Taking on >100% Equity Market Risk

Firstly, if you use 100% of your portfolio to buy a broadly diversified index fund, then you are taking on the equivalent of 100% of equity market risk. If you allocate 5% of the portfolio to Treasuries, then that is 95% equity market risk, and so on and so forth. Shorting the currency through borrowing can yield over 100% equity market risk, and there are a number of ways to accomplish this, including using portfolio margin to short the box spread on European-style options products with liquidity, letting market makers lend you the money at more or less the prevailing Treasury rate with a duration matching the expiry of the options.

So basically an experienced finance professional can lever their own portfolio to whatever risk profile suits their fancy using a combination of these techniques. There are three-ish advantages to shorting the box: 1) the Treasury rate + the market maker spread is almost always substantially less than the margin rate, particularly for brokers which are not IBKR, 2) you're not going to get margin called on the portfolio margin in shorting the box, because you only need the cash at expiry, which is favorable compared to the perpetual fear of IBKR closing you out in a nanosecond because of a computer glitch or something, a risk management technique which is the unfortunate cost of receiving such low margin rates, 3) your interest rate is fixed rather than floating, which can work to your benefit if interest rates subsequently rise, at which point you can actually close out the box short at a profit, the opposite being true of rate declines.

In that spirit, and having more or less demonstrated that leverage can be whatever an experienced finance professional wants it to be, it seems kind of odd that the orthodoxy tends to be that people should just do 100% equity market risk. Why not 101%? Why not 99%? Why 100%? Isn't it odd to put so much faith in basically the Treasury departments of the S&P 500 companies that they are levering their companies optimally for your retirement? Are we to assume that when the Treasury guy and CFO at Clorox issue a bond, that that's the best of all possible risk management practices for our personal portfolios?

What about portfolios like the UPRO / TMF HedgeFundie's Excellent Adventure? It's gotten beaten recently, but with interest rates expected to come down, wouldn't now be a good time to pile into the strategy for the next interest rate cycle? If you believe long-term in the Ibbotson & Associates data that equity returns are call it 10ish% per year over extended periods of time, why not do something like that? Sure, you have drawdown risk in extreme cases, but the triple levering can recover quite a bit, particularly with a DCA approach funded by career earnings. It's clearly inappropriate as 100% of someone's portfolio, but it's not about that, it's just whether 100% equity risk from VTI and chill is the best.

As someone with the username kellycriterion, I'm acutely aware of the gambler's ruin problem that comes from overbetting your edge. By the same token, underbetting keeps you from approaching the geometric mean. That starts getting into utility profiles and whether the geometric mean even matters for most people from a psychological and hedonic perspective, but I digress.... Hope someone can make sense of my ramblings.