Edgar Filing: FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21905
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First Trust/Aberdeen Emerging Opportunity Fund
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(Exact name of registrant as specified in charter)

120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)

registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: December 31
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Date of reporting period: December 31, 2011
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

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

ITEM 1. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

FIRST TRUST

ANNUAL REPORT
FOR THE YEAR ENDED
DECEMBER 31, 2011

FIRST TRUST/
ABERDEEN
EMERGING OPPORTUNITY
FUND

ABERDEEN
ASSET MANAGEMENT

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TABLE OF CONTENTS
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
ANNUAL REPORT
DECEMBER 31, 2011

Shareholder Letter........................................................... 1
At A Glance.................................................................. 2
Portfolio Commentary......................................................... 3
Portfolio of Investments..................................................... 7
Schedule of Forward Foreign Currency Contracts............................... 15
Statement of Assets and Liabilities.......................................... 16
Statement of Operations...................................................... 17
Statements of Changes in Net Assets.......................................... 18
Statement of Cash Flows...................................................... 19
Financial Highlights......................................................... 20
Notes to Financial Statements................................................ 21
Report of Independent Registered Public Accounting Firm...................... 28
Additional Information....................................................... 29
Trustees and Officers........................................................ 31
Privacy Policy............................................................... 33

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

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

PERFORMANCE AND RISK DISCLOSURE

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

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

HOW TO READ THIS REPORT

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

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

It is important to keep in mind that the opinions expressed by personnel of
Aberdeen are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The risks of investing in the Fund are
spelled out in the prospectus, the statement of additional information, this
report and other Fund regulatory filings.

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SHAREHOLDER LETTER
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FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2011

Dear Shareholders:

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

First Trust Advisors L.P. ("First Trust"), now in our 21st year, has always
believed that staying invested in quality products and having a long-term
horizon can help investors reach their financial goals. Like many successful
investors, we understand that success in the markets doesn't just happen--it
requires a long-term investment perspective through all kinds of markets.
Although the markets have been somewhat choppy over the past six months, the
equity market is well above the lows it sank to during the recent recession.

The report you hold contains detailed information about your investment; a
portfolio commentary from the Fund's management team that provides a recap of
the period; a performance analysis and a market and Fund outlook. Additionally,
you will find the Fund's financial statements for the period this report covers.
I encourage you to read this document and discuss it with your financial
advisor. A successful investor is also typically a knowledgeable one, as we have
found to be the case at First Trust.

First Trust remains committed to being a long-term investor and investment
manager and to bringing you quality investment solutions regardless of market
ups and downs. We offer a variety of products that could fit many financial
plans to help those investors seeking long-term investment success. You may want
to talk to your advisor about the other investments First Trust offers that
might also fit your financial goals.

First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals. I look forward to
2012 and to the next edition of your Fund's report.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees of First Trust/Aberdeen Emerging Opportunity
Fund and Chief Executive Officer of First Trust Advisors L.P.

Page 1

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
"AT A GLANCE"
AS OF DECEMBER 31, 2011 (UNAUDITED)

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FUND STATISTICS
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Symbol on New York Stock Exchange FEO
Common Share Price $17.82
Common Share Net Asset Value ("NAV") $20.30
Premium (Discount) to NAV (12.22)%
Net Assets Applicable to Common Shares $108,173,548
Current Quarterly Distribution per Common Share (1) $0.350
Current Annualized Distribution per Common Share $1.400
Current Distribution Rate on Closing Common Share Price (2) 7.86%
Current Distribution Rate on NAV (2) 6.90%
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COMMON SHARE PRICE & NAV (WEEKLY CLOSING PRICE)
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Common Share Price NAV
12/10 21.32 22.77
22.39 22.65
21.67 22.62
21.23 22.35
1/11 20.54 22.01
20.79 22.17
20.44 21.88
20.43 22.23
2/11 19.93 21.95
20.52 22.36
20.60 22.24
20.44 22.07
3/11 20.53 22.20
21.05 22.79
21.65 23.25
21.36 23.08
21.62 23.27
4/11 21.50 23.38
21.17 23.02
21.09 22.80
21.12 22.94
5/11 21.26 22.95
21.29 23.23
21.06 22.92
20.81 22.72
6/11 20.40 22.37
21.12 23.07
21.08 23.15
20.82 22.83
20.92 23.11
7/11 20.72 23.14
19.83 22.36
19.52 21.79
19.29 21.81
19.52 21.94
8/11 19.90 22.21
19.88 22.27
19.43 21.93
19.36 21.63
17.58 19.77
9/11 17.26 19.73
17.40 19.99
18.61 20.89
18.14 20.72
10/11 19.48 21.80
19.19 21.41
19.16 21.39
18.33 20.81
11/11 17.70 19.96
18.59 20.97
18.57 20.93
17.93 20.41
17.85 20.34
12/11 17.82 20.30

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PERFORMANCE
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Average Annual Total Return
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1 Year Ended 5 Years Ended Inception (08/28/2006)
12/31/2011 12/31/2011 to 12/31/2011

FUND PERFORMANCE (3)
NAV -4.18% 8.86% 10.17%
Market Value -10.17% 7.73% 6.59%

INDEX PERFORMANCE
Blended Benchmark(4) -5.19% 6.74% 8.57%
Barclays Capital Global Emerging Markets Index 5.77% 7.14% 7.70%
FTSE All World Emerging Market Index -18.96% 3.13% 6.47%
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% OF TOTAL
TOP 10 COUNTRIES(5) INVESTMENTS
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Brazil 14.5%
Mexico 10.2
South Africa 7.6
Turkey 5.0
Russia 4.8
Indonesia 4.6
Venezuela 4.5
China 4.3
India 4.2
Hungary 3.2
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Total 62.9%
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
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Republic of South Africa, 8.25%, 9/15/17 3.4%
Samsung Electronics Co., Ltd., Preference Shares 2.4
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 2.2
Mexican Bonos Desarr Fixed Rate Bond, 8.00%, 6/11/20 2.0
China Mobile Ltd. 1.9
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/17 1.9
Russian Foreign Bond, 7.85%, 3/10/18 1.7
Vale S.A., Preference Shares, ADR 1.7
Republic of Venezuela, 5.75%, 2/26/16 1.5
Banco Bradesco S.A., ADR 1.5
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Total 20.2%
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% OF TOTAL
CREDIT QUALITY(6) INVESTMENTS
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AA 3.2%
A 11.2
A- 7.5
BBB+ 8.2
BBB 15.4
BBB- 7.4
BB+ 9.6
BB 7.4
BB- 5.7
B+ 14.5
B 5.6
B- 1.0
NR 3.3
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Total 100.0%
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% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
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Government Bonds and Notes 39.0%
Commercial Banks 10.9
Oil, Gas & Consumable Fuels 9.2
Real Estate Management & Development 4.1
Semiconductors & Semiconductor Equipment 3.8
Wireless Telecommunication Services 3.0
Beverages 2.4
Metals & Mining 2.3
Automobiles 2.2
Electric Utilities 2.0
Food & Staples Retailing 1.8
Pharmaceuticals 1.8
Road & Rail 1.7
Diversified Financial Services 1.7
Household Durables 1.5
Construction Materials 1.5
Transportation Infrastructure 1.0
Energy Equipment & Services 1.0
Specialty Retail 1.0
Insurance 0.8
Food Products 0.8
Thrifts & Mortgage Finance 0.8
Tobacco 0.8
Household Products 0.7
Diversified Telecommunication Services 0.7
Multiline Retail 0.7
IT Services 0.6
Special Purpose Banks 0.6
Chemicals 0.5
Capital Markets 0.5
Consumer Finance 0.3
Construction & Engineering 0.3
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Total 100.0%
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(1) Most recent distribution paid or declared through 12/31/2011. Subject to
change in the future.

(2) Distribution rates are calculated by annualizing the most recent
distribution paid or declared through the report date and then dividing by
Common Share price or NAV, as applicable, as of 12/31/2011. Subject to
change in the future.

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

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

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

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

Page 2

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PORTFOLIO COMMENTARY
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SUB-ADVISOR

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

PORTFOLIO MANAGEMENT TEAM

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

EQUITY MANAGEMENT TEAM

DEVAN KALOO
HEAD OF EMERGING MARKET EQUITY FOR THE ABERDEEN GROUP

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

JOANNE IRVINE
HEAD OF GEM EQUITY TEAM EX-ASIA

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

MARK GORDON-JAMES
INVESTMENT MANAGER, GEM EQUITY TEAM

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

FIONA MANNING
INVESTMENT MANAGER, GEM EQUITY TEAM

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

ANDY BROWN
INVESTMENT MANAGER, GEM EQUITY TEAM

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

PETER TAYLOR
SENIOR INVESTMENT MANAGER/HEAD OF CORPORATE GOVERNANCE

Mr. Taylor is an investment manager and head of corporate governance on the
Asian equities desk. Mr. Taylor joined Aberdeen in 2007 from the International
Finance Corporation, where he worked on corporate governance and capital markets
development for seven years from their Washington DC and Hong Kong offices.

Page 3

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PORTFOLIO COMMENTARY - (CONTINUED)
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FIXED-INCOME MANAGEMENT TEAM

BRETT DIMENT
HEAD OF EMERGING MARKET DEBT

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

KEVIN DALY
PORTFOLIO MANAGER, EMERGING MARKET DEBT

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

EDWIN GUTIERREZ
PORTFOLIO MANAGER, EMERGING MARKET DEBT

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

MAX WOLMAN
PORTFOLIO MANAGER, EMERGING MARKET DEBT

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

ESTHER CHAN
PORTFOLIO MANAGER, EMERGING MARKET DEBT

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

COMMENTARY

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND

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

MARKET RECAP - EQUITY

After two years of double-digit gains, emerging market equities fell sharply in
2011 amid much turbulence. Concerns over global growth, fueled by Europe's debt
crisis, dominated market sentiment. By region, Emerging Markets Europe Middle
East Africa (EMEA) was the worst performer, followed by Latin America and
emerging Asia. EMEA suffered because of its proximity to the Eurozone and the
deteriorating economic outlook in that region; resource exporters in Latin
America failed to recover fully from the decline in commodity prices; while
emerging Asia was dragged down by concerns of a potential "hard landing" in
China.

MARKET RECAP - FIXED INCOME

Emerging market debt posted mixed results in 2011, as hard currency debt
outperformed local currency returns primarily through the underperformance of
emerging market currencies. For the twelve-month period ended December 31, 2011,
the JPMorgan Emerging Markets Bond Index-Global Diversified ("JPM EMBI") gained
7.35%, while its spread widened by 130 basis points ("bps") to 404 bps over U.S.
Treasuries. Local currency debt underperformed hard currency debt in 2011, as
weak currency performance detracted from strong local bond market gains, with
the JPMorgan Government Bond Index-Emerging Markets ("JPM GBI-EM") dropping
-3.00%.

Page 4

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PORTFOLIO COMMENTARY - (CONTINUED)
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Latin America was the key outperformer during 2011, spurred on by Uruguay, which
posted a gain of 20.6%, Ecuador with 19.4% and Venezuela with 18.0%. Ivory Coast
was the top African credit, gaining 14.7%, as political stability returned
following civil war and cocoa exports resumed. Georgia was the top performer in
the Eastern Europe, Middle East and Africa ("EEMEA") region, with a gain of just
under 14.3%, while the Philippines were the best performer in Asia with a gain
of 11.5%. Central and Eastern European countries underperformed, along with
high-beta credits such as Belize, Argentina, Egypt and Pakistan.

Peru was the top performer in local currency debt with a gain of 11.7%, while
the Philippines increased by 6.2%. Colombia and Brazil also outperformed with
gains of around 5.6% and 4.6%, respectively. Central and Eastern Europe again
underperformed, reflecting the ongoing stress within the Eurozone, with Turkey
falling 15.9% and Hungary down 12.7% over the year.

FUND RECAP

The Fund had a net asset value ("NAV") total return1 of -4.18% and a market
value total return1 of -10.17% for the twelve months ended December 31, 2011,
compared to the Fund's blended benchmark total return of -5.19% over the same
period. In addition to the benchmark, the Fund currently uses other indexes for
comparative purposes. The total returns for the twelve months ended December 31,
2011, for these indices were as follows: the Barclays Capital Global Emerging
Markets Index was 5.77% and the FTSE All World Emerging Market Index was
-18.96%.

PERFORMANCE ANALYSIS - EQUITY

The equity portion of the Fund outperformed the MSCI (Morgan Stanley Capital
International) Global Emerging Markets Index portion of the benchmark by 9.26
percentage points over the twelve-month period ended December 31, 2011. The
outperformance was driven mainly by good stock selection. Generally the Fund's
companies, with their experienced and capable management, as well as strong
balance sheets and robust businesses, held up well.

Among the key contributors at the stock level were Mexican bottler and
convenience store operator FEMSA, Indonesian conglomerate Astra International
and Brazilian tobacco company Souza Cruz; all three delivered healthy results.
Brazilian fuels and chemicals distributor Ultrapar also rallied as the company's
controlling shareholders agreed to grant all shareholders equal voting rights
and the business continued to perform well.

Conversely, the Fund's holding in Brazilian retailer Lojas Renner lagged on
worries that a slowing economy would translate into weaker sales, while the
Fund's Turkish holding Akbank was dragged down by the difficult operating
environment. Concerns over the credit quality of loans made to state governments
also weighed on the portfolio's Mexican bank stock Banorte.

Asset allocation was negative, dragged down by the overweight to Turkey and
India. Both countries struggled with stubborn inflation, current account
deficits and weaker currencies; India's situation was compounded by seeming
policy paralysis. The underweight to Korea was also negative as the market
proved relatively resilient. Performance there was led by some of its global
companies such as Hyundai Motors, which did well at the Japanese automakers'
expense. On a brighter note, losses were pared by the Fund's non-benchmark
position in Hong Kong and overweight to Thailand, which shrugged off concerns
over the severe flooding.

PERFORMANCE ANALYSIS - FIXED INCOME

The emerging markets debt portion of the Fund returned 1.44%. Hard currency
holdings returned 4.96% as they outperformed local currency, which returned
-2.42%.

Venezuela was the top performer during the period this report covers, as it
benefitted from high oil prices and the health fears of President Chavez, which
increase the prospects of a change of government after elections in 2012. Other
outperformers were overweight positions in Indonesia and Brazil local rates and
an underweight position in Poland local debt. In hard currency space, high-beta
credits Ivory Coast and Argentina were other positive contributors to
performance during the year.

A position in BTA Bank, a Kazakh entity, was the key underperformer over the
period, as it flirted with default. An overweight position in Mexican hard
currency and the poor performance of the South African rand were other
detractors during the year.

There were a number of changes to the Fund's portfolio during the twelve-month
period. In Latin America, the Fund's exposure to Argentina and Mexico hard
currency exposure was increased, while it maintained its significant overweights
in Brazil and Venezuela. The Fund also initiated a position in Argentine local
bonds before selling out at the end of the year, while also increasing the
Fund's Peru local exposure over the period. In EMEA, the Fund participated in
the inaugural issues of Namibia and Senegal, while also involved in Serbia's
first Eurobond since 2005. The portfolio's central European exposure in Hungary,
Poland and Turkey was reduced on contagion fears from the Eurozone crisis. In
Asia, the Fund initiated positions in Pakistan, Sri Lanka and Vietnam, while the
Fund's Indonesia exposure was reduced. The Fund continued to invest in selective
hard currency corporate bonds across all regions, which added to performance,
given their higher yield than sovereigns.

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

Page 5

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PORTFOLIO COMMENTARY - (CONTINUED)
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MARKET OUTLOOK - EQUITY

In our opinion, a difficult year lies ahead as the fundamental problems that
have beset the global economy and equity markets still prevail. Europe's debt
crisis remains unresolved, while the region's austerity measures will have
consequences on global growth, as will the deleveraging in the U.S., despite
tentative signs of economic recovery. Further complicating the picture are
Europe's banks, which may roll back the credit extended - not least to Eastern
Europe - when faced with a capital shortage. Developing economies will not be
immune as slowing global growth would dampen demand for exports and commodities.
There are also concerns over a potential hard landing in China and stubborn
inflation in countries such as India and Turkey. Political events may fuel
uncertainty with key elections in India's major states, Mexico, Russia and the
U.S., as well as the leadership handover in China, all slated for 2012.

Despite these challenges, emerging markets' long-term prospects remain intact,
in our opinion. Most developing countries are fiscally sound, which will enable
them to implement stimulus if the external environment deteriorates further.
Corporate and household balance sheets are healthy and the potential for
increasing demand from a growing middle class is also positive. Against such a
backdrop, the Fund intends to stay focused on the strategy of investing in
companies with competitive business models, sound finances and proven
management. Such qualities, we believe, should help the Fund's holdings weather
future headwinds.

MARKET OUTLOOK - FIXED INCOME

We believe that risk appetite will remain muted heading into 2012, with the
focus still on Europe. While policymakers in the Eurozone, in particular,
continue to stress fiscal austerity at the risk of growth, bonds yields in Italy
and Spain will remain elevated, in our opinion, which in turn will feed into the
negative headlines that weighed on risk assets in the latter part of 2011.
Having said that, unlimited European Central Bank support for the European
banking sector does provide some scope for optimism. In addition, there are two
other key drivers that could prompt renewed support for risk assets: the U.S.
macro outlook, with recent data releases surprising on the upside; and China,
with easing inflation pressures providing the scope for further rate cuts, which
we believe will reduce concerns of a sharp slowdown in growth.

Page 6

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b)
DECEMBER 31, 2011

SHARES DESCRIPTION VALUE
----------- -------------------------------------------------------------------------------------------- ------------
COMMON STOCKS - 44.5%

BRAZIL - 8.2%

100,924 Banco Bradesco S.A., ADR.................................................................... $ 1,683,412
28,000 Lojas Renner S.A............................................................................ 726,702
33,000 Multiplan Empreendimentos Imobiliarios S.A.................................................. 677,073
66,000 Petroleo Brasileiro S.A., ADR............................................................... 1,550,340
69,287 Souza Cruz S.A.............................................................................. 851,020
84,000 Ultrapar Participacoes S.A.................................................................. 1,441,544
92,100 Vale S.A., Preference Shares, ADR........................................................... 1,897,260
------------
8,827,351
------------
CHILE - 0.9%
12,600 Banco Santander Chile S.A., ADR............................................................. 953,820
------------
CHINA - 3.2%
216,500 China Mobile Ltd............................................................................ 2,115,764
1,070,000 PetroChina Co., Ltd., Class H............................................................... 1,332,225
------------
3,447,989
------------
HONG KONG - 3.1%
229,600 Aia Group Ltd............................................................................... 716,888
202,000 Hang Lung Group Ltd......................................................................... 1,106,671
640,000 Swire Pacific Ltd., B Shares................................................................ 1,504,694
------------
3,328,253
------------
HUNGARY - 0.7%
5,500 Richter Gedeon Nyrt......................................................................... 772,484
------------
INDIA - 4.3%
32,000 Bharti Airtel Ltd........................................................................... 206,986
20,000 GlaxoSmithKline Pharmaceuticals Ltd......................................................... 732,568
13,000 Grasim Industries Ltd....................................................................... 609,241
23,000 Hero Honda Motors Ltd....................................................................... 825,128
42,000 Hindustan Unilever Ltd...................................................................... 322,207
70,500 Housing Development Finance Corp., Ltd...................................................... 865,635
20,000 ICICI Bank Ltd.............................................................................. 257,848
13,000 Infosys Technologies Ltd.................................................................... 677,515
7,428 UltraTech Cement Ltd........................................................................ 163,163
------------
4,660,291
------------
INDONESIA - 1.5%
195,500 PT Astra International Tbk.................................................................. 1,595,478
------------
ITALY - 1.0%
30,600 Tenaris S.A., ADR........................................................................... 1,137,708
------------
KAZAKHSTAN - 0.0%
376 BTA Bank JSC................................................................................ 1
------------
MALAYSIA - 1.4%
220,000 CIMB Group Holdings Berhad.................................................................. 516,341
249,000 Public Bank Berhad.......................................................................... 1,036,845
------------
1,553,186
------------

See Notes to Financial Statements Page 7

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

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

MEXICO - 3.4%

21,900 Fomento Economico Mexicano, S.A.B. de C.V., ADR............................................. $ 1,526,649
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR................................... 501,200
380,000 Grupo Financiero Banorte, S.A.B. de C.V., O Shares.......................................... 1,150,508
92,000 Kimberly-Clark de Mexico, S.A.B. de C.V., A Shares.......................................... 500,391
------------
3,678,748
------------
PHILIPPINES - 1.3%
1,550,000 Ayala Land, Inc............................................................................. 535,811
664,672 Bank of the Philippine Islands.............................................................. 836,619
------------
1,372,430
------------
POLAND - 0.7%
18,000 Bank Pekao S.A.............................................................................. 736,525
------------
RUSSIA - 1.2%
25,500 LUKOIL, ADR................................................................................. 1,356,600
------------
SOUTH AFRICA - 2.5%
43,610 Massmart Holdings Ltd....................................................................... 913,036
18,665 SABMiller PLC............................................................................... 654,548
119,729 Truworths International Ltd................................................................. 1,095,315
------------
2,662,899
------------
SOUTH KOREA - 3.1%
27,008 BS Financial Group, Inc..................................................................... 259,061
1,256 E-Mart Co., Ltd............................................................................. 304,188
4,600 Samsung Electronics Co., Ltd., Preference Shares............................................ 2,663,368
443 Shinsegae Co., Ltd.......................................................................... 94,214
------------
3,320,831
------------
TAIWAN - 2.1%
210,005 Taiwan Mobile Co., Ltd...................................................................... 654,727
643,953 Taiwan Semiconductor Manufacturing Co., Ltd................................................. 1,612,062
------------
2,266,789
------------
THAILAND - 2.9%
250,000 PTT Exploration and Production Public Co., Ltd.............................................. 1,335,182
107,000 Siam Cement Public (The) Co., Ltd........................................................... 1,241,268
160,600 Siam Commercial Bank Public Co., Ltd........................................................ 593,024
------------
3,169,474
------------
TURKEY - 2.0%
87,635 Akbank TAS.................................................................................. 278,580
253,000 Aksigorta AS................................................................................ 217,764
27,220 Bim Birlesik Magazalar A.S.................................................................. 754,614
181,150 Haci Omer Sabanci Holding AS................................................................ 516,546
124,000 Turkiye Garanti Bankasi AS.................................................................. 386,323
------------
2,153,827
------------
UNITED KINGDOM - 1.0%
51,408 Standard Chartered PLC...................................................................... 1,124,889
------------
TOTAL COMMON STOCKS......................................................................... 48,119,573
(Cost $36,926,218) ------------

Page 8 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ------------------------------------------------------------ ---------- -------------- ------------
FOREIGN SOVEREIGN BONDS AND NOTES - 42.2%

ARGENTINA - 1.4%

470,000 Republic of Argentina (USD)................................. 7.00% 09/12/13 $ 461,156
1,250,000 Republic of Argentina (USD)................................. 7.00% 04/17/17 1,050,581
------------
1,511,737
------------
BRAZIL - 4.6%
730,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/13 391,267
4,070,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/17 2,097,722
4,910,000 Brazil Notas do Tesouro Nacional Series F (BRL)............. 10.00% 01/01/21 2,453,094
------------
4,942,083
------------
CROATIA - 0.5%
500,000 Croatia Government International Bond (USD)................. 6.75% 11/05/19 475,706
100,000 Croatia Government International Bond (USD)................. 6.63% 07/14/20 93,750
------------
569,456
------------
DOMINICAN REPUBLIC - 0.9%
450,000 Dominican Republic (USD).................................... 7.50% 05/06/21 444,375
528,000 Dominican Republic (USD).................................... 8.63% 04/20/27 543,840
------------
988,215
------------
EL SALVADOR - 0.9%
400,000 Republic of El Salvador (USD)............................... 7.65% 06/15/35 412,000
520,000 Republic of El Salvador (USD)............................... 7.63% 02/01/41 530,400
------------
942,400
------------
HUNGARY - 2.6%
227,370,000 Hungary Government Bond (HUF)............................... 6.00% 10/24/12 918,363
87,000,000 Hungary Government Bond (HUF)............................... 5.50% 02/12/16 312,558
85,000,000 Hungary Government Bond (HUF)............................... 6.50% 06/24/19 288,598
195,000,000 Hungary Government Bond (HUF)............................... 7.00% 06/24/22 664,066
550,000 Republic of Hungary (EUR)................................... 4.50% 01/29/14 650,404
------------
2,833,989
------------
INDONESIA - 2.3%
9,600,000,000 Indonesian Government Bond (IDR)............................ 10.00% 07/15/17 1,278,577
8,000,000,000 Indonesian Government Bond (IDR)............................ 10.50% 08/15/30 1,191,592
------------
2,470,169
------------
IVORY COAST - 1.3%
2,780,000 Ivory Coast Government Bond (USD)........................... 2.50% 12/31/32 1,403,900
------------
LITHUANIA - 1.2%
1,140,000 Republic of Lithuania (USD)................................. 7.38% 02/11/20 1,236,900
------------
MALAYSIA - 1.2%
2,500,000 Malaysia Government Bond (MYR).............................. 3.21% 05/31/13 791,877
1,700,000 Malaysia Government Bond (MYR).............................. 4.01% 09/15/17 552,986
------------
1,344,863
------------

See Notes to Financial Statements Page 9

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

MEXICO - 4.3%

16,500,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 9.50% 12/18/14 $ 1,324,521
28,100,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 8.00% 06/11/20 2,242,251
12,800,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 7.50% 06/03/27 950,441
1,840,000 Mexican Bonos Desarr Fixed Rate Bond (MXN).................. 10.00% 11/20/36 163,706
------------
4,680,919
------------
PAKISTAN - 0.6%
900,000 Islamic Republic of Pakistan (USD).......................... 6.88% 06/01/17 661,500
------------
PERU - 1.1%
2,900,000 Peruvian Government Bond (PEN).............................. 7.84% 08/12/20 1,228,937
------------
QATAR - 1.3%
1,290,000 State of Qatar (USD)........................................ 5.25% 01/20/20 1,422,225
------------
RUSSIA - 1.8%
60,000,000 Russian Foreign Bond (RUB).................................. 7.85% 03/10/18 1,900,385
------------
SENEGAL - 0.4%
450,000 Republic of Senegal (USD)................................... 8.75% 05/13/21 447,750
------------
SERBIA - 1.4%
900,000 Republic of Serbia (USD).................................... 7.25% 09/28/21 882,132
61,000,000 Serbia Treasury Bill (RSD).................................. (c) 12/13/12 658,499
------------
1,540,631
------------
SOUTH AFRICA - 5.4%
520,000 Eskom Holdings Ltd. (USD)................................... 5.75% 01/26/21 531,700
29,850,000 Republic of South Africa (ZAR).............................. 8.25% 09/15/17 3,849,600
9,870,000 Republic of South Africa (ZAR).............................. 10.50% 12/21/26 1,431,384
------------
5,812,684
------------
SRI LANKA - 0.3%
350,000 Republic of Sri Lanka (USD)................................. 6.25% 07/27/21 345,490
------------
TURKEY - 2.7%
80,000 Republic of Turkey (USD).................................... 7.25% 03/05/38 87,800
360,000 Republic of Turkey (USD).................................... 6.75% 05/30/40 372,600
1,300,000 Turkey Government Bond (TRY)................................ 16.00% 03/07/12 693,677
1,470,000 Turkey Government Bond (TRY)................................ 16.00% 08/28/13 838,337
1,700,000 Turkey Government Bond (TRY)................................ 10.50% 01/15/20 927,313
------------
2,919,727
------------
UKRAINE - 0.1%
80,000 Ukraine Government Bond (USD)............................... 6.58% 11/21/16 70,400
------------
UNITED ARAB EMIRATES - 0.7%
700,000 Dubai Government International Bond (USD)................... 7.75% 10/05/20 736,750
------------
URUGUAY - 1.3%
13,200,000 Republica Orient Uruguay, Inflation Adjusted Bond
(UYU) (d)................................................ 5.00% 09/14/18 1,068,269
4,600,000 Republica Orient Uruguay, Inflation Adjusted Bond
(UYU) (d)................................................ 4.25% 04/05/27 339,432
------------
1,407,701
------------

Page 10 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

VENEZUELA - 3.4%

300,000 Republic of Venezuela (USD)................................. 8.50% 10/08/14 $ 280,875
2,150,000 Republic of Venezuela (USD)................................. 5.75% 02/26/16 1,693,125
600,000 Republic of Venezuela (USD)................................. 7.75% 10/13/19 432,000
1,100,000 Republic of Venezuela (USD)................................. 7.65% 04/21/25 687,500
700,000 Republic of Venezuela (USD)................................. 11.95% 08/05/31 575,610
------------
3,669,110
------------
VIETNAM - 0.5%
500,000 Socialist Republic of Vietnam (USD)......................... 6.88% 01/15/16 518,750
------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES................................................. 45,606,671
(Cost $47,342,158) ------------

FOREIGN CORPORATE BONDS AND NOTES (e) - 16.9%

BRAZIL - 2.3%
200,000 Centrais Eletricas Brasileiras S.A. (USD)................... 5.75% 10/27/21 209,026
550,000 Hypermarcas S.A. (USD)...................................... 6.50% 04/20/21 493,625
350,000 Odebrecht Finance Ltd. (USD)................................ 7.50% 09/14/15 343,875
550,000 OGX Petroleo e Gas Participacoes S.A. (USD)................. 8.50% 06/01/18 544,500
100,000 Petrobras International Finance Co. (USD)................... 5.38% 01/27/21 105,560
230,000 Rearden G Holdings Eins GmbH (USD).......................... 7.88% 03/30/20 230,000
600,000 Virgolino de Oliveira Finance Ltd. (USD).................... 10.50% 01/28/18 586,500
------------
2,513,086
------------
CHINA - 1.3%
180,000 China Oriental Group Co. Ltd. (USD)......................... 8.00% 08/18/15 155,475
400,000 China Overseas Finance Cayman II Ltd. (USD)................. 5.50% 11/10/20 376,488
500,000 MCC Holding (Hong Kong) Corp. Ltd. (USD).................... 4.88% 07/29/16 491,925
500,000 Yanlord Land Group Ltd. (USD)............................... 10.63% 03/29/18 390,000
------------
1,413,888
------------
COLOMBIA - 0.6%
600,000 TGI International Ltd. (USD)................................ 9.50% 10/03/17 645,750
------------
DOMINICAN REPUBLIC - 0.8%
350,000 AES Andres Dominicana/Itabo Dominicana (USD)................ 9.50% 11/12/20 350,000
505,000 Cerveceria Nacional Dominicana (USD)........................ 16.00% 03/27/12 472,175
------------
822,175
------------
EL SALVADOR - 0.4%
450,000 Telemovil Finance Co., Ltd. (USD)........................... 8.00% 10/01/17 465,750
------------
GUATEMALA - 0.4%
400,000 Industrial Subordinated Trust (USD)......................... 8.25% 07/27/21 410,804
------------
INDONESIA - 1.0%
810,000 Majapahit Holding B.V. (USD)................................ 7.75% 10/17/16 912,263
150,000 PT Adaro Indonesia (USD).................................... 7.63% 10/22/19 164,445
------------
1,076,708
------------

See Notes to Financial Statements Page 11

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

KAZAKHSTAN - 0.3%

10 BTA Bank JSC (USD) (f)...................................... 10.75% 07/01/18 $ 2
350,000 Zhaikmunai L.L.P. (USD)..................................... 10.50% 10/19/15 339,500
------------
339,502
------------
MEXICO - 2.9%
450,000 Axtel S.A.B. de C.V. (USD).................................. 9.00% 09/22/19 346,500
275,000 Corp. Geo S.A. de C.V. (USD)................................ 8.88% 09/25/14 270,875
884,000 Desarrolladora Homex S.A. (USD)............................. 9.50% 12/11/19 868,530
645,125 GEO Maquinaria S.A. de C.V. (USD)........................... 9.63% 05/02/21 599,966
400,000 Petroleos Mexicanos (USD)................................... 6.50% 06/02/41 452,000
457,000 Servicios Corporativos Javer Sapi de C.V. (USD)............. 9.88% 04/06/21 420,440
125,000 Urbi Desarrollos Urbanos Sab de C.V. (USD).................. 9.50% 01/21/20 127,500
------------
3,085,811
------------
MULTINATIONAL - 0.6%
700,000 African Export-Import Bank (USD)............................ 5.75% 07/27/16 675,500
------------
NIGERIA - 0.3%
350,000 GTB Finance B.V. (USD)...................................... 7.50% 05/19/16 343,875
------------
PERU - 0.6%
650,000 Banco de Credito del Peru (USD)............................. 4.75% 03/16/16 654,875
------------
PHILIPPINES - 0.2%
250,000 Alliance Global Group, Inc. (USD)........................... 6.50% 08/18/17 257,253
------------
RUSSIA - 1.9%
450,000 Alfa Bank (USD)............................................. 7.88% 09/25/17 429,750
200,000 Alfa Bank OJSC Via Alfa Bond Issuance PLC (USD)............. 7.75% 04/28/21 177,000
350,000 Home Credit & Finance Bank via Eurasia Capital S.A. (USD)... 7.00% 03/18/14 347,627
300,000 LUKOIL International Finance B.V. (USD)..................... 7.25% 11/05/19 311,250
400,000 Vimpelcom Ltd. (USD)........................................ 6.49% 02/02/16 378,500
450,000 VTB Bank OJSC Via VTB Capital S.A. (USD).................... 6.55% 10/13/20 423,675
------------
2,067,802
------------
TURKEY - 0.4%
500,000 Yasar Holdings (USD)........................................ 9.63% 10/07/15 489,375
------------
UKRAINE - 0.3%
350,000 MHP S.A. (USD).............................................. 10.25% 04/29/15 311,500
------------
UNITED ARAB EMIRATES - 1.3%
750,000 Dubai Electricity & Water Authority (USD)................... 7.38% 10/21/20 772,500
600,000 IPIC GMTN Ltd. (USD)........................................ 5.50% 03/01/22 603,000
------------
1,375,500
------------

Page 12 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

VENEZUELA - 1.3%

1,800,000 Petroleos de Venezuela S.A. (USD)........................... 8.50% 11/02/17 $ 1,361,700
------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES................................................. 18,310,854
(Cost $18,792,030) ------------

TOTAL INVESTMENTS - 103.6%.............................................................. 112,037,098
(Cost $103,060,406) (g)

OUTSTANDING LOAN - (5.4%)............................................................... (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 1.8%................................................. 1,936,450
------------
NET ASSETS - 100.0%..................................................................... $108,173,548
============

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

(b) All of these securities are available to serve as collateral for the
outstanding loan.

(d) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.

(e) Portfolio securities are included in a country based upon their underlying
credit exposure as determined by Aberdeen Asset Management Inc., the
Fund's sub-advisor.

(f) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date. The interest rate shown reflects the rate in effect at
December 31, 2011.

(g) Aggregate cost for federal income tax purposes is $103,296,560. As of
December 31, 2011, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$14,706,276 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$5,965,738.

ADR American Depositary Receipt

Currency Abbreviations
BRL Brazilian Real
EUR EURO DOLLAR
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian New Sol
RSD Serbian Dinar
RUB Russian Ruble
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso
ZAR South African Rand

See Notes to Financial Statements Page 13

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
DECEMBER 31, 2011

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of December 31,
2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
12/31/2011 PRICES INPUTS INPUTS
------------ ------------ -------------- ------------

Common Stocks*.................................. $ 48,119,573 $ 48,119,573 $ -- $ --
Foreign Sovereign Bonds and Notes*.............. 45,606,671 -- 45,606,671 --
Foreign Corporate Bonds and Notes*.............. 18,310,854 -- 18,310,854 --
------------ ------------ -------------- ------------
Total Investments............................... 112,037,098 48,119,573 63,917,525 --
Forward Foreign Currency Contracts**............ 219,916 -- 219,916 --
------------ ------------ -------------- ------------
Total........................................... $112,257,014 $ 48,119,573 $ 64,137,441 $ --
============ ============ ============== ============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
12/31/2011 PRICES INPUTS INPUTS
------------ ------------ -------------- ------------
Forward Foreign Currency Contracts**............ $ (19,484) $ -- $ (19,484) $ --
============ ============ ============== ============

* SEE THE PORTFOLIO OF INVESTMENTS FOR COUNTRY BREAKOUT. ** SEE THE SCHEDULE OF
FORWARD FOREIGN CURRENCY CONTRACTS FOR CONTRACT AND CURRENCY DETAIL.

Page 14 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
DECEMBER 31, 2011

FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------
PURCHASE SALE
VALUE AS OF VALUE AS OF UNREALIZED
SETTLEMENT AMOUNT AMOUNT DECEMBER 31, DECEMBER 31, APPRECIATION
DATE COUNTERPARTY PURCHASED (a) SOLD (a) 2011 2011 (DEPRECIATION)
------------ ------------ --------------------- ------------------- ---------------- ---------------- -------------

03/02/12 JPM USD 2,033,952 BRL 3,834,000 $ 2,033,952 $ 2,026,828 $ 7,124
01/20/12 JPM USD 656,431 EUR 490,000 656,431 634,272 22,159
01/20/12 JPM USD 1,322,085 HUF 285,187,000 1,322,085 1,169,182 152,903
03/02/12 JPM USD 718,387 IDR 6,734,876,000 718,387 737,871 (19,484)
01/20/12 JPM USD 186,438 MXN 2,491,000 186,438 178,166 8,272
01/20/12 JPM USD 578,315 TRY 1,087,000 578,315 571,007 7,308
01/20/12 JPM USD 1,685,862 ZAR 13,481,000 1,685,862 1,663,712 22,150
-------------
Net unrealized appreciation (depreciation)................................................................ $ 200,432
=============

(a) Please see page 13 for currency descriptions.

Counterparty Abbreviations:
JPM JPMorgan Chase

See Notes to Financial Statements Page 15

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2011

ASSETS:

Investments, at value
(Cost $103,060,406)........................................................................ $112,037,098
Foreign currency (Cost $746,205)............................................................... 738,972
Unrealized appreciation on forward foreign currency contracts.................................. 219,916
Prepaid expenses............................................................................... 3,427
Receivables:
Interest.................................................................................... 1,441,834
Investment securities sold.................................................................. 73,294
Dividends................................................................................... 50,288
------------
Total Assets............................................................................. 114,564,829
------------

LIABILITIES:
Outstanding loan............................................................................... 5,800,000
Unrealized depreciation on forward foreign currency contracts.................................. 19,484
Payables:
Deferred Thailand capital gains tax......................................................... 192,824
Investment advisory fees.................................................................... 98,005
Custodian fees.............................................................................. 74,895
Investment securities purchased............................................................. 59,917
Due to custodian............................................................................ 58,385
Audit and tax fees.......................................................................... 52,830
Printing fees............................................................................... 12,970
Administrative fees......................................................................... 8,477
Transfer agent fees......................................................................... 3,122
Legal fees.................................................................................. 3,086
Interest and fees on loan................................................................... 2,050
Financial reporting fees.................................................................... 771
Other liabilities.............................................................................. 4,465
------------
Total Liabilities........................................................................ 6,391,281
------------
NET ASSETS..................................................................................... $108,173,548
============
NET ASSETS consist of:
Paid-in capital................................................................................ $ 97,511,411
Par value...................................................................................... 53,278
Accumulated net investment income (loss)....................................................... 988,618
Accumulated net realized gain (loss) on investments, forward foreign currency contracts
and foreign currency transactions........................................................... 690,730
Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts
and foreign currency translation............................................................ 8,929,511
------------
NET ASSETS..................................................................................... $108,173,548
============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)........................... $ 20.30
============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized).... 5,327,785
============

Page 16 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2011

INVESTMENT INCOME:

Interest (net of foreign withholding tax of $16,304)........................................... $ 5,654,672
Dividends (net of foreign withholding tax of $151,416)......................................... 1,541,322
Other.......................................................................................... 16,743
------------
Total investment income..................................................................... 7,212,737
------------

EXPENSES:
Investment advisory fees....................................................................... 1,230,955
Custodian fees................................................................................. 231,590
Administrative fees............................................................................ 106,941
Interest and fees on loan...................................................................... 86,538
Audit and tax fees............................................................................. 54,160
Legal fees..................................................................................... 42,220
Trustees' fees and expenses.................................................................... 38,918
Transfer agent fees............................................................................ 37,803
Printing fees.................................................................................. 34,572
Financial reporting fees....................................................................... 9,250
Other.......................................................................................... 99,426
------------
Total expenses.............................................................................. 1,972,373
------------
NET INVESTMENT INCOME (LOSS)................................................................... 5,240,364
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................................................. 4,445,702
Forward foreign currency contracts.......................................................... (20,589)
Foreign currency transactions............................................................... (68,737)
------------
Net realized gain (loss)....................................................................... 4,356,376
------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................................................. (15,556,358)
Forward foreign currency contracts.......................................................... 332,061
Foreign currency translation................................................................ (91,047)
Net change in deferred Thailand capital gains tax.............................................. 12,684
------------
Net change in unrealized appreciation (depreciation)........................................... (15,302,660)
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................ (10,946,284)
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................ $ (5,705,920)
============

See Notes to Financial Statements Page 17

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

YEAR YEAR
ENDED ENDED
12/31/2011 12/31/2010
------------- -------------
OPERATIONS:

Net investment income (loss)....................................................... $ 5,240,364 $ 5,143,399
Net realized gain (loss)........................................................... 4,356,376 8,173,830
Net change in unrealized appreciation (depreciation)............................... (15,302,660) 10,051,108
------------- -------------

Net increase (decrease) in net assets resulting from operations.................... (5,705,920) 23,368,337
------------- -------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. (3,929,384) (4,403,686)
Net realized gain.................................................................. (3,529,515) (3,055,213)
Return of capital.................................................................. -- --
------------- -------------
Total distributions to shareholders................................................ (7,458,899) (7,458,899)
------------- -------------

CAPITAL TRANSACTIONS:
Proceeds from Common Shares reinvested............................................. -- --
Repurchase of Common Shares........................................................ -- (1,287,590)
------------- -------------
Net increase (decrease) in net assets resulting from capital transactions.......... -- (1,287,590)
------------- -------------
Total increase (decrease) in net assets............................................ (13,164,819) 14,621,848

NET ASSETS:
Beginning of period................................................................ 121,338,367 106,716,519
------------- -------------
End of period...................................................................... $ 108,173,548 $ 121,338,367
============= =============
Accumulated net investment income (loss) at end of period.......................... $ 988,618 $ (423,895)
============= =============

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

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

Page 18 See Notes to Financial Statements

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED DECEMBER 31, 2011

CASH FLOWS FROM OPERATING ACTIVITIES:

Net increase (decrease) in net assets resulting from operations ................ $ (5,705,920)
Adjustments to reconcile net increase (decrease) in net assets resulting from
operations to net cash provided by operating activities:
Purchases of investments.................................................. (60,667,291)
Sales, maturities and paydowns of investments............................. 62,986,123
Net amortization/accretion of premiums/discounts on investments........... (406,525)
Net realized gain/loss on investments..................................... (4,445,702)
Net change in unrealized appreciation/depreciation on forward foreign
currency contracts..................................................... (332,061)
Net change in unrealized appreciation/depreciation on investments......... 15,556,358
CHANGES IN ASSETS AND LIABILITIES:
Decrease in interest receivable........................................... 86,326
Increase in dividends receivable.......................................... (8,883)
Decrease in prepaid expenses.............................................. 2,197
Increase in due to custodian.............................................. 58,385
Decrease in interest and fees on loan payable............................. (1,676)
Decrease in investment advisory fees payable.............................. (9,564)
Decrease in audit and tax fees payable.................................... (1,410)
Decrease in legal fees payable............................................ (2,536)
Decrease in printing fees payable......................................... (10,525)
Decrease in administrative fees payable................................... (1,680)
Increase in custodian fees payable........................................ 43,069
Increase in transfer agent fees payable................................... 558
Decrease in Trustees' fees and expenses payable........................... (34)
Increase in financial reporting fees payable.............................. 771
Decrease in deferred Thailand capital gains tax........................... (12,684)
Decrease in other liabilities............................................. (2,203)
-------------
CASH PROVIDED BY OPERATING ACTIVITIES........................................... $ 7,125,093
-------------

CASH FLOWS FROM FINANCING ACTIVITIES:
Distributions to Common Shareholders from net realized gain............... (3,529,515)
Distributions to Common Shareholders from net investment income........... (3,929,384)
-------------
CASH USED IN FINANCING ACTIVITIES............................................... (7,458,899)
-------------
Decrease in cash (a)............................................................ (333,806)
Cash at beginning of period..................................................... 1,072,778
-------------
CASH AND FOREIGN CURRENCY AT END OF PERIOD...................................... $ 738,972
=============

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest and fees............................... $ 88,214
=============

(a) Includes net change in unrealized appreciation/depreciation on foreign
currency of $(37,764).

See Notes to Financial Statements Page 19

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

YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/2011 12/31/2010 12/31/2009 12/31/2008 12/31/2007
------------- ------------- ------------- ------------- ------------

Net asset value, beginning of period......... $ 22.77 $ 19.76 $ 12.87 $ 21.69 $ 20.58
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................. 0.98 0.97 1.01 1.09 (a) 0.92
Net realized and unrealized gain (loss)...... (2.05) 3.41 7.16 (8.37) 2.00
---------- ---------- ---------- ---------- ----------
Total from investment operations............. (1.07) 4.38 8.17 (7.28) 2.92
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income........................ (0.74) (0.83) (0.81) (1.08) (0.79)
Net realized gain............................ (0.66) (0.57) -- (0.10) (1.02)
Return of capital............................ -- -- (0.63) (0.38) --
---------- ---------- ---------- ---------- ----------
Total from distributions..................... (1.40) (1.40) (1.44) (1.56) (1.81)
---------- ---------- ---------- ---------- ----------
Capital share repurchases.................... -- 0.03 0.16 0.02 --
---------- ---------- ---------- ---------- ----------
Net asset value, end of period............... $ 20.30 $ 22.77 $ 19.76 $ 12.87 $ 21.69
========== ========== ========== ========== ==========
Market value, end of period.................. $ 17.82 $ 21.32 $ 18.04 $ 10.25 $ 19.50
========== ========== ========== ========== ==========
TOTAL RETURN BASED ON NET ASSET VALUE (b) ... (4.18)% 23.29% 69.25% (33.94)% 15.74%
========== ========== ========== ========== ==========
TOTAL RETURN BASED ON MARKET VALUE (b)....... (10.17)% 26.45% 94.01% (41.48)% 12.53%
========== ========== ========== ========== ==========

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

RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)......... $ 108,174 $ 121,338 $ 106,717 $ 75,365 $ 128,112
Ratio of total expenses to average net
assets.................................... 1.68% 1.76% 2.11% 2.00% 2.04%
Ratio of total expenses to average net assets
excluding interest expense................ 1.61% 1.62% 1.80% 1.60% 1.58%
Ratio of net investment income (loss) to
average net assets........................ 4.47% 4.55% 6.11% 5.73% 4.31%
Portfolio turnover rate...................... 51% 87% 66% 64% 95%
INDEBTEDNESS:
Total loan outstanding (in 000's)............ $ 5,800 $ 5,800 $ 5,800 $ 13,500 $ 8,000
Asset coverage per $1,000 of indebtedness (c) $ 19,651 $ 21,920 $ 19,399 $ 6,583 $ 17,014

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

(a) Based on average shares outstanding.

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

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

Page 20 See Notes to Financial Statements

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

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 total asset value of the
Fund minus the sum of the Fund's liabilities other than the principal amount of
borrowings, if any. There can be no assurance that the Fund will achieve its
investment objective.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Fund's Common Shares is determined daily as
of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on
each day the NYSE is open for trading. If the NYSE closes early on a valuation
day, the NAV is determined as of that time. Domestic debt securities and foreign
securities are priced using data reflecting the earlier closing of the principal
markets for those securities. The NAV per Common Share is calculated by dividing
the value of all assets of the Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses, dividends declared but unpaid
and any borrowings of the Fund), by the total number of Common Shares
outstanding.

The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees, and in accordance with provisions of
the 1940 Act. All securities and other assets of the Fund initially expressed in
foreign currencies will be converted to U.S. dollars using exchange rates in
effect at the time of valuation. All market quotations used in valuing the
Fund's securities will be obtained from a third party pricing service. The
Fund's securities will be valued as follows:

Bond, notes and other debt securities not traded in an organized market
are valued on the basis of valuations provided by dealers who make markets
in such securities or by an independent pricing service approved by the
Fund's Board of Trustees, which may use the following valuation inputs
when available:

1) benchmark yields;

2) reported trades;

3) broker/dealer quotes;

4) issuer spreads;

5) benchmark securities;

6) bids and offers; and

7) reference data including market research publications.

Common stocks and other securities listed on any national or foreign
exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
Stock Exchange Alternative Investment Market ("AIM")) are valued at the
last sale price on the exchange on which they are principally traded. If
there are no transactions on the valuation day, the securities are valued
at the mean between the most recent bid and asked prices.

Securities listed on the NASDAQ or the AIM are valued at the official
closing price. If there is no official closing price on the valuation day,
the securities are valued at the mean between the most recent bid and
asked prices.

Securities traded in the over-the-counter market are valued at their
closing bid prices.

Forward foreign currency contracts are valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety and one-hundred eighty day
forward rates provided by an independent pricing service.

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

In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
securities and other investments. Additionally, if events occur after the close
of the principal market for particular securities (e.g., domestic debt and
foreign securities), but before the Fund values its assets, that could
materially affect NAV,

Page 21

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

First Trust may use a fair value method to value the Fund's securities and other
investments. The use of fair value pricing by the Fund is governed by valuation
procedures adopted by the Fund's Board of Trustees, and in accordance with the
provisions of the 1940 Act. As a general principle, the fair value of a security
is the amount which the Fund might reasonably expect to receive for the security
upon its current sale. However, in light of the judgment involved in fair
valuations, there can be no assurance that a fair value assigned to a particular
security will be the amount which the Fund might be able to receive upon its
current sale. Fair valuation of a debt security will be based on the
consideration of all available information, including, but not limited to, the
following:

1) the fundamental business data relating to the issuer, or economic
data relating to the country of issue;

2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;

3) the type, size and cost of security;

4) the financial statements of the issuer, or the financial condition
of the country of issue;

5) the credit quality and cash flow of the issuer, or country of issue,
based on the Sub-Advisor's or external analysis;

6) the information as to any transactions in or offers for the
security;

7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;

8) the coupon payments;

9) the quality, value and salability of collateral, if any, securing
the security;

10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);

11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's governmental
leaders/officials (for sovereign debt only);

12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and

13) other relevant factors.

Fair valuation of an equity security will be based on the consideration of all
available information, including, but not limited to the following:

1) the type of security;

2) the size of the holding;

3) the initial cost of the security;

4) transactions in comparable securities;

5) price quotes from dealers and/or pricing services;

6) relationships among various securities;

7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;

8) an analysis of the issuer's financial statements; and

9) the existence of merger proposals or tender offers that might affect
the value of the security.

If the equity securities in question are foreign securities, the following
additional information may be considered:

1) the value of similar foreign securities traded on other foreign
markets;

2) ADR trading of similar securities;

3) closed-end fund trading of similar securities;

4) foreign currency exchange activity;

5) the trading prices of financial products that are tied to baskets of
foreign securities;

6) factors relating to the event that precipitated the pricing problem;

7) whether the event is likely to recur; and

8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.

The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:

o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which transactions
for the investment occur with sufficient frequency and volume to provide
pricing information on an ongoing basis.

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

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.

o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).

o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

Page 22

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may
reflect the reporting entity's own assumptions about the assumptions that
market participants would use in pricing the investments.

The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of December 31, 2011, is
included with the Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded by using the effective interest method.

Securities purchased on a when-issued, delayed-delivery or forward commitment
basis may have extended settlement periods. The value of the security so
purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At December 31, 2011, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.

C. FORWARD FOREIGN CURRENCY CONTRACTS:

The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objective. Forward foreign currency contracts are agreements to
exchange one currency for another at a future date and at a specified price. The
Fund uses forward foreign currency contracts to facilitate transactions in
foreign securities and to manage the Fund's foreign currency exposure. These
contracts are valued daily, and the Fund's net equity therein, 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 "Unrealized appreciation
(depreciation) on forward foreign currency contracts" on the Statement of Assets
and Liabilities. When the forward contract is closed, the Fund records a
realized gain or loss equal to the difference between the proceeds from (or the
cost of) the closing transaction and the Fund's basis in the contract. This
realized gain or loss is included in "Net realized gain (loss) on forward
foreign currency contracts" on the Statement of Operations. Risks arise from the
possible inability of counterparties to meet the terms of their contracts and
from movement in currency and securities values and interest rates. Due to the
risks, the Fund could incur losses in excess of the net unrealized value shown
on the Schedule of Forward Foreign Currency Contracts.

During the year ended December 31, 2011, the open and close notional values of
forward foreign currency contracts were $66,657,223 and $69,387,810,
respectively.

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 on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statement of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statement of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received. The portion of foreign
currency gains and losses related to fluctuation 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:

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

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

Page 23

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

purposes, will reverse at some point in the future. Permanent differences
incurred during the year ended December 31, 2011, primarily a result of
differing book and tax treatment on realization of foreign currency gains
(losses), have been reclassified at year end to reflect an increase to
accumulated net investment income (loss) of $101,533, and a decrease to
accumulated net realized gain (loss) of $101,533. Net assets were not affected
by these reclassifications.

The tax character of distributions paid during the fiscal years ended December
31, 2011 and 2010 was as follows:

Distributions paid from: 2011 2010
Ordinary income................................. $ 4,338,566 $ 4,403,686
Long-term capital gains......................... 3,120,333 3,055,213

As of December 31, 2011, the distributable earnings and net assets on a tax
basis were as follows:

Undistributed ordinary income................... $ 1,738,421
Undistributed capital gains..................... 1,173,136
-------------
Total undistributed earnings.................... 2,911,557
Accumulated capital and other losses............ (663,408)
Net unrealized appreciation (depreciation)...... 8,666,265
-------------
Total accumulated earnings (losses)............. 10,914,414
Other........................................... (305,555)
Paid-in capital................................. 97,564,689
-------------
Net assets...................................... $ 108,173,548
=============

F. INCOME TAXES:

The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing 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. However, due to the
timing and amount of distributions, the Fund may be subject to an excise tax of
4% of the amount by which approximately 98.2% of the Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws which
allow it to carry realized capital losses forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2011, the
Fund had no capital loss carryforward for federal income tax purposes.

Certain losses realized during the fiscal year may be deferred and treated as
occurring on the first day of the following fiscal year for federal income tax
purposes. For the fiscal year ended December 31, 2011, the Fund intends to elect
to defer net ordinary losses of $215,600 and net realized capital losses of
$447,808.

The Fund is subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2008, 2009,
2010 and 2011 remain open to federal and state audit. As of December 31, 2011,
management has evaluated the application of these standards to the Fund and has
determined that no provision for income tax is required in the Fund's financial
statements for uncertain tax positions.

G. EXPENSES:

The Fund will pay all expenses directly related to its operations.

H. ACCOUNTING PRONOUNCEMENT:

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

Page 24

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

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

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

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

BNY Mellon Investment Servicing (US) Inc. serves as the Fund's Administrator,
Fund Accountant and Transfer Agent in accordance with certain fee arrangements.
Effective December 5, 2011, The Bank of New York Mellon serves as the Fund's
Custodian in accordance with certain fee arrangements. Prior to December 5,
2011, BNY Mellon Investment Servicing Trust Company (formerly known as PFPC
Trust Company) served as the Fund's Custodian in accordance with certain fee
arrangements.

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

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

4. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the year ended December 31, 2011 were $60,727,208
and $63,088,026, respectively.

5. BORROWINGS

The Fund has entered into a credit agreement with The Bank of Nova Scotia, which
provides for a revolving credit facility to be used as leverage for the Fund.
The revolving credit facility provides for a secured line of credit for the Fund
where Fund assets are pledged against advances made to the Fund. Under the
requirements of the 1940 Act, the Fund, immediately after any such borrowings,
must have an "asset coverage" of at least 300% (33-1/3% of the Fund's total
assets after borrowings). The total commitment under the facility is up to
$12,000,000. As of December 31, 2011, the Fund had one loan outstanding under
the revolving credit facility totaling $5,800,000. For the year ended December
31, 2011, the average amount outstanding was $5,800,000. The high and low annual
interest rates during the year ended December 31, 2011 were 1.36% and 1.19%,
respectively, and the weighted average interest rate was 1.31%. The interest
rate at December 31, 2011 was 1.24%. The Fund pays a commitment fee of 0.15% (or
0.30% if loan balance drops below 40% of total commitment) per year, which is
included in "Interest and fees on loan" on the Statement of Operations.

6. INDEMNIFICATION

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

7. RISK CONSIDERATIONS

Risks are inherent in all investing. The following summarizes some, but not all,
of the risks that should be considered for the Fund. For additional information
about the risks associated with investing in the Fund, please see the Fund's
prospectus and statement of additional information, as well as other Fund
regulatory filings.

INVESTMENT AND MARKET RISK: An investment in the Fund's Common Shares is subject
to investment risk, including the possible loss of the entire principal
invested. An investment in Common Shares represents an indirect investment in
the securities owned by the Fund, which include a global bond and equity
portfolio of investment grade and below-investment grade government and
corporate debt securities. The value of these securities, like other market
investments, may move up or down, sometimes rapidly and unpredictably. Common
Shares at any point in time may be worth less than the original investment, even
after taking into account the reinvestment of Fund dividends and distributions.

Page 25

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

Security prices can fluctuate for several reasons including the general
condition of the bond market, or when political or economic events affecting the
issuers occur. When the Advisor or Sub-Advisor determines that it is temporarily
unable to follow the Fund's investment strategy or that it is impractical to do
so (such as when a market disruption event has occurred and trading in the
securities is extremely limited or absent), the Fund may take temporary
defensive positions.

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

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

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

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

NON-U.S. ISSUER RISK: Investments in the securities and instruments of non-U.S.
issuers involve certain considerations and risks not ordinarily associated with
investments in securities and instruments of U.S. issuers. Non-U.S. companies
are not generally subject to uniform accounting, auditing and financial
standards and requirements comparable to those applicable to U.S. companies.
Non-U.S. securities exchanges, brokers and listed companies may be subject to
less government supervision and regulation than exists in the United States.
Dividend and interest income may be subject to withholding and other non-U.S.
taxes, which may adversely affect the net return on such investments. There may
be difficulty in obtaining or enforcing a court judgment abroad. Non-U.S.
investments may also involve risks associated with the level of currency
exchange rates, less complete financial information about the issuers, less
market liquidity, more market volatility and political instability. Future
political and economic developments, the possible seizure or nationalization of
non-U.S. holdings, the possible establishment of exchange controls or freezes on
the convertibility of currency, or the adoption of other governmental
restrictions might adversely affect an investment in non-U.S. securities.

EUROPE RISK: The Fund invests in securities issued by companies operating in
Europe. The Fund is therefore subject to certain risks associated specifically
with Europe. A significant number of countries in Europe are member states in
the European Union (the "EU"), and the member states no longer control their own
monetary policies by directing independent interest rates for their currencies.
In these member states, the authority to direct monetary policies, including
money supply and official interest rates for the Euro, is exercised by the
European Central Bank. In addition, the continued implementation of the EU
provisions and recent rapid political and social change throughout Europe make
the extent and nature of future economic development in the region and their
effect on securities issued by European companies impossible to predict. The
European sovereign debt crisis has resulted in a weakened Euro and has put into
question the future financial prospects of the European region as a whole.

CURRENCY RISK: The value of securities denominated or quoted in foreign
currencies may be adversely affected by fluctuations in the relative currency
exchange rates and by exchange control regulations. The Fund's investment
performance may be negatively affected by a devaluation of a currency in which
the Fund's investments are denominated or quoted. Further, the Fund's investment

Page 26

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011

performance may be significantly affected, either positively or negatively, by
currency exchange rates because the U.S. dollar value of securities denominated
or quoted in another currency will increase or decrease in response to changes
in the value of such currency in relation to the U.S. dollar. While certain of
the Fund's non-U.S. dollar-denominated securities may be hedged into U.S.
dollars, hedging may not alleviate all currency risks.

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

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

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

Investments in debt instruments of issuers located in emerging market countries
are considered speculative. Heightened risks of investing in emerging markets
government debt include: smaller market capitalization of securities markets,
which may suffer periods of relative illiquidity; significant price volatility;
restrictions on foreign investment; and possible 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.

8. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events to the Fund through
the date the financial statements were issued, and has determined that there
were the following subsequent events:

Effective January 1, 2012, each Independent Trustee will be paid a fixed annual
retainer of $125,000 per year and an annual per fund fee of $4,000 for each
closed-end fund or other actively managed fund and $1,000 for each index fund in
the First Trust Fund Complex. The fixed annual retainer will be allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.

Additionally, the Lead Independent Trustee will be paid $15,000 annually, the
Chairman of the Audit Committee will be paid $10,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
will be paid $5,000 annually to serve in such capacities, with such compensation
allocated pro rata among each fund in the First Trust Fund Complex based on net
assets. Trustees continue to be reimbursed for travel and out-of-pocket expenses
in connection with all meetings. The Lead Independent Trustee and each Committee
chairman will serve two-year terms before rotating to serve as chairman of
another committee or as Lead Independent Trustee. The officers and "Interested"
Trustee continue to receive no compensation from the Fund for acting in such
capacities.

Effective January 23, 2012, James A. Bowen resigned from his position as the
President and Chief Executive Officer of the Fund. He will continue as a
Trustee, the Chairman of the Board and a member of the Executive Committee. The
Board elected Mark R. Bradley to serve as the President and Chief Executive
Officer and James M. Dykas to serve as the Treasurer, Chief Financial Officer
and Chief Accounting Officer of the Fund.

Page 27

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------

TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST/ABERDEEN EMERGING
OPPORTUNITY FUND:

We have audited the accompanying statement of assets and liabilities of First
Trust/Aberdeen Emerging Opportunity Fund (the "Fund"), including the portfolio
of investments, as of December 31, 2011, and the related statements of
operations and cash flows for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods presented. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2011, by correspondence with the Fund's
custodian and brokers; where replies were not received we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of First
Trust/Aberdeen Emerging Opportunity Fund as of December 31, 2011, the results of
its operations and its cash flows for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for the each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

Chicago, Illinois
February 21, 2012

Page 28

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011 (UNAUDITED)

DIVIDEND REINVESTMENT PLAN

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

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

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

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

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

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

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

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

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

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

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

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Fund uses to determine how
to vote proxies and information on how the Fund voted proxies relating to
portfolio investments 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 ("SEC") website located at
http://www.sec.gov.

Page 29

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

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q
are available (1) by calling (800) 988-5891; (2) on the Fund's website located
at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov;
and (4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.

TAX INFORMATION

The Fund hereby designates as qualified dividend income 17.4% of its ordinary
income distributions (including short-term capital gains, if applicable) for the
year ended December 31, 2011. None of the ordinary income (including short-term
capital gain, if applicable) distributions made by the Fund during the year
ended December 31, 2011, qualify for corporate dividends received deduction
available to corporate shareholders.

The Fund meets the requirements of Section 853 of the Code, and elects to pass
through to its shareholders credit for foreign taxes paid. The total amount of
income received by the Fund from sources within foreign countries and
possessions of the United States is $6,412,406 (representing a total of $1.20
per share). The total amount of taxes paid to such countries is $135,240
(representing a total of $0.03 per share).

For the year ended December 31, 2011, the amount of long-term capital gain
distributions designated by the Fund was $3,120,333 which is taxable at a
maximum rate of 15% for federal income tax purposes.

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 31, 2011, 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, N-CSRS 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.

SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS

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

Page 30

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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011 (UNAUDITED)

NUMBER OF
PORTFOLIOS IN
THE FIRST TRUST OTHER
NAME, ADDRESS, TERM OF OFFICE FUND COMPLEX TRUSTEESHIPS OR
DATE OF BIRTH AND AND LENGTH OF PRINCIPAL OCCUPATIONS OVERSEEN BY DIRECTORSHIPS
POSITION WITH THE FUND SERVICE (2) DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEE

------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------

Richard E. Erickson, Trustee o Three-Year Term Physician; President, Wheaton Orthopedics; 82 None
c/o First Trust Advisors L.P. Co-Owner and Co-Director (January 1996
120 East Liberty Drive, o Since Fund to May 2007), Sports Med Center for
Suite 400 Inception Fitness; Limited Partner, Gundersen Real
Wheaton, IL 60187 Estate Limited Partnership; Member,
D.O.B.: 04/51 Sportsmed LLC

Thomas R. Kadlec, Trustee o Three-Year Term President (March 2010 to Present), Senior 82 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 East Liberty Drive, o Since Fund (May 2007 to March 2010), Vice President Inc. and ADM
Suite 400 Inception and Chief Financial Officer (1990 to May Investor Services
Wheaton, IL 60187 2007), ADM Investor Services, Inc. (Futures International
D.O.B.: 11/57 Commission Merchant)

Robert F. Keith, Trustee o Three-Year Term President (2003 to Present), Hibs 82 Director of
c/o First Trust Advisors L.P. Enterprises (Financial and Management Trust Company
120 East Liberty Drive, o Since Fund Consulting) of Illinois
Suite 400 Inception
Wheaton, IL 60187
D.O.B.: 11/56

Niel B. Nielson, Trustee o Three-Year Term President (June 2002 to Present), Covenant 82 Director of
c/o First Trust Advisors L.P. College Covenant
120 East Liberty Drive, o Since Fund Transport Inc.
Suite 400 Inception
Wheaton, IL 60187
D.O.B.: 03/54

------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------

James A. Bowen, Trustee, President, o Three-Year Chief Executive Officer (December 2010 82 None
Chairman of the Board and CEO(1) Trustee Term to Present), President (until December
120 East Liberty Drive, and Indefinite 2010), First Trust Advisors L.P. and First
Suite 400 Officer Term Trust Portfolios L.P.; Chairman of the
Wheaton, IL 60187 Board of Directors, BondWave LLC
D.O.B.: 09/55 o Since Fund (Software Development Company/
Inception Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)

------------------------
(1) Mr. Bowen is deemed an "interested person" of the Fund due to his position
as Chief Executive Officer of First Trust Advisors L.P., investment
advisor of the Fund.

(2) Currently, Robert F. Keith, as a Class I Trustee, is serving as a trustee
until the Fund's 2014 annual meeting of shareholders. Richard E. Erickson
and Thomas R. Kadlec, as Class II Trustees, are serving as trustees until
the Fund's 2012 annual meeting of shareholders. James A. Bowen and Niel B.
Nielson, as Class III Trustees, are serving as trustees until the Fund's
2013 annual meeting of shareholders. Officers of the Fund have an
indefinite term. The term "officer" means the president, vice president,
secretary, treasurer, controller or any other officer who performs a
policy making function.

Page 31

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BOARD OF TRUSTEES AND OFFICERS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011 (UNAUDITED)

NAME, ADDRESS POSITION AND OFFICES TERM OF OFFICE AND PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH WITH FUND LENGTH OF SERVICE DURING PAST 5 YEARS

------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(3)
------------------------------------------------------------------------------------------------------------------------------------

Mark R. Bradley Treasurer, Chief Financial o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Officer and Chief and Chief Financial Officer, First Trust Advisors
Suite 400 Accounting Officer o Since Fund Inception L.P. and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Officer, BondWave LLC (Software Development
D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)

Erin E. Chapman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to
120 E. Liberty Drive, Present), Associate Counsel (March 2006 to October
Suite 400 o Since June 2009 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.; Associate Attorney (November 2003
D.O.B.: 08/76 to March 2006), Doyle & Bolotin, Ltd.

James M. Dykas Assistant Treasurer o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, President (April 2007 to January 2011), Vice
Suite 400 o Since Fund Inception President (January 2005 to April 2007), First Trust
Wheaton, IL 60187 Advisors L.P. and First Trust Portfolios L.P.
D.O.B.: 01/66

Roseanne Gatta Assistant Secretary o Indefinite Term Board Liaison Associate (July 2010 to Present), First
120 E. Liberty Drive, Trust Advisors L.P. and First Trust Portfolios L.P.;
Suite 400 o Since March 2011 Assistant Vice President (February 2001 to July
Wheaton, IL 60187 2010), PNC Global Investment Services
D.O.B.: 07/55

Christopher R. Fallow Assistant Vice President o Indefinite Term Assistant Vice President (August 2006 to Present),
120 E. Liberty Drive, Associate (January 2005 to August 2006), First Trust
Suite 400 o Since Fund Inception Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 04/79

W. Scott Jardine Secretary o Indefinite Term General Counsel, First Trust Advisors L.P., First
120 E. Liberty Drive, Trust Portfolios L.P. and BondWave LLC
Suite 400 o Since Fund Inception (Software Development Company/Investment
Wheaton, IL 60187 Advisor); Secretary of Stonebridge Advisors LLC
D.O.B.: 05/60 (Investment Advisor)

Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to
120 E. Liberty Drive, Present), First Trust Advisors L.P. and First Trust
Suite 400 o Since Fund Inception Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 02/70

Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present),
120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios
Suite 400 o Since July 2008 L.P.; Vice President (May 1998 to January 2008),
Wheaton, IL 60187 Van Kampen Asset Management and Morgan
D.O.B.: 07/58 Stanley Investment Management

Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel (May 2007 to Present),
120 E. Liberty Drive, Chief Compliance Officer o Assistant Secretary Assistant General Counsel (March 2004 to May
Suite 400 since Fund Inception 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 o Chief Compliance Portfolios L.P.
D.O.B.: 12/66 Officer since
January 2011

------------------------
(3) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.

Page 32

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PRIVACY POLICY
--------------------------------------------------------------------------------

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
DECEMBER 31, 2011 (UNAUDITED)

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

SOURCES OF INFORMATION

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

o Information we receive from you and your broker-dealer, investment
advisor 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.

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. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also 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, proxy services, solicitors
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.

PRIVACY ONLINE

We allow third-party companies, including AddThis, to collect certain anonymous
information when you visit our website. These companies may use non-personally
identifiable information during your visits to this and other websites in order
to provide advertisements about goods and services likely to be of greater
interest to you. These companies typically use a cookie, third party web beacon
or pixel tags, to collect this information. To learn more about this behavioral
advertising practice, you can visit www.networkadvertising.org.

CONFIDENTIALITY AND SECURITY

With regard to our internal security procedures, we restrict 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 go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).

Page 33

This Page Left Blank Intentionally.

FIRST TRUST

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

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

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

CUSTODIAN
The Bank of New York Mellon
1 Wall Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

[BLANK BACK COVER]

ITEM 2. CODE OF ETHICS.

(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party.

(c) There have been no amendments, during the period covered by this report,
to a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party, and that relates to any element of the code
of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver,
from a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party, that relates to one or more of the items set
forth in paragraph (b) of this item's instructions.

(e) Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified
to serve as audit committee financial experts serving on its audit committee and
that each of them is "independent," as defined by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the
last two fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements were $52,000 for 2010 and
$49,000 for 2011.

(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each
of the last two fiscal years, for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit
of the registrant's financial statements and are not reported under paragraph
(a) of this Item were $0 for 2010 and $0 for 2011.

Audit-Related Fees (Investment Adviser) -- The aggregate fees billed
in each of the last two fiscal years of the registrant for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item were $0 for 2010 and $0 for 2011.

(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning to the registrant were
$6,990.18 for 2010 and $6,570 for 2011. These fees were for tax preparation.

Tax Fees (Investment Adviser) -- The aggregate fees billed in each of
the last two fiscal years of the registrant for professional services rendered
by the principal accountant for tax compliance, tax advice, and tax planning to
the registrant's adviser were $0 for 2010 and $0 for 2011.

(d) All Other Fees (Registrant) -- The aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the registrant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 for 2010 and $0 for 2011.

All Other Fees (Investment Adviser) -- The aggregate fees billed in
each of the last two fiscal years for products and services provided by the
principal accountant to the registrant's investment adviser, other than services
reported in paragraphs (a) through (c) of this Item were $0 for 2010 and $0 for
2011.

(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the registrant by its
independent auditors. The Chairman of the Committee is authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.

The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the registrant, if the engagement relates
directly to the operations and financial reporting of the registrant, subject to
the de minimis exceptions for non-audit services described in Rule 2-01 of
Regulation S-X. If the independent auditor has provided non-audit services to
the registrant's adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to its policies, the Committee
will consider whether the provision of such non-audit services is compatible
with the auditor's independence.

(e)(2) The percentage of services described in each of paragraphs (b) through
(d) for the registrant and the registrant's investment adviser of this
Item that were approved by the audit committee pursuant to the
pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:

(b) 0%

(d) 0%

(f) The percentage of hours expended on the principal accountant's engagement
to audit the registrant's financial statements for the most recent fiscal
year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.

(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is primarily
portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under
common control with the adviser that provides ongoing services to the
Registrant for 2010 were $6,990.18 and $6,000 for the Registrant and the
Registrant's investment adviser, respectively, and for 2011 were $6,570
and $6,200 for the Registrant and the Registrant's investment adviser,
respectively.

(h) The Registrant's audit committee of its Board of Trustees determined that
the provision of non-audit services that were rendered to the
Registrant's investment adviser (not including any sub-adviser whose role
is primarily portfolio management and is subcontracted with or overseen
by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the Registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) The registrant has a separately designated audit committee consisting of
all the independent trustees of the Registrant. The members of the audit
committee are: Thomas R. Kadlec, Niel B. Nielson, Richard E. Erickson and
Robert F. Keith.

ITEM 6. INVESTMENTS.

(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.

(b) Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

The Proxy Voting Policies are attached herewith.

ABERDEEN U.S. REGISTERED ADVISERS
PROXY VOTING POLICIES AND PROCEDURES
AS OF FEBRUARY 8, 2010

The following are proxy voting policies and procedures ("Policies and
Procedures") adopted by affiliated investment advisers registered with the U.S.
Securities and Exchange Commission ("SEC") under the Investment Advisers Act of
1940, as amended ("Advisers Act"), that are subsidiaries of Aberdeen Asset
Management PLC ("AAM"); including, specifically, Aberdeen Asset Management Inc.,
a Delaware Corporation, ("Aberdeen US"), Aberdeen Asset Management Asia Limited,
a Singapore Corporation ("Aberdeen Singapore"), Aberdeen Asset Management
Limited, an Australian Corporation ("Aberdeen AU"), and Aberdeen Asset
Management Investment Services Limited, a UK Corporation ("AAMISL"),
(collectively referred to herein as "Aberdeen Advisers" and each an "Aberdeen
Adviser") (collectively with AAM, "Aberdeen"). These Policies and Procedures
address proxy voting considerations under U.S. law and regulation and under
Canadian securities laws. These Policies and Procedures do not address the laws
or requirements of other jurisdictions.

Each of the Aberdeen Advisers provides advisory resources to certain U.S.
clients, including substantive advice on voting proxies for certain equity
securities. These Policies and Procedures are adopted to ensure compliance by
the Aberdeen Advisers with Rule 206(4)-6 under the Advisers Act and other
applicable fiduciary obligations under rules and regulations of the SEC and
interpretations of its staff with respect to proxies for voting securities held
by client portfolios.

Clients may consist of investment companies registered under the Investment
Company Act of 1940, as amended ("1940 Act") ("Funds" and each a "Fund"), and
other U.S. residents as well as non-U.S. registered funds or clients. Each
Aberdeen Adviser follows these Policies and Procedures for each of its
respective U.S. clients as required under the Advisers Act and other applicable
law, unless expressly directed by a client in writing to refrain from voting
that client IS proxies or to vote in accordance with the client's proxy voting
policies and procedures. Aberdeen Advisers who advise or subadvise the Funds
follow both these Policies and Procedures and the proxy voting policies and
procedures adopted by the Funds and their respective Boards of Directors or
Trustees. Aberdeen Advisers located outside the U.S. may provide proxy voting
services to their non-U.S. based clients in accordance with the jurisdiction in
which the client is located. Aberdeen US, Aberdeen Singapore and Aberdeen AU
will provide proxy voting services to Canadian investment funds in accordance
with National Instrument 81-106 - Investment Fund Continuous Disclosure.

I. DEFINITIONS

A. "Best interest of clients". Clients' best economic interests over the long
term that is, the common interest that all clients share in seeing the value of
a common investment increase over time. Clients may have differing political or
social interests, but their best economic interest is generally uniform.

B. "Material conflict of interest". Circumstances when an Aberdeen Adviser or
any member of senior management, portfolio manager or portfolio analyst
knowingly does business with a particular proxy issuer or closely affiliated
entity, which may appear to create a material conflict between the interests of
the Aberdeen Adviser and the interests of its clients in how proxies of that
issuer are voted. A material conflict of interest might also exist in unusual
circumstances when Aberdeen has actual knowledge of a material business
arrangement between a particular proxy issuer or closely affiliated entity and
an affiliate of an Aberdeen Adviser.

II. GENERAL VOTING POLICIES

A. Client's Best Interest. These Policies and Procedures are designed and
implemented in a way that is reasonably expected to ensure that proxies are
voted in the best interests of clients. Proxies are voted with the aim of
furthering the best economic interests of clients, promoting high levels of
corporate governance and adequate disclosure of company policies, activities and
returns, including fair and equal treatment of stockholders.

B. Shareholder Activism. Aberdeen Advisers seek to develop relationships with
the management of portfolio companies to encourage transparency and improvements
in the treatment of employees, owners and stakeholders. Thus, Aberdeen Advisers
may engage in dialogue with the management of portfolio companies with respect
to pending proxy voting issues.

C. Case-by-Case Basis. These Policies and Procedures are guidelines. Each vote
is ultimately cast on a case-by-case basis, taking into consideration the
contractual obligations under the advisory agreement or comparable document, and
all other relevant facts and circumstances at the time of the vote. Aberdeen
Advisers may cast proxy votes in favor of management proposals or seek to change
the views of management, considering specific issues as they arise on their
merits. Aberdeen Advisers may also join with other investment managers in
seeking to submit a shareholder proposal to a company or to oppose a proposal
submitted by the company. Such action may be based on fundamental, social,
environmental or human rights grounds.

D. Individualized. These Policies and Procedures are tailored to suit Aberdeen's
advisory business and the types of securities portfolios Aberdeen Advisers
manage. To the extent that clients (e.g., investment companies, corporations,
pension plans) have adopted their own procedures, Aberdeen Advisers may vote the
same securities differently depending upon clients' directions.

E. Material Conflicts of Interest. Material conflicts are resolved in the best
interest of clients. When a material conflict of interest between an Aberdeen
Adviser and its respective client(s) is identified, the Aberdeen Adviser will
choose among the procedures set forth in Section IV.B.2. below to resolve such
conflict.

F. Limitations. The circumstances under which Aberdeen may take a limited role
in voting proxies, include the following:

1. No Responsibility. Aberdeen Advisers will not vote proxies for client
accounts in which the client contract specifies that Aberdeen will not vote.
Under such circumstances, the clients' custodians are instructed to mail proxy
material directly to such clients or the clients' designees.

2. Limited Value. An Aberdeen Adviser may abstain from voting a client proxy if
the Aberdeen Adviser determines that the effect on shareholders' economic
interests or the value of the portfolio holding is indeterminable or
insignificant. Aberdeen Advisers may also abstain from voting the proxies of
portfolio companies held in their passively managed funds. Proxies with respect
to securities that have been sold before the date of the shareholders meeting
and are no longer held by a client generally will not be voted.

3. Unjustifiable Costs. An Aberdeen Adviser may abstain from voting a client
proxy for cost reasons (e.g., non-U.S. securities).

4. Securities Lending Arrangements. If voting securities are part of a
securities lending program, Aberdeen may be unable to vote while the securities
are on loan.

5. Share Blocking. Certain jurisdictions may impose share blocking restrictions
at various times which may prevent Aberdeen from exercising its voting
authority.

6. Special Considerations. Aberdeen's responsibilities for voting proxies are
determined generally by its obligations under each advisory contract or similar
document. If a client requests in writing that an Aberdeen Adviser vote its
proxy in a manner inconsistent with these Policies and Procedures, the Aberdeen
Adviser may follow the client's direction or may request that the client vote
the proxy directly.

G. Sources of Information. The Aberdeen Advisers may conduct research internally
and/or use the resources of an independent research consultant. The Aberdeen
Advisers may consider legislative materials, studies of corporate governance and
other proxy voting issues, and/or analyses of shareholder and management
proposals by a certain sector of companies, e.g., Fortune 500 companies.

H. Subadvisers. To the extent that an Aberdeen Adviser may rely on subadvisers,
whether affiliated or unaffiliated, to manage any client portfolio on a
discretionary basis, the Aberdeen Adviser may delegate responsibility for voting
proxies to the subadviser. However, such subadvisers will be required either to
follow these Policies and Procedures or to demonstrate that their proxy voting
policies and procedures are consistent with these Policies and Procedures or
otherwise implemented in the best interests of the Aberdeen Advisers' clients.

I. Availability of Policies and Procedures. Aberdeen Advisers will provide
clients with a copy of these Policies and Procedures, as revised from time to
time, upon request.

J. Disclosure of Vote. As disclosed in Part II of each Aberdeen Adviser's Form
ADV, a client may obtain information on how its proxies were voted by requesting
such information from its Aberdeen Adviser. Aberdeen Advisers do not generally
disclose client proxy votes to third parties, other than as required for Funds,
unless specifically requested, in writing, by the client.

III. SPECIFIC VOTING POLICIES

A. General Philosophy.

o Support existing management on votes on the financial statements of
a company and the election of the Board of Directors;

o Vote for the acceptance of the accounts unless there are grounds to
suspect that either the accounts as presented or audit procedures
used, do not present an accurate picture of company results; and

o Support routine issues such as the appointment of independent
auditors, allocation of income and the declaration of stock (scrip)
dividend proposals provided there is a cash alternative.

B. Anti-takeover Measures. Aberdeen Advisers vote on anti-takeover measures on a
case-by-case basis taking into consideration such factors as the long-term
financial performance of the target company relative to its industry
competition. Key measures of performance will include the growth rates for
sales, operating income, net income and total shareholder returns. Other factors
which will be considered include margin analysis, cash flow and debt levels.

C. Proxy Contests for Control. Aberdeen Advisers vote on proxy contests for
control on a case-bycase basis taking into consideration such factors as
long-term financial performance of the target company relative to its industry,
management's track record, background to the proxy contest, qualifications of
director nominees, evaluation of what each side is offering shareholders as well
as the likelihood that the proposed objectives and goals can be met, and stock
ownership positions.

D. Contested Elections. Aberdeen Advisers vote on contested elections on a
case-by-case basis taking into consideration such factors as the qualifications
of all director nominees. Aberdeen Advisers also consider the independence of
board and key committee members and the corporate governance practices of the
company.

E. Executive compensation proposals. Aberdeen Advisers consider such proposals
on a case-by-case basis taking into consideration such factors as executive pay
and spending perquisites, particularly in conjunction with sub-par performance
and employee layoffs.

F. Shareholder Proposals. Aberdeen Advisers consider such proposals on a
case-by-case basis. Aberdeen Advisers support those proposals which will improve
the company's corporate governance or business profile at a reasonable cost, but
may oppose proposals which result in significant cost being incurred with little
or no benefit to the company or its shareholders.

IV. PROXY VOTING PROCEDURES

This section applies to each Aberdeen Adviser except to the extent that certain
procedures are identified as applicable only to a specific Aberdeen Adviser.

A. Obtain Proxy. Registered owners of record, e.g., trustees or custodian banks,
that receive proxy materials from the issuer or its information agent, are
instructed to sign physical proxy cards in blank and forward directly to the
Global Voting Team based in Scotland ("PA-UK"). Proxies may also be delivered
electronically by custodians using proxy services such as ProxyEdge and
Institutional Shareholder Services ("ISS"). Each proxy received is matched to
the securities to be voted.

B. Material Conflicts of Interest.

1. Identify the existence of any material conflicts of interest relating to the
securities to be voted or the issue at hand. Portfolio managers and research
analysts ("Analysts") and senior management of each Aberdeen Adviser have an
affirmative duty to disclose any personal conflicts such as officer or director
positions held by them, their spouses or close relatives in the portfolio
company or attempts by the portfolio company to exert influence over such person
with respect to their vote. Conflicts based on business relationships or
dealings of affiliates of any Aberdeen Adviser will only be considered to the
extent that the Aberdeen Adviser has actual knowledge of such business
relationships.

2. When a material conflict of interest between an Aberdeen Adviser's interests
and its clients' interests appears to exist, the Aberdeen Adviser may choose
among the following options to eliminate such conflict: (1) vote in accordance
with these Policies and Procedures if it involves little or no discretion; (2)
vote as recommended by a third party service if the Aberdeen Adviser utilizes
such a service; (3) "echo vote" or "mirror vote" the proxies in the same
proportion as the votes of other proxy holders that are not Aberdeen clients;
(4) if possible, erect information barriers around the person or persons making
voting decisions sufficient to insulate the decision from the conflict; (5) if
practical, notify affected clients of the conflict of interest and seek a waiver
of the conflict; or (6) if agreed upon in writing with the client, forward the
proxies to affected clients allowing them to vote their own proxies.

C. Analysts. The proxy administration process is carried out by the PA-UK. The
PA-UK ensures that each proxy statement is directed to the appropriate Analyst.
If a third party recommendation service has been retained, the PA-UK will
forward the proxy statement to the Analyst with the recommendation highlighted.
The Analyst will determine whether to vote as recommended by the service
provider or to recommend an alternative and shall advise the PA-UK. The Analyst
may consult with the PA-UK as necessary. If the Analyst recommends voting
against the third party recommendation, he or she is responsible for documenting
the reasons for such recommendation and that no conflict of interest influenced
such recommendation. If no third party recommendation service is utilized or if
no recommendation is provided, the Analyst is responsible for documenting the
rationale for his or her vote recommendation.

D. Vote. The following describes the breakdown of responsibilities between the
PA-UK and the Corporate Governance Group ("CGG") in voting portfolio securities
and the extent to which the Aberdeen Advisers rely on third party service
providers.

The PA-UK is responsible for ensuring that votes for Aberdeen Advisers'
clients are cast in a timely fashion and in accordance with these Policies and
Procedures. In addition, the PA-UK is primarily responsible for administering
proxy votes for the US and Canadian Funds which are advised or sub-advised by
the Aberdeen Advisers.

Responsibility for considering the substantive issues relating to any vote
and for deciding how shares will be voted resides with the relevant Analyst.

In the event that a material conflict of interest is identified by an
Analyst, decisions on how to vote will be referred to the Corporate Governance
Group ("CGG"). The CGG includes the Chief Investment Officer, the head of the
Socially Responsible Research, and representatives from portfolio management
teams. The CGG meets as needed to consider material conflicts of interest or any
other items raising unique issues. If the CGG determines that there is no
material conflict of interest, the vote recommendation will be forwarded to the
PA-UK. If a material conflict of interest is identified, the CGG will follow the
conflict of interest procedures set forth in Section IV.B.2., above.

The PA-UK helps facilitate and coordinate proxy voting for U.S. clients of
the Aberdeen Advisers. The Aberdeen Advisers have engaged Proxy Edge, a third
party service provider, to cast votes electronically for certain clients and to
maintain records of such votes electronically. Aberdeen has also engaged ISS, a
third party service provider, to provide (I) notification of impending votes;
(2) research into non-routine votes, including shareholder resolutions; (3)
voting recommendations which may be viewed on-line; and (4) web-based voting. In
the absence of any material conflict of interest, the Aberdeen Advisers may
either vote in accordance with the ISS recommendation or decline to follow the
ISS recommendation based on its own view of the agenda item provided that
decisions to vote contrary to the ISS recommendation are documented as set forth
in Section IV.C., above. In the event of a material conflict of interest, the
Aberdeen Advisers will follow the procedures outlined in Section IV.B.2, above.

E. Review. PA-UK are responsible for ensuring that proxy materials are received
in a timely manner and reconciled against holdings on the record date of client
accounts over which the Aberdeen Adviser has voting authority to ensure that all
shares held on the record date, and for which a voting obligation exists, are
voted.

V. DOCUMENTATION, RECORDKEEPING AND REPORTING REQUIREMENTS

A. Documentation.

Each Adviser's Chief Compliance Officer is responsible for implementing
and updating these Policies and Procedures;

The PA-UK is responsible for:

1. Overseeing the proxy voting process;

2. Consulting with portfolio managers/analysts for the relevant
portfolio security; and 3. Maintaining manual proxy voting records,
if any, and overseeing and reviewing voting execution and
recordkeeping by third party providers such as ISS and ProxyEdge.

B. Record Keeping.

1. Each Aberdeen Adviser maintains or procures the maintenance of records of all
proxies it has voted. As permitted by Rule 204-2(c), electronic proxy statements
and the record of each vote cast by each client account will be maintained by
either ISS or Proxy Edge, depending on the client account.

A US Fund's proxy voting record must be filed with the SEC on Form N-PX.
Form N-PX must be completed and signed in the manner required, containing a
fund's proxy voting record for the most recent twelve-month period ended June
30th (beginning August) I, 2004). If an Aberdeen Adviser delegates this
reporting responsibility to a third party service provider such as ISS or Proxy
Edge, it will ensure that the third party service provider files Form N-PX
accordingly. Aberdeen Advisers shall obtain and maintain undertakings from both
ISS and Proxy Edge to provide it with copies of proxy voting records and other
documents relating to its clients' votes promptly upon request. Aberdeen
Advisers, ISS and Proxy Edge may rely on the SEC's EDGAR system to keep records
of certain proxy statements if the proxy statements are maintained by issuers on
that system (e.g., large U.S.-based issuers).

2. As required by Rule 204-2(c), such records will also include: (a) a copy of
the Policies and Procedures; (b) a copy of any document created by the Aberdeen
Adviser that was material to making a decision on how to vote proxies on behalf
of a client or that memorializes the basis for that decision; and (c) each
written client request for proxy voting records and the Aberdeen Adviser's
written response to any (written or oral) client request for such records .

3. Duration. Proxy voting books and records will be maintained in an easily
accessible place for a period of five years, the first two in an appropriate
office of the Aberdeen Adviser.

C. Reporting. The Aberdeen Advisers will initially inform clients of these
Policies and Procedures by summary disclosure in Part II of their respective
Forms ADV. Upon receipt of a client's request for more information, the Aberdeen
Advisers will provide to the client a copy of these Policies and Procedures
and/or, in accordance with the client's stated requirements, how the client's
proxies were voted during the period requested subsequent to the adoption of
these Policies and Procedures. Such periodic reports, other than those required
for Funds, will not be made available to third parties absent the express
written request of the client. However, to the extent that any Aberdeen Adviser
may serve as a subadviser to another adviser to a Client, such Aberdeen Adviser
will be deemed to be authorized to provide proxy voting records on such Client
accounts to such other adviser.

For Canadian investment funds, Aberdeen US, Aberdeen AU and Aberdeen
Singapore will assist in preparing annual proxy voting records for the period
ending June 30 of each year and will post an annual proxy voting record on each
Canadian investment fund's website no later than August 31 of each year. Upon
receipt of a client or securityholder's request, Aberdeen US, Aberdeen AU or
Aberdeen Singapore will make available a copy of these Policies and Procedures
and the Canadian investment fund's proxy voting record, without charge, to any
client or securityholder upon a request made by the client Or securityholder
after August 31.

D. Review of Policies and Procedures. These Policies and Procedures will be
subject to review on a periodic basis as deemed appropriate by the Aberdeen
Advisers. Any questions regarding the Policies and Procedures should be directed
to the Compliance Department of the respective Aberdeen Adviser.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(A)(1) IDENTIFICATION OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS AND
DESCRIPTION OF ROLE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

INFORMATION PROVIDED AS OF FEBRUARY 15, 2012

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

Investment decisions for the registrant 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.

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

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

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

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.

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 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.

(A)(2) OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBER
AND POTENTIAL CONFLICTS OF INTEREST

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBER

INFORMATION PROVIDED AS OF DECEMBER 31, 2011

(assets in millions).

# of Accounts Total Assets
Managed for which for which
Total Advisory Fee is Advisory Fee
Name of Portfolio Manager or # of Accounts Total Based on is Based on
Team Member Type of Accounts Managed Assets Performance Performance
----------------------------- ---------------- ------------- ----------- ----------------- -------------

1. Devan Kaloo Registered Investment Companies: 10 $ 6,131.89 0 $ 0
Other Pooled Investment Vehicles: 23 $22,423.36 0 $ 0
Other Accounts: 56 $15,262.93 6 $1,688.47

2. Joanne Irvine Registered Investment Companies: 10 $ 6,131.89 0 $ 0
Other Pooled Investment Vehicles: 23 $22,423.36 0 $ 0
Other Accounts: 56 $15,262.93 6 $1,688.47

3. Mark Gordon-James Registered Investment Companies: 10 $ 6,131.89 0 $ 0
Other Pooled Investment Vehicles: 23 $22,423.36 0 $ 0
Other Accounts: 56 $15,262.93 6 $1,688.47

4. Brett Diment Registered Investment Companies: 6 $ 688.49 0 $ 0
Other Pooled Investment Vehicles: 74 $ 9,222.41 0 $ 0
Other Accounts: 200 $30,479.83 6 $ 653.70

5. Max Wolman Registered Investment Companies: 6 $ 688.49 0 $ 0
Other Pooled Investment Vehicles: 74 $ 9,222.41 0 $ 0
Other Accounts: 200 $30,479.83 6 $ 653.70

POTENTIAL CONFLICTS OF INTERESTS

The Sub-Adviser believes that there are no material conflicts of interest in
connection with any Portfolio Manager's management of the registrant's
investments and investments of other accounts. The Sub-Adviser has adopted the
CFA Institute Code of Ethics and Standards of Professional Conduct and adherence
by all employees is mandatory. All employees are expected to avoid any
employment, associations or business activities, including personal investments,
that interfere with their duties to Aberdeen, divide their loyalty or create or
appear to create a conflict of interest. Employees must promptly report any
situation or transaction involving an actual or potential conflict of interest
to the Compliance Officer.

With regards to allocation, the Sub-Adviser has adopted Best Execution, Soft
Dollar, Order Aggregation, and Trade Allocation Policies & Procedures designed
among other things to ensure fair treatment of all accounts.

Aberdeen aggregates orders so as to realize the benefits of larger block orders.
When executing aggregated orders, it seeks to allocate opportunities to all
clients in a consistent manner. Most portfolios are managed to a model based on
common attributes to a benchmark with low dispersion between accounts and
benchmarks. This is accomplished through the calculation of a 'median account'
with this median account becoming the model portfolio. Certain situations such
as new portfolio fundings, unique guideline restrictions and the fundability of
certain security types may cause us to adjust our weightings. However over time,
we expect to minimize the dispersion of account holdings around the model
portfolio.

New Issue Allocation

Aberdeen Asset Management Inc. seeks to allocate new issue opportunities to all
clients in a consistent manner.

New issue opportunities are allocated according to the following factors:

1. All portfolios are ranked based on their account composition versus their
benchmark. The portfolio management team will set a minimum acceptable position
size (in terms of percent of market value) for the security.

2. Next, we define the target percentage for our Barclay's Capital Aggregate
Bond Index ("BCAB") portfolios, depending on the characteristics of the security
or the percentage of the account based on that securities' contribution to
duration and the current composition of each account.

3. For portfolios with a benchmark other than BCAB, we may adjust the target
allocation to reflect the characteristics of the non-BCAB benchmark.

4. We then determine our desired total par value and give our indication of
interest.

5. If our order is completely filled, we will allocate according to the steps
outlined above. If we are allotted a significant percentage of our order
(typically 70% or more), we will allocate pro-rata based on the initial
allocation developed from the steps outlined above. If we are not allotted a
significant percentage of our order, we will remove the non-BCAB benchmark
adjustments and allocate pro-rata based on market value of participating
accounts. If this continues to result in accounts receiving less than the
minimum target position size, the least deserving accounts (defined as those
accounts that are closest to the model account) will be eliminated from the
allocation.

Batch Transaction and Allocation Policy - Equity

Where practicable, all client portfolio orders for the same security should be
combined or "batched" and executed as block transactions in order to facilitate
best execution as well as for the purpose of negotiating more favorable
brokerage commissions. Where a block trade is executed for a number of client
accounts, the average execution price on all of the purchases and sales that are
aggregated to this purpose should be used for all accounts.

If an entire block is not fully executed on the same day, an allocation method
should be administered that is fair and reasonable to all clients. If it is not
practicable to allocate the executed portion of the block on a pro rata basis,
allocation may be done on a random account basis (alphabetically, numerically,
or otherwise), but any procedure administered should not operate to consistently
favor or disfavor the same client accounts. If any method is to be used other
than a pro rata method, the manner in which the shares are to be allocated
should be documented, disclosed and signed off by the Chief Compliance Officer.

(A)(3) COMPENSATION STRUCTURE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

INFORMATION PROVIDED AS OF FEBRUARY 15, 2012

Aberdeen recognizes the importance of compensation in attracting and retaining
talent and has structured remuneration to include an attractive base salary, a
discretionary bonus that is directly linked to one's contribution to the overall
success of Aberdeen and a long term incentive plan for key staff members
comprised of a mixture of cash, options, and shares. Overall compensation
packages are designed to be competitive relative to investment management
industry standards. In addition to an attractive compensation package, Aberdeen
also offers a first class benefits package.

The compensation policy has been designed to deliver additional rewards through
appropriate incentive schemes, both annual and long term. These are directly
linked to performance at both a corporate and an individual level. The policy
seeks to reward performance in a manner which aligns the interests of clients,
shareholders and executives. As the level of the bonus goes up, the amount of
equity given to an investment professional goes up.

Performance is reviewed on a formal basis once a year and these reviews
influence individual staff members' subsequent remuneration. The review process
looks at all of the ways in which an individual has contributed to the
organization, and specifically, in the case of investment managers, to the
investment team. Overall participation in team meetings, quality of research
analysis, and presenting the team externally are also contributory factors.

These reviews are subjective and are not tied to any pre-determined formula
(i.e., directly linked to new assets raised). While the quantum of bonuses can
be very attractive, equity incentives offer the potential to form a
substantially greater part of compensation over the longer term. Therefore, the
equity component of the compensation plan provides the opportunity for direct
ownership, which in our view directly aligns the interests of the investment
team with those of our clients. The equity component typically vests annually
over a 3-year period. Leavers who depart prior to the end of the full vesting
period would typically forfeit their ownership stake.

When determining compensation, Fund performance is calculated using pre-tax
information. Fund performance is compared to standards such as peer performance
and benchmarks when determining compensation, with specific metrics including a
comparison to the Fund's benchmark. When determining compensation, Aberdeen
Group utilizes rolling twelve month periods and the life of the Fund.

As noted above, portfolio manager performance on investment matters is
considered over all of the accounts of which a portfolio manager contributes and
it is documented in the appraisal process. However, since the performance of
other accounts is subjective portion of a portfolio manager's annual bonus
consideration, it is deliberated in a general fashion without a set method or
specialized compensation structure.

(A)(4) DISCLOSURE OF SECURITIES OWNERSHIP

INFORMATION PROVIDED AS OF DECEMBER 31, 2011

Name of Portfolio Manager Dollar ($) Range of
or Fund Shares
Team Member Beneficially Owned
----------- -------------------

Devan Kaloo $0
Joanne Irvine $0
Mark Gordon-James $0
Brett Diment $0
Max Wolman $0

(B) Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

None.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

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

(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the registrant's second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.

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

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

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

(registrant) First Trust/Aberdeen Emerging Opportunity Fund
----------------------------------------------------------------

By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)

Date February 21, 2012
--------------------------

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.

By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)

Date February 21, 2012
--------------------------

By (Signature and Title)* /s/ James M. Dykas
--------------------------------------------------
James M. Dykas, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)

Date February 21, 2012
--------------------------

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