Cross-Asset Liquidity Strategist, CrossBorder Capital

Michael J. Howell

Cross-Asset Liquidity Strategist

Implementing Research Using Alt Data & AI

CrossBorder Capital

CrossBorder Capital is a London-based independent investment advisory firm. Founded in 1996, it exploits a gap in the investment arena by focusing on Central bank liquidity. 

It specialises in the monitoring and analysis of global liquidity flows - an important determinant of asset prices, from currencies through to bonds, equities and real estate.

CrossBorder Capital implements its investment strategy and currently manages over US$ 350m.


Cross Asset Strategy

<ul>
<li>The steepening US Treasury yield curve is consistent with a rising Global Liquidity cycle</li>
<li>Independent evidence shows that the Global Liquidity cycle bottomed in October 2022 at an index of 11.8 (range 0-100)</li>
<li>The next Global Liquidity cycle peak is unlikely before September 2025. The investment cycle is in a Rebound investment phase</li>
</ul>


The steepening US Treasury yield curve is consistent with a rising Global Liquidity cycle
Independent evidence shows that the Global Liquidity cycle bottomed in October 2022 at an index of 11.8 (range 0-100)
The next Global Liquidity cycle peak is unlikely before September 2025. The investment cycle is in a Rebound investment phase


Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The speed and magnitude of Kospi’s advance stand out versus all prior bull markets since 1996 with recent monthly gains ranking near the strongest ever.</li>
<li>Kospi price action is also extreme when looked at against other global markets.</li>
<li>Prior comparable extremes were followed by weaker performance in the subsequent months.</li>
</ul>


The speed and magnitude of Kospi’s advance stand out versus all prior bull markets since 1996 with recent monthly gains ranking near the strongest ever.
Kospi price action is also extreme when looked at against other global markets.
Prior comparable extremes were followed by weaker performance in the subsequent months.


Kospi200: Rally Enters Rare Territory With History Urging Caution

<ul>
<li>Ahead of Q4 earnings, we analyze implied volatility, earnings reactions, and seasonal patterns to assess how the options market is positioned.</li>
<li>Seasonal analysis highlights distinct fourth quarter behavior, including wider dispersion in post-earnings returns and larger absolute moves. </li>
<li>We find a pattern of continued momentum after very strong earnings day price moves. </li>
</ul>


Ahead of Q4 earnings, we analyze implied volatility, earnings reactions, and seasonal patterns to assess how the options market is positioned.
Seasonal analysis highlights distinct fourth quarter behavior, including wider dispersion in post-earnings returns and larger absolute moves. 
We find a pattern of continued momentum after very strong earnings day price moves. 


NVDA Q4 Earnings Setup: Historically Strong Q4 Moves and Soft Vol Pricing

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

Mazagon Dock Shipbuilders  / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/mazagon-dock-shipbuilders-ltd" target="_blank" data-smartkarma-citation="entities:27022:1" rel="noopener">Mazagon Dock Shipbuilders (MAZDOCKS IN)</a> has announced an Offer for Sale of 4.01% of the Government holding in the stock. That is INR 41bn (US$481m) at the last close.</li>
<li>The increase in float brings the stock very close to inclusion in a global index at the May rebalance. However, that is dependent on how the stock performs from here.</li>
<li>Inclusion in the index will bring around US$222m/ 2x ADV of passive inflows and could help support the stock.</li>
</ul>



Mazagon Dock Shipbuilders (MAZDOCKS IN) has announced an Offer for Sale of 4.01% of the Government holding in the stock. That is INR 41bn (US$481m) at the last close.
The increase in float brings the stock very close to inclusion in a global index at the May rebalance. However, that is dependent on how the stock performs from here.
Inclusion in the index will bring around US$222m/ 2x ADV of passive inflows and could help support the stock.


Mazagon Dock Shipbuilders (MAZDOCKS IN): OFS & Potential Global Index Inclusion

<ul>
<li>Monthly deep-dive into price and vol metrics across Global indexes and macro assets.</li>
<li>In-Depth look at the current state of the markets as well as how volatility and price may unfold.</li>
<li>We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.</li>
</ul>


Monthly deep-dive into price and vol metrics across Global indexes and macro assets.
In-Depth look at the current state of the markets as well as how volatility and price may unfold.
We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.


April Global Macro Volatility: Strong Price and Vol Seasonals

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

The Global Liquidity Cycle

This report looks at the origins, definitions and outlook for Global Liquidity. It is part primer and part prediction. The next peak in Global...

Michael J. Howell

Kospi200: Rally Enters Rare Territory With History Urging Caution

Kospi’s surge ranks among the most extreme advances in three decades, with historical precedents offering important context for positioning and...

John Ley

NVDA Q4 Earnings Setup: Historically Strong Q4 Moves and Soft Vol Pricing

NVDA heads into Q4 earnings with a history of outsized fourth quarter moves, while current implied volatility appears modest relative to past...

John Ley

Mazagon Dock Shipbuilders (MAZDOCKS IN): OFS & Potential Global Index Inclusion

The stock is up a lot from its lows following the placement. Global index inclusion in May is a possibility, though there is a risk given that...

Brian Freitas

April Global Macro Volatility: Strong Price and Vol Seasonals

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

The Global Liquidity Cycle

This report looks at the origins, definitions and outlook for Global Liquidity. It is part primer and part prediction. The next peak in Global...

Michael J. Howell

Kospi200: Rally Enters Rare Territory With History Urging Caution

Kospi’s surge ranks among the most extreme advances in three decades, with historical precedents offering important context for positioning and...

John Ley

NVDA Q4 Earnings Setup: Historically Strong Q4 Moves and Soft Vol Pricing

NVDA heads into Q4 earnings with a history of outsized fourth quarter moves, while current implied volatility appears modest relative to past...

John Ley

Mazagon Dock Shipbuilders (MAZDOCKS IN): OFS & Potential Global Index Inclusion

The stock is up a lot from its lows following the placement. Global index inclusion in May is a possibility, though there is a risk given that...

Brian Freitas

April Global Macro Volatility: Strong Price and Vol Seasonals

​Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...