I hedge my US positions with M6B, a GBP/USD future.
Every time I roll my contracts, I ask myself "why is there so little liquidity beyond the next three months?" Surely there are people that need to hedge their positions for more than three months and can save cost by rolling say only once/twice a year, instead of doing it every quarter. Out of the fear that the lack of liquidity leads to inefficient pricing, I usually just roll to the next three months.
However, is it generally wise to roll to a non-front month contract, despite its low liquidity, if I know for a fact that I will keep this exposure in the long term?