Edgar Filing: FIRST TRUST HIGH INCOME LONG/SHORT FUND

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number 811-22442
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First Trust High Income Long/Short Fund
---------------------------------------------------------------
(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: October 31
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Date of reporting period: January 31, 2013
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

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

ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule of Investments is attached
herewith.

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2013 (UNAUDITED)

PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- --------------------------------------- -------------- -------------- ---------------
CORPORATE BONDS AND NOTES - 82.6%

AUTOMOTIVE - 4.1%

$ 334,000 Chrysler Group LLC/Chrysler Group
Co-Issuer, Inc. ................... 8.00% 06/15/19 $ 367,400
4,367,000 Chrysler Group LLC/Chrysler Group
Co-Issuer, Inc. ................... 8.25% 06/15/21 4,869,205
2,376,000 Ford Motor Co. (a)..................... 9.22% 09/15/21 3,100,680
553,000 Ford Motor Co. (a)..................... 8.90% 01/15/32 742,403
3,000,000 Ford Motor Co. (a)..................... 7.75% 06/15/43 3,532,500
2,480,000 Ford Motor Co. (a)..................... 9.98% 02/15/47 3,583,600
21,432 General Motors Unsecured Claim Trust
Units (Transferable) (b)........... N/A N/A 500,437
5,396,000 Goodyear Tire & Rubber (The) Co. (a)... 7.00% 05/15/22 5,814,190
4,872,000 Navistar International Corp. (a)....... 8.25% 11/01/21 4,811,100
1,682,000 Tomkins Inc., LLC ..................... 9.00% 10/01/18 1,885,942
---------------
29,207,457
---------------

BANKING - 3.7%
740,000 Ally Financial, Inc. (a)............... 8.00% 11/01/31 930,550
2,285,000 Ally Financial, Inc. (a)............... 8.00% 11/01/31 2,899,094
5,610,000 Bank of America Corp. ................. 7.63% 06/01/19 7,143,095
6,750,000 Deutsche Postbank Funding Trust IV
(EUR) (c) (d)...................... 5.98% 06/29/49 8,019,457
3,250,000 Dresdner Funding Trust I (e)........... 8.15% 06/30/31 3,388,125
4,000,000 Fifth Third Capital Trust IV (a) (d)... 6.50% 04/15/37 4,010,000
---------------
26,390,321
---------------

BASIC INDUSTRY - 9.3%
4,500,000 AK Steel Corp. (a)..................... 8.38% 04/01/22 4,140,000
5,250,000 Aleris International, Inc. ............ 7.63% 02/15/18 5,486,250
3,450,000 Alpha Natural Resources, Inc. (a)...... 6.00% 06/01/19 3,122,250
1,255,000 Arch Coal, Inc. ....................... 7.00% 06/15/19 1,138,913
1,428,000 Arch Coal, Inc. ....................... 7.25% 10/01/20 1,285,200
1,125,000 Arch Coal, Inc. ....................... 7.25% 06/15/21 1,012,500
4,405,000 Associated Materials LLC (a)........... 9.13% 11/01/17 4,537,150
3,635,000 Boise Paper Holdings LLC/Boise Finance
Co. (a)............................ 9.00% 11/01/17 3,971,237
1,357,000 Century Aluminum Co. (a)............... 8.00% 05/15/14 1,377,355
3,600,000 Cloud Peak Energy Resources Corp., LLC
(a)................................ 8.25% 12/15/17 3,843,000
6,500,000 Hexion U.S. Finance Corp./Hexion Nova
Scotia Finance ULC (a)............. 8.88% 02/01/18 6,597,500
8,655,000 Huntsman International LLC (a)......... 8.63% 03/15/21 9,953,250
1,300,000 Momentive Performance Materials Inc ... 10.00% 10/15/20 1,319,500
2,725,000 Momentive Performance Materials, Inc. . 9.00% 01/15/21 2,125,500
4,000,000 Polypore International, Inc. (a)....... 7.50% 11/15/17 4,370,000
5,150,000 Texas Industries, Inc. (a)............. 9.25% 08/15/20 5,716,500
4,000,000 USG Corp. (a).......................... 6.30% 11/15/16 4,230,000
1,878,000 USG Corp. (e).......................... 8.38% 10/15/18 2,093,970
---------------
66,320,075
---------------

See Notes to Quarterly Portfolio of Investments Page 1

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

CAPITAL GOODS - 6.4%

$ 4,031,000 American Railcar Industries, Inc. ..... 7.50% 03/01/14 $ 4,048,434
3,265,000 Ducommun, Inc. (a)..................... 9.75% 07/15/18 3,599,663
5,000,000 Manitowoc (The), Inc., Co. (a)......... 8.50% 11/01/20 5,650,000
3,625,000 Mcron Finance Sub LLC/ Mcron Finance
Corp. (e).......................... 8.38% 05/15/19 3,824,375
3,760,000 Mueller Water Products, Inc. (a)....... 7.38% 06/01/17 3,882,200
7,500,000 Reynolds Group Issuer, Inc., LLC (a)... 8.50% 05/15/18 7,912,500
2,085,000 Reynolds Group Issuer, Inc., LLC ...... 9.88% 08/15/19 2,283,075
4,050,000 Terex Corp. ........................... 6.00% 05/15/21 4,262,625
4,000,000 Transdigm, Inc. (a).................... 7.75% 12/15/18 4,465,000
4,650,000 Triumph Group, Inc. (a)................ 8.63% 07/15/18 5,161,500
---------------
45,089,372
---------------

CONSUMER NON-CYCLICAL - 0.4%
2,240,000 Smithfield Foods, Inc. ................ 6.63% 08/15/22 2,458,400
---------------

ENERGY - 9.5%
2,535,000 Atlas Pipeline Partners L.P./Atlas
Pipeline Finance Corp. (e)......... 5.88% 08/01/23 2,531,831
3,540,000 Basic Energy Services, Inc. ........... 7.75% 10/15/22 3,495,750
3,974,000 Berry Petroleum Co. (a)................ 6.75% 11/01/20 4,311,790
5,700,000 Chesapeake Energy Corp. (a)............ 9.50% 02/15/15 6,483,750
600,000 Chesapeake Energy Corp. (a)............ 7.25% 12/15/18 678,000
1,970,000 Chesapeake Energy Corp. (a)............ 6.63% 08/15/20 2,171,925
3,275,000 EP Energy LLC/EP Energy Finance, Inc. . 9.38% 05/01/20 3,684,375
3,000,000 Ferrellgas Finance Corp., L.P. (a)..... 6.50% 05/01/21 3,045,000
800,000 Frontier Oil Corp. (a)................. 6.88% 11/15/18 864,000
4,000,000 Hornbeck Offshore Services, Inc. (a)... 8.00% 09/01/17 4,290,000
2,636,000 Linn Energy LLC/Linn Energy Finance
Corp. (e).......................... 6.25% 11/01/19 2,642,590
4,240,000 Linn Energy LLC/Linn Energy Finance
Corp. ............................. 8.63% 04/15/20 4,695,800
5,500,000 PHI, Inc. (a).......................... 8.63% 10/15/18 6,043,125
5,900,000 Plains Exploration & Production Co. ... 6.50% 11/15/20 6,556,375
3,499,000 Regency Energy Partners L.P./Regency
Energy Finance Corp. (a)........... 9.38% 06/01/16 3,752,678
3,248,000 Samson Investment Co. (e).............. 9.75% 02/15/20 3,471,300
4,750,000 Swift Energy Co. ...................... 8.88% 01/15/20 5,177,500
3,425,000 Targa Resources Partners L.P./Targa
Resources Partners Finance Corp. (a) 7.88% 10/15/18 3,767,500
---------------
67,663,289
---------------

FINANCIAL SERVICES - 7.0%
1,665,000 CIT Group, Inc. ....................... 5.00% 05/15/17 1,785,712
10,000,000 CIT Group, Inc. ....................... 4.25% 08/15/17 10,400,000
10,500,000 GE Capital Trust IV (EUR) (c) (d)...... 4.63% 09/15/66 14,055,008
410,000 General Electric Capital Corp. (EUR) (c)
(d)................................ 5.50% 09/15/67 556,798

Page 2 See Notes to Quarterly Portfolio of Investments

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

FINANCIAL SERVICES - (CONTINUED)

$ 7,500,000 Icahn Enterprises L.P./Icahn
Enterprises Finance Corp. (a)...... 8.00% 01/15/18 $ 8,053,125
8,000,000 SLM Corp. (a).......................... 8.00% 03/25/20 9,300,000
5,000,000 Springleaf Finance Corp. (a)........... 6.90% 12/15/17 4,788,750
700,000 Textron Financial Corp. (d) (e)........ 6.00% 02/15/67 637,000
---------------
49,576,393
---------------

HEALTHCARE - 2.6%
665,000 Alere, Inc. ........................... 9.00% 05/15/16 703,238
5,074,000 Alere, Inc. (e)........................ 7.25% 07/01/18 5,302,330
2,500,000 Davita Healthcare Partners, Inc. ...... 5.75% 08/15/22 2,637,500
5,600,000 HCA Holdings, Inc. .................... 7.75% 05/15/21 6,146,000
3,150,000 Kinetic Concepts, Inc. (e)............. 10.50% 11/01/18 3,386,250
---------------
18,175,318
---------------

INSURANCE - 7.9%
2,450,000 American International Group, Inc.
(EUR) (c) (d)...................... 8.00% 05/22/38 3,884,758
1,800,000 American International Group, Inc.
(EUR) (c) (d)...................... 4.88% 03/15/67 2,260,723
3,050,000 American International Group, Inc.
(GBP) (c) (d)...................... 8.63% 05/22/38 5,974,049
10,950,000 American International Group, Inc.
(GBP) (c) (d)...................... 5.75% 03/15/67 16,511,317
5,000,000 CHUBB Corp. (a) (d).................... 6.38% 03/29/67 5,462,500
11,000,000 Glen Meadow Pass Through Trust (d) (e). 6.51% 02/12/67 10,257,500
6,500,000 Liberty Mutual Group, Inc. (d) (e)..... 7.00% 03/15/37 6,565,000
3,500,000 Lincoln National Corp. (a) (d)......... 7.00% 05/17/66 3,608,500
1,800,000 Lincoln National Corp. (a) (d)......... 6.05% 04/20/67 1,813,500
---------------
56,337,847
---------------

MEDIA - 1.1%
3,931,000 Clear Channel Communications, Inc.
(a)................................ 5.50% 12/15/16 2,614,115
1,800,000 Clear Channel Communications, Inc.
(a)................................ 9.00% 03/01/21 1,683,000
456,000 Clear Channel Worldwide Holdings,
Inc. .............................. 7.63% 03/15/20 474,240
3,193,000 Clear Channel Worldwide Holdings,
Inc. .............................. 7.63% 03/15/20 3,352,650
---------------
8,124,005
---------------

SERVICES - 16.8%
4,432,448 American Airlines Pass Through Trust
2001-01 ........................... 6.98% 05/23/21 4,377,043
3,500,000 ARAMARK Corp. (a)...................... 8.50% 02/01/15 3,526,285
1,095,000 Ashtead Capital, Inc. (e).............. 6.50% 07/15/22 1,193,550
5,500,000 Avis Budget Car Rental LLC/Avis Budget
Finance, Inc. (a).................. 9.63% 03/15/18 6,132,500
1,426,000 Avis Budget Car Rental LLC/Avis Budget
Finance, Inc. (a).................. 8.25% 01/15/19 1,586,425
6,500,000 Beazer Homes USA, Inc. (a)............. 8.13% 06/15/16 7,101,250
5,228,240 Continental Airlines 2003-ERJ1 Pass
Through Trust ..................... 7.88% 07/02/18 5,437,369

See Notes to Quarterly Portfolio of Investments Page 3

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

SERVICES - (CONTINUED)

$ 2,543,576 Continental Airlines 2005-ERJ1 Pass
Through Trust ..................... 9.80% 04/01/21 $ 2,864,702
1,649,381 Delta Air Lines 2009-1 Series B Pass
Through Trust ..................... 9.75% 12/17/16 1,847,307
9,000,000 Harrah's Operating, Inc., Co. ......... 10.00% 12/15/18 6,030,000
8,000,000 Hertz (The) Corp. ..................... 7.50% 10/15/18 8,820,000
5,250,000 Iron Mountain, Inc. (a)................ 8.38% 08/15/21 5,814,375
3,500,000 Isle of Capri Casinos, Inc. (a)........ 7.75% 03/15/19 3,797,500
4,160,000 K Hovnanian Enterprises, Inc. (e)...... 7.25% 10/15/20 4,596,800
1,000,000 MGM Resorts International (e).......... 6.75% 10/01/20 1,052,500
3,500,000 Mohegan Tribal Gaming Authority (e).... 10.50% 12/15/16 3,526,250
3,236,793 Northwest Airlines 2001-1 Class B Pass
Through Trust ..................... 7.69% 04/01/17 3,431,001
4,127,000 Pinnacle Entertainment, Inc. .......... 7.75% 04/01/22 4,436,525
1,780,000 Pulte Group, Inc. (a).................. 7.63% 10/15/17 2,100,400
4,570,000 Pulte Group, Inc. (a).................. 7.88% 06/15/32 5,118,400
3,319,000 Shea Homes L.P./Shea Homes Funding
Corp. ............................. 8.63% 05/15/19 3,733,875
5,500,000 Standard Pacific Corp. (a)............. 8.38% 05/15/18 6,517,500
3,079,825 UAL 2009-2B Pass Through Trust (e)..... 12.00% 01/15/16 3,387,808
7,000,000 United Air Lines, Inc. (e)............. 12.00% 11/01/13 7,000,000
375,000 United Rentals North America, Inc. .... 7.38% 05/15/20 414,375
7,062,000 United Rentals North America, Inc.
(a)................................ 8.38% 09/15/20 7,821,165
367,000 United Rentals North America, Inc. .... 7.63% 04/15/22 411,040
6,971,154 US Airways 2000-3C Pass Through
Trust ............................. 8.39% 03/01/22 6,971,154
---------------
119,047,099
---------------

TECHNOLOGY & ELECTRONICS - 5.2%
5,500,000 Alcatel-Lucent USA, Inc. (a)........... 6.45% 03/15/29 4,317,500
5,675,000 CommScope, Inc. (e).................... 8.25% 01/15/19 6,228,312
9,050,000 First Data Corp. (e)................... 8.88% 08/15/20 10,068,125
8,834,000 Freescale Semiconductor, Inc. (e)...... 10.13% 03/15/18 9,805,740
6,460,000 Sungard Data Systems, Inc. (e)......... 6.63% 11/01/19 6,702,250
---------------
37,121,927
---------------

TELECOMMUNICATIONS - 6.0%
7,000,000 Frontier Communications Corp. (a)...... 9.00% 08/15/31 7,630,000
2,411,000 Hughes Satellite Systems Corp. (a)..... 7.63% 06/15/21 2,772,650
3,500,000 MetroPCS Wireless, Inc. (a)............ 7.88% 09/01/18 3,806,250
10,000,000 Sprint Capital Corp. (a)............... 8.75% 03/15/32 11,850,000
2,600,000 Sprint Nextel Corp. ................... 9.13% 03/01/17 3,068,000
6,000,000 Sprint Nextel Corp. (a)................ 9.25% 04/15/22 7,290,000
2,428,000 Viasat, Inc. .......................... 6.88% 06/15/20 2,604,030
3,200,000 Windstream Corp. (e)................... 6.38% 08/01/23 3,224,000
---------------
42,244,930
---------------

UTILITY - 2.6%
6,736,000 Calpine Corp. (e)...................... 7.88% 07/31/20 7,460,120

Page 4 See Notes to Quarterly Portfolio of Investments

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

UTILITY - (CONTINUED)

$ 3,350,000 Energy Future Intermediate Holding Co.,
LLC/Energy Future Intermediate
Holding Finance, Inc. (a).......... 10.00% 12/01/20 $ 3,860,875
5,000,000 NRG Energy, Inc. (a)................... 8.25% 09/01/20 5,675,000
2,150,000 Texas Competitive Electric Holdings Co.
LLC/Texas Competitive Electric
Holdings Finance, Inc. (e)......... 11.50% 10/01/20 1,709,250
---------------
18,705,245
---------------
TOTAL CORPORATE BONDS AND NOTES .................................... 586,461,678
---------------

PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
---------------- --------------------------------------- -------------- -------------- ---------------
FOREIGN CORPORATE BONDS AND NOTES - 29.5%

BANKING - 7.7%

6,500,000 ABN AMRO Bank N.V. (EUR) (d)........... 4.31% 03/29/49 7,500,475
2,200,000 Barclays Bank PLC (GBP) ............... 10.00% 05/21/21 4,587,946
2,000,000 Belfius Funding N.V. (GBP) (f)......... 1.23% 02/09/17 2,632,748
8,264,000 Canada Square Operations PLC (GBP) (d). 7.50% 05/29/49 13,151,759
5,325,000 HBOs Capital Funding L.P. (GBP) (d).... 6.46% 11/30/18 7,812,007
3,300,000 IKB Deutsche Industriebank AG (EUR) (f) 1.09% 05/28/13 4,413,502
175,000 IKB Deutsche Industriebank AG (EUR) ... 4.50% 07/09/13 237,317
4,350,000 Industrial Senior Trust (USD) (e)...... 5.50% 11/01/22 4,415,250
2,100,000 Mizuho Capital Investment, Ltd. (USD)
(a) (d) (e)........................ 14.95% 12/29/49 2,468,357
3,000,000 National Westminster Bank PLC (GBP)
(d) ............................... 5.98% 01/21/45 3,735,013
3,000,000 Royal Bank of Scotland N.V. (EUR)
(f) ............................... 4.70% 06/10/19 4,093,335
---------------
55,047,709
---------------

BASIC INDUSTRY - 6.1%
3,868,000 Aperam (USD) (e)....................... 7.38% 04/01/16 3,771,300
2,648,000 Arcelormittal (USD) ................... 6.75% 02/25/22 2,917,220
3,592,000 Arcelormittal (USD) ................... 7.50% 10/15/39 3,637,600
185,000 Arcelormittal (USD) ................... 7.25% 03/01/41 185,228
3,451,000 Boart Longyear Management Pty., Ltd.
(USD) (e).......................... 7.00% 04/01/21 3,589,040
3,135,000 FMG Resources Pty, Ltd. (USD) (e)...... 7.00% 11/01/15 3,283,912
1,000,000 INEOS Finance PLC (EUR) ............... 9.25% 05/15/15 1,437,562
4,000,000 INEOS Group Holdings PLC (EUR) ........ 7.88% 02/15/16 5,458,323
6,300,000 Novelis, Inc. (USD) (a)................ 8.75% 12/15/20 7,150,500
4,200,000 Stora Enso Oyj (USD) (e)............... 7.25% 04/15/36 4,011,000

See Notes to Quarterly Portfolio of Investments Page 5

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

BASIC INDUSTRY - (CONTINUED)
6,785,000 Vedanta Resources PLC (USD) (e)........ 8.25% 06/07/21 $ 7,870,600
---------------
43,312,285
---------------

CAPITAL GOODS - 1.0%
3,000,000 Ardagh Packaging Finance (EUR) ........ 9.25% 10/15/20 4,400,060
2,775,000 Bombardier, Inc. (USD) (e)............. 6.13% 01/15/23 2,837,437
---------------
7,237,497
---------------

CONSUMER NON-CYCLICAL - 2.2%
6,000,000 JBS Finance II Ltd. (USD) (e).......... 8.25% 01/29/18 6,540,000
5,900,000 Minerva Luxembourg S.A. (USD) (e)...... 7.75% 01/31/23 6,062,250
3,000,000 Virgolino de Oliveira Finance Ltd. (USD)
(e)................................ 11.75% 02/09/22 3,202,500
---------------
15,804,750
---------------

ENERGY - 3.8%
9,400,000 CHC Helicopter S.A. (USD) (a).......... 9.25% 10/15/20 10,105,000
3,750,000 Georgian Oil and Gas Corp. (USD) (e)... 6.88% 05/16/17 3,937,500
5,600,000 OGX Petroleo e Gas Participacoes S.A.
(USD) (e).......................... 8.50% 06/01/18 5,250,000
5,000,000 Petroleos de Venezuela S.A. (USD) ..... 12.75% 02/17/22 5,687,500
1,700,000 Precision Drilling Corp. (USD) ........ 6.63% 11/15/20 1,823,250
---------------
26,803,250
---------------

FINANCIAL SERVICES - 1.1%
7,450,000 Banque PSA Finance S.A. (USD) (e)...... 5.75% 04/04/21 7,458,940
---------------

FOREIGN SOVEREIGN - 0.7%
4,128,000 Portugal Obrigacoes do Tesouro Ot
(EUR) ............................. 4.95% 10/25/23 5,134,932
---------------

INSURANCE - 2.1%
1,650,000 Aviva PLC (EUR) (d).................... 6.88% 05/22/38 2,431,907
3,500,000 CNP Assurances (EUR) (d)............... 5.25% 05/16/36 3,160,260
5,000,000 ING Groep N.V. (GBP) (d)............... 5.14% 03/29/49 6,581,871
3,500,000 Oil Insurance Ltd. (USD) (e) (f)....... 3.29% 12/29/49 3,034,675
---------------
15,208,713
---------------

SERVICES - 3.2%
4,600,000 Desarrolladora Homex Sab de CV (USD)
(e) ............................... 9.75% 03/25/20 4,807,000
1,800,000 Empresas ICA Sab de CV (USD) (e)....... 8.38% 07/24/17 1,885,500
5,250,000 Hapag-Lloyd AG (USD) (e)............... 9.75% 10/15/17 5,446,875
5,755,000 Royal Caribbean Cruises Ltd. (USD)
(a) ............................... 7.50% 10/15/27 6,503,150
4,500,000 Urbi Desarrollos Urbanos Sab de CV
(USD) (e).......................... 9.75% 02/03/22 3,757,500
---------------
22,400,025
---------------

TELECOMMUNICATIONS - 1.6%
2,857,000 En Germany Holdings B.V. (EUR) ........ 10.75% 11/15/15 3,625,123
4,900,000 Intelsat Luxembourg S.A. (USD) (a)..... 11.25% 02/04/17 5,200,125

Page 6 See Notes to Quarterly Portfolio of Investments

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

TELECOMMUNICATIONS - (CONTINUED)

2,550,000 Intelsat Luxembourg S.A. (USD) (a)..... 11.50% 02/04/17 $ 2,706,187
---------------
11,531,435
---------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES ............................. 209,939,536
(Cost $198,324,377) ---------------

PRINCIPAL STATED
VALUE DESCRIPTION RATE (g) MATURITY (h) VALUE
---------------- --------------------------------------- -------------- -------------- ---------------
SENIOR FLOATING-RATE LOAN INTERESTS - 4.4%

AUTOMOTIVE - 2.3%

$ 7,154,123 Allison Transmission, Inc. ............ 3.71% 08/07/17 7,207,779
7,131,105 Federal Mogul Corp Term Loan B ........ 2.15% 12/27/14 6,756,722
2,493,750 Navistar, Inc. Term Loan B ............ 7.00% 08/17/17 2,528,039
---------------
16,492,540
---------------

ENERGY - 0.9%
5,925,000 Meg Energy Term Loan .................. 4.00% 03/18/18 5,973,170
---------------

REAL ESTATE - 0.5%
3,373,206 Realogy Initial Term Loan B ........... 4.46% 10/10/16 3,395,132
397,660 Realogy Synthetic Letter of Credit .... 4.46% 10/10/16 400,245
---------------
3,795,377
---------------

SERVICES - 0.7%
4,861,111 US Airways Term Loan .................. 2.70% 03/23/14 4,833,792
---------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS .......................... 31,094,879
(Cost $ 30,911,486) ---------------

PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- --------------------------------------- -------------- -------------- ---------------
ASSET-BACKED SECURITIES - 1.8%

Ace Securities Corp.
3,296,558 Series 2007-HE2, Class A2A (f)..... 0.32% 12/25/36 1,400,931
Harrington Mortgage Loan Trust
2,461,784 Series 2006-NC4, Class A5 (f)...... 0.26% 10/25/36 1,998,784
HSI Asset Securitization Corp. Trust
1,952,886 Series 2007-NC1, Class A1 (f)...... 0.30% 04/25/37 1,704,919
Keycorp Student Loan Trust
2,729,921 Series 2000-A, Class A2 (f)........ 0.63% 05/25/29 2,516,133
Morgan Stanley ABS Capital I
1,018,810 Series 2006-HE6, Class A2B (f)..... 0.30% 09/25/36 690,861
Securitized Asset Backed Receivables
LLC Trust
9,966,425 Series 2006-FR4, Class A2A (f)..... 0.28% 08/25/36 4,076,886

See Notes to Quarterly Portfolio of Investments Page 7

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

Soundview Home Equity Loan Trust
$ 1,182,263 Series 2006-EQ2, Class A2 (f)...... 0.31% 01/25/37 $ 730,850
---------------
TOTAL ASSET-BACKED SECURITIES ....................................... 13,119,364
(Cost $16,093,001) ---------------

MORTGAGE-BACKED SECURITIES - 1.0%

COLLATERALIZED MORTGAGE OBLIGATIONS - 1.0%
Morgan Stanley Mortgage Loan Trust
1,682,272 Series 2007-6XS, Class 2A1S (f).... 0.31% 02/25/47 1,538,575
Specialty Underwriting & Residential Finance
2,209,980 Series 2006-BC4, Class A2B (f)..... 0.31% 09/25/37 1,864,345
Wells Fargo Mortgage Backed Securities Trust
3,880,495 Series 2006-AR7, Class 2A4 (f)..... 2.62% 05/25/36 3,510,038
---------------
TOTAL MORTGAGE-BACKED SECURITIES .................................... 6,912,958
(Cost $6,645,066) ---------------

SHARES DESCRIPTION VALUE
---------------- ----------------------------------------------------------------------- ---------------
COMMON STOCKS - 1.7%

AUTOMOTIVE - 1.2%
448,000 Ford Motor Co. ..................................................... 5,801,600
98,768 General Motors Co. (i).............................................. 2,774,393
---------------
8,575,993
---------------

BANKING - 0.5%
75,700 Citigroup, Inc....................................................... 3,191,512
---------------
TOTAL COMMON STOCKS ................................................. 11,767,505
(Cost $14,700,177) ---------------

WARRANTS - 0.3%

AUTOMOTIVE - 0.3%
77,608 General Motors Co. (i)............................................... 1,462,135
77,608 General Motors Co. (i)............................................... 946,817
---------------
TOTAL WARRANTS....................................................... 2,408,952
(Cost $4,065,974) ---------------

SHORT-TERM INVESTMENTS - 2.2%
15,586,793 Dreyfus Government Cash Management .................................. 15,586,793
---------------
TOTAL SHORT-TERM INVESTMENTS ........................................ 15,586,793
(Cost $15,586,793) ---------------

TOTAL INVESTMENTS - 123.5% ........................................... 877,291,665
(Cost $ 835,245,423) (j) ---------------

Page 8 See Notes to Quarterly Portfolio of Investments

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

$ (20,500,000) United States Treasury Note ........... 0.25% 03/31/14 $ (20,516,830)
(119,200,000) United States Treasury Note ........... 0.88% 02/28/17 (120,224,405)
(27,500,000) United States Treasury Note ........... 2.00% 02/15/22 (27,893,168)
---------------
TOTAL U.S. GOVERNMENT BONDS SOLD SHORT ............................... (168,634,403)
(Proceeds $167,794,344) ---------------

NET OTHER ASSETS AND LIABILITIES - 0.2% .............................. 1,651,159
---------------
NET ASSETS - 100.0% .................................................. $ 710,308,421
===============

(a) This security or a portion of this security is segregated as collateral
for investments sold short.

(b) The Fund previously held non-transferable trust units that were originally
issued to facilitate distribution of General Motors common stock and
warrants pursuant to the General Motors Bankruptcy Plan of Reorganization.
The non-transferable trust units existed only for the purpose of receiving
any residual cash, if any, from the General Motors Bankruptcy. These units
were received in exchange for the previously owned General Motors 8.375%
Corporate Notes that were scheduled to mature on 7/15/33. On June 12,
2012, the holders of these units received new transferable General Motors
Unsecured Claim (GUC) Trust Units, which were created to hold and
administer the common stock and warrants of General Motors Company to be
contributed to the GUC Trust under the General Motors Bankruptcy Plan of
Reorganization.

(c) Security issued by a U.S. incorporated entity, that has its principal
value denominated in the listed foreign currency.

(d) Fixed-to-floating rate security. The interest rate shown reflects the
fixed rate in effect at January 31, 2013. At a predetermined date, the
fixed rate will change to a floating rate.

(e) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be liquid by MacKay Shields LLC, the
Fund's sub-advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At January 31, 2013, securities noted as such
amounted to $190,296,487, or 26.79% of net assets.

(f) Floating rate security. The interest rate shown reflects the rate in
effect at January 31, 2013.

(g) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests pay interest at rates which are periodically predetermined by
reference to a base lending rate plus a premium. These base lending rates
are generally (i) the lending rate offered by one or more major European
banks, such as the London Inter-Bank Offered Rate ("LIBOR"), (ii) the
prime rate offered by one or more United States banks or (iii) the
certificate of deposit rate. Certain Senior Loans are subject to a LIBOR
floor that establishes a minimum LIBOR rate. The interest rate shown
reflects the rate in effect at January 31, 2013.

(h) Senior Loans generally are subject to mandatory and/or optional
prepayment. As a result, the actual remaining maturity of Senior Loans may
be substantially less than the stated maturities shown.

(i) Non-income producing security.

(j) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of January 31, 2013,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $56,408,690 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $14,362,448.

See Notes to Quarterly Portfolio of Investments Page 9

FIRST TRUST HIGH INCOME LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JANUARY 31, 2013 (UNAUDITED)

Currency Abbreviations:
EUR Euro Dollar
GBP British Pound Sterling
USD United States Dollar

---------------------------------------------------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2013 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):

ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 1/31/2013 PRICES INPUTS INPUTS
---------------------------------------------- --------------- ------------- --------------- --------------

Corporate Bonds and Notes*.................... $ 586,461,678 $ -- $ 586,461,678 $ --
Foreign Corporate Bonds and Notes*............ 209,939,536 -- 209,939,536 --
Senior Floating-Rate Loan Interests*.......... 31,094,879 -- 31,094,879 --
Asset-Backed Securities....................... 13,119,364 -- 13,119,364 --
Mortgage-Backed Securities.................... 6,912,958 -- 6,912,958 --
Common Stocks*................................ 11,767,505 11,767,505 -- --
Warrants*..................................... 2,408,952 2,408,952 -- --
Short-Term Investments........................ 15,586,793 15,586,793 -- --
--------------- ------------- --------------- --------------
Total Investments............................. 877,291,665 29,763,250 847,528,415 --
--------------- ------------- --------------- --------------
Other Financial Instruments:
Forward Foreign Currency Contracts**.......... 838,373 -- 838,373 --
--------------- ------------- --------------- --------------
Total......................................... $ 878,130,038 $ 29,763,250 $ 848,366,788 $ --
=============== ============= =============== ==============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 1/31/2013 PRICES INPUTS INPUTS
---------------------------------------------- --------------- ------------- --------------- --------------
U.S. Government Bonds Sold Short.............. $ (168,634,403) $ -- $ (168,634,403) $ --
Forward Foreign Currency Contracts**.......... (2,460,905) -- (2,460,905) --
---------------- ------------- --------------- --------------
Total......................................... $ (171,095,308) $ -- $ (171,095,308) $ --
=============== ============= =============== ==============

* See the Portfolio of Investments for industry breakout.

** See the Schedule of Forward Foreign Currency Contracts for contract and
currency detail.

Page 10 See Notes to Quarterly Portfolio of Investments

The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using
significant unobservable inputs (Level 3) for the period presented.

BEGINNING BALANCE AT OCTOBER 31, 2012
Corporate Bonds and Notes $ 2,100
Net Realized Gain (Loss) --
Net Change in Unrealized Appreciation/Depreciation --
Purchases --
Sales --
Corporate Bonds and Notes (2,100)
Transfers In --
Transfers Out --
ENDING BALANCE AT JANUARY 31, 2013
Corporate Bonds and Notes --
-----------
Total Level 3 holdings $ --
===========

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. There were no
transfers between levels at January 31, 2013.

There was no net change in unrealized appreciation (depreciation) from Level 3
investments held as of January 31, 2013.

See Notes to Quarterly Portfolio of Investments Page 11

FIRST TRUST HIGH INCOME LONG/SHORT FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
JANUARY 31, 2013 (UNAUDITED)

FORWARD FOREIGN CURRENCY CONTRACTS
----------------------------------------------------------
PURCHASE SALE UNREALIZED
SETTLEMENT AMOUNT AMOUNT VALUE AS OF VALUE AS OF APPRECIATION/
DATE COUNTERPARTY PURCHASED (a) SOLD (a) JANUARY 31, 2012 JANUARY 31, 2012 (DEPRECIATION)
---------- -------------- -------------------- ------------------ ---------------- ---------------- --------------

02/28/13 JPM USD 68,420,283 EUR 52,195,000 $ 68,420,283 $ 70,881,188 $ (2,460,905)
02/28/13 JPM USD 55,554,953 GBP 34,505,000 55,554,953 54,716,580 838,373
--------------
Net Unrealized Appreciation (Depreciation).............................................................. $ (1,622,532)
==============

(a) Please see Portfolio of Investments for currency descriptions.

Counterparty Abbreviations:
JPM JPMorgan Chase

Page 12 See Notes to Quarterly Portfolio of Investments

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS

FIRST TRUST HIGH INCOME LONG/SHORT FUND
JANUARY 31, 2013 (UNAUDITED)

VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of First Trust High Income
Long/Short Fund (the "Fund") 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 Common Share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.

The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended (the "1940 Act"). The Fund's
securities will be valued as follows:

Corporate bonds, notes, U.S. Government Securities, Mortgage-backed
Securities ("MBS"), Asset-backed Securities ("ABS") and other debt
securities are valued on the basis of valuations provided by dealers who
make markets in such securities or by an independent pricing service
approved by the Fund's Board of Trustees, which may use the following
valuation inputs when available:

1) benchmark yields;

2) reported trades;

3) broker/dealer quotes;

4) issuer spreads;

5) benchmark securities;

6) bids and offers; and

7) reference data including market research publications.

A ready market does not exist for some of these investments. As such, these
values may differ from the values that would have been used had a ready market
for these investments existed, and the differences could be material.

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

Securities traded in the over-the-counter market are valued at their closing bid
prices.

Credit default swaps, if any, are valued using a pricing service or, if the
pricing service does not provide a value, by quotes provided by the selling
dealer or financial institution.

The loan assignments, participations and commitments ("Senior Loans")(1) held in
the Fund are not listed on any securities exchange or board of trade. Senior
Loans are typically bought and sold by institutional investors in individually
negotiated private transactions that function in many respects like an
over-the-counter secondary market, although typically no formal market-makers
exist. This market, while having grown substantially since its inception,
generally has fewer trades and less liquidity than the secondary market for
other types of securities. Some Senior Loans have few or no trades, or trade
infrequently, and information regarding a specific Senior Loan may not be widely
available or may be incomplete. Accordingly, determinations of the market value
of Senior Loans may be based on infrequent and dated information. Because there
is less reliable, objective data available, elements of judgment may play a
greater role in valuation of Senior Loans than for other types of securities.
Typically, Senior Loans are valued using information provided by a third party
pricing service. The third party pricing service primarily uses over-the-counter
pricing from dealer runs and broker quotes from indicative sheets to value the
Senior Loans.

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

Debt securities having a remaining maturity of sixty days or less when purchased
are valued at cost adjusted for amortization of premiums and accretion of
discounts.

1 The terms "security" and "securities" used throughout the Notes to
Quarterly Portfolio of Investments include Senior Loans

Page 13

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)

FIRST TRUST HIGH INCOME LONG/SHORT FUND
JANUARY 31, 2013 (UNAUDITED)

In the event the pricing service or dealer does not provide a valuation, or the
valuations received are deemed unreliable, the Fund's Board of Trustees has
designated First Trust Advisors L.P. ("First Trust") to use a fair value method
to value the Fund'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 the Fund's NAV, First Trust may use a
fair value method to value the Fund's securities. The use of fair value pricing
is governed by valuation procedures adopted by the Fund'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 the Fund might reasonably expect to
receive for the security upon its current sale. 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 the Fund might be
able to receive upon its current sale. Fair valuation of a security is based on
the consideration of all available information, including, but not limited to,
the following:

1) the fundamental business data relating to the issuer;

2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;

3) the type, size and cost of a security;

4) the financial statements of the issuer;

5) the credit quality and cash flow of the issuer, based on the
Sub-Advisor's or external analysis;

6) the information as to any transactions in or offers for the
security;

7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;

8) the coupon payments;

9) the quality, value and salability of collateral, if any, securing
the security;

10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management;

11) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry; and

12) other relevant factors.

The Fund is 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
investment (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 the Fund's investments as of January 31, 2013, is
included with the Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.

Securities purchased on a when-issued, delayed-delivery or forward purchase
commitment basis may have extended settlement periods. The value of the security
so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At January 31, 2013, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.

Page 14

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)

FIRST TRUST HIGH INCOME LONG/SHORT FUND
JANUARY 31, 2013 (UNAUDITED)

C. UNFUNDED LOAN COMMITMENTS:

The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund did not have unfunded delayed draw loan
commitments as of January 31, 2013.

D. FORWARD FOREIGN CURRENCY CONTRACTS:

The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objectives. Forward foreign currency contracts are agreements to
exchange one currency for another at a future date and at a specified price. The
Fund uses forward foreign currency contracts to facilitate transactions in
foreign securities and to manage the Fund's foreign currency exposure. These
contracts are valued daily, and the Fund's net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
the forward rates at the reporting date, is included on the Schedule of Forward
Foreign Currency Contracts. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from movement in
currency and securities values and interest rates. Due to the risks, the Fund
could incur losses in excess of the net unrealized value shown on the Schedule
of Forward Foreign Currency Contracts.

During the period ended January 31, 2013, the open and close notional values of
forward foreign currency contracts were $245,668,005 and $(229,733,092),
respectively.

E. FOREIGN CURRENCY:

The books and records of the Fund 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 investments and items of income and expense are
translated on the respective dates of such transactions.

F. SHORT SALES:

Short sales are utilized for investment and risk management purposes and are
transactions in which securities or other instruments (such as options,
forwards, futures or other derivative contracts) are sold that are not currently
owned in the Fund's portfolio. When a short sale is engaged in, the security
sold short must be borrowed and delivered to the counterparty. Short selling
allows the Fund to profit from a decline in a market price to the extent such
decline exceeds the transaction costs and the costs of borrowing the securities.
The Fund will pay a fee or premium to borrow the securities and is obligated to
repay the lenders of the securities. Any dividends or interest that accrues on
the securities during the period of the loan are due to the lenders. A gain,
limited to the price at which the security was sold short, or a loss, unlimited
in size, will be recognized upon the termination of the short sale. Any such
gain or loss may be offset, completely or in part, by the change in the value of
the long portion of the Fund's portfolio. The Fund is subject to the risk it may
be unable to reacquire a security to terminate a short position except at a
price substantially in excess of the last quoted price. Also, there is the risk
that the counterparty to a short sale may fail to honor its contractual terms,
causing a loss to the Fund.

Page 15

ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required by
this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) First Trust High Income Long/Short Fund
-------------------------------------------------------

By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)

Date March 19, 2013
----------------------

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 March 19, 2013
----------------------

By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)

Date March 19, 2013
----------------------

* Print the name and title of each signing officer under his or her signature.