Thanks for the link Billy. I've read a similar study a few years ago when FAS/FAZ first came out.

In theory it looks like a good strategy. But in practice I have my doubts. I think what seems low risk at first glance is hiding a potential high account risk. The post in the comments by Guillermo is very interesting.

That being said, my original point is that shorting these isn't "arbitrage" like many people think, but really more like renting out liquidity, or selling volatility. In certain ways it's similar to gamma bleeding or like like selling options on volatility.
Selling options is like selling insurance to people. When an unforseen event takes place the black swan may rip one's account to pieces. Maybe I'm wrong about this. But I do believe there is no such thing as a free lunch on wallstreet.