I keep seeing bullish articles on the short volatility trade. This strategy outperformed the markets in 2019, but I felt the need to bring some balance to the discussion. Specifically, we will look at the ProShares Short VIX Short-Term Futures ETF (SVXY), which is the most well-known of the surviving short volatility ETPs following the February 2018 "Volpocalypse".
That the ETF returned 56% in 2019 is a bit surprising considering it aims to roughly track only -0.5x the daily move in short-term VIX futures, compared to its prior life tracking 1x the daily