Is it an asset class? In the strict (traditional) sense of the word, probably not...but then again, are Hedge Funds asset classes? What about FX? Forestry Carbon offsets perhaps? Volatility (via VIX options) even?
P-schemes, show some characteristics that are reserved and used to define these "new-school" asset classes which include but are not limited to:
- unique risk & return profiles w/Beta > 0
- low correlation w/traditional asset classes
- similar form & structure (business model)
But it's purely academic. One might argue that a portfolio manager would be crazy to knowingly allocate any portion of managed assets to a pyramid scheme, my reasoning is, that there are people who have profited immensely from P-schemes (before they blew up) and it wasn't just the founders of the scheme or pilfering accountants either.
as @muganda mentions, it's all about knowledge & timing... getting in, taking profits and making your exit before the house of cards comes tumbling down.
Here's something interesting too. Jim Simon's RenTec had invested w/Madoff (Total Return Swaps) and strongly suspected he was a fraud from as early as 2003. Their response was to only cut their investment by half ....
Links
http://en.wikipedia.org/wiki/James_Harris_Simons
http://www.telegraph.co....fraudsters.html?image=8
http://www.zerohedge.com...ness-and-other-questions