The more and more data that comes in from this seems to be moving me more and more to indexing myself. I'd love to think that I'm a master stock picker, but the data from what I've done over the past 10 years just doesn't quite prove this. It's almost impossible to tell, but I truly believe that I could have made more money over the past 10 and even 15 years if I'd just bought index funds and left them a lone.
With that said, I also don't believe in blindly throwing money at something without some sort of introspection. I think this is how bubbles happen, which isn't bad for those who know how to play them. I have done well profiting from bubbles, but picking winners during times of average results has proven to be more difficult for me.
As a result I've slowly been moving my money to undervalued exchanges and will keep them there. I have not put any money into any S&P index because I believe it's just way to expensive. According to the Shiller PE, total market cap to gdp, and the ratio of total market cap to gdp all are showing that the market is overvalued. However, the opposing view is that interest rates are considerably lower than they have been in much of recorded American history. The lower they go the higher asset prices go. The decrease in asset prices most likely won't happen until interest rates begin to rise considerably.
Here's another great article on indexing vs managed funds (especially hedge funds).