John Hancock Multifactor Large Cap ETF (JHML US) - Portfolio Construction Methodology

Core Insights - The John Hancock Dimensional Large Cap Index targets U.S. equities with market caps larger than the 801st company, forming a large-cap subset from a broad U.S. universe [1] - Eligible stocks are evaluated based on size (free-float market cap), relative price (P/B), and profitability (operating income/book), with a focus on smaller, cheaper, and more profitable names while managing sector exposure [1] - The index is reconstituted and rebalanced semiannually, applying liquidity and investability screens typical for large-cap constituents, with measures to reduce turnover and avoid single-name concentration [1] Portfolio Construction Methodology - Stocks with the weakest profitability and highest relative prices are underweighted or excluded, while lower-momentum names may be de-emphasized [1] - Constituents are float-adjusted and capped to ensure no single issuer exceeds 4% at rebalance, helping to avoid concentration risk [1] - The methodology includes sector-by-sector tilts to maintain a balanced exposure across different sectors [1]