For instance, the PowerShares S&P 500 High Beta Portolio (NYSEArca: SPHB) has generated a 28% annualized return over the trailing 5 years, compared to 19.5% for the PowerShares S&P 500 Low Volatility Portfolio (NYSEArca: SPLV) and the 21.6% in the S&P 500 index.

Moreover, in the short-term, macroeconomic or geopolitical volatility can shift the dynamics. For example, volatility is rising and investors are getting skittish this year as growth problems in the emerging markets and the Crimea crisis weigh on equities. Consequently, investors are turning to more conservative plays, with the SPLV rising 2.3% over the past month, compared to SPHB’s 1.9% gain.

For more information on ETF indices, visit our indexing category.

Max Chen contributed to this article.