Futures price fair value = I + FC - DY where I = stock index, FC = financing cost, DY = dividend yield Thus, if the current level of the index is 100, the annual financing cost is 12 percent, and the dividend yield is 8 percent, the fair value of the futures price with 3 months (one-forth of a year) to maturity will be 100 + (1/4) * 100 * (0.12 - 0.08) = 101. Similarly, the fair value of the futures price with 6 months to maturity will be approximately 102 and the 9-month fair value approximately 103.
I just realized the fallacy of this strategy -- taxes. Buying and holding the SPYs is much more tax efficient than rolling ES futures every 3 months. It would only work if you could do it in a tax-deferred account. Question is, can you buy futures in a retirement account, since it's considered a margined asset?
Yes. If you are a US citizen, it must be held through a trust company. Many futures brokers work with the 1 or 2 trust companies that specialize in this. I know of two, but one held 50% of your money back! This one (the biggest I think), only holds about $500 or so: mTrustCompany.com There are modest quarterly fees with all of them. Start with your broker(s) about this. They should be able to tell you what to do.