Goldman Explains How Traders Made 4,364% Since 2009 With This ‘Simple’ Strategy

This is too easy. Forget NFLX Calls. As Goldman explains, the road to real riches over the past 8 years (off the ‘666’ lows in the S&P) is simple – Sell Vol!
The S&P 500 VIX Short-Term Futures Daily Inverse Index which tracks the return of being short a one-month VIX future was up 4364% from March 9, 2009 through 1Q 2017.
Policy uncertainty is elevated around the globe and yet the VIX has posted one of its lowest starts to a calendar year on record. Many investors want to get long volatility via VIX ETPs. But buyer beware. Not a single VIX ETP actually tracks the VIX. They track VIX futures and the performance differential can be large. In our view it is important to understand how VIX ETPs are constructed, key return drivers and historical performance across bull, bear, and boring markets before trading.
VIX ETPs have almost $4 billion in assets under management.
And Open Interest has grown dramatically.

This post was published at Zero Hedge on Apr 25, 2017.