If I understand correctly, bearish, this would just in effect be an "invest in everything" index (assuming market prices are all efficient)? I guess that's the part that you say is mysterious to you ... although it makes sense to me in a way that I would be at a loss to explain.
I guess it would more accurately be an "invest in everything, in proportion to each thing's market value" index.
Sraffa had a notion of a "commodity of constant marginal utility," which I guess would take any utility effects out of pricing, if everything were denominated in it. (I sort of think there would still tend to be risk premium effects, because planning tends to improve utility -- $100,000 that you know for years your uncle was going to give you on your 40th birthday [40th rather than 21st, for obvious reasons] tends to get more efficiently spent than $100,000 that you find in a paper bag in a parking lot -- and I'm not sure how a time zero "commodity of constant marginal utility" could account for planning; also, planning isn't free, so it would make sense I think to concentrate your planning on the most likely outcomes).
A little difficult to wrap my head around your "natural numeraire" idea. If I'm more risk averse than average, so I weight my investments to fixed income of one sort or another relative to the natural numeraire ... what does that look like? If the value of all investments drops (... by some currency measure), then I'm relatively a winner; if the value skyrockets, then I'm relatively a loser. What does that say about what price would be appropriate for buying (concave upward, relative to some currency measure) or selling (concave downward) some sort of insurance for my portfolio?
I guess the expected rate of return, measured in the natural numeraire, is constant, so I should be able to shape my portfolio however I like at no cost.
Am I missing something obvious?