PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ASML.AS vs. EFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ASML.AS vs. EFA

Last updated Jun 14, 2026

ASML.AS (ASML Holding N.V.) is a stock, while EFA (iShares MSCI EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Over the past 10 years, ASML.AS returned 35.87%/yr vs 9.49%/yr for EFA. At a 0.46 correlation, their price movements are largely independent.

Performance

ASML.AS vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in ASML Holding N.V. (ASML.AS) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

ASML.AS is traded in EUR, while EFA is traded in USD. To make them comparable, the EFA values have been converted to EUR using the latest available exchange rates.

Returns By Period

In the year-to-date period, ASML.AS achieves a 77.49% return, which is significantly higher than EFA's 11.04% return. Over the past 10 years, ASML.AS has outperformed EFA with an annualized return of 35.87%, while EFA has yielded a comparatively lower 9.49% annualized return.

ASML.AS

1D
3.40%
1M
24.72%
YTD
77.49%
6M
76.74%
1Y
147.16%
3Y*
34.95%
5Y*
24.36%
10Y*
35.87%

EFA

1D
0.36%
1M
3.77%
YTD
11.04%
6M
12.44%
1Y
21.72%
3Y*
13.47%
5Y*
9.35%
10Y*
9.49%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ASML.AS vs. EFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ASML.AS
ASML Holding N.V.		77.49%37.08%0.36%36.66%-27.83%78.74%52.10%95.32%-4.67%37.45%
EFA
iShares MSCI EAFE ETF		11.04%15.94%10.32%14.81%-9.08%19.78%-1.27%24.80%-9.78%9.70%

Correlation

The correlation between ASML.AS and EFA is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.50

Correlation (3Y)
Calculated over the trailing 3-year period

0.45

Correlation (5Y)
Calculated over the trailing 5-year period

0.49

Correlation (10Y)
Calculated over the trailing 10-year period

0.51

Correlation (All Time)
Calculated using the full available price history since Sep 7, 2007

0.46

The correlation between ASML.AS and EFA has been stable across timeframes, ranging from 0.45 to 0.51 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

ASML Holding N.V.

iShares MSCI EAFE ETF

Often compared with ASML.AS:
ASML.AS vs. NVDAASML.AS vs. ASMLASML.AS vs. SPYASML.AS vs. ASME.DEASML.AS vs. TSMASML.AS vs. AMDASML.AS vs. KLAC
Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO

Return for Risk

ASML.AS vs. EFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ASML.AS
ASML.AS Risk / Return Rank: 9696
Overall Rank
ASML.AS Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
ASML.AS Sortino Ratio Rank: 9595
Sortino Ratio Rank
ASML.AS Omega Ratio Rank: 9494
Omega Ratio Rank
ASML.AS Calmar Ratio Rank: 9797
Calmar Ratio Rank
ASML.AS Martin Ratio Rank: 9797
Martin Ratio Rank
EFA
EFA Risk / Return Rank: 4242
Overall Rank
EFA Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 4242
Sortino Ratio Rank
EFA Omega Ratio Rank: 4141
Omega Ratio Rank
EFA Calmar Ratio Rank: 4040
Calmar Ratio Rank
EFA Martin Ratio Rank: 4646
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ASML.AS vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ASML Holding N.V. (ASML.AS) and iShares MSCI EAFE ETF (EFA). 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.

ASML.ASEFADifference
Sharpe ratioReturn per unit of total volatility
3.47
1.52

+1.95

Sortino ratioReturn per unit of downside risk
3.84
2.16

+1.68

Omega ratioGain probability vs. loss probability

1.50

1.28

+0.21

Calmar ratioReturn relative to maximum drawdown

8.87

2.15

+6.72

Martin ratioReturn relative to average drawdown

23.14

8.83

+14.32

ASML.AS vs. EFA - Sharpe Ratio Comparison

The current ASML.AS Sharpe Ratio is 3.47, which is higher than the EFA Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of ASML.AS and EFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ASML.AS vs. EFA - Drawdown Comparison

The maximum ASML.AS drawdown since its inception was -56.76%, roughly equal to the maximum EFA drawdown of -55.58%. Use the drawdown chart below to compare losses from any high point for ASML.AS and EFA.

Loading charts...

Drawdown Indicators

ASML.ASEFADifference

Max Drawdown

Largest peak-to-trough decline

-56.76%

-55.58%

-1.18%

Max Drawdown (1Y)

Largest decline over 1 year

-15.81%

-9.60%

-6.21%

Max Drawdown (3Y)

Largest decline over 3 years

-44.77%

-15.70%

-29.07%

Max Drawdown (5Y)

Largest decline over 5 years

-47.93%

-17.18%

-30.75%

Max Drawdown (10Y)

Largest decline over 10 years

-47.93%

-33.89%

-14.04%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-14.83%

-11.02%

-3.81%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.09%

2.35%

+3.74%

Volatility

ASML.AS vs. EFA - Volatility Comparison

ASML Holding N.V. (ASML.AS) has a higher volatility of 13.41% compared to iShares MSCI EAFE ETF (EFA) at 4.47%. This indicates that ASML.AS's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ASML.ASEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

13.41%

4.47%

+8.94%

Volatility (6M)

Calculated over the trailing 6-month period

31.18%

11.36%

+19.82%

Volatility (1Y)

Calculated over the trailing 1-year period

40.46%

13.60%

+26.86%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

38.54%

14.06%

+24.48%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

34.18%

16.00%

+18.18%

Dividends

ASML.AS vs. EFA - Dividend Comparison

ASML.AS's dividend yield for the trailing twelve months is around 0.46%, less than EFA's 3.09% yield.

PositionTTM20252024202320222021202020192018201720162015
ASML.AS
ASML Holding N.V.		0.46%0.71%0.92%0.87%1.28%0.47%0.64%1.19%1.02%0.83%0.98%0.85%
EFA
iShares MSCI EAFE ETF		3.09%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%

Frequently Asked Questions

ASML.AS and EFA have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Portfolio Optimizer

Find the right allocation for ASML.AS and EFA

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer