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: 811-05742
| Name of Fund: | | BlackRock FundsSM |
| | | BlackRock Defensive Advantage Emerging Markets Fund |
| | | BlackRock Defensive Advantage International Fund |
| | | BlackRock Defensive Advantage U.S. Fund |
| Fund Address: | | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock FundsSM, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 04/30/2022
Date of reporting period: 10/31/2021
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
| | |
| | OCTOBER 31, 2021 |
| | |
| |
| | 2021 Semi-Annual Report (Unaudited) |
BlackRock FundsSM
| · | | BlackRock Defensive Advantage Emerging Markets Fund |
| · | | BlackRock Defensive Advantage International Fund |
| · | | BlackRock Defensive Advantage U.S. Fund |
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
The Markets in Review
Dear Shareholder,
The 12-month reporting period as of October 31, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States began the reporting period as the initial reopening-led economic rebound was beginning to slow. Nonetheless, the economy continued to grow at a solid pace for the reporting period, eventually regaining the output lost from the pandemic. However, a rapid rebound in consumer spending pushed up against supply constraints and led to elevated inflation.
Equity prices rose with the broader economy, as the implementation of mass vaccination campaigns and passage of two additional fiscal stimulus packages further boosted stocks, and many equity indices neared or surpassed all-time highs late in the reporting period. In the United States, returns of small-capitalization stocks, which benefited the most from the resumption of in-person activities, outpaced large-capitalization stocks. International equities also gained, as both developed and emerging markets continued to recover from the effects of the pandemic.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) had fallen sharply prior to the beginning of the reporting period, which meant bonds were priced for extreme risk avoidance and economic disruption. Despite expectations of doom and gloom, the economy expanded rapidly, stoking inflation concerns in early 2021, which led to higher yields and a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to solid returns for high-yield corporate bonds, outpacing investment-grade corporate bonds.
The Fed remained committed to accommodative monetary policy by maintaining near-zero interest rates and by reiterating that inflation could exceed its 2% target for a sustained period without triggering a rate increase. In response to rising inflation late in the period, the Fed changed its market guidance, raising the possibility of higher rates in 2022 and reducing bond purchasing beginning in late 2021.
Looking ahead, we believe that the global expansion will continue to broaden as Europe and other developed market economies gain momentum, although the Delta variant of the coronavirus remains a threat, particularly in emerging markets. While we expect inflation to remain elevated in the medium-term as the expansion continues, we believe the recent uptick owes more to temporary supply disruptions than a lasting change in fundamentals. The change in Fed policy also means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion.
Overall, we favor a moderately positive stance toward risk, with an overweight in equities. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long-term. U.S. small-capitalization stocks and European equities are likely to benefit from the continuing vaccine-led restart, while Chinese equities stand to gain from a more accommodative monetary and fiscal environment as the Chinese economy slows. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.
In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| | | | |
| Total Returns as of October 31, 2021 |
| | | 6-Month | | 12-Month |
U.S. large cap equities
(S&P 500® Index) | | 10.91% | | 42.91% |
| | |
U.S. small cap equities
(Russell 2000® Index) | | 1.85 | | 50.80 |
| | |
International equities
(MSCI Europe, Australasia, Far East Index) | | 4.14 | | 34.18 |
| | |
Emerging market equities
(MSCI Emerging Markets Index) | | (4.87) | | 16.96 |
| | |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | 0.01 | | 0.06 |
| | |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | 1.59 | | (4.77) |
| | |
U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index) | | 1.06 | | (0.48) |
| | |
Tax-exempt municipal bonds
(S&P Municipal Bond Index) | | 0.33 | | 2.76 |
| | |
U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | | 2.36 | | 10.53 |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
| | |
| 2 | | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
Table of Contents
| | |
| Fund Summary as of October 31, 2021 | | BlackRock Defensive Advantage Emerging Markets Fund |
Investment Objective
BlackRock Defensive Advantage Emerging Markets Fund’s (the “Fund”) investment objective is to seek to provide long-term capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ending October 31, 2021, the Fund underperformed its benchmark, the MSCI Emerging Markets Minimum Volatility Index.
What factors influenced performance?
Overall, the Fund struggled against a highly volatile macroeconomic and market backdrop during the period. The continuation of the strong reflationary market tone from the broad-based economic reopening early in 2021 produced strong equity performance early in the period, but this reversed in the third quarter of 2021, as emerging market (“EM”) equities struggled amid macroeconomic and policy concerns related to China. Electricity shortages, a potential debt default from Chinese real estate developer Evergrande, and ongoing regulatory uncertainty kept emerging markets under pressure. The period also saw considerable volatility across market style preferences. Early in the period, investors preferred value styles. However, a surprisingly hawkish pivot from the Fed in June 2021 prompted a market rotation back toward secular growth positions. This pro-growth theme persisted until another sharp market rotation in September 2021, with a more hawkish Fed prompting investors back toward value stocks. In particular, the announcement of the expected tapering of Fed bond purchases resulted in a sharp spike in bond yields, which supported cyclical market exposure. The simultaneous sharp rise in commodities prices put further pressure on inflation and compounded the impact on the bond market. Ultimately, though, this final rotation proved short-lived, as the market returned to a pro-growth stance in October 2021.
Macro thematic positioning proved to be the most substantial detractor from relative performance. Although stock selection aided gains, moreover, select measures also detracted from performance. Macro thematic-related measures that evaluate changes in foreign exchange reserves notably detracted, as they led to underweight positions in Thailand and Taiwan. The Fund’s overweight to the materials sector was also a detractor due to supply chain uncertainty. Unsurprisingly, China-specific insights, such as measures that evaluate hiring trends, drove losses in the period, as the pro-growth quality positioning struggled amid eroding economic expectations. Similarly, the Fund’s environmental, social and governance (“ESG”) related measures, which lean in a pro-growth direction, declined during the value rotation in September 2021. Environmental measures especially struggled, given their negative sensitivity to the sharp run-up in commodities prices.
Despite these factors, select sentiment measures proved to be key contributors to performance, providing some portfolio ballast. Specifically, measures that focused on Chinese online sales trends fared better than most of the Fund’s China-specific insights, contributing to performance. Other sentiment-related measures that look at reversal trends also performed well. Fundamental measures also added to performance. Specifically, traditional value metrics that evaluate dividends relative to price performed well in the context of the value style preference seen at various times during the period.
The BlackRock Defensive Advantage Funds are designed to provide downside protection against market drawdowns and may lag broader markets and peers during market rallies. The Funds pursue a “defensive” investment style, meaning that they seek to participate in rising equity markets while mitigating downside risk in declining markets.
Describe recent portfolio activity.
Over the course of the period, the portfolio maintained a balanced allocation of risk across all major return drivers. There were, however, several new signals added within the stock selection model. The Fund built upon its alternative data capabilities by adding an insight that captures brand sentiment among retail names. Additionally, given the dynamic nature of the current market environment, the Fund instituted enhanced signal constructs to identify emerging trends such as sentiment around supply chain disruptions and wage inflation.
Describe portfolio positioning at period end.
Relative to the benchmark, the Fund ended the period with largely neutral positioning from sector and country positioning perspectives. The Fund had slight overweight positions in the information technology and financial sectors and maintained slight underweights in consumer discretionary and communication services stocks. From a geographical perspective, the Fund had slight overweight positions to Taiwan and maintained an underweight position to South Korea.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| | |
| 4 | | 2 0 2 1 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of October 31, 2021 (continued) | | BlackRock Defensive Advantage Emerging Markets Fund |
Performance
| | | | | | | | | | | | |
| | | | | | Total Returns(a) | |
| | | | | | Since
Inception(b) | |
| | | 6-Month Total Returns | | | Without
Sales
Charge | | | With
Sales
Charge | |
Institutional | | | (0.51 | )% | | | 7.59 | % | | | N/A | |
Investor A | | | (0.78 | ) | | | 7.29 | | | | 1.66 | % |
Class K | | | (0.51 | ) | | | 7.59 | | | | N/A | |
MSCI Emerging Markets Minimum Volatility Index(c) | | | 0.44 | | | | 7.09 | | | | N/A | |
MSCI Emerging Markets Index(d) | | | (4.87 | ) | | | 2.58 | | | | N/A | |
| | (a) | See “About Fund Performance” for a detailed description of share classes, including any related fees. | |
| | (b) | The Fund commenced operations on December 21, 2020. | |
| | (c) | An index that aims to reflect the performance characteristics of a minimum variance strategy applied to large- and mid-cap equities across certain emerging markets countries. The index is calculated by optimizing the MSCI Emerging Markets Index, its parent index, for the lowest absolute risk (within a given set of constraints). | |
| | (d) | An index that captures large- and mid-cap representation across Emerging Markets (EM) countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. | |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical(a) | | | | |
| | | | | | | | | | | | | | | | |
| | |
| Beginning
Account Value
(05/01/21) |
| |
| Ending
Account Value
(10/31/21) |
| |
| Expenses
Paid During
the Period |
(b) | | | | | |
| Beginning
Account Value
(05/01/21) |
| |
| Ending
Account Value
(10/31/21) |
| |
| Expenses
Paid During
the Period |
(b) | |
| Annualized
Expense
Ratio |
|
Institutional | | | $ 1,000.00 | | | | $ 994.90 | | | | $ 4.07 | | | | | | | | $ 1,000.00 | | | | $ 1,021.12 | | | | $ 4.13 | | | | 0.81 | % |
Investor A | | | 1,000.00 | | | | 992.20 | | | | 5.32 | | | | | | | | 1,000.00 | | | | 1,019.86 | | | | 5.40 | | | | 1.06 | |
Class K | | | 1,000.00 | | | | 994.90 | | | | 4.07 | | | | | | | | 1,000.00 | | | | 1,021.12 | | | | 4.13 | | | | 0.81 | |
| | (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
| | (b) | 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 184/365 (to reflect the one-half year period shown). | |
See “Disclosure of Expenses” for further information on how expenses were calculated.
| | |
| Fund Summary as of October 31, 2021 (continued) | | BlackRock Defensive Advantage Emerging Markets Fund |
Portfolio Information
TEN LARGEST HOLDINGS
| | | | |
| Security(a) | | Percent of
Net Assets | |
Abu Dhabi Commercial Bank PJSC | | | 2 | % |
Lenovo Group Ltd. | | | 2 | |
Nanya Technology Corp. | | | 2 | |
Saudi Arabian Oil Co. | | | 2 | |
Haier Smart Home Co. Ltd., Class H | | | 2 | |
Emirates Telecommunications Group Co. PJSC | | | 1 | |
CTBC Financial Holding Co. Ltd. | | | 1 | |
NAVER Corp. | | | 1 | |
Taiwan Cooperative Financial Holding Co. Ltd. | | | 1 | |
CPFL Energia SA | | | 1 | |
GEOGRAPHIC ALLOCATION
| | | | |
| Country/Geographic Region | | Percent of
Net Assets | |
China | | | 25 | % |
Taiwan | | | 19 | |
India | | | 12 | |
Saudi Arabia | | | 8 | |
South Korea | | | 6 | |
Malaysia | | | 6 | |
Thailand | | | 3 | |
United Arab Emirates | | | 3 | |
Qatar | | | 3 | |
United States | | | 3 | |
Russia | | | 2 | |
Chile | | | 2 | |
Mexico | | | 2 | |
South Africa | | | 2 | |
Brazil | | | 2 | |
Hong Kong | | | 1 | |
Kuwait | | | 1 | |
Other# | | | — | (b) |
Liabilities in Excess of Other Assets | | | (— | )(b) |
| (a) | Excludes short-term securities. | |
| (b) | Rounds to less than 1% of net assets. | |
| # | Includes holdings within countries/geographic regions that are 1% or less of net assets. Please refer to the Schedule of Investments for such countries/geographic regions. | |
| | |
| 6 | | 2 0 2 1 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of October 31, 2021 | | BlackRock Defensive Advantage International Fund |
Investment Objective
BlackRock Defensive Advantage International Fund’s (the “Fund”) investment objective is to seek to provide long-term capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
During the six-month period ending October 31, 2021, the Fund outperformed its benchmark, the MSCI EAFE Minimum Volatility Index.
What factors influenced performance?
Overall, the Fund performed well in a volatile market environment. The continuation of the strong reflationary market tone across the United States, China and Europe from the broad-based economic reopening early in 2021 led to an investor preference for value styles early in the period. However, a surprisingly hawkish pivot from the Fed in June 2021 prompted a market rotation back toward secular growth positions. This led to a return to themes that were predominant in 2020, supported by declining bond yields and concerns about the COVID-19 Delta variant. These pro-growth themes persisted until another sharp market rotation in September 2021, with a more hawkish Fed prompting investors back toward value stocks. In particular, the announcement of the expected tapering of Fed bond purchases resulted in a sharp spike in bond yields, which supported cyclical market exposure. The simultaneous sharp rise in commodities prices put further pressure on inflation and compounded the impact on the bond market. Ultimately, though, this final rotation proved short-lived, as the market returned to a pro-growth stance in October 2021.
Sentiment measures were the most significant contributors to the Fund’s relative performance, as they correctly positioned the Fund across the ever-changing market backdrop. Specifically, faster-moving insights that look at internet search trends and mobile app usage were top contributors, as they motivated overweight positions in the luxury goods industry. Country-specific sentiment measures that focus on online sales in China and point-of-sale trends in Japan also added to performance. Also, stability-related fundamental measures also performed well. Specifically, insights with a preference for dividend consistency contributed amid the volatile environment.
More broadly, fundamental-related measures were a primary detractor from the Fund’s relative performance. Traditional valuation measures, such as evaluating cash flows across valuation and price-to-book measures, dragged on performance as investors retained a preference for growth stocks. In addition, environmental, social and governance (“ESG”) related measures that lean in a pro-growth direction declined during the value rotation in September 2021. Specifically, environmental measures, such as insights designed to track investor positioning in ESG-related holdings and that look at “green” patents, struggled due to their negative sensitivity to the sharp run-up in commodities prices.
The BlackRock Defensive Advantage Funds are designed to provide downside protection against market drawdowns and may lag broader markets and peers during market rallies. The Funds pursue a “defensive” investment style, meaning that they seek to participate in rising equity markets while mitigating downside risk in declining markets.
Describe recent portfolio activity.
Over the course of the period, the portfolio maintained a balanced allocation of risk across all major return drivers. There were, however, several new signals added within the stock selection model. For instance, the Fund built on its alternative data capabilities by adding an insight that captures brand sentiment toward retail names. Additionally, given the dynamic nature of the current market environment, the Fund instituted enhanced signal constructs to identify emerging trends such as sentiment around supply chain disruptions and wage inflation.
Describe portfolio positioning at period end.
Relative to the benchmark, the Fund ended the period with largely neutral positioning from a sector and country-positioning perspective. The Fund had slight overweight positions in the information technology and industrials sectors and maintained slight underweights in health care and utilities stocks. From a geographical perspective, the Fund had slight overweight positions to Israel and maintained underweights to Switzerland.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| | |
| Fund Summary as of October 31, 2021 (continued) | | BlackRock Defensive Advantage International Fund |
Performance
| | | | | | | | | | | | | | | | |
| | | | | | | | | Total Returns(a) | |
| | | | | | | | | Since
Inception(b) | |
| | | | | | 6-Month
Total Returns | | | Without Sales
Charge | | | With Sales
Charge | |
Institutional | | | | | | | 5.89 | % | | | 12.57 | % | | | N/A | |
Investor A | | | | | | | 5.82 | | | | 12.37 | | | | 6.48 | % |
Class K | | | | | | | 5.89 | | | | 12.57 | | | | N/A | |
MSCI EAFE Minimum Volatility Index(c) | | | | | | | 4.81 | | | | 7.81 | | | | N/A | |
MSCI EAFE Index(d) | | | | | | | 4.14 | | | | 13.88 | | | | N/A | |
| | (a) | See “About Fund Performance” for a detailed description of share classes, including any related fees. | |
| | (b) | The Fund commenced operations on December 21, 2020. | |
| | (c) | An index that aims to reflect the performance characteristics of a minimum variance strategy applied to the large- and mid-cap equity universe across developed markets around the world excluding the United States and Canada. The index is calculated by optimizing the MSCI EAFE Index, its parent index, in USD for the lowest absolute risk (within a given set of constraints). | |
| | (d) | An equity index which captures large- and mid-cap representation across certain developed markets countries around the world, excluding the United States and Canada. The index covers approximately 85% of the free float adjusted market capitalization in each country. | |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Actual | | | | | | | Hypothetical(a) | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value (05/01/21) | | Ending Account Value (10/31/21) | |
| Expenses
Paid During the Period |
(b) | | | | | | Beginning Account Value (05/01/21) | | Ending Account Value (10/31/21) | |
| Expenses
Paid During the Period |
(b) | |
| Annualized
Expense Ratio |
| | |
Institutional | | $ 1,000.00 | | $ 1,058.90 | | $ | 2.34 | | | | | | | $ 1,000.00 | | $ 1,022.94 | | $ | 2.29 | | | | 0.45 | % | | |
Investor A | | 1,000.00 | | 1,058.20 | | | 3.63 | | | | | | | 1,000.00 | | 1,021.68 | | | 3.57 | | | | 0.70 | | | |
Class K | | 1,000.00 | | 1,058.90 | | | 2.34 | | | | | | | 1,000.00 | | 1,022.94 | | | 2.29 | | | | 0.45 | | | |
| | (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
| | (b) | 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 184/365 (to reflect the one-half year period shown). | |
See “Disclosure of Expenses” for further information on how expenses were calculated.
| | |
| 8 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of October 31, 2021 (continued) | | BlackRock Defensive Advantage International Fund |
Portfolio Information
TEN LARGEST HOLDINGS
| | | | |
| Security(a) | | Percent of
Net Assets | |
JB Hi-Fi Ltd. | | | 2 | % |
Nestle SA | | | 2 | |
Novo Nordisk A/S, Class B | | | 2 | |
Bank Hapoalim BM | | | 2 | |
L’Oreal SA | | | 2 | |
Roche Holding AG | | | 2 | |
AstraZeneca PLC | | | 1 | |
Novozymes A/S, B Shares | | | 1 | |
Roche Holding AG | | | 1 | |
Unilever PLC | | | 1 | |
GEOGRAPHIC ALLOCATION
| | | | |
| Country/Geographic Region | | Percent of
Net Assets | |
Japan | | | 25 | % |
Switzerland | | | 12 | |
United Kingdom | | | 8 | |
Germany | | | 7 | |
Hong Kong | | | 6 | |
Australia | | | 6 | |
France | | | 6 | |
Denmark | | | 5 | |
Finland | | | 4 | |
Israel | | | 4 | |
Sweden | | | 3 | |
Singapore | | | 3 | |
United States | | | 2 | |
Belgium | | | 2 | |
Netherlands | | | 2 | |
Italy | | | 2 | |
China | | | 1 | |
New Zealand | | | 1 | |
Norway | | | 1 | |
Other# | | | — | (b) |
Liabilities in Excess of Other Assets | | | (— | )(b) |
| (a) | Excludes short-term securities. | |
| (b) | Rounds to less than 1% of net assets. | |
| # | Includes holdings within countries/geographic regions that are 1% or less of net assets. Please refer to the Schedule of Investments for such countries/geographic regions. | |
| | |
| Fund Summary as of October 31, 2021 | | BlackRock Defensive Advantage U.S. Fund |
Investment Objective
BlackRock Defensive Advantage U.S. Fund’s (the “Fund”) investment objective is to seek to provide long-term capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ending October 31, 2021, the Fund underperformed its benchmark, the MSCI USA Minimum Volatility Index.
What factors influenced performance?
Overall, the Fund struggled against a highly volatile macroeconomic and market backdrop during the period. The continuation of the strong reflationary market tone from the broad-based economic reopening early in 2021 led to an investor preference for value styles early in the period. However, a surprisingly hawkish pivot from the Fed in June 2021 prompted a market rotation back toward secular growth positions. This led to a return to themes that were predominant in 2020, supported by declining bond yields and concerns about the COVID-19 Delta variant. These pro-growth themes persisted until another sharp market rotation in September 2021, with a more hawkish Fed prompting investors back toward value stocks. In particular, the announcement of the expected tapering of Fed bond purchases resulted in a sharp spike in bond yields, which supported cyclical market exposure. The simultaneous sharp rise in commodities prices put further pressure on inflation and compounded the impact on the bond market. Ultimately, though, this final rotation proved short-lived, as the market returned to a pro-growth stance in October 2021.
Macro thematic insights were the top detractors from performance, particularly insights designed to track COVID-19-related price trends and subsequent reversals. Other measures designed to track which industries were most likely to benefit from the broader economic reopening also detracted, most notably by motivating an underweight position in information technology (“IT”) services names that dragged on returns in a pro-growth market environment. Additionally, signals tracking credit investor flows also struggled amid interest rate uncertainty.
Fundamental measures also dragged on returns. Traditional valuation measures, such as assessing valuations across price, also struggled amid volatility in investors’ style preferences. Nontraditional insights, such as the Fund’s environmental, social and governance (“ESG”) related measures, also detracted from performance. Specifically, environmental measures struggled due to their negative sensitivity to the sharp run-up in commodities prices.
By contrast, select macro thematic measures provided some portfolio ballast for the Fund. In particular, an insight that evaluates labor wages and costs as an input prompted favorable Fund positions amid supply chain uncertainty. Also, fast-moving sentiment measures were significant contributors to the Fund’s relative performance, as they helped position the Fund across the ever-changing market backdrop. Specifically, insights that track brand sentiment added to performance. Finally, stability-related sentiment measures that favor lower-volatility stocks also benefited performance.
The BlackRock Defensive Advantage Funds are designed to provide downside protection against market drawdowns and may lag broader markets and peers during market rallies. The Funds pursue a “defensive” investment style, meaning that they seek to participate in rising equity markets while mitigating downside risk in declining markets.
Describe recent portfolio activity.
Over the course of the period, the portfolio maintained a balanced allocation of risk across all major return drivers. There were, however, several new signals added within the stock selection model. For instance, the Fund built on its alternative data capabilities by adding an insight that captures brand sentiment toward retail names. Additionally, given the dynamic nature of the current market environment, the Fund instituted enhanced signal constructs to identify emerging trends such as sentiment around supply chain disruptions and wage inflation.
Describe portfolio positioning at period end.
Relative to the benchmark, the Fund ended the period with largely neutral positioning from a sector perspective. The Fund had slight overweight positions in the consumer staples and utilities sectors and maintained slight underweights in communication services and IT stocks.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| | |
| 10 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of October 31, 2021 (continued) | | BlackRock Defensive Advantage U.S. Fund |
Performance
| | | | | | | | | | | | | | | | |
| | | | | | | | | Total Returns(a) | |
| | | | | | | | | Since
Inception(b) | |
| | | | | | 6-Month Total Returns | | | Without Sales Charge | | | With Sales Charge | |
Institutional | | | | | | | 7.58 | % | | | 16.14 | % | | | N/A | |
Investor A | | | | | | | 7.33 | | | | 15.86 | | | | 9.78 | % |
Class K | | | | | | | 7.58 | | | | 16.14 | | | | N/A | |
MSCI USA Minimum Volatility Index(c) | | | | | | | 8.57 | | | | 17.01 | | | | N/A | |
Russell 1000® Index(d) | | | | | | | 10.37 | | | | 24.90 | | | | N/A | |
| | (a) | See “About Fund Performance” for a detailed description of share classes, including any related fees. | |
| | (b) | The Fund commenced operations on December 21, 2020. | |
| | (c) | An index that aims to reflect the performance characteristics of a minimum variance strategy applied to the large- and mid-cap U.S. equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD for the lowest absolute risk (within a given set of constraints). | |
| | (d) | An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. | |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical(a) | | | | |
| | | | | | | | | | | | | | | | |
| | |
| Beginning
Account Value
(05/01/21) |
| |
| Ending
Account Value
(10/31/21) |
| |
| Expenses
Paid During the Period |
(b) | | | | | |
| Beginning
Account Value
(05/01/21) |
| |
| Ending
Account Value
(10/31/21) |
| |
| Expenses
Paid During the Period |
(b) | |
| Annualized
Expense
Ratio |
|
Institutional | | $ | 1,000.00 | | | $ | 1,075.80 | | | $ | 2.25 | | | | | | | $ | 1,000.00 | | | $ | 1,023.04 | | | $ | 2.19 | | | | 0.43 | % |
Investor A | | | 1,000.00 | | | | 1,073.30 | | | | 3.55 | | | | | | | | 1,000.00 | | | | 1,021.78 | | | | 3.47 | | | | 0.68 | |
Class K | | | 1,000.00 | | | | 1,075.80 | | | | 2.25 | | | | | | | | 1,000.00 | | | | 1,023.04 | | | | 2.19 | | | | 0.43 | |
| | (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
| | (b) | 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 184/365 (to reflect the one-half year period shown). | |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
TEN LARGEST HOLDINGS
| | | | |
| Security(a) | | Percent of
Net Assets | |
Waste Connections, Inc. | | | 2 | % |
Walmart, Inc. | | | 2 | |
Johnson & Johnson | | | 2 | |
UnitedHealth Group, Inc. | | | 2 | |
McDonald’s Corp. | | | 2 | |
Consolidated Edison, Inc. | | | 2 | |
Visa, Inc., Class A | | | 2 | |
C.H. Robinson Worldwide, Inc. | | | 2 | |
Procter & Gamble Co. | | | 1 | |
AT&T, Inc. | | | 1 | |
SECTOR ALLOCATION
| | | | |
| Sector(b) | | Percent of Net Assets | |
Information Technology | | | 23 | % |
Health Care | | | 17 | |
Consumer Staples | | | 12 | |
Industrials | | | 11 | |
Utilities | | | 9 | |
Financials | | | 8 | |
Communication Services | | | 8 | |
Consumer Discretionary | | | 7 | |
Materials | | | 2 | |
Real Estate | | | 1 | |
Energy | | | 1 | |
Short-Term Securities | | | 1 | |
Liabilities in Excess of Other Assets | | | (— | )(c) |
| (a) | Excludes short-term securities. | |
| (b) | For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. | |
| (c) | Rounds to less than 1% of net assets. | |
About Fund Performance
Institutional Shares and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors.
Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table(s) assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
BlackRock Advisors, LLC (the “Manager”), each Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waiver(s) and/or reimbursement(s), each Fund’s performance would have been lower. With respect to each Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.
Disclosure of Expenses
Shareholders of each Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested on May 1, 2021 and held through October 31, 2021) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 12 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) October 31, 2021 | | BlackRock Defensive Advantage Emerging Markets Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks | |
|
| Brazil — 1.7% | |
Ambev SA | | | 5,887 | | | $ | 17,722 | |
CPFL Energia SA | | | 32,714 | | | | 152,505 | |
| | | | | | | | |
| | |
| | | | | | | 170,227 | |
| | |
| Chile — 1.9% | | | | | | |
Cia Cervecerias Unidas SA, ADR | | | 7,721 | | | | 130,562 | |
Enel Americas SA, ADR | | | 11,736 | | | | 66,426 | |
| | | | | | | | |
| | |
| | | | | | | 196,988 | |
| | |
| China — 25.1% | | | | | | |
3SBio, Inc.(a)(b) | | | 113,000 | | | | 103,407 | |
Agricultural Bank of China Ltd., Class A | | | 86,800 | | | | 39,807 | |
Alibaba Group Holding Ltd.(a) | | | 4,648 | | | | 95,575 | |
Anhui Expressway Co. Ltd., Class H | | | 6,000 | | | | 3,557 | |
Baidu, Inc., Class A(a) | | | 650 | | | | 13,282 | |
BYD Co. Ltd., Class A | | | 1,800 | | | | 87,862 | |
China CITIC Bank Corp. Ltd., Class H | | | 38,000 | | | | 16,669 | |
China Railway Signal & Communication Corp. Ltd., Class A | | | 186,201 | | | | 143,293 | |
China Resources Pharmaceutical Group
Ltd.(b) | | | 291,500 | | | | 140,225 | |
China Yangtze Power Co. Ltd., Class A | | | 32,500 | | | | 107,781 | |
China Yongda Automobiles Services Holdings Ltd. | | | 59,500 | | | | 94,669 | |
Dali Foods Group Co. Ltd.(b) | | | 271,500 | | | | 151,095 | |
Haier Smart Home Co. Ltd., Class H | | | 43,000 | | | | 160,119 | |
Huisen Household International Group Ltd.(c) | | | 60,000 | | | | 17,654 | |
Lenovo Group Ltd. | | | 148,000 | | | | 160,723 | |
Liaoning Port Co. Ltd., Class H | | | 220,000 | | | | 20,378 | |
NetEase, Inc., ADR | | | 298 | | | | 29,082 | |
People’s Insurance Co. Group of China Ltd. | | | 190,300 | | | | 149,029 | |
Ping An Insurance Group Co. of China Ltd., Class H | | | 17,500 | | | | 125,348 | |
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | | | 76,900 | | | | 140,744 | |
Shanghai Pudong Development Bank Co. Ltd., Class A | | | 15,600 | | | | 21,760 | |
Shenzhen Expressway Co. Ltd., Class H | | | 114,000 | | | | 107,443 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | | | 2,300 | | | | 134,599 | |
Sinopharm Group Co. Ltd., Class H | | | 22,000 | | | | 52,239 | |
Tencent Holdings Ltd. | | | 1,200 | | | | 72,996 | |
Tingyi Cayman Islands Holding Corp. | | | 54,000 | | | | 100,790 | |
Vipshop Holdings Ltd., ADR(a) | | | 429 | | | | 4,788 | |
WuXi AppTec Co. Ltd., Class H(b) | | | 6,960 | | | | 148,604 | |
ZTE Corp., Class A | | | 28,661 | | | | 145,751 | |
| | | | | | | | |
| | |
| | | | | | | 2,589,269 | |
| | |
| Greece — 0.0% | | | | | | |
JUMBO SA | | | 134 | | | | 1,995 | |
| | | | | | | | |
| | |
| Hong Kong — 1.4% | | | | | | |
Beijing Enterprises Water Group Ltd. | | | 84,000 | | | | 32,108 | |
Guangdong Investment Ltd. | | | 54,000 | | | | 67,897 | |
Sino Biopharmaceutical Ltd. | | | 62,000 | | | | 45,718 | |
| | | | | | | | |
| | |
| | | | | | | 145,723 | |
| | |
| India — 12.5% | | | | | | |
Asian Paints Ltd. | | | 3,425 | | | | 141,943 | |
Dabur India Ltd. | | | 17,697 | | | | 138,614 | |
HCL Technologies Ltd. | | | 1,498 | | | | 22,938 | |
HDFC Bank Ltd., ADR | | | 1,402 | | | | 100,818 | |
HDFC Life Insurance Co. Ltd.(b) | | | 6,303 | | | | 57,322 | |
Infosys Ltd. | | | 3,722 | | | | 83,294 | |
Infosys Ltd., ADR | | | 2,655 | | | | 59,153 | |
ITC Ltd. | | | 47,653 | | | | 142,281 | |
Larsen & Toubro Infotech Ltd.(b) | | | 1,658 | | | | 148,329 | |
Mphasis Ltd. | | | 1,635 | | | | 70,913 | |
Tata Consultancy Services Ltd. | | | 3,187 | | | | 144,863 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| India (continued) | |
Tech Mahindra Ltd. | | | 2,416 | | | $ | 47,823 | |
Titan Co. Ltd. | | | 347 | | | | 11,072 | |
Wipro Ltd. | | | 13,739 | | | | 118,973 | |
| | | | | | | | |
| | |
| | | | | | | 1,288,336 | |
| | |
| Kuwait — 0.7% | | | | | | |
National Bank of Kuwait SAKP | | | 21,470 | | | | 70,595 | |
| | | | | | | | |
| | |
| Malaysia — 5.6% | | | | | | |
Axiata Group BHD | | | 110,100 | | | | 105,022 | |
IHH Healthcare BHD | | | 29,000 | | | | 45,800 | |
Malayan Banking BHD | | | 75,900 | | | | 147,548 | |
Maxis BHD | | | 97,400 | | | | 109,937 | |
Petronas Dagangan BHD | | | 3,100 | | | | 15,243 | |
RHB Bank BHD | | | 110,600 | | | | 149,232 | |
| | | | | | | | |
| | |
| | | | | | | 572,782 | |
| | |
| Mexico — 1.8% | | | | | | |
Coca-Cola Femsa SAB de CV | | | 4,186 | | | | 22,559 | |
Fomento Economico Mexicano SAB de CV, ADR | | | 1,333 | | | | 109,559 | |
Wal-Mart de Mexico SAB de CV | | | 15,939 | | | | 55,594 | |
| | | | | | | | |
| | |
| | | | | | | 187,712 | |
| | |
| Peru — 0.5% | | | | | | |
Credicorp Ltd. | | | 405 | | | | 52,512 | |
| | | | | | | | |
| | |
| Philippines — 0.1% | | | | | | |
Manila Electric Co. | | | 1,290 | | | | 7,349 | |
| | | | | | | | |
| | |
| Qatar — 3.0% | | | | | | |
Industries Qatar QSC | | | 17,771 | | | | 77,027 | |
Masraf Al Rayan QSC | | | 66,701 | | | | 87,042 | |
Ooredoo QPSC | | | 77,455 | | | | 146,481 | |
| | | | | | | | |
| | |
| | | | | | | 310,550 | |
| | |
| Russia — 2.0% | | | | | | |
Alrosa AO(a) | | | 1,752 | | | | 3,093 | |
LUKOIL PJSC | | | 1,466 | | | | 149,608 | |
Rostelecom PJSC | | | 40,482 | | | | 53,234 | |
Sberbank of Russia PJSC, ADR | | | 252 | | | | 5,054 | |
| | | | | | | | |
| | |
| | | | | | | 210,989 | |
| | |
| Saudi Arabia — 7.8% | | | | | | |
Al Rajhi Bank | | | 4,082 | | | | 150,835 | |
Dr Sulaiman Al Habib Medical Services Group Co. | | | 1,698 | | | | 75,056 | |
Jarir Marketing Co. | | | 2,734 | | | | 147,819 | |
SABIC Agri-Nutrients Co. | | | 421 | | | | 18,473 | |
Saudi Arabian Oil Co.(b) | | | 15,942 | | | | 160,444 | |
Saudi Basic Industries Corp. | | | 4,314 | | | | 148,688 | |
Seera Group Holding(a) | | | 16,313 | | | | 100,899 | |
| | | | | | | | |
| | |
| | | | | | | 802,214 | |
| | |
| South Africa — 1.8% | | | | | | |
Clicks Group Ltd. | | | 2,270 | | | | 41,438 | |
Vodacom Group Ltd. | | | 15,886 | | | | 141,003 | |
| | | | | | | | |
| | |
| | | | | | | 182,441 | |
| | |
| South Korea — 5.7% | | | | | | |
Amorepacific Group | | | 1,451 | | | | 61,758 | |
BGF retail Co. Ltd. | | | 210 | | | | 29,173 | |
Hyundai Mobis Co. Ltd. | | | 288 | | | | 62,257 | |
Kangwon Land, Inc.(a) | | | 2,716 | | | | 64,626 | |
KT Corp., ADR | | | 4,906 | | | | 62,846 | |
NAVER Corp. | | | 443 | | | | 154,023 | |
NCSoft Corp. | | | 22 | | | | 11,821 | |
| | |
SCHEDULE OF INVESTMENTS | | 13 |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage Emerging Markets Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| South Korea (continued) | |
Samsung Electronics Co. Ltd. | | | 1,573 | | | $ | 94,181 | |
Samsung SDS Co. Ltd. | | | 319 | | | | 41,930 | |
| | | | | | | | |
| | |
| | | | | | | 582,615 | |
| | |
| Taiwan — 18.9% | | | | | | |
Chang Hwa Commercial Bank Ltd. | | | 251,490 | | | | 148,510 | |
Chunghwa Telecom Co. Ltd. | | | 37,000 | | | | 146,825 | |
CTBC Financial Holding Co. Ltd. | | | 186,000 | | | | 155,321 | |
E.Sun Financial Holding Co. Ltd. | | | 159,166 | | | | 152,087 | |
Eva Airways Corp.(a) | | | 26,000 | | | | 17,646 | |
First Financial Holding Co. Ltd. | | | 179,130 | | | | 147,481 | |
Formosa Plastics Corp. | | | 5,000 | | | | 19,367 | |
Hua Nan Financial Holdings Co. Ltd. | | | 206,544 | | | | 151,239 | |
MediaTek, Inc. | | | 4,000 | | | | 131,651 | |
Nan Ya Plastics Corp. | | | 48,000 | | | | 147,305 | |
Nanya Technology Corp. | | | 67,000 | | | | 160,648 | |
Novatek Microelectronics Corp. | | | 3,000 | | | | 44,997 | |
Taiwan Business Bank | | | 153,074 | | | | 52,075 | |
Taiwan Cooperative Financial Holding Co. Ltd. | | | 188,980 | | | | 153,654 | |
Taiwan Mobile Co. Ltd. | | | 42,000 | | | | 148,141 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 7,000 | | | | 148,542 | |
United Microelectronics Corp. | | | 12,000 | | | | 24,912 | |
| | | | | | | | |
| | |
| | | | | | | 1,950,401 | |
| | |
| Thailand — 3.2% | | | | | | |
Bangkok Dusit Medical Services PCL, NVDR | | | 211,700 | | | | 150,124 | |
Home Product Center PCL, NVDR | | | 79,300 | | | | 34,945 | |
Siam Cement PCL, NVDR | | | 12,600 | | | | 149,988 | |
| | | | | | | | |
| | |
| | | | | | | 335,057 | |
| | |
| Turkey — 0.4% | | | | | | |
Arcelik AS | | | 10,411 | | | | 36,526 | |
Turkcell Iletisim Hizmetleri A/S | | | 4,574 | | | | 7,274 | |
| | | | | | | | |
| | |
| | | | | | | 43,800 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| United Arab Emirates — 3.1% | |
Abu Dhabi Commercial Bank PJSC | | | 71,991 | | | $ | 162,674 | |
Emirates Telecommunications Group Co. PJSC | | | 22,815 | | | | 159,144 | |
| | | | | | | | |
| | |
| | | | | | | 321,818 | |
| | | | | | | | |
| |
Total Long-Term Investments — 97.2%
(Cost: $9,971,295) | | | | 10,023,373 | |
| | | | | | | | |
| | |
Short-Term Securities | | | | | | | | |
|
| Money Market Funds — 2.9% | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(d)(e) | | | 280,588 | | | | 280,588 | |
SL Liquidity Series, LLC, Money Market Series, 0.08%(d)(e)(f) | | | 17,355 | | | | 17,358 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.9%
(Cost: $297,947) | | | | 297,946 | |
| | | | | | | | |
Total Investments — 100.1%
(Cost: $10,269,242) | | | | 10,321,319 | |
| |
Liabilities in Excess of Other Assets — (0.1)% | | | | (13,783 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 10,307,536 | |
| | | | | | | | |
| (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 this security is on loan. |
| (d) | Affiliate of the Fund. |
| (e) | Annualized 7-day yield as of period end. |
| (f) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Affiliated Issuer | | Value at
04/30/21 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
10/31/21 | | | Shares
Held at
10/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
| | BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 1,096,787 | | | $ | — | | | | $(816,199) | (a) | | $ | — | | | $ | — | | | $ | 280,588 | | | | 280,588 | | | $ | 19 | | | $ | — | |
| | iShares MSCI Qatar ETF(b) | | | 240,625 | | | | 9,683 | | | | (243,393) | | | | 6,156 | | | | (13,071 | ) | | | — | | | | — | | | | 5,172 | | | | — | |
| | SL Liquidity Series, LLC, Money Market Series | | | 11,550 | | | | 5,809 | (a) | | | — | | | | — | | | | (1 | ) | | | 17,358 | | | | 17,355 | | | | 214 | (c) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 6,156 | | | $ | (13,072 | ) | | $ | 297,946 | | | | | | | $ | 5,405 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
| | (b) | As of period end, the entity is no longer held. | |
| | (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. | |
| | |
| 14 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage Emerging Markets Fund |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount (000) | | | Value/ Unrealized Appreciation (Depreciation) | |
Long Contracts | | | | | | | | | | | | | | | | |
MSCI Emerging Markets Index | | | 3 | | | | 12/17/21 | | | $ | 189 | | | $ | (3,968 | ) |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 3,968 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,968 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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). | |
For the period ended October 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 32,988 | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,988 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 40,641 | | | $ | — | | | $ | — | | | $ | — | | | $ | 40,641 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 190,478 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
Long-Term Investments | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 170,227 | | | $ | — | | | $ | — | | | $ | 170,227 | |
Chile | | | 196,988 | | | | — | | | | — | | | | 196,988 | |
China | | | 396,153 | | | | 2,193,116 | | | | — | | | | 2,589,269 | |
Greece | | | — | | | | 1,995 | | | | — | | | | 1,995 | |
Hong Kong | | | — | | | | 145,723 | | | | — | | | | 145,723 | |
India | | | 159,971 | | | | 1,128,365 | | | | — | | | | 1,288,336 | |
| | |
SCHEDULE OF INVESTMENTS | | 15 |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage Emerging Markets Fund |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks (continued) | | | | | | | | | | | | | | | | |
Kuwait | | $ | — | | | $ | 70,595 | | | $ | — | | | $ | 70,595 | |
Malaysia | | | 298,370 | | | | 274,412 | | | | — | | | | 572,782 | |
Mexico | | | 187,712 | | | | — | | | | — | | | | 187,712 | |
Peru | | | 52,512 | | | | — | | | | — | | | | 52,512 | |
Philippines | | | — | | | | 7,349 | | | | — | | | | 7,349 | |
Qatar | | | 310,550 | | | | — | | | | — | | | | 310,550 | |
Russia | | | — | | | | 210,989 | | | | — | | | | 210,989 | |
Saudi Arabia | | | 635,053 | | | | 167,161 | | | | — | | | | 802,214 | |
South Africa | | | 182,441 | | | | — | | | | — | | | | 182,441 | |
South Korea | | | 62,846 | | | | 519,769 | | | | — | | | | 582,615 | |
Taiwan | | | — | | | | 1,950,401 | | | | — | | | | 1,950,401 | |
Thailand | | | — | | | | 335,057 | | | | — | | | | 335,057 | |
Turkey | | | 7,274 | | | | 36,526 | | | | — | | | | 43,800 | |
United Arab Emirates | | | 162,674 | | | | 159,144 | | | | — | | | | 321,818 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 280,588 | | | | — | | | | — | | | | 280,588 | |
| | | | | | | | | | | | | | | | |
| | $ | 3,103,359 | | | $ | 7,200,602 | | | $ | — | | | | 10,303,961 | |
| | | | | | | | | | | | | | | | |
Investments Valued at NAV(a) | | | | | | | | | | | | | | | 17,358 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 10,321,319 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Equity Contracts | | $ | (3,968 | ) | | $ | — | | | $ | — | | | $ | (3,968 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. | |
| | (b) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
| 16 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) October 31, 2021 | | BlackRock Defensive Advantage International Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Common Stocks | |
|
| Australia — 6.2% | |
APA Group | | | 1,909 | | | $ | 11,845 | |
Aristocrat Leisure Ltd. | | | 1,049 | | | | 37,204 | |
Aurizon Holdings Ltd. | | | 50,418 | | | | 128,539 | |
Coles Group Ltd. | | | 7,885 | | | | 102,181 | |
CSL Ltd. | | | 164 | | | | 37,317 | |
Domino’s Pizza Enterprises Ltd. | | | 160 | | | | 16,412 | |
JB Hi-Fi Ltd. | | | 4,665 | | | | 178,106 | |
Medibank Pvt Ltd. | | | 64,180 | | | | 161,293 | |
Wesfarmers Ltd. | | | 118 | | | | 5,105 | |
| | | | | | | | |
| | |
| | | | | | | 678,002 | |
| | |
| Austria — 0.5% | | | | | | |
ANDRITZ AG | | | 502 | | | | 28,513 | |
Telekom Austria AG | | | 2,424 | | | | 20,943 | |
| | | | | | | | |
| | |
| | | | | | | 49,456 | |
| | |
| Belgium — 1.9% | | | | | | |
Anheuser-Busch InBev SA/NV | | | 46 | | | | 2,814 | |
Groupe Bruxelles Lambert SA | | | 1,162 | | | | 134,828 | |
Proximus SADP | | | 1,124 | | | | 21,167 | |
Telenet Group Holding NV | | | 838 | | | | 30,106 | |
UCB SA | | | 191 | | | | 22,829 | |
| | | | | | | | |
| | |
| | | | | | | 211,744 | |
| | |
| China — 1.3% | | | | | | |
BOC Hong Kong Holdings Ltd. | | | 41,000 | | | | 129,922 | |
Chow Tai Fook Jewellery Group Ltd. | | | 5,800 | | | | 11,830 | |
| | | | | | | | |
| | |
| | | | | | | 141,752 | |
| | |
| Denmark — 5.4% | | | | | | |
Carlsberg A/S, Class B | | | 501 | | | | 82,723 | |
Coloplast A/S, Class B | | | 1,009 | | | | 164,788 | |
Novo Nordisk A/S, Class B | | | 1,566 | | | | 171,719 | |
Novozymes A/S, B Shares | | | 2,289 | | | | 168,376 | |
| | | | | | | | |
| | |
| | | | | | | 587,606 | |
| | |
| Finland — 3.7% | | | | | | |
Kesko OYJ, B Shares | | | 4,743 | | | | 154,358 | |
Kone OYJ, Class B | | | 2,365 | | | | 161,291 | |
Nokia OYJ(a) | | | 16,245 | | | | 93,238 | |
| | | | | | | | |
| | |
| | | | | | | 408,887 | |
| | |
| France — 5.6% | | | | | | |
Air Liquide SA | | | 571 | | | | 95,333 | |
Hermes International | | | 77 | | | | 122,270 | |
Kering SA | | | 15 | | | | 11,258 | |
Legrand SA | | | 1,485 | | | | 161,999 | |
L’Oreal SA | | | 370 | | | | 169,258 | |
Orange SA | | | 4,194 | | | | 45,735 | |
Rubis SCA | | | 62 | | | | 1,987 | |
| | | | | | | | |
| | |
| | | | | | | 607,840 | |
| | |
| Germany — 6.0% | | | | | | |
Deutsche Post AG, Registered Shares | | | 776 | | | | 48,040 | |
Evonik Industries AG | | | 5,064 | | | | 164,078 | |
Fielmann AG | | | 25 | | | | 1,648 | |
Fresenius Medical Care AG & Co. KGaA | | | 2,139 | | | | 142,092 | |
Henkel AG & Co. KGaA | | | 250 | | | | 20,878 | |
SAP SE | | | 1,142 | | | | 165,374 | |
Symrise AG | | | 692 | | | | 95,719 | |
Telefonica Deutschland Holding AG | | | 6,197 | | | | 16,146 | |
| | | | | | | | |
| | |
| | | | | | | 653,975 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Hong Kong — 6.3% | | | | | | |
CK Infrastructure Holdings Ltd. | | | 6,500 | | | $ | 39,189 | |
CLP Holdings Ltd. | | | 14,000 | | | | 137,073 | |
Dairy Farm International Holdings Ltd. | | | 700 | | | | 2,501 | |
HK Electric Investments & HK Electric Investments Ltd., Class SS | | | 45,000 | | | | 44,824 | |
HKT Trust & HKT Ltd., Class SS | | | 38,000 | | | | 51,567 | |
Hong Kong & China Gas Co. Ltd. | | | 11,950 | | | | 18,565 | |
Hutchison Telecommunications Hong Kong Holdings Ltd. | | | 40,000 | | | | 6,387 | |
Jardine Matheson Holdings Ltd. | | | 600 | | | | 34,850 | |
Kerry Properties Ltd. | | | 23,500 | | | | 66,427 | |
Link REIT | | | 8,300 | | | | 73,533 | |
MTR Corp. Ltd. | | | 26,500 | | | | 144,561 | |
PCCW Ltd. | | | 9,000 | | | | 4,633 | |
Power Assets Holdings Ltd. | | | 8,000 | | | | 48,890 | |
Swire Properties Ltd. | | | 5,200 | | | | 13,941 | |
| | | | | | | | |
| | |
| | | | | | | 686,941 | |
| | |
| Israel — 3.6% | | | | | | |
Bank Hapoalim BM | | | 17,252 | | | | 169,914 | |
Israel Discount Bank Ltd., Class A(a) | | | 6,280 | | | | 37,945 | |
Nice Ltd.(a) | | | 572 | | | | 161,704 | |
Strauss Group Ltd. | | | 640 | | | | 18,812 | |
| | | | | | | | |
| | |
| | | | | | | 388,375 | |
| | |
| Italy — 1.5% | | | | | | |
Italgas SpA | | | 19,574 | | | | 124,363 | |
Snam SpA | | | 7,096 | | | | 40,190 | |
| | | | | | | | |
| | |
| | | | | | | 164,553 | |
| | |
| Japan — 25.4% | | | | | | |
Amada Co. Ltd. | | | 11,500 | | | | 113,614 | |
Bridgestone Corp. | | | 3,300 | | | | 145,990 | |
Calbee, Inc. | | | 6,100 | | | | 157,169 | |
Canon Marketing Japan, Inc. | | | 2,000 | | | | 39,621 | |
Canon, Inc. | | | 6,500 | | | | 147,806 | |
Casio Computer Co. Ltd. | | | 2,000 | | | | 28,302 | |
Chugai Pharmaceutical Co. Ltd. | | | 3,800 | | | | 142,079 | |
Chugoku Electric Power Co., Inc. | | | 8,200 | | | | 68,018 | |
Coca-Cola Bottlers Japan Holdings, Inc. | | | 1,300 | | | | 17,890 | |
Fuji Oil Holdings, Inc. | | | 1,500 | | | | 35,202 | |
Japan Tobacco, Inc. | | | 8,300 | | | | 162,939 | |
Kamigumi Co. Ltd. | | | 3,200 | | | | 64,432 | |
KDDI Corp. | | | 3,800 | | | | 116,204 | |
Kirin Holdings Co. Ltd. | | | 2,700 | | | | 46,996 | |
Lawson, Inc. | | | 1,300 | | | | 62,867 | |
Lintec Corp. | | | 1,200 | | | | 26,788 | |
Lion Corp. | | | 4,700 | | | | 78,276 | |
Morinaga & Co. Ltd./Japan | | | 1,000 | | | | 35,339 | |
Nichirei Corp. | | | 400 | | | | 9,742 | |
Nitori Holdings Co. Ltd. | | | 300 | | | | 55,113 | |
Obic Co. Ltd. | | | 300 | | | | 55,477 | |
Secom Co. Ltd. | | | 2,400 | | | | 163,614 | |
Softbank Corp. | | | 6,400 | | | | 87,358 | |
Sumitomo Mitsui Financial Group, Inc. | | | 3,600 | | | | 116,819 | |
Sundrug Co. Ltd. | | | 1,800 | | | | 52,679 | |
Suntory Beverage & Food Ltd. | | | 4,200 | | | | 162,970 | |
Takeda Pharmaceutical Co. Ltd. | | | 5,900 | | | | 165,588 | |
Terumo Corp. | | | 3,700 | | | | 163,228 | |
Tokyo Electron Ltd. | | | 200 | | | | 93,207 | |
Tokyo Gas Co. Ltd. | | | 400 | | | | 6,941 | |
| | |
S C H E D U L E O F I N V E S T M E N T S | | 17 |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage International Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
Trend Micro, Inc. | | | 800 | | | $ | 45,216 | |
Yamazaki Baking Co. Ltd. | | | 7,200 | | | | 109,374 | |
| | | | | | | | |
| | |
| | | | | | | 2,776,858 | |
| | |
| Luxembourg — 0.3% | | | | | | |
RTL Group SA(a) | | | 633 | | | | 36,561 | |
| | | | | | | | |
| | |
| Netherlands — 1.9% | | | | | | |
JDE Peet’s NV | | | 105 | | | | 3,058 | |
Koninklijke Ahold Delhaize NV | | | 1,422 | | | | 46,261 | |
Koninklijke KPN NV | | | 4,790 | | | | 14,312 | |
Wolters Kluwer NV | | | 1,399 | | | | 146,501 | |
| | | | | | | | |
| | |
| | | | | | | 210,132 | |
| | |
| New Zealand — 0.9% | | | | | | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 3,549 | | | | 79,510 | |
Spark New Zealand Ltd. | | | 7,043 | | | | 23,057 | |
| | | | | | | | |
| | |
| | | | | | | 102,567 | |
| | |
| Norway — 0.7% | | | | | | |
Equinor ASA | | | 2,921 | | | | 74,013 | |
| | | | | | | | |
| | |
| Portugal — 0.3% | | | | | | |
Jeronimo Martins SGPS SA | | | 1,559 | | | | 35,323 | |
| | | | | | | | |
| | |
| Singapore — 2.8% | | | | | | |
Jardine Cycle & Carriage Ltd. | | | 7,100 | | | | 118,692 | |
Singapore Technologies Engineering Ltd. | | | 10,100 | | | | 28,682 | |
Singapore Telecommunications Ltd. | | | 60,600 | | | | 112,428 | |
United Overseas Bank Ltd. | | | 1,800 | | | | 35,781 | |
Venture Corp. Ltd. | | | 700 | | | | 9,778 | |
| | | | | | | | |
| | |
| | | | | | | 305,361 | |
| | |
| Sweden — 3.3% | | | | | | |
Atlas Copco AB, A Shares | | | 2,505 | | | | 161,319 | |
Essity AB, Class B | | | 707 | | | | 22,901 | |
Swedish Match AB | | | 10,153 | | | | 89,521 | |
Telia Co. AB | | | 21,026 | | | | 82,818 | |
| | | | | | | | |
| | |
| | | | | | | 356,559 | |
| | |
| Switzerland — 12.3% | | | | | | |
ABB Ltd., Registered Shares | | | 1,123 | | | | 37,152 | |
Baloise Holding AG, Registered Shares | | | 59 | | | | 9,402 | |
Banque Cantonale Vaudoise, Registered Shares | | | 154 | | | | 12,399 | |
Givaudan SA, Registered Shares | | | 35 | | | | 164,918 | |
Kuehne + Nagel International AG, Registered Shares | | | 474 | | | | 149,287 | |
Nestle SA, Registered Shares | | | 1,311 | | | | 172,930 | |
Novartis AG, Registered Shares | | | 1,977 | | | | 163,523 | |
Roche Holding AG | | | 822 | | | | 335,187 | |
Sika AG, Registered Shares | | | 250 | | | | 84,695 | |
Swisscom AG, Registered Shares | | | 277 | | | | 150,833 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Switzerland (continued) | | | | | | |
Tecan Group AG, Registered Shares | | | 92 | | | $ | 56,369 | |
Temenos AG, Registered Shares | | | 90 | | | | 13,779 | |
| | | | | | | | |
| | |
| | | | | | | 1,350,474 | |
| | |
| United Kingdom — 7.6% | | | | | | |
AstraZeneca PLC | | | 1,347 | | | | 168,511 | |
Diageo PLC | | | 122 | | | | 6,070 | |
GlaxoSmithKline PLC | | | 537 | | | | 11,149 | |
Greggs PLC | | | 306 | | | | 12,790 | |
J Sainsbury PLC | | | 38,551 | | | | 157,899 | |
Kingfisher PLC | | | 24,858 | | | | 114,088 | |
National Grid PLC | | | 12,174 | | | | 155,871 | |
RELX PLC | | | 934 | | | | 28,961 | |
Segro PLC | | | 218 | | | | 3,853 | |
Unilever PLC | | | 3,295 | | | | 176,397 | |
| | | | | | | | |
| | |
| | | | | | | 835,589 | |
| | | | | | | | |
| | |
Total Common Stocks — 97.5%
(Cost: $10,190,378) | | | | | | | 10,662,568 | |
| | | | | | | | |
| | |
Preferred Securities | | | | | | | | |
|
| Preferred Stocks — 0.6% | |
| | |
| Germany — 0.6% | | | | | | |
Henkel AG & Co. KGaA, Preference Shares | | | 769 | | | | 68,893 | |
| | | | | | | | |
| | |
Total Preferred Securities — 0.6%
(Cost: $68,760) | | | | | | | 68,893 | |
| | | | | | | | |
Total Long-Term Investments — 98.1%
(Cost: $10,259,138) | | | | | | | 10,731,461 | |
| | | | | | | | |
| | |
Short-Term Securities | | | | | | | | |
|
| Money Market Funds — 2.3% | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(b)(c) | | | 248,472 | | | | 248,472 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.3%
(Cost: $248,472) | | | | 248,472 | |
| | | | | | | | |
Total Investments — 100.4%
(Cost: $10,507,610) | | | | 10,979,933 | |
| |
Liabilities in Excess of Other Assets — (0.4)% | | | | (39,975 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 10,939,958 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | Affiliate of the Fund. |
| (c) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
04/30/21 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
10/31/21 | | | Shares
Held at
10/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 294,891 | | | $ | — | | | | $(46,419) | (a) | | $ | — | | | $ | — | | | $ | 248,472 | | | | 248,472 | | | $ | 6 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
| | |
| 18 | | 2 0 2 1 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage International Fund |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional Amount (000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Long Contracts | | | | | | | | | | | | | | | | |
MSCI EAFE Index | | | 1 | | | | 12/17/21 | | | $ | 117 | | | $ | (1,783 | ) |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 1,783 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,783 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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). | |
For the period ended October 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 16,153 | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,153 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (3,990 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (3,990 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 116,475 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
Long-Term Investments | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | — | | | $ | 678,002 | | | $ | — | | | $ | 678,002 | |
Austria | | | — | | | | 49,456 | | | | — | | | | 49,456 | |
Belgium | | | — | | | | 211,744 | | | | — | | | | 211,744 | |
China | | | — | | | | 141,752 | | | | — | | | | 141,752 | |
Denmark | | | — | | | | 587,606 | | | | — | | | | 587,606 | |
Finland | | | — | | | | 408,887 | | | | — | | | | 408,887 | |
| | |
SCHEDULE OF INVESTMENTS | | 19 |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage International Fund |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks (continued) | | | | | | | | | | | | | | | | |
France | | $ | — | | | $ | 607,840 | | | $ | — | | | $ | 607,840 | |
Germany | | | — | | | | 653,975 | | | | — | | | | 653,975 | |
Hong Kong | | | 44,824 | | | | 642,117 | | | | — | | | | 686,941 | |
Israel | | | — | | | | 388,375 | | | | — | | | | 388,375 | |
Italy | | | — | | | | 164,553 | | | | — | | | | 164,553 | |
Japan | | | — | | | | 2,776,858 | | | | — | | | | 2,776,858 | |
Luxembourg | | | — | | | | 36,561 | | | | — | | | | 36,561 | |
Netherlands | | | — | | | | 210,132 | | | | — | | | | 210,132 | |
New Zealand | | | — | | | | 102,567 | | | | — | | | | 102,567 | |
Norway | | | — | | | | 74,013 | | | | — | | | | 74,013 | |
Portugal | | | 35,323 | | | | — | | | | — | | | | 35,323 | |
Singapore | | | — | | | | 305,361 | | | | — | | | | 305,361 | |
Sweden | | | — | | | | 356,559 | | | | — | | | | 356,559 | |
Switzerland | | | — | | | | 1,350,474 | | | | — | | | | 1,350,474 | |
United Kingdom | | | 166,010 | | | | 669,579 | | | | — | | | | 835,589 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Preferred Stocks | | | — | | | | 68,893 | | | | — | | | | 68,893 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 248,472 | | | | — | | | | — | | | | 248,472 | |
| | | | | | | | | | | | | | | | |
| | $ | 494,629 | | | $ | 10,485,304 | | | $ | — | | | $ | 10,979,933 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Equity Contracts | | $ | (1,783 | ) | | $ | — | | | $ | — | | | $ | (1,783 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
| 20 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) October 31, 2021 | | BlackRock Defensive Advantage U.S. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks | | | | | | | | |
| | |
| Aerospace & Defense — 1.4% | | | | | | |
Lockheed Martin Corp. | | | 176 | | | $ | 58,488 | |
Northrop Grumman Corp. | | | 57 | | | | 20,362 | |
| | | | | | | | |
| | |
| | | | | | | 78,850 | |
| | |
| Air Freight & Logistics — 2.9% | | | | | | |
C.H. Robinson Worldwide, Inc. | | | 1,017 | | | | 98,639 | |
Expeditors International of Washington, Inc. | | | 556 | | | | 68,532 | |
| | | | | | | | |
| | |
| | | | | | | 167,171 | |
| | |
| Automobiles — 0.3% | | | | | | |
Tesla, Inc.(a) | | | 14 | | | | 15,596 | |
| | | | | | | | |
| | |
| Beverages — 1.6% | | | | | | |
Coca-Cola Co. | | | 195 | | | | 10,992 | |
Molson Coors Beverage Co., Class B | | | 1,440 | | | | 63,490 | |
PepsiCo, Inc. | | | 95 | | | | 15,352 | |
| | | | | | | | |
| | |
| | | | | | | 89,834 | |
| | |
| Biotechnology — 4.7% | | | | | | |
AbbVie, Inc. | | | 578 | | | | 66,279 | |
Amgen, Inc. | | | 333 | | | | 68,921 | |
Biogen, Inc.(a) | | | 27 | | | | 7,201 | |
Gilead Sciences, Inc. | | | 383 | | | | 24,849 | |
Moderna, Inc.(a) | | | 68 | | | | 23,474 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 117 | | | | 74,873 | |
Vertex Pharmaceuticals, Inc.(a) | | | 29 | | | | 5,363 | |
| | | | | | | | |
| | |
| | | | | | | 270,960 | |
| | |
| Building Products — 0.7% | | | | | | |
Lennox International, Inc. | | | 141 | | | | 42,198 | |
| | | | | | | | |
| | |
| Capital Markets — 2.9% | | | | | | |
FactSet Research Systems, Inc. | | | 146 | | | | 64,808 | |
Moody’s Corp. | | | 89 | | | | 35,969 | |
S&P Global, Inc. | | | 141 | | | | 66,857 | |
| | | | | | | | |
| | |
| | | | | | | 167,634 | |
| | |
| Chemicals — 2.0% | | | | | | |
Ecolab, Inc. | | | 291 | | | | 64,666 | |
Sherwin-Williams Co. | | | 161 | | | | 50,974 | |
| | | | | | | | |
| | |
| | | | | | | 115,640 | |
| | |
| Commercial Services & Supplies — 2.9% | | | | | | |
Republic Services, Inc. | | | 150 | | | | 20,190 | |
Waste Connections, Inc. | | | 864 | | | | 117,513 | |
Waste Management, Inc. | | | 175 | | | | 28,040 | |
| | | | | | | | |
| | |
| | | | | | | 165,743 | |
| | |
| Communications Equipment — 0.8% | | | | | | |
Motorola Solutions, Inc. | | | 193 | | | | 47,978 | |
| | | | | | | | |
| | |
| Consumer Finance — 0.6% | | | | | | |
Credit Acceptance Corp.(a) | | | 60 | | | | 35,893 | |
| | | | | | | | |
| | |
| Diversified Consumer Services — 1.2% | | | | | | |
Service Corp. International | | | 995 | | | | 68,147 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 1.1% | | | | | | |
Voya Financial, Inc. | | | 867 | | | | 60,491 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 1.6% | |
AT&T, Inc. | | | 3,501 | | | | 88,435 | |
Verizon Communications, Inc. | | | 35 | | | | 1,855 | |
| | | | | | | | |
| | |
| | | | | | | 90,290 | |
| | |
| Electric Utilities — 4.4% | | | | | | |
Duke Energy Corp. | | | 131 | | | | 13,363 | |
Evergy, Inc. | | | 1,034 | | | | 65,917 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Electric Utilities (continued) | | | | | | |
Eversource Energy | | | 60 | | | $ | 5,094 | |
IDACORP, Inc. | | | 350 | | | | 36,512 | |
NextEra Energy, Inc. | | | 866 | | | | 73,896 | |
OGE Energy Corp. | | | 1,481 | | | | 50,458 | |
Southern Co. | | | 169 | | | | 10,532 | |
| | | | | | | | |
| | |
| | | | | | | 255,772 | |
| | |
| Electrical Equipment — 0.5% | | | | | | |
AMETEK, Inc. | | | 228 | | | | 30,187 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.7% | |
Keysight Technologies, Inc.(a) | | | 212 | | | | 38,164 | |
| | | | | | | | |
| | |
| Energy Equipment & Services — 1.0% | | | | | | |
Schlumberger NV | | | 1,825 | | | | 58,874 | |
| | | | | | | | |
| | |
| Entertainment — 0.4% | | | | | | |
Roku, Inc.(a) | | | 84 | | | | 25,612 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) — 1.6% | |
Equinix, Inc. | | | 1 | | | | 837 | |
Life Storage, Inc. | | | 502 | | | | 67,172 | |
Prologis, Inc. | | | 127 | | | | 18,410 | |
Sun Communities, Inc. | | | 15 | | | | 2,940 | |
| | | | | | | | |
| | |
| | | | | | | 89,359 | |
| | |
| Food & Staples Retailing — 3.5% | | | | | | |
Costco Wholesale Corp. | | | 140 | | | | 68,816 | |
Kroger Co. | | | 518 | | | | 20,730 | |
Walmart, Inc. | | | 767 | | | | 114,605 | |
| | | | | | | | |
| | |
| | | | | | | 204,151 | |
| | |
| Food Products — 2.5% | | | | | | |
Campbell Soup Co. | | | 733 | | | | 29,283 | |
Conagra Brands, Inc. | | | 150 | | | | 4,830 | |
General Mills, Inc. | | | 153 | | | | 9,455 | |
Hershey Co. | | | 51 | | | | 8,943 | |
J.M. Smucker Co. | | | 123 | | | | 15,112 | |
Kellogg Co. | | | 1,272 | | | | 77,974 | |
| | | | | | | | |
| | |
| | | | | | | 145,597 | |
| | |
| Health Care Equipment & Supplies — 1.9% | | | | | | |
Danaher Corp. | | | 34 | | | | 10,600 | |
Edwards Lifesciences Corp.(a) | | | 208 | | | | 24,922 | |
IDEXX Laboratories, Inc.(a) | | | 97 | | | | 64,616 | |
Medtronic PLC | | | 10 | | | | 1,199 | |
Penumbra, Inc.(a) | | | 38 | | | | 10,509 | |
| | | | | | | | |
| | |
| | | | | | | 111,846 | |
| | |
| Health Care Providers & Services — 3.4% | | | | | | |
Cigna Corp. | | | 296 | | | | 63,229 | |
CVS Health Corp. | | | 80 | | | | 7,142 | |
McKesson Corp. | | | 76 | | | | 15,799 | |
UnitedHealth Group, Inc. | | | 242 | | | | 111,434 | |
| | | | | | | | |
| | |
| | | | | | | 197,604 | |
| | |
| Hotels, Restaurants & Leisure — 2.6% | | | | | | |
Booking Holdings, Inc.(a) | | | 8 | | | | 19,366 | |
McDonald’s Corp. | | | 446 | | | | 109,516 | |
Wendy’s Co. | | | 797 | | | | 17,773 | |
| | | | | | | | |
| | |
| | | | | | | 146,655 | |
| | |
| Household Products — 4.4% | | | | | | |
Clorox Co. | | | 521 | | | | 84,928 | |
Colgate-Palmolive Co. | | | 1,056 | | | | 80,456 | |
Procter & Gamble Co. | | | 631 | | | | 90,227 | |
| | | | | | | | |
| | |
| | | | | | | 255,611 | |
| | |
SCHEDULE OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage U.S. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Industrial Conglomerates — 0.1% | | | | | | |
Honeywell International, Inc. | | | 20 | | | $ | 4,372 | |
| | | | | | | | |
| | |
| Insurance — 3.3% | | | | | | |
Aon PLC, Class A | | | 255 | | | | 81,580 | |
Erie Indemnity Co., Class A | | | 347 | | | | 71,416 | |
Hanover Insurance Group, Inc. | | | 288 | | | | 36,288 | |
| | | | | | | | |
| | |
| | | | | | | 189,284 | |
| | |
| Interactive Media & Services(a) — 1.7% | | | | | | |
Alphabet, Inc., Class C | | | 27 | | | | 80,066 | |
Match Group, Inc. | | | 133 | | | | 20,054 | |
| | | | | | | | |
| | |
| | | | | | | 100,120 | |
| | |
| Internet & Direct Marketing Retail — 0.8% | | | | | | |
Chewy, Inc., Class A(a) | | | 581 | | | | 44,040 | |
| | | | | | | | |
| | |
| IT Services — 8.1% | | | | | | |
Accenture PLC, Class A | | | 90 | | | | 32,291 | |
Akamai Technologies, Inc.(a) | | | 415 | | | | 43,766 | |
Fidelity National Information Services, Inc. | | | 717 | | | | 79,401 | |
Mastercard, Inc., Class A | | | 149 | | | | 49,992 | |
Okta, Inc.(a) | | | 254 | | | | 62,784 | |
Paychex, Inc. | | | 210 | | | | 25,889 | |
Toast, Inc., Class A(a) | | | 41 | | | | 2,182 | |
Twilio, Inc., Class A(a) | | | 126 | | | | 36,711 | |
Visa, Inc., Class A | | | 492 | | | | 104,191 | |
Western Union Co. | | | 1,608 | | | | 29,298 | |
| | | | | | | | |
| | |
| | | | | | | 466,505 | |
| | |
| Life Sciences Tools & Services — 0.9% | | | | | | |
Agilent Technologies, Inc. | | | 334 | | | | 52,602 | |
| | | | | | | | |
| | |
| Machinery — 1.0% | | | | | | |
Otis Worldwide Corp. | | | 751 | | | | 60,313 | |
| | | | | | | | |
| | |
| Media — 3.9% | | | | | | |
Charter Communications, Inc., Class A(a) | | | 109 | | | | 73,563 | |
Discovery, Inc., Class A(a) | | | 1,179 | | | | 27,636 | |
Fox Corp., Class A | | | 1,486 | | | | 59,053 | |
Liberty Broadband Corp., Class C(a) | | | 66 | | | | 10,722 | |
Sirius XM Holdings, Inc. | | | 8,458 | | | | 51,509 | |
| | | | | | | | |
| | |
| | | | | | | 222,483 | |
| | |
| Multi-line Retail — 0.2% | | | | | | |
Target Corp. | | | 35 | | | | 9,087 | |
| | | | | | | | |
| | |
| Multi-Utilities — 4.4% | | | | | | |
Ameren Corp. | | | 154 | | | | 12,981 | |
CMS Energy Corp. | | | 884 | | | | 53,349 | |
Consolidated Edison, Inc. | | | 1,450 | | | | 109,330 | |
NiSource, Inc. | | | 2,368 | | | | 58,419 | |
WEC Energy Group, Inc. | | | 188 | | | | 16,931 | |
| | | | | | | | |
| | |
| | | | | | | 251,010 | |
| | |
| Oil, Gas & Consumable Fuels — 0.4% | | | | | | |
Equitrans Midstream Corp. | | | 2,276 | | | | 23,466 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 5.6% | | | | | | |
Bristol-Myers Squibb Co. | | | 1,317 | | | | 76,913 | |
Eli Lilly & Co. | | | 145 | | | | 36,940 | |
Johnson & Johnson | | | 688 | | | | 112,062 | |
Merck & Co., Inc. | | | 424 | | | | 37,333 | |
Pfizer, Inc. | | | 921 | | | | 40,285 | |
Zoetis, Inc. | | | 77 | | | | 16,647 | |
| | | | | | | | |
| | |
| | | | | | | 320,180 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Professional Services — 1.7% | | | | | | |
Equifax, Inc. | | | 142 | | | $ | 39,395 | |
FTI Consulting, Inc.(a) | | | 419 | | | | 60,302 | |
| | | | | | | | |
| | |
| | | | | | | 99,697 | |
|
| Semiconductors & Semiconductor Equipment — 1.2% | |
Advanced Micro Devices, Inc.(a) | | | 534 | | | | 64,203 | |
Intel Corp. | | | 42 | | | | 2,058 | |
| | | | | | | | |
| | |
| | | | | | | 66,261 | |
| | |
| Software — 10.8% | | | | | | |
Adobe, Inc.(a) | | | 121 | | | | 78,694 | |
Atlassian Corp. PLC, Class A(a) | | | 133 | | | | 60,931 | |
HubSpot, Inc.(a) | | | 79 | | | | 64,008 | |
Intuit, Inc. | | | 135 | | | | 84,509 | |
Manhattan Associates, Inc.(a) | | | 392 | | | | 71,164 | |
Microsoft Corp. | | | 120 | | | | 39,794 | |
Oracle Corp. | | | 123 | | | | 11,801 | |
ServiceNow, Inc.(a) | | | 98 | | | | 68,380 | |
VMware, Inc., Class A(a) | | | 409 | | | | 62,045 | |
Workday, Inc., Class A(a) | | | 198 | | | | 57,416 | |
Workiva, Inc.(a) | | | 136 | | | | 20,339 | |
| | | | | | | | |
| | |
| | | | | | | 619,081 | |
| | |
| Specialty Retail — 1.8% | | | | | | |
American Eagle Outfitters, Inc. | | | 90 | | | | 2,136 | |
National Vision Holdings, Inc.(a) | | | 826 | | | | 50,915 | |
O’Reilly Automotive, Inc.(a) | | | 79 | | | | 49,163 | |
| | | | | | | | |
| | |
| | | | | | | 102,214 | |
|
| Technology Hardware, Storage & Peripherals — 1.6% | |
Apple, Inc. | | | 519 | | | | 77,746 | |
Hewlett Packard Enterprise Co. | | | 855 | | | | 12,526 | |
| | | | | | | | |
| | |
| | | | | | | 90,272 | |
|
| Wireless Telecommunication Services — 0.1% | |
T-Mobile US, Inc.(a) | | | 46 | | | | 5,291 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 99.2%
(Cost: $5,362,304) | | | | | | | 5,702,135 | |
| | | | | | | | |
| | |
Short-Term Securities | | | | | | | | |
| | |
| Money Market Funds — 0.9% | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(b)(c) | | | 55,203 | | | | 55,203 | |
| | | | | | | | |
| |
Total Short-Term Securities — 0.9%
(Cost: $55,203) | | | | 55,203 | |
| | | | | | | | |
Total Investments — 100.1%
(Cost: $5,417,507) | | | | 5,757,338 | |
| |
Liabilities in Excess of Other Assets — (0.1)% | | | | (7,546 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 5,749,792 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | Affiliate of the Fund. |
| (c) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 22 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) October 31, 2021 | | BlackRock Defensive Advantage U.S. Fund |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
04/30/21 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
10/31/21 | | | Shares
Held at
10/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 135,946 | | | $ | — | | | $ | (80,743 | )(a) | | $ | — | | | $ | — | | | $ | 55,203 | | | | 55,203 | | | $ | 2 | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | — | | | | — | (a) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19 | (c) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | — | | | $ | — | | | $ | 55,203 | | | | | | | $ | 21 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
| | (b) | As of period end, the entity is no longer held. | |
| | (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
Long-Term Investments | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 5,702,135 | | | $ | — | | | $ | — | | | $ | 5,702,135 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 55,203 | | | | — | | | | — | | | | 55,203 | |
| | | | | | | | | | | | | | | | |
| | $ | 5,757,338 | | | $ | — | | | $ | — | | | $ | 5,757,338 | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 23 |
Statements of Assets and Liabilities (unaudited)
October 31, 2021
| | | | | | | | | | | | | | | | | | |
| | | BlackRock
Defensive Advantage
Emerging Markets Fund | | | BlackRock
Defensive Advantage International Fund | | | BlackRock
Defensive Advantage
U.S. Fund | |
| | | | | | |
ASSETS | | | | | | | | | | | | | | | | | | |
Investments, at value — unaffiliated(a)(b) | | | | $ | 10,023,373 | | | | | $ | 10,731,461 | | | | | $ | 5,702,135 | |
Investments, at value — affiliated(c) | | | | | 297,946 | | | | | | 248,472 | | | | | | 55,203 | |
Cash pledged for futures contracts | | | | | 13,000 | | | | | | 7,000 | | | | | | — | |
Foreign currency, at value(d) | | | | | 10,455 | | | | | | 13,045 | | | | | | — | |
Receivables: | | | | | | | | | | | | | | | | | | |
Investments sold | | | | | 35,961 | | | | | | 8,836 | | | | | | — | |
Securities lending income — affiliated | | | | | 134 | | | | | | — | | | | | | 9 | |
Capital shares sold | | | | | — | | | | | | — | | | | | | 500 | |
Dividends — unaffiliated | | | | | 15,269 | | | | | | 31,301 | | | | | | 6,794 | |
From the Manager | | | | | 17,489 | | | | | | 22,795 | | | | | | 15,476 | |
Deferred offering costs | | | | | 12,205 | | | | | | 12,153 | | | | | | 12,091 | |
Prepaid expenses | | | | | 10,768 | | | | | | 10,701 | | | | | | 10,700 | |
| | | | | | | | | | | | | | | | | | |
Total assets | | | | | 10,436,600 | | | | | | 11,085,764 | | | | | | 5,802,908 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | |
Collateral on securities loaned, at value | | | | | 17,360 | | | | | | — | | | | | | — | |
Payables: | | | | | | | | | | | | | | | | | | |
Investments purchased | | | | | 4,757 | | | | | | 41,977 | | | | | | — | |
Accounting services fees | | | | | 14,316 | | | | | | 14,230 | | | | | | 13,530 | |
Custodian fees | | | | | 25,618 | | | | | | 34,146 | | | | | | 3,720 | |
Deferred foreign capital gain tax | | | | | 14,939 | | | | | | — | | | | | | — | |
Trustees’ and Officer’s fees | | | | | 2,044 | | | | | | 2,044 | | | | | | 2,026 | |
Other accrued expenses | | | | | 18,014 | | | | | | 23,430 | | | | | | 8,696 | |
Printing fees | | | | | 14,560 | | | | | | 14,554 | | | | | | 12,105 | |
Professional fees | | | | | 14,452 | | | | | | 14,450 | | | | | | 12,728 | |
Service fees | | | | | 21 | | | | | | 22 | | | | | | 32 | |
Transfer agent fees | | | | | 266 | | | | | | 259 | | | | | | 279 | |
Variation margin on futures contracts | | | | | 2,717 | | | | | | 694 | | | | | | — | |
| | | | | | | | | | | | | | | | | | |
Total liabilities | | | | | 129,064 | | | | | | 145,806 | | | | | | 53,116 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
NET ASSETS | | | | $ | 10,307,536 | | | | | $ | 10,939,958 | | | | | $ | 5,749,792 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 9,989,842 | | | | | $ | 9,995,120 | | | | | $ | 5,042,159 | |
Accumulated earnings | | | | | 317,694 | | | | | | 944,838 | | | | | | 707,633 | |
| | | | | | | | | | | | | | | | | | |
NET ASSETS | | | | $ | 10,307,536 | | | | | $ | 10,939,958 | | | | | $ | 5,749,792 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
(a) Investments, at cost — unaffiliated | | | | $ | 9,971,295 | | | | | $ | 10,259,138 | | | | | $ | 5,362,304 | |
(b) Securities loaned, at value | | | | $ | 16,477 | | | | | $ | — | | | | | $ | — | |
(c) Investments, at cost — affiliated | | | | $ | 297,947 | | | | | $ | 248,472 | | | | | $ | 55,203 | |
(d) Foreign currency, at cost | | | | $ | 10,497 | | | | | $ | 12,987 | | | | | $ | — | |
| | |
| 24 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited) (continued)
October 31, 2021
| | | | | | | | | | | | | | | | | | |
| | | BlackRock
Defensive Advantage
Emerging Markets Fund | | | BlackRock
Defensive Advantage
International Fund | | | BlackRock
Defensive Advantage
U.S. Fund | |
| | | | | | |
NET ASSET VALUE | | | | | | | | | | | | | | | | | | |
Institutional | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 103,076 | | | | | $ | 109,400 | | | | | $ | 116,605 | |
| | | | | | | | | | | | | | | | | | |
Shares outstanding | | | | | 10,000 | | | | | | 10,000 | | | | | | 10,221 | |
| | | | | | | | | | | | | | | | | | |
Net asset value | | | | $ | 10.31 | | | | | $ | 10.94 | | | | | $ | 11.41 | |
| | | | | | | | | | | | | | | | | | |
Shares authorized | | | | | Unlimited | | | | | | Unlimited | | | | | | Unlimited | |
| | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Investor A | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 102,992 | | | | | $ | 109,253 | | | | | $ | 157,385 | |
| | | | | | | | | | | | | | | | | | |
Shares outstanding | | | | | 10,005 | | | | | | 10,000 | | | | | | 13,817 | |
| | | | | | | | | | | | | | | | | | |
Net asset value | | | | $ | 10.29 | | | | | $ | 10.93 | | | | | $ | 11.39 | |
| | | | | | | | | | | | | | | | | | |
Shares authorized | | | | | Unlimited | | | | | | Unlimited | | | | | | Unlimited | |
| | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Class K | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 10,101,468 | | | | | $ | 10,721,305 | | | | | $ | 5,475,802 | |
| | | | | | | | | | | | | | | | | | |
Shares outstanding | | | | | 980,000 | | | | | | 980,000 | | | | | | 480,000 | |
| | | | | | | | | | | | | | | | | | |
Net asset value | | | | $ | 10.31 | | | | | $ | 10.94 | | | | | $ | 11.41 | |
| | | | | | | | | | | | | | | | | | |
Shares authorized | | | | | Unlimited | | | | | | Unlimited | | | | | | Unlimited | |
| | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | |
| | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Statements of Operations (unaudited)
Six Months Ended October 31, 2021
| | | | | | | | | | | | | | | | | | |
| | | BlackRock
Defensive Advantage
Emerging Markets Fund | | | BlackRock
Defensive Advantage
International Fund | | | BlackRock
Defensive Advantage
U.S. Fund | |
| | | | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | |
Dividends — unaffiliated | | | | $ | 199,080 | | | | | $ | 185,304 | | | | | $ | 51,313 | |
Dividends — affiliated | | | | | 5,191 | | | | | | 6 | | | | | | 2 | |
Securities lending income — affiliated — net | | | | | 214 | | | | | | — | | | | | | 19 | |
Foreign taxes withheld | | | | | (21,215 | ) | | | | | (13,859 | ) | | | | | (36 | ) |
| | | | | | | | | | | | | | | | | | |
Total investment income | | | | | 183,270 | | | | | | 171,451 | | | | | | 51,298 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
EXPENSES | | | | | | | | | | | | | | | | | | |
Offering | | | | | 47,038 | | | | | | 46,845 | | | | | | 46,704 | |
Investment advisory | | | | | 42,740 | | | | | | 25,105 | | | | | | 12,131 | |
Professional | | | | | 30,592 | | | | | | 30,592 | | | | | | 27,763 | |
Custodian | | | | | 17,818 | | | | | | 26,346 | | | | | | 2,710 | |
Printing and postage | | | | | 8,960 | | | | | | 8,960 | | | | | | 7,508 | |
Accounting services | | | | | 8,596 | | | | | | 8,510 | | | | | | 7,810 | |
Registration | | | | | 5,808 | | | | | | 5,808 | | | | | | 5,808 | |
Trustees and Officer | | | | | 4,907 | | | | | | 4,907 | | | | | | 4,868 | |
Administration | | | | | 2,271 | | | | | | 2,371 | | | | | | 1,199 | |
Administration — class specific | | | | | 1,069 | | | | | | 1,116 | | | | | | 564 | |
Transfer agent — class specific | | | | | 183 | | | | | | 183 | | | | | | 183 | |
Service — class specific | | | | | 134 | | | | | | 139 | | | | | | 172 | |
Miscellaneous | | | | | 17,521 | | | | | | 17,223 | | | | | | 10,082 | |
| | | | | | | | | | | | | | | | | | |
Total expenses | | | | | 187,637 | | | | | | 178,105 | | | | | | 127,502 | |
Less: | | | | | | | | | | | | | | | | | | |
Administration fees waived | | | | | (2,271 | ) | | | | | (2,371 | ) | | | | | (1,199 | ) |
Administration fees waived - class specific | | | | | (1,069 | ) | | | | | (1,116 | ) | | | | | (564 | ) |
Fees waived and/or reimbursed by the Manager | | | | | (140,675 | ) | | | | | (149,160 | ) | | | | | (113,220 | ) |
Transfer agent fees waived and/or reimbursed — class specific | | | | | (183 | ) | | | | | (183 | ) | | | | | (183 | ) |
| | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | 43,439 | | | | | | 25,275 | | | | | | 12,336 | |
| | | | | | | | | | | | | | | | | | |
Net investment income | | | | | 139,831 | | | | | | 146,176 | | | | | | 38,962 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | |
Investments — unaffiliated(a) | | | | | 62,977 | | | | | | 343,340 | | | | | | 333,788 | |
Investments — affiliated | | | | | 6,156 | | | | | | — | | | | | | — | |
Foreign currency transactions | | | | | (145 | ) | | | | | (2,559 | ) | | | | | (2 | ) |
Futures contracts | | | | | 32,988 | | | | | | 16,153 | | | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | 101,976 | | | | | | 356,934 | | | | | | 333,786 | |
| | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | |
Investments — unaffiliated(b) | | | | | (325,022 | ) | | | | | 127,066 | | | | | | 31,916 | |
Investments — affiliated | | | | | (13,072 | ) | | | | | — | | | | | | — | |
Foreign currency translations | | | | | (448 | ) | | | | | (985 | ) | | | | | — | |
Futures contracts | | | | | 40,641 | | | | | | (3,990 | ) | | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | | | (297,901 | ) | | | | | 122,091 | | | | | | 31,916 | |
| | | | | | | | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | | | (195,925 | ) | | | | | 479,025 | | | | | | 365,702 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | | $ | (56,094 | ) | | | | $ | 625,201 | | | | | $ | 404,664 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
(a) Net of foreign capital gain tax of | | | | $ | 4,392 | | | | | $ | — | | | | | $ | — | |
(b) Net of increase in deferred foreign capital gain tax of | | | | $ | (14,939 | ) | | | | $ | — | | | | | $ | — | |
See notes to financial statements.
| | |
| 26 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock
Defensive Advantage
Emerging Markets Fund | | | | | | BlackRock
Defensive Advantage
International Fund | |
| | Six Months Ended 10/31/21 (unaudited) | | |
| Period from
12/21/20 to 04/30/21 |
(a) | | | | | |
| Six Months Ended
10/31/21 (unaudited) |
| |
| Period from
12/21/20 to 04/30/21 |
(a) |
| |
| | | | | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 139,831 | | | $ | 19,652 | | | | | | | | | | | $ | 146,176 | | | $ | 76,753 | |
Net realized gain | | | | | 101,976 | | | | 468,205 | | | | | | | | | | | | 356,934 | | | | 205,566 | |
Net change in unrealized appreciation (depreciation) | | | | | (297,901 | ) | | | 330,659 | | | | | | | | | | | | 122,091 | | | | 347,757 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | (56,094 | ) | | | 818,516 | | | | | | | | | | | | 625,201 | | | | 630,076 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional | | | | | (4,510 | ) | | | (40 | ) | | | | | | | | | | | (3,054 | ) | | | (100 | ) |
Investor A | | | | | (4,423 | ) | | | (33 | ) | | | | | | | | | | | (2,969 | ) | | | (93 | ) |
Class K | | | | | (442,003 | ) | | | (3,927 | ) | | | | | | | | | | | (299,296 | ) | | | (9,807 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | | | (450,936 | ) | | | (4,000 | ) | | | | | | | | | | | (305,319 | ) | | | (10,000 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | | | 50 | | | | 10,000,000 | | | | | | | | | | | | — | | | | 10,000,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | | | (506,980 | ) | | | 10,814,516 | | | | | | | | | | | | 319,882 | | | | 10,620,076 | |
Beginning of period | | | | | 10,814,516 | | | | — | | | | | | | | | | | | 10,620,076 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
End of period | | | | $ | 10,307,536 | | | $ | 10,814,516 | | | | | | | | | | | $ | 10,939,958 | | | $ | 10,620,076 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Commencement of operations. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | |
| | | BlackRock Defensive Advantage U.S. Fund | |
| | Six Months Ended 10/31/21 (unaudited) | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | |
Net investment income | | | | $ | 38,962 | | | | | $ | 21,923 | |
Net realized gain | | | | | 333,786 | | | | | | 69,711 | |
Net change in unrealized appreciation (depreciation) | | | | | 31,916 | | | | | | 307,915 | |
| | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 404,664 | | | | | | 399,549 | |
| | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | | | | | | | | | |
Institutional | | | | | (1,929 | ) | | | | | (50 | ) |
Investor A | | | | | (2,334 | ) | | | | | (43 | ) |
Class K | | | | | (92,578 | ) | | | | | (2,407 | ) |
| | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | | | (96,841 | ) | | | | | (2,500 | ) |
| | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | | | 44,920 | | | | | | 5,000,000 | |
| | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | |
Total increase in net assets | | | | | 352,743 | | | | | | 5,397,049 | |
Beginning of period | | | | | 5,397,049 | | | | | | — | |
| | | | | | | | | | | | |
End of period | | | | $ | 5,749,792 | | | | | $ | 5,397,049 | |
| | | | | | | | | | | | |
| (a) | Commencement of operations. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 28 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage Emerging Markets Fund |
| |
| | | Institutional |
| | |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | |
| | | | |
Net asset value, beginning of period | | | | | | | | $ | 10.81 | | | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | | | 0.14 | | | | | | | | | | 0.02 | |
Net realized and unrealized gain (loss) | | | | | | | | | (0.19 | ) | | | | | | | | | 0.79 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | | | | | | | (0.05 | ) | | | | | | | | | 0.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | | | (0.04 | ) | | | | | | | | | (0.00 | )(d) |
From net realized gain | | | | | | | | | (0.41 | ) | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | | | | | | | (0.45 | ) | | | | | | | | | (0.00 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | | | $ | 10.31 | | | | | | | | | $ | 10.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Return(e) | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | | | (0.51 | )%(f) | | | | | | | | | 8.14 | %(f) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | | | 3.18 | %(h)(i) | | | | | | | | | 3.18 | %(h)(j) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | | | 0.81 | %(h) | | | | | | | | | 0.81 | %(h) |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | | | 2.62 | %(h) | | | | | | | | | 0.52 | %(h) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | | | $ | 103 | | | | | | | | | $ | 108 | |
| | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | | | 112 | % | | | | | | | | | 64 | % |
| | | | | | | | | | | | | | | | | | | | |
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | |
| | | Six Months Ended 10/31/21 (unaudited) | | | |
| Period from
12/21/20 to 04/30/21 |
(a) | | | | | |
Investments in underlying funds | | | | | | 0.01 | % | | | | 0.06 | % | | | | | |
| | | | | | | | | | | | | | | | | |
| (i) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.62%. |
| (j) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.74%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage Emerging Markets Fund (continued) | |
| |
| | | Investor A | |
| | Six Months Ended 10/31/21 (unaudited) | | | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | | |
Net asset value, beginning of period | | | | $ | 10.81 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | |
Net investment income(b) | | | | | 0.13 | | | | | | | | 0.01 | |
Net realized and unrealized gain (loss) | | | | | (0.21 | ) | | | | | | | 0.80 | |
| | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | | | (0.08 | ) | | | | | | | 0.81 | |
| | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | |
From net investment income | | | | | (0.03 | ) | | | | | | | (0.00 | )(d) |
From net realized gain | | | | | (0.41 | ) | | | | | | | — | |
| | | | | | | | | | | | | | |
Total distributions | | | | | (0.44 | ) | | | | | | | (0.00 | ) |
| | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | $ | 10.29 | | | | | | | $ | 10.81 | |
| | | | | | | | | | | | | | |
| | | | |
Total Return(e) | | | | | | | | | | | | | | |
Based on net asset value | | | | | (0.78 | )%(f) | | | | | | | 8.14 | %(f) |
| | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | |
Total expenses | | | | | 3.44 | %(h)(i) | | | | | | | 3.43 | %(h)(j) |
| | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | 1.06 | %(h) | | | | | | | 1.06 | %(h) |
| | | | | | | | | | | | | | |
Net investment income | | | | | 2.37 | %(h) | | | | | | | 0.27 | %(h) |
| | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | $ | 103 | | | | | | | $ | 108 | |
| | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | 112 | % | | | | | | | 64 | % |
| | | | | | | | | | | | | | |
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | |
| | | Six Months Ended 10/31/21 (unaudited) | | |
| Period from
12/21/20 to 04/30/21 |
(a) | | | | |
Investments in underlying funds | | | |
| 0.01
| %
| |
| 0.06
| %
| | | | |
| | | | | | | | | | | | | | |
| (i) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.87%. |
| (j) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.99%. |
See notes to financial statements.
| | |
| 30 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage Emerging Markets Fund (continued) | |
| | | Class K | |
| |
| Six Months Ended
10/31/21 (unaudited) |
| | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | | |
Net asset value, beginning of period | | | | | | $ | 10.81 | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.14 | | | | | | 0.02 | |
Net realized and unrealized gain (loss) | | | | | | | (0.19 | ) | | | | | 0.79 | |
| | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | | | | | (0.05 | ) | | | | | 0.81 | |
| | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.04 | ) | | | | | (0.00 | )(d) |
From net realized gain | | | | | | | (0.41 | ) | | | | | — | |
| | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.45 | ) | | | | | (0.00 | ) |
| | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 10.31 | | | | | $ | 10.81 | |
| | | | | | | | | | | | | | |
| | | | |
Total Return(e) | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | (0.51 | )%(f) | | | | | 8.14 | %(f) |
| | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | |
Total expenses | | | | | | | 3.07 | %(h)(i) | | | | | 2.84 | %(h)(j) |
| | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.81 | %(h) | | | | | 0.81 | %(h) |
| | | | | | | | | | | | | | |
Net investment income | | | | | | | 2.62 | %(h) | | | | | 0.52 | %(h) |
| | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 10,101 | | | | | $ | 10,598 | |
| | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 112 | % | | | | | 64 | % |
| | | | | | | | | | | | | | |
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | |
| | |
| Six Months Ended
10/31/21 (unaudited) |
| |
| Period from
12/21/20 to 04/30/21 |
(a) | | | | |
Investments in underlying funds | | | | | | | 0.01 | % | | | 0.06 | % | | | | |
| | | | | | | | | | | | | | | | |
| (i) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.51%. |
| (j) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.40%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage International Fund | |
| |
| | | Institutional | |
| | |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | |
Net asset value, beginning of period | | | | | | $ | 10.62 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.15 | | | | | | | | 0.08 | |
Net realized and unrealized gain | | | | | | | 0.48 | | | | | | | | 0.55 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.63 | | | | | | | | 0.63 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.09 | ) | | | | | | | (0.01 | ) |
From net realized gain | | | | | | | (0.22 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.31 | ) | | | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 10.94 | | | | | | | $ | 10.62 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 5.89 | %(e) | | | | | | | 6.30 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 2.88 | %(f)(g) | | | | | | | 2.90 | %(f)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.45 | %(f) | | | | | | | 0.45 | %(f) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 2.62 | %(f) | | | | | | | 2.08 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 109 | | | | | | | $ | 106 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 102 | % | | | | | | | 88 | % |
| | | | | | | | | | | | | | | | |
| (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) | Aggregate total return. |
| (g) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.30%. |
| (h) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.50%. |
See notes to financial statements.
| | |
| 32 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage International Fund (continued) | |
| |
| | | Investor A | |
| | | |
| |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | | |
Net asset value, beginning of period | | | | | | $ | 10.61 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.13 | | | | | | | | 0.07 | |
Net realized and unrealized gain | | | | | | | 0.49 | | | | | | | | 0.55 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.62 | | | | | | | | 0.62 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.08 | ) | | | | | | | (0.01 | ) |
From net realized gain | | | | | | | (0.22 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.30 | ) | | | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 10.93 | | | | | | | $ | 10.61 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 5.82 | %(e) | | | | | | | 6.20 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 3.13 | %(f)(g) | | | | | | | 3.15 | %(f)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.70 | %(f) | | | | | | | 0.70 | %(f) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 2.37 | %(f) | | | | | | | 1.84 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 109 | | | | | | | $ | 106 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 102 | % | | | | | | | 88 | % |
| | | | | | | | | | | | | | | | |
| (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, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
| (g) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.55%. |
| (h) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.75%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage International Fund (continued) | |
| |
| | | Class K | |
| | | |
| |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | | |
Net asset value, beginning of period | | | | | | $ | 10.62 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.15 | | | | | | | | 0.08 | |
Net realized and unrealized gain | | | | | | | 0.48 | | | | | | | | 0.55 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.63 | | | | | | | | 0.63 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.09 | ) | | | | | | | (0.01 | ) |
From net realized gain | | | | | | | (0.22 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.31 | ) | | | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 10.94 | | | | | | | $ | 10.62 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 5.89 | %(e) | | | | | | | 6.30 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 2.77 | %(f)(g) | | | | | | | 2.55 | %(f)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.45 | %(f) | | | | | | | 0.45 | %(f) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 2.62 | %(f) | | | | | | | 2.09 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 10,721 | | | | | | | $ | 10,408 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 102 | % | | | | | | | 88 | % |
| | | | | | | | | | | | | | | | |
| (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) | Aggregate total return. |
| (g) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 3.19%. |
| (h) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.15%. |
See notes to financial statements.
| | |
| 34 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage U.S. Fund | |
| |
| | | Institutional | |
| | | |
| |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | | |
Net asset value, beginning of period | | | | | | $ | 10.79 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.08 | | | | | | | | 0.04 | |
Net realized and unrealized gain | | | | | | | 0.73 | | | | | | | | 0.76 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.81 | | | | | | | | 0.80 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.04 | ) | | | | | | | (0.01 | ) |
From net realized gain | | | | | | | (0.15 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.19 | ) | | | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 11.41 | | | | | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 7.58 | %(e) | | | | | | | 7.95 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 3.79 | %(f)(g) | | | | | | | 4.06 | %(f)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.43 | %(f) | | | | | | | 0.43 | %(f) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 1.39 | %(f) | | | | | | | 1.21 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 117 | | | | | | | $ | 108 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 137 | % | | | | | | | 61 | % |
| | | | | | | | | | | | | | | | |
| (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) | Aggregate total return. |
| (g) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.61%. |
| (h) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.07%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage U.S. Fund (continued) | |
| |
| | | Investor A | |
| | |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | |
Net asset value, beginning of period | | | | | | $ | 10.79 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.06 | | | | | | | | — | |
Net realized and unrealized gain | | | | | | | 0.73 | | | | | | | | 0.79 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.79 | | | | | | | | 0.79 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.04 | ) | | | | | | | (0.00 | )(d) |
From net realized gain | | | | | | | (0.15 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.19 | ) | | | | | | | (0.00 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 11.39 | | | | | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(e) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 7.33 | %(f) | | | | | | | 7.95 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 4.00 | %(g)(h) | | | | | | | 4.31 | %(g)(i) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.68 | %(g) | | | | | | | 0.68 | %(g) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 1.11 | %(g) | | | | | | | 0.96 | %(g) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 157 | | | | | | | $ | 108 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 137 | % | | | | | | | 61 | % |
| | | | | | | | | | | | | | | | |
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (h) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.81%. |
| (i) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.32%. |
See notes to financial statements.
| | |
| 36 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock Defensive Advantage U.S. Fund (continued) | |
| |
| | | Class K | |
| | | |
| | |
| Six Months Ended
10/31/21 (unaudited) |
| | | | | |
| Period from
12/21/20 to 04/30/21 |
(a) |
| | | | |
Net asset value, beginning of period | | | | | | $ | 10.79 | | | | | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | | | | | 0.08 | | | | | | | | 0.04 | |
Net realized and unrealized gain | | | | | | | 0.73 | | | | | | | | 0.76 | |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | | | | | 0.81 | | | | | | | | 0.80 | |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions(c) | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.04 | ) | | | | | | | (0.01 | ) |
From net realized gain | | | | | | | (0.15 | ) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | | | | | (0.19 | ) | | | | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value, end of period | | | | | | $ | 11.41 | | | | | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | | | | | 7.58 | %(e) | | | | | | | 7.95 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | | | | | 3.69 | %(f)(g) | | | | | | | 3.71 | %(f)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | | 0.43 | %(f) | | | | | | | 0.43 | %(f) |
| | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 1.39 | %(f) | | | | | | | 1.21 | %(f) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | | | | $ | 5,476 | | | | | | | $ | 5,181 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | | | | | 137 | % | | | | | | | 61 | % |
| | | | | | | | | | | | | | | | |
| (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) | Aggregate total return. |
| (g) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.51%. |
| (h) | Audit, printing, offering and organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.72%. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock FundsSM (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Massachusetts business trust. The following are referred to herein collectively as the “Funds” or individually as a “Fund”:
| | | | |
| | | |
| Fund Name | | Herein Referred To As | | Diversification
Classification |
| | |
BlackRock Defensive Advantage Emerging Markets Fund | | Defensive Advantage Emerging Markets | | Diversified |
BlackRock Defensive Advantage International Fund | | Defensive Advantage International | | Diversified |
BlackRock Defensive Advantage U.S. Fund | | Defensive Advantage U.S. | | Diversified |
Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.
| | | | | | | | |
| | | | |
| Share Class | | Initial Sales Charge | | CDSC | | | Conversion Privilege |
Institutional and Class K Shares | | No | | | No | | | None |
Investor A Shares | | Yes | | | No | (a) | | None |
| | (a) | Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. | |
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Funds are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of October 31, 2021, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
| | |
| 38 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investments to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Funds are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Offering Costs: Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
| | • | | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
| | • | | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”). |
| | • | | The Funds value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. |
| | • | | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| | • | | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
| | • | | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| | • | | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
| | |
NOTES TO FINANCIAL STATEMENTS | | 39 |
Notes to Financial Statements (unaudited) (continued)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of October 31, 2021, certain investments of Defensive Advantage Emerging Markets were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Securities Lending: Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are disclosed in the Funds’ Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – affiliated and collateral on securities loaned at value, respectively.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Funds’ securities on loan by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Fund Name/Counterparty | |
| Securities
Loaned at Value |
| |
| Cash Collateral
Received |
(a) | |
| Net
Amount |
|
Defensive Advantage Emerging Markets
Morgan Stanley | | $ | 16,477 | | | $ | (16,477 | ) | | $ | — | |
| | | | | | | | | | | | |
| | (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statement of Assets and Liabilities. | |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Funds.
| | |
| 40 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets:
| | | | | | | | | | | | |
| | | Investment Advisory Fees | |
| Average Daily Net Assets | | Defensive Advantage Emerging Markets | | | Defensive Advantage International | | | Defensive Advantage U.S. | |
First $1 billion | | | 0.80 | % | | | 0.45 | % | | | 0.43 | % |
$1 billion – $3 billion | | | 0.75 | | | | 0.42 | | | | 0.40 | |
$3 billion – $5 billion | | | 0.72 | | | | 0.41 | | | | 0.39 | |
$5 billion – $10 billion | | | 0.70 | | | | 0.39 | | | | 0.37 | |
Greater than $10 billion | | | 0.68 | | | | 0.38 | | | | 0.36 | |
With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of each Fund for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.
Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of each Fund as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Defensive Advantage Emerging Markets | | | Defensive Advantage International | | | Defensive Advantage U.S. | |
| Share Class | | Service Fees | | | Distribution Fees | | | Service Fees | | | Distribution Fees | | | Service Fees | | | Distribution Fees | |
Investor A | | | 0.25 | % | | | N/A | | | | 0.25 | % | | | N/A | | | | 0.25 | % | | | N/A | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
For the six months ended October 31, 2021, the following table shows the class specific service and distribution fees borne directly by each share class of each Fund:
| | | | |
| Fund Name | | Investor A | |
Defensive Advantage Emerging Markets | | $ | 134 | |
Defensive Advantage International | | | 139 | |
Defensive Advantage U.S. | | | 172 | |
| | |
NOTES TO FINANCIAL STATEMENTS | | 41 |
Notes to Financial Statements (unaudited) (continued)
Administration: The Trust, on behalf of each Fund, entered into an Administration Agreement with the Manager, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services. For these services, the Manager receives an administration fee computed daily and payable monthly, based on a percentage of the average daily net assets of each Fund. The administration fee, which is shown as administration in the Statements of Operations, is paid at the annual rates below.
| | | | |
| | |
| Average Daily Net Assets | | Administration Fees | |
| |
First $500 million | | | 0.0425 | % |
$500 million - $1 billion | | | 0.0400 | |
$1 billion - $2 billion | | | 0.0375 | |
$2 billion - $4 billion | | | 0.0350 | |
$4 billion - $13 billion | | | 0.0325 | |
Greater than $13 billion | | | 0.0300 | |
In addition, the Manager charges each of the share classes an administration fee, which is shown as administration — class specific in the Statements of Operations, at an annual rate of 0.02% of the average daily net assets of each respective class.
For the six months ended October 31, 2021, the following table shows the class specific administration fees borne directly by each share class of each Fund:
| | | | | | | | | | | | | | | | |
| | | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | | | Total | |
| | | | |
Defensive Advantage Emerging Markets | | $ | 11 | | | $ | 11 | | | $ | 1,047 | | | $ | 1,069 | |
Defensive Advantage International | | | 11 | | | | 11 | | | | 1,094 | | | | 1,116 | |
Defensive Advantage U.S. | | | 11 | | | | 14 | | | | 539 | | | | 564 | |
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended October 31, 2021, the Funds did not pay any amounts to affiliates in return for these services.
For the six months ended October 31, 2021, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:
| | | | | | | | | | | | | | | | |
| | | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | | | Total | |
| | | | |
Defensive Advantage Emerging Markets | | $ | 61 | | | $ | 61 | | | $ | 61 | | | $ | 183 | |
Defensive Advantage International | | | 61 | | | | 61 | | | | 61 | | | | 183 | |
Defensive Advantage U.S. | | | 61 | | | | 61 | | | | 61 | | | | 183 | |
Expense Limitations, Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of a Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended October 31, 2021, the amounts waived were as follows:
| | | | |
| | |
| Fund Name | | Fees Waived and/or Reimbursed
by the Manager | |
| |
Defensive Advantage Emerging Markets | | $ | 59 | |
Defensive Advantage International | | | 23 | |
Defensive Advantage U.S. | | | 7 | |
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended October 31, 2021, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| | | | |
| | |
| Fund Name | | Fees Waived and/or Reimbursed by the Manager | |
| |
Defensive Advantage Emerging Markets | | $ | 288 | |
With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | | | | | | | | | |
| | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | |
| | | |
Defensive Advantage Emerging Markets | | | 0.86 | % | | | 1.11 | % | | | 0.81 | % |
Defensive Advantage International | | | 0.50 | | | | 0.75 | | | | 0.45 | |
Defensive Advantage U.S. | | | 0.48 | | | | 0.73 | | | | 0.43 | |
| | |
| 42 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. For the six months ended October 31, 2021, amounts included in the Statements of Operations were as follows:
| | | | |
| | |
| Fund Name | | Fees Waived and/or Reimbursed by the Manager | |
| |
Defensive Advantage Emerging Markets | | $ | 140,328 | |
Defensive Advantage International | | | 149,137 | |
Defensive Advantage U.S. | | | 113,213 | |
| | | | |
| | |
| Fund Name | | Administration
Fees Waived | |
| |
Defensive Advantage Emerging Markets | | $ | 2,271 | |
Defensive Advantage International | | | 2,371 | |
Defensive Advantage U.S. | | | 1,199 | |
In addition, these amounts waived and/or reimbursed by the Manager are included in Administration fees waived — class specific and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Statements of Operations. For the six months ended October 31, 2021, class specific expense waivers and/or reimbursements are as follows:
| | | | | | | | | | | | | | | | |
| | |
| | | Administration Fees Waived - Class Specific | |
| | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | | | Total | |
| | | | |
Defensive Advantage Emerging Markets | | $ | 11 | | | $ | 11 | | | $ | 1,047 | | | $ | 1,069 | |
Defensive Advantage International | | | 11 | | | | 11 | | | | 1,094 | | | | 1,116 | |
Defensive Advantage U.S. | | | 11 | | | | 14 | | | | 539 | | | | 564 | |
| | | | | | | | | | | | | | | | |
| | |
| | | Transfer Agent Fees Waived and/or Reimbursed - Class Specific | |
| | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | | | Total | |
| | | | |
Defensive Advantage Emerging Markets | | $ | 61 | | | $ | 61 | | | $ | 61 | | | $ | 183 | |
Defensive Advantage International | | | 61 | | | | 61 | | | | 61 | | | | 183 | |
Defensive Advantage U.S. | | | 61 | | | | 61 | | | | 61 | | | | 183 | |
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Funds are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, Money Market Series, managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Funds. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, Defensive Advantage U.S. retains 77% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, Defensive Advantage U.S., pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
Pursuant to the current securities lending agreement, Defensive Advantage Emerging Markets and Defensive Advantage International each retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, Defensive Advantage Emerging Markets and Defensive Advantage International each, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
| | |
NOTES TO FINANCIAL STATEMENTS | | 43 |
Notes to Financial Statements (unaudited) (continued)
The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended October 31, 2021, each Fund paid BIM the following amounts for securities lending agent services:
| | | | |
| | |
| Fund Name | | Amounts | |
| |
Defensive Advantage Emerging Markets | | $ | 41 | |
Defensive Advantage U.S. | | | 3 | |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended October 31, 2021, the Funds did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
For the six months ended October 31, 2021, purchases and sales of investments, excluding short-term investments, were as follows:
| | | | | | | | |
| | | |
| Fund Name | | Purchases | | | Sales | |
| | |
Defensive Advantage Emerging Markets | | $ | 11,979,285 | | | $ | 11,263,833 | |
Defensive Advantage International | | | 10,925,880 | | | | 11,144,141 | |
Defensive Advantage U.S. | | | 7,602,846 | | | | 7,576,697 | |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of October 31, 2021, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of October 31, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| | | | | |
| Fund Name | | Tax Cost | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
| | | | |
Defensive Advantage Emerging Markets | | $ | 10,270,718 | | | $ | 441,448 | | | $ | (394,815 | ) | | $ | 46,633 | |
Defensive Advantage International | | | 10,533,520 | | | | 755,315 | | | | (310,685 | ) | | | 444,630 | |
Defensive Advantage U.S. | | | 5,422,452 | | | | 477,975 | | | | (143,089 | ) | | | 334,886 | |
The Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2022 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. For the six months ended October 31, 2021, the Funds did not borrow under the credit agreement.
| | |
| 44 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: Investments in the securities of issuers domiciled in countries with emerging capital markets involve certain additional risks that do not generally apply to investments in securities of issuers in more developed capital markets, such as (i) low or nonexistent trading volume, resulting in a lack of liquidity and increased volatility in prices for such securities; (ii) uncertain national policies and social, political and economic instability, increasing the potential for expropriation of assets, confiscatory taxation, high rates of inflation or unfavorable diplomatic developments; (iii) lack of publicly available or reliable information about issuers as a result of not being subject to the same degree of regulatory requirements and accounting, auditing and financial reporting standards; and (iv) possible fluctuations in exchange rates, differing legal systems and the existence or possible imposition of exchange controls, custodial restrictions or other foreign or U.S. governmental laws or restrictions applicable to such investments.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Fund’s portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Fund’s investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.
| | |
NOTES TO FINANCIAL STATEMENTS | | 45 |
Notes to Financial Statements (unaudited) (continued)
Certain Funds invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Funds’ investments.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.
Certain Funds invest a significant portion of their assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Funds’ investments.
Certain Funds invest a significant portion of their assets in securities of issuers located in China or with significant exposure to Chinese issuers or countries. Investments in Chinese securities, including certain Hong Kong-listed securities, involves risks specific to China. China may be subject to considerable degrees of economic, political and social instability and demonstrates significantly higher volatility from time to time in comparison to developed markets. Chinese markets generally continue to experience inefficiency, volatility and pricing anomalies resulting from governmental influence, a lack of publicly available information and/or political and social instability. Internal social unrest or confrontations with other neighboring countries may disrupt economic development in China and result in a greater risk of currency fluctuations, currency non-convertibility, interest rate fluctuations and higher rates of inflation. Incidents involving China’s or the region’s security may cause uncertainty in Chinese markets and may adversely affect the Chinese economy and the Fund’s investments. Reduction in spending on Chinese products and services, institution of tariffs or other trade barriers, or a downturn in any of the economies of China’s key trading partners may have an adverse impact on the Chinese economy. In addition, measures may be taken to limit the flow of capital and/or sanctions may be imposed, which could prohibit or restrict the ability to own or transfer fund assets and may also include retaliatory actions, such as seizure of fund assets.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | Six Months Ended
10/31/21 | | | | | | Period from
12/21/20(a)
to 04/30/21 | |
| Fund Name / Share Class | | Shares | | | Amounts | | | | | | Shares | | | Amounts | |
Defensive Advantage Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Investor A | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 5 | | | $ | 50 | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 5 | | | $ | 50 | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class K | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 980,001 | | | $ | 9,800,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 980,000 | | | $ | 9,800,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 5 | | | $ | 50 | | | | | | | | 1,000,000 | | | $ | 10,000,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 46 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
10/31/21 | | | | | | Period from
12/21/20(a)
to 04/30/21 | |
| Fund Name / Share Class | | Shares | | | Amounts | | | | | | Shares | | | Amounts | |
Defensive Advantage International | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Investor A | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class K | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 980,001 | | | $ | 9,800,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 980,000 | | | $ | 9,800,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 1,000,000 | | | $ | 10,000,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
10/31/21 | | | | | | Period from
12/21/20(a)
to 04/30/21 | |
| Fund Name / Share Class | | | | | Shares | | | Amounts | | | | | | Shares | | | Amounts | |
Defensive Advantage U.S. | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 221 | | | $ | 2,500 | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 221 | | | $ | 2,500 | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Investor A | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 3,774 | | | $ | 41,947 | | | | | | | | 10,001 | | | $ | 100,010 | |
Shares issued in reinvestment of distributions | | | | | | | 43 | | | | 473 | | | | | | | | — | | | | — | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 3,817 | | | $ | 42,420 | | | | | | | | 10,000 | | | $ | 100,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class K | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | — | | | $ | — | | | | | | | | 480,001 | | | $ | 4,800,010 | |
Shares redeemed | | | | | | | — | | | | — | | | | | | | | (1 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | — | | | $ | — | | | | | | | | 480,000 | | | $ | 4,800,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 4,038 | | | $ | 44,920 | | | | | | | | 500,000 | | | $ | 5,000,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Commencement of operations. | |
As of October 31, 2021, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:
| | | | | | | | | | | | | | | | |
| Fund Name | | Institutional | | | Investor A | | | Class K | | | Total | |
Defensive Advantage Emerging Markets | | | 10,000 | | | | 10,000 | | | | 980,000 | | | | 1,000,000 | |
Defensive Advantage International | | | 10,000 | | | | 10,000 | | | | 980,000 | | | | 1,000,000 | |
Defensive Advantage U.S. | | | 10,000 | | | | 10,000 | | | | 480,000 | | | | 500,000 | |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTES TO FINANCIAL STATEMENTS | | 47 |
Additional Information
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
| | |
| 48 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
| | |
Investment Adviser | | Distributor |
BlackRock Advisors, LLC | | BlackRock Investments, LLC |
Wilmington, DE 19809 | | New York, NY 10022 |
| |
Sub-Adviser | | Independent Registered Public Accounting Firm |
BlackRock International Limited | | Deloitte & Touche LLP |
Edinburgh, EH3 8BL | | Boston, MA 02116 |
United Kingdom | | |
| |
| | Legal Counsel |
Accounting Agent and Custodian | | Sidley Austin LLP |
State Street Bank and Trust Company | | New York, NY 10019 |
Boston, MA 02111 | | |
| |
| | Address of the Funds |
Transfer Agent | | 100 Bellevue Parkway |
BNY Mellon Investment Servicing (US) Inc. | | Wilmington, DE 19809 |
Wilmington, DE 19809 | | |
| | |
ADDITIONAL INFORMATION | | 49 |
Glossary of Terms Used in this Report
| | |
Portfolio Abbreviation |
| |
ADR | | American Depositary Receipt |
| |
MSCI | | Morgan Stanley Capital International |
| |
NVDR | | Non-Voting Depositary Receipt |
| |
PCL | | Public Company Limited |
| |
PJSC | | Public Joint Stock Company |
| |
REIT | | Real Estate Investment Trust |
| |
S&P | | Standard & Poor’s |
| |
SCA | | Societe en Commandite par Actions |
| | |
| 50 | | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
DEF-10/21-SAR
(b) Not Applicable
| Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
| Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
| Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
| Item 5 – | Audit Committee of Listed Registrant – Not Applicable |
(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 |
| 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 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
2
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
3
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.
BlackRock FundsSM
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | BlackRock FundsSM |
Date: January 4, 2022
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 |
| | | | BlackRock FundsSM |
Date: January 4, 2022
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock FundsSM |
Date: January 4, 2022
4
