I agree with your overall conclusion that the benefits of alts are often overstated, particularly in marketing materials and occasionally by financial professionals that specialize in the field.

That said, I think your analysis invites some fair questions and comments:

1. Your analysis covers a single decade, which is too short a period to be considered conclusive. Have you considered extending it?

2. If you constructed an equivalent-risk traditional benchmark using returns-based analysis, then are you making the same error as promoters of alternative investments when they make dubious low-vol claims? That is, failing to properly account for skewness, higher tail-risk, financial leverage, use of derivatives, low-frequency pricing, appraisal smoothing, etc...

3. The question of greatest interest is whether reasonable allocations to alternative investments can improve a traditional, balanced and diversified portfolio’s risk-adjusted returns. I suspect the answer to this question is potentially yes, but I also believe that the optimal allocation to alternative investments is in the 0 - 40% range, i.e. much lower than the 60% average allocation that you mention above. It would interesting to see, at these lower allocation levels and with 10% position limits per strategy, whether or not alternative investments make good portfolio diversifiers.