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Let's say I have a portfolio of futures for a long period (let's say 2000-2020). All of my underlyings are equity indices.

I am always invested in the next maturity futures (thus I never wait for the maturity, I simply roll my contract). I have the time series of different futures (let's say ESc1 for the S&P 500, for Reuters Eikon).

How can I compare the performance of my futures compared to the underlying total return index, knowing that my investment is fully funded?

Because when I compare the performance of the TR index vs my futures + return on cash (as the investment is fully funded), I find that there is quite a discrepancy between the two, the TR index gaining way more. I guess it is about dividends but I can't find why my calculations are wrong. Maybe the time series of the Reuters indices are excess returns?

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I believe you are comparing apples to oranges. The futures price series isn't the same as the index, it is both a forward contract (ie, it's term is further out than now) and it contains other structural differences such as liquidity premiums, leverage premiums etc. The market will price these differences as having a non-zero value. The only time the futures contract price is guaranteed to match the index is at final settlement, which you are explicitly avoiding.

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