As noted on Greg Mankiw's blog, Standard and Poor's reports that, over the five year period of 2004-2008, "The S&P 500 outperformed 71.9% of actively managed large cap funds, the S&P MidCap 400 outperformed 75.9% of mid cap funds, and the S&P SmallCap 600 outperformed 85.5% of small cap funds. These results are similar to that of the previous five year cycle from 1999 to 2003."
These results are important because many people have argued that perhaps index funds would not outperform actively managed funds in a bear market. However, this study's findings demonstrate that trying to beat the market is just as difficult in a bear market as in a bull market.
The bottom line: Your index fund may have taken a beating in 2008, but you are not likely to have been better off with an actively managed fund with its accompanying higher fee structure.