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Factor Research for the Corporate Bond Market (FactSet, 6 min read) Low Risk (low overall debt burden factors like debt/EBITDA and debt/FFO) and momentum factors (3M Duration Times Spread (DTS) and 3M Spread to TRY) did well. In contrast, ESG performed less well. According to Factset, it is best suited as a ‘universe limitation criterion’ rather than an investible factor.