Bill Miller

Loss this year: flagship fund down 58%.

Called the "greatest money manager of our time" by Fortune magazine, Bill Miller beat the market for 15 straight years until 2005—the only mutual fund manager to do so. Thanks to that record, the chief executive officer of Legg Mason Capital Management (LM) seemed to be a one-man refutation of the efficient market theory—which says that sooner or later the performance of all active managers reverts to the mean. Guess what, it does. After underperforming in 2006 and 2007, Miller's returns fell off cliff in 2008. His flagship Legg Mason Value Trust dropped 58%.

Miller, who holds a PhD in philosophy from Johns Hopkins University, was early in expanding the definition of value investing. In the mid-1990s he began buying technology stocks and later Internet companies under the theory that they had the dominant market shares and high returns on capital that value-oriented stock pickers love.

In 2008 though, companies such as Amazon.com (AMZN), eBay (EBAY) and Yahoo! (YHOO) were among Miller's worst performers. Miller also got caught in a classic value trap, holding on to financial stocks such Merrill Lynch (MER), JP Morgan Chase, and even Countrywide Financial (BAC), all of which took a beating in the mortgage meltdown.

In a November letter to fund shareholders, Miller said the Treasury Dept. and Federal Reserve erred by letting Lehman Brothers go under and diluting the stock investors in Fannie Mae and Freddie Mac. He said he's actively working on new strategies to improve performance at his funds.