Flexible loads, especially heating, ventilation, and air-conditioning (HVAC) systems can be used to provide a battery-like service to the power grid by varying their demand up and down over a baseline. Recent work has reported that providing virtual energy storage with HVAC systems lead to a net loss of energy, akin to a low round-trip efficiency (RTE) of a battery. In this work we rigorously analyze the RTE of a virtual battery through a simplified physics-based model. We show that the low RTEs reported in recent experimental and simulation work are an artifact of the experimental/simulation setup. When the HVAC system is repeatedly used as a virtual battery, the asymptotic RTE is 1. Robustness of the result to assumptions made in the analysis is illustrated through a simulation case study.