I'm not claiming to be the first person to think of this, but during my morning reading today I had what I think is a pretty good ETF idea.  An ETF that buys stocks with the highest short interest as percentage of float.  This is another "conventional wisdom" type thing that I'd like to see challenged.  The theory states that stocks with high short interest are bound to outperform because they really have a large set of known buyers waiting in the wings (the short coverers).  I haven't seen any statistical proof that this idea actually works.  I'm sure someone can fool us with a backtest.  Ultimately, I'd like to see how it plays out in the real market.