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). 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 Investments

Amplify

11/06/18

Open-Ended Fund

0.49%

$417.05M

0.24%

PCEF, TDSC, DRSK, YYY, DMRL

Fund Home Page

SWAN Portfolio Data

6.95%

N/A

SWAN Index Data

S-Network BlackSwan Core Index

Fixed

N/A

SWAN Fund Structure

-- / --

N/A

Low

N/A

Leverage Reset Frequency N/A

SWAN Tax Exposures

20.00% / 39.60%

3.08%

SWAN Factset Analytics Block Liquidity

As of 06/30/22

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%

$26.93

N/A

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