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Before costs, the average actively managed dollar must earn the market return, because together all investors own the market. Active funds then subtract higher expense ratios and trading costs, so after costs most of them trail a low-cost index fund tracking the same market. Picking the rare fund that will win ahead of time is not reliably possible, so owning the whole market at minimal cost is the better bet.
The split between stocks and bonds is the main control over a portfolio's risk and expected return. Stocks give higher long-run returns with bigger short-term swings. Bonds give lower returns but cushion declines. The right mix depends on how soon you need the money and how much of a drop you could live through without selling in a panic, and it usually shifts toward bonds as you get closer to spending the money.
First, contribute to the employer 401(k) up to the full match, since the match is an immediate, risk-free return. Next, fund an IRA, choosing traditional or Roth based on whether your tax rate is higher now or likely higher in retirement. Tax-deferred and tax-free accounts matter because money that would go to annual taxes on growth stays invested and compounds.