May 31 (Bloomberg) -- Lehman Brothers Holdings Inc. plans a $500 million initial public offering of a private-equity fund next month, even after similar pools have struggled to return investors' money.

The fund, which New York-based Lehman will begin marketing June 6, will invest with outside private-equity managers, said two people with direct knowledge of the plans. Shares of Lehman Brothers Private Equity Partners will be listed on Euronext Amsterdam, said the people, who declined to be identified before the fund goes on sale.

Lehman will need to persuade buyers that its fund will beat the record of predecessors sold by Kohlberg Kravis Roberts & Co. and Leon Black's Apollo Management LP, whose shares have lagged behind global stocks. Investors are wary because the pools can take years to deliver returns and are difficult to monitor, said Francesco Fonzi at Credit Suisse Group.

``We prefer to diversify our investments with assets that are clearer to understand and more transparent,'' said Fonzi, who helps manage the equivalent of about $9.5 billion as head of portfolio management at Credit Suisse in Milan.

Shares of KKR Private Equity Investors LP closed at $23.40 today in Amsterdam, 6.4 percent below the May 2006 IPO price. The fund invests mostly in New York-based KKR's buyouts.

AP Alternative Assets LP, New York-based Apollo's fund, closed at $20.70, 3.5 percent above the August IPO price. It invests half its assets in private equity, with the rest in stocks and bonds.

Carlyle

Both stocks have trailed the Morgan Stanley Capital International World Index, which has gained 17 percent since May 2006.

Among the best performing funds is Partners Group Global Opportunities Ltd., a fund run by a Swiss manager of buyout and hedge funds, which has gained 6.3 percent since its September IPO in London.

Carlyle Group, a Washington-based private-equity firm, said earlier this month it would seek a $1 billion public offering for a fund on the Euronext exchange. It will invest in AAA-rated U.S. agency mortgages and other credit products, according to a May 14 regulatory filing.

Lehman and Carlyle's plans differ from those of New York- based Blackstone Group LP, which is set to sell a stake in its management company through an IPO on the New York Stock Exchange. The Chinese government is buying a $3 billion stake in Blackstone simultaneous to the public offering, which is planned for later this year.

Carlyle co-founder David Rubenstein said in a May 25 interview his firm was exploring whether to pursue an offering similar to Blackstone's.

``We're going to make our own decision about whether it's a good thing to do and the timing,'' he said in Washington.

Serra Balls, a spokeswoman for Lehman in London, declined to comment.

ABN Amro Holding NV, Lehman and UBS AG are managing the Lehman fund IPO.

To contact the reporters on this story: Alexis Xydias in London at at axydias@bloomberg.net; Elisa Martinuzzi in Milan at emartinuzzi@bloomberg.net

Last Updated: May 31, 2007 15:25 EDT