Northern Trust Logo
 

Northern Trust Quality Low Volatility Index

 
 
Search go
  • Snapshot
  • Performance
  • Characteristics
  • Index Documents
Index Overview
The Northern Trust 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 the Northern Trust 1250 Index. An emphasis is placed on a company’s income and capital growth, while also reducing overall volatility of returns relative to the benchmark. 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: NTUQLV
  • Total Return: NTUQLVTR
Inception Date31-DEC-13
Index Value at Inception Date1,000
Hypothetical Inception Date12/31/1999
Index Value at Hypothetical Inception Date392.53

Total Returns

As of 22-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
NTUQLVTR
2.8540.723.9516.6318.4240.113.264.05119.3212.2231-DEC-13
.
Index Characteristics
 
Index Constituents127
Weighted Average Market Capitalization$345,753,982,100.32
Weighted Average Yield1.76%
22-OCT-20
Weighted Average P/E27.06
Weighted Average P/B4.60
Weighted Average ROE22.30
Index Composition

Top 10 Constituents Weights
View All

as of 22-OCT-20
Security NameWeight
APPLE INC5.25%
JOHNSON & JOHNSON4.51%
MASTERCARD INCORPORATED4.03%
MICROSOFT CORP3.84%
VERIZON COMMUNICATIONS INC3.60%
AMAZON.COM INC3.14%
MERCK & CO INC3.04%
VISA INC2.98%
WALMART INC2.32%
ELI LILLY AND CO1.85%
% of Index34.56%

Index Sector Weightings
 

as of 22-OCT-20
SectorWeight
Information Technology23.87%
Health Care15.30%
Consumer Staples10.78%
Communication Services9.98%
Consumer Discretionary9.37%
Financials8.19%
Industrials7.44%
Utilities7.30%
Real Estate5.06%
Materials1.98%
Energy0.71%
TOTAL100.00%

Top 10 Country Weightings

as of 22-OCT-20
CountryWeight
UNITED STATES100.00%
% of Index100.00%
.
.
 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust US Quality Low Volatility Index
NTUQLVTR
Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel