Here is a simple buy&hold strategy that popped up while I was playing with some VIX based ETNs . The volatility was extremely high through the end 2008- beginning 2009, presenting a good opportunity to go short on the VIX. A good way to go was probably the VXX etn, however one would suffer some substantial losses through the summer of 2010.
Now take a look what happens if the upside risk of the VXX (short term futures) is hedged by the VXZ (long term futures). It turns out that a the summer 2010 dip can be completely 'ironed out' by constructing a pair of short VXZ-long VXX, allocating 2x of the capital to VXX. The graph below shows a portfolio of -22 shares VXX, 46 shares VXZ. Sharpe is just above 2.
At this moment this strategy may be turning around, as downwards potential of the VIX seemes limited for now. But I can't wait for the next crisis. ;-).