Fund
First Trust ISE Chindia Index Fund
First Trust Value Line(R) 100 Exchange-Traded Fund
Each Fund's net asset value ("NAV") is determined daily as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. The NAV is calculated by
dividing the value of all assets of the Fund (including accrued interest and
dividends), less all liabilities (including accrued expenses and dividends
declared but unpaid), by the total number of shares outstanding.
Each Fund's investments are valued at market value or, in the absence of market
value with respect to any portfolio securities, at fair value according to
procedures adopted by the Trust's Board of Trustees. Portfolio securities listed
on any exchange other than The NASDAQ Stock Market, Inc. ("NASDAQ(R)") are
valued at the last sale price on the business day as of which such value is
being determined. If there has been no sale on such day, the securities are
valued at the mean of the most recent bid and asked prices on such day.
Securities traded on the NASDAQ(R) are valued at the NASDAQ(R) Official Closing
Price as determined by NASDAQ(R). Portfolio securities traded on more than one
securities exchange are valued at the last sale price on the business day as of
which such value is being determined at the close of the exchange representing
the principal market for such securities. Portfolio securities traded in the
over-the-counter market, but excluding securities traded on the NASDAQ(R), are
valued at the closing bid prices. Short-term investments that mature in less
than 60 days are valued at amortized cost.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Board of Trustees or its delegate
at fair value. These securities generally include, but are not limited to,
restricted securities (securities which may not be publicly sold without
registration under the Securities Act of 1933) for which a pricing service is
unable to provide a market price; securities whose trading has been formally
suspended; a security whose market price is not available from a pre-established
Page 72
FIRST TRUST EXCHANGE-TRADED FUND
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2008 (UNAUDITED)
pricing source; a security with respect to which an event has occurred that is
likely to materially affect the value of the security after the market has
closed but before the calculation of a Fund's NAV or make it difficult or
impossible to obtain a reliable market quotation; and a security whose price, as
provided by the pricing service, does not reflect the security's "fair value."
As a general principle, the current "fair value" of a security would appear to
be the amount which the owner might reasonably expect to receive for the
security upon its current sale. The use of fair value prices by a Fund generally
results in the prices used by a Fund differing from the closing sale prices on
the applicable exchange and fair value prices may not reflect the actual value
of a security. A variety of factors may be considered in determining the fair
value of such securities.
Valuing a Fund's securities using fair value pricing will result in using prices
for the securities that may differ from current market valuations. Use of fair
value prices and certain current market valuations could result in a difference
between the prices used to calculate a Fund's NAV and the prices used by such
Fund's corresponding index, which, in turn, could result in a difference between
a Fund's performance and the performance of such index.
In September 2006, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for fiscal years beginning after November 15, 2007. This standard
clarifies the definition of fair value for financial reporting, establishes a
framework for measuring fair value and requires additional disclosures about the
use of fair value measurements. FAS 157 became effective for the Funds as of
January 1, 2008, the beginning of each Fund's current fiscal year. The three
levels of the fair value hierarchy under FAS 157 are described below:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumption in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Funds' net assets as of March 31, 2008 is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
The Funds may hold publicly-traded master limited partnerships and real estate
investment trusts. Distributions from such investments may include a return of
capital component.
Page 73
FIRST TRUST EXCHANGE TRADED FUND II
ADDITIONAL INFORMATION
MARCH 31, 2008 (UNAUDITED)
Dow Jones, Dow Jones Internet Composite Index(SM) and Dow Jones Select MicroCap
Index(SM) are trademarks of Dow Jones & Company, Inc. and have been licensed for
use. The First Trust Dow Jones Select MicroCap Index(SM) Fund, based on the Dow
Jones Select MicroCap Index(SM) and the First Trust Dow Jones Internet Index(SM)
Fund based on the Dow Jones Internet Composite Index(SM) are not sponsored,
endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation
regarding the advisability of trading in the Funds.
Morningstar is a service mark of Morningstar, Inc. and has been licensed for
use. The First Trust Morningstar(R) Dividend Leaders(SM) Index Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar, Inc., nor does
this company make any representation regarding the advisability of investing in
the Fund.
IPOX is a trademark of IPOX Schuster LLC. IPOX IPO Indexes and Derivatives
(patent pending).
NASDAQ(R), NASDAQ-100, NASDAQ-100 Index(R), NASDAQ-100 Technology Sector
Index(SM), NASDAQ-100 Equal-Weighted Index(SM), and NASDAQ-100 Ex-Tech Sector
Index(SM), are trademarks of the NASDAQ Stock Market, Inc. (which with its
affiliates is referred to as the Corporations) and are licensed for use by First
Trust Advisors L.P. The Funds have not been passed on by the Corporations as to
their legality or suitability. The Funds are not issued, endorsed, sold, or
promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE FUNDS.
NASDAQ(R) and Clean Edge(R) are the registered trademarks (the "Marks") of The
NASDAQ Stock Market, Inc. ("NASDAQ(R)") and Clean Edge, Inc. ("Clean Edge")
respectively. NASDAQ(R) and Clean Edge(R) are, collectively with their
affiliates, the "Corporations." The Marks are licensed for use by First Trust
Advisors L.P. The Fund has not been passed on by the Corporations as to its
legality or suitability. The Fund is not issued, endorsed, sold, or promoted by
the Corporations. The Fund should not be construed in any way as investment
advice by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE FUND.
The Amex(R) Biotechnology Index(SM) is a trademark of the American Stock
Exchange LLC and is licensed for use by First Trust Advisors L.P. The Fund is
not sponsored or endorsed by the American Stock Exchange LLC. American Stock
Exchange LLC makes no representation or warranty, express or implied, to the
owners of the Fund or any member of the public regarding the advisability of
investing in the Fund or the ability of the Fund to track the performance of the
various sectors represented in the stock market. American Stock Exchange LLC has
no obligation to take the needs of the owners of the Fund into consideration in
determining, composing or calculating the Index. American Stock Exchange LLC is
not responsible for and has not participated in any determination or calculation
made with respect to issuance or redemption of the Fund.
"Deutsche Bank" and "Deutsche Bank CROCI(R) US+ Index" are service marks of
Deutsche Bank AG ("Deutsche Bank"). Deutsche Bank has no relationship to First
Trust Advisors L.P. or the First Trust DB Strategic Value Index Fund, other than
the licensing of the Index and its service marks for use in connection with the
Fund.
"Value Line(R)", "Value Line(R) Equity Allocation Index", "Value Line(R)
Dividend Index" and "Value Line(R) 100 Index" are trademarks of Value Line(R),
Inc. and have been licensed for use for certain purposes by First Trust Advisors
L.P. on behalf of the Funds. The First Trust Value Line(R) Equity Allocation
Index Fund, based on the Value Line(R) Equity Allocation Index, the First Trust
Value Line(R) Dividend Index Fund, based on the Value Line(R) Dividend Index and
the First Trust Value Line(R) 100 Exchange-Traded Fund, based on the Value
Line(R) 100 Index, are not sponsored, endorsed, sold, or promoted by Value
Line(R), Inc., and Value Line(R) makes no representation regarding the
advisability of investing in the Fund.
Standard & Poor's(R), S&P(R) and S&P REIT Composite Index are registered
trademarks of Standard & Poor's, a division of The McGraw-Hill Companies, Inc.
and have been licensed for use by First Trust Advisors L.P. The Fund is not
sponsored, endorsed, sold or promoted by S&P and S&P makes no representation,
warranty or condition regarding the advisability of investing in the Fund.
"International Securities Exchange(TM)", "ISE(TM)", "ISE Water Index(TM)", "ISE
ChIndia Index(TM)" and the ISE-Revere Natural Gas Index(TM)" are trademarks of
the International Securities Exchange(TM) and have been licensed for use for
certain purposes by First Trust Advisors L.P. Each Fund, based on its
corresponding index, is not sponsored, endorsed, sold or promoted by the
International Securities Exchange(TM) and the International Securities
Exchange(TM) makes no representation regarding the advisability of trading in
such products.
Page 74
Item 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3 (c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this paragraph,
based on their evaluation of these controls and procedures required by Rule
30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR
240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
Item 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Exchange-Traded Fund
By: /s/ James A. Bowen
-------------------------------
James A. Bowen,
Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: May 27, 2008
------------------------------
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James A. Bowen
-------------------------------
James A. Bowen,
Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: May 27, 2008
-----------------------------
|
By: /s/ Mark R. Bradley
-------------------------------
Mark R. Bradley,
Treasurer, Controller,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: May 27, 2008
----------------------------
|
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