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Do the gain and loss during futures rollover each month will be even out in long run?
There are 2 schools of thought in determining the price of a future contract in a day prior to expiration.  The cost of carry model, states that the price of a future contract today is the spot price plus the cost of carrying the underlying asset until expiration minus the return that can be obtained from carrying the underlying asset.  FuturePrice = SpotPrice + (CarryCost - CarryReturn)  The expectancy model, states that the price of the futures contract depends on the expectation about the spot market's price in the future. In this case, the price of the future contract will diverge from the spot price depending on how much the price is expected to rise or fall before expiration.  A few glossary terms: cost of carry For physical commodities such as grains and metals, the cost of   storage space, insurance, and finance charges incurred by holding a   physical commodity. In interest rate futures markets, it refers to the   differential between the yield on a cash instrument and the cost of   funds necessary to buy the instrument. Also referred to as carrying   charge. spot price  The price at which a physical commodity for immediate   delivery is selling at a given time and place. The cash price.