making sense of 100's of funds

I ran a pairs plot on the daily fund returns as well as calculating the 
correlation coefficient (Pearson).

The pairs plot is reproduced at http://www.metrak.com/tmp/exch09.png and 
unless I am missing something, some of these "look" significant whereas 
some don't.

The pairs plot will certainly show you funds that closely track the 
index.  A quick check of cor() (or the Pearson correlation coefficient) 
and CAPM.alpha() will do the same.  A pairs plot (and to a lesser extent 
correlation) won't show you anything about systematic out-performance or 
under-performance, while alpha is a good indicator if the benchmark you 
choose is indicative of the investment universe of the fund.  Another 
good indicator is Sortino's Upside Potential Ratio, especially if you 
choose the benchmark index standard deviation as your MAR.

CAPM alpha will not be a good indicator if you choose an index that is 
different from the investment style of the fund.  For example, using a 
SP200 index with a fixed income fund wouldn't make any sense.

Cheers,

    -Brian