Roger Federer has won a record 17 Grand Slam singles titles and 85 titles overall. He has won events in 19 different countries. When in Rome, though, Federer always ends up losing.

Of all the tournaments he has entered three or more times, Federer has failed to win just three, according to tennis-data website Tennis Abstract: Rome, Monte Carlo, and the Olympic Games. On Wednesday in Rome, Federer will begin a 15th campaign for his first Italian Open title. It’s the most he has played anywhere without winning. Federer has...