This paper examines and compares wine price indices available on the wine market with those proposed in academia. We especially analyze the impact illiquidity has on the different indices and validate our findings using a simulation which allows us to define the biases induced by illiquidity on the statistical properties of the indices. We also propose adjustments to help market participants improve the reliability of wine indices and ultimately their decision-making. Our evidence indicates that both the volatility and the beta of fine wine is understated when estimated with existing wine index data. The true volatility and beta of the First Growths from Bordeaux appear to be close to 20%, respectively 0.45–0.60, suggesting that the diversification potential of fine wine is more limited than commonly believed.