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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 31-Dec-03
      Index Value at Hypothetical Inception Date416

      Total Returns

      As of 25-Oct-24
       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
      		-1.24-14.042.259.235.8712.064.936.018.971.83 31-Jan-20
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      Index Characteristics
       
      Index Constituents2,534
      Weighted Average Yield to Maturity5.09%
      Weighted Average Coupon4.35%
      Weighted Average Yield to Worst4.99%
      25-Oct-24
      Weighted Average Maturity4.80
      Weighted Average Effective Duration4.02
      Weighted Average Option Adjusted Spread84.00
      Weighted Average NRSRO Rating BBB+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 25-Oct-24
      Security NameWeight
      CITIGROUP INC. 6.17 05/25/2033 0.37%
      JPMORGAN CHASE & CO. 1.58 04/22/2026 0.35%
      DEUTSCHE TELEKOM INTERNATIONAL FINANCE B.V. 8.75 06/15/2030 0.32%
      HSBC HOLDINGS PLC 3.97 05/22/2029 0.32%
      FISERV INC. 3.5 07/01/2029 0.31%
      BANK OF AMERICA CORP. 4.95 07/22/2027 0.28%
      CITIGROUP INC. 4.45 09/29/2027 0.26%
      CITIGROUP INC. 3.67 07/24/2027 0.26%
      CITIGROUP INC. 5.83 02/13/2034 0.25%
      BANK OF AMERICA CORP. 3.85 03/08/2032 0.24%
      % of Index2.96%

      Top 10 Issuers by Index Weight
      View All

      as of 25-Oct-24
      Issuer Name# of IssuesWeight
      JPMORGAN CHASE & CO. 502.97%
      HSBC HOLDINGS PLC 322.91%
      CITIGROUP INC. 432.84%
      BANK OF AMERICA CORP. 452.32%
      PHILIP MORRIS INTERNATIONAL INC. 222.02%
      TRUIST FINANCIAL CORP. 201.68%
      FISERV INC. 141.57%
      ENERGY TRANSFER LP 221.35%
      ENBRIDGE INC. 151.16%
      OCCIDENTAL PETROLEUM CORPORATION 141.10%
      % of Index19.92%
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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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