Take a look at this article. Very insightful: http://jonathankinlay.com/2016/07/developing-volatility-carry-strategy/ He tests shorting VXX, and buying and carrying the front-month VIX futures (which I would guess means carrying the earliest month until expiration, then buying the next one, and so on) to hedge. The VIX futures go down far, far less than VXX, so the strategy, at least for the period he tested, is profitable. Why the HECK is VXX so much more of a drag down than a long VXX future? The average expiration period had to be very similar, but VXX was a complete dog compared to VIX futures. Thanks!