Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

• Strong dependencies between very distant markets and Gold are found on the first wave of pandemic. G7-Gold correlation patterns similar, while BRICS fail to report such attribute. An increase in wavelet decomposition frequency could lead surge potential diversification benefits. Mid-timescale decompositions confirm outperformance filtering data strategies. This research empirically evaluates benefits during COVID-19 pandemic period, when including it equity-based asset allocation study proposes minimum VaR portfolios, with monthly rebalance different scales (short-run, mid-run long-run), doing both an in-sample out-of-sample analysis. We find much more unstable weights as becomes lower, strong evidence over rest active management strategies passive buy hold variety single equity indices. Thus, we may shed some light role a safe haven properly aggregated data.