Single Bets onlyOption Money Management guideNote: this spreadsheet determines % gain of entire bankroll based on criteria, not average % gain on the stock.see instructions below1Set the parameters of the trade by setting up the "W" (ROI) for up to 16 possible "outcomes".2Then set the corresponding p or probability that each event occurs3Adjust the number marked inGreen with black background4And while doing so, maximize the B' OR the M^N (both marked in green background)5The F gives you the maximum amount to risk per trade to achieve the "Kelly Criterion" And the return gives you the expected GROWTH RATE of your portfolio per trade on average.6Please Note: The F number (Kelly percentage) is intended for only 1 bet at a time. Since stock bets tend to have a correlation to each other, the sum of all bets typically should not exceed this amount7The future bankroll growth rate (M^N) or future bankroll after N such investments is different than expected value. It considers your return over the very long run averaged to per trade which considers the portfolio volatility.8In other words with equal chances of gain or loss, if a 20% loss takes you to 80 and 30% gain takes you to 104 you are only up 4% or about 2% per each of those trades.9The N number is the number of investments over a fixed period of time in case you want to compare an active trading strategy that has a lower return, but more trades per year, to one that has fewer trades but a higher return per trade.This spreadsheet is primarily intended to compare "apples to oranges". That is, to see return on risk for one option strategy to another, NOT to determine how much to risk in a complete portfolio.However, if you want to know how tmuch to risk in a complete portfolio I suggest you read the following article.link:http://stocktradinginvestments.com/3-part-series-mathematically-precise-portfolio-management/http://www.cisiova.com/betsizing.asp17%F = % of your bankroll that you invest in A1,024.55200%W1 = ROI of Product 1 = 30%1.025%W2 = ROI of Product 2 = 10%1.0245460185Increase by a factor of per trade-5%W3 = ROI of Product 3 = 12%1.0245460185-100%W4 = ROI of No Products Launching = -15%1024.546018468340.00%P1 = Probability of Product 1 Launching24.54601846832.00%P2 = Probability of Product 2 Launching8.18200615613.00%P3 = Probability of Product 3 Launching45.00%P4 = Probability of No Product Launching$1,000B = Initial Bankroll1,024.55B' = Future Bankroll after N such investments102.45%M = The Geometric Mean of N such investments1.00Nnumber of investments over a fixed amount of time such as a year1.02455M^NReturn factor over "N" Number of bets2.4546%% gain over "N" number of betsUsing the above infomation, we can formulate:B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)Therefore, to maximize the geometric return M, we need to find F such that the Product Sum of (1+Wi*F)^Pi for all i is maximized. Unfortunately, there is no simple formular that can compute the Kelly Criterion for multiple possible outcomes. Fortunately,200%w1uses above but only using the first 41,033.69B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)5%w21.03M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)-5%w31.03M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)-100%w41.0336877284M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)-50%w5(1+Wi*F)^Piw6w7w8w9w10w11w121,024.55B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)w131.02M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)w141.0245460185M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)w151.0245460185M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)w16(1+Wi*F)^Pi40.00%p12.00%p23.00%p345.00%p410.00%p5p6p7p8p9p10p11p12p13p14p15p16100%90%181%273%366%459%553%648%743%857%INVESTED6.3281%AVERAGE

$$money management CorrelationOption Money Management guideSet the parameters of the trade by setting up the "W" (ROI) for up to 16 possible "outcomes".Then set the corresponding p or probability that each event occursAdjust the number marked inGreen with black backgroundAnd while doing so, maximize the B' OR the M^N (both marked in green background)The F gives you the maximum amount to risk per trade to achieve the "Kelly Criterion" And the return gives you the expected GROWTH RATE of your portfolio per trade on average.Please Note: The F number (Kelly percentage) is intended for only 1 bet at a time.For Multiple bets adjust the X (# of assets in portfolio) and C% (Correlation). The M% will be your amount to risk on each bet.The future bankroll growth rate (M^N) or future bankroll after N such investments is different than expected value.It considers your return over the very long run averaged to per trade which considers the portfolio volatility.In other words with equal chances of gain or loss, if a 20% loss takes you to 80 and 30% gain takes you to 104 you are only up 4% or about 2% per each of those trades.Your long term growth considers volatility so that in the example 2% per trade would be the geometric mean of N investments where N=1Unfortunately, predicting the actual annualized rate of return using multiple investments is difficult.This allows you to compare "apples to oranges" such that you can determine an expected annualized growth rate for any given strategy whether it takes few trades per year or manyHowever, if you want to know more about how much to risk in a complete portfolio I suggest you read the following article.link:http://stocktradinginvestments.com/3-part-series-mathematically-precise-portfolio-management/http://www.cisiova.com/betsizing.asp90%1 - F%43%(1-F%) ^ XCash% remaining after all bets8x = number of assets in portfolio57%% of Capital at risk7.12%S0% = % per bet given correlation of 0.001.25%S1% = % per bet given correlation of 1.008.00N*XM%0.0376612194M^N (adjusted for multiple bets) Works with N of 1 only1.110% gain over 1 bet for MULTIPLE bets at set correlation11.0485%50%C = Correlation %10%F = % of your bankroll that you invest in A1,039.23200%W1 = ROI of Product 1 = 30%1.040%W2 = ROI of Product 2 = 10%1.0392304845Increase by a factor of per trade0%W3 = ROI of Product 3 = 12%1.03923048453.92%-100%W4 = ROI of No Products Launching = -15%1039.230484541350.00%P1 = Probability of Product 1 Launching39.23048454130.00%P2 = Probability of Product 2 Launching13.07682818040.00%P3 = Probability of Product 3 Launching50.00%P4 = Probability of No Product Launching$1,000B = Initial Bankroll1,039.23B' = Future Bankroll after N such investments103.92%M = The Geometric Mean of N such investments1.00Nnumber of investments over a fixed amount of time such as a year1.04M^N3.923%% gain over N number of bets for a SINGLE betUsing the above infomation, we can formulate:B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)Therefore, to maximize the geometric return M, we need to find F such that the Product Sum of (1+Wi*F)^Pi for all i is maximized.Unfortunately, there is no simple formular that can compute the Kelly Criterion for multiple possible outcomes. Fortunately, with the aid of computer, I constructed an optimization model that will find the Kelly Criterion for you.200%w1uses above but only using the first 41,039.23B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)0%w21.04M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)0%w31.04M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)-100%w41.0392304845M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)w5(1+Wi*F)^Piw6w7w8w9w10w11w121,039.23B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)w131.04M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)w141.0392304845M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)w151.0392304845M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)w16(1+Wi*F)^Pi50.00%p10.00%p20.00%p31146.7448100833B' = B * (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)50.00%p41.1467448101M^N = B'/B = (1 + W1*F)^(P1*N) * (1 + W2*F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)p51.0172632327M = [(1 + W1*F)^(P1*N) * (1 + W2 * F)^(P2*N) * (1 + W3*F)^(P3*N) * (1 + W4*F)^(P4*N)]^(1/N)p61.0172632327M = (1 + W1*F)^(P1) * (1 + W2*F)^(P2) * (1 + W3*F)^(P3) * (1 + W4*F)^(P4)p7(1+Wi*F)^Pip81.726%p914%p10p11p12p13p14p15p16100%90%181%273%366%459%553%648%743%857%6.3281%

correlation matrixCorrelation Matrixhttp://etfscreen.com/corr.phpThis spreadsheet is work I did to provideFor more information please check out the 3 part series linked to belowhttp://stocktradinginvestments.com/3-part-series-mathematically-precise-portfolio-management/Correlation with diversified equities market only is around .70 correlation.Below is the correlation matrix for your requested symbols.DBAFXEFXYGLDUSOUUPXLBXLEXLFXLIXLKXLPXLUXLVXLYAVG INCLUDING ITSELFsumDBA10.23-0.150.250.17-0.220.190.20.090.160.180.170.120.110.212.710.18066666671.710.1221428571FXE0.231-0.260.150.34-0.930.390.360.390.330.330.290.230.290.290.22866666672.430.1735714286FXY-0.15-0.261-0.14-0.22-0.06-0.38-0.3-0.37-0.37-0.19-0.31-0.23-0.3-0.38-0.1773333333-3.66-0.2614285714GLD0.250.15-0.1410.45-0.170.450.440.220.30.240.160.130.150.210.2562.840.2028571429USO0.170.34-0.220.451-0.30.550.620.470.480.470.230.20.310.360.3424.130.295UUP-0.22-0.93-0.06-0.17-0.31-0.33-0.32-0.32-0.25-0.32-0.23-0.18-0.23-0.22-0.2053333333-4.08-0.2914285714XLB0.190.39-0.380.450.55-0.3310.820.790.860.720.590.490.640.770.50333333336.550.4678571429XLE0.20.36-0.30.440.62-0.320.8210.810.850.720.630.490.630.760.5146.710.4792857143XLF0.090.39-0.370.220.47-0.320.790.8110.850.760.720.590.730.830.5046.560.4685714286XLI0.160.33-0.370.30.48-0.250.860.850.8510.750.680.570.720.830.51733333336.760.4828571429XLK0.180.33-0.190.240.47-0.320.720.720.760.7510.650.440.670.740.47733333336.160.44XLP0.170.29-0.310.160.23-0.230.590.630.720.680.6510.620.810.780.45266666675.790.4135714286XLU0.120.23-0.230.130.2-0.180.490.490.590.570.440.6210.540.570.3724.580.3271428571XLV0.110.29-0.30.150.31-0.230.640.630.730.720.670.810.5410.780.45666666675.850.4178571429XLY0.210.29-0.380.210.36-0.220.770.760.830.830.740.780.570.7810.5026.530.4664285714These 126 day (6 month) correlations can be considered short term, focusing on recent price movements.4.9244.2042857143Correlations are only calculated for actively traded funds. As of: 2013-05-10.0.32826666670.2802857143DBAGLDUSOXLBXLEXLFXLIXLKXLPXLUXLVXLYAVG INCLUDING ITSELFsumDBA10.250.170.190.20.090.160.180.170.120.110.212.850.23751.850.1681818182000000GLD0.2510.450.450.440.220.30.240.160.130.150.210.333333333330.2727272727USO0.170.4510.550.620.470.480.470.230.20.310.360.44254.310.3918181818000XLB0.190.450.5510.820.790.860.720.590.490.640.770.65583333336.870.6245454545XLE0.20.440.620.8210.810.850.720.630.490.630.760.66416666676.970.6336363636XLF0.090.220.470.790.8110.850.760.720.590.730.830.6556.860.6236363636XLI0.160.30.480.860.850.8510.750.680.570.720.830.67083333337.050.6409090909XLK0.180.240.470.720.720.760.7510.650.440.670.740.61166666676.340.5763636364XLP0.170.160.230.590.630.720.680.6510.620.810.780.58666666676.040.5490909091XLU0.120.130.20.490.490.590.570.440.6210.540.570.484.760.4327272727XLV0.110.150.310.640.630.730.720.670.810.5410.780.59083333336.090.5536363636XLY0.210.210.360.770.760.830.830.740.780.570.7810.65333333336.840.6218181818These 126 day (6 month) correlations can be considered short term, focusing on recent price movements.06.0890909091Correlations are only calculated for actively traded funds. As of: 2013-05-10.00.5074242424Below is the correlation matrix for your requested symbols.BALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAITLTTURUGAUNGURTHUUPVMBSVNMBAL1CORN0.121DBB0.040.131EWM0.04-0.10.11FXB0-0.040.290.161FXY0-0.04-0.12-0.20.11GLD0.070.210.340.140.32-0.131IYLD0.070.050.110.080.35-0.020.31JO0.060.060.160.180.05-0.170.110.111LAG-0.160.07-0.15-0.180.020.3-0.030.28-0.051PSK-0.060.05-0.030.080.060.090.040.210.02-0.061QAI0.010.120.120.180.07-0.120.020.160.110.070.071TLT-0.19-0.01-0.27-0.260.080.41-0.050.26-0.090.75-0.02-0.071TUR0.2-0.020.110.270.05-0.090.130.290.08-0.070.030.07-0.231UGA0.110.050.40.070.1-0.210.30.160.08-0.2200.06-0.270.151UNG0.010.17-0.1800.1-0.090.040.120.010.030.14-0.070.13-0.09-0.081URTH0.130.170.330.130.15-0.210.260.180.14-0.160.080.21-0.280.150.26-0.11UUP-0.06-0.06-0.33-0.18-0.61-0.07-0.2-0.35-0.090.12-0.07-0.110.06-0.17-0.16-0.12-0.151VMBS0.05-0.04-0.25-0.13-0.010.33-0.010.09-0.130.330.1-0.070.430-0.19-0.11-0.010.161VNM0.080.030.120.280.08-0.160.190.08-0.01-0.21-0.010.1-0.250.120.24-0.070.19-0.17-0.281These 126 day (6 month) correlations can be considered short term, focusing on recent price movements.Correlations are only calculated for actively traded funds. As of: 2013-05-17.Below is the correlation matrix for your requested symbols.BALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAISPYTLTTURUGAUNGURTHUUPVMBSVNMBAL10.110.050.050.01-0.020.060.110.09-0.12-0.030.040.29-0.190.180.15-0.030.12-0.030.080.092.011.010.0505CORN0.1110.14-0.12-0.06-0.030.19-0.030.030.04-0.030.10.03-0.03-0.010.030.170.1-0.04-0.10.021.510.510.0255DBB0.050.1410.090.28-0.130.330.060.12-0.1800.110.31-0.290.090.39-0.160.27-0.3-0.30.132.011.010.0505EWM0.05-0.120.0910.17-0.20.140.10.19-0.180.110.20.35-0.240.260.060.020.16-0.17-0.120.272.141.140.057FXB0.01-0.060.280.1710.140.360.340.090.030.040.110.160.10.020.120.090.13-0.63-0.030.072.541.540.077FXY-0.02-0.03-0.13-0.20.141-0.07-0.04-0.160.270.06-0.1-0.390.41-0.12-0.19-0.07-0.23-0.120.29-0.160.14-0.86-0.043GLD0.060.190.330.140.36-0.0710.240.12-0.07-0.010.060.24-0.040.090.30.050.19-0.24-0.080.183.042.040.102IYLD0.11-0.030.060.10.34-0.040.2410.130.320.180.170.380.30.310.130.120.23-0.320.130.073.932.930.1465JO0.090.030.120.190.09-0.160.120.131-0.050.030.110.11-0.070.090.070.030.15-0.09-0.14-0.031.820.820.041LAG-0.120.04-0.18-0.180.030.27-0.070.32-0.051-0.050.06-0.390.75-0.06-0.240.04-0.110.120.37-0.211.340.340.017PSK-0.03-0.0300.110.040.06-0.010.180.03-0.0510.130.070.010.07-0.060.060.1-0.080.130.011.740.740.037QAI0.040.10.110.20.11-0.10.060.170.110.060.1310.230.060.040.07-0.060.18-0.12-0.090.122.421.420.071SPY0.290.030.310.350.16-0.390.240.380.11-0.390.070.231-0.620.410.33-0.040.36-0.28-0.330.352.571.570.0785TLT-0.19-0.03-0.29-0.240.10.41-0.040.3-0.070.750.01-0.06-0.621-0.22-0.280.15-0.20.020.45-0.250.7-0.3-0.015TUR0.18-0.010.090.260.02-0.120.090.310.09-0.060.070.040.41-0.2210.15-0.070.18-0.140.040.12.411.410.0705UGA0.150.030.390.060.12-0.190.30.130.07-0.24-0.060.070.33-0.280.151-0.10.21-0.16-0.230.231.980.980.049UNG-0.030.17-0.160.020.09-0.070.050.120.030.040.06-0.06-0.040.15-0.07-0.11-0.05-0.14-0.09-0.080.84-0.16-0.008URTH0.120.10.270.160.13-0.230.190.230.15-0.110.10.180.36-0.20.180.21-0.051-0.120.040.162.871.870.0935UUP-0.03-0.04-0.3-0.17-0.63-0.12-0.24-0.32-0.090.12-0.08-0.12-0.280.02-0.14-0.16-0.14-0.1210.19-0.16-1.81-2.81-0.1405VMBS0.08-0.1-0.3-0.12-0.030.29-0.080.13-0.140.370.13-0.09-0.330.450.04-0.23-0.090.040.191-0.280.93-0.07-0.0035VNM0.090.020.130.270.07-0.160.180.07-0.03-0.210.010.120.35-0.250.10.23-0.080.16-0.16-0.2811.630.630.0315These 126 day (6 month) correlations can be considered short term, focusing on recent price movements.Correlations are only calculated for actively traded funds. As of: 2013-05-24.0.7880.0375238095

DBAFXEFXYGLDUSOUUPXLBXLEXLFXLIXLKXLPXLUXLVXLYDBAFXEFXYGLDUSOUUPXLBXLEXLFXLIXLKXLPXLUXLVXLYDBAGLDUSOXLBXLEXLFXLIXLKXLPXLUXLVXLYDBAGLDUSOXLBXLEXLFXLIXLKXLPXLUXLVXLYBALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAITLTTURUGAUNGURTHUUPVMBSVNMBALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAITLTTURUGAUNGURTHUUPVMBSVNMBALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAISPYTLTTURUGAUNGURTHUUPVMBSVNMBALCORNDBBEWMFXBFXYGLDIYLDJOLAGPSKQAISPYTLTTURUGAUNGURTHUUPVMBSVNM