* New CEO sought to deal with Silicon Valley threat
* Chief financial officer to take charge for now
* Former banker Grabau leaving after less than 3 years (Adds comments from news conference, source, details)
By Mia Shanley and Rebecka Roos
STOCKHOLM, Dec 7 (Reuters) - The chief executive of Swedish investment firm Kinnevik is leaving with immediate effect to be replaced by a new leader who will have to fend off competition from technology giants such as Amazon.
Expanding from its roots in media and telecommunications, Kinnevik has become one of Europe's most prominent backers of tech companies including online fashion firm Zalando and internet incubator Rocket Internet.
The abrupt departure of former Goldman Sachs banker Lorenzo Grabau comes after only two and a half years in charge. The decision was taken at a special board meeting in Stockholm when senior company figures were in the city for a Christmas party.
Tom Boardman, chairman of Kinnevik's board, told Reuters that Grabau lacked the skills needed to take Kinnevik further and that a change had been discussed for some time.
"We are going to compete in this very challenging space ... against some of the world's biggest companies such as Google and Amazon who are making investments," he said, adding that the phase of consolidation, clean-up and major IPOs was over.
"We are now in a phase of building a powerful company, a leader in the digital field of mobile, health and financial services," he added.
One source who declined to be named said Grabau had "created a wedge between the team and the board", causing the board to lose touch with business on the ground. Kinnevik has a staff of 30 and offices in Stockholm and London.
"He was the wrong cultural fit for Kinnevik, which has always been tight," the source said. "He became a filter between the team and the board. He was more hierarchical."
Grabau, who is Italian, declined to comment.
Chief Financial Officer Joakim Andersson will take over as acting chief executive while the company seeks a replacement.
Boardman said Grabau had been hired to drive consolidation and execute a large number of transactions, including the listings of both Zalando and Rocket Internet in Frankfurt in 2014.
Boardman replaced Cristina Stenbeck as Kinnevik chairman nine months ago. Stenbeck had inherited the company at the age of 24 after her father died in 2002 of a heart attack.
Under Grabau's watch, Kinnevik sold its entire 31 percent stake in Russia's biggest online classifieds firm, Avito, for $846 million to Naspers Ltd.
But Kinnevik opted not to match surging levels of investments pouring into technology companies in 2014 and 2015, taking a more conservative approach.
A successful IPO of Zalando contrasted with a disappointing performance from Rocket after its listing. A scandal also hit emerging markets telecoms operator Millicom, another company backed by Kinnevik.
Kinnevik shares have risen 6 percent since Grabau became chief executive in May 2014, underperforming the wider Stockholm stock market by 10 percentage points in the same period.
Grabau's relationship with Rocket Internet, in which Kinnevik has a 13 percent stake, has not always been easy.
He resigned as chairman of Rocket's supervisory board this year following differences between Kinnevik and Rocket over the valuation of joint investments, with Kinnevik putting a lower price on most of them, causing Rocket shares to fall sharply.
Kinnevik said at the time the departure was to avoid any potential conflicts of interest over future investments as Rocket had moved from being a pure internet incubator to more of an investment firm like Kinnevik.
Grabau will remain on the boards of Millicom, Qliro Group, Tele2 and Zalando. (Additional reporting by Olof Swahnberg, Helena Soderpalm, Oskar von Bahr, Eric Auchard in Frankfurt and Emma Thomasson in Berlin,; editing by David Clarke and Keith Weir)