Isn’t it frustrating? The one investment that seems to be rocketing ahead these days is fine art, but most of us don’t have a clue how to climb onboard.

In 2004, as investors widened their search for alternative investment classes, art funds were all the rage. These structures promised investors a chance to invest side by side with experts in the field and to diversify across a number of art categories. Any number of funds were in the works — so many, in fact, that ABN AMRO announced with much fanfare that it would launch an art fund of funds. Oops.

What happened? It turned out that investing in art is extremely complicated, and few players had the credentials to attract investors. Even though in theory art offered above-average appreciation, uncorrelated results, and another form of diversification, the essential lack of transparency and issues such as insurance costs and questionable valuation practices discouraged participants.

Even the creation of the Mei/Moses index by a duo at NYU’s Stern School, which purports to show that owning art has yielded higher returns than other asset classes, failed to convince investors. The funds, for the most part, went begging.

Nonetheless, as each auction season rolls by, making headlines with record sales numbers and unimaginable prices for hitherto undistinguished works, you can’t help but want in on the action.

What are the possibilities? First, a few funds are actually up and running, and they reportedly have produced handsome returns for investors. Probably the best known of these is the Fine Art Fund in Britain, run by Philip Hoffman.

Mr. Hoffman, who was a senior fellow at Christie’s auction house for many years, says the fund has attracted tens of million of dollars — he won’t release the actual number — and has done well by its investors. He explains the group’s success this way: “We were the original players. We came with 300 years of expertise in the field; no one else even came close.”

According to Mr. Hoffman, “It wasn’t the concept that was faulty. There were just no comparable teams.”

The Fine Art Fund reportedly has averaged gains of 58% annually on assets sold in the fund. (That isn’t a good measure of overall returns, of course, since it doesn’t capture the gains or losses of unsold holdings.) It was started in 2000, has a team of more than 30, and invests in a wide variety of old masters, Impressionists, modern and contemporary art, and Chinese works.

The firm transacts most of its purchases and sales privately, though occasionally it does sell a piece through an auction house. The minimum investment in the original fund is $250,000; new funds focused on China and India require a minimum of $100,000.

Mr. Hoffman says that with the extraordinary appreciation in the contemporary art field, his team is reviewing the portfolio more closely and more frequently than before. It is not above flipping a work if the price gets ahead of itself.

Why can’t knowledgeable individuals do just as well? Mr. Hoffman’s team has the advantage of having expertise across an extremely wide art spectrum. It is, he says, continually reviewing between 5,000 and 10,000 artists. In the field of contemporary art alone, there are as many as 200 sectors, each with its own dynamic.

Still, there are techniques a knowledgeable buyer could use. There is, for instance, quite an arbitrage between the London and New York markets. There are artists who are more fashionable on one side of the pond than the other, and dealers can do quite well playing off the differences.

In this age of e-communication, one might wonder at the implied inefficiencies, but numerous art advisers and dealers confirm that because 70% or 80% of all art transactions are private, the marketplace is frequently in the dark.

Also, sometimes the pros make mistakes. There are numerous instances of auction houses undervaluing (or overvaluing) a work, simply out of ignorance and a shortage of personnel. Recently, a painting now thought to be by an Italian Baroque artist named Pier Francesco Mola sold at auction at the Clars Auction Gallery in Oakland, Calif. The work was unsigned, so the catalog entry mentioned only that it was by an Italian artist. Bidding started at $5,000, and the work ultimately fetched more than $600,000.

A member of the well-known Richard Green family and company, Mathew Green, bought the work, confident that even at that price, it is still substantially undervalued. “The art market is notoriously inefficient,” he says. “At the end of the day, it is art, and art is subjective.”

Indeed, though Mr. Green thinks art is a terrific investment, he is the first to caution that buyers must sometimes be patient and that they should protect themselves by buying only what they love. In case you pay too much, you will at least enjoy your work while you wait for the price to go up.

Can you be confident that eventually you will make money? “If you buy the best examples and have the ability to wait for eight to 10 years, you will do well. If you think you can buy just anything, you will come a cropper,” Mr. Green says, and it is the best of the best that his company offers.

But what if your wallet doesn’t allow you to buy household names? The owner of a gallery on East 80th Street in Manhattan, Barbara Mathes, confirms that someone with, say, between $25,000 and $50,000 to spend can make money owning art. But she is also quick to say, “I don’t like to sell art that way.”

Like most professionals, Ms. Mathes cautions that buyers should primarily buy works that they enjoy, with investment returns the secondary motivation.

That said, she encourages buyers to buy the top item they can afford, remembering that it’s the work, and not necessarily the artist’s name, that will ultimately determine its value. She recommends choosing an artist who has an established body of work but who may be out of fashion.

Mostly, Ms. Mathes — who did 10 years of graduate work, has been on the board of the Art Dealers Association, and who does appraisals for the IRS — suggests relying on a dealer who is knowledgeable and well trained. She suggests that buyers ask for a dealer’s credentials: ask questions about their professional associations and educational background, and ask them to defend their recommendations.

“I will walk a client through my reasoning, why I’m choosing a particular artist, why he’s fallen out of favor, and I’ll support the price by looking at comparables. Any good dealer should do that,” she says.

Overall, most professionals in the field urge caution. “You hear all about the art that goes up,” Ms. Mathes says, “not too much about the works that sit in a warehouse.”

Words to the wise.

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