Because I follow corporate welfare, regulatory robbery, lobbying, and subsidies, folks often joke that I should start a hedge fund that invests in whoever is about to benefit from government action.

I know some investors and investment advisors already do something like that, but I wouldn’t. Morally, it’s depraved, but strategically it strikes me as unwise.

Historically, I’ve seen it not work. Investors rushed into ethanol after the 2007 energy bill, and many of them lost lots of money doing so, as an ethanol-distillery bubble formed and companies went under.

Senate Banking Committee staffer Amy Friend invested in Fannie Mae when it became clear the government would bail the company out — and she lost plenty.

A couple of possible explanations:

Federal subsidies often flow to companies who can’t hack it in the market — and the market’s ability to punish lack of value ends up being stronger than most subsidies’ ability to prop up companies.

Also, politics are fickle. Politicians are fickle, and in a Democracy, regimes change. Did you invest in long-term-care providers after ObamaCare passed with federal subsidies for long-term care? Well, you got into trouble when Democrats ran away from this subsidy over budgetary concerns after the bill passed.

Most importantly, there are thousands of lobbyists and hundreds of investors with better political connections than you have. If you’re investing in politics and your name isn’t Buffett, Podesta, or Pickens, you’re probably playing an away game.

I’m open to other explanations — and certainly some exceptions to the rule — but rich people who know much more than I do about investing seem to be coming around to that conclusion.

Start with fabled subsidy-chaser Vinod Khosla. Khosla invested big in ethanol, and then invested big in a California ballot initiative to subsidize ethanol. He also invested $350 million in a heavily subsidized wood-chip-to-ethanol company that then failed.

These days, Khosla is saying that subsidies might provide gravy, but they can’t save the unsustainable. From Forbes:

“Subsidies in the U.S. or Europe might help you get started, help you get down the cost curve but if the technology is not competitive unsubsidized in the marketplace within five years of it launching, we won’t invest in it,” he added.

“Cleantech” booster Mark Goodman at XConomy echoes Khosla’s argument:

Disentangle environmental considerations from your investment analysis. Many of us in cleantech are motivated by environmental concerns, but factors that enhance personal satisfaction may cloud professional judgment. Cleantech investment opportunities should be able to stand on their own business merits.

Again, if you are very cozy with a very powerful politician, you can definitely make a short-term buck. If you’re an average Joe investor planning to buy and hold — chasing subsidies is perilous, in my opinion.

Most importantly, do you really want to be in the position of rooting for the preservation of some subsidy or mandate?