Robeco to offer new equity derivatives-based fund

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.

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