FDD First Trust STOXX European Select Dividend Income Fund

[PHOTO OMMITTED] Robert F. Carey, CFA
 Senior Vice President and Chief Investment Officer
 First Trust Advisors L.P.

Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 21 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep.

MARKET OVERVIEW - FIRST TRUST DJ STOXX(R) SELECT DIVIDEND 30 INDEX FUND. The weakness in the dollar had a significant impact on the return of the First Trust DJ STOXX(R) Select Dividend 30 Index Fund ("FDD"). While this type of weakness in the U.S. dollar is beyond the norm for such a narrow scope of time (the month covering the inception of FDD to 9/30/07), this illustrates one of the primary reasons why U.S. investors diversify into non-dollar denominated securities.

The first month of trading for FDD would have been largely uneventful had it not been for a shift in the Federal Reserve Board's (the "Fed") monetary policy which was not well received by foreign investors. The Fed cut the federal funds target rate by 50 basis points on September 18, 2007 to 4.75% and again on October 31, 2007 to 4.50%. The added stimulus to the economy was intended to counter the growing weakness in the U.S. housing market and fallout from the surge in non-performing subprime mortgages.

However, foreign investors viewed the rate cut as inflationary in nature. Foreign investors sold out of U.S. securities, which, in turn, drove down the already sluggish U.S. dollar. From August 27 through September 30, 2007, the dollar declined in value by 3.82% against the Euro -- a significant drop for such a short time span, as mentioned above. Since FDD's inception, the U.S. dollar also declined 3.70% versus a basket of major currencies (U.S. Trade-Weighted Index), nearly matching the decline against the Euro.

MARKET OVERVIEW - FIRST TRUST FTSE EPRA/NAREIT GLOBAL REAL ESTATE INDEX FUND. The First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund ("FFR") posted a high return in its first month of trading compared to the broad market. The strong performance was driven by Asia and North America. Europe was down slightly. Of the three regions, Asia has been the best-performing commercial real estate market so far in 2007. North America and Europe have experienced more inflationary pressures than Asia. The European Central Bank (the "ECB"), in particular, has been steadfast in boosting its lending rates in an effort to curb inflation. While the Fed did lower its federal funds target rate by 50 basis points in September, the ECB did not follow suit. Real estate, like many debt securities, can depreciate in value in the face of rising interest rates. We do not believe that current rate levels are problematic at this time.

The U.S. dollar declined 3.70% versus a basket of major currencies (U.S. Trade-Weighted Index) since FFR's inception. The weakness in the dollar did contribute to FFR's high return, especially in regards to the holdings in Asia. While this type of weakness in the U.S. dollar is beyond the norm for such a narrow scope of time (the month covering the inception of FFR to 9/30/07), this illustrates one of the primary reasons why U.S. investors diversify into non-dollar denominated securities.

FDD - FIRST TRUST DJ STOXX(R) SELECT DIVIDEND 30 INDEX FUND

First Trust DJ STOXX(R) Select Dividend 30 Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Dow Jones STOXX(R) Select Dividend 30 Index (the "STOXX Index"). The Shares of the Fund are listed and trade on the American Stock Exchange under the ticker symbol "FDD." The Fund will normally invest at least 90% of its total assets in non-U.S. common stocks that comprise the STOXX Index or in depositary receipts that may include American Depositary Receipts, Global Depositary Receipts, European Depositary Receipts, New York shares or global shares representing securities in the Index. The Fund began trading on August 30, 2007.

The STOXX Index consists of 30 securities selected from the Dow Jones STOXX(R) 600 Index, including secondary lines of those companies (where there are multiple lines of equity capital in a company), which includes the highest dividend-yielding companies across 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The STOXX Index is compiled and maintained by STOXX Limited. Only dividend-paying companies in the Dow Jones STOXX(R) 600 Index (including secondary lines of those companies) are considered for inclusion in the STOXX Index. In addition, a company must have a non-negative five-year dividend-per-share growth rate and a dividend-to-earnings ratio of 60% or less.

PERFORMANCE REVIEW

From inception (August 27, 2007) through September 30, 2007, the Fund has posted an NAV return of 3.23%, vs. 6.22% for its benchmark index, the Dow Jones STOXX(R) 600 Index.

The top five performing stocks, over the period ended September 30, 2007, by contribution to return, were StatoilHydro ASA, Vodafone Group PLC, France Telecom SA, RWE AG and Amlin PLC. The worst-performing stocks, by percentage loss, were Alliance & Leicester PLC, DSG International PLC, Independent News & Media PLC, Norske Skogindustrier ASA and Irish Life & Permanent PLC.

Telecommunications services and energy were the best-performing sectors over the period ended September 30, 2007. The energy sector was the best performing sector with a return of 16.3% and an 8.9% average weight in the Fund. Telecommunications services returned 9.6% and had an average weighting of 24.3%. Consumer discretionary, with a 6.6% average weight in the Fund, detracted from performance with a negative return of 15.9%. The materials sector also hurt performance with a negative return of 3.7% and a 7.3% average weighting.

German and Norwegian securities had the biggest contribution to return over the period. German securities contributed +127 basis points to the Fund's return and had a 15.0% average weight. Norwegian securities contributed +103 basis points to the Fund's return and had a 10.7% average weight in the Fund. Irish securities (-94 basis points, 8.4% average weight) and United Kingdom securities (-20 basis points, 29.3% average weight) both detracted from performance.

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 Interested Trustee
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 NUMBER OF
 PORTFOLIOS IN
 TERM OF OFFICE THE FIRST TRUST OTHER
 POSITION AND AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR
 NAME, ADDRESS OFFICES WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS
 AND DATE OF BIRTH TRUST APPOINTED DURING PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
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James A. Bowen(1) President, o Indefinite term President, First Trust 57 Trustee of
1001 Warrenville Road Chairman of Advisors L.P. and First Wheaton College
Suite 300 the Board, o 2006 Trust Portfolios L.P.;
Lisle, IL 60532 Chief Chairman of the Board,
DOB: 9/55 Executive BondWave LLC (Software
 Officer and Development Company/
 Trustee Broker-Dealer) and
 Stonebridge Advisors LLC
 (Investment Advisor)

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 Independent Trustees
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Richard E. Erickson Trustee o Indefinite term Physician; President, 57 NONE
c/o First Trust Advisors Wheaton Orthopedics;
L.P. o 2006 Co-Owner and Co-Director,
1001 Warrenville Road (January 1996 to May 2007),
Suite 300 Sports Med Center for
Lisle, IL 60532 Fitness; Limited Partner,
DOB: 4/51 Gundersen Real Estate
 Partnership; Limited
 Partner, Sportsmed LLC

Thomas R. Kadlec Trustee o Indefinite term Senior Vice President (May 57 NONE
c/o First Trust Advisors 2007 to Present), Vice
L.P. o 2006 President and Chief
1001 Warrenville Road Financial Officer (1990 to
Suite 300 May 2007), ADM Investor
Lisle, IL 60532 Services, Inc. (Futures
DOB: 11/57 Commission Merchant); Vice
 President (May 2005 to
 Present), ADM Derivatives,
 Inc.; Registered
 Representative (2000 to
 present), Segerdahl &
 Company, Inc., an NASD
 member (Broker-Dealer)

Robert F. Keith Trustee o Indefinite term President (2003 to Present), 57 NONE
c/o First Trust Advisors Hibs Enterprises (Financial
L.P. o 2006 and Management Consulting);
1001 Warrenville Road President (2001 to 2003),
Suite 300 Aramark Service Master
Lisle, IL 60532 Management; President and
DOB: 11/58 Chief Operating Officer
 (1998 to 2003), Service
 Master Management Services

Niel B. Nielson Trustee o Indefinite term President (June 2002 to 57 Director of
c/o First Trust Advisors Present), Covenant College Covenant
L.P. o 2006 Transport Inc.
1001 Warrenville Road
Suite 300
Lisle, IL 60532
DOB: 3/54

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 Officers
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 POSITION(S) TERM OF OFFICE
 NAME, ADDRESS, AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION(S)
 DATE OF BIRTH FUNDS TIME SERVED DURING PAST FIVE YEARS
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Mark R. Bradley Treasurer, Controller, o Indefinite term Chief Financial Officer, First Trust Advisors
1001 Warrenville Road Chief Financial Officer L.P. and First Trust Portfolios L.P.; Chief
Suite 300 and Chief Accounting o 2006 Financial Officer, BondWave LLC (Software
Lisle, IL 60532 Officer Development Company/Broker-Dealer) and
DOB: 11/57 Stonebridge Advisors LLC (Investment Advisor)

Kelley Christensen Vice President o Indefinite term Assistant Vice President, First Trust
1001 Warrenville Road Portfolios L.P. and First Trust Advisors L.P.
Suite 300 o 2006
Lisle, IL 60532
DOB: 9/70

James M. Dykas Assistant Treasurer o Indefinite term Senior Vice President (April 2007 to
1001 Warrenville Road Present), Vice President (January 2005 to
Suite 300 o 2006 April 2007), First Trust Advisors L.P. and
Lisle, IL 60532 First Trust Portfolios L.P.; Executive
DOB: 1/66 Director (December 2002 to January 2005),
 Vice President (December 2000 to December
 2002), Van Kampen Asset Management and Morgan
 Stanley Investment Management

W. Scott Jardine Secretary and Chief o Indefinite term General Counsel, First Trust Advisors L.P.
1001 Warrenville Road Compliance Officer and First Trust Portfolios L.P.; Secretary,
Suite 300 o 2006 BondWave LLC (Software Development
Lisle, IL 60532 Company/Broker-Dealer) and Stonebridge
DOB: 5/60 Advisors LLC (Investment Advisor)

Daniel J. Lindquist Vice President o Indefinite term Senior Vice President (September 2005 to
1001 Warrenville Road Present), Vice President (April 2004 to
Suite 300 o 2006 September 2005), First Trust Advisors L.P.
Lisle, IL 60532 and First Trust Portfolios L.P.; Chief
DOB: 2/70 Operating Officer (January 2004 to April
 2004), Mina Capital Management, LLC; Chief
 Operating Officer (April 2000 to January
 2004), Samaritan Asset Management Services,
 Inc.

Kristi A. Maher Assistant Secretary o Indefinite term Deputy General Counsel (May 2007 to Present),
1001 Warrenville Road Assistant General Counsel (March 2004 to May
Suite 300 o 2006 2007), First Trust Advisors L.P. and First
Lisle, IL 60532 Trust Portfolios L.P.; Associate (1995-2004),
DOB: 12/66 Chapman and Cutler LLP

Roger Testin Vice President o Indefinite term Senior Vice President (November 2003 to
1001 Warrenville Road Present), Vice President (August 2001 to
Suite 300 o 2006 November 2003), First Trust Portfolios L.P.
Lisle, IL 60532 and First Trust Advisors L.P.; Analyst (1998
DOB: 6/66 to 2001), Dolan Capital Management

Stan Ueland Vice President o Indefinite term Vice President (August 2005 to Present),
1001 Warrenville Road First Trust Advisors L.P. and First Trust
Suite 300 o 2006 Portfolios L.P; Vice President (May 2004 to
Lisle, IL 60532 August 2005), BondWave LLC (Software
DOB: 11/70 Development Company/Broker-Dealer); Account
 Executive (January 2003 to May 2004), Mina
 Capital Management, LLC and Samaritan Asset
 Management Services, Inc.; Sales Consultant
 (January 1997 to January 2003), Oracle Corporation

Risk Considerations

YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT 1-800-621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT THE PARTICULAR FUND. READ IT CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF FIRST TRUST EXCHANGE-TRADED FUND II.

Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of shares called creation units can be purchased from, or redeemed to, the Fund.

You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index.

Each Fund's return may not match the return of its corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index.

Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index.

Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund.

The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole.

Each Fund may be concentrated in stocks of companies in an individual industry or sector if the Fund's corresponding index is concentrated in an individual industry or sector. You should be aware that an investment in a portfolio that is concentrated in an individual industry or sector involves additional risk, including limited diversification.

Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of their assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which they invest.

Each Fund invests in securities of European companies and, therefore, is 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. Additionally, European corporations and other entities with significant markets or operations in Europe adapting to a single transnational currency, the Euro, may have a material impact on revenues, expenses or income from operations; increase competition due to the increased price transparency of EU markets; affect issuers' currency exchange rate risk and derivatives exposure; disrupt current contracts; cause issuers to increase spending on information technology updates required for the conversion; and result in potential adverse tax consequences. Furthermore, you should be aware that investments in such companies are subject to additional risks associated with possible adverse economic, political and social occurrences in Europe.

Furthermore, the First Trust DJ STOXX(R) Select Dividend 30 Index Fund has a significant portion of its investment in securities issued by companies headquartered in the United Kingdom. The Fund may therefore be more susceptible to adverse economic, political or social occurrences in the United Kingdom and may subject the Fund to greater risk than funds that are not significantly invested in issuers headquartered in the United Kingdom.

The First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund invests in securities of Asian companies and, therefore, is subject to certain risks associated with possible adverse economic, political and social occurrences in Asia.

Each Fund's NAV is determined on the basis of the U.S. dollar. You may lose money if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund's holdings goes up.

Each Fund may hold securities of certain non-U.S. and non-Canadian companies in the form of Depositary Receipts. Depositary Receipts may not necessarily be denominated in the same currency as the underlying securities into which they may be converted. The issuers of unsponsored Depositary Receipts are not obligated to disclose material information in the United States; therefore, there may be less information available regarding such issuers and there may not be a correlation between such information and the market value of the Depositary Receipts.

Each Fund invests in securities of non-U.S. issuers. Investing in securities of non-U.S. issuers, which are generally denominated in non-U.S. currencies, may involve certain risks not typically associated with investing in securities of U.S. issuers such as there being less publicly available information about non-U.S. issuers or markets and non-U.S. markets being smaller, less liquid and more volatile than the U.S. market. These risks may be more pronounced to the extent that each Fund invests a significant amount of its assets in companies located in one region.

Each Fund may invest in small capitalization and mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies.

The First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund invests in companies that are considered to be "passive foreign investment companies" and could be subject to U.S. federal income tax and additional interest charges on gains and certain distributions with respect to those equity interests.

The First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund invests in companies in the real estate industry, including real estate investment trusts ("REITS") and is subject to the risks associated with investing in real estate such as possible declines in the value of real estate, adverse general and local economic conditions and changes in interest rates and environmental problems.

Additionally, the First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund's investment in REITs involves certain other risks related to their structure and focus such as dependency upon management skills, limited diversification and the risks of locating and managing financing for projects.

Furthermore, for the First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund, increases in interest rates typically lower the present value of a REIT's future earnings stream, and may make financing property purchases and improvements more costly. The value of the Fund will generally decline when investors anticipate or experience rising interest rates.

The First Trust FTSE EPRA/NAREIT Global Real Estate Index Fund may invest in real estate companies that may be affected by the downturn in the subprime mortgage lending market in the United States. The downturn in the subprime mortgage lending market may have far-reaching consequences into many aspects and geographic regions of the real estate business, and consequently, the value of the Fund may decline in response to such developments.

NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE

[LOGO OMMITTED] FIRST TRUST

ADVISORS L.P.

FIRST TRUST EXCHANGE-TRADED FUND II

INVESTMENT ADVISOR
First Trust Advisors L.P.
1001 Warrenville Road
Lisle, IL 60532

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York
101 Barclay Street
New York, NY 10286

BOARD ADMINISTRATOR
PFPC, Inc.
301 Bellevue Parkway
Wilmington, DE 19809

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

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