Miller's $1.5 billion Legg Mason Capital Management Opportunity Fund lost 11 percent through June 9, third-worst among large funds, Morningstar data show. The fund had 36 percent in financial shares at March 31.
In an April letter to shareholders, Miller wrote that the first quarter was a good one, "for almost everyone except us." He said technology, health care and financial stocks were attractive. Miller, 61, declined to comment for this story, Maria Rosati, a spokeswoman for Legg Mason, wrote in an e-mail.
The fund's largest holding as of March 31, Bermuda-based insurer Assured Guaranty Ltd., lost 19 percent this year. Other financials in the portfolio that have suffered include Richmond, Virginia-based Genworth Financial Inc, down 23 percent, and New York-based Citigroup Inc., down 20 percent.
Miller is best known for beating the S&P 500 for a record 15 straight years through 2005 with his larger Legg Mason Capital Management Value Trust. The fund trailed the U.S. benchmark for the next three years as Miller underestimated the severity of the financial crisis and his bets on banks and real- estate companies backfired.
The $3.6 billion Value Trust fell 0.5 percent through June 9, trailing 94 percent of rivals, Bloomberg data show.