Shorting an index future against an ETF on the same index will earn the risk free rate?

[remi_one]

Operationally:
You will have margin issues as you will have to put up margin on both sides.
You may have some marked to market issues but that will resolve itself in the long run.
Futures taxes might be treated differently in your country than the long term taxes from the QQQ's so you might arbitrage yourself on the taxes.

You are right on the margin issues. However I need to put up cash only for the short position on the futures. The QQQ position is fully paid.

On a second thought the margin issue can be a big problem if QQQ continue to grow. My broker will sure request more collateral or will charge me for the loss on the futures leg.