A backtest is the best case and this one is no exception. There are no taxes here, no bid-ask
spread, no missed rolls, and the broker never calls. A real margin account gets liquidated at the
bottom, which is the one moment the arithmetic above quietly assumes you held on.
The drop is the part that decides this. A hundred-year annual return is easy to read and
impossible to live through. Look at the worst drop above and ask whether you would have kept paying
interest on the way down, because everyone who sold did the arithmetic first too.
There is a multiple that ends it outright. At 2x, one month down more than 50% takes
everything. At 3x it only needs 33.3%. Nothing that deep has landed in a single month in this data,
which is a fact about the past and not a promise.
The
leverage lab runs this against a mix you choose rather than US
stocks alone, with rebalancing, a Kelly figure, and the same three borrowing routes priced
separately.