First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2018

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Portfolio of Investments	6
Statement of Assets and Liabilities	15
Statement of Operations	16
Statements of Changes in Net Assets	17
Statement of Cash Flows	18
Financial Highlights	19
Notes to Financial Statements	20
Additional Information	28

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or MacKay Shields LLC (“MacKay” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust High Income Long/Short Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of a relevant market benchmark.

It is important to keep in mind that the opinions expressed by personnel of First Trust and MacKay are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Letter from the Chairman and CEO

April 30, 2018

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the First Trust High Income Long/Short Fund which contains detailed information about your investment for the period ended April 30, 2018, including a market overview and a performance analysis for the period. We encourage you to read this report carefully and discuss it with your financial advisor.

As you are no doubt aware, 2017 was a very strong year for both the U.S. and global markets. The three major U.S. indices – the S&P 500^® Index, the Dow Jones Industrial Average and the Nasdaq Composite – posted their best performance since 2013. And there was more good news for Wall Street as the year ended and analysts collected stock market data:

•	The S&P 500® Index did something it had never previously done, finishing 2017 with 12 months of gains;
•	The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30;
•	The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%); and
•	The MSCI AC World Index (containing constituents from 47 countries) ended 2017 at an all-time high and was up 22% at year-end.

As 2017 ended, President Trump signed the “Tax Cuts and Jobs Act of 2017” tax reform bill. As 2018 began, there was much enthusiasm for this tax reform package and the potential increase in take-home pay for many Americans, as well as the reduction in the federal corporate tax rate from 35% to 21%. Early in the year, many investors were also watching the Federal Reserve (the “Fed”) and its signaled intent to continue raising interest rates at a gradual pace. Based on strong job growth and the economic outlook in the U.S., the Fed did, in fact, raise interest rates on March 21, 2018.

For the entire first quarter of 2018, increased volatility was the norm. The S&P 500^® Index was off to a strong start in January as it returned over 7.5% from January 2 to January 26. February, however, was a different story. Early in the month, the Dow Jones Industrial Average plunged 567 points and sank into “correction” territory (defined as a drop of 10% from the index’s high) and in just two weeks, was down more than 3,200 points. However, as February came to a close, the Dow Jones Industrial Average was back on track and up from the lows experienced earlier in the month. Volatility continued in March and April with the Dow Jones Industrial Average ending April with a small gain. Across the globe, the first quarter saw the Emerging Market and Developing Market countries, as well as Europe, continue with the strong performances experienced in 2017.

This market volatility is why we believe that one should invest for the long term and be prepared for market movements, which can happen at any time. This can be accomplished by keeping current on your portfolio and investing goals and by speaking regularly with your investment professional. It’s important to keep in mind that past performance of the U.S. and global stock markets or investment products can never guarantee future results. As we’ve said before, markets go up and they also go down, but savvy investors are prepared for either through careful attention to their portfolios and investment goals.

At First Trust, we continue to be optimistic about the U.S. economy and we thank you for giving us the opportunity to be a part of your financial plan. We value our relationship with you and will report on your investment again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE”

As of April 30, 2018 (Unaudited)

 

(1)	Most recent distribution paid or declared through 4/30/2018. Subject to change in the future.

(2)	Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of 4/30/2018. Subject to change in the future.

(3)

Total return is based on the combination of reinvested dividend, capital gain, and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

Page 2

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE” (Continued)

As of April 30, 2018 (Unaudited)

 

(4)	Percentages are based on long positions only. Short positions are excluded.

(5)

The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.

Page 3

Portfolio Commentary

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2018 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust”) is the investment advisor to the First Trust High Income Long/Short Fund (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

MacKay Shields LLC is a registered investment advisor founded in 1938, and is Sub-Advisor to the Fund. The Fund trades under the ticker symbol FSD on the New York Stock Exchange. As of April 30, 2018, MacKay had approximately $110.7 billion in assets under management.

Portfolio Management Team

Dan Roberts, PhD – Executive Managing Director, Head of Global Fixed Income Division and Chief Investment Officer

Louis N. Cohen, CFA – Senior Managing Director, Global Fixed Income Division

Joseph Cantwell – Managing Director, Global Fixed Income Division

Matthew Jacob – Managing Director, Global Fixed Income Division

Shu-Yang Tan, CFA – Managing Director, Global Fixed Income Division

Market Recap

This report covers the Fund for the six-month period ending April 30, 2018.

Initially, risky assets -- including U.S. stocks and corporate bonds -- benefitted from investors’ optimism about the Republican tax plan, an increase in oil prices, and a positive global economic backdrop. However, subsequently volatile equity markets, bond exchange-traded funds (“ETFs”) outflows, potential trade wars and tariffs, and increased Federal borrowing needs (due to the revised tax code) weighed on “risk markets”. February 2018 outflows from bond ETFs were noteworthy. For instance, the market cap of iShares iBoxx $ High Yield Corporate Bond ETF (“HYG”) contracted by some 17% and SPDR^® Bloomberg Barclays High Yield Bond ETF withered about 37% by mid-February.

Tightening by the Federal Reserve (the “Fed”), burgeoning wage pressures and concerns about future inflation coupled with increased supply contributed to higher yields on government debt. The U.S. Treasury Department announced that net borrowing in the first quarter of 2018 reached $488 billion or $47 billion more than had been expected. Furthermore, the Treasury projects $75 billion of net new debt issuance from April through June of 2018. The Fed raised overnight rates as expected throughout the six-month period and doubled the pace of its balance sheet reduction program. Consequently, yields on U.S. Treasuries rose with the front-end of the yield curve sustaining the most damage. The yield on the two-year note lofted 89 basis points (“bps”) while the ten-year yield increased by 57 bps and the thirty-year bond by only 24 bps. Moreover, the ten-year bond approached 3.00% resulting in the widest spread to German Bunds since 1989. The 3-Month London Interbank Offered Rate (“LIBOR”) rose to 2.36%.

The pace of U.S. economic activity slackened somewhat in the first quarter of 2018; gross domestic product (“GDP”) came in at a respectable 2.3% (down from 2.9% from the final quarter of 2017) as consumers spent less on clothing, cars, and footwear. High frequency wage and employment data contributed to a growing consensus that the U.S. is at, or near, full employment and that wage pressures are not transitory. The Bureau of Labor Statistics reported that compensation grew by 2.7%, and initial jobless claims dropped to the lowest level since 1969. Unemployment reached 4.1%, and the core personal consumption expenditures (“PCE”), excluding food and energy, price index jumped 1.9% -- close to the Fed’s 2.0% target. We believe that the likely trajectory of short-term rates is gradually higher.

Other central banks were in the news as well. Although the European Central Bank (“ECB”) started to trim its corporate bond buying program from €60 billion to €30 billion in January of 2018, the central bank indicated that it intends to keep its main rate at zero for “an extended period, and well past the horizon of net asset purchases.” Initially robust economic activity in Europe and the United Kingdom, however, surprised modestly on the downside. Mario Draghi, the president of the ECB, noted “a lack of momentum that is pretty broad-based across countries and all sectors.” He continued to caution that “risks related to global factors, including the threat of increased protectionism, have become more prominent.” British GDP grew by a mere 0.1% in the first quarter of 2018 due, in part, to colder and snowier winter weather. The Bank of England governor, Mark Carney, also cited uncertainty regarding post-Brexit trade with the European Union (“EU”) as a potential source of economic headwinds. The economic slackening in both the EU and the United Kingdom point to more dovish central bank activity in the near-term.

Performance Analysis

After relatively smooth sailing in the latter part of 2017, global capital markets experienced significant volatility during the first four months of 2018, and high-yield (“HY”) bonds were not immune from that volatility. Given that the early 2018 equity market sell-off

Page 4

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2018 (Unaudited)

was broadly described as a “risk-off” event, many have assumed that must be the case for HY bonds as well. However, our analysis indicates that the recent performance of U.S. HY bonds is more nuanced – and more aptly described as “rates off” rather than “risk-off”. The reaction of U.S. HY bond markets differed from that of the Treasury and equity markets in a number of subtle, yet important, ways. Higher risk issues generated positive returns in the face of rising rates, while lower risk issues posted negative returns.

Although CCC and lower names posted significant positive returns, overall U.S. high-yield bond returns were negative during the period. The Energy (1.43%), Transportation (0.83%), Financial Services (0.79%), and Healthcare (0.67%) sectors were the strongest performers in the widely watched ICE BofAML US High Yield Constrained Index, whereas Automotive (-3.38%), Consumer Goods (-2.49%), Banking (-2.23%), and Media (-1.77%) lagged the benchmark. New issuance remained strong despite intermittently unsettled markets, and refinancing continued to represent a sizeable portion of new issuance during the period.

Many of the sectors which contributed to the Fund’s outperformance in 2017 reversed in early 2018, but we believe this is temporary. Credit market performance in the first quarter of 2018 -- January and February especially -- is not sustainable in our view. Given the near historical tights on spreads and the rise in idiosyncratic risk and the risk associated with disruption, we believe that managing away from uncompensated risks is warranted. Specifically, we are avoiding disrupted sectors such as Retail, Wireline - Telecom, and Healthcare - Hospitals and maintain our relative caution on credit (overweight BBB, BB) while reducing our exposure to some longer duration bonds. In other cases, we expect our ongoing longer duration holdings to become “rising stars” and be upgraded to investment grade in the near future.

Turning to performance, the Fund returned -1.00%¹ on a NAV basis and returned -6.56%¹ on a share price basis for the six-month period ending April 30, 2018, underperforming its benchmark, the ICE BofAML US High Yield Constrained Index², which returned -0.23% for the same period. Within the Fund, lower quality issuers experiencing disruption outperformed and this detracted from results; these sectors included wireline telecom, energy, and healthcare facilities where the Fund is underweight. Note that these are the same underweights that benefitted the Fund in 2017. Additionally, certain economically sensitive sectors where we are primarily overweight (steel, gaming, building materials and chemicals), which we believed should have benefited from fiscal stimulus, lagged. Less cyclical sectors that usually outperform in periods of volatility and where the Fund is overweight (Food and Packaging) did not perform well during the period. Alternatively, the Fund’s underweight to Cable and Satellite and overweight to Pharmaceuticals and Autos benefitted results.

During the period, the Fund held a short position in U.S. Treasury bonds, expressed in the belly of the curve, and used the short to reduce the Fund’s portfolio’s exposure to interest-rate risk, while at the same time purchasing additional high-yield securities to lever up the portfolio. The additional long exposure to high-yield bonds detracted from results as the high-yield market sold off during the quarter.

Outlook

We believe geopolitical concerns and central bank policies will likely be the dominant drivers of market sentiment over the near-term. In our opinion, rising interest rates (helped by a hawkish Fed), a flattening yield curve, higher oil prices, increased tension with Iran, and trade wars between the U.S. and China, Mexico and others should collectively keep the markets on their toes during the second quarter of 2018. These risk factors, coupled with softer-than-expected economic growth in the U.S., have temporarily overshadowed a healthy corporate earnings season that we believe should otherwise be a catalyst for improved risk appetites.

As we have observed throughout this economic expansion, many of these risks factors, in our opinion, typically create pockets of price volatility rather than lead to fundamental impairment across the fixed income issuer base. We believe today’s environment can still offer attractive buying opportunities for patient investors. Importantly, we acknowledge that investor compensation is still relatively limited at current prices, and therefore chasing yield indiscriminately is not an appropriate strategy. Instead, we reaffirm our less aggressive targeted risk profile across portfolio styles. Downside protection remains paramount in an environment of elevated idiosyncratic risk and disruptive forces at play.

1

Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

2	The ICE BofAML US High Yield Constrained Index tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market but caps issuer exposure at 2%. Indexes are unmanaged and an investor cannot invest directly in an index.

This material contains the opinions of the Global Fixed Income team of MacKay Shields LLC but not necessarily those of MacKay Shields LLC. The opinions expressed herein are subject to change without notice. This material is distributed for informational purposes only. Forecasts, estimates, and opinions contained herein should not be considered as investment advice or a recommendation of any security, strategy or investment product. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission of MacKay Shields LLC. ^©2018, MacKay Shields LLC.

Page 5

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments

April 30, 2018 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES – 91.1%
		Automotive – 3.3%
$4,025,000		Dana, Inc. (a)		5.50%		12/15/24		$4,115,562
2,080,000		Gates Global LLC/Gates Global Co. (b)		6.00%		07/15/22		2,106,208
1,275,000		Goodyear Tire & Rubber (The) Co. (a)		5.00%		05/31/26		1,219,219
3,300,000		Goodyear Tire & Rubber (The) Co.		4.88%		03/15/27		3,097,875
3,399,000		Navistar International Corp. (b)		6.63%		11/01/25		3,543,457
1,970,000		Tenneco, Inc. (a)		5.00%		07/15/26		1,846,875
1,235,000		ZF North America Capital, Inc. (b)		4.75%		04/29/25		1,262,788
								17,191,984
		Banking – 1.6%
6,165,000		Ally Financial, Inc. (a)		8.00%		11/01/31		7,522,533
612,000		Ally Financial, Inc. (a)		8.00%		11/01/31		743,580
								8,266,113
		Basic Industry – 10.8%
650,000		AK Steel Corp.		7.63%		10/01/21		666,250
1,000,000		AK Steel Corp.		7.50%		07/15/23		1,055,000
2,100,000		AK Steel Corp.		6.38%		10/15/25		1,977,969
2,425,000		Beazer Homes USA, Inc.		8.75%		03/15/22		2,616,575
800,000		Cleveland-Cliffs, Inc. (a)		4.88%		04/01/21		790,784
1,800,000		Cleveland-Cliffs, Inc. (a)		5.75%		03/01/25		1,742,634
2,720,000		Core & Main L.P. (b)		6.13%		08/15/25		2,679,200
1,000,000		Freeport-McMoRan, Inc.		3.55%		03/01/22		967,500
1,680,000		Freeport-McMoRan, Inc.		3.88%		03/15/23		1,614,900
960,000		Freeport-McMoRan, Inc. (a)		4.55%		11/14/24		931,200
2,445,000		Jeld-Wen, Inc. (b)		4.88%		12/15/27		2,310,525
2,979,000		KB Home		7.50%		09/15/22		3,284,347
1,600,000		Koppers, Inc. (a) (b)		6.00%		02/15/25		1,632,000
4,600,000		Lennar Corp. (b)		8.38%		05/15/18		4,611,500
500,000		Lennar Corp. (b)		5.88%		11/15/24		518,750
3,180,000		Meritage Homes Corp.		6.00%		06/01/25		3,295,275
1,000,000		Novelis Corp. (b)		6.25%		08/15/24		1,021,250
2,862,000		Novelis Corp. (b)		5.88%		09/30/26		2,847,690
2,045,000		Olin Corp.		5.13%		09/15/27		2,009,213
1,250,000		Pisces Midco, Inc. (b)		8.00%		04/15/26		1,256,625
1,760,000		PQ Corp. (a) (b)		6.75%		11/15/22		1,867,800
565,000		PQ Corp. (a) (b)		5.75%		12/15/25		560,763
4,570,000		PulteGroup, Inc. (a)		7.88%		06/15/32		5,438,300
2,025,000		Shea Homes L.P./Shea Homes Funding Corp. (a) (b)		6.13%		04/01/25		2,047,781
4,250,000		Standard Industries, Inc. (a) (b)		5.00%		02/15/27		4,107,242
3,765,000		TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (a)		5.88%		06/15/24		3,835,594
								55,686,667
		Capital Goods – 8.0%
3,045,000		Ball Corp.		4.00%		11/15/23		2,995,519
2,675,000		Berry Global, Inc. (b)		4.50%		02/15/26		2,561,313
4,100,000		BWAY Holding Co. (a) (b)		5.50%		04/15/24		4,130,750
3,500,000		Crown Americas LLC/Crown Americas Capital Corp. IV (a)		4.50%		01/15/23		3,451,875
4,645,000		KLX, Inc. (a) (b)		5.88%		12/01/22		4,865,637
1,350,000		Orbital ATK, Inc.		5.50%		10/01/23		1,420,875
2,840,000		Owens-Brockway Glass Container, Inc. (a) (b)		5.00%		01/15/22		2,889,700
5,700,000		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU (a) (b)		5.13%		07/15/23		5,742,750
3,725,000		Sealed Air Corp. (b)		5.50%		09/15/25		3,860,031
3,770,000		Terex Corp. (b)		5.63%		02/01/25		3,755,863
2,660,000		Trident Merger Sub, Inc. (b)		6.63%		11/01/25		2,613,450

Page 6

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Capital Goods (Continued)
$2,925,000		Triumph Group, Inc. (a)		4.88%		04/01/21		$2,851,875
280,000		Triumph Group, Inc.		7.75%		08/15/25		287,700
								41,427,338
		Consumer Goods – 6.7%
4,895,000		B&G Foods, Inc.		5.25%		04/01/25		4,491,162
3,245,000		Cott Holdings, Inc. (b)		5.50%		04/01/25		3,228,775
3,920,000		First Quality Finance Co., Inc. (b)		5.00%		07/01/25		3,763,200
3,640,000		Kronos Acquisition Holdings, Inc. (b)		9.00%		08/15/23		3,485,300
2,915,000		Lamb Weston Holdings, Inc. (b)		4.63%		11/01/24		2,904,069
2,000,000		Pilgrim’s Pride Corp. (b)		5.75%		03/15/25		1,960,000
1,765,000		Post Holdings, Inc. (b)		5.50%		03/01/25		1,738,525
3,610,000		Post Holdings, Inc. (b)		5.00%		08/15/26		3,393,400
3,900,000		Prestige Brands, Inc. (b)		6.38%		03/01/24		3,939,000
3,910,000		Spectrum Brands, Inc.		5.75%		07/15/25		3,925,836
2,040,000		US Foods, Inc. (b)		5.88%		06/15/24		2,085,900
								34,915,167
		Energy – 7.8%
5,100,000		AmeriGas Partners L.P./AmeriGas Finance Corp.		5.88%		08/20/26		5,087,250
1,875,000		Andeavor Logistics L.P./Tesoro Logistics Finance Corp. (a)		5.25%		01/15/25		1,924,219
2,426,000		California Resources Corp. (b)		8.00%		12/15/22		2,098,490
2,060,000		Carrizo Oil & Gas, Inc. (a)		6.25%		04/15/23		2,121,800
2,720,000		Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.		6.25%		04/01/23		2,774,400
1,955,000		Hilcorp Energy I L.P./Hilcorp Finance Co. (b)		5.00%		12/01/24		1,911,012
2,435,000		PDC Energy, Inc.		6.13%		09/15/24		2,508,050
965,000		PDC Energy, Inc. (a) (b)		5.75%		05/15/26		973,444
3,155,000		QEP Resources, Inc.		5.63%		03/01/26		3,032,744
2,245,000		Sanchez Energy Corp.		6.13%		01/15/23		1,632,564
2,020,000		SM Energy Co.		5.63%		06/01/25		1,959,400
1,845,000		Southwestern Energy Co.		4.10%		03/15/22		1,803,488
1,540,000		Southwestern Energy Co.		7.50%		04/01/26		1,590,050
1,445,000		Suburban Propane Partners L.P./Suburban Energy Finance Corp.		5.75%		03/01/25		1,394,425
1,975,000		Suburban Propane Partners L.P./Suburban Energy Finance Corp.		5.88%		03/01/27		1,881,187
4,000,000		Targa Resources Partners L.P./Targa Resources Partners Finance Corp. (b)		5.00%		01/15/28		3,710,000
1,380,000		Whiting Petroleum Corp. (a)		5.75%		03/15/21		1,416,225
2,560,000		Whiting Petroleum Corp. (b)		6.63%		01/15/26		2,627,200
								40,445,948
		Financial Services – 3.6%
6,855,000		Icahn Enterprises L.P./Icahn Enterprises Finance Corp.		6.00%		08/01/20		7,004,953
3,385,000		MSCI, Inc. (b)		5.75%		08/15/25		3,553,234
1,822,000		OneMain Financial Holdings LLC (b)		7.25%		12/15/21		1,886,909
1,395,000		Springleaf Finance Corp. (a)		6.00%		06/01/20		1,454,288
4,555,000		Springleaf Finance Corp. (a)		7.75%		10/01/21		4,976,337
								18,875,721
		Healthcare – 5.9%
3,825,000		Catalent Pharma Solutions, Inc. (b)		4.88%		01/15/26		3,734,156
1,580,000		CHS/Community Health Systems, Inc. (a)		6.88%		02/01/22		865,524
3,400,000		Greatbatch Ltd. (b)		9.13%		11/01/23		3,680,500
3,905,000		Hologic, Inc. (b)		4.38%		10/15/25		3,768,325
2,670,000		inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (b)		7.50%		10/01/24		2,850,225

See Notes to Financial Statements

Page 7

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Healthcare (Continued)
$731,000		IQVIA, Inc. (a) (b)		4.88%		05/15/23		$743,793
3,000,000		IQVIA, Inc. (b)		5.00%		10/15/26		2,970,000
3,665,000		MPH Acquisition Holdings LLC (b)		7.13%		06/01/24		3,747,462
2,000,000		Service Corp International		5.38%		05/15/24		2,063,000
2,750,000		Teleflex, Inc.		4.63%		11/15/27		2,636,563
3,245,000		West Street Merger Sub, Inc. (b)		6.38%		09/01/25		3,204,437
								30,263,985
		Leisure – 6.1%
2,500,000		Boyd Gaming Corp. (a)		6.38%		04/01/26		2,623,675
2,980,000		Churchill Downs, Inc. (b)		4.75%		01/15/28		2,823,550
3,500,000		Eldorado Resorts, Inc.		6.00%		04/01/25		3,486,875
4,385,000		ESH Hospitality, Inc. (b)		5.25%		05/01/25		4,297,300
1,680,000		GLP Capital L.P./GLP Financing II, Inc.		5.38%		04/15/26		1,696,800
4,600,000		Hilton Domestic Operating Co., Inc. (b)		5.13%		05/01/26		4,623,000
3,120,000		Live Nation Entertainment, Inc. (b)		4.88%		11/01/24		3,061,500
4,825,000		MGM Resorts International (a)		6.75%		10/01/20		5,138,625
3,410,000		Scientific Games International, Inc.		10.00%		12/01/22		3,688,086
								31,439,411
		Media – 3.8%
2,000,000		Clear Channel Worldwide Holdings, Inc., Series B (a)		7.63%		03/15/20		2,012,500
2,841,000		Clear Channel Worldwide Holdings, Inc., Series B		6.50%		11/15/22		2,922,679
1,250,000		CSC Holdings LLC (a) (b)		6.63%		10/15/25		1,292,188
2,325,000		CSC Holdings LLC (a) (b)		5.50%		04/15/27		2,237,347
5,830,000		Dish DBS Corp. (a)		6.75%		06/01/21		5,815,425
2,115,000		Lamar Media Corp.		5.75%		02/01/26		2,194,312
3,150,000		Sirius XM Radio, Inc. (b)		5.38%		07/15/26		3,102,750
								19,577,201
		Retail – 3.2%
3,270,000		Dollar Tree, Inc.		5.75%		03/01/23		3,412,081
5,445,000		Hanesbrands, Inc. (b)		4.63%		05/15/24		5,281,650
1,320,000		KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (a) (b)		5.00%		06/01/24		1,323,300
3,300,000		KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b)		5.25%		06/01/26		3,324,750
2,975,000		Murphy Oil USA, Inc. (a)		6.00%		08/15/23		3,082,844
								16,424,625
		Services – 9.5%
4,000,000		Advanced Disposal Services, Inc. (a) (b)		5.63%		11/15/24		4,050,000
3,175,000		Aramark Services, Inc. (a) (b)		5.00%		02/01/28		3,099,594
2,125,000		CoreCivic, Inc. (a)		5.00%		10/15/22		2,156,875
1,090,000		GEO (The) Group, Inc. (a)		5.88%		10/15/24		1,090,000
2,385,000		GEO (The) Group, Inc. (a)		6.00%		04/15/26		2,361,866
2,440,000		H&E Equipment Services, Inc.		5.63%		09/01/25		2,458,300
2,654,000		Herc Rentals, Inc. (b)		7.50%		06/01/22		2,826,510
1,458,000		Herc Rentals, Inc. (b)		7.75%		06/01/24		1,581,201
4,199,000		Iron Mountain, Inc. (b)		4.88%		09/15/27		3,973,304
1,845,000		Iron Mountain, Inc. (b)		5.25%		03/15/28		1,745,831
4,615,000		KAR Auction Services, Inc. (a) (b)		5.13%		06/01/25		4,488,087
3,805,000		ServiceMaster (The) Co. LLC (a) (b)		5.13%		11/15/24		3,715,582
3,650,000		Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (b)		6.75%		06/01/25		3,622,625
1,400,000		United Rentals North America, Inc. (a)		5.50%		07/15/25		1,440,250
2,900,000		United Rentals North America, Inc. (a)		5.88%		09/15/26		3,034,125

Page 8

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Services (Continued)
$2,250,000		United Rentals North America, Inc.		4.88%		01/15/28		$2,137,500
3,650,000		Waste Pro USA, Inc. (b)		5.50%		02/15/26		3,621,530
1,975,000		Wrangler Buyer Corp. (b)		6.00%		10/01/25		1,955,250
								49,358,430
		Technology & Electronics – 7.0%
3,195,000		CDK Global, Inc.		4.88%		06/01/27		3,083,175
590,000		CDW LLC/CDW Finance Corp.		5.50%		12/01/24		613,978
145,000		CDW LLC/CDW Finance Corp.		5.00%		09/01/25		145,174
3,700,000		CommScope Technologies LLC (a) (b)		5.00%		03/15/27		3,552,000
2,800,000		CommScope, Inc. (b)		5.00%		06/15/21		2,831,500
3,996,000		Dell International LLC/EMC Corp. (b)		8.35%		07/15/46		4,935,298
4,030,000		First Data Corp. (a) (b)		7.00%		12/01/23		4,226,986
2,038,000		First Data Corp. (a) (b)		5.00%		01/15/24		2,060,928
2,870,000		Match Group, Inc. (a)		6.38%		06/01/24		3,038,613
4,015,000		NCR Corp. (a)		6.38%		12/15/23		4,165,562
3,019,000		PTC, Inc.		6.00%		05/15/24		3,169,950
3,825,000		Qorvo, Inc. (a)		7.00%		12/01/25		4,174,031
								35,997,195
		Telecommunications – 10.0%
2,960,000		CenturyLink, Inc., Series P (a)		7.60%		09/15/39		2,516,000
4,420,000		CyrusOne L.P./CyrusOne Finance Corp. (a)		5.38%		03/15/27		4,431,050
3,025,000		Equinix, Inc. (a)		5.88%		01/15/26		3,138,438
2,500,000		Equinix, Inc.		5.38%		05/15/27		2,550,000
1,130,000		Frontier Communications Corp.		10.50%		09/15/22		999,711
4,380,000		Frontier Communications Corp. (b)		8.50%		04/01/26		4,270,500
2,956,000		Hughes Satellite Systems Corp. (a)		5.25%		08/01/26		2,900,575
300,000		Level 3 Financing, Inc.		6.13%		01/15/21		304,125
3,070,000		Level 3 Financing, Inc.		5.38%		01/15/24		3,046,975
2,900,000		Level 3 Financing, Inc.		5.25%		03/15/26		2,812,130
2,850,000		Qualitytech L.P./QTS Finance Corp. (b)		4.75%		11/15/25		2,700,375
6,045,000		Sprint Capital Corp.		8.75%		03/15/32		6,940,416
570,000		Sprint Communications, Inc. (a)		9.25%		04/15/22		658,350
885,000		Sprint Corp. (a)		7.63%		03/01/26		934,781
6,295,000		T-Mobile USA, Inc. (a)		6.00%		03/01/23		6,538,931
2,925,000		T-Mobile USA, Inc.		6.00%		04/15/24		3,071,250
3,675,000		Zayo Group LLC/Zayo Capital, Inc. (b)		5.75%		01/15/27		3,658,021
								51,471,628
		Transportation – 3.2%
2,000,000		American Airlines Group, Inc.		6.13%		06/01/18		2,005,000
146,917		Continental Airlines 2003-ERJ1 Pass Through Trust		7.88%		07/02/18		148,754
968,875		Continental Airlines 2005-ERJ1 Pass Through Trust (a)		9.80%		04/01/21		1,039,724
2,000,000		United Continental Holdings, Inc.		6.00%		12/01/20		2,109,600
4,822,427		US Airways 2000-3C Pass Through Trust		8.39%		03/01/22		5,280,558
5,775,000		XPO Logistics, Inc. (a) (b)		6.50%		06/15/22		5,984,344
								16,567,980
		Utility – 0.6%
3,420,000		Calpine Corp. (a)		5.75%		01/15/25		3,146,742
		Total Corporate Bonds and Notes						471,056,135
		(Cost $470,461,399)

See Notes to Financial Statements

Page 9

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value (Local Currency)		Description		Stated Coupon		Stated Maturity		Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES – 22.8%
		Automotive – 0.7%
650,000		Dana Financing Luxembourg Sarl (USD) (a) (b)		5.75%		04/15/25		$661,375
2,565,000		LKQ European Holdings B.V. (EUR) (b)		3.63%		04/01/26		3,101,256
								3,762,631
		Banking – 0.5%
2,400,000		Royal Bank of Scotland Group PLC (USD)		5.13%		05/28/24		2,440,539
		Basic Industry – 5.5%
6,392,000		ArcelorMittal (USD) (a)		7.25%		10/15/39		7,606,480
1,700,000		Cemex SAB de CV (USD) (b)		7.75%		04/16/26		1,868,300
219,741		FMG Resources (August 2006) Pty Ltd. (USD) (b)		9.75%		03/01/22		242,292
3,340,000		FMG Resources (August 2006) Pty Ltd. (USD) (b)		5.13%		05/15/24		3,310,775
1,900,000		James Hardie International Finance DAC (USD) (b)		5.00%		01/15/28		1,852,500
1,490,000		MMC Norilsk Nickel OJSC via MMC Finance DAC (USD) (b)		6.63%		10/14/22		1,581,394
1,625,000		SPCM S.A. (USD) (a) (b)		4.88%		09/15/25		1,577,794
2,200,000		Stora Enso OYJ (USD) (b)		7.25%		04/15/36		2,678,500
2,505,000		Teck Resources Ltd. (USD)		6.00%		08/15/40		2,623,988
1,795,000		Teck Resources Ltd. (USD)		6.25%		07/15/41		1,911,675
2,975,000		Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. (USD) (b)		5.38%		09/01/25		2,937,812
								28,191,510
		Capital Goods – 2.7%
5,100,000		Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (a) (b)		7.25%		05/15/24		5,399,625
535,000		Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (b)		6.00%		02/15/25		542,356
890,000		Bombardier, Inc. (USD) (b)		6.00%		10/15/22		890,000
4,888,000		Bombardier, Inc. (USD) (b)		6.13%		01/15/23		4,942,990
2,280,000		Titan Acquisition Ltd./Titan Co-Borrower LLC (USD) (b)		7.75%		04/15/26		2,277,150
								14,052,121
		Consumer Goods – 0.5%
2,925,000		Minerva Luxembourg S.A. (USD) (b)		6.50%		09/20/26		2,775,094
		Energy – 2.0%
950,000		Gazprom OAO Via Gaz Capital S.A. (USD) (b)		8.63%		04/28/34		1,209,055
4,350,000		Petrobras Global Finance B.V. (USD) (a)		6.88%		01/20/40		4,197,750
2,120,000		Petrobras Global Finance B.V. (USD)		7.25%		03/17/44		2,110,354
3,350,000		Weatherford International Ltd. (USD)		4.50%		04/15/22		2,981,500
								10,498,659
		Healthcare – 2.9%
2,275,000		Endo Dac./Endo Finance LLC/Endo Finco, Inc. (USD) (a) (b)		6.00%		02/01/25		1,609,563
4,000,000		Valeant Pharmaceuticals International, Inc. (USD) (b)		5.50%		03/01/23		3,630,000
5,319,000		Valeant Pharmaceuticals International, Inc. (USD) (a) (b)		5.88%		05/15/23		4,906,777
3,724,000		Valeant Pharmaceuticals International, Inc. (USD) (a) (b)		6.13%		04/15/25		3,372,901
1,320,000		Valeant Pharmaceuticals International, Inc. (USD) (b)		9.00%		12/15/25		1,341,450
								14,860,691
		Insurance – 1.0%
1,800,000		Aviva PLC (GBP) (c)		6.13%		11/14/36		2,875,148
2,220,000		Oil Insurance Ltd., 3 Mo. LIBOR + 2.98% (USD) (a) (b) (d)		5.29%		(e)		2,153,400
								5,028,548

Page 10

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value (Local Currency)		Description		Stated Coupon		Stated Maturity		Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (Continued)
		Leisure – 0.8%
3,205,000		Royal Caribbean Cruises Ltd. (USD) (a)		7.50%		10/15/27		$3,923,490
		Media – 1.5%
3,695,000		UPCB Finance IV Ltd. (USD) (b)		5.38%		01/15/25		3,630,337
2,800,000		Virgin Media Finance PLC (GBP)		6.38%		10/15/24		4,056,429
								7,686,766
		Retail – 0.5%
2,720,000		1011778 BC ULC/New Red Finance, Inc. (USD) (a) (b)		4.25%		05/15/24		2,594,200
		Services – 1.9%
700,000		Darling Global Finance B.V. (EUR) (b)		3.63%		05/15/26		858,092
2,540,000		GFL Environmental, Inc. (USD) (b)		5.63%		05/01/22		2,555,875
630,000		GFL Environmental, Inc. (USD) (b)		5.38%		03/01/23		625,275
3,940,000		Ritchie Bros. Auctioneers, Inc. (USD) (b)		5.38%		01/15/25		3,930,150
1,985,000		Travelport Corporate Finance PLC (USD) (b)		6.00%		03/15/26		2,034,625
								10,004,017
		Technology & Electronics – 1.1%
2,500,000		NXP B.V./NXP Funding LLC (USD) (a) (b)		4.63%		06/01/23		2,523,438
3,060,000		Sensata Technologies UK Financing Co., PLC (USD) (a) (b)		6.25%		02/15/26		3,196,476
								5,719,914
		Telecommunications – 1.2%
3,540,000		Telecom Italia Capital S.A. (USD) (a)		7.72%		06/04/38		4,283,400
2,300,000		VEON Holdings B.V. (USD) (b)		4.95%		06/16/24		2,187,967
								6,471,367
		Total Foreign Corporate Bonds and Notes						118,009,547
		(Cost $113,691,766)
Par Amount (Local Currency)		Description		Stated Rate		Stated Maturity		Value (US Dollars)
CAPITAL PREFERRED SECURITIES – 7.1%
		Automotive – 0.9%
4,935,000		General Motors Financial Co., Inc., Series A (USD) (c)		5.75%		(e)		4,878,247
		Banking – 3.6%
2,940,000		Bank of America Corp., Series DD (USD) (c)		6.30%		(e)		3,119,928
4,475,000		Citigroup, Inc., Series M (USD) (c)		6.30%		(e)		4,580,163
2,775,000		Dresdner Funding Trust I (USD) (a) (b)		8.15%		06/30/31		3,544,535
5,370,000		Goldman Sachs Group (The), Inc., Series P (USD) (a) (c)		5.00%		(e)		5,172,062
900,000		HBOS Capital Funding L.P. (GBP) (c)		6.46%		(e)		1,270,892
795,000		RBS Capital Trust II (USD) (c)		6.43%		(e)		914,250
								18,601,830
		Capital Goods – 0.6%
3,210,000		Textron Financial Corp., 3 Mo. LIBOR + 1.74% (USD) (b) (d)		3.57%		02/15/42		2,969,250
		Insurance – 2.0%
6,950,000		Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (USD) (a) (b) (d)		3.96%		02/12/47		6,716,480

See Notes to Financial Statements

Page 11

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Par Amount (Local Currency)		Description		Stated Rate		Stated Maturity		Value (US Dollars)
CAPITAL PREFERRED SECURITIES (Continued)
		Insurance (Continued)
3,500,000		Lincoln National Corp., 3 Mo. LIBOR + 2.36% (USD) (a) (d)		4.24%		05/17/66		$3,386,250
								10,102,730
		Total Capital Preferred Securities						36,552,057
		(Cost $35,589,085)
Principal Value		Description		Rate (f)		Stated Maturity (g)		Value
SENIOR FLOATING-RATE LOAN INTERESTS – 1.2%
		Healthcare – 1.2%
$6,058,468		Ortho-Clinical Term Loan B3, 1 Mo. LIBOR + 3.75%, 1.00% Floor		5.63%		06/30/21		6,096,333
		(Cost $6,033,053)
Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES – 0.9%
		Collateralized Mortgage Obligations – 0.2%
		Wells Fargo Mortgage Backed Securities
1,217,104		Series 2006-AR7 Trust, Class 2A4 (h)		4.13%		05/25/36		1,245,926
		Commercial Mortgage-Backed Securities – 0.7%
		Securitized Asset Backed Receivables LLC Trust
7,771,252		Series 2006-FR4, Class A2A, 1 Mo. LIBOR + 0.08% (d)		1.98%		08/25/36		3,415,504
		Total Mortgage-Backed Securities						4,661,430
		(Cost $6,179,718)
ASSET-BACKED SECURITIES – 0.1%
		Keycorp Student Loan Trust,
554,738		Series 2000-A, Class A2, 3 Mo. LIBOR + 0.32% (d)		2.26%		05/25/29		552,748
		(Cost $521,869)
		Total Investments – 123.2%						636,928,250
		(Cost $632,476,890) (i)
U.S. GOVERNMENT BONDS SOLD SHORT - (18.3)%
(101,950,000)		United States Treasury Note		1.38%		09/30/23		(94,542,740)
		(Proceeds $98,822,755)
CORPORATE BONDS SOLD SHORT – (1.8)%
		Energy – (0.9)%
(2,400,000)		Noble Energy, Inc.		4.15%		12/15/21		(2,441,831)
(2,100,000)		Noble Energy, Inc.		3.90%		11/15/24		(2,093,271)
								(4,535,102)
		Media – (0.9)%
(5,145,000)		Netflix, Inc.		4.38%		11/15/26		(4,834,705)
		Total Corporate Bonds Sold Short						(9,369,807)
		(Proceeds $9,150,271)

Page 12

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
FOREIGN CORPORATE BONDS SOLD SHORT – (1.2)%
		Media – (1.2)%
$(6,500,000)		Altice France S.A. (USD) (b)		7.38%		05/01/26		$(6,321,250)
		(Proceeds $6,511,046)
		Total Investments Sold Short – (21.3)%						(110,233,797)
		(Proceeds $114,484,072)

    

	Outstanding Loan – (4.1)%		(20,945,562)
	Net Other Assets and Liabilities – 2.2%		11,217,785
	Net Assets – 100.0%		$516,966,676

    

Forward Foreign Currency Contracts

Settlement Date

Counterparty

Amount Purchased

Amount Sold

Purchase Value as of 4/30/2018

Sale Value as of 4/30/2018

Unrealized Appreciation/ (Depreciation)

08/01/18

JPM

USD

4,037,674

EUR

3,297,000

$ 4,037,674

$ 4,010,307

$  27,367

08/01/18

JPM

USD

8,542,318

GBP

6,102,000

8,542,318

8,438,720

103,598

Net Unrealized Appreciation (Depreciation)

$130,965

    

Counterparty Abbreviations
JPM	JPMorgan Chase

See Note 2D – Forward Foreign Currency Contracts in the Notes to Financial Statements.

(a)	This security or a portion of this security is segregated as collateral for investments sold short.
(b)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by MacKay Shields LLC, the Fund’s sub-advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2018, securities noted as such amounted to $323,246,289 of total investments and $(6,321,250) of total investments sold short, or 62.5% and (1.2)% of net assets, respectively.
(c)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2018. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(d)	Floating or variable rate security.
(e)	Perpetual maturity.
(f)	Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate.
(g)	Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(h)	Collateral Strip Rate security. Interest is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically.
(i)	Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $22,913,329 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,080,729. The net unrealized appreciation was $8,832,600. The amounts presented are inclusive of investments sold short and derivative contracts.

    

EUR	Euro
GBP	British Pound Sterling
LIBOR	London Interbank Offered Rate
USD	United States Dollar

See Notes to Financial Statements

Page 13

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of April 30, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

ASSETS TABLE
	Total Value at 4/30/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Corporate Bonds and Notes*	$ 471,056,135	$ —	$ 471,056,135	$ —
Foreign Corporate Bonds and Notes*	118,009,547	—	118,009,547	—
Capital Preferred Securities*	36,552,057	—	36,552,057	—
Senior Floating-Rate Loan Interests*	6,096,333	—	6,096,333	—
Mortgage-Backed Securities	4,661,430	—	4,661,430	—
Asset-Backed Securities	552,748	—	552,748	—
Total Investments	636,928,250	—	636,928,250	—
Forward Foreign Currency Contracts	130,965	—	130,965	—
Total	$ 637,059,215	$—	$ 637,059,215	$—
LIABILITIES TABLE
	Total Value at 4/30/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Government Bonds Sold Short	$ (94,542,740)	$ —	$ (94,542,740)	$ —
Corporate Bonds Sold Short*	(9,369,807)	—	(9,369,807)	—
Foreign Corporate Bonds Sold Short*	(6,321,250)	—	(6,321,250)	—
Total	$ (110,233,797)	$—	$ (110,233,797)	$—

    

*	See Portfolio of Investments for industry breakout.

All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at April 30, 2018.

Page 14

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Statement of Assets and Liabilities

April 30, 2018 (Unaudited)

ASSETS:
Investments, at value (Cost $632,476,890)	$ 636,928,250
Cash	1,532,910
Foreign currency (Cost $136,482)	132,046
Unrealized appreciation on forward foreign currency contracts	130,965
Receivables:
Interest	9,751,949
Investment securities sold	1,143,595
Due from broker	328,364
Prepaid expenses	28,604
Total Assets	649,976,683
LIABILITIES:
Borrowings	20,945,562
Investments sold short, at value (proceeds $114,484,072)	110,233,797
Payables:
Investment securities purchased	845,319
Interest expense on investments sold short	438,176
Investment advisory fees	425,540
Administrative fees	36,344
Audit and tax fees	32,724
Printing fees	18,364
Custodian fees	17,290
Legal fees	9,426
Transfer agent fees	4,093
Trustees’ fees and expenses	1,450
Financial reporting fees	771
Other liabilities	1,151
Total Liabilities	133,010,007
NET ASSETS	$516,966,676
NET ASSETS consist of:
Paid-in capital	$ 567,524,206
Par value	299,472
Accumulated net investment income (loss)	(6,854,070)
Accumulated net realized gain (loss) on investments, forward foreign currency contracts, swap contracts, foreign currency transactions, futures and investments sold short	(52,834,815)
Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts, foreign currency translation and investments sold short	8,831,883
NET ASSETS	$516,966,676
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)	$17.26
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)	29,947,157

See Notes to Financial Statements

Page 15

First Trust High Income Long/Short Fund (FSD)

Statement of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

INVESTMENT INCOME:
Interest		$ 18,849,268
Other		3,776
Total investment income		18,853,044
EXPENSES:
Investment advisory fees		2,630,931
Interest expense on investments sold short		1,036,242
Margin interest expense		666,834
Administrative fees		144,857
Printing fees		57,500
Custodian fees		32,192
Audit and tax fees		28,823
Legal fees		13,504
Transfer agent fees		12,022
Listing expense		11,974
Trustees’ fees and expenses		8,458
Financial reporting fees		4,625
Other		21,600
Total expenses		4,669,562
NET INVESTMENT INCOME (LOSS)		14,183,482
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		4,788,139
Forward foreign currency contracts		(434,228)
Foreign currency transactions		90,929
Net realized gain (loss)		4,444,840
Net change in unrealized appreciation (depreciation) on:
Investments		(29,949,735)
Forward foreign currency contracts		99,340
Foreign currency translation		(8,253)
Short positions		3,726,832
Net change in unrealized appreciation (depreciation)		(26,131,816)
NET REALIZED AND UNREALIZED GAIN (LOSS)		(21,686,976)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$(7,503,494)

Page 16

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Statements of Changes in Net Assets

	Six Months Ended 4/30/2018 (Unaudited)		Year Ended 10/31/2017
OPERATIONS:
Net investment income (loss)	$ 14,183,482		$ 34,918,617
Net realized gain (loss)	4,444,840		7,455,441
Net change in unrealized appreciation (depreciation)	(26,131,816)		21,272,286
Net increase (decrease) in net assets resulting from operations	(7,503,494)		63,646,344
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income	(21,576,926)		(36,417,879)
Return of capital	—		(11,394,759)
Total distributions to shareholders	(21,576,926)		(47,812,638)
CAPITAL TRANSACTIONS:
Purchase of Common Shares pursuant to a tender offer *	—		(93,689,849)
Repurchase of Common Shares **	—		(205,540)
Net increase (decrease) in net assets resulting from capital transactions	—		(93,895,389)
Total increase (decrease) in net assets	(29,080,420)		(78,061,683)
NET ASSETS:
Beginning of period	546,047,096		624,108,779
End of period	$ 516,966,676		$ 546,047,096
Accumulated net investment income (loss) at end of period	$(6,854,070)		$539,374
CAPITAL TRANSACTIONS were as follows:
Common Shares at beginning of period	29,947,157		35,245,603
Common Shares purchased pursuant to a tender offer *	—		(5,284,792)
Common Shares repurchased **	—		(13,654)
Common Shares at end of period	29,947,157		29,947,157

    

*

On June 14, 2017, the Fund commenced a tender offer for up to 15% of its outstanding common shares for cash at a price per share equal to 98% of the net asset value per share determined on the expiration date. The Fund’s tender offer expired at 5:00 p.m. New York City time on Thursday, July 13, 2017. Because the Fund’s tender offer was oversubscribed, the Fund repurchased 5,284,792 (15%) of its outstanding common shares on a pro-rata basis based on the number of shares properly tendered.

**

On September 15, 2015, the Fund commenced a share repurchase program. The program originally expired on March 15, 2016, but the Board of Trustees of the Fund has subsequently authorized the continuation of the Fund’s share repurchase program until March 15, 2019. For the six months ended April 30, 2018, the fund did not repurchase any of its shares. For the year ended October 31, 2017, the Fund repurchased 13,654 of its shares at a weighted-average discount of 13.69% from net asset value per share. The Fund expects to continue to repurchase its outstanding shares until the earlier of (i) the repurchase of an additional 978,598 common shares (for an aggregate of 1,802,808), or (ii) March 15, 2019.

See Notes to Financial Statements

Page 17

First Trust High Income Long/Short Fund (FSD)

Statement of Cash Flows

For the Six Months Ended April 30, 2018 (Unaudited)

Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$(7,503,494)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Purchases of investments	(117,223,035)
Borrowed investments sold short	6,511,046
Sales, maturities and paydown of investments	127,776,357
Net amortization/accretion of premiums/discounts on investments	(13,491)
Net realized gain/loss on investments	(4,788,139)
Net change in unrealized appreciation/depreciation on investments	29,949,735
Net change in unrealized appreciation/depreciation on forward foreign currency contracts	(99,340)
Net change in unrealized appreciation/depreciation on investments sold short	(3,726,832)
Changes in assets and liabilities:
Increase in interest receivable	(279,166)
Increase in due from broker	(328,364)
Decrease in miscellaneous receivable	16,998
Increase in prepaid expenses	(16,327)
Increase in interest payable on investments sold short	135,371
Decrease in due to broker	(133,785)
Decrease in investment advisory fees payable	(37,441)
Decrease in audit and tax fees payable	(24,476)
Increase in legal fees payable	5,932
Decrease in printing fees payable	(20,181)
Decrease in administrative fees payable	(2,124)
Decrease in custodian fees payable	(1,434)
Increase in transfer agent fees payable	126
Increase in Trustees’ fees and expenses payable	84
Decrease in other liabilities payable	(366)
Cash provided by operating activities		$30,197,654
Cash flows from financing activities:
Distributions to Common Shareholders from net investment income	(21,576,926)
Net repayment of borrowing	(7,300,149)
Cash used in financing activities		(28,877,075)
Increase in cash and foreign currency (a)		1,320,579
Cash and foreign currency at beginning of period		344,377
Cash and foreign currency at end of period		$1,664,956
Supplemental disclosure of cash flow information:
Cash paid during the period for interest and fees		$1,567,705

    

(a)	Includes net change in unrealized appreciation (depreciation) on foreign currency of $(8,253).

Page 18

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Financial Highlights

For a Common Share outstanding throughout each period

	Six Months Ended 4/30/2018 (Unaudited)		Year Ended October 31,
			2017		2016		2015		2014		2013
Net asset value, beginning of period	$ 18.23		$ 17.71		$ 17.28		$ 19.47		$ 19.63		$ 19.05
Income from investment operations:
Net investment income (loss)	0.47		1.04		1.00		1.11		1.31		1.35
Net realized and unrealized gain (loss)	(0.72)		0.83		0.44		(2.05)		(0.15)		0.64
Total from investment operations	(0.25)		1.87		1.44		(0.94)		1.16		1.99
Distributions paid to shareholders from:
Net investment income	(0.72)		(1.07)		(1.06)		(1.26)		(1.32)		(1.33)
Return of capital	—		(0.34)		—		—		—		(0.08)
Total distributions paid to Common Shareholders	(0.72)		(1.41)		(1.06)		(1.26)		(1.32)		(1.41)
Common Share repurchases	—		0.00 (a)		0.05		0.01		—		—
Tender offer purchases	—		0.06		—		—		—		—
Net asset value, end of period	$17.26		$18.23		$17.71		$17.28		$19.47		$19.63
Market value, end of period	$15.11		$16.91		$15.52		$14.96		$17.19		$17.62
Total return based on net asset value (b)	(1.00)%		11.98%		10.24%		(3.89)%		6.86%		11.32%
Total return based on market value (b)	(6.56)%		18.52%		11.58%		(5.76)%		5.12%		1.36%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 516,967		$ 546,047		$ 624,109		$ 620,309		$ 701,955		$ 707,807
Ratio of total expenses to average net assets	1.77% (c)		1.86%		1.54%		1.66%		1.75%		1.72%
Ratio of total expenses to average net assets excluding interest expense	1.13% (c)		1.19%		1.16%		1.21%		1.26%		1.27%
Ratio of net investment income (loss) to average net assets	5.39% (c)		5.76%		5.92%		6.05%		6.59%		6.93%
Portfolio turnover rate	17%		39%		36%		26%		28%		28%

    

(a)	Amount is less than $0.01.
(b)	Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and changes in net asset value per share for net asset value returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.
(c)	Annualized.

See Notes to Financial Statements

Page 19

Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

April 30, 2018 (Unaudited)

1. Organization

First Trust High Income Long/Short Fund (the “Fund”) is a diversified, closed-end management investment company organized as a Massachusetts business trust on June 18, 2010, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund trades under the ticker symbol FSD on the New York Stock Exchange (“NYSE”).

The Fund’s primary investment objective is to provide current income. The Fund’s secondary objective is capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, a majority of its assets in a diversified portfolio of U.S. and foreign (including emerging markets) high-yield corporate fixed-income securities of varying maturities that are rated below-investment grade at the time of purchase. For purposes of this strategy, “corporate fixed-income securities” include corporate bonds, debentures, notes, commercial paper and other similar types of corporate debt instruments, including instruments issued by corporations with direct or indirect government ownership, as well as asset-backed securities, preferred shares, senior floating-rate loan participations, commitments and assignments (“Senior Loans”)⁽¹⁾, payment-in-kind securities, zero-coupon bonds, bank certificates of deposit, fixed time deposits, bankers’ acceptances and derivative instruments that provide the same or similar economic impact as a physical investment in the above securities. Below-investment grade fixed-income securities are commonly referred to as “high-yield” or “junk” bonds and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. As part of its investment strategy, the Fund intends to maintain both long and short positions in securities under normal market conditions. The Fund will take long positions in securities that MacKay Shields LLC (“MacKay” or the “Sub-Advisor”) believes offer the potential for attractive returns and that it considers in the aggregate to have the potential to outperform the Fund’s benchmark, the ICE BofAML US High Yield Constrained Index (the “Index”). The Fund will take short positions in securities that the Sub-Advisor believes in the aggregate will underperform the Index. The Fund’s long positions, either directly or through derivatives, may total up to 130% of the Fund’s Managed Assets. The Fund’s short positions, either directly or through derivatives, may total up to 30% of the Fund’s Managed Assets. “Managed Assets” means the average daily gross asset value of the Fund (which includes the principal amount of any borrowings), minus the sum of the Fund’s liabilities. There can be no assurance that the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

The net asset value (“NAV”) of the Common Shares of the Fund is determined daily as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The Fund’s NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding.

The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Fund’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:

Corporate bonds, notes, capital preferred securities, U.S. government securities, mortgage-backed securities, asset-backed securities and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Fund’s Board of Trustees, which may use the following valuation inputs when available:

1)	benchmark yields;

(1)	The terms “security” and “securities” used throughout the Notes to Financial Statements include Senior Loans.

Page 20

Notes to Financial Statements (Continued)

First Trust High Income Long/Short Fund (FSD)

April 30, 2018 (Unaudited)

2)	reported trades;
3)	broker/dealer quotes;
4)	issuer spreads;
5)	benchmark securities;
6)	bids and offers; and
7)	reference data including market research publications.

Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities.

Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.

The Senior Loans held in the Fund are not listed on any securities exchange or board of trade. Senior Loans are typically bought and sold by institutional investors in individually negotiated private transactions that function in many respects like an over-the-counter secondary market, although typically no formal market-makers exist. This market, while having grown substantially since its inception, generally has fewer trades and less liquidity than the secondary market for other types of securities. Some Senior Loans have few or no trades, or trade infrequently, and information regarding a specific Senior Loan may not be widely available or may be incomplete. Accordingly, determinations of the market value of Senior Loans may be based on infrequent and dated information. Because there is less reliable, objective data available, elements of judgment may play a greater role in valuation of Senior Loans than for other types of securities. Typically, Senior Loans are fair valued using information provided by a third-party pricing service. The third-party pricing service primarily uses over-the-counter pricing from dealer runs and broker quotes from indicative sheets to value the Senior Loans.

Forward foreign currency contracts are fair valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety, and one-hundred eighty day forward rates provided by a third-party pricing service.

Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:

1)	the credit conditions in the relevant market and changes thereto;
2)	the liquidity conditions in the relevant market and changes thereto;
3)	the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
4)	issuer-specific conditions (such as significant credit deterioration); and
5)