In this paper, we compare asset classes performance quantitatively, including worldwide stock indices, bonds of different grades, gold, energy and foreign exchange. Bonds, especially investment-grade corporate bonds (Moody’s DBAA), performed the best among all the asset classes. Prices plunged significantly in Phase I, from COVID-19 start to March 2020and re-bounced after CARES (Coronavirus Aid, Relief, and Economic Security). We thus analyze the quantitative results through subperiods including pre-COVID-19 subperiod, Phase I, Phase II and time after lockdown and also compare to situations in the subprime crisis. The COVID-19 period asset correlations among asset classes increased than the usual. Since the means and variances of asset returns are not stationary, dynamic conditional correlation (DCC) model computes correlations between DBAA and other assets. Test results of the Phase I, Phase II, or extreme quantiles dummy variables’ impacts on the DCC time series confirm DBAAs safe-haven role.