Quant Galore Momentum Index
Hold the same ten stocks a rules-based momentum strategy held, on the day it held them, with each name's rank inside the basket. Every rebalance is stored exactly as published, so the history is a live record rather than a list rebuilt with hindsight.
Copy the basket, not the backtest.
One call on a rebalance date returns the ten tickers held that month, each with its rank inside the basket.
Weight by conviction.
rank runs 1 to 10, strongest momentum first, so a book can tilt toward the top of the basket instead of holding all ten flat.
Measure the turnover before you pay for it.
Compare consecutive date groups to see which tickers dropped out, which carried over, and how much the basket churns each month.
What is the momentum crowd actually holding right now, and how has that basket done against the S&P 500? Show me the current names and back it up with the record.
Your agent reads the latest rebalance and its ranks, then walks the monthly history to compare the basket against the benchmark month by month.
The ten names the rules picked, month by month.
Cross-sectional momentum means ranking a group of stocks against each other by recent performance and holding the leaders. This index does that once a month over deeply liquid US equities that carry at least six consecutive weeks of listed weekly option expirations, and keeps the top ten.
Each row is one stock on one rebalance date, with its rank in that month's basket. Rank 1 is the strongest momentum name. The row is the basket as it stood that day, not a list reconstructed later with data nobody had at the time.
Each row includes:
- The rebalance date the basket was set on.
- One constituent ticker, one row per name.
- rank, from 1 for the strongest momentum name to 10 for the weakest in the basket.
- Exactly ten rows for every rebalance date.
- A fixed record: baskets are never restated after publication.
Ten names is a concentrated book, and it only changes on rebalance day. A constituent that breaks down mid-month stays in the basket until the next rebalance, which is why the published record is high-beta momentum risk rather than a smooth ride.
Run a momentum sleeve without rebuilding the ranking.
The published study is the reason to look. One dollar grows to $30.4 against $2.9 for SPY since 2017, the basket beats the benchmark in 61% of months, and mean monthly excess return is 2.84% with a t statistic of 2.7. That is outperformance that survives a significance test, carried by ten positions at a time.
What the dataset removes is plumbing. The universe screen, the ranking pipeline, and the point-in-time record already exist, so the work moves up a level: sizing, hedging with index puts, writing calls on the top-ranked names, or attributing where the return actually came from.
- Track the live basket and mirror it, or use it as the equity core underneath an options overlay.
- Rank-weight instead of equal-weighting, and test whether ranks 1 to 3 carry the basket.
- Measure post-rebalance drift: how much of a month's return lands in the first week after the basket changes.
- Compute turnover between consecutive rebalance dates before assuming a cost model.
- Join the rebalance date to a market state series and ask which regimes the strategy actually earns in.
One ranking run a month, frozen on the day.
The ranking runs on the monthly rebalance at 4:05 PM in New York across the liquid optionable universe. The output is deterministic: the same rules and the same inputs produce the same ten names. Once a rebalance is published, its ten rows never change, and no ticker is quietly added or removed when it later delists or reprices.
The option-expiration requirement sits inside the universe definition, so the index only ever holds names deep enough to hedge or overlay. The published market-effect study covers 114 monthly rebalances and 208 distinct names going back to January 2017. Pro includes full history and the latest session.
The basket in three fields, plus the filters.
The headline fields below are a subset. Every field, with exact types and semantics, is documented in the API reference.
| Field | Type | What it tells you |
|---|---|---|
| date | string | Rebalance date the basket was set on (YYYY-MM-DD) |
| ticker | string | Equity ticker included in that month's basket |
| rank | integer | Momentum rank inside the 10-stock basket, where 1 is the strongest momentum |
| count | integer | Number of rows returned in the response envelope |
| date_gte | query param | Start of a rebalance-date range, inclusive |
| date_lte | query param | End of a rebalance-date range, inclusive |
| date_gt | query param | Start of a rebalance-date range, exclusive |
| date_lt | query param | End of a rebalance-date range, exclusive |
One call returns a rebalance, or the whole history.
One key works across the REST API, the hosted MCP server, and this dashboard. Every response is JSON with a { count, data } envelope.
import requests
url = "https://api.alphanume.com/v1/quant-galore-momentum-index"
params = {
"date": "2026-08-03",
"api_key": "alp_abc123"
}
r = requests.get(url, params=params)
print(r.json())curl "https://api.alphanume.com/v1/quant-galore-momentum-index?date=2026-08-03&api_key=alp_abc123"{
"count": 10,
"data": [
{ "date": "2026-08-03", "ticker": "IREN", "rank": 1 },
{ "date": "2026-08-03", "ticker": "PLTR", "rank": 2 },
{ "date": "2026-08-03", "ticker": "VST", "rank": 3 },
{ "date": "2026-08-03", "ticker": "APP", "rank": 4 },
{ "date": "2026-08-03", "ticker": "AVGO", "rank": 5 },
{ "date": "2026-08-03", "ticker": "HOOD", "rank": 6 },
{ "date": "2026-08-03", "ticker": "RKLB", "rank": 7 },
{ "date": "2026-08-03", "ticker": "NVDA", "rank": 8 },
{ "date": "2026-08-03", "ticker": "MU", "rank": 9 },
{ "date": "2026-08-03", "ticker": "BE", "rank": 10 }
]
}What this data does not claim.
- Ten positions is concentrated and high beta. The published record has losing months: it beats the benchmark in 61% of them, not all of them.
- The dataset carries constituents and ranks only. There are no weights, prices, or returns on the row, so any performance figure has to be computed against your own price source.
- The universe requires deeply liquid names with listed weekly options, so small caps, recent listings, and thin tickers are out of scope by construction.
- Rebalances are monthly. Between them the basket does not react to anything, including a blowup in a constituent.
- Study figures are gross of transaction costs, slippage, and taxes, and a monthly momentum basket does turn over.
Asked by researchers, answered plainly.
How many stocks are in the Quant Galore Momentum Index?
Ten on every rebalance date, with no exceptions and no cash sleeve. If a date returns fewer than ten rows, that is a partial pull or a tier restriction on your key, not a smaller basket.
Do the index constituents have listed options?
Yes, by construction. Eligibility requires at least six consecutive weeks of listed weekly expirations, so every name in the basket had a usable options chain on the day it was selected. That is what makes covered calls, collars, and put hedges practical on top of the basket.
Is the historical basket free of survivorship bias?
Yes. Baskets are stored as published and never rewritten, so a name that later delisted, merged, or collapsed still appears in the months it was actually held. Nothing is removed from history for having gone on to perform badly.
Should I weight positions by momentum rank?
Rank is the ordering the rules produced, not a forecast of return, so it is a hypothesis to test rather than a weighting scheme to trust. The published study includes a forward-return-by-rank chart, which is the right place to start before tilting a book toward rank 1.
Available with Pro. Enterprise for teams.
New REST API and MCP access requires Pro or Enterprise. Public dashboard previews are separate from a subscription. Pro includes the available historical record, current updates, REST, MCP, dashboard exports, and every standard dataset as it launches. Explore the dashboard preview before subscribing; its existing limits still apply.
Dataset license: Alphanume Terms of Service. Personal or commercial use is subject to your subscription tier. Redistribution requires written consent.