David Einhorn's Greenlight Capital missed out on the best January for stock investors in two decades.

Greenlight Capital Offshore declined 6 percent in January, while the Greenlight Capital LP fund dropped 6.6 percent, according to a source familiar with the returns.

The rose 5.6 percent last month, marking its best January performance since 1997. January's gain was also the best month for the S&P 500 since March 2016.

A source told CNBC the fund manager said to investors that many of the firm's bets against companies rose by 15 percent or more, outperforming its long positions. Einhorn also said most of the fund's underperformance occurred in the last week of January.

The weak monthly return followed Einhorn's poor performance last year. Greenlight Capital returned a meager 1.6 percent in 2017 versus a 19.4 percent gain for the S&P 500, according to an investor letter.

The fund manager has already lamented over his bearish bets on stocks last year. Shorting is a trading strategy where investors borrow and sell shares in hopes of buying them back at a profit after a drop.

"The biggest losers for the year were our short positions on the 'bubble basket' and Caterpillar," he wrote in his annual letter to clients on Jan. 16. "It's tough to look at full year losses on Amazon (+56%), athenahealth (+26%), Netflix (+55%) and Tesla (+46%) when we believe all those stocks appeared priced with little margin for error entering the year, and none executed well or met fundamental expectations in 2017."

If Einhorn didn't exit those positions, the same basket of stocks likely contributed to the fund's losses in January.

Amazon rose 24 percent, athenahealth dropped 6 percent, Netflix rallied 41 percent and Tesla gained 14 percent in the first month of 2018.

A Greenlight spokesperson declined to comment.

— CNBC's Scott Wapner and Leslie Picker contributed to this story.