We empirically examine the impact of Geopolitical Risk (GPR) on tradable precious metal returns for a period spanning over January 1985 to December 2017. We report the evidence of: (a) increase in GPR of 100 units increases Gold returns by 0.0029 percent. (b) For a 100 unit increase in GPR the returns of Silver, Platinum and Palladium falls by -0.0008, -0.0057 and -0.0343 percent respectively. (c) Gold returns are higher (and positive) under threat conditions rather than actual occurrence of any risk events. (d) Palladium is found to be most vulnerable to GPR and (e) we also find positive and significant sensitivity of Gold at normal market conditions.