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SkyBridge Capital is salting away goodwill. Anthony Scaramucci, the gregarious founder of the fund of hedge funds firm, knows he operates in a commoditized business. At the 1,800-strong SkyBridge Alternatives conference in Las Vegas known as SALT, he brings luminaries from Nicolas Sarkozy to Al Pacino and rock band Train together with investors, hedgies and rivals. It may help Mr. Scaramucci create a novel kind of edge.