What is the difference between Datastream series 'Russell 2000' and 'Russell 2000 EOD'?
The Russell 2000 index is a stock market index comprised of 2000 small-capitalisation companies (Investopedia). Some of the Russell indices are real-time traded end-of-day values, which were started calculated on Bridge systems (a Refinitiv internal product) for Russell; however, now they are calculated by other vendors. Some other series are calculated at the end-of-day by Russell.
- FRUSS2L "RUSSELL 2000 (EOD)" is calculated at the end-of-day historical values (not the intraday ticker values) using primary closing prices by Russell. This series has Return Index RI data available.
- FRUSSL2 "RUSSELL 2000" is calculated real-time on behalf of Russell indices, and they are utilized for derivative trading, media reporting and exchange traded funds. This series only contains the Price Index values (PI, PO, PH & PL)
As both indices are started at with different base values and different start dates, values are very different.
(Thanks to Refinitiv for providing this answer.)
Note, we do not have permission to access the constituent lists for Russell indices on Datastream. Please use Bloomberg instead, with a command such as RTY Index MEMB <GO> to get the membership of the Russell 2000 index. You may wish to add 'ISIN Number' as an additional column, then export to Excel.