Pej Hamidi is the founder of Alpha Insights LLC, a stand alone fund manager carved out of Compellon, his former employer specializing in prescriptive intelligence using proprietary AI and supervised machine learning.  While the majority of Pej's running models are quantitative ... more

Pej Hamidi is the founder of Alpha Insights LLC, a stand alone fund manager carved out of Compellon, his former employer specializing in prescriptive intelligence using proprietary AI and supervised machine learning.  While the majority of Pej's running models are quantitative long/short portfolios, he has agreed to share some of his best directional ideas.

As a quantitative multi-strategy, multi-asset class trader with an emphasis around automated equity trading. Pej employs proprietary multi frequency models to generate consistent, uncorrelated returns with low volatility. Models are designed in Python and C++ with stand alone portfolio optimization and allocation algorithms managing the entire strategy book. 

Market neutral equity portfolios are rebalanced daily while idiosyncratic directional trades are held between a few minutes to a several days. By combining active portfolio management with statistical arbitrage, Alpha Insights captures alpha by trading around core portfolio positions. Returns are enhanced by selling volatility against existing book holdings. This "volatility overlay" is determined by a multi-sigma predictor developed with Compellon's AI to recognize 3 sigma or greater events about to occur in the SPX over the next 5, 10 or 20 days.  Depending on the multi-sigma trigger (i.e which one fired, how many fired, market internals), Pej will make a tactical decision to either cover some short volatility, close all short vola positions, and in some cases, go long vola where he thinks there is a big gamma trade setting up.  

Using proprietary AI, Pej effectively deconstructed the financial market into 26 custom factors. These factors were then used to train their supervised ML engine. In basic terms, each factor determines how they position the trading book as well as any additional correlation hedges that might be used. 

Pej is a big believer in the notion that alpha is trapped within market beta and there are effective ways to extract this alpha using advanced analytical tools. 

"If it hasn't happened before, it can't be predicted.  Everything else is predictable. "