What is bankroll management

How do you size bets so a bad run doesn't end you?

Sizing is not a smaller version of picking. It is the thing that decides whether a real edge survives a bad run.

Fractional, always

Kelly gives the growth-maximising stake given the true probability. You have an estimate with an error bar, and the penalty is asymmetric: betting twice the correct fraction has negative growth, betting half has about three-quarters of the growth at a quarter of the variance. Overestimating costs far more than underestimating, and devigged estimates are exactly the kind that get overestimated.

Cap every bet regardless

Kelly on a genuine 30% edge and on a stale line ask for the same stake. The cap is what makes the difference between them survivable.

Count correlated bets once

Kelly assumes bets resolve one at a time. Twelve overs riding one game script is one undiversified position wearing twelve hats, and sizing each at its individual optimum is a far larger bet than it looks.

Judge the sizing separately from the picking

Money return and flat-bet return answer different questions: what happened, and what would have happened staking level. The gap between them is the only direct read on whether your sizing earned anything, and almost no tracker separates them.

Size a bet →