Consistently beating the S&P 500 index is a difficult feat for most portfolio managers. But over the past decade, one simple strategy has managed to do just that.

The Guggenheim S&P 500 Equal Weight ETF (RSP) has outperformed the traditional market-cap-weighted S&P 500 over the past ten years.

RSP delivered a 10.36% average annual total return against the S&P 500’s 7.71% average annual total return (through April 22, 2013).

RSP is linked to the S&P 500 Equal Weight Index (EWI) and each stock within the fund is assigned a portfolio weighting of 0.20%. That means even the S&P 500’s tiniest stock, Advanced Micro Devices (AMD), receives the same amount of exposure as its largest (Exxon Mobil) even though AMD is 197 times smaller by market size.

“Equal weighting overweights small cap and value stocks to take advantage of the most successful anomalies in stock selection. The best demonstration of this is the weighted performance margin was 161 basis points annually,” said David M. Blitzer, managing director and chairman of the Index Committee at S&P Dow Jones Indices.

While equal weighting has worked well since 2003, there can be periods of subpar returns. For instance, the S&P 500 EWI underperformed the cap-weighted S&P 500 by about 3.1% annually from 1990 to 1999.

RSP charges 0.40% annually and is rebalanced every quarter to maintain its equal weighting strategy.