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Northern Trust Quality Large Cap Index

 
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Index Overview
The Northern Trust Quality Large Cap Index is designed to measure the performance of a universe of large capitalization securities which demonstrate characteristics of better quality, attractive valuation and positive momentum.
Index Construction
Optimized
Index Methodology
The construction of the index begins with a universe of eligible securities. Eligible securities are then optimized to maximize exposure to the following factors:

  • Quality, as defined by our proprietary scoring model
  • Value
  • Momentum
The main objective of the optimization is to maximize exposure to the composite of factors (quality score + value + momentum) while minimizing the overall risk of the index relative to the eligible universe, as measured by standard risk models.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams & Symbols
  • Price Return: NTUQVM
  • Total Return: NTUQVMTR
Inception Date31-JUL-15
Index Value at Inception Date1,000
Hypothetical Inception Date31-DEC-99
Index Value at Hypothetical Inception Date297.38

Total Returns

As of 14-NOV-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
NTUQVMTR
-2.95-28.23-5.26-19.28-3.21-6.270.640.7431.258.6131-JUL-15
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Index Characteristics
 
Index Constituents130
Weighted Average Market Capitalization$160,576,227,415.70
Weighted Average Yield2.21%
14-NOV-18
Weighted Average P/E15.33
Weighted Average P/B2.63
Weighted Average ROE20.50
Index Composition

Top 10 Constituents Weights
View All

as of 14-NOV-18
Security NameWeight
APPLE INC3.94%
JOHNSON & JOHNSON2.48%
VERIZON COMMUNICATIONS INC2.47%
INTEL CORP2.24%
CISCO SYSTEMS INC2.18%
BANK OF AMERICA CORP2.17%
CHEVRON CORP2.16%
BOEING CO2.10%
HOME DEPOT INC2.06%
MICROSOFT CORP1.92%
% of Index23.72%

Index Sector Weightings
 

as of 14-NOV-18
SectorWeight
Information Technology20.16%
Health Care14.59%
Financials12.15%
Consumer Discretionary10.36%
Industrials10.34%
Consumer Staples8.06%
Energy6.96%
Utilities4.39%
Real Estate3.70%
Materials3.45%
Telecommunication Services2.47%
TOTAL100.00%
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Quality Large Cap Index
NTUQVMTR
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