Investors increasingly use tangible assets and especially wine to reduce the volatility of their portfolios through improved diversification. However, these assets are long-horizon investments, and therefore, short-term fluctuations (volatility) are of little relevance. Instead, assessing if these assets reduce the risk of facing severe losses (downside risk) appears more appropriate. Unfortunately, the literature offers little guidance on this issue. To address this, we analyze portfolios containing both traditional and tangible assets. Our results demonstrate that wine not only presents a lower downside risk than most other tangible assets but also reduces portfolios’ downside risk. This is due to wine-market specific factors driving wine returns and thus disconnecting them from other asset returns. We also show that gold presents similar advantages as wine and that combining these two assets may further enhance their effect. Overall, allocating around 10% of a portfolio to wine seems sensible from a downside risk management perspective.