Robeco to offer new equity derivatives-based fund

Dutch asset manager Robeco plans to launch a second guaranteed fund product that uses equity derivatives.

The Euro Stoxx 50 will ultimately determine the overall payout from the new fund, which closes to new subscriptions on December 17. Investors’ gains are locked in a maximum of two times during the new fund product’s seven-year life. So, if the index rises by 25% and 50% above its level at the product’s inception, investors receive 75% of these gains, at maturity.

Earlier this year, Robeco launched a similar, though more complicated, product based on the AEX Dutch stock market index. In this product, the AEX index’s performance is synthetically replicated via the purchase of an over-the-counter five-year ladder call option at the fund’s inception.

The option position consists of a long European call combined with various knock-in put options - both long and short - Marcel Pronk, Rotterdam-based equity portfolio manager in the structured products group at Robeco, told RiskNews. The ladder option allows gains to be locked in if the AEX index reaches 10%, 20%, 30% and 40% above its initial level. Investors’ exposure will be equivalent to 80% of the option’s payoff.