John Hancock
Diversified Macro Fund
Quarterly portfolio holdings 1/31/2024
| Consolidated Fund’s investments |
As of 1-31-24 (unaudited)
| Yield* (%) | Maturity date | Par value^ | Value | ||
| Short-term investments 78.7% | $1,149,235,413 | ||||
| (Cost $1,149,270,494) | |||||
| U.S. Government 78.7% | 1,149,235,413 | ||||
| U.S. Treasury Bill | 5.180 | 02-15-24 | 119,500,000 | 119,256,154 | |
| U.S. Treasury Bill | 5.196 | 02-22-24 | 117,000,000 | 116,640,920 | |
| U.S. Treasury Bill | 5.216 | 03-14-24 | 87,000,000 | 86,464,334 | |
| U.S. Treasury Bill | 5.220 | 03-21-24 | 119,000,000 | 118,146,812 | |
| U.S. Treasury Bill | 5.220 | 03-28-24 | 148,000,000 | 146,790,671 | |
| U.S. Treasury Bill | 5.235 | 03-07-24 | 153,000,000 | 152,215,958 | |
| U.S. Treasury Bill | 5.240 | 02-01-24 | 128,000,000 | 128,000,000 | |
| U.S. Treasury Bill | 5.240 | 02-08-24 | 122,500,000 | 122,374,996 | |
| U.S. Treasury Bill | 5.255 | 02-29-24 | 160,000,000 | 159,345,568 |
| Total investments (Cost $1,149,270,494) 78.7% | $1,149,235,413 | ||||
| Other assets and liabilities, net 21.3% | 311,058,338 | ||||
| Total net assets 100.0% | $1,460,293,751 | ||||
| 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) |
| 30-Year U.S. Treasury Bond Futures | 20 | Long | Mar 2024 | $2,422,335 | $2,456,250 | $33,915 |
| 3-Month EURIBOR Futures | 3,249 | Long | Jun 2025 | 859,650,667 | 859,405,145 | (245,522) |
| 3-Month SONIA Index Futures | 488 | Long | Sep 2025 | 148,947,216 | 149,137,223 | 190,007 |
| Brent Crude Futures | 751 | Long | Mar 2024 | 58,775,429 | 60,425,460 | 1,650,031 |
| CAC 40 Index Futures | 732 | Long | Feb 2024 | 58,365,804 | 60,453,503 | 2,087,699 |
| Cocoa Futures | 239 | Long | Mar 2024 | 10,048,642 | 11,730,712 | 1,682,070 |
| Cocoa Futures | 34 | Long | May 2024 | 1,645,765 | 1,638,643 | (7,122) |
| Coffee ’C’ Futures | 137 | Long | Mar 2024 | 8,706,456 | 9,964,181 | 1,257,725 |
| Coffee ’C’ Futures | 204 | Long | May 2024 | 14,441,380 | 14,603,850 | 162,470 |
| Cotton No.2 Futures | 90 | Long | Mar 2024 | 3,605,594 | 3,829,500 | 223,906 |
| Cotton No.2 Futures | 144 | Long | May 2024 | 6,179,208 | 6,217,920 | 38,712 |
| DAX Index Futures | 429 | Long | Mar 2024 | 196,200,307 | 195,971,491 | (228,816) |
| Dow Jones Industrial Average E-Mini Index Futures | 302 | Long | Mar 2024 | 57,126,219 | 57,802,800 | 676,581 |
| Euro STOXX 50 Index Futures | 2,936 | Long | Mar 2024 | 144,734,627 | 147,572,607 | 2,837,980 |
| Euro-BOBL Futures | 1,561 | Long | Mar 2024 | 199,179,250 | 199,703,004 | 523,754 |
| Euro-Bund Futures | 488 | Long | Mar 2024 | 70,872,095 | 71,512,649 | 640,554 |
| FTSE 100 Index Futures | 1,258 | Long | Mar 2024 | 120,664,993 | 121,116,059 | 451,066 |
| Gasoline RBOB Futures | 468 | Long | Mar 2024 | 43,207,380 | 43,769,981 | 562,601 |
| Hang Seng Index Futures | 137 | Long | Feb 2024 | 14,072,603 | 13,625,538 | (447,065) |
| Low Sulphur Gasoil Futures | 849 | Long | Mar 2024 | 65,710,741 | 70,849,050 | 5,138,309 |
| Nasdaq 100 E-Mini Index Futures | 10 | Long | Mar 2024 | 3,313,736 | 3,448,450 | 134,714 |
| Nikkei 225 Index Futures | 507 | Long | Mar 2024 | 113,923,328 | 123,598,043 | 9,674,715 |
| NY Harbor ULSD Futures | 595 | Long | Mar 2024 | 65,732,644 | 69,589,653 | 3,857,009 |
| S&P 500 E-Mini Index Futures | 371 | Long | Mar 2024 | 88,490,735 | 90,347,775 | 1,857,040 |
| Silver Futures | 205 | Long | Mar 2024 | 24,420,189 | 23,534,000 | (886,189) |
| Soybean Meal Futures | 380 | Long | Mar 2024 | 16,388,214 | 14,003,000 | (2,385,214) |
| Sugar No. 11 (World) Futures | 324 | Long | Mar 2024 | 8,924,199 | 8,730,893 | (193,306) |
| Sugar No. 11 (World) Futures | 486 | Long | May 2024 | 12,498,211 | 12,606,451 | 108,240 |
| TOPIX Index Futures | 673 | Long | Mar 2024 | 108,816,466 | 115,413,235 | 6,596,769 |
| U.S. Dollar Index Futures | 244 | Long | Mar 2024 | 25,119,174 | 25,240,580 | 121,406 |
| WTI Crude Futures | 595 | Long | Feb 2024 | 43,672,514 | 45,095,050 | 1,422,536 |
| Zinc Futures | 156 | Long | Mar 2024 | 9,933,590 | 9,825,465 | (108,125) |
| 10-Year U.S. Treasury Note Futures | 722 | Short | Mar 2024 | (80,755,785) | (81,191,156) | (435,371) |
| 2-Year U.S. Treasury Note Futures | 3,805 | Short | Apr 2024 | (777,596,482) | (782,730,117) | (5,133,635) |
| 3-Month SOFR Index Futures | 2,322 | Short | Sep 2025 | (560,885,175) | (561,227,400) | (342,225) |
| 5-Year U.S. Treasury Note Futures | 2,283 | Short | Apr 2024 | (246,254,161) | (247,687,664) | (1,433,503) |
| Australian 10-Year Bond Futures | 312 | Short | Mar 2024 | (23,714,303) | (23,788,255) | (73,952) |
| Canadian 10-Year Bond Futures | 390 | Short | Mar 2024 | (35,027,594) | (35,288,408) | (260,814) |
| Corn Futures | 1,590 | Short | Mar 2024 | (38,604,302) | (35,616,000) | 2,988,302 |
| Electrolytic Copper Futures | 215 | Short | Mar 2024 | (44,217,966) | (46,058,375) | (1,840,409) |
| Euro-Schatz Futures | 4,878 | Short | Mar 2024 | (559,146,145) | (559,425,675) | (279,530) |
| Gold 100 Oz Futures | 117 | Short | Apr 2024 | (23,879,190) | (24,021,270) | (142,080) |
| Hard Red Winter Wheat Futures | 488 | Short | Mar 2024 | (15,662,307) | (15,182,900) | 479,407 |
| Long Gilt Futures | 127 | Short | Mar 2024 | (16,000,422) | (16,109,178) | (108,756) |
| Natural Gas Futures | 976 | Short | Feb 2024 | (24,621,591) | (20,710,720) | 3,910,871 |
| Primary Aluminum Futures | 254 | Short | Mar 2024 | (14,378,098) | (14,382,242) | (4,144) |
| Russell 2000 E-Mini Index Futures | 78 | Short | Mar 2024 | (7,807,895) | (7,628,010) | 179,885 |
| Soybean Futures | 29 | Short | Mar 2024 | (1,758,521) | (1,772,263) | (13,742) |
| Soybean Oil Futures | 263 | Short | Mar 2024 | (7,472,512) | (7,266,690) | 205,822 |
| Wheat Futures | 683 | Short | Mar 2024 | (20,227,459) | (20,344,863) | (117,404) |
| $35,007,172 |
^ 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 | 94,334,000 | USD | 62,370,133 | BOA | 3/22/2024 | — | $(383,044) |
| CAD | 49,395,000 | USD | 36,858,902 | BOA | 3/22/2024 | — | (95,789) |
| CHF | 188,405,000 | USD | 222,787,152 | BOA | 3/22/2024 | — | (3,292,501) |
| EUR | 32,851,000 | USD | 36,035,760 | BOA | 3/22/2024 | — | (459,435) |
| GBP | 60,346,000 | USD | 76,701,747 | BOA | 3/22/2024 | — | (195,868) |
| JPY | 1,799,810,000 | USD | 12,821,728 | BOA | 3/22/2024 | — | (497,554) |
| MXN | 1,253,784,000 | USD | 70,975,950 | BOA | 3/22/2024 | $1,274,711 | — |
| NZD | 69,287,000 | USD | 42,803,732 | BOA | 3/22/2024 | — | (449,512) |
| USD | 118,404,132 | AUD | 177,126,000 | BOA | 3/22/2024 | 2,014,229 | — |
| USD | 183,899,312 | CAD | 248,598,000 | BOA | 3/22/2024 | — | (1,124,199) |
| USD | 191,526,150 | CHF | 165,896,000 | BOA | 3/22/2024 | — | (1,745,178) |
| USD | 356,805,135 | EUR | 328,385,000 | BOA | 3/22/2024 | 1,177,260 | — |
| USD | 35,740,204 | GBP | 28,352,000 | BOA | 3/22/2024 | — | (204,095) |
| USD | 172,287,875 | JPY | 24,663,761,000 | BOA | 3/22/2024 | 3,403,116 | — |
| USD | 1,967,415 | MXN | 34,374,000 | BOA | 3/22/2024 | — | (13,424) |
| USD | 6,245,256 | NZD | 10,201,000 | BOA | 3/22/2024 | 9,520 | — |
| $7,878,836 | $(8,460,599) | ||||||
| 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 January 31, 2024, the net assets of the subsidiary were $86,055,373 representing 5.9% 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 Valuation Policies and Procedures of the Advisor, John Hancock Investment Management LLC.
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 January 31, 2024, by major security category or type:
| Total value at 1-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Investments in securities: | ||||
| Assets | ||||
| Short-term investments | $1,149,235,413 | — | $1,149,235,413 | — |
| Total investments in securities | $1,149,235,413 | — | $1,149,235,413 | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | $49,694,096 | $49,694,096 | — | — |
| Forward foreign currency contracts | 7,878,836 | — | $7,878,836 | — |
| Liabilities | ||||
| Futures | (14,686,924) | (14,239,859) | (447,065) | — |
| Forward foreign currency contracts | (8,460,599) | — | (8,460,599) | — |
| | | 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 | | |