Alpha191 and Volatility Dual Factor Model Quantitative Strategy

This study constructs a composite strategy based on the Alpha191 momentum factor and the volatility factor. Through backtesting analysis of a single product and a full product portfolio, the effectiveness of the factor combination strategy and its applicable boundaries are systematically examined. The study found that in a single product scenario, the composite factor strategy exhibits significant synergy, and its risk-adjusted return is significantly better than that of a single factor strategy, confirming the good complementarity between the momentum factor and the volatility factor. However, when the strategy is extended to a full product portfolio, the performance advantage of the composite factor is significantly attenuated, which reveals the limitations of the fixed-weight combination strategy in cross-product applications. In-depth analysis shows that the volatility factor can effectively suppress the extreme risk exposure of the momentum factor, but the heterogeneity of the market environment will lead to structural changes in the correlation of factors. Based on this, this study proposes improvement directions from the dimensions of dynamic optimization and adaptive adjustment of factor combinations, providing a theoretical basis and practical path for the development of more robust quantitative strategies.