Slide 1: Investor Presentation - March 2022: Back to the USSR
Investor Presentation - March 2022 Back to the USSR - Chronicle of a Volatility Foretold ABC arbitrage FY 2021 - Investor Presentation 1
Slide 2: Key topics of the presentation
ABC arbitrage Key topics of the presentation 1. What we do 2. How we do it 3. 2021 Market Parameters 4. 2021 Financial Results 5. 2022 Outlook 6. ABC 2022 - Vision and Strategy 7. ABC Shares & distributions ABC arbitrage FY 2021 - Investor Presentation 2
Slide 3: Who we are
ABC arbitrage Who we are Who we are ❏ One Business: Quantitative Asset Management. ❏ One Team: Enthusiastic technologists, building innovative trading systems and asset management strategies. ❏ One Trading Principle: Quantitative arbitrage on all kind of assets. ❏ One Conviction: Investing our own E
Slide 4: 1. What we do
ABC arbitrage 1. What we do ABC arbitrage FY 2021 - Investor Presentation 4
Slide 5: Our business: Trading Arbitrage
What we do Our business: Trading Arbitrage Arbitrage: Providing liquidity to the market with systematic mechanical or statistical hedging position ❑ Sophisticated trading techniques using scientific & data driven approach to generate alpha. ❑ Statistical and Event Driven strategies - focus on niche,
Slide 6: Assets under Management (AUM): two origins
What we do Assets under Management (AUM): two origins ABCA’s AuM ❑ Pre-2010: generated through trading of our own equity. ❑ Post-2010: opened to third party funds. Geographical breakdown ❑ Limited capacity strategies: via Managed Accounts. ❑ High Capacity strategies: via AIF (Alternative Investment
Slide 7: ABCA Products
What we do ABCA Products ABCA Reversion* ABCA Opportunities ❑ Short term, Reversion Fund futures strategy, ❑ Event-driven strategy using a systematic offering downside protection to equities approach with a defensive overlay ❑ Launched in May 2010 ❑ Launched in October 2015 Managed Accounts *market
Slide 8: ABCA Funds
What we do ABCA Funds Annualized Since 2010-05 Volatility Performance ABCA Reversion 2021 Perf. Reversion Net $ 6.5% 5.4% Class USD Net => -0.69% (31/12) 2020 - BarclayHedge Recognition award for excellence - EMN Winner SG SHORT-TERM 0.1% 5.2% TRADERS INDEX (USA) Barclayhedge CTA Index 1.7% 4.5% HFR
Slide 9: Development of AUM capacity
What we do Development of AUM capacity 2022 (eoy) Asset Under Management total capacity => 1,200M€ + Capacity of 450M€ in managed accounts ABC arbitrage FY 2021 - Investor Presentation 9
Slide 10: 2. How we do it
ABC arbitrage 2. How we do it ABC arbitrage FY 2021 - Investor Presentation 10
Slide 11: ABC Equity as a strong development tool
How we do it ABC Equity ABC Equity as a strong development tool ❏ High reactivity for seed money decision. ❏ High reactivity for market allocation. ❏ Independent from ext. client situation ❏ Accumulation from ABC results (10K€ in 1995) ABC arbitrage FY 2021 - Investor Presentation 11
Slide 12: Dedicated Team for our core business
How we do it Dedicated Team for our core business Almost 100 people dedicated to ABC arbitrage Business ~70% - R&D + Front ~10% - Risk Management ~10% - Sales ❏ Quant Traders & Research ❏ Risk Control ❏ IT developers & IS ❏ Marketing ❏ Process Control ❏ Data analysis ❏ Investor Relations ❏ Risk Comm
Slide 13: Proven expertise, technological know how
How we do it Proven expertise, technological know how Robust internally-developed 24/7 trading systems ❏ Billions of data elements processed each year ❏ Active in almost 100 markets across the world - 24/7 ❏ Not a High Frequency Trading player but Top Tier 2 + 2bn ticks* + 300 millions + 10m Orders
Slide 14: Tested and proven Risk Management Process
How we do it Tested and proven Risk Management Process Since creation, 27 consecutive years More than 80% positive days with ROE > 10% VIX<<20% Adaptation when VIX >> 20% ❑ 4 people dedicated to risk control + 3 people process control ❑ Real Time monitoring of markets parameters ❑ Top management inv
Slide 15: Focus on risk mitigation
How we do it Focus on risk mitigation Risk Mitigation Process Strict Quality Control ❑ External incident* in Dec 2020 concerning 2016 to 2019. ❑ Compound of “every” possible risk even “opposite” risks ❑ Excluding this incident*: 2020 ratio = 0.35% ❑ No significant increase in the risk budget over ti
Slide 16: 3. 2021 Market Parameters
ABC arbitrage 3. 2021 Market Parameters ABC arbitrage FY 2021 - Investor Presentation 16
Slide 17: Markets parameters: Volatility
Markets parameters Volatility - 2 years 2021- VIX strong decrease under Central Banks and governments program ❑ Average VIX over 30 years is around 20% ❑ “No life zone” is a Vix < 15% (2017 & 2019 for example) Historical VIX since 01/2020 + Main Events ABC arbitrage FY 2021 - Investor Presentation 1
Slide 18: Markets parameters: Traded markets Volume
Markets parameters Traded markets Volume Traded markets volume normalization Under average volume of modern financial era ABC arbitrage FY 2021 - Investor Presentation 18
Slide 19: Markets parameters: M&A and Corporate Action activity
Markets parameters M&A and Corporate Action activity Monthly existing M&A announced offers Corporate actions opportunities Higher level than in 2016 Divided by 3 since 2014 - Divided by 1.5 since 2018 Coherent with negative rates & Helicopter money V-Shaped 2020/21 ABC arbitrage FY 2021 - Investor P
Slide 20: 4. 2021 Financial Results
ABC arbitrage 4. 2021 Financial Results ABC arbitrage FY 2021 - Investor Presentation 20
Slide 21: 2021 ABC Results Profit & Loss account
2021 ABC Results Profit & Loss account Change 2021 Pro Change In Euro millions - IFRS 2019 2020 2021 2021/2021 Pro Useful comment forma 2021/2020 forma Investment Services Fees* 14.4 22.5 59.9 25.3 166.3% 12.4% Impact of the change in the transfer pricing Net gains at fair value through profit or lo
Slide 22: 2021 ABC Results HR Costs Breakdown
2021 ABC Results HR Costs Breakdown ABC Team = ABC first priority = ABC first expense ❑ Base cost increase = partial adaptation to HR market + new R&D people. ❑ Strong correlation between Variable and ABC arbitrage performance. ❑ Targeted Equity Incentives on a long term basis. 2022 estimated = Team
Slide 23: Other expenses: mainly IT expenses
2021 ABC Results Other expenses : mainly IT expenses ABC arbitrage is a “French Tech” Company ! Documentation + Terminals + Data Market Data + simulation Providers Hardware + Hosting + Connectivity ABC arbitrage FY 2021 - Investor Presentation 23
Slide 24: Split of revenues between equity and third party AuM
2021 ABC Results Split of revenues between equity and third party AuM Revenue from third party capital is in a 10% - 20% range ABC 2022 ambitions ➔ substantially increase third party revenue ABC arbitrage FY 2021 - Investor Presentation 24
Slide 25: Historical Results & ROE
2021 ABC Results ABC arbitrage Historical Results & ROE From creation (1995) 27 consecutive years of strong positive results ABC arbitrage FY 2021 - Investor Presentation 25
Slide 26: 5. 2022 Outlook
ABC arbitrage 5. 2022 Outlook ABC arbitrage FY 2021 - Investor Presentation 26
Slide 27: 2022 Outlook: Markets Situation
2022 Outlook Markets Situation 2020 should be the end of a 100 year record after more than 10 years of “easy return”... ...but it is not ! ABC arbitrage FY 2021 - Investor Presentation 27
Slide 28: Shares Valuation
2022 Outlook Shares Valuation PE ratio - Among the highest Historical average = 16 Shiller ratio - Among the highest Historical average = 15 ABC arbitrage FY 2021 - Investor Presentation 28
Slide 29: Central banks Balance sheets
2022 Outlook Central banks Balance sheets Central Banks Balance Sheets FED = almost +115% ECB = almost +85% ABC arbitrage FY 2021 - Investor Presentation 29
Slide 30: Inflation is back!
2022 Outlook Inflation is back ! Back to the 80’s ?? ABC arbitrage FY 2021 - Investor Presentation 30
Slide 31: War Situation
2022 Outlook War Situation ABC arbitrage FY 2021 - Investor Presentation 31
Slide 32: What to expect??
2022 Outlook What to expect ?? 2022 Ukraine Crisis vs 2014 Crimean War ❏ 2014 SP500 @ 03/02/2014 was on a PER of 16.4 ❏ 2022 SP500 @ 18/03/2022 is on a PER of 21.5 => SP500 should have new DD of almost 24% to reach the 2014 markets level ABC arbitrage FY 2021 - Investor Presentation 32
Slide 33: Volatility & VVIX
2022 Outlook Volatility & VVIX Central Bank Paradigm - Brutal Volatility change ABC arbitrage FY 2021 - Investor Presentation 33
Slide 34: A new world of entropy
2022 Outlook Volatility & VVIX A new world of entropy ABC arbitrage has the necessary resources to perform in these environments ! Global Debts Level Assets Bubble ABC arbitrage FY 2021 - Investor Presentation 34
Slide 35: 6. ABC 2022 - Vision and Strategy
ABC arbitrage 6. ABC 2022 - Vision and Strategy ABC arbitrage FY 2021 - Investor Presentation 35
Slide 36: ABC 2022 Corner Stones
ABC 2022 ABC 2022 - Corner Stones Group Structure - Governance Core Business Asset Management Strategy Human Capital Brand Strategy 36 ABC arbitrage FY 2021 - Investor Presentation 36
Slide 37: ABC arbitrage Group structure
ABC 2022 ABC arbitrage Group structure ABC arbitrage FY 2021 - Investor Presentation
Slide 38: Asset Management - New executive team
ABC 2022 Governance - Group Organisation Evolution ABC arbitrage Asset Management - New executive team Developing Dominique Ceolin : Chairman of ABAM’s Board David Hoey :ABAM’s Board member more projects simultaneously New Executive Team Developing More than 60 accumulated years of ABC experience a
Slide 39: Core business
ABC 2022 Core business Increasing ❏ ❏ New assets like crypto, ETF Developing Como. & Treasuries Gross Profits strongly ❏ Improving our histo. know-how Facing ❏ ❏ Mutualisation Different assets & strategy Very low vol. paradigm ❏ Developing client turnover Developing ❏ Tailor made products ❏ “Out of
Slide 40: New Assets - New Strategies - New products for clients
ABC 2022 New business New Assets - New Strategies - New products for clients Crypto. Volumes > 300 bn$ / month vs Equity trading Volumes > 30,000 bn$ / month Looking for volatility Annualized volat >50% Crypto Business - Next ABCA fund ABC arbitrage FY 2021 - Investor Presentation 40
Slide 41: Asset Under Management - Business Plan
ABC 2022 Asset Under Management - Business Plan vs ambition of 670M€ 2021 eoy Targeting a net return of 2% vs ambition of 6M€ eoy 2021 ABC arbitrage FY 2021 - Investor Presentation
Slide 42: Human capital
ABC 2022 Human capital Under pressure finding people ➜75% of our needs in 2021 fulfilled Remuneration under pressure As of 2020-Progressive cost increase above a result of 22M € 42 ABC arbitrage FY 2021 - Investor Presentation
Slide 43: 2022 - Continuing R&D recruitment
ABC 2022 Human capital 2022 - Continuing R&D recruitment Total package/year 25.9 20.6 18.8 19.8 13.8 13.2 12.0 Estimated with a 22M€ result *included exit + gross recruitments ABC arbitrage FY 2021 - Investor Presentation 43
Slide 44: ABC 2022 Ambitions
Strategy ABC 2022 Ambitions Average ROE > 15% PER > 15 Dividend yield > 6% Cumulative 3 year P&L ~ €90m Over €1bn under management ABC arbitrage FY 2021 - Investor Presentation 44
Slide 45: 7. Shares & Distributions
ABC arbitrage 7. Shares & Distributions ABC arbitrage FY 2021 - Investor Presentation 45
Slide 46: Shareholders breakdown
Shares & dividends Shareholders breakdown 21% owned by Executive Top management => Alignment of interests between Shareholders and Management Team * Holding company 50,01% held by Dominique Ceolin ** Management and independent non-executive directors excluding Dominique Ceolin and David Hoey Number
Slide 47: Historical share prices
Shares & dividends Historical share prices ABCA share price with reinvested dividends and CAC mid / small GR base 100 = January 4th 2016 Compound Average Gross Rate (CAGR) = +12.2% / year over 6 years Invested value x2 over 6 years ABC arbitrage FY 2021 - Investor Presentation 47
Slide 48: Distribution & Share Buyback Program
Shares & dividends Distribution & Share Buyback Program FY2021 distribution = €0.40 ❏ €0.10 – Ex date 12 October 2021. ❏ €0.10 – Ex date 7 December 2021. ❏ €0.10 – Ex date 20 April 2022. ❏ €0.10 - Ex date July 2022 - 2021 final dividend* *: if approved by the AGM Buyback program ❏ €4m authorization
Slide 49: Disclaimer
ABC arbitrage Disclaimer This slideshow is a communication support for the investor presentation on FY 2021. This document includes some forward-looking statements as statements regarding ABC arbitrage business operations. Although ABC arbitrage believes its expectations are based on reasonable assu
Slide 50: Q&A
Comité Stratégique CONFIDENTIEL Q&A ABC arbitrage FY 2021 - Investor Presentation