Disappointed in how your portfolio fared last year? Don’t look for any sympathy from John Paulson. The hedge fund giant personally lost roughly $3 billion last year. That $3 billion is the amount his own capital in his funds decreased in value in 2011.

But things would have been even worse for Paulson had he been invested in the same shares of his funds as most of his investors. Except for the Paulson Gold fund, his funds have two classes: a conventional class and a gold class, which leverages up and uses the....