We analyze the financial portfolio performance of Belgian households, using data from the 2010, 2014and 2017 waves of the Household Finance and Consumption Survey survey. We document thecharacteristics of households that participate in risky asset markets, and we examine whichhouseholds achieve good financial portfolio performance. To this end, we propose a nonparametricmethod for performance measurement that naturally integrates the well-known Sharpe ratio. Themethod produces an intuitive “efficiency” measure that quantifies the evaluated household’s portfolioperformance relative to the observed performance of other (best performing) households. It allows usto account for cross-household variation in risk-free return rates and to mitigate the impact of outlierbehavior. We report significant cross-sectional variation in portfolio efficiency. High educated,non-retired and wealthier households generally achieve higher levels of efficiency, as do householdswith a female head. These findings can be instrumental in developing specifically tailored financialeducation programs and may have implications for the evolution of (long-term) wealth inequality.Lastly, we report that households improve their performance over time, suggesting alearning-by-doing effect.