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Someone has to manually trade the roll every quarter. You'll pay some commissions but little slippage. If it goes against you, you'll have to put up more margin.
People do it, but generally they need to have deep pockets to ride through the down swings. An obvious disadvantage would be if we had a long term bear market, then you will have to keep adding more margin to your account as the market keeps trading lower. Another disadvantage would be another financial crisis or meltdown and the market drops 10% in a day and then 5% the next day and you get hit with a margin call and maybe you are not able to meet it and your broker has to blow you out, then a week later the market starts to rally back up, but you have been taken out of the position when you failed to meet your margin call.
There is no 'premium' in the sense of being worse off. There is the 'basis' which is the difference in cash and future price levels, but it just compensates the holder of futures for not receiving dividends.
As an alternative to unlevered long term holding of SPY there probably isn't much difference (tax treatment might differ where you are). But futures give you the option to lever yourself (but with the risk of being forcibly stopped out if you don't meet a margin call).
I feel like you would be better off swing trading. Catch more of the meat over the same period. You could actually "beat the market" that way. For just one contract in the S&P emini, to hold from the crash low to now, would be 1036 points. But the likelihood that you would've bought into that low is rather slim. It was back into the 800s only a week later. So let's say you bought at 822, sold at 2034 this week. Per contract, you would've made about $60K. Over 5 years, that's not a stellar return. You could better than that for yourself by buying every morning at NYSE open with a few point stop, and holding to the daily high. Even better by getting tuned in and being in the direction of the market more than half the time, and having good money management and feel for momentum. To me, passive trading/investing is just silly. Yes, there is a lot to be made, but there is even more just sitting on the table waiting for you to take it.
On a very basic level, if let's say you had $100,000 in cash, and you wanted roughly a 1:1 hedge exposure, then holding one short ES Mini would give you a relatively interest free way of expressing that hedge as opposed to say shorting the equivalent of SPY shares.
Rollover might be an issue if you do it on the last day since there can be weird settlement issues.
A better alternative might be to look at some more sophisticated options strategies on a weekly or monthly basis.
