Say there's a horse race. Paul Revere is listed as having 500:1 odds of victory. You, however, know that because the weather is clear, he actually has a 5% chance to win. It's a great idea to bet on Paul Revere, but you're still most likely going to lose your money.

Exactly. And common sense tells you a) you want to make the bet, but b) that you don't want to bet 50% of your bankroll on this. Maybe 5% makes sense.