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First Trust Active Factor Large Cap ETF (AFLG)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

IssuerFirst Trust
Inception DateDec 3, 2019
RegionNorth America (U.S.)
CategoryLarge Cap Growth Equities
Index TrackedGoldman Sachs ActiveBeta U.S. Large Cap Equity Index
Home Pagewww.ftportfolios.com
Asset ClassEquity

Asset Class Size

Large-Cap

Asset Class Style

Blend

Expense Ratio

AFLG has a high expense ratio of 0.55%, indicating higher-than-average management fees.


Expense ratio chart for AFLG: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Share Price Chart


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Compare to other instruments

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


First Trust Active Factor Large Cap ETF

Popular comparisons: AFLG vs. FNILX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in First Trust Active Factor Large Cap ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


40.00%50.00%60.00%70.00%December2024FebruaryMarchAprilMay
64.55%
70.46%
AFLG (First Trust Active Factor Large Cap ETF)
Benchmark (^GSPC)

S&P 500

Returns By Period

First Trust Active Factor Large Cap ETF had a return of 13.58% year-to-date (YTD) and 30.81% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date13.58%11.24%
1 month4.49%4.04%
6 months19.80%16.49%
1 year30.81%26.17%
5 years (annualized)N/A13.76%
10 years (annualized)N/A10.70%

Monthly Returns

The table below presents the monthly returns of AFLG, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.10%6.23%4.33%-5.03%13.58%
20235.53%-2.55%1.35%0.55%-1.50%7.31%2.51%-1.50%-3.97%-1.72%8.31%5.04%20.10%
2022-5.98%-2.43%3.87%-7.34%0.34%-8.93%7.82%-3.30%-8.59%9.76%4.93%-5.60%-16.41%
20210.51%2.11%4.32%4.38%0.89%1.63%2.14%2.90%-5.17%6.08%-0.60%5.69%27.29%
2020-0.78%-9.62%-13.64%12.41%5.09%1.37%5.23%5.89%-3.34%-3.27%10.03%3.76%10.31%
20192.77%2.77%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of AFLG is 90, placing it in the top 10% of ETFs on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of AFLG is 9090
AFLG (First Trust Active Factor Large Cap ETF)
The Sharpe Ratio Rank of AFLG is 9595Sharpe Ratio Rank
The Sortino Ratio Rank of AFLG is 9595Sortino Ratio Rank
The Omega Ratio Rank of AFLG is 9292Omega Ratio Rank
The Calmar Ratio Rank of AFLG is 8181Calmar Ratio Rank
The Martin Ratio Rank of AFLG is 8787Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for First Trust Active Factor Large Cap ETF (AFLG) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


AFLG
Sharpe ratio
The chart of Sharpe ratio for AFLG, currently valued at 2.88, compared to the broader market0.002.004.006.002.88
Sortino ratio
The chart of Sortino ratio for AFLG, currently valued at 4.17, compared to the broader market0.005.0010.004.17
Omega ratio
The chart of Omega ratio for AFLG, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for AFLG, currently valued at 2.28, compared to the broader market0.005.0010.0015.002.28
Martin ratio
The chart of Martin ratio for AFLG, currently valued at 12.25, compared to the broader market0.0020.0040.0060.0080.00100.0012.25
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.43, compared to the broader market0.002.004.006.002.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.44, compared to the broader market0.005.0010.003.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.96, compared to the broader market0.005.0010.0015.001.96
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.23, compared to the broader market0.0020.0040.0060.0080.00100.009.23

Sharpe Ratio

The current First Trust Active Factor Large Cap ETF Sharpe ratio is 2.88. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of First Trust Active Factor Large Cap ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.88
2.43
AFLG (First Trust Active Factor Large Cap ETF)
Benchmark (^GSPC)

Dividends

Dividend History

First Trust Active Factor Large Cap ETF granted a 1.22% dividend yield in the last twelve months. The annual payout for that period amounted to $0.38 per share.


PeriodTTM20232022202120202019
Dividend$0.38$0.42$0.35$0.26$0.28$0.04

Dividend yield

1.22%1.53%1.52%0.93%1.28%0.20%

Monthly Dividends

The table displays the monthly dividend distributions for First Trust Active Factor Large Cap ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.02$0.00$0.00$0.02
2023$0.00$0.00$0.06$0.00$0.00$0.07$0.00$0.00$0.00$0.00$0.00$0.28$0.42
2022$0.00$0.00$0.06$0.00$0.00$0.06$0.00$0.00$0.07$0.00$0.00$0.16$0.35
2021$0.00$0.00$0.04$0.00$0.00$0.07$0.00$0.00$0.01$0.00$0.00$0.15$0.26
2020$0.00$0.00$0.06$0.00$0.00$0.08$0.00$0.00$0.06$0.00$0.00$0.09$0.28
2019$0.04$0.04

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-0.46%
-0.29%
AFLG (First Trust Active Factor Large Cap ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the First Trust Active Factor Large Cap ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the First Trust Active Factor Large Cap ETF was 35.84%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.

The current First Trust Active Factor Large Cap ETF drawdown is 0.46%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.84%Feb 18, 202025Mar 23, 2020113Sep 1, 2020138
-23.48%Dec 30, 2021190Sep 30, 2022320Jan 10, 2024510
-9.11%Sep 3, 202014Sep 23, 202038Nov 16, 202052
-5.99%Sep 3, 202121Oct 4, 202121Nov 2, 202142
-5.8%Apr 1, 202415Apr 19, 202418May 15, 202433

Volatility

Volatility Chart

The current First Trust Active Factor Large Cap ETF volatility is 3.20%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
3.20%
3.00%
AFLG (First Trust Active Factor Large Cap ETF)
Benchmark (^GSPC)