MSFT vs. EFG
MSFT (Microsoft Corporation) is a stock, while EFG (iShares MSCI EAFE Growth ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Growth Index. Over the past 10 years, MSFT returned 24.64%/yr vs 8.09%/yr for EFG. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
MSFT vs. EFG - 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 EFG's 6.44% return. Over the past 10 years, MSFT has outperformed EFG with an annualized return of 24.64%, while EFG has yielded a comparatively lower 8.09% 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%
EFG
- 1D
- 1.13%
- 1M
- -1.06%
- YTD
- 6.44%
- 6M
- 7.52%
- 1Y
- 11.82%
- 3Y*
- 10.54%
- 5Y*
- 3.87%
- 10Y*
- 8.09%
MSFT vs. EFG - 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% |
EFG iShares MSCI EAFE Growth ETF | 6.44% | 20.70% | 1.53% | 17.55% | -23.12% | 11.01% | 17.85% | 27.47% | -12.93% | 28.86% |
Correlation
The correlation between MSFT and EFG is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.53 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2005 | 0.56 |
Over the past year, the correlation between MSFT and EFG has dropped to 0.28 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
MSFT vs. EFG — Risk / Return Rank
MSFT
EFG
MSFT vs. EFG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Microsoft Corporation (MSFT) and iShares MSCI EAFE Growth ETF (EFG). 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 | EFG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.15 | ||
| Sortino ratioReturn per unit of downside risk | -1.56 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.13 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | 0.93 | -1.28 |
| Martin ratioReturn relative to average drawdown | -0.73 | 3.41 | -4.14 |
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 | EFG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | 0.68 | -1.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.42 | 0.21 | +0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.91 | 0.46 | +0.46 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.74 | 0.29 | +0.45 |
Drawdowns
MSFT vs. EFG - Drawdown Comparison
The maximum MSFT drawdown since its inception was -69.38%, which is greater than EFG's maximum drawdown of -58.40%. Use the drawdown chart below to compare losses from any high point for MSFT and EFG.
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Drawdown Indicators
| MSFT | EFG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.38% | -58.40% | -10.98% |
Max Drawdown (1Y)Largest decline over 1 year | -33.91% | -12.78% | -21.13% |
Max Drawdown (3Y)Largest decline over 3 years | -33.91% | -16.87% | -17.04% |
Max Drawdown (5Y)Largest decline over 5 years | -37.15% | -35.78% | -1.37% |
Max Drawdown (10Y)Largest decline over 10 years | -37.15% | -35.78% | -1.37% |
Current DrawdownCurrent decline from peak | -23.56% | -2.28% | -21.28% |
Average DrawdownAverage peak-to-trough decline | -21.78% | -12.15% | -9.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 16.13% | 3.47% | +12.66% |
Volatility
MSFT vs. EFG - Volatility Comparison
Microsoft Corporation (MSFT) has a higher volatility of 10.25% compared to iShares MSCI EAFE Growth ETF (EFG) at 5.78%. This indicates that MSFT's price experiences larger fluctuations and is considered to be riskier than EFG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MSFT | EFG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.25% | 5.78% | +4.47% |
Volatility (6M)Calculated over the trailing 6-month period | 22.36% | 14.82% | +7.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.31% | 17.48% | +7.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.64% | 18.18% | +8.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.06% | 17.73% | +9.33% |
Dividends
MSFT vs. EFG - Dividend Comparison
MSFT's dividend yield for the trailing twelve months is around 0.86%, less than EFG's 2.37% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 2.37% | 2.53% | 1.64% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% |
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 EFG have a correlation of 0.28, 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 EFG (5.78%). In terms of maximum drawdown, MSFT dropped -69.38% vs EFG's -58.40%.
EFG currently has the higher Sharpe Ratio (0.68 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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