Studying and ranking the Exchange-Traded Funds have been vital issues, since these asset funds have been amongst the most popular financial means, which their significant emergence and growth may confirm undeniable success in the global market. On the other hand, the most part of studying and ranking these funds can be categorized based on the efficiency criteria. Accordingly, applying a new perspective, this paper would consider the funds ranking based on value at risk approach. In doing so, the funds have been considered who had been active in the period of the 2014-September to 2017-September. Findings of the research show the appropriate value at risk models based on GARCH approach. In addition, the ranking based on the loss function illustrates that Almas, Atlas and Asam Exchange-Traded Funds have had the lowest risk in this study.