AFSM vs. IJR
Compare and contrast key facts about First Trust Active Factor Small Cap ETF (AFSM) and iShares Core S&P Small-Cap ETF (IJR).
AFSM and IJR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. AFSM is an actively managed fund by First Trust. It was launched on Dec 3, 2019. IJR is a passively managed fund by iShares that tracks the performance of the S&P SmallCap 600 Index. It was launched on May 22, 2000.
Performance
AFSM vs. IJR - Performance Comparison
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AFSM vs. IJR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
AFSM First Trust Active Factor Small Cap ETF | 0.06% | 9.99% | 10.55% | 22.23% | -17.50% | 26.03% | 8.44% | 2.63% |
IJR iShares Core S&P Small-Cap ETF | 3.60% | 5.89% | 8.63% | 16.06% | -16.20% | 26.58% | 11.28% | 3.78% |
Returns By Period
In the year-to-date period, AFSM achieves a 0.06% return, which is significantly lower than IJR's 3.60% return.
AFSM
- 1D
- 3.20%
- 1M
- -4.89%
- YTD
- 0.06%
- 6M
- 0.77%
- 1Y
- 18.24%
- 3Y*
- 13.07%
- 5Y*
- 6.13%
- 10Y*
- —
IJR
- 1D
- 2.85%
- 1M
- -4.00%
- YTD
- 3.60%
- 6M
- 5.26%
- 1Y
- 20.51%
- 3Y*
- 10.49%
- 5Y*
- 4.08%
- 10Y*
- 9.83%
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AFSM vs. IJR - Expense Ratio Comparison
AFSM has a 0.77% expense ratio, which is higher than IJR's 0.06% expense ratio.
Return for Risk
AFSM vs. IJR — Risk / Return Rank
AFSM
IJR
AFSM vs. IJR - 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 Core S&P Small-Cap ETF (IJR). 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.
| AFSM | IJR | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.86 | 0.91 | -0.05 |
Sortino ratioReturn per unit of downside risk | 1.34 | 1.41 | -0.07 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.19 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.57 | 1.43 | +0.15 |
Martin ratioReturn relative to average drawdown | 5.76 | 5.77 | -0.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AFSM | IJR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | 0.91 | -0.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.30 | 0.19 | +0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.42 | -0.06 |
Correlation
The correlation between AFSM and IJR is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
AFSM vs. IJR - Dividend Comparison
AFSM's dividend yield for the trailing twelve months is around 0.55%, less than IJR's 1.29% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFSM First Trust Active Factor Small Cap ETF | 0.55% | 0.58% | 0.58% | 0.92% | 1.28% | 0.35% | 0.53% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
IJR iShares Core S&P Small-Cap ETF | 1.29% | 1.44% | 2.05% | 1.31% | 1.41% | 1.53% | 1.11% | 1.44% | 1.58% | 1.20% | 1.22% | 1.48% |
Drawdowns
AFSM vs. IJR - Drawdown Comparison
The maximum AFSM drawdown since its inception was -43.54%, smaller than the maximum IJR drawdown of -58.15%. Use the drawdown chart below to compare losses from any high point for AFSM and IJR.
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Drawdown Indicators
| AFSM | IJR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.54% | -58.15% | +14.61% |
Max Drawdown (1Y)Largest decline over 1 year | -12.41% | -14.85% | +2.44% |
Max Drawdown (5Y)Largest decline over 5 years | -28.27% | -28.02% | -0.25% |
Max Drawdown (10Y)Largest decline over 10 years | — | -44.36% | — |
Current DrawdownCurrent decline from peak | -6.67% | -5.73% | -0.94% |
Average DrawdownAverage peak-to-trough decline | -9.71% | -9.34% | -0.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.39% | 3.66% | -0.27% |
Volatility
AFSM vs. IJR - Volatility Comparison
First Trust Active Factor Small Cap ETF (AFSM) has a higher volatility of 7.78% compared to iShares Core S&P Small-Cap ETF (IJR) at 6.27%. This indicates that AFSM's price experiences larger fluctuations and is considered to be riskier than IJR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AFSM | IJR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.78% | 6.27% | +1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 13.43% | 12.98% | +0.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.43% | 22.66% | -1.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.86% | 21.52% | -0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.57% | 22.91% | +2.66% |