The best funds may not always outperform the market. But over time, and after fees and expenses, the compound rate of return will be higher. There are a LOT of bad managed funds out there, and they are still around because the fund company can muscle them into retirement plans or pay commission-based financial advisors to sell them.
One of the things I start with when I see a high average rate of return over many years (in no way the same as the compound rate of return) is the hypothetical growth of $10,000 over 10 years. Several brokers offer this on the fund performance page and some versions are interactive. If you take several similar funds plus the closest index and put them on the same graph, you can see who has performed well over 10 years and who has not.
I also start a search with companies known for their good performance and their committment to their retail customers. Fidelity, T. Rowe Price, and Vanguard are the three large companies I like, although I own other funds. I look at the fund managers and how long they have been managing the fund. I don't want to select a fund where most of the performance was produced by managers that are no longer managing the fund.
There used to be a site called Fund Alarm, which sadly seems to have disappeared. It was always fun to run Prudential's latest 457 plan offerings through that model to see how bad they really were. I don't know what the proprietary model included, but they would turn up some stinkers that Morningstar had rated three stars or above. Between Morningstar and Fund Alarm, it was pretty easy to avoid bad funds.
I'm not against owning index funds and ETF's, I own them as well. They are easy to set and forget and they are tax efficient. For each account, I focus on what are the best options offered by the vendor.
Managing your money takes time and patience. But no one cares as much about your money as you do.