Say the example market return is 12% for the year, I managed to develop a 3-4 Sharpe strategy that makes 6% a year. If I can borrow twice the size of my original fund at 0% interest, I can make more than the market return while still having less risk.

Theoretically, it can also mean I should borrow as much money as I possibly can, as long as the interest rate is lower than the return of my strategy, and as long as the total risk is less than the overall market risk.

If that is the case, what are any other reasons why I shouldn't borrow up to my (risk, interest) limits?