MSFT vs. EFA
MSFT (Microsoft Corporation) 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, MSFT returned 24.64%/yr vs 9.28%/yr for EFA. A 0.53 correlation means they provide meaningful diversification when combined.
Performance
MSFT vs. EFA - Performance Comparison
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Returns By Period
In the year-to-date period, MSFT achieves a -14.48% return, which is significantly lower than EFA's 7.13% return. Over the past 10 years, MSFT has outperformed EFA with an annualized return of 24.64%, while EFA has yielded a comparatively lower 9.28% annualized return.
MSFT
- 1D
- -1.18%
- 1M
- -0.60%
- YTD
- -14.48%
- 6M
- -15.77%
- 1Y
- -11.77%
- 3Y*
- 8.85%
- 5Y*
- 11.09%
- 10Y*
- 24.64%
EFA
- 1D
- 0.61%
- 1M
- -1.04%
- YTD
- 7.13%
- 6M
- 9.67%
- 1Y
- 18.74%
- 3Y*
- 15.87%
- 5Y*
- 8.03%
- 10Y*
- 9.28%
MSFT vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MSFT Microsoft Corporation | -14.48% | 15.58% | 12.93% | 58.19% | -28.02% | 52.48% | 42.53% | 57.56% | 20.80% | 40.73% |
EFA iShares MSCI EAFE ETF | 7.13% | 31.55% | 3.49% | 18.36% | -14.39% | 11.45% | 7.60% | 22.04% | -13.82% | 25.07% |
Correlation
The correlation between MSFT and EFA is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.34 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.52 |
Correlation (All Time) Calculated using the full available price history since Aug 20, 2001 | 0.53 |
Over the past year, the correlation between MSFT and EFA has dropped to 0.24 - well below their long-term average of 0.53, suggesting their price drivers have been diverging.
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Return for Risk
MSFT vs. EFA — Risk / Return Rank
MSFT
EFA
MSFT vs. EFA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Microsoft Corporation (MSFT) 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.
| MSFT | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.70 | ||
| Sortino ratioReturn per unit of downside risk | -2.27 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.23 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | 1.65 | -2.00 |
| Martin ratioReturn relative to average drawdown | -0.73 | 6.15 | -6.88 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MSFT | EFA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | 1.23 | -1.70 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.42 | 0.49 | -0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.91 | 0.54 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.74 | 0.31 | +0.43 |
Drawdowns
MSFT vs. EFA - Drawdown Comparison
The maximum MSFT drawdown since its inception was -69.38%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for MSFT and EFA.
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Drawdown Indicators
| MSFT | EFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.38% | -61.04% | -8.34% |
Max Drawdown (1Y)Largest decline over 1 year | -33.91% | -11.42% | -22.49% |
Max Drawdown (3Y)Largest decline over 3 years | -33.91% | -14.05% | -19.86% |
Max Drawdown (5Y)Largest decline over 5 years | -37.15% | -29.53% | -7.62% |
Max Drawdown (10Y)Largest decline over 10 years | -37.15% | -34.19% | -2.96% |
Current DrawdownCurrent decline from peak | -23.56% | -2.63% | -20.93% |
Average DrawdownAverage peak-to-trough decline | -21.78% | -11.93% | -9.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 16.13% | 3.05% | +13.08% |
Volatility
MSFT vs. EFA - Volatility Comparison
Microsoft Corporation (MSFT) has a higher volatility of 10.25% compared to iShares MSCI EAFE ETF (EFA) at 4.54%. This indicates that MSFT'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.
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Volatility by Period
| MSFT | EFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.25% | 4.54% | +5.71% |
Volatility (6M)Calculated over the trailing 6-month period | 22.36% | 12.82% | +9.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.31% | 15.31% | +10.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.64% | 16.52% | +10.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.06% | 17.28% | +9.78% |
Dividends
MSFT vs. EFA - Dividend Comparison
MSFT's dividend yield for the trailing twelve months is around 0.86%, less than EFA's 3.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.16% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
MSFT Microsoft Corporation | 0.86% | 0.70% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% |
Frequently Asked Questions
MSFT and EFA have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MSFT has higher volatility (10.25%) compared to EFA (4.54%). In terms of maximum drawdown, MSFT dropped -69.38% vs EFA's -61.04%.
EFA currently has the higher Sharpe Ratio (1.23 vs -0.47), 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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