I'm considering a significant allocation into NTSX (WisdomTree U.S. Efficient Core Fund). As commenters have discussed, NTSX provides a cost effective of leveraging 1.5x the traditional 60/40 portfolio that has stood the test of time. My understanding is the ETF price movement can be roughly approximated by 90%*S&P + 60%*IntermediateTreasury (or 0.9*SPY + 0.6*VGIT) and this has generally been correct based on my research.
What I have a harder time with is the bond coupon component. Say 90% equity exposure to SPY gives you a dividend yield of 1.3% (1.62% *0.9) and that is roughly the NTSX dividend rate. And because NTSX uses futures to get bond exposure, coupons are not paid directly into ETF dividend, so that leaves equity as the only source of dividend. Makes sense so far. But where do the bond payments go? In theory, treasury futures are priced in a way to account for the yield and the coupon equivalent should be reflected in the price change or capital gains, but I don't know of a way to check that myself. What I'm looking for is some way to identify the bond component in NTSX price movement. Again, I trust the fund is doing what it's designed to do, but I want to validate my understanding before making the investment. Any thoughts? Thanks.