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Northern Trust Developed Markets ex US Quality Low Volatility Index

 
 
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Index Overview
The Northern Trust Developed Markets ex US Quality Low Volatility Index is designed to construct a high quality universe of companies that possess lower overall absolute volatility (i.e. risk) relative to an eligible developed market universe which excludes the United States. An emphasis is placed on a company’s income and capital growth, while also reducing overall volatility of returns relative to the eligible universe. The proprietary Northern Trust quality factor is used to identify companies that exhibit strength in profitability, management expertise and cash flow.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a universe of eligible securities. All eligible securities are then optimized to achieve a reduction in volatility, as well as a quality tilt, all while systematic risk relative to the benchmark is managed during the optimization utilizing several constraints.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams & Symbols
  • Price Return: NTDXUQLV
  • Total Return: NTDXUQLVTR
  • Net Total Return: NTDXUQLVNTR
Inception Date28-FEB-19
Index Value at Inception Date1,000
Hypothetical Inception Date12/31/2007
Index Value at Hypothetical Inception Date642.53

Total Returns

As of 29-OCT-20
 1 Month %1 Month Annualized %3 Month %3 Month Annualized %6 Month %6 Month Annualized %YTD %YTD Annualized %Since Inception %Since Inception Annualized %Inception Date
NTDXUQLVNTR
-3.71-36.86-4.09-15.282.875.81-8.49-10.171.530.9128-FEB-19
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Index Characteristics
 
Index Constituents184
Weighted Average Market Capitalization$63,995,549,954.27
Weighted Average Yield3.23%
29-OCT-20
Weighted Average P/E19.08
Weighted Average P/B2.01
Weighted Average ROE18.41
Index Composition

Top 10 Constituents Weights
View All

as of 29-OCT-20
Security NameWeight
NESTLE SA4.72%
ROCHE HOLDING AG4.69%
NOVO NORDISK A/S2.45%
COMMONWEALTH BANK OF AUSTRALIA1.78%
GLAXOSMITHKLINE PLC1.77%
ROYAL BANK OF CANADA1.50%
AIR LIQUIDE SA1.46%
IBERDROLA SA1.31%
NTT DOCOMO INC1.30%
BARRICK GOLD CORP1.28%
% of Index22.26%

Index Sector Weightings
 

as of 29-OCT-20
SectorWeight
Health Care17.07%
Consumer Staples15.34%
Financials14.49%
Industrials11.94%
Communication Services8.94%
Utilities8.21%
Consumer Discretionary6.90%
Materials6.45%
Information Technology6.31%
Real Estate3.06%
Energy1.28%
TOTAL100.00%

Top 10 Country Weightings

as of 29-OCT-20
CountryWeight
JAPAN26.96%
SWITZERLAND13.30%
CANADA9.45%
UNITED KINGDOM8.91%
HONG KONG7.02%
FRANCE5.87%
AUSTRALIA4.62%
GERMANY4.51%
DENMARK4.14%
FINLAND3.42%
% of Index88.20%
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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust Developed Markets ex US Quality Low Volatility Index
NTDXUQLVNTR
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