AFSM vs. USFR
AFSM (First Trust Active Factor Small Cap ETF) and USFR (WisdomTree Floating Rate Treasury Fund) are both exchange-traded funds - AFSM is a Small Cap Blend Equities fund actively managed by First Trust, while USFR is a Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index. AFSM is actively managed, while USFR is passively managed. Over the past 5 years, AFSM returned 9.54%/yr vs 3.70%/yr for USFR. At a correlation of -0.00, they often move in opposite directions. AFSM charges 0.77%/yr vs 0.15%/yr for USFR.
Performance
AFSM vs. USFR - Performance Comparison
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Returns By Period
In the year-to-date period, AFSM achieves a 21.22% return, which is significantly higher than USFR's 1.78% return.
AFSM
- 1D
- 0.94%
- 1M
- 5.32%
- YTD
- 21.22%
- 6M
- 17.97%
- 1Y
- 38.04%
- 3Y*
- 19.28%
- 5Y*
- 9.54%
- 10Y*
- —
USFR
- 1D
- 0.00%
- 1M
- 0.29%
- YTD
- 1.78%
- 6M
- 1.89%
- 1Y
- 3.97%
- 3Y*
- 4.72%
- 5Y*
- 3.70%
- 10Y*
- 2.43%
AFSM vs. USFR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
AFSM First Trust Active Factor Small Cap ETF | 21.22% | 9.99% | 10.55% | 22.23% | -17.50% | 26.03% | 8.44% | 2.39% |
USFR WisdomTree Floating Rate Treasury Fund | 1.78% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 0.12% |
Correlation
The correlation between AFSM and USFR is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since Dec 4, 2019 | -0.00 |
The correlation between AFSM and USFR shifts across timeframes, from -0.19 (1 year) to -0.00 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AFSM vs. USFR — Risk / Return Rank
AFSM
USFR
AFSM vs. USFR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and WisdomTree Floating Rate Treasury Fund (USFR). 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 | USFR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -12.57 | ||
| Sortino ratioReturn per unit of downside risk | -46.95 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 13.24 | -11.89 |
| Calmar ratioReturn relative to maximum drawdown | 4.00 | 200.29 | -196.30 |
| Martin ratioReturn relative to average drawdown | 13.15 | 775.73 | -762.59 |
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Drawdowns
AFSM vs. USFR - Drawdown Comparison
The maximum AFSM drawdown since its inception was -43.54%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for AFSM and USFR.
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Drawdown Indicators
| AFSM | USFR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.54% | -1.36% | -42.18% |
Max Drawdown (1Y)Largest decline over 1 year | -9.56% | -0.02% | -9.54% |
Max Drawdown (3Y)Largest decline over 3 years | -25.07% | -0.06% | -25.01% |
Max Drawdown (5Y)Largest decline over 5 years | -28.27% | -0.18% | -28.09% |
Max Drawdown (10Y)Largest decline over 10 years | — | -0.80% | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -9.41% | -0.15% | -9.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 0.01% | +2.89% |
Volatility
AFSM vs. USFR - Volatility Comparison
First Trust Active Factor Small Cap ETF (AFSM) has a higher volatility of 5.93% compared to WisdomTree Floating Rate Treasury Fund (USFR) at 0.08%. This indicates that AFSM's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AFSM | USFR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.93% | 0.08% | +5.85% |
Volatility (6M)Calculated over the trailing 6-month period | 13.86% | 0.19% | +13.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.39% | 0.27% | +18.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.89% | 0.40% | +20.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.38% | 0.78% | +24.60% |
AFSM vs. USFR - Expense Ratio Comparison
AFSM has a 0.77% expense ratio, which is higher than USFR's 0.15% expense ratio.
Dividends
AFSM vs. USFR - Dividend Comparison
AFSM's dividend yield for the trailing twelve months is around 0.45%, less than USFR's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
USFR WisdomTree Floating Rate Treasury Fund | 3.91% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% |
Frequently Asked Questions
AFSM and USFR have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AFSM has higher volatility (5.93%) compared to USFR (0.08%). In terms of maximum drawdown, AFSM dropped -43.54% vs USFR's -1.36%.
On 5-year performance, AFSM leads with 9.54% vs 3.70% for USFR. On fees, USFR is cheaper at 0.15% per year. On volatility, USFR has been the lower-risk option at 0.08%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, AFSM has performed better with a 9.54% return vs 3.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
USFR is cheaper with a 0.15% expense ratio, compared with 0.77% for AFSM.
USFR has the higher dividend yield at 3.91%, compared with 0.45% for AFSM.
AFSM is categorized as Small Cap Blend Equities, while USFR is Government Bonds. They also come from different issuers: First Trust and WisdomTree. Their fees differ too: 0.77% for AFSM and 0.15% for USFR.
USFR currently has the higher Sharpe Ratio (14.65 vs 2.08), 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.
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