We investigated genetic and environmental effects on alcohol dependence, smoking, and aggressive behaviour, as well as sex differences in these effects and whether these effects were the same for the three phenotypes. There were 3141 male (mean age 26.2 [S.E.=0.1]) and 6026 female (mean age 26.1 [S.E.=0.1]) participants in this extended twin study. Alcohol Use Disorder Identification Test (AUDIT), number of cigarettes smoked, and two subscales of Aggression Questionnaire (AQ) were used to assess the phenotypes. All three were positively interrelated with males exhibiting higher levels on each phenotype. Multivariate model fitting identified genetic effects on all phenotypes for both men and women ranging between 69% (aggressive behaviour in women) and 78% (alcohol dependence in men). The effects were stronger in men for alcohol dependence and smoking. There were no qualitative genetic sex differences. Genetic correlations between all phenotypes were substantial.