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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


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S&P 500

Returns By Period

First Trust Active Factor Small Cap ETF (AFSM) returned -3.21% year-to-date (YTD) and 2.76% over the past 12 months.


AFSM

YTD

-3.21%

1M

4.72%

6M

-11.01%

1Y

2.76%

3Y*

7.14%

5Y*

13.01%

10Y*

N/A

^GSPC (Benchmark)

YTD

0.52%

1M

6.32%

6M

-1.44%

1Y

12.25%

3Y*

12.45%

5Y*

14.20%

10Y*

10.84%

*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%5.41%-3.21%
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%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AFSM is 18, meaning it’s performing worse than 82% 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 1818
Overall Rank
The Sharpe Ratio Rank of AFSM is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of AFSM is 1818
Sortino Ratio Rank
The Omega Ratio Rank of AFSM is 1717
Omega Ratio Rank
The Calmar Ratio Rank of AFSM is 1818
Calmar Ratio Rank
The Martin Ratio Rank of AFSM is 1717
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 Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

First Trust Active Factor Small Cap ETF Sharpe ratios as of May 30, 2025 (values are recalculated daily):

  • 1-Year: 0.12
  • 5-Year: 0.60
  • All Time: 0.30

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of First Trust Active Factor Small Cap ETF compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend History

First Trust Active Factor Small Cap ETF provided a 0.69% 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

0.69%0.58%0.92%1.28%0.35%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$0.01$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$0.03$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.


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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 12.23%.


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
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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