The quant workflow involves testing models to see whether they're predictive of returns. Once you've shown they're predictive, you want to check how they correlate with other models and known risk factors. Here's a video going through that whole workflow.
Here is a notebook I built that allows you to check the correlation between two alpha factors, plus run an alpha factor through our Pyfolio integration to see what the risk exposures look like. You probably want to do this as you're building alpha factors so you can see if the effect you found is actually super correlated with a known risk factor, or correlated with another model you're already working on. If it is that isn't necessarily a bad thing, two models which are 50% correlated with still be 50% uncorrelated and adding them should help diversify your portfolio.
This notebook assumes a working knowledge of Alphalens and Pyfolio. You can get both in our Getting Started Tutorial.
EDIT: Forgot -- I should also note that much of the code in this notebook comes from examples built by Luca.