Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?

This study offers ray of hope for financial investors in five classes of assets [precious metals, fiat & virtual currencies, commodities, and long-term government bonds] that can provide protection against uncertainty risks captured in three well-known uncertainty indicators. The motivation for the study is that portfolio risk-management strategies can be enhanced by having expanded options of risk-free assets that are capable of delivering positive returns in harsh market situations. The in-depth analysis involve: (1) alternative econometric techniques and data frequencies, (2) use of country-specific economic policy uncertainty indices to complement the global index, (3) distinct analysis for the COVID-19 first wave period due to extant argument that the pandemic raise market uncertainties and our preliminary results showing co-movement among the three uncertainty indicators during the pandemic. The first set of results show all the seven assets as safe haven assets. The second set conducted for the first wave of the pandemic excludes long-term bonds & the US dollar. The study therefore recommends gold, silver, commodity futures and Bitcoin for inclusion in diversified portfolio risk-management strategies. The US dollar and bonds may not be considered.