When the market falls and volatility rises, investors should hide in bonds and gold, according to CNBC analysis using hedge fund analytics tool Kensho.

CNBC found the exchange-traded funds that outperformed during periods when the Cboe Volatility index (VIX) – the market's fear gauge – jumped five points in five days. This kind of volatility surge (like the one beginning this week) has occurred 59 times the last 10 years.

The iShares 20+ Year Treasury Bond ETF (TLT) has averaged a 2.1 percent gain during such a move in the VIX, according to analysis using Kensho .

Investors may seek the safety of treasury bonds during times of stock market turmoil.

The findings also show gold outperformed in times of rising volatility. Both the iShares Gold Trust and the SPDR Gold Trust rose 0.9 percent on average during a five-point gain in the VIX in five days.