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AFSM vs. IWM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

AFSM vs. IWM

Last updated Jun 24, 2026

AFSM (First Trust Active Factor Small Cap ETF) and IWM (iShares Russell 2000 ETF) are both Small Cap Blend Equities funds. AFSM is actively managed, while IWM is passively managed. Over the past 5 years, AFSM returned 9.11%/yr vs 6.27%/yr for IWM. Their correlation of 0.95 suggests significant overlap in exposure. AFSM charges 0.77%/yr vs 0.19%/yr for IWM.

Performance

AFSM vs. IWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Active Factor Small Cap ETF (AFSM) and iShares Russell 2000 ETF (IWM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with AFSM having a 20.52% return and IWM slightly lower at 20.47%.

AFSM

1D
-0.58%
1M
4.71%
YTD
20.52%
6M
17.89%
1Y
35.47%
3Y*
19.05%
5Y*
9.11%
10Y*
—

IWM

1D
-0.96%
1M
3.82%
YTD
20.47%
6M
17.64%
1Y
40.90%
3Y*
19.22%
5Y*
6.27%
10Y*
11.58%
*Multi-year figures are annualized to reflect compound growth (CAGR)

AFSM vs. IWM - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
AFSM
First Trust Active Factor Small Cap ETF		20.52%9.99%10.55%22.23%-17.50%26.03%8.44%2.39%
IWM
iShares Russell 2000 ETF		20.47%12.66%11.38%16.83%-20.48%14.54%20.03%4.13%

Correlation

The correlation between AFSM and IWM is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.95

Correlation (3Y)
Calculated over the trailing 3-year period

0.96

Correlation (5Y)
Calculated over the trailing 5-year period

0.96

Correlation (All Time)
Calculated using the full available price history since Dec 4, 2019

0.95

The correlation between AFSM and IWM has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.

AFSM vs. IWM - Sectors Allocation Comparison

Sectors
AFSM
IWM

Technology

22.1%
20.1%

Industrials

17.1%
17.3%

Healthcare

16.7%
15.6%

Financial Services

13.4%
15.5%

Consumer Cyclical

8.0%
8.0%

Energy

6.3%
6.0%

Consumer Defensive

4.4%
2.0%

Basic Materials

4.3%
4.5%

Communication Services

3.8%
1.7%

Real Estate

3.4%
5.5%

Utilities

0.5%
3.1%

Technology

AFSM
22.1%
IWM
20.1%

Industrials

AFSM
17.1%
IWM
17.3%

Healthcare

AFSM
16.7%
IWM
15.6%

Financial Services

AFSM
13.4%
IWM
15.5%

Consumer Cyclical

AFSM
8.0%
IWM
8.0%

Energy

AFSM
6.3%
IWM
6.0%

Consumer Defensive

AFSM
4.4%
IWM
2.0%

Basic Materials

AFSM
4.3%
IWM
4.5%

Communication Services

AFSM
3.8%
IWM
1.7%

Real Estate

AFSM
3.4%
IWM
5.5%

Utilities

AFSM
0.5%
IWM
3.1%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Active Factor Small Cap ETF

iShares Russell 2000 ETF

Often compared with AFSM:
AFSM vs. IWCAFSM vs. AVUVAFSM vs. SMINAFSM vs. SDVYAFSM vs. SPYAFSM vs. iwmAFSM vs. FYC
Often compared with IWM:
IWM vs. SPYIWM vs. VTWOIWM vs. IJRIWM vs. AVUVIWM vs. IWNIWM vs. VOOIWM vs. TNA

Return for Risk

AFSM vs. IWM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
AFSM
AFSM Risk / Return Rank: 6767
Overall Rank
AFSM Sharpe Ratio Rank: 6464
Sharpe Ratio Rank
AFSM Sortino Ratio Rank: 6565
Sortino Ratio Rank
AFSM Omega Ratio Rank: 5858
Omega Ratio Rank
AFSM Calmar Ratio Rank: 7777
Calmar Ratio Rank
AFSM Martin Ratio Rank: 7171
Martin Ratio Rank
IWM
IWM Risk / Return Rank: 6767
Overall Rank
IWM Sharpe Ratio Rank: 6666
Sharpe Ratio Rank
IWM Sortino Ratio Rank: 6464
Sortino Ratio Rank
IWM Omega Ratio Rank: 5757
Omega Ratio Rank
IWM Calmar Ratio Rank: 7575
Calmar Ratio Rank
IWM Martin Ratio Rank: 7373
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AFSM vs. IWM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and iShares Russell 2000 ETF (IWM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

AFSMIWMDifference
Sharpe ratioReturn per unit of total volatility
1.94
2.08

-0.14

Sortino ratioReturn per unit of downside risk
2.76
2.86

-0.10

Omega ratioGain probability vs. loss probability

1.33

1.34

-0.01

Calmar ratioReturn relative to maximum drawdown

3.73

3.73

0.00

Martin ratioReturn relative to average drawdown

12.26

13.18

-0.92

AFSM vs. IWM - Sharpe Ratio Comparison

The current AFSM Sharpe Ratio is 1.94, which is comparable to the IWM Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of AFSM and IWM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

AFSM vs. IWM - Drawdown Comparison

The maximum AFSM drawdown since its inception was -43.54%, smaller than the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for AFSM and IWM.

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Drawdown Indicators

AFSMIWMDifference

Max Drawdown

Largest peak-to-trough decline

-43.54%

-59.05%

+15.51%

Max Drawdown (1Y)

Largest decline over 1 year

-9.56%

-11.03%

+1.47%

Max Drawdown (3Y)

Largest decline over 3 years

-25.07%

-27.50%

+2.43%

Max Drawdown (5Y)

Largest decline over 5 years

-28.27%

-31.91%

+3.64%

Max Drawdown (10Y)

Largest decline over 10 years

—

-41.13%

—

Current Drawdown

Current decline from peak

-0.58%

-0.96%

+0.38%

Average Drawdown

Average peak-to-trough decline

-9.41%

-10.75%

+1.34%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.90%

3.11%

-0.21%

Volatility

AFSM vs. IWM - Volatility Comparison

The current volatility for First Trust Active Factor Small Cap ETF (AFSM) is 5.98%, while iShares Russell 2000 ETF (IWM) has a volatility of 6.56%. This indicates that AFSM experiences smaller price fluctuations and is considered to be less risky than IWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

AFSMIWMDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.98%

6.56%

-0.58%

Volatility (6M)

Calculated over the trailing 6-month period

13.86%

14.31%

-0.45%

Volatility (1Y)

Calculated over the trailing 1-year period

18.37%

19.74%

-1.37%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.89%

22.61%

-1.72%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

25.37%

23.06%

+2.31%

AFSM vs. IWM - Expense Ratio Comparison

AFSM has a 0.77% expense ratio, which is higher than IWM's 0.19% expense ratio.

Dividends

AFSM vs. IWM - Dividend Comparison

AFSM's dividend yield for the trailing twelve months is around 0.45%, less than IWM's 0.90% yield.

PositionTTM20252024202320222021202020192018201720162015
AFSM
First Trust Active Factor Small Cap ETF		0.45%0.58%0.58%0.92%1.28%0.35%0.53%0.32%0.00%0.00%0.00%0.00%
IWM
iShares Russell 2000 ETF		0.90%1.04%1.15%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%

Frequently Asked Questions

With a correlation of 0.95, AFSM and IWM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

IWM has higher volatility (6.56%) compared to AFSM (5.98%). In terms of maximum drawdown, AFSM dropped -43.54% vs IWM's -59.05%.

On 5-year performance, AFSM leads with 9.11% vs 6.27% for IWM. On fees, IWM is cheaper at 0.19% per year. On volatility, AFSM has been the lower-risk option at 5.98%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, AFSM has performed better with a 9.11% return vs 6.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IWM is cheaper with a 0.19% expense ratio, compared with 0.77% for AFSM.

IWM has the higher dividend yield at 0.90%, compared with 0.45% for AFSM.

They also come from different issuers: First Trust and iShares. Their fees differ too: 0.77% for AFSM and 0.19% for IWM.

IWM currently has the higher Sharpe Ratio (2.08 vs 1.94), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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