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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 19-JUL-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
NTUHVCBTR
0.577.141.044.186.0512.5110.9620.908.396.8330-APR-18
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Index Characteristics
 
Index Constituents988
Weighted Average Yield to Maturity7.44%
Weighted Average Coupon6.79%
Weighted Average Yield to Worst7.21%
19-JUL-19
Weighted Average Maturity5.73
Weighted Average Effective Duration3.23
Weighted Average Option Adjusted Spread554.20
Weighted Average NRSRO RatingB+
Index Composition

Top 10 Constituents Weights
View All

as of 19-JUL-19
Security NameWeight
PANTHER BF AGGREGATOR 2 LP / P 8.5000 05/15/20270.82%
FINANCIAL & RISK US HLDGS INC 8.2500 11/15/20260.67%
AGFC CAP TR I 4.3468 01/15/20670.64%
VRX ESCROW CORP 6.1250 04/15/20250.54%
BANFF MERGER SUB INC 9.7500 09/01/20260.54%
DISH DBS CORP 7.7500 07/01/20260.50%
WIND TRE SPA 5.0000 01/20/20260.48%
TENET HEALTHCARE CORP 8.1250 04/01/20220.48%
HCA INC 5.3750 02/01/20250.47%
DISH DBS CORP 5.8750 07/15/20220.47%
% of Index5.61%

Top 10 Issuers by Index Weight
View All

as of 19-JUL-19
Issuer Name# of IssuesWeight
SPRINT CORPORATION92.21%
CCO HLDGS LLC / CCO HLDGS CAP122.15%
DISH DBS CORP52.07%
VALEANT PHARMACEUTICALS INTL61.48%
TRANSDIGM INC71.34%
CENTURYLINK INC91.15%
T MOBILE USA INC81.13%
COMMSCOPE FIN LLC71.11%
CSC HLDGS INC61.05%
PETSMART INC31.01%
% of Index14.70%

Key Rate Duration (KRD)
 

as of 19-JUL-19
MaturityKRD
3 Month0.02
1 Year0.10
2 Year0.27
3 Year0.77
5 Year1.17
7 Year0.77
10 Year0.12
15 Year0.03
20 Year-0.01
25 Year-0.02
30 Year-0.01
YEARS3.21
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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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