Some quite interesting asset classes are listed below, some of which sound to good to be true (which they probably are) and others that seem to be marketing scams from someone or other…
commodities (electricity, oil, gas, wind and solar power..)
precious stones / gems
paintings / art / collectibles / old cars / antiques…
fine wine and cigars
socially responsible investments
But there is, as always a slight hitch: the asset classes that might be nice as a diversifier to a portfolio are notoriously difficult to get hold of, and if there is an instrument that covers the same it is usually an actively managed fund, with expense ratios somewhere north of 2%.
It is therefore very important that you consider cost before jumping into an asset class.