QDEF vs. ^SP500TR
QDEF (FlexShares Quality Dividend Defensive Index Fund) is Quality Factor fund tracking the Northern Trust Quality Dividend Defensive Index, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 10 years, QDEF returned 12.23%/yr vs 15.40%/yr for ^SP500TR. Their correlation of 0.90 means they have usually moved in the same direction.
Performance
QDEF vs. ^SP500TR - Performance Comparison
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Returns By Period
In the year-to-date period, QDEF achieves a 12.86% return, which is significantly lower than ^SP500TR's 13.77% return. Over the past 10 years, QDEF has underperformed ^SP500TR with an annualized return of 12.23%, while ^SP500TR has yielded a comparatively higher 15.40% annualized return.
QDEF
- 1D
- 1.76%
- 1M
- 3.87%
- 6M
- 10.92%
- YTD
- 12.86%
- 1Y
- 21.79%
- 3Y*
- 19.18%
- 5Y*
- 12.69%
- 10Y*
- 12.23%
- ALL TIME*
- 12.88%
^SP500TR
- 1D
- 1.79%
- 1M
- 3.45%
- 6M
- 12.49%
- YTD
- 13.77%
- 1Y
- 23.69%
- 3Y*
- 21.61%
- 5Y*
- 13.42%
- 10Y*
- 15.40%
- ALL TIME*
- 11.54%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^SP500TR S&P 500 Total Return | $0.00 | $0.00 | $0.00 |
| $505.98K | $570.53K | $758.57K |
QDEF vs. ^SP500TR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QDEF FlexShares Quality Dividend Defensive Index Fund | 12.86% | 17.43% | 21.19% | 17.48% | -10.94% | 26.04% | 3.15% | 24.90% | -4.10% | 17.04% |
^SP500TR S&P 500 Total Return | 13.77% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% |
Correlation
The correlation between QDEF and ^SP500TR is 0.88, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.88 |
Correlation (3Y) Balances recent behavior with more history. | 0.91 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.93 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.92 |
Correlation (All Time) Calculated using the full available price history since Dec 19, 2012 | 0.90 |
The correlation between QDEF and ^SP500TR has been stable across timeframes, ranging from 0.88 to 0.93 - a consistent structural relationship.
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Return for Risk
QDEF vs. ^SP500TR — Risk / Return Rank
QDEF
^SP500TR
QDEF vs. ^SP500TR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FlexShares Quality Dividend Defensive Index Fund (QDEF) and S&P 500 Total Return (^SP500TR). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| QDEF | ^SP500TR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.37 | ||
| Sortino ratioReturn per unit of downside risk | +0.60 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.33 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.15 | 2.68 | +0.47 |
| Martin ratioReturn relative to average drawdown | 13.12 | 11.50 | +1.62 |
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Drawdowns
QDEF vs. ^SP500TR - Drawdown Comparison
The maximum QDEF drawdown since its inception was -35.74%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for QDEF and ^SP500TR.
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Drawdown Indicators
| QDEF | ^SP500TR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -55.25% | +19.51% |
Max Drawdown (1Y)Largest decline over 1 year | -6.95% | -8.89% | +1.94% |
Max Drawdown (3Y)Largest decline over 3 years | -14.43% | -18.75% | +4.32% |
Max Drawdown (5Y)Largest decline over 5 years | -21.37% | -24.49% | +3.12% |
Max Drawdown (10Y)Largest decline over 10 years | -35.74% | -33.79% | -1.95% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -3.26% | -8.14% | +4.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.66% | 2.07% | -0.41% |
Volatility
QDEF vs. ^SP500TR - Volatility Comparison
The current volatility for FlexShares Quality Dividend Defensive Index Fund (QDEF) is 2.77%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.13%. This indicates that QDEF experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QDEF | ^SP500TR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.77% | 4.13% | -1.36% |
Volatility (6M)Calculated over the trailing 6-month period | 7.65% | 10.33% | -2.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.96% | 12.94% | -2.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.79% | 17.04% | -3.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.14% | 18.09% | -1.95% |
Frequently Asked Questions
QDEF and ^SP500TR have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SP500TR has higher volatility (4.13%) compared to QDEF (2.77%). In terms of maximum drawdown, QDEF dropped -35.74% vs ^SP500TR's -55.25%.
QDEF currently has the higher Sharpe Ratio (2.22 vs 1.85), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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