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Northern Trust US Long Corporate Bond Quality Value Index

 
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  • Snapshot
  • Performance
  • Characteristics
  • Index Documents
Index Overview
The Northern Trust US Long Corporate Bond Quality Value Index is designed to measure the performance of a diversified universe of longer term 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. 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: NTULQVCB
  • Total Return: NTULQVCBTR
        Inception Date31-JAN-20
        Index Value at Inception Date1,000
        Hypothetical Inception Date
        Index Value at Hypothetical Inception Date

        Total Returns

        As of 26-MAY-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
        NTULQVCBTR
        		-3.96-38.840.562.250.450.901.784.47-16.79-5.3931-JAN-20
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        Index Characteristics
         
        Index Constituents1,356
        Weighted Average Yield to Maturity5.96%
        Weighted Average Coupon4.74%
        Weighted Average Yield to Worst5.96%
        26-MAY-23
        Weighted Average Maturity24.19
        Weighted Average Effective Duration12.83
        Weighted Average Option Adjusted Spread192.00
        Weighted Average NRSRO RatingBBB+
        Index Composition

        Top 10 Constituents Weights
        View All

        as of 26-MAY-23
        Security NameWeight
        CVS HEALTH CORP 5.05 03/25/20480.70%
        INTERNATIONAL BUSINESS MACHINES CORPORATION 4.25 05/15/20490.60%
        ALTRIA GROUP INC. 5.95 02/14/20490.54%
        CISCO SYSTEMS INC. 5.9 02/15/20390.53%
        ABBVIE INC. 4.25 11/21/20490.53%
        CISCO SYSTEMS INC. 5.5 01/15/20400.51%
        CASH 0 05/26/20230.46%
        BANK OF AMERICA CORPORATION 7.75 05/14/20380.46%
        META PLATFORMS INC 4.45 08/15/20520.43%
        AT&T INC 3.65 09/15/20590.43%
        % of Index5.19%

        Top 10 Issuers by Index Weight
        View All

        as of 26-MAY-23
        Issuer Name# of IssuesWeight
        ALTRIA GROUP INC.112.03%
        ORACLE CORPORATION192.00%
        ENTERPRISE PRODUCTS OPERATING LLC201.99%
        AMGEN INC.191.99%
        WELLS FARGO & COMPANY141.99%
        KINDER MORGAN ENERGY PARTNERS LP231.98%
        ENERGY TRANSFER LP211.98%
        B.A.T. CAPITAL CORPORATION111.97%
        PACIFICORP.401.97%
        CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL CORP.151.97%
        % of Index19.87%
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                 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
                Hypothetical Inception
                Northern Trust US Long Corporate Bond Quality Value Index
                NTULQVCBTR                		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel