Check out this podcast from November 15, 2006 about equal-weight indexes with a guy from Rydex Funds.

Rydex has recently created 9 new equal-weight sector indexes. He says that success of Rydex's S&P 500 Equal Weight (RSP) is one of the reasons these 9 ETFs were introduced. If you are interested in equal-weight indexes at all I highly recommend listening to this, it's so much better hearing about this in audio rather than in reading it in print.

Back-testing has shown that most of these equal-weight funds would have outperformed the market-cap based index. He seems to imply that this is due to the fact that they get more exposure to mid-caps, that have tended to perform better than large caps. I have mentioned before how RSP is actually closer to something like the S&P's mid-cap index (MDY). Recently I looked up a bunch of recent additions to the S&P 500 and all of them had market caps of over $1 billion.