UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21763
Name of Fund: | Managed Account Series |
BlackRock GA Disciplined Volatility Equity Fund |
BlackRock GA Dynamic Equity Fund |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, Managed Account
Series, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 04/30/2024
Date of reporting period: 04/30/2024
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
2024 Annual Report |
Managed Account Series |
• BlackRock GA Disciplined Volatility Equity Fund |
• BlackRock GA Dynamic Equity Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
President, BlackRock Advisors, LLC
Total Returns as of April 30, 2024 | ||
6-Month | 12-Month | |
U.S. large cap equities (S&P 500® Index) | 20.98% | 22.66% |
U.S. small cap equities (Russell 2000® Index) | 19.66 | 13.32 |
International equities (MSCI Europe, Australasia, Far East Index) | 18.63 | 9.28 |
Emerging market equities (MSCI Emerging Markets Index) | 15.40 | 9.88 |
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) | 2.66 | 5.36 |
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) | 3.66 | (6.40) |
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) | 4.97 | (1.47) |
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) | 7.06 | 2.08 |
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 8.99 | 9.01 |
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
These views are not intended to be a forecast of future events and are no guarantee of future results.
Average Annual Total Returns(a) | |||
1 Year | 5 Years | Since Inception(b) | |
Institutional | 12.24 % | 8.63 % | 7.51 % |
Class K | 12.27 | 8.67 | 7.56 |
MSCI ACWI Minimum Volatility (USD) Index | 5.24 | 4.70 | 5.66 |
(a) | See “About Fund Performance” for a detailed description of share classes, including any related fees, and how performance was calculated for certain share classes. |
(b) | The Fund commenced operations on June 1, 2017. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Actual | Hypothetical 5% Return | ||||||
Beginning Account Value (11/01/23) | Ending Account Value (04/30/24) | Expenses Paid During the Period(a) | Beginning Account Value (11/01/23) | Ending Account Value (04/30/24) | Expenses Paid During the Period(a) | Annualized Expense Ratio | |
Institutional | $ 1,000.00 | $ 1,156.10 | $ 2.95 | $ 1,000.00 | $ 1,022.13 | $ 2.77 | 0.55 % |
Class K | 1,000.00 | 1,155.20 | 2.68 | 1,000.00 | 1,022.38 | 2.51 | 0.50 |
(a) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
TEN LARGEST HOLDINGS | |
Security(a) | Percent of Net Assets |
Microsoft Corp. | 2.7 % |
Novo Nordisk A/S, Class B | 2.3 |
ASML Holding NV | 1.9 |
Cadence Design Systems, Inc. | 1.7 |
Visa, Inc., Class A | 1.6 |
LVMH Moet Hennessy Louis Vuitton SE | 1.5 |
Alphabet, Inc., Class C | 1.4 |
Mastercard, Inc., Class A | 1.3 |
Ferrari NV | 1.3 |
Roper Technologies, Inc. | 1.3 |
GEOGRAPHIC ALLOCATION | |
Country/Geographic Region | Percent of Net Assets |
United States | 65.5 % |
Japan | 7.6 |
China | 6.7 |
India | 3.1 |
Taiwan | 2.8 |
France | 2.5 |
Denmark | 2.4 |
Netherlands | 1.9 |
United Kingdom | 1.7 |
Italy | 1.4 |
Hong Kong | 1.0 |
Other# | 2.6 |
Other Assets Less Liabilities | 0.8 |
(a) | Excludes short-term securities. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
These views are not intended to be a forecast of future events and are no guarantee of future results.
Average Annual Total Returns(a) | |||
1 Year | 5 Years | Since Inception(b) | |
Institutional | 17.11 % | 10.28 % | 9.26 % |
Class K | 17.22 | 10.35 | 9.32 |
MSCI World Index | 18.39 | 10.46 | 9.97 |
(a) | See “About Fund Performance” for a detailed description of share classes, including any related fees, and how performance was calculated for certain share classes. |
(b) | The Fund commenced operations on June 1, 2017. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Actual | Hypothetical 5% Return | ||||||
Beginning Account Value (11/01/23) | Ending Account Value (04/30/24) | Expenses Paid During the Period(a) | Beginning Account Value (11/01/23) | Ending Account Value (04/30/24) | Expenses Paid During the Period(a) | Annualized Expense Ratio | |
Institutional | $ 1,000.00 | $ 1,195.20 | $ 3.01 | $ 1,000.00 | $ 1,022.12 | $ 2.77 | 0.55 % |
Class K | 1,000.00 | 1,195.20 | 2.69 | 1,000.00 | 1,022.41 | 2.48 | 0.49 |
(a) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
TEN LARGEST HOLDINGS | |
Security(a) | Percent of Net Assets |
Microsoft Corp. | 5.9 % |
Amazon.com, Inc. | 3.7 |
NVIDIA Corp. | 3.6 |
Alphabet, Inc., Class C | 2.6 |
JPMorgan Chase & Co. | 2.4 |
Apple, Inc. | 2.4 |
Mastercard, Inc., Class A | 1.9 |
Danaher Corp. | 1.9 |
BAE Systems PLC | 1.7 |
Eli Lilly & Co. | 1.7 |
GEOGRAPHIC ALLOCATION | |
Country/Geographic Region | Percent of Net Assets |
United States | 73.7 % |
Japan | 6.9 |
United Kingdom | 3.5 |
France | 2.6 |
Canada | 2.4 |
Netherlands | 1.6 |
Germany | 1.4 |
Italy | 1.3 |
Spain | 1.2 |
Other# | 4.4 |
Other Assets Less Liabilities | 1.0 |
(a) | Excludes short-term securities. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Schedule of Investments for such countries/geographic regions. |
Security | Shares | Value | |
Common Stocks | |||
China — 6.7% | |||
AAC Technologies Holdings, Inc. | 159,000 | $ 506,039 | |
Baidu, Inc., Class A (a) | 45,050 | 583,649 | |
Bank of China Ltd., Class H | 1,020,000 | 457,460 | |
BeiGene Ltd. (a) | 37,000 | 438,916 | |
Bilibili, Inc., Class Z (a) | 23,480 | 298,153 | |
Bosideng International Holdings Ltd. | 568,000 | 328,797 | |
China Construction Bank Corp., Class H | 1,141,000 | 738,216 | |
China Hongqiao Group Ltd. | 333,500 | 460,190 | |
China Minsheng Banking Corp. Ltd., Class H | 540,000 | 197,576 | |
China Tower Corp. Ltd., Class H (b) | 9,152,000 | 1,071,327 | |
Contemporary Amperex Technology Co. Ltd., Class A | 18,800 | 524,926 | |
COSCO SHIPPING Holdings Co. Ltd., Class H | 662,500 | 857,165 | |
Great Wall Motor Co. Ltd., Class A | 60,000 | 216,038 | |
Haidilao International Holding Ltd. (b) | 424,000 | 956,632 | |
Humanwell Healthcare Group Co. Ltd., Class A | 144,200 | 401,394 | |
Industrial & Commercial Bank of China Ltd., Class H | 944,000 | 506,199 | |
JD.com, Inc., Class A | 45,900 | 661,344 | |
Jiangxi Copper Co. Ltd., Class A | 67,700 | 242,325 | |
Kuaishou Technology (a)(b) | 131,900 | 924,712 | |
Li Auto, Inc., Class A (a) | 86,500 | 1,133,314 | |
Nongfu Spring Co. Ltd., Class H (b) | 492,600 | 2,893,985 | |
People’ s Insurance Co. Group of China Ltd., Class A | 546,300 | 393,536 | |
PetroChina Co. Ltd., Class H | 1,114,000 | 1,037,959 | |
Piotech, Inc., Class A | 20,387 | 506,128 | |
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 439,800 | 624,982 | |
Shenzhen Capchem Technology Co. Ltd., Class A | 182,600 | 844,834 | |
Shenzhen Transsion Holdings Co. Ltd., Class A | 36,934 | 733,211 | |
Sunny Optical Technology Group Co. Ltd. | 82,700 | 400,079 | |
Tencent Holdings Ltd. | 47,300 | 2,075,674 | |
Tongcheng Travel Holdings Ltd. (a) | 175,200 | 461,105 | |
Topsports International Holdings Ltd. (b) | 1,063,000 | 738,227 | |
Trip.com Group Ltd. (a) | 8,450 | 411,577 | |
Weichai Power Co. Ltd., Class A | 289,600 | 693,582 | |
Wilmar International Ltd. | 762,900 | 1,793,252 | |
WuXi AppTec Co. Ltd., Class H (b) | 111,200 | 500,521 | |
Xiaomi Corp., Class B (a)(b) | 858,200 | 1,870,813 | |
Yutong Bus Co. Ltd., Class A | 305,700 | 1,077,420 | |
Zhongji Innolight Co. Ltd., Class A | 21,200 | 533,461 | |
29,094,718 | |||
Denmark — 2.4% | |||
DSV A/S | 2,260 | 321,077 | |
Novo Nordisk A/S, Class B | 77,574 | 9,948,260 | |
10,269,337 | |||
France — 2.5% | |||
Hermes International SCA | 1,527 | 3,655,623 | |
L’ Oreal SA | 2,161 | 1,013,192 | |
LVMH Moet Hennessy Louis Vuitton SE | 7,784 | 6,394,058 | |
11,062,873 | |||
Germany — 0.6% | |||
MTU Aero Engines AG, Class N | 5,848 | 1,408,882 | |
Rational AG | 444 | 378,731 | |
Symrise AG | 8,774 | 940,500 | |
2,728,113 | |||
Greece — 0.1% | |||
National Bank of Greece SA (a) | 36,253 | 292,490 | |
Hong Kong — 1.0% | |||
AIA Group Ltd. | 96,400 | 706,068 |
Security | Shares | Value | |
Hong Kong (continued) | |||
HKT Trust & HKT Ltd., Class SS | 1,584,000 | $ 1,748,699 | |
Hongkong Land Holdings Ltd. | 267,600 | 855,030 | |
Jardine Matheson Holdings Ltd. | 23,800 | 913,206 | |
4,223,003 | |||
India — 3.1% | |||
Asian Paints Ltd. | 43,338 | 1,490,737 | |
Bajaj Auto Ltd. | 5,876 | 627,309 | |
Bharat Petroleum Corp. Ltd. | 132,640 | 965,166 | |
Eicher Motors Ltd. | 11,699 | 644,072 | |
HCL Technologies Ltd. | 82,456 | 1,345,268 | |
Hindustan Aeronautics Ltd. | 23,850 | 1,125,520 | |
Hindustan Petroleum Corp. Ltd. | 96,389 | 571,752 | |
Indian Oil Corp. Ltd. | 538,781 | 1,088,005 | |
Kotak Mahindra Bank Ltd. | 101,496 | 1,972,615 | |
Petronet LNG Ltd. | 55,620 | 206,450 | |
Power Grid Corp. of India Ltd. | 251,983 | 908,847 | |
Shree Cement Ltd. | 2,267 | 663,707 | |
Sun Pharmaceutical Industries Ltd. | 13,112 | 235,559 | |
Tata Consultancy Services Ltd. | 31,053 | 1,417,262 | |
UltraTech Cement Ltd. | 3,231 | 385,343 | |
13,647,612 | |||
Indonesia — 0.2% | |||
Bank Central Asia Tbk PT | 1,152,000 | 692,679 | |
Bank Syariah Indonesia Tbk PT | 1,305,700 | 211,503 | |
904,182 | |||
Ireland — 0.3% | |||
Kingspan Group PLC | 13,820 | 1,229,256 | |
Italy — 1.4% | |||
Ferrari NV | 13,392 | 5,507,790 | |
UniCredit SpA | 12,501 | 458,841 | |
5,966,631 | |||
Japan — 7.6% | |||
Azbil Corp. | 34,100 | 952,413 | |
Daiichi Sankyo Co. Ltd. | 67,200 | 2,261,796 | |
Eisai Co. Ltd. | 21,000 | 862,450 | |
Fast Retailing Co. Ltd. | 4,300 | 1,124,317 | |
FUJIFILM Holdings Corp. | 27,200 | 578,611 | |
Inpex Corp. | 24,500 | 367,005 | |
Keyence Corp. | 200 | 87,954 | |
Kyushu Railway Co. | 22,700 | 488,411 | |
LY Corp. | 110,400 | 265,251 | |
Makita Corp. | 45,000 | 1,302,789 | |
Mazda Motor Corp. | 105,300 | 1,191,941 | |
MEIJI Holdings Co. Ltd. | 62,400 | 1,396,160 | |
Mitsubishi Electric Corp. | 67,600 | 1,178,263 | |
Mitsui OSK Lines Ltd. | 42,700 | 1,355,280 | |
MS&AD Insurance Group Holdings, Inc. | 71,900 | 1,292,693 | |
NIDEC Corp. | 34,900 | 1,634,466 | |
Nippon Paint Holdings Co. Ltd. | 387,400 | 2,479,753 | |
Nippon Steel Corp. | 45,300 | 1,015,577 | |
Nomura Research Institute Ltd. | 105,600 | 2,555,297 | |
Obic Co. Ltd. | 3,400 | 436,786 | |
Ono Pharmaceutical Co. Ltd. | 75,200 | 1,083,132 | |
Oracle Corp. Japan | 8,600 | 645,383 | |
Otsuka Corp. | 76,700 | 1,525,419 | |
Panasonic Holdings Corp. | 160,300 | 1,399,171 | |
SCREEN Holdings Co. Ltd. | 3,400 | 350,802 | |
SCSK Corp. | 46,100 | 838,061 | |
Shiseido Co. Ltd. | 51,100 | 1,367,857 |
Security | Shares | Value | |
Japan (continued) | |||
Sysmex Corp. | 11,900 | $ 190,285 | |
Takeda Pharmaceutical Co. Ltd. | 41,000 | 1,077,565 | |
TDK Corp. | 13,400 | 597,787 | |
Tokyo Electron Ltd. | 3,200 | 701,906 | |
Toyota Tsusho Corp. | 11,700 | 743,885 | |
33,348,466 | |||
Netherlands — 1.9% | |||
ASML Holding NV | 9,405 | 8,191,874 | |
BE Semiconductor Industries NV | 1,955 | 259,378 | |
8,451,252 | |||
Peru — 0.1% | |||
Credicorp Ltd. | 1,526 | 252,721 | |
Singapore — 0.2% | |||
Singapore Telecommunications Ltd. | 217,400 | 377,031 | |
United Overseas Bank Ltd. | 26,800 | 594,713 | |
971,744 | |||
South Korea — 0.6% | |||
Hanwha Aerospace Co. Ltd. | 3,264 | 495,790 | |
KakaoBank Corp. | 44,820 | 803,884 | |
Krafton, Inc. (a) | 1,533 | 263,839 | |
Orion Corp./Republic of Korea | 12,401 | 829,922 | |
Samsung Biologics Co. Ltd. (a)(b) | 724 | 406,930 | |
2,800,365 | |||
Sweden — 0.3% | |||
Assa Abloy AB, Class B | 43,571 | 1,151,207 | |
Switzerland — 0.2% | |||
Sika AG, Registered Shares | 3,469 | 986,797 | |
Taiwan — 2.8% | |||
Acer, Inc. | 743,000 | 1,022,333 | |
Advantech Co. Ltd. | 114,898 | 1,336,427 | |
ASE Technology Holding Co. Ltd. | 90,000 | 404,874 | |
Asustek Computer, Inc. | 96,000 | 1,258,823 | |
Chunghwa Telecom Co. Ltd. | 242,000 | 919,802 | |
Compal Electronics, Inc. | 1,604,000 | 1,749,577 | |
Far EasTone Telecommunications Co. Ltd. | 136,000 | 337,336 | |
Hon Hai Precision Industry Co. Ltd. | 82,000 | 390,349 | |
Inventec Corp. | 292,000 | 468,432 | |
MediaTek, Inc. | 45,000 | 1,356,803 | |
Quanta Computer, Inc. | 239,000 | 1,875,728 | |
Realtek Semiconductor Corp. | 14,000 | 220,852 | |
Wistron Corp. | 89,000 | 304,741 | |
Wiwynn Corp. | 3,000 | 213,417 | |
WPG Holdings Ltd. | 214,000 | 577,976 | |
12,437,470 | |||
United Kingdom — 1.7% | |||
Auto Trader Group PLC (b) | 84,322 | 731,028 | |
London Stock Exchange Group PLC | 26,222 | 2,890,715 | |
Spirax-Sarco Engineering PLC | 32,751 | 3,603,835 | |
7,225,578 | |||
United States — 60.6% | |||
Abbott Laboratories | 11,633 | 1,232,749 | |
AbbVie, Inc. | 12,381 | 2,013,646 | |
Adobe, Inc. (a) | 2,418 | 1,119,123 | |
AES Corp. (c) | 102,890 | 1,841,732 | |
Alphabet, Inc., Class C (a) | 37,586 | 6,188,159 | |
Altair Engineering, Inc., Class A (a) | 35,862 | 2,885,098 | |
Amazon.com, Inc. (a) | 5,432 | 950,600 | |
American Water Works Co., Inc. | 20,900 | 2,556,488 |
Security | Shares | Value | |
United States (continued) | |||
Amgen, Inc. | 8,068 | $ 2,210,148 | |
ANSYS, Inc. (a) | 6,932 | 2,252,068 | |
Applied Materials, Inc. | 17,387 | 3,453,928 | |
AT&T, Inc. | 108,829 | 1,838,122 | |
Atlassian Corp., Class A (a) | 2,689 | 463,315 | |
Atmos Energy Corp. | 3,541 | 417,484 | |
Aura Biosciences, Inc. (a) | 16,281 | 120,479 | |
AutoZone, Inc. (a) | 617 | 1,824,099 | |
Becton Dickinson & Co. | 4,532 | 1,063,207 | |
BioMarin Pharmaceutical, Inc. (a) | 5,275 | 426,009 | |
Boeing Co. (a) | 4,046 | 679,081 | |
Booking Holdings, Inc. | 559 | 1,929,685 | |
Boston Scientific Corp. (a) | 1,589 | 114,201 | |
Bristol-Myers Squibb Co. | 36,672 | 1,611,368 | |
Builders FirstSource, Inc. (a) | 2,521 | 460,889 | |
Bunge Global SA | 6,768 | 688,712 | |
Cadence Design Systems, Inc. (a) | 27,734 | 7,644,322 | |
Campbell Soup Co. | 36,692 | 1,677,191 | |
Cardinal Health, Inc. | 7,377 | 760,126 | |
Carnival Corp. (a) | 71,503 | 1,059,674 | |
Cencora, Inc. | 4,270 | 1,020,743 | |
Centene Corp. (a) | 19,242 | 1,405,820 | |
Cheniere Energy, Inc. | 6,132 | 967,752 | |
Cincinnati Financial Corp. | 2,005 | 231,958 | |
Cisco Systems, Inc. | 18,870 | 886,513 | |
Citigroup, Inc. | 28,456 | 1,745,206 | |
CME Group, Inc., Class A | 1,429 | 299,576 | |
Coca-Cola Co. | 12,605 | 778,611 | |
Conagra Brands, Inc. | 41,978 | 1,292,083 | |
ConocoPhillips | 3,047 | 382,764 | |
Copart, Inc. (a) | 46,962 | 2,550,506 | |
Costco Wholesale Corp. | 5,714 | 4,130,651 | |
Cummins, Inc. | 1,945 | 549,443 | |
Deckers Outdoor Corp. (a) | 2,733 | 2,236,878 | |
Dell Technologies, Inc., Class C | 3,257 | 405,952 | |
Delta Air Lines, Inc. | 8,652 | 433,206 | |
DocuSign, Inc. (a) | 20,808 | 1,177,733 | |
Duke Energy Corp. | 31,249 | 3,070,527 | |
Dynatrace, Inc. (a) | 22,911 | 1,038,097 | |
Electronic Arts, Inc. | 25,840 | 3,277,029 | |
Enterprise Products Partners LP | 8,508 | 238,905 | |
EOG Resources, Inc. | 4,353 | 575,162 | |
Eversource Energy | 5,416 | 328,318 | |
Expeditors International of Washington, Inc. | 8,562 | 953,036 | |
FirstEnergy Corp. | 10,660 | 408,704 | |
Floor & Decor Holdings, Inc., Class A (a) | 37,978 | 4,190,113 | |
Franklin Resources, Inc. | 96,342 | 2,200,451 | |
General Mills, Inc. | 42,091 | 2,965,732 | |
General Motors Co. | 27,176 | 1,210,147 | |
Gilead Sciences, Inc. | 35,265 | 2,299,278 | |
GoDaddy, Inc., Class A (a) | 8,502 | 1,040,475 | |
Hartford Financial Services Group, Inc. | 10,441 | 1,011,628 | |
Healthpeak Properties, Inc. | 118,602 | 2,207,183 | |
Hormel Foods Corp. | 27,459 | 976,442 | |
Incyte Corp. (a) | 14,240 | 741,192 | |
Insulet Corp. (a) | 1,760 | 302,614 | |
Interpublic Group of Cos., Inc. | 9,197 | 279,957 | |
Intuit, Inc. | 6,821 | 4,267,354 | |
Intuitive Surgical, Inc. (a) | 13,091 | 4,851,786 | |
Johnson & Johnson | 36,378 | 5,259,895 | |
Kellanova | 42,001 | 2,430,178 | |
Keysight Technologies, Inc. (a) | 8,299 | 1,227,754 | |
Kimberly-Clark Corp. | 20,519 | 2,801,459 |
Security | Shares | Value | |
United States (continued) | |||
KLA Corp. | 1,285 | $ 885,738 | |
Kraft Heinz Co. | 12,809 | 494,555 | |
Kroger Co. | 4,293 | 237,746 | |
Lam Research Corp. | 769 | 687,801 | |
Las Vegas Sands Corp. | 5,908 | 262,079 | |
Lennox International, Inc. | 2,954 | 1,368,943 | |
Linde PLC | 1,906 | 840,470 | |
Lockheed Martin Corp. | 5,849 | 2,719,376 | |
Lululemon Athletica, Inc. (a) | 2,536 | 914,482 | |
M&T Bank Corp. | 1,571 | 226,837 | |
Marathon Petroleum Corp. | 355 | 64,511 | |
Marsh & McLennan Cos., Inc. | 3,667 | 731,310 | |
Marvell Technology, Inc. | 50,014 | 3,296,423 | |
Masco Corp. | 15,796 | 1,081,236 | |
Masimo Corp. (a) | 36,980 | 4,970,482 | |
Mastercard, Inc., Class A | 12,328 | 5,562,394 | |
McCormick & Co., Inc. | 7,118 | 541,395 | |
McDonald’s Corp. | 9,299 | 2,538,999 | |
McKesson Corp. | 7,753 | 4,164,989 | |
Merck & Co., Inc. | 10,665 | 1,378,131 | |
Meta Platforms, Inc., Class A | 11,895 | 5,116,872 | |
MGM Resorts International (a) | 24,217 | 955,118 | |
Microsoft Corp. (c) | 30,799 | 11,990,975 | |
Molson Coors Beverage Co., Class B | 12,996 | 744,151 | |
Mondelez International, Inc., Class A | 10,278 | 739,399 | |
Motorola Solutions, Inc. | 11,485 | 3,895,138 | |
MSCI, Inc., Class A | 4,705 | 2,191,542 | |
Nasdaq, Inc. | 5,389 | 322,532 | |
NetApp, Inc. | 6,756 | 690,531 | |
Netflix, Inc. (a) | 4,308 | 2,372,157 | |
Neurocrine Biosciences, Inc. (a) | 3,885 | 534,343 | |
News Corp., Class A | 26,083 | 620,775 | |
NiSource, Inc. | 10,454 | 291,248 | |
Northrop Grumman Corp. | 648 | 314,299 | |
Nucor Corp. | 7,404 | 1,247,796 | |
NVIDIA Corp. | 1,468 | 1,268,381 | |
Owens Corning | 4,395 | 739,283 | |
PepsiCo, Inc. | 13,401 | 2,357,370 | |
Principal Financial Group, Inc. | 16,164 | 1,279,219 | |
Procter & Gamble Co. | 7,529 | 1,228,733 | |
Progressive Corp. | 7,775 | 1,619,144 | |
Prologis, Inc. | 2,625 | 267,881 | |
Regeneron Pharmaceuticals, Inc. (a) | 2,856 | 2,543,725 | |
Reliance, Inc. | 1,972 | 561,468 | |
Republic Services, Inc. | 8,637 | 1,655,713 | |
ResMed, Inc. | 4,598 | 983,926 | |
ROBLOX Corp., Class A (a) | 15,152 | 538,805 | |
Rollins, Inc. | 33,574 | 1,496,057 | |
Roper Technologies, Inc. | 10,763 | 5,504,844 | |
Royal Caribbean Cruises Ltd. (a) | 9,068 | 1,266,165 | |
S&P Global, Inc. | 12,384 | 5,149,639 | |
Samsara, Inc., Class A (a) | 8,425 | 294,285 | |
Seagate Technology Holdings PLC | 10,664 | 916,144 | |
Sempra | 20,909 | 1,497,712 | |
Shell PLC | 7,328 | 261,857 | |
Skyworks Solutions, Inc. | 5,276 | 562,369 | |
Southern Co. | 7,158 | 526,113 |
Security | Shares | Value | |
United States (continued) | |||
Starbucks Corp. | 16,117 | $ 1,426,193 | |
State Street Corp. | 34,383 | 2,492,424 | |
T Rowe Price Group, Inc. | 3,022 | 331,121 | |
Thermo Fisher Scientific, Inc. | 9,047 | 5,145,210 | |
TJX Cos., Inc. | 28,975 | 2,726,258 | |
T-Mobile U.S., Inc. | 4,162 | 683,276 | |
TransDigm Group, Inc. | 3,491 | 4,356,873 | |
Travelers Cos., Inc. | 11,342 | 2,406,319 | |
Ulta Beauty, Inc. (a) | 1,973 | 798,749 | |
UnitedHealth Group, Inc. | 1,491 | 721,197 | |
Universal Health Services, Inc., Class B | 4,673 | 796,419 | |
VeriSign, Inc. (a) | 1,663 | 281,845 | |
Verisk Analytics, Inc. | 5,381 | 1,172,843 | |
Verizon Communications, Inc. | 30,264 | 1,195,125 | |
Vertex Pharmaceuticals, Inc. (a) | 9,649 | 3,790,224 | |
Visa, Inc., Class A | 26,475 | 7,111,450 | |
Walmart, Inc. | 74,474 | 4,420,032 | |
Warner Bros Discovery, Inc., Class A (a) | 606 | 4,460 | |
Waste Management, Inc. | 7,662 | 1,593,849 | |
WEC Energy Group, Inc. | 6,731 | 556,250 | |
Workday, Inc., Class A (a) | 8,093 | 1,980,600 | |
Xcel Energy, Inc. | 31,453 | 1,689,970 | |
Zoetis, Inc., Class A | 5,686 | 905,439 | |
Zscaler, Inc. (a) | 2,361 | 408,311 | |
264,638,557 | |||
Total Long-Term Investments — 94.3% (Cost: $383,404,326) | 411,682,372 | ||
Short-Term Securities | |||
Money Market Funds — 4.9% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.18%(d)(e) | 21,173,836 | 21,173,836 | |
Total Short-Term Securities — 4.9% (Cost: $21,173,836) | 21,173,836 | ||
Options Purchased — 0.0% (Cost: $58,545) | 2,548 | ||
Total Investments Before Options Written — 99.2% (Cost: $404,636,707) | 432,858,756 | ||
Options Written — (0.0)% (Premiums Received: $(14,984)) | (27,803 ) | ||
Total Investments, Net of Options Written — 99.2% (Cost: $404,621,723) | 432,830,953 | ||
Other Assets Less Liabilities — 0.8% | 3,603,040 | ||
Net Assets — 100.0% | $ 436,433,993 |
(a) | Non-income producing security. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(d) | Affiliate of the Fund. |
(e) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 04/30/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 04/30/24 | Shares Held at 04/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 3,818,942 | $ 17,354,894 (a) | $ — | $ — | $ — | $ 21,173,836 | 21,173,836 | $ 638,812 | $ — |
(a) | Represents net amount purchased (sold). |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
INR | 88,891,819 | USD | 1,061,690 | Royal Bank of Canada | 06/20/24 | $ 1,243 |
USD | 1,211,445 | AUD | 1,859,906 | Canadian Imperial Bank of Commerce | 06/20/24 | 4,845 |
USD | 1,608,383 | CAD | 2,167,973 | Citibank N.A. | 06/20/24 | 32,301 |
USD | 924,250 | CHF | 843,855 | Nomura International PLC | 06/20/24 | 1,290 |
USD | 8,435,644 | DKK | 57,308,827 | JPMorgan Chase Bank N.A. | 06/20/24 | 214,809 |
USD | 1,183,600 | EUR | 1,105,848 | Canadian Imperial Bank of Commerce | 06/20/24 | 1,089 |
USD | 992,667 | EUR | 908,302 | Deutsche Bank AG | 06/20/24 | 21,397 |
USD | 1,934,317 | EUR | 1,804,764 | Deutsche Bank AG | 06/20/24 | 4,437 |
USD | 21,580,160 | EUR | 19,679,193 | Royal Bank of Canada | 06/20/24 | 536,704 |
USD | 4,361,330 | GBP | 3,408,935 | Royal Bank of Canada | 06/20/24 | 100,609 |
USD | 1,201,866 | MXN | 20,532,608 | Morgan Stanley & Co. International PLC | 06/20/24 | 12,409 |
USD | 795,420 | SEK | 8,112,837 | Barclays Bank PLC | 06/20/24 | 57,652 |
USD | 1,083,189 | SEK | 11,891,097 | JPMorgan Chase Bank N.A. | 06/20/24 | 1,833 |
USD | 1,403,038 | SGD | 1,904,757 | Morgan Stanley & Co. International PLC | 06/20/24 | 4,519 |
995,137 | ||||||
AUD | 2,067,903 | USD | 1,368,583 | Morgan Stanley & Co. International PLC | 06/20/24 | (27,046 ) |
CHF | 1,189,525 | USD | 1,310,880 | UBS AG | 06/20/24 | (9,846 ) |
CHF | 3,416,448 | USD | 3,929,712 | UBS AG | 06/20/24 | (192,997 ) |
HKD | 114,198,575 | USD | 14,635,996 | JPMorgan Chase Bank N.A. | 06/20/24 | (16,193 ) |
HKD | 3,555,347 | USD | 455,305 | UBS AG | 06/20/24 | (146 ) |
INR | 207,284,011 | USD | 2,482,568 | BNP Paribas SA | 06/20/24 | (3,949 ) |
INR | 576,541,641 | USD | 6,942,354 | Goldman Sachs International | 06/20/24 | (48,300 ) |
JPY | 81,002,571 | USD | 527,080 | Bank of America N.A. | 06/20/24 | (9,657 ) |
JPY | 2,219,876,008 | USD | 15,255,953 | Nomura International PLC | 06/20/24 | (1,075,954 ) |
MXN | 12,881,538 | USD | 748,993 | JPMorgan Chase Bank N.A. | 06/20/24 | (2,763 ) |
SEK | 5,247,196 | USD | 483,840 | BNP Paribas SA | 06/20/24 | (6,669 ) |
SGD | 3,519,511 | USD | 2,652,686 | BNP Paribas SA | 06/20/24 | (68,576 ) |
TWD | 79,969,098 | USD | 2,457,820 | BNP Paribas SA | 06/20/24 | (5,570 ) |
TWD | 31,244,639 | USD | 993,160 | Royal Bank of Canada | 06/20/24 | (35,044 ) |
TWD | 34,247,297 | USD | 1,062,293 | Royal Bank of Canada | 06/20/24 | (12,101 ) |
TWD | 154,281,678 | USD | 4,941,270 | UBS AG | 06/20/24 | (210,227 ) |
USD | 1,411,360 | GBP | 1,133,279 | Morgan Stanley & Co. International PLC | 06/20/24 | (5,090 ) |
(1,730,128 ) | ||||||
$ (734,991 ) |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Hermes International SCA | 1 | 05/17/24 | EUR | 2,520.00 | EUR | 224 | $ 432 |
LVMH Moet Hennessy Louis Vuitton SE | 4 | 05/17/24 | EUR | 880.00 | EUR | 308 | 461 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call (continued) | |||||||
Thermo Fisher Scientific, Inc. | 7 | 05/17/24 | USD | 610.00 | USD | 398 | $ 455 |
STMicroelectronics NV, ADR | 120 | 06/21/24 | USD | 50.00 | USD | 475 | 1,200 |
$ 2,548 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Put | |||||||
Hermes International SCA | 1 | 05/17/24 | EUR | 2,140.00 | EUR | 224 | $ (1,379 ) |
LVMH Moet Hennessy Louis Vuitton SE | 4 | 05/17/24 | EUR | 740.00 | EUR | 308 | (1,616 ) |
Thermo Fisher Scientific, Inc. | 7 | 05/17/24 | USD | 520.00 | USD | 398 | (507 ) |
STMicroelectronics NV, ADR | 120 | 06/21/24 | USD | 40.00 | USD | 475 | (24,301 ) |
$ (27,803 ) |
Reference Entity | Payment Frequency | Counterparty(a) | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage |
Equity Securities Long/Short | Monthly | Citibank N.A.(b) | 02/26/25 – 02/24/28 | $(8,483,493 ) | $(542,839 )(c) | $(9,464,112 ) | 22.5 % |
Monthly | JPMorgan Chase Bank N.A.(d) | 02/10/25 – 02/18/25 | (453,139 ) | 182,606 (e) | (290,203 ) | 9.5 | |
$(360,233 ) | $(9,754,315 ) |
(a) | The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(c) | Amount includes $437,780 of net dividends and financing fees. |
(e) | Amount includes $19,670 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | ||
(b) | (d) | |
Range: Benchmarks: | 0-115 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) | 6-151 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) |
Security | Shares | Value | % of Basket Value |
Reference Entity — Long | |||
Common Stocks | |||
Australia | |||
Coles Group Ltd. | 135,487 | $1,413,023 | (14.9 )% |
Belgium | |||
Syensqo SA | 5,658 | 524,449 | (5.5 ) |
Brazil | |||
B3 SA - Brasil Bolsa Balcao | 279,387 | 580,554 | (6.1 ) |
BB Seguridade Participacoes SA | 99,989 | 620,045 | (6.6 ) |
Telefonica Brasil SA | 119,746 | 1,091,703 | (11.6 ) |
Security | Shares | Value | % of Basket Value |
Brazil (continued) | |||
WEG SA | 87,366 | $665,432 | (7.0 )% |
Wheaton Precious Metals Corp. | 12,933 | 673,777 | (7.1 ) |
3,631,511 | |||
Canada | |||
Enbridge, Inc. | 24,328 | 865,039 | (9.2 ) |
Power Corp. of Canada | 84,988 | 2,264,453 | (23.9 ) |
Toronto-Dominion Bank | 20,881 | 1,241,294 | (13.1 ) |
4,370,786 | |||
Denmark | |||
AP Moller - Maersk A/S, Class B | 372 | 539,053 | (5.7 ) |
Novo Nordisk A/S | 12,141 | 1,556,988 | (16.4 ) |
Svitzer A/S | 744 | 25,001 | (0.3 ) |
Vestas Wind Systems A/S | 60,805 | 1,629,491 | (17.2 ) |
3,750,533 |
Security | Shares | Value | % of Basket Value |
Finland | |||
Elisa OYJ | 40,671 | $1,833,829 | (19.4 )% |
France | |||
Carrefour SA | 74,004 | 1,244,986 | (13.2 ) |
Germany | |||
Deutsche Telekom AG | 18,372 | 420,821 | (4.4 ) |
Fresenius Medical Care AG | 13,865 | 583,754 | (6.2 ) |
RWE AG | 73,865 | 2,573,127 | (27.2 ) |
3,577,702 | |||
Mexico | |||
Cemex SAB de CV | 748,034 | 592,550 | (6.2 ) |
Wal-Mart de Mexico SAB de CV | 57,355 | 214,009 | (2.3 ) |
806,559 | |||
Netherlands | |||
Koninklijke KPN NV | 961,202 | 3,493,135 | (36.9 ) |
Wolters Kluwer NV | 6,585 | 985,817 | (10.4 ) |
4,478,952 | |||
New Zealand | |||
Xero Ltd. | 4,212 | 327,012 | (3.5 ) |
Norway | |||
Orkla ASA | 55,002 | 374,146 | (4.0 ) |
South Africa | |||
Nedbank Group Ltd. | 42,860 | 521,142 | (5.5 ) |
Spain | |||
Banco Santander SA | 182,902 | 889,934 | (9.4 ) |
Sweden | |||
Telia Co. AB | 629,787 | 1,440,623 | (15.2 ) |
Volvo AB, Class B | 90,395 | 2,300,840 | (24.3 ) |
3,741,463 | |||
Switzerland | |||
Banque Cantonale Vaudoise | 12,110 | 1,266,398 | (13.4 ) |
Kuehne & Nagel International AG, Registered Shares | 1,043 | 275,661 | (2.9 ) |
Novartis AG, Registered Shares | 58,711 | 5,698,342 | (60.2 ) |
SGS SA | 9,659 | 850,529 | (9.0 ) |
8,090,930 | |||
United Kingdom | |||
J Sainsbury PLC | 261,500 | 857,766 | (9.1 ) |
United States | |||
Nestle SA | 25,321 | 2,542,233 | (26.8 ) |
Roche Holding AG | 1,842 | 441,369 | (4.7 ) |
2,983,602 | |||
Preferred Stocks | |||
Brazil | |||
Cia Energetica de Minas Gerais | 381,452 | 717,711 | (7.6 ) |
Petroleo Brasileiro SA | 55,817 | 451,687 | (4.7 ) |
Total Reference Entity — Long | 44,587,723 |
Security | Shares | Value | % of Basket Value |
Reference Entity — Short | |||
Common Stocks | |||
Australia | |||
Pilbara Minerals Ltd. | (26,391 ) | $(67,189 ) | 0.7 % |
Belgium | |||
UCB SA | (7,137 ) | (946,439 ) | 10.0 |
Brazil | |||
Cia de Saneamento Basico do Estado de Sao Paulo SABESP | (20,262 ) | (315,367 ) | 3.3 |
Hapvida Participacoes e Investimentos SA | (1,494,092 ) | (1,061,741 ) | 11.2 |
Natura & Co. Holding SA | (143,275 ) | (457,754 ) | 4.9 |
(1,834,862 ) | |||
Canada | |||
Ivanhoe Mines Ltd. | (2,264 ) | (30,688 ) | 0.3 |
China | |||
Beijing Enterprises Water Group Ltd. | (1,555,735 ) | (392,373 ) | 4.2 |
C&D International Investment Group Ltd. | (121,543 ) | (240,766 ) | 2.5 |
China Literature Ltd. | (382,200 ) | (1,365,238 ) | 14.4 |
Country Garden Services Holdings Co. Ltd. | (41,000 ) | (27,353 ) | 0.3 |
Guangdong Investment Ltd. | (522,000 ) | (272,675 ) | 2.9 |
Sinopharm Group Co. Ltd. | (205,600 ) | (519,214 ) | 5.5 |
Wharf Holdings Ltd. | (170,000 ) | (546,951 ) | 5.8 |
(3,364,570 ) | |||
Finland | |||
Nokia OYJ | (178,647 ) | (649,445 ) | 6.9 |
France | |||
Remy Cointreau SA | (3,141 ) | (297,986 ) | 3.1 |
Sartorius Stedim Biotech | (2,551 ) | (549,401 ) | 5.8 |
Teleperformance SE | (5,923 ) | (536,533 ) | 5.7 |
Worldline SA | (48,176 ) | (499,706 ) | 5.3 |
(1,883,626 ) | |||
Germany | |||
Siemens Energy AG | (105,164 ) | (2,159,379 ) | 22.8 |
Vonovia SE | (16,911 ) | (488,661 ) | 5.2 |
(2,648,040 ) | |||
Italy | |||
DiaSorin SpA | (4,532 ) | (457,720 ) | 4.8 |
Nexi SpA | (120,460 ) | (700,855 ) | 7.4 |
(1,158,575 ) | |||
Japan | |||
Disco Corp. | (1,400 ) | (398,784 ) | 4.2 |
Lasertec Corp. | (1,900 ) | (409,840 ) | 4.3 |
Mitsubishi Heavy Industries Ltd. | (65,700 ) | (587,431 ) | 6.2 |
Olympus Corp. | (44,600 ) | (621,265 ) | 6.6 |
Rakuten Group, Inc. | (358,100 ) | (1,722,261 ) | 18.2 |
Sharp Corp. | (75,000 ) | (393,688 ) | 4.2 |
Suzuki Motor Corp. | (50,600 ) | (589,277 ) | 6.2 |
(4,722,546 ) | |||
Mexico | |||
Industrias Penoles SAB de CV | (25,395 ) | (368,545 ) | 3.9 |
Netherlands | |||
OCI NV | (31,584 ) | (849,501 ) | 9.0 |
Security | Shares | Value | % of Basket Value |
Norway | |||
Salmar ASA | (9,757 ) | $(613,823 ) | 6.5 % |
South Korea | |||
Delivery Hero SE, Class A | (54,558 ) | (1,526,399 ) | 16.1 |
LG Energy Solution Ltd. | (2,348 ) | (653,258 ) | 6.9 |
(2,179,657 ) | |||
Spain | |||
Grifols SA | (139,564 ) | (1,277,353 ) | 13.5 |
Sweden | |||
Beijer Ref AB, Class B | (51,612 ) | (727,386 ) | 7.7 |
EQT AB | (55,790 ) | (1,505,178 ) | 15.9 |
Skanska AB | (37,646 ) | (646,695 ) | 6.8 |
(2,879,259 ) | |||
Switzerland | |||
Bachem Holding AG | (3,775 ) | (327,526 ) | 3.5 |
DSM-Firmenich AG | (6,469 ) | (725,527 ) | 7.7 |
Helvetia Holding AG | (2,966 ) | (387,969 ) | 4.1 |
Sandoz Group AG | (15,448 ) | (525,029 ) | 5.5 |
Swiss Life Holding AG | (3,189 ) | (2,151,796 ) | 22.7 |
(4,117,847 ) | |||
United Kingdom | |||
Entain PLC | (65,133 ) | (635,451 ) | 6.7 |
St James’s Place PLC | (113,761 ) | (615,594 ) | 6.5 |
(1,251,045 ) | |||
United States | |||
Albemarle Corp. | (8,556 ) | (1,029,372 ) | 10.9 |
Aspen Technology, Inc. | (5,800 ) | (1,141,846 ) | 12.1 |
Avantor, Inc. | (16,325 ) | (395,555 ) | 4.2 |
Bath & Body Works, Inc. | (25,910 ) | (1,176,832 ) | 12.4 |
Blackstone, Inc., Class A | (3,023 ) | (352,512 ) | 3.7 |
Boston Properties, Inc. | (19,929 ) | (1,233,406 ) | 13.0 |
Celsius Holdings, Inc. | (8,127 ) | (579,211 ) | 6.1 |
Charter Communications, Inc. | (4,357 ) | (1,115,131 ) | 11.8 |
Cleveland-Cliffs, Inc. | (12,598 ) | (212,906 ) | 2.2 |
Coinbase Global, Inc., Class A | (1,530 ) | (312,013 ) | 3.3 |
Constellation Energy Corp. | (3,314 ) | (616,205 ) | 6.5 |
Darling Ingredients, Inc. | (40,915 ) | (1,733,569 ) | 18.3 |
Enphase Energy, Inc. | (7,365 ) | (801,017 ) | 8.5 |
Entegris, Inc. | (2,272 ) | (301,994 ) | 3.2 |
EQT Corp. | (27,543 ) | (1,104,199 ) | 11.7 |
FedEx Corp. | (1,251 ) | (327,487 ) | 3.5 |
FMC Corp. | (12,540 ) | (739,985 ) | 7.8 |
GE HealthCare, Inc. | (16,514 ) | (1,259,027 ) | 13.3 |
Hasbro, Inc. | (10,486 ) | (642,792 ) | 6.8 |
Lattice Semiconductor Corp. | (8,535 ) | (585,501 ) | 6.2 |
Liberty Media Corp.-Liberty SiriusXM | (11,324 ) | (272,455 ) | 2.9 |
MongoDB, Inc., Class A | (647 ) | (236,272 ) | 2.5 |
Paylocity Holding Corp. | (2,994 ) | (464,549 ) | 4.9 |
Repligen Corp. | (3,479 ) | (571,252 ) | 6.0 |
Super Micro Computer, Inc. | (1,444 ) | (1,240,107 ) | 13.1 |
Tesla, Inc. | (6,302 ) | (1,155,031 ) | 12.2 |
Toro Co. | (10,570 ) | (925,826 ) | 9.8 |
U-Haul Holding Co. | (5,666 ) | (347,439 ) | 3.7 |
Security | Shares | Value | % of Basket Value |
United States (continued) | |||
Viatris, Inc. | (38,112 ) | $(440,956 ) | 4.6 % |
Walgreens Boots Alliance, Inc. | (27,823 ) | (493,302 ) | 5.2 |
Western Digital Corp. | (15,473 ) | (1,095,953 ) | 11.6 |
Zebra Technologies Corp. | (970 ) | (305,123 ) | 3.2 |
(23,208,825 ) | |||
Total Reference Entity — Short | (54,051,835 ) | ||
Net Value of Reference Entity — Citibank N.A. | $(9,464,112 ) |
Security | Shares | Value | % of Basket Value |
Reference Entity — Long | |||
Common Stocks | |||
Australia | |||
BHP Group Ltd. | 35,850 | $983,226 | (338.8 )% |
Brambles Ltd. | 50,710 | 477,062 | (164.4 ) |
Woolworths Group Ltd. | 72,594 | 1,489,419 | (513.2 ) |
2,949,707 | |||
Belgium | |||
Ageas SA/NV | 18,130 | 832,195 | (286.8 ) |
Canada | |||
Fairfax Financial Holdings Ltd. | 348 | 378,350 | (130.4 ) |
Franco-Nevada Corp. | 19,346 | 2,328,855 | (802.5 ) |
2,707,205 | |||
China | |||
Prosus NV | 81,397 | 2,723,540 | (938.5 ) |
France | |||
La Francaise des Jeux SAEM | 7,838 | 295,373 | (101.8 ) |
Italy | |||
Mediobanca Banca di Credito Finanziario SpA | 38,895 | 552,624 | (190.4 ) |
Netherlands | |||
Koninklijke Ahold Delhaize NV | 44,668 | 1,355,861 | (467.2 ) |
Norway | |||
Equinor ASA | 29,648 | 788,885 | (271.9 ) |
Poland | |||
Powszechny Zaklad Ubezpieczen SA | 166,565 | 2,096,368 | (722.4 ) |
Saudi Arabia | |||
Arabian Internet & Communications Services Co. | 4,185 | 387,025 | (133.4 ) |
Dr Sulaiman Al Habib Medical Services Group Co. | 3,517 | 290,813 | (100.2 ) |
Etihad Etisalat Co. | 58,185 | 806,703 | (278.0 ) |
Security | Shares | Value | % of Basket Value |
Saudi Arabia (continued) | |||
Saudi Arabian Oil Co. | 35,944 | $288,009 | (99.2 )% |
Saudi Telecom Co. | 53,972 | 541,570 | (186.6 ) |
2,314,120 | |||
South Africa | |||
Discovery Ltd. | 54,709 | 349,510 | (120.4 ) |
FirstRand Ltd. | 59,839 | 206,573 | (71.2 ) |
556,083 | |||
Spain | |||
Banco Bilbao Vizcaya Argentaria SA | 129,434 | 1,399,696 | (482.3 ) |
United States | |||
James Hardie Industries PLC | 21,177 | 728,022 | (250.8 ) |
Roche Holding AG | 205 | 53,927 | (18.6 ) |
Tenaris SA | 32,657 | 542,342 | (186.9 ) |
1,324,291 | |||
Total Reference Entity — Long | 19,895,948 | ||
Reference Entity — Short | |||
Common Stocks | |||
Australia | |||
CAR Group Ltd. | (44,815 ) | (971,746 ) | 334.8 |
Mineral Resources Ltd. | (51,712 ) | (2,345,776 ) | 808.3 |
Pilbara Minerals Ltd. | (88,187 ) | (224,516 ) | 77.4 |
SEEK Ltd. | (92,377 ) | (1,427,023 ) | 491.7 |
WiseTech Global Ltd. | (10,669 ) | (628,538 ) | 216.6 |
(5,597,599 ) | |||
Brazil | |||
Cia de Saneamento Basico do Estado de Sao Paulo SABESP | (17,573 ) | (273,514 ) | 94.2 |
Hapvida Participacoes e Investimentos SA | (630,829 ) | (448,284 ) | 154.5 |
Localiza Rent a Car SA | (55,715 ) | (526,077 ) | 181.3 |
(1,247,875 ) | |||
Canada | |||
Ivanhoe Mines Ltd., Class A | (124,019 ) | (1,681,033 ) | 579.3 |
China | |||
Alibaba Health Information Technology Ltd. | (18,000 ) | (6,719 ) | 2.3 |
C&D International Investment Group Ltd. | (98,000 ) | (194,130 ) | 66.9 |
Country Garden Services Holdings Co. Ltd. | (728,000 ) | (485,678 ) | 167.4 |
Hygeia Healthcare Holdings Co. Ltd. | (23,800 ) | (98,233 ) | 33.8 |
Wharf Holdings Ltd. | (10,000 ) | (32,173 ) | 11.1 |
XPeng, Inc., Class A | (67,100 ) | (272,034 ) | 93.7 |
(1,088,967 ) |
Security | Shares | Value | % of Basket Value |
France | |||
Alstom SA | (13,239 ) | $(208,754 ) | 71.9 % |
Italy | |||
Telecom Italia SpA | (3,237,818 ) | (767,607 ) | 264.5 |
Japan | |||
Sharp Corp. | (85,100 ) | (446,704 ) | 153.9 |
Poland | |||
CD Projekt SA | (46,761 ) | (1,360,386 ) | 468.8 |
South Africa | |||
Harmony Gold Mining Co. Ltd. | (33,364 ) | (288,806 ) | 99.5 |
Impala Platinum Holdings Ltd. | (134,612 ) | (599,233 ) | 206.5 |
Northam Platinum Holdings Ltd. | (31,410 ) | (208,824 ) | 72.0 |
(1,096,863 ) | |||
South Korea | |||
L&F Co. Ltd. | (2,157 ) | (252,326 ) | 87.0 |
Lotte Chemical Corp. | (3,730 ) | (288,244 ) | 99.3 |
POSCO Future M Co. Ltd. | (3,852 ) | (774,936 ) | 267.0 |
POSCO Holdings, Inc. | (3,322 ) | (958,997 ) | 330.5 |
SKC Co. Ltd. | (2,688 ) | (212,453 ) | 73.2 |
(2,486,956 ) | |||
Sweden | |||
Beijer Ref AB, Class B | (44,598 ) | (628,536 ) | 216.6 |
Switzerland | |||
Bachem Holding AG | (16,781 ) | (1,455,949 ) | 501.7 |
Taiwan | |||
Powerchip Semiconductor Manufacturing Corp. | (402,000 ) | (280,868 ) | 96.8 |
United Kingdom | |||
Ocado Group PLC | (212,647 ) | (931,016 ) | 320.8 |
Pepco Group NV | (50,728 ) | (239,170 ) | 82.4 |
(1,170,186 ) | |||
(19,518,283 ) | |||
Preferred Stocks | |||
Germany | |||
Sartorius AG | (2,234 ) | (667,868 ) | 230.2 |
(667,868 ) | |||
Total Reference Entity — Short | (20,186,151 ) | ||
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | $(290,203 ) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value |
OTC Swaps | $ — | $ — | $ 182,606 | $ (542,839 ) | $ — |
Options Written | N/A | N/A | 3,201 | (16,020 ) | (27,803 ) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 995,137 | $ — | $ — | $ 995,137 |
Options purchased Investments at value — unaffiliated(a) | — | — | 2,548 | — | — | — | 2,548 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | — | 182,606 | — | — | — | 182,606 |
$ — | $ — | $ 185,154 | $ 995,137 | $ — | $ — | $ 1,180,291 | |
Liabilities — Derivative Financial Instruments | |||||||
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 1,730,128 | $ — | $ — | $ 1,730,128 |
Options written Options written at value | — | — | 27,803 | — | — | — | 27,803 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | — | 542,839 | — | — | — | 542,839 |
$ — | $ — | $ 570,642 | $ 1,730,128 | $ — | $ — | $ 2,300,770 |
(a) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ (20,284 ) | $ — | $ — | $ — | $ (20,284 ) |
Forward foreign currency exchange contracts | — | — | — | (1,263,628 ) | — | — | (1,263,628 ) |
Options purchased(a) | — | — | (8,565 ) | — | — | — | (8,565 ) |
Options written | — | — | 10,234 | — | — | — | 10,234 |
Swaps | — | — | 2,116,490 | — | — | — | 2,116,490 |
$ — | $ — | $ 2,097,875 | $ (1,263,628 ) | $ — | $ — | $ 834,247 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Forward foreign currency exchange contracts | $ — | $ — | $ — | $ (474,235 ) | $ — | $ — | $ (474,235 ) |
Options purchased(b) | — | — | (55,997 ) | — | — | — | (55,997 ) |
Options written | — | — | (12,819 ) | — | — | — | (12,819 ) |
Swaps | — | — | (1,081,894 ) | — | — | — | (1,081,894 ) |
$ — | $ — | $ (1,150,710 ) | $ (474,235 ) | $ — | $ — | $ (1,624,945 ) |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — short | $182,644 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $27,614,371 |
Average amounts sold — in USD | $39,079,640 |
Options: | |
Average value of option contracts purchased | $2,071 |
Average value of option contracts written | $11,291 |
Total return swaps: | |
Average notional value | $(10,416,033 ) |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Forward foreign currency exchange contracts | $ 995,137 | $ 1,730,128 |
Options | 2,548 (a) | 27,803 |
Swaps — OTC(b) | 182,606 | 542,839 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,180,291 | 2,300,770 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (2,548 ) | (27,803 ) |
Total derivative assets and liabilities subject to an MNA | $ 1,177,743 | $ 2,272,967 |
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Consolidated Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received(b) | Net Amount of Derivative Assets(c)(d) |
Barclays Bank PLC | $ 57,652 | $ — | $ — | $ — | $ 57,652 |
Canadian Imperial Bank of Commerce | 5,934 | — | — | — | 5,934 |
Citibank N.A. | 32,301 | (32,301) | — | — | — |
Deutsche Bank AG | 25,834 | — | — | — | 25,834 |
JPMorgan Chase Bank N.A. | 399,248 | (18,956) | — | (380,292 ) | — |
Morgan Stanley & Co. International PLC | 16,928 | (16,928) | — | — | — |
Nomura International PLC | 1,290 | (1,290) | — | — | — |
Royal Bank of Canada | 638,556 | (47,145) | — | — | 591,411 |
$ 1,177,743 | $ (116,620) | $ — | $ (380,292 ) | $ 680,831 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities(c)(e) |
Bank of America N.A. | $ 9,657 | $ — | $ — | $ — | $ 9,657 |
BNP Paribas SA | 84,764 | — | — | — | 84,764 |
Citibank N.A. | 542,839 | (32,301) | — | — | 510,538 |
Goldman Sachs International | 48,300 | — | — | — | 48,300 |
JPMorgan Chase Bank N.A. | 18,956 | (18,956) | — | — | — |
Morgan Stanley & Co. International PLC | 32,136 | (16,928) | — | — | 15,208 |
Nomura International PLC | 1,075,954 | (1,290) | — | — | 1,074,664 |
Royal Bank of Canada | 47,145 | (47,145) | — | — | — |
UBS AG | 413,216 | — | — | — | 413,216 |
$ 2,272,967 | $ (116,620) | $ — | $ — | $ 2,156,347 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Common Stocks | ||||
China | $ 733,211 | $ 28,361,507 | $ — | $ 29,094,718 |
Denmark | — | 10,269,337 | — | 10,269,337 |
France | — | 11,062,873 | — | 11,062,873 |
Germany | — | 2,728,113 | — | 2,728,113 |
Greece | 292,490 | — | — | 292,490 |
Hong Kong | 913,206 | 3,309,797 | — | 4,223,003 |
India | — | 13,647,612 | — | 13,647,612 |
Indonesia | — | 904,182 | — | 904,182 |
Ireland | — | 1,229,256 | — | 1,229,256 |
Italy | — | 5,966,631 | — | 5,966,631 |
Japan | — | 33,348,466 | — | 33,348,466 |
Netherlands | — | 8,451,252 | — | 8,451,252 |
Peru | 252,721 | — | — | 252,721 |
Singapore | — | 971,744 | — | 971,744 |
South Korea | — | 2,800,365 | — | 2,800,365 |
Sweden | — | 1,151,207 | — | 1,151,207 |
Switzerland | — | 986,797 | — | 986,797 |
Taiwan | — | 12,437,470 | — | 12,437,470 |
United Kingdom | — | 7,225,578 | — | 7,225,578 |
United States | 264,376,700 | 261,857 | — | 264,638,557 |
Short-Term Securities | ||||
Money Market Funds | 21,173,836 | — | — | 21,173,836 |
Options Purchased | ||||
Equity Contracts | 2,548 | — | — | 2,548 |
$ 287,744,712 | $ 145,114,044 | $ — | $ 432,858,756 | |
Derivative Financial Instruments(a) | ||||
Assets | ||||
Equity Contracts | $ — | $ 182,606 | $ — | $ 182,606 |
Foreign Currency Exchange Contracts | — | 995,137 | — | 995,137 |
Liabilities | ||||
Equity Contracts | (27,803 ) | (542,839 ) | — | (570,642 ) |
Foreign Currency Exchange Contracts | — | (1,730,128 ) | — | (1,730,128 ) |
$ (27,803 ) | $ (1,095,224 ) | $ — | $ (1,123,027 ) |
(a) | Derivative financial instruments are swaps, forward foreign currency exchange contracts and options written. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
Security | Shares | Value | |
Common Stocks | |||
Australia — 0.5% | |||
Glencore PLC | 558,743 | $ 3,251,080 | |
Canada — 2.4% | |||
Cameco Corp. | 73,624 | 3,359,463 | |
Enbridge, Inc. | 98,174 | 3,490,805 | |
Suncor Energy, Inc. | 249,076 | 9,504,204 | |
16,354,472 | |||
China — 0.9% | |||
BYD Co. Ltd., Class H | 150,500 | 4,125,591 | |
Contemporary Amperex Technology Co. Ltd., Class A | 75,600 | 2,110,872 | |
6,236,463 | |||
France — 2.6% | |||
Accor SA | 53,619 | 2,349,889 | |
Cie de Saint-Gobain SA | 50,258 | 3,974,536 | |
EssilorLuxottica SA | 19,706 | 4,201,942 | |
LVMH Moet Hennessy Louis Vuitton SE | 8,667 | 7,119,386 | |
17,645,753 | |||
Germany — 1.4% | |||
adidas AG, Class N | 16,419 | 3,956,702 | |
Mercedes-Benz Group AG, Class N | 73,792 | 5,581,692 | |
9,538,394 | |||
Hong Kong — 0.4% | |||
AIA Group Ltd. | 330,800 | 2,422,896 | |
Israel — 0.6% | |||
Nice Ltd., ADR (a) | 19,351 | 4,325,142 | |
Italy — 1.3% | |||
Intesa Sanpaolo SpA | 1,395,103 | 5,221,878 | |
UniCredit SpA | 104,302 | 3,828,339 | |
9,050,217 | |||
Japan — 6.9% | |||
Daikin Industries Ltd. | 7,700 | 1,050,983 | |
FANUC Corp. | 119,500 | 3,539,504 | |
Honda Motor Co. Ltd. | 221,900 | 2,524,684 | |
Hoya Corp. | 54,378 | 6,304,575 | |
Japan Airlines Co. Ltd. | 197,700 | 3,502,999 | |
Keyence Corp. | 13,800 | 6,068,820 | |
Komatsu Ltd. | 112,800 | 3,367,774 | |
Mitsubishi UFJ Financial Group, Inc. | 469,700 | 4,678,846 | |
Mitsui & Co. Ltd. | 119,200 | 5,754,461 | |
SMC Corp. | 5,300 | 2,784,443 | |
Sysmex Corp. | 86,900 | 1,389,564 | |
Toyota Motor Corp. | 265,800 | 6,062,519 | |
47,029,172 | |||
Netherlands — 1.6% | |||
ASML Holding NV | 11,978 | 10,432,990 | |
South Korea — 0.4% | |||
SK Hynix, Inc. | 19,829 | 2,447,010 | |
Spain — 1.2% | |||
Cellnex Telecom SA (b) | 234,730 | 7,758,929 | |
Switzerland — 0.9% | |||
UBS Group AG, Registered Shares | 231,310 | 6,074,956 | |
Taiwan — 0.7% | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | 196,000 | 4,692,976 |
Security | Shares | Value | |
United Arab Emirates — 0.0% | |||
NMC Health PLC (a)(c) | 504 | $ — | |
United Kingdom — 3.5% | |||
AstraZeneca PLC | 39,146 | 5,920,788 | |
AstraZeneca PLC, ADR | 47,631 | 3,614,240 | |
BAE Systems PLC | 693,073 | 11,527,341 | |
Unilever PLC | 56,410 | 2,918,135 | |
23,980,504 | |||
United States — 65.2% | |||
AbbVie, Inc. | 11,824 | 1,923,056 | |
Adobe, Inc. (a) | 15,018 | 6,950,781 | |
Advanced Micro Devices, Inc. (a) | 36,175 | 5,729,396 | |
Alphabet, Inc., Class C (a) | 108,757 | 17,905,752 | |
Amazon.com, Inc. (a)(d) | 144,017 | 25,202,975 | |
American Tower Corp. | 21,155 | 3,629,352 | |
Apple, Inc. (d) | 94,393 | 16,077,960 | |
Applied Materials, Inc. | 19,633 | 3,900,095 | |
Boston Scientific Corp. (a) | 155,495 | 11,175,426 | |
Bunge Global SA | 49,526 | 5,039,766 | |
CF Industries Holdings, Inc. | 60,337 | 4,764,813 | |
Chevron Corp. | 69,883 | 11,270,031 | |
Chubb Ltd. | 25,930 | 6,447,235 | |
Confluent, Inc., Class A (a) | 225,807 | 6,349,693 | |
Costco Wholesale Corp. | 6,624 | 4,788,490 | |
CRH PLC | 35,709 | 2,765,333 | |
Danaher Corp. | 52,417 | 12,927,081 | |
Deckers Outdoor Corp. (a) | 1,180 | 965,795 | |
Delta Air Lines, Inc. | 132,664 | 6,642,486 | |
Eli Lilly & Co. | 14,728 | 11,504,041 | |
Fortive Corp. | 91,909 | 6,917,990 | |
Freeport-McMoRan, Inc. | 168,092 | 8,394,514 | |
Goldman Sachs Group, Inc. | 15,957 | 6,809,011 | |
Ingersoll Rand, Inc. | 86,397 | 8,062,568 | |
Intuitive Surgical, Inc. (a) | 16,316 | 6,047,036 | |
JPMorgan Chase & Co. | 84,070 | 16,119,582 | |
LKQ Corp. | 167,806 | 7,237,473 | |
LPL Financial Holdings, Inc. | 33,538 | 9,026,082 | |
Marsh & McLennan Cos., Inc. | 47,332 | 9,439,421 | |
Mastercard, Inc., Class A | 29,108 | 13,133,530 | |
Merck & Co., Inc. | 85,227 | 11,013,033 | |
Meta Platforms, Inc., Class A | 20,951 | 9,012,492 | |
Micron Technology, Inc. | 82,505 | 9,319,765 | |
Microsoft Corp. (d) | 101,878 | 39,664,162 | |
Nestle SA, Class N, Registered Shares | 15,491 | 1,555,299 | |
NextEra Energy, Inc. | 51,014 | 3,416,408 | |
NVIDIA Corp. | 28,506 | 24,629,754 | |
Oracle Corp. | 93,923 | 10,683,741 | |
Palo Alto Networks, Inc. (a) | 7,339 | 2,134,842 | |
Salesforce, Inc. | 32,129 | 8,640,773 | |
Sanofi SA | 33,850 | 3,344,145 | |
Sempra | 96,671 | 6,924,544 | |
Shell PLC | 298,000 | 10,648,671 | |
Shell PLC, ADR | 38,552 | 2,762,636 | |
Smith Douglas Homes Corp. (a) | 2,705 | 78,634 | |
TJX Cos., Inc. | 63,705 | 5,994,003 | |
UnitedHealth Group, Inc. | 23,125 | 11,185,562 | |
Valero Energy Corp. | 29,229 | 4,672,840 |
Security | Shares | Value | |
United States (continued) | |||
Walmart, Inc. | 153,703 | $ 9,122,273 | |
Walt Disney Co. | 91,979 | 10,218,867 | |
442,169,208 | |||
Total Common Stocks — 90.5% (Cost: $559,681,534) | 613,410,162 | ||
Investment Companies | |||
United States — 0.1% | |||
iShares MSCI China ETF (e) | 19,824 | 830,031 | |
Total Investment Companies — 0.1% (Cost: $1,061,580) | 830,031 | ||
Total Long-Term Investments — 90.6% (Cost: $560,743,114) | 614,240,193 | ||
Short-Term Securities | |||
Money Market Funds — 8.4% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.18%(e)(f) | 56,778,198 | 56,778,198 | |
Total Short-Term Securities — 8.4% (Cost: $56,778,198) | 56,778,198 | ||
Options Purchased — 0.1% (Cost: $1,706,564) | 1,072,300 | ||
Total Investments Before Options Written — 99.1% (Cost: $619,227,876) | 672,090,691 | ||
Options Written — (0.0)% (Premiums Received: $(371,451)) | (273,267 ) | ||
Total Investments, Net of Options Written — 99.1% (Cost: $618,856,425) | 671,817,424 | ||
Other Assets Less Liabilities — 0.9% | 6,070,779 | ||
Net Assets — 100.0% | $ 677,888,203 |
(a) | Non-income producing security. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(e) | Affiliate of the Fund. |
(f) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 04/30/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 04/30/24 | Shares Held at 04/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 13,956,763 | $ 42,821,435 (a) | $ — | $ — | $ — | $ 56,778,198 | 56,778,198 | $ 1,486,036 | $ — |
iShares MSCI China ETF | 946,001 | — | — | — | (115,970 ) | 830,031 | 19,824 | 28,216 | — |
$ — | $ (115,970 ) | $ 57,608,229 | $ 1,514,252 | $ — |
(a) | Represents net amount purchased (sold). |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
NSE IFSC Nifty 50 Index | 9 | 05/30/24 | $ 409 | $ 4,161 |
S&P/TSE 60 Index | 4 | 06/20/24 | 759 | (7,524 ) |
NASDAQ 100 E-Mini Index | 6 | 06/21/24 | 2,109 | (77,593 ) |
S&P 500 E-Mini Index | 99 | 06/21/24 | 25,082 | (591,542 ) |
(672,498 ) | ||||
Short Contracts | ||||
CAC 40 Index | 18 | 05/17/24 | 1,521 | 9,538 |
SPI 200 Index | 4 | 06/20/24 | 491 | 9,400 |
18,938 | ||||
$ (653,560 ) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
HKD | 13,345,654 | USD | 1,707,487 | Societe Generale | 06/20/24 | $ 1,036 |
USD | 1,046,731 | CAD | 1,432,960 | Morgan Stanley & Co. International PLC | 06/20/24 | 4,992 |
USD | 935,900 | CNY | 6,626,643 | Citibank N.A. | 06/20/24 | 4,496 |
USD | 14,666,089 | EUR | 13,374,173 | Royal Bank of Canada | 06/20/24 | 364,749 |
USD | 2,070,999 | GBP | 1,618,932 | Deutsche Bank AG | 06/20/24 | 47,547 |
USD | 4,636,232 | HKD | 36,173,714 | Citibank N.A. | 06/20/24 | 5,240 |
USD | 11,301,074 | JPY | 1,644,391,510 | HSBC Bank PLC | 06/20/24 | 797,123 |
USD | 1,811,114 | KRW | 2,365,260,757 | BNP Paribas SA | 06/20/24 | 100,556 |
USD | 2,473,724 | TWD | 78,603,556 | BNP Paribas SA | 06/20/24 | 63,348 |
USD | 2,365,467 | TWD | 73,857,164 | UBS AG | 06/20/24 | 100,639 |
1,489,726 | ||||||
AUD | 17,731,035 | USD | 11,734,665 | Natwest Markets PLC | 06/20/24 | (231,783 ) |
CAD | 11,604,836 | USD | 8,610,088 | Morgan Stanley & Co. International PLC | 06/20/24 | (173,557 ) |
CHF | 3,027,500 | USD | 3,336,371 | Royal Bank of Canada | 06/20/24 | (25,066 ) |
CHF | 4,251,438 | USD | 4,890,150 | UBS AG | 06/20/24 | (240,172 ) |
DKK | 28,739,971 | USD | 4,230,294 | Morgan Stanley & Co. International PLC | 06/20/24 | (107,604 ) |
EUR | 1,404,793 | USD | 1,505,626 | Barclays Bank PLC | 06/20/24 | (3,445 ) |
EUR | 2,045,240 | USD | 2,225,191 | HSBC Bank PLC | 06/20/24 | (38,165 ) |
GBP | 1,355,611 | USD | 1,713,012 | Citibank N.A. | 06/20/24 | (18,676 ) |
JPY | 461,441,978 | USD | 3,087,727 | JPMorgan Chase Bank N.A. | 06/20/24 | (140,154 ) |
SEK | 29,937,558 | USD | 2,760,604 | BNP Paribas SA | 06/20/24 | (38,133 ) |
SEK | 28,794,077 | USD | 2,820,931 | Royal Bank of Canada | 06/20/24 | (202,447 ) |
(1,219,202 ) | ||||||
$ 270,524 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Adobe, Inc. | 21 | 05/17/24 | USD | 540.00 | USD | 972 | $ 399 |
Amazon.com, Inc. | 190 | 05/17/24 | USD | 190.00 | USD | 3,325 | 73,150 |
CF Industries Holdings, Inc. | 143 | 05/17/24 | USD | 92.50 | USD | 1,129 | 3,218 |
Chevron Corp. | 93 | 05/17/24 | USD | 165.00 | USD | 1,500 | 12,183 |
Danaher Corp. | 43 | 05/17/24 | USD | 270.00 | USD | 1,060 | 430 |
Eli Lilly & Co. | 19 | 05/17/24 | USD | 760.00 | USD | 1,484 | 60,657 |
Freeport-McMoRan, Inc. | 291 | 05/17/24 | USD | 48.00 | USD | 1,453 | 80,898 |
Micron Technology, Inc. | 74 | 05/17/24 | USD | 135.00 | USD | 836 | 1,554 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call (continued) | |||||||
NVIDIA Corp. | 74 | 05/17/24 | USD | 950.00 | USD | 6,394 | $ 82,880 |
Oracle Corp. | 107 | 05/17/24 | USD | 135.00 | USD | 1,217 | 214 |
Salesforce, Inc. | 58 | 05/17/24 | USD | 330.00 | USD | 1,560 | 870 |
AbbVie, Inc. | 116 | 06/21/24 | USD | 175.00 | USD | 1,887 | 9,744 |
Advanced Micro Devices, Inc. | 116 | 06/21/24 | USD | 175.00 | USD | 1,837 | 68,730 |
Alphabet, Inc., Class C | 154 | 06/21/24 | USD | 165.00 | USD | 2,535 | 105,875 |
Amazon.com, Inc. | 82 | 06/21/24 | USD | 185.00 | USD | 1,435 | 55,555 |
Apple, Inc. | 116 | 06/21/24 | USD | 180.00 | USD | 1,976 | 39,440 |
Eli Lilly & Co. | 24 | 06/21/24 | USD | 770.00 | USD | 1,875 | 98,940 |
Meta Platforms, Inc., Class A | 42 | 06/21/24 | USD | 500.00 | USD | 1,807 | 15,540 |
Meta Platforms, Inc., Class A | 39 | 06/21/24 | USD | 520.00 | USD | 1,678 | 8,580 |
Microsoft Corp. | 77 | 06/21/24 | USD | 440.00 | USD | 2,998 | 11,396 |
Novo Nordisk A/S, ADR | 123 | 06/21/24 | USD | 130.00 | USD | 1,578 | 75,952 |
UnitedHealth Group, Inc. | 31 | 06/21/24 | USD | 500.00 | USD | 1,499 | 25,188 |
Adobe, Inc. | 45 | 07/19/24 | USD | 530.00 | USD | 2,083 | 41,287 |
Apple, Inc. | 310 | 08/16/24 | USD | 220.00 | USD | 5,280 | 12,400 |
Apple, Inc. | 200 | 08/16/24 | USD | 190.00 | USD | 3,407 | 62,000 |
947,080 | |||||||
Put | |||||||
Microsoft Corp. | 79 | 05/03/24 | USD | 390.00 | USD | 3,076 | 38,118 |
Abbott Laboratories | 128 | 05/17/24 | USD | 105.00 | USD | 1,356 | 15,296 |
JPMorgan Chase & Co. | 189 | 06/21/24 | USD | 175.00 | USD | 3,624 | 19,845 |
Merck & Co., Inc. | 182 | 10/18/24 | USD | 120.00 | USD | 2,352 | 51,961 |
125,220 | |||||||
$ 1,072,300 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Freeport-McMoRan, Inc. | 291 | 05/17/24 | USD | 55.00 | USD | 1,453 | $ (7,275 ) |
Advanced Micro Devices, Inc. | 116 | 06/21/24 | USD | 200.00 | USD | 1,837 | (24,940 ) |
Alphabet, Inc., Class C | 154 | 06/21/24 | USD | 180.00 | USD | 2,535 | (27,874 ) |
Amazon.com, Inc. | 82 | 06/21/24 | USD | 205.00 | USD | 1,435 | (13,653 ) |
Eli Lilly & Co. | 24 | 06/21/24 | USD | 850.00 | USD | 1,875 | (24,720 ) |
Meta Platforms, Inc., Class A | 39 | 06/21/24 | USD | 580.00 | USD | 1,678 | (2,438 ) |
Microsoft Corp. | 77 | 06/21/24 | USD | 480.00 | USD | 2,998 | (1,848 ) |
UnitedHealth Group, Inc. | 31 | 06/21/24 | USD | 550.00 | USD | 1,499 | (2,976 ) |
(105,724 ) | |||||||
Put | |||||||
Microsoft Corp. | 79 | 05/03/24 | USD | 370.00 | USD | 3,076 | (3,081 ) |
Adobe, Inc. | 21 | 05/17/24 | USD | 450.00 | USD | 972 | (11,707 ) |
Danaher Corp. | 86 | 05/17/24 | USD | 230.00 | USD | 2,121 | (4,085 ) |
Oracle Corp. | 64 | 05/17/24 | USD | 115.00 | USD | 728 | (18,753 ) |
Advanced Micro Devices, Inc. | 116 | 06/21/24 | USD | 125.00 | USD | 1,837 | (13,398 ) |
Apple, Inc. | 116 | 06/21/24 | USD | 150.00 | USD | 1,976 | (13,224 ) |
Eli Lilly & Co. | 24 | 06/21/24 | USD | 650.00 | USD | 1,875 | (4,692 ) |
JPMorgan Chase & Co. | 189 | 06/21/24 | USD | 160.00 | USD | 3,624 | (7,371 ) |
Meta Platforms, Inc., Class A | 39 | 06/21/24 | USD | 400.00 | USD | 1,678 | (31,882 ) |
UnitedHealth Group, Inc. | 31 | 06/21/24 | USD | 420.00 | USD | 1,499 | (3,054 ) |
Adobe, Inc. | 45 | 07/19/24 | USD | 390.00 | USD | 2,083 | (24,187 ) |
Apple, Inc. | 200 | 08/16/24 | USD | 140.00 | USD | 3,407 | (23,100 ) |
Merck & Co., Inc. | 182 | 10/18/24 | USD | 100.00 | USD | 2,352 | (9,009 ) |
(167,543 ) | |||||||
$ (273,267 ) |
Reference Entity | Payment Frequency | Counterparty(a) | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage |
Equity Securities Short | Monthly | Citibank N.A.(b) | 02/24/28 | $(108,366 ) | $14,384 (c) | $(94,551 ) | 0.0 % |
(a) | The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(c) | Amount includes $569 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | |
(b) | |
Range: Benchmarks: | 15 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) |
Security | Shares | Value | % of Basket Value |
Reference Entity — Short | |||
Common Stocks | |||
United States | |||
Southwest Airlines Co. | (3,645 ) | $(94,551 ) | 100.0 % |
Net Value of Reference Entity — Citibank N.A. | $(94,551 ) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value |
OTC Swaps | $ — | $ — | $ 14,384 | $ — | $ — |
Options Written | N/A | N/A | 134,948 | (36,764 ) | (273,267 ) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ 23,099 | $ — | $ — | $ — | $ 23,099 |
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 1,489,726 | — | — | 1,489,726 |
Options purchased Investments at value — unaffiliated(b) | — | — | 1,072,300 | — | — | — | 1,072,300 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | — | 14,384 | — | — | — | 14,384 |
$ — | $ — | $ 1,109,783 | $ 1,489,726 | $ — | $ — | $ 2,599,509 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ — | $ — | $ 676,659 | $ — | $ — | $ — | $ 676,659 |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 1,219,202 | $ — | $ — | $ 1,219,202 |
Options written Options written at value | — | — | 273,267 | — | — | — | 273,267 |
$ — | $ — | $ 949,926 | $ 1,219,202 | $ — | $ — | $ 2,169,128 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ 2,826,294 | $ — | $ — | $ — | $ 2,826,294 |
Forward foreign currency exchange contracts | — | — | — | (127,557 ) | — | — | (127,557 ) |
Options purchased(a) | — | — | 4,722,669 | — | — | — | 4,722,669 |
Options written | — | — | 547,134 | — | — | — | 547,134 |
Swaps | — | — | (283,950 ) | — | — | — | (283,950 ) |
$ — | $ — | $ 7,812,147 | $ (127,557 ) | $ — | $ — | $ 7,684,590 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ — | $ — | $ (1,599,400 ) | $ — | $ — | $ — | $ (1,599,400 ) |
Forward foreign currency exchange contracts | — | — | — | 660,452 | — | — | 660,452 |
Options purchased(b) | — | — | (518,658 ) | — | — | — | (518,658 ) |
Options written | — | — | 26,169 | — | — | — | 26,169 |
Swaps | — | — | 16,325 | — | — | — | 16,325 |
$ — | $ — | $ (2,075,564 ) | $ 660,452 | $ — | $ — | $ (1,415,112 ) |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — long | $28,926,049 |
Average notional value of contracts — short | $15,194,734 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $27,364,087 |
Average amounts sold — in USD | $25,184,227 |
Options: | |
Average value of option contracts purchased | $1,238,923 |
Average value of option contracts written | $348,307 |
Total return swaps: | |
Average notional value | $(810,769 ) |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Futures contracts | $ 24,151 | $ 327,775 |
Assets | Liabilities | |
Forward foreign currency exchange contracts | $ 1,489,726 | $ 1,219,202 |
Options | 1,072,300 (a) | 273,267 |
Swaps — OTC(b) | 14,384 | — |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,600,561 | 1,820,244 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (1,096,451 ) | (601,042 ) |
Total derivative assets and liabilities subject to an MNA | $ 1,504,110 | $ 1,219,202 |
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) |
BNP Paribas SA | $ 163,904 | $ (38,133) | $ — | $ — | $ 125,771 |
Citibank N.A. | 24,120 | (18,676) | — | — | 5,444 |
Deutsche Bank AG | 47,547 | — | — | — | 47,547 |
HSBC Bank PLC | 797,123 | (38,165) | — | — | 758,958 |
Morgan Stanley & Co. International PLC | 4,992 | (4,992) | — | — | — |
Royal Bank of Canada | 364,749 | (227,513) | — | — | 137,236 |
Societe Generale | 1,036 | — | — | — | 1,036 |
UBS AG | 100,639 | (100,639) | — | — | — |
$ 1,504,110 | $ (428,118) | $ — | $ — | $ 1,075,992 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities(b)(d) |
Barclays Bank PLC | $ 3,445 | $ — | $ — | $ — | $ 3,445 |
BNP Paribas SA | 38,133 | (38,133) | — | — | — |
Citibank N.A. | 18,676 | (18,676) | — | — | — |
HSBC Bank PLC | 38,165 | (38,165) | — | — | — |
JPMorgan Chase Bank N.A. | 140,154 | — | — | — | 140,154 |
Morgan Stanley & Co. International PLC | 281,161 | (4,992) | — | — | 276,169 |
Natwest Markets PLC | 231,783 | — | — | — | 231,783 |
Royal Bank of Canada | 227,513 | (227,513) | — | — | — |
UBS AG | 240,172 | (100,639) | — | — | 139,533 |
$ 1,219,202 | $ (428,118) | $ — | $ — | $ 791,084 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Common Stocks | ||||
Australia | $ — | $ 3,251,080 | $ — | $ 3,251,080 |
Canada | 16,354,472 | — | — | 16,354,472 |
China | — | 6,236,463 | — | 6,236,463 |
France | — | 17,645,753 | — | 17,645,753 |
Germany | — | 9,538,394 | — | 9,538,394 |
Hong Kong | — | 2,422,896 | — | 2,422,896 |
Israel | 4,325,142 | — | — | 4,325,142 |
Italy | — | 9,050,217 | — | 9,050,217 |
Japan | — | 47,029,172 | — | 47,029,172 |
Netherlands | — | 10,432,990 | — | 10,432,990 |
South Korea | — | 2,447,010 | — | 2,447,010 |
Spain | — | 7,758,929 | — | 7,758,929 |
Switzerland | — | 6,074,956 | — | 6,074,956 |
Taiwan | — | 4,692,976 | — | 4,692,976 |
United Arab Emirates | — | — | — | — |
United Kingdom | 3,614,240 | 20,366,264 | — | 23,980,504 |
United States | 423,855,760 | 18,313,448 | — | 442,169,208 |
Investment Companies | 830,031 | — | — | 830,031 |
Short-Term Securities | ||||
Money Market Funds | 56,778,198 | — | — | 56,778,198 |
Options Purchased | ||||
Equity Contracts | 1,072,300 | — | — | 1,072,300 |
$ 506,830,143 | $ 165,260,548 | $ — | $ 672,090,691 | |
Derivative Financial Instruments(a) | ||||
Assets | ||||
Equity Contracts | $ — | $ 37,483 | $ — | $ 37,483 |
Foreign Currency Exchange Contracts | — | 1,489,726 | — | 1,489,726 |
Liabilities | ||||
Equity Contracts | (949,926 ) | — | — | (949,926 ) |
Foreign Currency Exchange Contracts | — | (1,219,202 ) | — | (1,219,202 ) |
$ (949,926 ) | $ 308,007 | $ — | $ (641,919 ) |
(a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
BlackRock GA Disciplined Volatility Equity Fund(a) | BlackRock GA Dynamic Equity Fund | |
ASSETS | ||
Investments, at value — unaffiliated(b) | $ 411,684,920 | $ 614,482,462 |
Investments, at value — affiliated(c) | 21,173,836 | 57,608,229 |
Cash | 12,525 | 11,394 |
Cash pledged for futures contracts | — | 1,492,000 |
Foreign currency, at value(d) | 585,313 | 1,070,276 |
Receivables: | ||
Investments sold | 6,332,141 | — |
Swaps | 6,242,772 | 11,858 |
Capital shares sold | 2,240,746 | 3,355,956 |
Dividends — unaffiliated | 850,503 | 872,399 |
Dividends — affiliated | 95,005 | 214,739 |
Variation margin on futures contracts | — | 24,151 |
Unrealized appreciation on: | ||
Forward foreign currency exchange contracts | 995,137 | 1,489,726 |
OTC swaps | 182,606 | 14,384 |
Prepaid expenses | 40,122 | 47,505 |
Total assets | 450,435,626 | 680,695,079 |
LIABILITIES | ||
Cash received as collateral for OTC derivatives | 1,910,000 | — |
Options written, at value(e) | 27,803 | 273,267 |
Payables: | ||
Investments purchased | 6,029,855 | — |
Swaps | 2,855,257 | 4,666 |
Accounting services fees | 28,031 | 21,835 |
Capital shares redeemed | 248,246 | 459,188 |
Custodian fees | 76,571 | 75,961 |
Deferred foreign capital gain tax | 259,423 | — |
Investment advisory fees | 121,462 | 213,326 |
Trustees’ and Officer’s fees | 1,824 | 1,786 |
Other accrued expenses | 22,915 | 25,872 |
Professional fees | 116,729 | 121,743 |
Transfer agent fees | 30,550 | 62,255 |
Variation margin on futures contracts | — | 327,775 |
Unrealized depreciation on: | ||
Forward foreign currency exchange contracts | 1,730,128 | 1,219,202 |
OTC swaps | 542,839 | — |
Total liabilities | 14,001,633 | 2,806,876 |
Commitments and contingent liabilities | ||
NET ASSETS | $ 436,433,993 | $ 677,888,203 |
NET ASSETS CONSIST OF | ||
Paid-in capital | $ 408,559,091 | $ 620,602,948 |
Accumulated earnings | 27,874,902 | 57,285,255 |
NET ASSETS | $ 436,433,993 | $ 677,888,203 |
(a)Consolidated Statement of Assets and Liabilities. | ||
(b)Investments, at cost—unaffiliated | $383,462,871 | $561,388,098 |
(c)Investments, at cost—affiliated | $21,173,836 | $57,839,778 |
(d)Foreign currency, at cost | $589,029 | $1,083,170 |
(e)Premiums received | $14,984 | $371,451 |
BlackRock GA Disciplined Volatility Equity Fund(a) | BlackRock GA Dynamic Equity Fund | |
NET ASSET VALUE | ||
Institutional | ||
Net assets | $ 436,114,547 | $ 677,568,670 |
Shares outstanding | 32,799,211 | 44,454,224 |
Net asset value | $ 13.30 | $ 15.24 |
Shares authorized | Unlimited | Unlimited |
Par value | $0.01 | $0.01 |
Class K | ||
Net assets | $ 319,446 | $ 319,533 |
Shares outstanding | 23,992 | 20,944 |
Net asset value | $ 13.31 | $ 15.26 |
Shares authorized | Unlimited | Unlimited |
Par value | $0.01 | $0.01 |
(a)Consolidated Statement of Assets and Liabilities. |
BlackRock GA Disciplined Volatility Equity Fund(a) | BlackRock GA Dynamic Equity Fund | |
INVESTMENT INCOME | ||
Dividends — unaffiliated | $4,615,279 | $5,221,668 |
Dividends — affiliated | 638,812 | 1,514,252 |
Interest — unaffiliated | — | 109,516 |
Foreign taxes withheld | (247,309 ) | (290,781 ) |
Total investment income | 5,006,782 | 6,554,655 |
EXPENSES | ||
Investment advisory | 991,737 | 1,345,505 |
Transfer agent — class specific | 266,687 | 357,034 |
Custodian | 131,243 | 102,820 |
Professional | 117,756 | 135,298 |
Accounting services | 82,085 | 71,406 |
Registration | 70,566 | 75,888 |
Printing and postage | 25,077 | 25,397 |
Trustees and Officer | 8,105 | 8,722 |
Miscellaneous | 17,363 | 17,177 |
Total expenses excluding interest expense | 1,710,619 | 2,139,247 |
Interest expense — unaffiliated | 794 | 3,365 |
Total expenses | 1,711,413 | 2,142,612 |
Less: | ||
Fees waived and/or reimbursed by the Manager | (204,090 ) | (123,454 ) |
Transfer agent fees waived and/or reimbursed by the Manager — class specific | (142,882 ) | (165,839 ) |
Total expenses after fees waived and/or reimbursed | 1,364,441 | 1,853,319 |
Net investment income | 3,642,341 | 4,701,336 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||
Net realized gain (loss) from: | ||
Investments — unaffiliated(b) | 8,127,979 | 5,857,381 |
Forward foreign currency exchange contracts | (1,263,628 ) | (127,557 ) |
Foreign currency transactions | (41,611 ) | (97,401 ) |
Futures contracts | (20,284 ) | 2,826,294 |
Options written | 10,234 | 547,134 |
Swaps | 2,116,490 | (283,950 ) |
8,929,180 | 8,721,901 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — unaffiliated(c) | 20,563,555 | 46,564,712 |
Investments — affiliated | — | (115,970 ) |
Forward foreign currency exchange contracts | (474,235 ) | 660,452 |
Foreign currency translations | (11,332 ) | (29,273 ) |
Futures contracts | — | (1,599,400 ) |
Options written | (12,819 ) | 26,169 |
Swaps | (1,081,894 ) | 16,325 |
18,983,275 | 45,523,015 | |
Net realized and unrealized gain | 27,912,455 | 54,244,916 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $31,554,796 | $58,946,252 |
(a) Consolidated Statement of Operations. | ||
(b) Net of foreign capital gain tax and capital gain tax refund, if applicable of | $(153,420 ) | $— |
(c) Net of increase in deferred foreign capital gain tax of | $(253,823 ) | $— |
BlackRock GA Disciplined Volatility Equity Fund(a) | BlackRock GA Dynamic Equity Fund | |||
Year Ended 04/30/24 | Year Ended 04/30/23 | Year Ended 04/30/24 | Year Ended 04/30/23 | |
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income | $3,642,341 | $1,258,651 | $4,701,336 | $1,341,181 |
Net realized gain (loss) | 8,929,180 | (2,260,128 ) | 8,721,901 | (4,540,375 ) |
Net change in unrealized appreciation (depreciation) | 18,983,275 | 10,380,041 | 45,523,015 | 10,322,198 |
Net increase in net assets resulting from operations | 31,554,796 | 9,378,564 | 58,946,252 | 7,123,004 |
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||
Institutional | (6,181,485 ) | (3,187,600 ) | (3,016,886 ) | (574,866 ) |
Class K | (7,384 ) | (225,291 ) | (3,166 ) | (49,813 ) |
Decrease in net assets resulting from distributions to shareholders | (6,188,869 ) | (3,412,891 ) | (3,020,052 ) | (624,679 ) |
CAPITAL SHARE TRANSACTIONS | ||||
Net increase in net assets derived from capital share transactions | 302,064,106 | 42,608,521 | 477,545,505 | 80,952,381 |
NET ASSETS | ||||
Total increase in net assets | 327,430,033 | 48,574,194 | 533,471,705 | 87,450,706 |
Beginning of year | 109,003,960 | 60,429,766 | 144,416,498 | 56,965,792 |
End of year | $436,433,993 | $109,003,960 | $677,888,203 | $144,416,498 |
(a) | Consolidated Statements of Changes in Net Assets. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
BlackRock GA Disciplined Volatility Equity Fund | ||||||
Institutional | ||||||
Year Ended 04/30/24(a) | Year Ended 04/30/23(a) | Year Ended 04/30/22(a) | Period from 11/01/20 to 04/30/21(a) | Year Ended 10/31/20(a) | Period from 11/30/18(b) to 10/31/19 | |
Net asset value, beginning of period | $12.13 | $11.66 | $12.84 | $10.90 | $11.20 | $10.31 |
Net investment income(c) | 0.19 | 0.17 | 0.12 | 0.07 | 0.16 | 0.23 |
Net realized and unrealized gain (loss) | 1.28 | 0.69 | (0.49 ) | 2.06 | 0.01 | 0.91 |
Net increase (decrease) from investment operations | 1.47 | 0.86 | (0.37 ) | 2.13 | 0.17 | 1.14 |
Distributions(d) | ||||||
From net investment income | (0.30 ) | (0.39 ) | (0.08 ) | (0.06 ) | (0.32 ) | (0.25 ) |
From net realized gain | — | — | (0.73 ) | (0.13 ) | (0.15 ) | — |
Total distributions | (0.30 ) | (0.39 ) | (0.81 ) | (0.19 ) | (0.47 ) | (0.25 ) |
Net asset value, end of period | $13.30 | $12.13 | $11.66 | $12.84 | $10.90 | $11.20 |
Total Return(e) | ||||||
Based on net asset value | 12.24 % | 7.67 % | (3.35 )% | 19.67 %(f) | 1.56 % | 11.22 %(f) |
Ratios to Average Net Assets(g) | ||||||
Total expenses | 0.69 % | 1.00 % | 1.37 % | 5.18 %(h)(i) | 5.27 % | 6.39 %(h)(j) |
Total expenses after fees waived and/or reimbursed | 0.55 % | 0.55 % | 0.55 % | 0.55 %(h) | 0.54 % | 0.55 %(h) |
Net investment income | 1.47 % | 1.46 % | 0.99 % | 1.12 %(h) | 1.51 % | 2.39 %(h) |
Supplemental Data | ||||||
Net assets, end of period (000) | $436,115 | $108,719 | $53,758 | $97 | $78 | $33 |
Portfolio turnover rate | 169 %(k) | 252 %(k) | 121 % | 57 % | 125 % | 125 % |
(a) | Consolidated Financial Highlights. |
(b) | Commencement of operations. |
(c) | Based on average shares outstanding. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | Where applicable, assumes the reinvestment of distributions. |
(f) | Not annualized. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.46%. |
(j) | Includes non-recurring expenses of offering costs. Without these costs, total expenses would have been 5.55%. |
(k) | Excludes underlying investments in total return swaps. |
BlackRock GA Disciplined Volatility Equity Fund (continued) | ||||||
Class K | ||||||
Year Ended 04/30/24(a) | Year Ended 04/30/23(a) | Year Ended 04/30/22(a) | Period from 11/01/20 to 04/30/21(a) | Year Ended 10/31/20(a) | Year Ended 10/31/19 | |
Net asset value, beginning of period | $12.14 | $11.67 | $12.85 | $10.91 | $11.21 | $9.97 |
Net investment income(b) | 0.22 | 0.19 | 0.14 | 0.07 | 0.17 | 0.25 |
Net realized and unrealized gain (loss) | 1.25 | 0.67 | (0.51 ) | 2.06 | 0.01 | 1.24 |
Net increase (decrease) from investment operations | 1.47 | 0.86 | (0.37 ) | 2.13 | 0.18 | 1.49 |
Distributions(c) | ||||||
From net investment income | (0.30 ) | (0.39 ) | (0.08 ) | (0.06 ) | (0.33 ) | (0.25 ) |
From net realized gain | — | — | (0.73 ) | (0.13 ) | (0.15 ) | — |
Total distributions | (0.30 ) | (0.39 ) | (0.81 ) | (0.19 ) | (0.48 ) | (0.25 ) |
Net asset value, end of period | $13.31 | $12.14 | $11.67 | $12.85 | $10.91 | $11.21 |
Total Return(d) | ||||||
Based on net asset value | 12.27 % | 7.71 % | (3.32 )% | 19.68 %(e) | 1.60 % | 15.12 % |
Ratios to Average Net Assets(f) | ||||||
Total expenses | 0.61 % | 0.93 % | 2.82 % | 4.99 %(g)(h) | 4.86 % | 5.66 % |
Total expenses after fees waived and/or reimbursed | 0.50 % | 0.50 % | 0.50 % | 0.50 %(g) | 0.50 % | 0.50 % |
Net investment income | 1.76 % | 1.69 % | 1.10 % | 1.21 %(g) | 1.56 % | 2.35 % |
Supplemental Data | ||||||
Net assets, end of period (000) | $319 | $285 | $6,672 | $6,901 | $5,765 | $5,674 |
Portfolio turnover rate | 169 %(i) | 252 %(i) | 121 % | 57 % | 125 % | 125 % |
(a) | Consolidated Financial Highlights. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Not annualized. |
(f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) | Annualized. |
(h) | Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.26%. |
(i) | Excludes underlying investments in total return swaps. |
BlackRock GA Dynamic Equity Fund | ||||||
Institutional | ||||||
Year Ended 04/30/24 | Year Ended 04/30/23 | Year Ended 04/30/22 | Period from 11/01/20 to 04/30/21 | Year Ended 10/31/20 | Period from 11/30/18(a) to 10/31/19 | |
Net asset value, beginning of period | $13.14 | $12.68 | $15.33 | $11.73 | $10.92 | $10.32 |
Net investment income(b) | 0.20 | 0.19 | 0.14 | 0.06 | 0.11 | 0.17 |
Net realized and unrealized gain (loss) | 2.04 | 0.35 | (1.40 ) | 3.63 | 0.80 | 0.81 |
Net increase (decrease) from investment operations | 2.24 | 0.54 | (1.26 ) | 3.69 | 0.91 | 0.98 |
Distributions(c) | ||||||
From net investment income | (0.14 ) | (0.08 ) | (0.14 ) | (0.09 ) | (0.10 ) | (0.23 ) |
From net realized gain | — | — | (1.25 ) | — | — | (0.15 ) |
Total distributions | (0.14 ) | (0.08 ) | (1.39 ) | (0.09 ) | (0.10 ) | (0.38 ) |
Net asset value, end of period | $15.24 | $13.14 | $12.68 | $15.33 | $11.73 | $10.92 |
Total Return(d) | ||||||
Based on net asset value | 17.11 % | 4.34 % | (9.33 )% | 31.58 %(e) | 8.35 % | 9.97 %(e) |
Ratios to Average Net Assets(f) | ||||||
Total expenses | 0.64 % | 0.99 % | 1.49 % | 5.34 %(g)(h) | 5.92 % | 7.07 %(g)(i) |
Total expenses after fees waived and/or reimbursed | 0.55 % | 0.55 % | 0.55 % | 0.55 %(g) | 0.54 % | 0.54 %(g) |
Net investment income | 1.40 % | 1.49 % | 1.01 % | 0.88 %(g) | 1.01 % | 1.83 %(g) |
Supplemental Data | ||||||
Net assets, end of period (000) | $677,569 | $144,144 | $49,823 | $121 | $88 | $34 |
Portfolio turnover rate | 74 %(j) | 65 %(j) | 66 %(j) | 32 %(j) | 73 %(j) | 74 % |
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Not annualized. |
(f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) | Annualized. |
(h) | Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.48%. |
(i) | Includes non-recurring expenses of offering costs. Without these costs, total expenses would have been 6.21%. |
(j) | Excludes underlying investments in total return swaps. |
BlackRock GA Dynamic Equity Fund (continued) | ||||||
Class K | ||||||
Year Ended 04/30/24 | Year Ended 04/30/23 | Year Ended 04/30/22 | Period from 11/01/20 to 04/30/21 | Year Ended 10/31/20 | Year Ended 10/31/19 | |
Net asset value, beginning of period | $13.15 | $12.69 | $15.34 | $11.74 | $10.92 | $10.17 |
Net investment income(a) | 0.21 | 0.19 | 0.14 | 0.06 | 0.12 | 0.19 |
Net realized and unrealized gain (loss) | 2.04 | 0.36 | (1.40 ) | 3.64 | 0.80 | 0.94 |
Net increase (decrease) from investment operations | 2.25 | 0.55 | (1.26 ) | 3.70 | 0.92 | 1.13 |
Distributions(b) | ||||||
From net investment income | (0.14 ) | (0.09 ) | (0.14 ) | (0.10 ) | (0.10 ) | (0.23 ) |
From net realized gain | — | — | (1.25 ) | — | — | (0.15 ) |
Total distributions | (0.14 ) | (0.09 ) | (1.39 ) | (0.10 ) | (0.10 ) | (0.38 ) |
Net asset value, end of period | $15.26 | $13.15 | $12.69 | $15.34 | $11.74 | $10.92 |
Total Return(c) | ||||||
Based on net asset value | 17.22 % | 4.38 % | (9.29 )% | 31.59 %(d) | 8.49 % | 11.58 % |
Ratios to Average Net Assets(e) | ||||||
Total expenses | 0.56 % | 1.04 % | 2.83 % | 5.15 %(f)(g) | 5.50 % | 6.24 % |
Total expenses after fees waived and/or reimbursed | 0.50 % | 0.50 % | 0.50 % | 0.50 %(f) | 0.50 % | 0.50 % |
Net investment income | 1.54 % | 1.55 % | 0.94 % | 0.93 %(f) | 1.05 % | 1.85 % |
Supplemental Data | ||||||
Net assets, end of period (000) | $320 | $273 | $7,142 | $7,875 | $5,984 | $5,517 |
Portfolio turnover rate | 74 %(h) | 65 %(h) | 66 %(h) | 32 %(h) | 73 %(h) | 74 % |
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Where applicable, assumes the reinvestment of distributions. |
(d) | Not annualized. |
(e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) | Annualized. |
(g) | Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.28%. |
(h) | Excludes underlying investments in total return swaps. |
Fund Name | Herein Referred To As | Diversification Classification |
BlackRock GA Disciplined Volatility Equity Fund | GA Disciplined Volatility Equity | Diversified |
BlackRock GA Dynamic Equity Fund | GA Dynamic Equity | Diversified |
Share Class | Initial Sales Charge | CDSC | Conversion Privilege |
Institutional and Class K Shares | No | No | None |
Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services | ||
Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
(ii) | recapitalizations and other transactions across the capital structure; and | |
(iii) | market multiples of comparable issuers. | |
Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
(ii) | quoted prices for similar investments or assets in active markets; and | |
(iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
(ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | |
(iii) | relevant news and other public sources; and | |
(iv) | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investment Advisory Fees | ||
Average Daily Net Assets | GA Disciplined Volatility Equity | GA Dynamic Equity |
First $1 billion | 0.40 % | 0.40 % |
$1 billion — $3 billion | 0.38 | 0.38 |
$3 billion — $5 billion | 0.36 | 0.36 |
$5 billion — $10 billion | 0.35 | 0.35 |
Greater than $10 billion | 0.34 | 0.34 |
Fund Name | Institutional | Total |
GA Disciplined Volatility Equity | $ 266,687 | $ 266,687 |
GA Dynamic Equity | 357,034 | 357,034 |
Fund Name | Fees Waived and/or Reimbursed by the Manager |
GA Disciplined Volatility Equity | $ 9,179 |
GA Dynamic Equity | 21,231 |
Fund Name | Fees Waived and/or Reimbursed by the Manager |
GA Dynamic Equity | $ 3,377 |
Fund Name | Institutional | Class K |
GA Disciplined Volatility Equity | 0.55 % | 0.50 % |
GA Dynamic Equity | 0.55 | 0.50 |
Fund Name | Fees Waived and/or Reimbursed by the Manager |
GA Disciplined Volatility Equity | $ 194,911 |
GA Dynamic Equity | 98,846 |
Transfer Agent Fees Waived and/or Reimbursed by the Manager - Class Specific | ||
Fund Name | Institutional | Total |
GA Disciplined Volatility Equity | $ 142,882 | $ 142,882 |
GA Dynamic Equity | 165,839 | 165,839 |
Expiring | |
Fund Name/Fund Level/Share Class | 06/01/24 |
GA Disciplined Volatility Equity | |
Fund Level | $ 551,833 |
Institutional | 168,081 |
Class K | 19 |
GA Dynamic Equity | |
Fund Level | 458,886 |
Institutional | 195,065 |
Class K | 23 |
Expired | |
Fund Name/Fund Level/Share Class | 04/30/24 |
GA Disciplined Volatility Equity | |
Fund Level | $ 299,379 |
Institutional | 6,218 |
Class K | 12 |
GA Dynamic Equity | |
Fund Level | 339,911 |
Institutional | 4,362 |
Class K | 17 |
Fund Name | Purchases | Sales |
GA Disciplined Volatility Equity | $ 682,988,319 | $ 405,218,254 |
GA Dynamic Equity | 667,950,265 | 233,158,261 |
Fund Name | Paid-in Capital | Accumulated Earnings (Loss) |
GA Disciplined Volatility Equity | $ (15 ) | $ 15 |
Fund Name | Year Ended 04/30/24 | Year Ended 04/30/23 |
GA Disciplined Volatility Equity | ||
Ordinary income | $ 6,188,869 | $ 3,412,891 |
GA Dynamic Equity | ||
Ordinary income | $ 3,020,052 | $ 624,679 |
Fund Name | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses)(a) | Qualified Late-Year Ordinary Losses(b) | Total |
GA Disciplined Volatility Equity | $ 3,772,380 | $ 264,315 | $ 25,397,541 | $ (1,559,334 ) | $ 27,874,902 |
GA Dynamic Equity | 8,493,447 | 97,600 | 48,694,208 | — | 57,285,255 |
(a) | The difference between book-basis and tax-basis net unrealized gains/losses was attributable primarily to the tax deferral of losses on wash sales and straddles and the realization for tax purposes of unrealized gains/losses on certain foreign currency and futures contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income and the accounting for swap agreements. |
(b) | The Fund has elected to defer these qualified late-year losses and recognize such losses in the next taxable year. |
Fund Name | Amounts |
GA Disciplined Volatility Equity | $ 4,349,729 |
GA Dynamic Equity | 3,149,668 |
Fund Name | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
GA Disciplined Volatility Equity | $ 406,815,577 | $ 39,297,823 | $ (13,609,740 ) | $ 25,688,083 |
GA Dynamic Equity | 623,128,042 | 61,284,726 | (12,208,307 ) | 49,076,419 |
Year Ended 04/30/24 | Year Ended 04/30/23 | |||
Fund Name / Share Class | Shares | Amounts | Shares | Amounts |
GA Disciplined Volatility Equity | ||||
Institutional | ||||
Shares sold | 29,738,416 | $ 376,433,517 | 8,138,425 | $ 91,849,732 |
Shares issued in reinvestment of distributions | 490,107 | 6,181,183 | 286,292 | 3,187,600 |
Shares redeemed | (6,392,124) | (80,557,724) | (4,073,303) | (46,321,943) |
23,836,399 | $ 302,056,976 | 4,351,414 | $ 48,715,389 | |
Class K | ||||
Shares sold | 4,869 | $ 60,277 | 887 | $ 11,948 |
Shares issued in reinvestment of distributions | 586 | 7,383 | 20,223 | 225,291 |
Shares redeemed | (4,893) | (60,530) | (569,489) | (6,344,107) |
562 | $ 7,130 | (548,379) | $ (6,106,868) | |
23,836,961 | $ 302,064,106 | 3,803,035 | $ 42,608,521 |
Year Ended 04/30/24 | Year Ended 04/30/23 | |||
Fund Name / Share Class | Shares | Amounts | Shares | Amounts |
GA Dynamic Equity | ||||
Institutional | ||||
Shares sold | 38,225,836 | $ 545,765,276 | 9,458,004 | $ 118,059,596 |
Shares issued in reinvestment of distributions | 212,682 | 3,016,721 | 47,267 | 574,866 |
Shares redeemed | (4,952,231) | (71,239,815) | (2,467,838) | (30,970,420) |
33,486,287 | $ 477,542,182 | 7,037,433 | $ 87,664,042 | |
Class K | ||||
Shares sold | 5,211 | $ 72,074 | — | $ — |
Shares issued in reinvestment of distributions | 224 | 3,166 | 4,111 | 49,813 |
Shares redeemed | (5,226) | (71,917) | (546,365) | (6,761,474) |
209 | $ 3,323 | (542,254) | $ (6,711,661) | |
33,486,496 | $ 477,545,505 | 6,495,179 | $ 80,952,381 |
Fund Name | Class K |
GA Disciplined Volatility Equity | 23,083 |
GA Dynamic Equity | 20,766 |
Boston, Massachusetts
June 24, 2024
Fund Name | Qualified Dividend Income |
GA Disciplined Volatility Equity | $ 3,463,441 |
GA Dynamic Equity | 4,197,553 |
Fund Name | Qualified Business Income |
GA Disciplined Volatility Equity | $ 15,582 |
GA Dynamic Equity | 27,296 |
Fund Name | Federal Obligation Interest |
GA Disciplined Volatility Equity | $ 80,110 |
GA Dynamic Equity | 177,284 |
Fund Name | Dividends-Received Deduction |
GA Disciplined Volatility Equity | 6.55 % |
GA Dynamic Equity | 22.12 |
Fund Name | Interest Dividends |
GA Disciplined Volatility Equity | $ 472,929 |
GA Dynamic Equity | 1,211,582 |
Fund Name | Interest- Related Dividends |
GA Disciplined Volatility Equity | $ 472,929 |
GA Dynamic Equity | 1,130,910 |
Independent Trustees(a) | ||||
Name Year of Birth(b) | Position(s) Held (Length of Service)(c) | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Other Investment Company Directorships Held During Past 5 Years |
Mark Stalnecker 1951 | Chair of the Board and Trustee (Since 2019) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios | None |
Susan J. Carter 1956 | Trustee (Since 2019) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof from 2018 to 2022; Advisory Board Member, Bridges Fund Management from 2016 to 2018; Practitioner Advisory Board Member, Private Capital Research Institute (“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021; Member of the President’s Counsel, Commonfund since 2023. | 28 RICs consisting of 164 Portfolios | None |
Collette Chilton 1958 | Trustee (Since 2019) | Senior advisor, Insignia since 2024; Chief Investment Officer, Williams College from 2006 to 2023; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios | None |
Neil A. Cotty 1954 | Trustee (Since 2019) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios | None |
Lena G. Goldberg 1949 | Trustee (Since 2016) | Director, Pioneer Public Interest Law Center since 2023; Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios | None |
Independent Trustees(a) (continued) | ||||
Name Year of Birth(b) | Position(s) Held (Length of Service)(c) | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Other Investment Company Directorships Held During Past 5 Years |
Henry R. Keizer 1956 | Trustee (Since 2016) | Director, Park Indemnity Ltd. (captive insurer) from 2010 to 2022. | 28 RICs consisting of 164 Portfolios | GrafTech International Ltd. (materials manufacturing); Sealed Air Corp. (packaging); WABCO (commercial vehicle safety systems) from 2015 to 2020; Hertz Global Holdings (car rental) from 2015 to 2021. |
Cynthia A. Montgomery 1952 | Trustee (Since 2019) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios | None |
Donald C. Opatrny 1952 | Trustee (Since 2015) | Chair of the Board of Phoenix Art Museum since 2022 and Trustee thereof since 2018; Chair of the Investment Committee of The Arizona Community Foundation since 2022 and Trustee thereof since 2020; Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; Member of Affordable Housing Supply Board of Jackson, Wyoming from 2017 to 2022; Member, Investment Funds Committee, State of Wyoming from 2017 to 2023; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014. | 28 RICs consisting of 164 Portfolios | None |
Kenneth L. Urish 1951 | Trustee (Since 2019) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001, Emeritus since 2022; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios | None |
Claire A. Walton 1957 | Trustee (Since 2019) | Advisory Board Member, Grossman School of Business at the University of Vermont since 2023; Advisory Board Member, Scientific Financial Systems since 2022; General Partner of Neon Liberty Capital Management, LLC from 2003 to 2023; Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Massachusetts Council on Economic Education from 2013 to 2015; Director, Woodstock Ski Runners from 2013 to 2022. | 28 RICs consisting of 164 Portfolios | None |
Interested Trustees(a)(d) | ||||
Name Year of Birth(b) | Position(s) Held (Length of Service)(c) | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Other Investment Company Directorships Held During Past 5 Years |
Robert Fairbairn 1965 | Trustee (Since 2015) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. | 96 RICs consisting of 266 Portfolios | None |
John M. Perlowski(e) 1964 | Trustee (Since 2015) President and Chief Executive Officer (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 98 RICs consisting of 268 Portfolios | None |
(a) | The address of each Trustee is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001. |
(b) | Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trusts’ by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the 1940 Act, serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trusts’ by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
(c) | Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. In addition, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Susan J. Carter, 2016; Collette Chilton, 2015; Neil A. Cotty, 2016; Cynthia A. Montgomery, 1994; Mark Stalnecker, 2015; Kenneth L. Urish, 1999; Claire A. Walton, 2016. |
(d) | Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. |
(e) | Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |
Officers Who Are Not Trustees(a) | ||
Name Year of Birth(b) | Position(s) Held (Length of Service) | Principal Occupation(s) During Past 5 Years |
Jennifer McGovern 1977 | Vice President (Since 2014) | Managing Director of BlackRock, Inc. since 2016. |
Trent Walker 1974 | Chief Financial Officer (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019. |
Jay M. Fife 1970 | Treasurer (Since 2007) | Managing Director of BlackRock, Inc. since 2007. |
Aaron Wasserman 1974 | Chief Compliance Officer (Since 2023) | Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed- Income Complex and the iShares Complex from 2014 to 2023. |
Lisa Belle 1968 | Anti-Money Laundering Compliance Officer (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019. |
Janey Ahn 1975 | Secretary (Since 2019) | Managing Director of BlackRock, Inc. since 2018. |
(a) | The address of each Officer is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001. |
(b) | Officers of the Trust serve at the pleasure of the Board. |
Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Trust. |
Effective June 1, 2024, Lori Richards was appointed as a Trustee of the Trust. |
Wilmington, DE 19809
Boston, MA 02114
Boston, MA 02109
Wilmington, DE 19809
New York, NY 10001
Boston, MA 02116
New York, NY 10019
Wilmington, DE 19809
Currency Abbreviation | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNY | Chinese Yuan |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | New Taiwan Dollar |
USD | United States Dollar |
Portfolio Abbreviation | |
ADR | American Depositary Receipt |
CD | Certificate of Deposit |
ETF | Exchange-Traded Fund |
MSCI | Morgan Stanley Capital International |
S&P | Standard & Poor’s |
SAB | Special Assessment Bonds |
SCA | Societe en Commandite par Actions |
ST | Special Tax |
(b) Not Applicable
Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
Neil A. Cotty
Henry R. Keizer
Kenneth L. Urish
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
Item 4 – | Principal Accountant Fees and Services |
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:
(a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees | |||||||||||||
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | ||||||||
BlackRock GA Disciplined Volatility Equity Fund | $40,902 | $40,902 | $407 | $44 | $17,860 | $20,100 | $0 | $218 | ||||||||
BlackRock GA Dynamic Equity Fund | $40,902 | $40,902 | $407 | $44 | $22,880 | $25,300 | $0 | $218 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
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Current Fiscal Year End | Previous Fiscal Year End | |||
(b) Audit-Related Fees1 | $0 | $0 | ||
(c) Tax Fees2 | $0 | $0 | ||
(d) All Other Fees3 | $2,149,000 | $2,154,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3 Non-audit fees of $2,149,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
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(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | ||
BlackRock GA Disciplined Volatility Equity Fund | $18,267 | $20,362 | ||
BlackRock GA Dynamic Equity Fund | $23,287 | $25,562 |
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
Current Fiscal Year End | Previous Fiscal Year End | |
$2,149,000 | $2,154,000 |
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) – Not Applicable
(j) – Not Applicable
Item 5 – | Audit Committee of Listed Registrant – Not Applicable |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
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Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
Item 13 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
Item 14 – | Exhibits attached hereto |
(a)(1) Code of Ethics – See Item 2
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the Registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Managed Account Series
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
Managed Account Series |
Date: June 24, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
Managed Account Series |
Date: June 24, 2024
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
Managed Account Series |
Date: June 24, 2024
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