[timothygoltser]

You're right that most retail investors don't pay attention to the specifics of how margin requirements are calculated. To my knowledge, the only brokerage that's readily accessible to retail investors that provides SPAN margining is IB, and relatively few (US) retail investors use them compared to the more mainstream brokerages.

In terms of cross-asset-and-portfolio margin management, it definitely makes more sense to base risk calculations on a broad view of positions rather than the composition of a single portfolio.

I'm slightly out of my depth here; this is an interesting perspective I haven't seen yet, so I'll definitely be doing some more research into the problems you described.