Two Bitcoin ETFs Can Track the Same Price and Still Hand You Different Returns. The Difference Is Called Roll Cost
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5 min read
In its first year on the market, ProShares Bitcoin Strategy ETF (BITO) still lagged bitcoin's own price by 1.79%, even though its entire job was to track bitcoin (CoinDesk). That is not a management mistake. It is a structural feature of how BITO is built. A spot bitcoin ETF holds actual bitcoin. A futures-based bitcoin ETF holds contracts that promise bitcoin at a future date, and has to keep replacing those contracts before they expire. That replacement process is called the roll, and its ongoing cost is why two funds that both say "tracks bitcoin" can hand you meaningfully different numbers over a year.
A spot bitcoin ETF, such as iShares Bitcoin Trust (IBIT), Fidelity Wise Origin Bitcoin Fund (FBTC), Bitwise Bitcoin ETF (BITB) or ARK 21Shares Bitcoin ETF (ARKB), buys and custodies real bitcoin. When you own a share, you own a claim on bitcoin actually sitting in a custodian's cold storage. These funds have existed in the US since January 2024.
A futures-based bitcoin ETF, of which BITO (launched October 2021, the first US bitcoin ETF of any kind) is the largest, never touches bitcoin directly. It buys CME bitcoin futures contracts instead, standardized agreements to exchange bitcoin for cash at a set price on a set future date. Nobody can hold a futures contract forever. Every contract has an expiry, so the fund has to manage that on an ongoing basis.
Each month, before its current futures contract expires, a futures-based ETF sells that contract and buys the next month's contract to keep its bitcoin exposure continuous. That swap is called rolling, and whether it costs the fund money depends on the shape of the futures curve.
Most of the time, bitcoin futures trade in contango: a contract expiring further out costs more than one expiring soon, reflecting the cost of carry and steady demand for leveraged, forward bitcoin exposure. In contango, the fund is structurally stuck selling a cheaper near-term contract and buying a more expensive one every single month. That gap is the roll cost, and it quietly drags on returns even when bitcoin's own price does not move at all.
Occasionally the curve flips into backwardation, where the near-term contract costs more than the further-out one. When that happens, rolling actually pays the fund a small profit instead of costing it money. It is rare, and it tends to show up exactly when the market is under stress. In November 2025, the CME's annualized bitcoin futures basis fell to -2.35%, the deepest backwardation since the FTX collapse in November 2022 (when the basis briefly approached -50%). The shift began around 19 November 2025, just before bitcoin bottomed near $80,000 on 21 November (CoinDesk; cross-corroborated by KuCoin and Yahoo Finance Singapore).
Estimates of BITO's roll cost have varied a lot depending on how steep contango was at the time they were made, which is itself part of the point: this is not a fixed number the way an expense ratio is.
| Source | Estimate | When |
|---|---|---|
| ByteTree's Charlie Morris, cited by Yahoo Finance | ~17% annualized roll cost implied by the futures curve; projected ~8.4%/year lag vs. spot before fees | Around BITO's October 2021 launch |
| Risk.net | Bitcoin futures ETF loses roughly 9% a year to fees and contango combined | 2021 estimate |
| CoinDesk Indices' Jodie Gunzberg, via CoinDesk | Average negative roll yield of 2.29% per monthly roll during that period, compounding toward a much larger annualized drag in the worst stretches | 2021-2022 |
| BITO's actual realized record, per CoinDesk | Underperformed bitcoin's own price by 1.79% | First 12 months, Oct 2021-Oct 2022 |
The realized gap came in well below the worst pre-launch estimates, but it was still a real, measurable cost that a bitcoin holder never pays. That is the whole distinction: a spot ETF's tracking error comes almost entirely from its expense ratio. A futures-based ETF's tracking error carries an extra, variable layer on top of that.
Expense ratios alone already separate the two structures by roughly four times. BITO charges 0.95% a year. The main spot bitcoin ETFs charge far less: Bitwise's BITB at 0.20%, ARK 21Shares' ARKB at 0.21%, and Fidelity's FBTC and BlackRock's IBIT both at 0.25% (U.S. News; ProShares' own fact sheet for BITO's figure).
This is a different question from whether spot ETF buying pushes bitcoin's price around in the first place, which an earlier post on this site covers separately. This one is about what happens to your return after you have already bought in, once each fund's own structure starts working on your position in the background.
If you are comparing bitcoin exposure through an ETF against holding bitcoin directly, start by tracking bitcoin's own price and volatility history on NetWort, then use the Explore screener to see how any specific fund or asset you are weighing stacks up against it over time.