Edgar Filing: FIRST TRUST HIGH INCOME LONG/SHORT FUND

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22442

First Trust High Income Long/Short Fund
(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: October 31

Date of reporting period: October 31, 2018

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

First Trust

High Income Long/Short Fund (FSD)

Annual Report

For the Year Ended

October 31, 2018

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2018

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Portfolio of Investments	7
Statement of Assets and Liabilities	18
Statement of Operations	19
Statements of Changes in Net Assets	20
Statement of Cash Flows	21
Financial Highlights	22
Notes to Financial Statements	23
Report of Independent Registered Public Accounting Firm	32
Additional Information	33
Board of Trustees and Officers	39
Privacy Policy	41

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.

Table of Contents

Shareholder Letter

First Trust High Income Long/Short Fund (FSD)

Annual Letter from the Chairman and CEO

October 31, 2018

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust High Income Long/Short Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended October 31, 2018, including a market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.

As I mentioned in my April 2018 letter, 2017 was a very strong year for U.S. and global markets. Investors were rewarded with rising markets and very little volatility. As 2018 began, investors were hoping for another strong year in the markets. For the entire first quarter, however, increased market volatility was the norm for U.S. and global markets. The markets continued their volatility throughout the second quarter. During April and May, the Dow Jones Industrial Average (“DJIA”) closed out each month slightly down, but ended both June and July slightly up. August was a strong month for stocks, and the DJIA finished August just under its previous high in January of 2018. At the close of the third quarter in September, the markets had moved higher into positive territory. In fact, all three major U.S. indices (the Nasdaq Composite Index, the DJIA and the S& P 500^® Index) hit record levels during the third quarter. In October, markets were again very volatile, surprising analysts and investors alike. Both global and U.S. markets fell on fears of slowing growth, trade wars and higher interest rates. The DJIA was down 5% for October and the MSCI EAFE Index, an index of stocks in 21 developed markets (excluding the U.S. and Canada), was down 9% for the same period.

Based on continued strong job growth and the economic outlook in the U.S., the Federal Reserve (the “Fed”) raised interest rates in March, June and September. At their September meeting, the Fed also indicated the possibility of one more rate hike in 2018 as well as three more rate hikes in 2019.

Trade tensions have had an impact on markets around the world and could continue to do so in the future. However, our economists believe that the long-term impact of U.S. tariffs will be to encourage countries to come back to the table and talk about more equal trade. Despite market volatility, we continue to believe that the combination of low interest rates, low inflation and strong corporate earnings still point to a positive economic environment and further growth, though we understand that past performance can never guarantee future performance.

We continue to believe that you should invest for the long term and be prepared for market movements, which can happen at any time. You can do this by keeping current on your portfolio and by speaking regularly with your investment professional. Markets go up and they also go down, but savvy investors are prepared for either through careful attention to investment goals.

Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you and will report on the Fund 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

Table of Contents

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE”

As of October 31, 2018 (Unaudited)

Fund Statistics
Symbol on New York Stock Exchange	FSD
Common Share Price	$13.91
Common Share Net Asset Value (“NAV”)	$16.57
Premium (Discount) to NAV	(16.05)%
Net Assets Applicable to Common Shares	$578,360,175
Current Monthly Distribution per Common Share⁽¹⁾	$0.1050
Current Annualized Distribution per Common Share	$1.2600
Current Distribution Rate on Common Share Price⁽²⁾	9.06%
Current Distribution Rate on NAV⁽²⁾	7.60%

Common Share Price & NAV (weekly closing price)

Performance
		Average Annual Total Return
	1 Year Ended 10/31/18	5 Years Ended 10/31/18	Inception (9/27/10) to 10/31/18
Fund Performance⁽³⁾
NAV	-0.82%	4.69%	6.45%
Market Value	-10.24%	3.30%	3.58%
Index Performance
ICE BofAML US High Yield Constrained Index	0.86%	4.69%	6.55%

⁽¹⁾	Most recent distribution paid or declared through 10/31/2018. 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 10/31/2018. 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.

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Table of Contents

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE” (Continued)

As of October 31, 2018 (Unaudited)

Asset Classification	%of Long-Term Investments ⁽⁴⁾
Corporate Bonds and Notes	73.0%
Foreign Corporate Bonds and Notes	20.3
Capital Preferred Securities	4.7
Senior Floating-Rate Loan Interests	1.2
Mortgage-Backed Securities	0.6
Asset-Backed Securities	0.1
Equity	0.1
Total	100.0%

Industry Classification	% of Long-Term Investments⁽⁴⁾
Basic Industry	12.1%
Energy	10.5
Telecommunications	10.0
Services	8.9
Healthcare	8.5
Capital Goods	8.4
Leisure	7.0
Consumer Goods	6.7
Media	6.1
Technology & Electronics	5.0
Banking	3.9
Automotive	3.0
Retail	2.3
Insurance	1.9
Financial Services	1.9
Transportation	1.7
Utility	1.3
Commercial Mortgage-Backed Securities	0.5
Collateralized Mortgage Obligations	0.1
Real Estate	0.1
Asset-Backed Securities	0.1
Total	100.0%

Country Exposure	% of Long-Term Investments⁽⁴⁾
United States	79.6%
Canada	5.8
Netherlands	3.0
Luxembourg	2.2
United Kingdom	2.0
Cayman Islands	1.5
Ireland	1.2
Bermuda	0.9
Multinational	0.7
France	0.7
Liberia	0.5
Australia	0.4
Finland	0.4
Austria	0.4
Denmark	0.3
Mexico	0.2
Jersey	0.2
Total	100.0%

Credit Quality ⁽⁵⁾	% of Total Fixed-Income Investments⁽⁴⁾
BBB- and above	11.3%
BB	54.4
B	28.6
CCC+	5.7
Total	100.0%

⁽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.

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Table of Contents

Portfolio Commentary

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2018 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) 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 October 31, 2018, MacKay had approximately $111.8 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 12-month period ending October 31, 2018.

Reflecting on the last quarter of 2017, U.S. stocks and corporate bonds closed the year benefitting from investors’ optimism about the Republican tax plan, an increase in oil prices, and an overall positive economic backdrop.

The Federal Open Market Committee (“FOMC”) raised its target Fed Funds interest rate as expected in December and announced the doubling of its balance sheet reduction program starting in January 2018. Tapering initially began in October 2017 with the reduction of U.S. Treasury holdings by $6 billion per month and agency mortgage-backed securities by $4 billion per month. Early 2018 also marked a shift in the Federal Reserve (the “Fed”) leadership with Jerome Powell succeeding previous chairperson, Janet Yellen. In 2018, the Fed raised its target Fed Funds interest rate three times by a total of 75 basis points (“bps”) to between 2.00 – 2.25%. At the FOMC’s September 2018 meeting, the committee removed language in its statement that referenced accommodative policy, but cited strong labor conditions, sustained economic expansion, and stable inflation measures near the Fed’s 2% target as reasons for supporting further gradual rate hikes. The next scheduled meeting is set for December 2018.

Trump’s imposed tariffs on $50 billion of Chinese imports earlier in the year was not well-received by global markets nor China, which retaliated with a variety of potential trade sanctions against U.S. exports primarily produced in states that supported Trump in the election. Trade war rhetoric has intensified with 10% tariffs on an additional $200 billion of Chinese exports, with a threat to further impose tariffs on practically all remaining Chinese imports. Meanwhile, negotiations among the U.S., Mexico and Canadian governments have produced the United States-Mexico-Canada Agreement (“USMCA”), a new trade agreement among the three North American countries, which will replace the North American Free Trade Agreement (“NAFTA”) if passed by all three governments.

Greater attention by investors is being paid to the mid-term elections¹. We believe recent attacks by President Trump against the Fed can be construed as political rhetoric ahead of the elections rather than dogma. The consensus view is that the Democratic party will win the House of Representatives but not secure the Senate. In such a scenario, we believe gridlock will increase and any additional tax reform will likely fail. Credit spreads should remain firm in this scenario.

Indicators continue to signal that the U.S. economy is in good health. Gross domestic product (“GDP”) growth increased to 3.5% in the third quarter of 2018, according to estimates released by the Bureau of Economic Analysis in late October, from 2.3% at the end of 2017. The jobs picture continues to improve; the unemployment rate declined from 4.1% to 3.7% year to date through October. The U.S. dollar strengthened against most currencies, in particular the Euro and the British Sterling.

U.S. interest rates rose and the yield curve flattened over the last year. The 2-year Treasury rose 128 bps to 2.87% while the benchmark 10-year rate rose 79 bps to 3.16% (source: Bloomberg).

Commodity prices pushed higher led by strength in crude oil. Over the last year, oil prices gained over 30%.

In the recent months, the European Central Bank (“ECB”) announced that it would remain committed to ending its bond purchases by year-end although the ECB was more reticent towards raising the target interest rate. The ECB’s divergent policies from the Fed appear to be leading to less synchronized global growth than previously experienced.

¹	The elections are now behind us and the results were as expected.

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Table of Contents

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2018 (Unaudited)

Emerging markets debt sold off during the year resulting from idiosyncratic risks emanating from Argentina, Turkey and Brazil. Emerging markets are also vulnerable to a stronger U.S. dollar given that many tend to borrow in USD.

Economic growth in China is slowing as government spending slows and policy makers look to crackdown on shadow banking and other speculative forms of debt financing. Although real GDP growth is still a healthy 6.5%, it is at its lowest level in years. Meanwhile, trade wars between China and the U.S. could exacerbate the decline.

Performance Analysis

The U.S. high yield market returned 0.86% for the 12-month period ended October 31, 2018 (as measured by the ICE BofAML US High Yield Index), outperforming several other fixed income asset classes. U.S. high-yield (“HY”) bond market spreads widened overall by 30 bps from 351 to 381 bps over Treasuries over the year. The lowest quality segment of the market rallied for the last year, driven by a search for yield; CCC-rated bonds gained 4.56% and U.S. HY distressed issues returned 3.31%, whereas higher quality BB’s declined by 0.82% and single-B rated bonds returned 1.66%.

In our opinion, the rally in the lower quality part of the market has been driven by investors seeking returns in industries and credits that are subject to high levels of business and technological disruption such as telecom (wirelines and satellites), energy, hospitals and retail. Healthcare, transportation, and energy were the top performing sectors for the year, while other sectors that continue to face headwinds, banking and automotive specifically, underperformed. The worst performing sector for the period was automotive as investors believe that the production cycle has already passed its peak and growth in new production is expected to slow. Additionally, bonds issued by American Tire Distributors, Inc., an automotive tire distributor, lost approximately 75% of their value as Bridgestone Corporation decided to exit a supply agreement with the company. The banking sector experienced weakness during the period; bonds issued by foreign banks were under pressure in part due to political developments in Europe.

The Fund underperformed its benchmark, the ICE BofAML US High Yield Constrained Index (the “benchmark”), for the 12-month period ended October 31, 2018, with a return of -10.24% on a share price basis and -0.82% on a net asset value (“NAV”) basis, compared with the benchmark, which returned 0.86% for the period. The Fund’s underperformance is primarily attributed to the underweight to the lower quality segment of the market as well as those sectors experiencing high levels of disruption, which outperformed during the period; this includes the Fund’s underweight positioning within energy, a telecommunications subsector, and a healthcare subsector. Note that these are the same underweights that generally benefitted the Fund in 2017. Additionally, the Fund’s overweight to high quality issuers, such as services, and basic industry subsectors, detracted from results as higher quality bonds underperformed. Alternatively, avoiding uncompensated risks in the automotive (American Tire Distributors, Inc.) and the banking (foreign banks) sectors benefitted the portfolio. Positioning in pharmaceuticals with an overweight in Bausch Health Companies, Inc. was also a positive contributor for the year. As we previously shared, given that high yield spreads are near their tightest for this current economic cycle, we have reduced credit and idiosyncratic risks in the Fund as spread compensation, in many cases, is inadequate. Although the credit fundamentals of the non-investment grade market are broadly sound, we are concerned that low return on capital, an uptick in leverage, and rapid technological changes have led to an increase in idiosyncratic risk.

We maintained a short position in U.S. Treasury bonds within the Fund, expressed in the belly of the curve, and used the short to reduce the portfolio’s exposure to interest rate risk, while at the same time purchasing additional high yield securities to lever up the portfolio. The Fund benefited from its additional long exposure to high yield bonds, offset slightly by the borrowing costs involved, as the high yield market experienced a positive return during the period. U.S. Treasury yields increased during the year; as a result, the short U.S. Treasury position added to performance.

Finally, as you may be aware, on June 25, 2018, another closed-end fund, the First Trust Strategic High Income Fund II (“FHY”), merged into the Fund. The merger was completed successfully, with no material repositioning required within the Fund.

Outlook

Although U.S. economic growth slowed in the most recent quarter, output continues to be very healthy relative to most other markets, in our opinion. The Fed appears committed to normalizing policy rates with some wind in its sails. We continue to monitor risks in the system by way of elevated leverage in both the public and private markets. Since the Great Recession, we have observed a re-leveraging process unfold among high quality issuers while consumers generally de-levered². A sustained period of ultra-low interest rates contributed to significant growth in debt capital. More recently, loose fiscal policy has provided additional fuel to an environment already flush with liquidity. Consequently, we believe compensation to investors is very limited, and thus the margin for error at this stage in the cycle is quite low.

As investors, we believe corporate fundamentals and central bank policies should be the dominant drivers of market sentiment over the near-term. While we do not foresee a recession on the immediate horizon, we are mindful of the aforementioned risk factors at play.

²	Based on the Federal Reserve’s U.S. consumer financial obligation ratio, a measure of the household debt payments relative to total disposable income.

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Table of Contents

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2018 (Unaudited)

Importantly, we continue to reaffirm our less aggressive targeted risk profile across portfolio styles. We believe downside protection will continue to be paramount in the current environment.

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Table of Contents

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.

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES – 92.7%
	Automotive – 2.6%
$287,000	American Axle & Manufacturing, Inc.	6.63%	10/15/22	$291,664
4,025,000	Dana, Inc. (a)	5.50%	12/15/24	3,898,212
2,080,000	Gates Global LLC/Gates Global Co. (b)	6.00%	07/15/22	2,074,800
1,175,000	Goodyear Tire & Rubber (The) Co.	5.13%	11/15/23	1,155,613
1,275,000	Goodyear Tire & Rubber (The) Co.	5.00%	05/31/26	1,165,031
2,125,000	Goodyear Tire & Rubber (The) Co. (a)	4.88%	03/15/27	1,901,875
2,599,000	Navistar International Corp. (b)	6.63%	11/01/25	2,663,975
1,970,000	Tenneco, Inc. (a)	5.00%	07/15/26	1,644,950
				14,796,120
	Banking – 1.4%
1,165,000	Ally Financial, Inc.	8.00%	11/01/31	1,406,738
612,000	Ally Financial, Inc. (a)	8.00%	11/01/31	737,460
6,000,000	Ally Financial, Inc. (a)	5.13%	09/30/24	6,112,500
				8,256,698
	Basic Industry – 10.1%
3,750,000	AK Steel Corp.	7.63%	10/01/21	3,764,062
1,000,000	AK Steel Corp. (a)	7.50%	07/15/23	1,020,000
2,100,000	AK Steel Corp.	6.38%	10/15/25	1,879,500
2,425,000	Beazer Homes USA, Inc. (a)	8.75%	03/15/22	2,449,250
800,000	Cleveland-Cliffs, Inc. (a)	4.88%	04/01/21	796,000
1,800,000	Cleveland-Cliffs, Inc. (a)	5.75%	03/01/25	1,707,750
4,111,000	Core & Main L.P. (b)	6.13%	08/15/25	3,874,617
1,000,000	Freeport-McMoRan, Inc. (a)	3.55%	03/01/22	948,750
1,680,000	Freeport-McMoRan, Inc.	3.88%	03/15/23	1,558,200
960,000	Freeport-McMoRan, Inc. (a)	4.55%	11/14/24	892,800
2,445,000	JELD-WEN, Inc. (a) (b)	4.88%	12/15/27	2,133,263
2,979,000	KB Home	7.50%	09/15/22	3,157,740
1,600,000	Koppers, Inc. (a) (b)	6.00%	02/15/25	1,540,480
500,000	Lennar Corp.	5.88%	11/15/24	504,375
1,500,000	LGI Homes, Inc. (b)	6.88%	07/15/26	1,432,500
3,180,000	Meritage Homes Corp.	6.00%	06/01/25	3,108,450
1,000,000	Novelis Corp. (a) (b)	6.25%	08/15/24	992,500
2,862,000	Novelis Corp. (b)	5.88%	09/30/26	2,704,590
2,045,000	Olin Corp.	5.13%	09/15/27	1,914,631
2,050,000	Pisces Midco, Inc. (a) (b)	8.00%	04/15/26	1,998,750
3,260,000	PQ Corp. (a) (b)	6.75%	11/15/22	3,370,025
565,000	PQ Corp. (a) (b)	5.75%	12/15/25	545,931
3,710,000	PulteGroup, Inc. (a)	7.88%	06/15/32	3,932,600
2,025,000	Shea Homes L.P./Shea Homes Funding Corp. (a) (b)	6.13%	04/01/25	1,883,250
4,250,000	Standard Industries, Inc. (a) (b)	5.00%	02/15/27	3,888,750
3,050,000	Toll Brothers Finance Corp.	4.88%	11/15/25	2,889,875
3,765,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (a)	5.88%	06/15/24	3,529,688
				58,418,327
	Capital Goods – 7.5%
3,045,000	Ball Corp.	4.00%	11/15/23	2,961,262
2,675,000	Berry Global, Inc. (a) (b)	4.50%	02/15/26	2,507,813
4,100,000	BWAY Holding Co. (a) (b)	5.50%	04/15/24	3,946,250
3,500,000	Crown Americas LLC/Crown Americas Capital Corp. IV (a)	4.50%	01/15/23	3,438,750
1,500,000	JB Poindexter & Co., Inc. (b)	7.13%	04/15/26	1,552,500
2,590,000	KLX, Inc. (b)	5.88%	12/01/22	2,674,175
2,080,000	Mueller Water Products, Inc. (b)	5.50%	06/15/26	2,064,400
2,840,000	Owens-Brockway Glass Container, Inc. (a) (b)	5.00%	01/15/22	2,815,150

See Notes to Financial Statements

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First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (Continued)
	Capital Goods (Continued)
$5,700,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU (a) (b)	5.13%	07/15/23	$5,578,875
3,725,000	Sealed Air Corp. (b)	5.50%	09/15/25	3,687,750
5,445,000	Terex Corp. (a) (b)	5.63%	02/01/25	5,186,362
2,660,000	Trident Merger Sub, Inc. (a) (b)	6.63%	11/01/25	2,493,750
2,925,000	Triumph Group, Inc. (a)	4.88%	04/01/21	2,769,683
1,750,000	Triumph Group, Inc. (a)	7.75%	08/15/25	1,649,375
				43,326,095
	Consumer Goods – 7.2%
3,905,000	B&G Foods, Inc. (a)	5.25%	04/01/25	3,734,156
3,245,000	Cott Holdings, Inc. (b)	5.50%	04/01/25	3,098,975
4,920,000	First Quality Finance Co., Inc. (a) (b)	5.00%	07/01/25	4,538,700
4,840,000	Kronos Acquisition Holdings, Inc. (a) (b)	9.00%	08/15/23	4,247,100
2,915,000	Lamb Weston Holdings, Inc. (b)	4.63%	11/01/24	2,866,086
3,965,000	Performance Food Group, Inc. (b)	5.50%	06/01/24	3,826,225
2,000,000	Pilgrim’s Pride Corp. (b)	5.75%	03/15/25	1,875,000
1,765,000	Post Holdings, Inc. (b)	5.50%	03/01/25	1,714,256
3,610,000	Post Holdings, Inc. (b)	5.00%	08/15/26	3,343,763
3,900,000	Prestige Brands, Inc. (b)	6.38%	03/01/24	3,870,750
3,910,000	Spectrum Brands, Inc.	5.75%	07/15/25	3,822,025
1,500,000	TreeHouse Foods, Inc. (b)	6.00%	02/15/24	1,501,875
3,240,000	US Foods, Inc. (b)	5.88%	06/15/24	3,223,800
				41,662,711
	Energy – 10.0%
1,675,000	AmeriGas Partners L.P./AmeriGas Finance Corp.	5.50%	05/20/25	1,574,500
5,100,000	AmeriGas Partners L.P./AmeriGas Finance Corp.	5.88%	08/20/26	4,845,000
1,875,000	Andeavor Logistics L.P./Tesoro Logistics Finance Corp. (a)	5.25%	01/15/25	1,914,844
1,600,000	Antero Midstream Partners LP/Antero Midstream Finance Corp.	5.38%	09/15/24	1,568,000
2,475,000	Blue Racer Midstream LLC/Blue Racer Finance Corp. (a) (b)	6.13%	11/15/22	2,536,875
3,526,000	California Resources Corp. (b)	8.00%	12/15/22	3,146,955
2,060,000	Carrizo Oil & Gas, Inc. (a)	6.25%	04/15/23	2,034,250
4,370,000	Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp. (a)	6.25%	04/01/23	4,473,787
3,129,000	Denbury Resources, Inc. (a) (b)	9.25%	03/31/22	3,273,716
2,100,000	Genesis Energy LP/Genesis Energy Finance Corp.	6.50%	10/01/25	1,947,750
1,955,000	Hilcorp Energy I L.P./Hilcorp Finance Co. (b)	5.00%	12/01/24	1,852,363
2,100,000	Holly Energy Partners L.P./Holly Energy Finance Corp. (b)	6.00%	08/01/24	2,115,750
2,650,000	Matador Resources Co. (b)	5.88%	09/15/26	2,597,000
1,500,000	Oasis Petroleum, Inc. (b)	6.25%	05/01/26	1,475,625
3,155,000	QEP Resources, Inc.	5.63%	03/01/26	2,981,475
875,000	Range Resources Corp. (a)	5.75%	06/01/21	891,406
2,245,000	Sanchez Energy Corp.	6.13%	01/15/23	841,875
3,020,000	SM Energy Co. (a)	5.63%	06/01/25	2,921,850
2,790,000	Southwestern Energy Co.	4.10%	03/15/22	2,762,100
2,310,000	Southwestern Energy Co.	7.50%	04/01/26	2,361,975
2,000,000	Targa Pipeline Partners L.P./Targa Pipeline Finance Corp.	5.88%	08/01/23	1,965,000
4,000,000	Targa Resources Partners L.P./Targa Resources Partners Finance Corp.	5.00%	01/15/28	3,805,000
1,380,000	Whiting Petroleum Corp.	5.75%	03/15/21	1,393,800
2,560,000	Whiting Petroleum Corp.	6.63%	01/15/26	2,563,200
				57,844,096
	Financial Services – 2.4%
2,000,000	Icahn Enterprises L.P./Icahn Enterprises Finance Corp.	6.00%	08/01/20	2,020,000

Page 8

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (Continued)
	Financial Services (Continued)
$2,000,000	Icahn Enterprises L.P./Icahn Enterprises Finance Corp.	5.88%	02/01/22	$2,007,700
3,385,000	MSCI, Inc. (a) (b)	5.75%	08/15/25	3,495,013
1,395,000	Springleaf Finance Corp.	6.00%	06/01/20	1,429,875
4,555,000	Springleaf Finance Corp. (a)	7.75%	10/01/21	4,828,300
				13,780,888
	Healthcare – 6.3%
3,825,000	Catalent Pharma Solutions, Inc. (b)	4.88%	01/15/26	3,605,062
1,370,000	CHS/Community Health Systems, Inc.	5.13%	08/01/21	1,304,925
153,000	CHS/Community Health Systems, Inc. (b)	8.13%	06/30/24	121,635
3,905,000	Hologic, Inc. (b)	4.38%	10/15/25	3,680,462
731,000	IQVIA, Inc. (a) (b)	4.88%	05/15/23	726,892
3,000,000	IQVIA, Inc. (b)	5.00%	10/15/26	2,902,500
3,665,000	MPH Acquisition Holdings LLC (b)	7.13%	06/01/24	3,732,143
2,000,000	Service Corp International	5.38%	05/15/24	2,030,000
4,750,000	Service Corp International (a)	7.50%	04/01/27	5,242,812
2,670,000	Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (a) (b)	7.50%	10/01/24	2,823,525
2,750,000	Teleflex, Inc.	4.63%	11/15/27	2,574,688
2,450,000	Tenet Healthcare Corp.	8.13%	04/01/22	2,560,250
2,300,000	Verscend Escrow Corp. (a) (b)	9.75%	08/15/26	2,314,375
3,245,000	West Street Merger Sub, Inc. (b)	6.38%	09/01/25	3,058,413
				36,677,682
	Leisure – 7.2%
5,450,000	Boyd Gaming Corp. (a)	6.38%	04/01/26	5,422,750
2,980,000	Churchill Downs, Inc. (b)	4.75%	01/15/28	2,726,700
1,200,000	Eldorado Resorts, Inc.	7.00%	08/01/23	1,263,000
3,500,000	Eldorado Resorts, Inc.	6.00%	04/01/25	3,473,750
4,385,000	ESH Hospitality, Inc. (a) (b)	5.25%	05/01/25	4,160,269
3,980,000	GLP Capital L.P./GLP Financing II, Inc.	5.38%	04/15/26	3,965,075
4,600,000	Hilton Domestic Operating Co., Inc. (a) (b)	5.13%	05/01/26	4,508,000
3,120,000	Live Nation Entertainment, Inc. (b)	4.88%	11/01/24	2,995,200
3,900,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.	5.63%	05/01/24	3,919,500
4,825,000	MGM Resorts International (a)	6.75%	10/01/20	5,039,230
4,160,000	Scientific Games International, Inc. (a)	10.00%	12/01/22	4,362,800
				41,836,274
	Media – 5.5%
2,250,000	CCO Holdings LLC/CCO Holdings Capital Corp.	5.75%	01/15/24	2,278,125
2,200,000	CCO Holdings LLC/CCO Holdings Capital Corp. (b)	5.88%	05/01/27	2,167,000
2,000,000	Clear Channel Worldwide Holdings, Inc., Series B (a)	7.63%	03/15/20	2,005,000
2,841,000	Clear Channel Worldwide Holdings, Inc., Series B	6.50%	11/15/22	2,898,388
3,500,000	CSC Holdings LLC (a)	5.25%	06/01/24	3,381,875
1,250,000	CSC Holdings LLC (b)	6.63%	10/15/25	1,312,500
725,000	CSC Holdings LLC (b)	10.88%	10/15/25	838,281
2,325,000	CSC Holdings LLC (a) (b)	5.50%	04/15/27	2,237,813
1,000,000	Dish DBS Corp. (a)	5.13%	05/01/20	1,006,250
5,830,000	Dish DBS Corp. (a)	6.75%	06/01/21	5,902,875
2,300,000	Lamar Media Corp.	5.38%	01/15/24	2,314,375
2,115,000	Lamar Media Corp.	5.75%	02/01/26	2,133,506
3,150,000	Sirius XM Radio, Inc. (b)	5.38%	07/15/26	3,087,000
				31,562,988

See Notes to Financial Statements

Page 9

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (Continued)
	Real Estate – 0.2%
$1,000,000	Hospitality Properties Trust	4.95%	02/15/27	$968,847
	Retail – 2.5%
5,445,000	Hanesbrands, Inc. (a) (b)	4.63%	05/15/24	5,240,812
1,320,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b)	5.00%	06/01/24	1,305,150
3,300,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b)	5.25%	06/01/26	3,250,500
800,000	L Brands, Inc. (a)	7.60%	07/15/37	640,000
2,975,000	Murphy Oil USA, Inc.	6.00%	08/15/23	3,049,375
1,375,000	New Albertsons, Inc.	7.75%	06/15/26	1,213,438
				14,699,275
	Services – 9.4%
4,000,000	Advanced Disposal Services, Inc. (a) (b)	5.63%	11/15/24	3,910,000
1,625,000	Aramark Services, Inc.	4.75%	06/01/26	1,551,875
4,175,000	Aramark Services, Inc. (b)	5.00%	02/01/28	3,971,469
325,000	Ashtead Capital, Inc. (b)	5.63%	10/01/24	334,344
2,900,000	BlueLine Rental Finance Corp./BlueLine Rental LLC (b)	9.25%	03/15/24	3,030,500
1,045,000	Frontdoor, Inc. (b)	6.75%	08/15/26	1,068,513
500,000	GEO (The) Group, Inc.	5.88%	10/15/24	466,150
2,740,000	H&E Equipment Services, Inc.	5.63%	09/01/25	2,616,700
3,587,000	Herc Rentals, Inc. (b)	7.50%	06/01/22	3,748,415
1,276,000	Herc Rentals, Inc. (b)	7.75%	06/01/24	1,352,560
4,199,000	Iron Mountain, Inc. (b)	4.88%	09/15/27	3,758,105
1,845,000	Iron Mountain, Inc. (b)	5.25%	03/15/28	1,665,112
4,615,000	KAR Auction Services, Inc. (a) (b)	5.13%	06/01/25	4,349,637
3,805,000	ServiceMaster (The) Co. LLC (a) (b)	5.13%	11/15/24	3,671,825
3,650,000	Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (b)	6.75%	06/01/25	3,484,655
2,500,000	United Rentals North America, Inc.	5.75%	11/15/24	2,515,625
1,400,000	United Rentals North America, Inc.	5.50%	07/15/25	1,369,375
2,900,000	United Rentals North America, Inc. (a)	5.88%	09/15/26	2,852,875
450,000	United Rentals North America, Inc.	5.50%	05/15/27	428,063
1,705,000	United Rentals North America, Inc.	4.88%	01/15/28	1,540,382
3,650,000	Waste Pro USA, Inc. (b)	5.50%	02/15/26	3,467,500
2,975,000	Wrangler Buyer Corp. (b)	6.00%	10/01/25	3,198,125
				54,351,805
	Technology & Electronics – 5.4%
3,195,000	CDK Global, Inc. (a)	4.88%	06/01/27	3,007,294
590,000	CDW LLC/CDW Finance Corp. (a)	5.50%	12/01/24	598,850
145,000	CDW LLC/CDW Finance Corp.	5.00%	09/01/25	141,919
3,700,000	CommScope Technologies LLC (b)	5.00%	03/15/27	3,312,129
2,800,000	CommScope, Inc. (a) (b)	5.00%	06/15/21	2,801,400
3,996,000	Dell International LLC/EMC Corp. (a) (b)	8.35%	07/15/46	4,657,283
4,030,000	First Data Corp. (a) (b)	7.00%	12/01/23	4,181,629
2,038,000	First Data Corp. (a) (b)	5.00%	01/15/24	2,020,167
3,105,000	Match Group, Inc. (a)	6.38%	06/01/24	3,236,962
4,365,000	NCR Corp.	6.38%	12/15/23	4,365,000
3,019,000	PTC, Inc.	6.00%	05/15/24	3,094,475
				31,417,108
	Telecommunications – 11.3%
2,960,000	CenturyLink, Inc., Series P (a)	7.60%	09/15/39	2,560,400
3,300,000	CenturyLink, Inc., Series U	7.65%	03/15/42	2,854,500
4,545,000	CyrusOne L.P./CyrusOne Finance Corp.	5.38%	03/15/27	4,522,275

Page 10

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (Continued)
	Telecommunications (Continued)
$5,525,000	Equinix, Inc. (a)	5.88%	01/15/26	$5,635,500
1,675,000	Equinix, Inc. (a)	5.38%	05/15/27	1,662,438
1,130,000	Frontier Communications Corp. (a)	10.50%	09/15/22	946,375
4,380,000	Frontier Communications Corp. (a) (b)	8.50%	04/01/26	4,084,350
2,956,000	Hughes Satellite Systems Corp. (a)	5.25%	08/01/26	2,819,285
300,000	Level 3 Financing, Inc.	6.13%	01/15/21	301,500
3,070,000	Level 3 Financing, Inc.	5.38%	01/15/24	3,046,975
3,025,000	Level 3 Financing, Inc.	5.38%	05/01/25	2,960,719
2,900,000	Level 3 Financing, Inc.	5.25%	03/15/26	2,791,250
2,850,000	Qualitytech L.P./QTS Finance Corp. (b)	4.75%	11/15/25	2,671,875
1,250,000	SBA Communications Corp.	4.88%	07/15/22	1,242,188
1,700,000	SBA Communications Corp. (a)	4.88%	09/01/24	1,646,875
425,000	Sprint Capital Corp.	6.88%	11/15/28	419,156
6,045,000	Sprint Capital Corp.	8.75%	03/15/32	6,619,275
570,000	Sprint Communications, Inc. (a)	9.25%	04/15/22	645,525
3,685,000	Sprint Corp.	7.63%	03/01/26	3,841,612
3,295,000	T-Mobile USA, Inc.	6.00%	03/01/23	3,386,733
2,925,000	T-Mobile USA, Inc.	6.00%	04/15/24	3,005,437
3,500,000	Zayo Group LLC/Zayo Capital, Inc. (a)	6.00%	04/01/23	3,587,500
4,200,000	Zayo Group LLC/Zayo Capital, Inc. (a) (b)	5.75%	01/15/27	4,127,340
				65,379,083
	Transportation – 2.2%
771,800	Continental Airlines 2005-ERJ1 Pass Through Trust	9.80%	04/01/21	816,179
2,000,000	United Continental Holdings, Inc. (a)	6.00%	12/01/20	2,082,500
4,822,427	US Airways 2000-3C Pass Through Trust	8.39%	03/01/22	5,123,829
4,331,000	XPO Logistics, Inc. (a) (b)	6.50%	06/15/22	4,455,516
				12,478,024
	Utility – 1.5%
5,120,000	Calpine Corp. (a)	5.75%	01/15/25	4,594,176
2,000,000	Clearway Energy Operating LLC	5.38%	08/15/24	1,988,750
2,300,000	Pattern Energy Group, Inc. (b)	5.88%	02/01/24	2,288,500
				8,871,426
	Total Corporate Bonds and Notes			536,327,447
	(Cost $550,731,617)
Principal Value (Local Currency)	Description	Stated Coupon	Stated Maturity	Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES – 25.8%
	Automotive – 0.5%
2,565,000	LKQ European Holdings B.V. (EUR) (b)	3.63%	04/01/26	2,869,483
	Banking – 0.4%
2,400,000	Royal Bank of Scotland Group PLC (USD)	5.13%	05/28/24	2,368,131
	Basic Industry – 5.2%
2,700,000	Alcoa Nederland Holding B.V. (USD) (b)	7.00%	09/30/26	2,862,000
3,792,000	ArcelorMittal (USD) (a)	7.00%	10/15/39	4,208,203
1,700,000	Cemex SAB de CV (USD) (b)	7.75%	04/16/26	1,797,750
3,340,000	FMG Resources (August 2006) Pty Ltd. (USD) (b)	5.13%	05/15/24	3,185,525
2,725,000	Intertape Polymer Group, Inc. (USD) (b)	7.00%	10/15/26	2,731,812
1,900,000	James Hardie International Finance DAC (USD) (a) (b)	5.00%	01/15/28	1,731,375
250,000	Kinross Gold Corp. (USD)	5.95%	03/15/24	256,875

See Notes to Financial Statements

Page 11

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value (Local Currency)	Description	Stated Coupon	Stated Maturity	Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (Continued)
	Basic Industry (Continued)
775,000	Kinross Gold Corp. (USD)	4.50%	07/15/27	$695,563
1,490,000	MMC Norilsk Nickel OJSC via MMC Finance DAC (USD) (b)	6.63%	10/14/22	1,560,318
1,625,000	SPCM S.A. (USD) (b)	4.88%	09/15/25	1,507,188
2,200,000	Stora Enso OYJ (USD) (b)	7.25%	04/15/36	2,618,000
2,505,000	Teck Resources Ltd. (USD)	6.00%	08/15/40	2,461,162
1,795,000	Teck Resources Ltd. (USD)	6.25%	07/15/41	1,799,488
2,975,000	Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. (USD) (b)	5.38%	09/01/25	2,764,667
				30,179,926
	Capital Goods – 2.7%
5,100,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (a) (b)	7.25%	05/15/24	5,144,625
535,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (b)	6.00%	02/15/25	502,900
890,000	Bombardier, Inc. (USD) (b)	6.00%	10/15/22	877,762
5,888,000	Bombardier, Inc. (USD) (a) (b)	6.13%	01/15/23	5,843,840
3,980,000	Titan Acquisition Ltd./Titan Co-Borrower LLC (USD) (b)	7.75%	04/15/26	3,323,300
				15,692,427
	Consumer Goods – 0.9%
2,600,000	JBS Investments II GmbH (USD) (b)	7.00%	01/15/26	2,570,100
2,925,000	Minerva Luxembourg S.A. (USD) (b)	6.50%	09/20/26	2,712,938
				5,283,038
	Energy – 3.2%
950,000	Gazprom OAO Via Gaz Capital S.A. (USD) (b)	8.63%	04/28/34	1,165,010
1,800,000	LBC Tank Terminals Holding Netherlands BV (USD) (b)	6.88%	05/15/23	1,777,500
4,590,000	Petrobras Global Finance B.V. (USD)	7.38%	01/17/27	4,766,026
588,000	Petrobras Global Finance B.V. (USD)	6.88%	01/20/40	560,070
1,060,000	Petrobras Global Finance B.V. (USD)	7.25%	03/17/44	1,026,213
800,000	Puma International Financing S.A. (USD) (b)	5.13%	10/06/24	674,078
4,500,000	Transocean, Inc. (USD) (b)	7.25%	11/01/25	4,387,500
3,350,000	Weatherford International Ltd. (USD)	4.50%	04/15/22	2,512,500
1,793,000	Weatherford International Ltd. (USD)	8.25%	06/15/23	1,376,127
406,000	Weatherford International Ltd. (USD)	6.50%	08/01/36	272,020
				18,517,044
	Healthcare – 3.4%
1,105,000	Bausch Health Cos, Inc. (USD) (b)	7.50%	07/15/21	1,124,338
2,785,000	Bausch Health Cos, Inc. (USD) (b)	6.50%	03/15/22	2,889,437
4,000,000	Bausch Health Cos, Inc. (USD) (b)	5.50%	03/01/23	3,805,000
5,319,000	Bausch Health Cos, Inc. (USD) (a) (b)	5.88%	05/15/23	5,092,942
3,724,000	Bausch Health Cos, Inc. (USD) (a) (b)	6.13%	04/15/25	3,434,273
1,320,000	Bausch Health Cos, Inc. (USD) (b)	9.00%	12/15/25	1,381,050
2,275,000	Endo Dac./Endo Finance LLC/Endo Finco, Inc. (USD) (a) (b)	6.00%	02/01/25	1,916,688
				19,643,728
	Insurance – 0.8%
1,800,000	Aviva PLC (GBP) (c)	6.13%	11/14/36	2,523,640
2,220,000	Oil Insurance Ltd., 3 Mo. LIBOR + 2.98% (USD) (a) (b) (d)	5.38%	(e)	2,164,500
				4,688,140

Page 12

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value (Local Currency)	Description	Stated Coupon	Stated Maturity	Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (Continued)
	Leisure – 1.7%
3,205,000	Royal Caribbean Cruises Ltd. (USD) (a)	7.50%	10/15/27	$3,757,555
1,305,000	Sands China, LTD. (USD) (b)	4.60%	08/08/23	1,290,329
1,695,000	Sands China, LTD. (USD) (b)	5.13%	08/08/25	1,664,350
2,960,000	Stars Group Holdings B.V./Stars Group U.S. Co-Borrower LLC (USD) (b)	7.00%	07/15/26	3,011,800
				9,724,034
	Media – 2.3%
3,815,000	Altice France S.A./France (USD) (b)	6.25%	05/15/24	3,671,937
1,200,000	Altice Luxembourg S.A. (USD) (a) (b)	7.75%	05/15/22	1,122,000
3,695,000	UPCB Finance IV Ltd. (USD) (b)	5.38%	01/15/25	3,604,473
1,000,000	Virgin Media Finance PLC (USD) (b)	6.00%	10/15/24	981,550
2,800,000	Virgin Media Finance PLC (GBP)	6.38%	10/15/24	3,704,224
				13,084,184
	Retail – 0.4%
2,720,000	1011778 BC ULC/New Red Finance, Inc. (USD) (b)	4.25%	05/15/24	2,563,600
	Services – 1.9%
700,000	Darling Global Finance BV (EUR) (b)	3.63%	05/15/26	807,693
3,540,000	GFL Environmental, Inc. (USD) (b)	5.63%	05/01/22	3,380,700
630,000	GFL Environmental, Inc. (USD) (a) (b)	5.38%	03/01/23	579,600
3,940,000	Ritchie Bros. Auctioneers, Inc. (USD) (a) (b)	5.38%	01/15/25	3,900,600
1,985,000	Travelport Corporate Finance PLC (USD) (b)	6.00%	03/15/26	1,994,925
				10,663,518
	Technology & Electronics – 1.0%
2,500,000	NXP B.V./NXP Funding LLC (USD) (a) (b)	4.63%	06/01/23	2,484,375
3,060,000	Sensata Technologies UK Financing Co., PLC (USD) (a) (b)	6.25%	02/15/26	3,128,850
				5,613,225
	Telecommunications – 1.4%
2,225,000	DKT Finance ApS (USD) (b)	9.38%	06/17/23	2,344,594
3,540,000	Telecom Italia Capital S.A. (USD) (a)	7.72%	06/04/38	3,601,950
2,300,000	VEON Holdings B.V. (USD) (b)	4.95%	06/16/24	2,182,861
				8,129,405
	Total Foreign Corporate Bonds and Notes			149,019,883
	(Cost $151,098,690)
Par Amount (Local Currency)	Description	Stated Rate	Stated Maturity	Value (US Dollars)
CAPITAL PREFERRED SECURITIES – 6.0%
	Automotive – 0.8%
4,935,000	General Motors Financial Co., Inc., Series A (USD) (a) (c)	5.75%	(e)	4,456,206
	Banking – 3.1%
2,940,000	Bank of America Corp., Series DD (USD) (c)	6.30%	(e)	3,105,375
4,475,000	Citigroup, Inc., Series M (USD) (c)	6.30%	(e)	4,453,744
2,775,000	Dresdner Funding Trust I (USD) (a) (b)	8.15%	06/30/31	3,455,030
5,370,000	Goldman Sachs Group (The), Inc., Series P (USD) (c)	5.00%	(e)	4,953,825
900,000	HBOS Capital Funding L.P. (GBP) (c)	6.46%	(e)	1,155,102

See Notes to Financial Statements

Page 13

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Par Amount (Local Currency)	Description	Stated Rate	Stated Maturity	Value (US Dollars)
CAPITAL PREFERRED SECURITIES (Continued)
	Banking (Continued)
795,000	RBS Capital Trust II (USD) (c)	6.43%	(e)	$953,006
				18,076,082
	Capital Goods – 0.5%
3,210,000	Textron Financial Corp., 3 Mo. LIBOR + 1.74% (USD) (b) (d)	4.05%	02/15/42	2,752,575
	Insurance – 1.6%
6,950,000	Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (USD) (a) (b) (d)	4.44%	02/12/47	6,411,375
3,500,000	Lincoln National Corp., 3 Mo. LIBOR + 2.36% (USD) (a) (d)	4.67%	05/17/66	3,211,250
				9,622,625
	Total Capital Preferred Securities			34,907,488
	(Cost $35,572,954)
Principal Value	Description	Rate (f)	Stated Maturity (g)	Value
SENIOR FLOATING-RATE LOAN INTERESTS – 1.5%
	Consumer Goods – 0.3%
$2,100,000	United Natural Foods, Inc., 1 Mo. LIBOR + 4.25%, 0.00% Floor	6.55%	10/22/25	1,966,125
	Energy – 0.2%
990,188	Crestwood Holdings LLC, Term Loan B, 1 Mo. LIBOR + 7.50%, 0.00% Floor	9.79%	03/06/23	985,653
	Healthcare – 1.0%
5,997,883	Ortho-Clinical Term Loan B3, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.54%	06/30/25	5,975,391
	Total Senior Floating-Rate Loan Interests			8,927,169
	(Cost $8,985,234)
Principal Value	Description	Stated Coupon	Stated Maturity	Value
MORTGAGE-BACKED SECURITIES – 0.8%
	Collateralized Mortgage Obligations – 0.2%
	Washington Mutual Alternative Mortgage Pass-Through Certificates
23,993	Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (h)	25.79%	06/25/37	37,640
	Wells Fargo Mortgage Backed Securities
990,617	Series 2006-AR7 Trust, Class 2A4 (i)	4.32%	05/25/36	1,017,022
				1,054,662
	Commercial Mortgage-Backed Securities – 0.6%
	Securitized Asset Backed Receivables LLC Trust
7,674,533	Series 2006-FR4, Class A2A, 1 Mo. LIBOR + 0.08% (d)	2.30%	08/25/36	3,330,731
	Total Mortgage-Backed Securities			4,385,393
	(Cost $6,050,890)
ASSET-BACKED SECURITIES – 0.1%
	Keycorp Student Loan Trust,
437,412	Series 2000-A, Class A2, 3 Mo. LIBOR + 0.32% (d)	2.65%	05/25/29	436,143
	(Cost $413,366)
STRUCTURED NOTES – 0.0%
5,750,000	Preferred Term Securities XXV, Ltd. (j) (k) (l)	(m)	06/22/37	0

Page 14

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Principal Value	Description	Stated Coupon	Stated Maturity	Value
STRUCTURED NOTES (Continued)
$2,500,000	Preferred Term Securities XXVI, Ltd. (j) (k) (l)	(m)	09/22/37	$0
	Total Structured Notes			0
	(Cost $0)

Shares	Description	Value
COMMON STOCKS – 0.1%
	Energy – 0.0%
7	Thunderbird Resources Equity, Inc. (k) (l) (n) (o)	108,110
	Utility – 0.1%
13,918	Vistra Energy Corp. (o)	314,965
	Total Common Stocks	423,075
	(Cost $997,888)
RIGHTS – 0.0%
	Utility – 0.0%
13,918	Vistra Energy Corp. (n) (o)	11,246
22,783	Vistra Energy Corp. Claim (k) (l) (n) (o)	0
	Total Rights	11,246
	(Cost $23,512)
PREFERRED SECURITIES – 0.0%
4,000,000	Soloso CDO, Ltd. (j) (k) (l) (m)	0
	(Cost $0)

	Total Investments – 127.0%			734,437,844
	(Cost $753,874,151) (p)
Principal Value	Description	Stated Coupon	Stated Maturity	Value
U.S. GOVERNMENT BONDS SOLD SHORT - (21.8)%
(101,950,000)	United States Treasury Note	1.38%	09/30/23	(94,455,126)
(32,000,000)	United States Treasury Note	2.88%	05/31/25	(31,640,625)
	Total U.S. Government Bonds Sold Short			(126,095,751)
	(Proceeds $130,967,755)
CORPORATE BONDS SOLD SHORT – (1.6)%
	Energy – (0.8)%
(2,400,000)	Noble Energy, Inc.	4.15%	12/15/21	(2,418,879)
(2,100,000)	Noble Energy, Inc.	3.90%	11/15/24	(2,043,836)
				(4,462,715)
	Media – (0.8)%
(5,145,000)	Netflix, Inc.	4.38%	11/15/26	(4,752,694)
	Total Corporate Bonds Sold Short			(9,215,409)
	(Proceeds $9,150,271)
	Total Investments Sold Short – (23.4)%			(135,311,160)
	(Proceeds $140,118,026)

	Outstanding Loan – (6.3)%		(36,664,548)
	Net Other Assets and Liabilities – 2.7%		15,898,039
	Net Assets – 100.0%		$578,360,175

See Notes to Financial Statements

Page 15

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Forward Foreign Currency Contracts
Settlement Date	Counterparty	Amount Purchased		Amount Sold		Purchase Value as of 10/31/2018	Sale Value as of 10/31/2018	Unrealized Appreciation/ (Depreciation)
11/01/18	JPM	USD	3,890,187	EUR	3,306,000	$ 3,890,187	$ 3,744,819	$ 145,368
02/01/19	JPM	USD	3,775,945	EUR	3,294,000	3,775,945	3,763,694	12,251
11/01/18	JPM	USD	7,878,103	GBP	5,963,000	7,878,103	7,622,246	255,857
02/01/19	JPM	USD	7,674,118	GBP	5,994,000	7,674,118	7,699,993	(25,875)
Net Unrealized Appreciation (Depreciation)								$387,601

Counterparty Abbreviations
JPM	JPMorgan Chase

See Note 2F – 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 (the “1933 Act”), 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 (the “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 October 31, 2018, securities noted as such amounted to $374,364,580 of total investments or 64.7% of net assets.
(c)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 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)	Inverse floating rate security.
(i)	Collateral Strip Rate security. Interest is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically.
(j)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2D - Restricted Securities in the Notes to Financial Statements).
(k)	This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At October 31, 2018, securities noted as such are valued at $108,110 or 0.0% of net assets.
(l)	This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(m)	Zero coupon security.
(n)	Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Fund’s Sub-Advisor.
(o)	Non-income producing security.
(p)	Aggregate cost for federal income tax purposes was $624,507,773. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $16,298,156 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $41,291,644. The net unrealized depreciation was $24,993,488. The amounts presented are inclusive of investments sold short and derivative contracts.

CDO	Collateralized Debt Obligation
EUR	Euro
GBP	British Pound Sterling
LIBOR	London Interbank Offered Rate
USD	United States Dollar

Page 16

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2018

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of October 31, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

ASSETS TABLE
	Total Value at 10/31/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Corporate Bonds and Notes*	$ 536,327,447	$ —	$ 536,327,447	$ —
Foreign Corporate Bonds and Notes*	149,019,883	—	149,019,883	—
Capital Preferred Securities*	34,907,488	—	34,907,488	—
Senior Floating-Rate Loan Interests*	8,927,169	—	8,927,169	—
Mortgage-Backed Securities	4,385,393	—	4,385,393	—
Asset-Backed Securities	436,143	—	436,143	—
Structured Notes	—**	—	—	—**
Common Stocks:
Energy	108,110	—	—	108,110
Utility	314,965	314,965	—	—
Rights*	11,246	—	11,246	—**
Preferred Securities	—**	—	—	—**
Total Investments	734,437,844	314,965	734,014,769	108,110
Forward Foreign Currency Contracts	413,476	—	413,476	—
Total	$ 734,851,320	$ 314,965	$ 734,428,245	$ 108,110
LIABILITIES TABLE
	Total Value at 10/31/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Government Bonds Sold Short	$ (126,095,751)	$ —	$ (126,095,751)	$ —
Corporate Bonds Sold Short*	(9,215,409)	—	(9,215,409)	—
Forward Foreign Currency Contracts	(25,875)	—	(25,875)	—
Total	$ (135,337,035)	$—	$ (135,337,035)	$—

*	See Portfolio of Investments for industry breakout.
**	Investment is valued at $0.

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. During the period ended October 31, 2018, the Fund acquired Level 3 common stocks valued at $108,110 and Level 3 structured notes, rights and preferred securities valued at $0. The acquisition of the Level 3 securities is due to the merger of the First Trust Strategic High Income Fund II (“FHY”), a closed-end fund managed by First Trust Advisors L.P., with and into the Fund (see Note 4 – Merger in the Notes to Financial Statements).

Level 3 Structured Notes, Preferred Securities and Rights are fair valued by the Advisor’s Pricing Committee. These values are based on unobservable and non-quantitative inputs.

See Notes to Financial Statements

Page 17

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Statement of Assets and Liabilities

October 31, 2018

ASSETS:
Investments, at value (Cost $753,874,151)	$ 734,437,844
Cash	2,577,351
Foreign currency (Cost $177,742)	172,895
Unrealized appreciation on forward foreign currency contracts	413,476
Receivables:
Interest	11,350,992
Investment securities sold	6,033,702
Margin interest rebate	81,251
Prepaid expenses	5,250
Total Assets	755,072,761
LIABILITIES:
Borrowings	36,664,548
Investments sold short, at value (proceeds $140,118,026)	135,311,160
Unrealized depreciation on forward foreign currency contracts	25,875
Payables:
Investment securities purchased	3,182,977
Interest expense on investments sold short	689,938
Investment advisory fees	498,027
Margin interest expense	167,008
Audit and tax fees	60,001
Shareholder reporting fees	44,450
Administrative fees	38,696
Custodian fees	21,641
Transfer agent fees	2,874
Legal fees	2,339
Trustees’ fees and expenses	1,327
Financial reporting fees	771
Other liabilities	954
Total Liabilities	176,712,586
NET ASSETS	$578,360,175
NET ASSETS consist of:
Paid-in capital	$ 681,215,432
Par value	349,030
Accumulated distributable earnings (loss)	(103,204,287)
NET ASSETS	$578,360,175
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)	$16.57
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)	34,903,005

Page 18

See Notes to Financial Statements

Table of Contents

First Trust High Income Long/Short Fund (FSD)

Statement of Operations

For the Year Ended October 31, 2018

INVESTMENT INCOME:
Interest		$ 40,235,211
Margin interest rebate		1,787,802
Other		300,852
Total investment income		42,323,865