Since 2000 there has been an increasing focuses by the global investment community towards alternative investment classes, in particular real estate and infrastructure investments. Most of this demand is coming from institutional investors who are attracted by the long-term nature of these investments. Proponents of these alternative investment classes argue that they deliver favourable investment performance (such as enhanced risk-adjusted returns, predictable and stable income yields and attractive positive total return) against traditional investments such as general equities and fixed interest. This paper examines the historical return performance for real estate and infrastructure investment markets in Australia using econometric time series techniques. Attention is given to both the listed and unlisted markets. The paper attempts to highlight the varying nature between these two asset classes and outline their key drivers of performance. Their impact in a balanced portfolio is also assessed in terms of diversification benefits.