Mei Moses released their tracking of the London Impressionist and Modern sales. Overall, they see 11.1% compound annual returns for the works they could track in the evening sales and 9.4% for the day sales:

We have repeat sale data on 1/4 of the lots that sold and the average of their compound annual returns (CAR) of these 29 lots was a strong 11.1% with an average holding period of 17.2 years. This strength is documented when these returns are compared to the returns that would have been achieved if the art purchasers had invested instead in the S&P 500 Total Return index (where dividends are reinvested tax free) for the identical holding periods as the art. The average CAR for the S&P investments would have been only 6.8%

The day sales for each auction house produced very good results but were not quite as strong as the evening sales. However the mean CAR for the day sales was 20% higher than the overall mean return on our entire repeat sale database for this collecting category. There were 98 lots with repeat sale results across the four daytime auctions of the two auction houses. The average CAR for the 98 pairs was 9.4% with an average holding period of 13.2 years. The average CAR for our world wide IMPMOD data base of 7,230 pairs is 7.8% with a holding period of 16.6 years. The average CAR for investment in the S&P 500 TR index for the same holding periods as the 98 art pairs was only 4.9%.

Mei Moses June 2011 London Sales Analysis Press Release