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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 18-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
NTULQVCBTR
-0.78-8.852.449.811.843.677.497.7531-JAN-20
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Index Characteristics
 
Index Constituents1,349
Weighted Average Yield to Maturity3.19%
Weighted Average Coupon4.97%
Weighted Average Yield to Worst3.18%
18-JAN-21
Weighted Average Maturity24.10
Weighted Average Effective Duration15.25
Weighted Average Option Adjusted Spread159.00
Weighted Average NRSRO RatingBBB+
Index Composition

Top 10 Constituents Weights
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as of 18-JAN-21
Security NameWeight
ALTRIA GROUP INC. 5.95 02/14/20490.63%
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL CORP. 6.48 10/23/20450.60%
CISCO SYSTEMS INC. 5.9 02/15/20390.56%
REYNOLDS AMERICAN INC. 5.85 08/15/20450.54%
CISCO SYSTEMS INC. 5.5 01/15/20400.53%
ALTRIA GROUP INC. 5.8 02/14/20390.49%
B.A.T. CAPITAL CORPORATION 4.54 08/15/20470.49%
CITIGROUP INC. 4.75 05/18/20460.48%
GILEAD SCIENCES INC. 4.75 03/01/20460.48%
AMGEN INC. 4.66 06/15/20510.46%
% of Index5.26%

Top 10 Issuers by Index Weight
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as of 18-JAN-21
Issuer Name# of IssuesWeight
B.A.T. CAPITAL CORPORATION102.03%
ENTERPRISE PRODUCTS OPERATING LP202.02%
AMGEN INC.132.00%
ALTRIA GROUP INC.81.99%
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL CORP.101.99%
PACIFICORP341.99%
WELLS FARGO & COMPANY161.99%
VERIZON COMMUNICATIONS INC.231.96%
ORACLE CORPORATION101.94%
AT&T INC321.93%
% of Index19.84%
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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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