Somehow I missed this when I read Baclay's ETN information on COW. I found this on a google message board and not sure if it is true, but does seem to make sense. If anybody knows if this is the correct staggering of futures contracts please take the time to post a response. ... Being an ETN I assume the contracts are actually not held by Barclay's but used only to base an alleged value of COW. If the below is a correct assumption, then live cattle futures would be the current and next 5 monthly contracts . Below is the message posted around March 2008:
This kind of index is backed by future contracts. So it is not about whether or not meat price will rise, it's about whether meat price will rise to a level that beats currect expectation. Lean Hog future contracts for next four month are priced at 56, 68, 71, 75. That's about 33% increase in four month. That means none of us will make any money from this index's hog portion unless hog price rises more than 33% for next four month.