Investing seems to be more of an art than science. It's not necessarily about hiring smart people or having super computers. It's usually about one person who has that intangible X-factor.

For example, in 2006, Goldman Sachs' mega hedge fund, Global Alpha Fund, actually sustained a 6% loss. Yet if you look at some of the hedge funds led by legendary investors, things look much better. This is the conclusion of an excellent article in Bloomberg.com.

Take Steven Cohen, who manages SAC Capital Advisors. Last year, his fund returned a whopping 34%. Or look at Ken Griffin's Citadel Investment Group, which also returned more than 30%.

These investors show that success often means going against the conventional wisdom.

In the case of Cohen, he has become more of an activist. One of his plays was to join with Carl Icahn to make a move on Time-Warner. He has also intervened in the $25.5 billion deal between Phelps Dodge and Freeport-McMoRan.

As for Griffin, he made a bold bet buying-up the portfolio of Amaranth Advisors, which was a massive hedge fund blow-up.

Griffin's firm plans to go public soon.

Tom Taulli is the author of various books, including the Complete M&A Handbook and the EDGAR-Online Guide to Decoding Financial Statements.