bonds and buy and hold strategy: future vs spot price

I am reporting here a discussion that has been initiated in another thread because I do not want to mess the other topic with this "lateral issue "

Can you give me your opinion in using a buy and hold strategy with the futures: it possible to implement a strategy similar to the buy and hold of the spot?

One of our fellow in the other discussion is suggesting the following:

"The only way I can think of replicating this strategy is by rolling over every three months. Not exactly the most exciting prospect."
 
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