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 23.18%/yr vs 9.21%/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 -16.45% return, which is significantly lower than EFA's 8.50% return. Over the past 10 years, MSFT has outperformed EFA with an annualized return of 23.18%, while EFA has yielded a comparatively lower 9.21% annualized return.
MSFT
- 1D
- 2.15%
- 1M
- 6.03%
- 6M
- -12.13%
- YTD
- -16.45%
- 1Y
- -20.50%
- 3Y*
- 6.20%
- 5Y*
- 8.30%
- 10Y*
- 23.18%
- ALL TIME*
- 24.73%
EFA
- 1D
- -0.74%
- 1M
- -1.76%
- 6M
- 4.69%
- YTD
- 8.50%
- 1Y
- 20.06%
- 3Y*
- 15.06%
- 5Y*
- 8.83%
- 10Y*
- 9.21%
- ALL TIME*
- 6.47%
MSFT vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MSFT Microsoft Corporation | -16.45% | 15.58% | 12.93% | 58.19% | -28.02% | 52.48% | 42.53% | 57.56% | 20.80% | 40.73% |
EFA iShares MSCI EAFE ETF | 8.50% | 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 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Aug 17, 2001 | 0.53 |
Over the past year, the correlation between MSFT and EFA has dropped to 0.16 - 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.
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.
| MSFT | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.03 | ||
| Sortino ratioReturn per unit of downside risk | -2.79 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.23 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.60 | 1.76 | -2.36 |
| Martin ratioReturn relative to average drawdown | -1.10 | 6.54 | -7.64 |
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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 | -34.50% | -11.42% | -23.08% |
Max Drawdown (3Y)Largest decline over 3 years | -34.50% | -14.05% | -20.45% |
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 | -25.32% | -2.74% | -22.58% |
Average DrawdownAverage peak-to-trough decline | -21.80% | -11.88% | -9.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 18.74% | 3.07% | +15.67% |
Volatility
MSFT vs. EFA - Volatility Comparison
Microsoft Corporation (MSFT) has a higher volatility of 10.25% compared to iShares MSCI EAFE ETF (EFA) at 4.11%. 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% | 4.11% | +6.14% |
Volatility (6M)Calculated over the trailing 6-month period | 24.51% | 13.56% | +10.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.52% | 15.77% | +11.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.07% | 16.57% | +10.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.15% | 16.98% | +10.17% |
Dividends
MSFT vs. EFA - Dividend Comparison
MSFT's dividend yield for the trailing twelve months is around 0.88%, less than EFA's 3.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.28% | 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 | 0.88% | 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 0.16, 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 (4.11%). In terms of maximum drawdown, MSFT dropped -69.38% vs EFA's -61.04%.
EFA currently has the higher Sharpe Ratio (1.28 vs -0.75), 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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