Jim, Did you know you can actually buy a portfolio of randomly picked stocks(we used a random number generator to pick tickers) and hold them for 10 years and they would be the S&P buy a huge margin. In fact on average you get 3x the return of the market.......random picks! We are in the process of publishing a paper on the subject. I will post it in about a year.
Turns out the real killer of returns and the main cause of underperformance by hedge funds and 90% of active managers in PORTFOLIO TURNOVER. Yep, turnover is the killer.