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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 09-JUN-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
NTUQVCBTR
-0.58-6.651.646.661.803.652.255.17-1.50-0.4531-JAN-20
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Index Characteristics
 
Index Constituents2,617
Weighted Average Yield to Maturity5.63%
Weighted Average Coupon3.73%
Weighted Average Yield to Worst5.60%
09-JUN-23
Weighted Average Maturity4.77
Weighted Average Effective Duration4.08
Weighted Average Option Adjusted Spread144.00
Weighted Average NRSRO RatingBBB+
Index Composition

Top 10 Constituents Weights
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as of 09-JUN-23
Security NameWeight
CITIGROUP INC. 4.41 03/31/20300.46%
WELLS FARGO & COMPANY 3.53 03/24/20270.46%
CITIGROUP INC. 4.45 09/29/20270.45%
WELLS FARGO & COMPANY 2.88 10/30/20290.36%
PFIZER INVESTMENT ENTERPRISES PTE LTD. 4.65 05/19/20300.36%
BANK OF AMERICA CORPORATION 4.27 07/23/20280.35%
ORACLE CORPORATION 2.95 04/01/20300.34%
FISERV INC. 3.5 07/01/20290.34%
HSBC HOLDINGS PLC 3.97 05/22/20290.33%
BANK OF AMERICA CORPORATION 3.42 12/20/20270.33%
% of Index3.78%

Top 10 Issuers by Index Weight
View All

as of 09-JUN-23
Issuer Name# of IssuesWeight
BANK OF AMERICA CORPORATION443.00%
WELLS FARGO & COMPANY282.99%
JPMORGAN CHASE & CO.492.93%
CITIGROUP INC.362.77%
APPLE INC.261.80%
MORGAN STANLEY421.55%
HSBC HOLDINGS PLC311.52%
SUMITOMO MITSUI FINANCIAL GROUP INC321.45%
BROADCOM INC171.15%
UNITEDHEALTH GROUP INC.181.13%
% of Index20.29%
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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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