Paolo Pellegrini, a key former colleague of hedge fund legend John Paulson, has lost big – likely millions of dollars – investing in a Paulson fund.

In 2006, when Pellegrini was working at Paulson & Co., he helped convince the boss to bet big against sub-prime mortgages.

That position earned the firm $15 billion in 2007 – and Pellegrini a bonus of $175 million, knowledgeable tell The Wall Street Journal.

Pellegrini later left the firm and now focuses on investing his own money. At the beginning of last year, he invested “a significant portion of my personal money” in the Paulson Advantage Plus fund, Pellegrini informs the Journal.

The sum totaled $10 million to $20 million, knowledgeable sources tell the Journal.

Unfortunately for Pellegrini, the fund suffered a loss of more than 50 percent last year and has fallen further this year.

But he’s not overly upset. "I'm disappointed but I don't fault them for not doing their work," Pellegrini says. "This is a very difficult market to predict . . . as an investor. It's like a game of Russian roulette."

Pellegrini’s setback points to the perils that all investors face.

When you are deciding whether to put money in an investment fund, the only basis you have for your decision is the manager’s track record and your confidence in his/her current strategy. The risk of a loss can’t be erased.