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The article discusses ex post rates of return and correlation coefficients for alternative investment media for the period of 1949 to 1969. Although real estate is an important avenue for financial investment, little work has been done on ex post returns, perhaps because of the absence of reliable historical price data. The article presents a study to identify the degree to which the consideration of investment alternatives other than common stocks and riskless one-period bonds influences the construction of efficient portfolios. The media selected included common stocks in the United States and two other countries, U.S. government and corporate bonds, real estate, and commodity futures. negative values. Common stocks exhibit wide differences in ex post mean return among the United States, Japan, and Australia and low correlation coefficients. Returns from real estate are found to be highly stable and not significantly correlated with those of other media. The decision process of portfolio construction can be thought of as comprising four phases.