I think he means that they funnel the income from fees into this "black box" fund and that's what creates the huge returns. My instinct would be that there's no

I think he means that they funnel the income from fees into this "black box" fund and that's what creates the huge returns. My instinct would be that there's no way this would get past auditors, but then again, Madoff got away with cooked books, so it's plausible.