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.

It has been the best of times, as Schwarzman noted in his January keynote address at the Wharton Private Equity and Venture Capital Conference. But, he added, nothing lasts forever.

"Nobody knows when or why it"—the end of easy and cheap credit—"will happen," he said. "But it's hard to imagine it can get better than it is. We're at maximum advantage, in all probability, right now."

However, these driving forces are already showing signs of fatigue. Competition from other private equity firms and hedge funds is increasingly pushing up the cost of acquisitions. (While Schwarzman may not have really wanted to pay $39 billion to beat out rivals for Equity Office Properties Trust, as he told the Wall Street Journal, "I always think about what will kill off the other bidder.")

The stock market is giving a better valuation to many possible targets, in part because of takeover fever. Long-term-bond yields have risen, which has in turn increased the cost of borrowing. And some lenders are tightening their purse strings, or at least thinking about it.

Blackstone has confined its comments to filings with the Securities and Exchange Commission, citing rules forbidding securities issuers from speaking publicly immediately before an I.P.O. "We are gagged and bound by the S.E.C. at the moment unfortunately," Blackstone spokesman John Ford said.

In those filings, Blackstone states that it believes "the long-term growth trends in our businesses are favorable" but adds that there "may be significant fluctuations in our financial results from quarter to quarter" and that investors should expect to "remain unit-holders for a number of years."

The filings notes several risks, including possible jeopardy to the tax treatment underpinning the endeavor. "Current law may change" and "the value of our common units would be adversely affected," one filing says.

Many investors will shrug all of this off. After all, Blackstone may be deft enough to continue minting money from its acquisitions. And thoughts of becoming a limited partner in the firm-owning a little piece of the same sunshine enjoyed by the wealthiest 1 percent of the world, including the Greenwich elite, Arab sheiks, and European playboys-may be too much to pass up.

Such speculators are not likely to be concerned about the fact that, with Blackstone-style leverage, they could earn similar returns by sticking with the S&P 500-or that Blackstone hasn't transmuted every deal into gold. Freescale Semiconductor, for example, has continued to struggle, even after a Blackstone-led group beat out rival firms in a $17.6 billion deal to take the manufacturer private last year.

But Blackstone unit-holders won't actually be getting the same sort of access as other groups who have bought into the firm's various funds. Instead, I.P.O. investors are buying a piece of the management fees and "carry interest," or performance fees, taken in by the firm. Nor will they be getting the transparency they might find in other I.P.O.'s

"What is it that the investors are really investing in? To a certain extent, I don't think even Blackstone knows," says Steve Howard, a lawyer with Thacher Proffitt & Wood who has worked on similar offerings. "It is a bit of a moving target."

Not that investors would have much choice if they didn't like the assets Blackstone buys or didn't approve of the managers' job performance. That's because such investors won't be shareholders; they will be unit-holders in a partnership, with the right to little more than a percentage of the take.

Furthermore, that income stream is already under threat. The Blackstone I.P.O. benefits from an unusual tax break that depends on the I.R.S.'s believing that the majority of income generated comes from passive investments. If this requirement is met, the I.R.S. considers the enterprise a partnership, thereby qualifying it to be taxed at less than half the corporate rate. But some in Congress worry that the tax dodge isn't kosher.

If Congress amends the rules, says University of Colorado law professor Victor Fleischer, an expert in such tax issues, the investors will be the ones who bear the brunt.