Shortlist: Best event driven hedge fund; Best multi-strategy hedge fund

Winner 2010
Best event driven hedge fund

Launched in September 2008 at the time that the world's financial services went into virtual meltdown, the Vallea Fund achieved 14.70% in this environment and has overcome the markets to end 2009 with an impressive 117.88% return. Vallea Fund confirmed the trend in 2010 with a 15.38% return.

The non-correlated investment style aims to deliver above-average absolute returns with low volatility in all market environments. Run out of the offices of fund advisory company BelleVue Conseils in Geneva, Switzerland, the fund's strategy is to exploit global opportunities in a broad spectrum of asset classes.

These can range from long/short positions on equities to convertible bonds, options and futures. The fund is a high turnover trading strategy, which can hold positions for periods from a few days only or up to three months.

Co-managers of the fund Alessandro Palmarella and Pascal Monnerat have 45 years of combined industry experience between them and have traded this type of strategy together successfully for 10 years.

The extensive experience of the managers has included managing money in times of considerable market disruption. This contributed to the success of the fund in 2009.

"We have had a very attractive track record with very little volatility, which is impressive considering recent market conditions," says Monnerat. The following year, 2010, was more consolidating the performance. This year is expected to be tougher with much less value in global assets and so the strategy will be more defensive.

The fund is unrestricted in where it invests, although the managers have mostly kept their investments to the more developed markets.

Performance is derived from the anticipation of deals based on the fund managers' views of market themes and research of investment opportunities. The managers also use what they term an opportunistic approach model in order to capture the growing themes with the best momentum.

The fund managers have also developed a worldwide index and sector scanning methodology to determine trades with the best momentum/risk ratio.

Because the fund is largely event driven, with around 75% of the portfolio in that strategy with a 25% multi strategy weighting, it can target a number of opportunities across different market strategies.

"More importantly, the decreasing involvement of prop trading desks in the markets creates excellent opportunities for our type of strategy," notes Monnerat.

"Our multi-strategy approach to event driven-style investing and our short to medium-term horizons make us rather unique in our approach," he adds. "More importantly, however, our approach to risk management is very technical and this allows us to override our fundamental ideas with hard stop losses and limits, which are crucial in limiting losses."

This strategy has enabled the fund to develop the expertise and non-correlated investment style to deliver above-average absolute returns with low volatility in all market environments. "This is particularly valuable to investors in adverse economic conditions," states Monnerat.

Around half of the fund's research is generated internally. Its opportunistic investment approach is supported by both top-down and bottom-up analysis and disciplined trading techniques.

The fund aims to preserve capital and manage risks associated with adverse financial markets through diversification and hedging. However, the managers believe diversification is not the prerequisite to investment success.

"What we emphasise in our strategy is risk management and limiting losses. We size trades accordingly, with hard sell targets and we trade on technical patterns," Monnerat explains.

The fund operates a soft lock-up for the first year of investment with any redemptions during the 12-month period subject to a 5% redemption fee.

Fund Facts
Full name of fund: Vallea Fund
Fund managers: Alessandro Palmarella and Pascal Monnerat
Investment management company: BelleVue Conseils
Contact: Pascal Monnerat or Alessandro Palmarella, 5 Place de la Fusterie, CH-1204 Geneva, Switzerland (+41 22 310 99 15)
Launch date: 2008
Portfolio size: $162 million (at December 31, 2010)
Average annualised return: 56.79% (at December 31, 2010)
Average annualised volatility: 14.65% (at December 31, 2010)
Strategy: event driven, multi-strategy
Share classes: euro, US dollar, Swiss franc
Administrator: Swiss Financial Services, Ireland
Auditor: KMPG
Custodian/prime broker: Citigroup Global Markets
Management fee: 2%
Performance fee: 20%
Minimum investment: $100,000
Lock-in/up: soft lock-up for first year of investment (redemptions during the 12-month period subject to a 5% redemption fee)
Redemption: shareholder redemption may occur on any monthly dealing day, subject to 30 calendar days’ notice