Config.
Marché
Rapport
Unité

COT Russell 1000 Value

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

US equity indices · value style · CME

What is the Russell 1000 Value futures contract?

Russell 1000 Value

Satellite of Russell 2000

A long means…

Exposure to a rise in the Russell 1000 Value — US large-cap value names.

What is this?

Russell 1000 Value is the value sleeve of the 1,000 largest US companies. Weights follow float-adjusted market capitalization. Style is judged mainly on book-to-price, plus growth measures. It is not the Russell 2000, which tracks small-caps. The CME future is used to manage large-cap value exposure, or to hedge a portfolio of that style, without buying the stocks. At expiry there are no shares.

The same company can sit in both Value and Growth: the two indexes add back to the Russell 1000. Managers and funds take a listed style view here, with no delivery of shares.

Pitfalls

  • Not Russell 2000 (RTY, 239742): this is 239744, large-cap value.
  • Not consolidated S&P 500 (13874+).

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.