Right now I've been pretty intrigued by the concept of high-frequency trading. If these experts are to be believed, market efficiencies drop precipitously as we reduce the time we hold our positions. This means that if we buy and hold, we will usually just earn the normal market return but we if hold a series of securities position for seconds or milliseconds at a time, we can potentially earn ridiculous Sharpe ratios of 2000+ which trump even the top fund managers in the world.
What this means is that finance firms already have a stable of IT-Finance types ( like myself but maybe 100x smarter ) writing algorithms in C++ in FIX protocol who are running various programs to take advantage of market inefficiencies to make money in hedge funds.
Unfortunately, my own progress to learn these techniques is hampered by the lack of literature on high-frequency trading.
Some books will introduce the concept to a potential investor but most whiz kids are mum about how these algorithms can actually be written.
If you are interested, take a look at this book from Amazon : http://www.amazon.com/High-Frequency-Trading-Practical-Algorithmic-Strategies/dp/0470563761/ref=sr_1_1?ie=UTF8&s=books&qid=1264078445&sr=8-1
It's full of equations and does'nt actually show anyone how to get a program written.
If you have any insight to building a personal hedge fund, why not share your ideas with the rest of the folks who read this blog ?