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First Trust Active Factor Small Cap ETF AFSM
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | AFSM | Replication |
|---|---|---|
| Annualized growth | 9.3% | 6.9% |
| Annualized volatility | 19.5% | 19.3% |
| Sharpe ratio | 0.56 | 0.44 |
| Maximum drawdown | 27.2% | 27.2% |
| Replication fit (R²) | 0.96 · Tracking error 4.0% | |
Replication portfolio
The published portfolio below is the investable basket used to model AFSM’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| IJR | US Small Cap | 75.5% |
| MTUM | Factor · Momentum | 11.1% |
| IWC | Micro Cap | 7.8% |
| IJH | US Mid Cap | 5.7% |