Last year was the most profitable ever for short sellers, by one measure. And 2016 is starting off even better for bears.

It's no secret that betting on declines is proving profitable in what has been the worst start to a year ever for global stocks. What is surprising, according to research firm Markit Ltd., is that returns for shorts are even higher than those generated during the 2008 financial crisis, when considered on a relative basis.

Back then, it was the housing bubble and the collapse of the banking industry. Now it's China, oil and the end of zero-interest rate policy in the U.S. Sustained worries about an economic slowdown and the rout in commodities has added momentum to short strategies into the end of last year, with shorting activity peaking in the closing weeks of 2015 and showing no sign of slowing, Markit said in a report last week.