This paper considers whether stocks, bonds, real estate and securitized real estate in both the U.S. and the U.K. provide protection against inflation, that is, whether they deliver positive real returns over a given holding period. Inflation protection is distinct from inflation hedging which means co-movement of inflation and returns from period to period. Returns for 1978-95 are considered. These are also used to construct probability distributions for future returns. With the exception of stock, U.S. assets appear to offer better inflation protection than their U.K. equivalents. In the U.S., securitized real estate offers best protection while in the U.K., stocks are best. Appraisal-based real estate in both countries provides good protection but there are concerns about the reliability of the data