Abc Arbitrage Sa · EURONEXT:ABCA
Abc Arbitrage Sa — Investor Presentation (September 2026)
33 slides from Abc Arbitrage Sa's investor presentation, Sep 23, 2026
Slide 1: Investor Presentation - Sept. 2026
Investor Presentation - Sept. 2026 HY 2026 - 1st semester of the Momentum 2028 strategic plan. ABC arbitrage HY 2026 - Investor Presentation 1
Slide 2: Key topics of the presentation
ABC arbitrage Key topics of the presentation 1. Who we are & What we do. 2. Market Parameters over beginning of Momentum 2028. 3. HY 2026 Financial Results. 4. How we do it. 5. Momentum 2028 - H1 strategic update. 6. Outlook for the 2026 markets. ABC arbitrage HY 2026 - Investor Presentation 2
Slide 3: 1. Who we are & What we do
ABC arbitrage 1. Who we are & What we do. ABC arbitrage HY 2026 - Investor Presentation 3
Slide 4: 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. ❏ One Methodology: Risk mitigation & Risk Management. ❏ One
Slide 5: What we do
ABC arbitrage What we do 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, mid-short term t
Slide 6: 2. Market Parameters over Beginning of Momentum 2028
ABC arbitrage 2. Market Parameters over Beginning of Momentum 2028. ABC arbitrage HY 2026 - Investor Presentation 6
Slide 7: Market Dynamics - A Relentless S&P 500 Rally
Markets parameters 2026 Market Dynamics - A Relentless S&P 500 Rally ➔ Exceptional 3-Year Rally: S&P 500 up +86% (CAGR > 23%). ➔ H1 2026 Market Broadening: S&P 500 (+11%) vs. S&P Equal Weight (+10%). -4% -10% Total Compound Annual Average Compound Growth Rate Annual Index 2023 2024 2025 Return (CAGR
Slide 8: Volatility Analysis
Markets parameters Volatility Analysis VIX Levels 2026 2025 VIX < 15 3% 9% 15 ≤ VIX ≤ 20 68% 66% VIX > 20 29% 25% ➔ 2026 - A relatively volatile year, though below April 2025 peaks. ➔ VIX distribution appears to be reverting to historical norms -Trend observed since year-end 2024. ➔ 2026 Asian marke
Slide 9: Beyond Index Volatility - VVIX Dynamics and Equity Dispersion
Markets parameters Beyond Index Volatility - VVIX Dynamics and Equity Dispersion 2026 - The volatility regime remained relatively stable. 2026 Dispersion > 2025 & >> 2024/2023 ABC arbitrage HY 2026 - Investor Presentation 9
Slide 10: Market Activity Overview - Volumes & Corporate Events
Markets parameters Market Activity Overview - Volumes & Corporate Events ➔ 2026 - Volumes - Higher trading volumes, fully consistent with H1 volatility. ➔ 2026 - M&A - Sustained deal flow despite ongoing uncertainties. ➔ 2026 - Corporate Actions: Subdued activity; debt remains the preferred financin
Slide 11: 3. HY 2026 Financial Results
ABC arbitrage 3. HY 2026 Financial Results ABC arbitrage HY 2026 - Investor Presentation 11
Slide 12: Profit & Loss Breakdown
ABC Financial Results Profit & Loss Breakdown Change HY In millions of euros - IFRS FY 2024 HY 2025 FY 2025 HY 2026 2026/2025 Useful comment Investment Services Fees* 21,4 12,0 22,9 14,8 22,6% ~6% from external third party Net gains at fair value through profit or loss** 29,8 24,4 36,8 36,2 48,4% Tax
Slide 13: Human Capital Investment
ABC Financial Results Human Capital Investment ABC Team - Top Priority & Primary Investment. ❑ Base cost increase = partial adaptation to HR market + new R&D people. ❑ Strong correlation between Bonuses and ABC arbitrage performances. HY 2026 ❑ Targeted Equity Incentives on a long term basis. ➔ Tota
Slide 14: Revenue Breakdown - Proprietary vs. Third-Party AUM
ABC Financial Results Revenue Breakdown - Proprietary vs. Third-Party AUM ➔ Revenues - from External Third Party (ETP) = 0.9M€, < 2% of Revenue (PAC). ➔ Profitability - ETP business line operating near break-even (FY). ➔ M2028 Trajectory - ETP revenues currently tracking below strategic targets. *Un
Slide 15: AuM Overview & Client Profile
ABC Financial Results AuM Overview & Client Profile ❑ Pre-2010: (mainly) generated through trading of our own equity. ABCA’s AuM ❑ Post-2010: opened to third party funds. ❑ External Third Party Asset under Management - via Managed Accounts & AIF (Alternative Geographical breakdown Investment Funds).
Slide 16: Our Investment Solutions
ABC Financial Results Our Investment Solutions Reserved for Professional Investors. Reserved for Professional Investors. 2024 (Q4) - New flagship strategy built around a modified ABCA Opportunities Fund. ➔ All-Weather Philosophy - A multi-asset, multi-strategy approach to deliver consistent returns.
Slide 17: ABCA Funds - Track Record
ABC Financial Results ABCA Funds - Track Record %12m (USD) = 32.8% %12m (USD) = 43.6% %YTD (USD) = 27.2% %YTD (USD) = 39.5% Estimated NAV as of Sept. 18, 2026 Estimated NAV as of Sept. 18, 2026 ABCA Opportunities 2026 Perf.Class USD Net: +26.0% YTD (31/08) ABCA Reversion 2025 Perf. Class USD Net: +3
Slide 18: Consistent Value Creation: Historical Results & ROE
ABC Financial Results Consistent Value Creation: Historical Results & ROE ➔ Since ABCA Inception (1995) - 31+ consecutive years of profitability. ➔ Historical ROE - >15% average with a strict floor >10% over the period. ➔ Strong H1 2026 performance - Annualized ROE at 27.4%. ➔ HY EBIT - Reaching ~ 2
Slide 19: 4. How we do it
ABC arbitrage 4. How we do it ABC arbitrage HY 2026 - Investor Presentation 19
Slide 20: ABCA Capital - Fueling the Momentum 2028 Plan
How we do it ABCA Capital Position ABCA Capital - Fueling the Momentum 2028 Plan ❏ High responsiveness in seed capital decisions and market allocations ❏ Fully independent from external client constraints. ❏ Pure capital accumulation from ABC’s financial results, starting from ~€10K in 1995. ABC arb
Slide 21: Over 120 specialists dedicated to ABCA core activities
How we do it Focused Human Expertise Driving ABCA Core Business Over 120 specialists dedicated to ABCA core activities ~75% - R&D + Front ~15% - Risk Management ~5% - Sales ❏ Quant Traders & Research ❏ Risk Control ❏ IT developers & IS ❏ Marketing ❏ Process Control ❏ Data analysis ❏ Investor Relatio
Slide 22: Proven Expertise & Technological Know-How
How we do it Proven Expertise & Technological Know-How A Tech-Driven DNA - Proprietary, robust trading systems operating 24/7. ❏ 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. +
Slide 23: Risk Mitigation Framework
How we do it Risk Mitigation Framework Risk Mitigation Process Strict Quality Control ❑ Aggregation of all possible risk types - including opposite risks. ❑ Strict risk budget discipline - highly stable over time (+15% over the last 10y). ❑ External incident* in Dec 2020 concerning 2016 to 2019. ❑ F
Slide 24: 5. Momentum 2028 - H1 Strategic Update
ABC arbitrage 5. Momentum 2028. H1 Strategic Update ABC arbitrage HY 2026 - Investor Presentation 24
Slide 25: Momentum 2028 - Key Highlights
Momentum 2028 Momentum 2028 - Key Highlights MOMENTUM 2028 - 3-to-5-Year Targets H1 2026 Progress Update ABCA Progress in Twin Turbo Effect - Accepting higher P&L Volatility Zones3 2 & 3. Targeting >100M€ NR/y8 in Zone 33. volatility in the Hit Ratio4. Targeting consistent Profitability on 2026 eoy
Slide 26: Split of revenues between equity and third party AuM
ABC Financial Results Split of revenues between equity and third party AuM ➔ As of September 1, while client Asset Under Management (AUM) stands at €278m (up 13% over the period), the Group is in advanced discussions with several investors regarding new AUM. The probability-weighted total amount* is
Slide 27: Shareholder Return Policy: Dividends & Buyback Program
Shares & distributions Shareholder Return Policy: Dividends & Buyback Program FY2025 distribution = €0.34 ➔ 2025 - A yield of ~6.5%* based on a distribution of 0.34€. ➔ ABCA - Acting as a positive-carry hedge against market volatility ❏ €0.30 – Interim dividend – Ex date October 7, 2025 / December 2
Slide 28: ABCA Ownership Structure
Shares & distributions ABCA Ownership Structure ➔ [...] The Board of Directors has decided to distribute an interim dividend of €0.20 per share[...]. Each shareholder may choose to receive this interim dividend in cash or, for all or part of their entitlement, in shares. The reinvestment price for s
Slide 29: 6. Outlook for the 2026 markets
ABC arbitrage 6. Outlook for the 2026 markets Will 2026 be the Year of the Great Reckoning ? ABC arbitrage HY 2026 - Investor Presentation 29
Slide 30: Market Parameters 2026…and 2027?
Outlook 2026 Market Parameters 2026…and 2027? ➔ Geopolitical and economic climate paving the way for normalized volatility. ➔ The future implementation of 23/5 trading (US) represents an additional opportunity. Jun.26 26 Jun.26 295.36 S&P 500 Earnings Per Share. 12-month real earnings per share — in
Slide 31: Trading Update as of 31st August 2026
Outlook 2026 Trading Update as of 31st August 2026 ➔ As of 31st August, the average monthly Business Activity Level stands approximately 90% above the 2025 monthly average. As of this same date, ABCA Opportunities and ABCA Reversion have posted year-to-date returns of 26.0% and 36.8%, respectively.
Slide 32: Disclaimer
ABC arbitrage Disclaimer This slideshow is a communication support for the investor presentation on HY2026. This document includes some forward-looking statements as statements regarding ABC arbitrage business operations. Although ABC arbitrage believes its expectations are based on reasonable assum
Slide 33: Q&A
ABC arbitrage Q&A ABC arbitrage HY 2026 - Investor Presentation 33
ABC arbitrage — Investor Presentation (September 2026) on 6ix