Lam Research (LRCX) had the highest return in March 2002 by a mega-cap US stock, returning 30.8%.

ASSET	MONTH	% RETURN
Lam Research (LRCX)	March 2002	30.78%
Taiwan Semiconductor Manufacturing (TSM)	March 2002	27.69%
ASML Holding NV ADR (ASML)	March 2002	22.56%
Applied Materials (AMAT)	March 2002	21.79%
JPMorgan Chase (JPM)	March 2002	20.44%
Cisco Systems (CSCO)	March 2002	16.76%
Morgan Stanley (MS)	March 2002	16.48%
Toyota Motor Corporation ADR (TM)	March 2002	13.45%
American Express (AXP)	March 2002	12.34%
Coca-Cola (KO)	March 2002	11.75%
Texas Instruments (TXN)	March 2002	11.34%
Goldman Sachs (GS)	March 2002	10.74%
SAP SE ADR (SAP)	March 2002	9.8%
Apple (AAPL)	March 2002	7.91%
HSBC Holdings PLC ADR (HSBC)	March 2002	7.36%
Chevron (CVX)	March 2002	6.9%
Advanced Micro Devices (AMD)	March 2002	6.75%
Johnson & Johnson (JNJ)	March 2002	6.65%
Novartis AG ADR (NVS)	March 2002	6.52%
Bank of America (BAC)	March 2002	6.2%
Procter & Gamble (PG)	March 2002	5.99%
Royal Bank of Canada (RY)	March 2002	5.51%
International Business Machines (IBM)	March 2002	5.48%
McDonald’s (MCD)	March 2002	5.31%
UnitedHealth (UNH)	March 2002	5.3%

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