Groupe ABC arbitrage Prsentation SFAF - Comptes annuels 2018 a sen - - PowerPoint PPT Presentation

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Groupe ABC arbitrage Prsentation SFAF - Comptes annuels 2018 a sen - - PowerPoint PPT Presentation

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Groupe ABC arbitrage Prsentation SFAF - Comptes annuels 2018 a sen va et a revient 1 ABC arbitrage AVERTISSEMENT Ce slideshow est un support de communication remis aux participants de la prsentation SFAF du 26 mars 2018 et

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ABC arbitrage

Groupe ABC arbitrage Présentation SFAF - Comptes annuels 2018 “ça s’en va et ça revient”

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ABC arbitrage

AVERTISSEMENT

Ce slideshow est un support de communication remis aux participants de la présentation SFAF du 26 mars 2018 et publié sur le site 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’année 2018.

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ABC arbitrage

S&P 500 vs. CAC 40

100 Year Record (2nd) 120 months of “easy return” End of Growth Cycle of almost 10y ?

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Groupe ABC arbitrage

February 2018

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  • 9.6%

SP500 & CAC40 February 18 = Volmageddon Month

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ABC arbitrage

Q4 2018

  • 19%

Almost a bear market figure !

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ABC arbitrage

Historical VIX since 01/2014 x Main Events

After the 2017 “dead zone”... ... 2018 is a typical “central banks era” year!

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Groupe ABC arbitrage

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2018 = 7 months of “low” volatility

Average realized volatility 1995-2017 = 16%

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ABC arbitrage

Intraday volatility 2018

From 1982, 64 days < 4%: 1 day in 2016, 57 days in 2017 and 6 days in 2018 (all in January)

2019 2017

2018 less of a “dead market” than the record year of 2017!

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ABC arbitrage

Existing Deals Market Cap. Trump Paradigm

America First Policy Shut down 2019 Average Market Cap = 411,000M€

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Groupe ABC arbitrage

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  • 20% vs. 2017 S2
  • 60% vs. 2015 S2

Strong Decrease of Corporate Actions Private Equity domination Low Rate Financing

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Groupe ABC arbitrage

S&P 500 Volumes $ & Number of Shares

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Still low Equity Volumes in quantity of Shares

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Groupe ABC arbitrage

In EUR million 31/12/2018 IFRS 31/12/2017 IFRS Change Investment Services Fees 16.8 16.0 5.0% Net gains at fair value through profit or loss 23.3 22.5 3.6% Net revenues 40.1 38.5 4.2% Payroll costs

  • 13.1
  • 13.8
  • 4.7%

Occupancy costs

  • 1.6
  • 1.6

2.0% Other expense

  • 5.8
  • 5.3

10.2% Other taxes

  • 0.2
  • 0.1

49.9% Total costs

  • 20.8
  • 20.8

0.0% Income before tax 19.3 17.7 9.1%

Net income attributable to equity holders 19.7

18.3 7.5%

ABC arbitrage - Consolidated Net Profits

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*Taxes and costs are already in Net Revenues for subsidiaries which are accounted for using the “Net gains at fair value through profit or loss”

method (IFRS 10).

ROE 12.8%

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ABC arbitrage

Know-how ABC

Markets Parameters

2018 = Consistent Financial Results

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ABC arbitrage

SP500 20 days Volatility and ABC Business Level

Still strong volatility correlation for Net Revenues

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Groupe ABC arbitrage

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ABC arbitrage

Low M&A and Corporate Action Revenue Drivers Trump Paradigm and Negative Rate Financement

inhouse analytics figures

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ABC arbitrage

Indicator of the Employment of Capital

TODAY In line with 2016 decisions / Step Up 2019 Negative Rate = Costs estimation of 600K€ on Net Revenues

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ABC arbitrage

Draw Downs and Business Level

Revenue Decrease Not a DD problem Steady Risk exposure

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ABC arbitrage

ABCG monthly returns

Loi du “100% mois positifs” ABC Positive Month Corner Stone still there

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Groupe ABC arbitrage

Asset Management Business

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Performance Chart Simulated Data until september

  • 2011. Extrapolated Data from Oct

2011 to Sept 2015 (ie ABCA Multi real performance since its launch enhanced with the effect of the dynamic and optimized allocation of capital and the new fee structure). 2018

ABCA Opportunities Fund

Strong 2018 finish !

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ABCA Reversion Fund

2018

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Groupe ABC arbitrage

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Profitable Business... Gross Revenues Net Revenues

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Groupe ABC arbitrage

Return on AUM

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...but under our 4% Target (Perf. problem)

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Groupe ABC arbitrage

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AUM slightly below Target 2015-2018 of 400M€ “Seed Capital” (M€)

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Groupe ABC arbitrage

Client Revenue

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Perf Fees Business Model More AUM for Low Vol. Markets

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Groupe ABC arbitrage

Costs

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Groupe ABC arbitrage

28 Shareholding prg 2018 - Decrease Wage inflation R&D +10% / year 2014-2018 = Increasing R&D Team

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Groupe ABC arbitrage

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Strong IT Cost Management

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Groupe ABC arbitrage

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Strong ROE but absolute € value under ABC ambitions

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Groupe ABC arbitrage

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From creation (1995) 24 consecutive years of positive results Robust Business Model

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Groupe ABC arbitrage

2019 “ça s’en va...ou ça revient ??*

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* from a french song of Claude François “ça s’en va et ça revient” (it does go away and comes back) - https://youtu.be/nBSY4mNznzk

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ABC arbitrage

Q4 2018 followed by an euphoric Q1 2019

Hooked on Central Banks

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ABC arbitrage

2018/2019 - More “reasonable” ratios ??!!

http://www.multpl.com/

PER Schiller Ratio Price to Book ratio

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ABC arbitrage

Long-Term Average Volatility = 19%

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Groupe ABC arbitrage

Volatility of Volatility

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Still huge and brutal shifts in investor sentiments

China economic downturn fears US-China trade war, US inflation fears

Central Banks Era Strong and brutal changes on Volatility

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ABC arbitrage

ABC inhouse ratio (From June 2008)

Central Banks Era Huge spreads between realized and implicit Volatility

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ABC arbitrage

Back to the 40’s!

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ABC arbitrage

Historical VIX since 07/2017

Main Events

Central Banks Era = “Je vais bien, tout va bien...”

“I’m fine, everything is fine”

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ABC arbitrage

Central Banks paradigm still here… ...probably for months!

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ABC arbitrage

No Limit !?

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ABC arbitrage

Almost 200,000 Billions € debt… …What else?

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ABC arbitrage

FED “Patient” = new magic word To be patient = to be able to get negative yield debt

30/6/2014 30/9/2016 01/10/2018

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ABC arbitrage

European gov. bonds yield evolution

Central Banks Paradigm “Don’t worry, be Happy” World ?

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ABC arbitrage

Central Banks Paradigm Not an “Happy World” for everyone !

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ABC arbitrage

A (too?) simple conclusion Central Banks = Bull Markets

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ABC arbitrage

Thousands Billions of liquidity and still some negative signals...To be continued !

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Groupe ABC arbitrage

ABC arbitrage 2019

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Groupe ABC arbitrage

Financial Markets 2017/2018 Paradigm

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Central Banks and Geopolitics Era

➢ Still very low Volatility for ⅔ of the 2018 year… ➢ ...probably the same on 2019. ➢ Consistent profits on 2018… ➢ ...especially on the 4th quarter volat. standardization ➢ Significant decrease on Corporate Action since 2015 ➢ Significant decrease on M&A (Second H2017 + Y2018)

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ABC arbitrage

ABC significatively above average with strong positive returns

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ABC arbitrage

ABC increase of capacity of +300€ AUM... ...with same return target

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Groupe ABC arbitrage

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Objective 1 Investing in our historical strategies

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Groupe ABC arbitrage

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Objective 2

Promoting development of mutualizing strategies

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ABC arbitrage

Objective 3

1. AUM of 600M€ on a short term basis... 2. ...and keeping our AUMs above 90% of our capacity. +200M€ AUM = +4M€ Net Revenues

in the same 2018 environment

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ABC arbitrage

Still building a “winter is here” business model... Objective 4

Mid/Long term development of high capacity funds (> Billion €)

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ABC arbitrage

Objective 5

External Expertise Integration - Speed up our evolution

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Groupe ABC arbitrage

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ABC arbitrage Shareholding - “Tailored” European Development

GBR/BEL/NLD/LUX/SPA 7% 52%

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ABC arbitrage

Distributions and Share Buyback Program 0,43€

0,23€ 1st week Jul. 2019* 0.10€ 1st week Oct. 2019* 0.10€ 1st week Dec. 2019* 0.10€ last week Mar. 2020*

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New Quarter Distribution Program

€€€ for 3M€ ABC Shares (around 500K if Average Price 6.1€)

Distributions Buyback 2018

*submitted to General Meeting authorization in june 2019 and confirmation by the board of ABC arbitrage in march 2020

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Groupe ABC arbitrage

Q&A

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ABC arbitrage

….but strong volatility correlation on “pro Volat strategies”

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ABC arbitrage

Évolution du risque ABCA par semestre

(perte max en M€ et perte max utilisée en M€) Objective 5 Continue “Allocation Risk Piloting”

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Groupe ABC arbitrage

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Groupe ABC arbitrage

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Not only a cost problem !

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ABC arbitrage

Negative Cyclical Effect

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ABC arbitrage

Negative Cyclical Effect

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Groupe ABC arbitrage

Paradigme ABC 2019

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➢ 2nd consecutive under performing year… ➢ ...but much better than some competitors. ➢ End of Central Banks Era not so sure… ➢ ...but numerous “tail distribution” risks. ➢ Good non HR Costs Management ➢ HR costs + hiring process under GAFA and Brexit Pressure ➢ Too many failures on new projects

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ABC arbitrage

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ABC arbitrage

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ABC arbitrage

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ABC arbitrage

Montant des fonds propres

Evolution semestrielle (à compter du 01/01/2010)

Conforme aux décisions 2016-Step Up 2019

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Groupe ABC arbitrage

Asia Volatility vs US/EUR

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Asia Markets

Still a “follower”... ...but less than before crisis

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ABC arbitrage

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Groupe ABC arbitrage

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2018 EoY Stabilization

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Groupe ABC arbitrage

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Signific increase € ABCG over 3 years

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Groupe ABC arbitrage

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Capacity > 400/450 M€ from external AUM

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ABC arbitrage

VIX (from 2008)

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ABC arbitrage

2012-2017 Central Banks Era Before Central Banks

2012/2017: Central Banks Era

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ABC arbitrage

2012-2017 - New Volatility Era !

Source Bloomberg

Central Banks Era Before Central Banks

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Groupe ABC arbitrage

Intraday Volatility 2017

From 1982, 58 days < 4% 1 day in 2016 and 57 days in 2017

  • Min. @ 2.8% on 18-Oct-2017

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Groupe ABC arbitrage

80 These figures are not strictly audited H2 does not exist from an accounting point of view

H2 Statiscally < H1 H2 2017 Decrease is coherent

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Groupe ABC arbitrage

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Intraday Volat. (days) < 4% Concentration on H2 2017

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ABC arbitrage

Volatility Corporate Action M&A

Expected Situation...

Volumes

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ABC arbitrage

Volatility Corporate Action M&A

2017 Situation

Volumes

2017

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Groupe ABC arbitrage

If correlation to volatility was the same as 2007-2012, the results would be...

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Strong progression for ABC results (pari passu) +40% realised vs predictable

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ABC arbitrage

Correlation between VIX and Group Traded Volumes

Volumes ABC à Volat

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ABC arbitrage

Increase of Client volumes Increase of “rates strategies” volumes

Decomposition by assets and type of clients

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ABC arbitrage

Correlation between volatility (20d) SP500 and P&L ABC

From 2007 Still a very strong correlation !

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Groupe ABC arbitrage

UHFT Players - Winter is coming ?

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  • 72% HY 2017/16
  • 79% FY 2017/16
  • 50% HY 2017/16
  • 57% FY 2017/16
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Groupe ABC arbitrage

2009-2016 - HFT Industry Revenues

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ABC arbitrage

2014-2017

Groupe : environ 90 collaborateurs 31-dec-2017

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  • 30 “support”

+30 “R&D”

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Groupe ABC arbitrage

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Costs are adjusted to take into account IFRS 10 - “Business Levels” are close to, but not equal to “Revenues” (audited accounts)

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ABC arbitrage

2016-2017 vs LT average (1950)

source: FIDELITY - for EM Equity vs LT average (1988)

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Groupe ABC arbitrage

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23 consecutive years of positive result

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Groupe ABC arbitrage

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source : Banque Mondiale

2018 = New paradigm ?

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ABC arbitrage

Volatility of volatility

All Time High

180

5-FEB-17

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Groupe ABC arbitrage

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source : Banque Mondiale

https://www.linkedin.com/pulse/lann%25C3%25A9e-2017-de-gordon-gekko-dominique-ceolin/

New products, old problems !

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Groupe ABC arbitrage

2017-2018 - Quant indexes

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source : HFRi

Difficult Transition for most market actors!

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Groupe ABC arbitrage

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source : Banque Mondiale

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Groupe ABC arbitrage

2018 - End of free lunch ?

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source : Banque Mondiale

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Groupe ABC arbitrage

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...Not yet for ECB...

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Groupe ABC arbitrage

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source : Banque Mondiale

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ABC arbitrage

Montant des fonds propres

Evolution semestrielle (à compter du 01/01/2010)

Conforme aux décisions 2016-Step Up 2019

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ABC arbitrage

Shareholder’s Equity Ratio

TODAY

Compliant with Step Up 2019

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Groupe ABC arbitrage

VaR ABC arbitrage Group 10 day - 99%

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Portfolio Risk 2017 vs 2015 Increase of almost 15%

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Groupe ABC arbitrage

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ABC Group

  • ne of the main clients

ABC Group investments in ABCA Fund Plc

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Groupe ABC arbitrage

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1-Mar-2018 290M€ in our funds / 214M€ External investors

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Groupe ABC arbitrage

External Client Revenues (Funds Only)

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Groupe ABC arbitrage

Return on AUM for ABCA Fund Plc

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below ambitions… ...Performance problem

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ABC arbitrage

Q1 2018 - Living Markets = Living Results !

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Low volat. for January 18 Q1 2018 ABC ⇶ Q1 2017 ABC 1 week = 2 months 5th to 9th of Feb. = almost 85%

  • f Oct+Nov 2017
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Groupe ABC arbitrage

Limiter la dilution au service du BNPA

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Programme de rachat “€ vs ABC” Paiement en ABC Dividende € et/ou ABC Selon autorisations AG et PER, programme de rachat 2018 sur 6M€ (environ 1MT)

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ABC arbitrage

ABC arbitrage

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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

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ABC arbitrage

ABC arbitrage AM

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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 AM in 2005 Becomes Head of Research of ABC arbitrage AM

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Groupe ABC arbitrage

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Winter is not over but ambitions are still there… ...and still reasonable !

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Groupe ABC arbitrage

Group Structure - september 2017

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ABC arbitrage

Corrélation VIX et Volumes traités part du Groupe

Hausse des vol. traités par le groupe ne vient pas que des clients ext. (même si FP )

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ABC arbitrage

Indicateur d'utilisation des fonds propres MAJ

TODAY

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Groupe ABC arbitrage

Evolution des VaR parts ABC

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Groupe ABC arbitrage

ABC arbitrage Les charges

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Groupe ABC arbitrage

Des charges en hausse sensible en %

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2016 vs 2011 Egalité € 43% vs 32%

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Groupe ABC arbitrage

Charges IT en hausse sensible pour le Groupe ABC

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Groupe ABC arbitrage

Charges HR en % du Rythme d’Activité

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ABC arbitrage

Ambition 2016

➢ Innovations

➢ Recrutements

➢ Extensions Géographiques Marchés ➢ Extensions Géographiques “Régulations”

➢ Asset Management

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Groupe ABC arbitrage

ABC arbitrage Step up 2019

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Groupe ABC arbitrage

Evaluation - Paradigme Marchés au 01/01/2017

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1. Volatilité structurellement entre 10/15 vs 15/20 2. Chocs marchés locaux et violents - “3j/3H/3mn” 3. Vie “autonome” du continent “Asie” 4. Volumes des produits listés en baisse sensible 5. Baisse des OST vs Hausse “récente” sur les M&A 6. “Déséquilibre” des Banques Centrales 7. Concurrence UHFT en (très) forte progression 8. “Rising Costs”

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Groupe ABC arbitrage

Evaluation - Paradigme ABC 2017

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  • 1. Corrélation à la volatilité

2. Sous utilisation “chronique” des FP

  • 3. Hausse encadrée du risque ABC
  • 4. Capacités des Fonds encore limitées

5. Marge unitaire “stable”

  • 6. Hausse sensible des investissements IT
  • 7. Structure de rémunération sous pression des

UHFT & GAFA

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Groupe ABC arbitrage

SU 2019

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Préparer la prochaine décennie

  • A. Poursuite “Added Value” avec recrutements et

évolution de l’organisation.

  • B. Hausse sensible des investissements

a. Au moins +2M€ en 2017 b. Au moins +4M€ en 2018

  • C. Installer les 90M€ cumulés sur 3 ans dans

“presque” tous les contextes de marché.

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Groupe ABC arbitrage

Quel avenir pour la gestion quantitative ?

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Groupe ABC arbitrage

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DD max of 2.8% 2nd lowest from 1950

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Groupe ABC arbitrage

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source : Banque Mondiale