Tycho DG Systematic Trading UCITS Fund

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

Performance

Commentary

Investment Manager’s Commentary – September 2026

The net return for Class F USD shares for September was 2.40%, leaving year-to-date performance at 15.26%.
 
12-month rolling historical volatility (of daily returns) for Class F USD shares at the end of September was 11.85%, versus a target volatility for the Strategy of 15%. With risk increasing across Commodities, Rates and FX, Value at Risk (VaR) increased on the month from 2.55% to 2.93%. Risk by the end of the month saw Rates contributing 26% of Total VaR, Equities contributing 35% and Commodities and FX contributing 21% and 18% respectively.
 
Fixed-Income was the best performing asset class in September with positive returns across both Bonds and STIRs. Gains were driven by short exposure to the US and Europe, particularly at the front-end as above consensus economic data combined with high energy prices and elevated inflation saw Developed Market Central Banks become more hawkish and monetary tightening expectations increase, whilst ongoing fiscal pressures and competition for capital from AI-related issuance took bond-yields to multi-decade highs. With some markets selling-off by over 50bp, short exposure to 3-month US SOFR futures was the Strategy’s top performer by some margin this month. Short exposure to 3-month Euribor futures, Euro Bobl and Euro Bund futures also contributed notably to gains. Overall fixed-income exposure increased modestly over the month from a net-short of ≈13bp (DV01 %/NAV) to over 14bp by month-end, with exposure remaining biased toward the Europe and the US.
 
Equity positioning struggled, however, contributing a partially offsetting loss. Negative returns were driven by long exposure to European Index futures including the Dax and Euro Stoxx amid elevated energy prices, above consensus inflation readings, rising interest rates and increasing political uncertainty. Long exposure to Canada was another notable loser. The Strategy’s overall net long exposure consequently decreased from 67%/NAV to 52%/NAV by month-end.
 
FX positioning also saw losses this month driven by US Dollar shorts and carry-type long positions as strong US economic data and a hawkish Fed helped drive US rates and the Dollar higher. Long exposure to the Mexican Peso (versus the US Dollar) and Australian Dollar (versus both the US Dollar and Japanese Yen) were notable losers. There were also some notable winners, however, from retained long US Dollar exposure, particularly versus the Swiss Franc and Swedish Krona. Net US Dollar exposure consequently reversed substantially from a net-short of almost 50%/NAV at the start of the month to a net-long of just over 71%/NAV by month end.
 
Commodities saw losses overall with negative returns in Agriculture and Metals being partly offset by gains in Energy. In Agriculture losses were driven by sharp reversals in Cotton, Corn and Wheat to the detriment of the Strategy’s prevailing long exposure. Sector net-long exposure increased to an intramonth high of 22%/NAV before being pared-back to 17%/NAV by the end of the month. In Metals, losses were driven by long exposure to Copper, Aluminium and Gold as the real-rates and the US Dollar rallied strongly. Metals exposure declined from 14%/NAV to 8%/NAV by month-end, dominated by Industrials as Precious Metals turned small net-short. Energy delivered partially offsetting gains, however, as continued disruption to supply amid the ongoing US-Iran conflict worked to benefit of the Strategy’s prevailing long exposure, particularly in Gasoline, Gas Oil and Brent Crude futures. Energy exposure consequently increased from 5%/NAV to 8%/NAV by month-end.

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