I am not even talking about pain and worry and sleepless nights (which can be counterweighted with the increased feeling of self worth by being a company leader, being asked for advice, etc). Just from a financial stand point.
Answer
Financially yes, and my investments in public companies have done much better for me. But in terms of what I've learned, and how I'm living -- this makes me happy. To be clear, I'm not a full time investor and I take a portfolio approach to my assets in addition to being the founder of a venture-backed startup of my own.
There’s a ton of information around on portfolio theory in relation to startups. Bottom line, if you aren’t in 20-25 companies you aren’t likely to even get your money back. Most people aren’t.