盈利预期期限结构选股月报：前五个月全部组合跑赢基准-20250601

• The report introduces the "Earnings Expectation Term Structure Factor" which measures the trend of analysts' earnings forecasts over future years. This trend can be upward, flat, or downward, representing optimistic, neutral, or pessimistic expectations, respectively. The slope of the trend line is used to quantify these expectations[1][7] - The "Momentum ff" factor, derived from the Earnings Expectation Term Structure, is combined with the traditional analyst expectation revision factor to create the "Composite Momentum ff" factor. This composite factor shows improved performance, combining high returns with stability[1][11] - The historical performance of the Earnings Expectation Term Structure factor has been good, with high stability in its trend[1][9] - The report evaluates the performance of stock selection portfolios based on the "Composite Momentum ff" factor. Portfolios are constructed by selecting the top-ranked stocks within the CSI 300, CSI 500, CSI 800, and CSI 1000 indices. The historical performance of these portfolios has been favorable[2][14] - In May 2025, the CSI 300, CSI 800, and CSI 1000 stock selection portfolios underperformed their benchmarks, with excess returns of -0.15%, -0.32%, and -0.32%, respectively. The CSI 500 stock selection portfolio outperformed its benchmark with an excess return of 0.57%[2][14] - For the first five months of 2025, the CSI 300, CSI 500, CSI 800, and CSI 1000 stock selection portfolios had returns of -1.32%, 0.38%, -0.25%, and 3.45%, respectively. The excess returns over their respective benchmarks were 1.09%, 1.33%, 1.79%, and 2.29%, respectively, all outperforming their benchmarks[2][14] Factor and Model Construction - Earnings Expectation Term Structure Factor - Construction Idea: Measures the trend of analysts' earnings forecasts over future years, represented by the slope of the trend line[1][7] - Construction Process: - Plot earnings forecast data on the Y-axis and annual variables on the X-axis - Identify the trend as upward, flat, or downward - Use the slope to quantify the trend, representing optimistic, neutral, or pessimistic expectations[1][7] - Evaluation: The factor has shown good historical performance with high stability[1][9] - Composite Momentum ff Factor - Construction Idea: Combines the Earnings Expectation Term Structure "Momentum ff" factor with the traditional analyst expectation revision factor to enhance performance[1][11] - Construction Process: - Combine the "Momentum ff" factor with the traditional analyst expectation revision factor - Evaluate the combined factor for improved performance and stability[1][11] - Evaluation: The composite factor shows improved performance, combining high returns with stability[1][11] Backtest Results - Earnings Expectation Term Structure Factor - Cumulative IC: Historical performance has been good with high stability[1][9] - Composite Momentum ff Factor - Cumulative IC: Shows improved performance and stability compared to traditional factors[1][11] Portfolio Performance - CSI 300 Stock Selection Portfolio - May 2025 Excess Return: -0.15%[2][14] - First 5 Months of 2025 Return: -1.32%[2][14] - First 5 Months of 2025 Excess Return: 1.09%[2][14] - CSI 500 Stock Selection Portfolio - May 2025 Excess Return: 0.57%[2][14] - First 5 Months of 2025 Return: 0.38%[2][14] - First 5 Months of 2025 Excess Return: 1.33%[2][14] - CSI 800 Stock Selection Portfolio - May 2025 Excess Return: -0.32%[2][14] - First 5 Months of 2025 Return: -0.25%[2][14] - First 5 Months of 2025 Excess Return: 1.79%[2][14] - CSI 1000 Stock Selection Portfolio - May 2025 Excess Return: -0.32%[2][14] - First 5 Months of 2025 Return: 3.45%[2][14] - First 5 Months of 2025 Excess Return: 2.29%[2][14]