First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Portfolio of Investments	10
Statement of Assets and Liabilities	23
Statement of Operations	24
Statements of Changes in Net Assets	25
Statement of Cash Flows	26
Financial Highlights	27
Notes to Financial Statements	28
Report of Independent Registered Public Accounting Firm	36
Additional Information	37
Investment Objectives, Policies, Risks and Effects of Leverage	41
Board of Trustees and Officers	48
Privacy Policy	50

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 MacKay Shields LLC (“MacKay” 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 High Income Long/Short 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 objectives. 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’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Principal Risks” in the Investment Objectives, Policies, Risks and Effects of Leverage section of this report 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 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.

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. 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 a relevant market benchmark.

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

First Trust High Income Long/Short Fund (FSD)

Annual Letter from the Chairman and CEO

October 31, 2022

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust High Income Long/Short Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended October 31, 2022.

As I’m writing this letter in mid-November, it strikes me that things appear to be a little more chaotic in the current climate than normal. One of the things that may have contributed to the chaotic nature of the news flow of late was the November mid-term election. For the most part, except for a few seats in Congress, the election is behind us. We learned there would be no “red wave” (Republicans gaining a strong majority in Congress) but likely gridlock ahead. Gridlock has been good for stock market investors in the past few decades, particularly when there’s been a Democratic president and the Republicans have control of at least one house of Congress, according to Brian Wesbury, Chief Economist at First Trust.

The Federal Reserve (the “Fed”) has kept its promise to aggressively hike interest rates to combat robust inflation. As of November 13, 2022, the Fed has increased the Federal Funds target rate (upper bound) six times, from 0.25% to 4.00%. The Fed’s actions have some investors and pundits looking for evidence linking the interest rate hikes to a downturn in the economy. In short, the hope is that a pullback in economic activity might deter the Fed from executing further interest rate hikes. Fed Chairman Jerome Powell, however, recently said that the terminal rate (the ultimate rate the Fed is targeting) will likely need to be higher than previously estimated in order to curb stubbornly high inflation. The Consumer Price Index (“CPI”) is a commonly used measure of inflation. The CPI stood at 7.7% on a trailing 12-month basis as of October 31, 2022, according to the U.S. Bureau of Labor Statistics. That is down from its recent high of 9.1% in June 2022. Prior to this year, the last time the CPI was higher than 7.0% was over 40 years ago. While monetary policy is an ongoing process subject to change, the Fed does appear to be steadfast in its mission to bring the rate of inflation back to its preferred level of 2.0%, and that will take some time, in my opinion. Stay tuned!

Equity and fixed income markets have contended with numerous headwinds this year, such as the war between Russia and Ukraine. Since setting its all-time high of 4,796.56 on January 3, 2022, the S&P 500^® Index has been in a bear market (a price decline of 20% or more from the most recent high) for the better part of 310 days. Suffice it to say, we are all looking forward to the end of this bear market. With respect to corrections and bear markets, the silver lining is that the S&P 500^® Index has never failed to fully recover the losses sustained in any previous downturn. Where might we see demand for stocks moving forward? One such source could be stock buybacks. As of the last week of October 2022, U.S. companies had announced stock buybacks totaling $1 trillion so far this year, according to Birinyi Associates. The fixed income market has not been immune to selling pressure either. Year-to-date through November 10, 2022, yields on the 10-Year Treasury Note increased by 258 basis points. As you may be aware, bond yields and bond prices are inversely related, particularly with respect to investment-grade bonds. As yields rise, prices fall and vice versa. As noted above, the Fed has more work to do, so bond investors should not be surprised to see interest rates and bond yields trend at least a bit higher in the months ahead.

Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

(1)	Most recent distribution paid or declared through October 31, 2022. 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 October 31, 2022. 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 NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

Page 2

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE” (Continued)

As of October 31, 2022 (Unaudited)

Credit Quality(4)	% of Total Fixed-Income Investments(5)
BBB- and above	16.8%
BB	53.8
B	25.8
CCC+ and below	3.6
NR	0.0*
Total	100.0%

Industry Classification	% of Long-Term Investments(5)
Energy	15.2%
Services	11.9
Media	8.0
Capital Goods	6.9
Healthcare	6.5
Basic Industry	6.2
Leisure	5.9
Consumer Goods	5.2
Retail	4.9
Automotive	4.3
Telecommunications	4.3
Banking	3.6
Technology & Electronics	3.6
Financial Services	3.3
Utility	3.0
Real Estate	2.6
Transportation	2.5
Insurance	1.7
Commercial Mortgage-Backed Securities	0.4
Collateralized Mortgage Obligations	0.0*
Total	100.0%

Asset Classification	% of Long-Term Investments(5)
Corporate Bonds and Notes	74.3%
Foreign Corporate Bonds and Notes	16.3
Capital Preferred Securities	7.1
Senior Floating-Rate Loan Interests	1.8
Mortgage-Backed Securities	0.4
Equity	0.1
Total	100.0%

(4)

The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings 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 rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.

(5)	Percentages are based on long positions only. Short positions are excluded.

(6)	Includes forward foreign currency contracts.

Page 3

Portfolio Commentary

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust High Income Long/Short Fund (the “Fund”). 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.

Sub-Advisor

MacKay Shields LLC, Sub-Advisor to the Fund, was founded in 1938 and became a registered investment advisor in 1969. As of October 31, 2022, MacKay had approximately $124.1 billion in assets under management.

FSD Portfolio Management Team

Eric Gold – Senior Managing Director, Head of Global Credit

Matthew Jacob – Managing Director, Global Credit

Shu-Yang Tan, CFA – Managing Director, Global Credit

Market Recap

This report covers the Fund for the year ended October 31, 2022.

•	The 12-month period ended October 31, 2022 has been a tough ride for most segments of the market, which was marked by extreme bouts of volatility, primarily driven by global inflationary concerns. With inflation peaking at over 9% based on the Consumer Price Index, the highest levels in over 40 years in the U.S., the implementation of tighter monetary policy by the U.S. Federal Reserve (the “Fed”) and other central banks around the world has been the primary focus of market participants. With a commitment to restore price stability and reduce inflation to its 2% target, the Fed increased interest rates five times in 2022 to a range of 3.00% to 3.25%, which included three substantial and consecutive rate hikes of 75 basis points (“bps”).
•	Within this backdrop, global supply chain pressures, impacted by the zero tolerance COVID-19 lockdowns in China earlier in the year, along with geopolitical implications resulting from Russia’s invasion of Ukraine in February 2022 and the ongoing war, also weighed on markets.
•	Given the heightened volatility over the period, we witnessed a surge in interest rates across the Treasury curve accompanied by yield curve inversion, which is an indication of an economic slowdown. Over the period, the yield of the 2-Year U.S. Treasury soared 398 bps to 4.48%. The yield on the 10-Year rose by 250 bps and closed at 4.05%, while the yield on the 30-Year widened 222 bps to 4.16%.
•	As yields rose, fixed income and equity markets alike delivered negative returns. The S&P 500® Index declined -14.6% for the period. According to ICE Data, U.S. Corporate investment grade bonds lost -19.6%, Global & European high yield fell -13.9% and -12.0% respectively, and U.S. high yield declined -11.5%. The 10-Year U.S. Treasuries fell -17.7% over the period.
•	Within commodity markets, oil prices both in the U.S. and globally increased substantially due the Russia-Ukraine war and risk to the energy supply. During the period, we saw oil prices spike to over $110 per barrel from $83.57 at the end of October 2021, but that has corrected in recent months. WTI closed October 2022 at $86.53.
•	According to the U.S. Bureau of Labor Statistics’ monthly jobs report, U.S. employers’ added over five million jobs during the period and the unemployment rate decreased from 4.6% to 3.7%, figures that in our opinion support a strong labor market. We believe that a tight labor market in the midst of high inflation is a major concern of the Fed and one of the main reasons why the Fed continues to tighten monetary policy to slow the economy.
•	Due mainly to tighter global monetary conditions and higher energy prices, global manufacturing activity, as measured by IHS Markit’s JPM Global Manufacturing PMI, remains in contraction territory, finishing at 49.4 in October 2022. During the period, export activity continued to fall globally. Although signaling growth in June and July 2022, China’s manufacturing companies, as measured by Caixin China PMI, declined for much of the period, impacted by the restrictive health policies within the country. Likewise, U.S. business activity, as measured by the IHS Markit US Services PMI, and business activity in the Eurozone, as measured by the IHS Markit Eurozone Composite PMI, both contracted during the period.

Page 4

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022 (Unaudited)

U.S. high yield spreads widened by 148 bps for the 12-month period ended October 31, 2022 to 463 bps over Treasuries, according to ICE Data. With the overall U.S. high yield market¹ down -11.5% for the period, all rating categories delivered negative returns, with the higher quality segment outperforming their lower quality counterparts. Single-B’s declined the least with a return of -10.5%², while BB’s decreased -11.2%³. CCC’s fell -15.7%⁴, and Distressed credits plunged -29.6%⁵. Looking at market technicals, according to JP Morgan, high yield investors redeemed -$51.1 billion from the market in 2022, significantly exceeding the outflows for the full calendar year of 2021 (-$13.2 billion). New issuance in high yield has been depressed during the past year with $95.1 billion coming to market, less than a quarter of the issuance in 2021 ($483 billion). Unlike the high yield market, the loan market experienced strong inflows in early 2022, benefitting from demand for floating rate instruments, but investors reversed course with outflows over the past several months washing away the net inflows that accumulated; year-to-date loan outflows now total -$3.8 billion. Likewise, issuance in the loan market deteriorated in recent months versus the stronger activity experienced earlier; however, the year-to-date issuance for loans exceeds the high yield market at $211.5 billion. Finally, defaults remain low compared to historical levels but have picked up in recent months. Year-to-date, eight high yield bond issuers defaulted and 12 loan issuers defaulted.

Past performance is no guarantee of future results.
Source: US HY, ICE BofA US High Yield Index
B, ICE BofA Single-B U.S. High Yield Index²
BB, ICE BofA BB U.S. High Yield Index³

CCC and Lower, ICE BofA CCC & Lower U.S. High Yield Index⁴
Distressed, ICE BofA U.S. Distressed High Yield Index⁵

Following a strong year for high yield in 2021, 2022 has been a difficult environment for high yield and all segments of the markets given record high inflation in major economies across the globe, tightening monetary policies by key central banks and a weakening growth outlook. Against this backdrop, we’ve seen certain themes driving returns during the year. Reflecting back to the first quarter of 2022, markets were led by higher rates as opposed to significant spread widening; this was a “rates-on” environment. Interest rates rose sharply as inflation was amplified by impacts related to the confluence of unique circumstances related to the COVID-19 Omicron variant, the Russian war in Ukraine and China lockdowns, while spreads only widened by 33 bps. As a result, duration sensitive assets underperformed in the first quarter of 2022 while lower quality assets outperformed. However, in the second quarter of 2022 we witnessed a “risk-off” environment as sentiment shifted to macroeconomic concerns and whether the Fed, in its efforts to bring down inflation, would drive the economy towards recession and weaker corporate profitability. As a result, credit markets became more risk averse with spreads widening 244 bps in the second quarter of 2022, generating a total return of approximately -10%. As would be expected, lower quality pockets of the market were most impacted, driven by distressed bonds, CCC’s and B’s which returned -19.0%, -13.9% and -10.7% respectively. In the third quarter of 2022, however, the resonating theme was “rates off and risk on”; the market embraced risk and penalized interest rate sensitive assets. High yield spreads tightened by 44 bps and the asset class significantly outperformed higher quality bonds, with a return of -0.68%. In the third quarter, treasury yields rose approximately 65–130 bps across the curve and investment grade bonds declined by over 5% (as measured by the Bloomberg US Corporate Bond

Page 5

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022 (Unaudited)

Index). The “rates off and risk on” theme continued into October 2022 with high yield spreads tightening 80 bps and the asset class returning 2.85%, reversing some negative performance earlier in the year.

Over the 12-month period ended October 31, 2022, all sectors of the high yield market delivered negative returns. The Energy sector was the top performer benefitting from the increase in oil prices over the period and the risk to supply due to the Russia-Ukraine conflict. High yield energy companies have continued to benefit from the overall greater global demand for energy, robust cash flow, improved balance sheets and continued capital discipline from most management teams. The Transportation sector was also a top performer, gaining from the post pandemic surge in personal and business travel as well as the decline in oil and gas prices in recent months. Alternatively, Banking was the worst performing sector, primarily resulting from the movement in rates given the sector’s longer duration composition. The Healthcare sector has also lagged due to labor shortages, higher wages and volume pressure impacting hospitals.

Page 6

Turning to performance, the Fund underperformed the ICE BofA US High Yield Constrained Index⁶ (the “Benchmark”) with a return* of -23.99% on a share price basis and -14.11% on a net asset value basis, compared to the Benchmark’s return of -11.45% for the period. As a result of the negative returns in high yield, the underperformance was primarily driven by leverage within the Fund. The Fund has short positions in U.S. Treasury notes in the front end of the curve⁷ to reduce the portfolio’s exposure to interest rate risk, while at the same time purchasing additional high yield securities to lever up the portfolio⁸. From a sector perspective, issue selection within the Banking and Leisure sectors detracted during the year, while security selection within the Services and Consumer Goods sectors added to results along with an overweight to Energy. Our underweight to the Distressed segment of the market, defined as bonds with spreads greater than 1,000, also contributed to relative performance for the period. The forward foreign currency contracts had minimal impact to the Fund performance.

We believe that we are in the late stage of the economic cycle. Consistent with our philosophy and process, we started de-risking positioning within the Fund in the second half of 2021 due to rich valuations and some early signs of a moderating economic outlook. We continued to de-risk as we moved to a late cycle viewpoint earlier in 2022. We moved up in quality by reducing CCC rated credits and re-allocating capital toward higher quality BB’s, potential rising star BB’s and in some instances BBB’s. These businesses tend to be more durable and are better positioned to withstand an economic downturn. We continue to emphasize more durable businesses that have shown the ability to withstand economic downturns, companies with solid liquidity and minimal near-term maturities. From a sector perspective, we reduced exposure to consumer related names given declining real incomes, expected uptick in unemployment and recent pull back in banks’ willingness to lend. This includes discretionary retail, consumer related financial services and automotive companies. Alternatively, we continue to find attractive opportunities in businesses that tend to be more inflation resistant and have some ability to pass through price increases including services, technology and consumer non-discretionary. In addition, we

*

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 NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

Page 7

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022 (Unaudited)

continue to see opportunities in higher quality energy producers, which we believe will continue to benefit from what we see as a continued supply/demand imbalance caused in part by years of underinvestment, as well as a secular tailwind driven by demand from European countries.

The Fund has a practice of seeking to maintain a relatively stable monthly distribution, which may be changed at any time. The practice has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. However, the Advisor believes the practice helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV. The monthly distribution rate began and ended the period at $0.105 per share. At the $0.105 per share monthly distribution rate, the annualized distribution rate at October 31, 2022 was 9.98% at NAV and 11.39% at market price. For the twelve-month period ended October 31, 2022, 62.89% of the distributions were characterized as ordinary income and 37.11% of the distributions were characterized as return of capital. The final determination of the source and tax status of all 2022 distributions will be made after the end of 2022 and will be provided on Form 1099-DIV. The foregoing is not to be construed as tax advice. Please consult your tax advisor for further information regarding tax matters.

Outlook

Resilience has defined the U.S. economy during the period even as households and businesses confronted high inflation, still-disrupted supply chains, a sharp slowdown in the housing market and a significant tightening in financial conditions. More recently, that resilience is beginning to wane. For example, while on the surface the economy performed strongly in the third quarter, the details of the latest gross domestic product (“GDP”) report showed a meaningful slowdown in final demand from households and businesses. In fact, this component of GDP, which is a useful indicator of underlying spending in the economy, came to a virtual standstill in the third quarter of 2022. While residential investment was the primary culprit for weak final demand, the data also indicate that household spending continues to decelerate. With many households facing declining real income due to inflation that has outstripped wage gains, as well as losses on financial assets, spending is likely to decelerate further in the coming quarters. Credit card borrowing and excess savings accumulated during the pandemic have cushioned spending, but these sources of funds cannot last indefinitely.

Meanwhile, the labor market has evidenced some recent slowing as well. On the surface the labor market remains strong by historical standards, with above-average payrolls growth, a low level of new unemployment claims and labor demand that still far outstrips labor supply. But the latest payrolls growth number at 261,000 was the weakest of the post-pandemic period, and the number of unemployed workers has risen to the highest level since February 2022. In all likelihood, peak labor market strength is now in the rearview mirror given the aforementioned household consumption outlook and anticipated pressure on corporate profit margins as businesses run into more limited pricing power.

The loss of momentum in the economy is occurring before the full effects of monetary tightening have been felt, in our view. The effects will likely occur next year, given the typical lags seen with Fed policy. And the Fed is not even done tightening. Given its focus on bringing inflation down to target, the Fed will likely seek to raise the policy rate into the five percent range by the end of the first quarter of next year before pausing to take stock.

Fund Notes:

Page 8

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Annual Report

October 31, 2022 (Unaudited)

Credit Rating Disclosure

ICE BofA utilizes its own composite scale, similar to those of Moody’s, S&P and Fitch, when publishing a composite rating on an index constituent (e.g., BBB3, BBB2, BBB1).  Index constituent composite ratings are the simple averages of numerical equivalent values of the ratings from Moody’s, S&P and Fitch.  If only two of the designated agencies rate a bond, the composite rating is based on an average of the two. Likewise, if only one of the designated agencies rates a bond, the composite rating is based on that one rating.

Source Information

ICE Data Indices, LLC (“ICE Data”), is used with permission. ICE^® is a registered trademark of ICE Data or its affiliates and BOFA^® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates (“BOFA”) and may not be used without BOFA’s prior written approval. ICE data, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE Data, its affiliates nor their respective third party suppliers shall be subject to any damages or liability with respect to the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an “as is” basis and your use is at your own risk. Ice data, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend MacKay Shields LLC, or any of its products or services.

Copyright ^©2022, Markit Economics Limited. All rights reserved and all intellectual property rights retained by Markit Economics Limited.

General Disclosure

Availability of this document and products and services provided by MacKay Shields LLC and MacKay Shields Europe Investment Management Limited (collectively, “MacKay Shields”) may be limited by applicable laws and regulations in certain jurisdictions and this document is provided only for persons to whom this document and the products and services of MacKay Shields may otherwise lawfully be issued or made available. None of the products and services provided by MacKay Shields are offered to any person in any jurisdiction where such offering would be contrary to local law or regulation. This document is provided for information purposes only. It does not constitute investment advice and should not be construed as an offer to buy securities. The contents of this document have not been reviewed by any regulatory authority in any jurisdiction.

This material contains the opinions of certain professionals at MacKay Shields LLC and are subject to change without notice. This material is distributed for informational purposes only. Forecasts, estimates, and opinions contained herein should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. Any forward-looking statements speak only as of the date they are made and MacKay Shields assumes no duty and does not undertake to update forward-looking statements. No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission of MacKay Shields LLC. ^©2022, MacKay Shields LLC. All Rights Reserved. 

Past performance is not indicative of future results.

Page 9

Page 10

See Notes to Financial Statements

See Notes to Financial Statements

Page 11

Page 12

See Notes to Financial Statements

See Notes to Financial Statements

Page 13

Page 14

See Notes to Financial Statements

See Notes to Financial Statements

Page 15

Page 16

See Notes to Financial Statements

See Notes to Financial Statements

Page 17

Page 18

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2022

(b)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund Board of Trustees, this security has been determined to be liquid by MacKay Shields LLC, the Fund’s sub-advisor (the “Sub-Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2022, securities noted as such amounted to $349,824,146 of total investments and $(2,896,774) of total investments sold short, or 82.9% and (0.7)% of net assets, respectively.
(c)	These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 8.25% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2022, this security paid all of its interest in cash.
(d)	Multi-Step Coupon Bond - Coupon steps up or down based upon ratings changes. The interest rate shown reflects the rate in effect at October 31, 2022.
(e)	Multi-Step Coupon Bond - Coupon steps up or down at a predetermined date. The interest rate shown reflects the rate in effect at October 31, 2022.
(f)	This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $106,019 or 0.0% of net assets.
(g)	This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(h)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(i)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act.
(j)	Perpetual maturity.
(k)	Floating or variable rate security.
(l)	Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury’s Office of Financial Research, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate.
(m)	Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(n)	Inverse floating rate security.
(o)	Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Sub-Advisor.
(p)	Non-income producing security.

    

EUR	Euro
GBP	British Pound Sterling
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
USD	United States Dollar

See Notes to Financial Statements

Page 21

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

October 31, 2022

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of October 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

    

*	See Portfolio of Investments for industry breakout.

Level 3 Investments that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable and non-quantitative inputs.

Page 22

See Notes to Financial Statements

Page 24

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Statements of Changes in Net Assets

	Year Ended 10/31/2022		Year Ended 10/31/2021
OPERATIONS:
Net investment income (loss)	$ 25,447,874		$ 31,554,701
Net realized gain (loss)	(16,108,257)		14,683,510
Net change in unrealized appreciation (depreciation)	(87,694,884)		16,718,724
Net increase (decrease) in net assets resulting from operations	(78,355,267)		62,956,935
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(26,519,418)		(31,788,503)
Return of capital	(15,651,193)		(12,431,797)
Total distributions to shareholders	(42,170,611)		(44,220,300)
CAPITAL TRANSACTIONS:
Repurchase of Common Shares*	(549,030)		(2,503,784)
Net increase (decrease) in net assets resulting from capital transactions	(549,030)		(2,503,784)
Total increase (decrease) in net assets	(121,074,908)		16,232,851
NET ASSETS:
Beginning of period	543,048,347		526,815,496
End of period	$ 421,973,439		$ 543,048,347
CAPITAL TRANSACTIONS were as follows:
Common Shares at beginning of period	33,470,143		33,642,356
Common Shares repurchased *	(51,011)		(172,213)
Common Shares at end of period	33,419,132		33,470,143

    

*

On September 15, 2015, the Fund commenced a share repurchase program. The program originally expired on March 15, 2016, but the Board of Trustees of the Fund has subsequently authorized the continuation of the Fund’s share repurchase program until March 15, 2023. For the year ended October 31, 2022, the Fund repurchased 51,011 of its shares at a weighted-average discount of 12.68% from net asset value per share. For the year ended October 31, 2021, the fund repurchased 172,213 of its shares at a weighted-average discount of 11.27% from net asset value per share. The Fund expects to continue to repurchase its outstanding shares until the earlier of (i) the repurchase of an additional 1,622,496 common shares (for an aggregate of 1,673,507), or (ii) March 15, 2023.

See Notes to Financial Statements

Page 25

First Trust High Income Long/Short Fund (FSD)

Statement of Cash Flows

For the Year Ended October 31, 2022

Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$(78,355,267)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Purchases of investments	(212,516,654)
Sales, maturities and paydown of investments	275,521,607
Borrowed investments purchased	(2,966,740)
Net amortization/accretion of premiums/discounts on investments	691,221
Net realized gain/loss on investments	16,938,026
Net realized gain/loss on investments sold short	(60,235)
Net change in unrealized appreciation/depreciation on investments	92,280,990
Net change in unrealized appreciation/depreciation on forward foreign currency contracts	(24,869)
Net change in unrealized appreciation/depreciation on investments sold short	(4,562,752)
Changes in assets and liabilities:
Decrease in interest receivable	1,203,591
Increase in margin interest rebate receivable	(49,371)
Increase in due from broker	(26,470)
Increase in prepaid expenses	(1,906)
Decrease in interest payable on investments sold short	(68,658)
Decrease in investment advisory fees payable	(109,119)
Increase in audit and tax fees payable	7,625
Decrease in legal fees payable	(17,636)
Increase in shareholder reporting fees payable	3,484
Decrease in administrative fees payable	(2,613)
Decrease in custodian fees payable	(18,318)
Decrease in transfer agent fees payable	(1,264)
Increase in trustees’ fees and expenses payable	265
Increase in margin interest expense payable	186,134
Decrease in other liabilities payable	(581)
Cash provided by operating activities		$88,050,490
Cash flows from financing activities:
Repurchase of Common Shares	(549,030)
Distributions to Common Shareholders from investment operations	(26,519,418)
Distributions to Common Shareholders from return of capital	(15,651,193)
Net proceeds from borrowing	671,726
Cash used in financing activities		(42,047,915)
Increase in cash and foreign currency (a)		46,002,575
Cash and foreign currency at beginning of period		40,562,255
Cash and foreign currency at end of period		$86,564,830
Supplemental disclosure of cash flow information:
Cash paid during the period for interest and fees		$5,038,441