First Trust Active Factor Large Cap ETF

10-Year Study

AFLG.US · · US · ETF

Executive Summary: First Trust Active Factor Large Cap ETF has compounded at 12.9% annually over the last 10 years, with a maximum drawdown of 23.1% and an annualized volatility of 11.8%.

1Y CAGR
+20.5%
3Y CAGR
+21.9%
5Y CAGR
+11.9%
10Y CAGR
+12.9%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
23.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.59
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.89
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +27.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.61.1-4.87.1————————5.6%
20252.8-0.7-4.3-1.35.43.81.32.43.10.70.9-0.414.2%
20242.16.24.3-5.05.62.02.13.22.5-0.86.8-4.227.0%
20235.5-2.61.30.5-1.57.32.5-1.5-4.0-1.78.35.020.1%
2022-6.0-2.43.9-7.30.3-8.97.8-3.3-8.69.84.9-5.6-16.4%
20210.52.14.34.40.91.62.12.9-5.26.1-0.65.727.3%
2020-0.8-9.6-13.612.45.11.45.25.9-3.3-3.310.03.810.3%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 11.8%. The dominant macroeconomic risk driver is VTI.US, accounting for 89.6% of variance. Idiosyncratic stock-specific factors contribute 2.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-12-0110000
2020-01-019922.465614389377
2020-02-018968.143935628672
2020-03-017744.387651001093
2020-04-018705.301322060677
2020-05-019148.795915057472
2020-06-019273.939133937773
2020-07-019758.712154901354
2020-08-0110333.418785085356
2020-09-019988.594806974956
2020-10-019662.081918583663
2020-11-0110631.261738716445
2020-12-0111031.071303383365
2021-01-0111086.998603125441
2021-02-0111320.700425340456
2021-03-0111809.868107836623
2021-04-0112327.653407693795
2021-05-0112437.781533004432
2021-06-0112641.139263684923
2021-07-0112911.201678342166
2021-08-0113286.160478390297
2021-09-0112599.808518318938
2021-10-0113366.310733960794
2021-11-0113286.26511318869
2021-12-0114042.303848991058
2022-01-0113202.661909271168
2022-02-0112881.590030396408
2022-03-0113380.227162147314
2022-04-0112397.967992215172
2022-05-0112440.031181169921
2022-06-0111329.01889181285
2022-07-0112215.484903814462
2022-08-0111812.483977796495
2022-09-0110797.42179856755
2022-10-0111850.884948807425
2022-11-0112435.11334564536
2022-12-0111738.193270936115
2023-01-0112387.399877577285
2023-02-0112071.193516827892
2023-03-0112233.952945731162
2023-04-0112301.128486300688
2023-05-0112116.866606327265
2023-06-0113002.600174740113
2023-07-0113329.322332728196
2023-08-0113128.685106805971
2023-09-0112607.499176000962
2023-10-0112391.062095521109
2023-11-0113421.19168571892
2023-12-0114097.551022543568
2024-01-0114393.615184601942
2024-02-0115290.126137249465
2024-03-0115952.56904588759
2024-04-0115150.857220585849
2024-05-0116003.6831449035
2024-06-0116326.74308494776
2024-07-0116666.178370940823
2024-08-0117203.478060698646
2024-09-0117636.456856456753
2024-10-0117501.05942733375
2024-11-0118696.093459801927
2024-12-0117907.513301698746
2025-01-0118410.597412381434
2025-02-0118286.1343196907
2025-03-0117507.80837183022
2025-04-0117279.129019938162
2025-05-0118209.33237766884
2025-06-0118903.68889981741
2025-07-0119153.609115783634
2025-08-0119606.52084063597
2025-09-0120212.617910338442
2025-10-0120358.42650190174
2025-11-0120540.752638104856
2025-12-0120456.10308620338
2026-01-0120979.277078177893
2026-02-0121204.24189472693
2026-03-0120181.43674041676
2026-04-0121607.085868547303
Annual Return Matrix
YearAnnual Return
20200.10310713033833663
20210.2729773439760206
2022-0.16408351527164067
20230.20099837318654878
20240.2702570306759393
20250.14231958070151873
20260.056265984654731316
Total Factor Risk
0.11765065451443782
VTI.US Exposure
0.895625979485995
VEA.US Exposure
0.036915687760283256
VWO.US Exposure
-0.024642713201710492
QQQ.US Exposure
-0.17453473009510811
VTV.US Exposure
0.12365292563086996
IJR.US Exposure
-0.05598873825318278
QUAL.US Exposure
0.17146250689640202
SHV.US Exposure
0.029773141373428447
TLT.US Exposure
0.0275619473958225
LQD.US Exposure
-0.03834504074166554
HYG.US Exposure
-0.003710596951174507
GLD.US Exposure
0.006033571599212632
USO.US Exposure
0.000422681785833995
VNQ.US Exposure
0.006654032460056415
BTC-USD.CC Exposure
0.005761667302177888
CPER.US Exposure
-0.010470486341695309
VIX.INDX Exposure
-0.009002062595158952
UUP.US Exposure
-0.013621709557725698
TIP.US Exposure
0.005339334320905651
Idiosyncratic Exposure
0.021112601726433512
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.8%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$26
Avg Yield on Cost
0.26%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$26.160.26%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.96
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Active Factor Large Cap ETF a high-risk investment?

First Trust Active Factor Large Cap ETF (AFLG.US) has an annualized volatility of 11.8% and experienced a maximum drawdown of 23.1% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of AFLG.US?

Over the past 10 years, AFLG.US has generated a Compound Annual Growth Rate (CAGR) of 12.9%. It has had a positive return in 86% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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