Alexander is a portfolio manager overseeing a diversified fund. He has a bullish outlook on commodity prices over the next six months and wants to capitalize on this expected increase, particularly in a specific agricultural commodity, wheat. He considers using futures contracts to hedge against the risk of price fluctuations, even though his current holdings don't include wheat. He plans to enter a long position in wheat futures to achieve his objective.

As he reviews the available contracts, Alexander is aware of the cost associated with holding futures contracts, which includes both the margin requirements and the potential rollover costs if he decides to extend his position beyond the contract expiration date. Moreover, he is concerned about the potential for price convergence or divergence as the contract expiration approaches. He wanting to understand how these factors may influence the effectiveness of his strategy.

What is the primary challenge Alexander might face if he enters into long futures contracts for wheat, considering the nature of futures and potential market conditions?