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Am unable to verify the low-beta/low-vol anomaly

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Hi so I'm trying to verify the low-vol/low-beta anomaly [https://en.wikipedia.org/wiki/Low-volatility_anomaly] with a L/S dollar neutral portfolio. For low-vol I constructed three different factors:

zscore(rank(-vol_3m))

zscore(rank(-vol_6m))

zscore(rank(-vol_12m))

and similarly for low-beta:

zscore(rank(-beta_3m))

zscore(rank(-beta_6m))

zscore(rank(-beta_12m))

Note that beta is benchmarked to SPY. I tested between 2002-2020 and found a negative sharpe ratio for all six. The returns are pretty abysmal. The inverse returns (high-beta/high-vol) were pretty reasonable, as one could imagine.

There's so much academic research on this anomaly but as far as I can tell, it was never done on a L/S dollar neutral portfolio, only long only.

What I was expected to find was a higher Sharpe ratio for the low-vol/low-beta portfolio and when levered up to the same beta or vol level, higher absolute returns. I have found nothing of the sort, and am a little disturbed.

Why isn't this working?

submitted by /u/mruts
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