The search for incremental returns—“alphas” in current parlance—has become the holy grail of active investment. This article begins by drawing a distinction between two broad classes of alphas: (1) “allocation alphas” that are broadly available, on a non-zero-sum basis, by moving the strategic portfolio toward a more balanced return–risk structure and (2) truly active-skill-based return enhancements derived from opportunistic inefficiencies. Inefficiencies can be hard to discern and even harder to exploit, which may help explain both why some investors are able to consistently produce positive alpha and also why they are so few in number.