A common way of advertising funds is showing a graph of the fund beating the market for the 10 last ten years or another timeperiod.

There are some things one should notice:

It could be luck
The fund manager could have been lucky and picked some winning stocks that during this period.

Increased company risk (beta)
This point is somewhat related to the point above. When you chose a portfolio with just a few stocks you are taking on an increased amount of company specific risk. The portfolio theory person says that you do not get paid for this risk. A portfolio with few stocks will be able to beat the SP 500 if all those stocks increase in value, but you take on much more company specific risk.

Increased market risk
It is possible to leverage any investment with margin and options. If the period the fund is measuring their performance has been a long up rise, the leveraged investment will of course show a steeper rise. If there is no decline in the market this will work fine. The problem is when there is a decline; a leveraged investment will then drop faster than the market.