Some of the facts in this presentation are a bit twisted, since it's essentially a sales pitch for the VRP indices for Nomura QIS. Just FYI. Short risk premium strategies work. Unfortunately, the drawdowns in short risk premium strategies tend to correlate with other unfortunate events in traders lives. For example, if you lose money and get fired, it would be usually in the worst possible time :/
Very much agree. That is why i mentioned, leverage is the key. Cash secured put of the index or at the most 1.4 to 1.5 leverage (one of the journal study, I have seen) when investor is in early time of his/her investing life is optimal. This is much more of investing strategy, than a trading strategy. Antti Ilmanen says in his book, Covered Put strategy comes with the best performance statistics and worst risk statistics. As you mentioned, Short vol has very high downside correlation with other trading strategies like carry. Also Sharpe Ratio of vol selling is less in other asset classes (commodities, currency) compared to short equity index vol.