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 – December 2025

The net return for Class F shares was 2.99% in December, with the fund finishing the year +1.38%.

12-month rolling historical volatility (of daily returns) for Class F shares at the end of December was 12.37% versus a target volatility for the Strategy of 15%. Value at Risk (VaR) increased modestly to 2.84% overall, with Equities and FX risk increasing whilst Fixed-Income and Commodities risk fell. As such, Equities remained the largest risk by asset-class, constituting 55% of total VaR at month-end, followed by FX at 26%. Commodities and Fixed Income risk comprised just 8% and 10% of total VaR, respectively.

Fixed-Income saw losses in December driven by positioning in STIRs, as the Strategy’s exposure met with market-reversals and choppy price-action. SOFR 3m futures led the losers as the Strategy’s initial long exposure was closed out and reversed to short as rate-cut expectations were priced out ahead of this month’s FOMC meeting. Long exposure in Canada and the UK also struggled as central bank policy narratives became more hawkish and yields rose at the start of month. The move in Canadian CORRA 3m futures was particularly abrupt following the largest decline in unemployment for 20 years, seeing longs quickly unwound and reversed to short. The new short exposure then faced markets partially recovering during the latter part of the month, exacerbating losses. Having started the month with an overall Fixed-Income net-long of 70%/NAV (or 5bp/DV01) it had reversed to a net-short of 59%/NAV (or 5bp/DV01) by month end.

The Equity sector had another positive month in December adding to earlier gains in Q4 to make it the most profitable sector overall for the Strategy this year. Whilst US markets underperformed, global Equities recovered their early weakness as financial conditions became more supportive. Long exposure to the Korean KOSPI led the winners following the government’s introduction of tax changes to encourage the sale of foreign equities in favour of domestic companies. Commodity-heavy indices also fared well, with Canadian and South African indices among the main winners, along with European markets such as the EuroStoxx-50 and EuroStoxx-Banks. The Strategy’s overall net-long exposure increased modestly from 87%/NAV to almost 93%/ NAV over the month.

FX positioning was also profitable in December, leaving YTD sector returns largely flat, with long exposure to commodity-centric and higher-yielding currencies continuing to benefit from a supportive carry environment. Most notably longs in the Australian Dollar (vs the Japanese Yen), the Mexican Peso and the South African Rand. There were some notable losses from exposure to the Canadian Dollar, Brazilian Real and Korean Won, however, with a series of sharp market reversals following a big upside in unemployment in Canada, increased political uncertainty in Brazil and government policy intervention in Korea. Having come into December with a marginal US Dollar net- short (of just 0.05%/NAV), US Dollar exposure grew to a substantial net-short of 115%/NAV by year-end.

The Commodity sector was the best performing asset class in December with performance driven by Metals as an extension of the impressive YTD rally exposed limited physical supply for delivery into exchanges, fuelling parabolic price-action in some futures markets. Particularly the white precious metals such as Silver and Platinum, to the benefit of the Strategy’s long exposure, and Copper amid ongoing concerns around future US tariffs. However, overall Metals exposure actually fell modestly over the course of the month as market volatility increased, trading-exchanges hiked margin rates and markets partially corrected into year-end. After a positive Q4 overall, Metals finished as the second-best performing sector for the Strategy in 2025. Elsewhere, Agriculture exposure resulted in a modest loss with exposure to Soy markets driving the losers as the early Q4 rally reversed amid waning optimism around Chinese purchases of US exports and long exposure reversed back to short. The Energy sector also registered a small loss, with a modest prevailing long exposure hit by increasing optimism for a Ukraine peace-deal and a warmer US weather outlook, in what have been persistently challenging range-bound markets throughout 2025.

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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