Creating sub folder Outlook for Mac stored on the server

I'm trying to set up a new folder to file emails into which is stored on the server NOT 'my computer. 

On Apple Mail you simply select if it is to be stored 'on my Mac' or on the server - but with MS Outlook I cannot see an option.

As I am moving to IMAP I need to see sub-folders replicated on all devices - not just the inbox / sent box.