Annual report

John Hancock

ETFs

Multifactor

April 30, 2022

A message to shareholders

Dear shareholder,

Although global equities performed quite well through mid-November, the major world indexes nonetheless finished the 12 months ended April 30, 2022, in negative territory. The initial gains reflected the backdrop of steady economic growth, robust corporate earnings, and supportive central bank policy that was in place throughout most of 2021. The picture changed in late November, however, as rising inflation prompted the U.S. Federal Reserve and other central banks to announce plans to tighten monetary policy. The conflict between Russia and Ukraine in February 2022 further weighed on sentiment by fueling fears that inflation could accelerate even more quickly than expected.

While stocks experienced a relief rally in the second half of March, the leading indexes gave back all of the gains in April and ultimately finished the month at or near their lows for the period. Growth stocks were especially poor performers, while the value style held up better due in part to the heavy representation of commodity-related companies in the category. Emerging-market equities were a notable laggard at the regional level, while the United States and Canada outperformed.

In these uncertain times, your financial professional can assist with positioning your portfolio so that it’s sufficiently diversified to help meet your long-term objectives and to withstand the inevitable bouts of market volatility along the way.

On behalf of everyone at John Hancock Investment Management, I’d like to take this opportunity to welcome new shareholders and thank existing shareholders for the continued trust you’ve placed in us.

Sincerely,

Andrew G. Arnott
President and CEO,
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe

This commentary reflects the CEO’s views as of this report’s period end and are subject to change at any time. Diversification does not guarantee investment returns and does not eliminate risk of loss. All investments entail risks, including the possible loss of principal. For more up-to-date information, you can visit our website at jhinvestments.com.

John Hancock

Multifactor ETFs

Table of contents

2	Multifactor exchange-traded funds (ETFs) at a glance
3	Management’s discussion of fund performance
8	Multifactor Consumer Discretionary ETF
9	Multifactor Consumer Staples ETF
10	Multifactor Developed International ETF
11	Multifactor Emerging Markets ETF
12	Multifactor Energy ETF
13	Multifactor Financials ETF
14	Multifactor Healthcare ETF
15	Multifactor Industrials ETF
16	Multifactor Large Cap ETF
17	Multifactor Materials ETF
18	Multifactor Media and Communications ETF
19	Multifactor Mid Cap ETF
20	Multifactor Small Cap ETF
21	Multifactor Technology ETF
22	Multifactor Utilities ETF
23	Your expenses
25	Fund’s investments
78	Financial statements
91	Financial highlights
99	Notes to financial statements
113	Report of independent registered public accounting firm
114	Tax information
115	Statement regarding liquidity risk management
116	Trustees and Officers
119	More information

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Multifactor exchange-traded funds (ETFs) at a glance

Many traditional indexes and index funds are weighted by market capitalization, a bias that can expose investors to certain risks and potentially reduce returns. Strategic beta strategies such as John Hancock Multifactor ETFs offer a different approach. Each ETF seeks to improve on cap-weighted strategies by tracking an index that combines active management insight with the discipline of a rules based approach.

STRATEGIC BETA¹: STRIKING A BALANCE BETWEEN ACTIVE AND PASSIVE INVESTING

PHILOSOPHY BACKING INDEX DESIGN

According to Dimensional Fund Advisors, subadvisor for all John Hancock Multifactor ETFs, there are four key factors that drive higher expected returns, and these factors guide Dimensional’s index construction and semiannual reconstitution.

Market

Equity premium—stocks over bonds

Company size

Small-cap premium—small company stocks over large company stocks

Relative price²

Value premium—value stocks over growth stocks

Profitability³

Profitability premium—stocks of highly profitable companies over stocks of less profitable companies

To be considered a true factor, a premium must be sensible, persistent across time periods, pervasive across markets, robust in data, and cost effective.

WHY MULTIFACTOR?

Individual factors can be volatile: there’s no telling which will be the best performing from year to year. Adopting a multifactor approach is one way investors can pursue more consistent—and more attractive—risk-adjusted returns.

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Discussion of fund performance

Could you tell us about your investment philosophy and how it drives the composition of the ETFs you manage?

We’ve identified four characteristics, or dimensions, of expected returns that academic research has shown to account for most of the variation in historical asset returns and that we believe will account for most of the variation in future returns. These dimensions are the overall market, company size, relative price, and profitability.

The overall market dimension reflects the excess return over the risk-free rate, which is typically measured by short-term U.S. Treasury bills, that market participants demand for investing in a broadly diversified portfolio of equity securities without any style or market capitalization bias. That premium is called the equity premium.

The company size dimension reflects the excess return that investors demand for investing in small-capitalization stocks relative to large-capitalization stocks. The premium associated with this dimension is the small-cap, or size, premium.

The relative price dimension reflects the excess return that investors expect from investing in low relative price, or value, stocks—as measured, for instance, by their price-to-book ratios—in comparison with high relative price, or growth, stocks. The premium associated with this dimension is the value premium.

Finally, the profitability dimension provides a way to discern differences in expected returns of companies with similar price-driven characteristics. Our research shows that if two companies trade at the same relative price, the one with higher profitability should have a higher expected return over time. The premium associated with this dimension is called the profitability premium.

Relative to a cap-weighted measure of the market, we believe that incorporating the four dimensions of expected returns—market, company size, relative price, and profitability—into a single investment strategy offers the potential for outperformance over time, and an ETF is a vehicle well suited to our systematic and transparent investment approach. The indexes developed for John Hancock Multifactor ETFs are designed to capture these dimensions over time, and the funds are, in turn, designed to track their respective indexes.

Theoretical and empirical research suggests that investors can systematically pursue higher expected returns by targeting the size, relative price, and profitability dimensions in equity markets. We integrate these dimensions to emphasize stocks with smaller market capitalizations, lower relative prices, and higher profitability.

What drives changes to the composition of the funds?

Changes are made to the funds as a result of regularly scheduled reconstitutions, a semiannual process by which the list of stocks and their weights in each index are updated, as well as any unscheduled changes to the index driven by company events. Reconstitution ensures that the indexes that the funds track maintain their intended exposure to the dimensions of expected returns. In addition, we impose a maximum issuer cap in each index at the time of reconstitution to control stock-specific risk.

How did the broad equity market perform during the 12 months ended April 30, 2022?

The U.S. market had mixed returns for the period but outperformed both developed and emerging markets. Along the market capitalization dimension, U.S. small caps underperformed large caps, while mid caps outperformed small caps and underperformed large caps. Along the relative price dimension, U.S. large-cap value stocks outperformed large-cap growth stocks and U.S. small-cap value outperformed small-cap growth. Along the profitability dimension, stocks with higher profitability outperformed stocks with lower profitability among both large and small caps.

Most developed and emerging-market currencies depreciated relative to the U.S. dollar, and currency movements had a negative impact on the U.S. dollar-denominated returns of the respective markets.

JOHN HANCOCK MULTIFACTOR CONSUMER DISCRETIONARY ETF (JHMC)

On a NAV basis, the fund outperformed the Russell 1000 Consumer Discretionary Index, a cap-weighted benchmark used as a proxy for the consumer discretionary sector of the U.S. stock market. The fund’s emphasis on stocks with smaller market capitalizations contributed positively to relative performance, as these stocks outperformed. The fund’s focus on the consumer discretionary sector also contributed positively to relative performance as stocks held by the index outside of the consumer discretionary sector underperformed.

Compared with its benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to specialty retail, and hotels, restaurants, and leisure. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition

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included increased weights in Lululemon Athletica, Inc. and decreased weights in Amazon.com, Inc., O’Reilly Automotive, Inc. and Lowe’s Companies, Inc.

JOHN HANCOCK MULTIFACTOR CONSUMER STAPLES ETF (JHMS)

On a NAV basis, the fund underperformed the Russell 1000 Consumer Staples Index, a cap-weighted benchmark used as a proxy for the consumer staples sector of the U.S. stock market. The fund’s emphasis on stocks with smaller market capitalizations detracted from relative performance, as these stocks underperformed.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to food products and beverages. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in General Mills, Inc. and The Kroger Company, and decreased weights in Walmart, Inc. and Archer-Daniels-Midland Company. We sold the fund’s position in Walmart prior to period end.

JOHN HANCOCK MULTIFACTOR DEVELOPED INTERNATIONAL ETF (JHMD)

On a NAV basis, the fund outperformed the MSCI EAFE Index, a cap-weighted benchmark used as a proxy for developed ex-U.S. stock markets. With low relative price (value) stocks outperforming high relative price (growth) stocks, the fund’s emphasis on value stocks contributed positively to relative performance. On a country basis, selection in Japan and Netherlands contributed positively to relative performance.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest sector exposures were to industrials, financials, and consumer discretionary. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in BT Group PLC and Veolia Environnement S.A., and decreased weights in Toyota Motor Corp. and AstraZeneca PLC.

JOHN HANCOCK MULTIFACTOR EMERGING MARKETS ETF (JHEM)

On a NAV basis, the fund outperformed the MSCI Emerging Markets Index, a cap-weighted benchmark used as a proxy for emerging markets. With low relative price (value) stocks outperforming high relative price (growth) stocks, the fund’s emphasis on value stocks contributed positively to relative performance. On a country basis, the fund’s underweight in China and Russia also contributed to relative performance, as both countries underperformed over the period.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest sector exposures were to financials, information technology, and materials. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included an increased weight in Reliance Industries, Ltd. and decreased weights in NetEase, Inc., Tencent Holdings, Ltd., and Taiwan Semiconductor Manufacturing Company, Ltd.

JOHN HANCOCK MULTIFACTOR ENERGY ETF (JHME)

On a NAV basis, the fund outperformed the Russell 1000 Energy Index, a cap-weighted benchmark used as a proxy for the energy sector of the U.S. stock market. The fund’s emphasis on stocks with higher profitability contributed positively to relative performance, as these stocks outperformed for the period. The fund’s focus on the energy sector also contributed positively to relative performance as stocks held by the index outside of the energy sector underperformed.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to oil, gas, and consumable fuels and energy equipment and services. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Valero Energy Corp. and Baker Hughes Company, and decreased weights in EOG Resources, Inc. and Pioneer Natural Resources Company.

JOHN HANCOCK MULTIFACTOR FINANCIALS ETF (JHMF)

On a NAV basis, the fund underperformed the Russell 1000 Financials Index, a cap-weighted benchmark used as a proxy for the financials sector of the U.S. stock market. The fund holds financials sector companies involved in the IT services industry, which aren’t included in the benchmark. The fund’s inclusion of these companies detracted from relative performance, as those stocks generally underperformed other financials sector stocks.

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JOHN HANCOCK MULTIFACTOR ETFS | ANNUAL REPORT

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to banks, insurance, and capital markets. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in S&P Global, Inc. and Visa, Inc., and decreased weights in Prudential Financial, Inc. and CME Group, Inc.

JOHN HANCOCK MULTIFACTOR HEALTHCARE ETF (JHMH)

On a NAV basis, the fund underperformed the Russell 1000 Health Care Index, a cap-weighted benchmark used as a proxy for the healthcare sector of the U.S. stock market. The fund’s emphasis on stocks with smaller market capitalizations detracted from relative performance, as these stocks underperformed.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to healthcare providers and services, pharmaceuticals, and healthcare equipment and supplies. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Moderna, Inc., Vertex Pharmaceuticals, Inc., and Centene Corp., and a decreased weight in UnitedHealth Group, Inc. .

JOHN HANCOCK MULTIFACTOR INDUSTRIALS ETF (JHMI)

On a NAV basis, the fund outperformed the Russell 1000 Industrials Index, a cap-weighted benchmark used as a proxy for the industrials sector of the U.S. stock market. The fund’s emphasis on stocks with smaller market capitalizations contributed positively to relative performance, as these stocks outperformed. The fund’s emphasis on stocks with higher profitability also contributed positively to relative performance, as these stocks outperformed for the period. Additionally, the fund’s focus on the industrials sector contributed positively to relative performance as stocks held by the index outside of the industrials sector underperformed.

Compared with the benchmark, the fund emphasizes stocks with lower relative price, smaller market capitalization, and higher profitability. In absolute terms, the fund’s largest industry exposures were to machinery and aerospace and defense. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition for the period included decreased weights in Trane Technologies PLC, Carrier Global Corp., Paychex, Inc., and Paccar, Inc.

JOHN HANCOCK MULTIFACTOR LARGE CAP ETF (JHML)

On a NAV basis, the fund outperformed the Russell 1000 Index, a cap-weighted benchmark used as a proxy for the broad large-cap U.S. stock market. The fund’s emphasis on stocks with higher profitability contributed positively to relative performance, as these stocks outperformed for the period.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest sector exposures were to information technology, healthcare, and financials. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Tesla, Inc., Advanced Micro Devices, Inc., and UnitedHealth Group, Inc., and a decreased weight in Amazon.com, Inc. 

JOHN HANCOCK MULTIFACTOR MATERIALS ETF (JHMA)

On a NAV basis, the fund underperformed the Russell 1000 Basic Materials Index, a cap-weighted benchmark used as a proxy for the materials sector of the U.S. stock market. The fund’s emphasis on stocks with higher profitability detracted from relative performance, as these stocks underperformed for the period.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to chemicals and metals and mining. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Cleveland-Cliffs, Inc., The Mosaic Company, and CF Industries Holdings, Inc., and a decreased weight in PPG Industries, Inc.

JOHN HANCOCK MULTIFACTOR MEDIA AND COMMUNICATIONS ETF (JHCS)

On a NAV basis, the fund underperformed the Russell 1000 Telecommunications Index, a cap-weighted benchmark used as a proxy for the telecommunication sector of the U.S. stock market. The fund holds companies involved in the media, entertainment, interactive media and services, diversified telecommunication services, and wireless telecommunication services industries. The benchmark contains only companies in the diversified telecommunication services and the wireless telecommunication services industries. The

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fund’s greater exposure to securities outside of the telecommunication services industries detracted from relative performance, as those stocks generally underperformed relative to telecommunication services stocks.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to media and entertainment. Notable changes in composition for the period include increased weights in Verizon Communications, Inc., Paramount Global, and T-Mobile US, Inc., and a decreased weight in Electronic Arts, Inc.

JOHN HANCOCK MULTIFACTOR MID CAP ETF (JHMM)

On a NAV basis, the fund outperformed the Russell Midcap Index, a cap-weighted benchmark used as a proxy for the broad mid-cap U.S. stock market. The fund’s emphasis on stocks with higher profitability contributed positively to relative performance, as these stocks outperformed. With low relative price (value) mid-cap stocks outperforming high relative price (growth) mid-cap stocks, the fund’s greater emphasis on value stocks also contributed positively to relative performance.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest sector exposures were to information technology, industrials, and financials. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Cleveland-Cliffs, Inc. and Occidental Petroleum Corp., and decreased weights in Palo Alto Networks, Inc. and Pioneer Natural Resources Company. We sold the fund’s positions in Palo Alto Networks and Pioneer Natural Resources prior to period end.

JOHN HANCOCK MULTIFACTOR SMALL CAP ETF (JHSC)

On a NAV basis, the fund outperformed the Russell 2000 Index, a cap-weighted benchmark used as a proxy for the broad small-cap U.S. stock market. The fund’s lesser exposure to stocks with the lowest profitability and highest relative prices contributed positively to relative performance, as those stocks underperformed. Additionally, the fund’s lesser exposure to micro caps contributed positively to relative performance, as micro caps underperformed small caps for the period.

Compared with the benchmark, the fund emphasizes stocks with higher profitability. In absolute terms, the fund’s largest sector exposures were to industrials, financials, and information technology. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Shockwave Medical, Inc. and Euronet Worldwide, Inc., and decreased weights in Regal Rexnord Corp. and Tenet Healthcare Corp. We sold the fund’s positions in Regal Rexnord and Tenet Healthcare prior to period end.

JOHN HANCOCK MULTIFACTOR TECHNOLOGY ETF (JHMT)

On a NAV basis, the fund underperformed the Russell 1000 Technology Index, a cap-weighted benchmark used as a proxy for the information technology sector of the U.S. stock market. The fund’s greater emphasis on low relative price (value) stocks detracted from relative performance as these stocks underperformed. The fund’s greater emphasis on stocks with smaller market capitalizations also detracted from relative performance as these stocks underperformed. 

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, its largest industry exposures were to semiconductors and semiconductor equipment and software. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in NVIDIA Corp., Broadcom, Inc., Advanced Micro Devices, Inc., and Apple, Inc.

JOHN HANCOCK MULTIFACTOR UTILITIES ETF (JHMU)

On a NAV basis, the fund outperformed the Russell 1000 Utilities Index, a cap-weighted benchmark used as a proxy for the utilities sector of the U.S. stock market. The fund’s greater emphasis on low relative price (value) stocks contributed positively to relative performance as these stocks outperformed. The fund’s emphasis on stocks with higher profitability also contributed positively to relative performance, as these stocks outperformed.

Compared with the benchmark, the fund emphasizes stocks with lower relative prices, smaller market capitalizations, and higher profitability. In absolute terms, the fund’s largest industry exposures were to electric utilities and multi-utilities. Changes were made to the fund as a result of regularly scheduled reconstitutions during the period. Notable changes in composition included increased weights in Exelon Corp. and Consolidated Edison, Inc., and decreased weights in American Electric Power Company, Inc and Sempra Energy.

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JOHN HANCOCK MULTIFACTOR ETFS | ANNUAL REPORT

Notes about risk

Each fund is subject to various risks as described in the fund’s prospectus. Political tensions and armed conflicts, including the Russian invasion of Ukraine, and any resulting economic sanctions on entities and/or individuals of a particular country could lead such a country into an economic recession. The COVID-19 disease has resulted in significant disruptions to global business activity. A widespread health crisis such as a global pandemic could cause substantial market volatility, exchange-trading suspensions, and closures, which may lead to less liquidity in certain instruments, industries, sectors, or the markets, generally, and may ultimately affect fund performance. For more information, please refer to the “Principal risk” section of the prospectus. Current and future portfolio holdings are subject to change and risk. Investing involves risk, including the potential loss of principal. There is no guarantee that a fund’s investment strategy will be successful and there can be no assurance that active trading markets for shares will develop of be maintained by market makers or authorized participants.

A note about the performance shown on the following pages

Net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing investment company shares as of the close of regular trading hours on the NYSE (see Note 2 to financial statements). Market price is determined using the bid/ask midpoint at 4 p.m., Eastern time, when the NAV is typically calculated. Your returns may differ if you traded shares at other times during the day.

The past performance shown here reflects reinvested distributions and the beneficial effect of any expense reductions, and does not guarantee future results. Returns for periods shorter than one year are cumulative. Shares will fluctuate in value and, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance cited. For the most recent month-end performance, visit jhinvestments.com/etf.

Joel P. Schneider

Multifactor Consumer Discretionary ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-11.87	11.38	10.79	71.45	96.48
Market price	-11.91	11.32	10.79	70.98	96.47
John Hancock Dimensional Consumer Discretionary Index2	-11.54	11.84	11.27	74.96	102.12
Russell 1000 Consumer Discretionary Index3	-14.86	13.78	13.77	90.72	133.98

    

1	From 9-28-15.
2	The John Hancock Dimensional Consumer Discretionary Index is a rules-based index of U.S. consumer discretionary 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.
3	The Russell 1000 Consumer Discretionary Index comprises securities of the Russell 1000 Index classified in the consumer discretionary sector. Effective 9-21-20, the underlying components of the Russell 1000 Consumer Discretionary Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Specialty retail	25.8
Hotels, restaurants and leisure	21.7
Automobiles	10.1
Textiles, apparel and luxury goods	9.7
Multiline retail	8.5
Internet and direct marketing retail	7.6
Food and staples retailing	4.0
Leisure products	2.6
Household durables	2.5
Distributors	1.9
Other	5.6
TOTAL	100.0

Multifactor Consumer Staples ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	13.01	10.21	9.57	62.57	74.54
Market price	13.01	10.21	9.57	62.56	74.56
John Hancock Dimensional Consumer Staples Index2	13.51	10.68	10.05	66.07	79.22
Russell 1000 Consumer Staples Index3	15.77	8.54	8.40	50.66	63.48

    

1	From 3-28-16.
2	The John Hancock Dimensional Consumer Staples Index is a rules-based index of U.S. consumer staples 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.
3	The Russell 1000 Consumer Staples Index comprises securities of the Russell 1000 Index classified in the consumer staples sector. Effective 9-21-20, the underlying components of the Russell 1000 Consumer Staples Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Food products	33.5
Beverages	20.4
Food and staples retailing	18.7
Household products	15.5
Tobacco	6.5
Chemicals	4.5
Household durables	0.8
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Developed International ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-7.45	4.61	5.91	25.29	36.18
Market price	-8.12	4.22	5.70	22.94	34.69
John Hancock Dimensional Developed International Index2	-6.94	5.32	6.66	29.61	41.42
MSCI EAFE Index3	-8.15	4.77	6.17	26.25	37.95

    

1	From 12-15-16.
2	The John Hancock Dimensional Developed International Index is a rules-based index of large-cap stocks in developed markets outside of North America 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.
3	The MSCI Europe, Australasia, and Far East (EAFE) Index tracks the performance of publicly traded large- and mid-cap stocks of companies in those regions.

SECTOR COMPOSITION (% of net assets)
Industrials	17.4
Financials	16.3
Consumer discretionary	11.7
Materials	10.3
Health care	10.2
Consumer staples	9.0
Information technology	6.2
Communication services	5.8
Utilities	5.4
Energy	4.3
Real estate	2.3
Short-term investments and other	1.1
TOTAL	100.0

Multifactor Emerging Markets ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)			Cumulative total returns (%)
	1-Year	Since fund inception1	Since fund inception1
Net asset value	-13.33	3.47	13.04
Market price	-13.65	3.29	12.32
John Hancock Dimensional Emerging Markets Index2	-12.55	4.30	16.34
MSCI Emerging Markets Index3	-18.33	3.02	11.26

    

1	From 9-27-18.
2	The John Hancock Dimensional Emerging Markets Index is a rules-based index of large-cap stocks in emerging markets, which may include frontier markets (emerging markets in an earlier stage of development) 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.
3	The MSCI Emerging Markets (EM) Index tracks the performance of publicly traded large- and mid-cap emerging-market stocks.

SECTOR COMPOSITION (% of net assets)
Financials	24.6
Information technology	17.2
Materials	11.7
Consumer discretionary	10.8
Communication services	9.0
Consumer staples	6.9
Energy	6.0
Industrials	5.3
Health care	3.4
Utilities	3.3
Real estate	1.7
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Energy ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	64.77	5.51	6.27	30.73	44.84
Market price	64.95	5.50	6.29	30.68	45.03
John Hancock Dimensional Energy Index2	65.55	5.92	6.70	33.31	48.50
Russell 1000 Energy Index3	57.31	6.72	7.20	38.43	52.77

    

1	From 3-28-16.
2	The John Hancock Dimensional Energy Index is a rules-based index of U.S. energy 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.
3	The Russell 1000 Energy Index comprises securities of the Russell 1000 Index classified in the energy sector. Effective 9-21-20, the underlying components of the Russell 1000 Energy Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Oil, gas and consumable fuels	88.8
Energy equipment and services	11.0
Short-term investments and other	0.2
TOTAL	100.0

Multifactor Financials ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-5.92	10.03	11.62	61.29	106.36
Market price	-5.94	10.04	11.62	61.31	106.36
John Hancock Dimensional Financials Index2	-5.55	10.50	12.11	64.78	112.42
Russell 1000 Financials Index3	-3.31	13.03	13.72	84.45	133.35

    

1	From 9-28-15.
2	The John Hancock Dimensional Financials Index is a rules-based index of U.S. financial 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.
3	The Russell 1000 Financials Index comprises securities of the Russell 1000 Index classified in the financials sector. Effective 9-21-20, the underlying components of the Russell 1000 Financials Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Banks	26.1
Insurance	25.5
Capital markets	21.5
IT services	12.2
Consumer finance	6.6
Diversified financial services	6.2
Professional services	1.6
Thrifts and mortgage finance	0.2
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Healthcare ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	1.23	12.02	11.40	76.39	103.64
Market price	1.21	11.98	11.40	76.07	103.65
John Hancock Dimensional Healthcare Index2	1.61	12.50	11.89	80.22	109.59
Russell 1000 Health Care Index3	5.34	13.53	12.51	88.59	117.40

    

1	From 9-28-15.
2	The John Hancock Dimensional Healthcare Index is a rules-based index of U.S. healthcare 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.
3	The Russell 1000 Health Care Index comprises securities of the Russell 1000 Index classified in the healthcare sector. Effective 9-21-20, the underlying components of the Russell 1000 Health Care Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Health care providers and services	23.6
Pharmaceuticals	23.2
Health care equipment and supplies	19.5
Biotechnology	16.4
Life sciences tools and services	14.3
Health care technology	2.4
Diversified consumer services	0.6
TOTAL	100.0

Multifactor Industrials ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-6.34	10.86	12.55	67.41	105.51
Market price	-6.35	10.89	12.55	67.65	105.51
John Hancock Dimensional Industrials Index2	-6.21	11.28	13.00	70.62	110.58
Russell 1000 Industrials Index3	-11.29	8.31	10.34	49.04	82.13

    

1	From 3-28-16.
2	The John Hancock Dimensional Industrials Index is a rules-based index of U.S. industrial 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.
3	The Russell 1000 Industrials Index comprises securities of the Russell 1000 Index classified in the industrials sector. Effective 9-21-20, the underlying components of the Russell 1000 Industrials Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Machinery	20.4
Aerospace and defense	12.3
Road and rail	8.9
IT services	7.3
Electrical equipment	6.9
Building products	6.2
Commercial services and supplies	5.7
Air freight and logistics	4.8
Household durables	4.8
Professional services	4.7
Other	18.0
TOTAL	100.0

Multifactor Large Cap ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-1.06	12.66	13.45	81.45	129.72
Market price	-1.03	12.66	13.46	81.46	129.81
John Hancock Dimensional Large Cap Index2	-0.77	13.01	13.81	84.29	134.51
Russell 1000 Index3	-2.10	13.44	14.10	87.85	138.48

    

1	From 9-28-15.
2	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.
3	The Russell 1000 Index tracks the performance of 1,000 publicly traded large-cap companies in the United States.

SECTOR COMPOSITION (% of net assets)
Information technology	23.0
Health care	13.4
Financials	12.9
Industrials	10.7
Consumer discretionary	10.7
Communication services	6.5
Consumer staples	6.3
Materials	4.4
Energy	4.3
Utilities	4.2
Real estate	3.5
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Materials ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	5.19	11.31	13.23	70.87	113.26
Market price	5.09	11.24	13.22	70.31	113.06
John Hancock Dimensional Materials Index2	5.72	11.71	13.67	73.96	118.29
Russell 1000 Basic Materials Index3	8.80	12.62	14.00	81.19	122.20

    

1	From 3-28-16.
2	The John Hancock Dimensional Materials Index is a rules-based index of U.S. materials 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.
3	The Russell 1000 Basic Materials Index comprises securities of the Russell 1000 Index classified in the materials sector. Effective 9-21-20, the underlying components of the Russell 1000 Basic Materials Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Chemicals	49.5
Metals and mining	24.5
Containers and packaging	18.8
Construction materials	4.5
Building products	1.6
Construction and engineering	0.7
Machinery	0.4
TOTAL	100.0

Multifactor Media and Communications ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)			Cumulative total returns (%)
	1-Year	Since fund inception1	Since fund inception1
Net asset value	-27.19	4.32	14.18
Market price	-27.33	4.32	14.17
John Hancock Dimensional Media and Communications Index2	-26.95	4.67	15.39
Russell 1000 Telecommunications Index3	-17.60	-0.48	-1.51

    

1	From 3-12-19.
2	The John Hancock Dimensional Media and Communications Index is a rules-based index of U.S. media and communication 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.
3	The Russell 1000 Telecommunications Index comprises securities of the Russell 1000 Index classified in the telecommunications sector. Effective 9-21-20, the underlying components of the Russell 1000 Telecommunications Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Media	30.1
Entertainment	27.5
Interactive media and services	18.1
Diversified telecommunication services	17.8
Wireless telecommunication services	4.1
Software	2.0
Real estate management and development	0.3
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Mid Cap ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-4.72	10.89	11.81	67.67	108.69
Market price	-4.67	10.90	11.82	67.73	108.79
John Hancock Dimensional Mid Cap Index2	-4.34	11.33	12.28	71.05	114.47
Russell Midcap Index3	-6.10	10.66	11.50	65.94	104.83

    

1	From 9-28-15.
2	The John Hancock Dimensional Mid Cap Index is a rules-based index of mid-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.
3	The Russell Midcap Index tracks the performance of approximately 800 publicly traded mid-cap companies in the United States.

SECTOR COMPOSITION (% of net assets)
Information technology	16.1
Industrials	15.5
Financials	13.7
Consumer discretionary	12.4
Health care	10.8
Materials	7.9
Real estate	6.4
Utilities	5.2
Energy	5.1
Consumer staples	3.7
Communication services	3.1
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Small Cap ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)			Cumulative total returns (%)
	1-Year	Since fund inception1	Since fund inception1
Net asset value	-8.39	6.73	33.86
Market price	-8.36	6.73	33.86
John Hancock Dimensional Small Cap Index2	-8.00	7.18	36.37
Russell 2000 Index3	-16.87	6.65	33.41

    

1	From 11-8-17.
2	The John Hancock Dimensional Small Cap Index is a rules-based index of small-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.
3	The Russell 2000 Index tracks the performance of approximately 2,000 publicly traded small-cap companies in the United States.

SECTOR COMPOSITION (% of net assets)
Industrials	18.1
Financials	16.6
Information technology	14.3
Consumer discretionary	12.7
Health care	9.9
Real estate	9.4
Materials	5.5
Energy	4.1
Utilities	4.0
Consumer staples	2.9
Communication services	2.4
Short-term investments and other	0.1
TOTAL	100.0

Multifactor Technology ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	-6.23	18.72	20.25	135.89	237.08
Market price	-6.25	18.70	20.24	135.68	236.86
John Hancock Dimensional Technology Index2	-5.67	19.19	20.72	140.53	245.83
Russell 1000 Technology Index3	-2.19	22.40	23.05	174.71	292.26

    

1	From 9-28-15.
2	The John Hancock Dimensional Technology Index is a rules-based index of U.S. technology 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.
3	The Russell 1000 Technology Index comprises securities of the Russell 1000 Index classified in the technology sector. Effective 9-21-20, the underlying components of the Russell 1000 Technology Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Semiconductors and semiconductor equipment	33.0
Software	31.5
Technology hardware, storage and peripherals	11.3
IT services	8.2
Electronic equipment, instruments and components	7.5
Communications equipment	5.8
Industrial conglomerates	0.8
Electrical equipment	0.7
Professional services	0.5
Interactive media and services	0.4
Other	0.3
TOTAL	100.0

Multifactor Utilities ETF

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/2022 (%)

Average annual total returns (%)				Cumulative total returns (%)
	1-Year	5-Year	Since fund inception1	5-year	Since fund inception1
Net asset value	12.15	9.09	9.12	54.51	70.20
Market price	12.15	9.09	9.12	54.52	70.23
John Hancock Dimensional Utilities Index2	12.53	9.54	9.60	57.72	74.82
Russell 1000 Utilities Index3	9.99	9.35	8.75	56.38	66.69

    

1	From 3-28-16.
2	The John Hancock Dimensional Utilities Index is a rules-based index of U.S. utility 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.
3	The Russell 1000 Utilities Index comprises securities of the Russell 1000 Index classified in the utility sector. Effective 9-21-20, the underlying components of the Russell 1000 Utilities Index reflect a new company classification methodology. Consequently, the custom blended benchmark’s performance consists of 100% of the prior methodology through 9-18-20 and 100% of the current methodology thereafter.

INDUSTRY COMPOSITION (% of net assets)
Electric utilities	55.9
Multi-utilities	32.7
Gas utilities	4.1
Water utilities	3.7
Independent power and renewable electricity producers	3.5
Short-term investments and other	0.1
TOTAL	100.0

Your expenses

These examples are intended to help you understand your ongoing operating expenses of investing in the fund so you can compare these costs with the ongoing costs of investing in other funds.

Understanding fund expenses

As a shareholder of a fund, you incur two types of costs:

■Transaction costs, which may include creation and redemption fees and brokerage charges.

■Ongoing operating expenses, including management fees, and other fund expenses.

We are presenting only your ongoing operating expenses here.

Actual expenses/actual returns

The first line of each fund in the following table is intended to provide information about a fund’s actual ongoing operating expenses, and is based on the fund’s actual NAV return. It assumes an account value of $1,000.00 on November 1, 2021, with the same investment held until April 30, 2022.

Together with the value of your account, you may use this information to estimate the operating expenses that you paid over the period. Simply divide your account value at April 30, 2022, by $1,000.00, then multiply it by the “expenses paid” from the table. For example, for an account value of $8,600.00, the operating expenses should be calculated as follows:

Hypothetical example for comparison purposes

The second line of each fund in the following table allows you to compare a fund’s ongoing operating expenses with those of any other fund. It provides an example of the fund’s hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed 5% annualized return before expenses (which is not the fund’s actual return). It assumes an account value of $1,000.00 on November 1, 2021, with the same investment held until April 30, 2022. Look in any other fund shareholder report to find its hypothetical example and you will be able to compare these expenses. Please remember that these hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Remember, these examples do not include any transaction costs. A fund charges a transaction fee per creation unit to those creating or redeeming creation units, and those buying or selling shares in the secondary market will incur customary brokerage commissions and charges. Therefore, these examples will not help you to determine the relative total costs of owning different funds. If transaction costs were included, your expenses would have been higher. See the prospectus for details regarding transaction costs.

SHAREHOLDER EXPENSE EXAMPLE CHART

	Account value on 11-1-2021	Ending value on 4-30-2022	Expenses paid during 4-30-20221	Annualized expense ratio
Multifactor Consumer Discretionary ETF
Actual expenses/actual returns	$1,000.00	$820.20	$1.81	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Consumer Staples ETF
Actual expenses/actual returns	$1,000.00	$1,118.10	$2.10	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Developed International ETF
Actual expenses/actual returns	$1,000.00	$892.70	$1.83	0.39%
Hypothetical example for comparison purposes	1,000.00	1,022.90	1.96	0.39%
Multifactor Emerging Markets ETF
Actual expenses/actual returns	$1,000.00	$900.10	$2.31	0.49%
Hypothetical example for comparison purposes	1,000.00	1,022.40	2.46	0.49%

ANNUAL | JOHN HANCOCK MULTIFACTOR ETFS

23

SHAREHOLDER EXPENSE EXAMPLE CHART  (continued)

	Account value on 11-1-2021	Ending value on 4-30-2022	Expenses paid during 4-30-20221	Annualized expense ratio
Multifactor Energy ETF
Actual expenses/actual returns	$1,000.00	$1,336.70	$2.32	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Financials ETF
Actual expenses/actual returns	$1,000.00	$869.90	$1.85	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Healthcare ETF
Actual expenses/actual returns	$1,000.00	$933.90	$1.92	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Industrials ETF
Actual expenses/actual returns	$1,000.00	$883.80	$1.87	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Large Cap ETF
Actual expenses/actual returns	$1,000.00	$907.90	$1.37	0.29%
Hypothetical example for comparison purposes	1,000.00	1,023.40	1.45	0.29%
Multifactor Materials ETF
Actual expenses/actual returns	$1,000.00	$1,036.90	$2.02	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Media and Communications ETF
Actual expenses/actual returns	$1,000.00	$749.20	$1.73	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Mid Cap ETF
Actual expenses/actual returns	$1,000.00	$894.90	$1.93	0.41%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.06	0.41%
Multifactor Small Cap ETF
Actual expenses/actual returns	$1,000.00	$888.60	$1.97	0.42%
Hypothetical example for comparison purposes	1,000.00	1,022.70	2.11	0.42%
Multifactor Technology ETF
Actual expenses/actual returns	$1,000.00	$809.80	$1.79	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%
Multifactor Utilities ETF
Actual expenses/actual returns	$1,000.00	$1,110.40	$2.09	0.40%
Hypothetical example for comparison purposes	1,000.00	1,022.80	2.01	0.40%

    

1	Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

24

JOHN HANCOCK MULTIFACTOR ETFS | ANNUAL

Funds’ investments

MULTIFACTOR CONSUMER DISCRETIONARY ETF

As of 4-30-22

	Shares or Principal Amount	Value
COMMON STOCKS – 99.9%		$16,059,355
(Cost $17,685,532)
Consumer discretionary – 91.0%		14,621,327
Auto components – 0.2%
Fox Factory Holding Corp. (A)	415	33,980
Automobiles – 10.1%
Ford Motor Company	16,292	230,695
General Motors Company (A)	6,542	248,007
Harley-Davidson, Inc.	1,677	61,127
Rivian Automotive, Inc., Class A (A)	370	11,189
Tesla, Inc. (A)	1,180	1,027,494
Thor Industries, Inc.	520	39,806
Distributors – 1.9%
Genuine Parts Company	1,424	185,191
LKQ Corp.	2,291	113,702
Diversified consumer services – 0.4%
Bright Horizons Family Solutions, Inc. (A)	594	67,859
Hotels, restaurants and leisure – 21.7%
Airbnb, Inc., Class A (A)	586	89,781
Booking Holdings, Inc. (A)	79	174,614
Boyd Gaming Corp.	1,136	68,819
Caesars Entertainment, Inc. (A)	1,617	107,175
Carnival Corp. (A)	6,470	111,931
Chipotle Mexican Grill, Inc. (A)	109	158,661
Choice Hotels International, Inc.	290	40,733
Churchill Downs, Inc.	325	65,956
Darden Restaurants, Inc.	1,405	185,081
Domino’s Pizza, Inc.	260	87,880
DraftKings, Inc., Class A (A)	2,308	31,573
Expedia Group, Inc. (A)	865	151,159
Hilton Grand Vacations, Inc. (A)	636	29,784
Hilton Worldwide Holdings, Inc. (A)	1,780	276,416
Hyatt Hotels Corp., Class A (A)	388	36,844
Las Vegas Sands Corp. (A)	1,633	57,857
Light & Wonder, Inc. (A)	549	30,777
Marriott International, Inc., Class A (A)	1,177	208,941
Marriott Vacations Worldwide Corp.	335	50,026
McDonald’s Corp.	1,574	392,178
MGM Resorts International	3,220	132,149
Norwegian Cruise Line Holdings, Ltd. (A)(B)	2,814	56,364
Penn National Gaming, Inc. (A)	1,412	51,637
Planet Fitness, Inc., Class A (A)	629	50,339
Red Rock Resorts, Inc., Class A	450	19,782
Royal Caribbean Cruises, Ltd. (A)	1,703	132,374
SeaWorld Entertainment, Inc. (A)	348	23,469
Starbucks Corp.	2,514	187,645
Texas Roadhouse, Inc.	655	53,926
Vail Resorts, Inc.	343	87,177
Wyndham Hotels & Resorts, Inc.	877	77,141
Wynn Resorts, Ltd. (A)	655	46,164

MULTIFACTOR CONSUMER DISCRETIONARY ETF (continued)

	Shares or Principal Amount	Value
Consumer discretionary (continued)
Hotels, restaurants and leisure (continued)
Yum! Brands, Inc.	1,891	$221,266
Household durables – 2.5%
Garmin, Ltd.	1,347	147,820
Helen of Troy, Ltd. (A)	243	52,126
Tempur Sealy International, Inc.	2,173	58,910
Whirlpool Corp.	776	140,860
Internet and direct marketing retail – 7.6%
Amazon.com, Inc. (A)	333	827,715
Chewy, Inc., Class A (A)(B)	440	12,786
DoorDash, Inc., Class A (A)	466	37,946
eBay, Inc.	4,304	223,464
Etsy, Inc. (A)	946	88,158
Wayfair, Inc., Class A (A)(B)	344	26,467
Leisure products – 2.6%
Brunswick Corp.	949	71,754
Hasbro, Inc.	1,176	103,559
Mattel, Inc. (A)	4,072	98,990
Peloton Interactive, Inc., Class A (A)	1,553	27,271
Polaris, Inc.	791	75,098
YETI Holdings, Inc. (A)	780	38,119
Multiline retail – 8.5%
Dollar General Corp.	1,433	340,380
Dollar Tree, Inc. (A)	2,200	357,390
Kohl’s Corp.	1,695	98,107
Macy’s, Inc.	3,929	94,964
Target Corp.	2,075	474,449
Specialty retail – 25.8%
Advance Auto Parts, Inc.	654	130,558
AutoNation, Inc. (A)	803	93,076
AutoZone, Inc. (A)	134	262,033
Bath & Body Works, Inc.	1,557	82,350
Best Buy Company, Inc.	3,191	286,967
Burlington Stores, Inc. (A)	481	97,912
CarMax, Inc. (A)	1,665	142,824
Carvana Company (A)	232	13,447
Dick’s Sporting Goods, Inc. (B)	792	76,365
Five Below, Inc. (A)	605	95,046
Floor & Decor Holdings, Inc., Class A (A)	954	76,053
GameStop Corp., Class A (A)	485	60,659
Lithia Motors, Inc.	276	78,144
Lowe’s Companies, Inc.	1,429	282,556
O’Reilly Automotive, Inc. (A)	227	137,687
Penske Automotive Group, Inc.	307	32,180
RH (A)	155	52,099
Ross Stores, Inc.	2,611	260,499
The Gap, Inc.	2,708	33,633
The Home Depot, Inc.	2,770	832,108
The TJX Companies, Inc.	5,847	358,304
Tractor Supply Company	1,309	263,698

MULTIFACTOR CONSUMER DISCRETIONARY ETF (continued)

	Shares or Principal Amount	Value
Consumer discretionary (continued)
Specialty retail (continued)
Ulta Beauty, Inc. (A)	664	$263,475
Williams-Sonoma, Inc.	1,019	132,959
Textiles, apparel and luxury goods – 9.7%
Capri Holdings, Ltd. (A)	1,356	64,681
Columbia Sportswear Company	342	28,099
Crocs, Inc. (A)	409	27,170
Deckers Outdoor Corp. (A)	306	81,320
Hanesbrands, Inc.	5,392	71,498
Levi Strauss & Company, Class A	1,137	20,591
Lululemon Athletica, Inc. (A)	1,055	374,135
NIKE, Inc., Class B	3,524	439,443
PVH Corp.	573	41,703
Ralph Lauren Corp.	465	48,518
Skechers USA, Inc., Class A (A)	1,224	46,879
Tapestry, Inc.	3,226	106,200
Under Armour, Inc., Class A (A)	1,602	24,607
Under Armour, Inc., Class C (A)	1,668	23,669
VF Corp.	3,215	167,180
Consumer staples – 5.1%		816,143
Food and staples retailing – 4.0%
Walmart, Inc.	4,168	637,662
Personal products – 1.1%
Coty, Inc., Class A (A)	2,667	21,629
The Estee Lauder Companies, Inc., Class A	594	156,852
Industrials – 3.8%		621,885
Building products – 1.3%
Allegion PLC	972	111,041
Fortune Brands Home & Security, Inc.	1,436	102,315
Commercial services and supplies – 0.4%
Rollins, Inc.	2,060	69,092
Road and rail – 1.7%
Avis Budget Group, Inc. (A)	266	71,200
Lyft, Inc., Class A (A)	1,872	61,027
Uber Technologies, Inc. (A)	4,629	145,721
Trading companies and distributors – 0.4%
SiteOne Landscape Supply, Inc. (A)	436	61,489
SHORT-TERM INVESTMENTS – 0.5%		$81,608
(Cost $81,609)
Short-term funds – 0.5%		81,608
John Hancock Collateral Trust, 0.3773% (C)(D)	1,301	13,009
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2918% (C)	68,599	68,599
Total investments (Multifactor Consumer Discretionary ETF) (Cost $17,767,141) 100.4%		$16,140,963
Other assets and liabilities, net (0.4%)		(71,435)
Total net assets 100.0%		$16,069,528

    

MULTIFACTOR CONSUMER DISCRETIONARY ETF (continued)

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)	Non-income producing security.
(B)	All or a portion of this security is on loan as of 4-30-22.
(C)	The rate shown is the annualized seven-day yield as of 4-30-22.
(D)	Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending.

MULTIFACTOR CONSUMER STAPLES ETF

As of 4-30-22

	Shares or Principal Amount	Value
COMMON STOCKS – 99.9%		$37,623,263
(Cost $33,166,938)
Consumer discretionary – 0.8%		285,440
Household durables – 0.8%
Newell Brands, Inc.	12,330	285,440
Consumer staples – 94.6%		35,647,517
Beverages – 20.4%
Brown-Forman Corp., Class A	896	55,928
Brown-Forman Corp., Class B	8,311	560,494
Constellation Brands, Inc., Class A	4,823	1,186,892
Keurig Dr. Pepper, Inc.	14,741	551,313
Molson Coors Beverage Company, Class B	6,696	362,521
Monster Beverage Corp. (A)	5,047	432,427
PepsiCo, Inc.	13,289	2,281,854
The Coca-Cola Company	34,942	2,257,603
Food and staples retailing – 18.7%
Albertsons Companies, Inc., Class A	4,902	153,335
BJ’s Wholesale Club Holdings, Inc. (A)	4,841	311,518
Casey’s General Stores, Inc.	1,301	261,891
Costco Wholesale Corp.	4,202	2,234,287
Performance Food Group Company (A)	4,290	211,283
Sysco Corp.	9,414	804,709
The Kroger Company	34,796	1,877,592
U.S. Foods Holding Corp. (A)	7,137	268,494
Walgreens Boots Alliance, Inc.	21,920	929,408
Food products – 33.5%
Archer-Daniels-Midland Company	10,442	935,186
Bunge, Ltd.	6,174	698,403
Campbell Soup Company	8,444	398,726
Conagra Brands, Inc.	14,644	511,515
Darling Ingredients, Inc. (A)	6,393	469,182
Flowers Foods, Inc.	8,495	225,287
General Mills, Inc.	25,167	1,780,062
Hormel Foods Corp.	8,953	469,048
Ingredion, Inc.	2,770	235,755
Kellogg Company	13,606	932,011
Lamb Weston Holdings, Inc.	4,697	310,472
McCormick & Company, Inc.	8,169	821,556
Mondelez International, Inc., Class A	16,947	1,092,743
Pilgrim’s Pride Corp. (A)	2,039	57,806

MULTIFACTOR CONSUMER STAPLES ETF (continued)

	Shares or Principal Amount	Value
Consumer staples (continued)
Food products (continued)
Post Holdings, Inc. (A)	2,426	$180,470
The Hershey Company	5,327	1,202,677
The J.M. Smucker Company	3,722	509,653
The Kraft Heinz Company	13,211	563,185
Tyson Foods, Inc., Class A	13,042	1,214,993
Household products – 15.5%
Church & Dwight Company, Inc.	9,480	924,869
Colgate-Palmolive Company	15,404	1,186,878
Kimberly-Clark Corp.	6,309	875,878
Reynolds Consumer Products, Inc.	2,648	78,354
The Clorox Company	3,739	536,434
The Procter & Gamble Company	13,990	2,246,095
Tobacco – 6.5%
Altria Group, Inc.	17,474	971,030
Philip Morris International, Inc.	14,777	1,477,700
Materials – 4.5%		1,690,306
Chemicals – 4.5%
Corteva, Inc.	26,448	1,525,785
The Scotts Miracle-Gro Company	1,583	164,521
SHORT-TERM INVESTMENTS – 0.2%		$68,033
(Cost $68,033)
Short-term funds – 0.2%		68,033
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2918% (B)	68,033	68,033
Total investments (Multifactor Consumer Staples ETF) (Cost $33,234,971) 100.1%		$37,691,296
Other assets and liabilities, net (0.1%)		(23,501)
Total net assets 100.0%		$37,667,795

    

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)	Non-income producing security.
(B)	The rate shown is the annualized seven-day yield as of 4-30-22.

MULTIFACTOR DEVELOPED INTERNATIONAL ETF

As of 4-30-22

	Shares or Principal Amount	Value
COMMON STOCKS - 98.2%		$474,103,536
(Cost $458,091,146)
Australia - 7.0%		33,742,572
Ampol, Ltd.	3,157	75,943
APA Group	71,873	586,870
Aristocrat Leisure, Ltd.	16,385	391,937
ASX, Ltd.	3,680	226,659
Aurizon Holdings, Ltd.	222,528	637,302
Australia & New Zealand Banking Group, Ltd.	61,522	1,193,573

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Australia (continued)
BHP Group, Ltd.	96,514	$3,292,895
BlueScope Steel, Ltd.	50,257	733,589
Brambles, Ltd.	77,558	581,480
CIMIC Group, Ltd. (A)	2,133	33,348
Cochlear, Ltd.	3,240	533,583
Coles Group, Ltd.	30,053	399,379
Commonwealth Bank of Australia	34,454	2,543,475
Computershare, Ltd.	33,384	600,938
Crown Resorts, Ltd. (B)	22,972	210,593
CSL, Ltd.	9,886	1,920,066
Dexus	26,259	208,443
Domino’s Pizza Enterprises, Ltd.	2,556	136,795
EBOS Group, Ltd.	583	16,044
Endeavour Group, Ltd.	70,748	392,161
Evolution Mining, Ltd.	90,669	260,957
Fortescue Metals Group, Ltd.	64,772	995,634
Goodman Group	23,092	393,520
Insurance Australia Group, Ltd.	125,937	406,317
Lendlease Corp., Ltd.	39,955	347,827
Macquarie Group, Ltd.	5,598	823,412
Medibank Private, Ltd.	210,976	479,776
Mineral Resources, Ltd.	9,470	393,966
Mirvac Group	96,918	166,677
National Australia Bank, Ltd.	56,004	1,298,650
Newcrest Mining, Ltd.	14,986	286,267
Northern Star Resources, Ltd.	65,667	458,263
Origin Energy, Ltd.	107,069	520,446
OZ Minerals, Ltd.	19,404	344,736
Qantas Airways, Ltd. (B)	34,540	137,457
QBE Insurance Group, Ltd.	87,105	762,623
Ramsay Health Care, Ltd.	11,049	636,874
REA Group, Ltd.	1,439	132,348
Reece, Ltd.	7,632	94,969
Rio Tinto, Ltd.	16,622	1,332,796
Santos, Ltd.	83,814	476,500
Scentre Group	112,988	240,082
SEEK, Ltd.	9,413	189,844
Sonic Healthcare, Ltd.	38,981	1,017,489
South32, Ltd.	112,439	381,146
Stockland	71,115	210,238
Suncorp Group, Ltd.	72,984	594,385
Tabcorp Holdings, Ltd.	129,998	504,412
Telstra Corp., Ltd.	109,948	315,664
The GPT Group	47,102	170,378
TPG Telecom, Ltd.	9,213	38,498
Transurban Group	39,753	405,112
Treasury Wine Estates, Ltd.	39,796	318,727
Vicinity Centres	75,780	100,975
Wesfarmers, Ltd.	21,523	755,742
Westpac Banking Corp.	79,922	1,355,735
WiseTech Global, Ltd.	3,894	125,274

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Australia (continued)
Woodside Petroleum, Ltd.	29,806	$659,808
Woolworths Group, Ltd.	32,666	893,975
Austria - 0.2%		1,010,619
ANDRITZ AG	2,356	101,307
BAWAG Group AG (B)(C)	758	36,560
CA Immobilien Anlagen AG	1,172	33,383
Erste Group Bank AG	8,179	255,919
Mayr Melnhof Karton AG	449	79,766
OMV AG	4,218	218,484
Raiffeisen Bank International AG	4,776	55,322
Telekom Austria AG (B)	2,788	20,000
Verbund AG	1,135	122,371
voestalpine AG	3,310	87,507
Belgium - 1.0%		4,597,253
Ackermans & van Haaren NV	2,207	396,738
Ageas SA/NV	17,012	823,400
Anheuser-Busch InBev SA/NV (A)	24,961	1,458,827
D’ieteren Group	466	76,199
Elia Group SA/NV	805	128,829
Etablissements Franz Colruyt NV	3,801	140,065
KBC Group NV	8,585	588,870
Proximus SADP	11,458	200,654
Solvay SA	2,998	286,418
UCB SA	1,228	140,430
Umicore SA	5,688	221,601
Warehouses De Pauw CVA	3,485	135,222
Chile - 0.1%		535,425
Antofagasta PLC	27,496	535,425
Denmark - 2.6%		12,590,869
A.P. Moller - Maersk A/S, Series A	85	243,501
A.P. Moller - Maersk A/S, Series B	99	290,346
Carlsberg A/S, Class B	6,728	866,750
Coloplast A/S, B Shares	5,172	703,409
Danske Bank A/S	44,545	689,215
Demant A/S (B)	3,066	136,053
DSV A/S	5,398	895,673
Genmab A/S (B)	4,563	1,621,022
Novo Nordisk A/S, B Shares	33,150	3,818,834
Novozymes A/S, B Shares	15,329	1,074,354
Orsted A/S (C)	5,376	604,517
Pandora A/S	7,335	654,307
Tryg A/S	11,346	271,932
Vestas Wind Systems A/S	27,807	720,956
Finland - 1.4%		6,882,105
Elisa OYJ	9,268	545,181
Fortum OYJ	13,511	226,630
Kesko OYJ, A Shares	8,718	206,014
Kesko OYJ, B Shares	18,996	481,557

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Finland (continued)
Kone OYJ, Class B	10,863	$528,188
Metso Outotec OYJ	47,399	410,429
Neste OYJ	11,574	503,052
Nokia OYJ (B)	147,613	758,456
Nordea Bank ABP	74,817	756,132
Orion OYJ, Class A	1,012	41,210
Orion OYJ, Class B	6,434	254,126
Sampo OYJ, A Shares	7,023	343,848
Stora Enso OYJ, R Shares	57,571	1,147,579
UPM-Kymmene OYJ	12,714	443,154
Wartsila OYJ ABP	29,128	236,549
France - 11.3%		54,618,261
Air Liquide SA	12,056	2,102,874
Airbus SE	13,836	1,540,493
AXA SA (A)	53,004	1,423,636
BNP Paribas SA	25,889	1,357,523
Capgemini SE	13,400	2,772,135
Cie de Saint-Gobain	62,107	3,690,730
Cie Generale des Etablissements Michelin SCA	26,999	3,390,854
Credit Agricole SA	103,420	1,132,052
Danone SA (A)	37,377	2,272,796
Dassault Systemes SE	7,704	345,696
Electricite de France SA	68,903	631,233
Engie SA (A)	163,521	1,953,119
EssilorLuxottica SA	6,018	1,039,916
Hermes International	670	838,638
Kering SA	1,499	811,401
Legrand SA	20,070	1,794,611
L’Oreal SA	2,932	1,079,188
LVMH Moet Hennessy Louis Vuitton SE	6,172	4,033,659
Orange SA	286,318	3,418,616
Pernod Ricard SA	8,520	1,776,513
Safran SA	17,314	1,884,625
Sanofi (A)	21,789	2,325,755
Sartorius Stedim Biotech	1,170	386,210
Schneider Electric SE	6,990	1,015,414
Societe Generale SA	61,291	1,498,148
Teleperformance	3,261	1,178,954
Thales SA	7,126	917,144
TotalEnergies SE	72,483	3,611,105
Veolia Environnement SA (A)	65,497	1,927,781
Vinci SA (A)	25,193	2,467,442
Germany - 8.1%		38,973,353
adidas AG	4,091	836,057
Allianz SE	10,199	2,326,190
BASF SE	26,148	1,390,552
Bayer AG	44,927	2,981,193
Bayerische Motoren Werke AG	21,066	1,744,773
Beiersdorf AG	4,381	442,855
Carl Zeiss Meditec AG, Bearer Shares	1,375	174,647

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Germany (continued)
Continental AG (B)	14,836	$1,033,295
Daimler Truck Holding AG (B)	20,564	559,705
Delivery Hero SE (B)(C)	4,427	158,042
Deutsche Bank AG (B)	148,949	1,512,570
Deutsche Boerse AG	12,282	2,153,437
Deutsche Post AG	24,315	1,049,644
Deutsche Telekom AG	129,867	2,407,147
Deutsche Wohnen SE	4,832	139,111
E.ON SE	142,222	1,489,869
Evonik Industries AG	18,380	484,944
Fresenius Medical Care AG & Company KGaA	20,088	1,259,643
Fresenius SE & Company KGaA	41,341	1,474,109
Hannover Rueck SE	4,320	678,595
Hapag-Lloyd AG (C)	729	294,549
HeidelbergCement AG	13,356	778,609
Henkel AG & Company KGaA	1,967	125,750
Infineon Technologies AG	16,477	477,147
Knorr-Bremse AG	4,137	298,258
Mercedes-Benz Group AG	43,872	3,105,574
Merck KGaA	2,243	418,709
MTU Aero Engines AG	804	164,250
Muenchener Rueckversicherungs-Gesellschaft AG	4,302	1,031,577
Puma SE	5,193	387,210
RWE AG	45,219	1,888,593
SAP SE	11,496	1,183,179
Siemens AG	9,708	1,206,239
Siemens Energy AG	23,211	451,285
Siemens Healthineers AG (C)	3,160	170,883
Symrise AG	7,997	957,114
Volkswagen AG	1,806	398,576
Vonovia SE	22,334	895,328
Zalando SE (B)(C)	11,129	444,145
Hong Kong - 2.7%		12,938,454
AIA Group, Ltd.	312,124	3,092,936
BOC Hong Kong Holdings, Ltd.	98,295	358,921
Budweiser Brewing Company APAC, Ltd. (C)	20,000	50,420
Chow Tai Fook Jewellery Group, Ltd. (B)	117,000	198,028
CK Asset Holdings, Ltd.	136,969	932,195
CK Hutchison Holdings, Ltd.	73,773	519,015
CK Infrastructure Holdings, Ltd.	42,929	289,161
CLP Holdings, Ltd.	193,071	1,882,443
Galaxy Entertainment Group, Ltd.	22,641	131,584
Hang Seng Bank, Ltd.	19,589	348,281
Henderson Land Development Company, Ltd.	93,398	379,132
Hong Kong & China Gas Company, Ltd.	114,065	126,333
Hong Kong Exchanges & Clearing, Ltd.	31,025	1,335,718
Link REIT	50,786	440,793
MTR Corp., Ltd.	40,913	218,223
Orient Overseas International, Ltd.	8,500	238,983

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Hong Kong (continued)
Power Assets Holdings, Ltd.	94,573	$637,024
Sun Hung Kai Properties, Ltd.	41,162	477,136
Swire Properties, Ltd.	78,801	190,621
Techtronic Industries Company, Ltd.	45,577	618,060
Wharf Real Estate Investment Company, Ltd.	99,993	473,447
Ireland - 1.0%		5,004,409
CRH PLC	37,503	1,510,546
DCC PLC	5,940	453,277
Experian PLC	24,230	849,348
Flutter Entertainment PLC (B)	3,129	318,805
James Hardie Industries PLC, CHESS Depositary Interest	11,310	333,876
Kerry Group PLC, Class A	1,699	188,198
Kingspan Group PLC	10,073	946,397
Smurfit Kappa Group PLC	9,413	403,962
Israel - 0.4%		2,157,376
Azrieli Group, Ltd.	399	34,508
Bank Hapoalim BM	29,877	278,782
Bank Leumi Le-Israel BM	58,032	613,048
CyberArk Software, Ltd. (B)	224	35,199
Elbit Systems, Ltd.	545	118,784
ICL Group, Ltd.	19,324	213,275
Israel Discount Bank, Ltd., Class A	23,668	140,951
Mizrahi Tefahot Bank, Ltd.	6,479	241,396
Nice, Ltd. (B)	654	134,517
Teva Pharmaceutical Industries, Ltd. (B)	30,881	275,490
Wix.com, Ltd. (B)	488	36,824
ZIM Integrated Shipping Services, Ltd.	622	34,602
Italy - 2.3%		11,070,106
Amplifon SpA	7,737	311,957
Assicurazioni Generali SpA (A)	25,802	492,679
Atlantia SpA (B)	21,067	507,388
Davide Campari-Milano NV	24,728	281,346
DiaSorin SpA	1,610	212,394
Enel SpA	170,552	1,118,767
Eni SpA	106,639	1,506,359
Ferrari NV	3,241	694,076
FinecoBank Banca Fineco SpA	30,234	425,006
Infrastrutture Wireless Italiane SpA (C)	15,347	164,817
Intesa Sanpaolo SpA	383,737	791,349
Mediobanca Banca di Credito Finanziario SpA	64,172	650,716
Moncler SpA	13,247	702,659
Nexi SpA (B)(C)	7,870	78,226
Poste Italiane SpA (C)	23,037	227,913
PRADA SpA	30,200	188,602
Prysmian SpA	11,022	363,016
Recordati Industria Chimica e Farmaceutica SpA	6,936	336,515
Snam SpA	55,046	303,362
Telecom Italia SpA (A)	1,411,480	414,102

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Italy (continued)
Terna - Rete Elettrica Nazionale	84,905	$695,605
UniCredit SpA (A)	50,950	478,641
UnipolSai Assicurazioni SpA (A)	44,009	124,611
Japan - 21.5%		103,905,157
Acom Company, Ltd.	17,900	46,284
Advantest Corp.	5,100	353,882
Aeon Company, Ltd.	17,600	335,332
AGC, Inc.	25,100	947,353
Aisin Corp.	19,500	568,926
Ajinomoto Company, Inc.	13,600	355,326
ANA Holdings, Inc. (B)	10,400	196,947
Asahi Group Holdings, Ltd.	8,000	300,278
Asahi Intecc Company, Ltd.	9,000	176,443
Asahi Kasei Corp.	59,000	487,948
Astellas Pharma, Inc.	20,300	309,921
Azbil Corp.	1,800	55,225
Bandai Namco Holdings, Inc.	4,501	307,768
BayCurrent Consulting, Inc.	600	199,830
Bridgestone Corp.	21,300	783,707
Brother Industries, Ltd.	13,500	235,906
Canon, Inc.	20,800	480,827
Capcom Company, Ltd.	7,500	198,846
Central Japan Railway Company	4,444	562,875
Chubu Electric Power Company, Inc.	30,400	307,848
Chugai Pharmaceutical Company, Ltd.	12,300	370,538
Concordia Financial Group, Ltd.	78,500	285,983
Cosmos Pharmaceutical Corp.	700	65,321
CyberAgent, Inc.	24,600	263,165
Dai Nippon Printing Company, Ltd.	19,724	413,936
Daifuku Company, Ltd.	4,600	285,814
Dai-ichi Life Holdings, Inc.	26,200	526,690
Daiichi Sankyo Company, Ltd.	20,400	513,621
Daikin Industries, Ltd.	5,647	873,681
Daito Trust Construction Company, Ltd.	4,086	394,850
Daiwa House Industry Company, Ltd.	27,400	664,697
Daiwa House REIT Investment Corp.	44	106,977
Daiwa Securities Group, Inc.	84,800	416,277
Denso Corp.	9,800	601,872
Dentsu Group, Inc.	12,200	443,046
Disco Corp.	1,798	445,475
East Japan Railway Company	8,700	457,898
Eisai Company, Ltd.	2,872	125,556
ENEOS Holdings, Inc.	316,500	1,114,444
FANUC Corp.	1,970	306,615
Fast Retailing Company, Ltd.	1,419	658,900
Fuji Electric Company, Ltd.	11,393	505,633
FUJIFILM Holdings Corp.	9,900	548,107
Fujitsu, Ltd.	3,400	490,344
GLP J-REIT	88	119,407
GMO Payment Gateway, Inc.	2,500	213,994

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Japan (continued)
Hakuhodo DY Holdings, Inc.	11,900	$141,448
Hamamatsu Photonics KK	3,700	167,351
Hankyu Hanshin Holdings, Inc.	20,200	535,559
Hikari Tsushin, Inc.	541	63,679
Hino Motors, Ltd.	27,900	145,142
Hirose Electric Company, Ltd.	1,005	129,077
Hitachi Construction Machinery Company, Ltd.	8,700	198,429
Hitachi Metals, Ltd. (B)	8,500	133,050
Hitachi, Ltd.	34,600	1,621,575
Honda Motor Company, Ltd.	44,854	1,183,666
Hoshizaki Corp.	2,100	133,722
Hoya Corp.	10,200	1,022,677
Hulic Company, Ltd.	42,400	359,333
Ibiden Company, Ltd.	4,900	186,832
Idemitsu Kosan Company, Ltd.	22,659	595,507
Iida Group Holdings Company, Ltd.	9,100	145,954
Inpex Corp.	49,000	579,407
Isuzu Motors, Ltd.	57,500	673,259
ITOCHU Corp.	55,300	1,678,293
Itochu Techno-Solutions Corp.	5,500	129,689
Japan Airlines Company, Ltd. (B)	14,200	235,753
Japan Exchange Group, Inc.	21,700	326,857
Japan Metropolitan Fund Investment Corp.	126	100,462
Japan Post Bank Company, Ltd.	8,000	60,636
Japan Post Holdings Company, Ltd.	35,600	250,458
Japan Post Insurance Company, Ltd.	10,600	172,221
Japan Real Estate Investment Corp.	37	179,631
Japan Tobacco, Inc.	46,100	791,165
JFE Holdings, Inc.	44,400	546,604
JSR Corp.	8,700	238,720
Kajima Corp.	36,700	410,736
Kakaku.com, Inc.	4,600	97,390
Kansai Paint Company, Ltd.	7,300	101,477
Kao Corp.	12,800	516,801
Kawasaki Kisen Kaisha, Ltd.	1,700	89,881
KDDI Corp.	39,900	1,335,030
Keio Corp.	4,370	168,479
Keisei Electric Railway Company, Ltd.	8,200	202,215
Keyence Corp.	1,770	722,017
Kikkoman Corp.	1,500	84,748
Kintetsu Group Holdings Company, Ltd.	7,100	204,681
Kirin Holdings Company, Ltd.	8,000	117,351
Kobayashi Pharmaceutical Company, Ltd.	1,400	96,064
Kobe Bussan Company, Ltd.	6,900	170,423
Koei Tecmo Holdings Company, Ltd.	950	29,073
Koito Manufacturing Company, Ltd.	5,600	206,823
Komatsu, Ltd.	22,300	502,766
Konami Holdings Corp.	5,600	347,515
Kose Corp.	800	82,989
Kubota Corp.	21,500	368,152
Kyocera Corp.	8,200	434,367

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Japan (continued)
Kyowa Kirin Company, Ltd.	4,600	$97,035
Lasertec Corp.	2,100	287,137
Lawson, Inc.	4,300	158,313
Lixil Corp.	40,100	710,014
M3, Inc.	9,900	321,085
Makita Corp.	2,500	74,695
Marubeni Corp.	41,900	460,040
Mazda Motor Corp.	52,400	375,730
Medipal Holdings Corp.	4,100	67,373
MEIJI Holdings Company, Ltd.	5,900	294,636
Mercari, Inc. (A)(B)	2,200	37,527
MINEBEA MITSUMI, Inc.	35,000	680,766
MISUMI Group, Inc.	15,900	402,532
Mitsubishi Chemical Holdings Corp.	132,500	810,995
Mitsubishi Corp.	32,400	1,096,088
Mitsubishi Electric Corp.	33,800	356,888
Mitsubishi Estate Company, Ltd.	17,300	251,502
Mitsubishi HC Capital, Inc.	83,000	374,768
Mitsubishi Heavy Industries, Ltd.	26,400	903,705
Mitsubishi UFJ Financial Group, Inc.	287,070	1,671,325
Mitsui & Company, Ltd.	38,100	926,328
Mitsui Chemicals, Inc.	21,900	502,875
Mitsui Fudosan Company, Ltd.	17,700	375,080
Mitsui O.S.K. Lines, Ltd.	13,500	319,890
Mizuho Financial Group, Inc.	51,500	627,453
MonotaRO Company, Ltd.	6,300	109,846
MS&AD Insurance Group Holdings, Inc.	11,800	353,472
Murata Manufacturing Company, Ltd.	10,700	643,685
NEC Corp.	15,003	584,788
Nexon Company, Ltd.	3,800	87,169
NGK Insulators, Ltd.	15,900	215,011
Nidec Corp.	8,600	566,806
Nihon M&A Center Holdings, Inc.	14,300	178,143
Nintendo Company, Ltd.	2,017	932,683
Nippon Building Fund, Inc.	32	166,471
Nippon Express Holdings, Inc.	10,300	607,379
Nippon Paint Holdings Company, Ltd.	10,500	84,204
Nippon Prologis REIT, Inc.	49	136,342
Nippon Sanso Holdings Corp.	15,400	277,785
Nippon Shinyaku Company, Ltd.	1,500	101,999
Nippon Steel Corp.	29,700	474,407
Nippon Telegraph & Telephone Corp.	67,666	2,009,193
Nippon Yusen KK	9,000	657,147
Nissan Chemical Corp.	7,900	421,341
Nissan Motor Company, Ltd. (B)	64,000	255,387
Nisshin Seifun Group, Inc.	8,700	116,707
Nissin Foods Holdings Company, Ltd.	2,316	161,777
Nitori Holdings Company, Ltd.	2,201	226,793
Nitto Denko Corp.	13,994	945,103
Nomura Holdings, Inc.	73,500	283,652
Nomura Real Estate Master Fund, Inc.	108	135,875

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Japan (continued)
Nomura Research Institute, Ltd.	9,800	$280,627
NTT Data Corp.	16,200	300,468
Obayashi Corp.	55,000	380,364
Obic Company, Ltd.	700	104,168
Odakyu Electric Railway Company, Ltd.	13,700	208,947
Oji Holdings Corp.	76,500	363,723
Olympus Corp.	31,000	552,478
Omron Corp.	2,000	119,265
Ono Pharmaceutical Company, Ltd.	7,365	189,469
Oracle Corp. Japan	1,400	90,553
Oriental Land Company, Ltd.	2,100	320,527
ORIX Corp.	47,800	875,866
Osaka Gas Company, Ltd.	34,100	617,201
Otsuka Corp.	7,000	230,974
Otsuka Holdings Company, Ltd.	7,200	242,464
Pan Pacific International Holdings Corp.	9,400	145,905
Panasonic Holdings Corp.	96,704	866,201
Rakuten Group, Inc.	9,300	65,895
Recruit Holdings Company, Ltd.	24,900	925,966
Renesas Electronics Corp. (B)	20,000	217,351
Resona Holdings, Inc.	143,200	624,372
Ricoh Company, Ltd.	37,800	277,461
Rohm Company, Ltd.	5,200	367,644
Ryohin Keikaku Company, Ltd.	14,600	131,734
Santen Pharmaceutical Company, Ltd.	12,900	105,841
SBI Holdings, Inc.	22,100	496,892
SCSK Corp.	8,200	131,392
Secom Company, Ltd.	2,261	160,099
Seiko Epson Corp.	39,000	547,252
Sekisui Chemical Company, Ltd.	35,800	486,047
Sekisui House, Ltd.	32,900	573,642
Seven & i Holdings Company, Ltd.	20,400	900,333
SG Holdings Company, Ltd.	19,800	350,428
Sharp Corp.	11,500	97,638
Shimadzu Corp.	17,100	565,557
Shimano, Inc.	1,286	231,274
Shimizu Corp.	49,400	260,421
Shin-Etsu Chemical Company, Ltd.	5,798	804,855
Shionogi & Company, Ltd.	2,871	161,123
Shiseido Company, Ltd.	4,477	212,032
SMC Corp.	645	313,887
SoftBank Corp.	45,100	527,373
SoftBank Group Corp.	27,836	1,132,046
Sompo Holdings, Inc.	11,500	469,107
Sony Group Corp.	22,900	1,983,158
Square Enix Holdings Company, Ltd.	3,600	144,767
Stanley Electric Company, Ltd.	9,900	171,470
Subaru Corp.	27,900	421,859
SUMCO Corp.	17,100	250,376
Sumitomo Chemical Company, Ltd.	145,600	619,216
Sumitomo Corp.	29,300	466,208

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Japan (continued)
Sumitomo Electric Industries, Ltd.	47,000	$507,329
Sumitomo Metal Mining Company, Ltd.	6,100	267,004
Sumitomo Mitsui Financial Group, Inc.	31,900	963,943
Sumitomo Mitsui Trust Holdings, Inc.	17,075	531,254
Sumitomo Pharma Company, Ltd.	9,500	84,837
Sumitomo Realty & Development Company, Ltd.	5,700	151,079
Suntory Beverage & Food, Ltd.	5,700	225,695
Suzuki Motor Corp.	11,000	331,800
Sysmex Corp.	3,748	249,076
T&D Holdings, Inc.	40,000	515,591
Taisei Corp.	16,161	439,700
Taisho Pharmaceutical Holdings Company, Ltd.	2,729	107,424
Taiyo Yuden Company, Ltd.	5,200	207,904
Takeda Pharmaceutical Company, Ltd.	47,647	1,386,088
TDK Corp.	15,800	495,732
Terumo Corp.	7,900	237,439
The Chiba Bank, Ltd.	59,500	343,976
The Kansai Electric Power Company, Inc.	65,100	572,816
The Shizuoka Bank, Ltd.	41,100	266,788
TIS, Inc.	6,400	144,884
Tobu Railway Company, Ltd.	17,400	392,561
Toho Company, Ltd.	4,200	156,576
Tokio Marine Holdings, Inc.	16,900	915,569
Tokyo Century Corp.	5,500	170,018
Tokyo Electron, Ltd.	3,057	1,309,064
Tokyo Gas Company, Ltd.	20,400	392,223
Tokyu Corp.	26,800	329,105
TOPPAN, Inc.	22,300	370,404
Toray Industries, Inc.	139,200	664,950
Toshiba Corp.	8,800	367,187
Tosoh Corp.	22,300	308,785
TOTO, Ltd.	7,500	253,840
Toyo Suisan Kaisha, Ltd.	1,600	49,460
Toyota Industries Corp.	4,300	258,544
Toyota Motor Corp.	238,840	4,121,078
Toyota Tsusho Corp.	8,800	318,895
Trend Micro, Inc.	8,400	470,701
Tsuruha Holdings, Inc. (A)	1,600	82,124
Unicharm Corp.	10,400	363,390
USS Company, Ltd.	15,400	256,865
Welcia Holdings Company, Ltd.	4,700	97,185
West Japan Railway Company	10,081	376,909
Yakult Honsha Company, Ltd.	3,300	171,164
Yamaha Corp.	4,766	183,930
Yamaha Motor Company, Ltd.	38,600	801,436
Yamato Holdings Company, Ltd.	28,900	545,388
Yaskawa Electric Corp.	9,900	340,036
Z Holdings Corp.	40,400	160,465
ZOZO, Inc.	9,700	206,638

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Luxembourg - 0.5%		$2,494,514
ArcelorMittal SA	50,829	1,507,584
Eurofins Scientific SE	6,423	601,162
Tenaris SA	24,691	385,768
Macau - 0.0%		124,103
Sands China, Ltd. (B)	55,200	124,103
Malaysia - 0.0%		72,998
Lynas Rare Earths, Ltd. (B)	11,214	72,998
Mexico - 0.0%		99,104
Fresnillo PLC	10,180	99,104
Netherlands - 4.2%		20,274,812
Adyen NV (B)(C)	349	597,552
Akzo Nobel NV	17,043	1,494,098
Argenx SE (B)	497	143,609
ASM International NV	1,459	446,206
ASML Holding NV	9,070	5,243,483
Heineken Holding NV (A)	9,734	767,086
Heineken NV (A)	5,348	526,951
ING Groep NV (A)	94,214	904,459
JDE Peet’s NV (A)	2,951	87,168
Koninklijke Ahold Delhaize NV	79,937	2,368,817
Koninklijke DSM NV	4,959	840,179
Koninklijke Philips NV	26,131	689,173
Prosus NV (B)	8,004	393,398
Stellantis NV	135,978	1,862,268
Universal Music Group NV	21,554	506,725
Wolters Kluwer NV	33,406	3,403,640
New Zealand - 0.2%		748,302
Auckland International Airport, Ltd. (B)	20,810	105,825
Contact Energy, Ltd.	6,256	33,215
Fisher & Paykel Healthcare Corp., Ltd.	9,714	135,555
Fletcher Building, Ltd.	14,910	59,903
Infratil, Ltd.	5,296	28,874
Mainfreight, Ltd.	1,192	62,899
Meridian Energy, Ltd.	28,482	87,625
Spark New Zealand, Ltd.	47,117	150,460
Xero, Ltd. (B)	1,226	83,946
Norway - 0.7%		3,349,502
Adevinta ASA (B)	2,057	16,272
Aker ASA, A Shares (A)	240	19,952
Aker BP ASA (A)	2,250	82,233
DNB Bank ASA (A)	23,601	465,482
Equinor ASA	39,149	1,349,082
Gjensidige Forsikring ASA	3,096	66,994
Kongsberg Gruppen ASA	2,316	100,927
Mowi ASA	5,124	146,682
Norsk Hydro ASA	32,532	279,139
Orkla ASA	10,647	87,265
Salmar ASA	643	53,350

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Norway (continued)
Schibsted ASA, A Shares	893	$18,950
Schibsted ASA, B Shares	1,453	28,307
Telenor ASA	17,233	245,828
TOMRA Systems ASA	2,361	94,475
Yara International ASA	5,709	294,564
Portugal - 0.2%		806,214
EDP - Energias de Portugal SA	73,892	346,264
Galp Energia SGPS SA	24,204	296,961
Jeronimo Martins SGPS SA	7,803	162,989
Singapore - 1.6%		7,599,011
Ascendas Real Estate Investment Trust	62,992	130,464
CapitaLand Integrated Commercial Trust	104,159	175,748
Capitaland Investment, Ltd. (B)	26,400	80,869
DBS Group Holdings, Ltd.	43,412	1,066,359
Genting Singapore, Ltd.	477,100	279,854
Great Eastern Holdings, Ltd.	7,000	103,411
Jardine Cycle & Carriage, Ltd.	10,100	212,108
Keppel Corp., Ltd.	112,700	560,684
Mapletree Logistics Trust	35,800	46,406
Oversea-Chinese Banking Corp., Ltd.	139,468	1,251,364
Sea, Ltd., ADR (B)	3,770	312,005
Singapore Airlines, Ltd. (A)(B)	159,200	634,079
Singapore Exchange, Ltd.	61,500	436,009
Singapore Technologies Engineering, Ltd.	79,200	235,151
Singapore Telecommunications, Ltd.	212,700	426,663
United Overseas Bank, Ltd.	63,824	1,386,112
Wilmar International, Ltd.	81,400	261,725
Spain - 2.9%		13,845,582
Aena SME SA (B)(C)	3,261	468,898
Amadeus IT Group SA (B)	5,548	353,513
Banco Bilbao Vizcaya Argentaria SA	183,224	977,865
Banco Santander SA (A)	439,077	1,304,615
CaixaBank SA (A)	280,149	912,638
Cellnex Telecom SA (B)(C)	6,118	287,599
EDP Renovaveis SA	2,598	62,051
Endesa SA	15,518	327,905
Ferrovial SA	24,745	641,916
Grifols SA (A)	16,930	285,765
Iberdrola SA	245,553	2,852,099
Industria de Diseno Textil SA (A)	33,938	719,638
Naturgy Energy Group SA	33,326	1,010,068
Repsol SA	164,386	2,477,291
Siemens Gamesa Renewable Energy SA (B)	6,249	101,028
Telefonica SA	217,427	1,062,693
Sweden - 3.2%		15,466,287
Alfa Laval AB (A)	3,805	107,584
Assa Abloy AB, B Shares (A)	11,100	284,489
Atlas Copco AB, A Shares (A)	18,077	834,137
Atlas Copco AB, B Shares (A)	10,115	407,044

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Sweden (continued)
Beijer Ref AB	7,244	$119,089
Boliden AB (A)	17,315	762,377
Castellum AB	15,116	302,371
Electrolux AB, B Shares	37,059	572,307
Epiroc AB, A Shares (A)	17,267	355,448
Epiroc AB, B Shares	10,718	189,389
EQT AB	2,741	79,599
Essity AB, A Shares	424	11,322
Essity AB, B Shares	12,269	326,978
Evolution AB (C)	2,007	210,345
Fabege AB	12,881	158,031
Fastighets AB Balder, B Shares (B)	2,611	131,065
Getinge AB, B Shares	9,008	263,617
Hennes & Mauritz AB, B Shares (A)	21,623	276,388
Hexagon AB, B Shares (A)	23,272	305,355
Holmen AB, B Shares	5,489	321,381
Husqvarna AB, A Shares	57	556
Husqvarna AB, B Shares	54,993	530,650
Indutrade AB	16,691	400,174
Lifco AB, B Shares	8,895	190,101
Lundin Energy AB	3,498	146,444
Nibe Industrier AB, B Shares	16,097	160,159
Sagax AB, B Shares	5,516	142,725
Samhallsbyggnadsbolaget i Norden AB (A)	53,663	170,140
Samhallsbyggnadsbolaget i Norden AB, Class D (A)	5,087	13,401
Sandvik AB (A)	31,702	609,383
Securitas AB, B Shares (A)	21,679	258,886
Sinch AB (A)(B)(C)	8,533	38,647
Skandinaviska Enskilda Banken AB, A Shares	33,542	382,056
Skandinaviska Enskilda Banken AB, C Shares	313	3,854
Skanska AB, B Shares	34,927	676,011
SKF AB, B Shares	38,794	643,110
Svenska Cellulosa AB SCA, B Shares	16,388	321,540
Svenska Handelsbanken AB, A Shares	39,321	401,427
Svenska Handelsbanken AB, B Shares (A)	1,561	17,756
Sweco AB, B Shares	7,803	111,308
Swedbank AB, A Shares	26,008	416,809
Swedish Match AB (A)	19,695	158,150
Swedish Orphan Biovitrum AB (B)	13,402	283,960
Tele2 AB, B Shares (A)	55,061	732,584
Telefonaktiebolaget LM Ericsson, B Shares	51,088	413,937
Telia Company AB	78,965	329,621
Trelleborg AB, B Shares (A)	17,692	393,824
Vitrolife AB	797	20,785
Volvo AB, A Shares	14,008	232,576
Volvo AB, B Shares	77,103	1,247,397
Switzerland - 10.3%		49,486,963
ABB, Ltd.	63,410	1,933,690
Alcon, Inc.	31,147	2,255,843

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
Switzerland (continued)
Chocoladefabriken Lindt & Spruengli AG	5	$594,447
Cie Financiere Richemont SA, A Shares	13,453	1,600,805
Coca-Cola HBC AG	19,659	404,166
Geberit AG	1,620	934,631
Givaudan SA	457	1,833,838
Glencore PLC (B)	392,359	2,449,735
Holcim, Ltd. (B)	36,956	1,833,237
Kuehne + Nagel International AG	3,008	852,522
Lonza Group AG	1,483	883,704
Nestle SA	60,288	7,825,975
Novartis AG	49,077	4,374,029
Partners Group Holding AG	1,537	1,658,690
Roche Holding AG	13,812	5,156,822
Roche Holding AG, Bearer Shares	933	377,564
Schindler Holding AG	1,039	202,737
Schindler Holding AG, Participation Certificates	2,211	431,426
Sika AG	9,374	2,906,891
Sonova Holding AG	1,708	625,026
STMicroelectronics NV	58,531	2,206,540
Straumann Holding AG	4,790	575,155
Swiss Re AG	24,780	2,050,512
Swisscom AG	3,465	2,059,045
UBS Group AG	100,136	1,724,384
Zurich Insurance Group AG	3,778	1,735,549
United Arab Emirates - 0.0%		52
NMC Health PLC (B)	5,181	52
United Kingdom - 14.8%		71,647,076
3i Group PLC	100,832	1,677,379
Admiral Group PLC	20,623	653,519
Anglo American PLC	45,496	2,048,332
Ashtead Group PLC	21,000	1,101,815
Associated British Foods PLC	10,766	217,146
AstraZeneca PLC	15,595	2,092,660
Auto Trader Group PLC (C)	60,317	480,722
AVEVA Group PLC	6,133	167,475
Aviva PLC	177,781	967,144
B&M European Value Retail SA	53,555	329,602
BAE Systems PLC	88,980	826,687
Barclays PLC	466,570	868,124
Barratt Developments PLC	77,580	481,652
BP PLC	441,959	2,172,632
British American Tobacco PLC	43,699	1,839,045
BT Group PLC	658,599	1,466,457
Bunzl PLC	24,580	957,592
Burberry Group PLC	34,822	695,570
CNH Industrial NV	27,771	402,248
Coca-Cola Europacific Partners PLC	13,996	719,060
Compass Group PLC	27,552	588,748
Croda International PLC	7,601	744,740
Diageo PLC	53,498	2,699,097

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
United Kingdom (continued)
Entain PLC (B)	34,509	$657,906
Ferguson PLC	6,077	773,649
GlaxoSmithKline PLC	98,983	2,233,190
Halma PLC	20,260	629,552
Hargreaves Lansdown PLC	23,456	270,106
Howden Joinery Group PLC	18,623	178,024
HSBC Holdings PLC	483,057	3,040,276
Imperial Brands PLC	58,492	1,223,456
Informa PLC (B)	97,384	702,539
InterContinental Hotels Group PLC	6,683	433,957
Intermediate Capital Group PLC	12,016	233,457
Intertek Group PLC	11,197	704,017
J Sainsbury PLC	164,324	481,319
JD Sports Fashion PLC	164,497	275,506
Kingfisher PLC	139,496	443,623
Land Securities Group PLC	25,340	239,435
Legal & General Group PLC	292,157	924,711
Lloyds Banking Group PLC	1,710,771	985,445
London Stock Exchange Group PLC	4,283	425,668
M&G PLC	146,654	394,394
Meggitt PLC (B)	22,985	223,647
Melrose Industries PLC	265,436	393,574
Mondi PLC	51,564	977,553
National Grid PLC	94,787	1,420,921
NatWest Group PLC	106,282	290,893
Next PLC	13,044	986,863
Ocado Group PLC (B)	7,317	84,883
Persimmon PLC	20,880	550,512
Phoenix Group Holdings PLC	31,283	239,190
Prudential PLC	29,263	371,071
Reckitt Benckiser Group PLC	13,211	1,034,993
RELX PLC	51,316	1,541,745
Rentokil Initial PLC	122,737	847,530
Rightmove PLC	50,635	393,131
Rio Tinto PLC	34,804	2,493,319
Rolls-Royce Holdings PLC (B)	321,027	335,700
Schroders PLC	8,175	291,490
Schroders PLC, Non-Voting Shares	3,353	99,559
Segro PLC	31,107	524,311
Severn Trent PLC	15,165	598,988
Shell PLC	168,333	4,592,466
Smith & Nephew PLC	18,395	300,927
Smiths Group PLC	26,158	485,231
Spirax-Sarco Engineering PLC	4,844	738,920
SSE PLC	49,423	1,159,416
St. James’s Place PLC	34,617	564,132
Standard Chartered PLC	200,433	1,388,570
Taylor Wimpey PLC	243,728	388,315
Tesco PLC	354,232	1,209,689
The Sage Group PLC	62,513	578,749
Unilever PLC	60,641	2,831,454

MULTIFACTOR DEVELOPED INTERNATIONAL ETF (continued)

	Shares or Principal Amount	Value
United Kingdom (continued)
United Utilities Group PLC	64,036	$925,372
Vodafone Group PLC	1,130,909	1,725,694
Whitbread PLC (B)	15,544	549,752
WPP PLC	84,075	1,060,840
United States - 0.0%		63,057
Carnival PLC (B)	3,904	63,057
PREFERRED SECURITIES - 0.7%		$3,206,422
(Cost $3,388,818)
Germany - 0.7%		3,206,422
Bayerische Motoren Werke AG	6,265	466,944
Henkel AG & Company KGaA	3,281	212,385
Porsche Automobil Holding SE	11,566	970,512
Sartorius AG	914	346,253
Volkswagen AG	7,703	1,210,328
SHORT-TERM INVESTMENTS - 2.4%		$11,698,442
(Cost $11,699,008)
Short-term funds - 2.4%		11,698,442
John Hancock Collateral Trust, 0.3773% (D)(E)	1,087,154	10,869,912
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2918% (D)	828,530	828,530
Total investments (Multifactor Developed International ETF) (Cost $473,178,972) - 101.3%		$489,008,400
Other assets and liabilities, net - (1.3%)		(6,340,406)
Total net assets - 100.0%		$482,667,994