The scan is thin: 6m expected returns only -4.7% to -3.3%, median conf 73. That 1.4 pt spread says the signal is weak. No single factor owns this list; illiquidity shows up in just 2 of 10. It reads l

What changed

China Yangtze Power Co., Ltd. ($600900.SS) and CHANGAN AUTOMOBILE ($000625.SZ) lead the fade. $600900.SS is Utilities, univ 0%, sec 5%, -4.7%, conf 71. Drivers: ↓ illiquidity, ↑ EPS revision trend, ↑ max drawdown. CHANGAN AUTOMOBILE is Consumer Cyclical, univ 1%, sec 2%, -3.8%, conf 73. Drivers: ↓ downside risk, ↓ 60d volatility, ↓ fwd/trail P/E. Yangtze has EPS support; Changan is valuation and vol drag. INNER MONGOLIA BAOTOU STEEL UNI ($600010.SS) is Basic Materials, univ 1%, sec 1%, -3.7%, conf 73. Drivers: ↓ downside risk, ↓ fwd/trail P/E, ↓ earnings yield vs bonds. SHANGHAI UNITED IMAGING HEALTHC ($688271.SS) is Healthcare, univ 1%, sec 2%, -3.7%, conf 73. Drivers: ↓ illiquidity, ↑ EPS revision accelerating, ↑ EPS revision trend. Baotou is cheap but still short; United Imaging gets EPS upgrades and an illiquidity tax. China CITIC Bank Corporation Limited ($601998.SS) is Financial Services, univ 1%, sec 1%, -3.7%, conf 73. Drivers: ↑ 12mo momentum, ↑ max drawdown, ↓ downside risk.

Why it matters