Evidence · Pure Beta / Alpha Opportunity

Two kinds of trading day

On Pure Beta days broad market moves dominate, and even strong stock selection is overwhelmed by index-level forces. On calmer, more differentiated days, selection has room to show. We measure what we can control, on the days it can register, and build everything around that distinction. The framework is forthcoming in the Journal of Investment Management.

Market environment
Alpha Opportunity
SPY today
−0.24%
Alpha Opportunity streak
0 days
Last Pure Beta day
22 Oct 2026

The rule

Classified every day, before anything else is read

Alpha Opportunity · AO
SPY moves less than 1% in either direction. Stocks trade on their own merits rather than in lockstep with the index, so selection is measurable.
Pure Beta · PB
SPY moves more than 1%. Correlations spike, most stocks ride the wave, and no stock-picking alpha is expected.

The classification is not a prediction. It marks when stock selection can be measured. We do not confuse surviving Pure Beta days with skill.

Forthcoming · Journal of Investment Management

Where Alpha Cannot Be Measured: Regime-Conditional Performance Attribution

Mark Tennenbaum

The research behind FlightDeck’s Pure Beta / Alpha Opportunity framework.

Read the paper on SSRN

In the live record

How the days split, and what selection earned on the days it could

Observed · as of 22 Oct 2026
  • Trading days333Since 27 Jun 2025
  • Alpha Opportunity27583% of days
  • Pure Beta5817% of days
  • Alpha on AO days8.1 bpA day, on average · t = 2.21
  • Significance0.027p-value: significant at 95%
The full Pure Beta / Alpha Opportunity table on FlightDeck

Since 2000

Some years leave far more room for selection than others

The share of trading days classified Alpha Opportunity, year by year. In red, years when Pure Beta days were the majority.

2000: 149 Alpha Opportunity days, 103 Pure Beta days (59.1% AO)2001: 143 Alpha Opportunity days, 105 Pure Beta days (57.7% AO)2002: 139 Alpha Opportunity days, 113 Pure Beta days (55.2% AO)2003: 177 Alpha Opportunity days, 75 Pure Beta days (70.2% AO)2004: 214 Alpha Opportunity days, 38 Pure Beta days (84.9% AO)2005: 218 Alpha Opportunity days, 34 Pure Beta days (86.5% AO)2006: 202 Alpha Opportunity days, 49 Pure Beta days (80.5% AO)2007: 168 Alpha Opportunity days, 83 Pure Beta days (66.9% AO)2008: 96 Alpha Opportunity days, 157 Pure Beta days (37.9% AO)2009: 140 Alpha Opportunity days, 112 Pure Beta days (55.6% AO)2010: 183 Alpha Opportunity days, 69 Pure Beta days (72.6% AO)2011: 156 Alpha Opportunity days, 96 Pure Beta days (61.9% AO)2012: 193 Alpha Opportunity days, 57 Pure Beta days (77.2% AO)2013: 207 Alpha Opportunity days, 45 Pure Beta days (82.1% AO)2014: 199 Alpha Opportunity days, 53 Pure Beta days (79.0% AO)2015: 184 Alpha Opportunity days, 68 Pure Beta days (73.0% AO)2016: 188 Alpha Opportunity days, 64 Pure Beta days (74.6% AO)2017: 227 Alpha Opportunity days, 24 Pure Beta days (90.4% AO)2018: 170 Alpha Opportunity days, 81 Pure Beta days (67.7% AO)2019: 194 Alpha Opportunity days, 58 Pure Beta days (77.0% AO)2020: 118 Alpha Opportunity days, 135 Pure Beta days (46.6% AO)2021: 195 Alpha Opportunity days, 57 Pure Beta days (77.4% AO)2022: 139 Alpha Opportunity days, 112 Pure Beta days (55.4% AO)2023: 193 Alpha Opportunity days, 58 Pure Beta days (76.9% AO)2024: 182 Alpha Opportunity days, 69 Pure Beta days (72.5% AO)2025: 186 Alpha Opportunity days, 66 Pure Beta days (73.8% AO)0%25%50%75%100%2000200420082012201620202025
Share of SPY trading days with a move under 1% in either direction, by calendar year, from FlightDeck’s regime history. Red bars mark years with fewer than half the days classified Alpha Opportunity.

Pure Beta days are not all alike

Observed · since 2000
Pure Beta days by severity since 2000: the SPY move, the share of Pure Beta days, the count, and how often the next day was also Pure Beta
SeveritySPY moveShare of Pure Beta daysDays since 2000Next day also Pure Beta
Mild1.0–1.5%49%88434%
Moderate1.5–2.0%23%41535%
Severe2.0–3.0%18%33243%
Crisis3.0–5.0%8%14656%
Extreme>5.0%2%3972%

The harder the move, the likelier the next day is also Pure Beta: storms cluster. That is why FlightDeck’s Storm Center reads sequences of days, not single days.

On the same Alpha Opportunity days

Alpha Convergence and active equity funds

FlightDeck’s published comparison asks how each portfolio performed relative to the benchmark on days classified as Alpha Opportunity. These are selected comparators, not the entire fund universe.

Live-record comparison as of 22 Oct 2026. AC is gross of advisory fees; fund returns reflect their own fund expenses. Different mandates and fees limit direct comparisons.

Alpha Opportunity daily alpha and significance
PortfolioAO alphat-statisticp-valueAt 95%
Alpha ConvergenceStrategy, gross of advisory fees8.1 bp/day2.210.0269Significant
DODGXDodge & Cox Stock−2.5 bp/day−0.770.4407Not significant
FCNTXFidelity Contrafund4.8 bp/day1.210.2278Not significant
OAKMXOakmark Fund−2.8 bp/day−0.700.4870Not significant
TRBCXT. Rowe Blue Chip3.8 bp/day0.780.4352Not significant
SEQUXSequoia Fund−30.1 bp/day−1.090.2776Not significant
JENSXJensen Quality Growth−2.9 bp/day−0.820.4114Not significant

Values are published by FlightDeck’s AC Market Monitor and are not recomputed here. Any portfolio significant at 95% is shown in gold, ours or a competitor’s; it returns to white if it falls out of significance. A non-significant result does not establish that a manager lacks skill; this sample is limited to a particular period and market regime.

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