More than 70% of all actively managed U.S. equity mutual funds trailed their benchmarks for the five years ending 2008, according to the new Standard & Poor's Index Versus Active Fund Scorecard (SPIVA).

The new report shows that 71.9% of actively managed large-cap funds trailed the S&P 500; 75.9% of actively managed mid-cap funds trailed the S&P MidCap 400; and a stunning 85.5% of actively managed small-cap funds trailed the S&P SmallCap 600.

S&P says the results were consistent with the previous five-year cycle, from 1999 to 2003.

"The belief that bear markets strongly favor active management is a myth," said Srikant Dash, global head of Research & Design at Standard & Poor's, in a statement. "A majority of active funds in each of the nine domestic equity style boxes were outperformed by indices during the down markets of 2008. The bear market of 2000 to 2002 showed similar outcomes."

Actively managed funds also did poorly on a one-year view: 54% of large-cap funds trailed the S&P 500; 75% of mid-cap funds trailed the S&P MidCap 400; and 84% of small-cap funds trailed the S&P SmallCap 600.

Narrowing down, the single worst category for active managers in 2008 was small-cap growth, where a dizzying 96% of managers trailed their benchmark.

The only bright spot was Large-Cap Value ETFs, which trounced the S&P 500 Value index in 2008, with 78% of actively managed funds beating their benchmark.

But the story turns dismal again for active investors when you look abroad, on both a one- and five-year basis. Sixty-three percent of global funds trailed the S&P Global 1200 on a five-year basis; 84% of international funds trailed the S&P 700; 59% of international small-cap funds trailed the S&P Developed Ex-US Small-Cap; and 90% of emerging market funds trailed the S&P/IFCI Composite.

The emerging markets case is especially galling, as active managers like to claim that they add extra value in illiquid markets. On a five-year basis, however, the average emerging market fund trailed its benchmark by more than 3% per year.

Fixed income is no better. Over five years, the percentage of fixed-income funds that outperform their indexes in all standard domestic categories is less than 10%. The only exceptions are in high yield, where 48% of funds beat their benchmark; global fixed income, where 21% beat their benchmark; and emerging markets debt, where 38% beat their benchmark.

All results are adjusted for survivorship bias.