Nelson Peltz, the founding partner and chief executive officer of Trian Fund Management, hinted at a potential for a proxy contest at PepsiCo, one of his hedge fund's holdings. He said there "could be" a proxy context and that he "most definitely" still wants to break up the company and put it in two at the Delivering Alpha conference presented by CNBC and Institutional Investor Wednesday. "We have definitely not disappeared from the scene," he said. Peltz added that the stock has moved not because of the earnings, but because of Trian's suggestions for corporate improvement. "There has been a cultural change at Pepsi," he said. Read More Druckenmiller: These investors still have 'guts