Amplify Launches 3rd 'BlackSwan' ETF

December 09, 2021

Amplify ETFs is expanding its lineup of funds meant to provide downside protection against market crashes while gathering partial returns of a major index, this time following the Nasdaq-100.

The Amplify BlackSwan Tech & Treasury ETF (QSWN) debuted on the NYSE Arca on Thursday with an expense ratio of 0.49%.

The fund follows an index that holds approximately 90% of its assets in Treasurys ranging in maturity from two years to 30 years with the goal of matching the initial duration of a 10-year Treasury note.

The other 10% of assets are invested in long-dated call option contracts on the Invesco QQQ Trust (QQQ).

QSWN’s index aims to keep the delta in line so the fund would be exposed to 70% of the gains or losses of QQQ’s movements over a market cycle. The holdings in Treasury assets would in theory grow in value in the midst of a major market downturn.

QSWN follows the Amplify BlackSwan Growth & Treasury Core ETF (SWAN) launched in 2018, and the Amplify BlackSwan ISWN ETF (ISWN) launched in January, which respectively apply the same strategy of holding Treasurys and long-dated options on equity ETFs.

SWAN uses options on the SPDR S&P 500 ETF Trust (SPY), while ISWN carries options on the iShares MSCI EAFE ETF (EFA) for exposure to ex-North American equities.

SWAN and ISWN hold a combined $976 million in assets under management.

 

 

SWAN already has a track record to show in times of market crisis. The fund only took a loss of around 7% in the late March 2020 crash compared with the 30% crash in the S&P 500, and outperformed the index up until November.

SPY returned 18.62% through all of 2020, while SWAN returned 15.89%. That amounts to 85% of SPY’s return, and beats SWAN’s target delta of 70% exposure to the direction of the S&P 500.

Amplify CEO Christian Magoon said the Nasdaq-100 is increasingly popular as a large cap growth allocation in portfolios. That gives reason for a hedged exposure to be available for investors, especially as interest rate hikes next year threaten to damper sky-high valuations.

“The strong recent return set, concentration of the index and the markedly high PE’s of the companies in this index are certainly legitimate investor concerns,” he said.

Contact Dan Mika at [email protected], and follow him on Twitter

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