The rule came from a 1950s information-theory paper and was later used by famous investors to size positions for maximum long-run growth.[1]
Like pressing the gas pedal. Too little and you crawl; flooring it spins you off the road. Kelly is the pedal position that gets you there fastest without crashing.
The catch: full Kelly assumes you know your odds exactly. You don’t. Since real edges are fuzzy, betting “half-Kelly” keeps most of the growth with far less wild swinging.
The deeper lesson is simple: position size is a decision in itself. Even a good idea can ruin you if you bet too big.
Where these numbers come from
Finisdom’s sizing and scenario tools help you think about how big a position should be — not just whether you like it.