Although gold is a volatile asset, it is often considered a safe haven that offers protection during bear markets. The authors study this safe-haven hypothesis by analyzing a strategic allocation to gold for a loss-averse investor with a one-year evaluation horizon. A modest allocation to gold indeed helps to reduce the downside risk of traditional stock–bond allocations, yet such risk reduction comes at the cost of return. Conversely, low-volatility stocks are more effective in reducing losses without giving up returns. As a result, a stock–bond–gold allocation considerably benefits from embracing low-volatility stocks and allows for increasing the equity allocation at the expense of bonds. Notably, the effectiveness of this defensive multi-asset portfolio increases with the investment horizon.