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Northern Trust US Long Corporate Bond Quality Value Index

 
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Index Overview
The Northern Trust US Long Corporate Bond Quality Value Index is designed to measure the performance of a diversified universe of longer term 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. 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: NTULQVCB
  • Total Return: NTULQVCBTR
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
NTULQVCBTR
-0.47-5.263.5614.8732.7274.285.368.4431-JAN-20
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Index Characteristics
 
Index Constituents1,490
Weighted Average Yield to Maturity3.22%
Weighted Average Coupon5.00%
Weighted Average Yield to Worst3.21%
22-SEP-20
Weighted Average Maturity24.15
Weighted Average Effective Duration15.25
Weighted Average Option Adjusted Spread206.00
Weighted Average NRSRO RatingBBB+
Index Composition

Top 10 Constituents Weights
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as of 22-SEP-20
Security NameWeight
GOLDMAN SACHS GROUP INC. 6.75 10/01/20371.26%
ALLY FINANCIAL INC. 8 11/01/20310.64%
ALTRIA GROUP INC. 5.95 02/14/20490.63%
REYNOLDS AMERICAN INC. 5.85 08/15/20450.52%
ALTRIA GROUP INC. 5.8 02/14/20390.48%
CITIGROUP INC. 4.75 05/18/20460.48%
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL CORP. 6.48 10/23/20450.45%
B.A.T. CAPITAL CORPORATION 4.39 08/15/20370.44%
VISA INC 4.3 12/14/20450.44%
ALTRIA GROUP INC. 5.38 01/31/20440.42%
% of Index5.76%

Top 10 Issuers by Index Weight
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as of 22-SEP-20
Issuer Name# of IssuesWeight
AT&T INC372.03%
ORACLE CORPORATION112.03%
ALTRIA GROUP INC.82.01%
VERIZON COMMUNICATIONS INC.202.00%
GOLDMAN SACHS GROUP INC.91.99%
ENTERPRISE PRODUCTS OPERATING LP201.99%
WELLS FARGO & COMPANY171.98%
PACIFICORP341.96%
REYNOLDS AMERICAN INC.81.94%
ABBVIE INC.101.93%
% of Index19.86%
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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust US Long Corporate Bond Quality Value Index
NTULQVCBTR
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