Cooperman's record is not without blemishes. In 2008, Omega lost 35.2 percent net of fees. It was by far the largest loss in the firm's history and worse than most hedge funds during the peak year of the financial crisis (the AR U.S. Equity Index fell 13.98 percent).

"So it was really 2008 that was a rough patch for us, and it was very simple. We misjudged the significance of Lehman," Cooperman said in a 2011 interview. "2008 was transformative for me because, at the time, I allowed my people to hold onto their positions when I should've started kicking them out well before we got into the hole." (Lehman Brothers, one of the nation's largest investment banks, filed for bankruptcy in September 2008, precipitating the financial crisis that drove the U.S. economy into a deep recession.)

To Omega's credit, it did not "gate" investors as others did, meaning it allowed them to take out their money as usual. The fund rocketed back with a 52.6 percent gain in 2009; Cooperman said on CNBC that he saw some signs of optimism days after the stock market's nadir in early March. He noticed early that stock prices were often not falling even when their earnings were poor, a sign of a bottom. Omega continued its value strategy in early 2009, buying cheap stocks and betting that the market would rise, or at least not "double dip" again into a depression.

"There's a sustainability to the economic expansion when it comes about," Cooperman said on CNBC in August 2009. "We're bottoming around now."

Omega lost money in four other calendar years. In 1994, it fell 24.1 percent in part because of bad bond, stock and macroeconomic bets. In 1998, it was down 5.2 percent despite a roaring stock market, thanks mostly to emerging market loses precipitated by Russia's debt default. In 2002, Omega declined 12.7 percent, although less than S&P 500 Index. And in 2011, it fell 1.4 percent mostly on bad equity positions, a year many hedge funds struggled given stock market swings around a potential U.S. debt default.

Cooperman's self-described worst investment was when an Omega executive, Clayton Lewis, was aware of a 1998 scheme to bribe officials in Azerbaijan to buy a government oil company from which Omega could profit. Omega signed a nonprosecution agreement with the Justice Department in 2007 and paid $500,000 to resolve the matter. Lewis pleaded guilty, cooperated with investigators and was sentenced to time served—six days. Cooperman said Clayton lied to him and Omega sued to recover some of the losses. The parties agreed on a private settlement in 2010, and Omega has largely avoided emerging markets since.

"I had a rogue employee. It happens," Cooperman said. "But it was the worst chapter in my life."