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). 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 MSCI ESG Analytics Insight

Amplify BlackSwan Growth & Treasury Core ETF has an MSCI ESG Fund Rating of A based on a score of 6.58 out of 10. The MSCI ESG Fund Rating measures the resiliency of portfolios to long-term risks and opportunities arising from environmental, social, and governance factors. ESG Fund Ratings range from best (AAA) to worst (CCC). Highly rated funds consist of companies that tend to show strong and/or improving management of financially relevant environmental, social and governance issues. These companies may be more resilient to disruptions arising from ESG events.

The fund’s Peer Rank reflects the ranking of a fund’s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. Amplify BlackSwan Growth & Treasury Core ETF ranks in the 68th percentile within its peer group and in the 56th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

SWAN Charts And Performance

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PERFORMANCE [as of 11/24/20] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
SWAN 2.39% 1.17% 13.62% 15.42% -- -- --
SWAN (NAV) 3.06% 1.51% 14.76% 16.43% -- -- --
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%
$739.86M
0.15%

SWAN Portfolio Data

2.63%
12/29/20

SWAN Index Data

S-Network BlackSwan Core Index
Fixed
Fixed
N/A

SWAN Fund Structure

No
No
No Policy
N/A
N/A
Low
N/A
N/A

SWAN Tax Exposures

20.00% / 39.60%
1.39%
No
Cboe Book Viewer
Top Of Book
Last 10 Trades
Bats BZX Real-time Quote -

SWAN Factset Analytics Block Liquidity

As of 11/25/20
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

261,778
$8.36M
175,510
$5.57M
0.15%
$0.05
0.17%
13.19% / -2.46%
None
100.00%
50,000
3.51
--
--
0
$32.72
N/A

SWAN MSCI ESG Ratings

6.58 / 10
56.11
68.45
--
--
2.90