After forming Swiss-based MOMentum Alternative Investments, the duo launched the Pegasus Fund late last year. The offering is a long/short equity strategy that invests in Europe with a strong focus on the Italian market including small and mid-cap companies. The fund has a $100m capacity, with 30 long positions and 10-15 short ones.

Michele Milla, relationship manager, said the decision to set up the fund was motivated by the managers’ experience of investing in the Italian markets.

“On one hand, we seem to know about the Italian markets and on the other side, we have knowledge about the hedge fund industry,” he said. “We set up an efficient vehicle for investing money in this environment.”

Ortelli joined Gruppo Banca Leonardo in 1998 as head of proprietary trading, where he managed a book mostly focused on equity and equity-related instruments (warrants, single stock options, convertibles and futures) with a total return approach.

Federico Milla was previously head of sales for domestic institutional clients at Gruppo Banca Leonardo with a specific focus on special situations and small-mid caps.

The fund has a €100,000 ($139,000) investment minimum, a 1.5% management fee and 10% performance fee if the fund returns 0-10%, which rises to 15% if it returns 10% or more. There is no lockup, weekly NAV, and investors can redeem weekly with 5 days’ notice. Goldman Sachs is the prime broker.

In its first two months of trading, the fund returned 0.78% and 0.52%, respectively. As of 26 January, the fund was up 3.12% since inception.