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Active management feasts on first-quarter volatility

The Chicago Board Options Exchange Volatility index increased 80.9% during the first quarter, its largest upswing in the past 20 quarters and third-largest in the past 40 quarters.

Active managers took advantage of the chaos, adding an average 65 basis points over their respective benchmarks. Megacap equity managers led the market-cap segments and added on average 105 basis points over their benchmarks. Relative to similar spikes in volatility, the first quarter was unique in that managers across all market-cap classifications added positive value over their benchmarks. Small-cap and megacap managers were the most consistent during quarters with heightened volatility.