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.