Abc Arbitrage Sa · EURONEXT:ABCA
Abc Arbitrage Sa — FY2017 Earnings Presentation
62 slides from Abc Arbitrage Sa's earnings presentation, Mar 27, 2018
Slide 1: Présentation SFAF - Comptes annuels 2017
Groupe ABC arbitrage Présentation SFAF - Comptes annuels 2017 Retour vers le futur des marchés ABC arbitrage 1
Slide 2: Avertissement
AVERTISSEMENT Ce slideshow est un support de communication remis aux participants de la présentation SFAF du 27 mars 2018 et publié sur le site www.abc-arbitrage.com. Ces éléments d’information sont donnés à des fins d’illustration et ne sauraient se substituer aux documents officiels relatifs à l’a
Slide 3: ABC arbitrage - Consolidated Net Profits
ABC arbitrage - Consolidated Net Profits Dec. 31, 2017 Dec. 31, 2016 In EUR million Change IFRS IFRS Investment Services Fees 16.0 17.5 -8,52% Net gains at fair value through profit or loss 22.5 35.9 -37,24% Net revenues* 38.5 53.3 -27,85% Payroll costs (13.8) (16.2) -14,90% Occupancy costs (1.6) (1
Slide 4: Évolution des indices (S&P 500 vs CAC 40)
Évolution des indices (S&P 500 vs CAC 40) ➢ 9 ans de hausse... ➢ 2nd + long cycle haussier (vs 1987-2000) ➢ > 200% sur 9 ans ➢ 2e perf. depuis 100 ans source: les Cahiers Verts de l’économie ABC arbitrage
Slide 5: 2017 - Indicateurs fondamentaux sur des records
2017 - Indicateurs fondamentaux sur des “records” ! PER Price to Book ratio Schiller Ratio http://www.multpl.com/ ABC arbitrage
Slide 6: VIX (from 2008)
VIX (from 2008) ABC arbitrage
Slide 7: 2012/2017: Central Banks Era
2012/2017: Central Banks Era 2012-2017 Central Banks Era Before Central Banks ABC arbitrage
Slide 8: 2012-2017 - New Volatility Era!
2012-2017 - New Volatility Era ! Before Central Banks Central Banks Era Source Bloomberg ABC arbitrage
Slide 9: VIX from 07/2016
VIX from 07/2016 ABC arbitrage
Slide 10: Intraday Volatility 2017
Intraday Volatility 2017 From 1982, 58 days < 4% 1 day in 2016 and 57 days in 2017 Min. @ 2.8% on 18-Oct-2017 Groupe ABC arbitrage 10
Slide 11: H2 Statistically < H1
These figures are not strictly audited H2 does not exist from an accounting point of view H2 Statiscally < H1 H2 2017 Decrease is coherent Groupe ABC arbitrage 11
Slide 12: Intraday Volat. (days) < 4% Concentration on H2 2017
Intraday Volat. (days) < 4% Concentration on H2 2017 Groupe ABC arbitrage 12
Slide 13: M&A (in billions € - Monthly total)
M&A (in billions € - Monthly total) -55% (Low-High)/High -35% HY1 2017 vs HY2 2017 Q3+Q4 ABC arbitrage
Slide 14: Strong decrease of significant Corporate Actions
Strong decrease of significant Corporate Actions -50% since HY2 2015 Groupe ABC arbitrage 14
Slide 15: Expected Situation...
Expected Situation... Corporate Action M&A Volatility Volumes ABC arbitrage
Slide 16: 2017 Situation
2017 Situation Corporate Action Volatility M&A Volumes 2017 ABC arbitrage
Slide 17: If correlation to volatility was the same as 2007-2012
If correlation to volatility was the same as 2007-2012, the results would be... Strong progression for ABC results (pari passu) +40% realised vs predictable Groupe ABC arbitrage 17
Slide 18: Correlation between VIX and Group Traded Volumes
Correlation between VIX and Group Traded Volumes Volumes ABC à Volat ABC arbitrage
Slide 19: Decomposition by assets and type of clients
Decomposition by assets and type of clients Increase of Client volumes Increase of “rates strategies” volumes ABC arbitrage
Slide 20: ABCG monthly returns
ABCG monthly returns Capital protection 100% positive months Almost 80% positive trading days on 2017 (below average) ABC arbitrage
Slide 21: Correlation between volatility (20d) SP500 and P&L ABC
Correlation between volatility (20d) SP500 and P&L ABC From 2007 Still a very strong correlation ! ABC arbitrage
Slide 22: UHFT Players - Winter is coming?
UHFT Players - Winter is coming ? -72% HY 2017/16 -50% HY 2017/16 -79% FY 2017/16 -57% FY 2017/16 Groupe ABC arbitrage 22
Slide 23: 2009-2016 - HFT Industry Revenues
2009-2016 - HFT Industry Revenues Groupe ABC arbitrage 23
Slide 24: ABC arbitrage - Consolidated Net Profits Payroll costs
ABC arbitrage - Consolidated Net Profits Dec. 31, 2017 Dec. 31, 2016 In EUR million Change IFRS IFRS 60% salaires fixes Investment Services Fees(1) 16.0 17.5 -8,52% 30% Bonus Net gains at fair value through profit or loss 22.5 35.9 -37,24% 10% produits K Net revenues* 38.5 53.3 -27,85% Payroll costs
Slide 25: Group: about 90 employees
2014-2017 -30 “support” +30 “R&D” Groupe : environ 90 collaborateurs 31-dec-2017 ABC arbitrage 25
Slide 26: Costs are adjusted to take into account IFRS 10
Costs are adjusted to take into account IFRS 10 - “Business Levels” are close to, but not equal to “Revenues” (audited accounts) Groupe ABC arbitrage 26
Slide 27: 2016-2017 vs LT average (1950)
2016-2017 vs LT average (1950) source: FIDELITY - for EM Equity vs LT average (1988) ABC arbitrage
Slide 28: 23 consecutive years of positive result
23 consecutive years of positive result Groupe ABC arbitrage 28
Slide 29: 2018 = New paradigm?
2018 = New paradigm ? source : Banque Mondiale Groupe ABC arbitrage 29
Slide 30: Évolution du VIX depuis 01/2012
Évolution du VIX depuis 01/2012 En parallèle événements “NO LIFE” Zone ABC arbitrage
Slide 31: Volatility of volatility
Volatility of volatility 5-FEB-17 All Time High 180 ABC arbitrage
Slide 32: New products, old problems!
New products, old problems ! https://www.linkedin.com/pulse/lann%25C3%25A9e-2017-de-gordon-gekko-dominique-ceolin/ source : Banque Mondiale Groupe ABC arbitrage 32
Slide 33: 2017-2018 - Quant indexes
2017-2018 - Quant indexes Difficult Transition for most market actors! source : HFRi Groupe ABC arbitrage 33
Slide 34: Groupe ABC arbitrage
source : Banque Mondiale Groupe ABC arbitrage 34
Slide 35: 2018 - End of free lunch?
2018 - End of free lunch ? source : Banque Mondiale Groupe ABC arbitrage 35
Slide 36: ...Not yet for ECB...
...Not yet for ECB... Groupe ABC arbitrage 36
Slide 37: Groupe ABC arbitrage
source : Banque Mondiale Groupe ABC arbitrage 37
Slide 38: With a total debt of 180 Trillion...
With a total debt of 180 Trillion... If interest rates rise 0.25%... If interest rates rise 0.75%... Debt interests Debt interests +450 billion/year +1350 billion/year source : Banque Mondiale Groupe ABC arbitrage 38
Slide 39: With a total debt of 50 Billion €/$...
With a total debt of 50 Billion €/$... If interest rates rise 0.25%... If interest rates rise 0.75%... Debt interests Debt Interests +125 Million/year +375 Million/year +16% vs EBITDA T4 source : Banque Mondiale Groupe ABC arbitrage 39
Slide 40: Back to living markets!
Back to living markets! ...if Central Banks... source : Banque Mondiale Groupe ABC arbitrage 40
Slide 41: Central Banks Balance Sheets
Central Banks Balance Sheets (Taille des bilans cumulés des principales banques centrales est d'environ 16.000 milliards de dollars en 2018. Source : Lazard Frères Gestion, Bloomberg) source : Banque Mondiale Groupe ABC arbitrage 41
Slide 42: ABC arbitrage Et maintenant ??
ABC arbitrage Et maintenant ?? Groupe ABC arbitrage 42
Slide 43: Montant des fonds propres
Montant des fonds propres Evolution semestrielle (à compter du 01/01/2010) Conforme aux décisions 2016-Step Up 2019 ABC arbitrage
Slide 44: Shareholder's Equity Ratio
Shareholder’s Equity Ratio Compliant with Step Up 2019 TODAY ABC arbitrage
Slide 45: VaR ABC arbitrage Group 10 day - 99%
VaR ABC arbitrage Group 10 day - 99% Portfolio Risk 2017 vs 2015 Increase of almost 15% Groupe ABC arbitrage 45
Slide 46: ABCA Reversion fund
mm Fund Objectives ABCA Reversion Monthly Performances (%) “The investment objective of the Sub-fund is to produce levels of return that are largely independent of stock market movements. The Sub-fund’s overall investment strategy will be “statistical arbitrage” employing a systematic market neutral
Slide 47: ABCA Opportunities fund
Mm Fund Objectives ABCA Opportunities Hs Monthly Performances (%) “The investment objective of the Sub-fund is to produce levels of return that are largely independent of stock market movements. The Sub-fund’s overall investment strategy is largely “arbitrage” based and pursues a multi-strategy appr
Slide 48: (in ABCA Fund Plc)
(in ABCA Fund Plc) Groupe ABC arbitrage 48
Slide 49: ABC Group investments in ABCA Fund Plc
ABC Group investments in ABCA Fund Plc ABC Group one of the main clients Groupe ABC arbitrage 49
Slide 50: 290M€ in our funds / 214M€ External investors
1-Mar-2018 290M€ in our funds / 214M€ External investors Groupe ABC arbitrage 50
Slide 51: External Client Revenues (Funds Only)
External Client Revenues (Funds Only) Groupe ABC arbitrage 51
Slide 52: External client revenues (Funds only): Capacity Problem
(Funds only) below ambitions… ...Capacity Problem Gross Revenues Net Revenues 52 Groupe ABC arbitrage
Slide 53: Return on AUM for ABCA Fund Plc
Return on AUM for ABCA Fund Plc below ambitions… ...Performance problem Groupe ABC arbitrage 53
Slide 54: Potential total AUM depend on Performances and Market Capacity
Potential total AUM depend on Performances and Market Capacity (Step Up 2019 Targets) Depend on markets OK! conditions ! Groupe ABC arbitrage 54
Slide 55: Low Volatility Strategies
Low Volatility Strategies Gross Revenue 2017 realized are below ambitions… ...mainly because of very low vol. Innovation is still our target! = Step Up 2019 WARNING : These figures are internal indicators and have not been audited Groupe ABC arbitrage 55
Slide 56: Q1 2018 - Living Markets = Living Results!
Q1 2018 - Living Markets = Living Results ! Low volat. for 1 week = 2 months January 18 5th to 9th of Feb. Q1 2018 ABC = ⇶ almost 85% Q1 2017 ABC of Oct+Nov 2017 ABC arbitrage 56
Slide 57: Distributions and Share Buyback Program
Distributions and Share Buyback Program ∑BPA/EPS 2016+2017 0,85€ 0,40€ Distributions (0,20€ nov. 2017) POR 2016+2017 = 100% €€€ for 3M€ Buyback 2017 ABC Shares (almost 440KT - Average Price 6.54€) (au service des programmes capitalistiques) ABC arbitrage 5
Slide 58: Limiter la dilution au service du BNPA
Limiter la dilution au service du BNPA Dividende € et/ou ABC Paiement en ABC Programme de rachat “€ vs ABC” Selon autorisations AG et PER, programme de rachat 2018 sur 6M€ (environ 1MT) Groupe ABC arbitrage 58
Slide 59: ABC arbitrage management changes
ABC arbitrage David HOEY ➢ Joined ABC arbitrage in 1996 ➢ Becomes Deputy CEO of ABC arbitrage AM ➢ Becomes Deputy CEO of ABC arbitrage Gaëtan FOURNIER ➢ Joined ABC arbitrage AM in 2012 ➢ Becomes Compliance Officer / RCCI of ABC arbitrage AM ABC arbitrage 59
Slide 60: ABC arbitrage AM
ABC arbitrage AM Alexandre OSPITAL Joined ABC arbitrage in 1999 Becomes COO of ABC arbitrage AM Yves-Oleg ZAJTELBACH Joined ABC arbitrage in 1999 Becomes Head of Trading of ABC arbitrage AM Franck BONNEAU Joined ABC arbitrage in 1999 Becomes CTO of ABC arbitrage AM Vincent GIGOT Joined ABC arbitrage
Slide 61: Winter is not over but ambitions are still there
Winter is not over but ambitions are still there… ...and still reasonable ! Groupe ABC arbitrage 61
Slide 62: Q&A
Q&A Groupe ABC arbitrage 62