Advisor Perspectives provides research by Marcin Kacperczyk, a Professor of Finance in Vancouver, on how to identify consistently good active managers. In summary, his research found that active managers that outperform their benchmarks use superior private information to concentrate their portfolios. In this article he reveals a method to measure this which he calls a "Return Gap". Click here to read the entire article.
The Return Gap for our S&P500/Select strategy is +3.28% for the period ending June 30, 2008 compared to March 31, 2008. The DowJones/Select Return Gap is not measurable since there was no turnover of stock positions for that period.