Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller?

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How Profitable Is Capital Structure Arbitrage? (2006, unknown): “Duarte et al. (2005) showed that their swap-spread arbitrage strategy, with close to $0.”
Credit Default Swaps: A Survey (2014, background): “20 Duarte et al. [2007] focus on the limits-to-arbitrage explanation of the relationship between the equity and credit markets.”
The Term Structure of Interbank Risk (2012, unknown): “This estimate is at the lower end of the range of Sharpe ratios reported by Duarte, Longstaff, and Yu (2007) for spread arbitrage strategies between IRS and Treasuries.”
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “Hedge funds are often described as pursuing trading strategies that generate small positive returns most of the time before incurring a substantial loss akin to “picking up pennies in front of a steam roller” or “selling earthquake insurance” (Duarte, Longstaff, and Yu, 2007; Stulz, 2007).”