"Big 10 Effect?" looks at recent performance of a portfolio that annually picks the 10 NASDAQ stocks with the largest market capitalizations. One reason these firms get big is high past returns. Does a simple momentum strategy, suggested by a subscriber, that at the end of each month picks the Top 5 or Top 10 NASDAQ 100 stocks based on returns over the last 12 months (winners) refine this effect? To investigate, we enlist Claude to retrieve and process data as specified to compute Top 5 and Top 10 monthly returns. We then use the monthly returns to compute gross compound annual growth rates (CAGR), maximum drawdowns (MaxDD) and annual Sharpe ratios, with average monthly yield on 3-month Treasury bills during a year as the risk-free rate for that year. We use buy-and-hold Invesco QQQ Trust (QQQ) as a benchmark. Via publicly available sources, Claude is able to backtest this strategy as far back as January 2008, with initial monthly returns in February 2008. Using Claude outputs, we find that:
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