The firm was founded in 1998 and was based in Westport, Connecticut, United States, with additional offices in San Francisco; New York City; Los Angeles; Greenbrae, California; Menlo Park, California; Wellesley, Massachusetts; and London, United Kingdom.
In May 2009, the firm announced it was closing and in an agreement with the Securities and Exchange Commission on May 27, 2010, paid a $28 million fine (consisting of $18 million in returned profit and $10 million in penalties), and Samberg was barred from working as an investment adviser for alleged violations of insider trading involving Microsoft Corporation stock occurring in 2001 and a prospective new hire of the hedgefund, David Zilkha, from Microsoft. On May 28, 2009, with an insider trading investigation ongoing, Samberg wrote, "With the situation increasingly untenable for the firm and for me, I have concluded that Pequot can no longer stay in business."  One of the investigators of the case, Gary J. Aguirre, won a whistleblower case after being fired when he recommended that the investigation proceed further.
^Senate report, pp. 11–14 "The Firing of an SEC Attorney and the Investigation of Pequot Capital Management." Joint report by the United States Senate Committee on Finance and the Senate Judiciary Committee (August 3, 2007). Retrieved February 20, 2011