Futures Roll Cost / 期货展期损耗

Futures roll cost is the implementation drag highlighted in vol.121.从昙花一现的分级基金到风头正劲的杠杆ETF：永远不要低估人性的疯狂 for leveraged ETFs that use futures to maintain exposure. When expiring contracts have to be replaced with later contracts, the fund may lose money through the roll process depending on the futures curve and financing environment.

The source uses TMF to show why product implementation matters even when the macro thesis is plausible. Long-duration Treasury exposure through a three-times daily leveraged futures-based ETF can be eroded by roll cost as well as [[VolatilityDecay|volatility decay]] and fees.

Key Claims

• Futures-based ETFs must continually maintain exposure as contracts expire.
• Roll cost can make the product underperform a naive expectation based only on the spot or index move.
• Bond leveraged ETFs can combine duration risk, daily reset, volatility drag, and futures implementation cost.
• Investors need to evaluate product mechanics separately from their directional macro view.

Connections

• TMF - product case emphasized by the source.
• Leveraged ETF / 杠杆 ETF, Daily Leverage Reset, and Volatility Decay / 波动率损耗 - adjacent ETF mechanics.
• Treasury Duration Risk - underlying macro exposure related to long bonds.
• Leveraged Product Suitability and Portfolio Suitability - suitability frame for long holding periods.