Peter: (1) The subject of the post is whether or not alternative investments provide reliable volatility dampening. Please see my reply to, Ingmar, above. (2) I honestly don’t see a connection between the technical issues you identify (other than return smoothing) and the results presented. Nothing esoteric in what I did. As for return smoothing, I did not adjust for that; had I done so, the case for alts would be worse. See also my reply to Clayton. (3) There is a link in my post to my blog. There you will see a regression of alphas on alts exposure percentages that shows negative alpha down to 10% of assets. With alts, the more you have, the worse you did.