Yet collectibles also have a dark side—they are highly illiquid and highly volatile. According to the report, art has been far more volatile over the past 10 years than gold, equities or real estate. Among collectibles, coins and furniture were the least volatile.
Coins, in fact, have had a strong, if underappreciated, run recently. They returned 10 percent over the past 12 months and 90 percent over the past five years, ranking second as investments just behind cars.
The worst investment when it comes to collectibles has been antique furniture, with negative returns of 8 percent over the past year and 24 percent over the past decade.
And even within collectible classes, like art or cars, there are winners and losers. Broadbrush indexes can be deceiving in markets where it's only a select few examples at the very top that outperform and skew the results.
In the art market, for instance, so-called "pop art" that includes Warhol, Ed Ruscha and Roy Lichetnstein, is up 89 percent over the past year. But so-called "modern painters" such as Mark Rothko, Cy Twombly and Robert Motherwell, performed better over the past five years.
"These luxury assets can outperform more mainstream investment classes such as equities, but not every luxury investment will always outperform," Shirley said. "And even within segments, not everything is a guaranteed investment winner."
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