  In the field of quantitative finance, volatility models, such as ARCH, GARCH,
FIGARCH, SV, EWMA, play the key role in risk and portfolio management.
Meanwhile, factor investing is more and more famous since mid of 20 century.
CAPM, Fama French three factor model, Fama French five-factor model, MSCI Barra
factor model are mentioned and developed during this period. In this paper, we
will show why we need adjust group of factors by our MAXFLAT low-pass
volatility model. All of our experiments are under China's CSI 300 and CSI 500
universe which represent China's large cap stocks and mid-small cap stocks. Our
result shows adjust factors by MAXFLAT volatility model have better performance
in both large cap and small cap universe than original factors or other risk
adjust factors in China A share. Also the portfolio constructed by MAXFLAT risk
adjust factors have continuous excess return and lower beta compare with
benchmark index.
