Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund (VGT vs XLK) 2026: Returns, Risk & Volatility

Q: Which is a better investment: VGT or XLK?

Over the past year, XLK looks like the better investment: it had higher total return (XLK +50.4% vs VGT -81.3%) and a higher Sharpe ratio (XLK 1.93 vs VGT -0.56). On risk, XLK was less volatile (XLK 20.3% vs VGT 90.5%), XLK had a smaller max drawdown (XLK -15.9% vs VGT -87.5%), and XLK had less severe losses on the worst 5% of days (Expected Shortfall of XLK -2.75% vs VGT -18.50%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: VGT or XLK?

Over the past year, XLK outperformed VGT. XLK returned +50.4% compared with VGT’s -81.3%. XLK had the better risk-adjusted return, with a Sharpe ratio of 1.93 versus VGT’s -0.56. XLK was less volatile than VGT, and XLK had a smaller max drawdown than VGT.

Total Return

VGT -81.3%

XLK +50.4%

Sharpe Ratio

VGT -0.56

XLK 1.93

Annualized Volatility

VGT 90.5%

XLK 20.3%

Max Drawdown

VGT -87.5%

XLK -15.9%

Metric winners: Total Return: XLK; Sharpe Ratio: XLK; Annualized Volatility: XLK (less volatile); Max Drawdown: XLK (smaller drawdown).

VGT Total Return

↓ -81.3%

XLK Total Return

↑ +50.4%

Relative Performance of VGT vs XLK (Normalized to 100)

VGT XLK

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: VGT delivered a -81.3% total return, while XLK returned +50.4% over the same period. XLK outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): VGT had a negative Sharpe (-0.56) while XLK was positive (1.93), indicating XLK had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): VGT was more volatile, with 90.5% annualized volatility, versus 20.3% for XLK.
Maximum Drawdown: XLK's maximum drawdown was -15.9%, while VGT experienced a deeper drawdown of -87.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), VGT's VaR was -2.18% and its Expected Shortfall (CVaR) was -18.50%; XLK's were -2.18% and -2.75%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: VGT -15.46 vs XLK -0.23. Excess kurtosis: VGT 239.37 vs XLK 1.06. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): VGT 1/0, XLK 9/4. Worst day: VGT -87.44% (2026-04-20) vs XLK -4.07% (2025-10-10). Best day: VGT +4.73% (2025-05-12) vs XLK +4.64% (2025-05-12).
Risk ratios: Sortino - VGT: -0.57 vs. XLK: 2.87 , Calmar - VGT: -0.93 vs. XLK: 3.19 , Sterling - VGT: -1.65 vs. XLK: 2.92 , Treynor - VGT: -0.30 vs. XLK: 0.27 , Ulcer Index - VGT: 12.19% vs. XLK: 4.76%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

VGT $1,866.41 -81.3%

XLK $15,035.23 +50.4%

Difference: $13,168.82 (XLK ahead)

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Performance Over Time

Metric	VGT	XLK
30 Days	-85.7%	14.5%
90 Days	-86.5%	7.5%
180 Days	-86.9%	6.5%
1 Year	-81.3%	50.4%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Correlation

Average Correlation

strongly correlated

0.98

Current (30-day) 0.13

30-day rolling range +0.12 to +1.00

Vanguard Information Technology ETF and Technology Select Sector SPDR Fund are strongly correlated over the past year. With a correlation of 0.98, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both VGT and XLK provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.13
Average (full period)	0.98
Minimum (30-day rolling)	0.12
Maximum (30-day rolling)	1.00

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

VGT

-87.5%

XLK

-15.9%

Vanguard Information Technology ETF experienced its maximum drawdown of -87.5% from 2026-04-17 to 2026-04-21. It has not yet recovered to its previous peak.

Technology Select Sector SPDR Fund experienced its maximum drawdown of -15.9% from 2025-10-29 to 2026-03-30. It took 17 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Volatility (VGT vs XLK)

VGT Volatility

90.5%

±5.7% 1-day vol

XLK Volatility

20.3%

±1.28% 1-day vol

1-day volatility (1σ)

VGT

±5.7%

XLK

±1.28%

Vanguard Information Technology ETF's 90.5% annualized volatility translates to about ±5.7% one-standard-deviation daily volatility.

Technology Select Sector SPDR Fund's 20.3% annualized volatility translates to about ±1.28% one-standard-deviation daily volatility.

VGT had the wider volatility profile over this window. That means its day-to-day return distribution was broader; XLK was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of VGT and XLK

Sharpe Ratio: VGT vs. XLK

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. VGT had a negative Sharpe (-0.56) while XLK was positive (1.93), indicating XLK had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of VGT and XLK

Sortino Ratio: VGT vs. XLK

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). XLK had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: VGT 89.0% vs XLK 13.7%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of VGT and XLK

Calmar Ratio: VGT vs. XLK

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. XLK posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of VGT and XLK

Sterling Ratio: VGT vs. XLK

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). XLK posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of VGT and XLK

Treynor Ratio: VGT vs. XLK

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. XLK posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of VGT and XLK

Ulcer Index: VGT vs. XLK

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. XLK had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Vanguard Information Technology ETF vs. Technology Select Sector SPDR Fund

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: VGT vs. XLK (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	VGT	XLK
5% VaR (daily log return)	-2.18%	-2.18%
5% Expected Shortfall (CVaR)	-18.50% (worst 13 days)	-2.75% (worst 13 days)
Skew	-15.46	-0.23
Excess kurtosis	239.37	1.06
2σ tail days (down / up)	1 / 0	9 / 4
Worst day	-87.44% (2026-04-20)	-4.07% (2025-10-10)
Best day	+4.73% (2025-05-12)	+4.64% (2025-05-12)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: VGT vs. XLK (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both VGT and XLK crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both VGT and XLK had a big down day (2σ)

None in this window.

Days when VGT had a big down day

Date (interval)	VGT	XLK
2026-04-17 → 2026-04-20	-87.44%	+0.14%

Days when XLK had a big down day

Date (interval)	VGT	XLK
2025-10-10	-4.08%	-4.07%
2025-11-04	-2.70%	-2.64%
2025-11-13	-2.82%	-2.49%
2025-11-20	-2.97%	-3.14%
2025-12-12	-2.89%	-2.89%
2026-01-16 → 2026-01-20	-2.67%	-2.60%
2026-02-04	-1.99%	-2.79%
2026-02-12	-2.56%	-2.63%
2026-03-26	-2.85%	-3.11%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Vanguard Information Technology ETF vs. Technology Select Sector SPDR Fund (1-Year)

Metric	VGT	XLK
Total Return	-81.3%	+50.4%
Annualized Volatility	90.5%	20.3%
Sharpe Ratio	-0.56	1.93
Sortino Ratio	-0.57	2.87
Calmar Ratio	-0.93	3.19
Sterling Ratio	-1.65	2.92
Treynor Ratio	-0.30	0.27
Ulcer Index	12.19%	4.76%
Max Drawdown	-87.5%	-15.9%
Avg Correlation to S&P 500	0.88	0.89
5% VaR (daily log return)	-2.18%	-2.18%
5% Expected Shortfall (CVaR)	-18.50%	-2.75%
Skew	-15.46	-0.23
Excess kurtosis	239.37	1.06
2σ tail days (down / up)	1 / 0	9 / 4

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): VGT: 252 days/year; XLK: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

VGT: 4.17% over 2025-04-25 → 2026-04-23.

XLK: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

VGT: ≈ -41.0%/yr

XLK: ≈ -2.1%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund: Frequently Asked Questions

Which has higher volatility: VGT or XLK?

VGT showed higher volatility at 90.5% annualized, compared to 20.3% for XLK Over the past year. Higher volatility means larger price swings in both directions.

Does VGT provide diversification when held with XLK?

VGT and XLK are strongly correlated over the past year, with an average correlation of 0.98. This strong correlation limits diversification benefits.

How bad are the worst 5% days for VGT vs XLK?

Over the past year, VGT's 5% VaR was -2.18% and its 5% Expected Shortfall was -18.50% (worst 13 days). XLK's were -2.18% and -2.75% (worst 13 days).

Do VGT and XLK crash together on bad days?

On shared dates (n=249), when XLK has a 2σ down day, VGT also does 0.0% (0/9 days). In the other direction, when VGT has one, XLK also does 0.0% (0/1 days).

Which has better risk-adjusted returns: VGT or XLK?

VGT had a negative Sharpe (-0.56) while XLK was positive (1.93) Over the past year, indicating XLK had meaningfully better risk-adjusted performance.

Can VGT and XLK be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. VGT's higher volatility (90.5%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: VGT or XLK?

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Relative Performance of VGT vs XLK (Normalized to 100)

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Key Takeaways

Investment Comparison

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Performance Over Time

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Correlation

Drawdown

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund Volatility (VGT vs XLK)

Risk-adjusted ratios

Sharpe Ratio of VGT and XLK

Sharpe Ratio: VGT vs. XLK

Sortino Ratio of VGT and XLK

Sortino Ratio: VGT vs. XLK

Calmar Ratio of VGT and XLK

Calmar Ratio: VGT vs. XLK

Sterling Ratio of VGT and XLK

Sterling Ratio: VGT vs. XLK

Treynor Ratio of VGT and XLK

Treynor Ratio: VGT vs. XLK

Ulcer Index of VGT and XLK

Ulcer Index: VGT vs. XLK

Tail Risk & Distribution Shape (1-Year): Vanguard Information Technology ETF vs. Technology Select Sector SPDR Fund

Tail Risk & Distribution Shape: VGT vs. XLK (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: VGT vs. XLK (2σ)

Days when both VGT and XLK had a big down day (2σ)

Days when VGT had a big down day

Days when XLK had a big down day

Full Comparison of Vanguard Information Technology ETF vs. Technology Select Sector SPDR Fund (1-Year)

Inputs & conventions

Formulas

Vanguard Information Technology ETF vs Technology Select Sector SPDR Fund: Frequently Asked Questions

Which has higher volatility: VGT or XLK?

Does VGT provide diversification when held with XLK?

How bad are the worst 5% days for VGT vs XLK?

Do VGT and XLK crash together on bad days?

Which has better risk-adjusted returns: VGT or XLK?

Can VGT and XLK be combined in a portfolio?