I got to this research document from one of Larry Swedroe's
pieces on the CBS News site.
Mutual Fund Performance and the Incentive to Generate Alpha - GUERCIO - The Journal of Finance - Wiley Online Library
I haven't read the whole document yet, but the conclusion piqued my interest.
Within the segment of funds marketed directly to retail investors, we show that flows chase risk-adjusted returns, and that funds respond by investing more in active management. Importantly, within this direct-sold segment, we find no evidence that actively managed funds underperform index funds.
My personal experience with no-load, low-ER, direct to investor, actively managed funds has been mixed. I have some that I have had for over 20 years because they've consistently beaten their indexes, but I had to jettison others after bad performance.