First Trust High Income Long/Short Fund (FSD)

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	Fact Sheet

Fund Summary

Investment Objective/Strategy - First Trust High Income Long/Short Fund (the "Fund") is a diversified, closed-end management investment company. The Fund's primary investment objective is to provide current income. The Fund's secondary objective is capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, a majority of its assets in a diversified portfolio of U.S. and foreign (including emerging markets) high-yield corporate fixed-income securities of varying maturities that are rated below-investment grade at the time of purchase. For purposes of this strategy, "corporate fixed-income securities" include corporate bonds, debentures, notes, commercial paper and other similar types of corporate debt instruments, including instruments issued by corporations with direct or indirect government ownership, as well as asset-backed securities, preferred shares, senior floating-rate loan participations, commitments and assignments, payment-in-kind securities, zero-coupon bonds, bank certificates of deposit, fixed time deposits, bankers' acceptances and derivative instruments that provide the same or similar economic impact as a physical investment in the above securities. Below-investment grade fixed-income securities 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. As part of its investment strategy, the Fund intends to maintain both long and short positions in securities under normal market conditions. The Fund will take long positions in securities that the Fund's Sub-Advisor believes offer the potential for attractive returns and that it considers in the aggregate to have the potential to outperform the Fund's benchmark, the ICE BofA US High Yield Constrained Index (the "Index"). The Fund will take short positions in securities that the Sub-Advisor believes in the aggregate will underperform the Index. The Fund's long positions, either directly or through derivatives, may total up to 130% of the Fund's Managed Assets. The Fund's short positions, either directly or through derivatives, may total up to 30% of the Fund's Managed Assets. "Managed Assets" means the average daily gross asset value of the Fund (which includes the principal amount of any borrowings), minus the sum of the Fund's liabilities.

There can be no assurance that the Fund's investment objectives will be achieved. The Fund may not be appropriate for all investors.

Fund Overview

Ticker	FSD
Fund Type	High Yield Bond
Investment Advisor	First Trust Advisors L.P.
Portfolio Manager/Sub-Advisor	MacKay Shields LLC
Investor Servicing Agent	BNY Mellon Investment Servicing (US) Inc.
CUSIP	33738E109
Fiscal Year-End	10/31
Exchange	NYSE
Inception	9/27/2010
Inception Price	$20.00
Inception NAV	$19.10

Current Fund Data (as of 3/20/2023)

Closing NAV¹	$12.36
Closing Market Price²	$10.90
Discount to Net Asset Value (NAV)	11.81%
Total Managed Assets	$564,756,541
Common Shares Outstanding	33,291,015
Dividend Frequency	Monthly
Dividend Per Share Amt³	$0.1050
Distribution Rate⁴	11.56%
Daily Volume	82,233
Average 30-Day Daily Volume	79,631
Closing Market Price 52-Week High/Low	$13.77 / $10.56
Closing NAV 52-Week High/Low	$14.90 / $12.27

Expense Ratios (as of 10/31/2022)

Annual Expenses	Percent of Net Assets	Percent of Managed Assets
Management Fees	1.00%	1.00%
Other Expenses	0.13%	0.13%
Total Operating Expenses	1.13%	1.13%

Leverage Costs	1.09%	1.09%

Total Annual Expenses	2.22%	2.22%

Leverage costs include the interest expense on investments sold short.

Leverage Information (as of 2/28/2023)⁷

Total Net Assets with Leverage	$564,756,541
Amount Attributable to Common Shares	$421,678,848
Amount Attributable to Other Borrowings	$143,077,693
Leverage (% of Total Adjusted Net Assets)	25.33%

Industry Breakdown (as of 2/28/2023)⁸

	Industry	Percent
	Energy	15.14%
	Services	10.69%
	Media	8.83%
	Leisure	7.26%
	Capital Goods	6.83%
	Healthcare	5.88%
	Basic Industry	5.86%
	Consumer Goods	4.96%
	Retail	4.88%
	Automotive	4.77%
	Telecommunications	4.05%
	Technology & Electronics	3.76%
	Banking	3.56%
	Financial Services	3.45%
	Utility	3.15%
	Real Estate	2.66%
	Transportation	2.35%
	Insurance	1.56%
	Commercial Mortgage-Backed Securities	0.36%

Market Price and NAV History (Since Inception)

Past performance is not indicative of future results.

% Premium/Discount (Since Inception)

Credit Quality of Fixed-Income Investments (as of 2/28/2023)⁸

	Credit Quality	Percent
	BBB- and above	17.85%
	BB	52.73%
	B	25.34%
	CCC+ and below	4.07%
	NR	0.01%

The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody's Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
Percentages of credit quality are based on the Fixed-Income Investments Long positions only; Short positions are excluded.

Portfolio Statistics (as of 2/28/2023)

Avg Position Size as % of Total Investments	0.25%
Largest Position as % of Total Investments	1.10%
Weighted Average Effective Duration⁵	5.11 Years
Weighted Average Effective Maturity	3.88 Years
Weighted Average Yield-to-Worst⁶	10.10%
Gross Assets	102.26%
Net Long Positions	88.81%
Short Positions	-13.45%
Short Position Exposure - U.S. Treasury Securities	92.45%
Short Position Exposure - Corporate Bond Securities	7.55%

NOTE: Portfolio Statistics are exclusive of cash and other assets and liabilities.

Asset Type Breakdown (as of 2/28/2023)⁸

Asset	Percent
Corporate Bonds and Notes	74.03%
Foreign Corporate Bonds and Notes	18.67%
Capital Preferred Securities	5.27%
Senior Floating-Rate Loan Interests	1.60%
Mortgage Backed	0.37%
Equity	0.06%

Performance (as of 2/28/2023)

	3 Month	YTD	1 Year	3 Year	5 Year	10 Year	Since Fund Inception⁹
Fund Performance *
Net Asset Value (NAV)	1.76%	2.65%	-7.14%	0.79%	2.62%	4.20%	5.28%
Market Price	2.19%	3.54%	-6.20%	2.62%	3.04%	3.71%	4.18%

On January 3, 2023, the fair value methodology used to value the senior loan investments held by the fund was changed. Prior to that date, the senior loans were valued using the bid side price provided by a pricing service. After such date, the senior loans were valued using the midpoint between the bid and ask price provided by a pricing service. The change in the fund’s fair value methodology on January 3, 2023, resulted in a one-time increase in the fund’s net asset value of approximately $0.005 per share on that date, which represented a positive impact on the fund’s performance of 0.04%. Without the change to the pricing methodology, the performance of the fund on a NAV basis would have been 1.68%, 2.57%, -7.21%, 0.77%, 2.61%, 4.19%, and 5.27%, in the three-month, year-to-date, one-year, three-year, five-year, ten-year and since fund inception periods ended February 28, 2023, respectively.

*Total return is 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 the NAV and Market Price. The NAV total return takes into account the fund's total annual expenses and does not reflect sales load. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative. Past performance is not indicative of future results.

Footnotes

¹	The fund's NAV is calculated by dividing the value of all the fund's assets, less all liabilities, by the total number of common shares outstanding.
²	Fund shares are purchased and sold on an exchange at their market price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
³	Most recent distribution paid or declared to today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
⁴	Distribution rates are calculated by annualizing the most recent distribution paid or declared through today's date and then dividing by the most recent market price. The distribution consists of the sum of net investment income, net realized short-term capital gains, net realized long-term capital gains, and return of capital. Distribution rates may vary. Any distribution adjustment will not be reflected until after the declaration date for the next distribution. See the fund's 19a-1 Notices, if any, located under the "News & Literature" section of the website for estimates of distribution sources. Final determination of the source and tax status of all distributions paid in the current year will be made after year-end.
⁵	A measure of a bond's sensitivity to interest rate changes that reflects the change in a bond's price given a change in yield. It accounts for the likelihood of changes in the timing of cash flows in response to interest rate movements. The number shown is based on Net Assets.
⁶	YTW is the worst possible annualized yield on a preferred security or bond without the issuer defaulting. Annualized yield is calculated at all call dates and to maturity or perpetuity, and the YTW is the lowest of all calculated yields. The calculation does not include the effect of fund fees and expenses.
⁷	Leverage is a technique where a closed-end fund's manager borrows assets at one rate and invests the proceeds from the borrowed assets at another rate, seeking to increase yield and total return. Use of leverage can result in additional risk and cost, and can magnify the effect of any losses.
⁸	Market value information used in calculating the percentages is based upon trade date plus one recording of transactions, which can differ from regulatory financial reports (Forms N-CSR and N-PORT Part F) that are based on trade date recording of security transactions. Holdings are subject to change.
⁹	Inception Date is 9/27/2010

Risk Considerations

Risks are inherent in all investing. Certain risks applicable to the Fund are identified below, which includes the risk that you could lose some or all of your investment in the Fund. The principal risks of investing in the Fund are spelled out in the Fund's annual shareholder reports. The order of the below risk factors does not indicate the significance of any particular risk factor. The Fund also files reports, proxy statements and other information that is available for review.

Investment return and market value of an investment in the fund will fluctuate. Shares, when sold, may be worth more or less than their original cost.

In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed "reasonably" normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

The fund invests in non-investment grade debt instruments, commonly referred to as "high-yield securities". High yield securities are subject to greater market fluctuations and risk of loss than securities with higher ratings. Lower-quality debt tends to be less liquid than higher-quality debt.

The debt securities in which the fund invests are subject to certain risks, including issuer risk, reinvestment risk, prepayment risk, credit risk, and interest rate risk. Issuer risk is the risk that the value of fixed-income securities may decline for a number of reasons which directly relate to the issuer. Reinvestment risk 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. Prepayment risk is the risk that, upon a prepayment, the actual outstanding debt on which the fund derives interest income will be reduced. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and that the value of a security may decline as a result. Interest rate risk is the risk that fixed-income securities will decline in value because of changes in market interest rates.

In times of unusual or adverse market, economic, regulatory or political conditions, the fund may not be able, fully or partially, to implement its short selling strategy. Short selling creates special risks which could result in increased volatility of returns and may result in greater gains or greater losses.

The fund invests in securities of non-U.S. issuers which are subject to higher volatility than securities of U.S. issuers. Because the fund invests in non-U.S. securities, you may lose money if the local currency of a non-U.S. market depreciates against the U.S. dollar.

To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.

The risks of investing in the fund are spelled out in the prospectus, shareholder report and other regulatory filings.

CUSIP identifiers have been provided by CUSIP Global Services, managed on behalf of the American Bankers Association by FactSet Research Systems Inc. and are not for use or dissemination in a manner that would serve as a substitute for any CUSIP service. The CUSIP Database, ©2023 CUSIP Global Services. "CUSIP" is a registered trademark of the American Bankers Association.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value