This study investigates the efficacy of gold as a hedge against geopolitical risk through a Multifractal Detrended Cross-Correlation Ana- lysis (MF-DCCA). Daily price data of gold, S&P500, DAX40, DXY, Nikkei225, and WTI from 2006 to 2022 is analyzed as well as the performance of these assets during periods of heightened Geopolitical Risk Index. Three hypotheses are tested: whether gold loses its safe haven attributes during times of increased geopolitical risk, whether its ability to offset downside risk is lower than other assets, and whether cross-correlations between assets and geopolitical risk present multifractal properties. The findings suggest that all assets exhibit a long-range correlation with the geopolitical risk index, confirming the presence of multifractality. This study demonstrates significant temporal variations across different market regimes, illustrating the relation of gold with geopolitical risk evolving from the 2008–2009 financial crisis through the COVID pandemic. In the full period analysis, gold reveals more pronounced anti-persistence than most other assets (except S&P500), indicating more rapid mean-reverting behavior in response to geopolitical shocks. This stronger anti-persistence suggests gold functions effectively as a short-term hedge where investors quickly move to gold during crises but is sold once the situation begins to stabilize. The pattern varies across different market regimes. However, gold’s behavior during the COVID crisis challenge traditional safe haven narratives. These findings align with recent research showing that gold has a cross correlation with financial markets that may shift significantly during extreme market conditions. This shows that the safe haven character of gold is context-dependent and varies based on the specific nature of the crisis. Overall, this study reveals a more nuanced understanding of gold’s relationship with geopolitical risk than traditionally understood, while still affirming its generally superior position relative to other assets during most periods of geopolitical uncertainty.