I would like to validate this sentence, coming from a WSJ article:
The cost of holding a Eurostoxx 50 future, for example, has climbed from an average of 0.07% of the contract value since 1998, to an average of 0.45% over the last year, according to BlackRock calculations based on broker estimates.
While my gut feeling tells me that that this indeed could be true I want to understand the exact reasons.
Lets take an equitizing strategy that rolls an EuroStoxx 50 future quarterly into the next liquid contract. What are the main factors that drive the costs of this replication strategy and how did they change in the last years to support the statement above?