This study investigates the impact of sophistication on individual investors’ risk and return expectations using a survey directed towards a random sample of individual investors in Sweden. Eleven measures that previous studies have found to be related to sophistication are elicited for the study. Novel evidence are found for the importance of sophistication, where individuals risk expectations mainly are associated with their numerical ability and their years of experience while the return expectations are related to their gender, years of experience and educational attainment. Results from a factor analysis indicate that the sophistication measures mainly can be described by two factors capturing most of the variation in the measures. Comparing the absolute deviation for individuals risk and return expectations and objective measures indicate that highly sophisticated individuals have expectations closer to the objective measures then less sophisticated individuals.