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 – March 2026

The net return for Class F USD shares for March was -4.65%, seeing year-to-date performance moderate to 7.17%.

12-month rolling historical volatility (of daily returns) for Class F USD shares at the end of March were 13.88% versus a target volatility for the Strategy of 15%. Value at Risk (VaR) decreased from 2.39% at the end of February to a monthly low of 1.96%, before increasing again to 2.58% by the end of the month. VaR fell sharply at the start of the month following the breakout of the US-Iran conflict as Fixed Income risk decreased, alongside Equity and FX risk, with Commodities risk modestly increasing. As the month went on, Fixed Income risk increased again as exposure switched from long to short, constituting 30% of total VaR by month end. FX risk fell more modestly over the month, constituting 32% of total VaR by month end, meanwhile commodities risk increased to constitute 22% of total VaR. Equity risk decreased to constitute just 15% of total VaR at month end.

The Equity sector was the worst performing sector in March with losses driven by a broad equity shock at the start of the month as the US and Israel initiated combined military action on Iran, including the assassination of Iran’s Supreme leader. Iran retaliated by attacking US sites and energy production across the region whilst also halting shipping traffic in the Strait of Hormuz. The associated rally in Energy prices created a stagflationary shock for global markets, triggering sharp simultaneous reversals against prevailing trends. Asian and European energy-deficit markets underperformed. The Nikkei, UK FTSE 100, MSCI Emerging Markets, Korean Kospi and French CAC indices were the largest detractors. This was the result of a combination of heightened vulnerability to an energy shock alongside strong YTD performance and positioning. Exposure, which had already moderated to a large degree before the military action on Iran, was broadly pared-back further, with the Strategy’s overall net-long exposure falling from 54%/NAV to 15%/ NAV over the month.

FX positioning saw losses in March as the US Dollar outperformed, reversing recent trends. Long exposure to higher yielding pro-cyclical currencies (amongst the Strategy’s best performers in recent months) struggled. The Australian Dollar, Mexican Peso and South African Rand were amongst the month’s worst performers. Long exposure to the Polish Zloty and Swedish Krona also added to losses, with exposures switching to short intra-month. With recent trends reversing following the US and Israel’s combined military action in Iran and Iran’s retaliatory strikes, exposure was reversed from a US Dollar net-short of 113%/NAV at the end of February to a net-long of 38%/NAV by month end.

Fixed-Income saw modest losses in March, predominantly driven by Bonds, with long exposure to Europe, the UK and Canada leading the losers. Long exposure to European (BTP and OAT), the UK and Canadian bond futures led the losers, with losses predominantly seen in the first few days of the month. With rising energy prices following the start of the US-Iran conflict risking fomenting inflationary pressures, particularly for net energy importing nations, yields rose to the detriment of the Strategy’s long positions. Meanwhile, a dramatic repricing in developed-market (DM) STIRs, particularly in the UK and Europe again, resulted in losses early in the month. Long exposure quickly switched to short, however, seeing the Strategy recoup a majority of the losses as the sell-off continued amid a more hawkish stance from DM Central Banks. Having started the month with an overall Fixed-Income net-long of just over 150%/NAV (or 11bp/DV01), exposure switched to a net-short of 150%/NAV (or 11bp/DV01) by month end.

Commodities saw positive returns this month, with gains in Energy and Agriculture being partially offset by losses in Metals. Long exposure to energy drove gains as prices rose sharply following the supply shock created by the military action in Iran and the widespread retaliation on US sites and energy facilities across the region. The Strategy’s net long increased to just over 9%/NAV before moderating to just above 7%/NAV at month-end amid high volatility, with prices particularly subject to headline risk. Agriculture also added modest gains, predominantly driven by long exposure to Soybean Oil. Gains were partially offset by losses from Metals, particularly from long exposure in Gold. Contrary to its safe-haven appeal, Gold prices fell as financial conditions tightened and some central banks liquidated reserves. The Strategy came into March with a net long of 11%/NAV, which was pared back to 10%/NAV by month end.

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: DG, underlying data from Société Générale Securities Services, SGSS (Ireland) Limited.

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