Although the water industry has become a topic of growing importance in the past decade, research on the returns on water investment is scarce. This paper provides a background to the development of the water industry, reviews existing studies on the performance of water investments, and identifies the research challenges in this area. The review finds that there are various ways for private investors to participate in the water sector. Generally speaking, water stocks have outperformed the broad stock market; however, the returns on water investments vary substantially with the chosen assets. There is a lack of reliable data which may be a result of the fragmentation of the industry. Further research is urgently needed about this industry, with a particular emphasis on the returns investors could gain from investing in water assets.