John Hancock Alternative Asset Allocation Fund

Transcription

1 345Q3 John Hancock Alternative Asset Allocation Fund Quarterly portfolio holdings 5/31/18

2 Fund s investments As of (unaudited) Affiliated investment companies (A) 81.7% $560,193,397 (Cost $566,479,478) Absolute return strategies 20.4% 140,111,976 Absolute Return Currency, Class NAV, JHF II (First Quadrant) (B) 6,153,900 56,185,109 Global Absolute Return Strategies, Class NAV, JHF II (Standard Life) (B) 8,276,811 83,926,867 Alternative investment approaches 45.7% 313,466,859 Redwood, Class NAV, JHF II (Boston Partners) (B) 6,998,800 77,056,792 Seaport Long/Short, Class NAV, JHIT (Wellington) 4,572,837 52,587,626 Short Duration Credit Opportunities, Class NAV, JHF II (Stone Harbor) 7,913,142 75,412,240 Strategic Income Opportunities, Class NAV, JHF II (JHAM) (C)(D) 7,787,894 81,539,250 Technical Opportunities, Class NAV, JHF II (Wellington) 2,014,314 26,870,951 Alternative markets 11.3% 77,329,546 Enduring Assets, Class NAV, JHIT (Wellington) 2,351,869 28,387,058 Global Income, Class NAV, JHF II (Stone Harbor) 3,020,603 27,427,075 Real Return Bond, Class NAV, JHF II (PIMCO) 1,963,085 21,515,413 Other affiliated investments 4.3% 29,285,016 Touchstone Merger Arbitrage Fund, Class I (E) 2,789,049 29,285,016 Unaffiliated investment companies 16.3% $112,076,364 (Cost $106,898,357) Absolute return strategies 5.7% 38,928,430 The Arbitrage Fund, Class I 2,987,600 38,928,430 Alternative markets 10.6% 73,147,934 Credit Suisse Managed Futures Strategy Fund (B) 1,699,000 16,616,224 Energy Select Sector SPDR Fund 59,011 4,486,016 Financial Select Sector SPDR Fund 236,933 6,439,839 Power DB Commodity Index Tracking Fund 492,508 8,879,919 Power DB Energy Fund (B) 246,327 4,128,441 Power DB Gold Fund (B) 191,865 7,874,140 SPDR S&P Global Natural Resources ETF 82,577 4,236,200 VanEck Vectors Gold Miners ETF 56,287 1,257,452 Vanguard Global ex-u.s. Real Estate ETF 95,091 5,742,545 Vanguard Industrials ETF (F) 17,393 2,432,933 Vanguard Real Estate ETF (F) 140,122 11,054,225 Value Yield (%) Value Securities lending collateral 1.6% $11,044,843 (Cost $11,044,840) John Hancock Collateral Trust (G) (H) 1,103,987 11,044,843 Yield* (%) Maturity date Par value^ Value Short-term investments 1.8% $12,356,714 (Cost $12,356,462) U.S. Government 1.8% 12,130,468 U.S. Treasury Bill ,000,000 4,997,165 U.S. Treasury Bill ,500,000 3,498,016 U.S. Treasury Bill , ,858 U.S. Treasury Bill ,400,000 3,385,429 Yield (%) Value Money market funds 0.0% 226,246 State Street Institutional U.S. Government Money Market Fund, Premier Class (H) 226, ,246 2 JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND QUARTERLY REPORT SEE NOTES TO FUND'S INVESTMENTS

3 Total investments (Cost $696,779,137) 101.4% $695,671,318 Other assets and liabilities, net (1.4)% (9,862,364) Total net assets 100.0% $685,808,954 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 JHF II John Hancock Funds II JHIT John Hancock Investment Trust (A) The underlying funds subadvisor is shown parenthetically. (B) Non-income producing. (C) The subadvisor is an affiliate of the advisor. (D) Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. (E) The fund owns 5% or more of the outstanding voting s of the issuer and the security is considered an affiliate of the fund. For more information on this security refer to the Note s to fund s investments. (F) A portion of this security is on loan as of The value of securities on loan ed to $10,829,741. (G) Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral for securities lending. (H) The rate shown is the annualized seven-day yield as of * 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. Affiliated Underlying Funds Subadvisors Boston Partners Global Investors, Inc. (Boston Partners) First Quadrant LP (First Quadrant) John Hancock Asset Management (JHAM) Pacific Investment Management Company LLC (PIMCO) Standard Life Investment, (Corporate Funds) Limited (Standard Life) Stone Harbor Investment Partners LP (Stone Harbor) Wellington Management Company LLP (Wellington) SEE NOTES TO FUND'S INVESTMENTS QUARTERLY REPORT JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND 3

4 DERIVATIVES FUTURES Open contracts Number of contracts Position Expiration date Notional basis* Notional value* Unrealized appreciation (depreciation) S&P 500 Index E-Mini Futures 62 Short Jun 2018 $(8,573,815) $(8,387,050) $186,765 $186,765 * Notional basis refers to the contractual agreed upon at inception of open contracts; notional value represents the current value of the open contract. FORWARD FOREIGN CURRENCY CONTRACTS Contract to buy Contract to sell Counterparty (OTC) Contractual settlement date Unrealized appreciation Unrealized depreciation CAD 6,500,000 NOK 39,269,094 State Street Bank and Trust Company 6/20/2018 $213,599 NOK 38,393,219 CAD 6,500,000 Goldman Sachs Bank USA 6/20/2018 $(320,705) $213,599 $(320,705) Derivatives Currency Abbreviations CAD Canadian Dollar NOK Norwegian Krone OTC is an abbreviation for over-the-counter. See Notes to Fund s investments regarding investment transactions and other derivatives information. 4 JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND QUARTERLY REPORT SEE NOTES TO FUND'S INVESTMENTS

5 Notes to Fund s investments (unaudited) 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 fund s Valuation Policies and Procedures. In order to value the securities, the fund uses the following valuation techniques: Investments by the fund in underlying affiliated funds, including John Hancock Collateral Trust, and/or other open-end management investment companies, other than exchange-traded funds (ETFs) are valued at their respective NAVs each business day.etfs held by the fund are typically valued at the last sale price or official closing price on the exchange or principal market where the security trades.in the event there were no sales during the day or closing prices are not available,the securities are valued using the last available bid price.debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from broker-dealers. Futures contracts are valued at settlement prices, which are the official closing prices published by the exchange on which they trade. Foreign securities and currencies, including forward foreign currency contracts, are valued in U.S. dollars based on foreign currency exchange rates supplied by an independent pricing vendor. In certain instances, the Pricing Committee may determine to value equity securities using prices obtained from another exchange or market if trading on the exchange or market on which prices are typically obtained did not open for trading as scheduled, or if trading closed earlier than scheduled, and trading occurred as normal on another exchange or market. 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 fund s Pricing Committee following procedures established 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 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 fund s own 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. As of May 31, 2018, all investments are categorized as Level 1 under the hierarchy described above, except for U.S. Treasury Bills and forward foreign currency contracts, which are categorized as Level 2. Derivative instruments. The fund may invest in derivatives in order to meet its investment objective. Derivatives include a variety of different instruments that may be traded in the over-the-counter (OTC) market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction. Futures. A futures contract is a contractual agreement to buy or sell a particular currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets and contract prices that can be highly volatile and imperfectly correlated to movements in the underlying financial instrument. Use of short futures contracts subjects the fund to unlimited risk of loss. During the period ended May 31, 2018, the fund used futures contracts to manage against anticipated changes in securities markets. Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell specific currencies at a price that is set on the date of the contract.the forward contract calls for delivery of the currencies on a future date that is specified in the contract.risks related to the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timely post collateral if applicable, and the risk that currency movements will not favor the fund thereby reducing the fund s total return. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-tomarket daily and the change in value is recorded by the fund as an unrealized gain or loss.realized gains or losses,equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed,are recorded upon delivery or receipt of the currency or settlement with the counterparty. During the period ended May 31, 2018, the fund used forward foreign currency contracts to manage against anticipated changes in currency exchange rates and to manage currency exposure. 5

6 Investment in affiliated underlying funds. The fund invests primarily in affiliated underlying funds that are managed by the Advisor and its affiliates. The fund does not invest in the affiliated underlying funds for the purpose of exercising management or control; however, the fund s investment may represent a significant portion of each underlying funds net assets. Information regarding the fund s fiscal year to date purchases and sales of the affiliated underlying funds as well as income and capital gains earned by the fund from its investments in affiliated underlying funds is as follows: Fund Beginning purchased sold Dividends and Income Capital gain Realized gain (loss) Change in unrealized appreciation (depreciation) Absolute Return Currency 6,693, ,666 (1,428,888) 6,153,900 ($830,419) ($1,603,156) $56,185,109 Enduring Assets 2,530, ,501 (345,072) 2,351,869 $391,512 $97, ,980 (1,108,454) 28,387,058 Global Absolute Return Strategies 9,345,070 83,490 (1,151,749) 8,276,811 (933,041) (843,912) 83,926,867 Global Income 3,091, ,125 (244,278) 3,020,603 1,159,867 (176,783) (1,301,519) 27,427,075 Global Real Estate 1,194,848 68,961 (1,263,809) 176,507 (10,007) (264,793) John Hancock Collateral Trust 4,166,073 (3,062,086) 1,103,987 (2,437) 3 11,044,843 Natural Resources 406,313 35,476 (441,789) 72, ,660 (270,963) Real Return Bond 2,039,545 60,736 (137,196) 1,963, ,918 (47,483) (397,312) 21,515,413 Redwood 7,709, ,973 (931,517) 6,998,800 (606,038) 2,731,949 77,056,792 Seaport Long/Short 4,796, ,744 (684,545) 4,572,837 4,319, ,297 (3,012,721) 52,587,626 Short Duration Credit Opportunities 8,465, ,234 (872,234) 7,913,142 2,198,803 (506,548) (1,084,722) 75,412,240 Strategic Income Opportunities 8,298, ,444 (871,673) 7,787,894 2,268,800 (182,386) (3,463,172) 81,539,250 Technical Opportunities 2,137, ,610 (586,233) 2,014,314 82,740 4,507,332 (406,746) 197,064 26,870,951 $6,689,173 $8,924,606 ($1,677,951) ($10,421,708) $541,953,224 Transactions in securities of affiliated issuers. Affiliated issuers, as defined by the 1940 Act, are those in which the fund s holdings of an issuer represent 5% or more of the outstanding voting securities of the issuer. A summary of the fund s transactions in the securities of these issuers during the period ended May 31, 2018, is set forth below: Affiliate Beginning purchased sold Dividends and Income Capital gain Realized Change in unrealized gain appreciation (loss) (depreciation) Touchstone Merger Arbitrage Fund 2,759, ,491 (123,099) 2,789,049 $1,611,838 ($34,067) ($1,922,361) $29,285,016 For additional information on the fund s significant accounting policies, please refer to the fund s most recent semiannual or annual holder report. value value 6

7 More information How to contact us Internet Mail Regular mail: John Hancock Signature Services, Inc. P.O. Box Boston, MA Express mail: John Hancock Signature Services, Inc. 30 Dan Road Canton, MA Phone Customer service representatives EASI-Line TDD line Q3 05/18 This report is for the information of the holders of John Hancock Alternative Asset Allocation Fund. 7/18