Abstract: As the financial system risks escalate, an increasing number of investors are turning their attention to alternative assets as a means of value storage. Diamonds, characterized by their scarcity, durability, and portability, are viewed as commodities with investment potential. To elucidate the investment potential of colourless diamonds for investors, this study examines the risk-return characteristics of colourless diamonds in the auction market from 2009 to 2022. Varying performance was observed among different qualities of colourless diamonds, with high-quality ones yielding the poorest returns, indicating they were not a favorable investment option during the studied period. Conversely, medium-quality colourless diamonds outperformed bonds and precious metals during the same period, making them a viable addition to investment portfolios. Furthermore, this study employs hedonic regression analysis to explore factors influencing the prices of colourless diamonds in the auction market. Notably, the "4Cs" grading system and association with luxury brands significantly impact colourless diamond prices, with the model explaining over 95% of price variations. Lastly, a correlation analysis between other investment assets and colourless diamonds in the auction market reveals no significant correlation, demonstrating that incorporating colourless diamonds into portfolios can offer diversification benefits and mitigate risk.