In the past few years, the return spread between successful and unsuccessful active managers has increased dramatically. We analyzed how levels of cross-sectional volatility correspond to active manager dispersion in the U.S. and other equity markets. We demonstrate that changes in the level of cross-sectional volatility have a significant association with the distribution of active manager returns. We further show that these observations are neither unique to U.S. equities nor merely a product of the “technology bubble”; they are observable in several equity markets.