Filed pursuant to Rule 433(d)
Registration Statement No. 333-130051
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FIRST TRUST ENHANCED 130/30 LARGE CAP INDEX
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INDEX METHODOLOGY
1. Start with the largest 2500 U.S. traded stocks excluding American Depository
Receipts (ADRs), limited partnerships, real estate investment trusts
(REITs), registered investment companies, and royalty companies as of the
close on the selection date (the last business day of each calendar
quarter).
2. Rank all stocks from step 1 on both growth and value factors. The four
growth factors are 3-, 6- and 12-month price appreciation, and 1-year sales
growth.The three value factors are book value to price, cash flow to price
and return on assets.
3. Stocks are ranked separately on the sum of ranks for both growth and value
factors. Stocks are then assigned the best of their growth or value ranks as
their long selection score.
4. The short selection score is determined by a combination of five factors,
which are 3- and 6-month price appreciation, book value to price, cash flow
to price and return on assets. Stocks are ranked on the sum of ranks for
this group of factors.This ranking becomes the short selection score for
each stock.
5. Stocks that are at least as large as the smallest stock in the largest 20%
of NYSE listed stocks (NYSE listed stocks excluding ADRs, limited
partnerships, registered investment companies, and royalty companies) are
considered large cap. Only large cap stocks that have traded at least
500,000 shares in each of the last six calendar months previous to the
selection date are considered the "large cap universe" and are eligible for
inclusion in either the long or short component. All other stocks are
ineligible for inclusion in either the long or short component.
6. Rank all eligible stocks in the large cap universe based on their long
selection score from step 3. The top scoring 30% will comprise the long
portfolio on an equally weighted basis.
7. Rank all eligible stocks in the large cap universe based on their short
selection score from step 4. The worst scoring 30% of the large cap universe
will comprise the preliminary short portfolio.The final short portfolio will
be comprised of the stocks selected in the preliminary short portfolio that
have a short interest to common shares outstanding ratio of .10 or less. All
stocks in the final short portfolio will be equally weighted.
8. Using the proceeds from the short sale of the short portfolio, the long
portfolio will be leveraged such that the ratio of the total weight of the
long portfolio to the total weight of the short portfolio will initially
approximate 1.30 to .30 after each quarterly rebalance.
When applicable, index changes will be announced at least two business days
prior to effectiveness on http://www.amextrader.com. The information on the
website is not incorporated by reference herein.We make no representation or
warranty as to the accuracy or completeness of information contained on this
website.
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INDEX SELECTION PROCESS
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BROAD UNIVERSE ASSIGN RANKINGS IDENTIFY SCREEN IDENTIFY ASSIGN
USING THE INDEX SUB-UNIVERSE COMPANIES LONG/SHORT WEIGHTS
GROWTH/VALUE OF LARGEST FOR COMPONENTS
FACTORS COMPANIES LIQUIDITY
Largest 2500 Long Scored Apply Long +130%
Stocks Selection Large Cap Component Weight to
Score Universe Methodology Long Stocks
-----------
(Excluding Liquidity Top Decile
ADRs, LPs, RICS, Short Eliminated: Screen 2nd Decile
REITs and Selection Stocks with 3rd Decile
Royalty Co's) Score Market Cap
below the
top 20% of Apply Short -30%
NYSE-listed Component Weight to
companies Methodology Short Stocks
-----------
8th Decile
9th Decile
Bottom Decile
"First Trust" and "First Trust Enhanced 130/30 Large Cap Index" are trademarks
of First Trust Advisors L.P. First Trust Advisors L.P. does not guarantee the
accuracy and/or the completeness of the Index or any data included therein and
First Trust Advisors L.P. shall have no liability for any errors, omissions or
interruptions therein. First Trust Advisors L.P. makes no warranty, express or
implied, as to results to be obtained by any person or entity from the use of
the Index or any data included therein. First Trust Advisors L.P.
makes no express or implied warranties, and expressly disclaims all warranties
of merchantability or fitness for a particular purpose or use with respect to
the Index or any data included therein. Without limiting any of the foregoing,
in no event shall First Trust Advisors L.P. have any liability for any special,
punitive, direct, indirect or consequential damages (including lost profits)
arising out of matters relating to the use of the Index, even if notified of the
possibility of such damages.
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FIRST TRUST ENHANCED 130/30 LARGE CAP INDEX
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All data as of 3/31/08
The First Trust Enhanced 130/30 Large Cap Index is a modified equal weighted
total return index designed to offer 130% long and 30% short exposure to
selected large capitalization U.S. publicly traded equity securities through the
application of a disciplined, objective investment methodology.The Index had a
benchmark value of 1,000.00 on the close of trading December 31, 2007.The Index
was created and is owned by First Trust Advisors L.P., which also owns the
service mark First Trust Enhanced 130/30 Large Cap Index. A patent application
relating to the Index and its stock selection method is pending.
QUARTER-END PERFORMANCE
Quarter 1 Yr. 3 Yr. 5 Yr.
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First Trust 130/30 Enhanced Large Cap Index -11.70% 10.60% 18.60% 24.56%
S&P 500 Index -9.44% -5.08% 5.85% 11.32%
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The correlations, chart and table above and below are provided for informational
purposes only. The hypothetical levels of the Index are not indicative of future
performance of the Index.
Performance data quoted represents hypothetical back-tested performance, which
is no guarantee of future results. The actual performance of the Index over any
time period may bear little relation to the historical back-tested data above.
In particular, there can be no assurance that the Index will outperform any
index presented herein for comparison or any other financial measure at any
given day or over any given period.
INDEX DATA
Ticker FTLCTR
Number of Stocks 204
Total Long Exposure 111
Total Short Exposure 93
Median Market Cap. $18.14 Billion
Maximum Market Cap. $369.64 Billion
Minimum Market Cap. $1.53 Billion
Price/Earnings* 14.67
Price/Book* 2.04
Price/Cash Flow* 7.49
Price/Sales* 1.27
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5-YEAR INDEX STATISTICS
Standard Sharpe Information
Deviation(1,2) Alpha(2) Beta(2) Ratio(2) Correlation(1,2) Ratio(2)
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First Trust 130/30 Enhanced
Large Cap Index 13.83% 11.45% 1.06 1.43 .70 1.21
S&P 500 Index 9.18% -- 1.00 .86 1.00 --
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The graph to the right sets INDEX GROWTH OF $10,000 12/31/96-3/31/08
forth the hypothetical
back-tested performance of FIRST TRUST 130/30 ENHANCED
the Index based on the LARGE CAP INDEX $62,834
hypothetical back-tested S&P 500 INDEX $21,444
monthly Index value from
December 31, 1996 through [CHART OMITTED]
March 31, 2008. The actual
initial Index calculation [DATA POINTS REPRESENTED IN CHART]
date was April 22, 2008. The
hypothetical back-tested 130/30 Index S&P 500
levels of the Index should ------------ -------
not be taken as an 1996 $10,000.0 $10,000.0
indication of future 1997 13,195.8 13,336.3
performance, and no 1998 16,257.7 17,147.7
assurance can be given as to 1999 24,213.3 20,755.8
the Index value on any date. 2000 27,466.0 18,866.1
The data for the 2001 20,922.9 13,758.0
hypothetical back-tested 2002 20,996.2 12,949.8
performance of the Index set 2003 28,221.7 16,664.4
forth in the graph was 2004 35,592.4 18,477.8
calculated on materially the 2005 46,812.1 19,385.4
same basis on which the 2006 51,832.4 19,898.7
performance of the Index is 2007 55,556.1 22,786.7
now calculated. 3/2008 62,834.3 21,443.9
(1) Based on monthly returns annualized over a 5-year period. The historical
correlations and standard deviations relative to the S&P 500 Index shown above
may not be indicative of future correlations and standard deviations. Future
correlations and standard deviations may be greater or lesser than those
experienced in the past.
(2) STANDARD DEVIATION is a measure of price variability (risk).ALPHA is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. BETA is a measure of price
variability relative to the market. SHARPE RATIO is a measure of excess reward
per unit of volatility. CORRELATION is a measure of the similarity of
performance. INFORMATION RATIO is a measure of a strategy's performance against
risk and return relative to a benchmark or alternative measure.
The hypothetical historical values above have not been verified by an
independent third party. The back-tested, hypothetical historical results above
have inherent limitations. These back-tested results are achieved by means of a
retroactive application of a back-tested model designed with the benefit of
hindsight. No representation is made that in the future the Index will or is
likely to perform as shown above. Alternative modeling techniques or assumptions
might produce significantly different results and prove to be more appropriate.
Past hypothetical back-tested results are neither an indicator nor guarantee of
future returns. Actual results will vary, perhaps materially, from this
analysis.The hypothetical historical performance data set forth above represents
a simulation of past performance, which is no guarantee of future results.
Each issuer will have filed a registration statement (including a prospectus)
with the Securities and Exchange Commission, or SEC, for the offering to which
this communication relates. Before you invest, you should read the prospectus in
that registration statement and the other documents relating to the offering
that the issuer has filed with the SEC for more complete information about the
issuer and the offering of any securities. You may get these documents without
cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the
issuer, any agent or any dealer participating in an offering will arrange to
send you the prospectus, each prospectus supplement, and any other document
related to the offering if you so request by calling toll-free (866) 848-9727.
* Weighted average of Index components
[LOGO OMITTED]
For more information, visit our Web site: FIRST TRUST
www.ftportfolios.com 1001 Warrenville Road
Lisle, Illinois 60532
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NOT FDIC INSURED o NOT BANK GUARANTEED o MAY LOSE VALUE www.ftportfolios.com
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