The Kelly ladder
Same formula across edges. The drawdown column is the punchline.
Even-money payoff. Win probability climbs row by row. Full Kelly grows linearly. The drawdown profile grows convexly. That is why Half Kelly exists.
Full Kelly fraction = 2 x Win Rate - 1
Sizing trade-off at the 60 / 40 edge . return capture vs drawdown
Quarter Kelly . 5 pct of book
2 : 1return per unit DD
Half Kelly . 10 pct of book
1.50 : 1return per unit DD
Full Kelly . 20 pct of book
1 : 1return per unit DD
The convexity
Doubling the bet does not double the pain. The drawdown grows roughly with the square of the sizing fraction while the return grows linearly. Half Kelly captures three quarters of Full Kelly's return for half the drawdown. The trade only gets worse from there.