AFSM Performance — First Trust Active Factor Small Cap ETF
Data updated: 2026-07-22
AFSM returned +15.41% year to date and +31.05% over one year to May 2026. Annualised returns are +19.61% over 3 years and +8.56% over 5 years. Against its US Small Blend category average the fund came out ahead over three years but behind over one: $100 invested three years ago grew to $171, against $160 for the category, and to $131 over one year, against $132. Volatility over the past three years was 18.83% a year. In the 12 months to May 2026 the fund took in a net $48.8M, and assets reached $98.49M.
AFSM Growth of $100
What $100 invested in First Trust Active Factor Small Cap ETF grew to, compounded from monthly returns reported on SEC Form N-PORT, against the US Small Blend category average over the same months.
| Period | AFSM | Category average |
|---|---|---|
| 1 year (Jun 2025 – May 2026) | $131 | $132 |
| 3 years (Jun 2023 – May 2026) | $171 | $160 |
| 5 years (Jun 2021 – May 2026) | $151 | $135 |
| Since data start (Dec 2019 – May 2026) | $199 | $192 |
AFSM Trailing Returns
Total returns to May 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +15.41% |
| 1 year | +31.05% |
| 3 years (annualised) | +19.61% |
| 5 years (annualised) | +8.56% |
AFSM Annual Returns
Calendar-year total returns of First Trust Active Factor Small Cap ETF, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–May) | +15.41% |
| 2025 | +10.13% |
| 2024 | +10.39% |
| 2023 | +22.18% |
| 2022 | −17.48% |
| 2021 | +26.09% |
| 2020 | +8.46% |
| 2019 (Dec–Dec) | +3.08% |
AFSM Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +4.3% | +0.9% | −4.8% | +12.2% | +2.7% | — | — | — | — | — | — | — |
| 2025 | +2.7% | −5.8% | −3.6% | −1.4% | +5.6% | +2.9% | +0.7% | +7.6% | +1.1% | −2.5% | +3.4% | −0.1% |
| 2024 | −1.6% | +5.9% | +2.7% | −5.4% | +4.8% | −2.2% | +9.5% | −1.4% | +0.9% | −2.4% | +9.3% | −8.4% |
| 2023 | +7.6% | 0.0% | −4.3% | −1.7% | −1.1% | +9.8% | +5.7% | −4.1% | −4.1% | −5.8% | +8.7% | +11.5% |
| 2022 | −10.0% | +2.3% | +0.5% | −7.6% | +1.9% | −9.5% | +10.5% | −4.7% | −9.1% | +11.9% | +4.4% | −6.3% |
| 2021 | +5.3% | +5.8% | +1.6% | +3.0% | +1.4% | +1.7% | −2.4% | +2.9% | −3.1% | +4.6% | −1.4% | +4.3% |
| 2020 | −4.0% | −9.3% | −23.2% | +13.6% | +5.6% | +2.4% | +5.2% | +4.3% | −2.4% | +0.2% | +13.2% | +8.6% |
| 2019 | — | — | — | — | — | — | — | — | — | — | — | +3.1% |
AFSM Risk
Risk measures from monthly returns over Jun 2023 – May 2026.
- 3-year volatility (annualised): 18.83%
- 3-year Sharpe ratio: 0.80 (vs 4.5% risk-free rate)
- Best month: +12.17% (Apr 2026)
- Worst month: −8.36% (Dec 2024)
AFSM Fund Flows
Monthly money in and out of First Trust Active Factor Small Cap ETF, from SEC Form N-PORT.
- 12-month net flow: $48.8M
- 12-month gross sales (incl. reinvestments): $63.5M
- Sales ÷ redemptions: 4.33×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| May 2026 | $1.9M | $0 | $1.9M |
| Apr 2026 | $5.4M | $0 | $5.4M |
| Mar 2026 | $6.7M | $8.1M | −$1.4M |
| Feb 2026 | $7.0M | $0 | $7.0M |
| Jan 2026 | $10.2M | $1.7M | $8.5M |
| Dec 2025 | $18.2M | $0 | $18.2M |
| Nov 2025 | $1.6M | $1.6M | $6K |
| Oct 2025 | $3.2M | $3.2M | $2K |
| Sep 2025 | $3.2M | $0 | $3.2M |
| Aug 2025 | $1.6M | $0 | $1.6M |
| Jul 2025 | $3.0M | $0 | $3.0M |
| Jun 2025 | $1.5M | $0 | $1.5M |
AFSM Assets Under Management
Net assets of First Trust Active Factor Small Cap ETF by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-05-31 | $98.49M |
| 2026-02-28 | $84.72M |
| 2025-11-30 | $47.80M |
| 2025-08-31 | $43.69M |
| 2025-05-31 | $33.44M |
| 2025-02-28 | $33.38M |
| 2024-11-30 | $36.15M |
| 2024-08-31 | $15.28M |
| 2024-05-31 | $10.15M |
| 2024-02-29 | $5.70M |
| 2023-11-30 | $3.70M |
| 2023-08-31 | $3.77M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.