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 811-09235
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FIRST DEFINED PORTFOLIO FUND, LLC
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(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)
registrant's telephone number, including area code: 630-241-4141
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Date of fiscal year end: DECEMBER 31
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Date of reporting period: DECEMBER 31, 2006
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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. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
FIRST DEFINED PORTFOLIO FUND, LLC
ANNUAL REPORT
FOR THE YEAR ENDED DECEMBER 31, 2006
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TABLE OF CONTENTS
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
Shareholder Letter........................................................ 1
Market Overview........................................................... 2
Performance Summaries and Portfolio Components............................ 3
Understanding Your Fund Expenses..........................................27
Portfolio of Investments..................................................28
Statements of Assets and Liabilities......................................50
Statements of Operations..................................................52
Statements of Changes in Net Assets.......................................54
Statements of Changes in Net Assets - Capital Stock Activity..............56
Financial Highlights......................................................58
Notes to Financial Statements.............................................70
Report of Independent Registered Public Accounting Firm...................75
Additional Information ...................................................76
Proxy Voting Policies and Procedures
Portfolio Holdings
Board of Trustees and Officers............................................77
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This Annual Report contains certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933. Forward-looking statements
include statements regarding the goals, beliefs, plans or current expectations
of First Trust Advisors L.P. (the "Advisor" or "First Trust") and its
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
the First Defined Portfolio Fund, LLC (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
Annual Report, you are cautioned not to place undue reliance on these
forward-looking statements, which reflect the judgment of the Advisor and its
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.
HOW TO READ THIS REPORT
This report contains information that can help you evaluate your investment. It
includes details about each Portfolio (individually called a "Portfolio" and
collectivelly the "Portfolios") and presents data and analysis that provide
insight into each Portfolio's performance and investment approach.
By reading the letter from the Fund's President, James A. Bowen, together with
the market overview and discussion of each portfolio's performance by Robert F.
Carey, Chief Investment Officer of First Trust, the Fund's investment advisor,
you may obtain an understanding of how the market environment affected its
performance. The statistical information that follows may help you understand a
portfolio's performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by Mr. Bowen and Mr.
Carey 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. Of course, the risks of investing in the
portfolios are spelled out in the prospectus.
Page 2
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SHAREHOLDER LETTER
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FIRST DEFINED PORTFOLIO FUND, LLC
ANNUAL REPORT
DECEMBER 31, 2006
Dear Shareholders:
We are pleased to present to you the annual report of the First Defined
Portfolio Fund, LLC (the "Fund") for the period ended December 31, 2006. All 12
portfolios in the Fund generated positive total returns in 2006.
Calendar year 2006 was a strong performance year for the markets. The U.S.
economy expanded, stock markets performed positively, and many of the major
economic indicators were positive. I encourage you to read the portfolio
commentaries found on the following pages, which include a discussion of the
market conditions that affected your Fund and how each portfolio within the Fund
performed.
First Trust serves as investment advisor or portfolio supervisor to investment
portfolios with approximately $28 billion in assets which it managed or
supervised as of December 31, 2006. We value our relationship with our investors
and appreciate the opportunity to assist you in achieving your financial goals.
Sincerely,
/S/ JAMES A. BOWEN
James A. Bowen
President of the First Defined Portfolio Fund, LLC
February 15, 2007
Page 1
[GRAPHIC OMITTED]
ROBERT F. CAREY PIC
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 20 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV and CNBC and has been quoted by several
publications, including THE WALL STREET JOURNAL, THE WALL STREET REPORTER,
BLOOMBERG NEWS SERVICE, and REGISTERED REP.
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MARKET OVERVIEW
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Despite the fact that the housing sector entered into a long-anticipated
correction after several years of being boosted by unusually low interest rates,
on an inflation-adjusted basis, the U.S. economy expanded by 3.3% in 2006 -
which is roughly equal to its 50-year average growth rate. Unlike in previous
business cycles, we believe the contraction in housing did not coincide with
dramatic weakness in other sectors of the economy. Personal consumption expanded
by 3.7%, while business fixed investment - spending on plant, equipment, and
software - increased approximately 9%. Exports also increased about 9% as
foreign economic growth picked up.
Although falling energy prices late in 2006 held the Consumer Price Index
("CPI") to a 2.5% gain, the core CPI, which excludes food and energy prices,
increased 2.6%, the largest increase in five years. The "median CPI", a measure
of underlying inflation calculated by the Federal Reserve Bank of Cleveland,
increased 3.7% in 2006, also the largest gain in five years. Despite some signs
of rising inflationary pressures, bond yields remained low. The 10-year Treasury
bond yield ended 2006 at 4.71%, slightly higher than its year-end 2005 yield of
4.39%, but still well below its 6.04% average yield between 1995 and 1999.
Federal Reserve Board Chairman Alan Greenspan retired in January 2006 and was
succeeded by Ben Bernanke. The Federal Reserve's short-term interest rate target
began 2006 at 4.25%, was boosted in four 25-basis point increments during the
first six months of 2006 and then remained steady. The federal funds rate ended
the year at 5.25%, with the futures markets pricing in a small chance of rate
cuts during 2007. However, after strengthening in 2005, the U.S. dollar fell
back to a fresh nine-year low when compared to the Federal Reserve Board's
trade-weighted broad index of world currencies.
As many U.S. stock indices climbed to multi-year highs during 2006, corporate
profits grew strongly as well. As a result, the trailing 12-month price/earnings
ratio for the S&P 500 fell to 17.4 in December 2006 from 17.9 in December 2005.
Page 2
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
TARGET MANAGED VIP PORTFOLIO
The Target Managed VIP Portfolio posted a total return of 11.5% for the one-year
period ended December 31, 2006, which underperformed its benchmark, the Russell
3000 Index's total return of 15.8% for the same period. The net asset value
("NAV") increased from $10.51 to $11.72 during the reporting period.
Seventy-seven stocks advanced and forty declined. The top performing stocks,
based on contribution to portfolio return, were the following: Exxon Mobil
(XOM), XTO Energy (XTO), and Apple Inc. (AAPL). The worst performing stocks,
based on contribution to portfolio return, were the following: Amgen (AMGN),
Intel (INTC), and SanDisk (SNDK).
The biggest contributor to the portfolio's performance was the energy sector,
which was overweighted in the portfolio relative to the benchmark. Utilities
were the second biggest contributor to portfolio performance thanks to strong
performance from the portfolio's holdings relative to the benchmark. Performance
was hurt most by the health care sector, which included Amgen and Teva
Pharmaceutical Industries, two of the portfolio's worst performing stocks.
Performance was also hurt, relative to its benchmark, by its underweighted
position in the financial sector.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
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GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Managed Russell 3000
VIP Dow Jones Index
10000 10000 10000
8040 10896 11261.9
8620 10381.7 10420
8190 9815.9 9228.74
6470 8343 7240.81
8730 10700 9500
9800 11271 10631
10510 11465 11285
11750 13643 13068
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
--------- -------- -------- -------- -------- -------- -------- -------- --------
Target Managed VIP Portfolio $10,000 $8,040 $8,620 $8,190 $6,470 $8,730 $9,800 $10,510 $11,720
Dow Jones Industrial Avg.* 10,000 10,896 10,382 9,816 8,343 10,700 11,271 11,465 13,648
Russell 3000 Index** 10,000 11,262 10,420 9,229 7,241 9,500 10,631 11,285 13,069
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RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- -------------------------------------------------------------------------------------------------------------------------------
Target Managed VIP Portfolio 10/6/99 11.5% 17.2% 2.2% 7.4%
Dow Jones Industrial Avg.* 19.0 36.5 4.4 6.8
Russell 3000 Index** 15.8 30.7 3.8 7.2
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<FN>
* The Dow Jones Industrial Average is a price-weighted average of 30
blue-chip stocks that are generally the leaders in their industry. It
has been a widely followed indicator of the stock market since October
1, 1928. (Bloomberg)
** The Russell 3000 Index is composed of 3,000 large U.S. companies, as
determined by market capitalization. This portfolio represents
approximately 98% of the investable U.S. equity market. (Bloomberg)
</FN>
Effective April 30, 2002, based upon the determination of the Fund's Board of
Trustees, the Portfolio changed its name from the DowSM Target 5 Portfolio to
the Target Managed VIP Portfolio. The Portfolio primary investment strategy was
also changed. The performance figures provided reflect the Portfolio performance
prior to the name change and the change of the primary investment strategy.
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 3
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
TARGET MANAGED VIP PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Oil, Gas & Consumable Fuels 12.2%
Computers & Peripherals 11.5%
Semiconductors & Semiconductor Equipment 6.7%
Diversified Financial Services 6.1%
Commercial Banks 5.1%
Diversified Telecommunication Services 5.1%
Biotechnology 5.0%
Energy Equipment & Services 4.8%
Internet Software & Services 4.7%
Household Products 3.8%
Electric Utilities 3.3%
Health Care Providers & Services 3.1%
Communications Equipment 2.9%
Beverages 2.6%
Insurance 2.4%
Specialty Retail 1.8%
Wireless Telecommunication Services 1.7%
Industrial Conglomerates 1.6%
Multi-Utilities 1.5%
Software 1.4%
Automobiles 1.1%
Aerospace & Defense 1.0%
Pharmaceuticals 1.0%
Auto Components 0.9%
Construction & Engineering 0.9%
Electronic Equipment & Instruments 0.8%
Hotels, Restaurants & Leisure 0.8%
Household Durables 0.7%
Multiline Retail 0.7%
Electrical Equipment 0.6%
Food & Staples Retailing 0.6%
Health Care Equipment & Supplies 0.6%
Commercial Services & Supplies 0.4%
Health Care Technology 0.4%
Textiles, Apparel & Luxury Goods 0.4%
Air Freight & Logistics 0.3%
Capital Markets 0.3%
Machinery 0.3%
Metals & Mining 0.3%
Trading Companies & Distributors 0.3%
Independent Power Producers & Energy Traders 0.2%
Airlines 0.1%
+ Percentages are based on total investments. Please note that the percentages
shown on the Portfolio of Investments are based on net assets.
Page 4
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
THE DOWSM DART 10 PORTFOLIO
The DowSM DART 10 Portfolio posted a total return of 25.6% for the 12-month
period ended December 31, 2006, which outperformed the Dow Jones Industrial
Average's total return of 19.0% over the same period. The NAV increased from
$8.41 to $10.56 during the period. Nine stocks advanced and one declined. The
top performing stocks, based on contribution to portfolio return, were the
following: General Motors (GM), AT&T (T), and Merck (MRK). The worst performing
stocks, based on contribution to portfolio return, were the following: Intel
Corp (INTC), Procter & Gamble (PG), and Citigroup (C).
The portfolio's positive performance, relative to its benchmark, was led by
General Motors and AT&T, the two best performing stocks in the Dow Jones
Industrial Average. The portfolio's performance was hurt by its overweighted
position in the technology sector relative to the benchmark, led by the worst
performing stock in both the portfolio and benchmark, Intel.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
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GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Dart 10 Dow
10000 10000
9220 10896
10020 10381.7
8540 9815.91
6980 8348
8370 10700
8690 11271
8410 11465
10560 13643
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
The DowSM DART 10 Portfolio $10,000 $9,220 $10,020 $8,540 $6,980 $8,370 $8,690 $8,410 $10,560
Dow Jones Industrial Avg.* 10,000 10,896 10,382 9,816 8,343 10,700 11,271 11,465 13,648
- -------------------------------------------------------------------------------------------------------------------------------
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RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- -------------------------------------------------------------------------------------------------------------------------------
The DowSM DART 10 Portfolio 10/6/99 25.6% 5.6% 0.8% 4.3%
Dow Jones Industrial Avg.* 19.0 36.5 4.4 6.8
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<FN>
* The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip
stocks that are generally the leaders in their industry. It has been a
widely followed indicator of the stock market since October 1, 1928.
(Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 5
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
THE DOWSM DART 10 PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Aerospace & Defense 10.1%
Automobiles 13.1%
Computers & Peripherals 9.5%
Diversified Financial Services 9.3%
Diversified Telecommunication Services 11.8%
Household Products 8.9%
Oil, Gas & Consumable Fuels 11.0%
Pharmaceuticals 19.8%
Semiconductors & Semiconductor Equipment 6.5%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 6
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
THE DOWSM TARGET DIVIDEND PORTFOLIO
The DowSM Target Dividend Portfolio returned 18.1% for the 12-month period ended
December 31, 2006. This underperformed the 19.5% total return of the Dow Jones
Select Dividend IndexSM for the same period. Nineteen stocks advanced for the
period, while one stock declined. The NAV increased from $9.87 to $11.66 during
the period.
The top performing stocks, based on contribution to portfolio return, were the
following: ONEOK Inc. (OKE), Marathon Oil (MRO), and Entergy Corp. (ETR). The
worst performing stocks, based on contribution to portfolio return, were the
following: La-Z-Boy (LZB), Washington Federal (WFSL), and Cincinnati Financial
(CINF).
The utilities sector was the biggest contributor to portfolio performance, led
by ONEOK Inc., the portfolio's best performer. The portfolio was overweighted in
utilities relative to the benchmark, which had a positive impact on performance.
Marathon Oil and Entergy were also both top performers. Performance was hurt by
the underperformance of the portfolio's consumer discretionary holdings, led by
the portfolio's worst performer over the period, La-Z-Boy.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
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GROWTH OF A $10,000 INITIAL INVESTMENT
May 2, 2005-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Dow Target Dow Jones
Dividend Select
10000 10000
9870 10529
11660 12582
5/2/05 12/31/05 12/31/06
-------- ---------- ----------
The DowSM Target Dividend Portfolio $10,000 $9,870 $11,660
Dow Jones Select Dividend IndexSM** 10,000 10,529 $12,587
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RETURN COMPARISON PERIOD ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL
INCEPTION ANNUAL TOTAL RETURN
DATE TOTAL RETURN RETURN (SINCE INCEPTION)
- -----------------------------------------------------------------------------------------------------------------------------
The DowSM Target Dividend Portfolio 5/2/05 18.1% 16.6% 9.5%
Dow Jones Select Dividend IndexSM * 19.5 25.9 14.8
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<FN>
* The Dow Jones Select Dividend IndexSM is comprised of 100 of the highest
dividend yielding securities.
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 7
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
THE DOWSM TARGET DIVIDEND PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Chemicals 10.1%
Commercial Banks 9.1%
Commercial Services & Supplies 4.7%
Diversified Financial Services 4.8%
Diversified Telecommunication Services 1.1%
Electric Utilities 17.1%
Food & Staples Retailing 1.5%
Gas Utilities 12.7%
Household Durables 3.9%
Insurance 9.6%
Multi-Utilities 9.6%
Oil, Gas & Consumable Fuels 6.9%
Thrifts & Mortgage Finance 4.6%
Wireless Telecommunication Services 4.3%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 8
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
The Global Dividend Target 15 Portfolio posted a total return of 38.4% for the
12-month period ended December 31, 2006, which outperformed the Morgan Stanley
Capital International Developed Markets World Index's total return of 20.1% over
the same period. The NAV increased from $15.27 to $21.14 during the period.
Fifteen stocks advanced and no stocks declined. The top performing stocks, based
on contribution to portfolio return, were the following: General Motors (GM),
Hang Lung Properties (101 HK), and BT Group (BT/A LN). The worst performing
stocks, based on contribution to portfolio return, were the following: Vodafone
Group PLC (VOD LN), GKN PLC (GKN LN), and Pfizer (PFE).
The biggest contributors to the portfolio's performance were the Dow Jones
Industrial Average stocks, which included General Motors (GM), the portfolio's
best performing stock. The performance of the five Financial Times 30 stocks was
helped by a weakening U.S. dollar, which boosted returns when converted from
pounds.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends. All returns are in U.S. dollars.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
target 15 MSCI
10000 10000
9710 11411
9900 9908
9660 8241
8240 6602
11050 8788
13860 10081
15270 11038
21140 13252
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
Global Dividend Target 15
Portfolio $10,000 $9,710 $9,900 $9,660 $8,240 $11,050 $13,860 $15,270 $21,140
MSCI Developed Markets
World Index* 10,000 11,411 9,908 8,241 6,602 8,788 10,081 11,038 13,252
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- --------------------------------------------------------------------------------------------------------------------------------
Global Dividend Target 15 Portfolio 10/6/99 38.4% 111.4% 10.9% 16.9%
MSCI Developed Markets World Index* 20.1 32.5 4.0 10.0
- --------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Morgan Stanley Capital International Developed Markets World Index
("MSCI Developed Markets World Index") is based on the share prices of
approximately 1,600 companies listed on stock exchanges in the twenty-two
countries that make up the MSCI National Indices. (Bloomberg)
</FN>
Effective May 2, 2005, based upon the determination of the Fund's Board of
Trustees, the Portfolio changed its name from the Global Target 15 Portfolio to
the Global Dividend Target 15 Portfolio.
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 9
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
GLOBAL DIVIDEND TARGET 15 PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Airlines 6.8%
Auto Components 5.3%
Automobiles 7.9%
Commercial Banks 6.9%
Diversified Telecommunication Services 20.7%
Hotels, Restaurants & Leisure 7.3%
Industrial Conglomerates 6.0%
Insurance 6.7%
Pharmaceuticals 12.0%
Publishing 0.2%
Real Estate Management & Development 7.7%
Transportation Infrastructure 6.3%
Wireless Telecommunication Services 6.2%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 10
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
S&P(R) TARGET 24 PORTFOLIO
The S&P(R) Target 24 Portfolio posted a total return of 2.9% for the 12-month
period ended December 31, 2006, which underperformed the S&P(R) 500 Index's
total return of 15.8% over the same period. The NAV increased from $9.02 to
$9.28 during the period.
Sixteen stocks advanced and eight declined. The top performing stocks, based on
contribution to portfolio return, were the following: Harley-Davidson (HOG),
Nordstrom (JWN), and Moody's Corp. (MCO). The worst performing stocks, based on
contribution to portfolio return, were the following: Progressive Corp. (PGR),
Texas Instruments (TXN), and UnitedHealth Group (UNH).
The biggest positive contributor to the portfolio's performance was the consumer
discretionary sector, led by Harley-Davidson and Nordstrom, the portfolio's best
performing stocks. The portfolio's performance, relative to its benchmark, was
hurt by the financials and information technology sectors, which contained
Progressive Corp., the portfolio's worst performing stock, and Texas
Instruments, the portfolio's second worst performing stock.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
S&P target 24 S&P 500 Index
10000 10000
11830 11115
9540 10103.5
7190 8903.2
6140 6934.81
7260 8920
8660 9895
9020 10381
9280 12021
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
S&P(R) Target 24 Portfolio $10,000 $11,830 $9,540 $7,190 $6,140 $7,620 $8,660 $9,020 $9,280
S&P(R) 500 Index* 10,000 11,115 10,104 8,903 6,935 8,920 9,895 10,381 12,021
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------
S&P(R) Target 24 Portfolio 10/6/99 2.9% -7.2% -1.0% 5.2%
S&P(R) 500 Index* 15.8 20.2 2.6 6.2
- ------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Standard & Poor's 500 Index is a capitalization-weighted index of 500
stocks. The index is designed to measure performance of the broad domestic
economy through changes in the aggregate market value of 500 stocks
representing all major industries. (Bloomberg)
</FN>
Effective April 30, 2002, based upon the determination of the Fund's Board of
Trustees, the Portfolio changed its name from the S&P Target 10 Portfolio to the
S&P Target 24 Portfolio. The Portfolio primary investment strategy was also
changed. The performance figures provided reflect the Portfolio performance
prior to the name change and the change of the primary investment strategy.
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 11
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
S&P(R) TARGET 24 PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Aerospace & Defense 1.6%
Automobiles 6.9%
Beverages 8.2%
Biotechnology 3.4%
Diversified Financial Services 9.3%
Electric Utilities 2.7%
Electrical Equipment 1.6%
Energy Equipment & Services 1.5%
Health Care Providers & Services 9.5%
Hotels, Restaurants & Leisure 2.1%
Household Products 3.4%
Independent Power Producers & Energy Traders 1.2%
Industrial Conglomerates 8.6%
Insurance 12.1%
Multiline Retail 4.8%
Oil, Gas & Consumable Fuels 8.4%
Semiconductors & Semiconductor Equipment 12.3%
Software 2.4%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 12
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
NASDAQ(R) TARGET 15 PORTFOLIO
The NASDAQ(R) Target 15 Portfolio posted a total return of 8.9% for the 12-month
period ended December 31, 2006, which outperformed the NASDAQ(R) 100 Index's
total return of 7.3% over the same period. The NAV increased from $9.34 to
$10.17 during the period. Eight stocks advanced and seven declined. The top
performing stocks, based on contribution to portfolio return, were NVIDIA Corp.
(NVDA), Garmin Ltd (GRMN), and NII Holdings (NIHD). The worst performing stocks,
based on contribution to portfolio return, were SanDisk (SNDK), Teva
Pharmaceutical Industries (TEVA), and Patterson-UTI Energy (PTEN).
The biggest contributor to the portfolio's performance was the information
technology sector, led by NVIDIA, the portfolio's top performing stock. The
portfolio was overweighted in the technology sector, which contributed to its
out- performance relative to its benchmark. The consumer discretionary sector
was the second biggest contributor to portfolio performance, led by the
portfolio's second best performing stock, Garmin Ltd. The portfolio's
performance was hurt by its overweighted position in health care, as the
portfolio's holdings in that sector underperformed relative to its benchmark.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
NASDAQ target 15 Nasdaq 100
10000 10000
14600 14644
12880 9251.23
9250 6233.67
6830 3894.03
9290 5820
9040 6447
9340 6570
10170 7048
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
NASDAQ(R) Target 15 Portfolio $10,000 $14,600 $12,880 $9,250 $6,830 $9,290 $9,040 $9,340 $10,170
NASDAQ(R) 100 Index* 10,000 14,644 9,251 6,234 3,894 5,820 6,447 6,570 7,048
- ---------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------------
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
NASDAQ(R) Target 15 Portfolio 10/6/99 8.9% 1.7% 0.2% 1.9%
NASDAQ(R) 100 Index* 7.3 -29.5 -4.7 2.5
<FN>
- ---------------------------------------------------------------------------------------------------------------------------------
* The NASDAQ(R) 100 Index is a modified capitalization-weighted index of the
100 largest and most active non-financial domestic and international issues
listed on the NASDAQ(R). (Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 13
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
NASDAQ(R) TARGET 15 PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Air Freight & Logistics 5.7%
Biotechnology 14.2%
Computers & Peripherals 12.8%
Energy Equipment & Services 3.4%
Health Care Providers & Services 5.8%
Household Durables 10.2%
Internet Software & Services 7.5%
Pharmaceuticals 4.9%
Semiconductors & Semiconductor Equipment 16.6%
Software 6.2%
Trading Companies & Distributors 4.5%
Wireless Telecommunication Services 8.2%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 14
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST 10 UNCOMMON VALUES PORTFOLIO
The First Trust 10 Uncommon Values Portfolio posted a total return of 4.0% for
the one-year period ended December 31, 2006, which underperformed the S&P(R) 500
Index's total return of 15.8% over the same period. The NAV increased from $5.23
to $5.44 during the period.
The top performing stocks, based on contribution to portfolio return, were the
following: Phelps Dodge (PD), Regal Entertainment Group (RGC), and Automatic
Data Processing (ADP). The worst performing stocks, based on contribution to
portfolio return, were the following: Dell Inc. (DELL), Omnicare (OCR), and
Microsoft (MSFT).
The biggest contributors to the portfolio's performance were Phelps Dodge, the
portfolio's best performing stock, and the consumer discretionary sector, led by
Regal Entertainment Group. Phelps Dodge benefited from rising copper prices in
2006. The portfolio's performance was hurt by its holdings in the information
technology sector, which included Dell and Microsoft, two of the portfolio's
worst performing stocks. Also, performance was hurt by the poor performance of
the portfolio's financial sector holdings relative to its benchmark.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
10 Uncommon
Val Port S&P 500 Index
10000 10000
11400 11115
8390 10104
5400 8903.29
3410 6934.81
4670 8920
5200 9895
5230 10381
5440 12021
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
First Trust 10 Uncommon Values Portfolio $10,000 $11,400 $8,390 $5,400 $3,410 $4,670 $5,200 $5,230 $5,440
S&P(R) 500 Index* 10,000 11,115 10,104 8,903 6,935 8,920 9,895 10,381 12,021
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
First Trust 10 Uncommon Values Portfolio 10/6/99 4.0% -45.6% -8.1% 0.1%
S&P(R) 500 Index* 15.8 20.2 2.6 6.2
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Standard & Poor's 500 Index is a capitalization-weighted index of 500
stocks. The index is designed to measure performance of the broad domestic
economy through changes in the aggregate market value of 500 stocks
representing all major industries. (Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 15
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST 10 UNCOMMON VALUES PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Aerospace & Defense 9.6%
Communications Equipment 8.1%
Consumer Finance 8.5%
Electric Utilities 10.1%
Health Care Providers & Services 8.1%
IT Services 10.3%
Media 10.6%
Metals & Mining 14.4%
Pharmaceuticals 10.0%
Software 10.3%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 16
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
VALUE LINE(R) TARGET 25 PORTFOLIO
The Value Line(R) Target 25 Portfolio posted a total return of 2.9% for the
12-month period ended December 31, 2006, which underperformed the Russell 3000
Index's total return of 15.8% for the same period. The NAV increased from $4.86
to $5.00 during the period. Nine stocks advanced and sixteen declined. The top
performing stocks, based on contribution to portfolio return, were NVIDIA Corp.
(NVDA), McDermott International (MDR), and Guess? Inc. (GES). The worst
performing stocks, based on contribution to portfolio return, were SanDisk
(SNDK), BJ Services (BJS), and Express Scripts (ESRX).
The biggest positive contributor to the portfolio's performance was the
information technology sector, led by NVIDIA, the portfolio's best performing
stock. Industrials were also a top contributor to portfolio performance, led by
McDermott International. The portfolio's performance was hurt most by its
overweighted position in the energy sector, which contained BJ Services, one of
the portfolio's worst performers. Health care also negatively impacted
performance due to underperformance of the portfolio's holdings in the sector,
led by Express Scripts, a bottom three performer in the portfolio.
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Val Line
Internet Port Russell 3000 Index
10000 10000
16330 11261.9
9320 10420
4150 9228.74
2370 7240.81
3340 9500
4060 10631
4860 11285
5000 13069
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
Value Line(R) Target 25 Portfolio $10,000 $16,330 $9,320 $4,150 $2,370 $3,340 $4,060 $4,860 $5,000
Russell 3000 Index* 10,000 11,262 10,420 9,229 7,241 9,500 10,631 11,285 13,069
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- -------------------------------------------------------------------------------------------------------------------------------
Value Line(R) Target 25 Portfolio 10/6/99 2.9% -50.0% -9.1% 3.8%
Russell 3000 Index* 15.8 30.7 3.8 7.2
- -------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Russell 3000 Index is composed of 3000 large U.S. companies, as
determined by market capitalization. This portfolio represents
approximately 98% of the investable U.S. equity market. (Bloomberg)
</FN>
Effective April 30, 2002, based upon the determination of the Fund's Board of
Trustees, the Portfolio changed its name from the First Trust Internet Portfolio
to the Value Line(R) Target 25 Portfolio. The Portfolio primary investment
strategy was also changed. The performance figures provided reflect the
Portfolio performance prior to the name change and the change of the primary
investment strategy.
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 17
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
VALUE LINE(R) TARGET 25 PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Aerospace & Defense 2.0%
Communications Equipment 7.0%
Computers & Peripherals 14.6%
Electrical Equipment 1.4%
Electronic Equipment & Instruments 1.4%
Energy Equipment & Services 6.2%
Health Care Providers & Services 6.6%
Health Care Technology 4.2%
Industrial Conglomerates 6.4%
Machinery 1.5%
Oil, Gas & Consumable Fuels 23.1%
Pharmaceuticals 3.9%
Semiconductors & Semiconductor Equipment 15.2%
Specialty Retail 5.2%
Trading Companies & Distributors 1.3%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 18
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST ENERGY PORTFOLIO
The First Trust Energy Portfolio posted a total return of 12.7% for the 12-month
period ended December 31, 2006, which underperformed the Russell 1000 Integrated
Oil Index's total return of 34.7% over the same period. The NAV increased from
$27.96 to $31.50 during the period.
The following S&P group returns reflect how energy stocks fared during the
12-month period ended December 31, 2006: Oil & Gas Drilling (3.3%),
Oil-Exploration & Production (4.6%), Oil & Gas Equipment & Services (15.6%) and
Oil & Gas Integrated (34.4%). The year-over-year estimated earnings growth rate
for the companies in the S&P Energy Index is 19% for 2006, according to Baseline
First Call. The estimated earnings growth rate for 2007 is -1%. The actual
earnings growth rate was 47% for 2005.
The top performing stocks, based on contribution to portfolio return, were the
following: PetroChina (PTR), Maverick Tube (MVK), and Marathon Oil (MRO). The
worst performing stocks, based on contribution to portfolio return, were the
following: Patterson-UTI Energy (PTEN), BJ Services (BJS), and Nabors Industries
(NBR). Crude oil futures in New York closed December 31, 2006 at $61.05 per
barrel, up from $61.04 at the end of 2005, according to Bloomberg. During the
period the price was as high as $78.40 (07/14/06) and as low as $58.86
(11/17/06). Natural gas futures in New York closed December 31, 2006 at $6.30
per mmBtu (one million British thermal units), down from $11.23 at the end of
2005. During the period the price was as high as $11.00 (01/03/06) and as low as
$4.05 (09/27/06).
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Russell 1000
Energy Port Integrated Oil Russell other energy
10000 10000 10000
11230 10307 10616.6
15870 11601 17953
11290 10377 10174.2
10780 9061 8082.49
14200 11497 10190
18750 14812 14238
27960 17506 22920
31500 23580 23514
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
First Trust Energy Portfolio $10,000 $11,230 $15,870 $11,290 $10,780 $14,200 $18,750 $27,960 $31,500
Russell 1000 Integrated Oil Index+ 10,000 10,307 11,601 10,377 9,061 11,500 14,812 17,506 23,580
Russell 1000 Other Energy Index++ 10,000 10,617 17,953 10,174 8,082 10,190 14,238 22,920 23,514
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- --------------------------------------------------------------------------------------------------------------------------------
First Trust Energy Portfolio 10/6/99 12.7% 215.0% 17.2% 22.8%
Russell 1000 Integrated Oil Index+ 34.7 135.8 12.6 17.8
Russell 1000 Other Energy Index++ 2.6 135.1 12.5 18.2
- --------------------------------------------------------------------------------------------------------------------------------
<FN>
+ The Russell 1000 Integrated Oil Index is a capitalization-weighted index
of companies involved in all parts of the exploration, production, and
refining process. (Bloomberg)
++ The Russell 1000 Other Energy Index is a capitalization-weighted index of
companies in the energy-related businesses other than integrated oils.
(Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 19
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST ENERGY PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Energy Equipment & Services 26.8%
Oil, Gas & Consumable Fuels 73.2%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 20
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST FINANCIAL SERVICES PORTFOLIO
The First Trust Financial Services Portfolio posted a total return of 16.9% for
the 12-month period ended December 31, 2006, which underperformed the Russell
1000 Financial Services Index's total return of 18.7% over the same period. The
NAV increased from $16.60 to $19.40 during the period.
The following S&P(R) group returns reflect how financial stocks fared during the
12-month period ended December 31, 2006: Banks (15.8%), Property & Casualty
(12.6%), Diversified Financials (25.5%) and Insurance Brokers (-0.8%). The
year-over-year earnings growth rate estimate for the companies in the S&P(R)
Financial Index was 19% for 2006, according to Baseline First Call estimates.
The estimated earnings growth rate for 2007 is 7%. The actual earnings growth
rate was 4% for 2005.
The top performing stocks, based on contribution to portfolio return, were the
following: Goldman Sachs Group (GS), Morgan Stanley (MS), and Bear Stearns Cos
(BSC). The lowest performing stocks, based on contribution to portfolio return,
were: Legg Mason (LM), Capital One Financial (COF), and AFLAC (AFL).
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Financial
Port Russell 1000 Financial Services
10000 10000
10490 10389
13090 12115
11680 11268
10000 9544
13300 12454
15350 14098
16600 15052
19400 17865
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
First Trust Financial
Services Portfolio $10,000 $10,490 $13,090 $11,680 $10,000 $13,300 $15,350 $16,600 $19,400
Russell 1000 Financial Services
Index* 10,000 10,389 13,115 11,268 9,544 12,454 14,098 15,052 17,865
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- --------------------------------------------------------------------------------------------------------------------------------
First Trust Financial Services Portfolio 10/6/99 16.9% 94.0% 9.6% 10.7%
Russell 1000 Financial Services Index* 18.7 78.7 8.3 9.7
- --------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Russell 1000 Financial Services Index is a capitalization-weighted
index of companies that provide financial services. (Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 21
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST FINANCIAL SERVICES PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Capital Markets 29.7%
Commercial Banks 16.7%
Consumer Finance 6.3%
Diversified Financial Services 13.6%
Insurance 26.9%
Thrifts & Mortgage Finance 6.8%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 22
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST PHARMACEUTICAL PORTFOLIO
The First Trust Pharmaceutical Portfolio posted a total return of 8.6% for the
12-month period ended December 31, 2006, which outperformed the Russell 1000
Healthcare Index's total return of 6.0% over the same period. The NAV increased
from $11.44 to $12.42 during the period.
The following S&P(R) group returns reflect how health care stocks fared in the
12-month period ended December 31, 2006: Biotechnology (-2.7%) and
Pharmaceuticals (15.6%). The year-over-year earnings growth rate 2006 estimate
for the companies in the S&P(R) Health Care Index was 6%, according to Baseline
First Call estimates. The estimated earnings growth rate for 2007 is 11%. The
actual earnings growth rate was 9% for 2005.
The top performing stocks, based on contribution to portfolio return, were the
following: Shire PLC (SHPGY), Novo Nordisk A/S (NVO), and Merck (MRK). The worst
performing stocks, based on contribution to portfolio return, were the
following: Teva Pharmaceutical Industries (TEVA), Alcon Inc. (ACL), and Barr
Pharmaceuticals (BRL).
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Pharm Port Russell Health Care
10000 10000
10370 9775.96
13540 13120.5
12070 11535.3
8650 9178.06
10350 10794
10280 11056
11440 11978
12420 12691
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
First Trust Pharmaceutical
Portfolio $10,000 $10,370 $13,540 $12,060 $8,650 $10,350 $10,280 $11,440 $12,420
Russell 1000 Healthcare Index* 10,000 9,776 13,121 11,535 9,178 10,794 11,056 11,978 12,691
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- --------------------------------------------------------------------------------------------------------------------------------
First Trust Pharmaceutical Portfolio 10/6/99 8.6% 24.2% 3.0% 0.6%
Russell 1000 Healthcare Index* 6.0 26.9 3.3 1.9
- --------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Russell 1000 Healthcare Index is a capitalization-weighted index of
companies involved in medical services or healthcare. (Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 23
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST PHARMACEUTICAL PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Biotechnology 15.5%
Chemicals 4.3%
Pharmaceuticals 80.2%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 24
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST TECHNOLOGY PORTFOLIO
The First Trust Technology Portfolio posted a total return of 2.8% for the
12-month period ended December 31, 2006, which underperformed the Russell 1000
Technology Index's total return of 10.5% over the same period. The NAV increased
from $5.29 to $5.44 during the period.
The following S&P(R) group returns reflect how technology stocks fared during
the 12-month period ended December 31, 2006: Computers & Peripherals (16.7%),
Software & Services (8.4%) and Communications-Equipment (15.5%). The
year-over-year earnings growth rate for the companies in the S&P(R) Information
Technology Index declined an estimated -1% for 2006, according to Baseline First
Call estimates. The estimated earnings growth rate for 2007 is 17%. The actual
earnings growth rate was 17% for 2005.
The top performing stocks, based on contribution to portfolio return, were the
following: NVIDIA Corp. (NVDA), Cisco Systems (CSCO), and Oracle Corp. (ORCL).
The worst performing stocks, based on contribution to portfolio return, were the
following: Citrix Systems (CTXS), Marvell Technology Group (MRVL), and Corning
Inc. (GLW).
All of the data on this page represents past performance, which cannot be used
to predict future returns that may be achieved by this portfolio. Total return
and share price will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than when purchased. Returns assume reinvestment of
dividends.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INITIAL INVESTMENT
Oct. 6, 1999-Dec. 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Technology Port Russell Technology
10000 10000
13410 13216.1
10250 8721.17
5790 6117.83
3390 3750.27
4970 5590
5030 5691
5290 5843
5440 6456
10/6/99 12/31/99 12/31/00 12/31/01 12/31/02 12/31/03 12/31/04 12/31/05 12/31/06
------- -------- -------- -------- -------- -------- -------- -------- --------
First Trust Technology Portfolio $10,000 $13,410 $10,250 $5,790 $3,390 $4,970 $5,030 $5,290 $5,440
Russell 1000 Technology Index* 10,000 13,216 8,721 6,118 3,750 5,590 5,691 5,843 6,456
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED DEC. 31, 2006
1 YEAR CUMULATIVE AVERAGE ANNUAL 5 YEAR
INCEPTION ANNUAL TOTAL TOTAL RETURN AVERAGE ANNUAL
DATE TOTAL RETURN RETURN (SINCE INCEPTION) TOTAL RETURN
- ---------------------------------------------------------------------------------------------------------------------------------
First Trust Technology Portfolio 10/6/99 2.8% -45.6% -8.1% -1.2%
Russell 1000 Technology Index* 10.5 -35.4 -5.9 1.1
- ---------------------------------------------------------------------------------------------------------------------------------
<FN>
* The Russell 1000 Technology Index is a capitalization-weighted index of
companies that serve the electronics and computer industries or that
manufacture products based on the latest applied science. (Bloomberg)
</FN>
The returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges. These expenses would reduce the
overall returns shown.
Page 25
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
FIRST TRUST TECHNOLOGY PORTFOLIO (CONTINUED)
PORTFOLIO COMPONENTS+
December 31, 2006
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS
Communications Equipment 15.9%
Computers & Peripherals 24.1%
Electronic Equipment & Instruments 3.4%
Internet Software & Services 6.4%
IT Services 7.4%
Semiconductors & Semiconductor Equipment 23.4%
Software 19.4%
+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net
assets.
Page 26
FIRST DEFINED PORTFOLIO FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2006
As a shareholder of the Target Managed VIP Portfolio, The DowSM DART 10
Portfolio, The DowSM Target Dividend Portfolio, Global Dividend Target 15
Portfolio, S&P(R) Target 24 Portfolio, NASDAQ(R) Target 15 Portfolio, First
Trust 10 Uncommon Values Portfolio, Value Line (R) Target 25 Portfolio, First
Trust Energy Portfolio, First Trust Financial Services Portfolio, First Trust
Pharmaceutical Portfolio or First Trust Technology Portfolio (the "Portfolios"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, and other Portfolio
expenses. This Example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolios and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period of July 1, 2006 to December 31, 2006.
ACTUAL EXPENSES
The first three columns of the table below provide information about actual
account values and actual expenses. You may use the information in these
columns, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the third column under the heading entitled "Expenses
Paid During Period" to estimate the expenses you paid on your account during
this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The next three columns of the table below provide information about hypothetical
account values and hypothetical expenses based on the Portfolio's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Portfolio's actual return. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the ongoing costs of
investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads). Therefore, the hypothetical section of the table is useful in
comparing ongoing costs only, and will not help you compare the relative total
costs of owning different funds. In addition, if these transactional costs were
included, your costs would have been higher.
HYPOTHETICAL
ACTUAL EXPENSES (5% RETURN BEFORE EXPENSES)
----------------------------------------- --------------------------------------
EXPENSES EXPENSES
BEGINNING ENDING PAID DURING BEGINNING ENDING PAID DURING
ACCOUNT ACCOUNT PERIOD* ACCOUNT ACCOUNT PERIOD*
VALUE VALUE 07/01/2006- VALUE VALUE 07/01/2006- EXPENSE
07/01/2006 12/31/2006 12/31/2006 07/01/2006 12/31/2006 12/31/2006 RATIO
------------ ------------ ------------ ------------ ------------ ---------- --------
Target Managed VIP Portfolio..... $1,000 $1,119 $7.32 $1,000 $1,018 $6.97 1.37%
The DowSM DART 10 Portfolio...... 1,000 1,160 8.00 1,000 1,018 7.48 1.47
The DowSM Target Dividend Portfolio 1,000 1,123 7.33 1,000 1,018 6.97 1.37
Global Dividend Target 15 Portfolio 1,000 1,219 8.22 1,000 1,018 7.48 1.47
S&P(R) Target 24 Portfolio......... 1,000 1,050 7.59 1,000 1,018 7.48 1.47
NASDAQ(R) Target 15 Portfolio...... 1,000 1,079 7.70 1,000 1,018 7.48 1.47
First Trust 10 Uncommon Values
Portfolio ....................... 1,000 1,025 6.99 1,000 1,018 6.97 1.37
Value Line(R) Target 25 Portfolio.. 1,000 1,064 7.33 1,000 1,018 7.17 1.41
First Trust Energy Portfolio..... 1,000 993 7.39 1,000 1,018 7.48 1.47
First Trust Financial Services Portfolio 1,000 1,106 7.80 1,000 1,018 7.48 1.47
First Trust Pharmaceutical Portfolio 1,000 1,097 7.77 1,000 1,018 7.48 1.47
First Trust Technology Portfolio. 1,000 1,108 7.81 1,000 1,018 7.48 1.47
<FN>
* Expenses are equal to each Fund's annualized expense ratio, multiplied by the
average account value over the period, multiplied by the 184 days in the most
recent fiscal half-year, divided by 365 days in the year (to reflect the
one-half year period).
</FN>
Page 27
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 97.7%
AEROSPACE & DEFENSE - 0.9%
35,241 AAR Corp.*...................................... $ 1,028,685
6,668 Ceradyne, Inc.*................................. 376,742
7,778 Rockwell Collins, Inc........................... 492,270
---------------
1,897,697
---------------
AIR FREIGHT & LOGISTICS - 0.3%
13,519 C.H. Robinson Worldwide, Inc.................... 552,792
---------------
AIRLINES - 0.1%
25,208 World Air Holdings, Inc.*....................... 222,335
---------------
AUTO COMPONENTS - 0.9%
22,213 Drew Industries, Inc.*.......................... 577,760
53,195 LKQ Corp.*...................................... 1,222,953
---------------
1,800,713
---------------
AUTOMOBILES - 1.0%
29,983 Harley-Davidson, Inc............................ 2,112,902
---------------
BEVERAGES - 2.5%
33,948 Diageo PLC, SP ADR.............................. 2,692,416
39,867 PepsiCo, Inc.................................... 2,493,681
---------------
5,186,097
---------------
BIOTECHNOLOGY - 4.9%
94,370 Amgen, Inc.*.................................... 6,446,415
53,283 Gilead Sciences, Inc.*.......................... 3,459,665
---------------
9,906,080
---------------
CAPITAL MARKETS - 0.3%
45,653 TradeStation Group, Inc.*....................... 627,729
---------------
COMMERCIAL BANKS - 4.9%
75,325 ABN AMRO Holding NV, SP ADR..................... 2,414,166
47,143 Barclays PLC, SP ADR............................ 2,740,894
24,693 HSBC Holdings PLC, SP ADR....................... 2,263,113
58,701 Lloyds TSB Group PLC, SP ADR.................... 2,660,916
---------------
10,079,089
---------------
COMMERCIAL SERVICES & SUPPLIES - 0.4%
28,420 Healthcare Services Group, Inc.................. 823,043
---------------
COMMUNICATIONS EQUIPMENT - 2.8%
281,342 Motorola, Inc................................... 5,784,392
---------------
COMPUTERS & PERIPHERALS - 11.2%
167,728 Apple, Inc.*.................................... 14,230,044
72,429 International Business Machines Corp............ 7,036,477
36,614 SanDisk Corp.*.................................. 1,575,500
---------------
22,842,021
---------------
CONSTRUCTION & ENGINEERING - 0.9%
32,863 EMCOR Group, Inc.*.............................. 1,868,261
---------------
Page 28 See Notes to Financial Statements.
TARGET MANAGED VIP PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - CONTINUED
DIVERSIFIED FINANCIAL SERVICES - 6.0%
122,851 Citigroup, Inc.................................. $ 6,842,801
56,467 ING Groep NV, SP ADR............................ 2,494,147
40,879 Moody's Corp.................................... 2,823,104
---------------
12,160,052
---------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 5.0%
51,809 BT Group PLC, SP ADR............................ 3,102,841
119,192 Deutsche Telekom AG, SP ADR..................... 2,169,294
67,686 Telecom Italia SPA, SP ADR...................... 2,039,379
43,993 Telefonica SA, SP ADR........................... 2,804,554
---------------
10,116,068
---------------
ELECTRIC UTILITIES - 3.2%
50,199 Enel SpA, SP ADR................................ 2,590,268
9,907 Exelon Corp..................................... 613,144
5,608 PPL Corp........................................ 200,991
52,612 Scottish Power PLC, ADR......................... 3,074,119
---------------
6,478,522
---------------
ELECTRICAL EQUIPMENT - 0.6%
23,949 Encore Wire Corp.*.............................. 527,117
11,251 Lamson & Sessions (The) Company*................ 272,949
7,896 Rockwell Automation, Inc........................ 482,288
---------------
1,282,354
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8%
19,503 Brightpoint, Inc.*.............................. 262,315
25,894 Itron, Inc.*.................................... 1,342,345
---------------
1,604,660
---------------
ENERGY EQUIPMENT & SERVICES - 4.7%
32,873 Atwood Oceanics, Inc.*.......................... 1,609,791
52,365 BJ Services Company............................. 1,535,342
29,498 Hornbeck Offshore Services, Inc.*............... 1,053,079
14,190 Patterson-UTI Energy, Inc....................... 329,634
74,957 TETRA Technologies, Inc.*....................... 1,917,400
36,593 Veritas DGC Inc.*............................... 3,133,459
---------------
9,578,705
---------------
FOOD & STAPLES RETAILING - 0.5%
23,445 Pantry (The), Inc.*............................. 1,098,164
---------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.6%
14,644 ICU Medical, Inc.*.............................. 595,718
27,602 Meridian Bioscience, Inc........................ 677,077
---------------
1,272,795
---------------
HEALTH CARE PROVIDERS & SERVICES - 3.1%
33,438 Express Scripts, Inc.*.......................... 2,394,161
41,385 HealthExtras, Inc.*............................. 997,378
15,708 Horizon Health Corp.*........................... 307,406
47,082 UnitedHealth Group, Inc......................... 2,529,716
---------------
6,228,661
---------------
See Notes to Financial Statements. Page 29
TARGET MANAGED VIP PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - CONTINUED
HEALTH CARE TECHNOLOGY - 0.4%
8,761 Cerner Corp.*................................... $ 398,625
13,224 Vital Images, Inc.*............................. 460,195
---------------
858,820
---------------
HOTELS, RESTAURANTS & LEISURE - 0.8%
16,207 Darden Restaurants, Inc......................... 651,035
35,263 Papa John's International, Inc.*................ 1,022,980
---------------
1,674,015
---------------
HOUSEHOLD DURABLES - 0.7%
17,669 Garmin Ltd...................................... 983,456
30,087 Tarragon Corp................................... 366,159
---------------
1,349,615
---------------
HOUSEHOLD PRODUCTS - 3.7%
3,613 Clorox (The) Company............................ 231,774
12,466 Colgate-Palmolive Company....................... 813,282
102,157 Procter & Gamble (The) Company.................. 6,565,630
---------------
7,610,686
---------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS - 0.2%
6,936 TXU Corp........................................ 376,001
---------------
INDUSTRIAL CONGLOMERATES - 1.6%
33,807 3M Company...................................... 2,634,580
12,152 McDermott International, Inc.*.................. 618,051
---------------
3,252,631
---------------
INSURANCE - 2.4%
31,756 Argonaut Group, Inc.*........................... 1,107,014
108,849 Progressive (The) Corp.......................... 2,636,323
17,044 SAFECO Corp..................................... 1,066,102
---------------
4,809,439
---------------
INTERNET SOFTWARE & SERVICES - 4.6%
35,804 Digital Insight Corp.*.......................... 1,378,096
23,488 eCollege.com*................................... 367,587
16,378 Google Inc., Class A*........................... 7,541,741
---------------
9,287,424
---------------
MACHINERY - 0.3%
13,560 Columbus McKinnon Corp.*........................ 285,031
12,866 Gehl Company*................................... 354,201
---------------
639,232
---------------
METALS & MINING - 0.3%
26,748 Ryerson, Inc.................................... 671,107
---------------
MULTI-UTILITIES - 1.5%
40,706 National Grid Transco PLC, SP ADR............... 2,956,070
---------------
MULTILINE RETAIL - 0.7%
29,410 Nordstrom, Inc.................................. 1,451,089
---------------
Page 30 See Notes to Financial Statements.
TARGET MANAGED VIP PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - CONTINUED
OIL, GAS & CONSUMABLE FUELS - 11.9%
21,477 Atlas America, Inc.*............................ $ 1,094,683
41,162 Chesapeake Energy Corp.......................... 1,195,756
40,419 Crosstex Energy, Inc............................ 1,280,878
18,589 Edge Petroleum Corp.*........................... 339,063
35,792 ENI SpA, SP ADR................................. 2,408,086
38,855 EOG Resources, Inc.............................. 2,426,495
106,116 Exxon Mobil Corp................................ 8,131,669
8,906 Helix Energy Solutions Group, Inc.*............. 279,381
37,753 Occidental Petroleum Corp....................... 1,843,479
30,064 Peabody Energy Corp............................. 1,214,886
67,570 Petrohawk Energy Corp.*......................... 777,055
49,634 PetroQuest Energy, Inc.*........................ 632,337
19,133 Southwestern Energy Company*.................... 670,612
41,335 XTO Energy, Inc................................. 1,944,812
---------------
24,239,192
---------------
PHARMACEUTICALS - 1.0%
17,756 Biovail Corp.................................... 375,717
51,374 Teva Pharmaceutical Industries Ltd., SP ADR..... 1,596,704
---------------
1,972,421
---------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 6.6%
238,051 Intel Corp...................................... 4,820,533
22,598 Intevac, Inc.*.................................. 586,418
10,985 Lam Research Corp.*............................. 556,061
23,776 National Semiconductor Corp..................... 539,715
67,681 NVIDIA Corp.*................................... 2,504,874
22,143 Sigma Designs, Inc.*............................ 563,539
22,251 Standard Microsystems Corp.*.................... 622,583
111,816 Texas Instruments, Inc.......................... 3,220,301
---------------
13,414,024
---------------
SOFTWARE - 1.4%
25,101 Ansoft Corp.*................................... 697,808
18,624 Autodesk, Inc.*................................. 753,527
24,207 Intuit, Inc.*................................... 738,556
25,018 Ultimate Software Group (The), Inc.*............ 581,919
---------------
2,771,810
---------------
SPECIALTY RETAIL - 1.7%
15,611 Dress Barn (The), Inc.*......................... 364,205
8,449 Guess? Inc.*.................................... 535,920
37,191 Hibbett Sporting Goods, Inc.*................... 1,135,441
18,049 Jos. A. Bank Clothiers, Inc.*................... 529,738
56,702 Select Comfort Corp.*........................... 986,048
---------------
3,551,352
---------------
TEXTILES, APPAREL & LUXURY GOODS - 0.4%
22,013 Steven Madden, Ltd.*............................ 772,436
---------------
See Notes to Financial Statements. Page 31
TARGET MANAGED VIP PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - CONTINUED
TRADING COMPANIES & DISTRIBUTORS - 0.3%
12,202 Fastenal Company................................ $ 437,808
4,971 Watsco, Inc..................................... 234,432
---------------
672,240
---------------
WIRELESS TELECOMMUNICATION SERVICES - 1.6%
12,212 NII Holdings, Inc.*............................. 786,941
91,927 Vodafone Group PLC, SP ADR...................... 2,553,732
---------------
3,340,673
---------------
TOTAL COMMON STOCKS............................. 199,193,409
---------------
(Cost $179,662,848)
TOTAL INVESTMENTS - 97.7%....................... 199,193,409
(Cost $179,662,848)
NET OTHER ASSETS & LIABILITIES - 2.3%........... 4,674,434
---------------
NET ASSETS - 100.0%............................. $ 203,867,843
===============
- -------------------------------------------------
* Non-income producing security.
ADR American Depository Receipt
SP ADR Sponsored American Depository Receipt
Page 32 See Notes to Financial Statements.
THE DOW SM DART 10 PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 98.4%
AEROSPACE & DEFENSE - 9.9%
31,254 Boeing (The) Company............................ $ 2,776,605
---------------
AUTOMOBILES - 12.9%
117,020 General Motors Corp............................. 3,594,854
---------------
COMPUTERS & PERIPHERALS - 9.4%
26,997 International Business Machines Corp............ 2,622,759
---------------
DIVERSIFIED FINANCIAL SERVICES - 9.1%
45,793 Citigroup, Inc.................................. 2,550,670
---------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 11.6%
90,355 AT&T, Inc....................................... 3,230,191
---------------
HOUSEHOLD PRODUCTS - 8.8%
38,078 Procter & Gamble (The) Company.................. 2,447,273
---------------
OIL, GAS & CONSUMABLE FUELS - 10.8%
39,552 Exxon Mobil Corp................................ 3,030,870
---------------
PHARMACEUTICALS - 19.5%
68,765 Merck & Company, Inc............................ 2,998,154
94,864 Pfizer, Inc..................................... 2,456,978
---------------
5,455,132
---------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 6.4%
88,735 Intel Corp...................................... 1,796,884
---------------
TOTAL COMMON STOCKS............................. 27,505,238
---------------
(Cost $25,357,166)
TOTAL INVESTMENTS - 98.4%....................... 27,505,238
(Cost $25,357,166)
NET OTHER ASSETS & LIABILITIES - 1.6%........... 449,315
---------------
NET ASSETS - 100.0%............................. $ 27,954,553
===============
- -----------------------------------------------------
See Notes to Financial Statements. Page 33
THE DOWSM TARGET DIVIDEND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 99.0%
CHEMICALS - 10.0%
104,106 Lubrizol (The) Corp............................. $ 5,218,834
189,179 Lyondell Chemical Company....................... 4,837,307
---------------
10,056,141
---------------
COMMERCIAL BANKS - 9.1%
75,787 Comerica, Inc................................... 4,447,181
131,714 Provident Bankshares Corp....................... 4,689,018
---------------
9,136,199
---------------
COMMERCIAL SERVICES - 4.6%
131,184 R.R. Donnelley & Sons Company................... 4,662,279
---------------
DIVERSIFIED FINANCIAL SERVICES - 4.7%
98,641 JPMorgan Chase & Company........................ 4,764,360
---------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.0%
73,773 Windstream Corp................................. 1,049,052
---------------
ELECTRIC UTILITIES - 16.9%
274,494 Duquesne Light Holdings, Inc.................... 5,448,706
65,932 Entergy Corp.................................... 6,086,842
92,248 FirstEnergy Corp................................ 5,554,252
---------------
17,089,800
---------------
FOOD & STAPLES RETAILING - 1.5%
42,437 SUPERVALU, Inc.................................. 1,517,123
---------------
GAS UTILITIES - 12.6%
115,346 Nicor, Inc...................................... 5,398,193
170,107 ONEOK, Inc...................................... 7,335,014
---------------
12,733,207
---------------
HOUSEHOLD DURABLES - 3.8%
324,990 La-Z-Boy, Inc................................... 3,857,631
---------------
INSURANCE - 9.5%
101,300 Cincinnati Financial Corp....................... 4,589,903
98,995 Unitrin, Inc.................................... 4,960,640
---------------
9,550,543
---------------
MULTI-UTILITIES - 9.5%
199,215 Energy East Corp................................ 4,940,532
115,117 SCANA Corp...................................... 4,676,053
---------------
9,616,585
---------------
OIL, GAS & CONSUMABLE FUELS - 6.9%
74,800 Marathon Oil Corp............................... 6,919,000
---------------
THRIFTS & MORTGAGE FINANCE - 4.6%
196,457 Washington Federal, Inc......................... 4,622,633
---------------
WIRELESS TELECOMMUNICATION SERVICES - 4.3%
71,770 ALLTEL Corp..................................... 4,340,650
---------------
TOTAL COMMON STOCKS............................. $ 99,915,203
---------------
(Cost $91,203,284)
Page 34 See Notes to Financial Statements.
THE DOWSM TARGET DIVIDEND PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
VALUE
------------
TOTAL INVESTMENTS - 99.0%....................... $ 99,915,203
(Cost $91,203,284)
NET OTHER ASSETS & LIABILITIES - 1.0%........... 991,035
---------------
NET ASSETS - 100.0%............................. $ 100,906,238
===============
- ----------------------------------------------
See Notes to Financial Statements. Page 35
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 98.5%
HONG KONG - 33.2%
3,209,349 BOC Hong Kong (Holdings) Ltd.................... $ 8,705,935
3,526,069 Cathay Pacific Airways Ltd...................... 8,694,716
2,202,378 CITIC Pacific Ltd............................... 7,602,425
3,385,103 COSCO Pacific Ltd............................... 7,946,734
3,912,518 Hang Lung Properties Ltd........................ 9,808,598
---------------
42,758,408
---------------
UNITED KINGDOM - 32.6%
1,621,291 BT Group PLC.................................... 9,570,993
1,637,872 Compass Group PLC............................... 9,300,079
1,234,013 GKN PLC......................................... 6,716,967
2,842,855 Royal & Sun Alliance Insurance Group PLC........ 8,488,545
2,856,605 Vodafone Group PLC.............................. 7,914,351
---------------
41,990,935
---------------
UNITED STATES - 32.7%
252,174 AT&T, Inc....................................... 9,015,221
326,592 General Motors Corp............................. 10,032,906
10,175 Idearc, Inc.* .................................. 291,514
191,917 Merck & Company, Inc............................ 8,367,581
264,758 Pfizer, Inc..................................... 6,857,232
205,105 Verizon Communications, Inc..................... 7,638,110
---------------
42,202,564
---------------
TOTAL COMMON STOCKS............................. 126,951,907
---------------
(Cost $106,176,379)
TOTAL INVESTMENTS - 98.5%....................... 126,951,907
(Cost $106,176,379)
NET OTHER ASSETS & LIABILITIES - 1.5%........... 1,884,463
---------------
NET ASSETS - 100.0%............................. $ 128,836,370
===============
- -----------------------------------------------
* Non-income producing security.
Page 36 See Notes to Financial Statements.
GLOBAL DIVIDEND TARGET 15 PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS:
Diversified Telecommunication Services.......... 20.4%
Pharmaceuticals................................. 11.8
Automobiles..................................... 7.8
Real Estate Management & Development............ 7.6
Hotels, Restaurants & Leisure................... 7.2
Commercial Banks................................ 6.8
Airlines........................................ 6.7
Insurance....................................... 6.6
Transportation Infrastructure................... 6.2
Wireless Telecommunication Services............. 6.1
Industrial Conglomerates........................ 5.9
Auto Components................................. 5.2
Publishing...................................... 0.2
Net Other Assets and Liabilities................ 1.5
---------------
100.0%
===============
See Notes to Financial Statements. Page 37
S&P(R) TARGET 24 PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 99.3%
AEROSPACE & DEFENSE - 1.6%
4,066 Rockwell Collins, Inc........................... $ 257,337
---------------
AUTOMOBILES - 6.9%
15,673 Harley-Davidson, Inc............................ 1,104,476
---------------
BEVERAGES - 8.1%
20,836 PepsiCo, Inc.................................... 1,303,292
---------------
BIOTECHNOLOGY - 3.4%
8,284 Gilead Sciences, Inc.*.......................... 537,880
---------------
COMPUTERS & PERIPHERALS - 0.0%
3,764 Seagate Technology, Inc. (Escrow Shares)+*...... 0
---------------
DIVERSIFIED FINANCIAL SERVICES - 9.2%
21,365 Moody's Corp.................................... 1,475,467
---------------
ELECTRIC UTILITIES - 2.6%
5,175 Exelon Corp..................................... 320,281
2,933 PPL Corp........................................ 105,119
---------------
425,400
---------------
ELECTRICAL EQUIPMENT - 1.6%
4,128 Rockwell Automation, Inc........................ 252,138
---------------
ENERGY EQUIPMENT & SERVICES - 1.5%
8,005 BJ Services Company............................. 234,707
---------------
HEALTH CARE PROVIDERS & SERVICES - 9.4%
2,630 Express Scripts, Inc.*.......................... 188,308
24,610 UnitedHealth Group, Inc......................... 1,322,295
---------------
1,510,603
---------------
HOTELS, RESTAURANTS & LEISURE - 2.1%
8,468 Darden Restaurants, Inc......................... 340,160
---------------
HOUSEHOLD PRODUCTS - 3.4%
1,889 Clorox (The) Company............................ 121,179
6,517 Colgate-Palmolive Company....................... 425,169
---------------
546,348
---------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS - 1.2%
3,626 TXU Corp........................................ 196,565
---------------
INDUSTRIAL CONGLOMERATES - 8.6%
17,670 3M Company...................................... 1,377,023
---------------
INSURANCE - 12.1%
56,897 Progressive (The) Corp.......................... 1,378,045
8,910 SAFECO Corp..................................... 557,321
---------------
1,935,366
---------------
MULTILINE RETAIL - 4.7%
15,372 Nordstrom, Inc.................................. 758,454
---------------
Page 38 See Notes to Financial Statements.
S&P(R) TARGET 24 PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - CONTINUED
OIL, GAS & CONSUMABLE FUELS - 8.3%
5,938 EOG Resources, Inc.............................. $ 370,828
19,736 Occidental Petroleum Corp....................... 963,709
---------------
1,334,537
---------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 12.2%
12,424 National Semiconductor Corp..................... 282,025
58,446 Texas Instruments, Inc.......................... 1,683,245
---------------
1,965,270
---------------
SOFTWARE - 2.4%
12,654 Intuit, Inc.*................................... 386,074
---------------
TOTAL COMMON STOCKS............................. 15,941,097
---------------
(Cost $15,257,228)
TOTAL INVESTMENTS - 99.3%....................... 15,941,097
(Cost $15,257,228)
NET OTHER ASSETS & LIABILITIES - 0.7%........... 115,563
---------------
NET ASSETS - 100.0%............................. $ 16,056,660
===============
- ------------------------------------------------------
* Non-income producing security.
+ Security is fair valued and market value is determined in accordance
with procedures adopted by the Board of Trustees.
See Notes to Financial Statements. Page 39
NASDAQ(R) TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 98.9%
AIR FREIGHT & LOGISTICS - 5.7%
10,145 C.H. Robinson Worldwide, Inc.................... $ 414,829
---------------
BIOTECHNOLOGY - 14.1%
6,234 Amgen, Inc.*.................................... 425,844
9,328 Gilead Sciences, Inc.*.......................... 605,667
---------------
1,031,511
---------------
COMPUTERS & PERIPHERALS - 12.6%
6,895 Apple, Inc.*.................................... 584,972
7,861 SanDisk Corp.*.................................. 338,259
---------------
923,231
---------------
ENERGY EQUIPMENT & SERVICES - 3.4%
10,643 Patterson-UTI Energy, Inc....................... 247,237
---------------
HEALTH CARE PROVIDERS & SERVICES - 5.7%
5,835 Express Scripts, Inc.*.......................... 417,786
---------------
HOUSEHOLD DURABLES - 10.1%
13,259 Garmin Ltd...................................... 737,996
---------------
INTERNET SOFTWARE & SERVICES - 7.4%
1,171 Google Inc., Class A*........................... 539,222
---------------
PHARMACEUTICALS - 4.8%
11,386 Teva Pharmaceutical Industries Ltd., SP ADR..... 353,877
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 16.4%
8,238 Lam Research Corp.*............................. 417,007
21,232 NVIDIA Corp.*................................... 785,796
---------------
1,202,803
---------------
SOFTWARE - 6.1%
11,132 Autodesk, Inc.*................................. 450,401
---------------
TRADING COMPANIES & DISTRIBUTORS - 4.5%
9,153 Fastenal Company................................ 328,410
---------------
WIRELESS TELECOMMUNICATION SERVICES - 8.1%
9,161 NII Holdings, Inc.*............................. 590,335
---------------
TOTAL COMMON STOCKS............................. 7,237,638
---------------
(Cost $6,399,560)
TOTAL INVESTMENTS - 98.9%....................... 7,237,638
(Cost $6,399,560)
NET OTHER ASSETS & LIABILITIES - 1.1%........... 79,951
---------------
NET ASSETS - 100.0%............................. $ 7,317,589
===============
- ---------------------------------------------------
* Non-income producing security.
SP ADR Sponsored American Depository Receipt
Page 40 See Notes to Financial Statements.
FIRST TRUST 10 UNCOMMON VALUES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 99.8%
AEROSPACE & DEFENSE - 9.6%
8,762 United Technologies Corp........................ $ 547,800
---------------
COMMUNICATIONS EQUIPMENT - 8.1%
24,908 Corning, Inc.*.................................. 466,029
---------------
CONSUMER FINANCE - 8.5%
6,361 Capital One Financial Corp...................... 488,652
---------------
ELECTRIC UTILITIES - 10.1%
9,380 Exelon Corp..................................... 580,528
---------------
HEALTH CARE PROVIDERS & SERVICES - 8.1%
11,985 Omnicare, Inc................................... 462,981
---------------
IT SERVICES - 10.3%
12,005 Automatic Data Processing, Inc.................. 591,246
---------------
MEDIA - 10.5%
28,342 Regal Entertainment Group, Class A.............. 604,251
---------------
METALS & MINING - 14.4%
6,870 Phelps Dodge Corp............................... 822,476
---------------
PHARMACEUTICALS - 10.0%
8,684 Johnson & Johnson............................... 573,318
---------------
SOFTWARE - 10.2%
19,252 Intuit, Inc.*................................... 587,379
---------------
TOTAL COMMON STOCKS............................. 5,724,660
---------------
(Cost $5,164,011)
TOTAL INVESTMENTS - 99.8%....................... 5,724,660
(Cost $5,164,011)
NET OTHER ASSETS & LIABILITIES - 0.2%........... 9,272
---------------
NET ASSETS - 100.0%............................. $ 5,733,932
===============
- -----------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements. Page 41
VALUE LINE(R) TARGET 25 PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 101.0%
AEROSPACE & DEFENSE - 2.0%
15,331 Ceradyne, Inc.*................................. $ 866,202
---------------
COMMUNICATIONS EQUIPMENT - 7.1%
151,238 Motorola, Inc................................... 3,109,453
---------------
COMPUTERS & PERIPHERALS - 14.8%
48,259 Apple, Inc.*.................................... 4,094,294
55,023 SanDisk Corp.*.................................. 2,367,640
---------------
6,461,934
---------------
ELECTRICAL EQUIPMENT - 1.4%
25,879 Lamson & Sessions (The) Company*................ 627,825
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.4%
44,811 Brightpoint, Inc.*.............................. 602,708
---------------
ENERGY EQUIPMENT & SERVICES - 6.3%
93,983 BJ Services Company............................. 2,755,582
---------------
HEALTH CARE PROVIDERS & SERVICES - 6.7%
40,842 Express Scripts, Inc.*.......................... 2,924,287
---------------
HEALTH CARE TECHNOLOGY - 4.2%
40,307 Cerner Corp.*................................... 1,833,969
---------------
INDUSTRIAL CONGLOMERATES - 6.5%
55,886 McDermott International, Inc.*.................. 2,842,362
---------------
MACHINERY - 1.5%
30,957 Columbus McKinnon Corp.*........................ 650,716
---------------
OIL, GAS & CONSUMABLE FUELS - 23.3%
64,563 Chesapeake Energy Corp.......................... 1,875,555
26,681 EOG Resources, Inc.............................. 1,666,228
38,885 Helix Energy Solutions Group, Inc.*............. 1,219,822
50,122 Peabody Energy Corp............................. 2,025,430
34,885 Southwestern Energy Company*.................... 1,222,719
46,499 XTO Energy, Inc................................. 2,187,778
---------------
10,197,532
---------------
PHARMACEUTICALS - 3.9%
81,669 Biovail Corp.................................... 1,728,116
---------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 15.3%
181,123 NVIDIA Corp.*................................... 6,703,362
---------------
SPECIALTY RETAIL - 5.3%
35,906 Dress Barn (The), Inc.*......................... 837,687
23,342 Guess? Inc.*.................................... 1,480,583
---------------
2,318,270
---------------
TRADING COMPANIES & DISTRIBUTORS - 1.3%
12,251 Watsco, Inc..................................... 577,757
---------------
TOTAL COMMON STOCKS............................. $ 44,200,075
---------------
(Cost $43,110,153)
Page 42 See Notes to Financial Statements.
VALUE LINE(R) TARGET 25 PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
VALUE
------------
TOTAL INVESTMENTS - 101.0%...................... $ 44,200,075
(Cost $43,110,153)
NET OTHER ASSETS & LIABILITIES - (1.0%)......... (424,458)
---------------
NET ASSETS - 100.0%............................. $ 43,775,617
===============
- ---------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements. Page 43
FIRST TRUST ENERGY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 99.2%
ENERGY EQUIPMENT & SERVICES - 26.6%
5,163 BJ Services Company............................. $ 151,379
3,194 GlobalSantaFe Corp.............................. 187,743
4,204 Grant Prideco, Inc.*............................ 167,193
5,445 Nabors Industries Ltd.*......................... 162,152
2,752 National-Oilwell Varco Inc.*.................... 168,367
6,983 Patterson-UTI Energy, Inc....................... 162,215
3,806 Weatherford International Ltd.*................. 159,053
---------------
1,158,102
---------------
OIL, GAS & CONSUMABLE FUELS - 72.6%
2,471 Apache Corp..................................... 164,346
2,372 BP PLC, SP ADR.................................. 159,161
2,515 Chevron Corp.................................... 184,928
2,717 ConocoPhillips.................................. 195,488
2,812 ENI SpA, SP ADR................................. 189,191
2,427 Exxon Mobil Corp................................ 185,981
4,718 Helix Energy Solutions Group, Inc.*............. 148,004
1,939 Marathon Oil Corp............................... 179,358
3,441 Noble Energy, Inc............................... 168,850
3,523 Occidental Petroleum Corp....................... 172,028
4,001 Petro-Canada.................................... 164,201
1,521 PetroChina Company Ltd., ADR.................... 214,127
1,910 Petroleo Brasileiro S.A., ADR................... 196,711
2,527 Royal Dutch Shell PLC, Class A, ADR............. 178,886
2,498 Total SA, SP ADR................................ 179,656
3,400 Unit Corp.*..................................... 164,730
2,919 Valero Energy Corp.............................. 149,336
3,628 XTO Energy, Inc................................. 170,698
---------------
3,165,680
---------------
TOTAL COMMON STOCKS............................. 4,323,782
---------------
(Cost $2,971,161)
TOTAL INVESTMENTS - 99.2%....................... 4,323,782
(Cost $2,971,161)
NET OTHER ASSETS & LIABILITIES - 0.8%........... 36,255
---------------
NET ASSETS - 100.0%............................. $ 4,360,037
===============
- -----------------------------------------------------------
* Non-income producing security.
ADR American Depository Receipt
SP ADR Sponsored American Depository Receipt
Page 44 See Notes to Financial Statements.
FIRST TRUST FINANCIAL SERVICES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 98.9%
CAPITAL MARKETS - 29.4%
1,088 Affiliated Managers Group, Inc.*................ $ 114,381
746 Bear Stearns Companies, (The) Inc............... 121,434
4,553 E*TRADE Financial Corp.*........................ 102,078
567 Goldman Sachs Group (The), Inc.................. 113,032
1,121 Legg Mason, Inc................................. 106,551
1,462 Lehman Brothers Holdings, Inc................... 114,211
1,354 Merrill Lynch & Company, Inc.................... 126,057
1,515 Morgan Stanley.................................. 123,367
2,276 T. Rowe Price Group, Inc........................ 99,621
---------------
1,020,732
---------------
COMMERCIAL BANKS - 16.5%
1,241 HSBC Holdings PLC, SP ADR....................... 113,738
1,921 Toronto Dominion Bank (The)..................... 115,010
3,279 U.S. Bancorp.................................... 118,667
3,010 Wells Fargo & Company........................... 107,036
1,431 Zions Bancorporation............................ 117,972
---------------
572,423
---------------
CONSUMER FINANCE - 6.3%
1,942 American Express Company........................ 117,821
1,305 Capital One Financial Corp...................... 100,250
---------------
218,071
---------------
DIVERSIFIED FINANCIAL SERVICES - 13.4%
2,033 Bank of America Corp............................ 108,542
2,312 Citigroup, Inc.................................. 128,778
2,587 ING Groep NV, SP ADR............................ 114,268
2,406 JPMorgan Chase & Company........................ 116,210
---------------
467,798
---------------
INSURANCE - 26.6%
2,407 AFLAC, Inc...................................... 110,722
1,736 Allstate (The) Corp............................. 113,031
1,714 American International Group, Inc............... 122,825
2,096 Chubb (The) Corp................................ 110,899
3,202 Genworth Financial Inc., Class A................ 109,540
1,319 Hartford Financial Services Group (The), Inc.... 123,076
3,511 Manulife Financial Corp......................... 118,637
1,978 MetLife, Inc.................................... 116,722
---------------
925,452
---------------
THRIFTS & MORTGAGE FINANCE - 6.7%
2,929 Countrywide Financial Corp...................... 124,336
2,433 IndyMac Bancorp, Inc............................ 109,874
---------------
234,210
---------------
TOTAL COMMON STOCKS............................. 3,438,686
---------------
(Cost $2,442,729)
See Notes to Financial Statements. Page 45
FIRST TRUST FINANCIAL SERVICES PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
VALUE
------------
TOTAL INVESTMENTS - 98.9%....................... $ 3,438,686
(Cost $2,442,729)
NET OTHER ASSETS & LIABILITIES - 1.1%........... 37,126
---------------
NET ASSETS - 100.0%............................. $ 3,475,812
===============
- ----------------------------------------------------
* Non-income producing security.
SP ADR Sponsored American Depository Receipt
Page 46 See Notes to Financial Statements.
FIRST TRUST PHARMACEUTICAL PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 98.0%
BIOTECHNOLOGY - 15.2%
1,639 Amgen, Inc.*.................................... $ 111,960
2,258 Biogen Idec, Inc.*.............................. 111,071
1,554 Cephalon, Inc.*................................. 109,417
1,690 Genzyme Corp.*.................................. 104,070
---------------
436,518
---------------
CHEMICALS - 4.2%
2,238 Bayer AG, SP ADR................................ 119,420
---------------
PHARMACEUTICALS - 78.6%
2,451 Abbott Laboratories............................. 119,388
997 Allergan, Inc................................... 119,381
1,787 AstraZeneca PLC, SP ADR......................... 95,694
2,142 Barr Pharmaceuticals, Inc.*..................... 107,357
5,967 Biovail Corp.................................... 126,262
3,242 Endo Pharmaceuticals Holdings, Inc.*............ 89,414
2,313 Forest Laboratories, Inc.*...................... 117,038
1,750 Gilead Sciences, Inc.*.......................... 113,627
1,916 GlaxoSmithKline PLC, ADR........................ 101,088
1,709 Johnson & Johnson............................... 112,828
1,934 Lilly (Eli) & Company........................... 100,761
2,710 Merck & Company, Inc............................ 118,156
1,983 Novartis AG, ADR................................ 113,904
1,556 Novo Nordisk A/S, SP ADR........................ 130,128
4,405 Pfizer, Inc..................................... 114,090
2,395 Sanofi-Aventis, SP ADR.......................... 110,577
5,218 Schering-Plough Corp............................ 123,354
1,992 Shire PLC, ADR.................................. 123,026
3,384 Teva Pharmaceutical Industries Ltd., SP ADR..... 105,175
2,257 Wyeth........................................... 114,926
---------------
2,256,174
---------------
TOTAL COMMON STOCKS............................. 2,812,112
---------------
(Cost $2,410,406)
TOTAL INVESTMENTS - 98.0%....................... 2,812,112
(Cost $2,410,406)
NET OTHER ASSETS & LIABILITIES - 2.0%........... 56,794
---------------
NET ASSETS - 100.0%............................. $ 2,868,906
===============
- ------------------------------------------------------------
* Non-income producing security.
ADR American Depository Receipt
SP ADR Sponsored American Depository Receipt
See Notes to Financial Statements. Page 47
FIRST TRUST TECHNOLOGY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
SHARES VALUE
- ------------ ------------
COMMON STOCKS - 93.9%
COMMUNICATIONS EQUIPMENT - 14.9%
1,657 Cisco Systems, Inc.*............................ $ 45,286
1,621 Corning, Inc.*.................................. 30,329
1,771 Motorola, Inc................................... 36,412
1,935 Nokia Corp., SP ADR............................. 39,319
1,078 QUALCOMM, Inc................................... 40,738
---------------
192,084
---------------
COMPUTERS & PERIPHERALS - 22.7%
485 Apple, Inc.*.................................... 41,147
1,603 Dell, Inc.*..................................... 40,219
1,137 Hewlett-Packard Company......................... 46,833
1,520 Logitech International S.A.*.................... 43,457
1,111 Network Appliance, Inc.*........................ 43,640
719 SanDisk Corp.*.................................. 30,939
1,732 Seagate Technology.............................. 45,898
---------------
292,133
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.2%
668 Amphenol Corp., Class A......................... 41,469
---------------
INTERNET SOFTWARE & SERVICES - 6.0%
93 Google Inc., Class A*........................... 42,824
1,338 Yahoo! Inc.*.................................... 34,173
---------------
76,997
---------------
IT SERVICES - 6.9%
864 Fiserv, Inc.*................................... 45,291
801 Infosys Technologies Ltd., SP ADR............... 43,702
---------------
88,993
---------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 22.0%
2,408 Applied Materials, Inc.......................... 44,427
1,293 Broadcom Corp., Class A*........................ 41,777
2,063 Intel Corp...................................... 41,776
1,968 Marvell Technology Group Ltd.*.................. 37,766
1,221 Maxim Integrated Products, Inc.................. 37,387
1,166 NVIDIA Corp.*................................... 43,154
1,294 Texas Instruments, Inc.......................... 37,267
---------------
283,554
---------------
SOFTWARE - 18.2%
991 Adobe Systems, Inc.*............................ 40,750
1,128 Citrix Systems, Inc.*........................... 30,512
1,382 Microsoft Corp.................................. 41,266
2,355 Oracle Corp.*................................... 40,365
746 SAP AG, SP ADR.................................. 39,613
2,023 Symantec Corp.*................................. 42,180
---------------
234,686
---------------
TOTAL COMMON STOCKS............................. 1,209,916
---------------
(Cost $1,041,054)
Page 48 See Notes to Financial Statements.
FIRST TRUST TECHNOLOGY PORTFOLIO - (CONTINUED)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2006
MARKET
VALUE
------------
TOTAL INVESTMENTS - 93.9%....................... $ 1,209,916
(Cost $1,041,054)
NET OTHER ASSETS & LIABILITIES - 6.1%........... 78,301
---------------
NET ASSETS - 100.0%............................. $ 1,288,217
===============
- ----------------------------------------------------------
* Non-income producing security.
SP ADR Sponsored American Depository Receipt
See Notes to Financial Statements. Page 49
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2006
THE DOWSM GLOBAL
TARGET THE DOWSM TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------- -------------
ASSETS
Investments, at market value
(See portfolios of investments) (a):....................... $199,193,409 $27,505,238 $ 99,915,203 $126,951,907
------------- ------------ ------------- -------------
Cash.......................................................... 487,858 493,613 -- 1,407,300
Prepaid expenses.............................................. 9,873 1,376 4,856 4,935
Other assets.................................................. -- -- -- 2,185
Receivables:
Dividends.................................................. 204,966 31,719 327,771 710,968
Dividend Reclaim........................................... 14,475 -- -- --
Interest................................................... 4,810 435 4,656 9,117
Investment securities sold................................. -- -- 8,042,649 446,975
Membership Interests purchased............................. 4,326,975 -- 222,955 --
From investment advisor.................................... -- -- -- --
------------- ------------ ------------- -------------
Total Assets............................................. 204,242,366 28,032,381 108,518,090 129,533,387
------------- ------------ ------------- -------------
LIABILITIES:
Due to custodian.............................................. -- -- 7,425,732 --
Payables:
Membership Interests redeemed.............................. -- 11,781 -- 451,468
Investment advisory fees................................... 102,978 18,219 52,080 90,761
Administrative fees........................................ 4,462 657 2,257 2,735
12b-1 service fees......................................... 42,908 6,321 21,700 26,299
Audit fees................................................. 11,667 11,667 11,667 11,667
Legal fees................................................. 28,296 417 7,382 5,566
Membership Interest servicing fees......................... 154,125 23,807 77,076 87,509
Custodian fees............................................. 16,417 145 5,204 10,815
Printing fees.............................................. 3,300 3,300 3,300 3,300
Accrued expenses........................................... 10,370 1,514 5,454 6,897
------------- ------------ ------------- -------------
Total Liabilities........................................ 374,523 77,828 7,611,852 697,017
------------- ------------ ------------- -------------
NET ASSETS.................................................... $203,867,843 $27,954,553 $100,906,238 $128,836,370
============= ============ ============= =============
(a) Investments, at cost...................................... $179,662,848 $25,357,166 $ 91,203,284 $106,176,379
============= ============ ============= =============
NET ASSETS CONSIST OF:
Undistributed net investment income/(accumulated
net investment loss) ...................................... $ 1,552,445 $ 819,851 $ 2,212,633 $ 3,486,601
Accumulated net realized gain/(loss) on investments sold
and foreign currency transactions: ........................ 24,642,600 1,067,935 (1,057,622) 5,663,112
Net unrealized appreciation/depreciation of investments
and foreign currency transactions ......................... 19,530,561 2,148,072 8,711,919 20,778,926
Paid-in capital............................................... 158,142,237 23,918,695 91,039,308 98,907,731
------------- ------------ ------------- -------------
Total Net Assets......................................... $203,867,843 $27,954,553 $100,906,238 $128,836,370
============= ============ ============= =============
NET ASSET VALUE, offering price and redemption price
of Membership Interests outstanding (Net Assets / Membership
Interests Outstanding).................................... $ 11.72 $ 10.56 $ 11.66 $ 21.14
============= ============ ============= =============
Number of Membership Interests outstanding.................... 17,397,424 2,646,778 8,655,392 6,093,923
============= ============ ============= =============
FIRST TRUST
S&P(R) NASDAQ(R) 10 UNCOMMON VALUE LINE(R)
TARGET 24 TARGET 15 VALUES TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------ -------------
ASSETS
Investments, at market value
(See portfolios of investments) (a):....................... $ 15,941,097 $ 7,237,638 $ 5,724,660 $ 44,200,075
------------- ------------- ------------ -------------
Cash.......................................................... 136,995 121,671 -- 84,816
Prepaid expenses.............................................. 801 367 321 2,360
Other assets.................................................. -- -- -- --
Receivables:
Dividends.................................................. 14,670 1,851 2,797 20,320
Dividend Reclaim........................................... -- -- -- --
Interest................................................... 635 427 195 3,712
Investment securities sold................................. -- -- 75,028 --
Membership Interests purchased............................. 10,883 -- -- --
From investment advisor.................................... -- 449 1,349 --
------------- ------------- ------------ -------------
Total Assets............................................. 16,105,081 7,362,403 5,804,350 44,311,283
------------- ------------- ------------ -------------
LIABILITIES:
Due to custodian.............................................. -- -- 39,976 --
Payables:
Membership Interests redeemed.............................. -- 17,071 6,609 437,700
Investment advisory fees................................... 5,449 -- -- 23,175
Administrative fees........................................ 363 165 130 1,004
12b-1 service fees......................................... 3,493 1,584 1,251 9,656
Audit fees................................................. 11,667 11,667 11,667 11,667
Legal fees................................................. 5,079 2,067 1,124 7,474
Membership Interest servicing fees......................... 12,560 5,755 4,673 34,946
Custodian fees............................................. 3,810 1,737 1,263 3,054
Printing fees.............................................. 3,300 3,300 3,300 3,300
Accrued expenses........................................... 2,700 1,468 425 3,690
------------- ------------- ------------ -------------
Total Liabilities........................................ 48,421 44,814 70,418 535,666
------------- ------------- ------------ -------------
NET ASSETS.................................................... $ 16,056,660 $ 7,317,589 $ 5,733,932 $ 43,775,617
============= ============= ============ =============
(a) Investments, at cost...................................... $ 15,257,228 $ 6,399,560 $ 5,164,011 $ 43,110,153
============= ============= ============ =============
NET ASSETS CONSIST OF:
Undistributed net investment income/(accumulated
net investment loss) ...................................... $ (67,307) $ (388,582) $ (312,219) $ (767,384)
Accumulated net realized gain/(loss) on investments sold
and foreign currency transactions: ........................ 1,164,142 (2,156,649) (16,235,699) 10,162,266
Net unrealized appreciation/depreciation of investments
and foreign currency transactions ......................... 683,869 838,078 560,649 1,089,922
Paid-in capital............................................... 14,275,956 9,024,742 21,721,201 33,290,813
------------- ------------- ------------ -------------
Total Net Assets......................................... $ 16,056,660 $ 7,317,589 $ 5,733,932 $ 43,775,617
============= ============= ============ =============
NET ASSET VALUE, offering price and redemption price
of Membership Interests outstanding (Net Assets / Membership
Interests Outstanding).................................... $ 9.28 $ 10.17 $ 5.44 $ 5.00
============= ============= ============ =============
Number of Membership Interests outstanding.................... 1,730,212 719,415 1,053,662 8,752,062
============= ============= ============ =============
FIRST TRUST
FIRST TRUST FINANCIAL FIRST TRUST FIRST TRUST
ENERGY SERVICES PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------- ------------ ------------
ASSETS
Investments, at market value
(See portfolios of investments) (a):....................... $4,323,782 $ 3,438,686 $ 2,812,112 $ 1,209,916
----------- ------------- ------------ ------------
Cash.......................................................... 51,331 57,746 69,898 93,936
Prepaid expenses.............................................. 223 180 152 71
Other assets.................................................. -- -- -- --
Receivables:
Dividends.................................................. 5,402 4,656 1,893 329
Dividend Reclaim........................................... -- -- 1,055 --
Interest................................................... 217 328 284 395
Investment securities sold................................. 6,720 -- -- --
Membership Interests purchased............................. -- -- 267 --
From investment advisor.................................... -- 1,008 1,290 1,985
----------- ------------- ------------ ------------
Total Assets............................................. 4,387,675 3,502,604 2,886,951 1,306,632
----------- ------------- ------------ ------------
LIABILITIES:
Due to custodian.............................................. -- -- -- --
Payables:
Membership Interests redeemed.............................. 6,516 7,039 -- 653
Investment advisory fees................................... 206 -- -- --
Administrative fees........................................ 99 77 64 29
12b-1 service fees......................................... -- -- -- --
Audit fees................................................. 11,667 11,667 11,667 11,667
Legal fees................................................. 612 505 179 384
Membership Interest servicing fees......................... 3,663 2,931 2,435 1,128
Custodian fees............................................. 1,253 753 171 1,123
Printing fees.............................................. 3,300 3,300 3,300 3,300
Accrued expenses........................................... 322 520 229 131
----------- ------------- ------------ ------------
Total Liabilities........................................ 27,638 26,792 18,045 18,415
----------- ------------- ------------ ------------
NET ASSETS.................................................... $4,360,037 $ 3,475,812 $ 2,868,906 $ 1,288,217
=========== ============= ============ ============
(a) Investments, at cost...................................... $2,971,161 $ 2,442,729 $ 2,410,406 $ 1,041,054
=========== ============= ============ ============
NET ASSETS CONSIST OF:
Undistributed net investment income/(accumulated
net investment loss) ...................................... $ (12,822) $ 95,428 $ (34,146) $ (114,162)
Accumulated net realized gain/(loss) on investments sold
and foreign currency transactions: ........................ 2,140,789 824,480 (570,180) (1,398,532)
Net unrealized appreciation/depreciation of investments
and foreign currency transactions ......................... 1,352,621 995,957 401,706 168,862
Paid-in capital............................................... 879,449 1,559,947 3,071,526 2,632,049
----------- ------------- ------------ ------------
Total Net Assets......................................... $4,360,037 $ 3,475,812 $ 2,868,906 $ 1,288,217
=========== ============= ============ ============
NET ASSET VALUE, offering price and redemption price
of Membership Interests outstanding (Net Assets / Membership
Interests Outstanding).................................... $ 31.50 $ 19.40 $ 12.42 $ 5.44
============= ============= ============ ============
Number of Membership Interests outstanding.................... 138,411 179,185 230,934 236,769
============= ============= ============ ============
Pages 50-51 See Notes to Financial Statements.
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2006
THE DOWSM GLOBAL
TARGET THE DOWSM TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -----------
INVESTMENT INCOME:
Dividends..................................................... $ 3,551,548 $ 520,575 $ 2,824,050 $ 3,302,776
Foreign withholding tax on dividend income.................... (33,113) -- -- (19,935)
Interest...................................................... 57,243 20,813 54,833 79,206
------------ ------------ ------------ -----------
Total investment income....................................... 3,575,678 541,388 2,878,883 3,362,047
------------ ------------ ------------ -----------
EXPENSES:
Investment advisory fees...................................... 1,123,265 110,583 495,448 409,480
Administration fees........................................... 48,675 4,792 21,469 17,744
Fund accounting fees.......................................... 102,966 10,137 45,416 37,536
12b-1 service fees............................................ 468,027 46,076 206,437 170,617
Trustees' fees and expenses................................... 14,272 1,066 5,526 3,709
Audit fees.................................................... 15,890 12,726 12,558 13,111
Legal fees.................................................... 35,541 444 15,332 6,821
Custodian fees................................................ 97,483 10,829 35,940 61,033
Membership Interest servicing fees............................ 609,445 59,953 268,943 221,994
Printing fees................................................. 5,984 5,984 5,984 5,984
Other......................................................... 20,077 5,038 9,698 17,448
Expenses previously waived or reimbursed (Note 3)............. 22,423 2,426 12,332 41,021
------------ ------------ ------------ -----------
Total expenses............................................. 2,564,048 270,054 1,135,083 1,006,498
Fees waived or expenses reimbursed by the investment advisor -- -- -- --
------------ ------------ ------------ -----------
Net expenses.................................................. 2,564,048 270,054 1,135,083 1,006,498
------------ ------------ ------------ -----------
NET INVESTMENT INCOME/(LOSS).................................. 1,011,630 271,334 1,743,800 2,355,549
------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS):
Realized gain/(loss) on:
Securities................................................. 12,074,762 1,496,845 (991,444) 2,826,567
Foreign currency transactions.............................. -- -- -- 6,994
Net change in unrealized appreciation/(depreciation) on:
Securities................................................. 6,152,339 2,372,141 12,640,964 18,094,615
Foreign currency translation of other assets and
liabilities and foreign currencies ..................... -- -- -- 3,551
------------ ------------ ------------ -----------
Net realized and unrealized gain/(loss)....................... 18,227,101 3,868,986 11,649,520 20,931,727
------------ ------------ ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 19,238,731 $ 4,140,320 $ 13,393,320 $23,287,276
============ ============ ============ ===========
FIRST TRUST
S&P(R) NASDAQ(R) 10 UNCOMMON VALUE LINE(R)
TARGET 24 TARGET 15 VALUES TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
INVESTMENT INCOME:
Dividends..................................................... $ 167,929 $ 21,688 $ 158,889 $ 244,752
Foreign withholding tax on dividend income.................... -- -- -- (1,468)
Interest...................................................... 7,825 5,011 1,161 17,583
----------- ----------- ----------- -----------
Total investment income....................................... 175,754 26,699 160,050 260,867
----------- ----------- ----------- -----------
EXPENSES:
Investment advisory fees...................................... 98,536 41,061 38,293 292,190
Administration fees........................................... 4,270 1,779 1,659 12,661
Fund accounting fees.......................................... 9,032 3,764 3,510 26,784
12b-1 service fees............................................ 41,056 17,109 15,956 121,746
Trustees' fees and expenses................................... 1,324 528 527 3,966
Audit fees.................................................... 12,790 12,611 12,631 13,522
Legal fees.................................................... 5,382 3,695 3,208 7,866
Custodian fees................................................ 15,531 10,480 6,350 28,475
Membership Interest servicing fees............................ 53,459 22,274 20,768 158,580
Printing fees................................................. 5,984 5,984 5,984 5,984
Other......................................................... 8,392 6,335 5,067 8,560
Expenses previously waived or reimbursed (Note 3)............. -- -- -- 7,793
----------- ----------- ----------- -----------
Total expenses............................................. 255,756 125,620 113,953 688,127
Fees waived or expenses reimbursed by the investment advisor (14,063) (24,970) (26,395) --
----------- ----------- ----------- -----------
Net expenses.................................................. 241,693 100,650 87,558 688,127
----------- ----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS).................................. (65,939) (73,951) 72,492 (427,260)
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS):
Realized gain/(loss) on:
Securities................................................. 600,055 401,679 (305,030) 5,648,868
Foreign currency transactions.............................. -- -- -- --
Net change in unrealized appreciation/(depreciation) on:
Securities................................................. (176,427) 226,687 487,348 (4,223,703)
Foreign currency translation of other assets and
liabilities and foreign currencies -- -- -- --
----------- ----------- ----------- -----------
Net realized and unrealized gain/(loss)....................... 423,628 628,366 182,318 1,425,165
----------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 357,689 $ 554,415 $ 254,810 $ 997,905
=========== =========== =========== ===========
FIRST TRUST
FIRST TRUST FINANCIAL FIRST TRUST FIRST TRUST
ENERGY SERVICES PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
INVESTMENT INCOME:
Dividends..................................................... $ 82,259 $ 69,333 $ 49,030 $ 6,606
Foreign withholding tax on dividend income.................... -- -- -- --
Interest...................................................... 3,603 2,396 2,485 3,889
----------- ----------- ----------- -----------
Total investment income....................................... 85,862 71,729 51,515 10,495
----------- ----------- ----------- -----------
EXPENSES:
Investment advisory fees...................................... 28,448 21,187 17,590 8,204
Administration fees........................................... 1,233 918 762 355
Fund accounting fees.......................................... 2,607 1,943 1,612 752
12b-1 service fees............................................ -- -- -- --
Trustees' fees and expenses................................... 376 279 233 114
Audit fees.................................................... 12,591 12,562 12,552 12,523
Legal fees.................................................... 607 491 168 532
Custodian fees................................................ 7,390 6,543 5,670 7,008
Membership Interest servicing fees............................ 16,618 12,374 10,273 4,792
Printing fees................................................. 5,984 5,984 5,984 5,984
Other......................................................... 5,547 5,786 5,100 5,188
Expenses previously waived or reimbursed (Note 3)............. -- -- -- --
----------- ----------- ----------- -----------
Total expenses............................................. 81,401 68,067 59,944 45,452
Fees waived or expenses reimbursed by the investment advisor (11,703) (16,130) (16,826) (25,323)
----------- ----------- ----------- -----------
Net expenses.................................................. 69,698 51,937 43,118 20,129
----------- ----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS).................................. 16,164 19,792 8,397 (9,634)
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS):
Realized gain/(loss) on:
Securities................................................. 1,170,739 346,294 205,030 152,903
Foreign currency transactions.............................. -- -- -- --
Net change in unrealized appreciation/(depreciation) on:
Securities................................................. (639,550) 181,851 20,975 (102,660)
Foreign currency translation of other assets and
liabilities and foreign currencies -- -- -- --
----------- ----------- ----------- -----------
Net realized and unrealized gain/(loss)....................... 531,189 528,145 226,005 50,243
----------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 547,353 $ 547,937 $ 234,402 $ 40,609
=========== =========== =========== ===========
Page 52-53 See Notes to Financial Statements.
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2006
THE DOWSM GLOBAL
TARGET THE DOWSM TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss).................................. $ 1,011,630 $ 271,334 $ 1,743,800 $ 2,355,549
Net realized gain/(loss) on investments and foreign
currency transactions .................................... 12,074,762 1,496,845 (991,444) 2,833,561
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............. 6,152,339 2,372,141 12,640,964 18,098,166
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 19,238,731 4,140,320 13,393,320 23,287,276
Net increase/(decrease) in net assets from Membership
Interest transactions .................................... 1,736,753 12,203,112 29,074,615 68,758,271
------------ ------------ ------------ ------------
Net increase/ (decrease) in net assets........................ 20,975,484 16,343,432 42,467,935 92,045,547
NET ASSETS:
Beginning of year............................................. 182,892,359 11,611,121 58,438,303 36,790,823
------------ ------------ ------------ ------------
End of year................................................... $203,867,843 $ 27,954,553 $100,906,238 $128,836,370
============ ============ ============ ============
Undistributed net investment income/(accumulated net
investment loss) at end of year .......................... $ 1,552,445 $ 819,851 $ 2,212,633 $ 3,486,601
============ ============ ============ ============
FIRST TRUST
S&P(R) NASDAQ(R) 10 UNCOMMON VALUE LINE(R)
TARGET 24 TARGET 15 VALUES TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss).................................. $ (65,939) $ (73,951) $ 72,492 $ (427,260)
Net realized gain/(loss) on investments and foreign
currency transactions .................................... 600,055 401,679 (305,030) 5,648,868
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............. (176,427) 226,687 487,348 (4,223,703)
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 357,689 554,415 254,810 997,905
Net increase/(decrease) in net assets from Membership
Interest transactions .................................... (2,350,331) 211,629 (1,525,206) (11,294,704)
------------ ------------ ------------ ------------
Net increase/ (decrease) in net assets........................ (1,992,642) 766,044 (1,270,396) (10,296,799)
NET ASSETS:
Beginning of year............................................. 18,049,302 6,551,545 7,004,328 54,072,416
------------ ------------ ------------ ------------
End of year................................................... $ 16,056,660 $ 7,317,589 $ 5,733,932 $ 43,775,617
============ ============ ============ ============
Undistributed net investment income/(accumulated net
investment loss) at end of year .......................... $ (67,307) $ (388,582) $ (312,219) $ (767,384)
============ ============ ============ ============
FIRST TRUST
FIRST TRUST FINANCIAL FIRST TRUST FIRST TRUST
ENERGY SERVICES PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss).................................. $ 16,164 $ 19,792 $ 8,397 $ (9,634)
Net realized gain/(loss) on investments and foreign
currency transactions .................................... 1,170,739 346,294 205,030 152,903
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............. (639,550) 181,851 20,975 (102,660)
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 547,353 547,937 234,402 40,609
Net increase/(decrease) in net assets from Membership
Interest transactions .................................... (847,920) (670,504) (428,240) (285,027)
------------ ------------ ------------ ------------
Net increase/ (decrease) in net assets........................ (300,567) (122,567) (193,838) (244,418)
NET ASSETS:
Beginning of year............................................. 4,660,604 3,598,379 3,062,744 1,532,635
------------ ------------ ------------ ------------
End of year................................................... $ 4,360,037 $ 3,475,812 $ 2,868,906 $ 1,288,217
============ ============ ============ ============
Undistributed net investment income/(accumulated net
investment loss) at end of year .......................... $ (12,822) $ 95,428 $ (34,146) $ (114,162)
============ ============ ============ ============
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2005
THE DOWSM GLOBAL
TARGET THE DOWSM TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss) ............................... $ 390,185 $ 218,781 $ 468,833 $ 692,784
Net realized gain/(loss) on investments and foreign
currency transactions ................................... 9,889,722 427,649 (66,178) 2,314,649
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............ 822,046 (951,160) (3,929,045) 159,759
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 11,101,953 (304,730) (3,526,390) 3,167,192
Net increase/(decrease) in net assets from Membership
Interest transactions ................................... 63,317,466 (832,824) 61,964,693 11,005,825
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets ...................... 74,419,419 (1,137,554) 58,438,303 14,173,017
NET ASSETS:
Beginning of year .......................................... 108,472,940 12,748,675 -- 22,617,806
------------ ------------ ------------ ------------
End of year ................................................ $182,892,359 $ 11,611,121 $ 58,438,303 $ 36,790,823
------------ ------------ ------------ ------------
Undistributed net investment income/(accumulated net
investment loss) at end of year ......................... $ 540,815 $ 548,517 $ 468,833 $ 1,131,052
============ ============ ============ ============
FIRST TRUST
S&P(R) NASDAQ(R) 10 UNCOMMON VALUE LINE(R)
TARGET 24 TARGET 15 VALUES TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss) ............................... $ 32,863 $ (49,508) $ (13,117) $ (175,494)
Net realized gain/(loss) on investments and foreign
currency transactions ................................... 1,055,197 (227,427) 806,435 4,669,240
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............ (335,669) 357,556 (767,899) 2,213,621
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 752,391 80,621 25,419 6,707,367
Net increase/(decrease) in net assets from Membership
Interest transactions ................................... 3,138,885 (557,084) (2,823,957) 25,600,545
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets ...................... 3,891,276 (476,463) (2,798,538) 32,307,912
NET ASSETS:
Beginning of year .......................................... 14,158,026 7,028,008 9,802,866 21,764,504
------------ ------------ ------------ ------------
End of year ................................................ $ 18,049,302 $ 6,551,545 $ 7,004,328 $ 54,072,416
------------ ------------ ------------ ------------
Undistributed net investment income/(accumulated net
investment loss) at end of year ......................... $ (1,368) $ (314,631) $ (384,711) $ (340,124)
============ ============ ============ ============
FIRST TRUST
FIRST TRUST FINANCIAL FIRST TRUST FIRST TRUST
ENERGY SERVICES PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income/(loss) ............................... $ (13,928) $ 32,670 $ 3,767 $ (15,095)
Net realized gain/(loss) on investments and foreign
currency transactions ................................... 813,518 455,004 65,840 110,047
Net change in unrealized appreciation/(depreciation) on
securities and foreign currency transactions ............ 837,890 (243,161) 262,261 (20,082)
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations 1,637,480 244,513 331,868 74,870
Net increase/(decrease) in net assets from Membership
Interest transactions ................................... (723,636) (1,289,077) (803,945) (235,219)
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets ...................... 913,844 (1,044,564) (472,077) (160,349)
NET ASSETS:
Beginning of year .......................................... 3,746,760 4,642,943 3,534,821 1,692,984
------------ ------------ ------------ ------------
End of year ................................................ $ 4,660,604 $ 3,598,379 $ 3,062,744 $ 1,532,635
------------ ------------ ------------ ------------
Undistributed net investment income/(accumulated net
investment loss) at end of year ......................... $ (28,986) $ 75,636 $ (42,543) $ (104,528)
============ ============ ============ ============
<FN>
- ----------------------------------
* The Fund commenced operations on May 2, 2005.
</FN>
Page 54-55 See Notes to Financial Statements.
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS - CAPITAL STOCK ACTIVITY
FOR THE YEAR ENDED DECEMBER 31, 2006
GLOBAL
TARGET THE DOWSM THE DOWSM DIVIDEND S&P(R)
MANAGED VIP DART 10 TARGET DIVIDEND TARGET 15 TARGET 24
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------- ------------- -------------
AMOUNT:
Sold...................................... $ 57,979,776 $ 25,748,489 $ 71,866,833 $ 82,240,730 $ 5,588,648
Redeemed.................................. (56,243,023) (13,545,377) (42,792,218) (13,482,459) (7,938,979)
-------------- ------------- ------------- ------------- -------------
Net increase/(decrease)................... $ 1,736,753 $ 12,203,112 $ 29,074,615 $ 68,758,271 $ (2,350,331)
============== ============= ============= ============= =============
MEMBERSHIP INTEREST:
Sold...................................... 5,322,595 2,633,412 6,615,423 4,474,962 615,057
Redeemed.................................. (5,325,032) (1,367,662) (3,879,344) (790,977) (885,077)
-------------- ------------- ------------- ------------- -------------
Net increase/(decrease)................... (2,437) 1,265,750 2,736,079 3,683,985 (270,020)
============== ============= ============= ============= =============
FIRST TRUST FIRST TRUST
NASDAQ(R) 10 UNCOMMON VALUE LINE(R) FIRST TRUST FINANCIAL
TARGET 15 VALUES TARGET 25 ENERGY SERVICES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- ------------- -------------
AMOUNT:
Sold...................................... $ 2,758,286 $ 649,604 $ 14,735,448 $ 793,278 $ 184,809
Redeemed.................................. (2,546,657) (2,174,810) (26,030,152) (1,641,198) (855,313)
------------ ------------ ------------- ------------- -------------
Net increase/(decrease)................... $ 211,629 $ (1,525,206) $ (11,294,704) $ (847,920) $ (670,504)
============ ============ ============= ============= =============
MEMBERSHIP INTEREST:
Sold...................................... 278,599 120,859 2,947,802 26,361 10,429
Redeemed.................................. (260,692) (405,925) (5,316,022) (54,654) (48,023)
------------ ------------ ------------- ------------- -------------
Net increase/(decrease)................... 17,907 (285,066) (2,368,220) (28,293) (37,594)
============ ============ ============= ============= =============
FIRST TRUST FIRST TRUST
PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO
------------- ------------
AMOUNT:
Sold...................................... $ 188,117 $ 84,029
Redeemed.................................. (616,357) (369,056)
------------- ------------
Net increase/(decrease)................... $ (428,240) $ (285,027)
============= ============
MEMBERSHIP INTEREST:
Sold...................................... 16,075 16,179
Redeemed.................................. (52,791) (69,067)
------------- ------------
Net increase/(decrease)................... (36,716) (52,888)
============= ============
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS - CAPITAL STOCK ACTIVITY
FOR THE YEAR ENDED DECEMBER 31, 2005
GLOBAL
TARGET THE DOWSM THE DOWSM DIVIDEND S&P(R)
MANAGED VIP DART 10 TARGET DIVIDEND TARGET 15 TARGET 24
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO
-------------- ------------- ------------- ------------- -------------
AMOUNT:
Sold ................................... $ 96,233,498 $ 13,204,502 $ 70,071,643 $ 27,104,620 $ 11,209,843
Redeemed ............................... (32,916,032) (14,037,326) (8,106,950) (16,098,795) (8,070,958)
-------------- ------------- ------------- ------------- -------------
Net increase/(decrease) ................ $ 63,317,466 $ (832,824) $ 61,964,693 $ 11,005,825 $ 3,138,885
============== ============= ============= ============= =============
MEMBERSHIP INTEREST:
Sold ................................... 9,734,749 1,560,654 6,712,686 1,909,893 1,309,487
Redeemed ............................... (3,407,125) (1,647,332) (793,373) (1,132,273) (943,451)
-------------- ------------- ------------- ------------- -------------
Net increase/(decrease) ................ 6,327,624 (86,678) 5,919,313 777,620 366,036
============== ============= ============= ============= =============
FIRST TRUST FIRST TRUST
NASDAQ(R) 10 UNCOMMON VALUE LINE(R) FIRST TRUST FINANCIAL
TARGET 15 VALUES TARGET 25 ENERGY SERVICES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- ------------- -------------
AMOUNT:
Sold ................................... $ 3,372,455 $ 645,194 $ 40,909,801 $ 896,523 $ 191,688
Redeemed ............................... (3,929,539) (3,469,151) (15,309,256) (1,620,159) (1,480,765)
------------- ------------- ------------- ------------- -------------
Net increase/(decrease) ................ $ (557,084) $ (2,823,957) $ 25,600,545 $ (723,636) $ (1,289,077)
============= ============= ============= ============= =============
MEMBERSHIP INTEREST:
Sold ................................... 381,927 124,442 9,116,208 38,196 12,504
Redeemed ............................... (457,434) (671,962) (3,356,585) (71,291) (98,094)
------------- ------------- ------------- ------------- -------------
Net increase/(decrease) ................ (75,507) (547,520) 5,759,623 (33,095) (85,590)
============= ============= ============= ============= =============
FIRST TRUST FIRST TRUST
PHARMACEUTICAL TECHNOLOGY
PORTFOLIO PORTFOLIO
------------- -------------
AMOUNT:
Sold ................................... $ 203,054 $ 42,102
Redeemed ............................... (1,006,999) (277,321)
------------- -------------
Net increase/(decrease) ................ $ (803,945) $ (235,219)
============= =============
MEMBERSHIP INTEREST:
Sold ................................... 19,046 8,455
Redeemed ............................... (95,380) (55,668)
------------- -------------
Net increase/(decrease) ................ (76,334) (47,213)
============= =============
- -------------------------------
* The Fund commenced operations on May 2, 2005.
Page 56-57 See Notes to Financial Statements.
TARGET MANAGED VIP PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02 (A)
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 10.51 $ 9.80 $ 8.73 $ 6.47 $ 8.19
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.06 0.03 0.01++ 0.02 0.00++#
Net realized and unrealized gain/(loss) 1.15 0.68 1.06 2.24 (1.72)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 1.21 0.71 1.07 2.26 (1.72)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 11.72 $ 10.51 $ 9.80 $ 8.73 $ 6.47
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 11.51% 7.24% 12.26% 34.93% (21.00)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 203,868 $ 182,892 $ 108,473 $ 20,488 $ 12,056
Ratio of operating expenses to average
net assets ......................... 1.37% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income to average
net assets ......................... 0.54% 0.26% 0.14% 0.41% 0.06%
Portfolio turnover rate................ 94% 76% 43% 72% 79%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................ 1.37% 1.48% 2.07% 1.69% 2.73%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator.The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
# Amount represents less than $0.01 per Membership Interest.
(a) Effective April 30, 2002, based upon the determination of the Fund's Board
of Trustees, the Portfolio changed its name from the DowSM Target 5
Portfolio to the Target Managed VIP Portfolio. The Portfolio's primary
investment strategy was also changed. The performance figures provided
reflect the Portfolio performance prior to the name change and the change
of the primary investment strategy.
</FN>
Page 58 See Notes to Financial Statements.
THE DOWSM DART 10 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 8.41 $ 8.69 $ 8.37 $ 6.98 $ 8.54
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.14++ 0.14++ 0.15++ 0.22 0.12++
Net realized and unrealized gain/(loss) 2.01 (0.42) 0.17 1.17 (1.68)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 2.15 (0.28) 0.32 1.39 (1.56)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 10.56 $ 8.41 $ 8.69 $ 8.37 $ 6.98
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 25.56% (3.22)% 3.82% 19.91% (18.27)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 27,955 $ 11,611 $ 12,749 $ 4,268 $ 4,219
Ratio of operating expenses to average
net assets........................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income to average
net assets .......................... 1.47% 1.66% 1.84% 2.37% 1.52%
Portfolio turnover rate................ 82% 145% 57% 78% 76%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.47% 1.59% 2.33% 3.27% 3.13%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
</FN>
See Notes to Financial Statements. Page 59
THE DOWSM TARGET DIVIDEND PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR PERIOD
ENDED ENDED
12/31/06 12/31/05*
----------- -----------
Net asset value, beginning of period........ $ 9.87 $ 10.00
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................... 0.23++ 0.12++
Net realized and unrealized gain/(loss) on
investments .............................. 1.56 (0.25)
----------- -----------
Total from investment operations............ 1.79 (0.13)
----------- -----------
Net asset value, end of period.............. $ 11.66 $ 9.87
=========== ===========
TOTAL RETURN+............................... 18.14% (1.30)%
=========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........ $ 100,906 $ 58,438
Ratio of operating expenses to average
net assets ............................... 1.37% 1.47%**
Ratio of net investment income to average
net assets ............................... 2.11% 2.00%**
Portfolio turnover rate..................... 78% 18%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ...................... 1.37% 1.52%**
- --------------------------------------------------
* The Fund commenced operations on May 2, 2005.
** Annualized.
+ Total return is not annualized for periods less than one year. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor. The returns for the
Portfolio do not reflect the deduction of expenses associated with variable
products, such as mortality and expense risk charges, and sales charges.
These expenses would reduce the overall returns shown.
++ Per Membership Interest values have been calculated using the average share
method.
Page 60 See Notes to Financial Statements.
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05(a) 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 15.27 $ 13.86 $ 11.05 $ 8.24 $ 9.66
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.63++ 0.35++ 0.27++ 0.33 0.25++
Net realized and unrealized gain/(loss) 5.24 1.06 2.54 2.48 (1.67)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 5.87 1.41 2.81 2.81 (1.42)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 21.14 $ 15.27 $ 13.86 $ 11.05 $ 8.24
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 38.44% 10.17% 25.43% 34.10% (14.70)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 128,836 $ 36,791 $ 22,618 $ 3,050 $ 2,341
Ratio of operating expenses to average
net assets .......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income to average
net assets .......................... 3.45% 2.49% 2.18% 3.36% 2.73%
Portfolio turnover rate................ 33% 70% 49% 66% 57%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.47% 1.61% 2.67% 4.51% 4.50%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator.The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
(a) Effective May 2, 2005, based upon the determination of the Fund's Board of
Trustees, the Portfolio changed its name from the Global Target 15
Portfolio to the Global Dividend Target 15 Portfolio.
</FN>
See Notes to Financial Statements. Page 61
S&P(R) TARGET 24 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02 (a)
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 9.02 $ 8.66 $ 7.62 $ 6.14 $ 7.19
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........... (0.04) 0.02 (0.03) 0.03 (0.01)
Net realized and unrealized gain/(loss) 0.30 0.34 1.07 1.45 (1.04)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.26 0.36 1.04 1.48 (1.05)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 9.28 $ 9.02 $ 8.66 $ 7.62 $ 6.14
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 2.88% 4.16% 13.65% 24.10% (14.60)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 16,057 $ 18,049 $ 14,158 $ 5,554 $ 4,767
Ratio of operating expenses to average
net assets .......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income/(loss)
to average net assets ............... (0.40)% 0.20% (0.51)% 0.46% (0.10)%
Portfolio turnover rate................ 106% 113% 104% 84% 200%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.56% 1.58% 2.37% 2.89% 2.96%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator.The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
(a) Effective April 30, 2002, based upon the determination of the Fund's Board
of Trustees, the Portfolio changed its name from the S&P Target 10
Portfolio to the S&P(R) Target 24 Portfolio. The Portfolio's primary
investment strategy was also changed. The performance figures provided
reflect the Portfolio's performance prior to the name change and the change
of the primary investment strategy.
</FN>
Page 62 See Notes to Financial Statements.
NASDAQ(R) TARGET 15 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 9.34 $ 9.04 $ 9.29 $ 6.83 $ 9.25
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss.................... (0.11)++ (0.07)++ (0.10)++ (0.14) (0.08)
Net realized and unrealized gain/(loss) 0.94 0.37 (0.15) 2.60 (2.34)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.83 0.30 (0.25) 2.46 (2.42)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 10.17 $ 9.34 $ 9.04 $ 9.29 $ 6.83
----------- ----------- ----------- ----------- -----------
TOTAL RETURN+.......................... 8.89% 3.32% (2.69)% 36.02% (26.16)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 7,318 $ 6,552 $ 7,028 $ 5,073 $ 4,105
Ratio of operating expenses to average
net assets .......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment loss to average
net assets .......................... (1.08)% (0.80)% (1.20)% (1.34)% (1.25)%
Portfolio turnover rate................ 92% 175% 117% 83% 98%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.84% 1.83% 2.52% 2.96% 3.03%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
</FN>
See Notes to Financial Statements. Page 63
FIRST TRUST 10 UNCOMMON VALUES PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 5.23 $ 5.20 $ 4.67 $ 3.41 $ 5.40
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........... 0.06 (0.01)++ (0.02) (0.01) (0.03)++
Net realized and unrealized gain/(loss) 0.15 0.04 0.55 1.27 (1.96)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.21 0.03 0.53 1.26 (1.99)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 5.44 $ 5.23 $ 5.20 $ 4.67 $ 3.41
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 4.02% 0.58% 11.35% 36.95% (36.85)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 5,734 $ 7,004 $ 9,803 $ 9,487 $ 6,752
Ratio of operating expenses to average
net assets ......................... 1.37% 1.37% 1.37% 1.37% 1.37%
Ratio of net investment income/(loss)
to average net assets .............. 1.14% (0.16)% (0.11)% (0.29)% (0.78)%
Portfolio turnover rate................ 87% 92% 123% 117% 106%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................ 1.79% 1.69% 1.61% 2.36% 2.29%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator.The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
</FN>
Page 64 See Notes to Financial Statements.
VALUE LINE(R) TARGET 25 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02 (a)
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 4.86 $ 4.06 $ 3.34 $ 2.37 $ 4.15
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss.................... (0.04) (0.02)++ (0.04)++ (0.02) (0.03)++
Net realized and unrealized gain/(loss) 0.18 0.82 0.76 0.99 (1.75)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.14 0.80 0.72 0.97 (1.78)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 5.00 $ 4.86 $ 4.06 $ 3.34 $ 2.37
----------- ----------- ----------- ----------- -----------
TOTAL RETURN+.......................... 2.88% 19.70% 21.56% 40.93% (42.89)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 43,776 $ 54,072 $ 21,765 $ 4,936 $ 2,976
Ratio of operating expenses to average
net assets .......................... 1.41% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment loss to average
net assets .......................... (0.88)% (0.45)% (1.13)% (0.92)% (1.22)%
Portfolio turnover rate................ 124% 97% 87% 74% 49%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.41% 1.49% 2.28% 3.36% 6.72%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
(a) Effective April 30, 2002, based upon the determination of the Fund's Board
of Trustees, the Portfolio changed its name from the First Trust Internet
Portfolio to the Value Line(R) Target 25 Portfolio. The Portfolio's primary
investment strategy was also changed. The performance figures provided
reflect the Portfolio's performance prior to the name change and the change
of the primary investment strategy.
</FN>
See Notes to Financial Statements. Page 65
FIRST TRUST ENERGY PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 27.96 $ 18.75 $ 14.20 $ 10.78 $ 11.29
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........... 0.10++ (0.10) (0.04) (0.00)# (0.02)++
Net realized and unrealized gain/(loss) 3.44 9.31 4.59 3.42 (0.49)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 3.54 9.21 4.55 3.42 (0.51)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 31.50 $ 27.96 $ 18.75 $ 14.20 $ 10.78
----------- ----------- ----------- ----------- -----------
TOTAL RETURN+.......................... 12.66% 49.12% 32.04% 31.73% (4.52)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 4,360 $ 4,661 $ 3,747 $ 2,839 $ 2,387
Ratio of operating expenses to average
net assets .......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income/(loss)
to average net assets ............... 0.34% (0.32)% (0.21)% (0.01)% (0.16)%
Portfolio turnover rate................ 41% 27% 40% 32% 55%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................. 1.72% 1.76% 2.88% 4.69% 4.66%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
# Amount represents less than $0.01 per Membership Interest.
</FN>
Page 66 See Notes to Financial Statements.
FIRST TRUST FINANCIAL SERVICES PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 16.60 $ 15.36 $ 13.30 $ 10.00 $ 11.68
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........... 0.10 0.13++ 0.08 0.04 0.02
Net realized and unrealized gain/(loss) 2.70 1.11 1.98 3.26 (1.70)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 2.80 1.24 2.06 3.30 (1.68)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 19.40 $ 16.60 $ 15.36 $ 13.30 $ 10.00
----------- ----------- ----------- ----------- -----------
TOTAL RETURN+.......................... 16.87% 8.07% 15.49% 33.00% (14.38)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 3,476 $ 3,598 $ 4,643 $ 4,763 $ 3,696
Ratio of operating expenses to average
net assets ......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income/(loss)
to average net assets .............. 0.56% 0.83% 0.47% 0.39% 0.18%
Portfolio turnover rate................ 29% 28% 30% 52% 30%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................ 1.93% 1.84% 2.43% 3.29% 3.37%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
# Amount represents less than $0.01 per Membership Interest.
</FN>
See Notes to Financial Statements. Page 67
FIRST TRUST PHARMACEUTICAL PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 11.44 $ 10.28 $ 10.35 $ 8.65 $ 12.06
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........... 0.03++ 0.01++ 0.00++# (0.03) (0.03)
Net realized and unrealized gain/(loss) 0.95 1.15 (0.07) 1.73 (3.38)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.98 1.16 (0.07) 1.70 (3.41)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 12.42 $ 11.44 $ 10.28 $ 10.35 $ 8.65
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 8.57% 11.28% (0.68)% 19.65% (28.28)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 2,869 $ 3,063 $ 3,535 $ 4,121 $ 3,456
Ratio of operating expenses to average
net assets ......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income/(loss)
to average net assets .............. 0.29% 0.12% 0.02% (0.29)% (0.49)%
Portfolio turnover rate................ 45% 25% 23% 45% 72%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................ 2.04% 1.96% 2.57% 3.48% 3.64%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
# Amount represents less than $0.01 per Membership Interest.
</FN>
Page 68 See Notes to Financial Statements.
FIRST TRUST TECHNOLOGY PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/06 12/31/05 12/31/04 12/31/03 12/31/02
----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year..... $ 5.29 $ 5.03 $ 4.97 $ 3.39 $ 5.79
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss.................... (0.04) (0.05)++ (0.04)++ (0.06) (0.06)++
Net realized and unrealized gain/(loss) 0.19 0.31 0.10 1.64 (2.34)
----------- ----------- ----------- ----------- -----------
Total from investment operations....... 0.15 0.26 0.06 1.58 (2.40)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year........... $ 5.44 $ 5.29 $ 5.03 $ 4.97 $ 3.39
=========== =========== =========== =========== ===========
TOTAL RETURN+.......................... 2.84% 5.17% 1.21% 46.61% (41.45)%
=========== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..... $ 1,288 $ 1,533 $ 1,693 $ 2,073 $ 1,477
Ratio of operating expenses to average
net assets ......................... 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment loss to average
net assets ......................... (0.70)% (0.97)% (0.88)% (1.22)% (1.37)%
Portfolio turnover rate................ 56% 21% 22% 34% 61%
Ratio of operating expenses to average
net assets without fee waivers and
expenses reimbursed ................ 3.32% 2.85% 4.03% 5.96% 6.23%
<FN>
- --------------------------------------------------
+ The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor and administrator. The
returns for the Portfolio do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk
charges, and sales charges. These expenses would reduce the overall returns
shown.
++ Per Membership Interest values have been calculated using the average share
method.
</FN>
See Notes to Financial Statements. Page 69
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
1. FUND DESCRIPTION
First Defined Portfolio Fund, LLC (the "Registrant" or "Fund") was organized as
a Delaware limited liability company on January 8, 1999 under the laws of the
State of Delaware. The Registrant is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended (the "1940
Act"), as a non-diversified, open-end management investment company. The
Registrant offers twelve managed investment Portfolios that may be divided into
two general categories: Target Managed VIP Portfolio, The DowSM DART 10
Portfolio, The DowSM Target Dividend Portfolio, Global Dividend Target 15
Portfolio, S&P(R) Target 24 Portfolio, NASDAQ(R) Target 15 Portfolio, First
Trust 10 Uncommon Values Portfolio, and Value Line(R) Target 25 Portfolio (the
"Strategy Portfolios"); and First Trust Energy Portfolio, First Trust Financial
Services Portfolio, First Trust Pharmaceutical Portfolio, and First Trust
Technology Portfolio (the "Sector Portfolios"), (each a "Portfolio," and
collectively, the "Portfolios"). Under Delaware law, a limited liability company
does not issue shares of stock. Instead, ownership rights are contained in
Membership Interests (each an "Interest," and collectively, the "Interests").
Each Interest represents an undivided interest in the net assets of each
Portfolio. Membership Interests are not offered directly to the public.
Membership Interests are sold only to American Skandia Life Assurance
Corporation Variable Account B ("Account B"), a Prudential Financial Company
("American Skandia"), to fund the benefits of variable annuity policies (the
"Policies") issued by American Skandia. Account B is the sole member of the
Registrant. Account B's variable annuity owners who have Policy values allocated
to any of the Portfolios have indirect rights to the Membership Interests.
On December 11, 2006, the Board of Trustees approved the liquidation of the
Sector Portfolios, including First Trust Energy Portfolio, First Trust Financial
Services Portfolio, First Trust Pharmaceutical Portfolio and First Trust
Technology Portfolio. It is anticipated that the liquidation of the Sector
Portfolios will occur on or about March 16, 2007. American Skandia variable
annuity owners who have policy values allocated to any of the Sector Portfolios
will receive a notice of the liquidation including reallocation instructions
from American Skandia.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America 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:
Each Portfolio determines the net asset value ("NAV") of its Interests daily, as
of the close of regular session trading on the New York Stock Exchange ("NYSE"),
normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The
NAV is computed by dividing the value of all assets of a Portfolio (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of Interests
outstanding.
Each Portfolio's investments are valued at market value or, in the absence of
market value with respect to any portfolio securities, at fair value according
to procedures adopted by the Board of Trustees of the Registrant. Portfolio
securities listed on any exchange other than the NASDAQ National Market
("NASDAQ") are valued at the last sale price on the business day as of which
such value is being determined. If there has been no sale on such day, the
securities are valued at the mean of the most recent bid and asked prices on
such day. Securities traded on the NASDAQ are valued at the NASDAQ Official
Closing Price as determined by NASDAQ. Portfolio securities traded on more than
one securities exchange are valued at the last sale price on the business day as
of which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio securities
traded in the over-the-counter market, but excluding securities trading on the
NASDAQ, are valued at the closing bid prices. Short-term investments that mature
in less than 60 days are valued at amortized cost.
Foreign securities traded outside the United States are generally valued as of
the time their trading is complete, which is usually different from the close of
the NYSE. Occasionally, events affecting the value of such securities may occur
between such times and the close of the NYSE that will not always be reflected
in such securities' value. If events materially affecting the value of such
securities occur during such period, these securities will be valued at their
fair value according to procedures adopted by the Registrant's Board of
Trustees. All securities and other assets of a Portfolio denominated in foreign
currencies will be converted to U.S. dollars using exchange rates in effect at
the time of valuation.
Page 70
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on the accrual basis.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. Each Portfolio maintains liquid assets
with a current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments.
C. FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses which result from changes in foreign currency exchange rates have been
included in the "Net change in unrealized appreciation/(depreciation) on foreign
currency translation of other assets and liabilities and foreign currencies" on
the Statements of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received. The portion of foreign
currency gains and losses related to fluctuation in exchange rates between the
initial purchase trade date and subsequent sale trade date is included in the
"Realized gain/(loss) on foreign currency transactions" on the Statements of
Operations. Unrealized depreciation of $297 from dividends receivable in foreign
currencies are included in "Dividends receivable" on the Statement of Assets and
Liabilities for the Global Dividend Target 15 Portfolio.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income and net realized long-term and short-term
capital gains of all Portfolios may be paid with such frequency (monthly or
otherwise) as the Board of Trustees may determine from time to time. Currently
all dividends paid by a Portfolio will be reinvested by the Portfolio.
E. INCOME TAXES:
The Registrant is a limited liability company with all of its Interests owned by
a single entity (Account B). Accordingly, the Registrant is treated as part of
the operations of American Skandia and is not taxed separately. The Registrant
intends to continue to comply with the provisions of Section 817(h) of the
Internal Revenue Code, which impose certain diversification requirements upon
variable contracts that are based on segregated asset accounts. Under current
tax law, interest, dividend income, and capital gains of the Registrant are not
currently taxable when left to accumulate within a variable annuity contract. As
such, no federal or state income tax provision is required.
F. EXPENSES:
Expenses that are directly related to one of the Portfolios are charged directly
to that Portfolio. General expenses of the Registrant with the exception of
audit and printing fees, which are allocated evenly among the Portfolios, are
allocated to all the Portfolios based upon the average net assets of each
Portfolio.
The Trust has entered into an Administrative Services Agreement (the
"Agreement") with American Skandia whereby American Skandia provides certain
administrative and other services reasonably necessary for the operations of the
Portfolios other than the management services provided by First Trust Advisors
L.P. ("First Trust") pursuant to the Investment Advisory and Management
Agreement.
As compensation for the services rendered under the Agreement, American Skandia
is paid fees at an annual rate of 0.300% and 0.325% of average daily net assets
from the Strategy Portfolios and Sector Portfolios, respectively. These fees are
included in "Membership Interest servicing fees" in the Statements of
Operations.
G. NEW ACCOUNTING PRONOUNCEMENTS:
In September 2006, Statement of Financial Accounting Standards No. 157 Fair
Value Measurements ("SFAS 157") was issued by the FASB and is effective for
fiscal years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 could have on the Fund's financial statement disclosures.
Page 71
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS
First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to the Portfolios pursuant to an Investment
Advisory and Management Agreement. First Trust provides each Portfolio with
discretionary investment services and certain administrative services necessary
for the management of the Portfolios. For its investment advisory and management
services, First Trust is entitled to a monthly fee calculated at an annual rate
of 0.60% of each Portfolio's average daily net assets.
For the period September 30, 2004 through December 31, 2007, First Trust has
contractually agreed to waive fees and reimburse expenses of the Portfolios to
limit the total annual fund operating expenses (excluding brokerage expense and
extraordinary expenses) to 1.37% for the First Trust 10 Uncommon Values
Portfolio and 1.47% for each of the other Portfolios' average daily net assets.
First Trust has entered into an agreement with the Registrant that allows First
Trust to recover from the Portfolios any fees waived or expenses reimbursed
during the three year period of January 1, 2005 through December 31, 2007.
However, First Trust's ability to recover such amounts is limited to the extent
that it would not exceed the amount waived or reimbursed during such period. To
the extent that the actual expense ratio of a particular Portfolio is less than
such Portfolio's applicable expense cap, First Trust may recover a portion of
the previously waived or reimbursed amount equal to the amount that the expense
cap exceeds the actual expense ratio. These amounts are included in "Expenses
previously waived or reimbursed" on the Statements of Operations. The fees
recovered, fees waived and expenses reimbursed by First Trust for the twelve
months ended December 31, 2006, are as follows:
FEES RECOVERED FEES WAIVED EXPENSES REIMBURSED
-------------- ----------- -------------------
Target Managed VIP Portfolio................... $22,423 $ -- $ --
The DowSM Dart 10 Portfolio.................... 2,426 -- --
The DowSM Target Dividend Portfolio............ 12,332 -- --
Global Dividend Target 15 Portfolio............ 41,021 -- --
S&P(R) Target 24 Portfolio..................... -- 14,063 --
NASDAQ(R) Target 15 Portfolio ................. -- 24,970 --
First Trust 10 Uncommon Values Portfolio....... -- 26,395 --
Value Line(R) Target 25 Portfolio.............. 7,793 -- --
First Trust Energy Portfolio................... -- 11,703 --
First Trust Financial Services Portfolio....... -- 16,130 --
First Trust Pharmaceutical Portfolio........... -- 16,826 --
First Trust Technology Portfolio............... -- 8,204 17,119
PFPC Inc. ("PFPC") serves as the Registrant's administrator. In addition, PFPC
also provides certain fund accounting, administration and transfer agency
services in accordance with certain fee arrangements.
PFPC Trust Company serves as the custodian to the Funds.
The Registrant pays each Trustee who is not an officer or employee of First
Trust or any of its affiliates (the "Independent Trustees") an annual retainer
of $10,000 which includes compensation for all board and committee meetings.
Trustees are also reimbursed for travel and out-of-pocket expenses in connection
with all meetings.
4. DISTRIBUTION PLAN
The Registrant, on behalf of each Fund, has adopted a 12b-1 Service Plan (the
"Plan") pursuant to Rule 12b-1 under the 1940 Act, which provides that Interests
of each of the Funds will be subject to an annual service fee.
First Trust Portfolios L.P. ("FTP") serves as the selling agent and distributor
of Interests of the Portfolios. In this capacity, FTP manages the offering of
the Portfolios' Interests and is responsible for all sales and promotional
activities. The Plan reimburses FTP for its costs in connection with these
activities. FTP also uses the service fee to compensate American Skandia for
providing account services to policy owners. These services include establishing
and maintaining policy owner accounts, answering inquiries, and providing
personal services to policy owners. Each Portfolio may spend up to 0.25% per
year of the average daily net assets of its Interests as a service fee under the
Plan. In addition, the Plan permits First Trust to use a portion of its advisory
fee to compensate FTP for expenses incurred in connection with the
Page 72
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
sales and distribution of a Portfolio's Interest including, without limitation,
expenses of preparing, printing and distributing prospectuses to persons other
than Interest holders or policy owners, as well as compensating its sales force,
printing and distributing advertising and sales literature and reports to
Interest holders and policy owners used in connection with the sale of a
Portfolio's Interests, certain other expenses associated with the distribution
of the Portfolios, and any distribution-related expenses that may be authorized
by the Board of Trustees.
Payments under the Plan were suspended on May 1, 2003 for all the Portfolios
with the exception of the First Trust 10 Uncommon Values Portfolio. On May 1,
2004, payments were reinstated for all Portfolios with the exception of the
Sector Portfolios. During the year ended December 31, 2006, all service fees
received by FTP were paid to American Skandia, with no portion of such fees
retained by FTP. The Plan may be renewed from year to year if approved by a vote
of the Board of Trustees and a vote of the non-interested Trustees, who have no
direct or indirect financial interest in the Plan, cast in person at a meeting
called for the purpose of voting on the Plan.
5. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding U.S.
government and short-term investments, for the twelve months ended December 31,
2006, were as follows:
PURCHASES SALES
--------- -----
Target Managed VIP Portfolio...................................... $175,005,623 $176,396,462
The DowSM DART 10 Portfolio ...................................... 26,927,779 15,036,992
The DowSM Target Dividend Portfolio .............................. 96,362,729 63,531,062
Global Dividend Target 15 Portfolio .............................. 91,914,794 22,269,881
S&P(R) Target 24 Portfolio ....................................... 17,288,946 19,703,437
NASDAQ(R) Target 15 Portfolio .................................... 6,434,787 6,280,263
First Trust 10 Uncommon Values Portfolio ......................... 5,572,874 6,970,811
Value Line(R) Target 25 Portfolio ................................ 60,714,837 69,579,930
First Trust Energy Portfolio ..................................... 1,921,987 2,744,262
First Trust Financial Services Portfolio ......................... 1,008,826 1,646,692
First Trust Pharmaceutical Portfolio ............................. 1,292,030 1,722,527
First Trust Technology Portfolio ................................. 722,385 1,035,174
6. MEMBERSHIP INTERESTS
The Registrant has authorized an unlimited number of Membership Interests
without par value of one or more series.
7. CONCENTRATION OF RISK
The Portfolios may invest in foreign securities. Investing in securities of
foreign companies and foreign governments involves special risks and
considerations not typically associated with investing in the securities of U.S.
companies and the U.S. government. These risks include re-valuation of
currencies and future adverse political and economic developments. These risks
are heightened for investments in emerging market countries. Moreover,
securities of many foreign companies and foreign governments and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. companies and the U.S. government.
Each Portfolio may invest up to 15% of its net assets in illiquid securities,
including securities that are not readily marketable, securities that are
restricted as to disposition under Federal securities law or otherwise,
repurchase agreements maturing in more than seven days, certain options traded
in the over-the-counter market and the securities to which such options relate.
In purchasing securities, which cannot be sold by a Portfolio without
registration under the Securities Act of 1933, as amended, a Portfolio will
endeavor to obtain the right to registration at the expense of the issuer. There
generally will be a lapse of time between the decision by a Portfolio to sell
any such security and the registration of the security permitting the sale.
During any such period, the security will be subject to market fluctuations.
Each Portfolio is classified as "non-diversified" and is limited as to the
percentage of its assets which may be invested in securities of any one issuer
only by its own investment restrictions and diversification requirements. A
Portfolio may therefore invest a relatively high percentage of its assets in a
limited number of issuers. This does expose each Portfolio to greater market
fluctuations than is experienced by a diversified fund. Each Portfolio is more
susceptible to any single economic, political or regulatory occurrence and to
the financial conditions of the issuer in which it invests.
Page 73
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
8. SUBSEQUENT EVENT
The Board of Trustees of the Fund adopted a compensation policy pursuant to
which, effective January 1, 2007, the Independent Trustees are paid an annual
retainer of $10,000 for each investment company of the First Trust fund complex
up to a total of 14 investment companies (the "Trustees Compensation I") and an
annual retainer of $7,500 for each subsequent investment company added to the
First Trust Fund Complex (the "Trustees Compensation II" and together with
Trustees Compensation I, the "Aggregate Trustee Compensation"). The Aggregate
Trustee Compensation is divided equally among each of the investment companies
in the First Trust Fund Complex. No additional meeting fees are paid in
connection with board or committee meetings. Trustees are also reimbursed for
travel and out-of-pocket expenses in connection with all meetings.
Additionally, Mr. Kadlec is paid annual compensation of $10,000 to serve as the
Lead Trustee and Niel B. Nielson is paid annual compensation of $5,000 to serve
as the chairman of the Audit Committee of each of the investment companies in
the First Trust Fund Complex. Such additional compensation to Messrs. Kadlec and
Nielson is paid by the investment companies in the First Trust Fund Complex and
the fees are divided equally among those investment companies.
Page 74
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
TO THE INTEREST HOLDERS AND BOARD OF TRUSTEES OF FIRST DEFINED PORTFOLIO FUND,
LLC:
We have audited the accompanying statements of assets and liabilities of the
First Defined Portfolio Fund, LLC (the "Funds", comprising, respectively, Target
Managed VIP Portfolio, The DowSM DART 10 Portfolio, The DowSM Target Dividend
Portfolio, Global Dividend Target 15 Portfolio, S&P(R) Target 24 Portfolio,
NASDAQ(R) Target 15 Portfolio, First Trust 10 Uncommon Values Portfolio, Value
Line(R) Target 25 Portfolio, First Trust Energy Portfolio, First Trust Financial
Services Portfolio, First Trust Pharmaceutical Portfolio, and First Trust
Technology Portfolio), including the portfolios of investments, as of December
31, 2006, and the related statements of operations for the year then ended, the
statements of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal controls over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Funds' internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2006, by correspondence with the custodian.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting First Defined Portfolio Fund, LLC as
of December 31, 2006, the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the periods indicated therein,
in conformity with U.S. generally accepted accounting principles.
[GRAPHIC OMITTED]
ERNST & YOUNG LLP
Boston, Massachusetts
February 15, 2007
Page 75
- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Registrant uses to
determine how to vote proxies and information on how each Fund voted proxies
relating to portfolio securities during the most recent 12-month period ended
June 30 is available (1) without charge, upon request, by calling (800)
988-5891; (2) on the Registrant's website located at
http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's
website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Registrant files its complete schedule of portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Registrant's Forms N-Q are available (1) by
calling (800) 988-5891; (2) on the Registrant's website located at
http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling 1-800-SEC-0330.
Page 76
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
Information pertaining to the Trustees and Officers* of the Registrant is set
forth below. The Statement of Additional Information includes additional
information about the Trustees and is available without charge, upon request, by
calling (800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS TRUSTEESHIPS/
NAME, D.O.B., ADDRESS AND TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS
POSITION(S) WITH THE REGISTRANT LENGTH OF TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee o Indefinite term Physician; President, 34 portfolios None
D.O.B. 04/51 o 7 years served Wheaton Orthopedics;
c/o First Trust Advisors L.P. Co-owner and Co-
1001 Warrenville Road Director, Sports Med
Suite 300 Center for Fitness;
Lisle, IL 60532 Limited Partner,
Gundersen Real Estate
Partnership
Thomas R. Kadlec, Trustee o Indefinite term Vice President and Chief 34 portfolios None
D.O.B. 11/57 o 2 years, 9 months Financial Officer (1990
c/o First Trust Advisors L.P. served to present), ADM
1001 Warrenville Road Investor Services, Inc.
Suite 300 (Futures Commission
Lisle, IL 60532 Merchant); Registered
Representative (2000 to
present), Segerdahl &
Company, Inc., an
NASD member (Broker-
Dealer); President,
ADM Derivatives, Inc.
(May 2005 to present)
Niel B. Nielson, Trustee o Indefinite term President, Covenant 34 portfolios Director of Good
D.O.B. 03/54 o 7 years served College (June 2002 to News Publishers-
c/o First Trust Advisors L.P. present); Pastor, College Crossway Books;
1001 Warrenville Road Church in Wheaton Covenant Transport,
Suite 300 (1997 to June 2002) Inc.
Lisle, IL 60532
INTERESTED TRUSTEE
James A. Bowen, Trustee o Indefinite Trustee President, First Trust 34 portfolios Trustee of Wheaton
President, Chairman of the term and indefinite Advisors L.P. and First College
Board and CEO officer term Trust Portfolios L.P.;
D.O.B. 09/55 o 7 years served Chairman of the Board,
1001 Warrenville Road BondWave LLC and
Suite 300 Stonebridge Advisors
Lisle, IL 60532 LLC
Page 77
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
NUMBER OF OTHER
PORTFOLIOS TRUSTEESHIPS/
NAME, D.O.B., ADDRESS AND TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS
POSITION(S) WITH THE REGISTRANT LENGTH OF TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
OFFICERS WHO ARE NOT TRUSTEES
Mark R. Bradley, Treasurer, o Indefinite term Chief Financial Officer, N/A N/A
Controller, Chief Financial o 7 years served Managing Director,
Officer, Chief Accounting First Trust Advisors L.P.
Officer and First Trust
D.O.B. 11/57 Portfolios L.P.; Chief
1001 Warrenville Road Financial Officer,
Suite 300 BondWave LLC and
Lisle, IL 60532 Stonebridge Advisors
LLC
Susan M. Brix o Indefinite term Representative, First N/A N/A
Assistant Vice President o 7 years served Trust Portfolios L.P.;
D.O.B. 01/60 Assistant Portfolio
1001 Warrenville Road Manager, First Trust
Suite 300 Advisors L.P.
Lisle, IL 60532
Kelley Christensen o Indefinite term Assistant Vice President N/A N/A
Vice President o Since December of First Trust Portfolios
D.O.B. 09/70 10, 2006 L.P. and First Trust
1001 Warrenville Road Advisors L.P.
Suite 300
Lisle, IL 60532
James M. Dykas o Indefinite term Vice President, First N/A N/A
Assistant Treasurer o 1 year, 1 month Trust Advisors L.P. and
D.O.B. 01/66 served First Trust Portfolios
1001 Warrenville Road L.P. (January 2005 to
Suite 300 present); Executive
Lisle, IL 60532 Director, Van Kampen
Asset Management and
Morgan Stanley
Investment Management
(1999-2005)
W. Scott Jardine, Secretary o Indefinite term General Counsel, N/A N/A
and Chief Compliance o 7 years served First Trust Advisors L.P.
Officer and First Trust
D.O.B. 05/60 Portfolios L.P.;
1001 Warrenville Road Secretary, BondWave
Suite 300 LLC and Stonebridge
Lisle, IL 60532 Advisors LLC
Page 78
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
DECEMBER 31, 2006
NUMBER OF OTHER
PORTFOLIOS TRUSTEESHIPS/
NAME, D.O.B., ADDRESS AND TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS
POSITION(S) WITH THE REGISTRANT LENGTH OF TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
OFFICERS WHO ARE NOT TRUSTEES - (CONTINUED)
Daniel J. Lindquist o Indefinite term Senior Vice President, N/A N/A
Vice President o 1 year, 1 month First Trust Advisors L.P.;
D.O.B. 02/70 served Vice President, First
1001 Warrenville Road Trust Portfolios L.P.
Suite 300 (April 2004 to present);
Lisle, IL 60532 Chief Operating Officer,
Mina Capital
Management, LLC
(January 2004-April
2004); Chief Operating
Officer, Samaritan Asset
Management Services,
Inc. (April 2000-January
2004)
Kristi A. Maher o Indefinite term Assistant General N/A N/A
Assistant Secretary o 2 years, 6 months Counsel, First Trust
D.O.B. 12/66 served Advisors L.P. and First
1001 Warrenville Road Trust Portfolios L.P.
Suite 300 (March 2004 to
Lisle, IL 60532 present); Associate,
Chapman and Cutler
LLP (1995-2004)
Roger F. Testin o Indefinite term Senior Vice President, N/A N/A
Vice President o 5 years served First Trust Advisors L.P.
D.O.B. 06/66 and First Trust Portfolios
1001 Warrenville Road L.P. (August 2001 to
Suite 300 present); Analyst, Dolan
Lisle, IL 60532 Capital Management
(1998-2001)
<FN>
- ---------------
* The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
</FN>
Page 79
Page This Page Left Blank Intentionally.
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, and that relates to any element of
the code of ethics definition enumerated in paragraph (b) of this
item's instructions.
(d) The registrant has not, during the period covered by this report,
granted any waivers, including an implicit waiver, from a provision of
the code of ethics that applies to the registrant's principal executive
officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the registrant or a third
party, that relates to one or more of the items set forth in paragraph
(b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the Registrant's board of
trustees has determined that Thomas R. Kadlec is qualified to serve as an audit
committee financial expert serving on its audit committee and that Mr. Kadlec is
"independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES -- The aggregate fees billed for each of the last two
fiscal years for professional services rendered by the principal accountant for
the audit of the Registrant's annual financial statements or services that are
normally provided by the accountant in connection with statutory and regulatory
filings or engagements were $45,015 for 2005 and $150,000 for 2006.
(b) AUDIT-RELATED FEES -- The aggregate fees billed in each of the last
two fiscal years, for assurance and related services by the principal accountant
that are reasonably related to the performance
of the audit of the Registrant's financial statements and are not reported under
paragraph (a) of this Item were $0 for 2005 and $0 for 2006.
(c) TAX FEES (REGISTRANT) -- The aggregate fees billed in each of the
last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning to the Registrant
were $0 for 2005 and $0 for 2006.
(d) ALL OTHER FEES (REGISTRANT) -- The aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the Registrant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 for 2005 and $0 for 2006.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services
Pre-Approval Policy both amended as of December 10, 2006, the Audit Committee
(the "COMMITTEE") is responsible for the pre-approval of all audit services and
permitted non-audit services (including the fees and terms thereof) to be
performed for the Registrant by its independent auditors. The Chairman of the
Committee authorized to give such pre-approvals on behalf of the Committee up to
$25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the
independent auditor's engagements for non-audit services with the Registrant's
adviser (not including a sub-adviser whose role is primarily portfolio
management and is sub-contracted or overseen by another investment adviser) and
any entity controlling, controlled by or under common control with the
investment adviser that provides ongoing services to the Registrant, if the
engagement relates directly to the operations and financial reporting of the
Registrant, subject to the DE MINIMIS exceptions for non-audit services
described in Rule 2-01 of Regulation S-X. If the independent auditor has
provided non-audit services to the Registrant's adviser (other than any
sub-adviser whose role is primarily portfolio management and is sub-contracted
with or overseen by another investment adviser) and any entity controlling,
controlled by or under common control with the investment adviser that provides
ongoing services to the Registrant that were not pre-approved pursuant to its
policies, the Committee will consider whether the provision of such non-audit
services is compatible with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) Not Applicable
(c) Not Applicable
(d) Not Applicable
The percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
(b) Not Applicable
(c) Not Applicable
(d) Not Applicable
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the Registrant for 2005 were $0 for the Registrant and $0 for the
Registrant's investment adviser and for 2006 were $0 for the Registrant
and $0 for the Registrant's investment adviser.
(h) Not Applicable. The registrant's independent auditors do not currently
provide non-audit services to the registrant's investment adviser or
any of entity controlling, controlled by, or under common control with
the adviser that provide ongoing services to the registrant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's second fiscal
quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) FIRST DEFINED PORTFOLIO FUND, LLC
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
` Chief Executive Officer
(principal executive officer)
Date FEBRUARY 22, 2007
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date FEBRUARY 22, 2007
----------------------------------------------------------------------------
By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date FEBRUARY 22, 2007
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.