-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GarOm9jONfos7fezIQ5nZEOPU3dwSiUPH2MFd6p4uOMiqDBzHnKVnAJg+zM1sgc0 dVVzslxHf35mVZGIb3+91g== 0001445546-09-002137.txt : 20090828 0001445546-09-002137.hdr.sgml : 20090828 20090828155251 ACCESSION NUMBER: 0001445546-09-002137 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090828 DATE AS OF CHANGE: 20090828 EFFECTIVENESS DATE: 20090828 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED FUND II CENTRAL INDEX KEY: 0001364608 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-21944 FILM NUMBER: 091043308 BUSINESS ADDRESS: STREET 1: 12O EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 12O EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001364608 S000018784 First Trust DJ STOXX Select Dividend 30 Index Fund C000051966 First Trust DJ STOXX Select Dividend 30 Index Fund FDD 0001364608 S000018785 First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund C000051967 First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund FFR 0001364608 S000019505 First Trust Europe Select AlphaDEX Fund C000054154 First Trust Europe Select AlphaDEX Fund 0001364608 S000019506 First Trust Japan Select AlphaDEX Fund C000054155 First Trust Japan Select AlphaDEX Fund 0001364608 S000019507 First Trust Dow Jones Global Select Dividend Index Fund C000054156 First Trust Dow Jones Global Select Dividend Index Fund FGD 0001364608 S000022933 First Trust ISE Global Wind Energy Index Fund C000066484 First Trust ISE Global Wind Energy Index Fund FAN 0001364608 S000024214 First Trust Global IPO Index Fund C000071159 First Trust Global IPO Index Fund 0001364608 S000024215 First Trust ISE Global Engineering and Construction Index Fund C000071160 First Trust ISE Global Engineering and Construction Index Fund 0001364608 S000026919 First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund C000081044 First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund N-Q 1 etf2_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS 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 811-21944 ------------- First Trust Exchange-Traded Fund II - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 ------------------- Date of fiscal year end: September 30 ------------------- Date of reporting period: June 30, 2009 ------------------- 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 STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND PORTFOLIO OF INVESTMENTS (a) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.1% BELGIUM -- 2.7% 3,657 Belgacom SA $ 116,636 ------------ DENMARK -- 4.4% 3,598 D/S Norden A/S 123,018 1,842 Danisco A/S 72,175 ------------ 195,193 ------------ FINLAND -- 6.5% 8,928 Metso Oyj 166,579 6,066 Rautaruukki Oyj 121,264 ------------ 287,843 ------------ FRANCE -- 7.0% 4,398 France Telecom SA 99,704 1,729 Vallourec SA 209,882 ------------ 309,586 ------------ GERMANY -- 11.7% 3,179 BASF SE 126,343 8,493 Deutsche Telekom AG 100,082 2,320 RWE AG 154,595 5,423 Thyssenkrupp AG 134,580 ------------ 515,600 ------------ IRELAND -- 1.8% 3,925 DCC PLC 80,941 ------------ ITALY -- 4.2% 37,812 Enel S.p.A 184,066 ------------ NETHERLANDS -- 11.3% 31,610 Koninklijke BAM Groep N.V. 256,444 5,984 Koninklijke Boskalis Westminster N.V. 135,658 3,332 Koninklijke DSM N.V. 104,378 ------------ 496,480 ------------ NORWAY -- 1.2% 2,717 StatoilHydro ASA 53,494 ------------ SPAIN -- 7.6% 27,766 Banco Santander SA 333,427 ------------ SWEDEN -- 5.0% 6,905 Ratos AB 139,628 11,055 Sandvik AB 82,038 ------------ 221,666 ------------ SWITZERLAND -- 12.9% 1,392 Baloise Holding AG 103,322 807 Helvetia Holding AG 213,532 1,120 Sulzer AG 70,918 213 Swisscom AG 65,377 637 Zurich Financial Services AG 112,210 ------------ 565,359 ------------ UNITED KINGDOM -- 23.8% 67,304 Brit Insurance Holdings PLC 209,000 SHARES DESCRIPTION VALUE - --------------------------------------------------------------- COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) 79,062 Man Group PLC $ 360,951 10,374 Provident Financial PLC 135,429 67,383 Tomkins PLC 164,070 21,726 United Utilities PLC 177,646 ------------ 1,047,096 ------------ TOTAL INVESTMENTS -- 100.1% (Cost $4,412,555) (b) 4,407,387 NET OTHER ASSETS AND LIABILITIES -- (0.1)% (4,034) ------------ NET ASSETS -- 100.0% $ 4,403,353 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of June 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $645,350 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $650,518. - ----------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks $ 4,407,387 $ - $ - ------------------------------------------ Total Investments $ 4,407,387 $ - $ - ========================================== See Notes to Quarterly Portfolio of Investments FIRST TRUST DOW JONES STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) % OF INDUSTRY NET ASSETS - --------------------------------------------------------- Insurance 14.6% Machinery 12.0 Capital Markets 11.4 Construction & Engineering 8.9 Diversified Telecommunication Services 8.7 Commercial Banks 7.6 Multi-Utilities 7.5 Metals & Mining 5.7 Industrial Conglomerates 5.5 Chemicals 5.3 Electric Utilities 4.2 Consumer Finance 3.1 Marine 2.8 Food Products 1.6 Oil, Gas & Consumable Fuels 1.2 - --------------------------------------------------------- TOTAL INVESTMENTS 100.1 NET OTHER ASSETS AND LIABILITIES (0.1) -------- TOTAL 100.0% ======== See Notes to Quarterly Portfolio of Investments FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND PORTFOLIO OF INVESTMENTS (a) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 99.9% AUSTRALIA -- 8.9% 17,999 Australand Property Group $ 6,962 8,700 Bunnings Warehouse Property Trust 11,427 38,941 CFS Retail Property Trust 51,775 39,407 Commonwealth Property Office Fund 26,356 99,749 Dexus Property Group 60,283 58,983 Goodman Group 17,586 178,237 GPT Group 70,376 38,332 ING Office Fund 14,208 97,280 Macquarie Office Trust 16,462 39,810 Mirvac Group 34,645 45,689 Stockland 118,180 48,305 Westfield Group 442,958 ------------ 871,218 ------------ AUSTRIA -- 0.3% 1,852 CA Immobilien Anlagen AG (b) 15,329 1,811 Conwert Immobilien Invest AG (b) 14,634 ------------ 29,963 ------------ BELGIUM -- 0.7% 356 Befimmo S.C.A 27,024 190 Cofinimmo SA 22,123 147 Intervest Offices N.V. 3,867 34 Leasinvest Real Estate S.C.A 2,413 182 Warehouses de Pauw S.C.A 7,404 45 Wereldhave Belgium S.C.A 3,115 ------------ 65,946 ------------ BERMUDA -- 2.4% 6,887 Great Eagle Holdings Ltd. 14,449 35,922 Hongkong Land Holdings Ltd. 127,164 13,411 Hopson Development Holdings Ltd. 20,765 12,005 Kerry Properties Ltd. 52,667 1,630 Orient-Express Hotels Ltd., Class A 13,839 ------------ 228,884 ------------ CANADA -- 3.2% 665 Allied Properties Real Estate Investment Trust 8,433 1,041 Boardwalk Real Estate Investment Trust 29,266 6,249 Brookfield Properties Corp. 49,427 1,660 Calloway Real Estate Investment Trust 18,325 1,439 Canadian Apartment Properties Real Estate Investment Trust 16,516 1,404 Canadian Real Estate Investment Trust 29,694 2,125 Chartwell Seniors Housing Real Estate Investment Trust 9,902 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CANADA (CONTINUED) 1,075 Cominar Real Estate Investment Trust $ 14,307 364 Dundee Real Estate Investment Trust 4,741 1,474 Extendicare Real Estate Investment Trust 7,920 3,129 H&R Real Estate Investment Trust 29,537 1,576 InnVest Real Estate Investment Trust 5,352 918 Morguard Real Estate Investment Trust 7,616 483 Northern Property Real Estate Investment Trust 7,778 1,311 Primaris Retail Real Estate Investment Trust 13,345 4,713 RioCan Real Estate Investment Trust 61,913 ------------ 314,072 ------------ CAYMAN ISLANDS -- 2.6% 32,183 Agile Property Holdings Ltd. 46,260 40,909 China Resources Land Ltd. 90,686 69,049 Country Garden Holdings Co., Ltd. 32,163 24,090 New World China Land Ltd. 13,397 28,155 Shimao Property Holdings Ltd. 54,711 29,522 Shui On Land Ltd. 20,227 ------------ 257,444 ------------ FINLAND -- 0.3% 3,497 Citycon Oyj 9,125 4,408 Sponda Oyj (b) 12,553 1,217 Technopolis PLC 5,053 ------------ 26,731 ------------ FRANCE -- 4.8% 991 Acanthe Developpement SA 1,557 85 Affine Group 1,502 653 Fonciere des Regions Group 49,087 396 Gecina SA 24,499 418 Icade 34,325 1,763 Klepierre LLC 45,471 758 Mercialys 23,394 110 Societe de la Tour Eiffel 3,688 276 Societe Immobiliere de Location pour l'Industrie et le Commerce 24,335 1,725 Unibail-Rodamco SA 256,900 ------------ 464,758 ------------ GERMANY -- 0.4% 594 Alstria Office AG 4,666 484 Colonia Real Estate AG (b) 1,996 729 Deutsche Euroshop AG 22,448 560 Deutsche Wohnen AG (b) 7,809 499 DIC Asset AG (b) 3,535 See Notes to Quarterly Portfolio of Investments FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) GERMANY (CONTINUED) 553 Patrizia Immobilien AG (b) $ 2,149 421 Vivacon AG (b) 325 ------------ 42,928 ------------ GREECE -- 0.1% 540 Babis Vovos International Construction SA (b) 3,250 388 Eurobank Properties Real Estate Investment Co. 3,865 279 Lamda Development SA (b) 2,348 ------------ 9,463 ------------ GUERNSEY -- 0.3% 5,776 F&C Commercial Property Trust Ltd. 7,151 7,034 ING UK Real Estate Income Trust Ltd. 3,530 6,866 Invista Foundation Property Trust Ltd. 3,332 1,759 IRP Property Investments Ltd. 1,664 1,204 ISIS Property Trust Ltd. 1,565 2,207 Standard Life Investment Property Income Trust PLC 1,688 5,338 UK Commercial Property Trust Ltd. 5,906 ------------ 24,836 ------------ HONG KONG -- 14.0% 46,622 Champion Real Estate Investment Trust 15,280 87,373 China Overseas Land & Investment Ltd. 202,930 44,407 Hang Lung Properties Ltd. 146,972 22,675 Henderson Land Development Co., Ltd. 130,051 16,776 Hysan Development Co., Ltd. 43,076 12,051 Kowloon Development Co., Ltd. 10,651 45,522 Link (The) REIT 97,152 60,914 New World Development Co., Ltd. 110,195 34,763 Shenzhen Investment Ltd. 14,488 51,386 Sino Land Co., Ltd. 85,134 40,975 Sun Hung Kai Properties Ltd. 511,788 ------------ 1,367,717 ------------ ITALY -- 0.1% 8,125 Beni Stabili S.p.A 6,366 2,625 Immobiliare Grande Distribuzione 4,577 ------------ 10,943 ------------ JAPAN -- 14.6% 1,916 AEON Mall Co., Ltd. 36,556 1,237 DAIBIRU Corp. 10,670 3,340 HEIWA Real Estate Co., Ltd. 10,956 13 Japan Prime Realty Investment Corp. 28,204 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) 9 Japan Real Estate Investment Corp. $ 74,833 8 Japan Retail Fund Investment Corp. 37,037 4 Kenedix Realty Investment Corp. 13,868 21,930 Mitsubishi Estate Co., Ltd. 366,733 19,081 Mitsui Fudosan Co., Ltd. 333,350 2 MORI TRUST Sogo Reit, Inc. 14,263 12 Nippon Building Fund, Inc. 102,891 6 Nomura Real Estate Office Fund, Inc. 38,242 28 NTT Urban Development Corp. 27,176 5 ORIX JREIT, Inc. 22,941 3 Premier Investment Co. 10,713 9,744 Sumitomo Realty & Development Co., Ltd. 179,131 2,192 TOC Co., Ltd. 9,579 5,375 Tokyo Tatemono Co., Ltd. 30,073 8,297 Tokyu Land Corp. 37,896 3 TOKYU REIT, Inc. 16,256 3 Top REIT, Inc., Class A 11,616 4 United Urban Investment Corp. 17,190 ------------ 1,430,174 ------------ LUXEMBOURG -- 0.1% 955 Gagfah SA 7,918 1,201 ProLogis European Properties 4,549 ------------ 12,467 ------------ NETHERLANDS -- 1.7% 1,574 Corio N.V. 76,533 759 Eurocommercial Properties N.V. 23,372 835 Nieuwe Steen Investments Funds N.V. 12,885 439 VastNed Offices/Industrial N.V. 6,454 348 Vastned Retail N.V. 17,282 441 Wereldhave N.V. 32,789 ------------ 169,315 ------------ NEW ZEALAND -- 0.1% 16,945 Kiwi Income Property Trust 9,840 ------------ NORWAY -- 0.0% 3,209 Norwegian Property ASA (b) 2,845 ------------ SINGAPORE -- 3.8% 17,000 Allgreen Properties Ltd. 11,854 35,400 Ascendas Real Estate Investment Trust 38,861 43,890 CapitaCommercial Trust 24,848 67,530 Capitaland Ltd. 172,975 49,883 CapitaMall Trust 48,216 14,521 Keppel Land Ltd. 22,157 30,790 Mapletree Logistics Trust 11,798 3,000 Singapore Land Ltd. 11,081 See Notes to Quarterly Portfolio of Investments FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) 33,197 Suntec Real Estate Investment Trust $ 19,711 12,087 Wing Tai Holdings Ltd. 11,266 ------------ 372,767 ------------ SWEDEN -- 0.8% 3,650 Castellum AB 23,230 3,593 Fabege AB 12,156 1,723 Hufvudstaden AB 10,698 2,650 Klovern AB 6,217 2,897 Kungsleden AB 13,369 790 Wihlborgs Fastigheter AB 10,624 ------------ 76,294 ------------ SWITZERLAND -- 1.1% 121 Allreal Holding AG 14,343 65 Jelmoli Holding AG 23,570 995 PSP Swiss Property AG (b) 47,527 408 Swiss Prime Site AG (b) 19,977 772 Zueblin Immobilien Holding AG (b) 2,963 ------------ 108,380 ------------ UNITED KINGDOM -- 6.0% 509 A.J. Mucklow Group PLC 2,094 2,696 Big Yellow Group PLC (b) 15,169 18,090 British Land Co., PLC 113,689 5,755 Brixton PLC 3,811 510 CLS Holdings PLC (b) 2,559 104 Daejan Holdings PLC 3,297 2,134 Derwent London PLC 32,826 864 Development Securities PLC 3,731 2,201 Grainger PLC 5,287 6,635 Great Portland Estates PLC 24,015 14,791 Hammerson PLC 74,706 2,272 Helical Bar PLC 12,288 16,041 Land Securities Group PLC 124,366 12,004 Liberty International PLC 78,453 748 Primary Health Properties PLC 3,077 2,745 Quintain Estates & Development PLC 2,269 119,432 Segro PLC 47,649 3,077 Shaftesbury PLC 15,275 3,189 St. Modwen Properties PLC 9,549 2,681 Unite Group PLC 5,999 22,078 Workspace Group PLC 5,085 ------------ 585,194 ------------ UNITED STATES -- 33.6% 842 Acadia Realty Trust 10,988 168 Agree Realty Corp. 3,079 43 Alexander's, Inc. 11,593 832 Alexandria Real Estate Equities, Inc. 29,777 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) UNITED STATES (CONTINUED) 3,103 AMB Property Corp. $ 58,367 1,107 American Campus Communities, Inc. 24,553 2,480 Apartment Investment & Management Co. 21,948 2,026 Ashford Hospitality Trust 5,693 351 Associated Estates Realty Corp. 2,092 1,695 AvalonBay Communities, Inc. 94,818 2,062 BioMed Realty Trust, Inc. 21,094 2,892 Boston Properties, Inc. 137,948 2,728 Brandywine Realty Trust 20,324 1,082 BRE Properties, Inc. 25,708 1,415 Camden Property Trust 39,054 2,572 CBL & Associates Properties, Inc. 13,863 956 Cedar Shopping Centers, Inc. 4,321 1,031 Colonial Properties Trust 7,629 1,154 Corporate Office Properties Trust 33,847 2,444 Corrections Corp. of America (b) 41,524 837 Cousins Properties, Inc. 7,115 4,255 DCT Industrial Trust, Inc. 17,360 2,943 Developers Diversified Realty Corp. 14,362 2,291 DiamondRock Hospitality Co. 14,342 1,610 Digital Realty Trust, Inc. 57,719 1,930 Douglas Emmett, Inc. 17,351 4,750 Duke Realty Corp. 41,658 860 DuPont Fabros Technology, Inc. 8,101 535 EastGroup Properties, Inc. 17,666 605 Education Realty Trust, Inc. 2,595 742 Entertainment Properties Trust 15,285 535 Equity Lifestyle Properties, Inc. 19,891 913 Equity One, Inc. 12,106 5,789 Equity Residential 128,689 583 Essex Property Trust, Inc. 36,280 1,833 Extra Space Storage, Inc. 15,306 1,247 Federal Realty Investment Trust 64,245 1,373 FelCor Lodging Trust, Inc. 3,378 948 First Industrial Realty Trust, Inc. 4,124 580 First Potomac Realty Trust 5,655 2,669 Forest City Enterprises, Inc., Class A 17,615 392 Getty Realty Corp. 7,397 317 Government Properties Income Trust (b) 6,508 5,782 HCP, Inc. 122,521 2,350 Health Care REIT, Inc. 80,135 1,248 Healthcare Realty Trust, Inc. 21,004 1,024 Hersha Hospitality Trust 2,540 1,503 Highwoods Properties, Inc. 33,622 897 Hilltop Holdings, Inc. (b) 10,647 698 Home Properties, Inc. 23,802 1,991 Hospitality Properties Trust 23,673 12,786 Host Hotels & Resorts, Inc. 107,275 See Notes to Quarterly Portfolio of Investments FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - ----------- --------------------------------------------------- COMMON STOCKS (CONTINUED) UNITED STATES (CONTINUED) 4,746 HRPT Properties Trust $ 19,269 1,811 Inland Real Estate Corp. 12,677 1,346 Investors Real Estate Trust 11,966 915 Kilroy Realty Corp. 18,794 7,986 Kimco Realty Corp. 80,259 1,336 Kite Realty Group Trust 3,901 1,345 LaSalle Hotel Properties 16,597 2,350 Lexington Realty Trust 7,990 2,213 Liberty Property Trust 50,988 492 LTC Properties, Inc. 10,061 1,682 Macerich (The) Co. 29,620 1,660 Mack-Cali Realty Corp. 37,848 1,701 Medical Properties Trust, Inc. 10,325 598 Mid-America Apartment Communities, Inc. 21,953 217 National Healthcare Corp. 8,233 1,696 National Retail Properties, Inc. 29,426 2,172 Nationwide Health Properties, Inc. 55,907 1,747 OMEGA Healthcare Investors, Inc. 27,113 459 Parkway Properties, Inc. 5,967 853 Pennsylvania Real Estate Investment Trust 4,265 932 Post Properties, Inc. 12,526 9,392 ProLogis 75,700 325 PS Business Parks, Inc. 15,743 2,708 Public Storage 177,320 397 Ramco-Gershenson Properties Trust 3,974 2,213 Realty Income Corp. 48,509 1,698 Regency Centers Corp. 59,277 284 Saul Centers, Inc. 8,398 2,555 Senior Housing Properties Trust 41,698 5,953 Simon Property Group, Inc. 306,163 1,630 SL Green Realty Corp. 37,392 481 Sovran Self Storage, Inc. 11,833 1,595 Strategic Hotels & Resorts, Inc. 1,770 395 Sun Communities, Inc. 5,443 1,595 Sunstone Hotel Investors, Inc. 8,533 671 Tanger Factory Outlet Centers, Inc. 21,761 842 Taubman Centers, Inc. 22,616 3,193 UDR, Inc. 32,984 252 Universal Health Realty Income Trust 7,943 389 Urstadt Biddle Properties, Inc. 5,477 1,224 U-Store-It Trust 5,998 3,321 Ventas, Inc. 99,165 3,780 Vornado Realty Trust 170,213 1,231 Washington Real Estate Investment Trust 27,537 2,538 Weingarten Realty Investors 36,826 SHARES DESCRIPTION VALUE - --------------------------------------------------------------- COMMON STOCKS (CONTINUED) UNITED STATES (CONTINUED) 250 Winthrop Realty Trust, Inc. $ 2,233 ------------ 3,278,378 ------------ TOTAL COMMON STOCKS -- 99.9% (Cost $12,403,116) 9,760,557 RIGHTS -- 0.1% AUSTRALIA -- 0.0% 15,675 Mirvac Group, expiring 7/01/09 (b) 1,011 UNITED KINGDOM -- 0.1% 1,705 Shaftesbury PLC, expiring 6/30/09) (b) 3,450 ------------ TOTAL RIGHTS-- 0.1% 4,461 (Cost $4,621) ------------ MONEY MARKET FUND -- 0.4% 41,285 Morgan Stanley Institutional Treasury Money Market Fund- 0.03% (c) (Cost $41,285) 41,285 ------------ TOTAL INVESTMENTS -- 100.4% (Cost $12,449,022) (d) 9,806,303 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (37,395) ------------ NET ASSETS -- 100.0% $ 9,768,908 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at June 30, 2009. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of June 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $123,850 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,766,569. - ------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks $ 9,760,557 $ - $ - Rights 4,461 - - Money Market 41,285 - - ------------------------------------------ Total Investments $ 9,806,303 $ - $ - ========================================== See Notes to Quarterly Portfolio of Investments FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) % OF INDUSTRY NET ASSETS - ---------------------------------------------------- Real Estate Investment Trusts 64.1% Real Estate Management & Developement 34.8 Commercial Services & Supplies 0.4 Money Market Fund 0.4 Capital Markets 0.2 Hotels, Restaurants & Leisure 0.2 Insurance 0.1 Health Care Providers & Services 0.1 Rights 0.1 - ---------------------------------------------------- TOTAL INVESTMENTS 100.4 NET OTHER ASSETS AND LIBILITIES (0.4) ------- TOTAL 100.0% ======= See Notes to Quarterly Portfolio of Investments FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND PORTFOLIO OF INVESTMENTS (a) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUSTRALIA -- 27.7% 37,114 Adelaide Brighton Ltd. $ 67,290 4,648 Australia & New Zealand Banking Group Ltd. 61,761 4,614 Billabong International Ltd. 32,532 2,010 Commonwealth Bank of Australia 63,167 50,248 Commonwealth Property Office Fund 33,607 49,332 CSR Ltd. 67,578 41,525 David Jones Ltd. 152,247 5,999 Felix Resources Ltd. 68,643 100,912 ING Office Fund 37,405 3,674 Lion Nathan Ltd. 34,253 39,252 Macquarie Airports 73,064 49,542 Macquarie Infrastructure Group 57,087 3,475 National Australia Bank Ltd. 62,836 9,078 Orica Ltd. 158,883 44,578 Qantas Airways Ltd. 72,201 4,565 Sims Metal Management Ltd. 97,517 25,968 Stockland 67,169 13,259 Suncorp-Metway Ltd. 71,584 11,190 Telstra Corp., Ltd. 30,567 5,969 United Group Ltd. 49,782 4,393 Wesfarmers Ltd. 80,178 3,770 Westfield Group 34,571 3,456 Westpac Banking Corp. 56,393 3,663 WorleyParsons Ltd. 70,279 ------------ 1,600,594 ------------ AUSTRIA -- 2.5% 1,392 OMV AG 52,120 3,337 voestalpine AG 91,520 ------------ 143,640 ------------ BELGIUM -- 0.3% 246 Mobistar SA 15,157 ------------ BERMUDA -- 5.9% 4,348 Esprit Holdings Ltd. 24,265 26,574 Orient Overseas International Ltd. 113,496 26,774 VTech Holdings Ltd. 182,753 9,310 Yue Yuen Industrial Holdings Ltd. 21,935 ------------ 342,449 ------------ CANADA -- 4.3% 3,156 Bell Aliant Regional Communications Income Fund 71,496 4,470 Canadian Oil Sands Trust 106,797 927 Manitoba Telecom Services, Inc. 27,153 3,507 Russel Metals, Inc. 45,407 ------------ 250,853 ------------ FINLAND -- 8.2% 1,287 Fortum Oyj 29,285 2,178 KCI Konecranes Oyj 51,179 7,611 Metso Oyj 142,006 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FINLAND (CONTINUED) 4,943 Rautaruukki Oyj $ 98,814 14,916 Yit Oyj 154,845 ------------ 476,129 ------------ FRANCE -- 3.3% 1,721 France Telecom SA 39,016 892 PPR SA 72,772 3,324 Vivendi SA 79,436 ------------ 191,224 ------------ GERMANY -- 1.9% 1,174 BASF SE 46,658 667 K+S AG 37,456 292 RWE AG 22,977 ------------ 107,091 ------------ HONG KONG -- 3.7% 3,131 CLP Holdings Ltd. 20,765 32,566 CNOOC Ltd. 40,382 59,898 Cosco Pacific Ltd. 67,472 3,895 Hongkong Electric Holdings 21,661 16,293 Television Broadcasts Ltd. 65,487 ------------ 215,767 ------------ ITALY -- 2.4% 1,503 ENI S.p.A 35,528 20,794 Milano Assicurazioni S.p.A 68,989 26,012 Telecom Italia S.p.A 35,944 ------------ 140,461 ------------ NETHERLANDS -- 4.8% 1,289 Fugro N.V. 53,381 11,443 Koninklijke BAM Groep N.V. 92,834 3,295 Koninklijke Boskalis Westminster N.V. 74,698 491 Smit Internationale N.V. 29,074 401 Wereldhave N.V. 29,815 ------------ 279,802 ------------ NEW ZEALAND -- 2.2% 12,321 Fletcher Building Ltd. 52,308 41,808 Telecom Corp. of New Zealand Ltd. 73,640 ------------ 125,948 ------------ PORTUGAL -- 0.4% 3,438 CIMPOR Cimentos de Portugal SGPS SA 25,080 ------------ SINGAPORE -- 9.3% 4,504 Jardine Cycle & Carriage Ltd. 59,705 32,000 Keppel Corp. Ltd. 152,444 14,000 SembCorp Industries Ltd. 29,191 60,000 Singapore Petroleum Co., Ltd. 257,249 See Notes to Quarterly Portfolio of Investments FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) 17,000 UOL Group Ltd. $ 38,733 ------------ 537,322 ------------ SPAIN -- 0.9% 2,785 Gas Natural SDG SA 50,673 ------------ SWEDEN -- 5.3% 15,342 NCC AB, Class B 133,242 6,749 Sandvik AB 50,084 5,231 SSAB Svenskt Stal AB 60,856 1,827 Svenska Handelsbanken AB 34,517 4,835 TeliaSonera AB 25,382 ------------ 304,081 ------------ UNITED KINGDOM -- 9.2% 3,370 Amlin PLC 16,758 8,154 BP PLC 64,097 9,421 Brit Insurance Holdings PLC 29,255 26,899 BT Group PLC 44,918 36,000 Hays PLC 50,787 19,396 HMV Group PLC 35,979 9,267 IMI PLC 47,529 2,417 Jardine Lloyd Thompson Group PLC 16,035 2,864 Provident Financial PLC 37,388 5,413 Rexam PLC 25,336 1,509 Severn Trent PLC 27,160 44,071 Tomkins PLC 107,308 3,466 United Utilities PLC 28,340 ------------ 530,890 ------------ UNITED STATES -- 7.7% 2,438 Altria Group, Inc. 39,959 1,018 American Electric Power Co., Inc. 29,410 1,007 AT&T, Inc. 25,014 5,372 CenterPoint Energy, Inc. 59,522 664 Consolidated Edison, Inc. 24,847 2,196 Dow Chemical (The) Co. 35,443 743 DTE Energy Co. 23,776 2,297 General Electric Co. 26,921 3,694 MeadWestvaco Corp. 60,619 1,639 Pepco Holdings, Inc. 22,028 717 Progress Energy, Inc. 27,124 692 SCANA Corp. 22,469 575 Southern Co. 17,917 2,514 TECO Energy, Inc. 29,992 ------------ 445,041 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $5,385,503) (b) 5,782,202 NET OTHER ASSETS AND LIABILITIES -- 0.0% 2,129 ------------ NET ASSETS -- 100.0% $ 5,784,331 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of June 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $889,383 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $492,684. - ------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks $ 5,782,202 $ - $ - ------------------------------------------ Total Investments $ 5,782,202 $ - $ - ========================================== See Notes to Quarterly Portfolio of Investments FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) % OF INDUSTRY NET ASSETS - ---------------------------------------------------------- Oil, Gas & Consumable Fuels 10.8% Construction & Engineering 8.7 Industrial Conglomerates 6.7 Diversified Telecommunication Services 6.4 Metals & Mining 6.1 Machinery 5.0 Commercial Banks 4.9 Chemicals 4.8 Transportation Infrastructure 4.0 Multiline Retail 3.8 Multi-Utilities 3.6 Insurance 3.5 Real Estate Investment Trusts 3.5 Communications Equipment 3.1 Electric Utilities 2.9 Media 2.5 Construction Materials 2.5 Energy Equipment & Services 2.1 Marine 2.0 Food & Staples Retailing 1.4 Airlines 1.2 Paper & Forest Products 1.1 Specialty Retail 1.0 Distributors 1.0 Textiles, Apparel & Luxury Goods 1.0 Professional Services 0.9 Gas Utilities 0.9 Trading Companies & Distributors 0.8 Tobacco 0.7 Real Estate Management & Development 0.7 Consumer Finance 0.6 Beverages 0.6 Water Utilities 0.5 Containers & Packaging 0.4 Wireless Telecommunication Services 0.3 - ---------------------------------------------------------- TOTAL INVESTMENTS 100.0 NET OTHER ASSETS AND LIABILITIES - ---------- TOTAL 100.0% ========== See Notes to Quarterly Portfolio of Investments FIRST TRUST ISE GLOBAL WIND ENERGY INDEX FUND PORTFOLIO OF INVESTMENTS (a) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUSTRALIA -- 5.0% 71,015 AGL Energy Ltd. $ 769,663 4,178,333 Babcock & Brown Wind Partners 3,871,944 -------------- 4,641,607 -------------- BELGIUM -- 6.6% 2,419,001 Hansen Transmissions International (b) 6,138,738 -------------- BERMUDA -- 0.5% 4,151,521 China Windpower Group Ltd. (b) 455,325 -------------- BRAZIL -- 1.2% 76,386 Centrais Eletricas Brasileiras SA, ADR (b) 1,113,708 -------------- CANADA -- 0.6% 38,079 Boralex, Inc. (b) 261,903 79,306 Canadian Hydro Developers, Inc. (b) 254,319 -------------- 516,222 -------------- CAYMAN ISLANDS -- 0.8% 398,645 China High Speed Transmission Equipment Group Co., Ltd. 794,199 -------------- CHINA -- 0.3% 253,789 Harbin Power Equipment Co. Ltd. 239,379 -------------- DENMARK -- 8.9% 325,504 Greentech Energy Systems A/S (b) 1,391,921 96,030 Vestas Wind Systems A/S (b) 6,883,255 -------------- 8,275,176 -------------- FRANCE -- 3.5% 16,893 Alstom SA 996,640 15,824 EDF Energies Nouvelles SA 784,951 331,112 Theolia SA (b) 1,444,606 -------------- 3,226,197 -------------- GERMANY -- 14.7% 262,992 Conergy AG (b) 228,743 37,275 E.ON AG, ADR 1,318,793 233,231 Nordex AG (b) 3,657,987 530,792 PNE Wind AG (b) 1,608,393 34,509 REpower Systems AG (b) 5,653,951 17,411 Siemens AG, ADR 1,204,667 -------------- 13,672,534 -------------- GREECE -- 0.5% 75,433 Terna Energy SA 477,257 -------------- SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) GUERNSEY -- 1.5% 2,012,685 Renewable Energy Generation Ltd. $ 1,357,618 -------------- JAPAN -- 4.5% 687 Japan Wind Development Co. Ltd. 3,052,224 99,600 Mitsui & Co. Ltd. 1,184,840 -------------- 4,237,064 -------------- PORTUGAL -- 1.1% 271,184 EDP-Energias de Portugal SA 1,062,549 -------------- SPAIN -- 26.1% 8,278 Acciona SA 1,017,287 690,288 EDP Renovaveis SA (b) 7,069,150 53,917 Endesa SA 1,290,384 918,083 Fersa Energias Renovables SA 2,756,194 272,025 Gamesa Corp. Tecnologica SA 5,155,588 1,546,542 Iberdrola Renovables SA (b) 7,061,984 -------------- 24,350,587 -------------- SWEDEN -- 0.8% 63,966 SKF AB 787,692 -------------- SWITZERLAND -- 1.1% 10,720 BKW FMB Energie AG 789,287 489 Gurit Holding AG 225,024 -------------- 1,014,311 -------------- UNITED KINGDOM -- 5.2% 25,881 BP PLC, ADR 1,234,006 1,197,332 Clipper Windpower PLC (b) 2,363,816 24,355 Royal Dutch Shell PLC, ADR 1,222,378 -------------- 4,820,200 -------------- UNITED STATES -- 17.1% 99,169 AES Corp. (b) 1,151,352 18,985 Allegheny Technologies, Inc. 663,146 31,690 Alliant Energy Corp. 828,060 19,073 American Superconductor Corp. (b) 500,666 4,453 Ameron International Corp. 298,529 406,957 Broadwind Energy, Inc. (b) 4,606,753 220,859 Capstone Turbine Corp. (b) 183,313 23,679 Deere & Co. 945,976 72,265 Duke Energy Corp. 1,054,347 47,497 Federal Mogul Corp. (b) 448,847 18,473 FPL Group, Inc. 1,050,375 98,086 General Electric Co. 1,149,568 15,050 Kaydon Corp. 490,028 32,626 NRG Energy, Inc. (b) 846,971 24,293 Otter Tail Corp. 530,559 35,503 Trinity Industries, Inc. 483,551 24,574 Woodward Governor Co. 486,565 See Notes to Quarterly Portfolio of Investments FIRST TRUST ISE GLOBAL WIND ENERGY INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) UNITED STATES (CONTINUED) 21,831 Zoltek Cos., Inc. (b) $ 212,197 ------------ 15,930,803 ------------ TOTAL COMMON STOCKS -- 100.0% (Cost $114,354,191) 93,111,166 RIGHTS -- 0.0% GERMANY -- 0.0% 446,472 PNE Wind AG, expiring 7/08/09 (Cost $0) (b) 18,790 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $114,354,191) (c) 93,129,956 NET OTHER ASSETS AND LIABILITIES -- 0.0% 12,218 ------------ NET ASSETS -- 100.0% $93,142,174 ============ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of June 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,797,552 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $26,021,787. ADR - American Depositary Receipt - ------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks $ 93,111,166 $ - $ - Rights 18,790 - - ------------------------------------------ Total Investments $ 93,129,956 $ - $ - ========================================== % OF INDUSTRY NET ASSETS - ---------------------------------------------------------- Independent Power Producers & Energy Traders 32.9% Electrical Equipment 31.7 Electric Utilities 12.6 Machinery 9.4 Oil, Gas & Consumable Fuels 5.5 Industrial Conglomerates 3.1 Multi-Utilities 1.7 Trading Companies & Distributors 1.2 Metals & Mining 0.7 Auto Components 0.5 Chemicals 0.4 Building Products 0.3 - ---------------------------------------------------------- TOTAL INVESTMENTS 100.0 NET OTHER ASSETS AND LIABILITIES - ---------- TOTAL 100.0% ========== See Notes to Quarterly Portfolio of Investments FIRST TRUST ISE GLOBAL ENGINEERING AND CONSTRUCTION INDEX FUND PORTFOLIO OF INVESTMENTS (a) JUNE 30, 2009 (UNAUDITED) SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUSTRALIA -- 2.9% 41,389 Leighton Holdings Ltd. $ 783,756 -------------- BERMUDA -- 0.1% 165,000 HKC (Holdings) Ltd. 14,052 -------------- CANADA -- 3.1% 18,377 SNC-Lavalin Group, Inc. 677,002 7,230 Stantec, Inc. (b) 173,982 -------------- 850,984 -------------- CHINA -- 4.6% 608,592 China Communications Construction Co. Ltd. 711,459 690,832 China Railway Group Ltd. (b) 555,336 -------------- 1,266,795 -------------- EGYPT -- 1.9% 16,132 Orascom Construction Industries, GDR GDR 524,451 -------------- FINLAND -- 1.2% 30,503 Yit Oyj 316,657 -------------- FRANCE -- 8.4% 24,505 Bouygues SA 921,305 8,353 Eiffage SA 486,301 20,121 Vinci SA 902,838 -------------- 2,310,444 -------------- GERMANY -- 2.5% 13,369 Hochtief AG 673,298 -------------- ITALY -- 2.2% 108,514 Impregilo S.p.A 377,149 30,744 Maire Tecnimont S.p.A 100,276 11,161 Trevi Finanziaria S.p.A 129,721 -------------- 607,146 -------------- JAPAN -- 21.6% 62,000 Chiyoda Corp. 503,285 32,300 COMSYS Holdings Corp. 357,753 46,000 JGC Corp. 744,901 226,000 Kajima Corp. 706,140 32,000 Kandenko Co. Ltd. 237,505 45,000 Kinden Corp. 395,651 29,000 Kyowa Exeo Corp. 288,992 21,000 Maeda Corp. 80,002 7,000 Maeda Road Construction Co., Ltd. 71,646 129,000 Obayashi Corp. 633,383 45,000 Okumura Corp. 175,637 154,000 Shimizu Corp. 671,407 2,500 SHO-BOND Holdings Co. Ltd. 47,516 178,000 Taisei Corp. 430,518 55,000 Toda Corp. 224,944 15,000 Toshiba Plant Systems & Services Corp. 170,343 SHARES DESCRIPTION VALUE - -------------------------------------------------------------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) 56,000 Toyo Engineering Corp. $ 190,087 -------------- 5,929,710 -------------- NETHERLANDS -- 5.8% 8,005 Arcadis N.V. 133,018 40,084 Chicago Bridge & Iron Co., N.V. 497,042 15,734 Imtech N.V. 305,484 33,464 Koninklijke BAM Groep N.V. 271,484 17,515 Koninklijke Boskalis Westminster N.V. 397,069 -------------- 1,604,097 -------------- NORWAY -- 2.0% 66,042 Aker Solutions ASA 545,373 -------------- PANAMA -- 2.5% 33,403 McDermott International, Inc. (b) 678,415 -------------- PORTUGAL -- 0.3% 19,754 Mota-Engil SGPS SA 89,510 -------------- SPAIN -- 7.2% 16,723 ACS Actividades de Construccion y Servicios SA 845,733 13,606 Obrascon Huarte Lain SA 268,940 30,544 Sacyr Vallehermoso SA 423,347 9,012 Tecnicas Reunidas SA 425,170 -------------- 1,963,190 -------------- SWEDEN -- 2.8% 68,282 Skanska AB 763,395 -------------- SWITZERLAND -- 2.6% 29,951 Foster Wheeler AG (b) 711,336 -------------- UNITED KINGDOM -- 4.8% 55,185 AMEC PLC 592,860 27,842 Atkins WS PLC 273,002 83,927 Balfour Beatty PLC 426,656 3,090 Keller Group PLC 28,138 -------------- 1,320,656 -------------- UNITED STATES -- 23.5% 20,284 Aecom Technology Corp. (b) 649,088 22,551 EMCOR Group, Inc. (b) 453,726 17,040 Fluor Corp. 873,982 14,480 Granite Construction, Inc. 481,894 19,998 Jacobs Engineering Group, Inc. (b) 841,716 37,699 KBR, Inc. 695,170 32,729 Quanta Services, Inc. (b) 757,022 22,189 Shaw Group (The), Inc. (b) 608,200 17,682 Tutor Perini Corp. (b) 306,959 15,838 URS Corp. (b) 784,298 -------------- 6,452,055 -------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST ISE GLOBAL ENGINEERING AND CONSTRUCTION INDEX FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) JUNE 30, 2009 (UNAUDITED) DESCRIPTION VALUE -------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost $25,148,469) (c) $ 27,405,320 NET OTHER ASSETS AND LIABILITIES -- 0.0% 9,986 -------------- NET ASSETS -- 100.0% $ 27,415,306 ============== (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of June 30, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,665,460 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $408,609. - -------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks $ 27,405,320 $ - $ - ------------------------------------------ Total Investments $ 27,405,320 $ - $ - ========================================== % OF INDUSTRY NET ASSETS - ------------------------------------------------------------ Construction & Engineering 90.1% Energy Equipment & Services 5.8 Industrial Conglomerates 2.5 Professional Services 1.6 - ------------------------------------------------------------ TOTAL INVESTMENTS 100.0 NET OTHER ASSETS AND LIABILITIES - ---------- TOTAL 100.0% ========== See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED FUND II NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS JUNE 30, 2009 (UNAUDITED) 1. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: First Trust Exchange-Traded Fund II (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on July 20, 2006, and is registered with the Securities Exchange Commission ("SEC") under the Investment Company Act of 1940 as amended (the "1940 Act"). The Trust currently consists of five exchange-traded funds (each a "Fund" or collectively, the "Funds") as follows: First Trust Dow Jones STOXX(R) European Select Dividend Index Fund First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund First Trust Dow Jones Global Select Dividend Index Fund First Trust ISE Global Wind Energy Index Fund First Trust ISE Global Engineering and Construction Index 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 in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Portfolio securities listed on any exchange other than the NASDAQ National Market ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there has been no sale on such day, or no official closing price in the case of securities traded on the NASDAQ or the AIM, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, 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 trading on the NASDAQ and the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. The use of fair value pricing by each Fund is governed by valuation procedures adopted by the Board of Trustees and is in accordance with the provisions of the 1940 Act. 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, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange and fair value pricing may not reflect the actual value of a security. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official FIRST TRUST EXCHANGE-TRADED FUND II NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2009 (UNAUDITED) closing prices 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 its index. Because foreign markets may be open on different days than the days during which investors may purchase shares of each Fund, the value of each Fund's securities may change on days when investors are not able to purchase shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rate used by the Index may adversely affect the Fund's ability to track the Index. In September 2006, the Financial Accounting Standards Board ("FASB") 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. 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 Funds' own assumption in determining the fair value of investments) In April 2009, FASB issued FASB Staff Position No. 157-4, "Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 also includes guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 requires entities to describe the inputs used in valuation techniques used to measure fair value and changes in inputs over the period. FSP 157-4 expands the three-level hierarchy disclosure and the level 3 roll-forward disclosure for each major security type as described in paragraph 19 of FAS No. 115, "Accounting for Certain Investments in Debt and Equity Securities". The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's net assets as of June 30, 2009 is included within 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 ("MLPs") and real estate investment trusts ("REITs"). Distributions from such investments may include a return of capital component from the MLP or REIT to the extent of the cost basis of such investments. FIRST TRUST EXCHANGE-TRADED FUND II ADDITIONAL INFORMATION JUNE 30, 2009 (UNAUDITED) ADDITIONAL INFORMATION "STOXX" and "Dow Jones STOXX(R) Select Dividend 30 Index" are trademarks of Dow Jones & Company, Inc. ("Dow Jones") and have been licensed for use for certain purposes by First Trust Advisors L.P. ("First Trust") and First Trust Dow Jones STOXX(R) European Select Dividend Index Fund. The Fund, based on the Dow Jones STOXX(R) Select Dividend 30 Index, is not sponsored, endorsed, sold, or promoted by STOXX or Dow Jones and neither STOXX nor Dow Jones makes any representation regarding advisability of trading or investing in such product. The FTSE EPRA/NAREIT Global Real Estate Index is calculated by FTSE International Limited ("FTSE"). FTSE does not sponsor, endorse or promote the First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund. All copyright in the index values and constituent list vests in FTSE and/or its licensors. First Trust and First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund has obtained full license from FTSE to use such copyright in the creation of the First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund. "FTSE(R)" , "FT-SE(R)" and "Footsie(R)" are trademarks jointly owned by the London Stock Exchange PLC and the Financial Times Limited and are used by FTSE under license. "NAREIT(R)" is the trademark of the National Association of Real Estate Investment Trusts and "EPRA(R)" is the trademark of the European Public Real Estate Association and are used by FTSE under license. Dow Jones and Dow Jones Global Select Dividend Index(SM) are trademarks of Dow Jones and have been licensed for use. First Trust Dow Jones Global Select Dividend Index Fund, based on the Dow Jones Global Select Dividend Index(SM), is not sponsored, endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation regarding the advisability of trading in the Fund. International Securities Exchange(TM), ISE(TM), the ISE Global Wind Energy Index(TM) and the ISE Global Engineering and Construction Index are trademarks of the International Securities Exchange(TM) and have been licensed for use for certain purposes by First Trust Advisors L.P. The First Trust ISE Global Wind Energy Index Fund and the First Trust ISE Global Engineering and Construction Index Fund are 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. 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 II ------------------------------------------- By: /s/ James A. Bowen ---------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: August 24, 2009 --------------------------------------------------- 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: August 24, 2009 --------------------------------------------------- By: /s/ Mark R. Bradley --------------------------------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: August 24, 2009 --------------------------------------------------- EX-99.CERT 2 certifications.txt CERTIFICATIONS CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchanged-Traded Fund II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date : August 24, 2009 -------------------------- /s/ James A. Bowen --------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded Fund II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 24, 2009 ----------------------------- /s/ Mark R. Bradley ---------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----