David Einhorn's hedge fund, Greenlight Capital, suffered one of its worst quarters ever to start 2018, posting a loss of 13.6 percent.
In a letter obtained by CNBC, the manager told his investors that Greenlight has posted a similar or bigger loss only five other times, but the previous underperformance was easy to explain.
"This period has not been like any of these. No events or individual positions stand out. Our losses were broad throughout the portfolio, but generally shallow," Einhorn wrote on Tuesday. "We believe our investment theses remain intact. Despite recent results, our portfolio should perform well over time."
Greenlight Capital's investments underperformed the S&P 500, which fell 1.2 percent during the first quarter. Einhorn explained that stock prices often seemed to defy strong earnings and fundamentals across the quarter.
"On the one day when investors received actual information about companies, more often than not the market prices followed the reported results," he added. "The problem was … all the other days."
Long positions in stocks that met or exceeded earnings expectations wound up losing 4 percent during the first quarter, while those that missed expectations dropped 17 percent, Einhorn said. And stocks where Greenlight had a "short" position, or a bet they would fall in price, posted quarterly gains, even if they didn't meet expectations.
But they aren't changing their thesis about some of the fund's biggest positions. Take General Motors, for example. The automaker's stock fell 18 percent from its peak to the end of the quarter, Einhorn noted in the letter. "We just don't see what the market may be saying, and we believe that GM is more likely to exceed near and immediate-term forecasts than to disappoint."
Greenlight Capital's largest disclosed long positions at the time of the letter were AerCap, Bayer, Brighthouse Financial, GM and gold. The fund exited its short position in United Rentals after a "medium" loss.