The poor performance of traditional asset classes in recent years has driven the search for greater investment into alternative asset classes. The desire to reap higher risk adjusted returns from diversification into assets which offer low and even negative correlation with equities and bonds are extremely desirable. There has been a huge growth in the traditional alternative investments: commodity and hedge fund investments. A number of funds specialising in Art have recently emerged, which also appear to offer a highly beneficial diversification strategy with extremely low correlation with traditional asset classes. But it is important for investors to understand the risk and return characteristics of this new 'alternative' asset class. In this paper we take a closer look at Art as an alternative asset, and look specifically at how this new alternative asset is expected to perform during bear markets, in times when benefits to diversification are most needed.