Thoroughbreds range from $1,300 ("You're very lucky if you buy one at that price and it wins any race. It's a bit like buying a used car," said Wayman) to more than $3 million.
And that's just buying the horse. By the time you pay for stables, feed, trainers and jockeys, the net return is around 21% -- meaning for every $100 you spend, you get just $21 back.
What to look for
"Always look for a thoroughbred with a good bloodline," said Madden. "That way, even if the horse can't run, you can always breed them or sell them off. It's a type of insurance."
And if champion British thoroughbred Frankel is any indication, sometimes the biggest money can be made off the track.
The highest-rated race horse in the world retired last year after an unbeaten 14-win record, earning Saudi owner Prince Khalid Abdullah more than $4 million in prize money.
But even greater returns await Frankel in his new life as a breeding stallion. The four-year-old super colt, who sired his first foal last month, commands a fee of $188,000 each time he produces offspring.
With an expected annual roster of 100 mares, Frankel is expected to generate more than $18 million in his first year and more than $150 million overall during his stud career.
World-renowned Black Caviar will likely earn similar fees as a breeding mare. But for Madden, one of the greatest benefits of owning a thoroughbred isn't the money -- it's the thrill of the game.
"Every time I see Black Caviar at the starting gate, my heart is pounding. No matter what you do, you can't control the outcome. And how often in life do you get an adrenalin rush like that?"
Win or lose, owning a race horse may not be a watertight investment. But it still offers a priceless experience.