Gold’s role as a safe haven asset has been intensively studied in recent years. This article extends the previous literature and examines the safe haven properties versus equities and bonds of four precious metals (gold, silver, platinum and palladium) in a time-varying matter and across four countries : US, UK, Germany and Japan. Results indicate that the metals each play safe haven roles ; there are times when one metal is while another may be a safe haven against an asset. Consistent with previous findings, gold may not always be the safest haven.