Abc Arbitrage Sa · EURONEXT:ABCA

Abc Arbitrage Sa — H1 2018 Earnings Presentation

49 slides from Abc Arbitrage Sa's earnings presentation, September 2018

  1. Slide 1: Présentation groupe ABC arbitrage - comptes 30 juin 2018

    ASSET MANAGEMENT ABCARBITRAGE Présentation groupe ABC arbitrage Revue de graphiques Présentation - comptes 30 juin 2018

  2. Slide 2: Avertissement à l'attention du lecteur

    Avertissement a l’attention du lecteur Ce slideshow est un support de communication remis aux participants de la présentation de septembre 2018, commentée oralement par Dominique Ceolin, président-directeur général d’ABC arbitrage. Ces éléments d’information sont donnés a des fins d’illustration et

  3. Slide 3: H1 2018 income statement (IFRS)

    Dec. 31. 2017 June. 30. 2018 IFRS June. 30. 2017 IFRS IFRS In EUR million 6 month Change % 6 month 12 month Investment Services Fees (1) 7.0 5.9% 74 16.0 Net gains at fair value through profit or loss 11.6 -14.3% 13.5 22.5 Net revenues 18.6 21.0 38.5 Payroll costs -6.4 -15.9% -73 -13.8 Occupancy cos

  4. Slide 4: Pro-Format inversé - Base 2017 publiés

    Pro-Format “inversé” - Base 2017 publiés Dec. 31. 2017 In EUR million June, 30. 2018 IFRS Change % June, 30. 2017 IFRS IFRS 6 month 6 month 12 month Investment Services Fees (1) 86 -9.5% 95 16.0 Net gains at fair value through profit or loss 116 -14.3% 135 22.5 Net revenues 20,2 Net income attributa

  5. Slide 5: Evolution des indices (S&P vs CAC 40)

    Evolution des indices (S&P 500 vs CAC 40) Evolution des indices A0% 20% 0% 20% 01/07/2016 01/01/2017 01/07/2017 01/01/2018 01/07/2018 == CAC 40 index == S&P 500 index ABC arbitrage

  6. Slide 6: 2018 - Fondamentaux toujours sur des records

    2018 - Fondamentaux toujours sur des “records” ! Nn ( Price to Book ratio 8 . Wo Schiller Ratio ate source : www.multpl.com ABC arbitrage

  7. Slide 7: Expected Situation... Corporate Action, M&A, Volatility

    Expected Situation... Corporate Action M&A Volatility ABC arbitrage

  8. Slide 8: 2014-2018 Situation: Volatility

    2014-2018 Situation Volatility

  9. Slide 9: 2015/2016 YTD VIX et S&P index

    2015/2016 YTD VIX et S&P index 3000 2750 2500 2250 2000 1750 a 01/07/2015 01/01/2016 01/07/2016 01/01/2017 01/07/2017 01/01/2018 01/07/2018 ABC arbitrage

  10. Slide 10: Intraday Volat. (days) < 4%

    Intraday Volat. (days) < 4% Concentration on H2 2017 (80%) +Jan-18 0472017 07/2017 o1a018 Groupe ABC arbitrage 10

  11. Slide 11: 2012-2017 - New Volatility Era!

    2012-2017 - New Volatility Era! Before Central Banks Central Banks Era ied Source Bloomberg ABC arbitrage

  12. Slide 12: London Stock Exchange

    — London stock Exchange 500k 00x 2 8 % 250k 3 200k 2 2 e ¢ 3 g < 125k = 100K 5 : zenpeseeres — cunt aren § i + AWRAN 10K E rox ~~ H = wT 5k ” : 3 Gh.z10 —an.2012 cia on 2016 ar a0i8 Gz a2012 onze an20v6 aaa on,201 an,2013 on, 2015 9" gs, 2017 an.201 1.2013 on, 2015 9°" gy,2017 ABC arbitrage

  13. Slide 13: Strong decrease of significant Corporate Actions

    160 140 120 100 80 60 Strong decrease of significant Corporate Actions oi sce rao | since HY2 2015 HT 2013S2 2014S1 201482 2015S1 2015S2 2016S1 201682 2017S1 "201782 "201881 Groupe ABC arbitrage 13

  14. Slide 14: Evolution somme mensuelle des capi des offres FUSACQ

    Evolution somme mensuelle des capi en Md€ des offres FUSACQ existantes stables et amicales 1.200 000. 1.000 000. | 800 000. 600 Ono. 01/01/2004 01/01/2006 01/01/2008 01/01/2010 01/01/2012 01/01/2014 01/01/2016 01/01/2018 ABC arbitrage

  15. Slide 15: Nouveaux impacts géopolitiques

    | Nouveaux impacts géopolitiques MOFCOM Fa 35 BB Eroded 6ME in ABC Results* | Non audited internal estimations S er RUSSIA Groupe ABC arbitrage 15

  16. Slide 16: 1st Priority = Capital Protection

    1st Priority = Capital Protection => -3M€* 2nd Priority = Absolute Returns => risk <> 0 *non audited internal estimation iia ABC arbitrage —

  17. Slide 17: Gross Performances ABC arbitrage - From 2010 to 2018

    Gross Performances ABC arbitrage - From 2010 to 2018 = Cumulated annual return jj Semester return jj Annual return 24 consecutive years of strong positive results 00% 2018 Annualised ROE 11 % - Strong ROE since 1995 40% Annual return % 20% 600% 400% Cumulated annual return % 200% ox Year Groupe ABC

  18. Slide 18: Not here to be average

    "NOT HERE TO BE AVERAGE * HERE TO BE Groupe ABE arbitrage —N8

  19. Slide 19: Les ambitions Step Up 2019

    Les ambitions “Step Up 2019” 9OM€E cumulés sur 3 ans Finance Positive Devenir le leader de la performance “tout contexte” Groupe ABC arbitrage 19

  20. Slide 20: Profit m€

    Profit m€ La 60 4 $ 2 Ss ° -20 2012 = Delta (% variation gross/predictable gross) m Gross profit m€ m Predictable Gross profit m€ 2013 2014 2015 2016 2017 Groupe ABC arbitrage If correlation to volatility was the same as 2007-2012, the results would be... % variation gross/predictable gross 20

  21. Slide 21: ABC Group monthly returns

    ABC Group monthly returns Monthly return 8102/80/LO 8102/20/LO 8102/90/LO 8102/S0/LO 8102/70/LO 810Z/€0/LO 810Z/Z0/LO 8102/L0/LO LLOZ/ZL/LO LLOZ/LL/LO LLOZ/OL/LO £102/60/LO £102/80/LO L10Z/Z0/LO £102/90/LO L102/S0/LO L102/70/LO £102/€0/LO £102/Z0/LO Z102/L0/LO 9LOZ/ZL/LO 9LOZ/LL/LO 9LOZ/OL/LO 9102/6

  22. Slide 22: 2014-2018 - Added Value

    2014-2018 - “ADDED VALUE” -30 “support” +30 “R&D” eS Groupe : environ 90 collaborateurs 30-Jun-2018 22

  23. Slide 23: Average number of arbitrage in ABC's portfolio

    Average number of arbitrage in ABC’s portfolio Nombre moyen d'Opérations en cours 2.000 oe ABC arbitrage 4

  24. Slide 24: Montant des fonds propres

    Montant des fonds propres Evolution semestrielle (a compter du 01/01/2010) FP en ME vs. Date

  25. Slide 25: Shareholder's Equity Ratio

    Shareholder’s Equity Ratio GABC 01/01/2018 40% 01/07/2018 ABC arbitrage Margincall Consumption

  26. Slide 26: VaR ABC arbitrage Group day - 99%

    VaR ABC arbitrage Group 10 day - 99% 0 5,000,000 -10,000,000 \. -15,000,000 -20,000,000 01/01/2017 01/04/2017 01/07/2017 01/10/2017 01/01/2018 AR, Groupe ABC arbitrage 26

  27. Slide 27: Average Total AUM Fixx (in ABCA Fund Plc)

    Average Total AUM Fixx (in ABCA Fund Plc) 400 Average Total AUM WB AVERAGE of ABCA FI Average Total AUM Groupe ABC arbitrage 27

  28. Slide 28: Average AuM Externes

    Average AuM Externes vs Date 400 @ Average AuM Externes 300 200 Average AuM Externes 100 2012 2013 «2014 «= 2015) = 2016)S_ 2017 2018 Date Groupe ABC arbitrage

  29. Slide 29: Turn Over ME

    Turn Over ME Turnover outsourced clients a I Gross Turnover == % PAC 20 00 im 13 00 MM e 00 oh Cai Md 0.00 2uiz 213 zul4 zuis zui6 27 2018 7 en % PAC ® pekiss es . o s iS g 2 ¥ cat? Ces chiffres incluent les commissions de performances non encore acquises définitivement pour rendre les années compar

  30. Slide 30: ABCA Reversion monthly performances

    ASSET ABCA Reversion MANAGEMENT Monthly Performances (%) Z E mM Az M z FT Kz = o N D Total Don =0.42 2.36 0.64 =0.10 0.33 0.48 =0.60 0.02 3.02 2017 O16 o.55 0.34 0.15 0.38 =0.20 O51 O15 0.18 e190 -0.37 ost 0.63 2016 236 0.22 058 056 0.49 2.73 70.24 -0.32 0.44 =1.00 0.39 0.94 0.78 2015 0.46 0.20 124

  31. Slide 31: ABCA Opportunities monthly performances

    ABCA Opportunities MANAGEMENT Pat Monthly Performances (%) 7 : wm x wt 7 z x ra x na Coes cha pe fmlyeare Bas Fund vs indices Performances €1400 5 rs €1300 ia: bs e120 4 be e110 4 ba €1000 + Lo eo0o es00 | €700 -| —— ABCA Opportunities —— Msci wor to (PI) —— CS Liquid Alternative Beta index Groupe A

  32. Slide 32: Business Levels & Costs

    Costs are adjusted to take into account IFRS 10 - “Business Levels” are close to, but not equal to “Revenues” (audited accounts) Business Levels & Costs I Costs/Business Levels == Business Levels = ABC Costs 80.0 55.00% 50.00% Rising costs for financial industry(WSJ) Variable Costs = F(Profits) Thre

  33. Slide 33: Groupe ABC arbitrage

    Groupe ABC arbitrage 33

  34. Slide 34: Warning sign

    WARNING SIGN DEPRESSION YOU SHOULDN GNORE ANXIETY LACK OF RECKLESS RECURRING CONCENTRATION BEHAVIOR THOUGHTS OF & SHORT-TERM SUICIDE & DEATH Tor i O MEMORY LOSS Home BRemedies To explore more, visit www. Top|OHomeRemedies.com Groupe ABC arbitrage

  35. Slide 35: Organisation

    ORGANISATION Groupe ABC arbitrage 35

  36. Slide 36: Lien volatilité jours SP500 et gain brut ABCA

    Lien volatilité 20 jours SP500 et gain brut ABCA Mensuellement depuis janvier 2007 Lien Volat P&L } Z HI — jui-os 28 ae sie & z Lon 12 moie PRL GAs jolt pee ABC arbitrage

  37. Slide 37: Assets Under Management: hedge fund managers

    Assets Under Management: O Peak G@ Current Paul Tudor Jones Fir Tree Paulson Brevan Howard John Paulson Alan Howard 2011 $38B Pershing Square 2019 $408 Tudor Bill Ackman 2015 $18.3B 2008 $22B* $8.7B $8.3B $8B $7B Discovery Convexity Mason Capital Rob Citrone Jack Meyer Michael Martino/ Tricadia 2014

  38. Slide 38: Startups Plummet

    Startups Plummet With inflows stagnant, the number of new firms has plummeted. 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 pee Source: Preqin ABC arbitrage

  39. Slide 39: S&P Index ~ HFRI Fund Weighted Composite Index

    4 S&P 500 Index ~ HFRI Fund Weighted Composite Index Bloomberg Barclays US Aggregate Bond Index 300% 250 200 150 100 le lg | co |o -50 T T T T 2009 2012 2015 2018 ied Source: Bloomberg ABC arbitrage

  40. Slide 40: S&P Index / HFRI Fund Weighted Composite Index

    7 S&P 500 Index / HFRI Fund Weighted Composite Index Bloomberg Barclays US Aggregate Bond Index 1,000: 000% 800 600 400 200 0 T I T T T T 1990 1993 1996 1999 2002 2005 2008 Source: Bloomberg ABC arbitrage

  41. Slide 41: HF industry fees situation

    HF industry fees situation 74 Management fee / Incentive fee 1.60% 20% 1.55 19 1.50 18 1.45 1.40 17 T T T T T T T T T T T T 2008 2010 2012 2014 2016 2018 2008 2010 2012 2014 2016 2018 Source: HFR ABC arbitrage

  42. Slide 42: Cumulated annual return and annual return

    = Cumulated annualreturn {§ Annual return 600% ive years of s e results 60% ee § ae 400% 2 E 40% 3 } 3 E a oO 2 3 = 200% % < 20% 3 5 oO 0% 0% 2010 2011 2012 2013 2014 2015 2016 2017 2018* Year Groupe ABC arbitrage

  43. Slide 43: BlackBerry

    "== BlackBerry Groupe ABC arbitrage 43

  44. Slide 44: Strengthen our own recent developments

    Strengthen our own recent developments a Short Term Objectives Being able to maximize “Feb 18” months > / MidTerm Objectives TBC Pursuing diversification Products Geography & 4 Groupe ABC arbitrage 44

  45. Slide 45: Asset Management - Developing Management Fees

    Asset Management -Developing Management Fees AlBic a » Short Term Objectives +150/200ME Perf Nette>7% Capital Protection +5ME Profits Ww 4 a » Mid Term Objectives TBC +800ME Absolute Return & 4 Groupe ABC arbitrage 45

  46. Slide 46: Innovation...Infinite Universe!!

    INNOVATION...INFINITE UNIVERSE!! Groupe ABC arbitrage 46

  47. Slide 47: The pursuit of innovation

    The pursuit of innovation AlBic a » Short Term Objectives Crypto visibility Commodities Treasuries Volatility X 4 a X Mid Term Objectives TBC Options ETF 4 Groupe ABC arbitrage 47

  48. Slide 48: Strong motivation, strong conviction

    STRONG MOTIVATION STRONG CONVICTION 48

  49. Slide 49: Distributions and Share Buyback Program

    Distributions and Share Buyback Program 0,20€ [mena oe xp Date a November 27th = €€€ for 3ME coimetedy

ABC arbitrage — H1 2018 Earnings Presentation on 6ix