Read MoreLook out! A sentiment shift may be ahead for stocks
Active managers trade stocks in and out of portfolios, while passive investing involves tracking basic indexes like the S&P 500 or one of its sector sub-indexes, such as financials or technology.
There appear to be a few culprits this year in the active underperformance: an overweighting of consumer discretionary stocks, which have done poorly this year, and an underweight of real estate investment trusts, which have prospered.
The S&P consumer discretionary sector has dropped about 4.5 percent for the year. The Vanguard REIT ETF, on the other hand, has surged more than 14 percent.
More broadly, the S&P 500 has gained less than 2 percent and has seen several spikes and drops as high-profile investors continue to call for a sharp market correction. It all adds up to an uncomfortable environment that seems tailor-made for choosing indexes but often sees market participants seeking out stock pickers.
Read MoreCorrection roll call: Who sees a market plunge?
"When you're in a volatile market like this year, passive is going to do better," said Nadav Baum, executive vice president at BPU Investment Management. "When you're in the market and you get three or four months of negative returns, at that point investors make the cardinal mistake of getting out because they're nervous. If they have an active manager, they feel like someone's watching out for them."
As far as where the money is headed, the choice has been pretty clear.
Investors have piled about $75 billion in total equity funds, but actually have withdrawn a net $1 billion from actively managed funds. ETFs, meanwhile, have been raking in cash, with net inflows of nearly $40 billion, according to XTF.com.
—By CNBC's Jeff Cox.