FYC vs. AFSM

Last updated Jun 4, 2026

FYC (First Trust Small Cap Growth AlphaDEX Fund) and AFSM (First Trust Active Factor Small Cap ETF) are both exchange-traded funds - FYC is a Small Cap Growth Equities fund tracking the NASDAQ AlphaDEX Small Cap Growth Index, while AFSM is a Small Cap Blend Equities fund actively managed by First Trust. FYC is passively managed, while AFSM is actively managed. Over the past 5 years, FYC returned 10.47%/yr vs 8.53%/yr for AFSM. Their correlation of 0.93 suggests significant overlap in exposure. FYC charges 0.71%/yr vs 0.77%/yr for AFSM.

Performance

FYC vs. AFSM - Performance Comparison

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

Returns By Period

In the year-to-date period, FYC achieves a 20.01% return, which is significantly higher than AFSM's 15.65% return.

FYC

• 1D: -0.91%
• 1M: 3.23%
• YTD: 20.01%
• 6M: 20.96%
• 1Y: 53.40%
• 3Y*: 26.12%
• 5Y*: 10.47%
• 10Y*: 14.30%

AFSM

• 1D: -0.99%
• 1M: 3.29%
• YTD: 15.65%
• 6M: 15.19%
• 1Y: 30.17%
• 3Y*: 17.93%
• 5Y*: 8.53%
• 10Y*: —

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

FYC vs. AFSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FYC First Trust Small Cap Growth AlphaDEX Fund	20.01%	24.24%	23.99%	14.52%	-25.86%	21.64%	32.34%	2.53%
AFSM First Trust Active Factor Small Cap ETF	15.65%	9.99%	10.55%	22.23%	-17.50%	26.03%	8.44%	2.63%

Correlation

The correlation between FYC and AFSM is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (All Time) Calculated using the full available price history since Dec 5, 2019	0.93

The correlation between FYC and AFSM has been stable across timeframes, ranging from 0.91 to 0.94 - a consistent structural relationship.

FYC vs. AFSM - Sectors Allocation Comparison

Sectors	FYC	AFSM
Healthcare	27.9%	17.8%
Technology	13.7%	20.3%
Industrials	13.4%	16.9%
Financial Services	10.3%	14.9%
Consumer Cyclical	9.9%	8.6%
Real Estate	8.4%	3.8%
Consumer Defensive	3.8%	4.7%
Basic Materials	3.4%	4.9%
Communication Services	3.4%	2.3%
Energy	3.4%	5.3%
Utilities	1.5%	0.3%

Return for Risk

FYC vs. AFSM — Risk / Return Rank

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

FYC

FYC Risk / Return Rank: 79
FYC Sharpe Ratio Rank: 78
FYC Sortino Ratio Rank: 76
FYC Omega Ratio Rank: 68
FYC Calmar Ratio Rank: 88
FYC Martin Ratio Rank: 87

AFSM

AFSM Risk / Return Rank: 54
AFSM Sharpe Ratio Rank: 49
AFSM Sortino Ratio Rank: 50
AFSM Omega Ratio Rank: 46
AFSM Calmar Ratio Rank: 64
AFSM Martin Ratio Rank: 59

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.

FYC vs. AFSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Growth AlphaDEX Fund (FYC) and First Trust Active Factor Small Cap ETF (AFSM). 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.

	FYC	AFSM	Difference
Sharpe ratio Return per unit of total volatility	2.55	1.70	+0.86
Sortino ratio Return per unit of downside risk	3.45	2.46	+1.00
Omega ratio Gain probability vs. loss probability	1.41	1.29	+0.12
Calmar ratio Return relative to maximum drawdown	5.12	3.17	+1.95
Martin ratio Return relative to average drawdown	18.64	10.41	+8.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FYC vs. AFSM - Sharpe Ratio Comparison

The current FYC Sharpe Ratio is 2.55, which is higher than the AFSM Sharpe Ratio of 1.70. The chart below compares the historical Sharpe Ratios of FYC and AFSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FYC	AFSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.55	1.70	+0.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.41	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.54	0.44	+0.10

Drawdowns

FYC vs. AFSM - Drawdown Comparison

The maximum FYC drawdown since its inception was -47.85%, which is greater than AFSM's maximum drawdown of -43.54%. Use the drawdown chart below to compare losses from any high point for FYC and AFSM.

Drawdown Indicators

	FYC	AFSM	Difference
Max Drawdown Largest peak-to-trough decline	-47.85%	-43.54%	-4.31%
Max Drawdown (1Y) Largest decline over 1 year	-10.48%	-9.56%	-0.92%
Max Drawdown (3Y) Largest decline over 3 years	-27.79%	-25.07%	-2.72%
Max Drawdown (5Y) Largest decline over 5 years	-35.37%	-28.27%	-7.10%
Max Drawdown (10Y) Largest decline over 10 years	-47.85%	—	—
Current Drawdown Current decline from peak	-1.83%	-1.47%	-0.36%
Average Drawdown Average peak-to-trough decline	-9.66%	-9.48%	-0.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.87%	2.90%	-0.03%

Volatility

FYC vs. AFSM - Volatility Comparison

First Trust Small Cap Growth AlphaDEX Fund (FYC) and First Trust Active Factor Small Cap ETF (AFSM) have volatilities of 5.53% and 5.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FYC	AFSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.53%	5.57%	-0.04%
Volatility (6M) Calculated over the trailing 6-month period	14.99%	13.14%	+1.85%
Volatility (1Y) Calculated over the trailing 1-year period	21.03%	17.89%	+3.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.62%	20.82%	+2.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.57%	25.40%	-0.83%

FYC vs. AFSM - Expense Ratio Comparison

FYC has a 0.71% expense ratio, which is lower than AFSM's 0.77% expense ratio.

Dividends

FYC vs. AFSM - Dividend Comparison

FYC's dividend yield for the trailing twelve months is around 0.07%, less than AFSM's 0.47% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AFSM First Trust Active Factor Small Cap ETF	0.47%	0.58%	0.58%	0.92%	1.28%	0.35%	0.53%	0.32%	0.00%	0.00%	0.00%	0.00%
FYC First Trust Small Cap Growth AlphaDEX Fund	0.07%	0.08%	0.72%	0.58%	0.00%	0.63%	0.12%	0.39%	0.09%	0.10%	0.31%	0.21%

Frequently Asked Questions

Can I hold both FYC and AFSM in my portfolio?

With a correlation of 0.91, FYC and AFSM 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, FYC or AFSM?

AFSM has higher volatility (5.57%) compared to FYC (5.53%). In terms of maximum drawdown, FYC dropped -47.85% vs AFSM's -43.54%.

Which ETF is better, FYC or AFSM?

On 5-year performance, FYC leads with 10.47% vs 8.53% for AFSM. On fees, FYC is cheaper at 0.71% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FYC or AFSM?

Over the 5-year period, FYC has performed better with a 10.47% return vs 8.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FYC or AFSM?

FYC is cheaper with a 0.71% expense ratio, compared with 0.77% for AFSM.

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

AFSM has the higher dividend yield at 0.47%, compared with 0.07% for FYC.

What is the main difference between FYC and AFSM?

FYC is categorized as Small Cap Growth Equities, while AFSM is Small Cap Blend Equities. Their fees differ too: 0.71% for FYC and 0.77% for AFSM.

Which has better risk-adjusted returns?

FYC currently has the higher Sharpe Ratio (2.55 vs 1.70), 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.