Amplify BlackSwan Growth & Treasury Core ETF
Name
As of 11/04/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
Vitals
YTD Return
12.5%
1 yr return
24.7%
3 Yr Avg Return
-3.0%
5 Yr Avg Return
3.2%
Net Assets
$172 M
Holdings in Top 10
85.7%
52 WEEK LOW AND HIGH
Expenses
OPERATING FEES
Expense Ratio 0.49%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 194.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
N/A
IRA
N/A
Fund Classification
Fund Type
Exchange Traded Fund
Name
As of 11/04/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
SWAN - Profile
Distributions
- YTD Total Return 12.5%
- 3 Yr Annualized Total Return -3.0%
- 5 Yr Annualized Total Return 3.2%
- Capital Gain Distribution Frequency N/A
- Net Income Ratio 0.25%
- Dividend Yield 2.0%
- Dividend Distribution Frequency Quarterly
Fund Details
-
Legal NameAmplify BlackSwan Growth & Treasury Core ETF
-
Fund Family NameAmplify ETFs
-
Inception DateNov 05, 2018
-
Shares Outstanding17030000
-
Share ClassN/A
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerCharles Ragauss
Fund Description
The Fund will invest at least 80% of its net assets (plus borrowings for investment purposes) in the securities that comprise the Index, which will primarily include U.S. Treasury securities and long-dated call options (“LEAP Options”) on the SPDR S&P 500 ETF Trust (“SPY”). The Fund is not a money market fund. The Fund, using an indexing investment approach, attempts to replicate, before fees and expenses, the performance of the Index. The Fund’s investment sub-advisers, Cerity Partners LLC (“Cerity”) and Toroso Investments, LLC (“Toroso,” and with Cerity, the “Sub-Advisers”), manage the investment of the Fund’s assets. The index provider is S-Network Global Indexes, Inc. (“S-Network” or the “Index Provider”). The Index Provider is not affiliated with the Fund, Amplify Investments LLC (the “Adviser”) or either Sub-Adviser.
The Index is a rules-based, quantitative index that seeks to provide capital protection against the unpredictable, rare and highly disruptive events that have come to be referred to as “Black Swans.” The Index’s strategy is designed to allow for some participation in the investment gains experienced by the S&P 500 Index while still providing a buffer against significant losses. The Index seeks to provide such returns by allocating approximately 10% of its index market capitalization to a portfolio of LEAP Options on SPY and approximately 90% of its index market capitalization in a portfolio of U.S. Treasury securities. The SPY LEAP Options utilize SPY as the reference asset in order to provide the exposure to the S&P 500 Index. Due to the terms of these SPY LEAP Options (which are discussed in more detail below), these positions allow the equity portion of the Index to participate in approximately 70% of the upside experienced by SPY over a full market cycle. The U.S. Treasury securities portion of the portfolio is included to help mitigate against significant losses. By allocating approximately 90% of its index market capitalization to U.S. Treasury securities, the Index seeks to create a portfolio buffer that is positioned to preserve capital in the event of a “Black Swan” event. The Index is not designed to provide investment returns that correspond closely with the returns of the S&P 500 Index. The Fund is not an appropriate investment for investors who seek such returns.
The SPY LEAP Options portfolio is composed of in-the-money LEAP Options that, at the time of purchase, have expirations of at least one year and one day in the future and expire in either June or December, as applicable. An “in-the-money” option contract is one that currently presents a profit opportunity due to the relationship between the strike price and the current price of the reference asset. For purchased call option contracts, such as the SPY LEAP Options held by the Fund, an in-the-money option contract is one with a strike price that is below the current price of the underlying reference asset. The LEAP Options utilized by the Fund will generally have a delta of 70 at the time of purchase, meaning that for every $1.00 of movement in the share price of SPY, each LEAP Option will have a corresponding movement of $0.70. Therefore, while not subject to a return cap when SPY experiences gains, the Index generally only participates in approximately 70% of the gains experienced by SPY over a full market cycle. When SPY experiences losses, the SPY LEAP Options portfolio participates in approximately 70% of such losses experienced by SPY, but those losses are mitigated by the Index’s approximately 90% position in U.S. Treasury securities.
The U.S. Treasury securities portfolio is composed of U.S. Treasury securities that cumulatively provide an intermediate duration. This duration was selected as the Index’s target duration to seek to lower portfolio risk levels by increasing the probability of low correlation of the U.S. Treasuries to the U.S. equities markets. Duration is a measure of the expected price volatility of a debt security as a result of changes in market rates of interest, based on, among other factors, the weighted average timing of the debt security’s expected principal and interest payments. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a security with a duration of 10 years would be expected to drop by approximately 10% in response to a 1% increase in interest rates. An “intermediate duration,” is generally referred to as a security with a duration of 5 to 10 years.
The Index reconstitutes and rebalances every June and December. At each June reconstitution, the Index liquidates its existing June LEAP Options and purchases LEAP Options that expire the following June. The December LEAP Option positions will remain unchanged at each June reconstitution. At each December reconstitution, the Index liquidates its existing December LEAP Options and purchases LEAP Options that expire the following December. The June LEAP Options positions will remain unchanged at each December reconstitution. So as to maintain the desired allocation of the portfolio, net gains or losses derived from the reconstitutions of the LEAP Options positions are added to or subtracted from the U.S. Treasury securities portfolio at each reconstitution. The Index also rebalances the U.S. Treasury securities portfolio any time the portfolio’s target duration deviates by more than 0.5 years. For more information regarding the Index methodology, please see the section entitled “Additional Information About the Fund’s Strategies and Risks.”
Diversification Status. The Fund is classified as “diversified” under the Investment Company Act of 1940, as amended (the “1940 Act”).
SWAN - Performance
Return Ranking - Trailing
Period | SWAN Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 12.5% | -2.8% | 240.8% | 94.07% |
1 Yr | 24.7% | -4.3% | 140.6% | 90.87% |
3 Yr | -3.0%* | -8.3% | 18.3% | N/A |
5 Yr | 3.2%* | -5.0% | 17.3% | N/A |
10 Yr | N/A* | -4.6% | 13.2% | N/A |
* Annualized
Return Ranking - Calendar
Period | SWAN Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 8.6% | -34.1% | 904.0% | 5.86% |
2022 | -29.2% | -28.6% | 438.4% | 11.56% |
2021 | 5.2% | -93.5% | 8.2% | N/A |
2020 | 14.2% | -38.9% | 19.8% | N/A |
2019 | 17.6% | -10.9% | 12.8% | N/A |
Total Return Ranking - Trailing
Period | SWAN Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 12.5% | -2.7% | 244.0% | 91.30% |
1 Yr | 24.7% | -4.3% | 140.6% | 88.26% |
3 Yr | -3.0%* | -8.3% | 18.3% | N/A |
5 Yr | 3.2%* | -5.4% | 17.3% | N/A |
10 Yr | N/A* | -4.6% | 13.2% | N/A |
* Annualized
Total Return Ranking - Calendar
Period | SWAN Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 12.1% | -34.1% | 904.0% | 5.86% |
2022 | -27.8% | -5.9% | 438.4% | 12.14% |
2021 | 10.6% | -81.2% | 8.2% | N/A |
2020 | 16.2% | -29.0% | 19.8% | N/A |
2019 | 19.2% | -10.9% | 12.8% | N/A |
SWAN - Holdings
Concentration Analysis
SWAN | Category Low | Category High | SWAN % Rank | |
---|---|---|---|---|
Net Assets | 172 M | 25 | 17.4 B | 10.11% |
Number of Holdings | 14 | 2 | 508 | 74.81% |
Net Assets in Top 10 | 151 M | -6.66 M | 5.12 B | 5.73% |
Weighting of Top 10 | 85.67% | 11.3% | 100.0% | 1.33% |
Top 10 Holdings
- SPDR SP 500 ETF Trust 10.20%
- United States Treasury Note/Bond 8.41%
- United States Treasury Note/Bond 8.41%
- United States Treasury Note/Bond 8.40%
- United States Treasury Note/Bond 8.39%
- United States Treasury Note/Bond 8.39%
- United States Treasury Note/Bond 8.37%
- United States Treasury Note/Bond 8.36%
- United States Treasury Note/Bond 8.36%
- United States Treasury Note/Bond 8.36%
Asset Allocation
Weighting | Return Low | Return High | SWAN % Rank | |
---|---|---|---|---|
Bonds | 83.82% | 0.00% | 97.96% | 3.44% |
Other | 15.77% | 0.00% | 45.92% | 46.95% |
Cash | 0.73% | -0.76% | 100.29% | 85.50% |
Stocks | 0.00% | -3.92% | 100.76% | 85.88% |
Preferred Stocks | 0.00% | 0.00% | 3.08% | 33.21% |
Convertible Bonds | 0.00% | 0.00% | 20.91% | 36.26% |
Bond Sector Breakdown
Weighting | Return Low | Return High | SWAN % Rank | |
---|---|---|---|---|
Government | 100.00% | 0.00% | 99.91% | 0.38% |
Derivative | 15.77% | 0.00% | 0.13% | 33.59% |
Cash & Equivalents | 0.73% | 0.09% | 100.00% | 100.00% |
Securitized | 0.00% | 0.00% | 22.63% | 33.21% |
Corporate | 0.00% | 0.00% | 91.57% | 40.46% |
Municipal | 0.00% | 0.00% | 97.57% | 32.44% |
Bond Geographic Breakdown
Weighting | Return Low | Return High | SWAN % Rank | |
---|---|---|---|---|
US | 83.82% | 0.00% | 97.96% | 3.44% |
Non US | 0.00% | 0.00% | 16.94% | 32.82% |
SWAN - Expenses
Operational Fees
SWAN Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 0.49% | 0.20% | 6.78% | 97.94% |
Management Fee | 0.49% | 0.20% | 1.75% | 8.96% |
12b-1 Fee | 0.00% | 0.00% | 1.00% | 18.97% |
Administrative Fee | N/A | 0.02% | 0.28% | N/A |
Sales Fees
SWAN Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Front Load | N/A | 4.75% | 5.75% | N/A |
Deferred Load | N/A | 1.00% | 1.00% | N/A |
Trading Fees
SWAN Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Max Redemption Fee | N/A | 1.00% | 2.00% | N/A |
Related Fees
Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.
SWAN Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | 194.00% | 0.00% | 456.80% | 90.18% |
SWAN - Distributions
Dividend Yield Analysis
SWAN | Category Low | Category High | SWAN % Rank | |
---|---|---|---|---|
Dividend Yield | 1.99% | 0.00% | 3.76% | 7.06% |
Dividend Distribution Analysis
SWAN | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | Quarterly | Annually | Monthly | Annually |
Net Income Ratio Analysis
SWAN | Category Low | Category High | SWAN % Rank | |
---|---|---|---|---|
Net Income Ratio | 0.25% | -2.54% | 14.24% | 50.00% |
Capital Gain Distribution Analysis
SWAN | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency | Annually | Annually | Annually |
Distributions History
Date | Amount | Type |
---|---|---|
Sep 27, 2024 | $0.146 | OrdinaryDividend |
Jun 27, 2024 | $0.193 | OrdinaryDividend |
Mar 26, 2024 | $0.191 | OrdinaryDividend |
Dec 27, 2023 | $0.208 | OrdinaryDividend |
Sep 27, 2023 | $0.189 | OrdinaryDividend |
Jun 28, 2023 | $0.195 | OrdinaryDividend |
Mar 29, 2023 | $0.198 | OrdinaryDividend |
Dec 28, 2022 | $0.184 | OrdinaryDividend |
Sep 28, 2022 | $0.177 | OrdinaryDividend |
Jun 28, 2022 | $0.096 | OrdinaryDividend |
Mar 29, 2022 | $0.060 | OrdinaryDividend |
Dec 29, 2021 | $0.043 | OrdinaryDividend |
Dec 29, 2021 | $0.654 | CapitalGainShortTerm |
Dec 29, 2021 | $0.978 | CapitalGainLongTerm |
Sep 28, 2021 | $0.039 | OrdinaryDividend |
Jun 28, 2021 | $0.019 | OrdinaryDividend |
Mar 29, 2021 | $0.007 | OrdinaryDividend |
Dec 29, 2020 | $0.006 | OrdinaryDividend |
Dec 29, 2020 | $0.304 | CapitalGainShortTerm |
Dec 29, 2020 | $0.119 | CapitalGainLongTerm |
Sep 28, 2020 | $0.007 | OrdinaryDividend |
Jun 26, 2020 | $0.029 | OrdinaryDividend |
Mar 27, 2020 | $0.074 | OrdinaryDividend |
Dec 30, 2019 | $0.076 | OrdinaryDividend |
Sep 27, 2019 | $0.078 | OrdinaryDividend |
Jun 27, 2019 | $0.109 | OrdinaryDividend |
Mar 28, 2019 | $0.121 | OrdinaryDividend |
Dec 28, 2018 | $0.071 | OrdinaryDividend |
SWAN - Fund Manager Analysis
Managers
Charles Ragauss
Start Date
Tenure
Tenure Rank
Nov 05, 2018
3.57
3.6%
Mr. Ragauss currently serves as Director of Product Management at CSat Investment Advisory, having joined the it in April 2016. Prior to joiningCSat Investment Advisory, Mr. Ragauss was Assistant Vice President at Huntington National Bank (“Huntington”), where he was Product Manager for the Huntington Funds and Huntington Strategy Shares ETFs, a combined fund complex of almost $4 billion in assets under management. At Huntington, he led ETF development bringing to market some of the first actively managed ETFs. Mr. Ragauss joined Huntington in 2010. Mr. Ragauss attended Grand Valley State University where he received his Bachelor of Business Administration in Finance and International Business, as well as a minor in French. He is a member of both the National and West Michigan CFA societies and holds the CFA designation.
Indu Chhachhi
Start Date
Tenure
Tenure Rank
Nov 05, 2018
3.57
3.6%
Indu Chhachhi. Dr. Chhachhi serves as Investment Committee Member and Research at ARGI. Dr. Chhachhi joined ARGI in 2006 as a Financial Planner. Dr. Chhachhi has a doctorate in finance from Southern Illinois University and has been teaching finance at the university level since 1990. He served as the Chair of the Finance Department at Western Kentucky University from 1999 – 2007 and returned to this position in 2017. Currently, he is the Professor of Finance at WKU. He also serves as the Director of the Tennessee Valley Authority’s Investment Challenge Program.
Dan Cupkovic
Start Date
Tenure
Tenure Rank
Nov 05, 2018
3.57
3.6%
Dan Cupkovic, CFP. Mr. Cupkovic serves as Director of Investment at ARGI. He joined ARGI in 2008. Mr. Cupkovic is a member of the ARGI Investment Committee, which actively oversees the ARGI managed investment strategies. In addition to his investment role, Mr. Cupkovic works as a lead advisor for institutional accounts and high net worth clientele.
Matt Westfall
Start Date
Tenure
Tenure Rank
Nov 05, 2018
3.57
3.6%
Matt Westfall, CFA. Mr. Westfall serves a Portfolio Manager at ARGI Investment Services, LLC. He joined ARGI Investment Services, LLC in 2010. He has a B.S./B.A. in Finance and Marketing from Ohio State University and earned his Chartered Financial Analyst® designation from the CFA Institute. Mr. Westfall has previous experience in investment banking developing research.
Michael Venuto
Start Date
Tenure
Tenure Rank
Mar 01, 2021
1.25
1.3%
Mr. Venuto is a co-founder and has been the Chief Investment Officer of the Toroso Investments, LLC since 2012. Mr. Venuto is an ETF industry veteran with over a decade of experience in the design and implementation of ETF-based investment strategies. Previously, he was Head of Investments at Global X Funds where he provided portfolio optimization services to institutional clients. Before that, he was Senior Vice President at Horizon Kinetics where his responsibilities included new business development, investment strategy and client and strategic initiatives.
Tenure Analysis
Category Low | Category High | Category Average | Category Mode |
---|---|---|---|
0.04 | 19.77 | 3.61 | 5.67 |