The Nasdaq stock exchange has grown faster than the NYSE (CAGR since 2002 was 5% NYSE and 12% Nasdaq). The Market Cap of all securities traded on the Nasdaq exchange is now about $19 trillion, close to the $25 trillion of the NYSE. The number of large Nasdaq stocks has also grown faster. The overlap between the largest 100 S&P500 stocks and the 100 QQQ stocks is steadily increasing and is now about 32:
SP100_QQQ
Date overlap
19870706 0
19920626 5
19970620 8
20020626 9
20070628 13
20120627 21
20170630 27
20220705 32
https://gtr1.net/2013/?~SP100_QQQ:h63::sp500.a:et1:rank%28cl…
QQQ is an easy way to gain exposure to Nasdaq stocks. QQQ is heavily weighted in a few stocks (30% in the top 3 stocks), and so the equally weighted QQQE is also appealing. But QQQE uses quarterly rebalancing, and that goes against research that shows price momentum persists for around 12 months. Less rebalancing might give better results. I built a screen to investigate this. {sample20_QQQE_5y} holds for 5 years a random 20 stocks out of the 100 QQQ stocks.
Define {sample20_QQQE_5y}
step0: [NASDAQ 100 Member] == 1
step1: [Mkt Days Since Security Opened] >= 253
step2: [RandomA] Top 20
Holding period = 21 mkt days
Hold for at least 60 holding periods
Frictional loss of 0.1% applied to all sales
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 60 holding periods
{sample20_QQQE_5y} rebalances every 5 years.
{sample20_QQQE_Q} rebalances quarterly.
N1TE is a gtr1 index similar to QQQE. The CAGRs are close for the last 10 years, but the 5-year hold had higher CAGR in the longer backtest. Momentum has lost some power recently.
Screen CAGR GSD MDD Sharpe From To
QQQE 15.0 20120709 20220708
N1TE 16.0 19 -31 0.94 20120709 20220708
Nas100 15.7 19 -31 0.92 20120709 20220708
sample20_QQQE_Q 15.4 20 -30 0.87 20120709 20220708
sample20_QQQE_5y 15.5 19 -31 0.88 20120709 20220708
N1TE 10.7 28 -80 0.43 19870302 20220708
Nas100 10.6 28 -80 0.42 19870302 20220708
sample20_QQQE_Q 9.3 30 -83 0.37 19870302 20220708
sample20_QQQE_5y 13.0 28 -66 0.51 19870302 20220708
{sample20_QQQE_5y} CAGR in the last 10 years ranged from 10 to 21 for the 21 different portfolios.
https://gtr1.net/2013/?~sample20_QQQE_5y:h21n60r60f0.1::nas1…
https://gtr1.net/2013/?~sample20_QQQE_Q:h21n3r3f0.1::nas100…
https://gtr1.net/2013/?~N1TE:h1::trp%281,1%29ne-999%7bU:%7b!..
https://gtr1.net/2013/?~Nas100:h63f0.1::nas100.a:et1
— data —
NYSE and Nasdaq total market cap of listed stocks:
[$million] [$million] Nasdaq Nasdaq
NYSE NYSE Nasdaq Nasdaq pct of total pct of total
Date Count MktCap Count MktCap Count MktCap
20220708 1942 26,656,590 3056 20,372,740 61% 43%
20210708 1852 29,748,790 2809 25,043,490 60% 46%
20200708 1809 20,730,040 2473 16,571,000 58% 44%
20190709 1871 22,924,660 2462 13,004,750 57% 36%
20180706 1915 21,892,500 2412 12,474,430 56% 36%
20170706 1939 20,703,330 2383 10,034,940 55% 33%
20160706 1959 18,488,920 2411 7,909,522 55% 30%
20150707 2051 19,280,820 2449 8,297,578 54% 30%
20140707 2021 19,647,990 2400 7,382,576 54% 27%
20130705 1958 16,011,380 2324 5,544,892 54% 26%
20120702 1964 13,488,510 2381 4,614,598 55% 25%
20110701 1963 14,142,490 2487 4,272,778 56% 23%
20100702 1974 10,794,190 2622 3,235,924 57% 23%
20090702 1975 9,459,986 2712 2,855,598 58% 23%
20080702 2147 14,009,900 2885 3,461,210 57% 20%
20070703 2240 16,696,780 2970 4,080,054 57% 20%
20060630 2313 14,189,820 3025 3,439,736 57% 20%
20050630 2365 13,157,480 3054 3,196,126 56% 20%
20040701 2304 11,808,840 3116 3,150,652 57% 21%
20030701 2306 10,077,620 3251 2,453,483 59% 20%
20020701 2367 10,238,700 3673 2,189,688 61% 18%
20010625 2464 11,921,380 4165 3,088,838 63% 21%
20000623 2608 12,614,920 4631 5,580,562 64% 31%
19990625 2758 11,699,820 4685 2,854,872 63% 20%
19980625 2849 10,291,420 5195 2,465,542 65% 19%
19970625 2758 8,100,246 5345 1,745,987 66% 18%
19960626 2632 6,202,924 5198 1,417,875 66% 19%
19950628 2559 4,937,700 4773 1,007,542 65% 17%
19940629 2562 4,097,248 4652 764,193 64% 16%
19930630 2393 3,997,976 4122 688,164 63% 15%
19920701 2283 3,219,666 3951 535,195 63% 14%
19910703 2191 3,093,164 3887 427,666 64% 12%
19900705 2135 2,931,561 4065 423,041 66% 13%
19890706 2149 2,682,449 4149 403,488 66% 13%
19880707 2172 2,378,740 4388 397,708 67% 14%
19870709 2164 2,717,718 4457 444,402 67% 14%
19860710 2133 2,206,113 4051 384,258 66% 15%
19850710 2153 1,772,290 3906 264,740 64% 13%
19840711 2202 1,433,602 3927 211,069 64% 13%
19830713 2206 1,584,807 3345 250,948 60% 14%
19820715 2235 1,010,667 2934 111,119 57% 10%
19810716 2264 1,225,339 2816 139,681 55% 10%
19800716 2295 1,077,114 2381 103,385 51% 9%
19790718 2257 883,749 2309 89,602 51% 9%
19780719 2381 819,230 2279 85,732 49% 9%
19770720 2486 827,125 2334 76,356 48% 8%
19760720 2508 799,376 2303 76,390 48% 9%
19750722 2551 701,580 2222 75,395 47% 10%
19740723 2615 604,180 2317 64,446 47% 10%
19730724 2647 783,632 2706 99,696 51% 11%
https://gtr1.net/2013/?~Nasdaq:s19721215h63::styp.a:et10!11!..
https://gtr1.net/2013/?~NYSE:s19721215h63::styp.a:et10!11!12…
— links —
2021 Market cap of listed companies: NYSE $27T, Nasdaq $23T
https://en.wikipedia.org/wiki/List_of_stock_exchanges#Major_…
2011 Market cap of listed companies: NYSE $14T, Nasdaq $5T
https://web.archive.org/web/20120621161154/https://en.wikipe…
market cap of listed companies: NYSE $25T, Nasdaq $19T as of May 2022.
https://www.statista.com/statistics/270126/largest-stock-exc…