Alternative Mutual Funds (AMFs) provide the individual investor with the opportunity to invest in funds that follow strategies similar to those of hedge funds and seek returns uncorrelated with the market. Financial planners, advisors, and investors need to be aware of how well AMFs deliver absolute or positive returns regardless of market conditions and their relatively high expense ratios. In this article we analyze the performance of AMFs for the period January 1998 through December 2011 using the Carhart four-factor model and the Fung-Hsieh seven-factor model. Our results indicate that most AMFs have not been able to create any value for their investors over the period of our study. Furthermore, the performance of these funds was even worse during the recent financial crisis. © 2014 Academy of Financial Services. All rights reserved.