SWAN

Amplify BlackSwan Growth & Treasury Core ETF
*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). SWANs asset ratio is fixed at 90% Treasurys and 10% options at each semi-annual index reset. However, the index’s equity notional exposure aligns with the total index market cap, so each dollar invested aims for dollars’ worth of notional equity exposure (at 70% participation) plus 90 cents of 10-year Treasurys.

PERFORMANCE [as of 06/29/22] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
SWAN -5.86% -- -21.78% -16.95% 2.56% -- --
SWAN (NAV) -5.86% -14.36% -21.44% -16.75% 2.71% -- --
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%
$417.05M
0.24%

SWAN Portfolio Data

6.95%
N/A

SWAN Index Data

S-Network BlackSwan Core Index
Fixed
Fixed
N/A

SWAN Fund Structure

No
No
-- / --
N/A
N/A
Low
N/A
N/A

SWAN Tax Exposures

20.00% / 39.60%
3.08%
No

SWAN Factset Analytics Block Liquidity

As of 06/30/22
5
4
3
2
1

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

126,600
$3.52M
90,799
$2.48M
0.24%
$0.07
0.02%
3.34% / -0.57%
None
100.00%
50,000
1.82
0.01%
--
26
$26.93
N/A