The continual search to reap higher risk-adjusted returns has led to a number of highly alternative assets to be considered for financial investment purposes. Recently, a number of funds have emerged to indirectly invest in the arts sector. The focus has been on fine art, wine and more recently into the possibility of investing into other collectible items and memorabilia. One such area is musical instruments. In this paper, we take a look at the violin sector in particular, which has shown steady annual growth in market value over the past half century; fuelled by a combination of a shortage in supply at the high end of the market and a continued increase in global demand. Using data collected from auction houses and private dealers, we analyse the risk-return characteristics of the violin sector, compare it to other financial assets and assess the implications for portfolio diversification and the ability of pension houses to benefit from this sector.