We examine how investor sophistication influences returns in Brazil's structured products market using regulatory microdata. We introduce a novel sophistication measure based on prior trading experience across securities markets. Experienced investors systematically outperform inexperienced counterparts when trading complex products, exhibiting both persistent skill and superior learning capabilities. This experience-based measure is more predictive than conventional proxies such as wealth and age. Our findings suggest complexity obscures risk from unsophisticated investors, enabling rent extraction through strategic design. Results challenge wealth-based ``accredited investor'' standards, showing that measures of financial experience provide more effective criteria for protecting retail investors in complex markets.