RECAP
The equity market entered August on the heels of five consecutive months of positive returns (as measured by the S&P 500). Late summer has historically carried some seasonal volatility and August proved no different. As Q3 corporate earnings wrapped up, all eyes turned to the Federal Reserves annual meeting in Jackson Hole with investors trying to measure the expectation of future rate increases. Volatility picked up from an average of 14 in June and July to a mid-August peak of nearly 18, as measured by the CBOE Volatility Index.
Amplify CWP Enhanced Dividend Income ETF (DIVO™) received a 5-star Morningstar Rating™ for the overall period based on risk-adjusted return among 83 funds in the Derivative Income category (as of 08/31/23). DIVO returned -2.09% on a net asset value (NAV) compared to its benchmarks, the S&P 500 TR Index at -1.59% and the CBOE S&P 500 BuyWrite Index at -1.58% for the month ending August 31, 2023. The Communications Services sector (+2.64%) contributed most significantly to the Fund’s return for the month, followed by Energy (+1.96%). Materials (-10.62%) and Industrials (-4.60%) contributed the least to the return during the period, respectively. Positions that contributed most significantly included Marathon Petroleum (MPC), Visa (V) and Verizon (VZ). Positions that detracted included Freeport McMoran (FCX) and General Mills (GIS), respectively.
The Fund’s position in Apple (AAPL), Schlumberger (SLB) and Freeport McMoran (FCX) were added to during the month while Johnson & Johnson (JNJ) was reduced into relative strength and General Mills (GIS) was trimmed on relative underperformance. Apple (AAPL) continues to be a leader in the technology space and was added to after the stock price pulled back from recent highs while Freeport McMoran (FCX) may benefit as copper demand continues to increase with electric vehicle/charging growth while copper prices may increase against a falling US Dollar. Marathon Petroleum (MPC) also performed well and was called away during August as the stock price exceeded the strike of the options sold against it.
From an options standpoint, options on McDonalds (MCD) and Duke (DUK) expired during August, Marathon Petroleum (MPC) was called away and Apple (AAPL), UPS (UPS) and Merck (MRK) were rolled into expiration dates and strike prices.
The portfolio held a total of three covered calls at the end of August 2023: Apple (AAPL), UPS (UPS) and Merck (MRK). Approximately 7.4% of the portfolio was covered at the end of the month.
YIELD
Distribution Rate is the annual yield an investor would receive if the most recent distribution remained the same going forward. The yield represents a single distribution from the fund and does not represent total return to the fund. The distribution yield is calculated by annualizing the most recent distribution - from both dividend and option income - and dividing it by the most recent NAV. Distributions have included a return of capital. Please click here for more information. 30-Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission that allows for fairer comparisons among bond funds. It is based on the most recent month end. This figure reflects the income earned from dividends - excluding option income - during the period after deducting the Fund's expenses for the period.
PERFORMANCE
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Short-term performance, in particular, is not good indication of the fund's future performance, and an investment should not be made based solely on returns. Brokerage commissions will reduce returns.
All data as of 08/31/2023. Subject to change at any time. Fund holdings should not be considered recommendations to buy or sell any security. View Current Complete Holdings
Index Definitions: All indexes are unmanaged and it's not possible to invest in an index. S&P 500 Total Return Index — market-capitalization-weighted index of the 500 largest U.S. publicly traded companies by market value, and assumes distributions are reinvested back into the index. It does not include fees or expenses. CBOE S&P 500 BuyWrite Index (BXM)—tracks the performance of a hypothetical buy-write strategy on the S&P 500 Index. A “buy-write” strategy is generally one in which an investor buys a stock (or basket of stocks), and also writes covered calls that correspond to those holdings.
DIVO differs substantially from the S&P 500 Index and CBOE S&P 500 BuyWrite index, which are used for comparison purposes as widely recognized measures of U.S. stock market performance. While the returns of DIVO have exhibited positive (but varying) correlation to the indexes over time, DIVO may invest in different stocks and in different proportions than in the S&P 500 index and CBOE S&P 500 BuyWrite index.
A covered call refers to a financial transaction in which the investor selling call options owns an equivalent amount of the underlying security.