John Hancock
Diversified Macro Fund
Quarterly portfolio holdings 7/31/2023
| Consolidated Fund’s investments |
As of 7-31-23 (unaudited)
| Yield* (%) | Maturity date | Par value^ | Value | ||
| Short-term investments 69.9% | $857,219,143 | ||||
| (Cost $857,273,304) | |||||
| U.S. Government 69.9% | 857,219,143 | ||||
| U.S. Treasury Bill | 5.025 | 08-10-23 | 133,500,000 | 133,324,239 | |
| U.S. Treasury Bill | 5.050 | 08-17-23 | 136,500,000 | 136,181,955 | |
| U.S. Treasury Bill | 5.075 | 08-03-23 | 129,000,000 | 128,962,326 | |
| U.S. Treasury Bill | 5.130 | 08-24-23 | 100,000,000 | 99,663,668 | |
| U.S. Treasury Bill | 5.152 | 08-31-23 | 135,000,000 | 134,408,700 | |
| U.S. Treasury Bill | 5.191 | 09-07-23 | 129,500,000 | 128,799,409 | |
| U.S. Treasury Bill | 5.240 | 09-14-23 | 96,500,000 | 95,878,846 |
| Total investments (Cost $857,273,304) 69.9% | $857,219,143 | ||||
| Other assets and liabilities, net 30.1% | 368,996,063 | ||||
| Total net assets 100.0% | $1,226,215,206 | ||||
| The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
| ^All par values are denominated in U.S. dollars unless otherwise indicated. | |
| Security Abbreviations and Legend | |
| * | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
| 2 | JOHN HANCOCK DIVERSIFIED MACRO FUND | QUARTERLY REPORT | SEE NOTES TO CONSOLIDATED FUND’S INVESTMENTS |
DERIVATIVES
FUTURES
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| Australian 10-Year Bond Futures | 137 | Long | Sep 2023 | $10,744,197 | $10,702,871 | $(41,326) |
| Brent Crude Futures | 507 | Long | Sep 2023 | 40,512,132 | 43,333,290 | 2,821,158 |
| CAC40 Index Futures | 604 | Long | Aug 2023 | 48,772,675 | 49,933,766 | 1,161,091 |
| Cocoa Futures | 180 | Long | Sep 2023 | 5,391,627 | 6,232,466 | 840,839 |
| Cocoa Futures | 45 | Long | Dec 2023 | 1,561,684 | 1,561,582 | (102) |
| Coffee ’C’ Futures | 48 | Long | Sep 2023 | 3,215,472 | 2,982,600 | (232,872) |
| Corn Futures | 185 | Long | Dec 2023 | 4,940,174 | 4,738,313 | (201,861) |
| Cotton No. 2 Futures | 201 | Long | Dec 2023 | 8,296,090 | 8,517,375 | 221,285 |
| DAX Index Futures | 105 | Long | Sep 2023 | 46,992,536 | 47,757,972 | 765,436 |
| Euro STOXX 50 Index Futures | 1,111 | Long | Sep 2023 | 53,083,922 | 54,896,471 | 1,812,549 |
| Euro-BOBL Futures | 64 | Long | Sep 2023 | 8,110,494 | 8,153,579 | 43,085 |
| FTSE 100 Index Futures | 531 | Long | Sep 2023 | 51,685,719 | 52,370,157 | 684,438 |
| Gas Oil Futures | 475 | Long | Sep 2023 | 36,712,324 | 41,325,000 | 4,612,676 |
| Gasoline RBOB Futures | 395 | Long | Sep 2023 | 43,269,727 | 48,187,314 | 4,917,587 |
| Hard Red Winter Wheat Futures | 290 | Long | Sep 2023 | 12,170,077 | 11,781,250 | (388,827) |
| Long Gilt Futures | 153 | Long | Sep 2023 | 18,767,532 | 18,877,350 | 109,818 |
| Nasdaq 100 E-Mini Index Futures | 129 | Long | Sep 2023 | 38,879,848 | 40,912,350 | 2,032,502 |
| Nikkei 225 Index Futures | 314 | Long | Sep 2023 | 71,334,528 | 73,409,764 | 2,075,236 |
| NY Harbor ULSD Futures | 266 | Long | Sep 2023 | 30,176,107 | 33,476,898 | 3,300,791 |
| Silver Futures | 201 | Long | Sep 2023 | 23,100,160 | 25,004,400 | 1,904,240 |
| Soybean Futures | 523 | Long | Nov 2023 | 33,190,095 | 34,805,650 | 1,615,555 |
| Soybean Meal Futures | 322 | Long | Dec 2023 | 12,130,667 | 12,738,320 | 607,653 |
| Soybean Oil Futures | 282 | Long | Dec 2023 | 9,466,720 | 10,160,460 | 693,740 |
| Sugar No. 11 (World) Futures | 668 | Long | Oct 2023 | 18,421,688 | 18,060,582 | (361,106) |
| Topix Index Futures | 274 | Long | Sep 2023 | 43,309,907 | 44,913,929 | 1,604,022 |
| U.S. Dollar Index Futures | 201 | Long | Sep 2023 | 20,671,611 | 20,431,650 | (239,961) |
| WTI Crude Futures | 419 | Long | Aug 2023 | 31,732,095 | 34,307,720 | 2,575,625 |
| 10-Year U.S. Treasury Note Futures | 676 | Short | Sep 2023 | (76,675,922) | (75,363,438) | 1,312,484 |
| 2-Year U.S. Treasury Note Futures | 1,304 | Short | Oct 2023 | (267,597,204) | (264,824,063) | 2,773,141 |
| 30-Year U.S. Treasury Bond Futures | 185 | Short | Sep 2023 | (23,604,366) | (23,072,969) | 531,397 |
| 3-Month EURIBOR Futures | 2,488 | Short | Jun 2024 | (661,811,081) | (659,032,765) | 2,778,316 |
| 3-Month EURIBOR Futures | 193 | Short | Dec 2024 | (51,323,420) | (51,340,228) | (16,808) |
| 3-Month SOFR Index Futures | 1,809 | Short | Sep 2024 | (436,440,020) | (430,428,938) | 6,011,082 |
| 3-Month SOFR Index Futures | 824 | Short | Mar 2025 | (197,804,506) | (197,543,700) | 260,806 |
| 3-Month SONIA Index Futures | 376 | Short | Sep 2024 | (115,523,969) | (113,764,839) | 1,759,130 |
| 3-Month SONIA Index Futures | 27 | Short | Mar 2025 | (8,206,140) | (8,206,100) | 40 |
| 5-Year U.S. Treasury Note Futures | 1,015 | Short | Oct 2023 | (110,329,175) | (108,493,984) | 1,835,191 |
| Canadian 10-Year Bond Futures | 387 | Short | Sep 2023 | (35,960,502) | (35,282,403) | 678,099 |
| Dow Jones Industrial Average E-Mini Index Futures | 419 | Short | Sep 2023 | (72,014,973) | (74,781,025) | (2,766,052) |
| Electrolytic Copper Futures | 40 | Short | Sep 2023 | (8,629,065) | (8,830,540) | (201,475) |
| Euro-Bund Futures | 395 | Short | Sep 2023 | (57,853,370) | (57,758,164) | 95,206 |
| Euro-Schatz Futures | 3,752 | Short | Sep 2023 | (434,027,941) | (433,346,718) | 681,223 |
| Gold 100 Oz Futures | 81 | Short | Dec 2023 | (16,222,284) | (16,225,110) | (2,826) |
| Hang Seng Index Futures | 362 | Short | Aug 2023 | (44,996,499) | (47,122,265) | (2,125,766) |
| Natural Gas Futures | 805 | Short | Aug 2023 | (20,696,900) | (21,268,100) | (571,200) |
| Primary Aluminum Futures | 209 | Short | Sep 2023 | (11,912,588) | (11,849,569) | 63,019 |
| Russell 2000 E-Mini Index Futures | 491 | Short | Sep 2023 | (46,455,453) | (49,433,880) | (2,978,427) |
| S&P 500 E-Mini Index Futures | 56 | Short | Sep 2023 | (12,347,327) | (12,920,600) | (573,273) |
| Wheat Futures | 523 | Short | Dec 2023 | (17,725,634) | (18,095,800) | (370,166) |
| Zinc Futures | 129 | Short | Sep 2023 | (8,296,955) | (8,272,996) | 23,959 |
| $42,130,371 |
^ Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract.
| SEE NOTES TO CONSOLIDATED FUND’S INVESTMENTS | QUARTERLY REPORT | JOHN HANCOCK DIVERSIFIED MACRO FUND | 3 |
FORWARD FOREIGN CURRENCY CONTRACTS
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| AUD | 79,625,000 | USD | 54,405,501 | BOA | 9/22/2023 | — | $(823,740) |
| CAD | 164,837,000 | USD | 124,765,361 | BOA | 9/22/2023 | $327,836 | — |
| CHF | 75,523,000 | USD | 88,112,171 | BOA | 9/22/2023 | — | (1,017,453) |
| EUR | 104,525,000 | USD | 116,388,488 | BOA | 9/22/2023 | — | (1,167,355) |
| GBP | 158,101,000 | USD | 200,315,271 | BOA | 9/22/2023 | 2,628,616 | — |
| JPY | 9,189,484,000 | USD | 66,756,587 | BOA | 9/22/2023 | — | (1,627,764) |
| MXN | 1,028,049,000 | USD | 58,509,033 | BOA | 9/22/2023 | 2,299,873 | — |
| NZD | 45,898,000 | USD | 28,399,340 | BOA | 9/22/2023 | 109,744 | — |
| USD | 95,250,099 | AUD | 140,658,000 | BOA | 9/22/2023 | 597,624 | — |
| USD | 148,724,874 | CAD | 197,617,000 | BOA | 9/22/2023 | — | (1,244,745) |
| USD | 140,898,785 | CHF | 126,209,000 | BOA | 9/22/2023 | — | (4,648,097) |
| USD | 200,403,058 | EUR | 183,775,000 | BOA | 9/22/2023 | — | (2,177,796) |
| USD | 59,268,236 | GBP | 45,704,000 | BOA | 9/22/2023 | 601,007 | — |
| USD | 144,172,131 | JPY | 20,147,474,000 | BOA | 9/22/2023 | 1,380,516 | — |
| USD | 1,236,302 | MXN | 21,517,000 | BOA | 9/22/2023 | — | (36,425) |
| USD | 38,700,879 | NZD | 62,556,000 | BOA | 9/22/2023 | — | (155,155) |
| $7,945,216 | $(12,898,530) | ||||||
| Derivatives Currency Abbreviations | |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | Pound Sterling |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| NZD | New Zealand Dollar |
| USD | U.S. Dollar |
| Derivatives Abbreviations | |
| BOA | Bank of America, N.A. |
| EURIBOR | Euro Interbank Offered Rate |
| OTC | Over-the-counter |
| RBOB | Reformulated Blendstock for Oxygenate Blending |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Interbank Average Rate |
| WTI | West Texas Intermediate |
| 4 | JOHN HANCOCK DIVERSIFIED MACRO FUND | QUARTERLY REPORT | SEE NOTES TO CONSOLIDATED FUND’S INVESTMENTS |
| Notes to Consolidated Fund’s investments (unaudited) |
Basis of consolidation. The accompanying Consolidated Fund’s investments include the accounts of John Hancock Diversified Macro Offshore Subsidiary Fund, Ltd. (the subsidiary), a Cayman Islands exempted company which was incorporated on January 4, 2019, a wholly-owned subsidiary of the fund. The fund and its subsidiary are advised by Graham Capital Management, L.P. (the subadvisor), under the supervision of John Hancock Investment Management LLC (the Advisor). The fund may gain exposure to the commodities markets by investing up to 25% of its total assets in the subsidiary. The subsidiary acts as an investment vehicle for the fund to enable the fund to obtain its commodity exposure by investing in commodity-linked derivative instruments. As of July 31, 2023, the net assets of the subsidiary were $83,142,130 representing 6.8% of the fund’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Consolidated Fund’s investments include positions of the fund and the subsidiary.
The subsidiary primarily obtains its commodity exposure by investing in commodity-linked derivative instruments, which may include but are not limited to total return swaps, commodity (U.S. or foreign) futures and commodity-linked notes. Neither the fund nor the subsidiary intends to invest directly in physical commodities. The subsidiary may also invest in other instruments, including fixed-income securities, either as investments or to serve as margin or collateral for its swap positions, and foreign currency transactions (including forward contracts).
Security valuation. Investments are stated at value as of the scheduled close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. In case of emergency or other disruption resulting in the NYSE not opening for trading or the NYSE closing at a time other than the regularly scheduled close, the net asset value (NAV) may be determined as of the regularly scheduled close of the NYSE pursuant to the Advisor’s Valuation Policies and Procedures.
In order to value the securities, the fund uses the following valuation techniques: Debt obligations are typically valued based on evaluated prices provided by an independent pricing vendor. Independent pricing vendors utilize matrix pricing, which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Futures contracts whose settlement prices are determined as of the close of the NYSE are typically valued based on the settlement price while other futures contracts are typically valued at the last traded price on the exchange on which they trade. Foreign equity index futures that trade in the electronic trading market subsequent to the close of regular trading may be valued at the last traded price in the electronic trading market as of 4:00 P.M. ET, or may be fair valued based on fair value adjustment factors provided by an independent pricing vendor in order to adjust for events that may occur between the close of foreign exchanges or markets and the close of the NYSE. Forward foreign currency contracts are valued at the prevailing forward rates which are based on foreign currency exchange spot rates and forward points supplied by an independent pricing vendor. Foreign securities and currencies are valued in U.S. dollars based on foreign currency exchange rates supplied by an independent pricing vendor.
Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith by the Pricing Committee following procedures established by the Advisor and adopted by the Board of Trustees. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed.
The fund uses a three tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities, including registered investment companies. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the Advisor’s assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the values by input classification of the Consolidated Fund’s investments as of July 31, 2023, by major security category or type:
| Total value at 7-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Investments in securities: | ||||
| Assets | ||||
| Short-term investments | $857,219,143 | — | $857,219,143 | — |
| Total investments in securities | $857,219,143 | — | $857,219,143 | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | $53,202,419 | $53,202,419 | — | — |
| Forward foreign currency contracts | 7,945,216 | — | $7,945,216 | — |
| Liabilities | ||||
| Futures | (11,072,048) | (8,946,282) | (2,125,766) | — |
| Forward foreign currency contracts | (12,898,530) | — | (12,898,530) | — |
| | | 5 |
For additional information on the fund’s significant accounting policies and risks, please refer to the fund’s most recent semiannual or annual shareholder report and prospectus.
| 6 | | |