Quotes from the article summarize better than I can.
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. But empirical studies have found the actual relationship to be basically flat, or even negative. “Defensive” stocks have produced high returns on average in comparison to more “aggressive” stocks. In addition, defensive strategies, at least those based on volatility, have delivered significant Fama-French three-factor and four-factor alphas.
The academic research, combined with the 2008 bear market, led low-volatility strategies to become the darling of investors. But is it worthy of such admiration as an independent factor? Let’s examine the research.
The low-beta anomaly was documented almost 50 years ago. It has been persistent and pervasive around the globe and across asset classes. However, research demonstrates not only that returns to the anomaly are well-explained by exposure to what are now considered other common factors (mainly value, quality and term), but that the premium is dependent on whether low volatility is in the value or growth regime, whether past recent returns were high or low, and the performance of the size premium.
The returns to the premium have only justified investing when low-beta stocks are in the value regime, after periods of strong market and small-cap stock performance, and when they exclude high-beta stocks that have low short interest.