I haven't finalized the number of stocks or trading frequency, but today I purchased the top 4 stocks meeting the criteria I set out above. Note this is an experiment, and anyone attempting to follow it with their own money does so at their own risk.
I ran the screens as described in my first post, and wound up having to exclude one of the results: it only trades on the "pink sheets", and can't be submitted online. Here's the other 4 stocks meeting the criteria which were puchased equally:
symbol, name, market cap, price/book, (12 mo - 1 mo) performance, stock price
UTSI (UTStarcom Holdings Corp), 197M, 2.2, +244%, $5.63
USAK (USA Truck, Inc), 209M, 3.1, +162%, $25.49
EDUC (Educational Development Corporation), 88M, 4.5, +184%, $21.90
QBAK (Qualstar Corporation), 23M, 4.3, +159%, $11.25
Note the stock prices quoted above are from the actual purchase of shares as part of this small value momentum experiment.
The fund will require some decisions, like putting EDUC above QBAK, above. Their price/book are about the same, so performance moves EDUC to the #3 pick. Similarly, the #5 fund that did not make the cut had a p/b of 4.4 but prior performance of 130%.
I'm guessing the fund will update every 2.5 or 5 weeks, but I haven't decided yet. I also need to setup spreadsheets to track the fund's performance against it's benchmark.