Cohen's fund has generated an average annual return to investors of 43.5 per cent since 1992. In SAC's best year, 2000, the return was 73.4 per cent. Cohen and his partners take 50-and-three - half of the gains, along with a three per cent management fee - far more than the typical 20-and-two at most funds.

All of which is good news for the art dealers and auction houses cashing in on the hedge-funded art bonanza.

Cohen likes to keep a low profile. Probably unnerved by the kidnapping in 2003 of another super-rich Connecticut hedge fund manager, Ed Lampert, he relentlessly buys up the rights to any photographs taken of him to prevent their use. But nobody stops him buying art; he has spent $700m so far. He keeps the Warhols and Lichtensteins, a Van Gogh and a Gauguin at home; works in the shock-style of modern British art he keeps at the office. "I like things that make me laugh," he said recently. "Art is a great diversion from looking at numbers."

Self, the head set in the frozen blood of its creator, Marc Quinn, and formerly owned by