THLLY vs. SGOV
THLLY (Thales SA ADR) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, THLLY returned 21.70%/yr vs 3.62%/yr for SGOV. At a correlation of -0.01, they often move in opposite directions.
Performance
THLLY vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, THLLY achieves a -6.05% return, which is significantly lower than SGOV's 1.92% return.
THLLY
- 1D
- -1.88%
- 1M
- -7.67%
- 6M
- -19.72%
- YTD
- -6.05%
- 1Y
- -12.92%
- 3Y*
- 19.85%
- 5Y*
- 21.70%
- 10Y*
- —
SGOV
- 1D
- 0.02%
- 1M
- 0.30%
- 6M
- 1.80%
- YTD
- 1.92%
- 1Y
- 3.88%
- 3Y*
- 4.66%
- 5Y*
- 3.62%
- 10Y*
- —
THLLY vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
THLLY Thales SA ADR | -6.05% | 92.10% | -1.16% | 18.36% | 51.26% | -3.68% | 20.22% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.92% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between THLLY and SGOV is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.01 |
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Return for Risk
THLLY vs. SGOV — Risk / Return Rank
THLLY
SGOV
THLLY vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Thales SA ADR (THLLY) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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.
| THLLY | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.23 | ||
| Sortino ratioReturn per unit of downside risk | -384.18 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 384.06 | -383.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.59 | 391.99 | -392.57 |
| Martin ratioReturn relative to average drawdown | -1.12 | 6,210.22 | -6,211.35 |
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Drawdowns
THLLY vs. SGOV - Drawdown Comparison
The maximum THLLY drawdown since its inception was -90.72%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for THLLY and SGOV.
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Drawdown Indicators
| THLLY | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.72% | -0.03% | -90.69% |
Max Drawdown (1Y)Largest decline over 1 year | -22.04% | -0.01% | -22.03% |
Max Drawdown (3Y)Largest decline over 3 years | -24.17% | -0.01% | -24.16% |
Max Drawdown (5Y)Largest decline over 5 years | -26.79% | -0.03% | -26.76% |
Current DrawdownCurrent decline from peak | -54.78% | 0.00% | -54.78% |
Average DrawdownAverage peak-to-trough decline | -72.39% | -0.00% | -72.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.53% | 0.00% | +11.53% |
Volatility
THLLY vs. SGOV - Volatility Comparison
Thales SA ADR (THLLY) has a higher volatility of 10.23% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that THLLY's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| THLLY | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.23% | 0.05% | +10.18% |
Volatility (6M)Calculated over the trailing 6-month period | 24.84% | 0.13% | +24.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 33.07% | 0.19% | +32.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.54% | 0.24% | +31.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 46.08% | 0.24% | +45.84% |
Dividends
THLLY vs. SGOV - Dividend Comparison
THLLY's dividend yield for the trailing twelve months is around 1.82%, less than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% |
THLLY Thales SA ADR | 1.82% | 1.58% | 2.57% | 2.24% | 2.24% | 2.68% | 0.52% | 0.63% | 0.48% |
Frequently Asked Questions
THLLY and SGOV have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
THLLY has higher volatility (10.23%) compared to SGOV (0.05%). In terms of maximum drawdown, THLLY dropped -90.72% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.83 vs -0.39), 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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