Anybody into these? I have one that I like but there are a lot out there. I like them because they pay dividends monthly.

Are there any you like?

Credit Suisse oil one ticker USOI. Which ones have you looked at? Like?

I have QYLD. They do top 100 NASDAQ non financial, yield averages just over 10% but has been as high as 16%. Pays monthly. I did have PSEC before that because of the yield but liked QYLD better and moved there. Since then I have found some others with similar yields so I might spread out a little. I have only done this investment for under a year but it makes it easier than doing covered calls myself.

I am not interested in growth with these ETF's, just the monthly dividend.

I have one covered call etf for gold miners .
Payed me awesomely throughout the last year between 7-10% dividends per months .
Was my best stock investment ex regular oil stocks .

Yes, energy stocks have done well.

Anyone have an opinion on TSLY?

Over the last five years QYLD has had a total return of under 6%, QQQ of over 17%.

Seems that the desire to have a monthly dividend is, in this case, a pretty expensive desire.

Except a kelly-driven investment model could probably take a 3x position with QYLD vs QQQ.

0.6% expense ratio seems fairly steep.

Kelly criteria requires serial Independence. Also, getting the same return for 3x the capital outlay would be extremely silly from a capital efficiency perspective. Literally no one has ever said, "I'd like to tie up 3x my money (and miss out on even the risk free rate let alone making other uncorrelated bets) for no benefit."

Also, Kelly criterion is calculable. No need to guess what it probably is.

So how do kelly investors calculate kelly ratios over parallel (i.e. not sequential) investments?

3x was relative to the specific investment in QQQ, not the portfolio in aggregate. Of course the entire portfolio is balanced to max EG.

Calculating kelly ratios requires theoretical assumptions, which change over time. Just because there is a formula for it does not mean there is an absolutely correct solution for it IRT a portfolio.

They don't actually ever use the Kelly criterion. They instead use an extension of it that can be found here:

https://arxiv.org/abs/1411.3615 or they use Nikhil Khana's simplified formula.

More commonly they use MPT or PMPT.



One, your guess on the ratio is incorrect, and it isn't close. The variance of QYLD is not 1/3 of QQQ.

Two, if we pretend that the 3x is correct(which it isn't) that leaves you with less money to allocate to the rest of the portfolio.
You have to subtract out the risk free rate (at the very least) for the additional capital outlay. The proper allocation is approximately 0x given that it doesn't even diversify away any risk.



It is calculable. Commonly, we multiply the (known) sample variance and mean returns by constants to be safer when there isn't enough data to be confident that it reflects the population mean and variance.

More to the point, it is silly to just throw an utterly random* 3x as a solution instead of at least doing something approaching math.

*This was as polite as I could come up with. Saying that the number was pulled out of your ass would denigrate asses from which more accurate numbers have been pulled.

Okay, we cleared that up. So you substituted "Kelly Criteria" (sic) for "kelly ratios", LOL.

Here is a link to a sportsbettingreview.com thread posted years ago by the famous Thremp, asking about deriving kelly ratios for correlated teaser wagers. Ganchrow, who undoubtedly applied theoretical math concepts to wagering better than anyone in the public space, avoided the theoretical solution in this case and instead recommended a direct numerical method, Solver. His approach works equally as well with investing, which is simply another form of wagering.

And the link you provided is for a single investment vehicle with a distribution of payoffs. Not exactly what we are discussing.

Here is a link from Pinnacle for deriving proper kelly ratios for a mix of wagers. Basically what Ganchrow posted. Any idiot familiar with Excel/Solver can do it.

You're welcome.

So kelly ratios of 2 investments is 1:1 inversely related to their respective variances? Seems like you are missing something important here in deriving kelly ratios in a portfolio. I will let you slip that in like "Kelly Criteria".


So do I have this right? A covered call strategy on a stock does not reduce risk compared to holding the stock alone? Hence a portfolio should hold zero covered calls in a portfolio?

I'll take Ganchrow's word for it, there are better ways to do it.

Sure, I pulled it from thin air. That being said I have not seen any refutation from you on what exactly it is (unless you stand by zero, which has to be a joke). The point being I can create any hypothetical return model to yield a 3x kelly ratio for QYLD and QQQ. As nobody can predict the future, the model may be grossly in error, or it could be close to optimum.

I have no idea the holding periods for the call options, nor do I know the ratio of covered calls IRT the underlying. I also don't know the ETF cash position. So it would be close to impossible to accurately determine an outcome distribution with these unknowns.

It seems you did some internet searches to try to come up with answers, and instead you post stuff like "Kelly Criteria".

You started with the assertion that calculating kelly ratios is not possible for parallel (i.e. not sequential) investments, which is absurdly not true.

From Wikipedia:
The above definition obviously includes parallel investments, as they aggregate to a distribution of outcomes (e.g. returns), each with a respective probability. It does not get much simpler than that.

I have never seen the words "Kelly Criteria" recorded anywhere in relation to investing. I think you just made it up.

I could go on refuting your post but I don't see the point.

You will note that the link you provided was about the Kelly Criterion. It also happens to be for known payouts, which does not even remotely apply to investments which have variable payouts. You will note that they do not use the phrase "Kelly Ratio," which is mostly because it isn't a thing.

You can easily apply it to a portfolio. You would have to play around with the allocations by hand.

You will note that they use the phrase "Kelly CRITERION." You will also note that the phrase "Kelly ratio" is not used. This is mostly because it isn't a real phrase.

It also happens to be for known payouts, which does not even remotely apply.

No. Mostly because there is no such thing as a Kelly ratio.

Since the universe contains more than two possible choices (long and covered call), this is an extremely silly question.

It is incumbent on the person initially throwing out the random number to demonstrate that their number is based on something approximating a reason.

Then it would be very silly to throw out even a guess. As an aside, you could get the information you say you don't have quite easily, which makes it even more silly that you felt the need to pipe up and apply a random number.

Interestingly, I said nothing of the sort. I did say that literally no one (other than you) has ever used the phrase "Kelly ratio.". I've pointed out above that every single link you have found does use the phrase Kelly criterion.

Serially correlated is not quite the same as parallel. You can tell because they are spelled differently.

Ummm. Have you seen anything about investing? If not, that could explain why you haven't seen it. It is odd that every single link you provided discusses the Kelly Criterion and none discusses the imaginary Kelly Ratio."

Interestingly, I did check the sharpe and sortino ratios (things that investors actually use to measure risk/reward) and 100% QQQ has won over every other choice of allocations between QQQ and QYLD.

The only reason I can give for adding QYLD to a portfolio containing QQQ is the reason the op gave, which is because he really likes it. Similar reasons hold true for eating eggplant. If you like it, who am I to argue?