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 – January 2026

The net return for Class F USD shares for January and therefore year-to-date YTD was 8.68%.

12 month rolling historical volatility (of daily returns) for Class F shares at the end of January was 12.65% versus a target volatility for the Strategy of 15%. Value at Risk (VaR) initially increased to a monthly peak of 4.25% as Equities risk increased, however, risk moderated again amid rising geopolitical tensions between the US and Europe over Greenland, seeing VaR decrease to 3.44% by the end of January. Equities is now the largest risk by asset-class constituting 50% of total VaR at Month-end, followed by FX at 26%. Commodities and Fixed Income risk comprised 14% and 10% of total VaR, respectively.

Fixed-Income saw modest losses in January, driven by STIRs. Long exposure to Sonia 3m futures led the losers as yields rose with UK rate cuts priced out after better data, with GDP, Retail Sales and PMIs all beating expectations. Short exposure to Euribor 3m futures was also one of the Strategy’s main losers, with Euribor’s continuing to unwind December’s sell off as inflation fell back to the ECBs 2% target and the Euro rallied against the US dollar, adding to the disinflationary impulse. Bond positioning added more modest losses through short exposure to Europe via Bobl and Bund futures alongside long exposure to US 2-year bond futures. Having started the month with an overall Fixed-Income net-short of 59%/NAV (or 5bp/DV01) exposure moderated to a net-short of just over 37%/NAV (or 3bp/DV01) by month end.

The Equity sector was the best performing sector in January as the equity rally continued. Asian and EM indices outperformed with the Kospi, MSCI and Nikkei Indices being the best performers amid supportive domestic policy environments and rotation away from US markets amid valuation concerns and volatile White-House policy. The equity market rally stalled towards the end of the month, with US stocks correcting lower as Kevin Warsh was confirmed as President Trump’s nominee as the next Federal Reserve committee chair. The Strategy’s overall net-long exposure fell from almost 93%/NAV to just over 83%/ NAV over the month.

FX positioning was also profitable in January amid a broad weakening in the US dollar, with long exposure to commodity-centric and higher-yielding procyclical currencies continuing to benefit from a constructive global growth outlook at the start of 2026. Long exposure to the Australian Dollar (vs both the US Dollar and the Japanese Yen) lead the winners as strengthening economic data increased the prospect of rate hikes. Long exposure to the Brazilian Real and Mexican Peso also performed well. Exposure to the Japanese Yen and Canadian Dollar (versus the US Dollar) contributed partially offsetting losses, however, amid sharp reversals. The Japanese Yen reversed sharply amid intervention threats to the detriment of our short position, and our long Canadian dollar exposure suffered following a reversal of December’s surprise drop in unemployment. Having come into the year with a US Dollar net-short of 115%/NAV, this increased to just over 134%/NAV by month end.

The Commodity sector added to gains, with performance driven by Metals as last year’s remarkable rally extended. Gold again led the winners as heightened US policy uncertainty, mounting fiscal risks in Japan, fed-independence threats, a weaker US$ and speculative Chinese retail buying fuelled another rapid leg higher. Whilst President Trump’s nomination of Kevin Warsh triggered a sharp correction at month-end, positioning had already been pared back on higher volatility keeping profits somewhat protected. Elsewhere, the Energy sector contributed a more modest gain from long exposure to Heating Oil, Gas Oil and Crude as winter storms hit the US and the US increased its military presence near Iran. Agriculture exposure resulted in a modest loss with, however, with positioning in Wheat, Soybean Oil and Coffee leading the losers.

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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