Almost everybody these days says that passively managed, low expense ratio funds outperform actively managed, high expense ratio funds. I believe it, and have been investing accordingly, but I would like to prove it to myself. This seems like it should be fairly simple. Is there somewhere that one can download data, including expense ratio and return over various time periods, on a large number of funds? Would a plot of these show a significant negative relationship or would it be too noisy and require more advanced analysis?