Overview
Overview
Tycho 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
Fund Strategy
Tycho DG Systematic Trading UCITS Fund aims to generate returns by capturing medium-term trends in liquid markets, trading over 100 futures and forwards globally across equities, fixed income, currencies, and commodities. The fund employs a suite of four systematic trend following models, that are designed to extract directional alpha from a wide variety of market regimes. Within each model, the forecasting process is the same for each market, although there are significant differences in the way each model estimates future market direction, portfolio construction approaches, gearing, risk allocation and speed allocation. The four trend models are further enhanced by a proprietary set of risk modulators, which aim to reduce risk and protect profits when trends become over-extended, or markets experience sharp corrections.
Key Persons
David Gorton - Chief Investment Officer
David began his trading career in 1986 at Chemical Bank as a market maker in bonds and forward rates agreements. He joined HSBC in 1989, subsequently becoming Executive VP and Chief Dealer in the US, where he was responsible for all interest rate derivative trading, balance sheet management and proprietary trading in government bonds. In 1997 David joined Chase Manhattan to become CIO of Chase London Diversified Fund Limited, and head of proprietary trading for the European Rates division. In 2002 he left J.P. Morgan Chase to establish DG Partners and manage the London Diversified Fund. While at DG Partners, he was instrumental in the development of its systematic trading strategy which has been actively traded under his supervision since May 2006.
Performance
Class Performance
Commentary
Investment Manager’s Commentary – April 2026
The net return for Class F USD shares for April was 2.84%, leaving year-to-date performance at 10.21%.
The year to date volatility (of daily returns) for Class F USD shares at the end of April was 13.90% versus a target volatility for the Strategy of 15%. Value at Risk (VaR) increased from 2.58% to 3.30% at the end of the month. Equities and FX risk increased, leaving them as the largest contributors to risk at 40% and 23% of Total VaR by Month-End. Fixed Income risk constituted 20% of total VaR and Commodities 17%.
The Equity sector was the best performing sector in April as risk assets rebounded strongly following the US-Iran ceasefire agreement. Despite the fragility of the ceasefire as the US blockaded the Strait of Hormuz, retained long exposure to Japan and Taiwan led the winners as markets quickly reversed on the news to make new highs. The Strategy’s long exposure in the US also performed well, with strong AI demand and above consensus Q1 corporate earnings propelling the Nasdaq to its best month in over 20 years. Korean and Swedish indices were also among the top performers. After beginning the month with a modest 15%/NAV long, the Strategy’s overall net long increased to 60%/NAV by the end of April.
FX positioning also made a positive contribution in April as the ceasefire assuaged growth concerns and pre-conflict positioning themes reasserted seeing higher yielding, pro cyclical currencies outperform. Long exposure to the Brazilian Real and Australian Dollar (versus both the US Dollar and Japanese Yen) led the winners. The Israel Shekel and Norwegian Krone also performed well. Meanwhile, short exposure to the Korean Won saw partially offset losses amid the risk relief rally and a weakening US Dollar. Exposure was pared back by month end with the Won supported from tech-based inflows. The Japanese Yen and Swiss Franc (versus the dollar) also added to losses, but to a more modest degree. After coming into April with a US Dollar net-long of 38%/NAV, this switched to a net-short of 60%/NAV by month-end.
Commodities also saw positive returns overall this month, with gains in Agriculture and Metals being partially offset by modest losses from Energy. Net-long exposure to Agriculture performed well as the continued closure of the Strait of Hormuz and extreme weather drove the Bloomberg Agriculture Spot Index to a two-year high. Long exposure to cotton led the winners, as droughts in the US raised supply concerns and elevated energy prices increased demand for natural (rather than man-made) fibres. Soybean Oil also continued to perform well as long exposure benefitted from fertilizer supply concerns and higher demand for biofuels. Metals saw more modest gains, with a positive contribution from industrials being partially offset by losses from precious metals. Meanwhile, losses from Energy positioning were driven by longs in Heating oil, Gas oil and Crude. Energy prices reversed sharply lower following the US-Iran ceasefire agreement, seeing long exposure pared back at a loss. However, as the Strait of Hormuz remained effectively shut, and the US prepared for new military operations in Iran, prices rallied, seeing the Strategy’s net-long exposure decrease again to 5%/NAV
Fixed-Income saw losses in April, predominantly driven by short exposure in Europe. The Strategy’s short exposure in 3-month Euribor futures suffered following the Middle-East ceasefire news as energy prices fell back and fixed-income markets rebounded. Short exposure to German Bond futures, particularly the Bobl and Bund, added to losses as inflation concerns eased. Short exposure to Korean bond futures were also amongst the main losers. Having started the month with an overall Fixed-Income net-short of 150%/NAV (or 11bp/DV01), exposure fell to125%/NAV (or 9bp/DV01) by month-end.
Documents
Contact
Registered Office of the ICAV:
35 Shelbourne Road
4th Floor
Ballsbridge, Dublin
D04 A4E0
Ireland
Dealing Contact:
Tycho ICAV
Attention: TA Department
c/o Société Générale Securities Services
SGSS (Ireland) Limited
3rd Floor, IFSC House
IFSC
Dublin 1, Ireland
T: 00353 1 6750 300
F: 00353 1 6750 351
E: [email protected]
