The most common and most likely answer to this crossword clue is the 7 plus 4 plus 2 plus 9 letter word SELLING COAL TO NEWCASTLE
I've seen this crossword clue in The Guardian
S
E
L
L
I
N
G
C
O
A
L
T
O
N
E
W
C
A
S
T
L
E
Buddy explains!
The straight part
We know that "an exercise in futility" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case an exercise in futility = selling coal to newcastle.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.