PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SWAN vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SWANVUG
YTD Return12.64%24.28%
1Y Return24.85%38.30%
3Y Return (Ann)-3.27%6.87%
5Y Return (Ann)3.77%18.40%
Sharpe Ratio2.292.39
Sortino Ratio3.263.08
Omega Ratio1.411.43
Calmar Ratio0.923.07
Martin Ratio13.9112.14
Ulcer Index1.89%3.28%
Daily Std Dev11.44%16.69%
Max Drawdown-31.04%-50.68%
Current Drawdown-9.51%-2.87%

Correlation

-0.50.00.51.00.7

The correlation between SWAN and VUG is 0.71, 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. VUG - Performance Comparison

In the year-to-date period, SWAN achieves a 12.64% return, which is significantly lower than VUG's 24.28% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.47%
12.31%
SWAN
VUG

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SWAN vs. VUG - Expense Ratio Comparison

SWAN has a 0.49% expense ratio, which is higher than VUG's 0.04% expense ratio.


SWAN
Amplify BlackSwan Growth & Treasury Core ETF
Expense ratio chart for SWAN: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SWAN vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amplify BlackSwan Growth & Treasury Core ETF (SWAN) and Vanguard Growth ETF (VUG). 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.


SWAN
Sharpe ratio
The chart of Sharpe ratio for SWAN, currently valued at 2.29, compared to the broader market0.002.004.006.002.29
Sortino ratio
The chart of Sortino ratio for SWAN, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for SWAN, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for SWAN, currently valued at 0.92, compared to the broader market0.005.0010.0015.0020.000.92
Martin ratio
The chart of Martin ratio for SWAN, currently valued at 13.91, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.91
VUG
Sharpe ratio
The chart of Sharpe ratio for VUG, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Sortino ratio
The chart of Sortino ratio for VUG, currently valued at 3.08, compared to the broader market0.005.0010.003.08
Omega ratio
The chart of Omega ratio for VUG, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for VUG, currently valued at 3.07, compared to the broader market0.005.0010.0015.0020.003.07
Martin ratio
The chart of Martin ratio for VUG, currently valued at 12.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.14

SWAN vs. VUG - Sharpe Ratio Comparison

The current SWAN Sharpe Ratio is 2.29, which is comparable to the VUG Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of SWAN and VUG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.29
2.39
SWAN
VUG

Dividends

SWAN vs. VUG - Dividend Comparison

SWAN's dividend yield for the trailing twelve months is around 2.52%, more than VUG's 0.51% yield.


TTM20232022202120202019201820172016201520142013
SWAN
Amplify BlackSwan Growth & Treasury Core ETF
2.52%2.98%2.12%5.04%1.64%3.69%0.29%0.00%0.00%0.00%0.00%0.00%
VUG
Vanguard Growth ETF
0.51%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

SWAN vs. VUG - Drawdown Comparison

The maximum SWAN drawdown since its inception was -31.04%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for SWAN and VUG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.51%
-2.87%
SWAN
VUG

Volatility

SWAN vs. VUG - Volatility Comparison

The current volatility for Amplify BlackSwan Growth & Treasury Core ETF (SWAN) is 2.75%, while Vanguard Growth ETF (VUG) has a volatility of 4.54%. This indicates that SWAN experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
2.75%
4.54%
SWAN
VUG