The Leading Horsemen Index: Measuring Composite Market Influence in U.S. Equities.
Abstract
The LHI is a composite index measuring the market influence of individual U.S. large-cap companies by unifying holdings from the three most-watched benchmarks. This paper presents the motivation, formulation, and results of the index across a trailing 12-month window.
Problem Statement
No public metric aggregates a company's true 'market weight' across the S&P 500, Nasdaq-100, and Dow. Existing benchmarks each track distinct rules and populations, obscuring the concentration of influence held by a small group of mega-caps.
Methodology
Data ingestion, standardization, normalization, and scoring via a weighted composite with an overlap multiplier. The formulation is transparent, reproducible, and refreshed monthly using end-of-month adjusted data.
Results
The top 25 LHI constituents account for over 52% of composite index weight. Technology alone contributes 32.4%. LHI-weighted portfolios outperformed SPY on a trailing 12-month basis with comparable volatility.
Applications
Portfolio construction, market concentration monitoring, sector rotation, risk analysis, single-name screening, and macro research — the LHI provides a single lens on the U.S. equity market's true drivers.
Future Work
Extend the framework to international benchmarks, incorporate factor exposures (quality, momentum, low-vol), and build a real-time API for institutional consumption.
How investors use the LHI.
Build LHI-weighted portfolios that mirror the true drivers of the U.S. market instead of a single benchmark.
Monitor how much of the market's movement is being driven by a shrinking set of mega-caps.
Detect shifts in sector-level influence to inform tactical allocation decisions.
Quantify single-name and sector concentration risk hidden inside composite exposures.
Filter for high-influence, high-momentum names as a top-down starting universe.
Anchor macro and thematic research in a defensible measure of market influence.