I'm currently comparing empirically the differences between Markowitz and Kelly portfolios. I calculated the Kelly weights for monthly return observations over 10 years for a sample of 50 stocks from the S&P 500. Without constraints, I received a highly levered Kelly portfolio of weights summing up to 23 with mean of 85% and std. deviation of 91%. I then de-levered the portfolio proportionally and received the same tangency portfolio with the exact same weights as in the Mean-Variance-Optimization case. I was surprised by this result and wanted to ask you if someone knows why this could be the case or made similar observations.
I’m very grateful for any kind of advice on this subject.