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Small Cap Value Momentum Portfolios

 I've been experimenting with some basic, easy to implement small cap value momentum stock screens. I would be curious if anyone had any feedback or suggestions, as I would like to get it started by the end of the month.

The basic rationale behind a small cap value momentum screen is that value and momentum have historically been two factors that lead to excess stock returns. In addition, small cap stocks historically outperform their larger counterparts. Thus, a small cap value momentum screen should, in theory, present some nice opportunities. Obviously, as with anything I post, the screen and its results will not be investment recommendations. Do your own due diligence!

Some of the academic rational and research behind a momentum/value combination can be found here and here.