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Northern Trust Emerging Markets Quality Low Volatility Index

 
 
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Index Overview
The Northern Trust Emerging Markets 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 emerging market universe. An emphasis is placed on a company’s income and capital growth, while also reducing overall volatility of returns relative to an eligible universe of emerging market securities. 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: NTEQLV
  • Total Return: NTEQLVTR
  • Net Total Return: NTEQLVNTR
Inception Date30-JUN-14
Index Value at Inception Date1,000
Hypothetical Inception Date12/31/2007
Index Value at Hypothetical Inception Date640.37

Total Returns

As of 14-JAN-21
 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
NTEQLVNTR
6.49109.6012.4559.3019.1941.664.47240.9246.566.0130-JUN-14
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Index Characteristics
 
Index Constituents149
Weighted Average Market Capitalization$198,974,476,082.38
Weighted Average Yield2.44%
14-JAN-21
Weighted Average P/E20.83
Weighted Average P/B2.39
Weighted Average ROE15.38
Index Composition

Top 10 Constituents Weights
View All

as of 14-JAN-21
Security NameWeight
TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD8.27%
ALIBABA GROUP HOLDING LTD6.91%
TENCENT HOLDINGS LTD6.26%
SAMSUNG ELECTRONICS CO LTD5.89%
PROSUS N1.95%
TATA CONSULTANCY SERVICES LTD1.85%
MEITUAN1.34%
CHUNGHWA TELECOM CO LTD1.08%
ORIENT OVERSEAS INTERNATIONAL LTD1.06%
ASIAN PAINTS LTD1.01%
% of Index35.62%

Index Sector Weightings
 

as of 14-JAN-21
SectorWeight
Information Technology19.60%
Consumer Discretionary15.47%
Communication Services15.38%
Financials13.65%
Consumer Staples9.18%
Health Care7.09%
Industrials6.19%
Utilities6.17%
Materials4.63%
Energy2.64%
TOTAL100.00%

Top 10 Country Weightings

as of 14-JAN-21
CountryWeight
CHINA31.31%
TAIWAN18.50%
SOUTH KOREA13.41%
INDIA7.23%
MALAYSIA5.45%
THAILAND5.36%
SOUTH AFRICA2.82%
MEXICO2.55%
BRAZIL1.90%
MOROCCO1.81%
% of Index90.34%
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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust Emerging Markets Quality Low Volatility Index
NTEQLVNTR
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