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First Trust Active Factor Small Cap ETF (AFSM)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

Inception Date

Dec 3, 2019

Region

North America (U.S.)

Leveraged

1x

Index Tracked

No Index (Active)

Asset Class

Equity

Asset Class Size

Small-Cap

Asset Class Style

Blend

Expense Ratio

AFSM has an expense ratio of 0.77%, placing it in the medium range.


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.


Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in First Trust Active Factor Small 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.


20.00%40.00%60.00%80.00%100.00%December2025FebruaryMarchAprilMay
48.76%
81.96%
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)

Returns By Period

First Trust Active Factor Small Cap ETF (AFSM) returned -5.24% year-to-date (YTD) and 0.09% over the past 12 months.


AFSM

YTD

-5.24%

1M

14.69%

6M

-12.74%

1Y

0.09%

5Y*

14.45%

10Y*

N/A

^GSPC (Benchmark)

YTD

-3.70%

1M

13.67%

6M

-5.18%

1Y

9.18%

5Y*

14.14%

10Y*

10.43%

*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.63%-5.96%-3.55%-1.36%3.20%-5.24%
2024-1.53%5.84%2.85%-5.54%4.69%-2.20%9.63%-1.51%1.37%-2.22%8.99%-8.22%10.99%
20237.51%0.28%-4.58%-1.58%-1.02%9.87%5.46%-3.99%-4.11%-5.75%8.74%11.55%22.22%
2022-10.08%2.39%0.41%-7.73%2.11%-9.86%10.82%-4.67%-9.09%11.91%4.10%-6.09%-17.50%
20215.50%5.74%1.56%2.89%1.42%1.76%-2.48%2.90%-2.98%4.54%-1.16%4.12%26.03%
2020-4.01%-9.72%-22.73%17.70%1.95%2.32%4.85%4.67%-2.38%-0.22%13.50%8.73%8.45%
20192.63%2.63%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AFSM is 21, meaning it’s performing worse than 79% of other ETFs on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of AFSM is 2121
Overall Rank
The Sharpe Ratio Rank of AFSM is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of AFSM is 2222
Sortino Ratio Rank
The Omega Ratio Rank of AFSM is 2121
Omega Ratio Rank
The Calmar Ratio Rank of AFSM is 2121
Calmar Ratio Rank
The Martin Ratio Rank of AFSM is 2020
Martin 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 Small Cap ETF (AFSM) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The current First Trust Active Factor Small Cap ETF Sharpe ratio is 0.00. 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 Small 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 Ratio-1.000.001.002.003.00December2025FebruaryMarchAprilMay
0.00
0.48
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)

Dividends

Dividend History

First Trust Active Factor Small Cap ETF provided a 0.71% dividend yield over the last twelve months, with an annual payout of $0.20 per share.


0.40%0.60%0.80%1.00%1.20%$0.00$0.05$0.10$0.15$0.20$0.25$0.30201920202021202220232024
Dividends
Dividend Yield
PeriodTTM202420232022202120202019
Dividend$0.20$0.18$0.25$0.29$0.10$0.12$0.07

Dividend yield

0.71%0.59%0.92%1.28%0.36%0.53%0.32%

Monthly Dividends

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025$0.00$0.00$0.05$0.00$0.00$0.05
2024$0.00$0.00$0.03$0.00$0.00$0.05$0.00$0.00$0.02$0.00$0.00$0.08$0.18
2023$0.00$0.00$0.04$0.00$0.00$0.05$0.00$0.00$0.00$0.00$0.00$0.16$0.25
2022$0.00$0.00$0.02$0.00$0.00$0.07$0.00$0.00$0.06$0.00$0.00$0.15$0.29
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.02$0.00$0.00$0.08$0.10
2020$0.00$0.00$0.00$0.00$0.00$0.04$0.00$0.00$0.02$0.00$0.00$0.06$0.12
2019$0.07$0.07

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-14.07%
-7.82%
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the First Trust Active Factor Small 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 Small Cap ETF was 43.54%, occurring on Mar 23, 2020. Recovery took 179 trading sessions.

The current First Trust Active Factor Small Cap ETF drawdown is 14.07%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.54%Jan 17, 202045Mar 23, 2020179Dec 4, 2020224
-28.27%Nov 17, 2021215Sep 26, 2022349Feb 15, 2024564
-25.07%Nov 12, 2024100Apr 8, 2025
-9.26%Aug 1, 20245Aug 7, 202446Oct 11, 202451
-8.21%Mar 16, 20217Mar 24, 202122Apr 26, 202129

Volatility

Volatility Chart

The current First Trust Active Factor Small Cap ETF volatility is 10.19%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
10.19%
11.21%
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)