The final report from the WHO Commission on the social determinants of health recently noted: 'For policy, however important an ethical imperative, values alone are insufficient. There needs to be evidence on what can be done and what is likely to work in practice to improve health and reduce health inequities.' This is challenging, because understanding how to reduce health inequities between the poorest and better-off members of society may require a greater use of subgroup analysis to explore the differential effects of public health interventions. However, while this may produce evidence that is more policy relevant, the requisite subgroup analyses are often seen as tantamount to statistical malpractice. This paper considers some of the methodological problems with subgroup analysis, and its applicability to considerations of equity, using both clinical and public health examples. Finally, it suggests how policy needs for information on subgroups can be met while maintaining rigour.