Abnormal Returns and Active Portfolio Management

I agree that certain tilts are advantageous. Most importantly, any investor who would otherwise hold cash and the index is better off holding less cash and more low-beta stocks to exploit the low-beta anomaly.

CAPM assumes one-period mean-variance objective, no outside income, and wealth is the market portfolio. So yes, many investors should deviate. But it's a zero sum game. Market=average investor portfolio. Not obvious that typical investor should long vs short anomalies.

I agree with the idea, but with many caveats. CAPM is a static model-a straw man. And, far from all "factors that have been identified in the academic literature" to earn positive returns relative to CAPM are effective tilts. But some probably are effective.
-see background information here

Fees could overcome any abnormal return expected by retail investors. In addition, the strategy may have liquidity or other factors not transparent in the research literature that add risk or complexity for retail investors.

Any investor can earn extra expected returns by tilting towards additional sources of risk. The challenge is identifying these sources of risk. Further, where will the retail investor seek reliable “advice”? So, for most retail investors, it is best to go with index funds.
-see background information here

Depends on many factors, including fees.

which part of the factor zoo? so many factors, so little time...

Someone needs to be on the other side though. Hence, it depends on the beliefs, sentiment, risk exposures, and preferences of retail investors to determine their optimal portfolio. There is also implementation risk if ETFs, say, dont closely follow the factors in the literature.

Especially if the "market portfolio" is in practice proxied by a broad equity index

There is a good chance that such advice will steer retail investors away from passive investments in low fee and well diversified index funds. In that case retail may be worse off even if there are potential gains from the portfolio tilt.

This is an ill-posed question. Not everyone can tilt away from the market portfolio by definition. So, it has to be the case that for some investors it makes sense and for others it does not. Whether it makes sense depends on risk appetite, liquidity needs, etc. Cannot answer

But only through low-cost investment vehicles

The theory is clear. Investors should hold portfolios for which the C-CAPM holds with respect to their standard of living or marginal utility. If the factors help do this great. If not, then ignore them.

It's probably appropriate only if most investors don't take that advice.

Retail investors may want to earn higher return, even if that involves exposure to factor risk. Of course, even better if the higher return does not reflect extra risk