Guess what? Cross-asset vol. is suppressed. Who knew, right?

How should you capitalize? Well, you know how the old saying is “don't quit your day job”? Yeah, so in the current environment, the opposite applies. If you are a Target manager, you should actually “quit your day job” in favor of moving in and out of VIX ETPs all day long on your way to ensuring that thanks to the NY Times, you will forever be remembered as the poster child for the 2017 equity bubble.

Of course that's the extreme case. You could just continue to chase into riskier assets, ride the carry bandwagon, and sell yourself some vol. for a little extra yield enhancement. One thing's for sure, you damn sure can't try to be a hero by betting against this self-fulfilling prophecy because that's a one-way ticket to underperformance in a world where change has become impossible.

Anyway, Goldman wants you to know that with “average cross-asset 3-month realized volatility ranking in just the 6th percentile versus the past 10 years” and with “the entire term structure implying that equity volatility will remain below its historical average,” minimum volatility strategies in equities are not the way to go. To wit:

Instead, Goldman thinks you should focus on stocks with high prospective Sharpe ratios. Consider this bit of additional color: