In an investor letter dated Wednesday and obtained by CNBC, the hedge-fund manager revealed that he had built a midsized position in Penn Entertainment in the three months ending in March. He established the stake at an average cost of $22.69 per share, but the stock has fallen to $17.44 as of Wednesday. He said the decline was mainly due to investor doubt about Penn's foray into sports betting after the abandoned acquisition of Barstool Sports. Still, Einhorn said sports betting, if executed right, could take the shares much higher.