Market situation fluctuates under the pressure of macroeconomic factors between periods of strong growth and deep fall passing through shorter or longer periods of stabilization. The real estate market was traditionally considered as a competitive in relation to the stock market, experiencing declines and economic growth at a different time. From this point of view the real property added to the portfolio of an investor can give the risk reduction through diversification. This approach suggested the use of specific risk measures. However, the authors pose the hypothesis that the observed changes in the nature of the contemporary instruments of real estate market require a change of the tools used for risk analysis. The authors test the nature of real estate investment by analyzing results of direct and indirect real estate instruments used on the Polish real estate market and confront them with instruments used on the capital market.