It turns out many so-called alpha funds actually lack it.
The average five-year alpha for funds with the word "alpha" in their name is a negative 0.42 percent, according to Morningstar.
Alpha measures how much better a fund does against a specific benchmark. In other words, if the S&P 500 posted returns of 3 percent over a specific period and a fund returned 6 percent, then that fund's alpha is 3 percent.
The fund with the worst five-year alpha in the group is the Oppenheimer SteelPath MLP Alpha Plus Y with an average five-year alpha of negative 5.32 percent, according to Morningstar.
Funds with the word "plus" in their name don't do much better, either. Morningstar's data show the five-year alpha for these funds is negative 0.01 percent.