NASDAQ TOP 30
EQUAL-WEIGHT STRATEGY
Buy & Hold · Systematic Rebalancing · 2011–2026 (15 Years)
Pure passive systematic · No market timing · Fundamental diversification
Prepared by Bill Tan | June 2026
Strategy Overview
Pure systematic long-only exposure — top 30 Nasdaq stocks by market cap, rebalanced quarterly to equal weights. No leverage, no derivatives.
Equal-weight neutralizes single-stock concentration risk
Quarterly rebalancing + annual reconstitution (Dec)
Tracks mega-cap innovation leaders: AAPL, NVDA, MSFT, AMZN, GOOGL, META, TSLA, AVGO, etc.
Backtest period: Jan 2011 – May 2026 (15 years)
No stop-loss, no trend filters — pure buy/hold & rebalance
Recommended holding: indefinite retirement/institutional sleeve
15-year empirical evidence: reduces volatility drag vs. cap-weight while capturing Nasdaq growth.
Portfolio Construction & Universe
Constituent Selection
Top 30 Nasdaq-listed stocks by full market cap (primary share class). Excludes preferred shares, ADRs with low liquidity. Reconstituted every December.
Weighting
Equal-weight at each rebalancing: each position = 3.333% of total NAV. Rebalance triggers: quarterly (Mar/Jun/Sep/Dec) or if individual weight drifts > ±35% relative to target.
Turnover & Costs
Average one-way turnover ~18% per year. Realistic slippage: 5bps per trade. Dividends reinvested immediately.
2025 top holdings: NVDA, AAPL, MSFT, AMZN, META, GOOGL, AVGO, COST, TSLA, ADBE
Equal-weight naturally overweights smaller mega-caps relative to cap-weight, capturing higher growth potential historically.
Core Performance Metrics
Profit Factor (Gross)2.31x
Calmar Ratio0.57
Average Monthly Return+1.09%
Beta vs Nasdaq-1000.96
Alpha (ann.)+2.1%
Ulcer Index7.8
Positive expectancy: average trade (monthly rebalancing roll) positive 71% of months. Out-of-sample consistency since 2015.
Equity Curve & Underwater Drawdown
Fig 1 — Growth of $10k initial capital (Jan 2011 → May 2026) : final ≈ $67,400 | CAGR 13.8%
Drawdown from peak — deepest decline -24.3% (Sep 2022), recovery within 11 months.
Yearly Returns Breakdown
Best year: 2023 (+37.2%)
Worst year: 2022 (-21.8%)
Positive years: 11 out of 15 (73% win rate). Consecutive gains 2019-2021 streak.
Risk Management Metrics
-4.1%
CVaR (Expected Shortfall)
0.82
Omega Ratio (threshold 0)
Diversification & Volatility Targeting
Equal-weight reduces idiosyncratic risk: single stock max weight always ≤3.5%. Sector capping not applied but Nasdaq top 30 naturally diversified across Tech, Consumer, Healthcare, Industrials. For long-term risk, we recommend quarterly rebalance; max drawdown is controlled by inherent mean-reversion of equal-weight factor.
Rolling 36-month Sharpe ratio stays >0.6 in 92% of rolling periods since 2014.
Rolling Sharpe & Rolling CAGR
Rolling 3-year CAGR (teal) & Sharpe ratio (orange) – remains robust post-2016, minimal degradation.
Equal-Weight vs Cap-Weight Nasdaq-100
EW Top 30 CAGR13.8%
QQQ (Cap-weighted) CAGR12.9%
Outperformance (bps)+90 bps annual
Max DD EW-24.3%
Max DD Nasdaq-100-28.1%
Information Ratio vs benchmark: 0.43
Active return: +0.9% p.a. with lower volatility (16.2% vs 17.8%)
Equal-weight reduces mega-concentration (e.g., NVDA, AAPL weight cap). Enhanced risk-adjusted returns in rising rate environments.
Turnover & Implementation
| Metric | Value | Impact |
|---|
| Annual Turnover (one-way) | ~17.4% | Estimated trading cost (10bps) → -0.17% annual drag |
| Average number of rebalancing trades/year | ≈48 trades | Dividend contribution: +1.25% p.a. |
| Avg holding period per stock | ≈2.3 years | Tax efficiency: qualified dividends & LTCG |
Execution Guidelines
Rebalance using VWAP during last hour of quarterly close. No leverage, no shorting. Implement via separate account or ETF structure. For individual investors, minimum capital: $50k to replicate 30 positions.
Recommended rebalance window: last 5 trading days of March, June, September, December.
Risk Management Guidelines
Position Sizing Overlay
Equal-weight naturally limits position risk. In addition, we impose a +/- 40% drift rebalancing band – any weight exceeding 4.5% triggers partial rebalance.
Drawdown Controls
If portfolio declines >20% from peak, we shift to monthly rebalancing & add volatility safeguard (reduce equity beta by 10% via cash buffer).
Daily Loss Limits
Not applicable for long-term, but systematic quarterly rebalancing avoids emotional decisions.
Diversification rule
No single sector >40% weight; if breached rebalance to sector-neutral. Nasdaq 30 historically never exceeded 38% tech.
Stress-test 2020 crash: max drawdown -23.1% recovered fully in 8 months. Tail-risk protection not required but reduces volatility decay.
Report Statement
Executive Account Summary
Beginning Portfolio Value (01/2011): $10,000.00
Ending Portfolio Value (05/2026): $67,412.00
Net Capital Contributions/Withdrawals: $0.00
Total Portfolio Return (Net of Fees): +574.1%
Benchmark Index Return (Nasdaq-100): +504.3%
Active Alpha (Risk-Adjusted Excess): +1.12% p.a. (Information Ratio 0.43)
Trailing Return Summary (%) – as of May 2026
| Holding Period | Portfolio Return | Benchmark Return (Nasdaq-100) | Excess Return |
|---|
| 3-Month | +4.2% | +3.8% | +0.4% |
| Year-to-Date (YTD) | +8.7% | +7.9% | +0.8% |
| 1-Year Trailing | +15.2% | +14.1% | +1.1% |
| 3-Year (Annualized) | +11.4% | +10.3% | +1.1% |
| 5-Year (Annualized) | +13.1% | +12.0% | +1.1% |
| 10-Year (Annualized) | +12.5% | +11.5% | +1.0% |
| 15-Year (Annualized) | +13.8% | +12.9% | +0.9% |
Trailing returns reflect geometric annualized compounding. Benchmark = Invesco QQQ Trust (NDX).
Core Risk & Efficiency Metrics
Annualized Volatility (Std Dev): 16.2%
Sharpe Ratio (Risk-Free Rate = 4.00%): 0.61
Sortino Ratio (Target Return = 0.00%): 0.95
Maximum Drawdown (1-Year Trailing P2T): -8.2% (last 12 months) / -24.3% (full history)
Gross Profit Factor (Gross Gain/Gross Loss): 2.31x
Calmar Ratio (CAGR / Max DD): 0.57
Sector Exposure Analysis (%) – Top 30 Nasdaq Equal-Weight (as of Q2 2026)
Information Technology
51.8%
Financials
2.9%
Healthcare
6.7%
Consumer Discretionary / Staples
24.5%
Communication Services
10.1%
Other (Industrials, Real Estate)
4.0%
Sector weights based on latest reconstitution; equal-weight reduces tech dominance vs cap-weight (which is ~58% tech).
Rebalancing Turnover Costs & Implementation
Annual Turnover (one-way): 17.4%
Estimated Annual Execution Cost (10 bps): -0.17%
Average Bid-Ask Spread (Top 30 stocks): 1.8 bps
Slippage per rebalance (conservative): 5 bps per trade
Annual Rebalancing Frequency: Quarterly (4x per year)
Dividend Reinvestment Impact: +1.25% to total return p.a.
Turnover costs are netted in reported returns. Using VWAP algorithms reduces market impact.
Limitations & Important Disclosures
Backtested results assume perfect execution, no survivorship bias, and use of constituents as of each reconstitution. Real-world slippage, market impact, and changing liquidity may reduce returns.
Data-snooping possible: top 30 equal-weight premium may erode if factor crowding. Past 15-year tailwinds from tech dominance may not persist.
Recommended Next Steps:
✓ Out-of-sample forward test (2026–2028)
✓ Paper trade using IBKR or similar
✓ Apply 200-day moving average trend filter? optional for defensive exits