AFSM vs. TNA

Last updated Jun 24, 2026

AFSM (First Trust Active Factor Small Cap ETF) and TNA (Direxion Daily Small Cap Bull 3X Shares) are both exchange-traded funds - AFSM is a Small Cap Blend Equities fund actively managed by First Trust, while TNA is a Leveraged Equities fund tracking the Russell 2000 Index (300% Daily). AFSM is actively managed, while TNA is passively managed. Over the past 5 years, AFSM returned 9.11%/yr vs -5.98%/yr for TNA. Their correlation of 0.95 suggests significant overlap in exposure. AFSM charges 0.77%/yr vs 1.05%/yr for TNA.

Performance

AFSM vs. TNA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Active Factor Small Cap ETF (AFSM) and Direxion Daily Small Cap Bull 3X Shares (TNA). 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 lower than TNA's 56.90% return.

AFSM

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

TNA

• 1D: -3.11%
• 1M: 9.59%
• YTD: 56.90%
• 6M: 45.88%
• 1Y: 125.39%
• 3Y*: 32.32%
• 5Y*: -5.98%
• 10Y*: 9.70%

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

AFSM vs. TNA - 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%
TNA Direxion Daily Small Cap Bull 3X Shares	56.90%	9.82%	7.21%	26.24%	-62.48%	27.88%	-7.82%	12.35%

Correlation

The correlation between AFSM and TNA is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Dec 4, 2019	0.95

The correlation between AFSM and TNA has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.

AFSM vs. TNA - Sectors Allocation Comparison

Sectors	AFSM	TNA
Technology	22.1%	19.1%
Industrials	17.1%	18.0%
Healthcare	16.7%	16.3%
Financial Services	13.4%	15.3%
Consumer Cyclical	8.0%	8.0%
Energy	6.3%	5.4%
Consumer Defensive	4.4%	2.3%
Basic Materials	4.3%	4.7%
Communication Services	3.8%	2.4%
Real Estate	3.4%	5.9%
Utilities	0.5%	2.7%

Return for Risk

AFSM vs. TNA — 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

TNA

TNA Risk / Return Rank: 65
TNA Sharpe Ratio Rank: 70
TNA Sortino Ratio Rank: 57
TNA Omega Ratio Rank: 50
TNA Calmar Ratio Rank: 78
TNA Martin Ratio Rank: 71

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. TNA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and Direxion Daily Small Cap Bull 3X Shares (TNA). 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	TNA	Difference
Sharpe ratio: Return per unit of total volatility	1.94	2.15	-0.21
Sortino ratio: Return per unit of downside risk	2.76	2.59	+0.18
Omega ratio: Gain probability vs. loss probability	1.33	1.31	+0.02
Calmar ratio: Return relative to maximum drawdown	3.73	3.88	-0.15
Martin ratio: Return relative to average drawdown	12.26	12.72	-0.46

AFSM vs. TNA - Sharpe Ratio Comparison

The current AFSM Sharpe Ratio is 1.94, which is comparable to the TNA Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of AFSM and TNA, 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. TNA - Drawdown Comparison

The maximum AFSM drawdown since its inception was -43.54%, smaller than the maximum TNA drawdown of -88.09%. Use the drawdown chart below to compare losses from any high point for AFSM and TNA.

Drawdown Indicators

	AFSM	TNA	Difference
Max Drawdown Largest peak-to-trough decline	-43.54%	-88.09%	+44.55%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-32.53%	+22.97%
Max Drawdown (3Y) Largest decline over 3 years	-25.07%	-65.78%	+40.71%
Max Drawdown (5Y) Largest decline over 5 years	-28.27%	-82.36%	+54.09%
Max Drawdown (10Y) Largest decline over 10 years	—	-88.09%	—
Current Drawdown Current decline from peak	-0.58%	-33.64%	+33.06%
Average Drawdown Average peak-to-trough decline	-9.41%	-33.92%	+24.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.90%	9.89%	-6.99%

Volatility

AFSM vs. TNA - Volatility Comparison

The current volatility for First Trust Active Factor Small Cap ETF (AFSM) is 5.98%, while Direxion Daily Small Cap Bull 3X Shares (TNA) has a volatility of 19.82%. This indicates that AFSM experiences smaller price fluctuations and is considered to be less risky than TNA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AFSM	TNA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.98%	19.82%	-13.84%
Volatility (6M) Calculated over the trailing 6-month period	13.86%	42.69%	-28.83%
Volatility (1Y) Calculated over the trailing 1-year period	18.37%	58.76%	-40.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.89%	67.57%	-46.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.37%	68.50%	-43.13%

AFSM vs. TNA - Expense Ratio Comparison

AFSM has a 0.77% expense ratio, which is lower than TNA's 1.05% expense ratio.

Dividends

AFSM vs. TNA - Dividend Comparison

AFSM's dividend yield for the trailing twelve months is around 0.45%, more than TNA's 0.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
TNA Direxion Daily Small Cap Bull 3X Shares	0.38%	0.78%	0.93%	1.27%	0.31%	0.06%	0.03%	0.44%	0.36%	0.15%

Frequently Asked Questions

Can I hold both AFSM and TNA in my portfolio?

With a correlation of 0.95, AFSM and TNA move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, AFSM or TNA?

TNA has higher volatility (19.82%) compared to AFSM (5.98%). In terms of maximum drawdown, AFSM dropped -43.54% vs TNA's -88.09%.

Which ETF is better, AFSM or TNA?

On 5-year performance, AFSM leads with 9.11% vs -5.98% for TNA. On fees, AFSM is cheaper at 0.77% per year. On volatility, AFSM has been the lower-risk option at 5.98%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AFSM or TNA?

Over the 5-year period, AFSM has performed better with a 9.11% return vs -5.98%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AFSM or TNA?

AFSM is cheaper with a 0.77% expense ratio, compared with 1.05% for TNA.

Which ETF pays a higher dividend yield, AFSM or TNA?

AFSM has the higher dividend yield at 0.45%, compared with 0.38% for TNA.

What is the main difference between AFSM and TNA?

AFSM is categorized as Small Cap Blend Equities, while TNA is Leveraged Equities. They also come from different issuers: First Trust and Direxion. Their fees differ too: 0.77% for AFSM and 1.05% for TNA.

Which has better risk-adjusted returns?

TNA currently has the higher Sharpe Ratio (2.15 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.