CRRA utility
A live demo of my open-source kelly-sizing library. Pull real history for any ticker (or paste your own returns) and it finds the leverage that maximizes expected CRRA utility for your risk aversion γ — net of funding costs and an optional tail-stress. The Kelly criterion is the γ = 1 case (log utility / max growth); higher γ sizes you down. The math runs server-side on the exact package you can pip-install.
Fetch a ticker
Live prices from Yahoo Finance, via the kelly-sizing library.
Or pick a sample
Illustrative synthetic samples — not real market data.
Risk aversion γ
1 = full Kelly; higher = safer
Max leverage
Cash rate % / yr
earned on idle capital
Borrow rate % / yr
paid when levered
Worst-loss stress %
inject a crash (0 = off)
…its frequency %
per period (1% ≈ once in 100)
Periods / year
12 = monthly, 52 = weekly
Pick a sample (or paste your own returns) and hit “Size it”.
Educational tool — not investment advice. The sizing assumes you rebalance back to the target fraction every period with no costs, taxes, or slippage, and that the return sample captures the true tail (it never does). Full Kelly is aggressive and real leverage can ruin accounts.