Investment is a way of investing the funds in different asset class available such as equity, debt, bonds, fixed deposits, real estate, gold etc. Each asset class has different risk return trade off. This study compares historical returns of different asset class namely Nifty 50, Sensex 30, Equity Mutual fund, Debt Mutual fund, Gold and Real Estate for 10 years horizon i.e 2007-2016. It also takes 20 years data for Nifty 50,Sensex 30 and goldi.efrom 1997- 2016 and compares the returns over the years. Further, itdiscusses the impact of recent change in the Indian Financial Budget relating to Long Term Capital Gain Tax (LTCG) over Real Estate investor’s returns. This study shows that Debt Mutual fund has given better returns as compared to other asset classes for shorter period of time i.e. for one year period. However, for long term investors,equity mutual funds have performed consistently better as compared to other asset class.This study also reveals that change in budget relating to LTCG holding period for immovable property has made the real asset investment class more attractive for wealthy investors.