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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 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
        NTULQVCBTR
        		1.0413.435.2122.581.212.44-0.56-0.98-8.83-2.04 31-Jan-20
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        Index Characteristics
         
        Index Constituents1,395
        Weighted Average Yield to Maturity5.65%
        Weighted Average Coupon4.81%
        Weighted Average Yield to Worst5.65%
        26-Jul-24
        Weighted Average Maturity23.20
        Weighted Average Effective Duration12.72
        Weighted Average Option Adjusted Spread119.00
        Weighted Average NRSRO Rating A-
        Index Composition

        Top 10 Constituents Weights
        View All

        as of 26-Jul-24
        Security NameWeight
        VISA INC 4.3 12/14/2045 0.68%
        META PLATFORMS INC 5.6 05/15/2053 0.57%
        ALTRIA GROUP INC. 5.95 02/14/2049 0.55%
        META PLATFORMS INC 4.45 08/15/2052 0.53%
        BERKSHIRE HATHAWAY FINANCE CORPORATION 3.85 03/15/2052 0.49%
        CISCO SYSTEMS INC. 5.9 02/15/2039 0.49%
        CISCO SYSTEMS INC. 5.5 01/15/2040 0.45%
        CISCO SYSTEMS INC. 5.3 02/26/2054 0.45%
        MICROSOFT CORP. 2.68 06/01/2060 0.44%
        ONEOK INC. 6.63 09/01/2053 0.43%
        % of Index5.08%

        Top 10 Issuers by Index Weight
        View All

        as of 26-Jul-24
        Issuer Name# of IssuesWeight
        ALTRIA GROUP INC. 112.02%
        ENERGY TRANSFER LP 242.00%
        APPLE INC. 192.00%
        HOME DEPOT INC 172.00%
        KINDER MORGAN ENERGY PARTNERS LP 212.00%
        MCDONALD'S CORPORATION 152.00%
        BURLINGTON NORTHERN SANTA FE LLC 251.99%
        PACIFICORP. 441.99%
        WELLS FARGO & CO. 111.97%
        INTERNATIONAL BUSINESS MACHINES CORPORATION 131.96%
        % of Index19.93%
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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