There is some evidence that good active management has value, especially in areas of the market that are not easy to understand, unlike slow moving large cap companies. Small cap, some sectors, small cap international, and emerging market funds, where research can weed out a lot of the dogs that would be in an index fund are areas where management can create an advantage. I read in an article mentioned somewhere in another thread that actively managed funds can be divided into three segments, index huggers, sector rotators, and stock pickers. Index huggers generally underperform the indexes because of costs. Sector rotators have to guess the direction of the market correctly, and that does not always work well. Alpha may be found among some of the better stock pickers, or so the theory goes.
I use a mix of active and indexed funds. The bulk of managed funds are not worth the cost. When you run a comparison of funds over a long time and see a significant positive divergence of the managed fund from the pertinent index, it's worth having a look at.