You'd be surprised at what people continue to invest in because it's fashionable, "other people's money," or because they're so thirsty for appearance of yield after an unprecedented era of rock-bottom interest rates. Despite the evidence that some alternative asset classes may not be worth the considerable fees. Most hedge funds fall squarely into this category [1]. There's also the ongoing scandal involving the U.S.'s biggest pension funds and their inability to figure out what fees they are actually paying to private equity, and hence whether the returns are worth it.

[1] http://fortune.com/2015/05/19/hedge-funds-mediocrity/ [2] http://www.nakedcapitalism.com/2015/08/calpers-private-equit...