You can check that on their website:

"100% of GOLD is backed by physical gold. Amount of physical gold stored can be matched against the total number of tokens in real-time. All physical gold stored in vault is fully insured, 100% of the time.
The insurance covers all risks at full replacement value and is provided by one of the world's largest insurance specie underwriters, Chubb Insurance. Storing physical gold on your own has a number of inherent dangers/problems that can be avoided by using GOLD. Such dangers include home burglary and security risk going to and from the bank, if you choose to store gold at home or limited access if you choose to keep your gold at a bank. "

Making a summary the gold is stored in a vault and it is insured by Chubb Insurance.