On the topic of creating your own index, we’ve all heard of the SP 500, or the Russell 2000 indices, but isn’t it possible to mine the historical data to create

On the topic of creating your own index, we’ve all heard of the SP 500, or the Russell 2000 indices, but isn’t it possible to mine the historical data to create an index that has a better rate of return based on one or more criteria such as market cap or P/E? E.g., stocks that fall within this range of P/E tend to outperform the market in a ten year time range. This would be an elaboration of the concept that small cap stock indices tend to do better over time because they have more room to grow, in contrast to the SP500 dominated by FAANG companies that have most of their growth behind them. I doubt this is a novel idea, but I just have not heard of it before.