I first heard about the Powershares brand of Exchange Traded Funds (ETFs) about a year ago. Powershares is an investment company that provides a wide assortment of ETFs that track various segments of the stock market and attempt to beat their peer ETFs and mutual funds.
Most of their ETFs track various "Intellidex" indicies. Intellidex indicies track market segments such as Small Cap Value, OTC stocks, and the market as a whole. Powershares doesn't divulge the intellidex parameters, but it does publish a list of the stocks in each of their ETFs on the Powershares website.
My personal favorites are the SmallCap Value, OTC, and Dynamic Market ETFs. Accordingly to Powershares, the SmallCap Value Intellidex has returned 19.49% annually over the past 10 years and 24.18% annually over the past 5 years. The website indicates that the intellidex for the Dynamic Market ETF (which is designed to beat the S&P 500) has returned 15.26% annually over the past 10 years and 9.04% annually over the past 5 years. The website further indicates that intellidex for the Dynamic OTC ETF (which attempts to beat the Nasdaq composite) has returned 16.45% annually over the past 10 years and 1% annually over the past 5 years.