Under stochastic interest rates, the price of the market-to-market futures contract written on a bond is shown to have a larger instantaneous drift than that of its forward counterpart while having the same instantaneous volatility. Also, the pure hedger is better (worse) off with futures if he is short (long) in the underlying bond and the pure speculator is better off with futures.
LIOUI, A. and PONCET, P. (1998). Trading on Interest Rate Derivatives and the Cost of Marking-to-Market. ESSEC Business School.