Sycorax is the brightest of the five irregular Uranian satellites recently discovered. These satellites are supposed to be captured bodies. We present visible and near-infrared photometry, as well as near-infrared spectroscopy of Sycorax. The overall shape of the spectrum is quite puzzling: it has a red slope in the visible (such as Centaurs and Transneptunian objects), whereas the reflectivity strongly decreases beyond 1 mu m and is rather flat over the near-infrared range. We were not able to reproduce the spectral behaviour of Sycorax using simple materials. A rotational effect is suggested to explain the shape of the spectrum. BVRIJ magnitudes have been measured over a period of 1 hour, with five V measurements which do not show any strong variation. So only a strong change in the magnitude between the V measurements and the J measurement (30 min later) could explain the shape of the spectrum, but further investigation is required to conclude. Based on observations made with ESO Telescopes at the Paranal Observatory (under programme IDs 63.S-0200 and 65.S-0147) and with Telescopio Nazionale Galileo at Observatorio del Roque de Los Muchachos.