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)

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: December 31
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Date of reporting period: June 30, 2007
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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/ABERDEEN EMERGING OPPORTUNITY FUND
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED JUNE 30, 2007

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TABLE OF CONTENTS
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
JUNE 30, 2007

Shareholder Letter ........................................................ 1
Portfolio Commentary ...................................................... 2
Portfolio Components ...................................................... 6
Portfolio of Investments .................................................. 8
Schedule of Forward Foreign Currency Contracts ............................ 13
Statement of Assets and Liabilities ....................................... 14
Statement of Operations ................................................... 15
Statements of Changes in Net Assets ....................................... 16
Statement of Cash Flows ................................................... 17
Financial Highlights ...................................................... 18
Notes to Financial Statements ............................................. 19
Additional Information .................................................... 23

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
Section 27A of the Securities Act of 1933. 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
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 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
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 letter from the Fund's President, James A. Bowen, together with
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 Mr. Bowen and
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. Of course, the risks of
investing in the Fund are spelled out in the prospectus.

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SHAREHOLDER LETTER
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
SEMI-ANNUAL REPORT
JUNE 30, 2007

Dear Shareholders:

We believe investment opportunities abound, both here and abroad, affording the
potential for exceptional returns for investors. At First Trust Advisors L.P.
("First Trust"), we realize that we must be mindful of the complexities of the
global economy and at the same time address the needs of our customers through
the types of investments we bring to market.

We are single-minded about providing a range of investment products, including
our family of closed-end funds, to help First Trust meet the challenge of
maximizing our customers' financial opportunities. Translating investment ideas
into products which can deliver performance over the long term while continuing
to support our current product line remains a focus for First Trust as we head
into the future.

The report you hold will give you detailed information about your investment in
First Trust/Aberdeen Emerging Opportunity Fund for the past six-month period
ended June 30, 2007. I encourage you to read this report and discuss it with
your financial advisor.

First Trust is pleased that the Fund is a part of your financial portfolio and
we will continue to offer you current information about your investment, as well
as new opportunities in the financial marketplace, through your financial
advisor. We value our relationship with you and appreciate the opportunity to
assist you in achieving your financial goals.

Sincerely,

/s/ James A. Bowen

James A. Bowen
President of First Trust/Aberdeen Emerging Opportunity Fund
August 15, 2007

Page 1

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PORTFOLIO COMMENTARY
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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 Asset Management PLC 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. As of June 30, 2007, Aberdeen Asset Management PLC had
total assets under management and supervision of approximately $179 billion.

PORTFOLIO MANAGEMENT TEAM

Investment decisions for 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 MANAGER BIOGRAPHIES

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 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. Mr. Kaloo took his current position in July 2005. Mr. Kaloo
graduated with an MA (Hons) in Management and International Relations from St.
Andrews University in Scotland and holds a postgraduate degree in Investment
Analysis from Stirling University, also in Scotland.

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 BUTLER

SENIOR INVESTMENT MANAGER, GEM EQUITY TEAM

Mr. Butler is Fund manager specializing in the emerging markets of Europe,
Middle East and Africa. After graduating with a Bachelor of Accounting from the
University of Natal in 1992, he joined the Johannesburg office of Deloitte &
Touche in 1993 where he worked for the entrepreneurial and special services
teams. He qualified as a chartered accountant (South Africa) in 1996 and
re-located to London. Mr. Butler joined Baring Asset Management in 1997 where he
was a member of the African and Middle East team. In February 2000, Mr. Butler
joined the Aberdeen Group. Mr. Butler is a member of the UK Society of
Investment Professionals.

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.

FIXED-INCOME MANAGER BIOGRAPHIES

DEREK FULTON

HEAD OF GLOBAL AND ASIAN BONDS

After graduation, Mr. Fulton joined Murray Johnstone in 1996 as a graduate
trainee in fixed-income. In 1998, he qualified as an

Page 2

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PORTFOLIO COMMENTARY - (CONTINUED)
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Associate of the Institute of Investment Management & Research. Mr. Fulton has
since become a senior member of the fixed-income team with Aberdeen and is
responsible for the day-to-day management of global fixed-income and government
portfolios. He is a member of Aberdeen's global economics 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 markets 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. 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 Manager, 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.

NIMA TAYEBI

PORTFOLIO MANAGER, EMERGING MARKET DEBT

Mr. Tayebi has 10 years of experience as executive director responsible for
emerging markets trading at Millennium Global Investments, vice president at
Salomon Brothers, focusing on emerging market currency and debt trading and head
of fixed-income research at Renaissance Capital. He joined Deutsche as an
emerging market currency portfolio manager in 2001 and Aberdeen in 2005.

MAX WOLMAN

PORTFOLIO MANAGER, EMERGING MARKET DEBT

Mr. Wolman joined Aberdeen in January 2001 and is portfolio manager on the
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.

THE FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND

The investment objective of First Trust/Aberdeen Emerging Opportunity Fund
("FEO") is to provide a high level of total return. In pursuit of this
objective, the Fund invests in a diversified portfolio of equity and
fixed-income securities of issuers in emerging market countries.

FUND RECAP

The Fund performed strongly on a net asset value basis with a total return of
8.5% for the six months ended June 30, 2007. This compares to 8.9% for the
Fund's blended bechmark* total return over the same period. In addition to this
blended benchmark the Fund is currently using for comparative purposes, the Fund
also uses other comparative indexes. The total returns over the six months ended
June 30, 2007 for these indexes were as follows: the Lehman Global Emerging
Markets Index was 1.0%; and the FTSE All World Emerging Index was 16.5%. The
Fund's total return based on market price for the six months ended June 30, 2007
was 3.5%.

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* The Funds' Blended Benchmark consisted of the following: 32.5% JP Morgan
Emerging Markets Bond Index Global Diversified; 32.5% JP Morgan Government
Bond Index-Emerging Markets; and 35% MSCI (Morgan Stanley Capital
International) Global Emerging Markets Index.

Page 3

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PORTFOLIO COMMENTARY - (CONTINUED)
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FIXED-INCOME

The emerging market debt component of the Fund saw an overall return of 5.0%
compared to its benchmark** of 4.2% for the six months ended June 30, 2007. The
vast majority of the performance was from the local currency holdings of the
portfolio which returned 13.6% compared to the JPM GBI-EM index which returned
7.6%, while the external bonds (bonds denominated in "hard" currencies such as
the U.S. Dollar, Euro, etc.) in the portfolio returned less than 1.00%. The
local currency bonds which had the highest return were Brazil (25.9%) and Turkey
(25.9%). The local Argentinean return was the worst-performing country in the
local currency markets of the Fund, returning only 1.1%. External bonds showed
less impressive returns with the highest external returns coming from the
Dominican Republic and Colombia with 12.1% and 8.4%, respectively.

EQUITY

Over the first six months of 2007, the equity component of the Fund
underperformed its benchmark, the MSCI (Morgan Stanley Capital International)
Emerging Markets Index, by 144 basis points ("bps"). Asset allocation and
currency added to performance while the main detractor to performance was stock
selection. By region, Europe, the Middle East and Africa (EMEA) added to
performance while Latin America and Asia detracted from performance compared to
the Fund's benchmark.

MARKET ANALYSIS BY REGION

MIDDLE EAST AND AFRICA. Stock selection was strong in EMEA, primarily due to
strong performance in Turkey where retailer Migros Turk TAS was positively
impacted by takeover rumors, and the Fund's holding in insurance company
Aksigorta AS increased as it benefited from expectations of consolidation in the
sector. The Fund benefited from its holdings in South African retailers,
Massmart Holdings Ltd. and Edcon, due to continued strong retail spending and
takeover by a private equity group, respectively.

HUNGARY. Stock selection was poor in Hungary where generic pharmaceutical
company Richter Gedeon was weighed down by the introduction of punitive
government legislation.

LATIN AMERICA. Stock selection was weak in Latin America due primarily to poor
performance at Kimberly Clark de Mexico. Additionally, Fund holdings in beverage
companies Fomento Economico Mexicano SA and Grupo Continental SA suffered from
unseasonably poor weather in January, which led to lower volume growth.

ASIA/PACIFIC. In Asia, South Korea lagged as the strong currency hurt portfolio
holdings in exporters Samsung Electronics Company Ltd. and Hyundai Motor. In the
Philippines, the Bank of the Philippine Islands lagged the rise in the market.
In Thailand, Fund holdings in Siam Cement Public Company, Ltd. and PTT
Exploration and Production Public Company, Ltd. were held back due to a
lackluster earnings growth outlook. In Indonesia, where the mining and property
sectors performed well, the Fund's holding in the relatively more defensive PT
Unilever Indonesia Tbk hurt relative performance.

ALLOCATION ANALYSIS

Asset allocation was strong in EMEA as the portfolio was underweighted in
commodity heavyweights Russia and South Africa, adding to the Fund's
performance. In Latin America, the Fund benefited from the Fund's position in
Brazil, where economic growth is expected to be strong on the back of ongoing
interest rate cuts. Asset allocation to Mexico was positive where the outlook is
favorable now that elections have passed and the new government appears to be
making positive progress on reforms. The Fund's portfolio was underweight to
South Korea, one of the best-performing markets, during the period. The strong
performance of the Korean market was led by cyclical companies in which the Fund
has no exposure. The Fund was also underweighted in China where we remain
cautious given relatively high valuations.

During the six months ended June 30, 2007, we initiated positions in Brazilian
fashion retailer Lojas Renner SA, Czech Bank Komercni Banka AS and well-managed
Mexican bottler Grupo Continental SA, which has a strong yield. We also
initiated positions in South African fashion retailer Truworths International
Ltd., Turkish hard-discount retailer Bim Birlesik Magazalar AS and Indonesian
conglomerate PT Astra International Tbk, which offers the Fund exposure to
consumption growth. Against this, we pared our positions in Turkish retailer
Migros Turk TAS, Brazilian tobacco company Souza Cruz SA, iron and nickel giant
Companhia Vale do Rio Doce, Chinese toll-road operator Zhejiang Expressway
Company, Ltd. and PT Unilever Indonesia Tbk on valuation grounds. The Fund sold
its position in Hyundai Motor completely.

Compared to the weightings of its benchmark, the equity portion of the portfolio
is underweighted in EMEA (South Africa and Russia), slightly underweighted in
Asia and overweighted in Latin America (Brazil and Mexico).

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** The benchmark consists of the following: 50% JPMorgan Emerging Markets
Bond Index Global Diversified and 50% JPMorgan Government Bond
Index-Emerging Markets (JPM GBI-EM).

Page 4

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PORTFOLIO COMMENTARY - (CONTINUED)
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PERFORMANCE ANALYSIS

FIXED-INCOME

Spreads in external emerging market debt ranged from a high of 204 bps to a low
of 162 bps over U.S. Treasuries over the period covered by this report.
Countries which underperformed the index were Argentina and Venezuela due to
several factors. In Argentina, rising inflation and a worsening energy crisis
led to power shortages. Emerging market debt investors were overweighted in
Argentinean debt, leading to excessive selling of the credit during the recent
market correction. Over the period, the Fund sold its external Argentina
holdings in favor of the short dated local currency bonds. Venezuela also
underperformed the index due to investor concerns over Hugo Chavez, the
Venezuelan President, who has recently stated that he is going to take Venezuela
out of the International Monetary Fund ("IMF"), causing a technical default on
the bonds.

Colombian external bonds outperformed over the period due to the country's high
growth and decreased supply of the external bonds with the finance minister
issuing local bonds and buying back the country's external debt. The central
bank of Brazil has cut the Selic, the central bank rate, from 13.25% to 12.00%,
with expectations for further rate cuts this year and into next year due to
stable and low inflation in Brazil.

Turkey is also experiencing strong demand for its local debt which has been very
strong, due to very high nominal and real yields. There was a parliamentary
election in Turkey in July which resulted in a victory for the Justice and
Development Party, which the Sub-Advisor believes was the preferred outcome from
a market perspective.

In Ukraine, political noise has subsided following an agreement between
President Yuschenko and Prime Minister Yanukovich to hold early parliamentary
elections on September 30, 2007.

EQUITY

Emerging markets rose to new highs amid increasing volatility in the first half
of 2007, having rebounded from the sharp sell-off at the end of February. This
reflected solid corporate earnings growth, underpinned by robust economic
expansion, as well as strong global liquidity. These positive factors outweighed
increasing concerns about the health of the U.S. housing market and the fallout
from the sub-prime mortgage debacle.

Export demand and rising consumption continued to underpin growth. In
particular, the Chinese economy gained momentum. Beijing resorted to a mixture
of policies, including rate hikes, a higher reserve ratio for banks and a wider
trading band for the Renminbi, to prevent overheating. Elsewhere, rising
inflationary pressures prompted central banks in Poland, Mexico, South Africa
and Taiwan to intervene directly and raise interest rates.

In politics, uncertainty rose in Turkey, after the president called for a
referendum relating to the selection of his successor. Thailand's
military-appointed government froze ex-prime minister Thaksin's assets,
dissolved his Thai Rak Thai party and banned party members from participating in
political activities for five years. Consumer confidence sagged to a five-year
low in May, although the stock market rebounded, after having been a regional
laggard for some time. Elsewhere, tension between China and the U.S. rose after
the latter imposed trade sanctions; Brazil's president Lula da Silva was sworn
in for a second term and Mexico passed its first economic reform bill under
Felipe Calderon.

SUB-ADVISOR Q&A

WHAT IS YOUR OUTLOOK FOR VARIOUS CURRENCIES/DEBT FOR DIFFERENT REGIONS?

It is the Sub-Advisor's view that Venezuela will not be out of the IMF and,
therefore, Venezuelan bonds appear attractive due to the high yields on offer.

The Brazilian Real also appears strong as Brazilian real Gross Domestic Product
has continued to increase over the period, leading to increased foreign currency
reserves which support the external debt of the country.

Turkey's debt has remained strong with no signs of weakness. The Turkish Lira
has also strengthened against the U.S. Dollar as investors have been attracted
by the high interest rates on offer.

The Ukraine continues to benefit from a robust growth outlook and very limited
indebtedness.

WHAT IS YOUR OVERALL OUTLOOK FOR FEO?

Looking ahead, emerging markets are likely to stay volatile. Risks include the
impact of rising real global interest rates, tighter credit spreads and the
underlying state of the U.S. housing market. With markets trading at or near
record highs, a shift in risk aversion may trigger another sudden flight to
quality similar to that in February. Despite the uncertain global investment
climate, macro-economic fundamentals remain solid, providing ample investment
opportunities for bottom-up stock pickers who take a long term view. Valuations,
while well-supported by earnings, are becoming stretched and there is clearly a
danger of overpaying for growth. The Fund has kept turnover low, with core
stocks largely unchanged.

As for emerging market debt, Aberdeen anticipates that emerging markets will
continue to perform well and any weakness is likely to come from an external
shock to the global market causing a reduction in global liquidity.

Page 5

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO COMPONENTS (a)
JUNE 30, 2007 (UNAUDITED)

PORTFOLIO COMPONENTS -- BY INDUSTRY

[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]

Government Bonds and Notes 43.7%
Commercial Banks Non-US 11.2%
Diversified Financial Services 6.7%
Retail 4.2%
Oil & Gas 3.9%
Cellular Telecommunications 3.3%
Semiconductors 2.8%
Beverages 2.2%
Diversified Minerals 1.9%
Telecommunications 1.8%
Insurance 1.6%
Building Products-Cement/Aggregates 1.6%
Export/Import Bank 1.6%
Tobacco 1.5%
Electric Utilities 1.3%
Medical-Drugs 1.2%
Gas Utilities 1.0%
Household Products 0.9%
Diversified Operations 0.7%
Airport Development/Maintenance 0.7%
Steel Producers 0.7%
Paper & Related Products 0.7%
Real Estate 0.7%
Commercial Services 0.7%
Regional Authority 0.6%
Applications Software 0.6%
Leisure Time 0.5%
Food-Retail 0.5%
Chemicals 0.5%
Money Center Banks 0.4%
Internet Security 0.3%

(a) Percentages are based on total investments. Please note that the
percentages on the Portfolio of Investments are based on net assets.

Page 6 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO COMPONENTS (a) (b) - (CONTINUED)
JUNE 30, 2007 (UNAUDITED)

PORTFOLIO COMPONENTS -- BY COUNTRY

[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]

Brazil 14.9%
Mexico 7.6%
China 6.8%
Argentina 6.4%
Ukraine 5.7%
Turkey 5.7%
Russia 5.5%
Indonesia 5.1%
India 5.1%
Colombia 4.2%
Philippines 3.4%
Taiwan 2.9%
Peru 2.9%
Uruguay 2.8%
South Korea 2.7%
Pakistan 2.5%
South Africa 2.0%
Thailand 1.7%
Malaysia 1.6%
Dominican Republic 1.4%
El Salvador 1.3%
Serbia 1.3%
Egypt 1.3%
Kazakhstan 1.1%
Chile 1.1%
Nigeria 1.0%
Czech Republic 0.9%
Hungary 0.8%
Israel 0.3%

(a) Percentages are based on total investments. Please note that the
percentages on the Portfolio of Investments are based on net assets.

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

See Notes to Financial Statements. Page 7

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007 (UNAUDITED)

PRINCIPAL
VALUE MARKET
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
-------------- ----------------------------------------------------------- -------- -------- -------------

BONDS AND NOTES (a) - 61.7%

ARGENTINA - 6.0%
1,160,000 Banco Hipotecario SA (USD) ................................ 9.75% 04/27/16 $ 1,200,600
870,000 Province of Buenos Aires (USD) ............................ 9.38% 09/14/18 827,805
2,951,176 Republic of Argentina (ARS) (b) ........................... 2.00% 02/04/18 1,564,395
4,620,000 Republic of Argentina (USD) ............................... 7.00% 04/17/17 3,981,835
-------------
7,574,635
-------------
BRAZIL - 8.0%
4,320,000 Brazil NTN - B Note (BRL) ................................. 6.00% 08/15/10 3,671,209
1,300,000 Federal Republic of Brazil (USD) .......................... 11.00% 01/11/12 1,562,665
1,000,000 Isa Capital do Brasil SA (USD) ............................ 7.88% 01/30/12 1,019,750
1,930,000 Nota do Tesouro Nacional (BRL) ............................ 10.00% 01/01/14 971,638
5,870,000 Nota do Tesouro Nacional (BRL) ............................ 10.00% 01/01/12 2,950,157
-------------
10,175,419
-------------
CHINA - 1.0%
670,000 Parkson Retail Group Ltd. (USD) ........................... 7.88% 11/14/11 695,339
540,000 Parkson Retail Group Ltd. (USD) ........................... 7.13% 05/30/12 545,400
-------------
1,240,739
-------------
COLOMBIA - 4.4%
7,975,000,000 Republic of Colombia (COP) ................................ 12.00% 10/22/15 4,602,243
850,000 Republic of Colombia (USD) ................................ 7.38% 09/18/37 946,985
-------------
5,549,228
-------------
DOMINICAN REPUBLIC - 1.4%
820,000 Cerveceria Nacional Dominica (USD) (b) .................... 16.00% 03/27/12 951,200
740,000 Dominican Republic (USD) .................................. 8.63% 04/20/27 862,100
-------------
1,813,300
-------------
EGYPT - 1.3%
10,000,000 Egypt Treasury Bill (EGP) ................................. 0.00% 04/29/08 1,657,005
-------------
EL SALVADOR - 1.3%
1,490,000 Republic of El Salvador (USD) ............................. 7.65% 06/15/35 1,709,775
-------------
INDIA - 1.2%
65,000,000 JPMorgan Chase Bank NA (INR) (b) .......................... 8.07% 01/15/17 1,588,871
-------------
INDONESIA - 4.2%
28,500,000,000 Indonesian Government (IDR) ............................... 12.50% 03/15/13 3,668,280
3,900,000,000 Indonesian Government (IDR) ............................... 10.25% 07/15/22 454,636
170,000 Majapahit Holding BV (USD) ................................ 7.25% 06/28/17 168,198
630,000 Majapahit Holding BV (USD) ................................ 7.88% 06/29/37 622,944
500,000 Republic of Indonesia (USD) ............................... 6.63% 02/17/37 482,992
-------------
5,397,050
-------------
KAZAKHSTAN - 1.2%
700,000 Intergas Finance BV (USD) ................................. 6.38% 05/14/17 672,490
840,000 Turannlem Finance BV (USD) ................................ 8.00% 03/24/14 806,400
-------------
1,478,890
-------------

Page 8 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2007 (UNAUDITED)

BONDS AND NOTES (a) - (CONTINUED)

MEXICO - 3.8%
17,110,000 Mexican Fixed Rate Bonds (MXN) ............................ 9.00% 12/22/11 $ 1,664,438
24,060,000 Mexican Fixed Rate Bonds (MXN) ............................ 9.50% 12/18/14 2,456,220
6,340,000 Mexican Fixed Rate Bonds (MXN) ............................ 10.00% 12/05/24 716,833
-------------
4,837,491
-------------
NIGERIA - 1.0%
1,280,000 GTB Finanace BV (USD) ..................................... 8.50% 01/29/12 1,265,664
-------------
PAKISTAN - 2.6%
2,530,000 Islamic Republic of Pakistan (USD) ........................ 6.88% 06/01/17 2,435,125
830,000 Pakistan Mobile Communication (USD) ....................... 8.63% 11/13/13 850,082
-------------
3,285,207
-------------
PERU - 3.0%
6,040,000 Peru Bono Soberano (PEN) .................................. 7.84% 08/12/20 2,206,298
1,610,000 Republic of Peru (USD) .................................... 6.55% 03/14/37 1,618,935
-------------
3,825,233
-------------
PHILIPPINES - 2.5%
2,200,000 Republic of Philippines (USD) ............................. 8.25% 01/15/14 2,415,490
740,000 Republic of Philippines (USD) ............................. 7.75% 01/14/31 818,810
-------------
3,234,300
-------------
RUSSIA - 4.9%
830,000 Alfa Bond ISS (USD) (b) ................................... 8.64% 02/22/17 830,042
35,000,000 Dal Capital (Vneshtorgbk) (RUB) ........................... 7.00% 04/13/09 1,386,421
37,576,348 Red Arrow International Leasing PLC (RUB) ................. 8.38% 03/31/12 1,515,499
1,200,000 Russian Standard Bank (USD) ............................... 8.63% 05/05/11 1,204,800
1,180,000 UBS (Vimpelcom) (USD) ..................................... 8.25% 05/23/16 1,234,752
-------------
6,171,514
-------------
SERBIA - 1.3%
1,780,000 Republic of Serbia (USD) .................................. 3.75% 11/01/24 1,685,126
-------------
TURKEY - 3.7%
730,000 Republic of Turkey (USD) .................................. 8.00% 02/14/34 789,824
4,110,000 Turkey Government Bond (TRY) .............................. 16.00% 03/07/12 3,115,625
1,010,000 Turkey, Government Bond (TRY) ............................. 10.00% 02/15/12 822,748
-------------
4,728,197
-------------
UKRAINE - 6.0%
800,000 Alfa Bank Ukraine (USD) ................................... 9.75% 12/22/09 819,480
2,000,000 EX-IM Bank of Ukraine (USD) ............................... 7.65% 09/07/11 2,041,400
500,000 UBS AG Jersey Branch (USD) ................................ 9.13% 06/21/10 498,125
1,870,000 Ukraine Government (USD) .................................. 6.39% 06/26/12 1,872,712
2,360,000 Ukraine Government (USD) .................................. 6.58% 11/21/16 2,349,616
-------------
7,581,333
-------------

See Notes to Financial Statements. Page 9

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2007 (UNAUDITED)

BONDS AND NOTES (a) - (CONTINUED)

URUGUAY - 2.9%
1,390,000 Republic Orient Uruguay (USD) ............................. 7.63% 03/21/36 $ 1,523,440
37,710,000 Republic Orient Uruguay (UYU) ............................. 5.00% 09/14/18 1,763,842
8,560,000 Republic Orient Uruguay (UYU) ............................. 4.25% 04/05/27 384,298
-------------
3,671,580
-------------
TOTAL BONDS AND NOTES ........................................................... 78,470,557
(Cost $75,814,524) -------------

MARKET
VALUE
SHARES DESCRIPTION (US DOLLARS)
-------------- --------------------------------------------------------------------------------- -------------

COMMON STOCKS - 42.0%

ARGENTINA - 0.7%
19,000 Tenaris SA, ADR ................................................................. 930,240
-------------
BRAZIL - 7.4%
46,000 Banco Bradesco SA, ADR .......................................................... 1,109,060
68,000 Companhia Vale do Rio Doce, ADR ................................................. 2,563,600
47,000 Lojas Renner SA ................................................................. 872,265
16,000 Petroleo Brasileiro SA, ADR ..................................................... 1,706,880
44,000 Souza Cruz SA ................................................................... 1,060,881
50,000 Telecomunicacoes de Sao Paulo SA ................................................ 1,499,482
19,000 Ultrapar Participacoes SA, Preference Shares .................................... 631,856
-------------
9,444,024
-------------
CHILE - 1.1%
29,000 Banco Santander Chile SA, ADR ................................................... 1,436,660
-------------
CHINA - 6.1%
160,000 China Mobile Ltd. ............................................................... 1,717,819
140,000 CLP Holdings Ltd. ............................................................... 939,096
300,000 Dah Sing Banking Group Ltd. ..................................................... 663,749
200,000 Hang Lung Group, Ltd. ........................................................... 902,903
1,120,000 PetroChina Company Ltd., H Shares ............................................... 1,650,088
440,000 Swire Pacific Ltd., B Shares .................................................... 944,237
820,000 Zhejiang Expressway Company, Ltd., H Shares ..................................... 879,858
-------------
7,697,750
-------------
CZECH REPUBLIC - 1.0%
9,000 Erste Bank der Oesterreichischen Sparkassen AG .................................. 706,103
3,000 Komercni Banka AS ............................................................... 558,275
-------------
1,264,378
-------------
HUNGARY - 0.8%
5,000 Richter Gedeon, Sponsored GDR ................................................... 1,008,591
-------------
INDIA - 4.0%
90,000 Gail India Ltd. ................................................................. 686,083
20,000 Glaxosmithkline Pharmaceuticals Ltd. ............................................ 623,756
8,000 Grasim Industries Ltd. .......................................................... 518,069

Page 10 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2007 (UNAUDITED)

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

COMMON STOCKS - (CONTINUED)

INDIA - (CONTINUED)
40,000 Hero Honda Motors, Ltd. ......................................................... $ 680,605
22,000 Housing Development Finance Corp., Ltd. ......................................... 1,099,162
33,000 ICICI Bank, Ltd. ................................................................ 774,594
64,000 Satyam Computer Services, Ltd. .................................................. 735,988
-------------
5,118,257
-------------
INDONESIA - 1.1%
127,500 PT Astra International Tbk ...................................................... 238,489
1,538,000 PT Unilever Indonesia Tbk ....................................................... 1,140,520
-------------
1,379,009
-------------
ISRAEL - 0.3%
19,000 Check Point Software Technologies Ltd. (c) ...................................... 433,390
-------------
MALAYSIA - 1.7%
68,000 British American Tobacco Malaysia Berhad ........................................ 886,315
420,000 Public Bank Berhad .............................................................. 1,210,427
-------------
2,096,742
-------------
MEXICO - 4.1%
30,000 Fomento Economico Mexicano SA, Sponsored ADR .................................... 1,179,600
34,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR ....................... 933,980
361,000 Grupo Continental SA ............................................................ 801,962
297,000 Grupo Financiero Banorte SA de CV, O Shares (c) ................................. 1,363,008
212,000 Kimberly Clark de Mexico SAB de CV, A Shares .................................... 920,724
-------------
5,199,274
-------------
PHILIPPINES - 0.9%
810,000 Bank of the Philippine Islands .................................................. 1,199,676
-------------
RUSSIA - 0.9%
15,000 LUKOIL, ADR ..................................................................... 1,143,000
-------------
SOUTH AFRICA - 2.1%
174,000 Massmart Holdings Ltd. .......................................................... 2,124,683
100,000 Truworths International Ltd. .................................................... 516,449
-------------
2,641,132
-------------
SOUTH KOREA - 2.8%
65,000 Pusan Bank ...................................................................... 939,276
4,500 Samsung Electronics Company, Ltd., Preference Shares ............................ 2,106,673
850 Shinsegae Company, Ltd. ......................................................... 553,878
-------------
3,599,827
-------------
TAIWAN - 3.0%
1,000,000 Fubon Financial Holdings Company, Ltd. .......................................... 912,797
1,140,000 Taiwan Mobile Company, Ltd. ..................................................... 1,396,124
723,599 Taiwan Semiconductor Manufacturing Company, Ltd. ................................ 1,560,980
-------------
3,869,901
-------------

See Notes to Financial Statements. Page 11

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2007 (UNAUDITED)

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

COMMON STOCKS - (CONTINUED)

THAILAND - 1.8%
220,000 PTT Exploration and Production Public Company, Ltd. ............................. $ 688,197
200,000 Siam Cement Public (The) Company, Ltd. .......................................... 1,552,498
-------------
2,240,695
-------------
TURKEY - 2.2%
359,000 Aksigorta AS .................................................................... 2,160,838
98 Bim Birlesik Magazalar AS ....................................................... 6,496
37,451 Migros Turk TAS ................................................................. 627,750
-------------
2,795,084
-------------
TOTAL COMMON STOCKS ............................................................. 53,497,630
(Cost $41,809,944) -------------

TOTAL INVESTMENTS - 103.7% ...................................................... 131,968,187
(Cost $117,624,468) (d)
LOAN OUTSTANDING - (6.3)% ....................................................... (8,000,000)
NET OTHER ASSETS AND LIABILITIES - 2.6% ......................................... 3,259,412
-------------
NET ASSETS - 100.0% ............................................................. $ 127,227,599
=============

----------------------------------------------------------------
(a) Portfolio securities are included in a country based upon their underlying
credit exposure as determined by Aberdeen Asset Management Inc., the
Sub-Advisor.

(b) Variable rate security. The interest rate shown reflects the rate in
effect at June 30, 2007.

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

ADR American Depositary Receipt
ARS Argentine Peso
BRL Brazilian Real
COP Colombian Peso
EGP Egyptian Pound
EUR Euro Dollar
GDR Global Depositary Receipt
IDR Indonesian Rupiah
INR Indian Rupee
MXN Mexican Peso
PEN Peruvian New Sol
RUB Russian Rouble
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso

Page 12 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
JUNE 30, 2007 (UNAUDITED)

FORWARD FOREIGN CURRENCY CONTRACTS TO BUY
CONTRACTS TO RECEIVE
----------------------------------------------
NET NET
UNREALIZED UNREALIZED
IN APPRECIATION DEPRECIATION
EXPIRATION LOCAL VALUE IN EXCHANGE OF CONTRACTS OF CONTRACTS
DATE CURRENCY (a) U.S. $ FOR U.S. $ U.S. $ U.S. $
---------- ------------------- ----------- ----------- ------------- ------------

07/23/07 BRL 3,375,000 $ 1,743,609 $ 1,644,737 $ 98,872 $ --
07/23/07 COP 9,632,479 4,867,125 4,939,733 -- (72,608)
07/23/07 EUR 319,000 432,114 429,230 2,884 --
07/23/07 MXN 13,826,000 1,278,025 1,266,216 11,809 --
07/23/07 TRY 4,423,000 3,339,817 3,266,227 73,590 --
------------- ------------
$ 187,155 $ (72,608)
------------- ------------

FORWARD FOREIGN CURRENCY CONTRACTS TO SELL
CONTRACTS TO DELIVER
---------------------------------------------
NET NET
UNREALIZED UNREALIZED
IN APPRECIATION DEPRECIATION
EXPIRATION LOCAL VALUE IN EXCHANGE OF CONTRACTS OF CONTRACTS
DATE CURRENCY (a) U.S. $ FOR U.S. $ U.S. $ U.S. $
---------- ------------------- ---------- ---------- ------------- -------------

07/23/07 BRL 11,884,000 $6,139,571 $5,841,617 $ -- $ (297,954)
07/23/07 COP 9,632,479,000 4,867,126 4,805,661 -- (61,465)
07/23/07 EUR 770,000 1,043,034 1,050,603 7,569 --
07/23/07 IDR 9,640,000,000 1,065,688 1,056,323 -- (9,365)
07/23/07 INR 33,348,000 818,095 803,954 -- (14,141)
07/23/07 MXN 39,717,000 3,671,293 3,668,488 -- (2,805)
07/23/07 TRY 7,202,000 5,438,247 5,260,881 -- (177,366)
------------- -------------
$ 7,569 $ (563,096)
------------- -------------

Unrealized Appreciation (Depreciation) ................... $ 194,724 $ (635,704)
============= =============
Net Unrealized Appreciation (Depreciation) ............... $ (440,980)
=============

(a) Please see page 12 for currency descriptions.

See Notes to Financial Statements. Page 13

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2007 (UNAUDITED)

ASSETS:
Investments, at value
Cost ($117,624,468) .......................................................................... $ 131,968,187
Cash .............................................................................................. 120,698
Foreign currency (Cost $546,472) .................................................................. 550,609
Unrealized appreciation on forward foreign currency contracts ..................................... 194,724
Prepaid expenses .................................................................................. 16,267
Receivables:
Investment securities sold ..................................................................... 5,810,735
Interest ....................................................................................... 2,065,442
Dividends ...................................................................................... 210,278
-------------
Total Assets ................................................................................ 140,936,940
-------------
LIABILITIES:
Unrealized depreciation on forward foreign currency contracts ..................................... 635,704
Payables:
Outstanding loan ............................................................................... 8,000,000
Investment securities purchased ................................................................ 4,661,079
Investment advisory fees ....................................................................... 110,995
Printing fees .................................................................................. 88,163
Audit and legal fees ........................................................................... 77,966
Interest and fees due on loan payable .......................................................... 53,847
Custodian fees ................................................................................. 50,115
Administrative fees ............................................................................ 11,100
Transfer agent fees ............................................................................ 4,531
Accrued expenses and other liabilities ............................................................ 15,841
-------------
Total Liabilities ........................................................................... 13,709,341
-------------
NET ASSETS ........................................................................................ $ 127,227,599
=============
NET ASSETS CONSIST OF:
Accumulated net investment income (loss) .......................................................... $ (1,501,228)
Accumulated net realized gain (loss) on investments sold, foreign forward currency contracts and
foreign currency transactions .................................................................. 2,427,573
Net unrealized appreciation (depreciation) on investments, foreign forward currency contracts and
foreign currency translation ................................................................... 13,956,983
Par value ......................................................................................... 59,052
Paid-in capital ................................................................................... 112,285,219
-------------
NET ASSETS ........................................................................................ $ 127,227,599
=============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) .............................. $ 21.54
=============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)........ 5,905,236
=============

Page 14 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2007 (UNAUDITED)

INVESTMENT INCOME:
Interest (net of foreign withholding tax of $13,122) ............................................ $ 3,239,863
Dividends (net of foreign withholding tax of $89,928) ........................................... 903,426
-------------
Total investment income ................................................................... 4,143,289
-------------
EXPENSES:
Investment advisory fees ........................................................................ 659,450
Interest and fees on outstanding loan payable ................................................... 277,048
Custodian fees .................................................................................. 104,194
Audit and legal fees ............................................................................ 71,910
Administration fees ............................................................................. 65,945
Trustees' fees and expenses ..................................................................... 20,051
Printing fees ................................................................................... 18,864
Transfer agent fees ............................................................................. 14,079
Other ........................................................................................... 43,593
-------------
Total expenses ............................................................................ 1,275,134
-------------
NET INVESTMENT INCOME ........................................................................... 2,868,155
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments .................................................................................. 2,762,680
Forward foreign currency contracts ........................................................... (306,948)
Foreign currency transactions ................................................................ (1,947)
-------------
Net realized gain (loss) ........................................................................ 2,453,785
-------------
Net change in unrealized appreciation (depreciation) on:
Investments .................................................................................. 4,181,788
Forward foreign currency contracts ........................................................... 308,828
Foreign currency translation ................................................................. 29,383
-------------
Net change in unrealized appreciation (depreciation) ............................................ 4,519,999
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ......................................................... 6,973,784
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................................. $ 9,841,939
=============

See Notes to Financial Statements. Page 15

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

SIX MONTHS
ENDED PERIOD
06/30/2007 ENDED
(UNAUDITED) 12/31/2006 (a)
------------- --------------

OPERATIONS:
Net investment income ............................................. $ 2,868,155 $ 1,706,538
Net realized gain (loss) .......................................... 2,453,785 (111,162)
Net change in unrealized appreciation (depreciation) .............. 4,519,999 9,436,984
------------- --------------
Net increase (decrease) in net assets resulting from operations ... 9,841,939 11,032,360
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................................. (4,133,665) (1,857,306)
Return of capital ................................................. -- (209,527)
------------- --------------
Total distributions to shareholders ............................... (4,133,665) (2,066,833)
------------- --------------
CAPITAL TRANSACTIONS:
Net proceeds from sale of 5,905,236 Common Shares ................. -- 112,790,008
Offering costs .................................................... -- (236,210)
------------- --------------
Total capital transactions ........................................ -- 112,553,798
------------- --------------
Net increase (decrease) in net assets ............................. 5,708,274 121,519,325

NET ASSETS:
Beginning of period ............................................... 121,519,325 --
------------- --------------
End of period ..................................................... $ 127,227,599 $ 121,519,325
============= ==============
Accumulated net investment income (loss) at end of period ......... $ (1,501,228) $ (235,718)
============= ==============

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

Page 16 See Notes to Financial Statements.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JUNE 30, 2007 (UNAUDITED)

CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations ................................. $ 9,841,939
Adjustments to reconcile net increase in net assets resulting
from operations to net cash provided by operating activities:
Changes in assets and liabilities:
Net purchases and sales of investments ............................................ 1,253,479
Net (amortization of market premium) accretion of market discount of investments .. (115,097)
Net realized gain on investments .................................................. (2,762,680)
Net change in unrealized appreciation (depreciation) on investments ............... (4,181,788)
Decrease in net unrealized depreciation on forward foreign currency contracts ..... (308,828)
Increase in interest receivable ................................................... (228,024)
Increase in dividends receivable .................................................. (133,904)
Increase in receivable for investment securities sold ............................. (5,714,430)
Increase in prepaid expenses ...................................................... (4,848)
Increase in interest and fees due on outstanding loan payable ..................... 10,996
Increase in payable for investment securities purchased ........................... 4,622,481
Increase in investment advisory fees payable ...................................... 1,931
Decrease in audit and legal fees payable .......................................... (14,557)
Increase in printing fees payable ................................................. 1,411
Increase in administrative fees payable ........................................... 194
Decrease in transfer agent fees payable ........................................... (985)
Increase in custodian fees payable ................................................ 1,179
Increase in accrued expenses and other liabilities ................................ 13,705
-----------
CASH PROVIDED BY OPERATING ACTIVITIES ................................................ $ 2,282,174
CASH FLOWS FROM FINANCING ACTIVITIES:
Distributions to shareholders from net investment income .......................... (4,133,665)
Issuance of loan .................................................................. 4,000,000
Repayment of loan ................................................................. (3,000,000)
-----------
CASH USED BY FINANCING ACTIVITIES .................................................... (3,133,665)
-----------
Decrease in cash and foreign currency (a) ............................................ (851,491)
Cash and foreign currency at beginning of period ..................................... 1,522,798
-----------
Cash and foreign currency at end of period ........................................... $ 671,307
===========
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest ............................................. $ 266,052
===========

----------------------------------------------------------------
(a) Includes net change in unrealized appreciation (depreciation) on foreign
currency of $29,383.

See Notes to Financial Statements. Page 17

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

SIX MONTHS
ENDED PERIOD
06/30/2007 ENDED
(UNAUDITED) 12/31/2006 (a)
----------------- ---------------

Net asset value, beginning of period .............................................. $ 20.58 $ 19.10(b)
----------------- ---------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................................................. 0.49 0.29
Net realized and unrealized gain (loss) ........................................... 1.17 1.58
----------------- ---------------
Total from investment operations .................................................. 1.66 1.87
----------------- ---------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income ............................................................. (0.70) (0.31)
Return of capital ................................................................. -- (0.04)
----------------- ---------------
Total distributions ............................................................... (0.70) (0.35)
----------------- ---------------
Common Share offering costs charged to paid-in capital ............................ -- (0.04)
----------------- ---------------
Net asset value, end of period .................................................... $ 21.54 $ 20.58
================= ===============
Market value, end of period ....................................................... $ 19.00 $ 19.03
================= ===============
TOTAL RETURN BASED ON NET ASSET VALUE (c) (d) ..................................... 8.54% 9.74%
================= ===============
TOTAL RETURN BASED ON MARKET VALUE (d) (e) ........................................ 3.54% (3.10)%
================= ===============

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

RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .............................................. $ 127,228 $ 121,519
Ratio of total expenses to average net assets ..................................... 2.07%(f) 2.16%(f)
Ratio of total expenses to average net assets excluding interest expense........... 1.62%(f) 2.05%(f)
Ratio of net investment income to average net assets .............................. 4.65%(f) 4.27%(f)
Portfolio turnover rate ........................................................... 60% 40%

DEBT:
Loan outstanding (in 000's) ....................................................... $ 8,000 $ 7,000
Asset Coverage per $1,000 of indebtedness (g) ..................................... $ 16,903 $ 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 Common Share on initial offering.

(c) Total return based on net asset value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, if any,
at prices obtained by the Dividend Reinvestment Plan, and net asset value
per share and does not reflect sales load.

(d) Total return is not annualized for periods less than one year.

(e) Total return based on market value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, if any,
at prices obtained by the Dividend Reinvestment Plan, and changes in
Common Share market price per share, all based on Common Share market
price per share.

(f) Annualized

(g) 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.

Page 18 See Notes to Financial Statements.

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (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 gross asset
value of the Fund (including assets attributable to the Fund's Preferred Shares,
if any, and the principal amount of any borrowings) minus the sum of the Fund's
accrued and unpaid dividends on any outstanding Preferred Shares and accrued
liabilities (other than the principal amount of any borrowings incurred,
commercial paper or notes issued by the Fund). There can be no assurance that
the Fund's investment objective will be achieved.

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 Fund determines the net asset value ("NAV") of its Common Shares daily, as
of the close of regular session 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 Fund calculates NAV per Common Share
by subtracting the Fund's liabilities (including accrued expenses, dividends
payable and any borrowings of the Fund) and the liquidation value of any
outstanding Preferred Shares, if any, 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. A majority of the Fund's
assets are valued using market information supplied by third parties. In
addition, structured products, including currency-linked notes, and
credit-linked notes, as well as interest rate swaps and credit default swaps,
are valued using a pricing service or quotes provided by the selling dealer or
financial institution. 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, or if events occurring after the
close of the principal markets for particular securities (e.g., domestic debt
and foreign securities), but before the Fund values its assets, would materially
affect NAV, First Trust Advisors L.P. ("First Trust") may use a fair value
method to value the Fund's securities and 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.

B. FORWARD FOREIGN CURRENCY CONTRACTS:

Forward foreign currency contracts are agreements to exchange one currency for
another at a future date and at a specified price. The Fund may use forward
foreign currency contracts to facilitate transactions in foreign securities and
to manage the Fund's foreign currency exposure. These contracts are valued
daily, and the Fund's net equity therein, representing unrealized gain or loss
on the contracts as measured by the difference between the forward foreign
exchange rates at the dates of entry into the contracts and the forward rates at
the reporting date, is included in the Statement of Assets and Liabilities.
Realized and unrealized gains and losses are included in the Statement of
Operations. Risks arise from the possible inability of counterparties to meet
the terms of their contracts and from movement in currency and securities values
and interest rates. Due to the risks, the Fund could incur losses up to the
entire contract amount, which may exceed the net unrealized value shown in the
Schedule of Forward Foreign Currency Contracts.

C. 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
on the accrual basis, including amortization of premiums and accretion of
discounts.

Page 19

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NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (UNAUDITED)

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 with a
current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. At June 30, 2007, the Fund had no
when-issued or delayed-delivery purchase commitments.

D. 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 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. 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.

E. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

The Fund will distribute to holders of its Common Shares level quarterly
dividends/distributions after payment of interest and 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. However, the
ultimate determination of the character of the distributions will be made after
the 2007 calendar year end. The Fund's final distribution for each calendar year
will include any remaining net investment company taxable income undistributed
during the year, as well as net capital gains realized during the year. If the
Fund recognizes a long-term capital gain, it will be required to allocate such
gain between the Common Shares and Preferred Shares, if any, issued by the Fund
in proportion to the total dividends paid for the year. 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. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Fund, timing differences and differing characterization of distributions
made by the Fund.

The tax character of distributions paid during the period ended December 31,
2006, was as follows:

Distributions paid from:

Ordinary Income .................................... $ 1,857,306
Return of Capital .................................. 209,527

As of December 31, 2006, the components of distributable earnings on a tax basis
were as follows:

Net Unrealized Appreciation ........................ $ 9,175,054

F. INCOME TAXES:

The Fund intends to qualify as a regulated investment company by complying with
the requirements under Subchapter M of the Internal Revenue Code of 1986, as
amended, and to distribute substantially all of its net investment income and
net realized gains to shareholders. Accordingly, no provision has been made for
federal or state income taxes.

In June 2006, Financial Accounting Standards Board Interpretation No. 48,
Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement
109 ("FIN 48") was issued and is effective for fiscal years beginning after
December 15, 2006. This Interpretation prescribes a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. As of June 30, 2007, management has
evaluated the application of FIN 48 to the Fund, and has determined that there
is no material impact resulting from the adoption of this Interpretation on the
Fund's financial statements.

Page 20

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (UNAUDITED)

G. EXPENSES:

The Fund pays all expenses directly related to its operations.

H. ORGANIZATION AND OFFERING COSTS:

Organization costs consisted of costs incurred to establish the Fund and enable
it to legally conduct business. These costs included filing fees, listing fees,
legal services pertaining to the organization of the business and audit fees
relating to the initial registration and auditing the initial statement of
assets and liabilities, among other fees. Offering costs consisted of legal fees
pertaining to the Fund's shares offered for sale, registration fees,
underwriting fees, and printing of the initial prospectus, among other fees.
First Trust and Aberdeen Asset Management Inc. have paid all organization
expenses and all offering costs of the Fund (other than sales load) that
exceeded $0.04 per Common Share. The Fund's share of Common Share offering costs
of $236,210 during the period ended December 31, 2006, was recorded as a
reduction of the proceeds from the sale of Common Shares.

I. ACCOUNTING PRONOUNCEMENT:

In September 2006, Statement of Financial Accounting Standards No. 157 Fair
Value Measurements ("SFAS 157") was issued by the FASB and is effective for
fiscal years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 could have on the Fund's financial statement disclosures.

3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to the Fund pursuant to an Investment Management
Agreement. First Trust is responsible for the ongoing monitoring of the Fund's
investment portfolio, managing the Fund's business affairs and 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.

Aberdeen Asset Management Inc. (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 an annual portfolio management fee
calculated at an annual rate of 0.50% of Managed Assets that is paid monthly by
First Trust out of its investment advisory fee.

PFPC Inc. ("PFPC"), an indirect, majority-owned subsidiary of The PNC Financial
Services Group, Inc., serves as the Fund's Administrator and Transfer Agent in
accordance with certain fee arrangements. PFPC Trust Company, also an indirect,
majority-owned subsidiary of The PNC Financial Services Group, Inc., serves as
the Fund's Custodian in accordance with certain fee arrangements.

Effective January 1, 2007, the Trustees approved a revised compensation plan.
Under the revised plan, 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 investment company for the first 14
investment companies of the First Trust Fund Complex and an annual retainer of
$7,500 per investment company of each subsequent investment company added to the
First Trust Fund Complex. The annual retainer is allocated equally among each of
the investment companies. No additional meeting fees are paid in connection with
board or committee meetings.

Additionally, Thomas R. Kadlec is paid $10,000 annually to serve as the Lead
Independent Trustee and Niel B. Nielson is paid $5,000 annually to serve as the
chairman of the Audit Committee, with such compensation paid by the funds in the
First Trust Fund Complex and divided among those funds. Independent Trustees are
also reimbursed by the investment companies in the First Trust Fund Complex for
travel and out-of-pocket expenses in connection with all meetings. The Trustees
adopted the revised plan because the increase in the number of funds in the
First Trust Fund Complex had the effect of rapidly increasing their compensation
under the previous arrangements. Prior to January 1, 2007, each fund paid each
Independent Trustee an annual retainer of $10,000, which included compensation
for all board and committee meetings.

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, 2007, were $77,228,455 and $79,326,850, respectively.

As of June 30, 2007, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $15,309,857
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $966,138.

Page 21

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (UNAUDITED)

5. COMMON SHARES

As of June 30, 2007, 5,905,236 of $0.01 par value Common Shares were issued and
outstanding. An unlimited number of Common Shares has been authorized for the
Fund's Dividend Reinvestment Plan.

COMMON SHARE TRANSACTIONS WERE AS FOLLOWS:

SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 2007 DECEMBER 31, 2006
---------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
------- ------ --------- ------------

Proceeds from shares sold ........................... -- $ -- 5,905,236 $112,790,008
Offering costs ...................................... -- -- (236,210)
------- ------ --------- ------------
-- $ -- 5,905,236 $112,553,798
======= ====== ========= ============

6. PREFERRED SHARES OF BENEFICIAL INTEREST

The Fund's Declaration of Trust authorizes the issuance of preferred shares of
beneficial interest (the "Preferred Shares"), with rights as determined by the
Board of Trustees without the approval of Common Shareholders. As of June 30,
2007, no Preferred Shares had been issued.

7. REVOLVING LOAN AGREEMENT

The Fund has entered into a revolving loan agreement among the Fund and certain
primary and secondary lenders, 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 $28,000,000. For the six months ended June 30, 2007, the average amount
outstanding was $8,861,878. The high and low annual interest rates during the
six months ended June 30, 2007, were 5.95% and 5.86%, respectively, and the
weighted average interest rate was 5.92%. The Fund also pays a commitment fee of
0.325% per year, which is included in "Interest and fees on outstanding loan
payable" on the Statement of Operations.

8. RISK CONSIDERATIONS

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.

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
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.

Page 22

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (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 PFPC
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 PFPC Inc., as 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 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 (800) 331-1710, in
accordance with such reasonable requirements as the Plan Agent and 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 PFPC 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 located at http://www.sec.gov.

Page 23

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ADDITIONAL INFORMATION - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("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 Macquarie/First
Trust Global Infrastructure/Utilities Dividend & Income Fund, Energy Income and
Growth Fund, First Trust/Fiduciary Asset Management Covered Call 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 Tax-Advantaged Preferred Income Fund and First
Trust/Aberdeen Emerging Opportunity Fund was held on April 16, 2007. At the
Annual Meeting, Trustee Keith was elected for a one-year term; Trustees Erickson
and Kadlec were elected for two-year terms; and Trustees Bowen and Nielson were
elected for three-year terms. The number of votes cast in favor of James A.
Bowen was 4,143,954, the number of votes withheld was 121,491 and the number of
abstentions was 1,639,791. The number of votes cast in favor of Niel B. Nielson
was 4,213,834, the number of votes withheld was 51,611 and the number of
abstentions was 1,639,791. The number of votes cast in favor of Richard E.
Erickson was 4,214,742, the number of votes withheld was 50,703 and the number
of abstentions was 1,639,791. The number of votes cast in favor of Thomas R.
Kadlec was 4,212,834, the number of votes withheld was 52,611 and the number of
abstentions was 1,639,791. The number of votes cast in favor of Robert F. Keith
was 4,213,834, the number of votes withheld was 51,611 and the number of
abstentions was 1,639,791.

NYSE CERTIFICATION INFORMATION

In accordance with Section 303A-12 of the New York Stock Exchange ("NYSE")
Listed Company Manual, the Fund's President has certified to the NYSE that, as
of May 10, 2007, he was not aware of any violation by the Fund of NYSE corporate
governance listing standards. In addition, the Fund's reports to the SEC on
Forms N-CSR and N-Q contain certifications by the Fund's principal executive
officer and principal financial officer that relate to the Fund's public
disclosure in such reports and are required by Rule 30a-2 under the 1940 Act.

BY-LAW AMENDMENTS

On December 11, 2006, the Board of Trustees of the Fund approved certain changes
to the By-Laws of the Fund that may have the effect of delaying or preventing a
change of control of the Fund, including the implementation of a staggered Board
of Trustees. These changes were not required to be, and were not, approved by
the Fund's Shareholders. To receive a copy of the revised By-Laws, investors may
call the Fund at (800) 988-5891.

The open-end and closed-end funds advised by First Trust Advisors L.P. (each a
"FUND") consider your privacy an important priority in maintaining our
relationship. We are committed to protecting the security and confidentiality of
your personal information.

SOURCES OF INFORMATION

We may collect nonpublic personal information about you from the following
sources:

o Information we receive from you or your broker-dealer, investment adviser
or financial representative through interviews, applications, agreements
or other forms;

o Information about your transactions with us, our affiliates or others;

o Information we receive from your inquiries by mail, e-mail or telephone;
and

o Information we collect on our website through the use of "cookies." For
example, we may identify the pages on our website that your browser
requests or visits.

Page 24

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ADDITIONAL INFORMATION - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
JUNE 30, 2007 (UNAUDITED)

INFORMATION COLLECTED

The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.

DISCLOSURE OF INFORMATION

We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. The permitted uses
include the disclosure of such information to unaffiliated companies for the
following reasons:

o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your personal
information as described above to unaffiliated financial service providers
and other companies that perform administrative or other services on our
behalf, such as transfer agents, custodians and trustees, or that assist
us in the distribution of investor materials such as trustees, banks,
financial representatives and printers.

o We may release information we have about you if you direct us to do so, if
we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund. Please note,
however, that the California Financial Information Privacy Act contains an "opt
out" mechanism that California consumers may use to prevent us from sharing
nonpublic personal information with affiliates.

CONFIDENTIALITY AND SECURITY

With regard to our internal security procedures, the Fund restricts access to
your nonpublic personal information to those individuals who need to know that
information to provide products or services to you. We maintain physical,
electronic and procedural safeguards to protect your nonpublic personal
information.

POLICY UPDATES AND INQUIRIES

As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time; however, if we do change
it, we will tell you promptly.

For questions about our policy, or for additional copies of this notice, please
contact us at (800) 621-1675.

Page 25

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. SCHEDULE OF INVESTMENTS.

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.

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

Date August 31, 2007
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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 August 31, 2007
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By (Signature and Title)* /s/ Mark R. Bradley
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Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)

Date August 31, 2007
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* Print the name and title of each signing officer under his or her signature.