盈利预期期限结构选股月报：前五个月全部组合跑赢基准

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [3]. Core Insights - The earnings expectation term structure factor has historically performed well and exhibits high stability [9][11]. - The "synthetic momentum ff" factor, which combines the earnings expectation term structure momentum factor with traditional analyst forecast adjustment factors, shows improved performance, offering both high returns and stability [11]. - In May 2025, the selected stock portfolios based on the "synthetic momentum ff" factor underperformed the benchmark in the CSI 300, CSI 800, and CSI 1000 indices, with excess returns of -0.15%, -0.32%, and -0.32% respectively, while the CSI 500 portfolio outperformed with an excess return of 0.57% [2][14]. - For the first five months of 2025, the stock portfolios in the CSI 300, CSI 500, CSI 800, and CSI 1000 indices had returns of -1.32%, 0.38%, -0.25%, and 3.45% respectively, with excess returns of 1.09%, 1.33%, 1.79%, and 2.29%, all outperforming their benchmarks [2][14]. Summary by Sections 1. Earnings Expectation Term Structure Factor - Analysts predict future earnings for listed companies, and the trend of these earnings expectations over the years is termed the earnings expectation term structure [7]. - This structure can be categorized into three basic forms: upward sloping, flat, and downward sloping, which represent optimistic, neutral, and pessimistic analyst expectations respectively [7]. 2. Stock Selection Performance - Stock portfolios were constructed by selecting the top 50, 50, 100, and 100 stocks based on the "synthetic momentum ff" factor from the CSI 300, CSI 500, CSI 800, and CSI 1000 indices [14]. - The historical performance of these portfolios has been strong, with specific performance metrics noted for May 2025 and the first five months of the year [2][14].