A look at Leon Cooperman, subject of SEC inquiry

Leon Cooperman
Source: CNBC
Leon Cooperman

Leon Cooperman's Omega Advisors is a surprising subject for a new government trading inquiry.

With one minor exception, Cooperman and his $9.4 billion New York-based hedge fund firm enjoy an excellent reputation and have avoided the slew of insider trading investigations that have stained the reputation of other hedge fund firms in recent years.

Despite a small loss last year, Cooperman's addiction to finding undervalued stocks has resulted in annualized returns of about 14 percent over nearly 25 years, among the best long-term track records in active money management.

The 71-year-old Bronx-native is worth an estimated $3.7 billion, according to Forbes, but is known for his philanthropy and frugal lifestyle. Once called "the James Brown of hedge funds" by a peer, he loves his work so much he struggles to do much else.

"The way to be successful is do what you love and love what you do," Cooperman told CNBC last year. "I get paid normally a lot of money for basically doing something I enjoy doing. And what I enjoy is to hunt—finding something somebody else doesn't see, making a bet and having Mr. Market prove me right."

Read MoreAlpha addict: The amazing career of Leon Cooperman

Cooperman told clients his firm had been subpoenaed by the U.S. attorney's office in New Jersey and the Securities and Exchange Commission, according to a letter obtained by CNBC on Thursday.

Cooperman said in the letter that the investigation is in the very early stages and that the subpoenas seek information on the trading of certain securities.

"We are cooperating fully with the government's request for information. There have not been any allegations of any wrongdoing at Omega. We have conducted ourselves properly at all times and are confident that when the government completes its review it will come to the same conclusion," Cooperman told CNBC on Thursday.

It's not clear which trades were in question. Omega's top positions are Actavis, Sirius XM, Atlas Energy and AIG, according recent public filings. Representatives of those companies did not immediately respond to a request for comment. The U.S. attorney's office and the SEC declined to comment.

Omega's main fund is up 2.93 percent net of fees this year through February, according to a report from HSBC's Alternative Investment Group. That makes up for the 2.13 percent loss the fund suffered in 2014 on stocks like Sprint, Monitise, SandRidge Energy and Atlas Energy,

In 2012, at CNBC and Institutional Investor's annual "Delivering Alpha" conference, Cooperman saw positive returns from 10 of the 10 stocks he picked.

Read MoreCooperman bullish despite loss

Cooperman founded Omega in 1991 after 25 years at Goldman Sachs, where he rose to be CEO of the bank's asset management unit. Cooperman's top deputy is Steve Einhorn, another Goldman alum who joined Omega in 1999 and is vice chairman.

Omega had one previous brush with the law.

An Omega executive, Clayton Lewis, was aware of a 1998 scheme to bribe officials in Azerbaijan to buy a government oil company from which Omega could profit. Omega signed a nonprosecution agreement with the Justice Department in 2007 and paid $500,000 to resolve the matter. Lewis pleaded guilty, cooperated with investigators and was sentenced to time served—six days.

Cooperman said Clayton lied to him and Omega sued to recover some of the losses. The parties agreed on a private settlement in 2010, and Omega has largely avoided emerging markets since.

"I had a rogue employee. It happens," Cooperman told CNBC.com in 2014. "But it was the worst chapter in my life."

Cooperman has said recently that he has no plans to retire. He's lived in the same New Jersey house for decades, which he shares with his wife of 50 years, Toby. The couple signed the Giving Pledge in 2010, a commitment to give a majority of their wealth to charity.

"[We] feel it is our moral imperative to give others the opportunity to pursue the American Dream by sharing our financial success," they wrote at the time. "In the 1930s, Sir Winston Churchill observed that 'We make a living by what we get, but we make a life by what we give.' ... It is in this spirit that we enthusiastically agree to take the Giving Pledge."

Disclosure: Cooperman is on the advisory board of Delivering Alpha, a conference in July presented by CNBC and Institutional Investor.