The Intel Core Ultra 7 265 wins in 8 out of 14 comparable specs, with 3 ties. Its biggest advantage is L2 Cache (279% better).
Core i5-14400 wins in 3 specs (MSRP: 44% better).
Recommendation
Choose Core Ultra 7 265 if you want the best overall performance — especially l2 cache.
Choose Core i5-14400 if msrp matters more to you.
