Microfinance Institution (MFIs) are special financial institutions. The have both a social nature and a for-profit nature. Their performance has been traditionally measured by means of financial ratios. The paper uses a Data Envelopment Analysis (DEA) approach to efficiency to show that ratio analysis does not capture DEA efficiency. Special care is taken in the specification of the DEA model. We take methodological approach based on multivariate analysis. We rank DEA efficiencies under different models and specifications: e.g. particular sets of inputs and outputs. This serves to explore what is behind a DEA score. The results show that we can explain MFIs efficiency by means of four principal components of efficiency, and this way are able to understand differences between DEA scores. It is shown that there are country effects on efficiency; and effects that depend on Non-governmental Organizations (NGO)/non-NGO status of the MFI