Diversified Macro Fund
Data updated: 2026-09-25
C000213577 — Diversified Macro Fund. Ultra-Short Treasury / Sovereign Bond · $1.17B AUM · 1.25% expense ratio. Holdings, fees, performance and SEC filings.
C000213577 Fund Overview
Diversified Macro Fund is a US mutual fund managed by John Hancock Investment Trust, categorised as Ultra-Short Treasury / Sovereign Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: John Hancock Investment Trust
- Category: Ultra-Short Treasury / Sovereign Bond
- Assets under management: $1.17B
- 1-year return: 7.5%
- SEC CIK: 0000022370
- SEC series ID: S000066059
- Share class ID: C000213577
C000213577 Investment Objective and Strategy
Diversified Macro Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by John Hancock Investment Trust.
Investment objective
To seek long-term capital appreciation.
Principal investment strategy
The fund pursues its investment objective by utilizing a multi-asset, quantitatively driven investment strategy that seeks to provide exposure to diversified sources of return. The funds investment strategy is an active, long and short strategy that utilizes fundamental and price-based indicators to establish return forecasts across a broad range of asset classes globally. The investment strategy is expected to incorporate a variety of directional (market specific) and cross sectional (multiple market) sub-models, currently including models that generate macro fundamental forecasts, assess yield and earnings differentials, compare current valuations relative to historic fair value, and analyze directional price trends across markets. The investment strategy utilizes multiple alpha sources adapted to different market regimes and price behavior.
The manager will allocate the funds assets across a range of asset classes comprising equities, fixed income, foreign currencies, and commodities. Exposure to these asset classes will be implemented by investing in derivative instruments, including futures (including equity index futures, interest rate futures, bond futures and commodity futures) and foreign currency forward contracts. Assets classes, markets and contracts included in the investment strategy will be added, removed or modified as new and existing sub-models and alpha sources are updated from time to time. Quantitative risk management and portfolio construction techniques will be employed to control exposure across individual markets and sectors in an effort to enhance returns as well as to maintain the funds diversification and volatility objectives.
The fund is actively managed and the funds asset class exposures will vary over time based on the managers proprietary investment models and, in part, on maintaining portfolio diversification. The fund, on average, will target a long-term (i.e., a variable multi-year period) annualized volatility of approximately 8%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index. The funds actual or realized volatility level for longer or shorter periods of time may be materially higher or lower depending on market conditions. The fund is generally intended to have a low correlation to the equity and bond markets. The fund is not designed to match the performance of any hedge fund index or benchmark and may be characterized as macro or multi-asset in nature.
The funds use of derivatives will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an instrument and results in increased volatility, which means the fund will have the potential for greater gains as well as the potential for greater losses than if the fund does not use instruments that have a leveraging effect. Due to the funds use of derivative instruments such as futures, foreign currency futures and forward contracts, a significant portion of the funds assets will be invested directly or indirectly in money market instruments, which may include U.S. Government securities, U.S. Government agency securities, overnight and/or fixed-term repurchase agreements, money market mutual fund shares and cash and cash equivalents for use as margin or collateral for these derivative instruments.
Such investments may generate income for the fund. Investment in the Subsidiary . The fund may gain exposure to the commodities markets by investing up to 25% of its total assets in a wholly-owned subsidiary of the fund organized as a company under the laws of the Cayman Islands: John Hancock Diversified Macro Offshore Subsidiary Fund, Ltd. (the Subsidiary). The Subsidiary is advised by the subadvisor, under the supervision of the advisor, and seeks to gain commodities exposure. The Subsidiary primarily obtains its commodity exposure by investing in commodity-linked derivative instruments, which may include but are not limited to total return swaps, commodity (U.S. or foreign) futures and commodity-linked notes. Neither the fund nor the Subsidiary intends to invest directly in physical commodities.
The Subsidiary may also invest in other instruments, including fixed-income securities, either as investments or to serve as margin or collateral for its swap positions, and foreign currency transactions (including forward contracts).
C000213577 Holdings
Top 10 holdings of Diversified Macro Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| United States Treasury Bills | 14.58% |
| United States Treasury Bills | 14.54% |
| United States Treasury Bills | 14.12% |
| United States Treasury Bills | 13.71% |
| United States Treasury Bills | 13.27% |
| Low Su Gasoil G 0926 | 0.35% |
| 3 Month Sofr Future Dec27 | 0.28% |
| FTSE 100 Idx Fut 0926 | 0.24% |
| Sold USD /Bought JPY | 0.19% |
| Ny Harb Ulsd Fut 0826 | 0.18% |
C000213577 Portfolio Allocation
Asset-class allocation of Diversified Macro Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 70.2% |
| Derivatives | 0.5% |
| Real Estate | 0.4% |
C000213577 Performance
Total returns for C000213577 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| YTD | 8.8% |
| 1 year | 7.5% |
| 3 years (annualised) | 1.5% |
| 5 years (annualised) | 2.9% |
C000213577 Risk Information
Risk metrics for C000213577, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 7.4%
C000213577 Costs and Fees
C000213577 costs about $125 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.25%
- Gross expense ratio: 1.26%
- Portfolio turnover: 0%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
C000213577 Cashflows
Over the 12 months to 2026-04, Diversified Macro Fund had net outflows of $515.53M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2026-04 | −$4.73M |
| 2026-03 | −$11.74M |
| 2026-02 | −$1.95M |
| 2026-01 | −$57.50M |
| 2025-12 | −$56.54M |
| 2025-11 | −$91.39M |
C000213577 Debt Constituents
Largest debt holdings of Diversified Macro Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| United States Treasury Bills | 14.58% |
| United States Treasury Bills | 14.54% |
| United States Treasury Bills | 14.12% |
| United States Treasury Bills | 13.71% |
| United States Treasury Bills | 13.27% |
C000213577 Prospectus and SEC Filings
Official Diversified Macro Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2026-02-25
- Prospectus (485BPOS) — filed 2025-02-26
- Prospectus supplement (497) — filed 2024-03-05
- Portfolio holdings (N-PORT) — filed 2026-09-25
- Portfolio holdings (N-PORT) — filed 2026-06-25
- Portfolio holdings (N-PORT) — filed 2026-03-30
- Annual census (N-CEN) — filed 2026-01-09
- Annual census (N-CEN) — filed 2025-01-08
Related Funds
Other Ultra-Short Treasury / Sovereign Bond funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.