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Northern Trust International Quality Dividend Defensive Index

 
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Index Overview
The Northern Trust International Quality Dividend Defensive Index is designed to provide exposure to a high-quality income-oriented universe of long-only international securities issued by non-U.S.-based companies, with an emphasis on long-term capital growth and a targeted overall beta that is generally between 0.5 to 1.0 times that of the Northern Trust International Large Cap Index (the parent index). Companies that are included in the index are selected based on expected dividend payment and fundamental factors such as profitability, management expertise, and cash flow.
Index Construction
Optimized
Index Methodology
The construction of the index begins with a universe of eligible securities. Securities ranking in the lowest quintile of quality based on our proprietary scoring model, as well as those which do not pay a dividend, are removed prior to optimization. All remaining eligible securities are then optimized based on their exposure to quantitative factors such as:

  • Quality, as defined by our proprietary scoring model
  • Dividend yield
  • Beta
The main objective of the optimization is to maximize our exposure to the quality factor, realize a dividend yield above the benchmark index, and achieve our desired beta target all while minimizing the overall risk of the index versus its benchmark as measured by standard risk models.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams Available
  • Price Return: NTIQDDF
  • Total Return: NTIQDDFTR
  • Net Total Return: NTIQDDFNTR
Inception Date30-NOV-12
Index Value at Inception Date1,000
Hypothetical Inception Date31-DEC-07
Index Value at Hypothetical Inception Date1,034.78

Total Returns

As of 17-AUG-18
 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
NTIQDDFNTR
-1.71-18.38-6.20-22.42-9.51-18.16-8.12-12.6925.974.1230-NOV-12
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Index Characteristics
 
Index Constituents198
Weighted Average Market Capitalization$48,515,082,255.39
Weighted Average Yield6.03%
17-AUG-18
Weighted Average P/E11.12
Weighted Average P/B1.65
Weighted Average ROE18.95
Index Composition

Top 10 Constituents Weights
View All

as of 17-AUG-18
Security NameWeight
GLAXOSMITHKLINE PLC2.49%
HSBC HOLDINGS PLC1.83%
BP PLC1.76%
TOTAL SA1.70%
NESTLE SA1.69%
TOYOTA MOTOR CORP1.60%
INTESA SANPAOLO SPA1.37%
NATIONAL AUSTRALIA BANK LTD1.20%
COMMONWEALTH BANK OF AUSTRALIA1.15%
ZURICH INSURANCE GROUP AG1.09%
% of Index15.88%

Index Sector Weightings
 

as of 17-AUG-18
SectorWeight
Financials22.30%
Consumer Discretionary11.31%
Industrials9.69%
Energy9.47%
Consumer Staples8.61%
Information Technology8.10%
Health Care7.27%
Materials7.24%
Telecommunication Services6.23%
Utilities4.98%
Real Estate4.80%
TOTAL100.00%

Top 10 Country Weightings

as of 17-AUG-18
CountryWeight
UNITED KINGDOM14.95%
JAPAN14.46%
AUSTRALIA7.34%
TAIWAN6.09%
SWITZERLAND4.61%
CANADA4.58%
SWEDEN4.14%
FRANCE3.99%
FINLAND3.74%
RUSSIA3.66%
% of Index67.56%
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust International Quality Dividend Defensive Index
NTIQDDFNTR
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