Starting a fund after the paper of Faber

The paper is available there: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

Basically, it consists in buying stock above their 200d moving average. It produces lower standard deviation and drawdown than the S&P but returns are roughly similar. These characteristics would make a lot of sense for pension funds.

A drawback of the approach is that every sale is a loss and reduce performance. Also the strategy underperforms when the market is strong, as stocks have to clear their 200d MA first. Obviously, it does well when there are sharp market falls, like in 2008.

I have generated a similar fund with the MSER index. I try to correct the drawback by a simple manipulation that shall remain a big secret.

Here is the fund as compiled today. It is easily investible as it comprises only large and midcaps.
I will try to run it once a month and compare risk and return to the MSER.
The starting fund is around €10m. Broking fees are 0.20%.

It is interesting to note that Consumer Discretionary and Financials sectors make up half the fund (vs a good third in the index) and that IT is absent.

Edit:
I've compiled the same strategy for the S&P 100 (OEX)
The 21 holdings fund is there:

No Utilities, Telecoms or Materials for the US index.