FlexShares Quality Dividend ETF Volatility
| QDEF ETF | USD 85.15 0.61 0.72% |
Sharpe Ratio = 0.0797
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | QDEF | Moderate | Elevated | High |
| Below Benchmark |
For FlexShares Quality Dividend, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 0.76, and a Risk Adjusted Performance of 0.1%. Moving average data positions the ETF near 6% of its recent return envelope.
Key indicators related to FlexShares Quality's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for FlexShares Quality (3 Months):
Beta 0.72 | Alpha 0.05 | Risk 0.76 | Sharpe Ratio 0.08 | Expected Return 0.06 |
Moving together with FlexShares ETF
| 0.94 | VTV | Vanguard Value Index | PairCorr |
| 0.96 | VYM | Vanguard High Dividend | PairCorr |
| 0.94 | DGRO | iShares Core Dividend | PairCorr |
| 0.97 | SPYV | SPDR Portfolio SAMPP | PairCorr |
| 0.97 | IUSV | iShares Core SAMPP | PairCorr |
| 0.94 | FNDX | Schwab Fundamental Large | PairCorr |
| 0.81 | VLUE | iShares MSCI USA Low Volatility | PairCorr |
| 0.67 | RMM | RiverNorth Managed | PairCorr |
| 0.9 | DRGN | Themes China Generative | PairCorr |
| 0.86 | PAYM | TrueShares SAMPP | PairCorr |
| 0.73 | RMMZ | RiverNorth Managed | PairCorr |
| 0.83 | BA | Boeing | PairCorr |
| 0.81 | MSFT | Microsoft | PairCorr |
| 0.75 | BAC | Bank of America | PairCorr |
| 0.77 | JPM | JPMorgan Chase | PairCorr |
Moving Against FlexShares ETF
| 0.8 | XOM | Exxon Mobil Corp | PairCorr |
| 0.58 | WNTR | YieldMax MSTR Short | PairCorr |
| 0.58 | VZ | Verizon Communications | PairCorr |
| 0.43 | PFE | Pfizer Inc | PairCorr |
Sensitivity To Market
The beta coefficient of 0.72 for FlexShares Quality Dividend measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.76%. This analysis separates observed movement from interpretation for FlexShares Quality Dividend. Standard deviation (0.75%) and downside deviation (0.72%) describe the range without implying direction. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |FlexShares Quality Demand TrendCurrent 90-day FlexShares Quality correlation with market (Dow Jones Industrial)Downside Risk
FlexShares standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for FlexShares over successive periods signals increasing price uncertainty.
Standard Deviation | 0.76 |
Understanding the asymmetry between upside and downside risk is critical for FlexShares Quality analysis. Total price dispersion includes upside, while downside deviation captures only loss risk in FlexShares Quality's returns. For FlexShares Quality Dividend, recent data highlights a Downside Deviation of 0.72, a Downside Variance of 0.51, and a Maximum Drawdown of 3.81.
ETF Volatility Analysis
Volatility is a statistical measure of the dispersion of FlexShares Quality ETF returns over a given period of time. Volatility measures how much FlexShares Quality's ETF price deviates from its average over a period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of FlexShares Quality's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, FlexShares Quality has a beta of 0.7193 indicating as returns on the market go up, FlexShares Quality's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding FlexShares Quality Dividend tends to be smaller as well.FlexShares Quality carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. For FlexShares Quality Dividend, recent data highlights a Downside Deviation of 0.72, a Mean Deviation of 0.55, and a Semi Deviation of 0.64.
Predicted Return Distribution |
| Density |
What Drives FlexShares Quality's Price Volatility?
Holdings and Allocation
Exposure changes, asset reallocation, or index methodology updates in the Large Value category can alter FlexShares Quality's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for FlexShares Quality.FlexShares Quality's Fund-Specific Factors
Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in FlexShares Quality's price.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of FlexShares Quality is 1254.05. The daily returns are distributed with a variance of 0.57 and standard deviation of 0.76. The mean deviation of FlexShares Quality Dividend is currently at 0.55. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | 0.05 | |
β | Beta against Dow Jones | 0.72 | |
σ | Overall volatility | 0.76 | |
Ir | Information ratio | 0.08 |
ETF Return Volatility
Volatility for FlexShares Quality quantifies the day-to-day dispersion of ETF returns around their historical average. The Exchange Traded Fund carries 0.756% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9671% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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FlexShares Quality Constituents Risk-Adjusted Indicators
Headline performance for FlexShares ETF may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DTH | 0.80 | 0.01 | 0.01 | 0.00 | 1.23 | 1.79 | 4.77 | |||
| PIZ | 1.48 | 0.16 | 0.09 | 0.09 | 1.59 | 3.48 | 8.01 | |||
| DNL | 1.23 | 0.09 | 0.06 | 0.06 | 1.36 | 2.66 | 6.53 | |||
| CSM | 0.73 | 0.09 | 0.11 | 0.09 | 0.73 | 1.45 | 4.03 | |||
| BKDV | 0.66 | 0.06 | 0.08 | 0.06 | 0.74 | 1.82 | 3.98 | |||
| XSW | 1.68 | 0.08 | 0.03 | 0.06 | 2.39 | 3.68 | 10.85 | |||
| TVAL | 0.61 | 0.09 | 0.12 | 0.11 | 0.69 | 1.62 | 3.28 | |||
| RSPA | 0.52 | 0.02 | 0.04 | 0.03 | 0.64 | 1.01 | 2.80 | |||
| SPHB | 1.28 | 0.24 | 0.13 | 0.15 | 1.49 | 2.34 | 7.30 | |||
| DWX | 0.67 | 0.01 | 0.02 | 0.01 | 1.03 | 1.47 | 3.86 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for FlexShares Quality identifies whether the fund is currently in a high, low, or transitioning dispersion state. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
FlexShares Quality Dividend data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that FlexShares Quality Dividend is less volatile than Dow Jones Industrial by approximately 1.28x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 6% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.FlexShares Quality Dividend with characteristics aligned to broad market upside participation. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It is intended to separate routine noise from more speculative bursts in price action. a moderate upward price movement. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View FlexShares Quality probability analysis.
Minimal diversification benefit
Across the chosen horizon, FlexShares Quality and Dow Jones show a correlation of 0.93 and fall into the Minimal diversification benefit bucket. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Risk analysis around FlexShares Quality Dividend gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.0681 | |||
| Market Risk Adjusted Performance | 0.0724 | |||
| Mean Deviation | 0.5479 | |||
| Semi Deviation | 0.6393 | |||
| Downside Deviation | 0.7165 | |||
| Coefficient Of Variation | 1368.19 | |||
| Standard Deviation | 0.7511 |
FlexShares Quality Suggested Diversification Pairs
A paired position built around FlexShares Quality Dividend reduces directional market exposure while expressing a relative-value view. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. FlexShares Quality's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing FlexShares Quality's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
More Resources for FlexShares ETF Analysis
Market price and NAV offer complementary views of FlexShares Quality - the first driven by trading activity, the second by underlying asset values.
Price and NAV for FlexShares Quality are related but not identical, and they can diverge during volatile periods. The actual FlexShares Quality transaction price is determined by real-time order flow on the exchange.