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

EFA vs. ASML.AS

Last updated Jun 14, 2026

EFA (iShares MSCI EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net), while ASML.AS (ASML Holding N.V.) is a stock. Over the past 10 years, EFA returned 9.84%/yr vs 36.30%/yr for ASML.AS. A 0.50 correlation means they provide meaningful diversification when combined.

Performance

EFA vs. ASML.AS - Performance Comparison

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

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Different Trading Currencies

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

Returns By Period

In the year-to-date period, EFA achieves a 9.36% return, which is significantly lower than ASML.AS's 74.79% return. Over the past 10 years, EFA has underperformed ASML.AS with an annualized return of 9.84%, while ASML.AS has yielded a comparatively higher 36.30% annualized return.

EFA

1D
0.28%
1M
3.24%
YTD
9.36%
6M
10.80%
1Y
21.90%
3Y*
16.14%
5Y*
8.36%
10Y*
9.84%

ASML.AS

1D
3.29%
1M
24.10%
YTD
74.79%
6M
74.13%
1Y
147.50%
3Y*
38.10%
5Y*
23.23%
10Y*
36.30%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EFA vs. ASML.AS - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EFA
iShares MSCI EAFE ETF		9.36%31.55%3.49%18.36%-14.39%11.45%7.60%22.04%-13.82%25.07%
ASML.AS
ASML Holding N.V.		74.79%55.50%-5.84%40.98%-32.17%66.56%65.57%91.52%-9.12%56.88%

Correlation

The correlation between EFA and ASML.AS is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

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

0.51

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

0.48

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

0.55

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

0.56

Correlation (All Time)
Calculated using the full available price history since Jun 4, 2007

0.50

The correlation between EFA and ASML.AS has been stable across timeframes, ranging from 0.48 to 0.56 - 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.

iShares MSCI EAFE ETF

ASML Holding N.V.

Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO
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

Return for Risk

EFA vs. ASML.AS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
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
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
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.

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

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

EFAASML.ASDifference
Sharpe ratioReturn per unit of total volatility
1.31
3.40

-2.09

Sortino ratioReturn per unit of downside risk
1.91
3.79

-1.88

Omega ratioGain probability vs. loss probability

1.24

1.48

-0.24

Calmar ratioReturn relative to maximum drawdown

1.79

8.62

-6.83

Martin ratioReturn relative to average drawdown

6.67

22.05

-15.38

EFA vs. ASML.AS - Sharpe Ratio Comparison

The current EFA Sharpe Ratio is 1.31, which is lower than the ASML.AS Sharpe Ratio of 3.40. The chart below compares the historical Sharpe Ratios of EFA and ASML.AS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EFA vs. ASML.AS - Drawdown Comparison

The maximum EFA drawdown since its inception was -61.04%, roughly equal to the maximum ASML.AS drawdown of -62.21%. Use the drawdown chart below to compare losses from any high point for EFA and ASML.AS.

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Drawdown Indicators

EFAASML.ASDifference

Max Drawdown

Largest peak-to-trough decline

-61.04%

-62.21%

+1.17%

Max Drawdown (1Y)

Largest decline over 1 year

-11.42%

-16.24%

+4.82%

Max Drawdown (3Y)

Largest decline over 3 years

-14.05%

-44.77%

+30.72%

Max Drawdown (5Y)

Largest decline over 5 years

-29.53%

-56.04%

+26.51%

Max Drawdown (10Y)

Largest decline over 10 years

-34.19%

-56.04%

+21.85%

Current Drawdown

Current decline from peak

-0.61%

0.00%

-0.61%

Average Drawdown

Average peak-to-trough decline

-11.92%

-15.04%

+3.12%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.07%

6.38%

-3.31%

Volatility

EFA vs. ASML.AS - Volatility Comparison

The current volatility for iShares MSCI EAFE ETF (EFA) is 5.50%, while ASML Holding N.V. (ASML.AS) has a volatility of 13.97%. This indicates that EFA experiences smaller price fluctuations and is considered to be less risky than ASML.AS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EFAASML.ASDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.50%

13.97%

-8.47%

Volatility (6M)

Calculated over the trailing 6-month period

13.19%

32.33%

-19.14%

Volatility (1Y)

Calculated over the trailing 1-year period

15.64%

41.20%

-25.56%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.58%

40.32%

-23.74%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.27%

35.45%

-18.18%

Dividends

EFA vs. ASML.AS - Dividend Comparison

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

EFA and ASML.AS have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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