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Northern Trust Developed Markets ex US Quality Low Volatility Index

 
 
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Index Overview
The Northern Trust Developed Markets ex US 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 an eligible developed market universe which excludes the United States. An emphasis is placed on a company’s income and capital growth, while also reducing overall volatility of returns relative to the eligible universe. The proprietary Northern Trust quality factor is used to identify companies that exhibit strength in profitability, management expertise 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: NTDXUQLV
  • Total Return: NTDXUQLVTR
  • Net Total Return: NTDXUQLVNTR
Inception Date28-FEB-19
Index Value at Inception Date1,000
Hypothetical Inception Date12/31/2007
Index Value at Hypothetical Inception Date642.53

Total Returns

As of 19-AUG-19
 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
NTDXUQLVNTR
-2.03-21.421.285.042.194.7028-FEB-19
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Index Characteristics
 
Index Constituents178
Weighted Average Market Capitalization$54,871,812,196.99
Weighted Average Yield3.52%
19-AUG-19
Weighted Average P/E16.81
Weighted Average P/B1.93
Weighted Average ROE15.83
Index Composition

Top 10 Constituents Weights
View All

as of 19-AUG-19
Security NameWeight
ROCHE HOLDING AG3.91%
NESTLE SA3.68%
TOTAL SA2.30%
GLAXOSMITHKLINE PLC1.99%
COMMONWEALTH BANK OF AUSTRALIA1.82%
ROYAL BANK OF CANADA1.29%
BANK OF NOVA SCOTIA1.20%
AIR LIQUIDE SA1.17%
COMPASS GROUP PLC1.07%
RELX1.07%
% of Index19.50%

Index Sector Weightings
 

as of 19-AUG-19
SectorWeight
Financials18.67%
Industrials13.47%
Consumer Staples13.31%
Health Care11.96%
Consumer Discretionary9.39%
Communication Services7.64%
Utilities6.36%
Materials5.80%
Real Estate5.52%
Information Technology3.95%
Energy3.93%
TOTAL100.00%

Top 10 Country Weightings

as of 19-AUG-19
CountryWeight
JAPAN20.97%
UNITED KINGDOM14.18%
CANADA11.14%
SWITZERLAND10.97%
FRANCE7.69%
AUSTRALIA7.44%
GERMANY5.88%
HONG KONG3.78%
DENMARK3.68%
FINLAND2.38%
% of Index88.11%
.
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Developed Markets ex US Quality Low Volatility Index
NTDXUQLVNTR
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