Cash flow is the amount of cash that comes in and goes out of a company. Businesses take in money from sales as revenues and spend money on expenses.
MSCI USA Minimum Volatility Index aims to reflect the performance characteristics of a minimum variance strategy applied to the US large- and mid-cap equity universe.
S&P 500 Low Volatility Index measures performance of the 100 stocks with the lowest realized volatility over the past 12 months from within the broader S&P 500 Index.
Standard deviation is a statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance. If the data points are further from the mean, there is a higher deviation within the data set; thus, the more spread out the data, the higher the standard deviation.
Sharpe ratio was developed by Nobel laureate William F. Sharpe and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate, in this instance utilizing the US Generic Government 3-month Yield index, per unit of volatility or total risk.
Downside capture measures how much performance loss a fund captures relative to a benchmark index in down markets.
Upside capture measures how much performance gain a fund captures relative to a benchmark index in up markets.
Northern Trust Quality Low Volatility Index methodology is designed to reflect the performance of a selection of companies that, in aggregate, possess lower overall absolute volatility risk characteristics relative to the Northern Trust 1250 Index, a float-adjusted market capitalization weighted index of U.S. domiciled large- and mid-capitalization companies. In addition, the Index looks to select companies from the Parent Index that exhibit financial strength and stability (i.e., quality) characteristics.
1 Quality within the Northern Trust quality scoring model is based on quantitative ranking of various metrics obtained from company filings. These scores have three components: Management Efficiency (e.g. corporate finance activities). Profitability (e.g. assess the reliability and the sustainability of financial performance) and Cash Flow (e.g. cash flow generation).