Edgar Filing: FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-21905
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First Trust/Aberdeen Emerging Opportunity Fund
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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, 2011
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

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

ITEM 1. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

FIRST TRUST

SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED
JUNE 30, 2011

First Trust/
Aberdeen
Emerging Opportunity
Fund

Aberdeen Asset Management

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TABLE OF CONTENTS
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2011

Shareholder Letter........................................................... 1
At A Glance.................................................................. 2
Portfolio Commentary......................................................... 3
Portfolio of Investments..................................................... 7
Schedule of Forward Foreign Currency Contracts............................... 14
Statement of Assets and Liabilities.......................................... 15
Statement of Operations...................................................... 16
Statements of Changes in Net Assets.......................................... 17
Statement of Cash Flows...................................................... 18
Financial Highlights......................................................... 19
Notes to Financial Statements................................................ 20
Additional Information....................................................... 28

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and/or Aberdeen Asset Management Inc. ("Aberdeen" or
the "Sub-Advisor") and their respective representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
First Trust/Aberdeen Emerging Opportunity Fund (the "Fund") to be materially
different from any future results, performance or achievements expressed or
implied by the forward-looking statements. When evaluating the information
included in this report, you are cautioned not to place undue reliance on these
forward-looking statements, which reflect the judgment of the Advisor and/or
Sub-Advisor and their respective representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

There is no assurance that the Fund will achieve its investment objective. The
Fund is subject to market risk, which is the possibility that the market values
of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can
lose money by investing in the Fund. See "Risk Considerations" in the Notes to
Financial Statements for a discussion of certain other risks of investing in the
Fund.

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
http://www.ftportfolios.com or speak with your financial advisor. Investment
returns, net asset value and common share price will fluctuate and Fund shares,
when sold, may be worth more or less than their original cost.

HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment. It
includes details about the Fund and presents data and analysis that provide
insight into the Fund's performance and investment approach.

By reading the portfolio commentary by the portfolio management team of the
Fund, you may obtain an understanding of how the market environment affected the
Fund's performance. The statistical information that follows may help you
understand the Fund's performance compared to that of relevant market
benchmarks.

It is important to keep in mind that the opinions expressed by personnel of
Aberdeen 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 Fund are
spelled out in the prospectus, the statement of additional information, this
report and other Fund regulatory filings.

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SHAREHOLDER LETTER
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL LETTER FROM THE PRESIDENT
JUNE 30, 2011

Dear Shareholders:

I am pleased to present you with the semi-annual report for your investment in
First Trust/Aberdeen Emerging Opportunity Fund (the "Fund").

First Trust Advisors L.P. ("First Trust") has always believed that staying
invested in quality products and having a long-term horizon can help investors
reach their financial goals. Though the markets have been recovering from their
lows of 2008-2009, they have been somewhat choppy over the past several months.
However, successful investors understand that the success they have achieved is
typically because of their long-term investment perspective through all kinds of
markets.

The report you hold contains detailed information about your investment; a
portfolio commentary from the Fund's management team that provides a recap of
the period; a performance analysis and a market and Fund outlook. Additionally,
you will find the Fund's financial statements for the six months this report
covers. I encourage you to read this document and discuss it with your financial
advisor.

First Trust has been through many types of markets. That's why we remain
committed to being a long-term investor and investment manager and to bringing
you quality investment solutions regardless of the inevitable volatility the
market experiences. We offer a variety of products that may fit many financial
plans to help those investors seeking long-term investment success. You may want
to talk to your advisor about the other investments First Trust offers that
might fit your financial goals.

At First Trust we continue to be committed to making available up-to-date
information about your investments so you and your financial advisor have
current information on your portfolio. We value our relationship with you, and
we thank you for the opportunity to assist you in achieving your financial
goals. I look forward to the remainder of 2011 and to the next edition of your
Fund's report.

Sincerely,

James A. Bowen

James A. Bowen
President of First Trust/Aberdeen Emerging Opportunity Fund

Page 1

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
"AT A GLANCE"
AS OF JUNE 30, 2011 (UNAUDITED)

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FUND STATISTICS
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Symbol on New York Stock Exchange FEO
Common Share Price $20.89
Common Share Net Asset Value ("NAV") $22.87
Premium (Discount) to NAV (8.66)%
Net Assets Applicable to Common Shares $121,823,425
Current Quarterly Distribution per Common Share (1) $0.350
Current Annualized Distribution per Common Share $1.400
Current Distribution Rate on Closing Common Share Price (2) 6.70%
Current Distribution Rate on NAV (2) 6.12%

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COMMON SHARE PRICE & NAV (WEEKLY CLOSING PRICE)
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Common Share Price NAV
12/31/2010 21.32 22.77
1/7/2011 22.39 22.65
1/14/2011 21.67 22.62
1/21/2011 21.23 22.35
1/28/2011 20.54 22.01
2/4/2011 20.79 22.17
2/11/2011 20.44 21.88
2/18/2011 20.43 22.23
2/25/2011 19.93 21.95
3/4/2011 20.52 22.36
3/11/2011 20.60 22.24
3/18/2011 20.44 22.07
3/25/2011 20.53 22.20
4/1/2011 21.05 22.79
4/8/2011 21.65 23.25
4/15/2011 21.36 23.08
4/21/2011 21.62 23.27
4/29/2011 21.50 23.38
5/6/2011 21.17 23.02
5/13/2011 21.09 22.80
5/20/2011 21.12 22.94
5/27/2011 21.26 22.95
6/3/2011 21.29 23.23
6/10/2011 21.06 22.92
6/17/2011 20.81 22.72
6/24/2011 20.40 22.37
6/30/2011 20.89 22.87

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PERFORMANCE
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Average Annual Total Return
6 Months Ended 1 Year Ended Inception (8/28/2006)
6/30/2011 6/30/2011 to 6/30/2011
FUND PERFORMANCE (3)

NAV 3.79% 22.14% 13.14%
Market Value 1.25% 17.14% 9.99%

INDEX PERFORMANCE
Blended Benchmark (4) 4.19% 19.98% 11.66%
Barclays Capital Global Emerging Markets Index 5.84% 14.28% 8.55%
FTSE All World Emerging Market Index -0.56% 26.09% 11.80%
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
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Republic of South Africa, 8.25%, 9/15/17 4.2%
Turkey Government Bond, 16.00%, 3/7/12 2.5
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 2.2
Mexican Bonos Desarr Fixed Rate Bond, 8.00%, 6/11/20 2.1
Samsung Electronics Co., Ltd., Preference Shares2.0
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/17 1.9
Vale S.A., Preference Shares, ADR 1.8
Poland Government Bond, 5.50%, 10/25/19 1.8
China Mobile Ltd. 1.6
Banco Bradesco S.A., ADR 1.6
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Total 21.7%
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TOP 10 % OF TOTAL
COUNTRIES (5) INVESTMENTS
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Brazil 14.7%
Mexico 10.6
South Africa 7.8
China 6.4
Turkey 5.4
Indonesia 5.3
India 5.0
Poland 3.2
Venezuela 3.0
Thailand 2.7
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Total 64.1%
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CREDIT % OF TOTAL
QUALITY (6) INVESTMENTS
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AA 2.7%
A 25.7
A- 0.2
BBB+ 6.4
BBB 13.5
BBB- 2.7
BB+ 13.4
BB 10.4
BB- 8.1
B+ 6.2
B 5.7
B- 1.4
CCC- 0.1
NR 3.5
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Total 100.0%
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% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
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Government Bonds and Notes 38.3%
Commercial Banks 10.9
Oil, Gas & Consumable Fuels 8.5
Real Estate Management & Development 5.5
Semiconductors & Semiconductor Equipment 3.3
Wireless Telecommunication Services 2.9
Automobiles 2.4
Electric Utilities 2.3
Diversified Financial Services 2.2
Pharmaceuticals 2.2
Construction Materials 2.1
Metals & Mining 2.0
Beverages 1.9
Food & Staples Retailing 1.8
Diversified Operations 1.2
Household Durables 1.2
Transportation Infrastructure 1.1
Specialty Retail 1.0
Food Products 1.0
Tobacco 1.0
Diversified Telecommunication Services 1.0
Thrifts & Mortgage Finance 0.9
Energy Equipment & Services 0.9
Multiline Retail 0.9
Household Products 0.8
Insurance 0.8
IT Services 0.7
Chemicals 0.5
Construction & Engineering 0.3
Road & Rail 0.2
Special Purpose Banks 0.2
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Total 100.0%
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(1) Most recent distribution paid or declared through 6/30/2011. Subject to
change in the future.

(2) Distribution rates are calculated by annualizing the most recent
distribution paid or declared through the report date and then dividing by
Common Share price or NAV, as applicable, as of 6/30/2011. Subject to
change in the future.

(3) Total return is based on the combination of reinvested dividend, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan and changes in NAV per share for net asset
value returns and changes in Common Share price for market value returns.
Total returns do not reflect sales load and are not annualized for periods
less than one year. Past performance is not indicative of future results.

(4) Blended benchmark consists of the following: JPMorgan Emerging Markets
Bond Index - Global Diversified (32.5%); JPMorgan Government Bond Index -
Emerging Markets (32.5%); MSCI Global Emerging Markets Index (35.0%)

(5) Fixed-income portfolio securities are included in a country based upon
their underlying credit exposure as determined by Aberdeen Asset
Management Inc., the investment sub-advisor.

(6) The credit quality and ratings information presented above reflects the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Rating Group, a
division of the McGraw Hill Companies, Inc., Moody's Investors Service,
Inc. or a comparably rated NRSRO. For situations in which a security is
rated by more than one NRSRO and the ratings are not equivalent, the
highest ratings are used.

Page 2

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PORTFOLIO COMMENTARY
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2011

SUB-ADVISOR

Aberdeen Asset Management Inc. ("Aberdeen" or the "Sub-Advisor"), a Securities
and Exchange Commission registered investment advisor, is a wholly-owned
subsidiary of Aberdeen Asset Management PLC ("Aberdeen Group"). Aberdeen Group
is a publicly-traded international investment management group listed on the
London Stock Exchange, managing assets for both institutional and retail clients
from offices around the world.

PORTFOLIO MANAGEMENT TEAM

Investment decisions for the First Trust/Aberdeen Emerging Opportunity Fund (the
"Fund") are made by Aberdeen using a team approach and not by any one
individual. By making team decisions, Aberdeen seeks to ensure that the
investment process results in consistent returns across all portfolios with
similar objectives. Aberdeen does not employ separate research analysts.
Instead, Aberdeen's investment managers combine the roles of analysis with
portfolio management. Each member of the team has sector and portfolio
responsibilities such as day-to-day monitoring of liquidity. The overall result
of this matrix approach is a high degree of cross-coverage, leading to a deeper
understanding of the securities in which Aberdeen invests. Included below is
additional information about the members of the team with significant
responsibility for the day-to-day management of the Fund's portfolio.

EQUITY MANAGEMENT TEAM

DEVAN KALOO
Head of Emerging Market Equity for the Aberdeen Group

Mr. Kaloo is responsible for the London-based Global Emerging Market ("GEM")
Equity Team, which manages Latin America, Europe, Middle East and Africa
equities, and also has oversight of global emerging market input from the Asia
research team based in Singapore, with which he works closely. Mr. Kaloo began
his career at Martin Currie in Edinburgh, Scotland, shortly after graduation,
working initially on the North American desk before transferring to the global
asset allocation team. Mr. Kaloo moved off the global asset allocation team in
1997, and for the next three years, he worked on Asian portfolios before joining
Murray Johnstone in Singapore in July 2000. Following the latter's acquisition,
he transferred to the Aberdeen Group where he was responsible for the Asian ex
Japan region as well as regional portfolios within emerging market mandates and
technology stocks.

JOANNE IRVINE
Head of GEM Equity Team ex Asia

Ms. Irvine is on the GEM Equity Team, where she specializes in the emerging
markets of Europe, Africa and the Middle East. After qualifying as a chartered
accountant in 1992, she worked in corporate finance, specializing in raising
development capital finance for private businesses. In January 1996, Ms. Irvine
joined the Aberdeen Group in a group development role. Since May 1997, Ms.
Irvine has been part of Aberdeen's emerging markets fund management group in
London.

MARK GORDON-JAMES
Investment Manager, GEM Equity Team

After graduating with a degree in Geography and Economics from the London School
of Economics in 2000, Mr. Gordon-James worked with the emerging markets team of
Merrill Lynch Investment Managers. Mr. Gordon-James joined the Aberdeen Group in
April 2004.

FIONA MANNING
Investment Manager, GEM Equity Team

Ms. Manning is an investment manager on the emerging markets ex- Asia team. Ms.
Manning joined Aberdeen in 2001 as an analyst.

ANDY BROWN
Investment Manager, GEM Equity Team

Mr. Brown is an investment manager on the emerging markets ex-Asia team. Prior
to joining Aberdeen in March 2005, Mr. Brown worked in the oil field consumables
industry in the United Arab Emirates.

STEPHEN PARR
Investment Manager, GEM Equity Team

Mr. Parr is an investment manager on the emerging markets ex-Asia team. He
joined Aberdeen in July 2009 from Credit Suisse Asset Management where he worked
in the Global Emerging market equities team. He has also held a variety of
positions in industry and management consultancy.

Page 3

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PORTFOLIO COMMENTARY - (CONTINUED)
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2011

FIXED-INCOME MANAGEMENT TEAM

BRETT DIMENT
Head of Emerging Market Debt

Mr. Diment joined Deutsche Asset Management Group Limited ("Deutsche") in 1991
as a member of the fixed-income group and became head of the Emerging Market
Debt team at Deutsche in 1999. Mr. Diment joined Aberdeen following the Deutsche
acquisition in 2005 and is now responsible for the day-to-day management of the
Emerging Market Debt team and portfolios.

KEVIN DALY
Portfolio Manager, Emerging Market Debt

Mr. Daly joined the Emerging Market Debt team at Aberdeen in April 2007 as a
portfolio manager, having spent the previous 10 years at Standard & Poor's in
London and Singapore as a credit market analyst covering global emerging market
debt, and was head of marketing for Global Sovereign Ratings at Standard &
Poor's. Mr. Daly was a regular participant on the Global Sovereign Committee,
served as a member of the Sovereign Ratings Review Board, and was one of the
initial members of the Emerging Market Council, formed in 2006 to advise senior
management on business and market developments in emerging markets.

EDWIN GUTIERREZ
Portfolio Manager, Emerging Market Debt

Mr. Gutierrez has served as an economist specializing in Latin America at LGT
Asset Management, and more recently as a portfolio manager specializing in
emerging market fixed-income at Invesco Asset Management. He joined Deutsche in
2000 and Aberdeen in 2005.

MAX WOLMAN
Portfolio Manager, Emerging Market Debt

Mr. Wolman joined Aberdeen in January 2001 and is portfolio manager on the
Global Emerging Market Debt mandates. Mr. Wolman originally specialized in
currency and domestic debt analysis; however, he is now responsible for wider
emerging market debt analysis, including external and corporate issuers. He is a
member of the Emerging Market Debt investment committee at Aberdeen and is also
responsible for the daily implementation of the investment process.

ESTHER CHAN
Portfolio Manager, Emerging Market Debt

Ms. Chan joined Aberdeen in Singapore in 2005 where she started as a corporate
credit analyst and trader working across investment-grade and high-yield assets
in the region. She has 6 years of experience in the asset class, and now serves
as a portfolio manager in Aberdeen London with specialization in analysis,
management and trading of external Asian debt, and Emerging Market corporates.
Prior to joining Aberdeen, Ms. Chan worked as a corporate finance analyst at
John Moore, assisting in various deals focused on the debt restructuring in
Indonesian firms facing creditor holdout situations, post-Asian crisis.

COMMENTARY

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND

The investment objective of the Fund is to provide a high level of total return.
The Fund pursues its investment objective by investing at least 80% of its
managed assets in a diversified portfolio of equity and fixed-income securities
of issuers in emerging market countries. There can be no assurance that the
Fund's investment objective will be achieved, and the Fund may not be
appropriate for all investors.

MARKET RECAP - EQUITY

During the first six months of 2011, the MSCI (Morgan Stanley Capital
International) Global Emerging Markets Index ("MSCI Emerging Markets") rose
1.02% in USD terms against a backdrop of market volatility as investors were
confronted with stubbornly high inflation in many markets and further
tightening, as well as political unrest in the Middle East, which resulted in
oil prices rising. More recently, concerns over the health of the U.S. economic
recovery, increased nervousness ahead of the Federal Reserve's end to its
quantitative easing program and renewed fears over the potential default and/or
restructuring of Greek sovereign debt have put pressure on most emerging
economies and investor sentiment.

Page 4

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PORTFOLIO COMMENTARY - (CONTINUED)
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2011

MARKET RECAP - FIXED INCOME

Emerging market debt experienced mixed fortunes throughout the six-month period,
having started the year on a weaker note. Local currency debt initially
underperformed, reflecting concerns about rising inflation and the perception
that central banks are not reacting promptly enough. Rising inflation concerns
have weighed on emerging market debt amid rising commodity prices, in particular
those related to food, putting severe pressure on developing economies. This was
exacerbated somewhat by a spike in oil prices following the uprisings in North
Africa and the Middle East which, although having eased somewhat due to
increased confidence surrounding global oil supplies, still remain very much at
the forefront.

Overall, emerging market debt recorded strong performance over the six months
despite inflation concerns and international concerns. A rally in U.S.
Treasuries benefitted hard currency-denominated debt while a weak U.S. dollar
boosted performance of local currency-denominated assets. However, toward the
end of the reporting period, weak figures from the U.S. and fears about the
possibility of Greek default decreased investors' appetites for risky assets and
caused global bond yields to fall. Greece managed to pass the austerity bill at
the end of June, paving the way for the next (euro)12 billion of its European
Union-International Monetary Fund bail-out package, causing spreads to narrow
somewhat.

Over the six-month period, the JPMorgan Emerging Markets Bond Index-Global
Diversified ("JPM EMBI") gained 4.8%, while the benchmark spread remained flat
on the year, despite surging significantly just before the Greek government
approved the austerity bill in June. The JPMorgan Government Bond Index-Emerging
Markets ("JPM GBI-EM") gained 6.9% over the first half of the year.

FUND RECAP

The Fund had a net asset value ("NAV") total return(1) of 3.79% and a market
value total return(1) of 1.25% for the six months ended June 30, 2011, compared
to the Fund's blended benchmark(2) total return of 4.19% over the same period.
In addition to this blended benchmark, the Fund currently uses other indexes for
comparative purposes. The total returns for the six months ended June 30, 2011,
for these indexes were as follows: the Barclays Capital Global Emerging Markets
Index was 5.84% and the FTSE All World Emerging Market Index was -0.56%.

PERFORMANCE ANALYSIS - EQUITY

The equity portion of the Fund outperformed the MSCI Emerging Markets benchmark
by 1.67% gross of fees over the six month period. Outperformance was driven by
good stock selection in Brazil and Mexico, Indonesia and Thailand. In Brazil,
Souza Cruz performed well in the second quarter of 2011 and was up 20% on the
back of strong results. Ultrapar was also one of the best performers in the
portfolio, advancing on news that it will convert its preferred shares to common
shares with full voting rights. Lojas Renner also contributed to outperformance
during the period as it continued to show strong momentum in same-store sales
and income from financial products, and it also performed well on the back of an
accretive acquisition of a home-ware retailer. In Mexico, the Fund's holdings
performed well as more positive sentiment on the economy fed through to improved
prospects. In particular, Femsa performed well as Coca Cola Femsa and Grupo
Tampico announced they would merge their bottling facilities.

A number of the Asian stocks performed strongly. P.T. Astra International, the
Indonesian conglomerate, performed well during the period on the back of an
expected recovery in vehicle production following the earthquake in Japan.
Taiwan Mobile was also a major contributor to the Fund's outperformance,
benefiting from the perceived defensiveness of the telecommunications sector in
volatile market conditions. A Hong Kong based Asian insurance company, which was
recently added to the portfolio, did well on the back of stellar maiden results
after its IPO. Finally, despite the market volatility associated with some
commodity stocks, notably oil-related companies, a number of the Fund's
holdings, namely Lukoil and PetroChina, contributed positively to performance.
Siam Cement, the Thai producer, also performed well on the back of strong first
quarter results as sales volume continued to expand across all business
segments.

On the negative side, some of the Fund's holdings detracted from performance
during the first half of the year. Grasim underperformed as the Fund's Indian
cement holdings came under pressure due to cartel allegations. Tenaris, a
provider of high-quality seamless pipes to the oil industry, also suffered with
the sharp drop in the oil price. Finally, Aksigorta, the Turkish insurance
company, suffered from weak first quarter 2011 results, while Samsung
Electronics detracted from performance in part due to declining margins in its
semiconductor business as well as losses from its display panel division mainly
due to declines in LCD panel prices.

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1 Total return is based on the combination of reinvested dividend, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan, and changes in net asset value per share
for net asset value returns and changes in Common Share price for market
value returns. Total returns do not reflect sales load. Past performance
is not indicative of future results.

2 The Fund's blended benchmark consists of the following: 32.5% JPMorgan
Emerging Markets Bond Index-Global Diversified; 32.5% JPMorgan Government
Bond Index-Emerging Markets; and 35% MSCI (Morgan Stanley Capital
International) Global Emerging Markets Index.

Page 5

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PORTFOLIO COMMENTARY - (CONTINUED)
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2011

PERFORMANCE ANALYSIS - FIXED INCOME

The Fund outperformed its blended benchmark of both hard currency and local
bonds and outperformed the individual components gross of fees. The Fund's
overweight position in both hard and local currency bonds contributed positively
to the outperformance. The local currency denominated index (JPM GBI-EM) had a
higher return than the USD currency bonds index (JPM EMBI) as the USD weakened
against most major currencies over the period.

Within the hard currency holdings, the Fund's overweight position in the high
beta (a stock whose return generally follows the market's returns) Latin
American countries, such as Argentina and Venezuela, added value to portfolio.
An overweight position to Ivory Coast also added value as an end to a political
crisis renewed appetite for the defaulted bonds. An overweight position in
Kazakhstan detracted value due to BTA bank publishing worse than expected
results. An underweight position in Turkey benefitted the portfolio as the
country was hit particularly strongly by the increase in oil prices due to its
6.5% deficit and investors expressed concern about the country's lax monetary
policy. An overweight to Dominican Republic bonds benefitted the portfolio while
an overweight to China detracted value.

Within the local currency holdings, an underweight position in euro-related
Hungary benefitted the portfolio. Allocations to Latin American bonds, including
Argentina, Brazil, Mexico and Uruguay all added value. Positions in Indonesia
and South Africa also made a positive contribution to performance.

MARKET OUTLOOK - EQUITY

As we have stated in the past, we believe that the stock market is a
forward-looking indicator. Given the choppiness of the market over the last six
months, we believe that the market is struggling to decide how the economy and
corporate profits will perform over the next six to twelve months. While
corporate profits have continued to climb and surprise on the upside, the rate
of that growth has slowed and profit margins have risen to near all-time highs.
The question is where are profits headed? Measures of economic activity released
in late spring and early summer declined, indicating that the economy had hit a
"slow patch". A question the market has been wrestling with is if this "slow
patch" is just a temporary slowdown brought about by some discreet events such
as the Japanese disasters and higher gasoline prices, or is it the harbinger of
a double-dip recession? We are inclined to take the positive view and we believe
that corporate profits will continue to rise and thereby drive continued
reinvestment by businesses which will lead to modest employment growth. However,
it is likely that any such economic growth will continue to be muted when
compared to previous cycles. With the stock market up substantially from its
March 2009 lows and the number of unresolved issues that the market is wrestling
with, we are prepared to react as the markets change. We will continue to manage
the Fund with the dual objectives of earning dividend income and options gains
while seeking capital appreciation opportunities over the market cycle.

Although growth has moderated in emerging markets in recent months, growth rates
are still decent and expected to remain supported by healthy domestic demand. A
moderate slowdown should help to contain the inflation risk in these economies.
Moreover, a softening in Purchasing Managers Indexes in both emerging and
developed markets reinforces the argument that economies are indeed slowing
down. Although narrowing output gaps in most emerging market economies have
fuelled inflation, recent weakening production growth, easing food prices and
stabilization of global commodity prices suggest that headline inflation should
decelerate in the coming months. Emerging Asian and Latin American central banks
have been tightening monetary policy to curb inflation. However, some countries
have been slower to act for fear of dampening growth. Further tightening is
likely to occur until interest rates are positive in real terms. Markets are
expected to remain cautious in view of a variety of headwinds including
anti-asset inflation policies, ongoing political uncertainty in the Arab world,
and an uncertain outlook for commodities as well as Europe's unresolved
sovereign debt woes. Long-term prospects remain positive given emerging markets'
sound fundamentals, notably better potential growth than developed economies,
stronger corporate balance sheets and less indebted consumers, suggesting a
faster pace of earnings growth can be achieved.

MARKET OUTLOOK - FIXED INCOME

How long the Greek crisis will persist depends on several events: the European
Union plans on private sector involvement to extend maturities on Greek debt
coming due in 2012-14, and the willingness of the European Union-International
Monetary Fund to agree to a further US$100bn bailout package for Greece to cover
the financing gap over the next three years. Once those hurdles are cleared, the
focus will shift to implementation risk, which will remain very high. But some
calmer waters for Greece will shift the focus elsewhere for a change, which
should be supportive for emerging market debt going into July, in our opinion.

Page 6

FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b)
JUNE 30, 2011 (UNAUDITED)

SHARES DESCRIPTION VALUE
--------------- ---------------------------------------------------------------------------------------- ------------
COMMON STOCKS - 45.0%

BRAZIL - 8.6%

94,924 Banco Bradesco S.A., ADR................................................................ $ 1,944,993
28,000 Lojas Renner S.A. ...................................................................... 1,067,684
33,000 Multiplan Empreendimentos Imobiliarios S.A. ............................................ 723,583
58,000 Petroleo Brasileiro S.A., ADR........................................................... 1,779,440
96,500 Souza Cruz S.A. ........................................................................ 1,218,114
84,000 Ultrapar Participacoes S.A., Preference Shares.......................................... 1,493,070
78,100 Vale S.A., Preference Shares, ADR....................................................... 2,261,776
------------
10,488,660
------------
CHILE - 0.9%
11,600 Banco Santander Chile S.A., ADR......................................................... 1,088,196
------------
CHINA - 3.8%
200,000 Hang Lung Group Ltd. ................................................................... 1,267,079
1,070,000 PetroChina Co., Ltd., Class H........................................................... 1,564,778
640,000 Swire Pacific Ltd., B Shares............................................................ 1,825,828
------------
4,657,685
------------
HONG KONG - 2.3%
229,600 Aia Group Ltd. ......................................................................... 795,165
216,500 China Mobile Ltd. ...................................................................... 2,003,167
------------
2,798,332
------------
HUNGARY - 0.9%
5,500 Richter Gedeon Nyrt..................................................................... 1,086,501
------------
INDIA - 5.1%
32,000 Bharti Airtel Ltd. ..................................................................... 282,687
20,000 GlaxoSmithKline Pharmaceuticals Ltd. ................................................... 1,051,462
13,000 Grasim Industries Ltd. ................................................................. 609,497
29,000 Hero Honda Motors Ltd. ................................................................. 1,217,802
59,000 Hindustan Unilever Ltd. ................................................................ 453,562
70,500 Housing Development Finance Corp., Ltd. ................................................ 1,113,901
20,000 ICICI Bank Ltd. ........................................................................ 489,749
13,000 Infosys Technologies Ltd. .............................................................. 846,392
7,428 UltraTech Cement Ltd. .................................................................. 154,517
------------
6,219,569
------------
INDONESIA - 1.4%
230,000 PT Astra International Tbk.............................................................. 1,704,449
------------
ITALY - 0.9%
23,600 Tenaris S.A., ADR....................................................................... 1,079,228
------------
KAZAKHSTAN - 0.0%
1,219,876 BTA Bank JSC (c)........................................................................ 19,648
------------
MALAYSIA - 1.4%
220,000 CIMB Group Holdings Berhad.............................................................. 650,638
249,000 Public Bank Berhad...................................................................... 1,093,472
------------
1,744,110
------------

See Notes to Financial Statements Page 7

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

SHARES DESCRIPTION VALUE
--------------- ---------------------------------------------------------------------------------------- ------------
COMMON STOCKS - (Continued)

MEXICO - 3.8%

27,900 Fomento Economico Mexicano, S.A.B. de C.V., ADR......................................... $ 1,855,071
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR............................... 694,000
316,000 Grupo Financiero Banorte, S.A.B. de C.V., O Shares...................................... 1,434,732
92,000 Kimberly-Clark de Mexico, S.A.B. de C.V., A Shares...................................... 605,031
------------
4,588,834
------------
PHILIPPINES - 1.2%
1,550,000 Ayala Land, Inc. ....................................................................... 557,978
664,672 Bank of the Philippine Islands.......................................................... 897,273
------------
1,455,251
------------
POLAND - 0.8%
16,000 Bank Pekao S.A. ........................................................................ 946,186
------------
RUSSIA - 1.2%
23,500 LUKOIL, ADR............................................................................. 1,498,125
------------
SOUTH AFRICA - 1.8%
43,610 Massmart Holdings Ltd................................................................... 901,636
656 SABMiller PLC........................................................................... 23,769
119,729 Truworths International Ltd. ........................................................... 1,297,722
------------
2,223,127
------------
SOUTH KOREA - 2.7%
27,008 BS Financial Group, Inc. (c)............................................................ 381,980
1,256 E-Mart Co., Ltd. (c).................................................................... 287,702
4,600 Samsung Electronics Co., Ltd., Preference Shares........................................ 2,412,776
443 Shinsegae Co., Ltd. .................................................................... 141,091
------------
3,223,549
------------
TAIWAN - 2.1%
354,450 Taiwan Mobile Co., Ltd. ................................................................ 960,057
643,953 Taiwan Semiconductor Manufacturing Co., Ltd. ........................................... 1,618,654
------------
2,578,711
------------
THAILAND - 2.8%
250,000 PTT Exploration and Production Public Co., Ltd. ........................................ 1,391,375
107,000 Siam Cement Public (The) Co., Ltd. ..................................................... 1,420,862
160,600 Siam Commercial Bank Public Co., Ltd. .................................................. 580,199
------------
3,392,436
------------
TURKEY - 2.2%
73,634 Akbank TAS.............................................................................. 340,271
253,000 Aksigorta AS............................................................................ 252,532
27,220 Bim Birlesik Magazalar AS............................................................... 884,692
181,149 Haci Omer Sabanci Holding AS............................................................ 761,209
93,372 Turkiye Garanti Bankasi AS.............................................................. 423,425
------------
2,662,129
------------
UNITED KINGDOM - 1.1%
51,408 Standard Chartered PLC.................................................................. 1,351,474
------------
TOTAL COMMON STOCKS..................................................................... 54,806,200
(Cost $35,532,993) ------------

Page 8 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

PRINCIPAL
VALUE
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ------------------------------------------------------------ ----------- ------------ ------------
FOREIGN SOVEREIGN BONDS AND NOTES - 38.9%

ARGENTINA - 2.0%

2,538,617 Republic of Argentina (ARS) (d)............................. 5.45% 02/04/18 $ 1,256,947
1,250,000 Republic of Argentina (USD)................................. 7.00% 04/17/17 1,140,977
------------
2,397,924
------------
BRAZIL - 4.6%
730,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/13 452,024
4,070,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/17 2,364,976
4,910,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/21 2,750,503
------------
5,567,503
------------
DOMINICAN REPUBLIC - 0.5%
528,000 Dominican Republic (USD).................................... 8.63% 04/20/27 578,160
------------
EGYPT - 0.6%
4,500,000 Egypt Treasury Bill (EGP)................................... (e) 09/13/11 733,149
------------
EL SALVADOR - 1.1%
740,000 Republic of El Salvador (USD)............................... 7.65% 06/15/35 769,600
520,000 Republic of El Salvador (USD)............................... 7.63% 02/01/41 535,600
------------
1,305,200
------------
HUNGARY - 1.7%
227,370,000 Hungary Government Bond (HUF)............................... 6.00% 10/24/12 1,240,765
87,000,000 Hungary Government Bond (HUF)............................... 5.50% 02/12/16 448,045
85,000,000 Hungary Government Bond (HUF)............................... 6.50% 06/24/19 438,768
------------
2,127,578
------------
INDONESIA - 2.2%
9,600,000,000 Indonesian Government Bond (IDR)............................ 10.00% 07/15/17 1,282,250
9,500,000,000 Indonesian Government Bond (IDR)............................ 10.50% 08/15/30 1,285,842
900,000,000 Indonesian Government Bond (IDR)............................ 9.50% 07/15/31 111,985
------------
2,680,077
------------
IVORY COAST - 1.3%
2,980,000 Ivory Coast Government Bond (USD)........................... 2.50% 12/31/32 1,586,850
------------
LITHUANIA - 1.2%
1,140,000 Republic of Lithuania (USD)................................. 7.38% 02/11/20 1,313,850
180,000 Republic of Lithuania (USD)................................. 6.13% 03/09/21 191,070
------------
1,504,920
------------
MALAYSIA - 1.1%
2,500,000 Malaysia Government Bond (MYR).............................. 3.21% 05/31/13 829,440
1,700,000 Malaysia Government Bond (MYR).............................. 4.01% 09/15/17 572,379
------------
1,401,819
------------
MEXICO - 4.8%
16,500,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 9.50% 12/18/14 1,571,445
28,100,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 8.00% 06/11/20 2,580,798
5,200,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 8.00% 12/07/23 471,581
12,800,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 7.50% 06/03/27 1,085,307
1,840,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 10.00% 11/20/36 190,524
------------
5,899,655
------------

See Notes to Financial Statements Page 9

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

PAKISTAN - 0.4%

620,000 Islamic Republic of Pakistan (USD).......................... 6.88% 06/01/17 $ 505,300
------------
PERU - 1.0%
2,900,000 Peruvian Government Bond (PEN).............................. 7.84% 08/12/20 1,164,662
------------
POLAND - 2.4%
6,050,000 Poland Government Bond (PLN)................................ 5.50% 10/25/19 2,180,001
2,140,000 Poland Government Bond (PLN)................................ 5.75% 09/23/22 769,950
------------
2,949,951
------------
QATAR - 0.4%
450,000 State of Qatar (USD)........................................ 5.25% 01/20/20 481,950
------------
SENEGAL - 0.2%
250,000 Senegal Goverment International Bond (USD).................. 8.75% 05/13/21 258,437
------------
SERBIA - 0.6%
61,000,000 Serbia Treasury Bill (RSD).................................. (e) 12/13/12 738,496
------------
SOUTH AFRICA - 6.1%
520,000 Eskom Holdings Ltd. (USD)................................... 5.75% 01/26/21 538,200
34,900,000 Republic of South Africa (ZAR).............................. 8.25% 09/15/17 5,194,922
9,870,000 Republic of South Africa (ZAR).............................. 10.50% 12/21/26 1,690,882
------------
7,424,004
------------
TURKEY - 2.9%
$80,000 Republic of Turkey (USD).................................... 7.25% 03/05/38 92,000
360,000 Republic of Turkey (USD).................................... 6.75% 05/30/40 389,700
4,700,000 Turkey Government Bond (TRY)................................ 16.00% 03/07/12 3,037,770
------------
3,519,470
------------
UKRAINE - 0.1%
80,000 Ukraine Government Bond (USD)............................... 6.58% 11/21/16 80,768
------------
UNITED ARAB EMIRATES - 0.6%
700,000 Dubai Government International Bond (USD)................... 7.75% 10/05/20 746,900
------------
URUGUAY - 1.1%
10,400,000 Republic Orient Uruguay, Inflation Adjusted Bond (UYU) (f).. 5.00% 09/14/18 904,607
4,600,000 Republica Orient Uruguay (UYU).............................. 4.25% 04/05/27 383,829
------------
1,288,436
------------
VENEZUELA - 2.0%
300,000 Republic of Venezuela (USD)................................. 8.50% 10/08/14 275,250
2,150,000 Republic of Venezuela (USD)................................. 5.75% 02/26/16 1,677,000
600,000 Republic of Venezuela (USD)................................. 7.75% 10/13/19 436,500
------------
2,388,750
------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES................................................. 47,329,959
(Cost $44,541,172) ------------

Page 10 See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund
Portfolio of Investments (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

BRAZIL - 1.7%

550,000 Hypermarcas S.A. (USD)...................................... 6.50% 04/20/21 $ 552,063
350,000 Odebrecht Finance Ltd. (USD)................................ 7.50% 09/14/15 353,500
100,000 Petrobras International Finance Co. (USD)................... 5.38% 01/27/21 103,005
430,000 Rearden G Holdings Eins GmbH (USD).......................... 7.88% 03/30/20 471,538
600,000 Virgolino de Oliveira Finance Ltd. (USD).................... 10.50% 01/28/18 645,000
------------
2,125,106
------------
CHINA - 2.7%
180,000 China Oriental Group Co. Ltd. (USD)......................... 8.00% 08/18/15 183,600
750,000 China Overseas Finance Cayman II Ltd. (USD)................. 5.50% 11/10/20 714,522
1,600,000 Sinochem Overseas Capital Co. Ltd. (USD).................... 4.50% 11/12/20 1,541,509
550,000 West China Cement Ltd. (USD)................................ 7.50% 01/25/16 530,750
300,000 Yanlord Land Group Ltd. (USD)............................... 10.63% 03/29/18 305,160
------------
3,275,541
------------
COLOMBIA - 0.6%
600,000 TGI International Ltd. (USD)................................ 9.50% 10/03/17 677,250
------------
DOMINICAN REPUBLIC - 0.7%
350,000 AES Andres Dominicana/Itabo Dominicana (USD)................ 9.50% 11/12/20 374,850
505,000 Cerveceria Nacional Dominicana (USD) (d).................... 16.00% 03/27/12 472,175
------------
847,025
------------
EL SALVADOR - 0.4%
450,000 Telemovil Finance Co. Ltd. (USD)............................ 8.00% 10/01/17 476,325
------------
HONG KONG - 0.5%
620,000 CFG Investment S.A.C. (USD)................................. 9.25% 12/19/13 638,600
------------
INDONESIA - 1.8%
250,000 Indosat Palapa Co. B.V. (USD)............................... 7.38% 07/29/20 278,750
810,000 Majapahit Holding B.V. (USD)................................ 7.75% 10/17/16 941,940
150,000 PT Adaro Indonesia (USD).................................... 7.63% 10/22/19 167,250
650,000 Star Energy Geothermal (Wayang Windu) Ltd. (USD)............ 11.50% 02/12/15 737,750
------------
2,125,690
------------
KAZAKHSTAN - 1.7%
564,153 BTA Bank JSC (USD) (h)...................................... 10.75% 07/01/18 447,796
1,541,530 BTA Bank JSC (USD) (d) (i).................................. 0.00% 07/01/20 63,203
114,233 BTA Bank JSC (USD).......................................... 7.20% 07/01/25 52,262
200,000 Development Bank of Kazakhstan (USD)........................ 5.50% 12/20/15 206,500
350,000 Halyk Savings Bank of Kazakhstan (USD)...................... 7.25% 01/28/21 355,250
850,000 Kazmunaygas National Co. (USD).............................. 6.38% 04/09/21 899,937
------------
2,024,948
------------
MEXICO - 2.1%
450,000 Axtel S.A.B. de C.V. (USD).................................. 9.00% 09/22/19 441,675
275,000 Corp. Geo S.A. de C.V. (USD)................................ 8.88% 09/25/14 295,625
660,000 Desarrolladora Homex S.A. (USD)............................. 9.50% 12/11/19 709,500
650,000 Geo Maquinaria S.A. de C.V. (USD)........................... 9.63% 05/02/21 666,250
457,000 Servicios Corporativos Javer Sapi de C.V. (USD)............. 9.88% 04/06/21 478,707
------------
2,591,757
------------

See Notes to Financial Statements Page 11

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

NIGERIA - 0.3%

350,000 GTB Finance B.V. (USD)...................................... 7.50% 05/19/16 $ 360,290
------------
PERU - 0.5%
650,000 Banco de Credito del Peru (USD)............................. 4.75% 03/16/16 646,750
------------
PHILIPPINES - 0.2%
250,000 Alliance Global Group, Inc. (USD)........................... 6.50% 08/18/17 246,421
------------
QATAR - 1.1%
1,350,000 Qatari Diar Finance Q.S.C. (USD)............................ 5.00% 07/21/20 1,386,258
------------
RUSSIA - 1.2%
450,000 Alfa Bank (USD)............................................. 7.88% 09/25/17 474,750
300,000 Novatek Finance Ltd. (USD).................................. 6.60% 02/03/21 313,500
200,000 Russian Railways (USD)...................................... 5.74% 04/03/17 213,250
400,000 Vimpelcom Ltd. (USD)........................................ 6.49% 02/02/16 414,000
------------
1,415,500
------------
TURKEY - 0.4%
500,000 Yasar Holdings (USD)........................................ 9.63% 10/07/15 531,875
------------
UNITED ARAB EMIRATES - 0.6%
750,000 Dubai Electricity & Water Authority (USD)................... 7.38% 10/21/20 771,651
------------
VENEZUELA - 1.1%
1,800,000 Petroleos de Venezuela S.A. (USD)........................... 8.50% 11/02/17 1,343,700
------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES................................................. 21,484,687
(Cost $21,111,361) ------------

TOTAL INVESTMENTS - 101.5%.............................................................. 123,620,846
(Cost $101,185,526) (j)

OUTSTANDING LOAN - (4.8%)............................................................... (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 3.3%................................................. 4,002,579
------------
NET ASSETS - 100.0%..................................................................... $121,823,425
============

-----------------------------
(a) All percentages shown in the Portfolio of Investments are based on net
assets .
(b) All of these securities are available to serve as collateral for the
outstanding loan.
(c) Non-income producing security.
(d) Variable rate security. The interest rate shown reflects the rate in
effect at June 30, 2011.
(e) Zero coupon bond.
(f) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.
(g) Portfolio securities are included in a country based upon their underlying
credit exposure as determined by Aberdeen Asset Management Inc., the
Fund's investment sub-advisor.
(h) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date. The interest rate shown reflects the rate in effect at
June 30, 2011.
(i) Recovery units issued under BTA Bank's restructuring plan. Recovery
payments are dependent on future performance.
(j) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of June 30, 2011, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $24,062,071 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $1,626,751.

ADR American Depositary Receipt

Page 12 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
JUNE 30, 2011 (UNAUDITED)

Currency Abbreviations
ARS Argentine Peso
BRL Brazilian Real
EGP Egyptian Pound
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian New Sol
PLN Polish Zloty
RSD Serbian Dinar
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso
ZAR South African Rand

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of June 30, 2011
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE

LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2011 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------

Common Stocks*.................................. $ 54,806,200 $ 54,806,200 $ -- $ --
Foreign Sovereign Bonds and Notes*.............. 47,329,959 -- 47,329,959 --
Foreign Corporate Bonds and Notes*.............. 21,484,687 -- 21,484,687 --
------------ ------------ ------------ ------------
Total Investments*.............................. 123,620,846 54,806,200 68,814,646 --
Forward Foreign Currency Contracts**............ 18,059 -- 18,059 --
------------ ------------ ------------ ------------
Total........................................... $123,638,905 $ 54,806,200 $ 68,832,705 $ --
============ ============ ============ ============

LIABILITIES TABLE

LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2011 PRICES INPUTS INPUTS
------------ ------------ ------------ ------------
Forward Foreign Currency Contracts**............ $ (159,507) $ -- $ (159,507) $ --
============ ============ ============ ============

* See the Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and
currency detail.

See Notes to Financial Statements Page 13

FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
JUNE 30, 2011 (UNAUDITED)

FORWARD FOREIGN CURRENCY CONTRACTS
----------------------------------------------------------
PURCHASE SALE UNREALIZED
SETTLEMENT AMOUNT AMOUNT VALUE AS OF VALUE AS OF APPRECIATION
DATE COUNTERPARTY PURCHASED (a) SOLD (a) JUNE 30, 2011 JUNE 30, 2011 (DEPRECIATION)
----------- ------------ -------------------- ------------------- ------------- ------------- --------------

07/21/11 CIT MXN 9,762,000 USD 820,788 $ 832,186 $ 820,788 $ 11,398
07/21/11 JPM ZAR 3,058,000 USD 449,962 450,846 449,962 884
07/21/11 JPM ZAR 497,000 USD 73,365 73,274 73,365 (91)
08/25/11 RBS USD 2,340,516 BRL 3,834,000 2,340,516 2,424,609 (84,093)
07/21/11 BAR USD 76,902 HUF 14,420,000 76,902 78,486 (1,584)
08/25/11 RBS USD 777,161 IDR 6,734,876,000 777,161 778,232 (1,071)
07/21/11 JPM USD 1,048,376 MXN 12,253,000 1,048,376 1,044,537 3,839
07/21/11 BAR USD 693,652 PLN 1,913,000 693,652 695,887 (2,235)
07/21/11 JPM USD 669,005 TRY 1,087,000 669,005 667,067 1,938
07/21/11 BAR USD 2,433,990 ZAR 16,987,000 2,433,990 2,504,423 (70,433)
------------
Net Unrealized Appreciation (Depreciation)............................................................. $ (141,448)
============

(a) Please see page 13 for currency descriptions.

Counterparty Abbreviations:
BAR Barclays Bank
CIT Citibank, NA
JPM JPMorgan Chase
RBS Royal Bank of Scotland

Page 14 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2011 (UNAUDITED)

ASSETS:

Investments, at value
(Cost $101,185,526)......................................................................... $123,620,846
Cash........................................................................................... 215,106
Unrealized appreciation on forward foreign currency contracts.................................. 18,059
Prepaid expenses............................................................................... 15,825
Receivables:
Investment securities sold.................................................................. 1,949,104
Interest.................................................................................... 1,639,950
Foreign currencies sold..................................................................... 976,910
Dividends................................................................................... 224,055
------------
Total Assets............................................................................. 128,659,855
------------
LIABILITIES:
Outstanding loan............................................................................... 5,800,000
Unrealized depreciation on forward foreign currency contracts.................................. 159,507
Payables:
Investment securities purchased............................................................. 444,947
Deferred Thailand capital gains tax......................................................... 209,202
Investment advisory fees.................................................................... 104,801
Custodian fees.............................................................................. 40,710
Audit and tax fees.......................................................................... 32,635
Printing fees............................................................................... 11,040
Legal fees.................................................................................. 9,940
Administrative fees......................................................................... 9,893
Transfer agent fees......................................................................... 5,145
Interest and fees on loan................................................................... 2,235
Trustees' fees and expenses................................................................. 159
Other liabilities.............................................................................. 6,216
------------
Total Liabilities........................................................................... 6,836,430
------------
NET ASSETS..................................................................................... $121,823,425
============
NET ASSETS CONSIST OF:
Paid-in capital................................................................................ $ 97,511,411
Par value...................................................................................... 53,278
Accumulated net investment income (loss)....................................................... (1,333,284)
Accumulated net realized gain (loss) on investments, forward foreign currency
contracts and foreign currency transactions................................................. 3,500,363
Deferred Thailand capital gains tax............................................................ (209,202)
Net unrealized appreciation (depreciation) on investments, forward foreign
currency contracts and foreign currency translation......................................... 22,300,859
------------
NET ASSETS..................................................................................... $121,823,425
============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)........................... $ 22.87
============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized).... 5,327,785
============

See Notes to Financial Statements Page 15

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (UNAUDITED)

INVESTMENT INCOME:

Interest (net of foreign withholding tax of $8,108)............................................ $ 2,856,001
Dividends (net of foreign withholding tax of $115,864)......................................... 934,328
Other.......................................................................................... 12,424
------------
Total investment income..................................................................... 3,802,753
------------
EXPENSES:
Investment advisory fees....................................................................... 626,221
Custodian fees................................................................................. 100,943
Administrative fees............................................................................ 59,116
Interest and fees on loan...................................................................... 43,600
Audit and tax fees............................................................................. 27,395
Transfer agent fees............................................................................ 19,956
Trustees' fees and expenses.................................................................... 19,533
Printing fees.................................................................................. 17,437
Legal fees..................................................................................... 12,421
Other.......................................................................................... 56,070
------------
Total expenses.............................................................................. 982,692
------------
NET INVESTMENT INCOME (LOSS)................................................................... 2,820,061
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................................................. 3,438,817
Forward foreign currency contracts.......................................................... 102,246
Foreign currency transactions............................................................... (6,102)
------------
Net realized gain (loss)....................................................................... 3,534,961
------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................................................. (2,097,730)
Forward foreign currency contracts.......................................................... (9,819)
Foreign currency translation................................................................ (29,271)
Net change in deferred Thailand capital gains tax.............................................. (3,694)
------------
Net change in unrealized appreciation (depreciation)........................................... (2,140,514)
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................ 1,394,447
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................... $ 4,214,508
============

Page 16 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENTS OF CHANGES IN NET ASSETS

SIX MONTHS
ENDED YEAR
6/30/2011 ENDED
(UNAUDITED) 12/31/2010
-------------- --------------
OPERATIONS:

Net investment income (loss)....................................................... $ 2,820,061 $ 5,143,399
Net realized gain (loss)........................................................... 3,534,961 8,173,830
Net change in unrealized appreciation (depreciation)............................... (2,140,514) 10,051,108
-------------- --------------
Net increase (decrease) in net assets resulting from operations.................... 4,214,508 23,368,337
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. (3,729,450) (4,403,686)
Net realized gain.................................................................. -- (3,055,213)
Return of capital.................................................................. -- --
-------------- --------------
Total distributions to shareholders................................................ (3,729,450) (7,458,899)
-------------- --------------
CAPITAL TRANSACTIONS:
Proceeds from Common Shares reinvested............................................. -- --
Repurchase of Common Shares (a).................................................... -- (1,287,590)
-------------- --------------
Net increase (decrease) in net assets resulting from capital transactions.......... -- (1,287,590)
-------------- --------------
Total increase (decrease) in net assets............................................ 485,058 14,621,848
NET ASSETS:
Beginning of period................................................................ 121,338,367 106,716,519
-------------- --------------
End of period...................................................................... $ 121,823,425 $ 121,338,367
============== ==============
Accumulated net investment income (loss) at end of period.......................... $ (1,333,284) $ (423,895)
============== ==============

CAPITAL TRANSACTIONS WERE AS FOLLOWS:
Common Shares at beginning of period............................................... 5,327,785 5,400,233
Common Shares repurchased (a)...................................................... -- (72,448)
Common Shares issued as reinvestment under the Dividend Reinvestment Plan.......... -- --
-------------- --------------
Common Shares at end of period..................................................... 5,327,785 5,327,785
============== ==============

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

(a) On November 17, 2008, the Fund commenced a share repurchase program for
purposes of enhancing shareholder value and reducing the discount at which
the Fund's shares trade from their net asset value. The program originally
expired on May 17, 2009, but on June 2, 2009, the Fund announced that the
Board of Trustees of the Fund (the "Board") authorized the continuation of
the Fund's share repurchase program. The program again expired on December
2, 2009, but on December 15, 2009, the Fund again announced that the Board
authorized continuation of the Fund's repurchase program. The program
expired on March 15, 2010. For the year ended December 31, 2010, the Fund
repurchased 72,448 of its shares at an average discount of 10.45% from net
asset value per share.

See Notes to Financial Statements Page 17

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JUNE 30, 2011

CASH FLOWS FROM OPERATING ACTIVITIES:

Net increase (decrease) in net assets resulting from operations.................... $ 4,214,508
Adjustments to reconcile net increase (decrease) in net assets resulting from
operations to net cash provided by operating activities:
Purchases of investments..................................................... (35,330,257)
Sales, maturities and paydowns of investments................................ 36,809,523
Net amortization/accretion of premiums/discounts on investments.............. (189,744)
Net realized gain/loss on investments........................................ (3,438,817)
Net change in unrealized appreciation/depreciation on forward foreign .......
currency contracts...................................................... 9,819
Net change in unrealized appreciation/depreciation on investments............ 2,097,730
CHANGES IN ASSETS AND LIABILITIES:
Increase in receivable for foreign currency sold............................. (976,910)
Increase in interest receivable.............................................. (111,790)
Increase in dividends receivable............................................. (182,650)
Increase in prepaid expenses................................................. (10,201)
Decrease in interest and fees on loan payable................................ (1,491)
Decrease in investment advisory fees payable................................. (2,768)
Decrease in audit and tax fees payable....................................... (21,605)
Increase in legal fees payable............................................... 4,318
Decrease in printing fees payable............................................ (12,455)
Decrease in administrative fees payable...................................... (264)
Increase in custodian fees payable........................................... 8,884
Increase in transfer agent fees payable...................................... 2,581
Increase in Trustees' fees and expenses payable.............................. 125
Increase in deferred Thailand capital gains tax.............................. 3,694
Decrease in other liabilities................................................ (452)
--------------
CASH PROVIDED BY OPERATING ACTIVITIES.............................................. $ 2,871,778
--------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Distributions to Common Shareholders from net investment income.............. (3,729,450)
--------------
CASH USED IN FINANCING ACTIVITIES.................................................. (3,729,450)
--------------
Decrease in cash (a)............................................................... (857,672)
Cash at beginning of period........................................................ 1,072,778
--------------
CASH AT END OF PERIOD.............................................................. $ 215,106
==============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest and fees.................................. $ 45,091
==============

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

(a) Includes net change in unrealized appreciation (depreciation) on foreign
currency of $(29,272).

Page 18 See Notes to Financial Statements

FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
FINANCIAL HIGHLIGHTS
FOR A COMMON SHARE OUTSTANDING THROUGHOUT EACH PERIOD

SIX MONTHS
ENDED YEAR YEAR YEAR YEAR PERIOD
6/30/2011 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2010 12/31/2009 12/31/2008 12/31/2007 12/31/2006 (a)
------------- ------------- ------------- ------------- ------------- -------------

Net asset value, beginning of period.... $ 22.80 $ 19.76 $ 12.87 $ 21.69 $ 20.58 $ 19.10 (b)
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.53 0.97 1.01 1.09 (c) 0.92 0.29
Net realized and unrealized gain (loss). 0.24 3.44 7.16 (8.37) 2.00 1.58
--------- --------- --------- --------- --------- ---------
Total from investment operations........ 0.77 4.41 8.17 (7.28) 2.92 1.87
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................... (0.70) (0.83) (0.81) (1.08) (0.79) (0.31)
Net realized gain....................... -- (0.57) -- (0.10) (1.02) --
Return of capital....................... -- -- (0.63) (0.38) -- (0.04)
--------- --------- --------- --------- --------- ---------
Total from distributions................ (0.70) (1.40) (1.44) (1.56) (1.81) (0.35)
--------- --------- --------- --------- --------- ---------
Common Shares offering costs charged to
paid-in capital.................... -- -- -- -- -- (0.04)
--------- --------- --------- --------- --------- ---------
Capital share repurchases............... -- 0.03 -- -- -- --
--------- --------- --------- --------- --------- ---------
Net asset value, end of period.......... $ 22.87 $ 22.80 $ 19.76 $ 12.87 $ 21.69 $ 20.58
========= ========= ========= ========= ========= =========
Market value, end of period............. $ 20.89 $ 21.32 $ 18.04 $ 10.25 $ 19.50 $ 19.03
========= ========= ========= ========= ========= =========
TOTAL RETURN BASED ON NET ASSET VALUE (d) 3.79% 23.29% 69.25% (33.94)% 15.74% 9.74%
========= ========= ========= ========= ========= =========
TOTAL RETURN BASED ON MARKET VALUE (d).. 1.25% 26.45% 94.01% (41.48)% 12.53% (3.10)%
========= ========= ========= ========= ========= =========

RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).... $ 121,823 $ 121,338 $ 106,717 $ 75,365 $ 128,112 $ 121,519
Ratio of total expenses to average net
assets .............................. 1.64% (e) 1.76% 2.11% 2.00% 2.04% 2.16% (e)
Ratio of net expenses to average net
assets excluding interest expense.... 1.57% (e) 1.62% 1.80% 1.60% 1.58% 2.05% (e)
Ratio of net investment income (loss)
to average net assets................ 4.72% (e) 4.55% 6.11% 5.73% 4.31% 4.27% (e)
Portfolio turnover rate................. 28% 87% 66% 64% 95% 40%
INDEBTEDNESS:
Total loan outstanding (in 000's)....... $ 5,800 $ 5,800 $ 5,800 $ 13,500 $ 8,000 $ 7,000
Asset coverage per $1,000 of
indebtedness (f) .................... $ 22,004 $ 21,920 $ 19,399 $ 6,583 $ 17,014 $ 18,360

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

(a) Initial seed date of July 14, 2006. The Fund commenced operations on
August 28, 2006.

(b) Net of sales load of $0.90 per share on initial offering.

(d) Total return is based on the combination of reinvested dividend, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan, and changes in net asset value per share
for net asset value returns and changes in Common Share price for market
value returns. Total returns do not reflect sales load and are not
annualized for periods less than one year. Past performance is not
indicative of future results.

(e) Annualized.

(f) Calculated by subtracting the Fund's total liabilities (not including the
loan outstanding) from the Fund's total assets, and dividing by the
outstanding loan balance in 000's.

See Notes to Financial Statements Page 19

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

1. FUND DESCRIPTION

First Trust/Aberdeen Emerging Opportunity Fund (the "Fund") is a diversified,
closed-end management investment company organized as a Massachusetts business
trust on May 16, 2006 and is registered with the Securities and Exchange
Commission ("SEC") under the Investment Company Act of 1940, as amended (the
"1940 Act"). The Fund trades under the ticker symbol FEO on the New York Stock
Exchange ("NYSE").

The Fund's investment objective is to seek a high level of total return. The
Fund pursues its objective by investing at least 80% of its Managed Assets in a
diversified portfolio of equity and fixed-income securities of issuers in
emerging market countries. "Managed Assets" means the average daily total asset
value of the Fund minus the sum of the Fund's liabilities other than the
principal amount of borrowings, if any. There can be no assurance that the Fund
will achieve its investment objective.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its 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 the Fund's Common Shares is determined daily as
of the close of regular trading on the 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
1940 Act. All securities and other assets of the Fund initially expressed in
foreign currencies will be converted to U.S. dollars using exchange rates in
effect at the time of valuation. All market quotations used in valuing the
Fund's securities will be obtained from a third party pricing service. The
Fund's securities will be valued as follows:

Bond, notes and other debt securities not traded in an organized market
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.

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.

Currency-linked notes, credit-linked notes, interest rate swaps and 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.

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.

Page 20

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (Continued)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
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 and other investments. Additionally, if events occur after the close
of the principal market for particular securities (e.g., domestic debt and
foreign securities), but before the Fund values its assets, that could
materially affect NAV, First Trust may use a fair value method to value the
Fund's securities and other investments. The use of fair value pricing by the
Fund 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. 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 the
Fund might be able to receive upon its current sale. Fair valuation of a debt
security will be 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 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 economic, political and social prospects/developments of the
country of issue and the assessment of the country's governmental
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
13) other relevant factors.

Fair valuation of an equity 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 equity 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) closed-end fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of
foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.

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 securities. An active market is a market in which
transactions for the security occur with sufficient frequency
and volume to provide pricing information on an ongoing basis.

Page 21

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:

o Quoted prices for similar securities in active markets.

o Quoted prices for identical or similar securities in
markets that are non-active. A non-active market is a
market where there are few transactions for the
security, 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
security.

The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of June 30, 2011 is
included with the Fund'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
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded by using the effective interest method.

Securities purchased on a when-issued, delayed-delivery or forward 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 June 30, 2011, the Fund had no when-issued, delayed-delivery or forward
purchase commitments.

C. CREDIT LINKED NOTES:

The Fund may invest in credit linked notes. Credit linked notes are securities
that are collateralized by one or more designated securities that are referred
to as "reference securities". Through the purchase of a credit linked note, the
buyer assumes the risk of the default or, in some cases, other declines in
credit quality of the reference securities. The buyer also takes on exposure to
the issuer of the credit linked note in the full amount of the purchase price of
the note. The issuer of a credit linked note normally will have hedged its risk
on the reference securities without acquiring any additional credit exposure.
The Fund has the right to receive periodic interest payments from the issuer of
the credit linked note at an agreed-upon interest rate, and, if there has been
no default or, if applicable, other declines in credit quality, a return of
principal at the maturity date.

Credit linked notes are subject to credit risk of the reference securities
underlying the credit linked notes. If one of the underlying reference
securities defaults, or suffers certain other declines in credit quality, the
Fund may, instead of receiving repayment of principal in whole or in part,
receive the security that has defaulted.

Credit linked notes typically are privately negotiated transactions between two
or more parties. The Fund bears the risk that the issuer of the credit linked
note will default or become bankrupt. The Fund bears the risk of loss of the
principal amount it invested, and the periodic interest payments expected to be
received for the duration of its investment in the credit linked note.

The market for credit linked notes may suddenly become illiquid. The other
parties to the transaction may be the only investors with sufficient
understanding of the derivative to be interested in bidding for it. Changes in
liquidity may result in significant, rapid and unpredictable changes in the
prices for credit linked notes. In certain cases, a market price for a credit
linked note may not be available. At June 30, 2011, the Fund has no credit
linked notes.

D. FORWARD FOREIGN CURRENCY CONTRACTS:

The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objective. 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, equivalent to the
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 in "Unrealized appreciation
(depreciation) on forward foreign currency contracts" on the Statement of Assets
and Liabilities. When the forward contract is closed, the Fund records a
realized gain or loss equal to the difference between the proceeds from (or the
cost of) the closing transaction and the Fund's basis in the contract. This
realized gain or loss is included in the "Net realized gain (loss) on forward

Page 22

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

foreign currency contracts" on the Statement of Operations. Risks arise from the
possible inability of counterparties to meet the terms of their contracts and
from movement in currency. 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 six months ended June 30, 2011, the open and close notional values of
forward foreign currency contracts were $15,457,295 and $(191,048),
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 investment securities and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statement of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statement 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 fluctuations in exchange rates between the
initial purchase trade date and subsequent sale trade date is included in "Net
realized gain (loss) on foreign currency transactions" on the Statement of
Operations.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

Level dividend distributions are declared and paid quarterly to Common
Shareholders after the payment of interest and/or dividends in connection with
leverage. The level dividend rate may be modified by the Board of Trustees from
time to time. If, for any quarterly distribution, net investment company taxable
income, if any (which term includes net short-term capital gain), is less than
the amount of the distribution, the difference will generally be a tax-free
return of capital distributed from the Fund's assets. Distributions of any net
long-term capital gains earned by the Fund are distributed at least annually.
Distributions will automatically be reinvested into additional Common Shares
pursuant to the Fund's Dividend Reinvestment Plan unless cash distributions are
elected by the shareholder.

Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. Certain capital accounts in the
financial statements are periodically adjusted for permanent differences in
order to reflect their tax character. These permanent differences are primarily
due to the varying treatment of income and gain/loss on portfolio securities
held by the Fund and have no impact on the net assets or net asset value per
share. Temporary differences, which arise from recognizing certain items of
income, expense and gain/loss in different periods for financial statement and
tax purposes, will reverse at some time in the future.

The tax character of distributions paid during the year ended December 31, 2010
was as follows:

Distributions paid from:
Ordinary income................................. $ 4,403,686
Long-term capital gains......................... 3,055,213
Return of capital............................... --

As of December 31, 2010, the distributable earnings and net assets on a tax
basis were as follows:

Undistributed ordinary income................... $ --
Undistributed capital gains..................... --
--------------
Total undistributed earnings.................... --
Accumulated capital and other losses............ (109,078)
Net unrealized appreciation (depreciation)...... 24,088,264
--------------
Total accumulated earnings (losses)............. 23,979,186
Other........................................... (205,508)
Paid-in capital................................. 97,564,689
--------------
Net assets...................................... $ 121,338,367
==============

G. INCOME TAXES:

The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended (the "Code"), which includes distributing substantially all

Page 23

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

of its net investment income and net realized gains to shareholders.
Accordingly, no provision has been made for federal or state income taxes.

The Fund intends to utilize provisions of the federal income tax laws, which
allows it to carry realized capital losses forward for eight years following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2010, the
Fund had fully utilized its capital loss carryforward according to the following
schedule:

UTILIZED IN
FISCAL YEAR CURRENT YEAR REMAINING EXPIRATION

12/31/08 $ 495,817 $ -- 12/31/16
12/31/09 5,114,038 -- 12/31/17
-----------------------------
Total $ 5,609,855 $ --
=============================

Certain losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended December 31, 2010, the Fund intends to elect to defer net realized foreign
currency losses of $109,078 incurred between November 1, 2010 through December
31, 2010.

The Fund is subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2007, 2008,
2009 and 2010 remain open to federal and state audit. As of June 30, 2011,
management has evaluated the application of these standards to the Fund, and has
determined that no provision for income tax is required in the Fund's financial
statements for uncertain tax positions.

H. EXPENSES:

The Fund pays all expenses directly related to its operations.

I. ACCOUNTING PRONOUNCEMENT:

In May 2011, the Financial Accounting Standards Board ("FASB") issued ASU
2011-04 Amendments to Achieve Common Fair Value Measurement and Disclosure
Requirements in U.S. GAAP and IFRSs, modifying Topic 820, Fair Value
Measurements and Disclosures. At the same time, the International Accounting
Standards Board ("IASB") issued International Financial Reporting Standard
("IFRS") 13, Fair Value Measurement. The objective of the FASB and IASB is
convergence of their guidance on fair value measurements and disclosures.
Specifically, the ASU requires reporting entities to disclose (i) the amounts of
any transfers between Level 1 and Level 2, and the reasons for the transfers,
(ii) for Level 3 fair value measurements, quantitative information about
significant unobservable inputs used, (iii) a description of the valuation
processes used by the reporting entity and, (iv) a narrative description of the
sensitivity of the fair value measurement to changes in unobservable inputs if a
change in those inputs might result in a significantly higher or lower fair
value measurement. The effective date of the ASU is for interim and annual
periods beginning after December 15, 2011, and is therefore not effective for
the current fiscal year. The Adviser is in the process of assessing the impact
of the updated standards on the Funds' financial statements, if any.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. First Trust is responsible for the ongoing monitoring of
the Fund's investment portfolio, managing the Fund's business affairs and
providing certain administrative services necessary for the management of the
Fund. For these services, First Trust is entitled to a monthly fee calculated at
an annual rate of 1.00% of the Fund's Managed Assets. First Trust also provides
fund reporting services to the Fund for a flat annual fee in the amount of
$9,250.

Aberdeen Asset Management Inc. ("Aberdeen" or the "Sub-Advisor") serves as the
Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's
supervision. The Sub-Advisor receives a monthly portfolio management fee
calculated at an annual rate of 0.50% of Managed Assets that is paid by First
Trust out of its investment advisory fee.

BNY Mellon Investment Servicing (US) Inc. serves as the Fund's Administrator,
Fund Accountant and Transfer Agent in accordance with certain fee arrangements.
PFPC Trust Company, which was renamed BNY Mellon Investment Servicing Trust
Company effective July 1, 2011, serves as the Fund's Custodian in accordance
with certain fee arrangements.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor,
or any of their affiliates ("Independent Trustees") is paid an annual retainer
of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and
an annual retainer of $7,500 per trust for each subsequent trust in the First
Trust Fund Complex. The annual retainer is allocated equally among each of the
trusts. No additional meeting fees are paid in connection with Board or
Committee meetings.

Page 24

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

Additionally, the Lead Independent Trustee is paid $10,000 annually, the
Chairman of the Audit Committee is paid $5,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and Valuation Committee are
paid $2,500 annually to serve in such capacities, with such compensation paid by
the trusts in the First Trust Fund Complex and equally allocated among those
trusts. Trustees are also reimbursed by the trusts in the First Trust Fund
Complex for travel and out-of-pocket expenses in connection with all meetings.
The Lead Independent Committee or as Lead Independent Trustee. The officers and
"Interested" Trustee receive no compensation from the trusts for serving in such
capacities.

4. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of securities, other than U.S.
government obligations and short-term obligations, for the six months ended June
30, 2011, were $35,775,204 and $38,758,627, respectively.

5. BORROWING

The Fund has entered into a revolving loan agreement with The Bank of Nova
Scotia, which provides for a credit facility to be used as leverage for the
Fund. The credit facility provides for a secured line of credit for the Fund
where Fund assets are pledged against advances made to the Fund. Under the
requirements of the 1940 Act, the Fund, immediately after any such borrowings,
must have an "asset coverage" of at least 300% (33-1/3% of the Fund's total
assets after borrowings). The total commitment under the facility is up to
$12,000,000. As of June 30, 2011, the Fund had one loan outstanding under the
loan agreement of $5,800,000. For the six months ended June 30, 2011, the
average amount outstanding was $5,800,000. The high and low annual interest
rates during the six months ended June 30, 2011, were 1.36% and 1.29%,
respectively, and the weighted-average interest rate was 1.34%. The interest
rate at June 30, 2011 was 1.29%. The Fund also pays a commitment fee of 0.15%
(or 0.30% if the loan balance drops below 40% of total commitment) per year,
which is included in "Interest and fees on loan" on the Statement of Operations.

6. INDEMNIFICATION

The Fund has a variety of indemnification obligations under contracts with its
service providers. The Fund's maximum exposure under these arrangements is
unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.

7. RISK CONSIDERATIONS

Risks are inherent in all investing. The following summarizes some of the risks
that should be considered for the Fund. For additional information about the
risks associated with investing in the Fund, please see the Fund's prospectus
and statement of additional information, as well as other Fund regulatory
filings.

INVESTMENT AND MARKET RISK: An investment in the Fund's Common Shares is subject
to investment risk, including the possible loss of the entire principal
invested. An investment in Common Shares represents an indirect investment in
the securities owned by the Fund, which include a global bond and equity
portfolio of investment grade and below-investment grade government and
corporate debt securities. The value of these securities, like other market
investments, may move up or down, sometimes rapidly and unpredictably. Common
Shares, at any point in time, may be worth less than the original investment,
even after taking into account the reinvestment of Fund dividends and
distributions. Security prices can fluctuate for several reasons including the
general condition of the bond market, or when political or economic events
affecting the issuers occur. When the Advisor or Sub-Advisor determines that it
is temporarily unable to follow the Fund's investment strategy or that it is
impractical to do so (such as when a market disruption event has occurred and
trading in the securities is extremely limited or absent), the Fund may take
temporary defensive positions.

NON-INVESTMENT GRADE SECURITIES RISK: The Fund may invest up to 80% of its
Managed Assets in non-investment grade securities. Non-investment grade
securities are rated below "Baa3" by Moody's Investors Service, Inc., below
"BBB-" by Standard & Poor's, or comparably rated by another nationally
recognized statistical rating organization or, if unrated, determined by the
Sub-Advisor to be of comparable credit quality. Non-investment grade debt
instruments are commonly referred to as "high-yield" or "junk" bonds and are
considered speculative with respect to the issuer's capacity to pay interest and
repay principal and are susceptible to default or decline in market value due to
adverse economic and business developments. The market values for high-yield
securities tend to be very volatile, and these securities are less liquid than
investment grade debt securities.

EMERGING MARKETS RISK: Under normal market conditions, the Fund will invest at
least 80% of its Managed Assets in equity or fixed-income securities of issuers
located in countries considered to be emerging markets. Investments in such
securities are considered speculative. In addition to the general risks of
investing in non-U.S. securities, heightened risks of investing in emerging
markets securities include: smaller market capitalization of securities markets,
which may suffer periods of relative illiquidity; significant price volatility;
restrictions on foreign investment; and possible restrictions on repatriation of
investment income and capital. Furthermore, foreign investors may be required to
register the proceeds of sales, and future economic or political crises could
lead to price controls, forced mergers, expropriation or confiscatory taxation,
seizure, nationalization or creation of government monopolies. The currencies of

Page 25

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

emerging market countries may experience significant declines against the U.S.
dollar, and devaluation may occur subsequent to investments in these currencies
by the Fund. Inflation and rapid fluctuations in inflation rates have had, and
may continue to have, negative effects on the economies and securities markets
of certain emerging market countries.

FIXED-INCOME SECURITIES RISK: Debt securities, including high yield securities,
are subject to certain risks, including: (i) issuer risk, which is the risk that
the value of fixed-income securities may decline for a number of reasons which
directly relate to the issuer, such as management performance, financial
leverage and reduced demand for the issuer's goods and services; (ii)
reinvestment risk, which is the risk that income from the Fund's portfolio will
decline if the Fund invests the proceeds from matured, traded or called bonds at
market interest rates that are below the Fund portfolio's current earnings rate;
(iii) prepayment risk, which is the risk that during periods of declining
interest rates, the issuer of a security may exercise its option to prepay
principal earlier than scheduled, forcing the Fund to reinvest in lower yielding
securities; and (iv) credit risk, which is the risk that a security in the
Fund's portfolio will decline in price or the issuer fails to make interest
payments when due because the issuer of the security experiences a decline in
its financial status.

INTEREST RATE RISK: The Fund is also subject to interest rate risk. Interest
rate risk is the risk that fixed-income securities will decline in value because
of changes in market interest rates. Investments in debt securities with
long-term maturities may experience significant price declines if long-term
interest rates increase.

NON-U.S. RISK: Investments in the securities and instruments of non-U.S. issuers
involve certain considerations and risks not ordinarily associated with
investments in securities and instruments of U.S. issuers. Non-U.S. companies
are not generally subject to uniform accounting, auditing and financial
standards and requirements comparable to those applicable to U.S. companies.
Non-U.S. securities exchanges, brokers and listed companies may be subject to
less government supervision and regulation than exists in the United States.
Dividend and interest income may be subject to withholding and other non-U.S.
taxes, which may adversely affect the net return on such investments. There may
be difficulty in obtaining or enforcing a court judgment abroad.

CURRENCY RISK: The value of securities denominated or quoted in foreign
currencies may be adversely affected by fluctuations in the relative currency
exchange rates and by exchange control regulations. The Fund's investment
performance may be negatively affected by a devaluation of a currency in which
the Fund's investments are denominated or quoted. Further, the Fund's investment
performance may be significantly affected, either positively or negatively, by
currency exchange rates because the U.S. dollar value of securities denominated
or quoted in another currency will increase or decrease in response to changes
in the value of such currency in relation to the U.S. dollar. While certain of
the Fund's non-U.S. dollar-denominated securities may be hedged into U.S.
dollars, hedging may not alleviate all currency risks.

CREDIT LINKED NOTES RISK: The Fund may invest up to 35% of its Managed Assets in
credit linked notes. Credit linked notes are subject to credit risk of the
reference securities underlying the credit linked notes. If one of the
underlying reference securities defaults or suffers certain other declines in
credit quality, the Fund may, instead of receiving repayment of principal in
whole or in part, receive the security that has defaulted. The Fund also bears
the risk that the issuer of the credit linked note will default or become
bankrupt. The Fund bears the risk of loss of the principal amount it invested
and the periodic interest payments expected to be received for the duration of
its investment in the credit linked note.

LEVERAGE RISK: The use of leverage results in additional risks and can magnify
the effect of any losses. The funds borrowed pursuant to a leverage borrowing
program constitute a substantial lien and burden by reason of their prior claim
against the income of the Fund and against the net assets of the Fund in
liquidation. The rights of lenders to receive payments of interest on and
repayments of principal on any borrowings made by the Fund under a leverage
borrowing program are senior to the rights of holders of Common Shares, with
respect to payment of dividends or upon liquidation. If the Fund is not in
compliance with certain credit facility provisions, the Fund may not be
permitted to declare dividends or other distributions, including dividends and
distributions with respect to Common Shares or purchase Common Shares.

GOVERNMENT SECURITIES RISK: The ability of a government issuer, especially in an
emerging market country, to make timely and complete payments on its debt
obligations will be strongly influenced by the government issuer's balance of
payments, including export performance, its access to international credits and
investments, fluctuations of interest rates and the extent of its foreign
reserves. A country whose exports are concentrated in a few commodities or whose
economy depends on certain strategic imports could be vulnerable to fluctuations
in international prices of these commodities or imports. To the extent that a
country receives payment for its exports in currencies other than U.S. dollars,
its ability to make debt payments denominated in U.S. dollars could be adversely
affected. If a government issuer cannot generate sufficient earnings from
foreign trade to service its external debt, it may need to depend on continuing
loans and aid from foreign governments, commercial banks, and multinational
organizations. There are no bankruptcy proceedings similar to those in the
United States by which defaulted government debt may be collected. Additional
factors that may influence a government issuer's ability or willingness to
service debt include, but are not limited to, a country's cash flow situation,
the availability of sufficient foreign exchange on the date a payment is due,
the relative size of its debt service burden to the economy as a whole, and the
issuer's policy towards the International Monetary Fund, the International Bank
for Reconstruction and Development and other international agencies to which a
government debtor may be subject.

Page 26

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

Non-U.S. Government Securities Risk: Economies and social and political climates
in individual countries may differ unfavorably from the United States. Non-U.S.
economies may have less favorable rates of growth of gross domestic product,
rates of inflation, currency valuation, capital reinvestment, resource
self-sufficiency and balance of payments positions. Many countries have
experienced extremely high rates of inflation for many years. Unanticipated
economic, political and social developments may also affect the values of the
Fund's investments and limit the availability of additional investments in such
countries. Furthermore, such developments may significantly disrupt the
financial markets or interfere with the Fund's ability to enforce its rights
against non-U.S. government issuers.

8. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund 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 27

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

DIVIDEND REINVESTMENT PLAN

If your Common Shares are registered directly with the Fund or if you hold your
Common Shares with a brokerage firm that participates in the Fund's Dividend
Reinvestment Plan (the "Plan"), unless you elect, by written notice to the Fund,
to receive cash distributions, all dividends, including any capital gain
distributions, on your Common Shares will be automatically reinvested by BNY
Mellon Investment Servicing (US) Inc. (the "Plan Agent"), in additional Common
Shares under the Plan. If you elect to receive cash distributions, you will
receive all distributions in cash paid by check mailed directly to you by the
Plan Agent, as the dividend paying agent.

If you decide to participate in the Plan, the number of Common Shares you will
receive will be determined as follows:

(1) If Common Shares are trading at or above net asset value ("NAV") at
the time of valuation, the Fund will issue new shares at a price
equal to the greater of (i) NAV per Common Share on that date or
(ii) 95% of the market price on that date.

(2) If Common Shares are trading below NAV at the time of valuation, the
Plan Agent will receive the dividend or distribution in cash and
will purchase Common Shares in the open market, on the NYSE or
elsewhere, for the participants' accounts. It is possible that the
market price for the Common Shares may increase before the Plan
Agent has completed its purchases. Therefore, the average purchase
price per share paid by the Plan Agent may exceed the market price
at the time of valuation, resulting in the purchase of fewer shares
than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and
distributions received in cash to purchase Common Shares in the open
market within 30 days of the valuation date except where temporary
curtailment or suspension of purchases is necessary to comply with
federal securities laws. Interest will not be paid on any uninvested
cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving
written notice to the Plan Agent, or by telephone at (866) 340-1104, in
accordance with such reasonable requirements as the Plan Agent and the Fund may
agree upon. If you withdraw or the Plan is terminated, you will receive a
certificate for each whole share in your account under the Plan, and you will
receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage
commissions.

The Plan Agent maintains all Common Shareholders' accounts in the Plan and gives
written confirmation of all transactions in the accounts, including information
you may need for tax records. Common Shares in your account will be held by the
Plan Agent in non-certificated form. The Plan Agent will forward to each
participant any proxy solicitation material and will vote any shares so held
only in accordance with proxies returned to the Fund. Any proxy you receive will
include all Common Shares you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions
in Common Shares. However, all participants will pay a pro rata share of
brokerage commissions incurred by the Plan Agent when it makes open market
purchases.

Automatically reinvesting dividends and distributions does not mean that you do
not have to pay income taxes due upon receiving dividends and distributions.
Capital gains and income are realized although cash is not received by you.
Consult your financial advisor for more information.

If you hold your Common Shares with a brokerage firm that does not participate
in the Plan, you will not be able to participate in the Plan and any dividend
reinvestment may be effected on different terms than those described above.

The Fund reserves the right to amend or terminate the Plan if in the judgment of
the Board of Trustees the change is warranted. There is no direct service charge
to participants in the Plan; however, the Fund reserves the right to amend the
Plan to include a service charge payable by the participants. Additional
information about the Plan may be obtained by writing BNY Mellon Investment
Servicing (US) Inc., 301 Bellevue Parkway, Wilmington, Delaware 19809.

--------------------------------------------------------------------------------
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.

Page 28

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (Continued)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2011 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund 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 Fund's Forms N-Q
are available (1) by calling (800) 988-5891; (2) on the Fund'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.

SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS

The Joint Annual Meeting of Shareholders of the Common Shares of Energy Income
and Growth Fund, First Trust Enhanced Equity Income Fund, First Trust/Aberdeen
Global Opportunity Income Fund, First Trust/FIDAC Mortgage Income Fund, First
Trust Strategic High Income Fund, First Trust Strategic High Income Fund II,
First Trust/Aberdeen Emerging Opportunity Fund, First Trust Strategic High
Income Fund III, First Trust Specialty Finance and Financial Opportunities Fund,
First Trust Active Dividend Income Fund and First Trust High Income Long/Short
Fund was held on April 18, 2011. At the Meeting, Robert F. Keith was elected by
the Common Shareholders of the First Trust/Aberdeen Emerging Opportunity Fund as
a Class I Trustee for a three-year term expiring at the Fund's annual meeting of
shareholders in 2014. The number of votes cast in favor of Mr. Keith was
5,079,386, the number of votes against was 77,018 and the number of abstentions
was 171,381. James A. Bowen, Neil B. Nielson, Richard E. Erickson and Thomas R.
Kadlec are the other current and continuing Trustees.

Page 29

This Page Left Blank Intentionally.

FIRST TRUST

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 E. Liberty Drive, Suite 400
Wheaton, IL 60187

INVESTMENT SUB-ADVISOR
Aberdeen Asset Management Inc.
1735 Market Street, 32nd Floor
Philadelphia, PA 19103

ADMINISTRATOR,
FUND ACCOUNTANT &
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809

CUSTODIAN
BNY Mellon Investment Servicing Trust Company
Formerly, PFPC Trust Company
8800 Tinicum Boulevard
Philadelphia, PA 19153

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.

(a) Not applicable.

(b) There have been no changes, as of the date of filing, in any of the
Portfolio Managers identified in response to paragraph (a)(1) of this item
in the Registrant's most recent annual report on Form N-CSR.

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 Trust/Aberdeen Emerging Opportunity Fund
--------------------------------------------------------------------

By (Signature and Title)* /s/ James A. Bowen
------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)

Date August 22, 2011
-----------------------------------

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.

Date August 22, 2011
-----------------------------------

By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------------
Mark R. Bradley, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)

Date August 22, 2011
-----------------------------------

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