Fund Performance Analysis

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Fund Information (Dec 2018 - Jun 2021)

Fund information
NameAmplify BlackSwan Gr&Trsry Cor ETF (SWAN)
Asset ClassAlternative
CategoryOptions Trading
Fund BenchmarkS-Network BlackSwan Core TR USD
Selected BenchmarkVanguard S&P 500 ETF (VOO)
Price/Earnings (TTM)26.45
Price/Book (TTM)4.42
Yield (TTM)0.11%
Assets783.38 M
Equity Holdings0
Bond Holdings6
Total Holdings9
Expense Ratio0.49%
Inception Date11/05/2018

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Amplify BlackSwan Gr&Trsry Cor ETF$10,000$14,249 14.69% 8.25%22.05%-3.58%-5.06% 1.583.300.77
Vanguard S&P 500 ETF$10,000$16,330 20.91% 19.11%31.35%-8.84%-19.58% 1.031.651.00

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Amplify BlackSwan Gr&Trsry Cor ETF7.29%4.50%13.28%14.69%
Vanguard S&P 500 ETF8.39%15.29%40.97%20.91%
Trailing annualized returns are for full months ending in June 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 07/28/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Holdings Based Style Analysis for Amplify BlackSwan Gr&Trsry Cor ETF

Holdings Based Style Analysis for Amplify BlackSwan Gr&Trsry Cor ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SWANAmplify BlackSwan Gr&Trsry Cor ETFOptions Trading100.00%0.11%0.49%26.45$4,249100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard S&P 500 ETF

Holdings Based Style Analysis for Vanguard S&P 500 ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend100.00%1.29%0.03%26.46$6,330100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricAmplify BlackSwan Gr&Trsry Cor ETFVanguard S&P 500 ETF
Arithmetic Mean (monthly)1.18%1.74%
Arithmetic Mean (annualized)15.06%23.04%
Geometric Mean (monthly)1.15%1.59%
Geometric Mean (annualized)14.69%20.91%
Volatility (monthly)2.38%5.52%
Volatility (annualized)8.25%19.11%
Downside Deviation (monthly)1.10%3.42%
Max. Drawdown-5.06%-19.58%
US Market Correlation0.771.00
Alpha (annualized)7.07%0.00%
Sharpe Ratio1.581.03
Sortino Ratio3.301.65
Treynor Ratio (%)38.7519.85
Active Return-6.21%N/A
Tracking Error13.69%N/A
Information Ratio-0.45N/A
Excess Kurtosis-0.420.81
Historical Value-at-Risk (5%)-2.56%-8.47%
Analytical Value-at-Risk (5%)-2.74%-7.33%
Conditional Value-at-Risk (5%)-3.15%-10.65%
Upside Capture Ratio (%)42.38100.00
Downside Capture Ratio (%)21.94100.00
Safe Withdrawal Rate37.62%37.39%
Perpetual Withdrawal Rate8.88%12.93%
Positive Periods23 out of 31 (74.19%)22 out of 31 (70.97%)
Gain/Loss Ratio1.140.90
* Vanguard S&P 500 ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Amplify BlackSwan Gr&Trsry Cor ETF Returns

Annual and monthly fund returns

Vanguard S&P 500 ETF Returns

Annual and monthly fund returns