No. of Recommendations: 7
mo wrote:
I don't know why, but I had a hard time finding Nasdaq 100 constituent stocks going back before 2014.Constructing the historical record of QQQ is quite a bit of work. An alternative is to use a screen like {NasBig100noFin}.
Define {NasBig100noFin}
step0: [Security Type; lag=1 days] == 10,11,12,30,31
step1: [Exchange Code; lag=1 days] == 3
step2: [Fama/French 12 Industry Code; lag=1 days] != 11
step3: [MktCap] Top 100
http://gtr1.net/2013/?~NasBig100noFin:h63::styp.a:...QQQE and {NasBig100noFin} total return for year ending:
year QQQE YearEnd Avg Min Max SD nSD
2016 7.19 20161230 5.44 3.95 6.50 0.62 2.8
2017 26.54 20171229 26.99 25.43 28.25 0.62 -0.7
2018 -5.40 20181231 -6.00 -6.89 -5.02 0.50 1.2
2019 36.44 20191231 32.04 30.51 34.28 0.82 5.3
2020 37.83 20201231 36.80 35.31 40.04 1.13 0.9
2021 17.98 20211231 19.41 16.82 21.37 1.00 -1.4
2022 -24.47 20221230 -24.52 -25.59 -23.31 0.53 0.1
2023 33.75 20231229 31.96 30.31 34.43 0.99 1.8
2024 6.98 20241231 12.72 10.13 14.85 1.01 -5.7
2025 14.58 20251128 18.49 15.56 20.77 1.23 -3.2
Correlation of TR for QQQE and {NasBig100noFin} is 0.99, with QQQE underperforming in 2024 and 2025. (QQQE total return in Dec 2025 was 0.33%. {NasBig100noFin} returns are to 20251128.)
This archived website lists Nas100 changes.
Saved 195 times between November 13, 2001 and January 14, 2026.
https://web.archive.org/web/20260000000000*/
http://www.nasdaq.com/indexshares/historical_data....Author: rgearyiii
Subject: GTR1 Database Update 1/12/14
Date: 1/12/2014
"... The new (or rather, previously unannounced) field file nas100.a provides daily Nasdaq 100 membership from January 1, 1995 according to historical changes indicated at
http://www.nasdaq.com/indexshares/historical_data.... and
http://en.wikipedia.org/wiki/NASDAQ-100#Components . The current list is obtained directly from nasdaq.com. The single day`s worth of work involved in building the historical membership lists was inspired by comments by Zeelotes suggesting that Nasdaq 100 membership is extremely important in his own successful trading. I have not had much time to explore this data myself due to a long to-do list for the backtester, so I am hoping others will start the research and share results. If anyone can demonstrate the value of this data, I`ll consider looking into what it takes (a lot more than a single day!) to obtain Nasdaq 100 constituent lists back to the index`s inception in 1984.The new (or rather, previously unannounced) field file nas100.a provides daily Nasdaq 100 membership from January 1, 1995 according to historical changes indicated at
http://www.nasdaq.com/indexshares/historical_data.... and
http://en.wikipedia.org/wiki/NASDAQ-100#Components . The current list is obtained directly from nasdaq.com. The single day`s worth of work involved in building the historical membership lists was inspired by comments by Zeelotes suggesting that Nasdaq 100 membership is extremely important in his own successful trading. I have not had much time to explore this data myself due to a long to-do list for the backtester, so I am hoping others will start the research and share results. If anyone can demonstrate the value of this data, I`ll consider looking into what it takes (a lot more than a single day!) to obtain Nasdaq 100 constituent lists back to the index`s inception in 1984. ..."
https://yorickm.com/Message.php?pid=31063732 