This study compares the safe haven properties of asset classes of real estate (house, plot and residential), gold, dollar, and oil against equity returns in Pakistan for the period January 2011-December 2020. We employ the wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Our results show the dependence is weaker (stronger) in short (long) term investment horizon. We also study the potential of diversification at the tail of returns distribution by applying wavelet value-at-risk (VaR) framework that reveals the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil. Our findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedge the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon
