That's not surprising. Sure, the data shows that art performs well as an asset over time. But for the wealthy people expected to invest in these funds, much of the satisfaction of buying (or investing) in art is being able to hang it on your wall and show it off. Someone who is willing to commit a few hundred thousand dollars to art would probably be more likely to go buy paintings at Christie's than invest in a private equity fund that buys paintings at Christie's.
One of the great ironies of the art world is that artists rarely benefit as the value of their work appreciates over time. But one art fund is aiming to change that. Artists who join the Artist Pension Trust pool their pieces with those of other artists and then receive a stream of income down the road as the trust sells their pieces—and those of other artists. In other words, the best way to make money on art as an investment may be to give it away.