I've thought about this too. Here are my best ideas for cheap leverage:
1) Buy preferred stock funds like PFF, PGF, or PFXF and earn a little over 4.5% in dividends. At 1.25x leverage, that becomes a 5.6% ROA. After subtracting ~1.5% margin interest on 25% of the portfolio (i.e. interest costs amounting to 0.375% of the whole portfolio), you're still pulling in about 5.6%. In terms of risk, preferred funds are fairly stable, though they crash double digits in a correction and have a lot of interest rate sensitivity (they have also been one of the fastest asset classes to bounce back during a recession). Thus, the way you lose this game is to get margin called at the bottom of the next correction. The way to win the game is to only enter this leveraged position during a market crash. You have to be fast though. PGF recovered from corrections in 2018 and 2020 in a matter of months, and recovered from 2009 within one year, even though that was a financial crisis that literally wiped out some of the component companies! In mid-2020, PGF was yielding 7.5%. That was a great time to go leveraged. Early 2020... not so much. Executing this plan well might be psychologically impossible though. Who wants to grab a falling knife with leverage while their portfolio is down 30% and still falling?
2) Do a collar strategy on SPY - e.g. buy 100 shares SPY, sell 1 call option, buy 1 put option. If you do the math right and use portfolio margin, you can completely eliminate the chance of a margin call (assuming the rules don't change). E.g. An SPY collar expiring Sept 16, 20202 at the 405 and 495 strikes can lose a maximum of 12.5%, and can gain a maximum of 7% plus dividends. Historical probability suggests you will earn the maximum or close to it, but even if disaster strikes you will not lose enough to face a margin call, so you can ride out any correction until your put option expires. Realistically, an increase in volatility will inflate the time value of your put option, which is more profit for you if you decide to run for the exits. The time to enter this position would be when the VIX / volatility is low. Low volatility means cheap protection using your puts.
So there are 2 strategies, one for high volatility and another for low. You might trade them out in your margin account depending on conditions.