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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 26-Jul-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
      		1.4619.323.6415.423.056.212.895.086.851.49 31-Jan-20
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      Index Characteristics
       
      Index Constituents2,388
      Weighted Average Yield to Maturity5.29%
      Weighted Average Coupon4.19%
      Weighted Average Yield to Worst5.20%
      26-Jul-24
      Weighted Average Maturity6.23
      Weighted Average Effective Duration4.01
      Weighted Average Option Adjusted Spread94.00
      Weighted Average NRSRO Rating BBB+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 26-Jul-24
      Security NameWeight
      BANK OF AMERICA CORP. 1.73 07/22/2026 0.37%
      CITIGROUP INC. 6.17 05/25/2033 0.37%
      JPMORGAN CHASE & CO. 1.58 04/22/2026 0.35%
      HSBC HOLDINGS PLC 3.97 05/22/2029 0.32%
      FISERV INC. 3.5 07/01/2029 0.31%
      CASH 0 07/26/2024 0.28%
      CITIGROUP INC. 3.98 03/20/2029 0.27%
      BANK OF AMERICA CORP. 3.85 03/08/2032 0.24%
      HSBC HOLDINGS PLC 6.55 06/20/2033 0.23%
      CITIGROUP INC. 3.67 07/24/2027 0.23%
      % of Index2.97%

      Top 10 Issuers by Index Weight
      View All

      as of 26-Jul-24
      Issuer Name# of IssuesWeight
      JPMORGAN CHASE & CO. 452.98%
      HSBC HOLDINGS PLC 322.98%
      CITIGROUP INC. 332.61%
      BANK OF AMERICA CORP. 342.57%
      PHILIP MORRIS INTERNATIONAL INC. 232.01%
      APPLE INC. 211.63%
      FISERV INC. 121.47%
      TRUIST FINANCIAL CORP. 161.32%
      ENERGY TRANSFER LP 211.26%
      HOME DEPOT INC 171.16%
      % of Index19.99%
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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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