Lam Research (LRCX) had the highest return between 1999 and 2003 by a mega-cap US stock, returning 434.6%.

ASSET	YEARS	% RETURN
Lam Research (LRCX)	1999-2003	434.56%
UnitedHealth (UNH)	1999-2003	433.21%
NVIDIA (NVDA)	1999-2003	341.9%
Netflix (NFLX)	1999-2003	237.89%
Citigroup (C)	1999-2003	142.87%
LIN TV (LIN)	1999-2003	131.11%
Royal Bank of Canada (RY)	1999-2003	119.72%
Applied Materials (AMAT)	1999-2003	109.35%
Raytheon Technologies (RTX)	1999-2003	86.57%
ASML Holding NV ADR (ASML)	1999-2003	85.79%
Taiwan Semiconductor Manufacturing (TSM)	1999-2003	84.92%
Oracle (ORCL)	1999-2003	81.96%
Morgan Stanley (MS)	1999-2003	76.33%
Caterpillar (CAT)	1999-2003	73.19%
Thermo Fisher Scientific (TMO)	1999-2003	70.43%
Wells Fargo (WFC)	1999-2003	65.35%
Bank of America (BAC)	1999-2003	62.33%
Novo Nordisk A-S (NVO)	1999-2003	58.48%
HSBC Holdings PLC ADR (HSBC)	1999-2003	51.9%
American Express (AXP)	1999-2003	47.59%
Novartis AG ADR (NVS)	1999-2003	41.23%
Toyota Motor Corporation ADR (TM)	1999-2003	35%
Goldman Sachs (GS)	1999-2003	34.06%
Johnson & Johnson (JNJ)	1999-2003	33.64%
AstraZeneca PLC ADR (AZN)	1999-2003	23.27%

Mega-cap stocks are treated as having a market cap of $200B+.