Kelly Criterion Calculator for Stock Investors
How much of your portfolio one idea deserves, at full, half and quarter Kelly.
How often theses like this one work out for you
Full Kelly: the growth-maximizing position size
25.0%
A full Kelly this large tolerates brutal drawdowns and assumes perfect estimates. Most investors run half or quarter Kelly, because estimation error compounds faster than returns.
- Half Kelly (common in practice)
- 12.5% · $12,500
- Quarter Kelly (conservative)
- 6.3% · $6,250
- Payoff ratio (R)
- 1.50
How to size a position with Kelly
- Estimate how often ideas like this one have worked for you. Be honest.
- Enter your average gain when you are right and your average loss when you are wrong.
- Treat full Kelly as a ceiling, not a target. It assumes your estimates are exact.
- Size at half or quarter Kelly. Add your portfolio value to see the amounts.
- A negative result means no position, not a smaller one.
How this was calculated
f* = W − (1 − W) / R
W is the chance that your idea works. R is your average gain when right divided by your average loss when wrong. f* is the share of capital that grows it fastest over time for those inputs. Half and quarter Kelly scale it down, because your probabilities are estimates, and betting too much costs more than betting too little. A negative f* means there is no edge, so the right position is zero.
These are estimates for learning, not investment advice.
Full, half or quarter Kelly?
Full Kelly gives the fastest growth over time, but the falls along the way are deep. Half Kelly keeps about three quarters of the growth with much smaller swings. Quarter Kelly suits ideas where your edge is uncertain.
Smaller fractions also protect you when your estimate of how often you are right is wrong. In investing you estimate the odds yourself, so a smaller fraction is the safer default.
MonkScore
How does your stock score?
MonkScore™ rates a company from 0 to 100 on five things at the same time. The scores are inside MonkStreet.
How this score is madeDisclaimer
- Growth (value available with a MonkStreet trial)
- Profitability (value available with a MonkStreet trial)
- Quality (value available with a MonkStreet trial)
- Conviction (value available with a MonkStreet trial)
- Safety (value available with a MonkStreet trial)
Questions
It is a formula from John Kelly's 1956 paper. It gives the share of your capital that grows it fastest over time when you have an edge: f* = W − (1 − W) / R. W is the chance you are right and R is your average gain divided by your average loss. A bigger edge means a bigger stake. No edge means no stake.
Yes. It became famous in gambling, where the odds are known, but investors such as Ed Thorp used it in markets. In investing you estimate the odds yourself, so most investors use a fraction of Kelly.
Full Kelly grows capital fastest, but the falls along the way are deep, and it assumes your estimates are exact. Half Kelly keeps about 75% of the growth with half the swings. That is why most investors size at half or quarter Kelly.
Your inputs describe a losing bet: your chance of being right is too low for the payoff. The answer is no position, not a smaller one.
No. It tells you how much to risk when you have an edge. It cannot create one. If your real edge is zero or negative, Kelly sizing only controls how fast you lose.
Related tools
Newsletter
The MonkStreet letter
One email a week on what the numbers say, without the hype.
Subscribe freeData updated: July 2026