Multifactor ETFs

1 Relative price as measured by the price-to-book ratio; value stocks are those with lower price-to-book ratios. 2 "The Cross-Section of Expected Stock Returns," Journal of Finance, June 1992. 3 Profitability is a measure of current profitability, based on information from individual companies' income statements. 4 Robert Novy-Marx provides consulting services to Dimensional Fund Advisors LP. 5 A premium represents the excess return that securities with particular characteristics have historically generated. The chart above shows historical geometric mean performance for different groupings of stocks within the broad equity universe. This universe, or market, includes stocks listed on the NYSE, AMEX, and NASDAQ exchanges. The research does not portray results of indexes. T-bill data is from Morningstar, Ibbotson. In order to assess returns of stocks with different characteristics, researchers Eugene Fama and Kenneth French grouped stocks according to size, relative price, and profitability. For groupings based on company size, stocks were ranked by market capitalization, where small cap represents stocks of companies in the bottom 30% of the universe and large cap represents stocks of companies in the top 30% of the universe. For groupings based on relative price, stocks were ranked by book-to-market equity ratios, where value represents stocks of companies in the top 30% of the universe and growth represents stocks of companies in the bottom 30% of the universe. For groupings based on profitability, stocks were ranked by operating profitability (annual revenues minus the cost of goods sold, interest expense, and selling, general, and administrative expenses, divided by book equity), where high profitability represents stocks of companies in the top 30% of the universe and low profitability represents stocks of companies in the bottom 30% of the universe. Drs. Fama and French are members of the Board of Directors of the general partner and provide consulting services to Dimensional Fund Advisors LP. Diversification does not guarantee a profit or eliminate the risk of a loss. Selection of other periods may produce different results, including losses. Past performance does not guarantee future results.

Alpha measures the difference between an actively managed fund’s return and that of its benchmark index. An alpha of 3, for example, indicates the fund’s performance was 3% better than that of its benchmark (or expected return) over a specified period of time.

This chart is for illustrative purposes only and does not represent the performance of any John Hancock fund. Morningstar, as of 12/31/23. Callan chart is from 2020 to 2023. Size is represented by the Russell 1000 Size Factor Index, which tracks the performance of stocks displaying smaller-size characteristics. Value is represented by the Russell 1000 Value Factor Index, which tracks the performance of stocks displaying lower valuation characteristics. Volatility is represented by the Russell 1000 Volatility Factor Index, which tracks the performance of stocks displaying lower volatility characteristics. Quality is represented by the Russell 1000 Quality Factor Index, which tracks the performance of stocks displaying higher-quality characteristics. Momentum is represented by the Russell 1000 Momentum Factor Index, which tracks the performance of stocks displaying momentum characteristics. Annual returns are based on calendar years. Indexes are unmanaged and do not take transaction costs or fees into consideration. It is not possible to invest directly in an index. Performance figures assume reinvestment of dividends and capital gains. Certain returns shown may reflect hypothetical historical performance. Past performance does not guarantee future results. 

6 The John Hancock Dimensional Large Cap Index is a rules-based index of large-cap U.S. stocks that have been selected based on sources of expected returns. Securities eligible for inclusion in the index are classified according to their market capitalization, as defined by free-float market cap; relative price, as defined by price/book; and profitability, as defined by operating income over book, and are weighted accordingly in favor of smaller, less expensive, more profitable companies. The index is reconstituted and rebalanced on a semiannual basis. Index performance assumes reinvestment of dividends and, unless otherwise indicated, does not reflect the management fees, operating expenses, transaction costs, and other expenses that apply to an ETF. It is not possible to invest directly in an index. Past performance does not guarantee future results. 7 Index Memory is a registered trademark of Dimensional Fund Advisors. Dimensional Fund Advisors LP receives compensation from John Hancock in connection with licensing rights to the John Hancock Dimensional indexes. Neither John Hancock Investment Management LLC nor Dimensional Fund Advisors LP guarantees the accuracy and/or completeness of an index (each an underlying index) or any data included therein, and neither John Hancock Investment Management LLC nor Dimensional Fund Advisors LP shall have any liability for any errors, omissions, or interruptions therein. Neither John Hancock Investment Management LLC nor Dimensional Fund Advisors LP makes any warranty, express or implied, as to results to be obtained by a fund, owners of the shares of a fund, or any other person or entity from the use of an underlying index, trading based on an underlying index, or any data included therein, either in connection with a fund or for any other use. Neither John Hancock Investment Management LLC nor Dimensional Fund Advisors LP makes any express or implied warranties, and expressly disclaims all warranties, of merchantability or fitness for a particular purpose or use with respect to an underlying index or any data included therein. Without limiting any of the foregoing, in no event shall either John Hancock Investment Management LLC or Dimensional Fund Advisors LP have any liability for any special, punitive, direct, indirect, or consequential damages, including lost profits, arising out of matters relating to the use of an underlying index, even if notified of the possibility of such damages.

All funds may experience periods of negative performance.

Investing involves risks, including the potential loss of principal. There is no guarantee that a fund’s investment strategy will be successful. Large company stocks could fall out of favor. The stock prices of midsize and small companies can change more frequently and dramatically than those of large companies, and value stocks may decline in price. A portfolio concentrated in one industry or sector or that holds a limited number of securities may fluctuate more than a diversified portfolio. Shares may trade at a premium or discount to their NAV in the secondary market, and a fund’s holdings and returns may deviate from those of its index. These variations may be greater when markets are volatile or subject to unusual conditions. Errors in the construction or calculation of a fund’s index may occur from time to time. Please see the funds’ prospectuses for additional risks. This material is not intended to be, nor shall it be interpreted or construed as, a recommendation or providing advice, impartial or otherwise. John Hancock Investment Management and its representatives and affiliates may receive compensation derived from the sale of and/or from any investment made in its products and services. John Hancock ETF shares are bought and sold at market price (not NAV), and are not individually redeemed from the fund. Brokerage commissions will reduce return.