The result will still be black, just transparent black: you still have RGB values even if the alpha is set to zero.
How are you then displaying the contents of this rendertarget? I would suspect that is where your problem lies, if it turns out opaque black.
Or possibly your rendertarget format does not include an alpha channel?
Best way to debug this sort of thing is use PIX to take a single frame capture, then look at exactly what color values are ending up in your rendertarget at any point you are interested in during the rending process.
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