US large-cap equities constitute the most liquid and competitive segment among developed equity markets. I often meet investors who believe that it is arbitraged to such an extent that active management is bound to fail in such a stock universe and therefore opt for market cap indexation. However, greater liquidity does not mean that there are no structural biases in this stock universe. Psychologists have demonstrated over and over again that group thinking often leads to sub-optimal solutions in a very persistent manner. Factor investing is a simple way to profit from such persistent biases on the S&P 500. Here is the result.