NEW YORK, United States — Greenlight Capital, the hedge fund firm led by David Einhorn, said it made a new investment in retailer Macy's Inc. in the fourth quarter, according to a letter to investors that was obtained by Bloomberg.

A private equity firm and a real estate investment trust could team up to purchase the company and "unlock the value" of its land and buildings, Greenlight said in the letter, which was dated Tuesday. The firm also said it established new positions in German power and gas producer E.ON SE and drugmaker Mylan NV.

Greenlight’s main fund lost 20.2 percent in 2015, its second-worst year since Einhorn started the fund in 1996. Even after that loss, Einhorn has made an average of 16.5 percent a year for the fund’s investors, the firm said in the letter.

"We have never had a year where so little went right," the firm wrote in the letter. "While we had a few shorts that did well, we couldn’t seem to find winning longs."

By Simone Foxman; editors: Christian Baumgaertel, Dan Kraut.