Edgar Filing: FIRST TRUST STRATEGIC HIGH INCOME FUND

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21756
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FIRST TRUST STRATEGIC HIGH INCOME FUND
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(Exact name of registrant as specified in charter)

1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)

Registrant's telephone number, including area code: 630-241-4141
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Date of fiscal year end: OCTOBER 31
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Date of reporting period: JANUARY 31, 2008
------------------

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

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

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

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (a)
JANUARY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------ ------ -------- -------------

ASSET-BACKED SECURITIES - 84.3%

ABCLO, Ltd.
$ 1,750,000 Series 2007-1A, Class D (b) (c) ......................... 8.16% 04/15/21 $ 1,386,875
ACE Securities Corp., Home Equity Loan Trust
504,354 Series 2003-OP1, Class B ................................ 6.00% 12/25/33 199,688
723,714 Series 2004-HE4, Class M11 (c) .......................... 6.88% 12/25/34 131,166
2,000,000 Series 2005-HE5, Class M10 (c) .......................... 6.38% 08/25/35 140,000
809,650 Series 2005-SL1, Class M7 ............................... 6.50% 06/25/35 7,683
3,000,000 Series 2007-HE4, Class M8 (c) ........................... 5.88% 05/25/37 352,500
ACLC Business Loan Receivables Trust
2,577,855 Series 1999-1, Class A3 (b) ............................. 7.39% 08/15/20 2,547,793
2,499,846 Series 1999-2, Class B (b) .............................. 8.75% 01/15/21 2,374,853
Aircraft Finance Trust
1,152,323 Series 1999-1A, Class A2 (b) (c) ........................ 4.74% 05/15/24 1,094,707
Atherton Franchisee Loan Funding
647,235 Series 1999-A, Class A2 (b) ............................. 7.23% 03/15/21 678,759
Bear Stearns Asset Backed Security Trust
4,000,000 Series 2007-HE3, Class M9 (c) ........................... 5.63% 04/25/37 600,000
Bear Stearns Second Lien Trust
2,000,000 Series 2007-1, Class 2B1 (c) ............................ 6.38% 08/25/37 200,000
2,878,000 Series 2007-1, Class 2M6 (c) ............................ 6.38% 08/25/37 496,455
BNC Mortgage Loan Trust
5,750,000 Series 2007-2, Class B1 (b) (c) ......................... 5.88% 05/25/37 1,150,000
1,400,000 Series 2007-2, Class B2 (b) (c) ......................... 5.88% 05/25/37 168,000
1,766,000 Series 2007-3, Class B2 (b) (c) ......................... 5.88% 07/25/37 353,200
Bombardier Capital Mortgage Securitization Corp.
351,641 Series 1999-B, Class A1B ................................ 6.61% 09/15/10 223,563
900,296 Series 1999-B, Class A3 ................................. 7.18% 12/15/15 605,468
Conseco Finance Securitizations Corp.
4,004,898 Series 2000-6, Class M1 ................................. 7.72% 09/01/31 1,051,701
EMAC Owner Trust, LLC
1,321,905 Series 1998-1, Class A3 (b) ............................. 6.63% 01/15/25 1,202,933
1,370,054 Series 2000-1, Class A1 (b) ............................. 6.50% 01/15/27 986,439
1,755,033 Series 2000-1, Class A2 (b) ............................. 6.50% 01/15/27 1,263,624
Falcon Franchise Loan Trust
4,905,000 Series 2000-1, Class E (b) .............................. 6.50% 04/05/16 3,703,409
4,231,000 Series 2003-1, Class E (b) .............................. 6.00% 01/05/25 2,412,838
FFCA Secured Lending Corp.
5,000,000 Series 1998-1, Class D1 (b) ............................. 7.81% 10/18/25 4,035,208
5,000,000 Series 1999-2, Class B1 (b) ............................. 8.27% 05/18/26 2,610,393
FMAC Loan Receivables Trust
1,305,823 Series 1997-B, Class A (b) .............................. 6.85% 09/15/19 1,329,026
6,200,000 Series 1998-CA, Class A3 (b) ............................ 6.99% 09/15/20 5,518,000
Green Tree Financial Corp.
394,713 Series 1997-4, Class B1 ................................. 7.23% 02/15/29 92,719
1,000,000 Series 1998-4, Class M1 ................................. 6.83% 04/01/30 473,028
5,000,000 Series 1998-6, Class M1 ................................. 6.63% 06/01/30 2,830,333
3,000,000 Series 1998-8, Class M1 ................................. 6.98% 09/01/30 1,843,884
6,939,080 Series 1999-3, Class M1 ................................. 6.96% 02/01/31 1,858,451
GreenPoint Manufactured Housing Contract Trust
10,000,000 Series 1999-5, Class M2 ................................. 9.23% 12/15/29 5,747,770

See Notes to Quarterly Portfolio of Investments Page 1

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JANUARY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------ ------ -------- -------------

ASSET-BACKED SECURITIES - (CONTINUED)

GSAMP Trust
$ 1,804,131 Series 2004-AR2, Class B4 (b) ........................... 5.00% 08/25/34 $ 360,826
1,000,000 Series 2006-S3, Class A2 ................................ 5.77% 05/25/36 358,990
967,266 Series 2006-S5, Class A1 (c) ............................ 3.47% 09/25/36 446,734
Halyard Multi Asset CBO I, Ltd.
3,141,523 Series 1A, Class B (b) (c) .............................. 6.52% 03/24/10 2,261,897
Helios Series I Multi Asset CBO, Ltd.
3,000,000 Series 1A, Class B (b) (c) .............................. 5.81% 12/13/36 2,070,000
Home Equity Mortgage Trust
471,143 Series 2005-3, Class B2 ................................. 7.00% 11/25/35 0
5,000,000 Series 2007-2, Class M3 (c) ............................. 5.88% 06/25/37 100,000
Independence lll CDO, Ltd.
5,000,000 Series 3A, Class C1 (b) (c) ............................. 7.20% 10/03/37 2,600,000
Indymac Residential Asset Backed Trust
2,375,000 Series 2005-B, Class M10 (c) ............................ 6.88% 08/25/35 1,081,109
Long Beach Mortgage Loan Trust
2,000,000 Series 2006-A, Class A2 ................................. 5.55% 05/25/36 620,000
Longhorn CDO, Ltd.
2,810,069 Series 1, Class C (b) (c) ............................... 9.35% 05/10/12 1,124,028
Merit Securities Corp.
4,242,500 Series 13, Class B1 (d) ................................. 8.65% 12/28/33 283,587
2,602,000 Series 13, Class M2 ..................................... 8.65% 12/28/33 917,678
Merrill Lynch Mortgage Investors Trust
2,500,000 Series 2006-SL1, Class B4 (b) ........................... 7.50% 09/25/36 375,000
North Street Referenced Linked Notes
4,500,000 Series 2000-1A, Class C (b) (c) ......................... 5.00% 04/28/11 2,610,000
7,000,000 Series 2000-1A, Class D1 (b) (c) ........................ 5.85% 04/28/11 4,830,000
Oakwood Mortgage Investors, Inc.
8,000,000 Series 2002-B, Class M1 ................................. 7.62% 06/15/32 4,106,297
Park Place Securities, Inc.
3,689,895 Series 2004-WCW1, Class M8 (c) .......................... 6.88% 09/25/34 1,973,041
1,301,976 Series 2004-WCW2, Class M10 (b) (c) ..................... 6.13% 10/25/34 494,033
5,000,000 Series 2005-WCW3, Class M11 (b) (c) ..................... 5.88% 08/25/35 525,000
3,000,000 Series 2005-WHQ4, Class M10 (b) (c) ..................... 5.88% 09/25/35 750,000
Pebble Creek LCDO, Ltd.
2,000,000 Series 2007-2A, Class E (b) (c) ......................... 8.13% 06/22/14 1,240,000
Pegasus Aviation Lease Securitization III
2,112,397 Series 2001-1A, Class A3 (b) (c) ........................ 3.85% 03/10/14 1,732,166
Rosedale CLO, Ltd.
3,500,000 Series I-A, Class II (b) ................................ 0.00% 07/24/21 2,275,000
Signature 5, Ltd.
1,000,000 Series 5A, Class C (b) .................................. 12.56% 10/27/12 940,000
Soundview Home Equity Loan Trust
1,012,472 Series 2005-A, Class B2 (b) (c) ......................... 6.38% 04/25/35 5,693
1,634,000 Series 2007-OPT3, Class M10 (b) (c) ..................... 5.88% 08/25/37 212,420
Structured Asset Investment Loan Trust
2,013,083 Series 2004-8, Class B2 ................................. 5.00% 09/25/34 117,273
Structured Asset Securities Corp.
3,000,000 Series 2007-BC3, Class B1 (b) (c) ....................... 5.88% 05/25/47 540,000
2,000,000 Series 2007-OSI, Class M10 (c) .......................... 5.88% 06/25/37 200,000

Page 2 See Notes to Quarterly Portfolio of Investments

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JANUARY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------ ------ -------- -------------

ASSET-BACKED SECURITIES - (CONTINUED)

Summit CBO I, Ltd.
$ 5,000,000 Series 1A, Class B (b) (c) .............................. 5.85% 05/23/11 $ 700,000
UCFC Manufactured Housing Contract
10,000,000 Series 1998-3, Class M1 ................................. 6.51% 01/15/30 3,700,000
Wells Fargo Home Equity Trust
3,947,000 Series 2007-2, Class B2 (b) (c) ......................... 5.88% 04/25/37 394,700
Wilbraham CBO, Ltd.
5,000,000 Series 1A, Class A2 (b) (c) ............................. 4.86% 07/13/12 4,125,000
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TOTAL ASSET-BACKED SECURITIES .................................................. 93,740,938
(Cost $137,514,891) -------------

COLLATERALIZED MORTGAGE OBLIGATIONS - 7.8%

Adjustable Rate Mortgage Trust
1,930,000 Series 2005-10, Class 5M5 (c) ........................... 5.58% 01/25/36 57,900
Countrywide Alternative Loan Trust
3,971,241 Series 2005-56, Class B4 (b) (c) ........................ 4.63% 11/25/35 595,686
3,474,836 Series 2005-56, Class M4 (c) ............................ 4.30% 11/25/35 1,685,296
3,133,927 Series 2006-OA2, Class B2 (c) ........................... 6.18% 05/20/46 918,632
Credit Suisse Mortgage Capital Certificates
2,425,038 Series 2006-1, Class DB5 (d) ............................ 5.74% 02/25/36 355,098
2,340,098 Series 2006-2, Class DB5 (b) ............................ 5.87% 03/25/36 236,527
CS First Boston Mortgage Securities Corp.
1,094,428 Series 2005-11, Class DB6 (d) ........................... 6.19% 12/25/35 200,342
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
3,690,611 Series 2007-OA4, Class M10 (c) .......................... 6.38% 08/25/47 922,941
HarborView Mortgage Loan Trust
4,246,936 Series 2005-9, Class B10 (c) ............................ 5.71% 06/20/35 3,694,835
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TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS ...................................... 8,667,257
(Cost $18,514,919) -------------

COMMERCIAL MORTGAGE-BACKED SECURITIES - 23.1%

Banc of America Commercial Mortgage Inc.
1,171,422 Series 2000-1, Class M (b) .............................. 6.00% 11/15/31 876,729
Banc of America Large Loan, Inc.
2,000,000 Series 2005-MIB1, Class L (b) (c) ....................... 7.24% 03/15/22 1,715,284
Banc of America Structural Securities Trust
2,878,166 Series 2002-X1, Class O (b) ............................. 7.00% 10/11/33 2,670,990
2,878,166 Series 2002-X1, Class P (b) ............................. 7.00% 10/11/33 2,340,909
Bear Stearns Commercial Mortgage Securities
1,776,400 Series 2000-WF1, Class K ................................ 6.50% 02/15/32 1,081,205
FannieMae-ACES
13,067,515 Series 1998-M7, Class N, IO (e) (f) ..................... 0.60% 05/25/36 310,154
GE Capital Commercial Mortgage Corp.
700,000 Series 2000-1, Class G (b). ............................. 6.13% 01/15/33 619,171
GMAC Commercial Mortgage Securities, Inc.
1,000,000 Series 1999-C3, Class G (b) ............................. 6.97% 08/15/36 975,797
Government National Mortgage Association
106,262,342 Series 2003-47, Class XA, IO (e) ........................ 0.52% 06/16/43 6,219,344
25,823,870 Series 2003-59, Class XA, IO (e) ........................ 1.69% 06/16/34 2,116,062

See Notes to Quarterly Portfolio of Investments Page 3

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JANUARY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------ ------ -------- -------------

COMMERCIAL MORTGAGE-BACKED SECURITIES - (CONTINUED)

GS Mortgage Securities Corp. II
$ 7,000,000 Series 1998-C1, Class H (b) ............................. 6.00% 10/18/30 $ 2,318,520
LB-UBS Commercial Mortgage Trust
3,025,000 Series 2001-C7, Class Q (b) ............................. 5.87% 11/15/33 2,101,546
2,083,703 Series 2001-C7, Class S (b) ............................. 5.87% 11/15/33 1,132,209
Morgan Stanley Capital I Inc.
968,400 Series 1999-WF1, Class M (b) ............................ 5.91% 11/15/31 607,379
Morgan Stanley Capital I, Inc.
2,787,919 Series 2003-IQ5, Class O (b) ............................ 5.24% 04/15/38 615,743
-------------

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES .................................... 25,701,042
(Cost $29,733,798) -------------

CORPORATE BONDS - 11.8%

3,500,000 Americast Technologies, Inc. (b) ........................... 11.00% 12/01/14 3,171,875
2,000,000 Coleman Cable, Inc. ........................................ 9.88% 10/01/12 1,812,500
3,500,000 Dayton Superior Corp. ...................................... 13.00% 06/15/09 2,948,750
1,500,000 Lexington Precision Corp., Units (g) ....................... N/A 08/01/09 1,455,000
MSX International UK, MXS International Business
3,000,000 Service FR/MXS International GmBH (b) ................... 12.50% 04/01/12 2,535,000
1,498,000 Rafealla Apparel Group, Inc., Series B ..................... 11.25% 06/15/11 1,202,145
-------------

TOTAL CORPORATE BONDS .......................................................... 13,125,270
(Cost $14,860,523) -------------

STRUCTURED NOTES - 4.8%

Bacchus Ltd.
1,225,000 Series 2006-1I, Subordinated Bond (b) ................... 0.00% 01/20/19 943,250
InCaps Funding II Ltd./InCaps Funding II Corp.
2,000,000 Subordinated Note (b) ................................... 0.00% 01/15/34 900,000
3,750,000 Preferred Term Securities XXV, Ltd. (b) .................... 0.00% 06/22/37 3,524,813
-------------

TOTAL STRUCTURED NOTES ......................................................... 5,368,063
(Cost $5,638,833) -------------

Page 4 See Notes to Quarterly Portfolio of Investments

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JANUARY 31, 2008 (UNAUDITED)

SHARES DESCRIPTION VALUE
------------- -------------------------------------------------------------------------------- -------------

PREFERRED SECURITIES - 5.8%

1,450,000 Ajax Two Ltd., Series 2A (b) (h) ............................................... $ 638,000
2,000,000 Ajax Two Ltd., Series 2X (b) (h) ............................................... 900,000
4,000,000 Pro Rata Funding, Ltd., Inc. (b) (h) ........................................... 2,840,000
2,000,000 Soloso CDO, Ltd., Series 2005-1 (b) (h) ........................................ 1,367,500
3,000,000 White Marlin CDO, Ltd., Series AI (b) (h) ...................................... 750,000
-------------

TOTAL PREFERRED SECURITIES ..................................................... 6,495,500
(Cost $9,611,254) -------------

TOTAL INVESTMENTS - 137.6% ..................................................... 153,098,070
(Cost $215,874,218) (i)

LOAN OUTSTANDING - (44.9)% ..................................................... (50,000,000)
NET OTHER ASSETS AND LIABILITIES - 7.3% ........................................ 8,179,943
-------------
NET ASSETS - 100.0% ............................................................ $ 111,278,013
=============

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(a) All percentages shown in the Portfolio of Investments are based on
net assets.

(b) This security, sold within the terms of a private placement
memorandum, is exempt from registration under Rule 144A of the
Securities Act of 1933, as amended (the "1933 Act"), and may be
resold in transactions exempt from registration normally to
qualified institutional buyers. Pursuant to procedures adopted by
the Fund's Board of Trustees, this security has been determined to
be liquid by Valhalla Capital Partners, LLC, the Fund's sub-advisor
(the "Sub-Advisor"). At January 31, 2008, securities noted as such
amounted to $97,358,748 or 87.5% of net assets.

(d) This security, sold within the terms of a private placement
memorandum, is exempt from registration under Rule 144A under the
1933 Act, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers (See Note
1C - Restricted Securities).

(e) IO - Interest only.

(f) ACES - Alternative Credit Enhancement Security.

(g) The issuer is in default. Income is not being accrued.

(h) Zero coupon.

(i) Aggregate cost for federal income tax and financial reporting
purposes.

N/A Not applicable

See Notes to Quarterly Portfolio of Investments Page 5

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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
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FIRST TRUST STRATEGIC HIGH INCOME FUND
JANUARY 31, 2008 (UNAUDITED)

1. VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of First Trust Strategic High
Income Fund (the "Fund") 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. 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 subtracting the Fund's liabilities
(including accrued expenses, dividends payable and any borrowings of the Fund)
from the Fund's Total Assets (the value of the securities and other investments
the Fund holds plus cash or other assets, including interest accrued but not yet
received) and dividing the result by the total number of Common Shares
outstanding.

The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value according
to procedures adopted by the Fund's Board of Trustees. Securities for which
market quotations are readily available are valued at market value, which is
currently determined using the last reported sale price on the business day as
of which such value is being determined or, if no sales are reported on such day
(as in the case of some securities traded over-the-counter), the last reported
bid price, except that certain U.S. government securities are valued at the mean
between the last reported bid and ask prices. The Fund values mortgage-backed
securities and other debt securities not traded in an organized market on the
basis of valuations provided by dealers who make markets in such securities or
by an independent pricing service approved by the Board of Trustees which uses
information with respect to transactions in such securities, quotations from
dealers, market transactions for comparable securities, various relationships
between securities and yield to maturity in determining value. The Fund's
Portfolio of Investments includes investments with a value of $82,356,840 (53.8%
of total investments) as of January 31, 2008, whose values have been determined
based on prices supplied by dealers in the absence of readily determinable
values. These values may differ from the values that would have been used had an
independent price for these investments existed, and the differences could be
material. The remaining investments, with a value of $70,741,230 (46.2% of total
investments), were valued by an independent pricing service.

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

In the event that market quotations are not readily available, the pricing
service or dealer does not provide a valuation for a particular security, the
valuations are deemed unreliable, or events occur after the close of the
principal market for particular securities but before the Fund values its
assets, that could materially affect NAV, First Trust Advisors L.P. may use a
fair value method to value the Fund's securities. 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. A variety of factors may be
considered in determining the fair value of such securities including 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) type of holding; 4) financial statements of the issuer; 5) cost at date of
purchase; 6) credit quality and cash flow of issuer based on external analysis;
7) information as to any transactions in or offers for the holding; 8) price
and extent of public trading in similar securities of the issuer/borrower, or
comparable companies; and 9) other relevant factors. 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 Investment
Company Act of 1940, as amended. When fair value pricing of securities is
employed, the prices of securities used by the Fund to calculate its NAV may
differ from market quotations or official closing prices. 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.

The Fund invests a significant portion of its assets in below-investment grade
debt securities, including mortgage-backed securities, asset-backed securities,
corporate bonds and collateralized debt obligations. The value and related
income of these securities is sensitive to changes in economic conditions,
including delinquencies and/or defaults. Recent instability in the markets for
fixed-income securities, particularly mortgage-backed and asset-backed
securities, has resulted in increased volatility of market prices and periods of
illiquidity that have adversely impacted the valuation of certain securities
held by the Fund.

B. SECURITIES TRANSACTIONS:

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

Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund maintains liquid assets of the
Fund with a current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. As of January 31, 2008, the Fund held no
when-issued or delayed-delivery purchase commitments.

C. RESTRICTED SECURITIES:

The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the 1933 Act. Prior
to registration, restricted securities may only be resold in transactions exempt
from registration under Rule 144A of the 1933 Act, normally to qualified
institutional buyers. As of January 31, 2008, the Fund held restricted
securities as shown in the table on the following page that the Sub-Advisor has
deemed illiquid pursuant to procedures adopted by the Fund's Board of Trustees.
The Fund does not have the right to demand that such securities be registered.
These securities are valued according to the valuation procedures as stated in
the Portfolio Valuation footnote (Note 1A) and are not expressed as a discount
to the carrying value of a comparable unrestricted security.

Page 6

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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC HIGH INCOME FUND
JANUARY 31, 2008 (UNAUDITED)

CARRYING
ACQUISITION PRINCIPAL VALUE % OF
SECURITY DATE VALUE PER SHARE CARRYING COST VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------------

Credit Suisse Mortgage Capital
Certificates
Series 2006-1, Class DB5,
5.74%, 02/25/36 ................. 12/15/06 $ 2,425,038 $14.64 $ 1,753,557 $ 355,098 0.32%
CS First Boston Mortgage
Securities Corp.
Series 2005-11, Class DB6,
6.19%, 12/25/35 ................. 12/15/06 1,094,428 18.31 727,323 200,342 0.18
Merit Securities Corp.
Series 13, Class B1,
8.65%, 12/28/33 ................. 02/20/07 4,242,500 6.68 138,845 283,587 0.25
----------- ------------- --------- ----
$ 7,761,966 $ 2,619,725 $ 839,027 0.75%
=========== ============= ========= ====

2. UNREALIZED APPRECIATION (DEPRECIATION)

As of January 31, 2008, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $8,757,295,
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $71,533,443.

Page 7

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS.

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

SIGNATURES

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

(Registrant) FIRST TRUST STRATEGIC HIGH INCOME 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 March 20, 2008
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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 March 20, 2008
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By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller,
Chief Financial Officer and Chief Accounting Officer
principal financial officer)

Date March 20, 2008
----------------------------------------------------------------------------

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