The Russell-Parametric Cross-Sectional Volatility Indexes, CrossVol for short, measure the dispersion of stock returns within a market on a given day or month. Why is this important? Because the indexes indicate whether stocks are moving together or are diverging and provide a guide to investors on the level of alpha potential in a market.
For information on subscriptions to the Global, US, Developed, or Emerging Market CrossVol indexes, contact Russell Indexes.
The line chart on the left shows the cross-sectional volatility of stocks in the Russell Global Indexes through time. Various style and sector CrossVol indexes can be compared based on monthly returns, daily returns, or a smoothed 22-day average of the daily index.
The bar chart to the right shows a snapshot of the cross-sectional volatility of monthly returns for a particular month. Either sectors or styles can be displayed. CrossVol percentiles over the entire index history are shown for comparison.