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Northern Trust Quality Low Volatility Index

 
 
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Index Overview
The Northern Trust Quality Low Volatility Index is designed to construct a high quality universe of companies that possess lower overall absolute volatility (i.e. risk) relative to the Northern Trust 1250 Index. An emphasis is placed on a company’s income and capital growth, while also reducing overall volatility of returns relative to the benchmark. The proprietary Northern Trust quality factor is used to identify companies that exhibit strength in profitability, management efficiency and cash flow.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a universe of eligible securities. All eligible securities are then optimized to achieve a reduction in volatility, as well as a quality tilt, all while systematic risk relative to the benchmark is managed during the optimization utilizing several constraints.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams & Symbols
  • Price Return: NTUQLV
  • Total Return: NTUQLVTR
Inception Date 31-Dec-13
Index Value at Inception Date1,000
Hypothetical Inception Date 31-Dec-99
Index Value at Hypothetical Inception Date392.53

Total Returns

As of 19-Jun-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
NTUQLVTR
2.0525.164.5719.3812.4426.3512.0027.01239.0712.36 31-Dec-13
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Index Characteristics
 
Index Constituents116
Weighted Average Market Capitalization$875,839,917,618.08
Weighted Average Yield1.75%
19-Jun-24
Weighted Average P/E26.80
Weighted Average P/B4.65
Weighted Average ROE25.42
Index Composition

Top 10 Constituents Weights
View All

as of 19-Jun-24
Security NameWeight
MICROSOFT CORP 9.32%
APPLE INC 5.48%
NVIDIA CORP 5.11%
PROCTER & GAMBLE CO 3.43%
MERCK & CO INC 3.18%
ELI LILLY AND CO 3.11%
AMAZON.COM INC 2.33%
VISA INC 2.15%
MCDONALD'S CORP 1.79%
VERIZON COMMUNICATIONS INC 1.65%
% of Index37.55%

Index Sector Weightings
 

as of 19-Jun-24
SectorWeight
Information Technology 27.84%
Health Care 15.89%
Financials 9.58%
Industrials 9.20%
Consumer Staples 9.10%
Communication Services 7.46%
Consumer Discretionary 6.99%
Utilities 5.87%
Materials 3.74%
Real Estate 2.75%
Energy 1.56%
TOTAL100.00%

Top 10 Country Weightings

as of 19-Jun-24
CountryWeight
UNITED STATES 100.00%
% of Index100.00%
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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust US Quality Low Volatility Index
NTUQLVTR
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