SWAN - The Black Swan Index - A Balanced Portfolio In Hiding

I was recently listening to the ETF Experience Podcast where they interviewed Dan Cupkovic about the Black Swan Index, and the Amplify BlackSwan Growth & Treasury Core ETF (SWAN) that follows it. The selling point is returns that closely match the S&P500 with lower drawdowns. Sounded interesting so I started to dig into it. The index was inspired by Nassim Taleb’s book, The Black Swan in which Taleb suggests holding a large percentage of assets in treasuries and a small position is asymmetric bets.

The index buys in the money call options

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