Comparing Futures Total Return to Index Total Return for S&P 500 from 1988 to 2022

Yes, every day the futures price inches closer to spot/index of the underlying, reaching it on maturity. The difference (plus movment of the underlying) is paid each day between holders of short and long futures.

Do you have some more sources? We have a personal account for IE funds. No WHT (especially no US WHT), but IE also doesn’t have their own L2WT.