SWAN vs. NTSX
Compare and contrast key facts about Amplify BlackSwan Growth & Treasury Core ETF (SWAN) and WisdomTree U.S. Efficient Core Fund (NTSX).
SWAN and NTSX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SWAN is a passively managed fund by Amplify Investments that tracks the performance of the S-Network BlackSwan Core Index. It was launched on Nov 6, 2018. NTSX is an actively managed fund by WisdomTree. It was launched on Aug 2, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SWAN or NTSX.
Key characteristics
| SWAN | NTSX | |
|---|---|---|
| YTD Return | 12.64% | 17.61% |
| 1Y Return | 24.85% | 30.63% |
| 3Y Return (Ann) | -3.27% | 2.48% |
| 5Y Return (Ann) | 3.77% | 11.34% |
| Sharpe Ratio | 2.29 | 2.58 |
| Sortino Ratio | 3.26 | 3.52 |
| Omega Ratio | 1.41 | 1.46 |
| Calmar Ratio | 0.92 | 1.71 |
| Martin Ratio | 13.91 | 17.02 |
| Ulcer Index | 1.89% | 1.90% |
| Daily Std Dev | 11.44% | 12.53% |
| Max Drawdown | -31.04% | -31.34% |
| Current Drawdown | -9.51% | -2.96% |
Correlation
The correlation between SWAN and NTSX is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
SWAN vs. NTSX - Performance Comparison
In the year-to-date period, SWAN achieves a 12.64% return, which is significantly lower than NTSX's 17.61% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SWAN vs. NTSX - Expense Ratio Comparison
SWAN has a 0.49% expense ratio, which is higher than NTSX's 0.20% expense ratio.
Risk-Adjusted Performance
SWAN vs. NTSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Amplify BlackSwan Growth & Treasury Core ETF (SWAN) and WisdomTree U.S. Efficient Core Fund (NTSX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
SWAN vs. NTSX - Dividend Comparison
SWAN's dividend yield for the trailing twelve months is around 2.52%, more than NTSX's 1.09% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 2.52% | 2.98% | 2.12% | 5.04% | 1.64% | 3.69% | 0.29% |
NTSX WisdomTree U.S. Efficient Core Fund | 1.09% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% |
Drawdowns
SWAN vs. NTSX - Drawdown Comparison
The maximum SWAN drawdown since its inception was -31.04%, roughly equal to the maximum NTSX drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for SWAN and NTSX. For additional features, visit the drawdowns tool.
Volatility
SWAN vs. NTSX - Volatility Comparison
The current volatility for Amplify BlackSwan Growth & Treasury Core ETF (SWAN) is 2.75%, while WisdomTree U.S. Efficient Core Fund (NTSX) has a volatility of 2.93%. This indicates that SWAN experiences smaller price fluctuations and is considered to be less risky than NTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.