In this paper, transaction prices of paintings brought to market at least twice over the period 1715-1986 are used to construct a art return index. The index allows a comparison of painting price movements to stock-market fluctuations, and also an evaluation of the risk and return characteristics of art investment. I find evidence of a strong relationship between the demand or art and aggregate financial wealth over the very long term, manifested by the fact that the art index and an index of London Stock Exchange shares over the same period are highly correlated. I interpret this as evidence that the demand for art increases with the wealth of art collectors.