This paper critically evaluates currently available statistics on UK capital investment in the arts, sport and heritage. The paper first examines some important questions that need good capital investment statistics if they are to be answered. Particular attention is focused on how far existing data might provide an adequate benchmark for evaluating the effects of the National Lottery on capital investment. The strengths and limitations of these data are then assessed. The paper concludes with some recommendations for improvement. An Appendix presents nearly fifty measures of capital investment in the three sectors.