One can argue whether Fundamental Indexing really just exploit other types of alternative betas, or is delivering Alpha. One could also decide not to get to academic and just be happy we now have the oppertunity to construct Market Neutral trading strategies. These can be found accross many ETFs, and may be due to difference in index weighting ie. market cap vs. equal-weight or fundamental weighting the same basket of stocks.
RevenueShares fx. weight the S&P 500 shares based on revenue, where as S&P 500 is market-cap weighted.
Below some evidence of RevenueShares Large Cap ETF (RWL) out-performing S&P 500 (SPY). 
Same works in small-cap land.. RevenueShares Small Cap ETF (RWJ) against iShares S&P Small Cap 600 ETF (IJR).
Advertisement
Hi Johnnie, do we know how often the ETF’s rebalance? if the revenue etf is continously rebalancing then it will by definition always hold the 500 shares with the most revenue and probably revenue growth. I suspect higher revenue stock will deli=ver better earnings growth which ultimately will drive share price.
Hi Miguel,
Well the RWL is only rebalance each December, based on annualized revenue, whereas the Committee behind S&P500 has the ability to rebalance and select at their discretion, but they just have a mandate to build a good proxy, not performance. One could use a completeness portfolio to handle the individual stock constituents, that seem to get out of tact.