Assume Er=10% and Sd=10%, let us call this the market portfolio
Assume Rf/Cost of borrow =0%
Assume a leverage portfolio where the investor borrows at D/E= 4, most sources would show the Er= 50% and Sd=50% and this is comparable to another investment that has an Er= 50% and Sd=50% (without leverage). However is the case of the unl-evered investment the worst loss will be 100% while in theory a levered portfolio can lose more than 100% of its equity. So is this a fair comparison?