In a recent article, I showed readers the rolling return differentials between equal-weighting the U.S. stock universe and the traditional capitalization weighting. Over very long-time intervals, equal-weighting has outperformed capitalization-weighting by about 2.7% per annum. This structural alpha is driven by the "size premia" of investing in smaller capitalization companies on average, and also through the contrarian rebalancing that buys companies that have underperformed and reduces companies that have outperformed to return to equal weights.
In the rolling return series in that article, equal-weighting was increasingly likely to outperform capitalization-weighting as the rolling return