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Northern Trust High Yield Value-Scored US Corporate Bond Index

 
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  • Performance
  • Characteristics
  • Index Documents
Index Overview
The Northern Trust High Yield Value-Scored US Corporate Bond Index is designed to measure the performance of a diversified universe of high yield, US-dollar denominated bonds of companies exhibiting favorable fundamental qualities, market valuations and liquidity, as defined by Northern Trust Investments, Inc.'s ("NTI") proprietary scoring models.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a securities screen to determine eligible securities (as described in the "Index Eligibility" section). Once all eligible securities have been identified, the securities are then optimized based on their exposure to quantitative factors such as:

  • Value-Score, Credit-Score, and Liquidity Score, as determined by NTI's Quantitative Research team’s proprietary scoring models

The primary objective of the optimization is to maximize exposure to the value-score factor relative to the eligible universe.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams Available
  • Price Return: NTUHVCB
  • Total Return: NTUHVCBTR

Related Documents

 
      Inception Date 30-Apr-18
      Index Value at Inception Date1,000
      Hypothetical Inception DateN/A
      Index Value at Hypothetical Inception DateN/A

      Total Returns

      As of 29-Nov-23
       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
      NTUHVCBTR
      		4.7266.502.048.336.6413.6110.3811.4030.964.95 30-Apr-18
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      Index Characteristics
       
      Index Constituents945
      Weighted Average Yield to Maturity10.21%
      Weighted Average Coupon6.25%
      Weighted Average Yield to Worst10.16%
      29-Nov-23
      Weighted Average Maturity4.81
      Weighted Average Effective Duration3.50
      Weighted Average Option Adjusted Spread566.00
      Weighted Average NRSRO Rating B+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 29-Nov-23
      Security NameWeight
      NEPTUNE BIDCO US INC. 9.29 04/15/2029 1.01%
      VENTURE GLOBAL LNG INC. 8.13 06/01/2028 0.96%
      STAPLES INC. 7.5 04/15/2026 0.72%
      TENNECO INC. 8 11/17/2028 0.66%
      VERITAS US INC / VERITAS BERMUDA LTD 7.5 09/01/2025 0.57%
      ICAHN ENTERPRISES L.P. / ICAHN ENTERPRISES FINANCE CORPORATION 5.25 05/15/2027 0.54%
      SIRIUS XM RADIO INC 4.13 07/01/2030 0.53%
      VZ SECURED FINANCING BV 5 01/15/2032 0.53%
      DISH DBS CORPORATION 7.75 07/01/2026 0.52%
      SIRIUS XM RADIO INC 3.88 09/01/2031 0.51%
      % of Index6.55%

      Top 10 Issuers by Index Weight
      View All

      as of 29-Nov-23
      Issuer Name# of IssuesWeight
      FORD MOTOR CREDIT COMPANY LLC 262.29%
      DISH DBS CORPORATION 71.73%
      SIRIUS XM RADIO INC 61.69%
      TRANSDIGM INC. 61.54%
      ALTICE FRANCE S.A 71.53%
      BAUSCH HEALTH COMPANIES INC 121.42%
      VENTURE GLOBAL LNG INC. 21.38%
      ICAHN ENTERPRISES L.P. / ICAHN ENTERPRISES FINANCE CORPORATION 41.30%
      NEPTUNE BIDCO US INC. 11.01%
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 110.99%
      % of Index14.88%

      Key Rate Duration (KRD)
       

      as of 20-OCT-23
      MaturityKRD
      3 Month
      1 Year
      2 Year
      3 Year
      5 Year
      7 Year
      10 Year
      15 Year
      20 Year
      25 Year
      30 Year
      YEARS0.00
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               MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
              Hypothetical Inception
              Northern Trust High Yield Value-Scored US
              Corporate Bond Index
              NTUHVCBTR              		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel