[kqr]

> The Kelly Criterion depends on each event being independent.

That's not quite true. The Kelly criterion (generalised to portfolio selection) requires the joint distribution of outcomes, which captures all correlations.

Taking somewhat recent historic outcomes as representative of the joint distribution of outcomes (this effectively becomes the Cover universal portfolio), I'm guessing the Kelly criterion would suggest something like 50 % cash and 50 % equity, if those are the only two options.