Bolton noted that the stock market tends to lead the horse business by six to 12 months. "When Lehman went down in '08, the horse business felt it on '09," he said. "Now it's coming back to almost '07 levels but it's lagging the stock market by 12 months."
Prices at this year's Saratoga Sale were nearly flat from last year, with the average price down about 1 percent. However, 6 percent more horses traded hands.
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Harry Herbert of Highclere Thoroughbred Racing said the uptick in activity can be partly attributed to new international buyers in the market—including one of his clients. Herbert advised Sheikh Joaan Al-Thani of Qatar, a deep-pocketed new force on the global racing scene who is rapidly expanding his Al-Shaqab operations both internationally and stateside.
But it was actually another royal family that spent the most at Fasig-Tipton's sale: Sheikh Mohammed al Maktoum of Dubai. His advisors spent more than $5.3 million on 11 yearlings during the two-night sale.
Herbert said international buyers from the Middle East and China have been lured by the top-notch pedigrees and the fact that purses at U.S. races are increasing.
Prize money is important: it provides one possible return on a pricey investment. And while racing is certainly a passion for the wealthy owners that frequent auctions like Saratoga, many also see this as an alternative investment, looked upon similarly to art or luxury real estate.
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Take celebrity chef Bobby Flay, who buys, sells and races horses. "I do it all because it's a business. I can't afford to just keep everything and hope for the best on the racetrack. There are a lot of people that are interested in the families I purchase and the breeding that comes out of it."
Flay said he approaches racing the same way he approaches the stock market: carefully picking investments for long-term gains, expecting to realize profits some years, while suffering losses in others. For that reason he prefers to buy fillies with strong pedigrees that can yield steady returns through breeding.
But the biggest returns can come from stallions, which run the biggest races like the Kentucky Derby and the Preakness. "I think breeding is more predictable but racing is more fun," said B. Wayne Hughes, the billionaire co-founder of Public Storage, and the owner of Spendthrift Farm in Kentucky. "You can get very lucky very quickly. If you are trying to forecast your economic future with races, than you want to be on the stallions."
Bolton added that stallions can be a high-margin business—if they are winners. Champion stallions pull in prize money while racing and then command top dollar as sires.
Another strategy that plays out at yearling sales like Saratoga's is "pinhooking," or horse-flipping. Some investors, like Bell, purchase yearlings, train them, and then bring them back to auction as two-year olds. It's the riskiest of the three strategies, but one that can pay off in multiples if done correctly with a promising horse.
Still, owners say the key to making any of this work is scale—having enough horses to pull in multiple revenue streams while hedging against any that underperform—and many do underperform.
"You can hit the homeruns but you can also go to zero. There are injuries that can happen. It's not like putting your money in a Spyder Index and watching your money go up," Bell said.
"It's a great way to make a million dollars, if you start with 10 million," Hughes said. "Now, we are making money and I like that better."
—By CNBC's Morgan Brennan