Another hedge fund has fallen prey to seemingly unbeatable markets.

John Burbank's Passport Capital is shuttering its flagship Passport Global Fund at the end of this year because of "unacceptable" returns over the last two years that "cause me to rethink how to manage money in this environment," he said in a letter to investors Monday.

The manager, who gained prominence with a winning bet against subprime housing before the 2008 financial crisis, joins others who are calling it quits lately.

Earlier this year, Eric Mindich returned money to investors in Eton Park Capital Management. In September, Whitney Tilson said he would shut down his Kase Capital Management, and last month Neil Chriss said he would close Hutchin Hill Capital and return money to investors.

Fund managers are having difficulty finding winning bets as markets continue their record-setting climb. Even managers who are still in the game have complained about the treacherous markets. Earlier this year, David Einhorn of Greenlight Capital questioned whether value investing is still a viable strategy.

Burbank said he would continue to focus on the Special Opportunities Fund and Saudi share class, which he calls "differentiated investment opportunities" where they have a significant edge. "I am confident that focusing on a small number of high conviction long term ideas will continue to yield positive results," Burbank said in his letter.

He founded Passport 17 years ago with less than $1 million. He closed a long-short strategy fund earlier this year, Bloomberg reported, and the firm was hit with investor withdrawals.

Burbank said in his letter that Saudi equities are an opportunity because almost no foreigners own any yet, and the firm will continue to invest in technology winners and "old economy losers." He also left open the possibility of opening a new fund.