First Trust Active Factor Small Cap ETF (AFSM) Performance
AFSM total return
Distributions reinvested · as of Oct 23, 2026- YTD
- +20.6% since Dec 31, 2025
- 1 year
- +22.2% total return
- 5 years
- +8.8% a year
- Since first price
- +11.2% a year since 2019
AFSM trailing returns vs SPY, QQQ, AGG
| Period | AFSM total return | Price only | S&P 500 (SPY) | Nasdaq-100 (QQQ) | U.S. bonds (AGG) |
|---|---|---|---|---|---|
| 1 month | +0.2% | +0.2% | −1.0% | −5.0% | +0.9% |
| 3 months | −0.6% | −0.6% | +3.2% | +1.9% | −0.4% |
| 6 months | +9.1% | +8.8% | +7.8% | +8.4% | −1.5% |
| YTD | +20.6% | +20.2% | +12.3% | +15.1% | −1.0% |
| 1 year | +22.2% | +21.5% | +14.4% | +15.9% | −1.1% |
| 3 years | +78.7%+21.3%/yr | +74.9% | +87.4%+23.3%/yr | +101.4%+26.3%/yr | +16.6%+5.2%/yr |
| 5 years | +52.3%+8.8%/yr | +46.2% | +79.3%+12.4%/yr | +94.0%+14.2%/yr | −0.8%−0.2%/yr |
| Since inceptionDec 4, 2019 | +107.5%+11.2%/yr | +97.1% | — | — | — |
Total return from adjusted closes (distributions reinvested, before tax). Periods of 3 years or more are also shown annualized. Price only excludes distributions.
Growth of $10,000: AFSM vs SPY
From Dec 4, 2019: AFSM grew to $20,753, SPY to $26,967.
Year-end values with distributions reinvested, no taxes or trading costs. Start: first common trading day of both funds.
AFSM returns by calendar year
5 of 6 full years positive. Best 2021 (+26.0%), worst 2022 (−17.5%). 2026 is year to date.
AFSM annual returns table
| Year | AFSM | Largest drop | SPY | QQQ | AGG |
|---|---|---|---|---|---|
| 2026YTD | +20.6% | −9.6% | +12.3% | +15.1% | −1.0% |
| 2025 | +10.0% | −20.6% | +17.7% | +20.8% | +7.2% |
| 2024 | +10.6% | −9.5% | +24.9% | +25.6% | +1.3% |
| 2023 | +22.2% | −14.2% | +26.2% | +54.9% | +5.7% |
| 2022 | −17.5% | −26.0% | −18.2% | −32.6% | −13.0% |
| 2021 | +26.0% | −9.4% | +28.7% | +27.4% | −1.8% |
| 2020 | +8.5% | −43.5% | +18.3% | +48.6% | +7.5% |
Largest drop = deepest fall from a high within that calendar year.
Calendar-year return vs largest drop within the year
Most years include a sizable fall at some point even when the year ends higher.
AFSM largest drawdowns
Now 4.8% below the high| Peak | Decline | Bottom | Recovered | Fall | Underwater |
|---|---|---|---|---|---|
| Jan 16, 2020 | −43.5% | Mar 23, 2020 | Dec 4, 2020 | 2 months | 11 months |
| Nov 16, 2021 | −28.3% | Sep 26, 2022 | Feb 15, 2024 | 10 months | 2.2 years |
| Nov 11, 2024 | −25.1% | Apr 8, 2025 | Sep 11, 2025 | 5 months | 10 months |
Declines from a closing high (distributions reinvested) of 10% or more. Underwater = time from the peak until the old high was regained.
AFSM risk statistics
| Statistic | 3 years | 5 years | Since 2019 |
|---|---|---|---|
| Annualized return | +18.5% | +9.6% | +10.9% |
| Volatility (annualized) | 18.2% | 20.0% | 22.2% |
| Sharpe ratio | 0.78 | 0.38 | 0.45 |
| Sortino ratio | 1.49 | 0.61 | 0.70 |
| Best month | +12.3% | +12.3% | +17.7% |
| Worst month | −8.2% | −10.1% | −22.7% |
| Best 12 months | +38.3% | +38.3% | +83.5% |
| Worst 12 months | −4.0% | −18.9% | −18.9% |
| Positive months | 58% | 55% | 58% |
| Beta vs S&P 500 | 1.05 | 1.03 | — |
| Correlation with S&P 500 | 0.72 | 0.81 | — |
From monthly total returns. Sharpe and Sortino use 1–3 month T-bills (BIL) as the risk-free rate, so they need history from 2007 on.
AFSM rolling returns
| Holding period | Periods | Worst | Median | Best | Positive |
|---|---|---|---|---|---|
| 1-year | 71 | −18.9% | +11.9% | +83.5% | 76% |
| 3-year (a year) | 47 | +3.1% | +11.0% | +21.2% | 100% |
| 5-year (a year) | 23 | +6.4% | +10.0% | +16.2% | 100% |
Every holding period starting at a month-end since 2019. Returns for 3 years and longer are annualized.
AFSM performance overview
First Trust Active Factor Small Cap ETF (AFSM) returned +22.2% over the past year and +8.8% a year over five years, with distributions reinvested. Since its first recorded price in 2019 it has returned +11.2% a year, turning $10,000 into about $20,753. Over the same year S&P 500 (SPY) returned +14.4%.
The deepest decline was −43.5%, from Jan 16, 2020 to Mar 23, 2020, and it took 8 months to get back to the old high. AFSM finished 5 of its 6 full calendar years with a gain; the best year was 2021 (+26.0%) and the worst 2022 (−17.5%). Volatility has been 22.2% a year.
Related: AFSM chart, AFSM holdings, AFSM dividends, AFSM valuation. See the AFSM overview for the latest quote and fund facts.
AFSM performance FAQ
What is the AFSM return over the past year?
AFSM returned +22.2% over the 12 months to October 23, 2026, including reinvested distributions. On price alone it rose 21.5%.
What is the average annual return of AFSM?
AFSM has returned +8.8% a year over 5 years, +11.2% a year since December 4, 2019 (total return, distributions reinvested).
How much would $10,000 invested in AFSM be worth?
$10,000 invested in AFSM at its first recorded close on December 4, 2019 would be worth about $20,753 on October 23, 2026 with distributions reinvested.
What was the worst year for AFSM?
The worst calendar year was 2022, with a total return of −17.5%. The best was 2021 at +26.0%.
What is the biggest drawdown of AFSM?
The largest peak-to-trough decline was −43.5% between January 16, 2020 and March 23, 2020. It recovered to the old high on December 4, 2020, 8 months after the bottom.
How volatile is AFSM?
Over the past 3 years AFSM had an annualized volatility of 18.2% and a Sharpe ratio of 0.78 (excess return over 1–3 month T-bills per unit of risk).