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Northern Trust US Corporate Bond Quality Value Index

 
 
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Index Overview
The Northern Trust US Corporate Bond Quality Value Index is designed to measure the performance of a diversified universe of intermediate maturity, US-dollar denominated bonds of companies with investment grade credit quality, favorable valuations, and enhanced short-term and long-term solvency.
Index Construction
Optimized
Index Methodology
The construction of the index begins with a securities screen to determine eligible securities (defined in “Index Eligibility” section). Once all eligible securities have been identified, the securities’ are then optimized based on their exposure to quantitative factors such as:

  • Composite Alpha: produced by combining each issue’s Value Score and Quality Score, as determined by Northern Trust Investments’ Quantitative Research Team
  • Effective Duration

The primary objective of the optimization is to maximize our exposure to the Composite Alpha, and maintain a similar Effective Duration profile relative to our eligible universe.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams Available
  • Price Return: NTUQVCB
  • Total Return: NTUQVCBTR
Inception Date31-JAN-20
Index Value at Inception Date1,000
Hypothetical Inception Date
Index Value at Hypothetical Inception Date

Total Returns

As of 22-SEP-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
NTUQVCBTR
0.212.431.957.9716.3334.555.148.0931-JAN-20
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Index Characteristics
 
Index Constituents2,792
Weighted Average Yield to Maturity1.47%
Weighted Average Coupon3.63%
Weighted Average Yield to Worst1.40%
22-SEP-20
Weighted Average Maturity5.16
Weighted Average Effective Duration4.52
Weighted Average Option Adjusted Spread109.00
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
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as of 22-SEP-20
Security NameWeight
VISA INC 3.15 12/14/20250.53%
VERIZON COMMUNICATIONS INC. 4.13 03/16/20270.45%
ALIBABA GROUP HOLDING LTD 3.4 12/06/20270.34%
CITIGROUP INC. 4.4 06/10/20250.33%
ALIBABA GROUP HOLDING LTD 3.6 11/28/20240.29%
MORGAN STANLEY 5 11/24/20250.28%
APPLE INC. 2.4 05/03/20230.27%
BARCLAYS PLC 5.2 05/12/20260.27%
BANK OF AMERICA CORPORATION 4.45 03/03/20260.27%
ABBVIE INC. 2.95 11/21/20260.27%
% of Index3.30%

Top 10 Issuers by Index Weight
View All

as of 22-SEP-20
Issuer Name# of IssuesWeight
CITIGROUP INC.392.29%
BANK OF AMERICA CORPORATION422.20%
JPMORGAN CHASE & CO.432.01%
APPLE INC.232.01%
GOLDMAN SACHS GROUP INC.251.90%
ABBVIE INC.151.80%
CAPITAL ONE FINANCIAL CORPORATION201.80%
MORGAN STANLEY241.67%
WELLS FARGO & COMPANY311.59%
SUMITOMO MITSUI FINANCIAL GROUP INC301.52%
% of Index18.79%
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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust US Corporate Bond Quality Value Index
NTUQVCBTR
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