Pej Hamidi is the founder of Alpha Insights LLC and a co-founder of the Penseur Fund, specializing in high capacity equity portfolios that are uncorrelated to the broad benchmarks. While the majority of Pej's running models are quantitative long/short portfolios, he has agreed to share some of his ...
morePej Hamidi is the founder of Alpha Insights LLC and a co-founder of the Penseur Fund, specializing in high capacity equity portfolios that are uncorrelated to the broad benchmarks. 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-asset class trader, his research is focused on market neutral portfolio construction. Pej differentiates his style of market neutral portfolio trading from other managers claiming to be market neutral by defining market neutral as being "dollar neutral" and "beta neutral". Where most other managers are just pairing off their long and short notional exposures, and claiming to be market neutral as a result, Alpha Insights measures beta loads across all 13 S&P 500 sectors and 9 additional factors, to calculate correlations and covariance of each position relative to every other position in the portfolio. As Pej puts it, "if you're not measuring beta loads across your holdings, then you're just slapping lipstick on a beta fund and falsely claiming to be an absolute return strategy to justify higher fees. Who wants to pay an incentive fee for market beta? Maybe in the latter half of the 20th century this was reasonable, but today, I would say it's misrepresenting risk".
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