Investment in artworks has been increasing since the 1980s. This is because investors may earn positive returns while enjoying the aesthetic value of the underlying asset. Art market research has progressively gathered the attention of the literature since information on auction transaction prices became publicly available. This book especially aims to shed light on the variables that may drive the return pattern of artworks belonging to a specific art movement or art period. For this purpose, I use a dataset composed of different art indexes. The final objective of this work is to provide a forecasting model able to predict which art index will have the highest return a year from estimation date. This work could be useful for institutional investors like funds of funds willing to take investment positions in the art market. The results provided by this analysis could also be used as an initial step in the building process of a portfolio including a wide range of asset classes. Private investors will be able to trade art indexes through financial instruments in the near future. Moreover, they will have a view on the drivers that could move the return of art movements.