SWANAmplify BlackSwan Growth & Treasury Core ETF
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
SWAN Factset Analytics Block Liquidity
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.