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Northern Trust High Yield Value-Scored US Corporate Bond Index

 
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Index Overview
The Northern Trust High Yield Value-Scored US Corporate Bond Index is designed to measure the performance of a diversified universe of high yield, US-dollar denominated bonds of companies exhibiting favorable fundamental qualities, market valuations and liquidity, as defined by Northern Trust Investments, Inc.'s ("NTI") proprietary scoring models.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a securities screen to determine eligible securities (as described in the "Index Eligibility" section). Once all eligible securities have been identified, the securities are then optimized based on their exposure to quantitative factors such as:

  • Value-Score, Credit-Score, and Liquidity Score, as determined by NTI's Quantitative Research team’s proprietary scoring models

The primary objective of the optimization is to maximize exposure to the value-score factor relative to the eligible universe.

For more details on this methodology, please see the Index Documents tab.

Index Return Streams Available
  • Price Return: NTUHVCB
  • Total Return: NTUHVCBTR

Related Documents

 
Inception Date30-APR-18
Index Value at Inception Date1,000
Hypothetical Inception DateN/A
Index Value at Hypothetical Inception DateN/A

Total Returns

As of 14-DEC-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
NTUHVCBTR
-1.18-13.46-3.06-11.70-1.19-2.35N/AN/A0.120.2030-APR-18
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Index Characteristics
 
Index Constituents1,006
Weighted Average Yield to Maturity8.79%
Weighted Average Coupon6.91%
Weighted Average Yield to Worst8.74%
14-DEC-18
Weighted Average Maturity5.81
Weighted Average Effective Duration4.06
Weighted Average Option Adjusted Spread595.40
Weighted Average NRSRO RatingB
Index Composition

Top 10 Constituents Weights
View All

as of 14-DEC-18
Security NameWeight
SPRINT CORP 7.8750 09/15/20230.77%
DISH DBS CORP 7.7500 07/01/20260.75%
DISH DBS CORP 5.8750 11/15/20240.70%
FINANCIAL & RISK US HLDGS INC 8.2500 11/15/20260.63%
RITE AID CORP 6.1250 04/01/20230.63%
SPRINT CORP 7.1250 06/15/20240.61%
BANFF MERGER SUB INC 9.7500 09/01/20260.59%
DISH DBS CORP 5.0000 03/15/20230.55%
HEXION U S FIN CORP 6.6250 04/15/20200.54%
BWAY HOLDING COMPANY 7.2500 04/15/20250.51%
% of Index6.28%

Top 10 Issuers by Index Weight
View All

as of 14-DEC-18
Issuer Name# of IssuesWeight
SPRINT CORP92.94%
DISH DBS CORP52.80%
INTELSAT JACKSON HLDGS LTD51.86%
BAUSCH HEALTH COMPANIES INC71.80%
TRANSDIGM INC61.16%
T MOBILE USA INC71.16%
CCO HLDGS LLC / CCO HLDGS CAP81.15%
NAVIENT CORPORATION91.09%
PETSMART INC31.05%
CENTURYLINK INC90.99%
% of Index16.00%

Key Rate Duration (KRD)
 

as of 14-DEC-18
MaturityKRD
3 Month0.01
1 Year0.06
2 Year0.18
3 Year0.72
5 Year1.49
7 Year1.21
10 Year0.23
15 Year0.08
20 Year0.04
25 Year0.03
30 Year0.01
YEARS4.06
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust High Yield Value-Scored US
Corporate Bond Index

NTUHVCBTR
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