Is Your Alpha Real?

Alpha Opportunity™ (AO) days are when |SPY| ≤ 1% — normal market conditions where individual stock selection can differentiate returns. AO™ Alpha measures security selection skill where it can actually manifest.

Pure Beta™ (PB) days are when |SPY| > 1% — conditions where systematic forces dominate and individual stock selection is suppressed. PB™ Alpha primarily reflects defensive positioning rather than stock-picking.

Defensive Positioning rates how much the portfolio's beta cushions it during selloffs. Strong (β < 0.80) means meaningfully less downside than the market. Moderate (0.80–0.95) offers some cushion. Neutral (0.95–1.05) moves with the market. Weak (β > 1.05) takes more downside than the market.

Closest Passive Alternative shows the factor ETF most similar to the fund's market profile. Factor ETFs have no stock-selection skill by construction, so they always grade C. The contrast reveals whether active fees buy genuine alpha.

Rolling Alpha shows 252-day trailing AO alpha over time. Persistent green means durable skill; oscillation around zero means noise.

Statistical significance: p < 0.05 means less than 5% probability the alpha occurred by chance. For AO™ specifically, significance suggests genuine skill.

Letter grades are based on Alpha Opportunity alpha. A+ through B+ require significance; C means no detectable edge; D and F indicate negative alpha. INC means insufficient data.

The 1% threshold is derived from market structure, not optimized on any portfolio. Validated against passive factor strategies with no stock-picking skill by construction.