This strategy requires a lot of money, relative to most under funded individual trader's but it is worth it. It also requires a good, cheap broker with who you can short ETF's... What you do is divide your assets into a long and short camp. You short the overpriced ETF's (you can always check the book value versus trading price) and go long the other half with those that are under priced in terms of book value. Then you just head to the beach. Your goal is to make an 1/8 1/4 perhaps if a little greedy less on your positions. You can wait in case you are "hooked" in some positions as these instruments are not all that volatile and they pay dividends. If you have enough account size the long positions will pay you enough to cover your expenses. This is an ideal scalping strategy for a decent prop house.