John Hancock Alternative Asset Allocation Fund

Transcription

1 345Q1 John Hancock Alternative Asset Allocation Fund Quarterly portfolio holdings 11/30/18

2 Fund s investments As of (unaudited) Affiliated investment companies (A) 84.4% $543,351,886 (Cost $552,873,175) Absolute return strategies 21.0% 135,129,484 Absolute Return Currency, Class NAV, JHF II (First Quadrant) (B) 5,546,033 51,578,108 Global Absolute Return Strategies, Class NAV, JHF II (Standard Life) (B) 5,630,095 56,413,555 Touchstone Merger Arbitrage Fund, Class I (C) 2,606,899 27,137,821 Alternative investment approaches 50.8% 326,942,803 Redwood, Class NAV, JHF II (Boston Partners) (B) 7,151,903 79,886,752 Seaport Long/Short, Class NAV, JHIT (Wellington) 4,563,663 50,611,018 Short Duration Credit Opportunities, Class NAV, JHF II (Stone Harbor) 9,260,108 85,748,604 Strategic Income Opportunities, Class NAV, JHF II (JHAM) (D)(E) 8,466,426 85,426,241 Technical Opportunities, Class NAV, JHF II (Wellington) 1,985,089 25,270,188 Alternative markets 12.6% 81,279,599 Credit Suisse Managed Futures Strategy Fund (B)(C) 2,543,933 24,650,713 Enduring Assets, Class NAV, JHIT (Wellington) 2,403,702 29,012,686 Invesco DB Gold Fund (B)(C) 270,333 10,337,534 Real Return Bond, Class NAV, JHF II (PIMCO) 1,639,342 17,278,666 Unaffiliated investment companies 13.1% $84,138,580 (Cost $83,476,972) Absolute return strategies 5.7% 36,427,039 The Arbitrage Fund, Class I 2,738,875 36,427,039 Alternative markets 7.4% 47,711,541 Energy Select Sector SPDR Fund 66,153 4,373,375 Financial Select Sector SPDR Fund 236,933 6,390,083 Invesco DB Energy Fund (B) 385,697 5,245,479 Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF (F) 526,258 8,333,295 SPDR S&P Global Natural Resources ETF (F) 107,959 4,796,618 VanEck Vectors Gold Miners ETF 56,287 1,074,519 Vanguard Global ex-u.s. Real Estate ETF 122,043 6,719,688 Vanguard Real Estate ETF 131,477 10,778,484 Value Yield (%) Value Securities lending collateral 0.3% $1,755,089 (Cost $1,755,107) John Hancock Collateral Trust (G) (H) 175,463 1,755,089 Yield* (%) Maturity date Par value^ Value Short-term investments 2.4% $15,469,659 (Cost $15,468,059) U.S. Government 2.3% 14,833,140 U.S. Treasury Bill ,750,000 5,746,561 U.S. Treasury Bill ,050,000 7,045,785 U.S. Treasury Bill , ,821 U.S. Treasury Bill ,750,000 1,740,973 Yield (%) Value Money market funds 0.1% 636,519 State Street Institutional U.S. Government Money Market Fund, Premier Class (H) 636, ,519 2 JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND QUARTERLY REPORT SEE NOTES TO FUND'S INVESTMENTS

3 Total investments (Cost $653,573,313) 100.2% $644,715,214 Other assets and liabilities, net (0.2)% (1,358,343) Total net assets 100.0% $643,356,871 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 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. (D) The subadvisor is an affiliate of the advisor. (E) Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. (F) All or a portion of this security is on loan as of The value of securities on loan ed to $1,720,320. (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. Subadvisors of Affiliated Underlying Funds 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 S&P 500 Index E-Mini Futures 45 Short Dec 2018 $(6,550,440) $(6,206,175) $344,265 $344,265 * Notional basis refers to the contractual agreed upon at inception of open contracts; notional value represents the current value of the open contract. 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 (JHCT), and 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. 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 are valued at settlement prices, which are the official closing prices published by the exchange on which they trade. 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 November 30, 2018, all investments are categorized as Level 1 under the hierarchy described above, except for U.S Treasury bills, 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 November 30, 2018, the fund used futures contracts to manage against anticipated changes in securities markets. 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, if any, 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 Absolute Return Currency 6,111,191 61,562 (626,720) 5,546,033 ($417,628) $1,032,512 $51,578,108 value 5

6 Dividends and Fund Beginning purchased sold Income Capital gain Realized gain (loss) Change in unrealized value Enduring Assets 2,461, ,713 (165,788) 2,403,702 $149,798 71, ,775 29,012,686 Global Absolute Return Strategies 8,196,135 (2,566,040) 5,630,095 (2,741,302) 1,409,897 56,413,555 John Hancock Collateral Trust 1,063,762 2,944,018 (3,832,317) 175,463 (1,739) (241) 1,755,089 Real Return Bond 1,952,916 29,236 (342,810) 1,639, ,424 (245,480) (479,946) 17,278,666 Redwood 6,765, ,752 (321,949) 7,151,903 (103,579) (776,185) 79,886,752 Seaport Long/Short 4,505, ,566 (41,985) 4,563,663 5,162 (2,722,462) 50,611,018 Short Duration Credit Opportunities 9,094, ,720 (456,759) 9,260, ,818 (407,738) (675,228) 85,748,604 Strategic Income Opportunities 8,235, ,892 (331,981) 8,466, ,510 (250,151) (1,886,759) 85,426,241 Technical Opportunities 1,925, ,595 (78,164) 1,985,089 31,729 (2,258,392) 25,270,188 $2,132,550 ($4,058,970) ($6,184,029) $482,980,907 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 November 30, 2018, is set forth below: Affiliate Beginning purchased sold Dividends and Income Capital gain Realized gain (loss) Change in unrealized Credit Suisse Managed Futures Strategy Fund 2,043, ,301 (151,974) 2,543,933 ($97,052) ($506,754) $24,650,713 Invesco DB Gold Fund 215,988 70,432 (16,087) 270,333 (38,041) 132,742 10,337,534 Touchstone Merger Arbitrage Fund 2,711,724 (104,825) 2,606,899 (29,822) (373,216) 27,137,821 ($164,915) ($747,228) $62,126,068 For additional information on the fund s significant accounting policies, please refer to the fund s most recent semiannual or annual holder report. 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 Q1 11/18 This report is for the information of the holders of John Hancock Alternative Asset Allocation Fund. 1/19