PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
First Trust Active Factor Small Cap ETF (AFSM)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

IssuerFirst Trust
Inception DateDec 3, 2019
RegionNorth America (U.S.)
CategorySmall Cap Blend Equities, Actively Managed
Leveraged1x
Index TrackedNo Index (Active)
Home Pagewww.ftportfolios.com
Asset ClassEquity

Asset Class Size

Small-Cap

Asset Class Style

Blend

Expense Ratio

AFSM features an expense ratio of 0.77%, falling within the medium range.


Expense ratio chart for AFSM: current value at 0.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.77%

Share Price Chart


Loading data...

Compare to other instruments

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


Popular comparisons: AFSM vs. IWC, AFSM vs. iwm, AFSM vs. AVUV, AFSM vs. SMIN, AFSM vs. SPY

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.


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
8.23%
11.18%
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)

Returns By Period

First Trust Active Factor Small Cap ETF had a return of 11.19% year-to-date (YTD) and 26.78% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date11.19%21.18%
1 month5.83%5.18%
6 months8.23%11.17%
1 year26.78%32.06%
5 years (annualized)N/A14.28%
10 years (annualized)N/A11.94%

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
2024-1.53%5.84%2.85%-5.54%4.69%-2.20%9.63%-1.51%0.98%11.19%
20237.51%0.28%-4.57%-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%-9.85%10.82%-4.67%-9.09%11.91%4.10%-6.10%-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%8.44%
20192.63%2.63%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AFSM is 40, suggesting that the investment has average results relative to other ETFs in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of AFSM is 4040
AFSM (First Trust Active Factor Small Cap ETF)
The Sharpe Ratio Rank of AFSM is 3636Sharpe Ratio Rank
The Sortino Ratio Rank of AFSM is 3636Sortino Ratio Rank
The Omega Ratio Rank of AFSM is 3333Omega Ratio Rank
The Calmar Ratio Rank of AFSM is 5050Calmar Ratio Rank
The Martin Ratio Rank of AFSM is 4444Martin 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.


AFSM
Sharpe ratio
The chart of Sharpe ratio for AFSM, currently valued at 1.37, compared to the broader market0.002.004.001.37
Sortino ratio
The chart of Sortino ratio for AFSM, currently valued at 2.00, compared to the broader market0.005.0010.0015.002.00
Omega ratio
The chart of Omega ratio for AFSM, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for AFSM, currently valued at 1.28, compared to the broader market0.005.0010.0015.0020.001.28
Martin ratio
The chart of Martin ratio for AFSM, currently valued at 7.64, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.61, compared to the broader market0.002.004.002.61
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.50, compared to the broader market0.005.0010.0015.003.50
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.30, compared to the broader market0.005.0010.0015.0020.002.30
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 15.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.90

Sharpe Ratio

The current First Trust Active Factor Small Cap ETF Sharpe ratio is 1.37. 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 Ratio0.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.37
2.61
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)

Dividends

Dividend History

First Trust Active Factor Small Cap ETF granted a 0.83% dividend yield in the last twelve months. The annual payout for that period amounted to $0.25 per share.


PeriodTTM20232022202120202019
Dividend$0.25$0.25$0.29$0.10$0.12$0.07

Dividend yield

0.83%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
2024$0.00$0.00$0.03$0.00$0.00$0.05$0.00$0.00$0.02$0.00$0.09
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.16%
-0.21%
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 2.16%.


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
-9.26%Aug 1, 20245Aug 7, 2024
-8.21%Mar 16, 20217Mar 24, 202122Apr 26, 202129
-8.17%Feb 16, 202113Mar 4, 20216Mar 12, 202119

Volatility

Volatility Chart

The current First Trust Active Factor Small Cap ETF volatility is 4.81%, 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%MayJuneJulyAugustSeptemberOctober
4.81%
2.84%
AFSM (First Trust Active Factor Small Cap ETF)
Benchmark (^GSPC)