A lot of funds compare themselves to a benchmark Index, the most common being the S&P 500. The S&P 500 is a cap-weighted index of 500 companies that are picked by a committee at Standard and Poor's. The goal is to be a representation of industries in the American economy. It consists of mainly large cap stocks. All the stocks are publicly traded on American exchanges and there are a few non-American companies on the list.
Being a cap-weighted index, larger companies have a larger share in the index. However, in general the largest of companies will grow slower than the rest of the index. This creates an inherent drag on the performance of funds that are designed to replicate the S&P 500 such as SPY.
Enter the Rydex Equal Weight S&P 500 ETF (RSP). I've been following RSP since August 2007. Since then the total return of RSP has been just under 13% while the return for the SPDR S&P 500 ETF (SPY) has been 0% (dividends included for both).
So you could beat the S&P with the S&P by replacing your cap-weighted ETF with RSP. However, be warned that even though RSP has better long term results and higher average returns, it doesn't always beat the cap-weighted brethren.
Whether equal weighting makes sense in cases other than large caps is something I'd like to know. Comments are welcome on opinions. Rydex launched other equal weighted ETFs just over a year ago so opinions on those are welcome too.