We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the … sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …