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Northern Trust US Corporate Bond Quality Value Index

 
 
 
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  • Performance
  • Characteristics
  • Index Documents
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 Date 31-Jan-20
      Index Value at Inception Date1,000
      Hypothetical Inception Date
      Index Value at Hypothetical Inception Date

      Total Returns

      As of 30-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
      NTUQVCBTR
      		3.6652.751.737.022.294.594.805.240.960.25 31-Jan-20
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      Index Characteristics
       
      Index Constituents2,775
      Weighted Average Yield to Maturity5.74%
      Weighted Average Coupon3.89%
      Weighted Average Yield to Worst5.70%
      30-Nov-23
      Weighted Average Maturity4.74
      Weighted Average Effective Duration4.01
      Weighted Average Option Adjusted Spread116.00
      Weighted Average NRSRO Rating BBB+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 30-Nov-23
      Security NameWeight
      CITIGROUP INC. 4.45 09/29/2027 0.44%
      CASH 0 11/30/2023 0.42%
      WELLS FARGO & COMPANY 5.39 04/24/2033 0.38%
      CITIGROUP INC. 6.17 05/25/2033 0.35%
      JPMORGAN CHASE & CO. 1.58 04/22/2026 0.34%
      FISERV INC. 3.5 07/01/2029 0.33%
      HSBC HOLDINGS PLC 3.97 05/22/2029 0.32%
      BANK OF AMERICA CORPORATION 3.97 02/07/2029 0.29%
      CITIGROUP INC. 3.98 03/20/2029 0.27%
      WELLS FARGO & COMPANY 2.19 04/30/2025 0.27%
      % of Index3.41%

      Top 10 Issuers by Index Weight
      View All

      as of 30-Nov-23
      Issuer Name# of IssuesWeight
      ABBVIE INC. 71.33%
      PHILIP MORRIS INTERNATIONAL INC. 181.29%
      FISERV INC. 101.16%
      JPMORGAN CHASE & CO. 442.89%
      BANK OF AMERICA CORPORATION 472.88%
      CITIGROUP INC. 312.86%
      WELLS FARGO & COMPANY 272.76%
      HSBC HOLDINGS PLC 352.69%
      BROADCOM INC 162.11%
      APPLE INC. 261.52%
      % of Index21.49%
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       MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
      Hypothetical Inception
      Northern Trust US Corporate Bond Quality Value Index
      NTUQVCBTR      		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel
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