iDiversify

Source: Morningstar Direct, as of 12/31/23. This chart is for illustrative purposes only and does not represent the performance of any John Hancock fund. Annualized 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. Diversification does not guarantee a profit or eliminate the risk of a loss. Past performance does not guarantee future results.

Sharpe ratio is a measure of excess return per unit of risk, as defined by standard deviation. A higher Sharpe ratio suggests better risk-adjusted performance.

The federal funds rate is the interest rate at which a depository institution lends funds maintained at the U.S. Federal Reserve to another depository institution overnight.

Foreign equities are represented by the MSCI Europe, Australasia, and Far East (EAFE) Index, which tracks the performance of publicly traded large- and mid-cap stocks of companies in those regions. Large blend is represented by the S&P 500 Index, which tracks the performance of 500 of the largest publicly traded companies in the United States. Large-, mid-, and small-cap growth and value stocks are represented by the Russell 1000 Growth Index, the Russell 1000 Value Index, the Russell Midcap Growth Index, the Russell Midcap Value Index, the Russell 2000 Growth Index, and the Russell 2000 Value Index, respectively. These indexes track the performance of publicly traded large-, mid-, or small-cap companies in the United States; growth indexes track those companies with higher price-to-book ratios and higher forecasted growth values; and value indexes track those companies with lower price-to-book ratios and lower forecasted growth values. Diversified equities are represented by an equal-weighted blend of all eight categories shown in the chart above. Standard deviation is a statistical measure of the historic volatility of a portfolio. It measures the fluctuation of a fund’s periodic returns from the mean or average. The larger the deviation, the larger the standard deviation and the higher the risk. Risk-adjusted return is a measure of excess return per unit of risk, as defined by standard deviation. A higher risk-adjusted return suggests better risk-adjusted performance.

10-year U.S. Treasuries are measured by the Intercontinental Exchange (ICE) Bank of America (BofA) 10-year U.S. Treasury Index, which is a one-security index, rebalanced monthly, comprising the most recently issued 10-year U.S. Treasury note. Bank loans are measured by the Credit Suisse  Leveraged Loan Index, which tracks the U.S. dollar-denominated, non-investment-grade leveraged loan market. Cash is represented by the three-month U.S. Treasury bill, published by the U.S. Federal Reserve. Corporate (Corp.) bonds are measured by the Bloomberg Barclays U.S. Corporate Index, which tracks the investment-grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. Foreign bonds are represented by the FTSE World Government Bond ex-U.S. Index, which measures the performance of fixed-rate, local currency, investment-grade sovereign bonds, excluding the United States. Government (Gov’t) bonds are represented by the Bloomberg Barclays U.S. Government Bond Index, which tracks the performance of U.S. Treasury and government agency bonds. High yield is measured by the Intercontinental Exchange (ICE) Bank of America (BofA) U.S. High Yield Master II Index, which tracks the performance of globally issued, U.S. dollar-denominated high-yield bonds. Municipal (Muni) bonds are represented by the Bloomberg Barclays Municipal Bond Index, which tracks the performance of the U.S. investment-grade tax-exempt bond market. Diversified income reflects an equal-weighted blend of all nine categories shown in the chart, rebalanced quarterly. Standard deviation is a statistical measure of the historic volatility of a portfolio. It measures the fluctuation of a fund’s periodic returns from the mean or average. The larger the deviation, the larger the standard deviation and the higher the risk. Risk-adjusted return is a measure of excess return per unit of risk, as defined by standard deviation. A higher risk-adjusted return suggests better risk-adjusted performance. 

Buy/write is represented by the Cboe/S&P 500 BuyWrite Index (BXM), which tracks the performance of a hypothetical buy/write strategy on the S&P 500 Index. Commodities are represented by the Morningstar Long-Only Commodity Trust Index, a fully collateralized commodity futures index that is long on all eligible commodities. Emerging-market debt is measured by the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks the performance of U.S. dollar-denominated Brady bonds, Eurobonds, and traded loans issued by sovereign and quasisovereign entities; the index caps its exposure to countries with larger amounts of outstanding debt. Global real estate is represented by the Morningstar World Real Estate Index, which tracks the performance of mortgage companies, property management companies, and real estate investment trusts. Long/short equity is represented by the Morningstar U.S. open-end long/short equity fund category, a collection of funds that holds sizable stakes in both long and short positions in equities and related derivatives; some funds that fall into this category will shift their net long or short exposures depending on their managers’ macro outlook or the opportunities they uncover through bottom-up research. Market neutral is represented by the Morningstar U.S. market neutral fund category, a collection of funds that attempts to reduce systematic risk created by factors such as exposures to sectors, market cap ranges, investment styles, currencies, and/or countries; the funds try to achieve this by matching short positions within each area against long positions, and these strategies are often managed as beta neutral, dollar neutral, or sector neutral. Precious metals are represented by the Morningstar Precious Metals Index, which is a fully collateralized precious metals futures index that is long on all eligible precious metals. Diversified alternatives are represented by an equal weighting of the seven indexes shown in the table. Standard deviation is a statistical measure of the historic volatility of a portfolio. It measures the fluctuation of a fund’s periodic returns from the mean or average. The larger the deviation, the larger the standard deviation and the higher the risk. Risk-adjusted return is a measure of excess return per unit of risk, as defined by standard deviation. A higher risk-adjusted return suggests better risk-adjusted performance.