Comment by anotheranon631

It sounds like we might mostly agree in substance and a debate over semantics isn’t productive.

I agree that “the inputs to the Kelly formula are imprecise and therefore we should not mindlessly implement its recommendations.”

I agree that retail investors should not model their 401k allocations like Soros and Buffett.

Having run a factor neutral long short book I’m extremely familiar with the role of correlation and volatility in portfolio management and position sizing. As others have noted, there are extensions of Kelly (and related portfolio construction formulas) that account for correlations.

I disagree that risk-reward (broadly defined) shouldn’t be the primary bet sizing metric. I think many investors ignore risk reward calculations in their sizing and they would be better off if they paid attention to it. Many of the smartest investors I know have their entire sizing strategy based on risk reward.

To suggest that active investors should ignore risk reward / odds / whatever you want to call it, is wrong, in my opinion.