A great many people today are promoting art as an investment. Numerous art funds are set to launch, and legions of experts are offering to guide investors in the right direction.

This should make you very, very nervous.

Probably no sizable market on earth is more opaque, unpredictable, and narrow than the art market. Even serious experts in the field, with long histories at the auction houses and as private dealers, express grave concerns about the suitability of buying art for projected returns. Tastes change, art works deteriorate, valuing portfolios is chancy, and prices are high.

Why, then, all the excitement?

First, dismal results for stocks and bonds in recent years have spurred the search for “alternatives” of any kind. Second, the art market – or at least segments of it – has been recovering nicely from its slump in the late 1980s and early 1990s, so that recent results look pretty terrific.

Third, it’s an opportunity for a lot of people with almost no financial sense to cash in on the huge amount of personal wealth floating around. Finally, investors find it fun.

Actually, all that the sector needed to get it up and running was a good index. Like the scarecrow in “The Wizard of Oz,” who needed only a diploma to prove his intelligence, all an asset class needs to be taken seriously is a mathematical model to measure results in a complicated way.

To that end, two finance professors at NYU, Jianping Mei and Michael Moses, have created the Mei Moses Fine Art Index, which has tracked auction house sales of specific objects going back to 1925. They have concluded that art, through the past 50 years, has slightly underperformed the S&P 500, but outperformed bonds. For the last five years, art considerably outperformed the S&P, but didn’t match bonds. Last year, the value of art rose 13%, according to the folks at NYU.

In other words, the numbers suggest that this investment class, like all others, has hot streaks and cold ones, too.

Though there are many issues one could raise about the index (such as the fact that only a small percentage of art transactions occur at the auction houses), it is a start on measuring activity in a truly murky field. With it, fund managers can now construct and justify different sorts of vehicles to entice investors.

Is investing in art a good idea? Possibly, if you love art and you seek diversification. Art appears to have low correlation with other asset classes, to its credit, but is highly volatile.

Is a fund the way to go? Given the high prices of art today, it is the rare investor who can buy a diversified portfolio on his own. The returns of different segments in the market have varied hugely, which argues for going through a fund. Also, transaction costs are quite high; a fund may be in a better position to negotiate these charges.

In either case, participants need to know what they are doing. Hiring an adviser for those investing on their own is a must. Paul Provost, senior vice president at Christie’s, also recommends picking a particular segment of the market, and getting educated.

What to buy? The laws of supply and demand are not well enforced in the art world. That is, Old Masters really should outperform contemporary art, which is still being created after all, but they don’t. One area that everyone agrees is hot, and likely to stay so, is Asian Art.

Imagine the demand for, especially, Chinese art and artifacts, as that country develops a middle class. People throughout history have spent money on art and on decoration of their homes to show off their wealth. Already the art world is abuzz about the pent-up appetite for such product, and recent sales have confirmed that the boom is underway.

What about contemporary art? Even some of the best-regarded dealers in the field, like George Adams, who runs the eponymous gallery, express caution. Mr. Adams maintains that art collections cannot be managed like a stock portfolio because no one can anticipate the future value of contemporary art, especially at a given point in time. Prices are extremely high, driven up partly by the deep pockets in the hedge fund world, and manipulation is rife. However, there is no question that contemporary art is fashionable, and likely to remain so.

Should one buy what is out of favor? There may be value in some areas, like medieval illuminated manuscripts or English furniture, which are rather depressed at the moment. However, it can take a very long time for taste cycles to right themselves, and recovery is unpredictable.

Mr. Provost recommends that investors buy the best of what they can afford. If possible, keep the work off the market for as long as possible; buyers like “fresh” product. Further, he cautions not to expect gains overnight, and don’t be afraid to pay up. In his view, excellent art was always expensive. That makes us feel better.