Lets say you don't want any leverage, and you'll hold both for a year. A. You buy 1 ES, with full excess cash ($50 x index; now at 1245) $62,250 in your account. B. You buy $62,250 worth of SPYs, about 500 shares. Does one gives an edge over another? If you placed ALMOST all your $62,250 (not all to allow for the required margin with some room for fluctuation) in T-Bonds as collateral, you'd get a little more?
You can get out of the futures position overnight, the SPY might gap through your stop loss. On the other hand depending on which futures you buy, you might have to roll over 2-3 times per year (extra cost) and you will also have loss from the cost of carry (generally 3-4 points per month, that is about 3% loss a year). Right now the cost of carry is very cheap, only 1.5 points for 3 months though. Now were you shorting the futures this cost of carry works in your advantage...
the cost of carry is offset by the interest earned on the treasuries. unless I'm missing something they should be pretty equivalent
They should be equal, but no broker gives you the full rate of interest. IB gives no interest on the first 10K and minus 50 above that (I believe).