John Hancock Alternative Asset Allocation Fund

Transcription

1 345Q3 John Hancock Alternative Asset Allocation Fund Quarterly portfolio holdings 5/31/17

2 Fund s investments Alternative Asset Allocation Fund As of (unaudited) Affiliated investment companies (G) 83.0% $608,609,734 (Cost $610,016,437) Absolute return strategies 22.3% 163,842,740 Absolute Return Currency, Class NAV (First Quadrant) (I) 6,517,446 66,152,072 Global Absolute Return Strategies, Class NAV (Standard Life) (I) 9,484,531 97,690,668 Alternative investment approaches 47.0% 344,658,842 Redwood, Class NAV (Boston Partners) (I) 7,913,314 83,168,933 Seaport, Class NAV (Wellington) 4,981,122 57,930,451 Short Duration Credit Opportunities, Class NAV (Stone Harbor) 8,531,210 82,923,366 Strategic Income Opportunities, Class NAV (JHAM) (A)(1) 8,507,277 91,283,084 Technical Opportunities, Class NAV (Wellington) 2,327,756 29,353,008 Alternative markets 13.7% 100,108,152 Enduring Assets, Class NAV (Wellington) 2,655,541 31,547,833 Global Income, Class NAV (Stone Harbor) 3,124,614 29,808,817 Global Real Estate, Class NAV (Deutsche) 1,221,893 11,522,448 Natural Resources, Class NAV (Jennison) 385,438 4,247,530 Real Return Bond, Class NAV (PIMCO) 2,051,922 22,981,524 Unaffiliated investment companies 15.7% $114,891,075 (Cost $110,193,052) Absolute return strategies 9.9% 72,756,716 The Arbitrage Fund, Class I 3,082,037 41,484,221 Touchstone Merger Arbitrage Fund, Class I (V) 2,812,275 31,272,495 Alternative markets 5.8% 42,134,359 Energy Select Sector SPDR Fund 52,472 3,433,768 Financial Select Sector SPDR Fund 246,897 5,740,355 i U.S. Oil & Gas Exploration & Production ETF 18,295 1,007,323 Power DB Commodity Index Tracking Fund (I) 607,039 8,856,699 Power DB Energy Fund (I) 319,756 3,814,689 Power DB Gold Fund (I) 189,510 7,678,945 VanEck Vectors Gold Miners ETF 57,746 1,310,257 Vanguard Information Technology ETF 33,932 4,917,426 Vanguard REIT ETF 65,396 5,374,897 Value Yield (%) Value Short-term investments 1.3% $9,747,440 (Cost $9,747,440) Money market funds 1.3% 9,747,440 State Street Institutional U.S. Government Money Market Fund, Premier Class (Y) 9,747,440 9,747,440 Total investments (Cost $729,956,929) 100.0% $733,248,249 Other assets and liabilities, net 0.0% $327,181 Total net assets 100.0% $733,575,430 2 SEE NOTES TO FUND S INVESTMENTS

3 Alternative Asset Allocation Fund The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. Security Abbreviations and Legend (A) The subadvisor is an affiliate of the advisor. (G) The portfolio s subadvisor is shown parenthetically. (I) Non-income producing. (V) 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 Notes to fund s investments. (Y) The rate shown is the annualized seven-day yield as of (1) Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. At ,the aggregate cost of investment securities for federal income tax purposes was $736,029,580.Net unrealized depreciation aggregated to $2,781,331,of which $13,256,614 related to appreciated investment securities and $16,037,945 related to depreciated investment securities. Affiliated Underlying Funds Subadvisors Boston Partners Global Investors, Inc. Deutsche Investment Management Americas Inc. First Quadrant LP Jennison Associates LLC John Hancock Asset Management Pacific Investment Management Company LLC Standard Life Investments (Corporate Funds) Limited Stone Harbor Investment Partners LP Wellington Management Company LLP (Boston Partners) (Deutsche) (First Quadrant) (Jennison) (JHAM) (PIMCO) (Standard Life) (Stone Harbor) (Wellington) DERIVATIVES FUTURES Open contracts Number of contracts Position Expiration date Notional basis* Notional value* Unrealized appreciation (depreciation) S&P 500 Index E-Mini Futures 75 Short Jun 2017 ($8,882,088) ($9,041,625) ($159,537) ($159,537) * 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 EUR 3,063,266 USD 3,372,787 Citibank N.A. 6/21/2017 $71,761 EUR 1,624,108 USD 1,730,000 State Street Bank and Trust Company 6/21/ ,259 SEK 44,811,339 USD 5,100,000 Citibank N.A. 6/21/ ,401 USD 3,750,000 AUD 4,952,502 Australia and New Zealand Banking Group 6/21/ ,206 USD 5,102,787 EUR 4,796,213 JPMorgan Chase Bank N.A. 6/21/2017 ($290,405) USD 5,058,601 SEK 44,811,339 Citibank N.A. 6/21/2017 (102,800) $300,627 ($393,205) Derivative currency abbreviations AUD EUR SEK USD Australian Dollar Euro Swedish Krona United States Dollar See Notes to Fund s investments regarding investment transactions and other derivatives information. SEE NOTES TO FUND S INVESTMENTS 3

4 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 and/or other open-end management investment companies, other than exchange-traded funds (ETFs) are valued at their respective NAVs each business day. Equity securities, including 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. 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. 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, 2017, all investments are categorized as Level 1 under the hierarchy described above, except for 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 long futures contracts subjects the funds to the risk of loss up to the notional value of the futures contracts.use of short futures contracts subjects the funds to unlimited risk of loss. During the period ended May 31, 2017, the fund used futures contracts to manage against anticipated changes in securities. 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, 2017, the fund used forward foreign currency contracts to manage against anticipated changes in currency exchange rates. Investments in affiliated underlying funds. 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: 4

5 Fund Beginning purchased sold Dividends and Income Capital gain Absolute Return Currency 7,604, ,440 (1,792,400) 6,517,614 ($286,668) $66,152,072 Enduring Assets 3,312, ,507 (846,258) 2,655,541 $468,993 (75,113) 31,547,833 Global Absolute Return Strategies 11,187, ,880 (1,919,737) 9,484,531 (2,109,952) 97,690,668 Global Income 3,499, ,093 (663,588) 3,124,614 1,271,348 (509,177) 29,808,817 Global Real Estate (Deutsche) 1,221,893 1,221,893 11,522,448 Global Real Estate (Standard Life) 1,227,373 91,311 (1,318,684) 474,638 (425,884) Natural Resources 435,132 52,650 (102,344) 385,438 (94,921) 4,247,530 Real Return Bond 2,315,375 94,281 (357,734) 2,051, ,469 (171,549) 22,981,524 Redwood 9,279, ,869 (1,537,041) 7,913,314 (1,801,941) 83,168,933 Seaport 6,569, ,463 (1,743,134) 4,981, ,328 57,930,451 Short Duration Credit Opportunities 9,844, ,340 (1,703,084) 8,531,210 2,221,740 (1,028,808) 82,923,366 Strategic Income Opportunities 9,549, ,613 (1,544,320) 8,507,277 1,914,391 (563,712) 91,283,084 Technical Opportunities 3,082, ,909 (900,439) 2,327,756 (2,832,790) 29,353,008 $6,807,579 ($9,369,187) $608,609,734 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, 2017, is set forth below: Affiliate Beginning purchased sold Dividends and Income Capital gain Touchstone Merger Arbitrage Fund 3,221,647 85,162 (494,534) 2,812,275 $183,408 $31,272,495 Realized gain (loss) Realized gain (loss) 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 5

6 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 05/17 This report is for the information of the holders of John Hancock Alternative Asset Allocation Fund. 7/17