Increasing sophistication of exchange-traded fund (ETF) indexation methods required that a comparison be drawn between various methodologies to establish the benefits of such product innovations. A risk-adjusted performance evaluation of four pre-selected ETF indexation categories was conducted to establish how alternative ETFs compare to standard market capitalisation–weighted ETFs. The research methodology involved that fundamentally weighted, equally weighted and leveraged ETFs were compared to traditional market capitalisation–weighted ETFs on the basis of risk-adjusted performance measures. Using a sample of South African and American ETFs, several risk-adjusted performance measures were employed to assess the risk and return of each indexation category. Special emphasis was placed on the Omega ratio because of the unique interpretation of the return series distribution characteristics. Findings show that fundamentally weighted ETFs outperformed the other categories during an upward moving market when using standard risk-adjusted performance measures. Moreover, the Omega ratio analysis revealed inherent unsystematic risk in alternatively indexed ETFs, and ranked market capitalisation–weighted ETFs as the best performing category. Equal-weighted ETFs delivered consistently poor rankings, whilst leveraged ETFs exhibited a high level of risk associated with the amplified returns of this category. The study highlights that recent ETF developments bring unique risks that require cautious implementation of alternative ETFs into a portfolio.