Robeco Alternative Investments is looking into writing cliquet options on its hedge funds. The exotic options can be used to lock in gains on the underlying and are rolled at predetermined periods. They are already offered by major fund derivative houses with access to managed accounts. Robeco would look to write such an option on either a single hedge fund or a basket of funds managed in house.
Edwin Noomen, structured products official in Rotterdam, Netherlands, said Robeco has not yet priced such a structure but would do so if there was investor demand. "It's something our salespeople have in their briefcase when they go to clients," he noted. The firm believes recent hedge fund volatility makes the idea of locking in gains in hedge fund investments appealing.
