AFSM vs. NOIEX

Last updated Jun 24, 2026

AFSM (First Trust Active Factor Small Cap ETF) and NOIEX (Northern Income Equity Fund) are both funds - AFSM is a Small Cap Blend Equities fund actively managed by First Trust, while NOIEX is a Large Cap Value Equities fund managed by Northern Funds. Over the past 5 years, AFSM returned 9.11%/yr vs 13.80%/yr for NOIEX. A 0.79 correlation means they provide meaningful diversification when combined. AFSM charges 0.77%/yr vs 0.49%/yr for NOIEX.

Performance

AFSM vs. NOIEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Active Factor Small Cap ETF (AFSM) and Northern Income Equity Fund (NOIEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AFSM achieves a 20.52% return, which is significantly higher than NOIEX's 10.55% return.

AFSM

• 1D: -0.58%
• 1M: 4.71%
• YTD: 20.52%
• 6M: 17.89%
• 1Y: 35.47%
• 3Y*: 19.05%
• 5Y*: 9.11%
• 10Y*: —

NOIEX

• 1D: -0.40%
• 1M: -0.67%
• YTD: 10.55%
• 6M: 9.65%
• 1Y: 26.75%
• 3Y*: 21.63%
• 5Y*: 13.80%
• 10Y*: 13.92%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AFSM vs. NOIEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AFSM First Trust Active Factor Small Cap ETF	20.52%	9.99%	10.55%	22.23%	-17.50%	26.03%	8.44%	2.39%
NOIEX Northern Income Equity Fund	10.55%	18.81%	24.28%	19.56%	-13.34%	27.96%	11.03%	4.63%

Correlation

The correlation between AFSM and NOIEX is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Dec 4, 2019	0.79

The correlation between AFSM and NOIEX shifts across timeframes, from 0.70 (1 year) to 0.80 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

AFSM vs. NOIEX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AFSM

AFSM Risk / Return Rank: 67
AFSM Sharpe Ratio Rank: 64
AFSM Sortino Ratio Rank: 65
AFSM Omega Ratio Rank: 58
AFSM Calmar Ratio Rank: 77
AFSM Martin Ratio Rank: 71

NOIEX

NOIEX Risk / Return Rank: 74
NOIEX Sharpe Ratio Rank: 73
NOIEX Sortino Ratio Rank: 69
NOIEX Omega Ratio Rank: 68
NOIEX Calmar Ratio Rank: 77
NOIEX Martin Ratio Rank: 84

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AFSM vs. NOIEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and Northern Income Equity Fund (NOIEX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	AFSM	NOIEX	Difference
Sharpe ratio: Return per unit of total volatility	1.94	2.28	-0.34
Sortino ratio: Return per unit of downside risk	2.76	3.15	-0.39
Omega ratio: Gain probability vs. loss probability	1.33	1.42	-0.09
Calmar ratio: Return relative to maximum drawdown	3.73	3.33	+0.40
Martin ratio: Return relative to average drawdown	12.26	14.64	-2.38

AFSM vs. NOIEX - Sharpe Ratio Comparison

The current AFSM Sharpe Ratio is 1.94, which is comparable to the NOIEX Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of AFSM and NOIEX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AFSM vs. NOIEX - Drawdown Comparison

The maximum AFSM drawdown since its inception was -43.54%, roughly equal to the maximum NOIEX drawdown of -45.66%. Use the drawdown chart below to compare losses from any high point for AFSM and NOIEX.

Drawdown Indicators

	AFSM	NOIEX	Difference
Max Drawdown Largest peak-to-trough decline	-43.54%	-45.66%	+2.12%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-8.39%	-1.17%
Max Drawdown (3Y) Largest decline over 3 years	-25.07%	-18.06%	-7.01%
Max Drawdown (5Y) Largest decline over 5 years	-28.27%	-21.89%	-6.38%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.31%	—
Current Drawdown Current decline from peak	-0.58%	-1.99%	+1.41%
Average Drawdown Average peak-to-trough decline	-9.41%	-4.98%	-4.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.90%	1.89%	+1.01%

Volatility

AFSM vs. NOIEX - Volatility Comparison

First Trust Active Factor Small Cap ETF (AFSM) has a higher volatility of 5.98% compared to Northern Income Equity Fund (NOIEX) at 4.28%. This indicates that AFSM's price experiences larger fluctuations and is considered to be riskier than NOIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AFSM	NOIEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.98%	4.28%	+1.70%
Volatility (6M) Calculated over the trailing 6-month period	13.86%	9.48%	+4.38%
Volatility (1Y) Calculated over the trailing 1-year period	18.37%	12.25%	+6.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.89%	16.42%	+4.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.37%	18.00%	+7.37%

AFSM vs. NOIEX - Expense Ratio Comparison

AFSM has a 0.77% expense ratio, which is higher than NOIEX's 0.49% expense ratio.

Dividends

AFSM vs. NOIEX - Dividend Comparison

AFSM's dividend yield for the trailing twelve months is around 0.45%, less than NOIEX's 7.30% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AFSM First Trust Active Factor Small Cap ETF	0.45%	0.58%	0.58%	0.92%	1.28%	0.35%	0.53%	0.32%	0.00%	0.00%	0.00%	0.00%
NOIEX Northern Income Equity Fund	7.30%	7.92%	6.11%	7.03%	5.44%	14.26%	7.67%	8.58%	15.73%	7.56%	3.02%	5.57%

Frequently Asked Questions

Can I hold both AFSM and NOIEX in my portfolio?

AFSM and NOIEX have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AFSM or NOIEX?

AFSM has higher volatility (5.98%) compared to NOIEX (4.28%). In terms of maximum drawdown, AFSM dropped -43.54% vs NOIEX's -45.66%.

Which has better risk-adjusted returns?

NOIEX currently has the higher Sharpe Ratio (2.28 vs 1.94), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.