Abc Arbitrage Sa · EURONEXT:ABCA
Abc Arbitrage Sa — Investor Presentation (June 2024)
36 slides from Abc Arbitrage Sa's investor presentation, Jun 3, 2024
Slide 1: WEBINAR - June 2024
WEBINAR - June 2024 ABC arbitrage - Positive Finance! ABC arbitrage - Webinar June 2024 1
Slide 2: Who we are
ABC arbitrage Who we are Who we are ❏ One Business: Quantitative Asset Management. ❏ One Trading Principle: Quantitative arbitrage on all kinds of assets. ❏ One Team: Enthusiastic technologists, building innovative trading strategies. ❏ One Conviction: Investing our own Equity in our strategies. ❏ O
Slide 3: Key topics of the presentation
ABC arbitrage Key topics of the presentation 1. What we do 2. How we do it 3. 2023 Market Parameters 4. ABCA - Financial Results 5. ABC Shares & distributions 6. Outlook for the 2024 markets 7. Springboard 2025 plan - Decisions for 2024 ABC arbitrage - Webinar June 2024 3
Slide 4: 1. What we do
ABC arbitrage 1. What we do ABC arbitrage - Webinar June 2024 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: 2. How we do it
ABC arbitrage 2. How we do it ABC arbitrage - Webinar June 2024 6
Slide 7: ABC arbitrage Group structure
ABC 2022 ABC arbitrage Group structure ABC arbitrage - Webinar June 2024
Slide 8: ABC Equity as a strong development tool
How we do it ABC Equity Situation ABC Equity as a strong development tool ❏ (almost) Exclusively through accumulation of ABC results (8K€ in 1995!) ❏ High reactivity for seed money decision. ❏ High reactivity for market allocation. ❏ Independent from ext. client situation. ABC arbitrage - Webinar Ju
Slide 9: 110+ people dedicated to ABC arbitrage Business
How we do it Dedicated Team for our core business 110+ 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 Committee
Slide 10: Tech company!
How we do it Proven expertise, technological know how Tech company! Robust internally-developed 24/7 trading systems* ❏ Hundred of 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*
Slide 11: Focus on risk mitigation
How we do it Focus on risk mitigation Risk Mitigation Process ➔ An average of more than 80% winning days (Hit Ratio)! Strict Quality Control ➔ The 2023 risk budget was based on the PPMAX ratio with a limit Industrial processes of 40% of ABCA Equity ➔ The 2024 risk limit will evolve towards a new lim
Slide 12: 3. 2023 Market Parameters
ABC arbitrage 3. 2023 Market Parameters ABC arbitrage - Webinar June 2024 12
Slide 13: Markets parameters Volatility - From 2019 to 2024
Markets parameters Volatility - From 2019 to 2024 2023 - Surprising drop in volatility despite refinancing risks and geopolitical situation ❑ Average VIX over 30 years is around 20% ❑ “No life zone” is a Vix < 15% (2017 & 2019 for example) ❑ Realized volatility @13% (US vs 12.5% on 2019) & 14% (EU v
Slide 14: Markets parameters M&A and Corporate Action activity
Markets parameters M&A and Corporate Action activity Monthly existing M&A announced offers(B€) Corporate actions opportunities 30% reduction vs. 2022 (listed target) Divided by 3 since 2014 - Divided by 1.5 since 2018 Explanation 2023 ----> Valuation gap ?! Coherent with negative rates & QE Too soon
Slide 15: Markets parameters Traded markets Volume
Markets parameters Traded markets Volume 2023 vs 2022 - 15% decrease of traded market volume (Europe). (source Bloomberg) ABC arbitrage - Webinar June 2024 15
Slide 16: 4. ABCA Financial Results
ABC arbitrage 4. ABCA Financial Results ABC arbitrage - Webinar June 2024 16
Slide 17: Historical Results & ROE - 29 consecutive years of positive results
2023 ABC Results ABC arbitrage Historical Results & ROE - a success! From creation (1995) 29 consecutive years of strong positive results ABC arbitrage - Webinar June 2024 17
Slide 18: Split of revenues between equity and third party AuM
2023 ABC Results Split of revenues between equity and third party AuM Revenues from external third party = 2.9M€ / 7.4% of Net Revenue. (Revenue from third party capital is historically in the 5%-20% range) ABC arbitrage - Webinar June 2024 18
Slide 19: External Third Party (ETP) - Assets under Management under pressure
2023 ABC Results External Third Party (ETP) - Assets under Management under pressure. 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:
Slide 20: HR Costs Breakdown
2023 ABC Results HR Costs Breakdown ABC Team = ABC first priority = ABC first expense Total of 14.6M€* ❑ Base cost increase = partial adaptation to HR market + new R&D people. ❑ Strong correlation between Bonuses and ABC arbitrage performance. *: Average number of staff employed = 102 + 4 service pr
Slide 21: Other expenses: mainly IT expenses
2023 ABC Results Other expenses : mainly IT expenses ABC arbitrage is a “French Tech” Company ! IT Costs ~ 70% of the “other costs”. ABC 2022 +13% vs Step Up 2019 ABC arbitrage - Webinar June 2024 21
Slide 22: 5. Shares & Distributions
ABC arbitrage 5. Shares & Distributions ABC arbitrage - Webinar June 2024 22
Slide 23: Shares & dividends Shareholders breakdown
Shares & dividends Shareholders breakdown 20% 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 24: Shares & dividends 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) = +5.1% / year over 8 years. (From 12%, decrease due to a recent share price decrease) The fall in the share price in February 2
Slide 25: Distribution & Share Buyback Program
Shares & dividends Distribution & Share Buyback Program FY2023 distribution = €0.30 ❏ €0.10 – Ex date 10 October 2023. A yield of ~ 7% based on a distribution of 0.30€ ❏ €0.10 – Ex date 5 December 2023. and a share price ~ 4.2€ + Volatility Call ! ❏ €0.10 – Ex date 23 April 2024. ❏ No 2023 final div
Slide 26: 6. Outlook for the 2024 markets
ABC arbitrage 6. Outlook for the 2024 markets Anatomy of a fall ? ABC arbitrage - Webinar June 2024 26
Slide 27: 2024-2025 Outlook Equity markets
2024-2025 Outlook Equity markets …and others… incredible investor optimism over the last 12 months! SP500 +25% et Euro Stoxx 600 +13% ABC arbitrage - Webinar June 2024 27
Slide 28: Shares Valuation…what is the next move?
2024-2025 Outlook Shares Valuation…what is the next move ?! PE ratio~28 Among the highest! Historical average = 16 Substantial probability of a new paradigm of normalized volatility. Shiller ratio~35 Among the highest! Historical average = 15 ABC arbitrage - Webinar June 2024 28
Slide 29: Global Debt situation in a new rates paradigm
2024-2025 Outlook Global Debt situation in a new rates paradigm. An economic world with contradictory pressures! Total debt amount Between 250T$-300T$ Thanks to “0% rate policy! ABC arbitrage - Webinar June 2024 29
Slide 30: Global Debt situation vs Back to inflation world
2024-2025 Outlook Global Debt situation vs Back to inflation world! the wall of debt in the face of current inflation incompatible with a return to negative interest rates! Source = S&P Global - Research and Insights ABC arbitrage - Webinar June 2024 30
Slide 31: Central Banks Balance sheets
2024-2025 Outlook Central banks Balance sheets Central Banks Balance Sheets FED = almost -19% (15/04/2022 - 29/05/2024) & ECB = almost -26% (24/06/2022 - 29/05/2024) Far away from the end of Central Banks support! Moral Hazard - Some thoughts ➔ L'année 2017 de Gordon Gekko ➔ La cigale et la fourmi..
Slide 32: 7. Springboard 2025 plan. Decisions for 2024
ABC arbitrage 7. Springboard 2025 plan. Decisions for 2024 ABC arbitrage - Webinar June 2024 32
Slide 33: The ambitions of the strategic plan Springboard 2025
Springboard 2025 The ambitions of the strategic plan Springboard 2025 Springboard 2025 income targets. ➔ ROE Min > 10% => annual CNI of 15M€ based on ABC Equity as of 31/12/2023. ➔ ROE Target >= 15% => annual CNI of 24M€ based on ABC Equity as of 31/12/22. ➔ Keeping predictive CNI correlated to ABC’
Slide 34: Decisions for 2024 HY2024 - Situation so far
Decisions for 2024 HY2024 - Situation so far Average gross PNL HY2024 VIX 20y average ~ Average gross PNL FY 2023 NO LIFE ZONE ABC is still a paid insurance against future volatility! ABC arbitrage - Webinar June 2024 34
Slide 35: Disclaimer
ABC arbitrage Disclaimer This slideshow is a communication support for the Webinaire on 3 June 2024. This document includes some forward-looking statements as statements regarding ABC arbitrage business operations. Although ABC arbitrage believes its expectations are based on reasonable assumptions,
Slide 36: Q&A
Q&A ABC arbitrage - Webinar June 2024 36