Tycho BH-DG Systematic Trading UCITS Fund

Overview

Overview

Tycho BH-DG Systematic Trading UCITS Fund employs a systematic, medium-term trend following strategy to deliver persistent, non-correlated and positively skewed alpha in a range of economic environments.

Strategy & Manager

Performance

Commentary

Investment Manager’s Commentary – July 2025

The net return for Class F USD shares was -1.44% in July, taking year-to-date (YTD) performance to -9.88%.

12 month rolling historical volatility (of daily returns) for Class F USD shares at the end of July was 12.31% versus a target volatility for the Strategy of 15%. Value at Risk (VaR) increased to 3.58% by month-end. Equities Risk increased, becoming the most dominant asset class constituting 58% of the total. FX risk decreased modestly constituting 24%, with commodities constituting 12%. Rates risk decreased significantly over the month, constituting only 6% of total VaR by month-end.

Fixed-Income saw modest losses in July driven by long exposure to the US through both SOFR 3m futures and Bond futures as treasury yields moved higher, supported by stronger US data and a patient Federal reserve. Long exposure to SONIA 3m futures added to losses as exposure was pared back at a loss following firmer than expected CPI data. The Strategy started the month with an overall Fixed-Income net-long exposure of 99%/NAV (or 7bp/DV01), switching to a net-short exposure of 21%/NAV (or 1.5bp/DV01) by month end, with exposure to Europe switching from long to short.

The Equity sector saw gains this month. Long exposure to the UK FTSE 100 Index led the winners as the position benefitted from resilient corporate earnings and improved sentiment. Elsewhere long exposure to the FTSE Taiwan index also added to gains, benefitting from the AI investment boom, alongside long exposure to the US, particularly to the Nasdaq and S&P 500. The Strategy’s overall net-long exposure increased from 58%/NAV to 106%/ NAV over the month.

FX was the worst performing asset class in July with losses driven by the Strategy’s broad US Dollar short exposure. The Strategy came into July with a US Dollar short of 160%/NAV. This was almost halved throughout the month to 86%/NAV by month end as the US Dollar strengthened on the back of stronger than expected US data, tariff announcements and trade deals leading to growth worries outside of the US. Long exposure to the British Pound led the losers as the currency weakened on deteriorating domestic data and concerns around fiscal instability. Long exposure to the Euro also suffered as the US-EU trade deal sparked concerns over exports and renewed economic growth concerns. The Polish Zloty, Swedish Krona and Swiss Franc were also amongst the worst performers.

Commodity trading saw modest gains overall in July, with gains in Energy and Agriculture being mostly offset by losses in Metals. Agriculture saw gains, with long exposure to Live Cattle and short exposure to Soybean Meal leading the winners. Overall net-short exposure increased from 5%/NAV to 8%/NAV. In Energy, all contracts saw modest gains. The Strategy increased its small net-long from 2%/NAV to 7%/NAV, with Natural Gas remaining the only short. In Metals, losses were dominated by long exposure to Copper. After performing well on the initial announcement of 50% tariffs on Copper imports at the beginning of the month, exposure suffered at the sharp reversal on the news that refined Copper will not be subject to the levy. The Strategy’s Metal exposure decreased modestly from 12%/NAV to 9%/NAV at the end of the month.

Notes:
1. Share class returns are shown net of fees and other expenses. Class F USD Shares are subject to a 0.5% management fee and 20% performance fee.
2. Source: BH-DG, underlying data from Société Générale Securities Services, SGSS (Ireland) Limited.

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