I cannot reproduce your results. They seem completely wrong.

Backtesting using Portfolio123, my results are very different from yours. I'm seeing this: 2000 to 2010, low beta 14.65%, high beta 9.12%; 2010 to 2020, low beta 10.29%, high beta 8.05%. I'm using the exact same parameters as you are: all NYSE and NASDAQ stocks, rebalancing once a year, measuring beta with 12 one-month returns.

I have done a lot of other tests as well, and the results are consistent with the above, or even more extreme in favor of low beta. I tried using rolling backtests, varying the limits from 0.5 and 1.5 to 0.8 and 1.2, varying the beta measurements to weekly beta, weekly three-year beta, weekly five-year beta. Every single test I've run gives low beta stocks the advantage.

In fact, ever since 1973, researchers have found that low beta outperforms high beta, not only in equities but across all asset classes. The reason for this is mathematical. See https://backland.typepad.com/investigations/2018/06/why-low-beta-outper…