The Kelly Capital Growth Investment Criterion: Theory and Practice by Leonard C. MacLean is a comprehensive guide to the strategy of wealth creation known as Kelly Capital Growth Investment (KCGI). This book provides a thorough and well-structured presentation of the theory and practice of KCGI, based on rigorous academic research and industry-leading practices in portfolio management. MacLean carefully explains the key principles of KCGI and their implementation, making the strategy more accessible to investors of all levels of experience.
In this book, MacLean describes how KCGI seeks to maximize the long-term growth of investors’ capital while still managing the levels of risk and exposure they are comfortable with. The author explains that KCGI relies on “innovative mathematical methods, optimal portfolio construction, careful insight into risk and return, and sophisticated asset allocation techniques” to maximize returns while minimizing risk. By utilizing a sophisticated (but user-friendly) portfolio optimization tool, KCGI allows investors to easily choose and balance the appropriate investments for their particular needs and objectives.
MacLean walks the reader through the history of KCGI, beginning with its roots in the 1960s and its later adoption by some of the world’s leading professional money managers. He describes the core components of KCGI, including portfolio optimization, capital growth strategies, risk-aversion strategies, and asset allocation. The author also explains the mathematical basis of the KCGI criteria, including volatility, drawdown, and the determination of the optimal percentage allocation of money in a portfolio.
The author covers various aspects of KCGI, such as the impact of time horizon on investment decisions, the importance of remaining “market neutral” for long-term success, and the exploration of a plethora of asset classes for greater opportunity. MacLean also explains important topics such as taxation, investor sentiment, Monte Carlo simulation, and non-traditional investments.
The book ends with several case studies that illustrate successful applications of KCGI, providing valuable guidance on portfolio construction and management to those wanting to use KCGI in their own investing. The author also provides a wide range of analytical tools, both intuitive and technical, to aid in the development of a successful KCGI portfolio.
The Kelly Capital Growth Investment Criterion: Theory and Practice by Leonard C. MacLean is an invaluable resource for investors of all types. It is clearly written, easy to understand, and theoretically sound, providing an experienced and exhaustive knowledge of KCGI for a variety of financial goals. The book’s user-friendly approach makes it ideal for both experienced and novice investors, and its application of theory to practical scenarios makes it a must-read for anyone wanting to gain a more thorough understanding of KCGI.
