David Swensen in "Pioneering Portfolio Management" points out the in the alternative asset classes, the median return is often poor and less than you could have received using a passive strategy and traditional asset classes.
He goes on to suggest that to make alternative asset classes work, you need to get into the investments that deliver top quartile returns... something most big money institutions can't even do very successfully.
P.S. I see two exceptions to the "Don't go alternative" rule of thumb for individuals: Direct real estate investment and small business ownership... but in both of those cases, you're really treating the investment as a job and not as a passive investment.