Starting on 1st Jan 2017, if you bought literally any combination of VIX futures other than front month, and rolled them every month, you would currently be in profit 
(ht @Value_Quant)pic.twitter.com/a8mSDw2vZs
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Put another way if you did this alongside an all stock portfolio you would have reduced the vol by 30%, halved the max drawdown, and seen a few tens of bps of extra return.
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1. They've been awfully cruel to the front month. 2. Has been an extended period of no roll cost in the back. 3. I will now attempt to create a narrative that explains it.
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Shall we say something about VIX ETPs and yield enhancement and pretend we saw this coming back in 2017?
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similar to this one except this one had some theta drag late 2020https://twitter.com/TheSpeculator0/status/1357481482764353541 …
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