It has been demonstrated over and over again that active mutual fund managers have had a very difficult time outperforming their respective benchmarks over reasonable time periods.
In the U.S., for example, approximately 83% of all domestic funds underperformed their benchmark for the 10-year period ending 12/31/2015. This phenomenon is not just specific to the U.S. equities market. The bar chart below also show the 10-year statistics for the percentage of active funds outside the U.S. that have underperformed their respective indices.
Not only do the vast majority of managers fail to beat the index, managers that outperform in the most recent period are unlikely to have persistent outperformance in the future.
There will always be active managers that outperform the overall market, but it is extremely unlikely that you (or anyone else) will identify outperformers in advance and consistently pick the best active manager for each asset class. Even more, the odds of your portfolio outperforming get progressively smaller as the number of funds in the portfolio increase, so diversifying across multiple managers in each asset class may reduce your probably of success even further.
Unfortunately, a portfolio filled with active managers is simply paying for the illusion of control and the dream of market beating performance.