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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 31-Dec-03
        Index Value at Hypothetical Inception Date259.20

        Total Returns

        As of 30-Aug-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
        		2.9841.326.7029.335.8612.032.954.43-5.60-1.25 31-Jan-20
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        Index Characteristics
         
        Index Constituents1,249
        Weighted Average Yield to Maturity5.35%
        Weighted Average Coupon4.80%
        Weighted Average Yield to Worst5.35%
        29-Aug-24
        Weighted Average Maturity23.08
        Weighted Average Effective Duration12.94
        Weighted Average Option Adjusted Spread120.00
        Weighted Average NRSRO Rating A-
        Index Composition

        Top 10 Constituents Weights
        View All

        as of 30-Aug-24
        Security NameWeight
        VISA INC 4.3 12/14/2045 1.35%
        META PLATFORMS INC 5.6 05/15/2053 1.13%
        ALTRIA GROUP INC. 5.95 02/14/2049 1.07%
        META PLATFORMS INC 4.45 08/15/2052 1.04%
        MICROSOFT CORP. 2.68 06/01/2060 1.03%
        BERKSHIRE HATHAWAY FINANCE CORPORATION 3.85 03/15/2052 0.98%
        CISCO SYSTEMS INC. 5.5 01/15/2040 0.91%
        CISCO SYSTEMS INC. 5.3 02/26/2054 0.88%
        AON NORTH AMERICA INC. 5.75 03/01/2054 0.83%
        WELLS FARGO & CO. 5.61 01/15/2044 0.82%
        % of Index10.04%

        Top 10 Issuers by Index Weight
        View All

        as of 30-Aug-24
        Issuer Name# of IssuesWeight
        MCDONALD'S CORPORATION 152.00%
        HOME DEPOT INC 182.00%
        BURLINGTON NORTHERN SANTA FE LLC 252.00%
        WELLS FARGO & CO. 132.00%
        PACIFICORP. 442.00%
        APPLE INC. 191.99%
        ENERGY TRANSFER LP 241.98%
        INTERNATIONAL BUSINESS MACHINES CORPORATION 131.97%
        ONEOK INC. 191.97%
        ALTRIA GROUP INC. 111.96%
        % 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