ASML Holding NV ADR (ASML) had the lowest return between 2000 and 2002 by a mega-cap US stock, returning -78.6%.

ASSET	YEARS	% RETURN
ASML Holding NV ADR (ASML)	2000-2002	-78.56%
Amazon (AMZN)	2000-2002	-76.82%
Cisco Systems (CSCO)	2000-2002	-76.17%
Micron Technology (MU)	2000-2002	-74.82%
Apple (AAPL)	2000-2002	-72.67%
Lam Research (LRCX)	2000-2002	-71.33%
Taiwan Semiconductor Manufacturing (TSM)	2000-2002	-70.59%
Oracle (ORCL)	2000-2002	-65.34%
Home Depot (HD)	2000-2002	-64.53%
SAP SE ADR (SAP)	2000-2002	-62.54%
Intel (INTC)	2000-2002	-62.32%
Mitsubishi UFJ Financial Group Inc ADR (MUFG)	2000-2002	-60.64%
Applied Materials (AMAT)	2000-2002	-59.4%
McDonald’s (MCD)	2000-2002	-58.55%
Advanced Micro Devices (AMD)	2000-2002	-56.84%
Microsoft (MSFT)	2000-2002	-55.95%
GE Aerospace (GE)	2000-2002	-49.69%
JPMorgan Chase (JPM)	2000-2002	-46.52%
Toyota Motor Corporation ADR (TM)	2000-2002	-44.62%
Morgan Stanley (MS)	2000-2002	-39.09%
Costco Wholesale (COST)	2000-2002	-38.37%
American Express (AXP)	2000-2002	-33.86%
Netflix (NFLX)	2000-2002	-32.01%
International Business Machines (IBM)	2000-2002	-29.9%
Goldman Sachs (GS)	2000-2002	-26.36%

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