LEON COOPERMAN: 'Our 2014 performance was embarrassing'

The fund dropped 4.2% in the fourth quarter of 2014. Omega ended the year down 2.8%, according to the latest investor letter posted by ValueWalk.

"We are disappointed by our 2014 performance, both in absolute terms and relative to relevant equity-index benchmarks," Cooperman wrote.

He continued: "Our 2014 performance was embarrassing and we failed to deliver acceptable returns. But while we clearly lost the sprint, we are confident that we will continue to win the marathon and provide attractive investment results over a relevant investment time-horizon. Our only solace is our long term record of outperformance and the knowledge that the greatest baseball hitter of all time, Ted Williams, struck out 709 times out of 7,706 plate appearances, but was teh last player to hit over .400 and had a lifetime batting average of .344."

In the letter, Cooperman says that they were over-weighted in the underperforming energy sector and under-weighted in the outperforming sectors like healthcare, technology and consumer staples. What's more is Cooperman says he "missed the mark" with his energy call. He didn't anticipate oil prices falling from $110 per barrel to $60 per barrel at the end of the year.

Last year was a challenging year for most active funds managers. According to research firm Preqin, hedge funds on average returned just 3.78%, the lowest annual return since their 1.85% loss in 2011. For comparison, the Standard & Poor 500 rose 13% last year.