The Russell US Futures Tracker TWAP Index

The Russell US Futures Tracker TWAP Index is designed to reflect the performance of a strategy predominately focused on the Russell 2000 futures contract and calculated at the end of each trading day using time weighted average pricing (TWAP) of the future contract prior to its close.

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  1. Overview
  2. Key resources
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The Russell US Futures Index is designed to reflect the performance of a strategy predominately focused on the first nearby Russell 2000 futures contract and calculated at the end of the day using an average price (TWAP) of the future contract snapped during a window of 3:30-3:40 PM ET.

The underlying Russell 2000 Index is one of the flagship indices for small cap exposure in the US market and one of FTSE Russell's most widely used products. The index perfectly complements the Russell 1000 - with no gaps or overlaps - to give a complete view of the US equity market.

Useful link

Key resources

Index announcements

Stay up-to-date and read the latest index change notices and announcements.

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