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)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2012
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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.
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED JUNE 30, 2012
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TABLE OF CONTENTS
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012
Shareholder Letter........................................................... 1
Market Overview.............................................................. 2
Performance Summaries and Portfolio Components............................... 4
Understanding Your Fund Expenses............................................. 20
Portfolio of Investments..................................................... 21
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Statements of Changes in Net Assets - Membership Interest Activity........... 50
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 60
Additional Information....................................................... 66
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and 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
First Defined Portfolio Fund, LLC (the "Registrant") to be materially different
from any future results, performance or achievements expressed or implied by the
forward-looking statements. When evaluating the information included in this
report, you are cautioned not to place undue reliance on these forward-looking
statements, which reflect the judgment of the Advisor and its respective
representatives only as of the date hereof. We undertake no obligation to
publicly revise or update these forward-looking statements to reflect events and
circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Portfolio (individually called a "Portfolio" and
collectively, the "Portfolios") of the Registrant will achieve its investment
objective. Each Portfolio is subject to market risk, which is the possibility
that the market values of securities owned by the Portfolio will decline and
that the value of the Portfolio shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in the Portfolios. See
"Risk Considerations" in the Notes to Financial Statements for a discussion of
certain other risks of investing in the Portfolios.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
http://www.ftportfolios.com or speak with your financial advisor. Investment
returns and net asset value will fluctuate and Membership Interests, when sold,
may be worth more or less than their original cost.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Portfolio and presents data and analysis that
provide insight into each Portfolio's performance and investment approach.
By reading the market overview and discussion of each Portfolio's performance by
First Trust, the Registrant'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 personnel of
First Trust are just that: informed opinions. They should not be considered to
be promises or advice. The opinions, like the statistics, cover the period
through the date on the cover of this report. The risks of investing in the
Portfolios are spelled out in the prospectus, the statement of additional
information, this report and other regulatory filings.
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SHAREHOLDER LETTER
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JUNE 30, 2012
Dear Shareholders:
I am pleased to present you with the semi-annual report for your investment in
First Defined Portfolio Fund, LLC.
The report you hold contains detailed information about the eight portfolios in
the First Defined Portfolio Fund, LLC over the six months ended June 30, 2012.
It contains a market overview and a performance analysis for each Portfolio for
the period. I encourage you to read this document and discuss it with your
financial advisor. A successful investor is also typically a knowledgeable one,
as we have found to be the case at First Trust.
First Trust remains committed to being a long-term investor and investment
manager and to bringing you quality financial solutions regardless of market ups
and downs. We have always believed, as I have written previously, that there are
two ways to attain success in reaching your financial goals: staying invested in
quality products and having a long-term investment horizon. We are committed to
this approach in the products we manage or supervise and offer to investors.
As you know, First Trust offers a variety of products that we believe could fit
many financial plans to help investors seeking long-term investment success. We
encourage you to talk to your advisor about the other investments First Trust
offers that might also fit your financial goals and to discuss those goals with
your advisor regularly so that he or she can help keep you on track.
First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals. I look forward to
the remainder of 2012 and to the next edition of your Fund's report.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees of First Defined Portfolio Fund, LLC and Chief
Executive Officer of First Trust Advisors L.P.
Page 1
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 22 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, CNBC and WBBM Radio 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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STATE OF THE ECONOMY/INVESTING
U.S. and global economic activity decelerated from Q1'12 to Q2'12. While the GDP
growth rate in the U.S. was a modest 2.0% (annualized) in Q1'12 (average was
2.6% over past 20 years), the outlook for job creation was encouraging as
nonfarm payrolls grew by an average of 225,667 jobs per month. It appears,
however, that the intentional tempering of growth in China and the recessionary
climate in parts of Europe, stemming from the sovereign debt crisis
predominantly in Greece, Spain and Italy, provided a drag on growth in Q2'12.
GDP growth in the U.S. in Q2'12 fell to 1.5% (annualized) and growth in nonfarm
payrolls declined to just 75,000 per month. We believe, and have written about
this on a number of occasions over the past year, that policymakers in the U.S.
and in the European Union have held the markets and economic activity hostage by
playing politics with their respective burgeoning debt problems. In other words,
policymakers have been too slow to act, in our opinion. With this being an
election year in the U.S., investors may not get the guidance they are seeking
until after the first week of November. That being said, we do believe that the
debt problems, at least for the near-term, can be remedied.
The Blue Chip Economic Indicators survey in June revealed a 2012 U.S. Gross
Domestic Product (GDP) forecast of 2.1%. Economists see GDP growth accelerating
to 2.6% in 2013. Brian Wesbury, Chief Economist at First Trust Advisors, has a
more bullish target of 2.5% for 2012 and 3.2% for 2013. The International
Monetary Fund (IMF) continues to forecast better economic times for emerging
nations than developed nations. In July, the IMF estimated that the GDP growth
rate for the "Emerging & Developing Economies" would be 5.6% in 2012 and 5.9% in
2013, compared to 1.4% (2012) and 1.9% (2013) for "Advanced Economies."
U.S. STOCKS AND BONDS
All of the major U.S. stock indices posted solid returns in the first half of
2012. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were up
9.49%, 7.90%, and 7.97%, respectively, according to Bloomberg. The only major
sector that did not post a gain was energy, down 2.35%, as measured by the S&P
500 Energy Index. The top-performing sector was telecommunications, up 16.51%,
as measured by the S&P 500 Telecommunications Services Index. The year-over-year
estimated earnings growth rate for the companies in the S&P 500 Index is
expected to be 6.27% in 2012, according to Standard & Poor's. S&P is forecasting
12.75% earnings growth in 2013, more than double the estimate for 2012. Equity
investors should begin to shift their focus to next year's earnings outlook now
that we have reached the midpoint of 2012.
Those investors unwilling to allocate capital to U.S. equities out of fear of
volatility should know that pronounced market swings have been a part of the
experience since at least 1928, according to Kiplinger. The S&P 500 has returned
an annualized 9.8% (including dividends), since 1926, according to Ibbotson
Associates/Morningstar. Since 1928, the S&P 500 has experienced an average
intra-year decline of 13.5% (peak to trough), according to the Leuthold Group.
The S&P 500 posted intra-year declines of 27.6% in 2009 and 16.0% in 2010, yet
the index posted a cumulative total return of 45.5% over that two-year period.
In the U.S. bond market, the top-performing major debt group in the first half
of 2012 was high yield corporate bonds. The Barclays Capital U.S. Corporate High
Yield Index posted a total return of 7.27%. The next closest domestic category
was municipal bonds, up 6.56%, as measured by the Barclays Capital Municipal
Bond: Long Bond (22+) Index. The Barclays Capital U.S. Treasury: Intermediate
Index posted the weakest return, up 1.08%.
Page 2
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MARKET OVERVIEW - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
FOREIGN STOCKS AND BONDS
Riskier asset classes outperformed overseas in the first half of the year. The
Barclays Capital Global Emerging Markets Index of debt securities rose 6.82%
(USD), compared to 1.50% (USD) for the Barclays Capital Global Aggregate Index
of higher-quality debt. The MSCI Emerging Markets Index posted a total return of
3.93% (USD), compared to 2.43% (USD) for the MSCI World Index (excluding the
U.S.) The U.S. dollar provided a slight drag on returns from investments
overseas for U.S. investors by appreciating 1.8% against a basket of major
currencies, as measured by the U.S. Dollar Index (DXY).
Page 3
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
TARGET MANAGED VIP PORTFOLIO
Over the six months ended June 30, 2012, the Target Managed VIP Portfolio posted
a total return of 8.54% versus 9.31% for the Russell 3000(R) Index over the same
period. The Net Asset Value ("NAV") increased from $9.37 to $10.17 during the
period.
Of the Portfolio's 128 stocks, 78 advanced and 50 declined over the period. The
top three performing stocks, by contribution to return, were Sourcefire, Inc.
(FIRE), Monster Beverage Corp. (MNST) and Seagate Technology PLC (STX). The
worst performing stocks, by contribution to return, were Nokia Corp. (NOK),
Newpark Resources, Inc. (NR) and Apollo Group, Inc. (APOL).
This Portfolio modestly underperformed its benchmark because of poor selection
in the telecommunication services and financial sectors. The bottom three
contributing stocks from the telecommunication services sector were Telefonica
(TEF) with a -20% return, Royal KPN (KKPNY) with a -15% return and Viviendi
(VIVHY) with a -10% return. The bottom three contributing stocks from the
financial sector were World Acceptance (WRLD) with a -10% return, Banco
Santander (SAN) with a -8% return and MarketAxess Holdings (MKTX) with a -8%
return. The underperformance was somewhat mitigated by a positive selection
effect in the information technology and consumer discretionary sectors. The top
performing technology names were Sourcefire, Inc. (FIRE) which was up over 62%,
Seagate Technology PLC (STX) which was up over 52% and Apple, Inc. (AAPL) which
was up over 44%. The top performing consumer discretionary names were Monster
Beverage Corp. (MNST) which was up almost 55%, PetSmart, Inc. (PETM) which was
up almost 36% and Buffalo Wild Wings (BWLD) which was up almost 33%.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
Target Managed VIP Dow Jones Industrial Russell 3000(R)
Portfolio (a) Avg.(SM)(b) Index(c)
Dec. 01 10000 10000 10000
Dec. 02 7900 8499 7847
Dec. 03 10659 10903 10284
Dec. 04 11966 11481 11513
Dec. 05 12833 11678 12222
Dec. 06 14310 13902 14154
Dec. 07 15665 15137 14897
Dec. 08 8645 10304 9340
Dec. 09 9768 12641 11989
Dec. 10 11636 14419 14018
Dec. 11 11441 15628 14162
June 12 12418 16695 15481
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RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
Target Managed VIP Portfolio (a) 10/6/99 8.54% -1.45% -4.12% 3.19% 0.13%
Dow Jones Industrial Avg.(SM) (b) 6.83% 6.63% 2.00% 6.00% 3.95%
Russell 3000(R) Index (c) 9.31% 3.82% 0.41% 5.83% 2.84%
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(a) Effective April 30, 2002, based upon the determination of the Registrant's
Board of Trustees, the Portfolio changed its name from the Dow(R) Target 5
Portfolio to the Target Managed VIP Portfolio. The Portfolio's primary
investment strategy was also changed. The performance figures provided for
the periods prior to April 30, 2002, reflect the Portfolio's performance
prior to the name change and the change of the primary investment
strategy.
(b) The Dow Jones Industrial Average(SM) 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 index reflects no deduction for fees, expenses or
taxes).
(c) The Russell 3000(R) Index is composed of 3,000 large U.S. companies, as
determined by market capitalization. This index represents approximately
98% of the investable U.S. equity market. (Bloomberg). (The index reflects
no deduction for fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 4
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
TARGET MANAGED VIP PORTFOLIO (CONTINUED)
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
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Intel Corp. 7.9%
Apple, Inc. 5.6
Chevron Corp. 5.5
Microsoft Corp. 4.6
Walt Disney (The) Co. 4.0
Home Depot (The), Inc. 3.9
Pfizer, Inc. 3.3
Exxon Mobil Corp. 3.1
BCE, Inc. 2.4
International Business Machines Corp. 1.9
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Total 42.2%
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% OF TOTAL
SECTOR INVESTMENTS
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Information Technology 27.6%
Consumer Discretionary 18.7
Energy 11.0
Health Care 10.8
Telecommunication Services 8.5
Financials 7.5
Utilities 6.1
Industrials 4.1
Consumer Staples 4.1
Materials 1.6
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Total 100.0%
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Page 5
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
THE DOW(R) DART 10 PORTFOLIO
Over the six months ended June 30, 2012, The Dow(R) DART 10 Portfolio posted a
total return of 8.08% versus 6.83% for the Dow Jones Industrial Average(SM) over
the same period. The Net Asset Value ("NAV") increased from $10.89 to $11.77
during the period.
Of the Portfolio's 10 stocks, 9 advanced and 1 declined over the period. The top
three performing stocks, by contribution to return, were Home Depot, Inc. (HD),
Walt Disney Co. (DIS) and Wal-Mart Stores, Inc. (WMT). The worst performing
stocks, by contribution to return, were Hewlett-Packard Co. (HPQ), Exxon Mobil
Corp. (XOM) and JPMorgan Chase & Co. (JPM).
Home Depot, Inc. (HD) was up 27%, Walt Disney Co. (DIS) was up 27% and Wal-Mart
Stores, Inc. (WMT) was up 18% during the first half of this year. These three
stocks were the primary reason this Portfolio outperformed the Dow Jones
Industrial Avg.(SM) benchmark. Hewlett-Packard (HPQ) was the largest detractor
from performance. HPQ was down 21% as the company struggled to grow revenues as
they restructure the company.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
The Dow(R) DART 10 Portfolio Dow Jones Industrial Avg.(SM)(a)
Dec. 01 10000 10000
Dec. 02 8173 8499
Dec. 03 9801 10903
Dec. 04 10176 11481
Dec. 05 9848 11678
Dec. 06 12365 13902
Dec. 07 12447 15137
Dec. 08 8899 10304
Dec. 09 10140 12641
Dec. 10 11838 14419
Dec. 11 12752 15628
June 12 13782 16695
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RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
The Dow(R) DART 10 Portfolio 10/6/99 8.08% 13.17% 1.03% 3.96% 1.29%
Dow Jones Industrial Avg.(SM) (a) 6.83% 6.63% 2.00% 6.00% 3.95%
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(a) The Dow Jones Industrial Average(SM) 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 index reflects no deduction for fees, expenses or
taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 6
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
THE DOW(R) DART 10 PORTFOLIO (CONTINUED)
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
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Walt Disney (The) Co. 11.9%
Home Depot (The), Inc. 11.6
Wal-Mart Stores, Inc. 10.7
Intel Corp. 10.0
Travelers (The) Cos., Inc. 9.9
JPMorgan Chase & Co. 9.9
Pfizer, Inc. 9.8
International Business Machines Corp. 9.7
Exxon Mobil Corp. 9.3
Hewlett-Packard Co. 7.2
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Total 100.0%
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% OF TOTAL
SECTOR INVESTMENTS
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Information Technology 27.0%
Consumer Discretionary 23.5
Financials 19.7
Consumer Staples 10.7
Health Care 9.8
Energy 9.3
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Total 100.0%
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Page 7
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
THE DOW(R) TARGET DIVIDEND PORTFOLIO
Over the six months ended June 30, 2012, The Dow(R) Target Dividend Portfolio
posted a total return of 3.85% versus 6.54% for the Dow Jones U.S. Select
Dividend Index(SM) over the same period. The Net Asset Value ("NAV") increased
from $9.88 to $10.26 during the period.
Of the Portfolio's 20 stocks, 13 advanced and 7 declined over the period. The
top three performing stocks, by contribution to return, were Sempra Energy
(SRE), BB&T Corp. (BBT) and Astoria Financial Corp. (AF). The worst performing
stocks, by contribution to return, were R.R. Donnelley & Sons Co. (RRD), First
Niagara Financial Group, Inc. (FNFG) and People's United Financial, Inc. (PBCT).
This Portfolio underperformed the benchmark primarily because of the materials
sector. While materials were the best performing sector in the benchmark and the
Portfolio was overweight, poor stock selection led to a negative contribution
from the sector. The three stocks that were selected in the sector all
underperformed the benchmark sector which had nearly an 18% return. The three
stocks were Commercial Metals (CMC) which had a -8% return, Olin Corp. (OLN)
which had a 6% return and MeadWestvaco (MWV) which was up 9%. The utility sector
did help to mitigate some of the underperformance with a positive selection
effect, however it was not enough to lift the portfolio total return above the
benchmark.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
May 2, 2005 - June 30, 2012
The Dow Target Dow Jones U.S. Select S&P 500(R)
Dividend Portfolio Dividend Index(SM)(a) Index (b)
May 05 10000 10000 10000
Dec. 05 9870 10529 10879
Dec. 06 11660 12587 12598
Dec. 07 11790 11938 13290
Dec. 08 7010 8240 8373
Dec. 09 8000 9157 10589
Dec. 10 9321 10835 12184
Dec. 11 9881 12180 12441
June 12 10262 12977 13622
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RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
The Dow(R) Target Dividend Portfolio 5/2/05 3.85% 3.64% -3.29% 0.36%
Dow Jones U.S. Select Dividend Index(SM) (a) 6.54% 10.50% -0.21% 3.70%
S&P 500(R) Index (b) 9.49% 5.45% 0.22% 4.42%
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(a) The Dow Jones U.S. Select Dividend Index(SM) is comprised of 100 of the
highest dividend-yielding securities (excluding REITs) in the Dow Jones
U.S. Index. (The index reflects no deduction for fees, expenses or taxes).
(b) The S&P 500(R) 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). (The index reflects no deduction for
fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 8
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
THE DOW(R) TARGET DIVIDEND PORTFOLIO (CONTINUED)
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
Sempra Energy 6.1%
BB&T Corp. 6.0
Astoria Financial Corp. 5.6
Northrop Grumman Corp. 5.3
FirstMerit Corp. 5.3
DTE Energy Co. 5.3
Pfizer, Inc. 5.2
Olin Corp. 5.2
Integrys Energy Group, Inc. 5.1
Avista Corp. 5.0
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Total 54.1%
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% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Utilities 30.8%
Financials 30.2
Industrials 14.6
Materials 14.4
Health Care 5.2
Energy 4.8
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Total 100.0%
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Page 9
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PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
Over the six months ended June 30, 2012, the Global Dividend Target 15 Portfolio
posted a total return of 12.23% versus 5.91% for the Morgan Stanley Capital
International Developed Markets World Index over the same period. The Net Asset
Value ("NAV") increased from $19.63 to $22.03 during the period.
Of the Portfolio's 15 stocks, 13 advanced and 2 declined over the period. The
top three performing stocks, by contribution to return, were Logica PLC (LOG
LN), New World Development, Co. LTD (17 HK) and AT&T, Inc. (T). The worst
performing stocks, by contribution to return, were Man Group PLC (EMG LN),
Industrial & Commercial Bank of China Ltd. (1398 HK), and Kraft Foods, Inc.
(KFT).
This Portfolio outperformed the benchmark because Logica (LOG LN) was up over
55%, New World Development (17 HK) was up over 37%, AT&T, Inc. (T) was up over
21% and Ladbrokes PLC (LAD LN) was up over 20%. However, some of the
outperformance was mitigated by two international financial companies; Man Group
PLC (EMG LN) had a -36% return and Industrial & Commercial Bank (1398 HK) had a
-2% return. The five Hong Kong companies led the way with an average 13% return,
while the five U.K. companies had an average return of 11%.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
Global Dividend Target 15 MSCI Developed Markets
Portfolio (a) World Index (b)
Dec. 01 10000 10000
Dec. 02 8530 8011
Dec. 03 11439 10664
Dec. 04 14348 12233
Dec. 05 15807 13394
Dec. 06 21884 16082
Dec. 07 24803 17535
Dec. 08 14193 10396
Dec. 09 20022 13513
Dec. 10 21968 15103
Dec. 11 20322 14266
June 12 22808 15109
------------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
Global Dividend Target 15 Portfolio (a) 10/6/99 12.23% 1.24% -2.02% 8.59% 6.40%
MSCI Developed Markets World Index (b) 5.91% -4.98% -2.95% 5.17% 1.74%
------------------------------------------------------------------------------------------------------------------------------------
(a) Effective May 2, 2005, based upon the determination of the Registrant's
Board of Trustees, the Portfolio changed its name from the Global Target
15 Portfolio to the Global Dividend Target 15 Portfolio.
(b) 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). (The index
reflects no deduction for fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.-
Page 10
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
GLOBAL DIVIDEND TARGET 15 PORTFOLIO (CONTINUED)
----------------------------------------------
% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
Logica PLC 10.5%
New World Development Co., Ltd. 8.6
Ladbrokes PLC 7.4
COSCO Pacific Ltd. 7.1
AT&T, Inc. 7.0
General Electric Co. 6.9
Intel Corp. 6.4
Pfizer, Inc. 6.3
Bank of China Ltd. 6.2
RSA Insurance Group PLC 6.2
----------------------------------------------
Total 72.6%
=====
----------------------------------------------
% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Financials 30.2%
Information Technology 16.9
Industrials 13.9
Telecommunication Services 13.1
Consumer Discretionary 7.4
Health Care 6.3
Energy 6.1
Consumer Staples 6.1
----------------------------------------------
Total 100.0%
======
Page 11
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
S&P(R) TARGET 24 PORTFOLIO
Over the six months ended June 30, 2012, the S&P(R) Target 24 Portfolio posted a
total return of 8.28% versus 9.49% for the S&P 500(R) Index over the same
period. The Net Asset Value ("NAV") increased from $10.27 to $11.12 during the
period.
Of the Portfolio's 24 stocks, 19 advanced and 5 declined over the period. The
top three performing stocks, by contribution to return, were Dollar Tree, Inc.
(DLTR), Amgen, Inc. (AMGN) and Gilead Sciences, Inc. (GILD). The worst
performing stocks, by contribution to return, were Apollo Group, Inc., Class A
(APOL), Chevron Corp. (CVX) and Halliburton Co. (HAL).
The Portfolio underperformed the benchmark primarily due to a poor selection
effect in the financials, information technology and consumer discretionary
sectors. The health care sector had the best overall contribution to the
performance with financials having the worst overall contribution to the
portfolio.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
S&P(R) Target 24 Portfolio (a) S&P 500(R) Index (b)
Dec. 01 10000 10000
Dec. 02 8540 7790
Dec. 03 10598 10024
Dec. 04 12045 11115
Dec. 05 12545 11661
Dec. 06 12907 13503
Dec. 07 13449 14245
Dec. 08 9694 8974
Dec. 09 11030 11350
Dec. 10 13158 13060
Dec. 11 14284 13335
June 12 15467 14601
--------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
S&P(R) Target 24 Portfolio (a) 10/6/99 8.28% 4.12% 3.22% 4.74% 0.84%
S&P 500(R) Index (b) 9.49% 5.45% 0.22% 5.32% 2.08%
--------------------------------------------------------------------------------------------------------------------------
(a) Effective April 30, 2002, based upon the determination of the Registrant's
Board of Trustees, the Portfolio changed its name from the S&P(R) Target
10 Portfolio to the S&P(R) Target 24 Portfolio. The Portfolio's primary
investment strategy was also changed. The performance figures provided for
the periods prior to April 30,2002, reflect the Portfolio's performance
prior to the name change and the change of the primary investment
strategy.
(b) The S&P 500(R) 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). (The index reflects no deduction for
fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 12
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
S&P(R) TARGET 24 PORTFOLIO (CONTINUED)
----------------------------------------------
% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
International Business Machines Corp. 11.4%
Chevron Corp. 10.0
Amgen, Inc. 7.9
3M Co. 7.6
Coca Cola (The) Co. 7.1
Intel Corp. 6.7
Chubb Corp. 6.6
Philip Morris International, Inc. 6.0
Marsh & McLennan Cos., Inc. 5.6
AutoZone, Inc. 5.2
----------------------------------------------
Total 74.1%
=====
----------------------------------------------
% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Industrials 23.7%
Health Care 16.7
Energy 12.9
Financials 12.1
Consumer Staples 10.7
Utilities 9.9
Consumer Discretionary 8.8
Information Technology 5.2
----------------------------------------------
Total 100.0%
======
Page 13
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
NASDAQ(R) TARGET 15 PORTFOLIO
Over the six months ended June 30, 2012, the NASDAQ(R) Target 15 Portfolio
posted a total return of 18.64% versus 15.43% for the NASDAQ 100 Index(R) over
the same period. The Net Asset Value ("NAV") increased from $9.39 to $11.14
during the period.
Of the Portfolio's 15 stocks, 13 advanced and 2 declined over the period. The
top three performing stocks, by contribution to return were Monster Beverage
Corp. (MNST), Apple, Inc. (AAPL) and Ross Stores, Inc. (ROST). The worst
performing stocks, by contribution to return, were Apollo Group, Inc., Class A
(APOL), Fastenal Co. (FAST) and KLA-Tencor Corp. (KLAC).
The Portfolio outperformed the benchmark due to positive selection effect from
the information technology, consumer staple and healthcare sectors. The
information technology sector had the largest positive overall effect as the
portfolio held Apple, Inc. (AAPL) which was up 44%, Microsoft Corp. (MSFT) which
was up almost 16% and Intel Corp. (INTC) which was up over 10%. Further, the
portfolio held Monster Beverage Corp. (MST) which was up 55%, Ross Stores, Inc.
(ROST) which was up 32% and Dollar Tree, Inc. (DLTR) which was up 29%. ROST and
DLTR are discount retailers that experienced significant earnings and market
share gains due to Americans continued use of discount retailers. The Portfolio
only held two stocks that had a negative performance; Apollo Group, Inc. Class A
(APOL) was down nearly 32% and Fastenal Co. (FAST) was down just over 7%.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
NASDAQ(R) Target 15 Portfolio NASDAQ(R) 100 Index (a)
Dec. 01 10000 10000
Dec. 02 7384 6248
Dec. 03 10043 9339
Dec. 04 9773 10343
Dec. 05 10097 10539
Dec. 06 10995 11307
Dec. 07 13384 13482
Dec. 08 6573 7878
Dec. 09 7687 12181
Dec. 10 10022 14635
Dec. 11 10151 15174
June 12 12043 17515
--------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
NASDAQ(R) Target 15 Portfolio 10/6/99 18.64% 5.79% -0.11% 3.41% 0.85%
NASDAQ(R) 100 Index (a) 15.43% 13.73% 7.03% 10.13% 0.69%
--------------------------------------------------------------------------------------------------------------------------
(a) 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). (The index reflects no
deduction for fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 14
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
NASDAQ(R) TARGET 15 PORTFOLIO (CONTINUED)
----------------------------------------------
% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
Apple, Inc. 9.2%
Biogen Idec, Inc. 8.3
Gilead Sciences, Inc. 8.1
Intuitive Surgical, Inc. 7.6
Microsoft Corp. 7.5
Ross Stores, Inc. 7.4
Starbucks Corp. 7.3
Intel Corp. 6.9
Bed Bath & Beyond, Inc. 6.7
Dollar Tree, Inc. 6.6
----------------------------------------------
Total 75.6%
=====
----------------------------------------------
% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Consumer Discretionary 36.1%
Information Technology 27.8
Health Care 24.0
Consumer Staples 6.3
Industrials 5.8
----------------------------------------------
Total 100.0%
======
Page 15
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
Over the six months ended June 30, 2012, the First Trust Target Focus Four
Portfolio posted a total return of 4.99% versus 9.49% for the S&P 500(R) Index
over the same period. The Net Asset Value ("NAV") increased from $4.41 to $4.63
during the period.
Of the Portfolio's 129 stocks, 66 advanced and 63 declined over the period. The
top three performing stocks, by contribution to return, were AOL, Inc. (AOL),
Seagate Technology PLC (STX) and Community Health Systems, Inc. (CYH). The worst
performing stocks, by contribution to return, were R.R. Donnelley & Sons Co.
(RRD), Humana, Inc. (HUM) and Chevron Corp. (CVX).
The Portfolio underperformed the benchmark primarily because the
telecommunication services, financial and industrial sectors all had significant
negative selection effects. The bottom three contributing stocks from these
sectors were VimpelCom Ltd. (VIP), a Russian cell phone service provider which
had a -17% return; R.R. Donnelly & Sons (RRD), an industrial printing company
which had a -15% return; and First Niagara Financial Group (FNFG), a New York
based bank which had a -10% return. The Portfolio did have a positive selection
effect from the energy, information technology and utility sectors but they were
not enough to eliminate the underperformance relative to the benchmark.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
First Trust Target Focus Four Portfolio (a) S&P 500(R) Index (b)
Dec. 01 10000 10000
Dec. 02 6315 7790
Dec. 03 8648 10024
Dec. 04 9630 11115
Dec. 05 9685 11661
Dec. 06 10074 13503
Dec. 07 10648 14245
Dec. 08 5981 8974
Dec. 09 7704 11350
Dec. 10 9166 13060
Dec. 11 8166 13335
June 12 8574 14601
------------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
First Trust Target Focus Four Portfolio (a) 10/6/99 4.99% -8.68% -4.99% 0.29% -5.87%
S&P 500(R) Index (b) 9.49% 5.45% 0.22% 5.32% 2.08%
------------------------------------------------------------------------------------------------------------------------------------
(a) Effective November 19, 2007, based upon the determination of the
Registrant's Board of Trustees, the Portfolio changed its name from the
First Trust 10 Uncommon Values Portfolio to the First Trust Target Focus
Four Portfolio. The Portfolio's primary investment strategy was also
changed. The performance figures provided for the periods prior to
November 19, 2007, reflect the Portfolio's performance prior to the name
change and the change of the primary investment strategy.
(b) The S&P 500(R) 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). (The index reflects no deduction for
fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 16
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO (CONTINUED)
----------------------------------------------
% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
Chevron Corp. 8.5%
BCE, Inc. 4.3
BT Group PLC, ADR 3.5
Macy's, Inc. 2.0
Sempra Energy 1.8
BB&T Corp. 1.8
Humana, Inc. 1.7
CF Industries Holdings, Inc. 1.7
Astoria Financial Corp. 1.6
Northrop Grumman Corp. 1.6
----------------------------------------------
Total 28.5%
=====
----------------------------------------------
% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Financials 21.7%
Energy 13.3
Telecommunication Services 10.1
Consumer Discretionary 10.0
Materials 9.9
Information Technology 9.7
Industrials 9.3
Utilities 9.1
Health Care 5.3
Consumer Staples 1.6
----------------------------------------------
Total 100.0%
======
Page 17
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
VALUE LINE(R) TARGET 25 PORTFOLIO
Over the six months ended June 30, 2012, the Value Line(R) Target 25 Portfolio
posted a total return of 8.54% versus 9.31% for the Russell 3000(R) Index over
the same period. The Net Asset Value ("NAV") increased from $2.81 to $3.05
during the period.
Of the Portfolio's 25 stocks, 12 advanced and 13 declined over the period. The
top three performing stocks, by contribution to return, were Seagate Technology
PLC (STX), CF Industries Holdings, Inc. (CF) and PetSmart, Inc. (PETM). The
worst performing stocks, by contribution to return, were Kirby Corp. (KEX),
Humana, Inc. (HUM) and Smithfield Foods, Inc. (SFD).
This Portfolio modestly underperformed its benchmark because of negative
contributions from the industrial and health care sectors. Kirby, Corp. (KEX),
an industrial stock, was the worst contributing with a -27% return, Humana, Inc.
(HUM), a health care stock, was the second worst with a -12% return. Positive
selection in the information technology, material and energy sectors boosted
relative performance. The top contributions came from Seagate Technology PLC
(STX) which had a 53% return, PetSmart, Inc. (PETM) which was up 36% and CF
Industries (CF) which had a 26% return.
All of the data on this page represents past performance which cannot be used to
predict future performance and the information in the table and graph does not
reflect the deduction of taxes that a shareholder would pay on portfolio
distributions or the redemption of shares.
GROWTH OF A $10,000 INITIAL INVESTMENT
Dec. 31, 2001 - June 30, 2012
Value Line(R) Target 25 Portfolio (a) Russell 3000(R) Index (b)
Dec. 01 10000 10000
Dec. 02 5711 7847
Dec. 03 8048 10284
Dec. 04 9783 11513
Dec. 05 11711 12222
Dec. 06 12048 14154
Dec. 07 14241 14897
Dec. 08 6434 9340
Dec. 09 6891 11989
Dec. 10 8988 14018
Dec. 11 6772 14162
June 12 7350 15481
------------------------------------------------------------------------------------------------------------------------------------
RETURN COMPARISON PERIODS ENDED JUNE 30, 2012
1 YEAR 5 YEAR 10 YEAR SINCE INCEPTION
INCEPTION SIX MONTHS ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL AVERAGE ANNUAL
DATE TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN TOTAL RETURN
Value Line(R) Target 25 Portfolio (a) 10/6/99 8.54% -22.39% -11.06% 0.61% -8.90%
Russell 3000 Index (b) 9.31% 3.82% 0.41% 5.83% 2.84%
------------------------------------------------------------------------------------------------------------------------------------
(a) Effective April 30, 2002, based upon the determination of the Registrant'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 for the periods prior to April 30, 2002, reflect the
Portfolio's performance prior to the name change and the change of the
primary investment strategy.
(b) The Russell 3000(R) Index is composed of 3000 large U.S. companies, as
determined by market capitalization. This index represents approximately
98% of the investable U.S. equity market. (Bloomberg). (The index reflects
no deduction for fees, expenses or taxes).
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 or the effect of taxes. These
expenses would reduce the overall returns shown.
Page 18
--------------------------------------------------------------------------------
PERFORMANCE SUMMARY AND PORTFOLIO COMPONENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
SEMI-ANNUAL REPORT
JUNE 30, 2012 (UNAUDITED)
VALUE LINE(R) TARGET 25 PORTFOLIO (CONTINUED)
----------------------------------------------
% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
----------------------------------------------
Seagate Technology PLC 9.8%
CF Industries Holdings, Inc. 9.4
Mattel, Inc. 8.1
BT Group PLC, ADR 7.8
Macy's, Inc. 7.4
BCE, Inc. 7.0
Chevron Corp. 6.8
PetSmart, Inc. 6.5
Humana, Inc. 6.1
DISH Network Corp., Class A 5.0
----------------------------------------------
Total 73.9%
=====
----------------------------------------------
% OF TOTAL
SECTOR INVESTMENTS
----------------------------------------------
Consumer Discretionary 34.0%
Telecommunication Services 14.8
Information Technology 13.7
Materials 10.3
Industrials 8.2
Healch Care 7.3
Energy 6.8
Consumer Staples 4.9
----------------------------------------------
Total 100.0%
======
Page 19
FIRST DEFINED PORTFOLIO FUND, LLC
UNDERSTANDING YOUR FUND EXPENSES
JUNE 30, 2012 (UNAUDITED)
As an Interest holder of the Target Managed VIP Portfolio, The Dow(R) DART 10
Portfolio, The Dow(R) Target Dividend Portfolio, Global Dividend Target 15
Portfolio, S&P(R) Target 24 Portfolio, NASDAQ(R) Target 15 Portfolio, First
Trust Target Focus Four Portfolio or Value Line (R) Target 25 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 January 1, 2012 to June 30, 2012.
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) or redemption fees. Therefore, the hypothetical section of the
table is useful in comparing ongoing costs only, and will not help you determine
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 (a) ACCOUNT ACCOUNT PERIOD (a)
VALUE VALUE 1/1/2012- VALUE VALUE 1/1/2012- EXPENSE
1/1/2012 6/30/2012 6/30/2012 1/1/2012 6/30/2012 6/30/2012 RATIO (b)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Target Managed VIP Portfolio........... $ 1,000.00 $ 1,085.40 $7.62 $ 1,000.00 $ 1,017.55 $7.37 1.47%
The Dow(R) DART 10 Portfolio .......... 1,000.00 1,080.80 7.61 1,000.00 1,017.55 7.37 1.47
The Dow(R) Target Dividend Portfolio .. 1,000.00 1,038.50 7.45 1,000.00 1,017.55 7.37 1.47
Global Dividend Target 15 Portfolio ... 1,000.00 1,122.30 7.76 1,000.00 1,017.55 7.37 1.47
S&P(R) Target 24 Portfolio ............ 1,000.00 1,082.80 7.61 1,000.00 1,017.55 7.37 1.47
NASDAQ(R) Target 15 Portfolio ......... 1,000.00 1,186.40 7.99 1,000.00 1,017.55 7.37 1.47
First Trust Target Focus Four Portfolio 1,000.00 1,049.90 6.98 1,000.00 1,018.05 6.87 1.37
Value Line(R) Target 25 Portfolio ..... 1,000.00 1,085.40 7.62 1,000.00 1,017.55 7.37 1.47
(a) Expenses are equal to the Portfolio's annualized expense ratio multiplied
by the average account value over the period, multiplied by 182/366 (to
reflect the one half year period).
(b) These expense ratios reflect expense caps.
Page 20
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.6%
AEROSPACE & DEFENSE - 0.6%
1,383 General Dynamics Corp............................................................ $ 91,223
505 Triumph Group, Inc............................................................... 28,416
--------------
119,639
--------------
AIRLINES - 0.1%
792 Alaska Air Group, Inc. (a) ...................................................... 28,433
--------------
AUTO COMPONENTS - 0.1% ..........................................................
1,467 Standard Motor Products, Inc..................................................... 20,655
--------------
BEVERAGES - 1.4%
2,897 Coca-Cola (The) Co............................................................... 226,517
642 Monster Beverage Corp. (a) ...................................................... 45,710
--------------
272,227
--------------
BIOTECHNOLOGY - 3.9%
3,468 Amgen, Inc....................................................................... 253,303
1,182 Biogen Idec, Inc. (a) ........................................................... 170,657
6,565 Gilead Sciences, Inc. (a) ....................................................... 336,653
--------------
760,613
--------------
CHEMICALS - 0.9%
926 CF Industries Holdings, Inc...................................................... 179,403
--------------
COMMERCIAL BANKS - 2.6%
20,105 Banco Santander S.A., ADR ....................................................... 131,889
3,049 Bank of The Ozarks, Inc.......................................................... 91,714
7,681 BNP Paribas S.A., ADR ........................................................... 148,397
3,246 Texas Capital Bancshares, Inc. (a) .............................................. 131,106
--------------
503,106
--------------
COMMERCIAL SERVICES & SUPPLIES - 0.1%
503 Cintas Corp...................................................................... 19,421
--------------
COMMUNICATIONS EQUIPMENT - 0.3%
31,528 Nokia Oyj, ADR .................................................................. 65,263
--------------
COMPUTERS & PERIPHERALS - 6.4%
1,855 Apple, Inc. (a) ................................................................. 1,083,320
6,550 Seagate Technology PLC .......................................................... 161,981
--------------
1,245,301
--------------
CONSUMER FINANCE - 0.4%
1,305 World Acceptance Corp. (a) ...................................................... 85,869
--------------
DIVERSIFIED CONSUMER SERVICES - 0.4%
2,027 Apollo Group, Inc. (a) .......................................................... 73,357
--------------
DIVERSIFIED FINANCIAL SERVICES - 0.4%
3,152 MarketAxess Holdings, Inc........................................................ 83,969
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.4%
6,369 8X8, Inc. (a) ................................................................... 26,750
11,005 BCE, Inc......................................................................... 453,406
See Notes to Financial Statements Page 21
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
DIVERSIFIED TELECOMMUNICATION SERVICES - (CONTINUED)
10,905 BT Group PLC, ADR ............................................................... $ 361,828
13,192 Deutsche Telekom AG, ADR ........................................................ 144,215
9,665 France Telecom S.A., ADR ........................................................ 126,708
12,595 Koninklijke KPN N.V., ADR ....................................................... 121,668
4,037 Swisscom AG, ADR ................................................................ 161,722
9,031 Telefonica S.A., ADR ............................................................ 118,306
7,112 Vivendi S.A., ADR ............................................................... 130,953
--------------
1,645,556
--------------
ELECTRIC UTILITIES - 3.3%
7,031 E.ON AG, ADR .................................................................... 151,096
31,330 EDF S.A., ADR ................................................................... 136,912
37,976 Enel SpA, ADR ................................................................... 120,536
1,343 Southern Co...................................................................... 62,181
7,580 SSE PLC, ADR .................................................................... 166,078
--------------
636,803
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.2%
1,484 FARO Technologies, Inc. (a) ..................................................... 62,447
1,759 OSI Systems, Inc. (a) ........................................................... 111,415
2,657 PC Connection, Inc............................................................... 28,217
1,746 Zygo Corp. (a) .................................................................. 31,184
--------------
233,263
--------------
ENERGY EQUIPMENT & SERVICES - 0.5%
1,410 Halliburton Co................................................................... 40,030
165 Helmerich & Payne, Inc........................................................... 7,174
8,054 Newpark Resources, Inc. (a) ..................................................... 47,519
--------------
94,723
--------------
FOOD & STAPLES RETAILING - 0.2%
583 Casey's General Stores, Inc...................................................... 34,391
--------------
FOOD PRODUCTS - 0.8%
4,171 B&G Foods, Inc................................................................... 110,949
2,283 Smithfield Foods, Inc. (a) ...................................................... 49,381
--------------
160,330
--------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.5%
187 Intuitive Surgical, Inc. (a) .................................................... 103,559
--------------
HEALTH CARE PROVIDERS & SERVICES - 1.6%
1,125 Air Methods Corp. (a) ........................................................... 110,531
2,327 Humana, Inc...................................................................... 180,203
2,608 PharMerica Corp. (a) ............................................................ 28,479
--------------
319,213
--------------
HOTELS, RESTAURANTS & LEISURE - 2.9%
1,640 Buffalo Wild Wings, Inc. (a) .................................................... 142,089
1,847 Caribou Coffee Co., Inc. (a) .................................................... 23,845
2,154 Papa John's International, Inc. (a) ............................................. 102,466
Page 22 See Notes to Financial Statements
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
HOTELS, RESTAURANTS & LEISURE - (CONTINUED)
1,143 Peet's Coffee & Tea, Inc. (a) ................................................... $ 68,626
1,306 Red Robin Gourmet Burgers, Inc. (a) ............................................. 39,846
3,589 Starbucks Corp................................................................... 191,365
--------------
568,237
--------------
INDUSTRIAL CONGLOMERATES - 1.3%
2,729 3M Co............................................................................ 244,518
--------------
INSURANCE - 4.0%
11,712 AXA S.A., ADR ................................................................... 156,121
2,900 Chubb Corp....................................................................... 211,178
5,576 Marsh & McLennan Cos., Inc....................................................... 179,715
12,347 Muenchener Rueckversicherungs AG, ADR ........................................... 174,463
1,046 Torchmark Corp................................................................... 52,875
--------------
774,352
--------------
INTERNET SOFTWARE & SERVICES - 1.0%
3,645 DealerTrack Holdings, Inc. (a) .................................................. 109,751
1,546 Keynote Systems, Inc............................................................. 22,958
5,635 NIC, Inc......................................................................... 71,565
--------------
204,274
--------------
IT SERVICES - 3.6%
3,881 Cardtronics, Inc. (a) ........................................................... 117,245
3,468 Heartland Payment Systems, Inc................................................... 104,317
1,875 International Business Machines Corp............................................. 366,713
193 Mastercard, Inc.................................................................. 83,011
879 NeuStar, Inc. (a) ............................................................... 29,359
--------------
700,645
--------------
LEISURE EQUIPMENT & PRODUCTS - 1.1%
6,379 Mattel, Inc...................................................................... 206,935
--------------
LIFE SCIENCES TOOLS & SERVICES - 0.2%
4,131 Cambrex Corp. (a) ............................................................... 38,873
--------------
MACHINERY - 0.7%
3,905 Colfax Corp. (a) ................................................................ 107,661
826 Sauer-Danfoss, Inc............................................................... 28,852
--------------
136,513
--------------
MARINE - 0.2%
789 Kirby Corp. (a) ................................................................. 37,146
--------------
MEDIA - 4.6%
2,923 DISH Network Corp., Class A ..................................................... 83,452
4,569 Sinclair Broadcast Group, Inc.................................................... 41,395
15,952 Walt Disney (The) Co............................................................. 773,672
--------------
898,519
--------------
MULTI-UTILITIES - 2.7%
885 Dominion Resources, Inc.......................................................... 47,790
See Notes to Financial Statements Page 23
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
MULTI-UTILITIES - (CONTINUED)
5,539 GDF Suez S.A., ADR .............................................................. $ 131,773
3,094 National Grid PLC, ADR .......................................................... 163,951
4,360 RWE AG, ADR ..................................................................... 177,365
359 Wisconsin Energy Corp............................................................ 14,205
--------------
535,084
--------------
MULTILINE RETAIL - 2.1%
3,888 Dollar Tree, Inc. (a) ........................................................... 209,174
6,049 Macy's, Inc...................................................................... 207,783
--------------
416,957
--------------
OIL, GAS & CONSUMABLE FUELS - 10.4%
4,849 Alon USA Energy, Inc............................................................. 41,022
2,916 Approach Resources, Inc. (a) .................................................... 74,475
10,050 Chevron Corp..................................................................... 1,060,275
5,101 Delek US Holdings, Inc........................................................... 89,727
3,655 Eni S.p.A., ADR ................................................................. 155,411
7,055 Exxon Mobil Corp................................................................. 603,696
--------------
2,024,606
--------------
PAPER & FOREST PRODUCTS - 0.7%
3,407 Buckeye Technologies, Inc........................................................ 97,066
451 Schweitzer-Mauduit International, Inc............................................ 30,731
--------------
127,797
--------------
PERSONAL PRODUCTS - 0.5%
2,601 Elizabeth Arden, Inc. (a) ....................................................... 100,945
--------------
PHARMACEUTICALS - 4.4%
3,279 AstraZeneca PLC, ADR ............................................................ 146,735
1,064 Forest Laboratories, Inc. (a) ................................................... 37,229
1,139 Hi-Tech Pharmacal Co, Inc. (a) .................................................. 36,904
27,708 Pfizer, Inc...................................................................... 637,284
--------------
858,152
--------------
PROFESSIONAL SERVICES - 0.7%
2,914 Advisory Board (The) Co. (a) .................................................... 144,505
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 8.3%
2,076 Ceva, Inc. (a) .................................................................. 36,558
57,141 Intel Corp....................................................................... 1,522,808
617 KLA-Tencor Corp.................................................................. 30,387
1,999 Nanometrics, Inc. (a) ........................................................... 30,705
--------------
1,620,458
--------------
SOFTWARE - 6.4%
2,466 BroadSoft, Inc. (a) ............................................................. 71,415
28,887 Microsoft Corp................................................................... 883,653
2,003 OPNET Technologies, Inc.......................................................... 53,260
2,520 Sourcefire, Inc. (a) ............................................................ 129,528
Page 24 See Notes to Financial Statements
TARGET MANAGED VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
SOFTWARE - (CONTINUED)
2,608 Tyler Technologies, Inc. (a) .................................................... $ 105,233
--------------
1,243,089
--------------
SPECIALTY RETAIL - 7.0%
1,037 Advance Auto Parts, Inc.......................................................... 70,744
455 AutoZone, Inc. (a) .............................................................. 167,062
1,180 Bed Bath & Beyond, Inc. (a) ..................................................... 72,924
1,429 Body Central Corp. (a) .......................................................... 12,861
482 Genesco, Inc. (a) ............................................................... 28,992
14,319 Home Depot (The), Inc............................................................ 758,764
1,994 Lithia Motors, Inc............................................................... 45,962
1,589 PetSmart, Inc.................................................................... 108,338
1,115 Ross Stores, Inc................................................................. 69,654
2,034 Sonic Automotive, Inc............................................................ 27,805
--------------
1,363,106
--------------
TEXTILES, APPAREL & LUXURY GOODS - 0.3%
2,267 True Religion Apparel, Inc....................................................... 65,698
--------------
TOBACCO - 1.1%
173 Lorillard, Inc................................................................... 22,828
2,220 Philip Morris International, Inc................................................. 193,717
--------------
216,545
--------------
TRADING COMPANIES & DISTRIBUTORS - 0.3%
1,424 Fastenal Co...................................................................... 57,401
--------------
TOTAL INVESTMENTS - 98.6% ....................................................... 19,269,449
(Cost $18,023,873) (b)
NET OTHER ASSETS AND LIABILITIES - 1.4% ......................................... 270,206
--------------
NET ASSETS - 100.0% ............................................................. $ 19,539,655
==============
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $2,514,862 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $1,269,286.
ADR American Depositary Receipt
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 19,269,449 $ 19,269,449 $ -- $ --
============ ============ ============ ============
* See the Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 25
THE DOW (R) DART 10 PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.6%
COMPUTERS & PERIPHERALS - 7.2%
23,844 Hewlett-Packard Co............................................................... $ 479,503
--------------
DIVERSIFIED FINANCIAL SERVICES - 9.7%
18,278 JPMorgan Chase & Co.............................................................. 653,073
--------------
FOOD & STAPLES RETAILING - 10.6%
10,182 Wal-Mart Stores, Inc............................................................. 709,889
--------------
INSURANCE - 9.7%
10,236 Travelers (The) Cos., Inc........................................................ 653,466
--------------
IT SERVICES - 9.6%
3,281 International Business Machines Corp............................................. 641,698
--------------
MEDIA - 11.7%
16,200 Walt Disney (The) Co............................................................. 785,700
--------------
OIL, GAS & CONSUMABLE FUELS - 9.1%
7,163 Exxon Mobil Corp................................................................. 612,938
--------------
PHARMACEUTICALS - 9.6%
28,140 Pfizer, Inc...................................................................... 647,220
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 9.9%
24,882 Intel Corp....................................................................... 663,105
--------------
SPECIALTY RETAIL - 11.5%
14,542 Home Depot (The), Inc............................................................ 770,581
--------------
TOTAL INVESTMENTS - 98.6% ....................................................... 6,617,173
(Cost $6,106,020) (a)
NET OTHER ASSETS AND LIABILITIES - 1.4% ......................................... 92,239
--------------
NET ASSETS - 100.0% ............................................................. $ 6,709,412
==============
---------------------------------------
(a) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $718,794 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $207,641.
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 6,617,173 $ 6,617,173 $ -- $ --
============ ============ ============ ============
* See Portfolio of Investments for industry breakout.
Page 26 See Notes to Financial Statements
THE DOW(R) TARGET DIVIDEND PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.1%
AEROSPACE & DEFENSE - 5.2%
15,099 Northrop Grumman Corp............................................................ $ 963,165
--------------
CHEMICALS - 5.1%
44,955 Olin Corp........................................................................ 939,110
--------------
COMMERCIAL BANKS - 19.9%
35,063 BB&T Corp........................................................................ 1,081,694
78,137 F.N.B. Corp...................................................................... 849,349
101,973 First Niagara Financial Group, Inc............................................... 780,093
58,156 FirstMerit Corp.................................................................. 960,737
--------------
3,671,873
--------------
COMMERCIAL SERVICES & SUPPLIES - 9.1%
9,923 ACCO Brands Corp. (a) ........................................................... 102,604
61,580 R.R. Donnelley & Sons Co......................................................... 724,797
32,218 Republic Services, Inc........................................................... 852,488
--------------
1,679,889
--------------
ELECTRIC UTILITIES - 9.1%
21,406 American Electric Power Co., Inc................................................. 854,099
29,890 PPL Corp......................................................................... 831,241
--------------
1,685,340
--------------
METALS & MINING - 4.4%
64,435 Commercial Metals Co............................................................. 814,459
--------------
MULTI-UTILITIES - 21.1%
34,161 Avista Corp...................................................................... 912,099
16,162 DTE Energy Co.................................................................... 958,891
16,352 Integrys Energy Group, Inc....................................................... 929,938
16,068 Sempra Energy ................................................................... 1,106,764
--------------
3,907,692
--------------
OIL, GAS & CONSUMABLE FUELS - 4.7%
8,274 Chevron Corp..................................................................... 872,907
--------------
PAPER & FOREST PRODUCTS - 4.6%
29,611 MeadWestvaco Corp................................................................ 851,316
--------------
PHARMACEUTICALS - 5.1%
40,958 Pfizer, Inc...................................................................... 942,034
--------------
THRIFTS & MORTGAGE FINANCE - 9.8%
103,037 Astoria Financial Corp........................................................... 1,009,763
68,877 People's United Financial, Inc................................................... 799,662
--------------
1,809,425
--------------
TOTAL INVESTMENTS - 98.1% ....................................................... 18,137,210
(Cost $17,974,793) (b)
NET OTHER ASSETS AND LIABILITIES - 1.9% ......................................... 359,140
--------------
NET ASSETS - 100.0% ............................................................. $ 18,496,350
==============
See Notes to Financial Statements Page 27
THE DOW(R) TARGET DIVIDEND PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $820,014 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $657,597.
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 18,137,210 $ 18,137,210 $ -- $ --
============ ============ ============ ============
* See the Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 96.6%
BERMUDA - 6.8%
1,366,000 COSCO Pacific Ltd. (a) .......................................................... $ 1,874,285
--------------
CHINA - 17.3%
4,289,000 Bank of China Ltd. (a) .......................................................... 1,647,512
2,650,000 Industrial & Commercial Bank of China Ltd. (a) .................................. 1,485,559
1,264,000 PetroChina Co., Ltd., Class H (a) ............................................... 1,635,947
--------------
4,769,018
--------------
HONG KONG - 8.4%
1,948,000 New World Development Co., Ltd. (a) ............................................. 2,295,435
--------------
UNITED KINGDOM - 32.5%
793,625 Ladbrokes PLC (a) ............................................................... 1,955,259
1,670,107 Logica PLC (a) .................................................................. 2,777,437
799,201 Man Group PLC (a) ............................................................... 956,297
969,484 RSA Insurance Group PLC (a) ..................................................... 1,645,780
572,101 Vodafone Group PLC (a) .......................................................... 1,608,032
--------------
8,942,805
--------------
UNITED STATES - 31.6%
52,310 AT&T, Inc........................................................................ 1,865,374
87,338 General Electric Co.............................................................. 1,820,124
64,286 Intel Corp....................................................................... 1,713,222
41,885 Kraft Foods, Inc., Class A ...................................................... 1,617,599
72,695 Pfizer, Inc...................................................................... 1,671,985
--------------
8,688,304
--------------
TOTAL INVESTMENTS - 96.6% ....................................................... 26,569,847
(Cost $25,718,133) (b)
NET OTHER ASSETS AND LIABILITIES - 3.4% ......................................... 945,842
--------------
NET ASSETS - 100.0% ............................................................. $ 27,515,689
==============
---------------------------------------
(a) This security is fair valued in accordance with the procedures adopted by
the Registrant's Board of Trustees and in accordance with the provisions
of the Investment Company Act of 1940, as amended.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $3,689,496 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $2,837,782.
See Notes to Financial Statements Page 29
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks:
Bermuda ............................................. $ 1,874,285 $ -- $ 1,874,285 $ --
China ............................................... 4,769,018 -- 4,769,018 --
Hong Kong ........................................... 2,295,435 -- 2,295,435 --
United Kingdom ...................................... 8,942,805 -- 8,942,805 --
United States ..................................... 8,688,304 8,688,304 -- --
------------ ------------ ------------ ------------
Total Common Stocks.................................. $ 26,569,847 $ 8,688,304 $ 17,881,543 $ --
============ ============ ============ ============
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of June 30,
2012, the Portfolio transferred common stocks valued at $8,979,127 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2011 that are now being fair valued using a
factor provided by a pricing service due to the change in value between the
foreign markets close and the New York Stock Exchange close on June 30, 2012
exceeding a certain threshold. See Note 2A - Portfolio Valuation in the Notes to
Financial Statements.
INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS:
Commercial Banks .................................... 11.4%
IT Services ......................................... 10.1
Real Estate Management & Development ................ 8.3
Hotels, Restaurants & Leisure ....................... 7.1
Transportation Infrastructure ....................... 6.8
Diversified Telecommunication Services .............. 6.8
Industrial Conglomerates ............................ 6.6
Semiconductors & Semiconductor Equipment ............ 6.2
Pharmaceuticals ..................................... 6.1
Insurance ........................................... 6.0
Oil, Gas & Consumable Fuels ......................... 6.0
Food Products ....................................... 5.9
Wireless Telecommunication Services ................. 5.8
Capital Markets ..................................... 3.5
Net Other Assets and Liabilities .................... 3.4
------
100.0%
======
Page 30 See Notes to Financial Statements
S&P(R) TARGET 24 PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.3%
AEROSPACE & DEFENSE - 2.8%
3,191 General Dynamics Corp............................................................ $ 210,478
--------------
BEVERAGES - 6.9%
6,684 Coca-Cola (The) Co............................................................... 522,622
--------------
BIOTECHNOLOGY - 12.4%
8,000 Amgen, Inc....................................................................... 584,320
6,820 Gilead Sciences, Inc. (a) ....................................................... 349,730
--------------
934,050
--------------
COMMERCIAL SERVICES & SUPPLIES - 0.6%
1,160 Cintas Corp...................................................................... 44,788
--------------
DIVERSIFIED CONSUMER SERVICES - 1.6%
3,394 Apollo Group, Inc., Class A (a) ................................................. 122,829
--------------
ELECTRIC UTILITIES - 1.9%
3,099 Southern Co...................................................................... 143,484
--------------
ENERGY EQUIPMENT & SERVICES - 1.5%
3,251 Halliburton Co................................................................... 92,296
380 Helmerich & Payne, Inc........................................................... 16,522
--------------
108,818
--------------
INDUSTRIAL CONGLOMERATES - 7.5%
6,297 3M Co............................................................................ 564,211
--------------
INSURANCE - 13.6%
6,690 Chubb Corp....................................................................... 487,166
12,866 Marsh & McLennan Cos., Inc....................................................... 414,671
2,413 Torchmark Corp................................................................... 121,977
--------------
1,023,814
--------------
IT SERVICES - 13.8%
4,327 International Business Machines Corp............................................. 846,275
445 Mastercard, Inc.................................................................. 191,399
--------------
1,037,674
--------------
MULTI-UTILITIES - 1.9%
2,041 Dominion Resources, Inc.......................................................... 110,214
830 Wisconsin Energy Corp............................................................ 32,843
--------------
143,057
--------------
MULTILINE RETAIL - 4.5%
6,293 Dollar Tree, Inc. (a) ........................................................... 338,563
--------------
OIL, GAS & CONSUMABLE FUELS - 9.9%
7,052 Chevron Corp..................................................................... 743,986
--------------
PHARMACEUTICALS - 1.1%
2,455 Forest Laboratories, Inc. (a) ................................................... 85,901
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 6.6%
18,665 Intel Corp....................................................................... 497,422
--------------
See Notes to Financial Statements Page 31
S&P(R) TARGET 24 PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
SPECIALTY RETAIL - 5.1%
1,049 AutoZone, Inc. (a) .............................................................. $ 385,161
--------------
TOBACCO - 6.6%
399 Lorillard, Inc................................................................... 52,648
5,122 Philip Morris International, Inc................................................. 446,946
--------------
499,594
--------------
TOTAL INVESTMENTS - 98.3% ....................................................... 7,406,452
(Cost $6,963,598) (b)
NET OTHER ASSETS AND LIABILITIES - 1.7% ......................................... 128,579
--------------
NET ASSETS - 100.0% ............................................................. $ 7,535,031
--------------
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $561,695 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $118,841.
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 7,406,452 $ 7,406,452 $ -- $ --
============ ============ ============ ============
* See Portfolio of Investments for industry breakout.
Page 32 See Notes to Financial Statements
NASDAQ(R) TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.6%
BEVERAGES - 6.2%
4,589 Monster Beverage Corp. (a) ...................................................... $ 326,737
--------------
BIOTECHNOLOGY - 16.2%
2,994 Biogen Idec, Inc. (a) ........................................................... 432,273
8,167 Gilead Sciences, Inc. (a) ....................................................... 418,804
--------------
851,077
--------------
COMPUTERS & PERIPHERALS - 9.1%
818 Apple, Inc. (a) ................................................................. 477,712
--------------
DIVERSIFIED CONSUMER SERVICES - 2.4%
3,446 Apollo Group, Inc., Class A (a) ................................................. 124,711
--------------
HEALTH CARE EQUIPMENT & SUPPLIES - 7.5%
711 Intuitive Surgical, Inc. (a) .................................................... 393,745
--------------
HOTELS, RESTAURANTS & LEISURE - 7.2%
7,131 Starbucks Corp................................................................... 380,225
--------------
LEISURE EQUIPMENT & PRODUCTS - 5.5%
8,933 Mattel, Inc...................................................................... 289,786
--------------
MULTILINE RETAIL - 6.5%
6,398 Dollar Tree, Inc. (a) ........................................................... 344,212
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 11.0%
13,493 Intel Corp....................................................................... 359,588
4,446 KLA-Tencor Corp.................................................................. 218,966
--------------
578,554
--------------
SOFTWARE - 7.4%
12,730 Microsoft Corp................................................................... 389,411
--------------
SPECIALTY RETAIL - 13.9%
5,650 Bed Bath & Beyond, Inc. (a) ..................................................... 349,170
6,148 Ross Stores, Inc................................................................. 384,065
--------------
733,235
--------------
TRADING COMPANIES & DISTRIBUTORS - 5.7%
7,473 Fastenal Co...................................................................... 301,237
--------------
TOTAL INVESTMENTS - 98.6% ....................................................... 5,190,642
(Cost $4,554,771) (b)
NET OTHER ASSETS AND LIABILITIES - 1.4% ......................................... 72,980
--------------
NET ASSETS - 100.0% ............................................................. $ 5,263,622
==============
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $709,717 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $73,846.
See Notes to Financial Statements Page 33
NASDAQ(R) TARGET 15 PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 5,190,642 $ 5,190,642 $ -- $ --
============ ============ ============ ============
* See Portfolio of Investments for industry breakout.
Page 34 See Notes to Financial Statements
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 98.2%
AEROSPACE & DEFENSE - 2.3%
953 AAR Corp......................................................................... $ 12,847
685 Ceradyne, Inc.................................................................... 17,570
1,423 Northrop Grumman Corp............................................................ 90,773
281 Triumph Group, Inc............................................................... 15,812
--------------
137,002
--------------
AIRLINES - 0.9%
442 Alaska Air Group, Inc. (a) ...................................................... 15,868
7,078 JetBlue Airways Corp. (a) ....................................................... 37,513
--------------
53,381
--------------
AUTO COMPONENTS - 0.5%
817 Standard Motor Products, Inc..................................................... 11,503
1,119 Superior Industries International, Inc........................................... 18,318
--------------
29,821
--------------
AUTOMOBILES - 0.4%
746 Honda Motor Co., Ltd., ADR ...................................................... 25,856
--------------
CAPITAL MARKETS - 0.7%
951 Credit Suisse Group AG, ADR ..................................................... 17,432
585 Deutsche Bank AG ................................................................ 21,159
--------------
38,591
--------------
CHEMICALS - 4.0%
515 CF Industries Holdings, Inc...................................................... 99,776
833 Cytec Industries, Inc............................................................ 48,847
4,234 Olin Corp........................................................................ 88,448
--------------
237,071
--------------
COMMERCIAL BANKS - 12.8%
3,302 Associated Banc-Corp ............................................................ 43,553
2,987 Banco Santander S.A., ADR ....................................................... 19,595
2,051 Barclays PLC, ADR ............................................................... 21,125
3,303 BB&T Corp........................................................................ 101,897
2,451 Cathay General Bancorp .......................................................... 40,466
954 Columbia Banking System, Inc..................................................... 17,954
7,363 F.N.B. Corp...................................................................... 80,036
3,449 First Commonwealth Financial Corp................................................ 23,212
9,607 First Niagara Financial Group, Inc............................................... 73,494
5,479 FirstMerit Corp.................................................................. 90,513
1,988 International Bancshares Corp.................................................... 38,806
5,382 Mitsubishi UFJ Financial Group, Inc., ADR ....................................... 25,564
8,526 Mizuho Financial Group, Inc., ADR ............................................... 28,392
2,167 National Penn Bancshares, Inc.................................................... 20,738
1,134 Pinnacle Financial Partners, Inc. (a) ........................................... 22,124
1,685 PrivateBancorp, Inc.............................................................. 24,871
4,071 Sumitomo Mitsui Financial Group, Inc., ADR ...................................... 27,031
1,479 Umpqua Holdings Corp............................................................. 19,464
See Notes to Financial Statements Page 35
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
COMMERCIAL BANKS - (CONTINUED)
1,813 Webster Financial Corp........................................................... $ 39,270
--------------
758,105
--------------
COMMERCIAL SERVICES & SUPPLIES - 2.7%
932 ACCO Brands Corp. (a) ........................................................... 9,647
5,801 R.R. Donnelley & Sons Co......................................................... 68,278
3,034 Republic Services, Inc........................................................... 80,279
--------------
158,204
--------------
COMMUNICATIONS EQUIPMENT - 0.3%
644 Black Box Corp................................................................... 18,483
--------------
COMPUTERS & PERIPHERALS - 1.5%
3,648 Seagate Technology PLC .......................................................... 90,215
--------------
DIVERSIFIED FINANCIAL SERVICES - 0.4%
3,133 ING Groep N.V., ADR (a) ......................................................... 20,928
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.7%
6,130 BCE, Inc......................................................................... 252,556
6,076 BT Group PLC, ADR ............................................................... 201,602
1,435 France Telecom S.A., ADR ........................................................ 18,813
897 Nippon Telegraph & Telephone Corp., ADR ......................................... 20,756
2,120 Telecom Italia SpA, ADR ......................................................... 20,882
--------------
514,609
--------------
ELECTRIC UTILITIES - 2.7%
2,016 American Electric Power Co., Inc................................................. 80,438
2,817 PPL Corp......................................................................... 78,341
--------------
158,779
--------------
ELECTRICAL EQUIPMENT - 0.6%
1,468 General Cable Corp. (a) ......................................................... 38,080
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 3.4%
996 Arrow Electronics, Inc. (a) ..................................................... 32,679
1,189 Avnet, Inc. (a) ................................................................. 36,692
1,268 Electro Scientific Industries, Inc............................................... 14,988
428 Hitachi Ltd., ADR ............................................................... 26,279
1,480 PC Connection, Inc............................................................... 15,718
610 SYNNEX Corp. (a) ................................................................ 21,039
4,105 Vishay Intertechnology, Inc. (a) ................................................ 38,710
974 Zygo Corp. (a) .................................................................. 17,396
--------------
203,501
--------------
ENERGY EQUIPMENT & SERVICES - 1.2%
2,367 Helix Energy Solutions Group, Inc. (a) .......................................... 38,843
798 Unit Corp. (a) .................................................................. 29,438
--------------
68,281
--------------
FOOD & STAPLES RETAILING - 0.6%
325 Casey's General Stores, Inc...................................................... 19,172
Page 36 See Notes to Financial Statements
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
FOOD & STAPLES RETAILING - (CONTINUED)
631 Nash Finch Co.................................................................... $ 13,554
--------------
32,726
--------------
FOOD PRODUCTS - 1.0%
2,791 Smithfield Foods, Inc. (a) ...................................................... 60,369
--------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.3%
840 Greatbatch, Inc. (a) ............................................................ 19,076
--------------
HEALTH CARE PROVIDERS & SERVICES - 3.0%
2,190 Community Health Systems, Inc. (a) .............................................. 61,386
1,297 Humana, Inc...................................................................... 100,440
1,587 Kindred Healthcare, Inc. (a) .................................................... 15,600
--------------
177,426
--------------
HOTELS, RESTAURANTS & LEISURE - 0.6%
2,500 Boyd Gaming Corp. (a) ........................................................... 18,000
1,443 Marcus Corp...................................................................... 19,856
--------------
37,856
--------------
HOUSEHOLD DURABLES - 1.1%
613 Mohawk Industries, Inc. (a) ..................................................... 42,806
2,679 Panasonic Corp., ADR ............................................................ 21,700
--------------
64,506
--------------
INSURANCE - 2.4%
1,839 Presidential Life Corp........................................................... 18,077
1,649 Protective Life Corp............................................................. 48,497
712 Reinsurance Group of America, Inc................................................ 37,886
1,018 StanCorp Financial Group, Inc.................................................... 37,829
--------------
142,289
--------------
INTERNET SOFTWARE & SERVICES - 1.2%
2,466 AOL, Inc. (a) ................................................................... 69,245
--------------
IT SERVICES - 1.9%
2,909 Convergys Corp................................................................... 42,966
2,931 CoreLogic, Inc. (a) ............................................................. 53,667
489 NeuStar, Inc. (a) ............................................................... 16,332
--------------
112,965
--------------
LEISURE EQUIPMENT & PRODUCTS - 1.5%
2,650 Mattel, Inc...................................................................... 85,966
--------------
LIFE SCIENCES TOOLS & SERVICES - 0.4%
2,302 Cambrex Corp. (a) ............................................................... 21,662
--------------
MACHINERY - 1.7%
1,746 Oshkosh Corp. (a) ............................................................... 36,579
460 Sauer-Danfoss, Inc............................................................... 16,068
2,844 Terex Corp. (a) ................................................................. 50,708
--------------
103,355
--------------
See Notes to Financial Statements Page 37
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
MARINE - 0.3%
440 Kirby Corp. (a) ................................................................. $ 20,715
--------------
MEDIA - 1.1%
1,630 DISH Network Corp., Class A ..................................................... 46,536
2,221 Live Nation Entertainment, Inc. (a) ............................................. 20,389
--------------
66,925
--------------
METALS & MINING - 3.5%
1,235 ArcelorMittal ................................................................... 18,858
2,224 Century Aluminum Co. (a) ........................................................ 16,302
6,071 Commercial Metals Co............................................................. 76,737
790 Olympic Steel, Inc............................................................... 12,972
273 POSCO, ADR ...................................................................... 21,960
769 Reliance Steel & Aluminum Co..................................................... 38,835
1,050 Vale S.A., ADR .................................................................. 20,843
--------------
206,507
--------------
MULTI-UTILITIES - 6.2%
3,218 Avista Corp...................................................................... 85,921
1,522 DTE Energy Co.................................................................... 90,300
1,540 Integrys Energy Group, Inc....................................................... 87,580
1,514 Sempra Energy ................................................................... 104,284
--------------
368,085
--------------
MULTILINE RETAIL - 2.0%
3,369 Macy's, Inc...................................................................... 115,725
--------------
OIL, GAS & CONSUMABLE FUELS - 11.9%
4,675 Chevron Corp..................................................................... 493,212
211 China Petroleum & Chemical Corp., ADR ........................................... 18,819
1,219 Encana Corp...................................................................... 25,392
542 Eni S.p.A., ADR ................................................................. 23,046
1,606 HollyFrontier Corp............................................................... 56,901
908 Petroleo Brasileiro S.A., ADR ................................................... 17,043
5,444 Quicksilver Resources, Inc. (a) ................................................. 29,506
1,808 Talisman Energy, Inc............................................................. 20,720
440 Total S.A., ADR ................................................................. 19,778
--------------
704,417
--------------
PAPER & FOREST PRODUCTS - 2.2%
462 Domtar Corp...................................................................... 35,440
2,790 MeadWestvaco Corp................................................................ 80,213
252 Schweitzer-Mauduit International, Inc............................................ 17,171
--------------
132,824
--------------
PHARMACEUTICALS - 1.5%
3,859 Pfizer, Inc...................................................................... 88,757
--------------
PROFESSIONAL SERVICES - 0.3%
1,350 Kelly Services, Inc.............................................................. 17,429
--------------
Page 38 See Notes to Financial Statements
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (REITS) - 1.9%
4,250 Cedar Realty Trust, Inc.......................................................... $ 21,462
4,074 Kite Realty Group Trust ......................................................... 20,329
1,763 Pennsylvania Real Estate Investment Trust ....................................... 26,410
558 SL Green Realty Corp............................................................. 44,774
--------------
112,975
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.3%
1,228 Forestar Group, Inc. (a) ........................................................ 15,731
--------------
ROAD & RAIL - 0.2%
965 Arkansas Best Corp............................................................... 12,159
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.2%
1,597 Cohu, Inc........................................................................ 16,226
3,070 Fairchild Semiconductor International, Inc. (a) ................................. 43,287
2,293 STR Holdings, Inc. (a) .......................................................... 10,456
--------------
69,969
--------------
SPECIALTY RETAIL - 2.7%
577 Advance Auto Parts, Inc.......................................................... 39,363
2,078 Brown Shoe Co., Inc.............................................................. 26,827
268 Genesco, Inc. (a) ............................................................... 16,120
885 PetSmart, Inc.................................................................... 60,339
1,132 Sonic Automotive, Inc............................................................ 15,475
--------------
158,124
--------------
THRIFTS & MORTGAGE FINANCE - 2.9%
9,709 Astoria Financial Corp........................................................... 95,148
6,490 People's United Financial, Inc................................................... 75,349
--------------
170,497
--------------
WIRELESS TELECOMMUNICATION SERVICES - 1.2%
1,236 NTT DoCoMo, Inc., ADR ........................................................... 20,580
1,563 Telephone & Data Systems, Inc.................................................... 33,276
2,363 VimpelCom Ltd., ADR ............................................................. 19,164
--------------
73,020
--------------
TOTAL INVESTMENTS - 98.2% ....................................................... 5,812,207
(Cost $5,878,068) (b)
NET OTHER ASSETS AND LIABILITIES - 1.8% ......................................... 104,797
--------------
NET ASSETS - 100.0% ............................................................. $ 5,917,004
==============
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $392,484 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $458,345.
ADR American Depositary Receipt
See Notes to Financial Statements Page 39
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 5,812,207 $ 5,812,207 $ -- $ --
============ ============ ============ ============
* See Portfolio of Investments for industry breakout.
COUNTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS:
United States ........................................ 80.0%
Canada ............................................... 5.6
United Kingdom ....................................... 3.8
Japan ................................................ 3.3
Ireland .............................................. 1.5
Brazil ............................................... 0.6
Italy ................................................ 0.4
Germany .............................................. 0.4
Netherlands .......................................... 0.4
South Korea .......................................... 0.4
Bermuda .............................................. 0.3
China ................................................ 0.3
France ............................................... 0.3
Luxembourg ........................................... 0.3
Spain ................................................ 0.3
Switzerland .......................................... 0.3
Net Other Assets and Liabilities ..................... 1.8
------
100.0%
======
Page 40 See Notes to Financial Statements
VALUE LINE(R) TARGET 25 PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - 99.5%
AEROSPACE & DEFENSE - 2.4%
2,792 Triumph Group, Inc. $ 157,106
--------------
AIRLINES - 2.2%
4,025 Alaska Air Group, Inc. (a) 144,498
--------------
AUTO COMPONENTS - 0.6%
3,015 Standard Motor Products, Inc. 42,451
--------------
CHEMICALS - 9.3%
3,218 CF Industries Holdings, Inc. 623,455
--------------
COMPUTERS & PERIPHERALS - 9.7%
26,268 Seagate Technology PLC 649,608
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 14.7%
11,270 BCE, Inc. 464,324
15,586 BT Group PLC, ADR 517,144
--------------
981,468
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.8%
5,457 PC Connection, Inc. 57,953
3,586 Zygo Corp. (a) 64,046
--------------
121,999
--------------
FOOD & STAPLES RETAILING - 1.9%
2,182 Casey's General Stores, Inc. 128,716
--------------
FOOD PRODUCTS - 3.0%
9,155 Smithfield Foods, Inc. (a) 198,023
--------------
HEALTH CARE PROVIDERS & SERVICES - 6.1%
5,251 Humana, Inc. 406,637
--------------
IT SERVICES - 2.1%
4,111 NeuStar, Inc. (a) 137,307
--------------
LEISURE EQUIPMENT & PRODUCTS - 8.1%
16,593 Mattel, Inc. 538,277
--------------
LIFE SCIENCES TOOLS & SERVICES - 1.2%
8,487 Cambrex Corp. (a) 79,863
--------------
MACHINERY - 1.4%
2,736 Sauer-Danfoss, Inc. 95,568
--------------
MARINE - 2.2%
3,163 Kirby Corp. (a) 148,914
--------------
MEDIA - 5.0%
11,724 DISH Network Corp., Class A 334,720
--------------
MULTILINE RETAIL - 7.3%
14,263 Macy's, Inc. 489,934
--------------
OIL, GAS & CONSUMABLE FUELS - 6.8%
4,312 Chevron Corp. 454,916
--------------
See Notes to Financial Statements Page 41
VALUE LINE(R) TARGET 25 PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
----------- --------------------------------------------------------------------------------- --------------
COMMON STOCKS - (CONTINUED)
PAPER & FOREST PRODUCTS - 0.9%
927 Schweitzer-Mauduit International, Inc. $ 63,166
--------------
SPECIALTY RETAIL - 12.8%
4,158 Advance Auto Parts, Inc. 283,659
1,375 Genesco, Inc. (a) 82,706
6,371 PetSmart, Inc. 434,375
4,178 Sonic Automotive, Inc. 57,113
--------------
857,853
--------------
TOTAL INVESTMENTS - 99.5% 6,654,479
(Cost $6,312,701) (b)
NET OTHER ASSETS AND LIABILITIES - 0.5% 32,470
--------------
NET ASSETS - 100.0% $ 6,686,949
--------------
---------------------------------------
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $602,105 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $260,327.
ADR American Depositary Receipt
VALUATION INPUTS
A summary of the inputs used to value the Portfolio's investments as of June 30,
2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2012 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Common Stocks*....................................... $ 6,654,479 $ 6,654,479 $ -- $ --
============ ============ ============ ============
* See the Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
This Page Left Blank Intentionally.
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2012 (UNAUDITED)
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
ASSETS:
Investments, at value (1)................................... $ 19,269,449 $ 6,617,173 $ 18,137,210 $ 26,569,847
Cash........................................................ 293,242 111,458 347,249 689,993
Prepaid expenses............................................ 227 450 174 251
Receivables:
Dividends............................................... 33,952 3,253 37,107 321,411
Investment securities sold.............................. -- -- -- --
Membership Interests sold............................... 19,204 3,076 24,442 6,733
From Investment Advisor................................. -- 28 -- --
Interest................................................ 12 4 12 19
------------ ----------- ------------ ------------
Total Assets........................................... 19,616,086 6,735,442 18,546,194 27,588,254
------------ ----------- ------------ ------------
LIABILITIES:
Payables:
Custodian fees.......................................... 24,237 6,302 6,943 17,762
Membership Interest servicing fees...................... 17,163 5,528 15,466 22,207
Audit fees.............................................. 8,197 8,197 8,197 8,197
Investment advisory fees................................ 5,770 -- 5,902 11,617
Licensing fees.......................................... 10,374 1,314 4,947 --
Printing fees........................................... 2,483 2,581 2,494 2,558
12b-1 service fees...................................... 3,899 1,367 3,680 5,493
Membership Interests redeemed........................... -- -- -- --
Administrative fees..................................... 1,263 443 1,192 1,780
Legal fees.............................................. 1,356 -- 626 887
Trustees' fees and expenses............................. 669 -- 285 827
Other liabilities........................................... 1,020 298 112 1,237
------------ ----------- ------------ ------------
Total Liabilities...................................... 76,431 26,030 49,844 72,565
------------ ----------- ------------ ------------
NET ASSETS.................................................. $ 19,539,655 $ 6,709,412 $ 18,496,350 $ 27,515,689
============ =========== ============ ============
(1) Investments, at cost.................................... $ 18,023,873 $ 6,106,020 $ 17,974,793 $ 25,718,133
============ =========== ============ ============
NET ASSETS CONSIST OF:
Paid-in capital............................................. $ 18,294,079 $ 6,198,259 $ 18,333,933 $ 26,663,131
Net unrealized appreciation (depreciation) on investments and
foreign currency translation............................. 1,245,576 511,153 162,417 852,558
------------ ----------- ------------ ------------
NET ASSETS.................................................. $ 19,539,655 $ 6,709,412 $ 18,496,350 $ 27,515,689
============ =========== ============ ============
NET ASSET VALUE, offering price and redemption price of
Membership Interests outstanding (Net Assets/Membership
Interests outstanding)................................... $ 10.17 $ 11.77 $ 10.26 $ 22.03
============ =========== ============ ============
Number of Membership Interests outstanding.................. 1,921,146 570,190 1,803,400 1,249,068
============ =========== ============ ============
Page 44 See Notes to Financial Statements
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 7,406,452 $ 5,190,642 $ 5,812,207 $ 6,654,479
46,935 75,711 124,823 61,027
332 2,915 275 360
10,299 -- 12,349 10,797
99,852 -- -- --
3,913 17,908 15,992 --
-- 1,076 2,690 610
6 8 7 5
------------ ------------ ------------ ------------
7,567,789 5,288,260 5,968,343 6,727,278
------------ ------------ ------------ ------------
10,417 7,601 26,635 7,223
6,779 4,367 5,196 5,710
8,197 8,197 8,197 8,197
105 -- -- --
2,484 -- 5,496 7,704
2,509 2,610 2,504 2,538
1,546 1,036 1,169 1,345
-- -- -- 6,487
501 336 379 436
218 331 684 651
-- -- -- --
2 160 1,079 38
------------ ------------ ------------ ------------
32,758 24,638 51,339 40,329
------------ ------------ ------------ ------------
$ 7,535,031 $ 5,263,622 $ 5,917,004 $ 6,686,949
============ ============ ============ ============
$ 6,963,598 $ 4,554,771 $ 5,878,068 $ 6,312,701
============ ============ ============ ============
$ 7,092,177 $ 4,627,751 $ 5,982,865 $ 6,345,171
442,854 635,871 (65,861) 341,778
------------ ------------ ------------ ------------
$ 7,535,031 $ 5,263,622 $ 5,917,004 $ 6,686,949
============ ============ ============ ============
$ 11.12 $ 11.14 $ 4.63 $ 3.05
============ ============ ============ ============
677,570 472,343 1,277,337 2,190,977
============ ============ ============ ============
See Notes to Financial Statements Page 45
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (UNAUDITED)
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
INVESTMENT INCOME:
Dividends .................................................. $ 312,870 $ 84,789 $ 426,205 $ 786,658
Interest.................................................... 71 39 156 148
Foreign withholding tax on dividend income.................. (31,731) -- -- (22,625)
Other....................................................... -- -- -- 100
------------ ----------- ------------ ------------
Total investment income.................................. 281,210 84,828 426,361 764,281
------------ ----------- ------------ ------------
EXPENSES:
Investment advisory fees.................................... 61,430 21,732 62,413 84,353
Membership Interest servicing fees.......................... 36,330 12,448 36,292 48,170
12b-1 service fees.......................................... 25,596 9,055 26,005 35,147
Custodian fees.............................................. 16,560 4,077 4,553 12,322
Audit fees.................................................. 8,463 8,463 8,463 8,463
Administrative fees......................................... 8,293 2,934 8,426 11,388
Licensing fees.............................................. 8,208 1,088 4,947 --
Printing fees............................................... 2,701 2,742 2,714 2,800
Trustees' fees and expenses................................. 3,173 1,775 2,778 3,525
Legal fees.................................................. 2,955 690 2,354 3,333
Other....................................................... 4,647 2,342 3,392 8,254
------------ ----------- ------------ ------------
Total expenses........................................... 178,356 67,346 162,337 217,755
Fees waived and expenses reimbursed by the investment
advisor .............................................. (27,853) (14,103) (9,426) (11,089)
------------ ----------- ------------ ------------
Net expenses................................................ 150,503 53,243 152,911 206,666
------------ ----------- ------------ ------------
NET INVESTMENT INCOME (LOSS)................................ 130,707 31,585 273,450 557,615
------------ ----------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.............................................. 276,183 467,552 1,136,800 (1,689,181)
Foreign currency transactions............................ -- -- -- (3,723)
------------ ----------- ------------ ------------
Net realized gain (loss).................................... 276,183 467,552 1,136,800 (1,692,904)
------------ ----------- ------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments.............................................. 1,293,739 44,269 (778,688) 4,012,094
Foreign currency translation............................. -- -- -- 2,044
------------ ----------- ------------ ------------
Net change in unrealized appreciation (depreciation)........ 1,293,739 44,269 (778,688) 4,014,138
------------ ----------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 1,569,922 511,821 358,112 2,321,234
------------ ----------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................................ $ 1,700,629 $ 543,406 $ 631,562 $ 2,878,849
============ =========== ============ ============
Page 46 See Notes to Financial Statements
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 90,561 $ 24,668 $ 89,970 $ 63,459
40 31 35 28
-- -- (2,911) (1,908)
-- -- 9 --
------------ ------------ ------------ ------------
90,601 24,699 87,103 61,579
------------ ------------ ------------ ------------
25,834 14,415 20,753 21,864
15,305 8,561 11,888 12,591
10,764 6,006 8,647 9,110
6,793 4,955 17,616 5,151
8,463 8,463 8,463 8,463
3,488 1,946 2,802 2,952
2,484 2,484 2,757 3,952
2,679 2,764 2,668 2,698
1,955 1,774 1,965 1,901
988 671 1,188 1,180
2,264 1,951 4,500 3,207
------------ ------------ ------------ ------------
81,017 53,990 83,247 73,069
(17,723) (18,674) (35,861) (19,502)
------------ ------------ ------------ ------------
63,294 35,316 47,386 53,567
------------ ------------ ------------ ------------
27,307 (10,617) 39,717 8,012
------------ ------------ ------------ ------------
400,372 (24,897) (559,114) (1,693,017)
-- -- -- --
------------ ------------ ------------ ------------
400,372 (24,897) (559,114) (1,693,017)
------------ ------------ ------------ ------------
233,893 803,123 885,381 2,330,629
-- -- -- --
------------ ------------ ------------ ------------
233,893 803,123 885,381 2,330,629
------------ ------------ ------------ ------------
634,265 778,226 326,267 637,612
------------ ------------ ------------ ------------
$ 661,572 $ 767,609 $ 365,984 $ 645,624
============ ============ ============ ============
See Notes to Financial Statements Page 47
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (UNAUDITED)
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
OPERATIONS:
Net investment income (loss)................................ $ 130,707 $ 31,585 $ 273,450 $ 557,615
Net realized gain (loss).................................... 276,183 467,552 1,136,800 (1,692,904)
Net change in unrealized appreciation (depreciation)........ 1,293,739 44,269 (778,688) 4,014,138
------------ ----------- ------------ ------------
Net increase (decrease) in net assets resulting from
operations .............................................. 1,700,629 543,406 631,562 2,878,849
Net increase (decrease) in net assets from Membership
Interest transactions.................................... (2,174,295) (604,344) (3,876,127) 35,276
------------ ----------- ------------ ------------
Net increase (decrease) in net assets....................... (473,666) (60,938) (3,244,565) 2,914,125
NET ASSETS:
Beginning of period......................................... 20,013,321 6,770,350 21,740,915 24,601,564
------------ ----------- ------------ ------------
End of period............................................... $ 19,539,655 $ 6,709,412 $ 18,496,350 $ 27,515,689
============ =========== ============ ============
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2011
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
OPERATIONS:
Net investment income (loss)................................ $ 141,280 $ 91,453 $ 610,462 $ 1,061,320
Net realized gain (loss).................................... 3,394,940 531,384 1,635,495 1,020,452
Net change in unrealized appreciation (depreciation)........ (4,040,729) (189,934) (1,255,506) (4,668,514)
------------ ----------- ------------ ------------
Net increase (decrease) in net assets resulting from
operations .............................................. (504,509) 432,903 990,451 (2,586,742)
Net increase (decrease) in net assets from Membership
Interest transactions.................................... (7,322,490) (459,328) (1,530,236) (9,300,804)
------------ ----------- ------------ ------------
Net increase (decrease) in net assets....................... (7,826,999) (26,425) (539,785) (11,887,546)
NET ASSETS:
Beginning of period......................................... 27,840,320 6,796,775 22,280,700 36,489,110
------------ ----------- ------------ ------------
End of period............................................... $ 20,013,321 $ 6,770,350 $ 21,740,915 $ 24,601,564
============ =========== ============ ============
Page 48 See Notes to Financial Statements
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 27,307 $ (10,617) $ 39,717 $ 8,012
400,372 (24,897) (559,114) (1,693,017)
233,893 803,123 885,381 2,330,629
------------ ------------ ------------ ------------
661,572 767,609 365,984 645,624
(2,314,736) 92,542 (1,454,631) (1,093,569)
------------ ------------ ------------ ------------
(1,653,164) 860,151 (1,088,647) (447,945)
9,188,195 4,403,471 7,005,651 7,134,894
------------ ------------ ------------ ------------
$ 7,535,031 $ 5,263,622 $ 5,917,004 $ 6,686,949
============ ============ ============ ============
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 15,328 $ (60,391) $ 81,684 $ (112,169)
1,536,111 1,341,288 843,673 2,583,438
(1,037,348) (1,162,853) (2,371,729) (4,963,046)
------------ ------------ ------------ ------------
514,091 118,044 (1,446,372) (2,491,777)
(821,473) (3,416,639) (2,263,449) (2,975,546)
------------ ------------ ------------ ------------
(307,382) (3,298,595) (3,709,821) (5,467,323)
9,495,577 7,702,066 10,715,472 12,602,217
------------ ------------ ------------ ------------
$ 9,188,195 $ 4,403,471 $ 7,005,651 $ 7,134,894
============ ============ ============ ============
See Notes to Financial Statements Page 49
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS - MEMBERSHIP INTEREST ACTIVITY
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (UNAUDITED)
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
AMOUNT:
Sold........................................................ $ 789,465 $ 1,711,747 $ 12,340,465 $ 4,318,866
Redeemed.................................................... (2,963,760) (2,316,091) (16,216,592) (4,283,590)
------------ ----------- ------------ ------------
Net increase (decrease)..................................... $ (2,174,295) $ (604,344) $ (3,876,127) $ 35,276
------------ ----------- ------------ ------------
MEMBERSHIP INTEREST:
Sold........................................................ 79,339 149,238 1,221,476 196,242
Redeemed.................................................... (295,173) (200,881) (1,618,420) (200,659)
------------ ----------- ------------ ------------
Net increase (decrease)..................................... (215,834) (51,643) (396,944) (4,417)
============ =========== ============ ============
FIRST DEFINED PORTFOLIO FUND, LLC
STATEMENTS OF CHANGES IN NET ASSETS - MEMBERSHIP INTEREST ACTIVITY
FOR THE YEAR ENDED DECEMBER 31, 2011
THE DOW(R) GLOBAL
TARGET THE DOW(R) TARGET DIVIDEND
MANAGED VIP DART 10 DIVIDEND TARGET 15
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
AMOUNT:
Sold........................................................ $ 4,870,316 $ 3,185,931 $ 9,728,762 $ 4,598,742
Redeemed.................................................... (12,192,806) (3,645,259) (11,258,998) (13,899,546)
------------ ----------- ------------ ------------
Net increase (decrease)..................................... $ (7,322,490) $ (459,328) $ (1,530,236) $ (9,300,804)
------------ ----------- ------------ ------------
MEMBERSHIP INTEREST:
Sold........................................................ 491,466 305,684 1,021,990 220,784
Redeemed.................................................... (1,275,953) (356,210) (1,213,083) (686,959)
------------ ----------- ------------ ------------
Net increase (decrease)..................................... (784,487) (50,526) (191,093) (466,175)
============ =========== ============ ============
Page 50 See Notes to Financial Statements
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 1,329,511 $ 2,059,782 $ 447,787 $ 234,638
(3,644,247) (1,967,240) (1,902,418) (1,328,207)
------------ ------------ ------------ ------------
$ (2,314,736) $ 92,542 $ (1,454,631) $ (1,093,569)
============ ============ ============ ============
122,201 186,224 97,757 77,279
(338,953) (182,597) (410,238) (426,353)
------------ ------------ ------------ ------------
(216,752) 3,627 (312,481) (349,074)
============ ============ ============ ============
FIRST TRUST
S&P(R) NASDAQ(R) TARGET VALUE LINE(R)
TARGET 24 TARGET 15 FOCUS FOUR TARGET 25
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
$ 9,210,189 $ 3,641,426 $ 5,467,132 $ 1,768,615
(10,031,662) (7,058,065) (7,730,581) (4,744,161)
------------ ------------ ------------ ------------
$ (821,473) $ (3,416,639) $ (2,263,449) $ (2,975,546)
============ ============ ============ ============
903,545 358,143 1,120,376 534,953
(1,013,467) (720,325) (1,696,406) (1,374,189)
------------ ------------ ------------ ------------
(109,922) (362,182) (576,030) (839,236)
============ ============ ============ ============
See Notes to Financial Statements Page 51
TARGET MANAGED VIP PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period.... $ 9.37 $ 9.53 $ 8.00 $ 7.08 $ 12.83 $ 11.72
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... 0.06 0.05 0.07 0.06 0.08 0.07
Net realized and unrealized gain (loss) 0.74 (0.21) 1.46 0.86 (5.83) 1.04
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.80 (0.16) 1.53 0.92 (5.75) 1.11
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 10.17 $ 9.37 $ 9.53 $ 8.00 $ 7.08 $ 12.83
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) ....................... 8.54% (c) (1.68)% (c) 19.13% (c) 12.99% (c) (44.82)% (c) 9.47%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 19,540 $ 20,013 $ 27,840 $ 31,149 $ 32,281 $174,134
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 1.74% (d) 1.69% 1.70% 1.66% 1.51% 1.35%
Ratio of expenses to average net assets 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.35%
Ratio of net investment income (loss)
to average net assets ................ 1.28% (d) 0.55% 0.81% 0.82% 0.75% 0.53%
Portfolio turnover rate ................ 69% 89% 101% 111% 155% 88%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
Page 52 See Notes to Financial Statements
THE DOW(R) DART 10 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period $ 10.89 $ 10.11 $ 8.66 $ 7.60 $ 10.63 $ 10.56
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... 0.05 0.17 0.20 0.14 0.13 0.11
Net realized and unrealized gain (loss) 0.83 0.61 1.25 0.92 (3.16) (0.04)
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.88 0.78 1.45 1.06 (3.03) 0.07
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 11.77 $ 10.89 $ 10.11 $ 8.66 $ 7.60 $ 10.63
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) (c).................... 8.08% 7.72% 16.74% 13.95% (28.50)% 0.66%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 6,709 $ 6,770 $ 6,797 $ 5,447 $ 7,081 $ 16,172
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 1.86% (d) 1.96% 2.09% 2.13% 1.81% 1.56%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income (loss)
to average net assets ................ 0.87% (d) 1.61% 2.24% 2.00% 1.42% 1.01%
Portfolio turnover rate ................ 68% 95% 104% 108% 105% 98%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
See Notes to Financial Statements Page 53
THE DOW(R) TARGET DIVIDEND PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period $ 9.88 $ 9.32 $ 8.00 $ 7.01 $ 11.79 $ 11.66
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... 0.13 0.28 0.24 0.18 0.28 0.25
Net realized and unrealized gain (loss) 0.25 0.28 1.08 0.81 (5.06) (0.12)
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.38 0.56 1.32 0.99 (4.78) 0.13
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 10.26 $ 9.88 $ 9.32 $ 8.00 $ 7.01 $ 11.79
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) ....................... 3.85% (c) 6.01% (c) 16.50% (c) 14.12% (c) (40.54)% (c) 1.12%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 18,496 $ 21,741 $ 22,281 $ 22,557 $ 20,369 $ 82,900
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 1.56% (d) 1.58% 1.60% 1.67% 1.47% 1.36%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.36%
Ratio of net investment income (loss)
to average net assets ................ 2.63% (d) 2.92% 2.77% 2.83% 2.76% 2.06%
Portfolio turnover rate ................ 131% 107% 104% 109% 172% 83%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
Page 54 See Notes to Financial Statements
GLOBAL DIVIDEND TARGET 15 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period $ 19.63 $ 21.22 $ 19.34 $ 13.71 $ 23.96 $ 21.14
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... 0.43 0.71 0.52 0.11 0.72 0.60
Net realized and unrealized gain (loss) 1.97 (2.30) 1.36 5.52 (10.97) 2.22
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 2.40 (1.59) 1.88 5.63 (10.25) 2.82
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 22.03 $ 19.63 $ 21.22 $ 19.34 $ 13.71 $ 23.96
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) ....................... 12.23% (c) (7.49)% (c) 9.72% (c) 41.06% (c) (42.78)% (c) 13.34%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 27,516 $ 24,602 $ 36,489 $ 46,885 $ 36,063 $173,741
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 1.55% (d) 1.54% 1.53% 1.53% 1.53% 1.39%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.39%
Ratio of net investment income (loss) to
average net assets ................... 3.97% (d) 3.39% 2.69% 0.71% 3.47% 2.56%
Portfolio turnover rate ................ 47% 47% 123% 84% 105% 60%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
See Notes to Financial Statements Page 55
S&P(R) TARGET 24 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period ... $ 10.27 $ 9.46 $ 7.93 $ 6.97 $ 9.66 $ 9.28
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) ........... 0.03 (a) 0.02 (a) 0.04 (a) 0.07 (a) 0.01 0.04 (a)
Net realized and unrealized gain (loss) 0.82 0.79 1.49 0.89 (2.70) 0.34
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.85 0.81 1.53 0.96 (2.69) 0.38
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 11.12 $ 10.27 $ 9.46 $ 7.93 $ 6.97 $ 9.66
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) (c) ................... 8.28% 8.56% 19.29% 13.77% (27.85)% 4.10%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 7,535 $ 9,188 $ 9,496 $ 9,292 $ 7,758 $ 15,789
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 1.88% (d) 1.81% 1.95% 2.07% 1.83% 1.55%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income (loss)
to average net assets ................ 0.63% (d) 0.16% 0.46% 0.97% 0.10% 0.43%
Portfolio turnover rate ................ 100% 161% 135% 142% 202% 115%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
Page 56 See Notes to Financial Statements
NASDAQ(R) TARGET 15 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period ... $ 9.39 $ 9.27 $ 7.11 $ 6.08 $ 12.38 $ 10.17
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... (0.02) (0.10) 0.12 (0.04) (0.07) (0.04)
Net realized and unrealized gain (loss) 1.77 0.22 2.04 1.07 (6.23) 2.25
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 1.75 0.12 2.16 1.03 (6.30) 2.21
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 11.14 $ 9.39 $ 9.27 $ 7.11 $ 6.08 $ 12.38
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) (c) ................... 18.64% 1.29% 30.38% 16.94% (50.89)% 21.73%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 5,264 $ 4,403 $ 7,702 $ 2,821 $ 3,177 $ 11,316
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 2.25% (d) 2.01% 2.49% 2.93% 2.13% 1.76%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.47%
Ratio of net investment income (loss)
to average net assets ................ (0.44)% (d) (1.02)% 1.52% (0.68)% (0.79)% (0.34)%
Portfolio turnover rate ................ 108% 127% 100% 194% 181% 161%
-----------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
See Notes to Financial Statements Page 57
FIRST TRUST TARGET FOCUS FOUR PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07 (a)
-------- -------- -------- -------- -------- ------------
Net asset value, beginning of period ... $ 4.41 $ 4.95 $ 4.16 $ 3.23 $ 5.75 $ 5.44
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) ....... 0.03 0.04 0.04 0.03 0.07 0.09
Net realized and unrealized gain (loss) 0.19 (0.58) 0.75 0.90 (2.59) 0.22
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.22 (0.54) 0.79 0.93 (2.52) 0.31
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 4.63 $ 4.41 $ 4.95 $ 4.16 $ 3.23 $ 5.75
======== ======== ======== ======== ======== ========
TOTAL RETURN (c) (d) ................... 4.99% (10.91)% 18.99% 28.79% (43.83)% 5.70%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 5,917 $ 7,006 $ 10,715 $ 11,204 $ 4,708 $ 12,708
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 2.41% (e) 2.08% 2.01% 2.29% 2.97% 1.92%
Ratio of expenses to average net
assets ............................... 1.37% (e) 1.37% 1.37% 1.37% 1.37% 1.37%
Ratio of net investment income (loss)
to average net assets ................ 1.15% (e) 0.79% 0.95% 0.92% 1.40% 1.54%
Portfolio turnover rate ................ 76% 124% 110% 81% 248% 130%
-----------------------------
(a) Effective November 19, 2007, the Portfolio changed its name from First
Trust 10 Uncommon Values Portfolio to First Trust Target Focus Four
Portfolio.
(b) Per Membership Interest values have been calculated using the average
share method.
(c) Total return is not annualized for periods less than one year. 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.
(d) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(e) Annualized.
Page 58 See Notes to Financial Statements
VALUE LINE(R) TARGET 25 PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A MEMBERSHIP INTEREST OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/12 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/11 12/31/10 12/31/09 12/31/08 12/31/07
-------- -------- -------- -------- -------- --------
Net asset value, beginning of period $ 2.81 $ 3.73 $ 2.86 $ 2.67 $ 5.91 $ 5.00
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (a) ....... 0.00 (e) (0.04) (0.03) (0.02) (0.01) (0.02)
Net realized and unrealized gain (loss) 0.24 (0.88) 0.90 0.21 (3.23) 0.93
-------- -------- -------- -------- -------- --------
Total from investment operations ....... 0.24 (0.92) 0.87 0.19 (3.24) 0.91
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 3.05 $ 2.81 $ 3.73 $ 2.86 $ 2.67 $ 5.91
======== ======== ======== ======== ======== ========
TOTAL RETURN (b) ....................... 8.54% (c) (24.66)% (c) 30.42% (c) 7.12% (c) (54.82)% (c) 18.20%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 6,687 $ 7,135 $ 12,602 $ 11,211 $ 15,186 $ 43,998
Ratio of expenses to average net assets
without fee waivers and expenses
reimbursed ........................... 2.01% (d) 1.81% 1.83% 1.80% 1.51% 1.41%
Ratio of expenses to average net
assets ............................... 1.47% (d) 1.47% 1.47% 1.47% 1.47% 1.41%
Ratio of net investment income (loss)
to average net assets ................ 0.22% (d) (1.10)% (0.82)% (0.63)% (0.22)% (0.37)%
Portfolio turnover rate ................ 102% 129% 103% 119% 142% 110%
-------------------------
(a) Per Membership Interest values have been calculated using the average
share method.
(b) Total return is not annualized for periods less than one year. 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.
(c) The total return would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
1. FUND DESCRIPTION
First Defined Portfolio Fund, LLC (the "Registrant") 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 eight managed investment portfolios (each a "Portfolio"
and collectively, the "Portfolios") as follows:
Target Managed VIP Portfolio
The Dow(R) DART 10 Portfolio
The Dow(R) Target Dividend Portfolio
Global Dividend Target 15 Portfolio
S&P(R) Target 24 Portfolio
NASDAQ(R) Target 15 Portfolio
First Trust Target Focus Four Portfolio
Value Line(R) Target 25 Portfolio
Under Delaware law, a limited liability company does not issue shares of stock.
Instead, ownership rights are contained in Portfolio Membership Interests (each
an "Interest," and collectively, the "Interests"). Each Interest represents an
undivided interest in the net assets of the applicable Portfolio. Interests are
not offered directly to the public. Interests are sold only to Prudential
Annuities Life Assurance Corporation Variable Account B ("Account B"), a
separate account of Prudential Annuities Life Assurance Corporation
("Prudential"), to fund the benefits of variable annuity policies (the
"Policies") issued by Prudential. 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 Interests.
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:
The net asset value ("NAV") of each Interest is determined daily as of the close
of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. If the NYSE closes early
on a valuation day, the NAV is determined as of that time. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Interest is
calculated by dividing the value of all assets of a Portfolio (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid, and any borrowings of the Portfolio) by the total
number of Interests outstanding.
Each Portfolio's investments are valued daily in accordance with valuation
procedures adopted by the Registrant's Board of Trustees, and in accordance with
provisions of the 1940 Act. All securities and other assets of a Portfolio
initially expressed in foreign currencies will be converted to U.S. dollars
using exchange rates in effect at the time of valuation. The following
securities, for which accurate and reliable market quotations are readily
available, will be valued as follows:
Common stocks, and other securities listed on any national or foreign
exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
Stock Exchange Alternative Investment Market ("AIM")) are valued at the
last sale price on the exchange on which they are principally traded. If
there are no transactions on the valuation day, the securities are valued
at the mean between the most recent bid and asked prices.
Securities listed on the NASDAQ or the AIM are valued at the official
closing price. If there is no official closing price on the valuation day,
the securities are valued at the mean between the most recent bid and
asked prices.
Securities traded in the over-the-counter market are valued at their
closing bid prices.
Short-term investments that mature in less than 60 days when purchased are
valued at amortized cost.
All market quotations used in valuing a Portfolio's securities will be obtained
from a third party pricing service. If no quotation is received from a pricing
service, attempts will be made to obtain one or more broker quotes for the
security. In the event the pricing service does not provide a valuation, broker
quotations are not readily available, or the valuations received are deemed
unreliable, the
Page 60
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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
Registrant's Board of Trustees has designated First Trust Advisors L.P. ("First
Trust") to use a fair value method to value a Portfolio's securities.
Additionally, if events occur after the close of the principal markets for
certain securities (e.g., domestic debt and foreign securities) that could
materially affect a Portfolio's NAV, First Trust will use a fair value method to
value a Portfolio's securities. The use of fair value pricing is governed by
valuation procedures adopted by the Registrant's Board of Trustees, and in
accordance with the provisions of the 1940 Act. As a general principle, the fair
value of a security is the amount which a Portfolio might reasonably expect to
receive for the security upon its current sale. However, in light of the
judgment involved in fair valuations, there can be no assurance that a fair
value assigned to a particular security will be the amount which a Portfolio
might be able to receive upon its current sale. Fair valuation of a security
will be based on the consideration of all available information, including, but
not limited to the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
If the securities in question are foreign securities, the following additional
information may be considered:
1) the value of similar foreign securities traded on other foreign
markets;
2) ADR trading of similar securities;
3) foreign currency exchange activity;
4) the trading prices of financial products that are tied to baskets of
foreign securities;
5) factors relating to the event that precipitated the pricing problem;
6) whether the event is likely to recur; and
7) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.
The Portfolios are subject to fair value accounting standards that define fair
value, establish the framework for measuring fair value and provide a
three-level hierarchy for fair valuation based upon the inputs to the valuation
as of the measurement date. The three levels of the fair value hierarchy are as
follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient
frequency and volume to provide pricing information on an
ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in
markets that are non-active. A non-active market is a
market where there are few transactions for the
investment, the prices are not current, or price
quotations vary substantially either over time or among
market makers, or in which little information is released
publicly.
o Inputs other than quoted prices that are observable for
the security (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and
default rates).
o Inputs that are derived principally from or corroborated
by observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions
about the assumptions that market participants would use in
pricing the investment.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Portfolio's investments as of June 30, 2012, is
included with the Portfolio's Portfolio of Investments.
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, including amortization of premiums and accretion of
discounts.
Page 61
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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
--------------------------------------------------------------------------------
FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
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" 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 "Net realized gain (loss) on foreign currency transactions" on
the Statements of Operations. Unrealized appreciation of $844 from dividends
receivable in foreign currencies is included in "Dividends receivable" on the
Statement of Assets and Liabilities for the Global Dividend Target 15 Portfolio.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Distributions 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 distributions 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 Prudential 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
distributions have been paid by any of the Portfolios and 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
generally allocated to all the Portfolios based upon the average net assets of
each Portfolio.
The Registrant has entered into an Administrative Services Agreement (the
"Agreement") with Prudential whereby Prudential provides certain Membership
Interests servicing reasonably necessary for the operations of the Portfolios
other than the management services provided by First Trust pursuant to the
Investment Advisory and Management Agreement. As compensation for the services
rendered under the Agreement, Prudential is paid fees at an annual rate of 0.30%
of average daily net assets from the Portfolios. These fees are included in
"Membership Interest servicing fees" on the Statements of Operations.
First Trust has entered into various licensing agreements, which allow First
Trust to use certain trademarks and trade names of the applicable licensors (see
Licensing Information in the Additional Information section of this report). The
Portfolios are sub-licensees to these license agreements and are required to pay
licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS
First Trust, the investment advisor to the Portfolios, is a limited partnership
with one limited partner, Grace Partners of DuPage L.P., and one general
partner, The Charger Corporation. 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, 2013, 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 Target Focus Four Portfolio
and 1.47% for each of the other Portfolios' average daily net assets. Expenses
reimbursed and fees waived by First Trust under the Expense Reimbursement, Fee
Waiver and Recovery Agreement are subject to recovery by First Trust for up to
three years from the date the fee or expense was incurred, but no reimbursement
payment will be made by the Portfolio if it results in the Portfolio exceeding
an expense ratio equal to the expense cap in place at the time the expenses or
fees were reimbursed or
Page 62
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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
waived by First Trust. These amounts would be included in "Expenses previously
waived or reimbursed" on the Statements of Operations. The advisory fee waivers
and expense reimbursements for the six months ended June 30, 2012 and the
expenses borne by First Trust subject to recovery from each Portfolio at June
30, 2012 were as follows:
EXPENSES BORNE BY FIRST TRUST SUBJECT TO RECOVERY
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED SIX MONTHS
FEES EXPENSES DECEMBER DECEMBER DECEMBER ENDED
WAIVED REIMBURSED 31, 2009 31, 2010 31, 2011 JUNE 30, 2012 TOTAL
---------- ---------- ---------- ---------- ---------- ------------- ----------
Target Managed VIP
Portfolio.................. $ 27,853 $ -- $ 16,011 $ 62,766 $ 56,401 $ 27,853 $ 163,031
The Dow(R) Dart 10
Portfolio.................. 14,103 -- 16,230 33,855 27,884 14,103 92,072
The Dow(R) Target Dividend
Portfolio.................. 9,426 -- 14,019 28,538 22,017 9,426 74,000
Global Dividend Target 15
Portfolio.................. 11,089 -- 429 24,765 22,253 11,089 58,536
S&P(R) Target 24
Portfolio.................. 17,723 -- 20,697 38,449 32,445 17,723 109,314
NASDAQ(R) Target 15
Portfolio.................. 14,415 4,259 19,161 40,900 32,132 18,674 110,867
First Trust Target Focus Four
Portfolio.................. 20,753 15,108 25,171 67,821 73,400 35,861 202,253
Value Line(R) Target 25
Portfolio ................. 19,502 -- 17,662 40,655 34,798 19,502 112,617
BNY Mellon Investment Servicing (US) Inc. serves as the Registrant's
Administrator, Fund Accountant and Transfer Agent in accordance with certain fee
arrangements. The Bank of New York Mellon serves as the Registrant's Custodian
in accordance with certain fee arrangements.
Effective January 23, 2012, James A. Bowen resigned from his position as the
President and Chief Executive Officer of the Registrant. He will continue as a
Trustee, the Chairman of the Board of Trustees and a member of the Executive
Committee. The Board elected Mark R. Bradley to serve as the President and Chief
Executive Officer of the Registrant and James M. Dykas to serve as the
Treasurer, Chief Financial Officer and Chief Accounting Officer of the
Registrant.
Effective January 1, 2012, each Trustee who is not an officer or employee of
First Trust, any sub-advisor or any of their affiliates ("Independent Trustees")
is paid a fixed annual retainer of $125,000 per year and an annual per fund fee
of $4,000 for each closed-end fund or other actively managed fund and $1,000 for
each index fund in the First Trust Fund Complex. The fixed annual retainer is
allocated pro rata among each fund in the First Trust Fund Complex based on net
assets. Prior to January 1, 2012, each Independent Trustee received an annual
retainer of $10,000 per trust for the first 14 trust of the First Trust Fund
Complex and an annual retainer of $7,500 per trust for each additional trust in
the First Trust Fund Complex. The annual retainer was allocated equally among
each of the trusts.
Additionally, the Lead Independent Trustee is paid $15,000 annually, the
Chairman of the Audit Committee is paid $10,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
is paid $5,000 annually to serve in such capacities, with such compensation
allocated pro rata among each fund in the First Trust Fund Complex based on net
assets. Prior to January 1, 2012, the annual amounts paid were $10,000, $5,000
and $2,500, respectively. Trustees are reimbursed for travel and out-of-pocket
expenses in connection with all meetings. The Lead Independent Trustee and each
Committee chairman will serve two-year terms before rotating to serve as
chairman of another committee or as Lead Independent Trustee. The officers and
"Interested" Trustee receive no compensation from the trusts for acting in such
capacities.
4. DISTRIBUTION PLAN
The Registrant, on behalf of each Portfolio, 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 Portfolios 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 Prudential 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
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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
addition, the Plan permits First Trust to use a portion of its advisory fee to
compensate FTP for expenses incurred in connection with the sale and
distribution of a Portfolio's Interests 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 Registrant's Board of Trustees.
During the six months ended June 30, 2012, all service fees received by FTP were
paid to Prudential, 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 Registrant's Board of
Trustees and a vote of the Independent 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 six months ended June 30, 2012,
were as follows:
PURCHASES SALES
------------- -------------
Target Managed VIP Portfolio ................ $13,983,886 $15,949,841
The Dow(R) DART 10 Portfolio ................ 4,832,658 5,396,105
The Dow(R) Target Dividend Portfolio ........ 26,092,620 29,047,567
Global Dividend Target 15 Portfolio ......... 12,882,446 13,000,221
S&P(R) Target 24 Portfolio .................. 8,494,264 10,812,924
NASDAQ(R) Target 15 Portfolio ............... 5,141,511 5,153,988
First Trust Target Focus Four Portfolio ..... 5,168,318 6,684,315
Value Line(R) Target 25 Portfolio ........... 7,323,954 8,401,192
6. MEMBERSHIP INTERESTS
The Registrant has authorized an unlimited number of Membership Interests
without par value of one or more series.
7. INDEMNIFICATION
The Registrant has a variety of indemnification obligations under contracts with
its service providers. The Registrant's maximum exposure under these
arrangements is unknown. However, the Registrant has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. RISK CONSIDERATIONS
Risks are inherent in all investing. The following summarizes some of the risks
that should be considered for the Portfolios. For additional information about
the risks associated with investing in the Portfolios, please see the
Portfolios' prospectus and statement of additional information, as well as other
regulatory filings.
MARKET RISK: The principal risk of investing in the Portfolios is market risk.
Market risk is the risk that a particular stock in a Portfolio, the Portfolio
itself or stocks in general may fall in value. In 2008 and early 2009,
securities markets were significantly negatively affected by the financial
crises that initially resulted from the downturn in the subprime mortgage market
in the U.S. The impact of the financial crises on securities markets has proven
to be significant and may be long lasting and may have a substantial impact on
the value of the Portfolios. As with any mutual fund investment, loss of money
is a risk of investing. Shares are subject to market fluctuations caused by such
factors as economic, political, regulatory or market developments, changes in
interest rates and perceived trends in stock prices. Overall stock values could
decline generally or could underperform other investments.
NON-U.S. SECURITIES INVESTMENT RISK: The Portfolios may invest in non-U.S.
securities. Investing in securities of non-U.S. companies and non-U.S.
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 non-U.S. companies and non-U.S.
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.
Page 64
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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
NON-DIVERSIFICATION RISK: 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 issuers in which it
invests.
INVESTMENT STRATEGY RISK: Each Portfolio is also exposed to additional market
risk due to its policy of investing in accordance with an investment strategy.
As a result of this policy, securities held by the Portfolios will generally not
be bought or sold in response to market fluctuations and the securities may be
issued by companies concentrated in a particular industry. Each Portfolio's
relative lack of diversification, possible concentration in a particular
industry and passive management style may subject investors to greater market
risk than other mutual funds.
SMALL CAP COMPANY RISK: The Target Managed VIP Portfolio and Value Line(R)
Target 25 Portfolio invest in small cap stocks, which presents additional risk.
Small cap stocks are more vulnerable to market conditions, less liquid and
generally experience greater price volatility than stocks of larger
capitalization companies.
FINANCIALS SECTOR RISK: The Portfolios may invest in securities of companies in
the financial sector. The downturn in the U.S. and world economies has adversely
affected banks, thrifts, credit and capital markets, companies involved in the
insurance industry and other companies in the financial sectors.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Portfolios
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
Page 65
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ADDITIONAL INFORMATION
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Fund uses to determine how
to vote proxies and information on how the 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 Fund'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 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 (800) SEC-0330.
BOARD CONSIDERATIONS REGARDING CONTINUATION OF ADVISORY AGREEMENT
The Board of Trustees of First Defined Portfolio Fund, LLC (the "Company"),
including the Independent Trustees, approved the continuation of the Investment
Advisory and Management Agreement (the "Agreement") with First Trust Advisors
L.P. (the "Advisor" or "First Trust") on behalf of the following eight
portfolios of the Company (each a "Fund" and collectively, the "Funds"):
Target Managed VIP Portfolio
The Dow(R) DART 10 Portfolio
The Dow(R) Target Dividend Portfolio
Global Dividend Target 15 Portfolio
S&P(R) Target 24 Portfolio
NASDAQ(R) Target 15 Portfolio
Value Line(R) Target 25 Portfolio
First Trust Target Focus Four Portfolio
The Board approved the continuation of the Agreement for a one-year period
ending March 31, 2013, for each Fund at a meeting held on March 11-12, 2012. The
Board of Trustees determined for each Fund that the continuation of the
Agreement is in the best interests of the Fund in light of the services,
expenses and such other matters as the Board considered to be relevant in the
exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. To assist the Board in its evaluation of the Agreement for
each Fund, the Independent Trustees received a report in advance of the Board
meeting responding to a request for information from counsel to the Independent
Trustees. The report, among other things, outlined the services provided by the
Advisor to each Fund (including the relevant personnel responsible for these
services and their experience); the advisory fee for each Fund as compared to
fees charged to a peer group of Funds compiled by Lipper Inc. ("Lipper"), an
independent source (the "Lipper Expense Group"), and as compared to fees charged
to other clients of the Advisor with similar investment objectives; expenses of
each Fund as compared to expense ratios of the funds in the Fund's Lipper
Expense Group; the nature of expenses incurred in providing services to each
Fund and the potential for economies of scale, if any; financial data on the
Advisor; fall-out benefits to the Advisor; and a summary of the Advisor's
compliance program. Following receipt of this information, counsel to the
Independent Trustees posed follow-up questions to the Advisor, and the
Independent Trustees and their counsel then met separately to discuss the
information provided by the Advisor, including the supplemental responses. The
Board applied its business judgment to determine whether the arrangement between
the Company and the Advisor is a reasonable business arrangement from each
Fund's perspective as well as from the perspective of its interest holders. The
Board considered that interest holders chose to invest or remain invested in a
Fund knowing that the Advisor manages the Fund and knowing the Fund's investment
advisory fee. The Board also considered that the Agreement was approved by
interest holders of each Fund at a meeting held in December 2010.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of services provided under the Agreement. The Board
considered that the Advisor is responsible for the overall management and
administration of the Company and each Fund and reviewed all the services
provided by the Advisor to the Funds. The Board also considered the background
and experience of the persons
Page 66
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ADDITIONAL INFORMATION - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
responsible for the day-to-day management of the Funds. The Board considered the
compliance program that had been developed by the Advisor and the procedures in
place to monitor each Fund's investment program. In light of the information
presented and the considerations made, the Board concluded that the nature,
quality and extent of services provided to the Company and each Fund by the
Advisor under the Agreement have been and are expected to remain satisfactory
and that the Advisor has managed each Fund consistent with its investment
objective and policies.
The Board considered the advisory fees paid by each Fund under the Agreement,
noting that the annual fees for each Fund are 0.60% of average daily net assets.
The Board considered that the Advisor agreed to waive fees and reimburse
expenses of each Fund through December 31, 2013 in order to prevent total annual
operating expenses (excluding extraordinary expenses and brokerage fees) from
exceeding 1.47% of average daily net assets (1.37% for the First Trust Target
Focus Four Portfolio). The Board noted that the Advisor may seek restitution
from each Fund for fees waived and reimbursed through December 31, 2013;
however, such restitution is limited to the extent that it would not cause a
Fund to exceed the expense limitation in place at the time the fees were waived
or expenses reimbursed by the Advisor. The Board also considered the advisory
fees charged by the Advisor to similar funds and other non-fund clients, and
noted that the Advisor does not provide advisory services to institutional
clients that have investment objectives and policies similar to the Funds',
other than to registered investment companies. The Board noted that the Advisor
provides retail separate managed account investment advisory services to a
variety of accounts that have investment objectives and policies similar to the
Funds' and noted the Advisor's standard fee for such services, as well as the
fees charged by First Trust for providing sub-advisory services to registered
investment companies, while also considering the differences in services
provided to the Funds. In addition, the Board received data prepared by Lipper
showing the management fees and expense ratios of each Fund as compared to the
Fund's Lipper Expense Group. The Board discussed with representatives of the
Advisor the limitations of the Lipper Expense Groups, including that (i) pure
index funds were included in many of the Lipper Expense Groups; (ii) many peer
funds had a different Lipper Investment Classification/Objective relative to the
corresponding Fund; and (iii) many of the peer funds are substantially larger
than the Funds. The Board reviewed the Lipper materials, but based on its
discussions with the Advisor, the Board determined that the Lipper data was of
limited value for purposes of its consideration of the renewal of the Agreement.
The Board also considered performance information for each Fund, noting that the
performance information included each Fund's quarterly performance report, which
is part of the process that the Board has established for monitoring each Fund's
performance on an ongoing basis. The Board determined that this process
continues to be effective for reviewing each Fund's performance. In addition to
the Board's ongoing review of performance, the Board also received data prepared
by Lipper comparing each Fund's performance to a broader peer universe and to a
benchmark index. The Board reviewed the Lipper materials, but for similar
reasons to those described above, the Board determined that the performance data
provided by Lipper was of limited value. Because each Fund is non-diversified
and generally invests in a relatively small number of issuers, the Board
considered the difficulties of comparing each Fund to a broad peer universe. The
Board also noted the differences between each Fund and its benchmark index. The
Board noted that changes in the Funds' benchmarks and investment policies over
the years affected the utility of comparisons with peer universe and benchmark
performance over longer-term periods. Based on the information provided and the
Board's ongoing review of each Fund's performance, the Board concluded that each
Fund's performance was consistent with its investment strategies.
On the basis of all the information provided on the fees, expenses and
performance of each Fund, the Board concluded that the advisory fees for each
Fund were reasonable and appropriate in light of the nature, quality and extent
of services provided by the Advisor to each Fund under the Agreement.
The Board noted that the Advisor has continued to invest in personnel and
infrastructure and considered whether fee levels reflect any economies of scale
for the benefit of shareholders. The Board concluded that the advisory fee for
each Fund reflects an appropriate level of sharing of any economies of scale at
current asset levels. The Board also considered the costs of the services
provided and profits (if any) realized by the Advisor from serving as investment
advisor to each Fund for the twelve months ended December 31, 2011, as set forth
in the materials provided to the Board, noting that the Advisor estimated that
it incurred a loss in providing services to each Fund in 2011. In addition, the
Board considered and discussed any ancillary benefits derived by the Advisor
from its relationship with the Company and the Funds and noted that the typical
fall-out benefits to the Advisor such as soft dollars are not present. The Board
concluded that any other fall-out benefits received by the Advisor or its
affiliates would appear to be limited.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of the Company and each Fund. No single
factor was determinative in the Board's analysis.
Page 67
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ADDITIONAL INFORMATION - (CONTINUED)
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FIRST DEFINED PORTFOLIO FUND, LLC
JUNE 30, 2012 (UNAUDITED)
LICENSING INFORMATION
"Dow Jones Industrial Average(SM)," "DJIA(SM)," "The Dow Jones U.S. Select
Dividend Index(SM)," "Dow Industrials(SM)," "The Dow(R)," "Dow 30(SM)," and "The
Dow 10(SM)" are service marks or registered trademarks, as applicable, of Dow
Jones & Company, Inc. ("Dow Jones") and have been licensed for use for certain
purposes by First Trust on behalf of the Registrant. None of the Portfolios,
including, and in particular, Target Managed VIP Portfolio, The Dow(R) Target
Dividend Portfolio, The Dow(R) DART 10 Portfolio and the First Trust Target
Focus Four Portfolio, are endorsed, sold, or promoted by Dow Jones, and Dow
Jones makes no representation regarding the advisability of investing in such
products.
"The NASDAQ-100(R)", "NASDAQ-100 Index(R)", "NASDAQ Stock Market(R)" and
"NASDAQ(R)" are registered trademarks of the Nasdaq OMX Group, Inc. (which with
its affiliates are the "Corporations") and have been licensed for use by First
Trust on behalf of the Registrant. The NASDAQ(R) Target 15 Portfolio and the
Target Managed VIP Portfolio have not been passed on by the Corporations as to
their legality or suitability. The NASDAQ(R) Target 15 Portfolio and the Target
Managed VIP Portfolio are not issued, endorsed, sponsored, managed, sold or
promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE REGISTRANT.
"Standard & Poor's(R)", "S&P(R)", "S&P 500(R)", "Standard & Poor's 500", "500"
"S&P MidCap 400", "Standard & Poor's MidCap 400", "S&P SmallCap 600" and
"Standard & Poor's SmallCap 600" are trademarks of Standard & Poor's Financial
Services LLC and have been licensed for use by First Trust on behalf of the
Registrant. The S&P(R) Target 24 Portfolio, the Target Managed VIP Portfolio and
the First Trust Target Focus Four Portfolio are not sponsored, endorsed, sold or
promoted by Standard & Poor's and Standard & Poor's makes no representation
regarding the advisability of investing in the S&P(R) Target 24 Portfolio, the
Target Managed VIP Portfolio or the First Trust Target Focus Four Portfolio.
Please see the Statement of Additional Information which sets forth certain
additional disclaimers and limitations on behalf of Standard & Poor's.
"Value Line(R)", "The Value Line Investment Survey," and "Value Line
Timeliness(TM) Ranking System" are trademarks of Value Line Securities, Inc. or
Value Line Publishing, Inc. that have been licensed to First Trust on behalf of
the Registrant. The Target Managed VIP Portfolio, the Value Line(R) Target 25
Portfolio and the First Trust Target Focus Four Portfolio are not sponsored,
recommended, sold or promoted by Value Line Publishing, Inc., Value Line, Inc.
or Value Line Securities, Inc. ("Value Line"). Value Line makes no
representation regarding the advisability of investing in the Target Managed VIP
Portfolio, the Value Line(R) Target 25 Portfolio or the First Trust Target Focus
Four Portfolio.
"NYSE(R)" and "NYSE International 100 Index(R)" are registered trademarks of
NYSE Group, Inc. and have been licensed for use for certain purposes by First
Trust. The First Trust Target Focus Four Portfolio, based in part on the NYSE
International 100 Index(R), is not sponsored, endorsed, sold or promoted by NYSE
Group, Inc. or any of its affiliates, and NYSE Group, Inc. and its affiliates
make no representation regarding the advisability of investing in such product.
NYSE Group, Inc. has no relationship to the First Trust Target Focus Four
Portfolio or First Trust other than the licensing of NYSE International 100
Index(R) and its registered trademarks for use in connection with the First
Trust Target Focus Four Portfolio.
Page 68
FIRST TRUST
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 E. Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR,
FUND ACCOUNTANT &
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
CUSTODIAN
The Bank of New York Mellon
1 Wall Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) 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.
(b) Not applicable.
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) Not applicable.
(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/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date August 20, 2012
------------------------
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/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date August 20, 2012
------------------------
By (Signature and Title)* /s/ James M. Dykas
------------------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date August 20, 2012
------------------------
* Print the name and title of each signing officer under his or her signature.