Robeco Alternative Investments
may use over-the-counter derivatives to structure a
guaranteed fund of hedge funds it plans to launch in the
Noomen, v.p. in Rotterdam, said the fund
is likely to be around EUR50 million (USD42.9 million), have a five
year maturity and will be referenced to a portfolio of 15 funds
across six categories, including convertible arbitrage and global
Robeco usually uses constant proportion portfolio
insurance (CPPI) to provide the guarantee on its fund of funds. In
this method a progressively increasing or decreasing amount of
capital can be moved in or out of the hedge funds and into money
market instruments according to the performance of the funds,
Noomen said. This structure allows Robeco to increase leverage from
an initial level of 110% up to a maximum of 130%. The asset manager
has used CPPI for structuring two seven-year guaranteed funds but
is weighing the cost of using instead OTC derivatives.
Robeco will make its decision based on price,
which will determine the participation level for investors, Noomen
explained. The asset manager will choose counterparties based on
price and their tenure in the market, he added.
Robeco Alternative Investments is part of Robeco,
which has EUR110 billion under management.