Groucho Marx once claimed he'd never join a club that would have him as a member. Retail investors lining up to get a piece of the Blackstone Group's much-touted initial public offering might do well to follow Groucho's lead.

It's not that there's anything wrong with the Blackstone Group. As private investment firms go, it's one of the most recognized brands in the world, a behemoth with $88.4 billion in funding and a lengthy track record of handily beating others in its field as well as the stock market in general. How does a 23 percent annual return grab you, for instance? And that's going back to 1987.

But there are many reasons to be cautious about the deal that Blackstone C.E.O. Stephen Schwarzman is pitching to investors -- a deal that is now expected to come to market in two weeks.  And nearly all of those reasons come back to the same question: What would Schwarzman do?

It's easy to see what he thinks is the smart side of the trade. Schwarzman's business savvy has earned him a place among the richest men in the world; his net worth is around $3.5 billion. Now he sees nothing to lose in offering retail investors a piece of the company he built with his own blood and sweat, and possibly others' tears. He's selling. And that should make investors wary.

For Blackstone, the deal is a no-brainer. It stands to gain about $4.75 billion in new and permanent funding from people who are willing to pay a high price for access to the firm's wizardry-investors who won't have much right to squawk later on if they discover that they overpaid or dislike the direction Blackstone takes.

Meanwhile, the $2.3 billion in compensation that Schwarzman and Peter Peterson, a co-founder of the firm, are receiving will probably leave Blackstone in the red "for a number of years," according to company filings released Monday.

Retail investors, on the other hand, are buying into a game that's already long in the tooth. On a macro level, private equity's "alpha," or its rate of return over that of the broader market, has been driven by access to cheap debt and by the fact that many public companies have traded at a discount compared with what they would fetch if they were private.