While more risk averse individuals are less likely to become entrepreneurs, theory predicts that more risk averse entrepreneurs pick ventures with higher expected returns and so they should survive in business longer than their less risk averse counterparts. Using successive entry cohorts of young entrepreneurs in the NLSY 79, we find contrary to theory that the most successful entrepreneurs are the least risk averse. This finding suggests that commonly used measures of risk aversion are not indicators of taste toward risk. Instead, measured risk aversion signals weak entrepreneurial ability– the least risk averse are apparently those who can best assess and manage risks. Indeed, our interpretation is consistent with recent experimental evidence linking cognitive ability with a greater willingness to accept risk.