It is the CUSTODIAN who makes the rules on what can and cannot be done.
There are ways that a person could roll a 401k over to an IRA without penalties, BUT most custodians won't allow it because they don't want to lose control over the money. Depending on the company, if management becomes aware of what is POSSIBLE and they have employees who want to do it, then they could force the 401k custodian to change the rules or change custodians.
At the individual level with an IRA, there is "self-directed" and then there is REALLY self-directed.
If you put your funds with the typical stock broker, you can "self-direct" what you want to invest in, BUT only within the confines of what that broker offers.
OTOH, if you get a true, independent custodian, then you could invest in just about anything. Once you are set up with one of those companies, then you could "invest" all funds in a limited liability company (LLC) and then YOU could manage it (just can't take any money out personally).
Once the funds are in an LLC, then you have maximum flexibility, control, and privacy of what you do with the funds. In a pinch, you could even set it up offshore and have your funds set up in such a way that nobody -- not even US gov.'t -- could get to it.
But ... that is not for everyone. There is a spectrum of things that can be done, depending on how complicated you are willing to get.
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