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An Update on Global Cross-Sectional Volatility, May 2009

This Research Bulletin provides an update on the rise of global volatility. Average volatilities and correlations across time have risen significantly as global equity markets have experienced upheaval. But at the same time, volatilities across assets (cross-sectional volatility or “CSV”) have also increased, reflecting an expanded opportunity set for asset managers. Thus the ability of managers to differentiate themselves in terms of returns has actually increased even while average correlations between assets have increased.