When markets turn volatile, investment teams ask a long list of questions. What just happened? Why did returns swing so sharply? And more importantly: is this something we expected, or something unforeseen?
The past few weeks have seen major moves across equity markets. Sharp factor reversals, macro surprises, and shifting positioning have created real whiplash, especially for long/short equity managers. In many cases, portfolios that looked stable on the surface showed wide variation in outcomes.
We wanted to unpack the consequences, so we ran our Single Factor Move analysis across a group of long/short portfolios to break down P&L into its building blocks, and understand how exposed each book really was to the kinds of factor swings we saw in April.
Analysis Breakdown
The approach is straightforward: we attribute performance to a set of reference baskets — things like High Beta, Momentum, Growth, IPOs, or sector themes. For each one, we calculate the portfolio’s beta exposure, the return of that factor, and the implied P&L. Then we isolate the rest — the idiosyncratic piece — and show what happens if the factor returns were different. It’s fast, clean, and helps teams run scenarios without waiting for a full attribution cycle.
A few patterns stood out. Exposures to style baskets like High Beta Momentum Short or US Momentum Long had a meaningful impact, even when those positions weren’t deliberately sized. In many cases, the influence came from clusters of high-vol names on the long or short side. And in a month like April, small tilts became big drivers.
The split between systematic factor influence and idiosyncratic return gave teams much-needed clarity. Instead of chalking up underperformance to vague "market conditions" or scrambling to trim names that underdelivered, they could point directly to the broader trends in play.
We also saw pockets of strong stock selection — certain thematic clusters that delivered positive idiosyncratic returns, even as broader factor exposures detracted. That kind of context can help reinforce conviction and avoid unnecessary portfolio churn.
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Tools like this one can help frame the right questions and offer a quick read on what’s driving results, showcasing how recent trade decisions you made are now showing up in the numbers.
The volatility hasn’t settled, and we’re still refining this work based on client feedback. But even early use has shown how useful it is to separate signal from noise when things get fast and messy. If you’re running a long/short strategy and want to see how your portfolio holds up through this kind of lens, get in touch with a Kiski rep.
We’ve put together a case study that walks through the setup, the analysis, and how teams are using it in real time. Want to read it? It’s landing soon — subscribe to Return Radar to get it first.
