SWAN — Amplify BlackSwan Growth & Treasury Core ETF
Data updated: 2026-08-28
SWAN — Amplify BlackSwan Growth & Treasury Core ETF. Intermediate Treasury / Sovereign Bond · $160.68M AUM. Holdings, fees, performance and SEC filings.
SWAN Fund Overview
SWAN — Amplify BlackSwan Growth & Treasury Core ETF is a US ETF managed by Amplify ETF Trust, categorised as Intermediate Treasury / Sovereign Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US ETF
- Manager: Amplify ETF Trust
- Category: Intermediate Treasury / Sovereign Bond
- Assets under management: $160.68M
- 1-year return: 12.6%
- Ticker: SWAN
- SEC CIK: 0001633061
- SEC series ID: S000063059
- Share class ID: C000204543
SWAN Investment Objective and Strategy
Amplify BlackSwan Growth & Treasury Core ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Amplify ETF Trust.
Investment objective
"The Amplify BlackSwan Growth & Treasury Core ETF seeks investment results that generally correspond (before fees and expenses) to the price and yield of the S-Network BlackSwan Core Total Return Index (the ""Index"")."
Principal investment strategy
"The Fund will invest at least 80% of its total assets 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, ARGI Investment Services, LLC (""ARGI) and CSAT Investment Advisory, L.P., d/b/a Exponential ETFs (""Exponential,"" and with ARGI, the ""Sub-Advisers""), manage the investment of the Fund's assets. The Sub-Advisers seek a correlation of 0.95 or better (before fees and expenses) between the Fund's performance and the performance of the Index; a figure of 1.00 would represent perfect correlation.
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 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 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 an option contract with a strike price that is below the current price of the underlying reference asset. For the SPY LEAP Options in which the Fund invests, the reference asset is SPY. The LEAP Options 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. 2-, 3-, 5-, 7-, 10- and 30-Year Treasury securities that cumulatively provide a portfolio duration that matches the initial duration of the U.S. 10-Year Treasury Note. This duration was selected as the Index's target duration based upon the principle that the return on intermediate-term U.S. Treasury securities tends not to correlate with those of 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. 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."""
SWAN Holdings
Top 10 holdings of Amplify BlackSwan Growth & Treasury Core ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| US Treasury N/b | 8.80% |
| US Treasury N/b | 8.80% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.72% |
SWAN Portfolio Allocation
Asset-class allocation of Amplify BlackSwan Growth & Treasury Core ETF by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 87.5% |
| Derivatives | 11.7% |
| Cash & Equivalents | 0.5% |
SWAN Performance
Total returns for SWAN (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| YTD | 4.7% |
| 1 year | 12.6% |
| 3 years (annualised) | 12.3% |
| 5 years (annualised) | 3.0% |
SWAN Risk Information
Risk metrics for SWAN, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 9.7%
SWAN Costs and Fees
SWAN costs about $49 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.49%
- Gross expense ratio: 0.49%
- Portfolio turnover: 43%
- Brokerage commissions: 0.28 bps of average net assets (SEC N-CEN)
SWAN Cashflows
Over the 12 months to 2026-06, Amplify BlackSwan Growth & Treasury Core ETF had net outflows of $113.94M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2026-06 | −$1.33M |
| 2026-05 | −$4.05M |
| 2026-04 | −$212.30M |
| 2026-03 | $0 |
| 2026-02 | −$1.63M |
| 2026-01 | $976.70K |
SWAN Debt Constituents
Largest debt holdings of Amplify BlackSwan Growth & Treasury Core ETF by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| US Treasury N/b | 8.80% |
| US Treasury N/b | 8.80% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.74% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.73% |
| US Treasury N/b | 8.72% |
SWAN Prospectus and SEC Filings
Official Amplify BlackSwan Growth & Treasury Core ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2026-01-28
- Prospectus (485BPOS) — filed 2025-01-28
- Prospectus (485BPOS) — filed 2024-02-28
- Portfolio holdings (N-PORT) — filed 2026-08-28
- Portfolio holdings (N-PORT) — filed 2026-05-27
- Portfolio holdings (N-PORT) — filed 2026-02-25
- Annual census (N-CEN) — filed 2024-12-11
- Annual census (N-CEN) — filed 2024-01-12
Related Funds
Other Intermediate Treasury / Sovereign Bond funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.