The recent country specific geopolitical risk index for Sweden (Caldara and Iacoviello, 2022) is applied on Swedish stocks where decile portfolios are created based on their firm beta estimates. The findings indicate a significant, positive alpha for the D10 (hedge) portfolio that improves upon the CAPM, FF5 and FF6 factor models. The highest nominal return in the long run fall to the market index, however in the short run when geopolitical risk is high the D10 portfolio provides both the best nominal and risk adjusted returns. When comparing D1, D10 and OMXSPI, the D10 portfolio had the highest yearly Sharpe ratio most often, but only slightly more often than the market index. During years when GPR was high, the D10 portfolio provided the best risk adjusted returns. The results for the D10 portfolio are robust to bootstrapping, but varying between decades, indicative of GPR sorting only being important when GPR is high. During spikes in GPR it becomes one of the most important factors driving stock returns. Therefore, it is important during turbulent times to consider GPR for contemporaneous investors seeking superior risk adjusted returns and in forecasting the future value of stock returns.