盈利预期期限结构因子历史表现良好，走势稳定性高。 将盈利预期期限结构"动量 ff"因子与传统分析师预期 调升因子合成后，得到的"合成动量 ff"因子走势进一步改 善，兼具高收益与稳定性。 ► 选股组合表现 在沪深 300、中证 500、中证 800、中证 1000 内分别选择 "合成动量 ff"因子值排名前 50、50、100、100 名的股票， 构成选股组合，组合历史表现良好。 证券研究报告|金融工程研究报告 [Table_Date] 2025 年 7 月 2 日 [Table_Title] 6 月份超额收益加速，上半年全部组合大幅跑赢基准——盈利预 期期限结构选股月报 202507 [Table_Summary] ► 盈利预期期限结构因子 分析师在某一时点会对上市公司未来多年的盈利做出预 测，我们将预期盈利随未来年度变化的趋势称为盈利预期期 限结构。 2025 年 6 月，沪深 300 选股组合、中证 500 选股组合、 中证 800 选股组合、中证 1000 选股组合超额收益加速，大幅 跑赢基准，超额收益分别为 4.29%、2.36%、3.72%、1.69%。 2025 年前 6 个月，沪深 300、中 ...

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].