Groupe ABC arbitrage Prsentation SFAF - Comptes annuels 2017 - - PowerPoint PPT Presentation

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Groupe ABC arbitrage Prsentation SFAF - Comptes annuels 2017 Retour vers le futur des marchs 1 ABC arbitrage AVERTISSEMENT Ce slideshow est un support de communication remis aux participants de la prsentation SFAF du 27 mars 2018 et

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ABC arbitrage

Groupe ABC arbitrage Présentation SFAF - Comptes annuels 2017 Retour vers le futur des marchés

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ABC arbitrage

AVERTISSEMENT

Ce slideshow est un support de communication remis aux participants de la présentation SFAF du 27 mars 2018 et publié sur le site www.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 2017.

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Groupe ABC arbitrage

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).

In EUR million

  • Dec. 31, 2017

IFRS

  • Dec. 31, 2016

IFRS Change

Investment Services Fees 16.0 17.5

  • 8,52%

Net gains at fair value through profit or loss 22.5 35.9

  • 37,24%

Net revenues* 38.5 53.3

  • 27,85%

Payroll costs (13.8) (16.2)

  • 14,90%

Occupancy costs (1.6) (1.6)

  • 1,12%

Other expense (5.3) (5.2) 2,23% Other taxes (0.1) (0.2)

  • 25,72%

Total costs (20.8) (23.1)

  • 10,22%

Income before tax 17.7 30.2

  • 41,35%

Net income attributable to equity holders

18.3

30.5

  • 40,05%

ROE 11.5%

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ABC arbitrage

Évolution des indices (S&P 500 vs CAC 40)

➢ 9 ans de hausse... ➢ 2nd + long cycle haussier (vs 1987-2000) ➢ > 200% sur 9 ans ➢ 2e perf. depuis 100 ans

source: les Cahiers Verts de l’économie

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ABC arbitrage

2017 - Indicateurs fondamentaux sur des “records” !

http://www.multpl.com/

PER Schiller Ratio Price to Book ratio

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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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ABC arbitrage

VIX from 07/2016

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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

11 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

M&A (in billions € - Monthly total)

Q3+Q4

  • 55% (Low-High)/High
  • 35% HY1 2017 vs HY2 2017
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Groupe ABC arbitrage

Strong decrease of significant Corporate Actions

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  • 50% since HY2 2015
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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

ABCG monthly returns

Capital protection

100% positive months Almost 80% positive trading days on 2017 (below average)

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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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Groupe ABC arbitrage

In EUR million

  • Dec. 31, 2017

IFRS

  • Dec. 31, 2016

IFRS Change

Investment Services Fees(1) 16.0 17.5

  • 8,52%

Net gains at fair value through profit or loss 22.5 35.9

  • 37,24%

Net revenues* 38.5 53.3

  • 27,85%

Payroll costs (13.8) (16.2)

  • 14,90%

payroll costs / Net revenues 36% 30%

Occupancy costs (1.6) (1.6)

  • 1,12%

Other expense (IT + presta. ext.) (5.3) (5.2) 2,23%

Other taxes (0.1) (0.2)

  • 25,72%

Total costs (20.8) (23.1)

  • 10,22%

Income before tax 17.7 30.2

  • 41,35%

Net income attributable to equity holders 18.3 30.5

  • 40,05%

ABC arbitrage - Consolidated Net Profits

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60% salaires fixes 30% Bonus 10% produits K

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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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source : Banque Mondiale

2018 = New paradigm ?

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ABC arbitrage

Évolution du VIX depuis 01/2012

En parallèle événements

“NO LIFE” Zone

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ABC arbitrage

Volatility of volatility

All Time High

180

5-FEB-17

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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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Groupe ABC arbitrage

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source : Banque Mondiale

If interest rates rise 0.25%... If interest rates rise 0.75%... Debt interests +450 billion/year Debt interests +1350 billion/year

With a total debt of 180 Trillion...

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Groupe ABC arbitrage

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source : Banque Mondiale

If interest rates rise 0.25%... If interest rates rise 0.75%... Debt interests +125 Million/year Debt Interests +375 Million/year

With a total debt of 50 Billion €/$...

+16% vs EBITDA T4

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Groupe ABC arbitrage

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source : Banque Mondiale

Back to living markets!

...if Central Banks...

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Groupe ABC arbitrage

Central Banks Balance Sheets

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source : Banque Mondiale

(Taille des bilans cumulés des principales banques centrales est d'environ 16.000 milliards de dollars en 2018. Source : Lazard Frères Gestion, Bloomberg)

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Groupe ABC arbitrage

ABC arbitrage Et maintenant ??

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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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ABC arbitrage

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ABC arbitrage

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Groupe ABC arbitrage

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(in ABCA Fund Plc)

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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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Gross Revenues Net Revenues

below ambitions… ...Capacity Problem (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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Groupe ABC arbitrage

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Potential total AUM depend on Performances and Market Capacity

Depend on markets conditions ! OK! (Step Up 2019 Targets)

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Groupe ABC arbitrage

Low Volatility Strategies

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2017 realized are below ambitions… ...mainly because of very low vol. Innovation is still our target!

= Step Up 2019

Gross Revenue

WARNING : These figures are internal indicators and have not been audited

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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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ABC arbitrage

Distributions and Share Buyback Program 0,40€

(0,20€ nov. 2017) POR 2016+2017 = 100%

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∑BPA/EPS 2016+2017 0,85€

€€€ for 3M€ ABC Shares (almost 440KT - Average Price 6.54€)

(au service des programmes capitalistiques) Distributions Buyback 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

Q&A

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