SWAN ETF Report: Ratings, Analysis, Quotes, Holdings

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*Unless otherwise stated, data provided by FactSet.

SWAN Fund Description

SWAN tracks an index of long-dated options on an S&P 500 ETF (SPY) and US Treasurys averaging 10-year maturity.

SWAN Factset Analytics Insight

SWAN aims to provide muted equity exposure while mitigating downside risk. The fund gets its equity exposure via long-dated options (LEAPS) on SPY, the mega-ETF tracking the S&P 500. The options specifically target 70% participation in either direction (up or down) over the market cycle. They roll in June and December. The Treasury portion provides additional downside protection, assuming that safe-haven Treasurys will rise if equity markets tank. The Treasurys—a mix of maturities aiming to reflect 10-years on aggregate—provide their own risk and return (duration and yield). SWAN’s asset ratio is fixed at 90% Treasurys and 10% options at each semiannual index reset. However, the index’s equity notional exposure aligns with the total index market cap, so each dollar invested aims for dollar’s worth of notional equity exposure (at 70% participation) plus 90 cents of 10-year Treasurys.

SWAN Charts And Performance

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PERFORMANCE [as of 10/11/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS

SWAN -0.50% 1.77% 16.54% -- -- -- --

SWAN (NAV) -0.82% 2.06% 16.73% -- -- -- --

S-Network BlackSwan Core Index -- -- -- -- -- -- --

N/A -- -- -- -- -- -- --

All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

SWAN Summary Data

Amplify

11/06/18

Open-Ended Fund

0.49%

$116.37M

0.27%

Fund Home Page

SWAN Portfolio Data

09/27/19

SWAN Index Data

S-Network BlackSwan Core Index

Fixed

N/A

SWAN Fund Structure

No Policy

N/A

Low

N/A

Leverage Reset Frequency N/A

SWAN Tax Exposures

20.00% / 39.60%

Cboe Book Viewer

Top Of Book

Last 10 Trades

Bats BZX Real-time Quote -

SWAN Factset Analytics Block Liquidity

As of 10/14/19

This measurement shows how easy it is to trade a $1 million USD block of SWAN. SWAN is rated a N/A out of 5.

SWAN Tradability

25,957

$734.80K

19,643

$559.63K

0.27%

$0.08

0.41%

1.44% / -0.37%

None

100.00%

50,000

0.39

0.02%

$28.05

N/A

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