In this paper, I argue that anti-reductionist moral realism still has trouble explaining supervenience. My main target here will be Russ Shafer-Landau's attempt to explain the supervenience of the moral on the natural in terms of the constitution of moral property instantiations by natural property instantiations. First, though, I discuss a recent challenge to the very idea of using supervenience as a dialectical weapon posed by Nicholas Sturgeon. With a suitably formulated supervenience thesis in hand, I try to show how Shafer-Landau's proffered strategy to explain supervenience not only fails to explain supervenience, but that it also has a number of implausible consequences. The more general lesson is that strategies which may work well for explaining supervenience in the philosophy of mind and other areas cannot be assumed to carry over successfully to the metaethical context. We should therefore treat so-called 'companions in guilt' arguments in this area of philosophy with considerable skepticism.