BlackRock

Total

Factor

Fund

1

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(unaudited)

October

31,

2020

Security

Shares

Shares

Value

Common

Stocks

—

0.0%

United

States

—

0.0%

Avaya

Holdings

Corp.

(a)

..........

15

$

258

Total

Common

Stocks

—

0.0%

(Cost:

$208)

...................................

258

Par

(000)

Pa

r

(

000)

Foreign

Government

Obligations

—

4.6%

Australia

—

1.1%

Commonwealth

of

Australia:

1.25%,

02/21/22

............

AUD

540

389,571

3.00%,

09/20/25

............

646

540,122

0.75%,

11/21/27

............

381

294,396

2.50%,

09/20/30

............

451

415,739

2.00%,

08/21/35

............

327

310,965

1.25%,

08/21/40

............

269

241,183

1.00%,

02/21/50

............

269

244,155

2,436,131

Canada

—

1.4%

Canadian

Government

Bond:

6.98%,

12/01/21

............

CAD

384

302,564

6.61%,

12/01/26

............

373

368,205

4.00%,

12/01/31

............

396

451,948

3.98%,

12/01/36

............

355

415,176

2.46%,

12/01/41

............

368

410,171

1.77%,

12/01/44

............

416

442,723

1.38%,

12/01/47

............

390

413,046

0.53%,

12/01/50

............

331

304,505

3,108,338

France

—

0.8%

French

Republic:

1.25%,

07/25/22

............

EUR

132

160,114

2.40%,

07/25/23

(b)

...........

163

204,236

0.27%,

07/25/24

............

111

136,997

0.10%,

03/01/25

............

93

112,696

0.10%,

03/01/26

(b)

...........

21

26,201

2.07%,

07/25/27

............

183

259,346

0.10%,

03/01/28

............

77

96,812

0.10%,

03/01/29

............

54

69,600

4.43%,

07/25/29

............

71

115,701

0.74%,

07/25/30

(b)

...........

103

144,048

4.07%,

07/25/32

............

28

51,036

4.08%,

07/25/32

............

82

148,468

0.10%,

03/01/36

(b)

...........

22

29,673

0.10%,

07/25/36

(b)

...........

42

58,845

2.16%,

07/25/40

(b)

...........

97

181,933

0.10%,

07/25/47

(b)

...........

73

112,285

1,907,991

Germany

—

0.2%

Federal

Republic

of

Germany:

0.11%,

04/15/23

............

116

137,929

0.10%,

04/15/26

............

120

150,515

0.53%,

04/15/30

............

129

178,714

0.11%,

04/15/46

............

69

116,133

583,291

United

Kingdom

—

1.1%

U.K.

Treasury

Inflation

Linked

Bonds:

1.88%,

11/22/22

............

GBP

70

99,942

Security

Par

(000)

Par

(000)

Value

United

Kingdom

(continued)

0.13%,

03/22/24

............

GBP

39

$

55,634

2.50%,

07/17/24

............

36

55,788

0.13%,

03/22/26

............

43

66,164

1.25%,

11/22/27

............

50

86,519

0.13%,

08/10/28

............

35

57,257

0.13%,

03/22/29

............

59

99,608

4.13%,

07/22/30

............

24

54,930

1.25%,

11/22/32

............

41

84,266

0.75%,

03/22/34

............

47

95,549

2.00%,

01/26/35

............

47

110,353

0.13%,

11/22/36

............

32

63,970

1.13%,

11/22/37

............

41

96,075

0.63%,

03/22/40

............

45

103,225

0.13%,

08/10/41

............

29

64,490

0.63%,

11/22/42

............

47

114,910

0.13%,

03/22/44

............

51

116,559

0.13%,

03/22/46

............

38

89,333

0.75%,

11/22/47

............

35

98,090

0.13%,

08/10/48

............

26

63,900

0.50%,

03/22/50

............

44

121,958

0.25%,

03/22/52

............

39

106,381

1.25%,

11/22/55

............

38

138,806

0.13%,

11/22/56

............

14

42,030

0.13%,

03/22/58

............

32

96,167

0.38%,

03/22/62

............

37

128,537

0.13%,

11/22/65

............

20

71,683

0.13%,

03/22/68

............

36

137,742

2,519,866

Total

Foreign

Government

Obligations

—

4.6%

(Cost:

$9,867,994)

..............................

10,555,617

U.S.

Treasury

Obligations

—

4.5%

U.S.

Treasury

Inflation

Linked

Bonds:

2.38%, 01/15/25

-

01/15/27

.....

USD

396

468,202

2.00%, 01/15/26

............

216

252,342

1.75%, 01/15/28

............

109

131,626

3.63%, 04/15/28

............

153

206,949

2.50%, 01/15/29

............

97

125,079

3.88%, 04/15/29

............

174

247,092

3.38%, 04/15/32

............

48

72,530

2.13%, 02/15/40

-

02/15/41

.....

297

451,696

0.75%, 02/15/42

-

02/15/45

.....

331

410,878

0.63%, 02/15/43

............

166

200,837

1.38%, 02/15/44

............

164

229,179

1.00%, 02/15/46

-

02/15/49

.....

370

495,696

0.88%, 02/15/47

............

128

166,633

0.25%, 02/15/50

............

100

114,880

U.S.

Treasury

Inflation

Linked

Notes:

0.13%, 01/15/22

-

07/15/30

.....

2,507

2,628,902

0.63%, 04/15/23

-

01/15/26

.....

958

1,015,087

0.38%, 07/15/23

-

07/15/27

.....

1,290

1,387,852

0.50%, 04/15/24

-

01/15/28

.....

419

455,542

0.25%, 01/15/25

-

07/15/29

.....

537

582,340

0.75%, 07/15/28

............

214

244,454

0.88%, 01/15/29

............

210

241,999

Total

U.S.

Treasury

Obligations

—

4.5%

(Cost:

$9,631,081)

..............................

10,129,795

Total

Long-Term

Investments

—

9.1%

(Cost:

$19,499,283)

..............................

20,685,670

BlackRock

Total

Factor

Fund

2

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Security

Shares

Shares

Value

Short-Term

Securities

—

68.1%

Money

Market

Funds

—

2.7%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

0.01%

(c)*

.....

6,188,713

$

6,188,713

Total

Money

Market

Funds

—

2.7%

(Cost:

$6,188,713)

..............................

6,188,713

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

65.4%

U.S.

Treasury

Bills

(d)

:

0.13%, 08/12/21

............

USD

35,000

34,971,110

0.14%, 07/15/21

............

50,000

49,962,813

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

0.14%, 04/22/21

............

USD

25,000

$

24,987,907

0.18%, 05/20/21

............

38,000

37,978,469

Total

U.S.

Treasury

Obligations

—

65.4%

(Cost:

$147,861,947)

.............................

147,900,299

Total

Short-Term

Securities

—

68.1%

(Cost:

$154,050,660)

.............................

154,089,012

Total

Options

Purchased

—

0.1%

(Cost:

$82,770)

................................

115,178

Total

Investments

—

77.3%

(Cost:

$173,632,713)

.............................

174,889,860

Other

Assets

Less

Liabilities

—

22.7%

..................

51,342,078

Net

Assets

—

100.0%

..............................

$

226,231,938

(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)

Annualized

7-day

yield

as

of

period

end.

(d)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

*

Investments

in

issuers

considered

to

be

affiliate(s)

of

the

Fund

during

the

period

ended

October

31,

2020

for

purposes

of

Section

2(a)(3)

of

the

Investment

Company

Act

of

1940,

as

amended,

were

as

follows:

Affiliated

Issuer

Value

at

07/31/20

Purchases

at

Cost

Proceeds

from

Sale

Net

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

10/31/20

Shares

Held

at

10/31/20

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

(a)

..

$

50,698,955

$

—

$

(44,510,242)

$

—

$

—

$

6,188,713

6,188,713

$

1,384

$

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

Total

Factor

Fund

3

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

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

AEX

Index

..............................................................

86

11/20/20

$

10,667

$

(527,785)

Hang

Seng

China

Enterprises

Index

.............................................

174

11/27/20

10,982

(201,492)

Hang

Seng

Index

..........................................................

80

11/27/20

12,464

(244,874)

RBOB

Gasoline

(a)

.........................................................

152

11/30/20

6,590

(806,968)

TOPIX

Index

.............................................................

29

12/10/20

4,357

(94,687)

Australia

10

Year

Bond

......................................................

1,140

12/15/20

119,807

1,065,416

S&P/TSX

60

Index

.........................................................

40

12/17/20

5,557

(168,015)

FTSE/MIB

Index

..........................................................

58

12/18/20

6,046

(287,307)

S&P

500

E-Mini

Index

......................................................

68

12/18/20

11,100

(500,919)

U.S.

Treasury

10

Year

Note

...................................................

561

12/21/20

77,541

(407,278)

100

oz

Gold

(a)

............................................................

39

12/29/20

7,332

(56,995)

Long

Gilt

...............................................................

420

12/29/20

73,825

(228,905)

Silver

(a)

................................................................

67

12/29/20

7,921

(734,169)

(3,193,978)

Short

Contracts

CAC

40

10

Euro

Index

......................................................

147

11/20/20

7,858

351,363

IBEX

35

Index

............................................................

50

11/20/20

3,749

198,110

OMXS30

Index

...........................................................

1

11/20/20

19

1,266

WTI

Crude

Oil

(a)

...........................................................

32

11/20/20

1,145

30,158

Natural

Gas

(a)

............................................................

61

11/25/20

2,046

(41,945)

SGX

NIFTY

50

Index

.......................................................

744

11/26/20

17,313

302,971

Brent

Crude

Oil

(a)

..........................................................

20

11/30/20

759

14,221

Euro-Bund

..............................................................

335

12/08/20

68,726

(1,283,820)

Low

Sulphur

Gasoil

(a)

.......................................................

144

12/10/20

4,421

309,337

SPI

200

Index

............................................................

96

12/17/20

9,936

70,527

Canada

10

Year

Bond

......................................................

655

12/18/20

74,256

455,874

DAX

Index

..............................................................

6

12/18/20

2,020

(26,144)

FTSE

100

Index

..........................................................

54

12/18/20

3,892

346,031

727,949

$

(2,466,029)

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

CAD

210,000

USD

157,505

Barclays

Bank

plc

11/04/20

$

118

CAD

210,000

USD

157,505

Goldman

Sachs

International

11/04/20

117

CAD

210,000

USD

157,508

Toronto

Dominion

Bank

11/04/20

115

CAD

210,000

USD

157,492

UBS

AG

11/04/20

131

GBP

485,000

USD

628,143

Barclays

Bank

plc

11/04/20

178

GBP

95,000

USD

122,978

Goldman

Sachs

International

11/04/20

95

GBP

486,799

USD

630,452

Toronto

Dominion

Bank

11/04/20

201

GBP

485,000

USD

627,903

UBS

AG

11/04/20

418

USD

2,476,584

AUD

3,497,150

Goldman

Sachs

International

11/04/20

18,422

USD

3,175,142

CAD

4,190,480

Goldman

Sachs

International

11/04/20

29,831

USD

2,507,543

EUR

2,138,874

Goldman

Sachs

International

11/04/20

16,449

USD

616,039

AUD

875,000

Barclays

Bank

plc

12/02/20

909

USD

616,704

AUD

875,000

Goldman

Sachs

International

12/02/20

1,573

USD

614,320

AUD

872,150

Toronto

Dominion

Bank

12/02/20

1,193

USD

615,785

AUD

875,000

UBS

AG

12/02/20

655

USD

630,972

CAD

840,000

Barclays

Bank

plc

12/02/20

423

USD

630,871

CAD

840,000

Goldman

Sachs

International

12/02/20

322

BlackRock

Total

Factor

Fund

4

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

623,679

CAD

830,480

Toronto

Dominion

Bank

12/02/20

$

277

USD

625,235

EUR

535,000

Barclays

Bank

plc

12/02/20

1,749

USD

646,123

EUR

553,000

Goldman

Sachs

International

12/02/20

1,660

USD

623,921

EUR

533,874

Toronto

Dominion

Bank

12/02/20

1,748

USD

625,275

EUR

535,000

UBS

AG

12/02/20

1,790

USD

505,523

GBP

390,000

Goldman

Sachs

International

12/02/20

188

CAD

4,792,000

(a)

USD

3,588,727

Morgan

Stanley

&

Co.

International

plc

12/16/20

8,856

GBP

1,703,000

(a)

USD

2,200,754

Morgan

Stanley

&

Co.

International

plc

12/16/20

6,224

JPY

1,220,483,000

(a)

USD

11,562,718

Morgan

Stanley

&

Co.

International

plc

12/16/20

101,992

KRW

1,718,118,000

(a)

USD

1,507,775

Barclays

Bank

plc

12/16/20

3,342

KRW

1,141,561,000

(a)

USD

982,786

HSBC

Bank

plc

12/16/20

21,238

KRW

627,309,000

(a)

USD

538,403

HSBC

Bank

plc

12/16/20

13,328

KRW

3,197,137,000

(a)

USD

2,756,628

Nomura

Securities

International,

Inc.

12/16/20

55,315

MXN

580,298,000

(a)

USD

26,592,572

Morgan

Stanley

&

Co.

International

plc

12/16/20

632,199

NZD

1,358,000

(a)

USD

891,978

Morgan

Stanley

&

Co.

International

plc

12/16/20

5,964

TWD

25,333,277

(a)

USD

881,053

Bank

of

America

NA

12/16/20

14,859

TWD

66,562,000

(a)

USD

2,316,328

Deutsche

Bank

AG

12/16/20

37,641

TWD

7,559,000

(a)

USD

265,563

HSBC

Bank

plc

12/16/20

1,761

TWD

283,926,000

(a)

USD

9,774,373

JPMorgan

Chase

Bank

NA

12/16/20

266,685

TWD

22,916,723

(a)

USD

797,051

Morgan

Stanley

&

Co.

International

plc

12/16/20

13,400

USD

64,257,198

(a)

AUD

88,371,062

Morgan

Stanley

&

Co.

International

plc

12/16/20

2,126,481

USD

1,000,000

(a)

BRL

5,272,560

BNP

Paribas

SA

12/16/20

82,748

USD

2,683,948

(a)

BRL

14,278,440

Deutsche

Bank

AG

12/16/20

199,967

USD

1,714,691

(a)

BRL

9,307,000

Deutsche

Bank

Securities,

Inc.

12/16/20

95,579

USD

8,076,617

(a)

BRL

43,663,000

Goldman

Sachs

&

Co.

12/16/20

480,689

USD

9,926,391

(a)

BRL

55,838,000

HSBC

Bank

plc

12/16/20

212,411

USD

2,300,041

(a)

BRL

12,949,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

47,340

USD

5,526,865

(a)

CAD

7,250,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

83,944

USD

479,504

(a)

CHF

437,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

2,262

USD

49,361,946

(a)

EUR

41,633,335

Morgan

Stanley

&

Co.

International

plc

12/16/20

822,501

USD

3,377,641

(a)

GBP

2,551,006

Morgan

Stanley

&

Co.

International

plc

12/16/20

71,703

USD

964,113

(a)

HKD

7,474,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

73

USD

1,259,081

(a)

INR

93,459,000

BNP

Paribas

SA

12/16/20

10,479

USD

2,736,648

(a)

INR

201,888,000

HSBC

Bank

plc

12/16/20

39,446

USD

376,812

(a)

INR

27,895,000

JPMorgan

Chase

Bank

NA

12/16/20

4,138

USD

7,048,487

(a)

JPY

736,415,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

10,235

USD

589,069

(a)

KRW

668,399,289

Bank

of

America

NA

12/16/20

1,199

USD

885,622

(a)

KRW

1,004,888,711

Morgan

Stanley

&

Co.

International

plc

12/16/20

1,803

USD

160,952

(a)

NOK

1,438,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

10,348

USD

19,044,513

(a)

NZD

28,595,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

136,802

USD

2,635,084

(a)

RUB

199,278,000

Barclays

Bank

plc

12/16/20

139,293

USD

2,940,394

(a)

RUB

228,323,000

Goldman

Sachs

International

12/16/20

80,838

USD

2,270,488

(a)

RUB

177,703,000

HSBC

Bank

plc

12/16/20

44,905

USD

6,979,737

(a)

RUB

531,587,000

JPMorgan

Chase

Bank

NA

12/16/20

322,050

USD

583,494

(a)

SEK

5,105,468

Morgan

Stanley

&

Co.

International

plc

12/16/20

9,415

USD

1,208,583

(a)

TWD

34,159,000

HSBC

Bank

plc

12/16/20

549

6,298,564

AUD

875,000

USD

615,952

Barclays

Bank

plc

11/04/20

(911)

AUD

875,000

USD

616,613

Goldman

Sachs

International

11/04/20

(1,572)

AUD

872,150

USD

614,235

Toronto

Dominion

Bank

11/04/20

(1,196)

AUD

875,000

USD

615,704

UBS

AG

11/04/20

(663)

CAD

840,000

USD

630,919

Barclays

Bank

plc

11/04/20

(428)

CAD

840,000

USD

630,820

Goldman

Sachs

International

11/04/20

(329)

CAD

830,480

USD

623,630

Toronto

Dominion

Bank

11/04/20

(284)

CAD

840,000

USD

630,507

UBS

AG

11/04/20

(16)

EUR

535,000

USD

624,853

Barclays

Bank

plc

11/04/20

(1,751)

EUR

535,000

USD

624,763

Goldman

Sachs

International

11/04/20

(1,661)

EUR

533,874

USD

623,542

Toronto

Dominion

Bank

11/04/20

(1,751)

EUR

535,000

USD

624,895

UBS

AG

11/04/20

(1,793)

GBP

390,000

USD

505,440

Goldman

Sachs

International

11/04/20

(192)

USD

2,510,610

GBP

1,941,799

Goldman

Sachs

International

11/04/20

(5,007)

USD

157,518

CAD

210,000

Barclays

Bank

plc

12/02/20

(119)

BlackRock

Total

Factor

Fund

5

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

157,519

CAD

210,000

Goldman

Sachs

International

12/02/20

$

(118)

USD

157,521

CAD

210,000

Toronto

Dominion

Bank

12/02/20

(116)

USD

788,049

CAD

1,050,000

UBS

AG

12/02/20

(136)

USD

628,246

GBP

485,000

Barclays

Bank

plc

12/02/20

(184)

USD

160,501

GBP

124,000

Goldman

Sachs

International

12/02/20

(169)

USD

630,556

GBP

486,799

Toronto

Dominion

Bank

12/02/20

(204)

USD

628,006

GBP

485,000

UBS

AG

12/02/20

(424)

AUD

24,855,000

(a)

USD

17,685,925

Morgan

Stanley

&

Co.

International

plc

12/16/20

(211,210)

BRL

5,653,000

(a)

USD

1,048,509

BNP

Paribas

SA

12/16/20

(65,072)

BRL

2,663,000

(a)

USD

476,267

Deutsche

Bank

AG

12/16/20

(12,993)

CAD

40,185,276

(a)

USD

30,611,450

Morgan

Stanley

&

Co.

International

plc

12/16/20

(442,445)

EUR

15,941,000

(a)

USD

18,787,098

Morgan

Stanley

&

Co.

International

plc

12/16/20

(201,817)

GBP

3,575,000

(a)

USD

4,659,482

Morgan

Stanley

&

Co.

International

plc

12/16/20

(26,514)

INR

1,520,666,000

(a)

USD

20,523,193

Deutsche

Bank

AG

12/16/20

(207,257)

INR

664,505,000

(a)

USD

8,935,001

Goldman

Sachs

International

12/16/20

(57,285)

MXN

84,234,000

(a)

USD

3,976,866

Morgan

Stanley

&

Co.

International

plc

12/16/20

(25,015)

NZD

106,105,000

(a)

USD

71,089,954

Morgan

Stanley

&

Co.

International

plc

12/16/20

(930,746)

RUB

1,000,137,000

(a)

USD

13,087,766

Bank

of

America

NA

12/16/20

(561,882)

RUB

32,120,000

(a)

USD

414,110

Goldman

Sachs

International

12/16/20

(11,833)

RUB

29,296,000

(a)

USD

374,687

HSBC

Bank

plc

12/16/20

(7,779)

USD

1,668,045

(a)

CAD

2,231,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(6,873)

USD

700,492

(a)

GBP

541,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(608)

USD

1,978,512

(a)

HKD

15,344,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(647)

USD

22,168,378

(a)

JPY

2,344,886,633

Morgan

Stanley

&

Co.

International

plc

12/16/20

(242,767)

USD

28,986,172

(a)

KRW

34,248,642,000

JPMorgan

Chase

Bank

NA

12/16/20

(1,136,159)

USD

13,280,233

(a)

MXN

292,614,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(447,800)

USD

5,123,087

(a)

NZD

7,800,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(34,463)

USD

2,307,531

(a)

RUB

185,450,000

Barclays

Bank

plc

12/16/20

(15,077)

USD

192,536

(a)

SGD

263,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(8)

USD

4,462,407

(a)

TWD

129,209,000

BNP

Paribas

SA

12/16/20

(107,076)

USD

1,308,147

(a)

TWD

38,054,000

Goldman

Sachs

International

12/16/20

(37,635)

USD

3,749,079

(a)

TWD

106,890,000

HSBC

Bank

plc

12/16/20

(31,092)

USD

2,658,263

(a)

TWD

75,475,000

Morgan

Stanley

&

Co.

International

plc

12/16/20

(10,914)

(4,851,991)

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

OTC

Interest

Rate

Swaptions

Purchased

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Put

10-Year

Interest

Rate

Swap

(a)

1.00%

Semi-Annual

3

month

LIBOR

Quarterly

Merrill

Lynch

International

&

Co.

11/25/20

1.00

%

USD

29,299

$

115,178

(a)

Forward

settling

swaption.

BlackRock

Total

Factor

Fund

6

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Centrally

Cleared

Credit

Defa

ul

t

Swaps

—

Sell

Protection

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

CDX.NA.HY.35.V1

.....

5.00

%

Quarterly

12/20/25

BB+

USD

5,028

$

204,864

$

199,192

$

5,672

ITRAXX.EUR.

CROSSOVER.34.V1

.

5.00

Quarterly

12/20/25

CCC+

EUR

8,302

641,073

719,416

(78,343)

$

845,937

$

918,608

$

(72,671)

(a)

Using

the

rating

of

the

issuer

or

the

underlying

securities

of

the

index,

as

applicable,

provided

by

S&P

Global

Ratings.

(b)

The

maximum

potential

amount

the

Fund

may

pay

should

a

negative

credit

event

take

place

as

defined

under

the

terms

of

the

agreement.

OTC

Total

Return

Swap

s

Reference

Entity

Fixed

Amount

Paid

/

(Received)

by

the

Fund

(a)

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

Taiwan

Capitalization

Weighted

Stock

Index

Futures

November

2020

........

TWD

627,373,387

Merrill

Lynch

International

&

Co.

11/18/20

TWD

627,373

$

(669,023)

$

—

$

(669,023)

Taiwan

Capitalization

Weighted

Stock

Index

Futures

November

2020

........

TWD

50,194,146

Merrill

Lynch

International

&

Co.

11/18/20

TWD

50,194

—

—

—

Taiwan

Capitalization

Weighted

Stock

Index

Futures

November

2020

........

TWD

109,838,703

Merrill

Lynch

International

&

Co.

11/18/20

TWD

109,839

(107,920)

—

(107,920)

KOSPI

200

Index

Futures

December

2020

........

KRW

(621,844,000)

Merrill

Lynch

International

&

Co.

12/10/20

KRW

621,844

16,078

—

16,078

KOSPI

200

Index

Futures

December

2020

........

KRW

(1,307,713,100)

Merrill

Lynch

International

&

Co.

12/10/20

KRW

1,307,713

—

—

—

BOVESPA

Index

Futures

December

2020

........

BRL

(10,395,035)

Merrill

Lynch

International

&

Co.

12/16/20

BRL

10,395

25,176

—

25,176

BOVESPA

Index

Futures

December

2020

........

BRL

(18,646,678)

Merrill

Lynch

International

&

Co.

12/16/20

BRL

18,647

119,321

—

119,321

BOVESPA

Index

Futures

December

2020

........

BRL

(3,821,363)

Merrill

Lynch

International

&

Co.

12/16/20

BRL

3,821

43,180

—

43,180

BOVESPA

Index

Futures

December

2020

........

BRL

(2,592,853)

Merrill

Lynch

International

&

Co.

12/16/20

BRL

2,593

25,752

—

25,752

Swiss

Market

Index

Futures

December

2020

........

CHF

1,420,446

HSBC

Bank

plc

12/18/20

CHF

1,420

(92,836)

—

(92,836)

Swiss

Market

Index

Futures

December

2020

........

CHF

619,736

HSBC

Bank

plc

12/18/20

CHF

620

(51,754)

—

(51,754)

Swiss

Market

Index

Futures

December

2020

........

CHF

517,575

HSBC

Bank

plc

12/18/20

CHF

518

(44,359)

—

(44,359)

Swiss

Market

Index

Futures

December

2020

........

CHF

1,623,117

HSBC

Bank

plc

12/18/20

CHF

1,623

(105,826)

—

(105,826)

Swiss

Market

Index

Futures

December

2020

........

CHF

2,249,075

HSBC

Bank

plc

12/18/20

CHF

2,249

(164,365)

—

(164,365)

Swiss

Market

Index

Futures

December

2020

........

CHF

2,680,554

HSBC

Bank

plc

12/18/20

CHF

2,681

(114,831)

—

(114,831)

Swiss

Market

Index

Futures

December

2020

........

CHF

378,273

HSBC

Bank

plc

12/18/20

CHF

378

—

—

—

Swiss

Market

Index

Futures

December

2020

........

CHF

3,997,440

JPMorgan

Chase

Bank

NA

12/18/20

CHF

3,997

(406,783)

—

(406,783)

Swiss

Market

Index

Futures

December

2020

........

CHF

2,631,645

JPMorgan

Chase

Bank

NA

12/18/20

CHF

2,632

(269,529)

—

(269,529)

$

(1,797,719)

$

—

$

(1,797,719)

(a)

At

termination,

the

fixed

amount

paid

(received)

will

be

exchanged

for

the

total

return

of

the

reference

entity.

BlackRock

Total

Factor

Fund

7

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

(aa)

The

Fund

receives

the

total

return

on

a

portfolio

of

long

positions

underlying

the

total

return

swap.

The

Fund

pays

the

total

return

on

a

portfolio

of

short

positions

underlying

the

total

return

swap.

In

addition,

the

Fund

pays

or

receives

a

variable

rate

of

interest,

based

on

a

specified

benchmark.

The

benchmark

and

spread

are

determined

based

upon

the

country

and/or

currency

of

the

individual

underlying

positions.

The

following

are

the

specified

benchmarks

(plus

or

minus

a

range)

used

in

determining

the

variable

rate

of

interest:

OTC

Total

Return

Swaps

Reference

Entity

Payment

Frequency

Counterparty

(aa)

Termination

Date

Net

Notional

Accrued

Unrealized

Appreciation

(Depreciation)

Net

Value

of

Reference

Entity

Gross

Notional

Amount

Net

Asset

Percentage

Equity

Securities

Long/Short

...

Monthly

Barclays

Bank

plc

(a)

03/26/21-11/11/21

$

24,967

$

48,135

(b)

$

63,820

32.6

%

Monthly

Citibank

NA

(c)

02/24/23-02/27/23

(123,327)

228,441

(d)

114,986

48.4

Monthly

Credit

Suisse

International

(e)

02/08/23

209,450

(286,042)

(f)

(70,033)

50.9

Monthly

Deutsche

Bank

AG

(g)

03/29/21-02/17/23

79,425

(4,420)

(h)

68,573

24.4

Monthly

Goldman

Sachs

International

(i)

02/27/23-03/01/23

(46,188)

61,187

(j)

19,087

32.4

Monthly

JPMorgan

Chase

Bank

NA

(k)

02/08/23

(299,563)

90,865

(l)

(200,374)

3.9

Monthly

Merrill

Lynch

International

&

Co.

(m)

02/15/23

957

(255,690)

(n)

(253,030)

39.6

$

(117,524)

$

(256,971)

(a)

(c)

(e)

Range:

20-300

basis

points

18-233

basis

points

20-160

basis

points

Benchmarks:

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Association

of

Banks

in

Singapore

SGD

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Bank

of

Canada

Overnight

Repo

Rate

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Copenhagen

Interbank

Swap

Rate

1

Month

Copenhagen

Interbank

Swap

Rate

1

Week

Canada

Bankers

Acceptances

1

Month

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR:

Copenhagen

Interbank

Swap

Rate

1

Month

CHF

1

Month

CHF

1

Week

Intercontinental

Exchange

LIBOR:

EUR

1

Month

EUR

1

Week

CHF

1

Month

GBP

1

Month

GBP

1

Week

EUR

1

Month

JPY

1

Month

JPY

1

Month

GBP

1

Month

USD

1

Month

USD

1

Week

JPY

1

Month

Hong

Kong

Interbank

Offer

Rate

1

Month

USD

1

Month

USD

1

Month

Norway

Interbank

Offer

Rate

1

Month

Hong

Kong

Interbank

Offer

Rate

1

Week

Hong

Kong

Interbank

Offer

Rate

1

Month

Stockholm

Interbank

Offer

Rate

1

Month

Norway

Interbank

Offer

Rate

1

Week

Norway

Interbank

Offer

Rate

1

Month

USD

Overnight

Bank

Funding

Rate

Stockholm

Interbank

Offer

Rate

1

Week

Stockholm

Interbank

Offer

Rate

1

Month

USD

Overnight

Bank

Funding

Rate

(g)

(i)

(k)

Range:

0

basis

points

20-300

basis

points

18-35

basis

points

Benchmarks:

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Overnight

Bank

of

Canada

Overnight

Lending

Rate

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Reserve

Bank

of

Australia

Rate

Overnight

Canada

Overnight

Interbank

Rate

Copenhagen

Interbank

Overnight

Deposit

MID

Rate

Bank

of

Canada

Overnight

Repo

Rate

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR:

USD

1

Month

EUR

1

Week

CHF

1

Day

USD

Overnight

Bank

Funding

Rate

GBP

1

Week

EUR

1

Week

USD

1

Month

Euro

Overnight

Index

Average

Norwegian

Overnight

Weighted

Average

Sterling

Overnight

Index

Average

New

Zealand

Overnight

Deposit

Rate

Tokyo

Overnight

Average

Rate

Stockholm

Interbank

Offer

Rate

1

Week

Hong

Kong

Interbank

Offer

Rate

Overnight

Norwegian

Interbank

Offered

Rate:

NOK

1

Day

NOK

1

Week

New

Zealand

Overnight

Deposit

Rate

Stockholm

Interbank

Offer

Rate

Overnight

USD

Overnight

Bank

Funding

Rate

BlackRock

Total

Factor

Fund

8

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

(b)

Amount

includes

$9,282

of

net

dividends

and

financing

fees..

(d)

Amount

includes

$(9,872)

of

net

dividends

and

financing

fees.

(f)

Amount

includes

$(6,559)

of

net

dividends

and

financing

fees.

(h)

Amount

includes

$6,432

of

net

dividends

and

financing

fees.

(j)

Amount

includes

$(4,088)

of

net

dividends

and

financing

fees.

(l)

Amount

includes

$(8,324)

of

net

dividends

and

financing

fees.

(n)

Amount

includes

$(1,703)

of

net

dividends

and

financing

fees..

i

(m)

Range:

20-40

basis

points

Benchmarks:

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Bank

of

Canada

Overnight

Rate

Target

Copenhagen

Interbank

Swap

Rate

1

Week

Intercontinental

Exchange

LIBOR:

CHF

1

Week

EUR

1

Week

EUR

1

Month

GBP

1

Week

JPY

1

Week

JPY

1

Month

USD

1

Week

USD

1

Month

Norway

Interbank

Offer

Rate

1

Week

Stockholm

Interbank

Offer

Rate

1

Week

USD

Overnight

Bank

Funding

Rate

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Barclays

Bank

plc,

as

of

October

31,

2020,

expiration

dates

03/26/21-11/11/21:

Shares

Value

%

of

Basket

Value

Reference

Entity

—

Long

Australia

Australia

&

New

Zealand

Banking

Group

Ltd.

............

16,670

$

221,221

346.6

%

Macquarie

Group

Ltd.

......

372

33,167

52.0

South32

Ltd.

............

41,887

59,772

93.7

Tabcorp

Holdings

Ltd.

......

12,434

28,730

45.0

Wesfarmers

Ltd.

..........

1,542

49,914

78.2

Westpac

Banking

Corp.

.....

37,791

478,316

749.5

871,120

Belgium

Groupe

Bruxelles

Lambert

SA

.

2,274

186,487

292.2

Telenet

Group

Holding

NV

...

3,189

122,650

192.2

309,137

France

Air

Liquide

SA

...........

675

98,711

154.7

BNP

Paribas

SA

..........

1,029

35,886

56.2

Bollore

SA

..............

15,664

56,148

88.0

Cie

Generale

des

Etablissements

Michelin

SCA

..........

1,042

112,537

176.3

Credit

Agricole

SA

.........

3,395

26,856

42.1

Engie

SA

...............

2,284

27,624

43.3

Orange

SA

..............

3,338

37,485

58.7

Societe

Generale

SA

.......

2,283

31,021

48.6

TOTAL

SE

..............

1,534

46,475

72.8

472,743

Germany

Allianz

SE

(Registered)

.....

1,203

211,914

332.0

Covestro

AG

............

3,288

156,923

245.9

Daimler

AG

(Registered)

....

2,481

128,239

200.9

Deutsche

Lufthansa

AG

(Registered)

...........

5,370

45,941

72.0

Deutsche

Post

AG

(Registered)

1,376

61,009

95.6

Shares

Value

%

of

Basket

Value

Germany

(continued)

GEA

Group

AG

...........

2,639

$

87,888

137.7

%

Henkel

AG

&

Co.

KGaA

(Preference)

..........

2,335

227,220

356.0

Siemens

AG

(Registered)

....

490

57,485

90.1

Volkswagen

AG

(Preference)

.

1,448

210,922

330.5

Vonovia

SE

.............

4,728

301,947

473.1

Zalando

SE

.............

255

23,747

37.2

1,513,235

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

58,500

271,644

425.6

New

World

Development

Co.

Ltd.

................

16,000

76,390

119.7

Sun

Hung

Kai

Properties

Ltd.

.

8,000

102,975

161.4

451,009

Ireland

CRH

plc

...............

7,990

279,584

438.1

Israel

Check

Point

Software

Technologies

Ltd.

.......

1,566

177,835

278.6

Wix.com

Ltd.

............

142

35,120

55.0

212,955

Italy

Eni

SpA

................

4,730

33,134

51.9

Japan

ABC-Mart,

Inc.

...........

600

30,435

47.7

Amada

Holdings

Co.

Ltd.

....

19,900

173,203

271.4

Bridgestone

Corp.

.........

14,700

479,147

750.8

Brother

Industries

Ltd.

......

13,800

213,240

334.1

Calbee,

Inc.

.............

2,700

82,827

129.8

Canon,

Inc.

.............

4,600

80,069

125.5

Central

Japan

Railway

Co.

...

1,400

169,287

265.2

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

..........

12,800

180,684

283.1

Daicel

Corp.

.............

3,200

22,837

35.8

East

Japan

Railway

Co.

.....

8,700

454,953

712.9

BlackRock

Total

Factor

Fund

9

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Hankyu

Hanshin

Holdings,

Inc.

800

$

24,427

38.3

%

Hino

Motors

Ltd.

..........

3,300

25,284

39.6

Hirose

Electric

Co.

Ltd.

.....

300

41,875

65.6

Hitachi

Ltd.

.............

800

26,963

42.2

Ito

En

Ltd.

..............

1,100

69,667

109.2

JFE

Holdings,

Inc.

.........

8,100

56,912

89.2

JTEKT

Corp.

............

25,800

205,594

322.1

Kyushu

Railway

Co.

.......

5,900

125,498

196.6

Lawson,

Inc.

............

1,100

50,540

79.2

LIXIL

Group

Corp.

.........

7,000

152,000

238.2

Mercari,

Inc.

.............

500

21,021

32.9

Mitsubishi

Electric

Corp.

.....

27,700

356,745

559.0

Mitsubishi

Heavy

Industries

Ltd.

2,300

49,416

77.4

Mitsubishi

Materials

Corp.

...

1,300

23,854

37.4

Mitsubishi

Motors

Corp.

.....

12,000

22,008

34.5

Mizuho

Financial

Group,

Inc.

..

54,400

669,774

1,049.5

Nissan

Motor

Co.

Ltd.

......

10,100

35,759

56.0

NSK

Ltd.

...............

17,400

139,306

218.3

Osaka

Gas

Co.

Ltd.

........

1,400

26,586

41.7

Park24

Co.

Ltd.

..........

1,800

24,314

38.1

Pola

Orbis

Holdings,

Inc.

....

1,200

23,663

37.1

Ricoh

Co.

Ltd.

...........

4,800

31,523

49.4

Sega

Sammy

Holdings,

Inc.

..

4,900

61,405

96.2

Seibu

Holdings,

Inc.

.......

3,000

29,994

47.0

Seiko

Epson

Corp.

........

2,600

30,196

47.3

Sekisui

Chemical

Co.

Ltd.

....

16,600

258,766

405.5

Sekisui

House

Ltd.

........

7,700

127,923

200.4

Seven

&

i

Holdings

Co.

Ltd.

..

800

24,316

38.1

Sumitomo

Electric

Industries

Ltd.

................

6,400

70,657

110.7

Sumitomo

Heavy

Industries

Ltd.

5,800

124,313

194.8

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

1,000

27,682

43.4

Suntory

Beverage

&

Food

Ltd.

5,200

179,336

281.0

Teijin

Ltd.

...............

16,100

246,619

386.4

Tokyu

Corp.

.............

1,900

22,543

35.3

Tosoh

Corp.

.............

1,800

29,177

45.7

TOTO

Ltd.

..............

2,800

127,835

200.3

Toyo

Suisan

Kaisha

Ltd.

.....

1,100

54,742

85.8

West

Japan

Railway

Co.

....

3,300

141,561

221.8

Yamaha

Motor

Co.

Ltd.

.....

1,900

27,166

42.6

Yamazaki

Baking

Co.

Ltd.

....

2,900

47,635

74.6

5,721,277

Netherlands

Koninklijke

Ahold

Delhaize

NV

.

869

23,824

37.3

Randstad

NV

............

1,182

58,978

92.4

82,802

Norway

Equinor

ASA

............

1,625

20,735

32.5

Singapore

DBS

Group

Holdings

Ltd.

....

1,500

22,344

35.0

Oversea-Chinese

Banking

Corp.

Ltd.

................

5,900

36,390

57.0

United

Overseas

Bank

Ltd.

...

9,300

129,218

202.5

187,952

Spain

Endesa

SA

.............

1,199

32,168

50.4

Sweden

Boliden

AB

..............

3,392

92,497

144.9

Swedish

Match

AB

........

751

56,462

88.5

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Volvo

AB,

Class

B

.........

14,047

$

273,034

427.8

%

421,993

Switzerland

Adecco

Group

AG

(Registered)

1,679

82,328

129.0

EMS-Chemie

Holding

AG

(Registered)

...........

101

88,838

139.2

Geberit

AG

(Registered)

.....

190

108,142

169.5

Kuehne

+

Nagel

International

AG

(Registered)

...........

1,007

201,262

315.4

LafargeHolcim

Ltd.

(Registered)

3,889

166,915

261.5

Lonza

Group

AG

(Registered)

.

644

390,206

611.4

Nestle

SA

(Registered)

.....

766

86,158

135.0

Novartis

AG

(Registered)

....

4,853

378,158

592.5

Roche

Holding

AG

........

82

26,349

41.3

SGS

SA

(Registered)

.......

12

29,974

47.0

Sonova

Holding

AG

(Registered)

109

25,873

40.5

Swisscom

AG

(Registered)

...

943

479,611

751.5

Zurich

Insurance

Group

AG

..

982

326,167

511.1

2,389,981

Taiwan

ASE

Industrial

Holding

Co.

Ltd.

62,000

139,163

218.0

Asustek

Computer,

Inc.

.....

3,000

25,488

39.9

Delta

Electronics,

Inc.

......

30,000

199,603

312.8

Hon

Hai

Precision

Industry

Co.

Ltd.

................

40,000

108,485

170.0

Pegatron

Corp.

...........

20,000

43,101

67.5

Quanta

Computer,

Inc.

......

11,000

27,756

43.5

Uni-President

Enterprises

Corp.

100,000

214,356

335.9

United

Microelectronics

Corp.

.

89,000

95,653

149.9

853,605

United

Kingdom

Associated

British

Foods

plc

..

2,125

46,732

73.2

GlaxoSmithKline

plc

.......

23,530

392,916

615.7

Kingfisher

plc

............

61,950

230,391

361.0

Sage

Group

plc

(The)

......

2,800

23,038

36.1

WPP

plc

...............

29,028

231,855

363.3

924,932

United

States

Abbott

Laboratories

........

1,410

148,205

232.2

Accenture

plc,

Class

A

......

2,200

477,202

747.7

Activision

Blizzard,

Inc.

.....

445

33,700

52.8

Adobe,

Inc.

.............

622

278,096

435.7

Aflac,

Inc.

..............

13,593

461,482

723.1

Alphabet,

Inc.,

Class

A

......

82

132,521

207.6

Altice

USA,

Inc.,

Class

A

....

1,457

39,266

61.5

Amazon.com,

Inc.

.........

24

72,868

114.2

AMETEK,

Inc.

...........

2,812

276,138

432.7

Amphenol

Corp.,

Class

A

....

748

84,404

132.3

Applied

Materials,

Inc.

......

2,857

169,220

265.2

Arrow

Electronics,

Inc.

......

4,020

313,118

490.6

Arthur

J

Gallagher

&

Co.

....

732

75,916

119.0

Assurant,

Inc.

............

237

29,476

46.2

Atmos

Energy

Corp.

.......

753

69,028

108.2

AutoZone,

Inc.

...........

284

320,630

502.4

Avery

Dennison

Corp.

......

402

55,633

87.2

Axalta

Coating

Systems

Ltd.

..

13,841

347,548

544.6

Berkshire

Hathaway,

Inc.,

Class

B

..................

278

56,128

87.9

Biogen,

Inc.

.............

173

43,608

68.3

Cadence

Design

Systems,

Inc.

230

25,155

39.4

Capital

One

Financial

Corp.

..

488

35,663

55.9

Carnival

Corp.

...........

3,692

50,617

79.3

BlackRock

Total

Factor

Fund

10

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Celanese

Corp.

..........

1,653

$

187,632

294.0

%

Cerner

Corp.

............

2,406

168,637

264.2

CH

Robinson

Worldwide,

Inc.

.

863

76,315

119.6

Charter

Communications,

Inc.,

Class

A

..............

98

59,174

92.7

Cigna

Corp.

.............

376

62,781

98.4

Citigroup,

Inc.

............

7,546

312,555

489.7

Citizens

Financial

Group,

Inc.

.

1,878

51,176

80.2

Citrix

Systems,

Inc.

........

1,083

122,671

192.2

Clorox

Co.

(The)

..........

2,158

447,246

700.8

CMS

Energy

Corp.

........

1,615

102,278

160.3

Colgate-Palmolive

Co.

......

6,751

532,586

834.5

Conagra

Brands,

Inc.

.......

7,074

248,227

388.9

Concho

Resources,

Inc.

.....

1,144

47,487

74.4

Costco

Wholesale

Corp.

.....

6

2,146

3.4

Crowdstrike

Holdings,

Inc.,

Class

A

..................

888

109,970

172.3

CSX

Corp.

..............

2,255

178,010

278.9

Cummins,

Inc.

...........

1,693

372,274

583.3

CVS

Health

Corp.

.........

476

26,699

41.8

Deere

&

Co.

.............

97

21,913

34.3

DexCom,

Inc.

............

68

21,731

34.1

DISH

Network

Corp.,

Class

A

.

2,679

68,288

107.0

DocuSign,

Inc.

...........

120

24,270

38.0

Dropbox,

Inc.,

Class

A

......

16,486

301,034

471.7

DTE

Energy

Co.

..........

1,304

160,940

252.2

Dynatrace,

Inc.

...........

527

18,608

29.2

Eaton

Corp.

plc

...........

4,041

419,415

657.2

eBay,

Inc.

..............

575

27,387

42.9

Emerson

Electric

Co.

.......

2,038

132,042

206.9

EOG

Resources,

Inc.

.......

1,667

57,078

89.4

Exelon

Corp.

............

12,509

498,984

781.9

F5

Networks,

Inc.

.........

586

77,903

122.1

Facebook,

Inc.,

Class

A

.....

325

85,511

134.0

FactSet

Research

Systems,

Inc.

1,049

321,519

503.8

FedEx

Corp.

............

1,200

311,364

487.9

Ferguson

plc

............

1,930

191,689

300.4

Franklin

Resources,

Inc.

.....

2,428

45,525

71.3

Gilead

Sciences,

Inc.

.......

421

24,481

38.4

HCA

Healthcare,

Inc.

.......

182

22,557

35.3

Hilton

Worldwide

Holdings,

Inc.

1,393

122,319

191.7

Home

Depot,

Inc.

(The)

.....

503

134,155

210.2

Illinois

Tool

Works,

Inc.

......

2,407

471,483

738.8

Incyte

Corp.

.............

933

80,835

126.7

Intel

Corp.

..............

2,119

93,829

147.0

Intuit,

Inc.

..............

91

28,636

44.9

IQVIA

Holdings,

Inc.

.......

994

153,066

239.8

JB

Hunt

Transport

Services,

Inc.

1,568

190,888

299.1

JPMorgan

Chase

&

Co.

.....

51

5,000

7.8

Juniper

Networks,

Inc.

......

446

8,795

13.8

Kinder

Morgan,

Inc.

........

5,518

65,664

102.9

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,632

99,990

156.7

Kroger

Co.

(The)

..........

1,222

39,361

61.7

Lululemon

Athletica,

Inc.

....

166

53,002

83.1

MarketAxess

Holdings,

Inc.

..

43

23,171

36.3

Marsh

&

McLennan

Cos.,

Inc.

.

331

34,245

53.7

Masco

Corp.

............

3,461

185,510

290.7

McDonald's

Corp.

.........

654

139,302

218.3

MetLife,

Inc.

.............

34,554

1,307,869

2,049.3

Microsoft

Corp.

...........

3,662

741,445

1,161.8

Mondelez

International,

Inc.,

Class

A

..............

928

49,295

77.2

Moody's

Corp.

...........

118

31,022

48.6

Morgan

Stanley

..........

1,283

61,776

96.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

MSCI,

Inc.

..............

100

$

34,984

54.8

%

Nasdaq,

Inc.

............

312

37,749

59.1

Netflix,

Inc.

..............

152

72,312

113.3

News

Corp.,

Class

A

.......

2,923

38,379

60.1

NIKE,

Inc.,

Class

B

........

703

84,416

132.3

NVR,

Inc.

...............

32

126,499

198.2

Okta,

Inc.

...............

310

65,047

101.9

Old

Dominion

Freight

Line,

Inc.

505

96,137

150.6

Oracle

Corp.

............

471

26,428

41.4

O'Reilly

Automotive,

Inc.

....

134

58,504

91.7

Owens

Corning

...........

986

64,553

101.1

PACCAR,

Inc.

...........

1,204

102,798

161.1

Paychex,

Inc.

............

5,066

416,679

652.9

Peloton

Interactive,

Inc.,

Class

A

555

61,167

95.8

Philip

Morris

International,

Inc.

929

65,978

103.4

Pinterest,

Inc.,

Class

A

......

667

39,320

61.6

Pioneer

Natural

Resources

Co.

283

22,515

35.3

PNC

Financial

Services

Group,

Inc.

(The)

............

1,088

121,725

190.7

PPG

Industries,

Inc.

.......

229

29,706

46.5

Procter

&

Gamble

Co.

(The)

..

162

22,210

34.8

Prudential

Financial,

Inc.

....

6,203

397,116

622.2

PulteGroup,

Inc.

..........

1,126

45,896

71.9

Ralph

Lauren

Corp.

........

2,691

179,893

281.9

Regeneron

Pharmaceuticals,

Inc.

.................

106

57,617

90.3

Robert

Half

International,

Inc.

.

1,084

54,948

86.1

RPM

International,

Inc.

.....

1,722

145,802

228.5

S&P

Global,

Inc.

..........

607

195,897

307.0

Schlumberger

NV

.........

12,869

192,263

301.3

SEI

Investments

Co.

.......

965

47,430

74.3

Sempra

Energy

..........

1,387

173,874

272.4

Sensata

Technologies

Holding

plc

.................

3,246

141,883

222.3

ServiceNow,

Inc.

..........

320

159,222

249.5

Sherwin-Williams

Co.

(The)

..

49

33,711

52.8

Sirius

XM

Holdings,

Inc.

.....

22,171

127,040

199.1

Skyworks

Solutions,

Inc.

....

2,900

409,741

642.0

Slack

Technologies,

Inc.,

Class

A

2,240

57,299

89.8

Southern

Co.

(The)

........

3,068

176,257

276.2

Starbucks

Corp.

..........

3,247

282,359

442.4

Steel

Dynamics,

Inc.

.......

1,474

46,402

72.7

Take-Two

Interactive

Software,

Inc.

.................

326

50,504

79.1

Thermo

Fisher

Scientific,

Inc.

.

113

53,463

83.8

Tractor

Supply

Co.

........

1,227

163,449

256.1

TransUnion

.............

377

30,032

47.1

UGI

Corp.

..............

5,463

176,673

276.8

United

Parcel

Service,

Inc.,

Class

B

..................

337

52,946

83.0

United

Rentals,

Inc.

........

341

60,797

95.3

US

Bancorp

.............

4,369

170,173

266.6

VeriSign,

Inc.

............

555

105,839

165.8

Verizon

Communications,

Inc.

.

10,115

576,454

903.2

Vertex

Pharmaceuticals,

Inc.

..

896

186,691

292.5

VMware,

Inc.,

Class

A

......

319

41,065

64.3

Walmart,

Inc.

............

204

28,305

44.4

Wayfair,

Inc.,

Class

A

.......

312

77,385

121.3

West

Pharmaceutical

Services,

Inc.

.................

93

25,303

39.6

Whirlpool

Corp.

...........

748

138,350

216.8

Workday,

Inc.,

Class

A

......

495

104,009

163.0

WW

Grainger,

Inc.

.........

336

117,607

184.3

Zimmer

Biomet

Holdings,

Inc.

.

636

84,016

131.6

BlackRock

Total

Factor

Fund

11

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

...........

284

$

130,898

205.1

%

20,542,098

Total

Reference

Entity

—

Long

............

35,320,460

Reference

Entity

—

Short

Australia

BHP

Group

Ltd.

..........

(5,031)

(120,601)

(189.0)

CIMIC

Group

Ltd.

.........

(2,169)

(32,782)

(51.3)

Newcrest

Mining

Ltd.

.......

(4,677)

(96,989)

(152.0)

Telstra

Corp.

Ltd.

.........

(15,214)

(28,651)

(44.9)

Transurban

Group

.........

(5,081)

(48,115)

(75.4)

(327,138)

Austria

voestalpine

AG

...........

(1,155)

(32,117)

(50.3)

Belgium

Elia

System

Operator

SA/NV

.

(614)

(59,387)

(93.1)

Sofina

SA

..............

(166)

(43,143)

(67.6)

(102,530)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(512)

(82,801)

(129.7)

Brazil

Yara

International

ASA

......

(616)

(21,557)

(33.8)

China

BeiGene

Ltd.,

ADR

........

(447)

(132,544)

(207.7)

Denmark

Chr

Hansen

Holding

A/S

....

(1,118)

(112,817)

(176.8)

France

Adevinta

ASA

............

(5,256)

(81,208)

(127.2)

Amundi

SA

.............

(491)

(32,206)

(50.5)

Bureau

Veritas

SA

.........

(1,951)

(42,782)

(67.0)

Danone

SA

.............

(1,708)

(94,735)

(148.4)

Eiffage

SA

..............

(1,469)

(106,616)

(167.0)

EssilorLuxottica

SA

........

(323)

(39,877)

(62.5)

Getlink

SE

..............

(3,947)

(53,088)

(83.2)

Hermes

International

.......

(362)

(337,058)

(528.1)

Kering

SA

..............

(45)

(27,194)

(42.6)

Orpea

.................

(424)

(42,351)

(66.4)

Vinci

SA

...............

(2,179)

(172,109)

(269.7)

(1,029,224)

Germany

adidas

AG

..............

(104)

(30,899)

(48.4)

Bayerische

Motoren

Werke

AG

(339)

(23,167)

(36.3)

Beiersdorf

AG

............

(1,747)

(182,927)

(286.6)

Carl

Zeiss

Meditec

AG

......

(242)

(31,269)

(49.0)

FUCHS

PETROLUB

SE

(Preference)

..........

(1,112)

(57,236)

(89.7)

Merck

KGaA

............

(835)

(123,690)

(193.8)

Porsche

Automobil

Holding

SE

(Preference)

..........

(1,730)

(92,680)

(145.2)

(541,868)

Hong

Kong

ASM

Pacific

Technology

Ltd.

..

(6,700)

(67,565)

(105.9)

Bank

of

East

Asia

Ltd.

(The)

..

(25,000)

(45,100)

(70.7)

CK

Infrastructure

Holdings

Ltd.

(32,500)

(153,311)

(240.2)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

..

(195,500)

(199,024)

(311.9)

HKT

Trust

&

HKT

Ltd.

......

(104,000)

(134,500)

(210.7)

Shares

Value

%

of

Basket

Value

Hong

Kong

(continued)

Jardine

Matheson

Holdings

Ltd.

(6,700)

$

(296,982)

(465.3)

%

MTR

Corp.

Ltd.

...........

(124,500)

(616,931)

(966.7)

(1,513,413)

Ireland

AerCap

Holdings

NV

.......

(1,085)

(26,941)

(42.2)

Kerry

Group

plc,

Class

A

....

(5,028)

(601,861)

(943.1)

Smurfit

Kappa

Group

plc

....

(750)

(28,259)

(44.3)

(657,061)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(14,040)

(122,429)

(191.8)

Italy

Ferrari

NV

..............

(2,017)

(359,817)

(563.8)

Leonardo

SpA

...........

(4,086)

(19,483)

(30.5)

Pirelli

&

C

SpA

...........

(38,622)

(161,034)

(252.3)

(540,334)

Japan

Acom

Co.

Ltd.

...........

(5,400)

(24,268)

(38.0)

Bank

of

Kyoto

Ltd.

(The)

....

(1,700)

(75,080)

(117.6)

CyberAgent,

Inc.

..........

(600)

(37,739)

(59.1)

Dai

Nippon

Printing

Co.

Ltd.

..

(1,800)

(33,533)

(52.5)

Daiichi

Sankyo

Co.

Ltd.

.....

(5,100)

(134,608)

(210.9)

Daiwa

Securities

Group,

Inc.

..

(6,100)

(24,716)

(38.7)

Eisai

Co.

Ltd.

............

(1,100)

(85,529)

(134.0)

Fast

Retailing

Co.

Ltd.

......

(100)

(69,754)

(109.3)

GMO

Payment

Gateway,

Inc.

.

(700)

(85,770)

(134.4)

Hikari

Tsushin,

Inc.

........

(100)

(23,454)

(36.8)

Hitachi

Metals

Ltd.

........

(4,100)

(54,371)

(85.2)

Inpex

Corp.

.............

(11,200)

(53,115)

(83.2)

ITOCHU

Corp.

...........

(3,300)

(79,261)

(124.2)

Japan

Post

Insurance

Co.

Ltd.

(1,700)

(26,947)

(42.2)

KDDI

Corp.

.............

(9,100)

(246,200)

(385.8)

Keio

Corp.

..............

(500)

(29,059)

(45.5)

Kikkoman

Corp.

..........

(700)

(34,860)

(54.6)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(29,234)

(45.8)

Kobe

Bussan

Co.

Ltd.

......

(10,200)

(286,978)

(449.7)

Koito

Manufacturing

Co.

Ltd.

..

(600)

(28,934)

(45.3)

Kyushu

Electric

Power

Co.,

Inc.

(10,300)

(86,349)

(135.3)

M3,

Inc.

................

(900)

(60,782)

(95.2)

Makita

Corp.

............

(3,300)

(145,872)

(228.6)

Marui

Group

Co.

Ltd.

.......

(3,700)

(66,866)

(104.8)

Mebuki

Financial

Group,

Inc.

..

(11,100)

(22,302)

(35.0)

Mitsubishi

Corp.

..........

(7,800)

(174,029)

(272.7)

Mitsui

&

Co.

Ltd.

..........

(1,500)

(23,495)

(36.8)

Nihon

M&A

Center,

Inc.

.....

(3,200)

(187,909)

(294.4)

Nippon

Shinyaku

Co.

Ltd.

....

(500)

(35,728)

(56.0)

Nippon

Yusen

KK

.........

(1,300)

(23,995)

(37.6)

Nissan

Chemical

Corp.

.....

(2,200)

(116,756)

(183.0)

Nomura

Holdings,

Inc.

......

(12,200)

(54,637)

(85.6)

NTT

DOCOMO,

Inc.

.......

(11,500)

(428,205)

(671.0)

Odakyu

Electric

Railway

Co.

Ltd.

(5,400)

(130,316)

(204.2)

Panasonic

Corp.

..........

(5,900)

(54,501)

(85.4)

PeptiDream,

Inc.

..........

(3,700)

(170,988)

(267.9)

Pigeon

Corp.

............

(3,300)

(151,970)

(238.1)

Recruit

Holdings

Co.

Ltd.

....

(4,000)

(152,203)

(238.5)

SCSK

Corp.

.............

(1,200)

(59,666)

(93.5)

Secom

Co.

Ltd.

...........

(300)

(25,344)

(39.7)

Shinsei

Bank

Ltd.

.........

(3,200)

(38,501)

(60.3)

Showa

Denko

KK

.........

(3,300)

(56,112)

(87.9)

SMC

Corp.

..............

(100)

(53,191)

(83.4)

Sompo

Holdings,

Inc.

......

(800)

(29,869)

(46.8)

BlackRock

Total

Factor

Fund

12

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Suzuken

Co.

Ltd.

.........

(1,800)

$

(64,981)

(101.8)

%

TIS,

Inc.

...............

(6,700)

(128,138)

(200.8)

Toho

Co.

Ltd.

............

(900)

(35,641)

(55.9)

Tokyo

Century

Corp.

.......

(600)

(29,417)

(46.1)

Toshiba

Corp.

............

(5,000)

(126,479)

(198.2)

USS

Co.

Ltd.

............

(1,400)

(25,607)

(40.1)

Yamada

Denki

Co.

Ltd.

.....

(5,300)

(25,842)

(40.5)

(4,249,101)

Macau

SJM

Holdings

Ltd.

.........

(25,000)

(25,958)

(40.7)

Netherlands

Aegon

NV

..............

(32,254)

(86,764)

(135.9)

Heineken

NV

............

(893)

(79,046)

(123.9)

(165,810)

Singapore

Jardine

Cycle

&

Carriage

Ltd.

.

(3,600)

(46,829)

(73.4)

Keppel

Corp.

Ltd.

.........

(101,300)

(325,524)

(510.0)

Venture

Corp.

Ltd.

.........

(11,000)

(155,065)

(243.0)

(527,418)

Spain

Ferrovial

SA

.............

(5,513)

(119,398)

(187.1)

Sweden

Atlas

Copco

AB,

Class

A

....

(1,510)

(66,653)

(104.4)

Autoliv,

Inc.

.............

(2,430)

(184,194)

(288.6)

EQT

AB

................

(3,783)

(71,882)

(112.6)

Kinnevik

AB,

Class

B

.......

(2,834)

(116,049)

(181.8)

L

E

Lundbergforetagen

AB,

Class

B

..................

(1,885)

(84,723)

(132.8)

Skanska

AB,

Class

B

.......

(3,166)

(59,380)

(93.1)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(10,414)

(140,865)

(220.7)

(723,746)

Switzerland

Baloise

Holding

AG

(Registered)

(1,152)

(157,542)

(246.8)

Banque

Cantonale

Vaudoise

(Registered)

...........

(5,007)

(485,180)

(760.2)

Barry

Callebaut

AG

(Registered)

(58)

(119,749)

(187.6)

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(14)

(110,999)

(173.9)

Clariant

AG

(Registered)

....

(8,362)

(143,456)

(224.8)

Logitech

International

SA

(Registered)

...........

(767)

(64,525)

(101.1)

Partners

Group

Holding

AG

..

(211)

(189,965)

(297.7)

Schindler

Holding

AG

......

(185)

(47,391)

(74.3)

Temenos

AG

(Registered)

...

(868)

(93,285)

(146.2)

Vifor

Pharma

AG

..........

(199)

(22,396)

(35.1)

(1,434,488)

Taiwan

Advantech

Co.

Ltd.

........

(3,000)

(30,372)

(47.6)

Largan

Precision

Co.

Ltd.

....

(1,000)

(106,199)

(166.4)

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

........

(203,000)

(263,156)

(412.3)

Yageo

Corp.

.............

(14,000)

(174,409)

(273.3)

(574,136)

United

Kingdom

AVEVA

Group

plc

.........

(1,145)

(63,556)

(99.6)

Liberty

Global

plc,

Class

C

...

(27,226)

(510,850)

(800.4)

Linde

plc

...............

(1,407)

(310,018)

(485.8)

RELX

plc

...............

(10,672)

(211,177)

(330.9)

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Wm

Morrison

Supermarkets

plc

(89,607)

$

(189,149)

(296.4)

%

(1,284,750)

United

States

AbbVie,

Inc.

.............

(363)

(30,891)

(48.4)

Air

Products

and

Chemicals,

Inc.

(2,446)

(675,683)

(1,058.7)

Albemarle

Corp.

..........

(1,441)

(134,316)

(210.5)

Alleghany

Corp.

..........

(39)

(21,330)

(33.4)

Altria

Group,

Inc.

..........

(568)

(20,493)

(32.1)

Amcor

plc

..............

(30,138)

(314,339)

(492.5)

AMERCO

..............

(474)

(164,554)

(257.8)

American

Express

Co.

......

(605)

(55,200)

(86.5)

American

International

Group,

Inc.

.................

(8,715)

(274,435)

(430.0)

AmerisourceBergen

Corp.

...

(1,320)

(126,812)

(198.7)

Analog

Devices,

Inc.

.......

(491)

(58,198)

(91.2)

ANSYS,

Inc.

.............

(136)

(41,394)

(64.9)

Anthem,

Inc.

............

(838)

(228,606)

(358.2)

Aon

plc,

Class

A

..........

(487)

(89,613)

(140.4)

Apollo

Global

Management,

Inc.

(11,263)

(415,154)

(650.5)

Aramark

...............

(1,002)

(27,795)

(43.6)

AT&T,

Inc.

..............

(8,409)

(227,211)

(356.0)

Automatic

Data

Processing,

Inc.

(2,414)

(381,315)

(597.5)

Baker

Hughes

Co.

.........

(6,297)

(93,007)

(145.7)

Becton

Dickinson

and

Co.

...

(98)

(22,651)

(35.5)

Blackstone

Group,

Inc.

(The),

Class

A

..............

(18,716)

(943,661)

(1,478.6)

Boeing

Co.

(The)

.........

(532)

(76,815)

(120.4)

Booking

Holdings,

Inc.

......

(201)

(326,123)

(511.0)

Boston

Scientific

Corp.

......

(962)

(32,968)

(51.7)

Broadcom,

Inc.

...........

(196)

(68,527)

(107.4)

Bunge

Ltd.

..............

(1,746)

(99,051)

(155.2)

Burlington

Stores,

Inc.

......

(2,222)

(430,135)

(674.0)

Cable

One,

Inc.

..........

(18)

(31,173)

(48.8)

Campbell

Soup

Co.

........

(2,719)

(126,896)

(198.8)

Cardinal

Health,

Inc.

.......

(1,312)

(60,076)

(94.1)

Carlyle

Group,

Inc.

(The)

....

(20,973)

(522,647)

(818.9)

Cboe

Global

Markets,

Inc.

...

(820)

(66,658)

(104.4)

CDW

Corp.

.............

(987)

(121,006)

(189.6)

Centene

Corp.

...........

(1,597)

(94,383)

(147.9)

CenturyLink,

Inc.

..........

(12,648)

(109,026)

(170.8)

Chevron

Corp.

...........

(351)

(24,395)

(38.2)

Cincinnati

Financial

Corp.

....

(347)

(24,547)

(38.5)

CME

Group,

Inc.

..........

(2,190)

(330,077)

(517.2)

Coca-Cola

Co.

(The)

.......

(3,377)

(162,299)

(254.3)

Consolidated

Edison,

Inc.

....

(2,067)

(162,239)

(254.2)

Cooper

Cos.,

Inc.

(The)

.....

(326)

(104,010)

(163.0)

Corteva,

Inc.

............

(5,819)

(191,911)

(300.7)

CyberArk

Software

Ltd.

.....

(1,066)

(105,694)

(165.6)

Danaher

Corp.

...........

(56)

(12,854)

(20.1)

Datadog,

Inc.,

Class

A

......

(901)

(81,766)

(128.1)

Discover

Financial

Services

..

(2,640)

(171,626)

(268.9)

Dominion

Energy,

Inc.

......

(599)

(48,124)

(75.4)

Dow,

Inc.

...............

(3,596)

(163,582)

(256.3)

DR

Horton,

Inc.

...........

(361)

(24,118)

(37.8)

Duke

Energy

Corp.

........

(6,057)

(557,910)

(874.2)

DuPont

de

Nemours,

Inc.

....

(1,079)

(61,374)

(96.2)

Ecolab,

Inc.

.............

(2,028)

(372,321)

(583.4)

Edison

International

........

(2,084)

(116,787)

(183.0)

Eli

Lilly

and

Co.

...........

(1,292)

(168,554)

(264.1)

Erie

Indemnity

Co.,

Class

A

..

(926)

(215,638)

(337.9)

Essential

Utilities,

Inc.

......

(117)

(4,820)

(7.6)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(861)

(189,127)

(296.3)

Eversource

Energy

........

(891)

(77,758)

(121.8)

BlackRock

Total

Factor

Fund

13

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Expedia

Group,

Inc.

........

(4,674)

$

(440,057)

(689.5)

%

Exxon

Mobil

Corp.

.........

(1,692)

(55,193)

(86.5)

Fidelity

National

Information

Services,

Inc.

..........

(1,176)

(146,518)

(229.6)

First

Republic

Bank

........

(1,601)

(201,950)

(316.4)

FirstEnergy

Corp.

.........

(5,659)

(168,185)

(263.5)

Fiserv,

Inc.

..............

(2,140)

(204,306)

(320.1)

FleetCor

Technologies,

Inc.

...

(376)

(83,062)

(130.1)

Fortive

Corp.

............

(2,256)

(138,970)

(217.8)

Fox

Corp.,

Class

A

........

(10,414)

(276,179)

(432.7)

Garmin

Ltd.

.............

(2,641)

(274,717)

(430.5)

General

Mills,

Inc.

.........

(3,371)

(199,294)

(312.3)

Global

Payments,

Inc.

......

(314)

(49,530)

(77.6)

Guidewire

Software,

Inc.

....

(357)

(34,311)

(53.8)

Hasbro,

Inc.

.............

(695)

(57,490)

(90.1)

HD

Supply

Holdings,

Inc.

....

(5,249)

(209,225)

(327.8)

HEICO

Corp.

............

(2,002)

(210,310)

(329.5)

Henry

Schein,

Inc.

.........

(868)

(55,187)

(86.5)

Honeywell

International,

Inc.

..

(2,880)

(475,056)

(744.4)

Hormel

Foods

Corp.

.......

(2,907)

(141,542)

(221.8)

HP,

Inc.

................

(1,655)

(29,724)

(46.6)

Illumina,

Inc.

............

(611)

(178,840)

(280.2)

International

Business

Machines

Corp.

...............

(862)

(96,251)

(150.8)

Invesco

Ltd.

.............

(8,182)

(107,266)

(168.1)

Ionis

Pharmaceuticals,

Inc.

...

(1,328)

(62,350)

(97.7)

Jack

Henry

&

Associates,

Inc.

.

(606)

(89,840)

(140.8)

Jacobs

Engineering

Group,

Inc.

(2,195)

(208,525)

(326.7)

Kansas

City

Southern

......

(660)

(116,252)

(182.2)

Keurig

Dr

Pepper,

Inc.

......

(2,857)

(76,853)

(120.4)

Kimberly-Clark

Corp.

.......

(238)

(31,556)

(49.4)

KKR

&

Co.,

Inc.

..........

(7,731)

(264,014)

(413.7)

KLA

Corp.

..............

(117)

(23,070)

(36.1)

L3Harris

Technologies,

Inc.

...

(1,146)

(184,632)

(289.3)

Laboratory

Corp.

of

America

Holdings

.............

(302)

(60,331)

(94.5)

Liberty

Broadband

Corp.,

Class

A

..................

(3,034)

(428,722)

(671.8)

LKQ

Corp.

..............

(1,003)

(32,086)

(50.3)

Martin

Marietta

Materials,

Inc.

.

(517)

(137,703)

(215.8)

Match

Group,

Inc.

.........

(255)

(29,779)

(46.7)

Maxim

Integrated

Products,

Inc.

(1,347)

(93,819)

(147.0)

McKesson

Corp.

..........

(1,015)

(149,702)

(234.6)

Medtronic

plc

............

(1,498)

(150,654)

(236.1)

Micron

Technology,

Inc.

.....

(3,097)

(155,903)

(244.3)

Moderna,

Inc.

............

(474)

(31,981)

(50.1)

Motorola

Solutions,

Inc.

.....

(552)

(87,249)

(136.7)

Newmont

Corp.

..........

(1,105)

(69,438)

(108.8)

ONEOK,

Inc.

............

(2,847)

(82,563)

(129.4)

People's

United

Financial,

Inc.

(2,920)

(31,156)

(48.8)

Pfizer,

Inc.

..............

(1,722)

(61,097)

(95.7)

Pinnacle

West

Capital

Corp.

..

(2,831)

(230,925)

(361.8)

Progressive

Corp.

(The)

.....

(1,012)

(93,003)

(145.7)

Reinsurance

Group

of

America,

Inc.

.................

(713)

(72,027)

(112.9)

salesforce.com,

Inc.

.......

(297)

(68,984)

(108.1)

Seagate

Technology

plc

.....

(4,891)

(233,888)

(366.5)

Snap-on,

Inc.

............

(915)

(144,140)

(225.9)

Splunk,

Inc.

.............

(35)

(6,931)

(10.9)

Square,

Inc.,

Class

A

.......

(170)

(26,330)

(41.3)

Sunrun,

Inc.

.............

(4,072)

(211,825)

(331.9)

SVB

Financial

Group

.......

(245)

(71,222)

(111.6)

T.

Rowe

Price

Group,

Inc.

....

(1,071)

(135,653)

(212.6)

Tiffany

&

Co.

............

(1,076)

(140,784)

(220.6)

TJX

Cos.,

Inc.

(The)

.......

(721)

(36,627)

(57.4)

Shares

Value

%

of

Basket

Value

United

States

(continued)

T-Mobile

US,

Inc.

.........

(225)

$

(24,653)

(38.6)

%

Tradeweb

Markets,

Inc.,

Class

A

(135)

(7,355)

(11.5)

Trane

Technologies

plc

.....

(235)

(31,196)

(48.9)

Tyler

Technologies,

Inc.

.....

(73)

(28,060)

(44.0)

Uber

Technologies,

Inc.

.....

(2,431)

(81,220)

(127.3)

Ulta

Beauty,

Inc.

..........

(376)

(77,746)

(121.8)

Union

Pacific

Corp.

........

(509)

(90,190)

(141.3)

Varian

Medical

Systems,

Inc.

.

(568)

(98,150)

(153.8)

Verisk

Analytics,

Inc.

.......

(521)

(92,722)

(145.3)

VF

Corp.

...............

(443)

(29,770)

(46.6)

Visa,

Inc.,

Class

A

.........

(5,653)

(1,027,207)

(1,609.5)

Vulcan

Materials

Co.

.......

(389)

(56,343)

(88.3)

W

R

Berkley

Corp.

........

(375)

(22,545)

(35.3)

Walt

Disney

Co.

(The)

......

(1,818)

(220,433)

(345.4)

Waste

Connections,

Inc.

.....

(4,764)

(473,160)

(741.4)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,006)

(59,656)

(93.5)

Willis

Towers

Watson

plc

....

(727)

(132,663)

(207.9)

Xcel

Energy,

Inc.

..........

(4,803)

(336,354)

(527.0)

Xilinx,

Inc.

..............

(264)

(31,334)

(49.1)

Zillow

Group,

Inc.,

Class

C

...

(265)

(23,484)

(36.8)

Zoetis,

Inc.

..............

(284)

(45,028)

(70.6)

Zscaler,

Inc.

.............

(724)

(98,283)

(154.0)

(20,936,002)

Total

Reference

Entity

—

Short

............

(35,256,640)

Net

Value

of

Reference

Entity

—

Barclays

Bank

plc

................................

$

63,820

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Citibank

NA,

as

of

October

31,

2020,

expiration

dates

02/24/23-02/27/23:

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

7,170

144,380

125.6

ASX

Ltd.

...............

5,044

282,437

245.6

Aurizon

Holdings

Ltd.

......

141,132

374,234

325.4

Cochlear

Ltd.

............

610

91,046

79.2

Santos

Ltd.

.............

28,223

93,824

81.6

South32

Ltd.

............

61,313

87,493

76.1

Woodside

Petroleum

Ltd.

....

5,174

63,817

55.5

1,137,231

Austria

OMV

AG

...............

17,103

395,359

343.8

Belgium

Etablissements

Franz

Colruyt

NV

.................

1,982

117,309

102.0

Proximus

SADP

..........

10,370

201,595

175.3

318,904

Canada

BCE,

Inc.

...............

1,193

47,942

41.7

Cenovus

Energy,

Inc.

.......

16,490

53,964

46.9

Hydro

One

Ltd.

...........

4,820

105,314

91.6

Loblaw

Cos.

Ltd.

..........

1,280

63,717

55.4

Manulife

Financial

Corp.

.....

21,382

289,844

252.1

Rogers

Communications,

Inc.,

Class

B

..............

1,400

56,870

49.4

617,651

BlackRock

Total

Factor

Fund

14

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

China

BOC

Hong

Kong

Holdings

Ltd.

120,000

$

333,299

289.8

%

Denmark

Coloplast

A/S,

Class

B

......

1,616

236,329

205.5

GN

Store

Nord

A/S

........

2,490

179,272

155.9

415,601

Finland

Fortum

OYJ

.............

10,300

193,605

168.4

Stora

Enso

OYJ,

Class

R

....

5,080

74,132

64.4

267,737

France

BNP

Paribas

SA

..........

5,590

194,950

169.5

Bollore

SA

..............

7,361

26,386

23.0

Cie

de

Saint-Gobain

.......

2,908

113,277

98.5

Credit

Agricole

SA

.........

8,640

68,347

59.4

Engie

SA

...............

190

2,298

2.0

Orange

SA

..............

3,185

35,766

31.1

Publicis

Groupe

SA

........

2,652

92,137

80.1

Sartorius

Stedim

Biotech

....

400

151,684

131.9

Schneider

Electric

SE

......

470

57,108

49.7

Thales

SA

..............

1,986

129,408

112.6

Veolia

Environnement

SA

....

4,571

85,079

74.0

Vivendi

SA

..............

12,619

364,229

316.8

1,320,669

Germany

Brenntag

AG

............

3,070

196,223

170.7

Deutsche

Boerse

AG

.......

418

61,594

53.6

Deutsche

Post

AG

(Registered)

8,952

396,914

345.2

Evonik

Industries

AG

.......

9,313

224,228

195.0

GEA

Group

AG

...........

828

27,575

24.0

Nemetschek

SE

..........

2,106

152,489

132.6

Symrise

AG

.............

3,570

440,218

382.8

1,499,241

Italy

Assicurazioni

Generali

SpA

...

9,330

125,155

108.9

Enel

SpA

...............

16,030

127,447

110.8

Eni

SpA

................

1,240

8,686

7.6

Intesa

Sanpaolo

SpA

.......

79,180

131,447

114.3

Prysmian

SpA

...........

4,910

133,613

116.2

526,348

Japan

Aeon

Co.

Ltd.

............

1,200

30,658

26.7

AGC,

Inc.

..............

1,300

40,594

35.3

Aisin

Seiki

Co.

Ltd.

........

6,200

187,848

163.4

Astellas

Pharma,

Inc.

.......

27,000

370,249

322.0

Bridgestone

Corp.

.........

10,200

332,469

289.1

Denso

Corp.

............

200

9,319

8.1

East

Japan

Railway

Co.

.....

2,800

146,422

127.3

ENEOS

Holdings,

Inc.

......

33,500

113,039

98.3

Honda

Motor

Co.

Ltd.

......

1,400

33,114

28.8

Hoya

Corp.

.............

3,600

406,285

353.3

Kyocera

Corp.

...........

8,100

446,087

387.9

Kyowa

Kirin

Co.

Ltd.

.......

4,700

116,717

101.5

Lawson,

Inc.

............

600

27,567

24.0

LIXIL

Group

Corp.

.........

1,400

30,400

26.4

Marubeni

Corp.

...........

55,600

290,299

252.5

MEIJI

Holdings

Co.

Ltd.

.....

1,400

101,429

88.2

MINEBEA

MITSUMI,

Inc.

....

17,900

323,298

281.2

Mitsubishi

Chemical

Holdings

Corp.

...............

43,500

244,825

212.9

Mitsubishi

Electric

Corp.

.....

5,000

64,394

56.0

Mitsubishi

Heavy

Industries

Ltd.

11,100

238,486

207.4

Shares

Value

%

of

Basket

Value

Japan

(continued)

NEC

Corp.

..............

4,300

$

216,592

188.4

%

Nintendo

Co.

Ltd.

.........

100

54,069

47.0

Nippon

Steel

Corp.

........

11,800

114,450

99.5

Nissan

Motor

Co.

Ltd.

......

12,800

45,319

39.4

Nitori

Holdings

Co.

Ltd.

.....

900

185,001

160.9

Nitto

Denko

Corp.

.........

4,300

302,100

262.7

NTT

Data

Corp.

..........

4,500

50,788

44.2

Olympus

Corp.

...........

4,600

88,063

76.6

Ono

Pharmaceutical

Co.

Ltd.

.

4,600

131,216

114.1

Ricoh

Co.

Ltd.

...........

33,800

221,972

193.0

Rohm

Co.

Ltd.

...........

4,400

338,302

294.2

Sekisui

House

Ltd.

........

46,800

777,503

676.2

Seven

&

i

Holdings

Co.

Ltd.

..

4,100

124,618

108.4

Shimadzu

Corp.

..........

11,600

331,683

288.5

Shin-Etsu

Chemical

Co.

Ltd.

..

500

66,783

58.1

Subaru

Corp.

............

5,600

102,777

89.4

Sumitomo

Electric

Industries

Ltd.

................

14,000

154,561

134.4

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

12,100

334,951

291.3

Taisei

Corp.

.............

3,000

93,354

81.2

TDK

Corp.

..............

700

82,320

71.6

Terumo

Corp.

............

1,500

55,206

48.0

Toray

Industries,

Inc.

.......

75,900

343,440

298.7

Trend

Micro,

Inc.

..........

100

5,602

4.9

Tsuruha

Holdings,

Inc.

......

300

42,008

36.5

West

Japan

Railway

Co.

....

2,200

94,374

82.1

Yakult

Honsha

Co.

Ltd.

.....

800

38,714

33.7

Yamaha

Corp.

...........

7,300

346,058

301.0

Yamazaki

Baking

Co.

Ltd.

....

1,500

24,639

21.4

8,319,962

Macau

Sands

China

Ltd.

.........

33,600

117,923

102.6

Netherlands

ING

Groep

NV

...........

13,870

95,006

82.6

Koninklijke

Ahold

Delhaize

NV

.

10,161

278,572

242.3

Koninklijke

DSM

NV

.......

876

140,096

121.8

Koninklijke

Philips

NV

......

889

41,176

35.8

Royal

Dutch

Shell

plc,

Class

A

.

5,476

68,885

59.9

623,735

Norway

Orkla

ASA

..............

19,344

182,604

158.8

Portugal

Galp

Energia

SGPS

SA

.....

11,690

94,937

82.6

South

Korea

Hana

Financial

Group,

Inc.

...

8,241

222,610

193.6

Hyundai

Mobis

Co.

Ltd.

.....

2,558

512,530

445.7

Kia

Motors

Corp.

..........

12,861

576,805

501.6

LG

Electronics,

Inc.

........

5,300

393,999

342.6

NCSoft

Corp.

............

72

49,470

43.0

Samsung

Electronics

Co.

Ltd.

(Preference)

..........

5,820

258,902

225.2

SK

Telecom

Co.

Ltd.

.......

499

94,625

82.3

2,108,941

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

4,895

116,358

101.2

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

9,964

28,747

25.0

BlackRock

Total

Factor

Fund

15

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Spain

(continued)

Repsol

SA

..............

18,626

$

116,935

101.7

%

262,040

Sweden

Hennes

&

Mauritz

AB,

Class

B

4,035

65,603

57.0

Industrivarden

AB,

Class

C

...

1,060

27,066

23.5

Investor

AB,

Class

B

.......

2,550

152,844

132.9

Lundin

Energy

AB

.........

7,176

137,182

119.3

Swedish

Match

AB

........

1,408

105,857

92.1

Volvo

AB,

Class

B

.........

2,887

56,115

48.8

544,667

Switzerland

Coca-Cola

HBC

AG

........

10,116

229,787

199.8

EMS-Chemie

Holding

AG

(Registered)

...........

31

27,267

23.7

Geberit

AG

(Registered)

.....

380

216,285

188.1

Givaudan

SA

(Registered)

...

130

530,132

461.1

Kuehne

+

Nagel

International

AG

(Registered)

...........

575

114,921

100.0

LafargeHolcim

Ltd.

(Registered)

9,222

395,805

344.2

Roche

Holding

AG

........

2,549

819,074

712.3

Sonova

Holding

AG

(Registered)

579

137,436

119.5

STMicroelectronics

NV

.....

3,570

108,900

94.7

Swatch

Group

AG

(The)

.....

568

120,286

104.6

Swiss

Prime

Site

AG

(Registered)

...........

460

38,700

33.7

2,738,593

Taiwan

Cathay

Financial

Holding

Co.

Ltd.

................

157,000

210,966

183.5

Chunghwa

Telecom

Co.

Ltd.

..

337,000

1,264,321

1,099.5

Hon

Hai

Precision

Industry

Co.

Ltd.

................

21,000

56,955

49.5

MediaTek,

Inc.

...........

4,000

95,081

82.7

Pegatron

Corp.

...........

12,000

25,860

22.5

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.

...

22,000

332,853

289.5

Uni-President

Enterprises

Corp.

16,000

34,297

29.8

2,020,333

United

Kingdom

Barclays

plc

.............

28,540

39,559

34.4

Berkeley

Group

Holdings

plc

..

475

24,975

21.7

BP

plc

.................

45,888

117,046

101.8

Bunzl

plc

...............

490

15,232

13.2

Burberry

Group

plc

........

475

8,343

7.3

CK

Hutchison

Holdings

Ltd.

..

97,500

588,898

512.1

DCC

plc

...............

1,095

71,155

61.9

InterContinental

Hotels

Group

plc

.................

2,602

132,208

115.0

Next

plc

................

1,086

82,022

71.3

Sage

Group

plc

(The)

......

36,065

296,740

258.1

Severn

Trent

plc

..........

2,870

90,325

78.6

Smith

&

Nephew

plc

.......

30,577

530,943

461.7

1,997,446

United

States

ABIOMED,

Inc.

...........

130

32,744

28.5

Adobe,

Inc.

.............

629

281,226

244.6

Advanced

Micro

Devices,

Inc.

.

694

52,251

45.4

Aflac,

Inc.

..............

10,565

358,682

311.9

Agilent

Technologies,

Inc.

....

1,970

201,117

174.9

Akamai

Technologies,

Inc.

...

1,952

185,674

161.5

Align

Technology,

Inc.

......

35

14,913

13.0

Alliant

Energy

Corp.

.......

839

46,380

40.3

Shares

Value

%

of

Basket

Value

United

States

(continued)

Allstate

Corp.

(The)

........

445

$

39,494

34.3

%

Ally

Financial,

Inc.

.........

6,630

176,888

153.8

Alphabet,

Inc.,

Class

A

......

125

202,014

175.7

Ameren

Corp.

............

1,454

117,948

102.6

American

Financial

Group,

Inc.

718

53,807

46.8

American

Water

Works

Co.,

Inc.

1,270

191,148

166.2

Amphenol

Corp.,

Class

A

....

561

63,303

55.1

Applied

Materials,

Inc.

......

1,418

83,988

73.0

Assurant,

Inc.

............

710

88,303

76.8

Atmos

Energy

Corp.

.......

1,254

114,954

100.0

AutoZone,

Inc.

...........

28

31,611

27.5

Avery

Dennison

Corp.

......

161

22,281

19.4

Axalta

Coating

Systems

Ltd.

..

1,079

27,094

23.6

Bank

of

America

Corp.

......

11,237

266,317

231.6

Best

Buy

Co.,

Inc.

.........

294

32,796

28.5

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

33

19,352

16.8

Booz

Allen

Hamilton

Holding

Corp.

...............

2,844

223,254

194.2

Bristol-Myers

Squibb

Co.

....

1,571

91,825

79.9

Cadence

Design

Systems,

Inc.

16,528

1,807,667

1,572.1

Capital

One

Financial

Corp.

..

451

32,959

28.7

Cerner

Corp.

............

2,234

156,581

136.2

Chipotle

Mexican

Grill,

Inc.

...

107

128,558

111.8

Cigna

Corp.

.............

162

27,049

23.5

Citizens

Financial

Group,

Inc.

.

10,847

295,581

257.1

Clorox

Co.

(The)

..........

1,040

215,540

187.4

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

1,542

110,130

95.8

Colgate-Palmolive

Co.

......

371

29,268

25.5

Comerica,

Inc.

...........

5,107

232,420

202.1

Crown

Holdings,

Inc.

.......

1,792

153,754

133.7

Cummins,

Inc.

...........

174

38,261

33.3

CVS

Health

Corp.

.........

267

14,976

13.0

DaVita,

Inc.

.............

522

45,022

39.2

Dentsply

Sirona,

Inc.

.......

7,140

336,937

293.0

DexCom,

Inc.

............

178

56,885

49.5

Dollar

General

Corp.

.......

476

99,346

86.4

Domino's

Pizza,

Inc.

.......

60

22,699

19.7

Dover

Corp.

.............

3,584

396,785

345.1

DTE

Energy

Co.

..........

4,118

508,244

442.0

eBay,

Inc.

..............

14,172

675,012

587.0

Edwards

Lifesciences

Corp.

..

3,709

265,898

231.2

Electronic

Arts,

Inc.

........

2,889

346,189

301.1

Entergy

Corp.

............

611

61,845

53.8

Evergy,

Inc.

.............

673

37,150

32.3

Exelon

Corp.

............

890

35,502

30.9

Expeditors

International

of

Washington,

Inc.

........

12,591

1,112,667

967.7

Facebook,

Inc.,

Class

A

.....

708

186,282

162.0

FactSet

Research

Systems,

Inc.

194

59,461

51.7

Fair

Isaac

Corp.

..........

948

371,095

322.7

FedEx

Corp.

............

257

66,684

58.0

Ferguson

plc

............

1,393

138,354

120.3

FMC

Corp.

..............

2,634

270,617

235.3

Fortinet,

Inc.

.............

2,969

327,689

285.0

Fortune

Brands

Home

&

Security,

Inc.

.................

1,424

115,159

100.1

Gilead

Sciences,

Inc.

.......

1,004

58,383

50.8

GoDaddy,

Inc.,

Class

A

.....

1,085

76,753

66.7

HCA

Healthcare,

Inc.

.......

3,907

484,234

421.1

Hewlett

Packard

Enterprise

Co.

9,079

78,443

68.2

Home

Depot,

Inc.

(The)

.....

600

160,026

139.2

IDEXX

Laboratories,

Inc.

....

150

63,723

55.4

Illinois

Tool

Works,

Inc.

......

470

92,064

80.1

BlackRock

Total

Factor

Fund

16

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Incyte

Corp.

.............

3,667

$

317,709

276.3

%

Insulet

Corp.

............

274

60,896

53.0

Intercontinental

Exchange,

Inc.

3,688

348,147

302.8

Intuit,

Inc.

..............

3,904

1,228,511

1,068.4

IQVIA

Holdings,

Inc.

.......

153

23,560

20.5

James

Hardie

Industries

plc,

CDI

................

9,979

242,289

210.7

Jazz

Pharmaceuticals

plc

....

135

19,454

16.9

JB

Hunt

Transport

Services,

Inc.

890

108,349

94.2

KeyCorp

...............

10,950

142,131

123.6

Keysight

Technologies,

Inc.

...

2,202

230,924

200.8

Lam

Research

Corp.

.......

175

59,864

52.1

Liberty

Media

Corp-Liberty

SiriusXM,

Class

C

.......

7,314

253,064

220.1

Lowe's

Cos.,

Inc.

.........

1,718

271,616

236.2

M&T

Bank

Corp.

..........

360

37,289

32.4

MarketAxess

Holdings,

Inc.

..

228

122,858

106.8

Masco

Corp.

............

3,352

179,667

156.3

McDonald's

Corp.

.........

760

161,880

140.8

Merck

&

Co.,

Inc.

.........

1,759

132,294

115.1

MetLife,

Inc.

.............

707

26,760

23.3

Microsoft

Corp.

...........

675

136,667

118.9

Moody's

Corp.

...........

1,390

365,431

317.8

MSCI,

Inc.

..............

710

248,386

216.0

Nasdaq,

Inc.

............

2,244

271,502

236.1

NetApp,

Inc.

.............

3,608

158,355

137.7

Neurocrine

Biosciences,

Inc.

..

2,980

294,037

255.7

NIKE,

Inc.,

Class

B

........

3,513

421,841

366.9

NRG

Energy,

Inc.

.........

8,485

268,296

233.3

Old

Dominion

Freight

Line,

Inc.

2,310

439,755

382.4

Parker-Hannifin

Corp.

......

790

164,604

143.2

Peloton

Interactive,

Inc.,

Class

A

189

20,830

18.1

Pentair

plc

..............

7,896

392,905

341.7

PepsiCo,

Inc.

............

5,145

685,777

596.4

Phillips

66

..............

1,020

47,593

41.4

PPG

Industries,

Inc.

.......

2,780

360,622

313.6

Procter

&

Gamble

Co.

(The)

..

61

8,363

7.3

Prudential

Financial,

Inc.

....

624

39,948

34.7

PulteGroup,

Inc.

..........

259

10,557

9.2

Regeneron

Pharmaceuticals,

Inc.

.................

140

76,098

66.2

Robert

Half

International,

Inc.

.

2,826

143,250

124.6

RPM

International,

Inc.

.....

3,883

328,774

285.9

S&P

Global,

Inc.

..........

1,140

367,912

320.0

SEI

Investments

Co.

.......

550

27,032

23.5

ServiceNow,

Inc.

..........

1,100

547,327

476.0

Sherwin-Williams

Co.

(The)

..

486

334,358

290.8

Signature

Bank

...........

903

72,908

63.4

Sirius

XM

Holdings,

Inc.

.....

11,350

65,035

56.6

Southern

Co.

(The)

........

1,910

109,729

95.4

STERIS

plc

.............

847

150,080

130.5

Stryker

Corp.

............

558

112,722

98.0

Synopsys,

Inc.

...........

1,074

229,686

199.7

Tenaris

SA

..............

7,340

35,027

30.5

Teradyne,

Inc.

...........

2,580

226,653

197.1

Texas

Instruments,

Inc.

.....

2,556

369,572

321.4

Thermo

Fisher

Scientific,

Inc.

.

80

37,850

32.9

Tractor

Supply

Co.

........

290

38,631

33.6

UGI

Corp.

..............

1,091

35,283

30.7

US

Bancorp

.............

1,010

39,339

34.2

Veeva

Systems,

Inc.,

Class

A

.

1,379

372,399

323.9

Verizon

Communications,

Inc.

.

2,193

124,979

108.7

Vertex

Pharmaceuticals,

Inc.

..

2,296

478,395

416.0

Vistra

Corp.

.............

7,490

130,101

113.1

Walmart,

Inc.

............

869

120,574

104.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

Waters

Corp.

............

510

$

113,638

98.8

%

West

Pharmaceutical

Services,

Inc.

.................

494

134,403

116.9

Workday,

Inc.,

Class

A

......

1,759

369,601

321.4

WW

Grainger,

Inc.

.........

280

98,006

85.2

Zions

Bancorp

NA

.........

7,965

257,031

223.5

26,660,380

Total

Reference

Entity

—

Long

............

52,503,601

Reference

Entity

—

Short

Australia

Commonwealth

Bank

of

Australia

.............

(4,144)

(201,198)

(175.0)

CSL

Ltd.

...............

(1,061)

(214,807)

(186.8)

Ramsay

Health

Care

Ltd.

....

(10,660)

(467,060)

(406.2)

Sonic

Healthcare

Ltd.

......

(10,870)

(266,239)

(231.5)

(1,149,304)

Belgium

Anheuser-Busch

InBev

SA/NV

(1,486)

(76,865)

(66.8)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(360)

(58,219)

(50.6)

Brazil

Wheaton

Precious

Metals

Corp.

(299)

(13,721)

(11.9)

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

..............

(1,616)

(49,767)

(43.3)

Canadian

National

Railway

Co.

(2,138)

(212,388)

(184.7)

Canadian

Natural

Resources

Ltd.

................

(1,730)

(27,528)

(23.9)

Dollarama,

Inc.

...........

(3,580)

(123,283)

(107.2)

Enbridge,

Inc.

............

(1,878)

(51,746)

(45.0)

Great-West

Lifeco,

Inc.

.....

(9,667)

(196,997)

(171.3)

Imperial

Oil

Ltd.

..........

(1,830)

(24,340)

(21.2)

Metro,

Inc.

..............

(10,540)

(491,677)

(427.6)

Power

Corp.

of

Canada

.....

(3,485)

(66,362)

(57.7)

Shopify,

Inc.,

Class

A

.......

(111)

(102,329)

(89.0)

TELUS

Corp.

............

(12,861)

(219,901)

(191.2)

(1,566,318)

China

Prosus

NV

..............

(10,647)

(1,062,954)

(924.4)

Denmark

DSV

Panalpina

A/S

........

(3,264)

(529,556)

(460.5)

Vestas

Wind

Systems

A/S

...

(1,589)

(272,615)

(237.1)

(802,171)

France

Aeroports

de

Paris

........

(1,255)

(122,811)

(106.8)

Airbus

SE

..............

(1,010)

(73,898)

(64.3)

Atos

SE

................

(306)

(20,905)

(18.2)

Bollore

SA

..............

(1)

(4)

(0.0)

Bouygues

SA

............

(10,228)

(335,411)

(291.7)

Capgemini

SE

...........

(1,800)

(207,842)

(180.7)

Getlink

SE

..............

(2,203)

(29,631)

(25.8)

Kering

SA

..............

(810)

(489,496)

(425.7)

L'Oreal

SA

..............

(316)

(102,127)

(88.8)

Natixis

SA

..............

(62,770)

(146,204)

(127.1)

Orpea

.................

(640)

(63,926)

(55.6)

Safran

SA

..............

(2,750)

(290,070)

(252.3)

Worldline

SA

............

(2,620)

(194,054)

(168.8)

(2,076,379)

BlackRock

Total

Factor

Fund

17

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Germany

adidas

AG

..............

(90)

$

(26,739)

(23.3)

%

BASF

SE

...............

(396)

(21,684)

(18.9)

Bayer

AG

(Registered)

......

(3,487)

(163,856)

(142.5)

Continental

AG

...........

(945)

(100,407)

(87.3)

Deutsche

Wohnen

SE

......

(1,110)

(56,025)

(48.7)

Infineon

Technologies

AG

....

(7,356)

(204,800)

(178.1)

KION

Group

AG

..........

(2,535)

(197,529)

(171.8)

LEG

Immobilien

AG

........

(1,720)

(232,463)

(202.2)

Uniper

SE

..............

(3,930)

(117,387)

(102.1)

(1,120,890)

Hong

Kong

AIA

Group

Ltd.

...........

(19,400)

(184,633)

(160.6)

CLP

Holdings

Ltd.

.........

(42,000)

(387,011)

(336.6)

Hong

Kong

&

China

Gas

Co.

Ltd.

................

(123,000)

(177,465)

(154.3)

MTR

Corp.

Ltd.

...........

(137,339)

(680,552)

(591.8)

Wharf

Real

Estate

Investment

Co.

Ltd.

..............

(82,000)

(315,600)

(274.5)

(1,745,261)

Italy

Atlantia

SpA

.............

(4,170)

(64,012)

(55.7)

Mediobanca

Banca

di

Credito

Finanziario

SpA

........

(4,620)

(32,801)

(28.5)

Nexi

SpA

...............

(9,404)

(144,766)

(125.9)

(241,579)

Japan

ANA

Holdings,

Inc.

........

(19,200)

(418,768)

(364.2)

Chugai

Pharmaceutical

Co.

Ltd.

(1,800)

(69,480)

(60.4)

Daifuku

Co.

Ltd.

..........

(2,600)

(268,106)

(233.2)

Dai-ichi

Life

Holdings,

Inc.

...

(5,600)

(83,638)

(72.7)

FamilyMart

Co.

Ltd.

........

(12,200)

(268,160)

(233.2)

Fast

Retailing

Co.

Ltd.

......

(500)

(348,771)

(303.3)

FUJIFILM

Holdings

Corp.

....

(4,400)

(224,367)

(195.1)

ITOCHU

Corp.

...........

(9,200)

(220,970)

(192.2)

Japan

Airlines

Co.

Ltd.

......

(17,600)

(307,399)

(267.3)

Japan

Post

Bank

Co.

Ltd.

....

(109,000)

(869,355)

(756.1)

Japan

Post

Holdings

Co.

Ltd.

.

(47,200)

(323,860)

(281.7)

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(50,100)

(455,929)

(396.5)

Keyence

Corp.

...........

(900)

(408,440)

(355.2)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(4,100)

(163,817)

(142.5)

Kirin

Holdings

Co.

Ltd.

......

(3,500)

(63,099)

(54.9)

Kubota

Corp.

............

(25,000)

(434,452)

(377.8)

M3,

Inc.

................

(3,400)

(229,621)

(199.7)

Mitsui

&

Co.

Ltd.

..........

(2,800)

(43,858)

(38.1)

Mitsui

Fudosan

Co.

Ltd.

.....

(4,600)

(78,327)

(68.1)

Murata

Manufacturing

Co.

Ltd.

(6,100)

(427,785)

(372.0)

Nexon

Co.

Ltd.

...........

(9,900)

(275,922)

(240.0)

Nippon

Paint

Holdings

Co.

Ltd.

(6,000)

(540,480)

(470.0)

Nippon

Telegraph

&

Telephone

Corp.

...............

(4,100)

(86,247)

(75.0)

Nomura

Holdings,

Inc.

......

(27,900)

(124,948)

(108.7)

Nomura

Research

Institute

Ltd.

(1,900)

(56,007)

(48.7)

NTT

DOCOMO,

Inc.

.......

(2,400)

(89,364)

(77.7)

Obic

Co.

Ltd.

............

(700)

(123,930)

(107.8)

Oriental

Land

Co.

Ltd.

......

(100)

(13,998)

(12.2)

Otsuka

Corp.

............

(1,000)

(45,952)

(40.0)

Pan

Pacific

International

Holdings

Corp.

.........

(19,400)

(411,638)

(358.0)

Resona

Holdings,

Inc.

......

(35,700)

(117,702)

(102.4)

Secom

Co.

Ltd.

...........

(600)

(50,687)

(44.1)

SG

Holdings

Co.

Ltd.

.......

(28,800)

(694,669)

(604.1)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Sharp

Corp.

.............

(1,400)

$

(16,189)

(14.1)

%

Shimano,

Inc.

............

(1,900)

(434,560)

(377.9)

Shionogi

&

Co.

Ltd.

........

(600)

(28,302)

(24.6)

Sompo

Holdings,

Inc.

......

(1,600)

(59,737)

(52.0)

Square

Enix

Holdings

Co.

Ltd.

.

(1,400)

(81,344)

(70.7)

Sumitomo

Chemical

Co.

Ltd.

..

(181,600)

(594,047)

(516.6)

Sumitomo

Corp.

..........

(2,600)

(28,446)

(24.7)

Sumitomo

Metal

Mining

Co.

Ltd.

(15,200)

(472,473)

(410.9)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

.................

(4,400)

(118,305)

(102.9)

Suzuki

Motor

Corp.

........

(5,900)

(253,391)

(220.4)

T&D

Holdings,

Inc.

........

(37,500)

(374,778)

(325.9)

Takeda

Pharmaceutical

Co.

Ltd.

(21,800)

(673,677)

(585.9)

Tokio

Marine

Holdings,

Inc.

...

(900)

(40,225)

(35.0)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(68,500)

(176,756)

(153.7)

Tokyo

Gas

Co.

Ltd.

........

(400)

(9,064)

(7.9)

Toyota

Industries

Corp.

.....

(1,500)

(96,935)

(84.3)

Unicharm

Corp.

..........

(2,900)

(134,186)

(116.7)

Yamato

Holdings

Co.

Ltd.

....

(9,200)

(243,528)

(211.8)

(12,175,689)

Macau

Galaxy

Entertainment

Group

Ltd.

................

(23,000)

(151,997)

(132.2)

Netherlands

ASML

Holding

NV

.........

(407)

(147,254)

(128.0)

Heineken

NV

............

(5,440)

(481,536)

(418.8)

Koninklijke

Vopak

NV

......

(2,460)

(127,867)

(111.2)

NN

Group

NV

............

(2,617)

(91,074)

(79.2)

(847,731)

Norway

Mowi

ASA

..............

(24,425)

(385,866)

(335.6)

South

Korea

Celltrion

Healthcare

Co.

Ltd.

..

(3,937)

(295,344)

(256.8)

Hyundai

Motor

Co.

........

(2,539)

(371,649)

(323.2)

LG

Chem

Ltd.

............

(258)

(140,682)

(122.3)

Samsung

SDI

Co.

Ltd.

......

(192)

(75,636)

(65.8)

SK

Holdings

Co.

Ltd.

.......

(799)

(130,116)

(113.2)

SK

Hynix,

Inc.

...........

(3,156)

(223,895)

(194.7)

SK

Innovation

Co.

Ltd.

......

(1,692)

(189,121)

(164.5)

(1,426,443)

Spain

Amadeus

IT

Group

SA

......

(2,730)

(130,074)

(113.1)

CaixaBank

SA

...........

(18,129)

(33,078)

(28.8)

Cellnex

Telecom

SA

.......

(8,472)

(543,826)

(473.0)

Ferrovial

SA

.............

(5,650)

(122,365)

(106.4)

Naturgy

Energy

Group

SA

...

(21,460)

(398,687)

(346.7)

(1,228,030)

Sweden

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(4,840)

(65,468)

(56.9)

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

(6,853)

(76,510)

(66.5)

Telia

Co.

AB

.............

(80,195)

(306,838)

(266.8)

(448,816)

Switzerland

ABB

Ltd.

(Registered)

......

(8,742)

(212,125)

(184.5)

Barry

Callebaut

AG

(Registered)

(40)

(82,586)

(71.8)

Credit

Suisse

Group

AG

(Registered)

...........

(40,900)

(385,743)

(335.5)

BlackRock

Total

Factor

Fund

18

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Temenos

AG

(Registered)

...

(2,050)

$

(220,317)

(191.6)

%

UBS

Group

AG

(Registered)

..

(30,929)

(360,074)

(313.1)

(1,260,845)

Taiwan

Catcher

Technology

Co.

Ltd.

..

(109,000)

(689,045)

(599.3)

Formosa

Plastics

Corp.

.....

(40,000)

(110,727)

(96.3)

Nanya

Technology

Corp.

....

(161,000)

(326,258)

(283.7)

(1,126,030)

United

Kingdom

Admiral

Group

plc

.........

(2,145)

(76,413)

(66.5)

CNH

Industrial

NV

.........

(4,450)

(34,504)

(30.0)

Fiat

Chrysler

Automobiles

NV

.

(19,740)

(242,163)

(210.6)

Imperial

Brands

plc

........

(2,580)

(40,835)

(35.5)

Informa

plc

..............

(34,910)

(189,409)

(164.7)

Intertek

Group

plc

.........

(1,140)

(82,115)

(71.4)

SSE

plc

................

(6,433)

(105,498)

(91.8)

Taylor

Wimpey

plc

.........

(39,292)

(53,834)

(46.8)

Tesco

plc

...............

(61,090)

(162,594)

(141.4)

Wm

Morrison

Supermarkets

plc

(41,460)

(87,517)

(76.1)

(1,074,882)

United

States

3M

Co.

................

(1,004)

(160,600)

(139.7)

Albemarle

Corp.

..........

(1,254)

(116,885)

(101.7)

Altria

Group,

Inc.

..........

(335)

(12,087)

(10.5)

American

International

Group,

Inc.

.................

(5,993)

(188,720)

(164.1)

AmerisourceBergen

Corp.

...

(3,300)

(317,031)

(275.7)

Analog

Devices,

Inc.

.......

(2,670)

(316,475)

(275.2)

Aptiv

plc

...............

(5,204)

(502,134)

(436.7)

Athene

Holding

Ltd.,

Class

A

..

(4,210)

(135,057)

(117.5)

Ball

Corp.

..............

(630)

(56,070)

(48.8)

Becton

Dickinson

and

Co.

...

(2,530)

(584,759)

(508.5)

BioMarin

Pharmaceutical,

Inc.

.

(2,438)

(181,460)

(157.8)

Black

Knight,

Inc.

.........

(6,324)

(556,196)

(483.7)

Boston

Scientific

Corp.

......

(5,826)

(199,657)

(173.6)

Broadridge

Financial

Solutions,

Inc.

.................

(880)

(121,088)

(105.3)

Brown-Forman

Corp.,

Class

B

.

(1,910)

(133,146)

(115.8)

Cable

One,

Inc.

..........

(120)

(207,823)

(180.7)

Cabot

Oil

&

Gas

Corp.

......

(3,860)

(68,669)

(59.7)

CarMax,

Inc.

............

(2,380)

(205,727)

(178.9)

Centene

Corp.

...........

(999)

(59,041)

(51.3)

CenterPoint

Energy,

Inc.

....

(8,080)

(170,730)

(148.5)

CenturyLink,

Inc.

..........

(3,880)

(33,446)

(29.1)

CF

Industries

Holdings,

Inc.

..

(1,990)

(54,944)

(47.8)

Charles

Schwab

Corp.

(The)

..

(3,850)

(158,274)

(137.6)

Chevron

Corp.

...........

(3,520)

(244,640)

(212.8)

Church

&

Dwight

Co.,

Inc.

...

(1,946)

(172,007)

(149.6)

Cincinnati

Financial

Corp.

....

(2,420)

(171,191)

(148.9)

Cisco

Systems,

Inc.

........

(9,019)

(323,782)

(281.6)

Comcast

Corp.,

Class

A

.....

(4,398)

(185,772)

(161.6)

Consolidated

Edison,

Inc.

....

(210)

(16,483)

(14.3)

Cooper

Cos.,

Inc.

(The)

.....

(220)

(70,191)

(61.0)

Copart,

Inc.

.............

(2,215)

(244,447)

(212.6)

Corning,

Inc.

............

(3,140)

(100,386)

(87.3)

Dell

Technologies,

Inc.,

Class

C

(2,716)

(163,666)

(142.3)

Discovery,

Inc.,

Class

C

.....

(2,560)

(46,899)

(40.8)

Dollar

Tree,

Inc.

..........

(1,237)

(111,726)

(97.2)

Dominion

Energy,

Inc.

......

(520)

(41,777)

(36.3)

DR

Horton,

Inc.

...........

(639)

(42,692)

(37.1)

Eastman

Chemical

Co.

.....

(1,577)

(127,485)

(110.9)

Edison

International

........

(13,965)

(782,599)

(680.6)

Elanco

Animal

Health,

Inc.

...

(2,091)

(64,842)

(56.4)

Shares

Value

%

of

Basket

Value

United

States

(continued)

EPAM

Systems,

Inc.

.......

(565)

$

(174,557)

(151.8)

%

Equifax,

Inc.

.............

(322)

(43,985)

(38.3)

Everest

Re

Group

Ltd.

......

(690)

(135,985)

(118.3)

Exact

Sciences

Corp.

......

(950)

(117,639)

(102.3)

Expedia

Group,

Inc.

........

(1,520)

(143,108)

(124.5)

Fastenal

Co.

............

(5,272)

(227,909)

(198.2)

Fidelity

National

Information

Services,

Inc.

..........

(3,540)

(441,049)

(383.6)

Fiserv,

Inc.

..............

(2,224)

(212,325)

(184.7)

FLIR

Systems,

Inc.

........

(1,400)

(48,566)

(42.2)

Ford

Motor

Co.

...........

(48,117)

(371,944)

(323.5)

Fox

Corp.,

Class

B

........

(4,050)

(105,867)

(92.1)

Freeport-McMoRan,

Inc.

....

(19,399)

(336,379)

(292.5)

Garmin

Ltd.

.............

(1,190)

(123,784)

(107.7)

Genuine

Parts

Co.

........

(2,367)

(214,048)

(186.2)

Global

Payments,

Inc.

......

(1,830)

(288,664)

(251.0)

Globe

Life,

Inc.

...........

(2,276)

(184,561)

(160.5)

Guidewire

Software,

Inc.

....

(1,796)

(172,614)

(150.1)

Hasbro,

Inc.

.............

(3,570)

(295,310)

(256.8)

Hormel

Foods

Corp.

.......

(2,470)

(120,264)

(104.6)

Howmet

Aerospace,

Inc.

....

(6,913)

(119,249)

(103.7)

Huntington

Ingalls

Industries,

Inc.

.................

(920)

(135,682)

(118.0)

IDEX

Corp.

.............

(320)

(54,525)

(47.4)

IHS

Markit

Ltd.

...........

(3,044)

(246,168)

(214.1)

International

Flavors

&

Fragrances,

Inc.

........

(6,458)

(662,978)

(576.6)

Intuitive

Surgical,

Inc.

......

(4)

(2,668)

(2.3)

Jacobs

Engineering

Group,

Inc.

(1,300)

(123,500)

(107.4)

Johnson

&

Johnson

........

(365)

(50,045)

(43.5)

Johnson

Controls

International

plc

.................

(1,400)

(59,094)

(51.4)

Kellogg

Co.

.............

(1,160)

(72,952)

(63.4)

Keurig

Dr

Pepper,

Inc.

......

(9,179)

(246,915)

(214.7)

Kraft

Heinz

Co.

(The)

.......

(4,594)

(140,530)

(122.2)

L3Harris

Technologies,

Inc.

...

(1,170)

(188,499)

(163.9)

Laboratory

Corp.

of

America

Holdings

.............

(69)

(13,784)

(12.0)

Lear

Corp.

..............

(1,620)

(195,712)

(170.2)

Live

Nation

Entertainment,

Inc.

(1,019)

(49,727)

(43.2)

LyondellBasell

Industries

NV,

Class

A

..............

(2,549)

(174,479)

(151.7)

Marvell

Technology

Group

Ltd.

(15,100)

(566,401)

(492.6)

Maxim

Integrated

Products,

Inc.

(1,690)

(117,709)

(102.4)

Microchip

Technology,

Inc.

...

(2,561)

(269,110)

(234.0)

Mylan

NV

..............

(10,779)

(156,727)

(136.3)

Northern

Trust

Corp.

.......

(3,700)

(289,599)

(251.9)

Packaging

Corp.

of

America

..

(2,788)

(319,198)

(277.6)

Paycom

Software,

Inc.

......

(820)

(298,554)

(259.6)

Perrigo

Co.

plc

...........

(12,118)

(531,617)

(462.3)

Principal

Financial

Group,

Inc.

.

(3,787)

(148,526)

(129.2)

PTC,

Inc.

...............

(1,679)

(140,835)

(122.5)

Quest

Diagnostics,

Inc.

.....

(520)

(63,513)

(55.2)

Raymond

James

Financial,

Inc.

(638)

(48,769)

(42.4)

Roper

Technologies,

Inc.

....

(388)

(144,080)

(125.3)

Ross

Stores,

Inc.

.........

(4,480)

(381,562)

(331.8)

Sarepta

Therapeutics,

Inc.

...

(1,464)

(198,972)

(173.0)

Seagen,

Inc.

............

(700)

(116,760)

(101.5)

Teleflex,

Inc.

.............

(150)

(47,735)

(41.5)

Tesla,

Inc.

..............

(359)

(139,306)

(121.2)

Tiffany

&

Co.

............

(1,172)

(153,344)

(133.4)

TJX

Cos.,

Inc.

(The)

.......

(9,780)

(496,824)

(432.1)

Trade

Desk,

Inc.

(The),

Class

A

(585)

(331,373)

(288.2)

Trimble,

Inc.

.............

(1,048)

(50,440)

(43.9)

Truist

Financial

Corp.

.......

(4,214)

(177,494)

(154.4)

BlackRock

Total

Factor

Fund

19

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Twilio,

Inc.,

Class

A

........

(442)

$

(123,305)

(107.2)

%

Twitter,

Inc.

.............

(6,609)

(273,348)

(237.7)

Tyler

Technologies,

Inc.

.....

(160)

(61,501)

(53.5)

UnitedHealth

Group,

Inc.

....

(737)

(224,888)

(195.6)

Vail

Resorts,

Inc.

..........

(1,540)

(357,342)

(310.8)

Varian

Medical

Systems,

Inc.

.

(540)

(93,312)

(81.2)

VF

Corp.

...............

(110)

(7,392)

(6.4)

Visa,

Inc.,

Class

A

.........

(2,700)

(490,617)

(426.7)

Voya

Financial,

Inc.

........

(4,930)

(236,295)

(205.5)

Vulcan

Materials

Co.

.......

(1,160)

(168,014)

(146.1)

Walt

Disney

Co.

(The)

......

(7,723)

(936,414)

(814.4)

WestRock

Co.

...........

(3,838)

(144,117)

(125.3)

Williams

Cos.,

Inc.

(The)

....

(2,190)

(42,026)

(36.5)

Xcel

Energy,

Inc.

..........

(1,390)

(97,342)

(84.7)

Xylem,

Inc.

..............

(1,820)

(158,595)

(137.9)

(22,348,625)

Total

Reference

Entity

—

Short

............

(52,388,615)

Net

Value

of

Reference

Entity

—

Citibank

NA

..

$

114,986

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Credit

Suisse

International,

as

of

October

31,

2020,

expiration

date

02/08/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

4,261

37,346

(53.3)

Aristocrat

Leisure

Ltd.

......

1,340

26,983

(38.5)

Coca-Cola

Amatil

Ltd.

......

3,954

34,565

(49.4)

Cochlear

Ltd.

............

913

136,270

(194.6)

Macquarie

Group

Ltd.

......

3,570

318,301

(454.5)

QBE

Insurance

Group

Ltd.

...

36,548

211,345

(301.8)

Rio

Tinto

plc

.............

1,752

99,096

(141.5)

Santos

Ltd.

.............

73,296

243,664

(347.9)

Wesfarmers

Ltd.

..........

8,107

262,421

(374.7)

1,369,991

Austria

OMV

AG

...............

19,565

452,272

(645.8)

Belgium

Etablissements

Franz

Colruyt

NV

.................

624

36,933

(52.7)

Groupe

Bruxelles

Lambert

SA

.

1,476

121,044

(172.8)

157,977

Canada

BCE,

Inc.

...............

4,150

166,772

(238.1)

Constellation

Software,

Inc.

..

70

73,483

(104.9)

Hydro

One

Ltd.

...........

8,540

186,594

(266.4)

Loblaw

Cos.

Ltd.

..........

2,380

118,473

(169.2)

Manulife

Financial

Corp.

.....

48,730

660,560

(943.2)

Pembina

Pipeline

Corp.

.....

3,823

80,030

(114.3)

Rogers

Communications,

Inc.,

Class

B

..............

7,084

287,763

(410.9)

Sun

Life

Financial,

Inc.

......

9,150

364,063

(519.8)

1,937,738

Denmark

Carlsberg

A/S,

Class

B

.....

5,302

671,344

(958.6)

Genmab

A/S

............

207

69,143

(98.7)

Novo

Nordisk

A/S,

Class

B

...

4,578

291,919

(416.8)

Novozymes

A/S,

Class

B

....

2,335

140,430

(200.5)

1,172,836

Shares

Value

%

of

Basket

Value

Finland

Fortum

OYJ

.............

7,620

$

143,230

(204.5)

%

Stora

Enso

OYJ,

Class

R

....

11,590

169,132

(241.5)

312,362

France

BNP

Paribas

SA

..........

2,880

100,439

(143.4)

Bollore

SA

..............

7,567

27,124

(38.7)

Carrefour

SA

............

1,854

28,815

(41.1)

Cie

de

Saint-Gobain

.......

5,112

199,130

(284.3)

Credit

Agricole

SA

.........

7,910

62,572

(89.4)

Engie

SA

...............

21,970

265,717

(379.4)

Ipsen

SA

...............

785

71,498

(102.1)

Legrand

SA

.............

8,701

644,042

(919.6)

Orange

SA

..............

55,361

621,683

(887.7)

Peugeot

SA

.............

15,745

282,846

(403.9)

Sartorius

Stedim

Biotech

....

300

113,763

(162.4)

Schneider

Electric

SE

......

2,400

291,616

(416.4)

Sodexo

SA

.............

2,670

171,511

(244.9)

Thales

SA

..............

410

26,716

(38.2)

Veolia

Environnement

SA

....

8,796

163,717

(233.8)

3,071,189

Germany

Brenntag

AG

............

1,302

83,219

(118.8)

Deutsche

Boerse

AG

.......

704

103,737

(148.1)

Deutsche

Post

AG

(Registered)

5,867

260,131

(371.4)

Deutsche

Telekom

AG

(Registered)

...........

21,428

325,679

(465.0)

Evonik

Industries

AG

.......

7,350

176,965

(252.7)

GEA

Group

AG

...........

683

22,746

(32.5)

HeidelbergCement

AG

......

7,039

402,585

(574.9)

HOCHTIEF

AG

...........

1,215

89,382

(127.6)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

103

24,141

(34.5)

Puma

SE

...............

2,474

216,582

(309.3)

Symrise

AG

.............

1,959

241,565

(344.9)

Telefonica

Deutschland

Holding

AG

.................

55,400

139,734

(199.5)

2,086,466

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

22,000

102,157

(145.9)

Hang

Seng

Bank

Ltd.

......

8,000

123,248

(176.0)

Swire

Pacific

Ltd.,

Class

A

...

5,500

25,081

(35.8)

Techtronic

Industries

Co.

Ltd.

.

28,000

377,142

(538.5)

627,628

Israel

Check

Point

Software

Technologies

Ltd.

.......

190

21,576

(30.8)

Italy

Assicurazioni

Generali

SpA

...

4,240

56,876

(81.2)

Enel

SpA

...............

10,030

79,744

(113.9)

Eni

SpA

................

4,580

32,083

(45.8)

Intesa

Sanpaolo

SpA

.......

51,090

84,815

(121.1)

Moncler

SpA

............

1,938

77,543

(110.7)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

......

740

38,365

(54.8)

369,426

Japan

AGC,

Inc.

..............

27,500

858,714

(1,226.2)

Ajinomoto

Co.,

Inc.

........

14,800

297,343

(424.6)

Asahi

Group

Holdings

Ltd.

...

3,200

99,031

(141.4)

Bridgestone

Corp.

.........

9,100

296,615

(423.5)

BlackRock

Total

Factor

Fund

20

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Brother

Industries

Ltd.

......

1,800

$

27,814

(39.7)

%

Denso

Corp.

............

13,200

615,075

(878.3)

East

Japan

Railway

Co.

.....

3,100

162,110

(231.5)

ENEOS

Holdings,

Inc.

......

106,500

359,361

(513.1)

Hitachi

Ltd.

.............

19,100

643,752

(919.2)

Hoshizaki

Corp.

..........

600

47,916

(68.4)

Kose

Corp.

.............

700

89,233

(127.4)

Kyocera

Corp.

...........

6,500

357,971

(511.2)

Kyushu

Railway

Co.

.......

1,100

23,398

(33.4)

MEIJI

Holdings

Co.

Ltd.

.....

10,900

789,700

(1,127.6)

MINEBEA

MITSUMI,

Inc.

....

17,200

310,655

(443.6)

Mitsubishi

Chemical

Holdings

Corp.

...............

800

4,502

(6.4)

Mitsubishi

Electric

Corp.

.....

44,900

578,262

(825.7)

Mitsubishi

Heavy

Industries

Ltd.

38,200

820,736

(1,171.9)

Mizuho

Financial

Group,

Inc.

..

6,420

79,043

(112.9)

NEC

Corp.

..............

4,300

216,592

(309.3)

Nippon

Steel

Corp.

........

2,600

25,218

(36.0)

Nissin

Foods

Holdings

Co.

Ltd.

4,600

398,312

(568.8)

Nitori

Holdings

Co.

Ltd.

.....

1,000

205,557

(293.5)

Nitto

Denko

Corp.

.........

8,300

583,123

(832.6)

Olympus

Corp.

...........

1,000

19,144

(27.3)

Ono

Pharmaceutical

Co.

Ltd.

.

15,200

433,583

(619.1)

Otsuka

Holdings

Co.

Ltd.

....

8,000

296,292

(423.1)

Ricoh

Co.

Ltd.

...........

4,500

29,552

(42.2)

Rohm

Co.

Ltd.

...........

3,000

230,661

(329.4)

Sega

Sammy

Holdings,

Inc.

..

1,800

22,557

(32.2)

Sekisui

House

Ltd.

........

8,400

139,552

(199.3)

Seven

&

i

Holdings

Co.

Ltd.

..

1,000

30,395

(43.4)

Shimadzu

Corp.

..........

6,300

180,138

(257.2)

Shimizu

Corp.

...........

3,500

24,302

(34.7)

Subaru

Corp.

............

6,900

126,636

(180.8)

Sumitomo

Electric

Industries

Ltd.

................

70,600

779,430

(1,112.9)

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

8,600

238,064

(339.9)

TDK

Corp.

..............

800

94,081

(134.3)

Terumo

Corp.

............

3,000

110,412

(157.7)

Toray

Industries,

Inc.

.......

68,200

308,598

(440.7)

Trend

Micro,

Inc.

..........

1,500

84,023

(120.0)

West

Japan

Railway

Co.

....

100

4,290

(6.1)

Yakult

Honsha

Co.

Ltd.

.....

4,200

203,251

(290.2)

11,244,994

Luxembourg

ArcelorMittal

SA

..........

2,229

30,225

(43.1)

Netherlands

Akzo

Nobel

NV

...........

3,518

338,391

(483.2)

Koninklijke

Ahold

Delhaize

NV

.

2,057

56,394

(80.5)

Koninklijke

DSM

NV

.......

138

22,070

(31.5)

Koninklijke

Philips

NV

......

11,680

540,980

(772.5)

Randstad

NV

............

493

24,599

(35.1)

Royal

Dutch

Shell

plc,

Class

A

.

22,360

281,278

(401.6)

Wolters

Kluwer

NV

........

1,247

100,965

(144.2)

1,364,677

Norway

Equinor

ASA

............

1,817

23,184

(33.1)

Orkla

ASA

..............

31,927

301,385

(430.3)

324,569

Shares

Value

%

of

Basket

Value

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

7,400

$

45,641

(65.2)

%

United

Overseas

Bank

Ltd.

...

4,700

65,304

(93.2)

110,945

South

Africa

Anglo

American

plc

........

14,684

344,533

(491.9)

South

Korea

KB

Financial

Group,

Inc.

....

10,276

367,570

(524.8)

Kia

Motors

Corp.

..........

3,675

164,821

(235.3)

KT&G

Corp.

.............

4,636

331,030

(472.7)

LG

Electronics,

Inc.

........

3,950

293,641

(419.3)

NCSoft

Corp.

............

249

171,084

(244.3)

Samsung

Electronics

Co.

Ltd.

(Preference)

..........

3,740

166,374

(237.6)

SK

Telecom

Co.

Ltd.

.......

590

111,881

(159.8)

1,606,401

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

115,073

332,003

(474.1)

Banco

Santander

SA

.......

20,320

40,692

(58.1)

Endesa

SA

.............

857

22,993

(32.8)

Iberdrola

SA

.............

15,370

181,483

(259.1)

Industria

de

Diseno

Textil

SA

..

16,757

413,719

(590.7)

990,890

Sweden

Alfa

Laval

AB

............

9,800

199,055

(284.2)

Lundin

Energy

AB

.........

3,928

75,091

(107.2)

SKF

AB,

Class

B

..........

9,419

192,816

(275.3)

Swedish

Match

AB

........

4,302

323,436

(461.9)

790,398

Switzerland

Geberit

AG

(Registered)

.....

520

295,968

(422.6)

Givaudan

SA

(Registered)

...

75

305,845

(436.7)

LafargeHolcim

Ltd.

(Registered)

3,700

158,803

(226.8)

Novartis

AG

(Registered)

....

4,308

335,690

(479.3)

Sonova

Holding

AG

(Registered)

194

46,049

(65.7)

STMicroelectronics

NV

.....

7,980

243,424

(347.6)

Swatch

Group

AG

(The)

.....

1,507

319,139

(455.7)

Swisscom

AG

(Registered)

...

76

38,654

(55.2)

1,743,572

United

Kingdom

Associated

British

Foods

plc

..

12,759

280,593

(400.7)

Aviva

plc

...............

123,113

410,653

(586.4)

Barclays

plc

.............

372,100

515,759

(736.4)

Berkeley

Group

Holdings

plc

..

2,013

105,840

(151.1)

BP

plc

.................

34,390

87,718

(125.3)

Bunzl

plc

...............

664

20,641

(29.5)

CK

Hutchison

Holdings

Ltd.

..

35,000

211,399

(301.9)

Compass

Group

plc

........

5,442

74,489

(106.4)

DCC

plc

...............

3,080

200,145

(285.8)

Experian

plc

.............

8,724

319,594

(456.3)

GlaxoSmithKline

plc

.......

23,800

397,424

(567.5)

InterContinental

Hotels

Group

plc

.................

338

17,174

(24.5)

RSA

Insurance

Group

plc

....

78,470

430,926

(615.3)

Sage

Group

plc

(The)

......

25,690

211,375

(301.8)

Unilever

NV

.............

4,287

241,674

(345.1)

3,525,404

BlackRock

Total

Factor

Fund

21

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

ABIOMED,

Inc.

...........

400

$

100,752

(143.9)

%

Adobe,

Inc.

.............

501

223,997

(319.8)

Advance

Auto

Parts,

Inc.

....

310

45,657

(65.2)

Agilent

Technologies,

Inc.

....

1,920

196,013

(279.9)

Align

Technology,

Inc.

......

154

65,616

(93.7)

Alliant

Energy

Corp.

.......

13,786

762,090

(1,088.2)

Allstate

Corp.

(The)

........

10,228

907,735

(1,296.1)

Amazon.com,

Inc.

.........

61

185,205

(264.4)

Ameren

Corp.

............

857

69,520

(99.3)

American

Financial

Group,

Inc.

11

824

(1.2)

American

Water

Works

Co.,

Inc.

2,110

317,576

(453.5)

Ameriprise

Financial,

Inc.

....

767

123,357

(176.1)

AMETEK,

Inc.

...........

3,447

338,495

(483.3)

Applied

Materials,

Inc.

......

13,321

789,003

(1,126.6)

Assurant,

Inc.

............

260

32,336

(46.2)

Atmos

Energy

Corp.

.......

1,555

142,547

(203.5)

Autodesk,

Inc.

...........

2,052

483,328

(690.1)

Avery

Dennison

Corp.

......

1,845

255,330

(364.6)

Berkshire

Hathaway,

Inc.,

Class

B

..................

168

33,919

(48.4)

Best

Buy

Co.,

Inc.

.........

3,811

425,117

(607.0)

Biogen,

Inc.

.............

457

115,196

(164.5)

Brown

&

Brown,

Inc.

.......

5,970

259,755

(370.9)

Cadence

Design

Systems,

Inc.

1,305

142,728

(203.8)

Capital

One

Financial

Corp.

..

2,359

172,396

(246.2)

Cerner

Corp.

............

9,993

700,409

(1,000.1)

Chipotle

Mexican

Grill,

Inc.

...

162

194,640

(277.9)

Citizens

Financial

Group,

Inc.

.

1,730

47,143

(67.3)

Citrix

Systems,

Inc.

........

862

97,639

(139.4)

Clorox

Co.

(The)

..........

43

8,912

(12.7)

Colgate-Palmolive

Co.

......

1,920

151,469

(216.3)

Cummins,

Inc.

...........

947

208,236

(297.3)

CVS

Health

Corp.

.........

2,049

114,928

(164.1)

Dentsply

Sirona,

Inc.

.......

50

2,360

(3.4)

Domino's

Pizza,

Inc.

.......

146

55,235

(78.9)

Dover

Corp.

.............

1,937

214,445

(306.2)

DTE

Energy

Co.

..........

494

60,969

(87.1)

eBay,

Inc.

..............

659

31,388

(44.8)

Edwards

Lifesciences

Corp.

..

680

48,749

(69.6)

Electronic

Arts,

Inc.

........

2,140

256,436

(366.2)

Emerson

Electric

Co.

.......

3,050

197,610

(282.2)

EOG

Resources,

Inc.

.......

2,023

69,268

(98.9)

Equitable

Holdings,

Inc.

.....

2,083

44,764

(63.9)

Evergy,

Inc.

.............

1,427

78,770

(112.5)

Exelon

Corp.

............

5,006

199,689

(285.1)

F5

Networks,

Inc.

.........

2,408

320,120

(457.1)

Facebook,

Inc.,

Class

A

.....

1,130

297,314

(424.5)

Fair

Isaac

Corp.

..........

254

99,428

(142.0)

Fortune

Brands

Home

&

Security,

Inc.

.................

2,028

164,004

(234.2)

General

Electric

Co.

.......

26,460

196,333

(280.3)

General

Motors

Co.

........

3,673

126,829

(181.1)

GoDaddy,

Inc.,

Class

A

.....

4,420

312,671

(446.5)

Hershey

Co.

(The)

........

2,900

398,634

(569.2)

Hologic,

Inc.

.............

1,112

76,528

(109.3)

Home

Depot,

Inc.

(The)

.....

599

159,759

(228.1)

IDEXX

Laboratories,

Inc.

....

391

166,105

(237.2)

Illinois

Tool

Works,

Inc.

......

1,530

299,696

(427.9)

Incyte

Corp.

.............

1,780

154,219

(220.2)

Insulet

Corp.

............

26

5,779

(8.2)

Intel

Corp.

..............

2,109

93,387

(133.3)

Intercontinental

Exchange,

Inc.

1,396

131,782

(188.2)

Jazz

Pharmaceuticals

plc

....

787

113,407

(161.9)

JB

Hunt

Transport

Services,

Inc.

212

25,809

(36.8)

Jones

Lang

LaSalle,

Inc.

....

387

43,677

(62.4)

Shares

Value

%

of

Basket

Value

United

States

(continued)

KeyCorp

...............

18,410

$

238,962

(341.2)

%

Knight-Swift

Transportation

Holdings,

Inc.

..........

573

21,768

(31.1)

Kroger

Co.

(The)

..........

13,484

434,320

(620.2)

Lam

Research

Corp.

.......

30

10,262

(14.6)

Lowe's

Cos.,

Inc.

.........

517

81,738

(116.7)

M&T

Bank

Corp.

..........

100

10,358

(14.8)

Markel

Corp.

............

60

55,968

(79.9)

Masco

Corp.

............

2,460

131,856

(188.3)

Merck

&

Co.,

Inc.

.........

2,565

192,914

(275.5)

Microsoft

Corp.

...........

1,656

335,290

(478.8)

Molina

Healthcare,

Inc.

.....

405

75,520

(107.8)

Mondelez

International,

Inc.,

Class

A

..............

1,777

94,394

(134.8)

Monster

Beverage

Corp.

....

617

47,244

(67.5)

Moody's

Corp.

...........

725

190,603

(272.2)

Nasdaq,

Inc.

............

1,793

216,935

(309.8)

Netflix,

Inc.

..............

168

79,924

(114.1)

Neurocrine

Biosciences,

Inc.

..

47

4,637

(6.6)

Nielsen

Holdings

plc

.......

4,560

61,606

(88.0)

NIKE,

Inc.,

Class

B

........

697

83,696

(119.5)

NiSource,

Inc.

...........

1,974

45,343

(64.7)

Norwegian

Cruise

Line

Holdings

Ltd.

................

3,340

55,544

(79.3)

NVIDIA

Corp.

............

76

38,103

(54.4)

Old

Dominion

Freight

Line,

Inc.

220

41,881

(59.8)

O'Reilly

Automotive,

Inc.

....

557

243,186

(347.2)

Owens

Corning

...........

1,140

74,636

(106.6)

PACCAR,

Inc.

...........

528

45,081

(64.4)

Paychex,

Inc.

............

5,584

459,284

(655.8)

PG&E

Corp.

.............

7,393

70,677

(100.9)

Phillips

66

..............

3,404

158,831

(226.8)

Procter

&

Gamble

Co.

(The)

..

570

78,147

(111.6)

PulteGroup,

Inc.

..........

2,901

118,245

(168.8)

QUALCOMM,

Inc.

.........

842

103,869

(148.3)

Regions

Financial

Corp.

.....

8,040

106,932

(152.7)

Robert

Half

International,

Inc.

.

654

33,151

(47.3)

Rockwell

Automation,

Inc.

....

1,896

449,580

(641.9)

RPM

International,

Inc.

.....

4,010

339,527

(484.8)

S&P

Global,

Inc.

..........

1,264

407,931

(582.5)

SEI

Investments

Co.

.......

543

26,688

(38.1)

Sensata

Technologies

Holding

plc

.................

1,290

56,386

(80.5)

ServiceNow,

Inc.

..........

139

69,162

(98.8)

Sherwin-Williams

Co.

(The)

..

320

220,154

(314.4)

Signature

Bank

...........

744

60,071

(85.8)

Starbucks

Corp.

..........

3,066

266,619

(380.7)

Steel

Dynamics,

Inc.

.......

2,827

88,994

(127.1)

Stryker

Corp.

............

546

110,297

(157.5)

Synopsys,

Inc.

...........

4,401

941,198

(1,343.9)

Tenaris

SA

..............

41,000

195,653

(279.4)

Teradyne,

Inc.

...........

2,362

207,502

(296.3)

Texas

Instruments,

Inc.

.....

375

54,221

(77.4)

Tractor

Supply

Co.

........

230

30,638

(43.7)

Universal

Health

Services,

Inc.,

Class

B

..............

17

1,862

(2.7)

VeriSign,

Inc.

............

1,717

327,432

(467.5)

Vistra

Corp.

.............

6,897

119,801

(171.1)

West

Pharmaceutical

Services,

Inc.

.................

2,609

709,831

(1,013.6)

WW

Grainger,

Inc.

.........

443

155,059

(221.4)

BlackRock

Total

Factor

Fund

22

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zebra

Technologies

Corp.,

Class

A

..................

294

$

83,390

(119.1)

%

21,119,933

Total

Reference

Entity

—

Long

............

54,776,002

Reference

Entity

—

Short

Australia

CSL

Ltd.

...............

(688)

(139,291)

198.9

Glencore

plc

............

(74,919)

(151,129)

215.8

Insurance

Australia

Group

Ltd.

(102,120)

(342,788)

489.5

National

Australia

Bank

Ltd.

..

(17,394)

(227,565)

324.9

Ramsay

Health

Care

Ltd.

....

(760)

(33,299)

47.5

Sonic

Healthcare

Ltd.

......

(9,524)

(233,272)

333.1

Transurban

Group

.........

(39,618)

(375,170)

535.7

(1,502,514)

Belgium

Anheuser-Busch

InBev

SA/NV

(5,845)

(302,339)

431.7

Umicore

SA

.............

(7,623)

(293,877)

419.6

(596,216)

Brazil

Wheaton

Precious

Metals

Corp.

(2,650)

(121,610)

173.6

Canada

Canadian

Natural

Resources

Ltd.

................

(400)

(6,365)

9.1

CGI,

Inc.

...............

(1,970)

(122,240)

174.5

Great-West

Lifeco,

Inc.

.....

(5,403)

(110,104)

157.2

Imperial

Oil

Ltd.

..........

(800)

(10,640)

15.2

Power

Corp.

of

Canada

.....

(1,990)

(37,894)

54.1

Shaw

Communications,

Inc.,

Class

B

..............

(1,140)

(18,782)

26.8

Toronto-Dominion

Bank

(The)

.

(4,110)

(181,330)

258.9

(487,355)

Denmark

Chr

Hansen

Holding

A/S

....

(1,910)

(192,738)

275.2

Danske

Bank

A/S

.........

(3,221)

(42,928)

61.3

Demant

A/S

.............

(1,782)

(56,263)

80.3

H

Lundbeck

A/S

..........

(1,180)

(33,266)

47.5

(325,195)

Finland

Kone

OYJ,

Class

B

........

(656)

(52,226)

74.6

Sampo

OYJ,

Class

A

.......

(8,070)

(304,533)

434.8

(356,759)

France

Airbus

SE

..............

(990)

(72,434)

103.4

Atos

SE

................

(1,970)

(134,582)

192.2

Bouygues

SA

............

(8,090)

(265,299)

378.8

Bureau

Veritas

SA

.........

(5,070)

(111,177)

158.7

Danone

SA

.............

(3,950)

(219,088)

312.8

Edenred

...............

(9,262)

(431,739)

616.5

Iliad

SA

................

(870)

(168,199)

240.2

Kering

SA

..............

(190)

(114,820)

163.9

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(1,222)

(572,810)

817.9

Orpea

.................

(4,022)

(401,734)

573.6

Pernod

Ricard

SA

.........

(470)

(75,718)

108.1

Renault

SA

.............

(1,705)

(42,226)

60.3

Safran

SA

..............

(2,070)

(218,343)

311.8

Ubisoft

Entertainment

SA

....

(880)

(77,733)

111.0

Vinci

SA

...............

(2,650)

(209,311)

298.9

Shares

Value

%

of

Basket

Value

France

(continued)

Worldline

SA

............

(3,570)

$

(264,417)

377.6

%

(3,379,630)

Germany

Bayer

AG

(Registered)

......

(2,676)

(125,747)

179.6

Bayerische

Motoren

Werke

AG

(2,060)

(140,778)

201.0

Carl

Zeiss

Meditec

AG

......

(810)

(104,660)

149.4

Commerzbank

AG

.........

(85,226)

(403,401)

576.0

Delivery

Hero

SE

.........

(4,223)

(484,776)

692.2

Deutsche

Bank

AG

(Registered)

(29,054)

(268,492)

383.4

E.ON

SE

...............

(6,110)

(63,631)

90.9

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(3,702)

(282,693)

403.7

Fresenius

SE

&

Co.

KGaA

...

(3,350)

(124,263)

177.4

Just

Eat

Takeaway.com

NV

...

(3,681)

(409,498)

584.7

KION

Group

AG

..........

(1,965)

(153,114)

218.6

Knorr-Bremse

AG

.........

(2,093)

(242,372)

346.1

Siemens

Healthineers

AG

....

(3,170)

(136,084)

194.3

United

Internet

AG

(Registered)

(7,961)

(279,181)

398.6

(3,218,690)

Italy

Atlantia

SpA

.............

(5,371)

(82,448)

117.7

Davide

Campari-Milano

NV

..

(7,590)

(79,326)

113.3

Infrastrutture

Wireless

Italiane

SpA

................

(97,040)

(1,048,190)

1,496.7

(1,209,964)

Japan

ANA

Holdings,

Inc.

........

(8,500)

(185,392)

264.7

Asahi

Kasei

Corp.

.........

(12,200)

(105,720)

151.0

Chubu

Electric

Power

Co.,

Inc.

(45,400)

(508,562)

726.2

Daifuku

Co.

Ltd.

..........

(3,200)

(329,977)

471.2

Dai-ichi

Life

Holdings,

Inc.

...

(32,700)

(488,388)

697.4

Daiichi

Sankyo

Co.

Ltd.

.....

(1,800)

(47,509)

67.8

Daikin

Industries

Ltd.

.......

(1,700)

(318,127)

454.2

Daiwa

House

Industry

Co.

Ltd.

(6,000)

(157,649)

225.1

FANUC

Corp.

............

(1,500)

(316,837)

452.4

Fast

Retailing

Co.

Ltd.

......

(300)

(209,263)

298.8

FUJIFILM

Holdings

Corp.

....

(1,100)

(56,092)

80.1

Idemitsu

Kosan

Co.

Ltd.

.....

(15,300)

(309,427)

441.8

ITOCHU

Corp.

...........

(3,900)

(93,672)

133.8

Japan

Post

Holdings

Co.

Ltd.

.

(11,600)

(79,593)

113.6

Japan

Tobacco,

Inc.

.......

(5,400)

(101,667)

145.2

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(20,600)

(187,468)

267.7

Keyence

Corp.

...........

(800)

(363,058)

518.4

Kintetsu

Group

Holdings

Co.

Ltd.

................

(1,900)

(75,915)

108.4

Kirin

Holdings

Co.

Ltd.

......

(2,800)

(50,479)

72.1

Kubota

Corp.

............

(4,900)

(85,153)

121.6

Mitsubishi

Estate

Co.

Ltd.

....

(9,400)

(140,209)

200.2

Mitsui

Fudosan

Co.

Ltd.

.....

(6,700)

(114,085)

162.9

MonotaRO

Co.

Ltd.

........

(10,600)

(586,304)

837.2

Nidec

Corp.

.............

(6,500)

(656,514)

937.4

Nomura

Holdings,

Inc.

......

(60,800)

(272,289)

388.8

Obic

Co.

Ltd.

............

(1,600)

(283,269)

404.5

Oriental

Land

Co.

Ltd.

......

(5,000)

(699,890)

999.4

Otsuka

Corp.

............

(7,800)

(358,423)

511.8

Pan

Pacific

International

Holdings

Corp.

.........

(4,800)

(101,849)

145.4

Resona

Holdings,

Inc.

......

(35,100)

(115,724)

165.2

Sharp

Corp.

.............

(36,700)

(424,385)

606.0

Shiseido

Co.

Ltd.

.........

(1,200)

(74,288)

106.1

SMC

Corp.

..............

(900)

(478,715)

683.6

SoftBank

Group

Corp.

......

(8,000)

(521,071)

744.0

BlackRock

Total

Factor

Fund

23

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Square

Enix

Holdings

Co.

Ltd.

.

(1,000)

$

(58,103)

83.0

%

Sumitomo

Corp.

..........

(12,900)

(141,133)

201.5

Sumitomo

Metal

Mining

Co.

Ltd.

(4,200)

(130,552)

186.4

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(3,900)

(104,361)

149.0

Suzuki

Motor

Corp.

........

(3,600)

(154,612)

220.8

Tokio

Marine

Holdings,

Inc.

...

(5,100)

(227,943)

325.5

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(8,500)

(21,933)

31.3

Toyota

Motor

Corp.

........

(1,700)

(111,600)

159.3

Unicharm

Corp.

..........

(1,900)

(87,915)

125.5

Yamato

Holdings

Co.

Ltd.

....

(6,200)

(164,117)

234.3

Yaskawa

Electric

Corp.

.....

(9,900)

(384,950)

549.7

Z

Holdings

Corp.

..........

(23,200)

(161,775)

231.0

(10,645,957)

Luxembourg

Eurofins

Scientific

SE

......

(295)

(234,914)

335.4

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(6,560)

(53,886)

76.9

ASML

Holding

NV

.........

(292)

(105,646)

150.8

Koninklijke

Vopak

NV

......

(1,910)

(99,279)

141.8

(258,811)

Norway

Mowi

ASA

..............

(14,528)

(229,513)

327.7

Singapore

Singapore

Telecommunications

Ltd.

................

(63,100)

(93,799)

133.9

South

Africa

Mondi

plc

...............

(12,246)

(232,102)

331.4

South

Korea

Celltrion

Healthcare

Co.

Ltd.

..

(4,280)

(321,075)

458.5

Celltrion,

Inc.

............

(1,695)

(361,923)

516.8

Hyundai

Motor

Co.

........

(2,462)

(360,378)

514.6

LG

Chem

Ltd.

............

(328)

(178,852)

255.4

Samsung

Biologics

Co.

Ltd.

..

(341)

(206,065)

294.2

Samsung

SDI

Co.

Ltd.

......

(554)

(218,241)

311.6

SK

Hynix,

Inc.

...........

(2,330)

(165,297)

236.0

SK

Innovation

Co.

Ltd.

......

(522)

(58,346)

83.3

(1,870,177)

Spain

Amadeus

IT

Group

SA

......

(1,550)

(73,852)

105.5

CaixaBank

SA

...........

(58,550)

(106,830)

152.5

Cellnex

Telecom

SA

.......

(5,194)

(333,408)

476.1

Enagas

SA

.............

(718)

(15,497)

22.1

Grifols

SA

..............

(16,058)

(433,954)

619.6

Naturgy

Energy

Group

SA

...

(4,090)

(75,985)

108.5

Siemens

Gamesa

Renewable

Energy

SA

............

(20,462)

(580,697)

829.2

Telefonica

SA

............

(12,711)

(41,349)

59.0

(1,661,572)

Sweden

Hexagon

AB,

Class

B

......

(4,483)

(328,591)

469.2

ICA

Gruppen

AB

..........

(7,146)

(338,280)

483.0

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(7,600)

(102,802)

146.8

Svenska

Handelsbanken

AB,

Class

A

..............

(7,157)

(57,991)

82.8

(827,664)

Shares

Value

%

of

Basket

Value

Switzerland

Barry

Callebaut

AG

(Registered)

(240)

$

(495,514)

707.5

%

Clariant

AG

(Registered)

....

(12,650)

(217,020)

309.9

Sika

AG

(Registered)

.......

(650)

(159,903)

228.3

Swiss

Re

AG

............

(2,049)

(147,037)

210.0

Vifor

Pharma

AG

..........

(610)

(68,653)

98.0

(1,088,127)

United

Kingdom

Admiral

Group

plc

.........

(7,509)

(267,500)

382.0

AstraZeneca

plc

..........

(1,980)

(198,803)

283.9

Auto

Trader

Group

plc

......

(20,380)

(153,226)

218.8

Barratt

Developments

plc

....

(47,222)

(295,165)

421.5

British

American

Tobacco

plc

.

(23,051)

(730,610)

1,043.2

CNH

Industrial

NV

.........

(12,510)

(96,998)

138.5

Croda

International

plc

......

(489)

(38,220)

54.6

Hargreaves

Lansdown

plc

...

(12,107)

(212,552)

303.5

HSBC

Holdings

plc

........

(9,658)

(40,473)

57.8

Imperial

Brands

plc

........

(17,300)

(273,819)

391.0

Intertek

Group

plc

.........

(1,170)

(84,276)

120.3

London

Stock

Exchange

Group

plc

.................

(556)

(59,936)

85.6

Melrose

Industries

plc

......

(106,552)

(165,291)

236.0

National

Grid

plc

..........

(12,488)

(148,551)

212.1

Ocado

Group

plc

.........

(6,268)

(184,843)

263.9

Persimmon

plc

...........

(3,908)

(118,321)

168.9

Prudential

plc

............

(20,949)

(256,217)

365.9

Reckitt

Benckiser

Group

plc

..

(4,716)

(415,425)

593.2

Royal

Bank

of

Scotland

Group

plc

.................

(27,900)

(44,985)

64.2

Spirax-Sarco

Engineering

plc

.

(4,878)

(713,132)

1,018.3

SSE

plc

................

(520)

(8,528)

12.2

Taylor

Wimpey

plc

.........

(374,865)

(513,601)

733.4

Tesco

plc

...............

(186,803)

(497,185)

709.9

United

Utilities

Group

plc

....

(16,180)

(180,873)

258.3

(5,698,530)

United

States

Alnylam

Pharmaceuticals,

Inc.

.

(498)

(61,239)

87.4

Altria

Group,

Inc.

..........

(2,750)

(99,220)

141.7

Analog

Devices,

Inc.

.......

(1,355)

(160,608)

229.3

ANSYS,

Inc.

.............

(700)

(213,059)

304.2

AO

Smith

Corp.

..........

(3,397)

(175,591)

250.7

Archer-Daniels-Midland

Co.

..

(6,865)

(317,438)

453.3

Arista

Networks,

Inc.

.......

(893)

(186,548)

266.4

Athene

Holding

Ltd.,

Class

A

..

(2,870)

(92,070)

131.5

Ball

Corp.

..............

(4,065)

(361,785)

516.6

BioMarin

Pharmaceutical,

Inc.

.

(810)

(60,288)

86.1

Black

Knight,

Inc.

.........

(2,135)

(187,773)

268.1

BorgWarner,

Inc.

..........

(1,550)

(54,219)

77.4

Broadcom,

Inc.

...........

(546)

(190,898)

272.6

Broadridge

Financial

Solutions,

Inc.

.................

(940)

(129,344)

184.7

Bunge

Ltd.

..............

(7,147)

(405,449)

578.9

Cabot

Oil

&

Gas

Corp.

......

(2,080)

(37,003)

52.8

Catalent,

Inc.

............

(7,049)

(618,691)

883.4

Caterpillar,

Inc.

...........

(2,222)

(348,965)

498.3

CBRE

Group,

Inc.,

Class

A

...

(2,639)

(133,006)

189.9

Centene

Corp.

...........

(6,310)

(372,921)

532.5

CenturyLink,

Inc.

..........

(6,200)

(53,444)

76.3

CF

Industries

Holdings,

Inc.

..

(1,080)

(29,819)

42.6

Charles

Schwab

Corp.

(The)

..

(3,529)

(145,077)

207.2

Cheniere

Energy,

Inc.

......

(2,470)

(118,239)

168.8

Church

&

Dwight

Co.,

Inc.

...

(405)

(35,798)

51.1

Cincinnati

Financial

Corp.

....

(1,690)

(119,551)

170.7

Cisco

Systems,

Inc.

........

(8,629)

(309,781)

442.3

BlackRock

Total

Factor

Fund

24

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Cognex

Corp.

............

(4,036)

$

(265,972)

379.8

%

Consolidated

Edison,

Inc.

....

(1,790)

(140,497)

200.6

Cooper

Cos.,

Inc.

(The)

.....

(150)

(47,857)

68.3

CoStar

Group,

Inc.

........

(129)

(106,246)

151.7

Dell

Technologies,

Inc.,

Class

C

(1,629)

(98,164)

140.2

Discovery,

Inc.,

Class

C

.....

(2,560)

(46,899)

67.0

Dollar

Tree,

Inc.

..........

(736)

(66,476)

94.9

Dominion

Energy,

Inc.

......

(3,220)

(258,695)

369.4

Eastman

Chemical

Co.

.....

(2,807)

(226,918)

324.0

Elanco

Animal

Health,

Inc.

...

(15,722)

(487,539)

696.2

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(99)

(21,746)

31.1

Everest

Re

Group

Ltd.

......

(180)

(35,474)

50.7

Eversource

Energy

........

(580)

(50,617)

72.3

Exact

Sciences

Corp.

......

(1,000)

(123,830)

176.8

First

Republic

Bank

........

(1,018)

(128,411)

183.4

Garmin

Ltd.

.............

(1,560)

(162,271)

231.7

Gartner,

Inc.

.............

(2,003)

(240,560)

343.5

Globe

Life,

Inc.

...........

(3,610)

(292,735)

418.0

Guidewire

Software,

Inc.

....

(1,570)

(150,893)

215.5

Hasbro,

Inc.

.............

(2,080)

(172,058)

245.7

HEICO

Corp.,

Class

A

......

(2,290)

(214,115)

305.7

Hess

Corp.

.............

(10,066)

(374,657)

535.0

Honeywell

International,

Inc.

..

(1,338)

(220,703)

315.1

Hormel

Foods

Corp.

.......

(5,701)

(277,582)

396.4

Huntington

Bancshares,

Inc.

..

(12,040)

(125,698)

179.5

Huntington

Ingalls

Industries,

Inc.

.................

(760)

(112,085)

160.0

IHS

Markit

Ltd.

...........

(988)

(79,900)

114.1

Ingredion,

Inc.

...........

(1,890)

(133,982)

191.3

International

Business

Machines

Corp.

...............

(3,395)

(379,086)

541.3

International

Paper

Co.

.....

(3,440)

(150,500)

214.9

IPG

Photonics

Corp.

.......

(3,077)

(572,199)

817.0

Jack

Henry

&

Associates,

Inc.

.

(660)

(97,845)

139.7

Jacobs

Engineering

Group,

Inc.

(3,888)

(369,360)

527.4

Kellogg

Co.

.............

(1,400)

(88,046)

125.7

Kraft

Heinz

Co.

(The)

.......

(6,600)

(201,894)

288.3

Laboratory

Corp.

of

America

Holdings

.............

(1,340)

(267,692)

382.2

Las

Vegas

Sands

Corp.

.....

(5,089)

(244,577)

349.2

Leidos

Holdings,

Inc.

.......

(2,480)

(205,840)

293.9

Live

Nation

Entertainment,

Inc.

(770)

(37,576)

53.7

LyondellBasell

Industries

NV,

Class

A

..............

(1,380)

(94,461)

134.9

Marathon

Petroleum

Corp.

...

(2,605)

(76,848)

109.7

Martin

Marietta

Materials,

Inc.

.

(260)

(69,251)

98.9

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(940)

(169,679)

242.3

Microchip

Technology,

Inc.

...

(1,918)

(201,543)

287.8

Mohawk

Industries,

Inc.

.....

(1,548)

(159,738)

228.1

Molson

Coors

Beverage

Co.,

Class

B

..............

(2,800)

(98,728)

141.0

Mylan

NV

..............

(15,260)

(221,880)

316.8

Newell

Brands,

Inc.

........

(14,967)

(264,317)

377.4

Norfolk

Southern

Corp.

.....

(810)

(169,387)

241.9

Norwegian

Cruise

Line

Holdings

Ltd.

................

(3,340)

(55,544)

79.3

Occidental

Petroleum

Corp.

..

(19,053)

(173,954)

248.4

Omnicom

Group,

Inc.

.......

(1,186)

(55,979)

79.9

ON

Semiconductor

Corp.

....

(10,741)

(269,492)

384.8

Paycom

Software,

Inc.

......

(210)

(76,459)

109.2

PerkinElmer,

Inc.

.........

(1,412)

(182,925)

261.2

Pfizer,

Inc.

..............

(3,410)

(120,987)

172.8

Principal

Financial

Group,

Inc.

.

(2,506)

(98,285)

140.3

Shares

Value

%

of

Basket

Value

United

States

(continued)

QIAGEN

NV

.............

(3,730)

$

(177,111)

252.9

%

Rollins,

Inc.

.............

(3,080)

(178,178)

254.4

Roper

Technologies,

Inc.

....

(2,060)

(764,960)

1,092.3

Royal

Caribbean

Cruises

Ltd.

.

(1,904)

(107,424)

153.4

Splunk,

Inc.

.............

(720)

(142,589)

203.6

SVB

Financial

Group

.......

(138)

(40,117)

57.3

Tiffany

&

Co.

............

(4,667)

(610,630)

871.9

T-Mobile

US,

Inc.

.........

(678)

(74,288)

106.1

Trane

Technologies

plc

.....

(2,600)

(345,150)

492.8

Travelers

Cos.,

Inc.

(The)

....

(1,310)

(158,130)

225.8

Trimble,

Inc.

.............

(2,230)

(107,330)

153.3

Truist

Financial

Corp.

.......

(5,790)

(243,875)

348.2

Tyler

Technologies,

Inc.

.....

(975)

(374,770)

535.1

Vail

Resorts,

Inc.

..........

(170)

(39,447)

56.3

Valero

Energy

Corp.

.......

(1,650)

(63,706)

91.0

Varian

Medical

Systems,

Inc.

.

(1,477)

(255,226)

364.4

Verisk

Analytics,

Inc.

.......

(452)

(80,442)

114.9

Vulcan

Materials

Co.

.......

(1,100)

(159,324)

227.5

W

R

Berkley

Corp.

........

(5,890)

(354,107)

505.6

Walgreens

Boots

Alliance,

Inc.

(4,905)

(166,966)

238.4

Western

Digital

Corp.

.......

(10,861)

(409,786)

585.1

Western

Union

Co.

(The)

....

(4,850)

(94,284)

134.6

Westinghouse

Air

Brake

Technologies

Corp.

......

(950)

(56,335)

80.4

WestRock

Co.

...........

(2,250)

(84,488)

120.6

Williams

Cos.,

Inc.

(The)

....

(1,960)

(37,612)

53.7

Xilinx,

Inc.

..............

(1,750)

(207,707)

296.6

Xylem,

Inc.

..............

(6,228)

(542,708)

774.9

Zillow

Group,

Inc.,

Class

C

...

(855)

(75,770)

108.2

(20,806,936)

Total

Reference

Entity

—

Short

............

(54,846,035)

Net

Value

of

Reference

Entity

—

Credit

Suisse

International

.........................

$

(70,033)

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Deutsche

Bank

AG,

as

of

October

31,

2020,

expiration

dates

03/29/21-02/17/23:

Reference

Entity

—

Long

Australia

Australia

&

New

Zealand

Banking

Group

Ltd.

............

37,177

493,362

719.5

Coca-Cola

Amatil

Ltd.

......

23,863

208,606

304.2

Macquarie

Group

Ltd.

......

1,387

123,665

180.3

Magellan

Financial

Group

Ltd.

.

653

25,309

36.9

Qantas

Airways

Ltd.

.......

20,188

59,392

86.6

REA

Group

Ltd.

..........

1,866

155,180

226.3

Rio

Tinto

plc

.............

1,217

68,835

100.4

South32

Ltd.

............

225,755

322,148

469.8

Suncorp

Group

Ltd.

........

36,946

213,374

311.2

Tabcorp

Holdings

Ltd.

......

18,716

43,246

63.1

Wesfarmers

Ltd.

..........

4,525

146,473

213.6

Westpac

Banking

Corp.

.....

9,370

118,595

172.9

Woolworths

Group

Ltd.

.....

8,850

238,068

347.2

2,216,253

Austria

ANDRITZ

AG

............

10,168

342,932

500.1

OMV

AG

...............

3,390

78,365

114.3

421,297

BlackRock

Total

Factor

Fund

25

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Belgium

Groupe

Bruxelles

Lambert

SA

.

6,448

$

528,789

771.1

%

KBC

Group

NV

...........

3,104

153,359

223.6

Proximus

SADP

..........

18,853

366,506

534.5

Solvay

SA

..............

770

62,563

91.2

Telenet

Group

Holding

NV

...

13,777

529,870

772.7

1,641,087

Chile

Antofagasta

plc

...........

2,872

38,296

55.9

China

Wilmar

International

Ltd.

....

18,400

54,474

79.4

Denmark

AP

Moller

-

Maersk

A/S,

Class

A

86

127,164

185.4

Coloplast

A/S,

Class

B

......

730

106,757

155.7

Genmab

A/S

............

140

46,764

68.2

GN

Store

Nord

A/S

........

2,280

164,153

239.4

Novo

Nordisk

A/S,

Class

B

...

4,692

299,188

436.3

Novozymes

A/S,

Class

B

....

2,398

144,219

210.3

Pandora

A/S

............

1,074

85,200

124.3

973,445

Finland

Fortum

OYJ

.............

5,029

94,528

137.8

Nokia

OYJ

..............

5,402

18,211

26.6

Orion

OYJ,

Class

B

........

594

25,423

37.1

138,162

France

Accor

SA

...............

2,291

58,393

85.1

Air

Liquide

SA

...........

787

115,090

167.8

Alstom

SA

..............

4,075

182,069

265.5

BioMerieux

.............

408

60,751

88.6

Bollore

SA

..............

95,675

342,947

500.1

Carrefour

SA

............

11,060

171,893

250.7

Cie

de

Saint-Gobain

.......

4,448

173,265

252.7

Cie

Generale

des

Etablissements

Michelin

SCA

..........

3,151

340,311

496.3

Credit

Agricole

SA

.........

13,948

110,336

160.9

Dassault

Systemes

SE

.....

365

62,236

90.8

Electricite

de

France

SA

.....

4,140

48,053

70.1

Engie

SA

...............

22,654

273,990

399.6

Eurazeo

SE

.............

476

21,647

31.6

Faurecia

SE

.............

722

27,383

39.9

Ipsen

SA

...............

2,786

253,749

370.0

Orange

SA

..............

2,460

27,625

40.3

Peugeot

SA

.............

21,897

393,362

573.6

Sanofi

.................

2,213

199,819

291.4

Schneider

Electric

SE

......

3,304

401,458

585.4

SCOR

SE

..............

3,250

78,927

115.1

Societe

Generale

SA

.......

7,041

95,672

139.5

Sodexo

SA

.............

2,898

186,156

271.5

Teleperformance

..........

109

32,720

47.7

Thales

SA

..............

330

21,503

31.4

TOTAL

SE

..............

3,666

111,068

162.0

3,790,423

Germany

Allianz

SE

(Registered)

.....

307

54,079

78.9

Aroundtown

SA

...........

10,271

49,266

71.8

Brenntag

AG

............

3,056

195,329

284.9

Covestro

AG

............

2,774

132,392

193.1

Daimler

AG

(Registered)

....

520

26,878

39.2

Deutsche

Lufthansa

AG

(Registered)

...........

14,986

128,206

187.0

Deutsche

Post

AG

(Registered)

5,801

257,205

375.1

Shares

Value

%

of

Basket

Value

Germany

(continued)

Deutsche

Telekom

AG

(Registered)

...........

2,580

$

39,213

57.2

%

Evonik

Industries

AG

.......

3,832

92,263

134.5

GEA

Group

AG

...........

14,504

483,037

704.4

Henkel

AG

&

Co.

KGaA

(Preference)

..........

2,043

198,805

289.9

LANXESS

AG

...........

1,026

52,036

75.9

Nemetschek

SE

..........

560

40,548

59.1

Puma

SE

...............

4,605

403,136

587.9

Sartorius

AG

(Preference)

...

88

37,249

54.3

Siemens

AG

(Registered)

....

5,169

606,407

884.3

Telefonica

Deutschland

Holding

AG

.................

35,730

90,121

131.4

Volkswagen

AG

..........

212

32,979

48.1

Vonovia

SE

.............

4,379

279,658

407.8

Zalando

SE

.............

2,198

204,687

298.5

3,403,494

Italy

DiaSorin

SpA

............

102

22,392

32.7

Enel

SpA

...............

7,280

57,880

84.4

Eni

SpA

................

94,502

661,991

965.4

Intesa

Sanpaolo

SpA

.......

255,645

424,397

618.9

Moncler

SpA

............

770

30,809

44.9

Prysmian

SpA

...........

1,360

37,009

54.0

Terna

Rete

Elettrica

Nazionale

SpA

................

54,533

368,195

536.9

UniCredit

SpA

...........

4,140

31,006

45.2

1,633,679

Japan

Yamaha

Corp.

...........

100

4,741

6.9

Luxembourg

ArcelorMittal

SA

..........

4,645

62,986

91.9

Netherlands

Adyen

NV

..............

73

122,694

178.9

Koninklijke

Ahold

Delhaize

NV

.

62,732

1,719,846

2,508.1

Koninklijke

DSM

NV

.......

330

52,776

77.0

Koninklijke

Philips

NV

......

8,854

410,089

598.0

NN

Group

NV

............

1,186

41,274

60.2

Randstad

NV

............

15,912

793,954

1,157.8

3,140,633

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

11,283

261,025

380.7

Norway

DNB

ASA

...............

9,137

123,393

180.0

Equinor

ASA

............

2,189

27,931

40.7

Telenor

ASA

.............

9,026

139,472

203.4

290,796

Portugal

EDP

-

Energias

de

Portugal

SA

7,692

37,942

55.3

Russia

Evraz

plc

...............

21,052

98,033

143.0

Singapore

City

Developments

Ltd.

.....

9,500

44,117

64.3

DBS

Group

Holdings

Ltd.

....

16,600

247,271

360.6

Oversea-Chinese

Banking

Corp.

Ltd.

................

71,000

437,910

638.6

Singapore

Airlines

Ltd.

......

8,700

21,590

31.5

BlackRock

Total

Factor

Fund

26

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Singapore

(continued)

United

Overseas

Bank

Ltd.

...

12,000

$

166,733

243.2

%

917,621

South

Korea

LG

Uplus

Corp.

...........

22,294

218,249

318.3

NCSoft

Corp.

............

1

687

1.0

Samsung

Electro-Mechanics

Co.

Ltd.

................

268

31,854

46.4

250,790

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

5,080

120,755

176.1

Endesa

SA

.............

36,950

991,340

1,445.7

Iberdrola

SA

.............

25,562

301,825

440.2

1,413,920

Sweden

Electrolux

AB

............

14,407

324,854

473.7

Evolution

Gaming

Group

AB

..

841

62,377

91.0

Hennes

&

Mauritz

AB,

Class

B

1,280

20,811

30.4

Husqvarna

AB,

Class

B

.....

40,201

414,537

604.5

Industrivarden

AB,

Class

C

...

3,548

90,595

132.1

Investor

AB,

Class

B

.......

2,930

175,621

256.1

Lundin

Energy

AB

.........

4,710

90,040

131.3

Nibe

Industrier

AB,

Class

B

...

1,126

27,113

39.5

Sandvik

AB

.............

4,414

78,680

114.7

Securitas

AB,

Class

B

......

13,324

188,081

274.3

SKF

AB,

Class

B

..........

2,220

45,446

66.3

Swedish

Match

AB

........

348

26,164

38.2

Volvo

AB,

Class

B

.........

21,189

411,855

600.6

1,956,174

Switzerland

Coca-Cola

HBC

AG

........

2,540

57,697

84.1

STMicroelectronics

NV

.....

3,390

103,409

150.8

161,106

United

Kingdom

Associated

British

Foods

plc

..

6,831

150,226

219.1

Aviva

plc

...............

49,489

165,074

240.7

Barclays

plc

.............

164,607

228,158

332.7

Berkeley

Group

Holdings

plc

..

1,505

79,130

115.4

BP

plc

.................

96,001

244,868

357.1

BT

Group

plc

............

17,493

22,974

33.5

Bunzl

plc

...............

1,802

56,018

81.7

Burberry

Group

plc

........

9,080

159,470

232.6

DCC

plc

...............

1,965

127,690

186.2

Direct

Line

Insurance

Group

plc

7,536

25,754

37.6

easyJet

plc

.............

149

977

1.4

GlaxoSmithKline

plc

.......

12,379

206,711

301.5

GVC

Holdings

plc

.........

3,715

46,538

67.9

InterContinental

Hotels

Group

plc

.................

680

34,551

50.4

JD

Sports

Fashion

plc

......

4,650

44,735

65.2

Johnson

Matthey

plc

.......

1,230

34,240

49.9

Kingfisher

plc

............

40,392

150,217

219.1

Pearson

plc

.............

7,292

48,177

70.3

Rolls-Royce

Holdings

plc

....

175,782

105,863

154.4

Sage

Group

plc

(The)

......

12,939

106,461

155.3

Schroders

plc

............

5,650

191,408

279.1

St

James's

Place

plc

.......

15,418

179,691

262.0

Standard

Life

Aberdeen

plc

...

22,414

65,309

95.2

Unilever

NV

.............

2,214

124,811

182.0

Vodafone

Group

plc

........

226,615

302,297

440.8

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

WPP

plc

...............

32,116

$

256,520

374.1

%

3,157,868

United

States

Ferguson

plc

............

2,265

224,962

328.1

James

Hardie

Industries

plc,

CDI

................

907

22,022

32.1

Tenaris

SA

..............

13,020

62,132

90.6

309,116

Total

Reference

Entity

—

Long

............

26,373,361

Reference

Entity

—

Short

Australia

AMP

Ltd.

...............

(281,577)

(303,003)

(441.9)

Ampol

Ltd.

..............

(14,052)

(256,226)

(373.7)

APA

Group

..............

(3,538)

(26,083)

(38.0)

AusNet

Services

..........

(123,338)

(173,386)

(252.8)

BHP

Group

Ltd.

..........

(1,466)

(35,142)

(51.2)

BlueScope

Steel

Ltd.

.......

(2,880)

(29,747)

(43.4)

Brambles

Ltd.

............

(20,895)

(140,923)

(205.5)

Coles

Group

Ltd.

.........

(4,730)

(59,089)

(86.2)

Commonwealth

Bank

of

Australia

.............

(2,764)

(134,197)

(195.7)

Crown

Resorts

Ltd.

........

(5,693)

(33,144)

(48.3)

Insurance

Australia

Group

Ltd.

(32,563)

(109,305)

(159.4)

Medibank

Pvt

Ltd.

.........

(159,737)

(299,854)

(437.3)

Newcrest

Mining

Ltd.

.......

(3,342)

(69,305)

(101.1)

Oil

Search

Ltd.

...........

(75,622)

(136,533)

(199.1)

Orica

Ltd.

..............

(10,621)

(114,014)

(166.3)

Ramsay

Health

Care

Ltd.

....

(1,016)

(44,515)

(64.9)

SEEK

Ltd.

..............

(29,732)

(449,529)

(655.6)

Telstra

Corp.

Ltd.

.........

(63,158)

(118,938)

(173.4)

Transurban

Group

.........

(52,193)

(494,251)

(720.8)

Treasury

Wine

Estates

Ltd.

...

(6,947)

(44,786)

(65.3)

(3,071,970)

Austria

Raiffeisen

Bank

International

AG

(1,998)

(28,848)

(42.1)

Verbund

AG

.............

(1,269)

(73,188)

(106.7)

voestalpine

AG

...........

(14,157)

(393,662)

(574.1)

(495,698)

Belgium

Ageas

SA

..............

(5,235)

(210,808)

(307.4)

Elia

System

Operator

SA/NV

.

(6,689)

(646,967)

(943.5)

Galapagos

NV

...........

(284)

(33,196)

(48.4)

Sofina

SA

..............

(551)

(143,204)

(208.8)

UCB

SA

...............

(1,629)

(160,899)

(234.6)

(1,195,074)

Brazil

Yara

International

ASA

......

(3,207)

(112,231)

(163.7)

Denmark

Ambu

A/S,

Class

B

........

(4,353)

(132,028)

(192.5)

Chr

Hansen

Holding

A/S

....

(2,489)

(251,164)

(366.3)

H

Lundbeck

A/S

..........

(3,712)

(104,647)

(152.6)

Tryg

A/S

...............

(4,497)

(124,804)

(182.0)

(612,643)

Finland

Neste

OYJ

..............

(2,622)

(136,747)

(199.4)

Nordea

Bank

Abp

.........

(3,510)

(26,343)

(38.4)

UPM-Kymmene

OYJ

.......

(13,387)

(378,303)

(551.7)

BlackRock

Total

Factor

Fund

27

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Finland

(continued)

Wartsila

OYJ

Abp

.........

(57,856)

$

(459,771)

(670.5)

%

(1,001,164)

France

Adevinta

ASA

............

(8,622)

(133,214)

(194.3)

Airbus

SE

..............

(164)

(11,999)

(17.5)

Amundi

SA

.............

(6,778)

(444,583)

(648.3)

AXA

SA

................

(11,682)

(187,605)

(273.6)

Bureau

Veritas

SA

.........

(3,553)

(77,911)

(113.6)

Capgemini

SE

...........

(620)

(71,590)

(104.4)

Danone

SA

.............

(5,626)

(312,047)

(455.1)

Dassault

Aviation

SA

.......

(414)

(346,376)

(505.1)

Eiffage

SA

..............

(3,238)

(235,006)

(342.7)

EssilorLuxottica

SA

........

(2,621)

(323,586)

(471.9)

Getlink

SE

..............

(23,393)

(314,641)

(458.8)

Hermes

International

.......

(632)

(588,456)

(858.2)

Kering

SA

..............

(205)

(123,885)

(180.7)

L'Oreal

SA

..............

(693)

(223,968)

(326.6)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(926)

(434,060)

(633.0)

Orpea

.................

(944)

(94,291)

(137.5)

Pernod

Ricard

SA

.........

(879)

(141,609)

(206.5)

Remy

Cointreau

SA

........

(1,714)

(289,378)

(422.0)

SEB

SA

................

(1,350)

(219,393)

(319.9)

Suez

SA

...............

(5,622)

(102,924)

(150.1)

Vinci

SA

...............

(12,029)

(950,112)

(1,385.6)

Worldline

SA

............

(1,252)

(92,731)

(135.2)

(5,719,365)

Germany

adidas

AG

..............

(106)

(31,493)

(45.9)

Bayerische

Motoren

Werke

AG

(2,474)

(169,070)

(246.6)

Bayerische

Motoren

Werke

AG

(Preference)

..........

(434)

(22,439)

(32.7)

Beiersdorf

AG

............

(2,710)

(283,762)

(413.8)

Carl

Zeiss

Meditec

AG

......

(930)

(120,165)

(175.2)

Deutsche

Wohnen

SE

......

(702)

(35,432)

(51.7)

E.ON

SE

...............

(43,585)

(453,902)

(661.9)

Fresenius

SE

&

Co.

KGaA

...

(150)

(5,564)

(8.1)

FUCHS

PETROLUB

SE

(Preference)

..........

(2,311)

(118,950)

(173.5)

Hannover

Rueck

SE

.......

(1,324)

(192,406)

(280.6)

Infineon

Technologies

AG

....

(1,804)

(50,226)

(73.2)

LEG

Immobilien

AG

........

(1,163)

(157,183)

(229.2)

Merck

KGaA

............

(841)

(124,578)

(181.7)

MTU

Aero

Engines

AG

......

(150)

(25,638)

(37.4)

Porsche

Automobil

Holding

SE

(Preference)

..........

(19,789)

(1,060,143)

(1,546.0)

Scout24

AG

.............

(919)

(74,141)

(108.1)

Siemens

Healthineers

AG

....

(6,087)

(261,308)

(381.1)

TeamViewer

AG

..........

(759)

(33,455)

(48.8)

Uniper

SE

..............

(10,392)

(310,403)

(452.7)

(3,530,258)

Italy

Ferrari

NV

..............

(3,331)

(594,223)

(866.6)

Leonardo

SpA

...........

(23,102)

(110,154)

(160.6)

Mediobanca

Banca

di

Credito

Finanziario

SpA

........

(36,344)

(258,032)

(376.3)

Pirelli

&

C

SpA

...........

(79,846)

(332,918)

(485.5)

Poste

Italiane

SpA

.........

(3,650)

(29,797)

(43.4)

(1,325,124)

Japan

Yamaha

Corp.

...........

(100)

(4,741)

(6.9)

Shares

Value

%

of

Basket

Value

Luxembourg

SES

SA,

FDR

............

(8,710)

$

(69,569)

(101.5)

%

Netherlands

Aegon

NV

..............

(89,144)

(239,799)

(349.7)

Altice

Europe

NV

.........

(12,393)

(60,932)

(88.9)

ASML

Holding

NV

.........

(765)

(276,780)

(403.6)

EXOR

NV

..............

(1,493)

(77,676)

(113.3)

Heineken

NV

............

(4,701)

(416,121)

(606.8)

Koninklijke

Vopak

NV

......

(8,752)

(454,914)

(663.4)

NN

Group

NV

............

(1,186)

(41,274)

(60.2)

(1,567,496)

New

Zealand

Auckland

International

Airport

Ltd.

................

(36,267)

(167,767)

(244.7)

Norway

Gjensidige

Forsikring

ASA

...

(2,511)

(47,847)

(69.8)

Norsk

Hydro

ASA

.........

(30,466)

(85,620)

(124.9)

(133,467)

Portugal

Jeronimo

Martins

SGPS

SA

..

(1,686)

(26,780)

(39.0)

Singapore

CapitaLand

Ltd.

..........

(11,500)

(21,640)

(31.6)

Jardine

Cycle

&

Carriage

Ltd.

.

(41,500)

(539,838)

(787.2)

Keppel

Corp.

Ltd.

.........

(189,500)

(608,951)

(888.0)

Singapore

Exchange

Ltd.

....

(5,900)

(37,420)

(54.6)

UOL

Group

Ltd.

..........

(33,300)

(151,788)

(221.4)

Venture

Corp.

Ltd.

.........

(30,900)

(435,590)

(635.2)

(1,795,227)

Spain

Aena

SME

SA

...........

(3,416)

(460,257)

(671.2)

Amadeus

IT

Group

SA

......

(4,975)

(237,039)

(345.7)

Ferrovial

SA

.............

(17,074)

(369,781)

(539.3)

(1,067,077)

Sweden

Assa

Abloy

AB,

Class

B

.....

(1,919)

(41,129)

(60.0)

Atlas

Copco

AB,

Class

A

....

(939)

(41,449)

(60.4)

Essity

AB,

Class

B

........

(1,307)

(37,829)

(55.2)

Investment

AB

Latour,

Class

B

(3,097)

(72,219)

(105.3)

Kinnevik

AB,

Class

B

.......

(538)

(22,031)

(32.1)

L

E

Lundbergforetagen

AB,

Class

B

..................

(6,311)

(283,654)

(413.7)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(37,691)

(509,828)

(743.5)

Tele2

AB,

Class

B

.........

(29,501)

(348,170)

(507.7)

(1,356,309)

United

Kingdom

Ashtead

Group

plc

........

(2,713)

(98,041)

(143.0)

AstraZeneca

plc

..........

(400)

(40,162)

(58.6)

Auto

Trader

Group

plc

......

(18,773)

(141,143)

(205.8)

AVEVA

Group

plc

.........

(4,517)

(250,729)

(365.6)

British

American

Tobacco

plc

.

(1,941)

(61,521)

(89.7)

easyJet

plc

.............

(149)

(977)

(1.4)

Fiat

Chrysler

Automobiles

NV

.

(110)

(1,349)

(2.0)

Halma

plc

..............

(8,424)

(258,512)

(377.0)

Imperial

Brands

plc

........

(13,551)

(214,481)

(312.8)

Informa

plc

..............

(18,870)

(102,382)

(149.3)

Intertek

Group

plc

.........

(957)

(68,933)

(100.5)

J

Sainsbury

plc

...........

(22,953)

(59,913)

(87.4)

Legal

&

General

Group

plc

...

(84,879)

(203,507)

(296.8)

M&G

plc

...............

(26,199)

(49,835)

(72.7)

National

Grid

plc

..........

(10,774)

(128,162)

(186.9)

BlackRock

Total

Factor

Fund

28

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Ocado

Group

plc

.........

(765)

$

(22,560)

(32.9)

%

RELX

plc

...............

(28,058)

(555,209)

(809.7)

Rentokil

Initial

plc

.........

(6,296)

(42,864)

(62.5)

Spirax-Sarco

Engineering

plc

.

(70)

(10,234)

(14.9)

United

Utilities

Group

plc

....

(13,254)

(148,164)

(216.1)

Wm

Morrison

Supermarkets

plc

(281,471)

(594,150)

(866.4)

(3,052,828)

Total

Reference

Entity

—

Short

............

(26,304,788)

Net

Value

of

Reference

Entity

—

Deutsche

Bank

AG

................................

$

68,573

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Goldman

Sachs

International,

as

of

October

31,

2020,

expiration

dates

02/27/23-03/01/23:

Reference

Entity

—

Long

Australia

Coca-Cola

Amatil

Ltd.

......

6,605

57,740

302.5

Qantas

Airways

Ltd.

.......

35,271

103,765

543.6

REA

Group

Ltd.

..........

283

23,535

123.3

South32

Ltd.

............

15,254

21,767

114.0

Wesfarmers

Ltd.

..........

5,240

169,617

888.7

Westpac

Banking

Corp.

.....

9,283

117,494

615.6

493,918

Austria

ANDRITZ

AG

............

1,642

55,379

290.2

Belgium

Groupe

Bruxelles

Lambert

SA

.

2,456

201,412

1,055.3

Telenet

Group

Holding

NV

...

1,275

49,037

256.9

250,449

Canada

Air

Canada

.............

3,791

41,913

219.6

B2Gold

Corp.

............

30,720

197,606

1,035.3

Bank

of

Nova

Scotia

(The)

...

2,330

96,799

507.2

Barrick

Gold

Corp.

........

3,211

85,848

449.8

BCE,

Inc.

...............

5,960

239,509

1,254.8

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

954

106,535

558.2

Empire

Co.

Ltd.,

Class

A

....

2,094

57,132

299.3

Kinross

Gold

Corp.

........

5,618

44,698

234.2

Open

Text

Corp.

..........

2,263

83,145

435.6

Pan

American

Silver

Corp.

...

1,055

33,527

175.7

Quebecor,

Inc.,

Class

B

.....

1,200

27,841

145.9

Royal

Bank

of

Canada

......

1,232

86,147

451.3

Saputo,

Inc.

.............

2,360

57,446

301.0

1,158,146

Finland

Nokia

OYJ

..............

34,457

116,162

608.6

Orion

OYJ,

Class

B

........

507

21,699

113.7

137,861

France

Cie

Generale

des

Etablissements

Michelin

SCA

..........

1,095

118,261

619.6

Schneider

Electric

SE

......

1,426

173,268

907.8

291,529

Germany

Allianz

SE

(Registered)

.....

589

103,755

543.6

Brenntag

AG

............

398

25,439

133.3

Covestro

AG

............

537

25,629

134.3

Shares

Value

%

of

Basket

Value

Germany

(continued)

Daimler

AG

(Registered)

....

4,668

$

241,282

1,264.1

%

GEA

Group

AG

...........

4,160

138,543

725.9

Henkel

AG

&

Co.

KGaA

(Preference)

..........

290

28,220

147.9

Siemens

AG

(Registered)

....

270

31,675

166.0

Vonovia

SE

.............

1,237

78,999

413.9

673,542

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

89,000

413,271

2,165.3

New

World

Development

Co.

Ltd.

................

28,000

133,683

700.4

Sun

Hung

Kai

Properties

Ltd.

.

6,000

77,231

404.6

624,185

Ireland

CRH

plc

...............

5,205

182,132

954.2

Kingspan

Group

plc

........

1,123

97,896

512.9

280,028

Israel

Check

Point

Software

Technologies

Ltd.

.......

2,269

257,668

1,350.0

Wix.com

Ltd.

............

201

49,711

260.5

307,379

Italy

Eni

SpA

................

7,948

55,676

291.7

Intesa

Sanpaolo

SpA

.......

18,886

31,353

164.3

Terna

Rete

Elettrica

Nazionale

SpA

................

17,304

116,833

612.1

203,862

Japan

ABC-Mart,

Inc.

...........

1,200

60,869

318.9

Amada

Holdings

Co.

Ltd.

....

19,900

173,203

907.5

Bridgestone

Corp.

.........

9,400

306,393

1,605.3

Brother

Industries

Ltd.

......

19,700

304,408

1,594.9

Calbee,

Inc.

.............

1,700

52,150

273.2

Central

Japan

Railway

Co.

...

800

96,735

506.8

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

..........

4,900

69,168

362.4

East

Japan

Railway

Co.

.....

4,100

214,403

1,123.3

Fuji

Electric

Co.

Ltd.

.......

900

27,291

143.0

Hino

Motors

Ltd.

..........

16,600

127,185

666.4

Hitachi

Ltd.

.............

1,700

57,297

300.2

Honda

Motor

Co.

Ltd.

......

1,100

26,018

136.3

Ito

En

Ltd.

..............

1,300

82,333

431.4

JFE

Holdings,

Inc.

.........

3,300

23,186

121.5

JTEKT

Corp.

............

6,900

54,984

288.1

Kao

Corp.

..............

500

35,599

186.5

Kurita

Water

Industries

Ltd.

...

900

26,778

140.3

Kyushu

Railway

Co.

.......

2,700

57,431

300.9

Lawson,

Inc.

............

600

27,567

144.4

Lion

Corp.

..............

1,300

26,509

138.9

LIXIL

Group

Corp.

.........

3,700

80,343

420.9

Medipal

Holdings

Corp.

.....

1,300

23,174

121.4

Mitsubishi

Electric

Corp.

.....

27,200

350,306

1,835.3

Mitsubishi

Motors

Corp.

.....

11,800

21,642

113.4

NGK

Insulators

Ltd.

........

1,900

27,143

142.2

Nippon

Steel

Corp.

........

6,600

64,014

335.4

Nissan

Motor

Co.

Ltd.

......

70,100

248,191

1,300.3

NSK

Ltd.

...............

11,000

88,067

461.4

Osaka

Gas

Co.

Ltd.

........

2,000

37,980

199.0

Pola

Orbis

Holdings,

Inc.

....

1,400

27,607

144.6

Ricoh

Co.

Ltd.

...........

7,700

50,568

264.9

Sega

Sammy

Holdings,

Inc.

..

2,700

33,835

177.3

BlackRock

Total

Factor

Fund

29

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Seibu

Holdings,

Inc.

.......

8,800

$

87,982

461.0

%

Sekisui

Chemical

Co.

Ltd.

....

26,100

406,855

2,131.6

Sekisui

House

Ltd.

........

11,200

186,069

974.9

Sony

Corp.

.............

1,100

91,703

480.5

Sumitomo

Electric

Industries

Ltd.

................

14,100

155,665

815.6

Sumitomo

Heavy

Industries

Ltd.

9,600

205,760

1,078.0

Sumitomo

Rubber

Industries

Ltd.

................

3,000

26,389

138.3

Suntory

Beverage

&

Food

Ltd.

11,100

382,814

2,005.7

Taiheiyo

Cement

Corp.

.....

1,000

23,472

123.0

Teijin

Ltd.

...............

24,900

381,417

1,998.4

Tokyu

Corp.

.............

2,600

30,848

161.6

TOTO

Ltd.

..............

1,200

54,787

287.0

Toyo

Suisan

Kaisha

Ltd.

.....

2,200

109,485

573.6

West

Japan

Railway

Co.

....

2,500

107,243

561.9

Yamazaki

Baking

Co.

Ltd.

....

1,500

24,639

129.1

5,177,505

Luxembourg

ArcelorMittal

SA

..........

6,078

82,418

431.8

Netherlands

Koninklijke

Ahold

Delhaize

NV

.

2,271

62,261

326.2

NXP

Semiconductors

NV

....

3,053

412,521

2,161.3

Randstad

NV

............

3,868

193,000

1,011.2

667,782

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

2,463

56,980

298.5

Norway

Telenor

ASA

.............

2,795

43,189

226.3

Portugal

EDP

-

Energias

de

Portugal

SA

5,425

26,760

140.2

Singapore

City

Developments

Ltd.

.....

5,700

26,470

138.7

Oversea-Chinese

Banking

Corp.

Ltd.

................

6,300

38,857

203.6

United

Overseas

Bank

Ltd.

...

3,100

43,073

225.7

108,400

South

Korea

LG

Uplus

Corp.

...........

3,401

33,294

174.4

Spain

Endesa

SA

.............

1,093

29,324

153.7

Iberdrola

SA

.............

17,969

212,170

1,111.6

241,494

Sweden

Husqvarna

AB,

Class

B

.....

5,548

57,209

299.7

Sandvik

AB

.............

9,526

169,802

889.6

Skandinaviska

Enskilda

Banken

AB,

Class

A

...........

6,179

53,023

277.8

Volvo

AB,

Class

B

.........

2,050

39,846

208.8

319,880

Switzerland

Adecco

Group

AG

(Registered)

513

25,154

131.8

EMS-Chemie

Holding

AG

(Registered)

...........

71

62,450

327.2

Geberit

AG

(Registered)

.....

298

169,613

888.6

Givaudan

SA

(Registered)

...

8

32,624

170.9

LafargeHolcim

Ltd.

(Registered)

3,174

136,227

713.7

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Lonza

Group

AG

(Registered)

.

16

$

9,695

50.8

%

Nestle

SA

(Registered)

.....

10,448

1,175,169

6,157.0

Novartis

AG

(Registered)

....

3,045

237,274

1,243.1

Roche

Holding

AG

........

75

24,100

126.3

SGS

SA

(Registered)

.......

34

84,926

444.9

Swisscom

AG

(Registered)

...

1,178

599,132

3,139.0

Zurich

Insurance

Group

AG

..

860

285,645

1,496.6

2,842,009

Taiwan

Asustek

Computer,

Inc.

.....

4,000

33,984

178.1

Delta

Electronics,

Inc.

......

28,000

186,296

976.1

Far

EasTone

Telecommunications

Co.

Ltd.

..............

15,000

31,480

164.9

Uni-President

Enterprises

Corp.

82,000

175,772

920.9

United

Microelectronics

Corp.

.

22,000

23,644

123.9

451,176

United

Kingdom

Barclays

plc

.............

30,357

42,077

220.5

BP

plc

.................

10,052

25,639

134.3

GlaxoSmithKline

plc

.......

9,039

150,938

790.8

GVC

Holdings

plc

.........

5,372

67,295

352.6

Kingfisher

plc

............

33,230

123,582

647.5

Sage

Group

plc

(The)

......

11,378

93,617

490.5

Standard

Life

Aberdeen

plc

...

1,686

4,913

25.7

Vodafone

Group

plc

........

78,945

105,310

551.8

613,371

United

States

Abbott

Laboratories

........

1,225

128,760

674.6

Adobe,

Inc.

.............

404

180,628

946.4

Aflac,

Inc.

..............

11,689

396,842

2,079.2

Allegion

plc

.............

960

94,560

495.4

Allstate

Corp.

(The)

........

253

22,454

117.6

Ally

Financial,

Inc.

.........

1,004

26,787

140.3

Alphabet,

Inc.,

Class

A

......

344

555,942

2,912.7

Amazon.com,

Inc.

.........

57

173,061

906.7

AMETEK,

Inc.

...........

7,873

773,129

4,050.6

Amphenol

Corp.,

Class

A

....

206

23,245

121.8

Arrow

Electronics,

Inc.

......

3,889

302,914

1,587.1

Assurant,

Inc.

............

1,251

155,587

815.2

AutoZone,

Inc.

...........

27

30,482

159.7

Avalara,

Inc.

.............

270

40,243

210.8

Axalta

Coating

Systems

Ltd.

..

7,749

194,577

1,019.4

Bank

of

America

Corp.

......

3,932

93,188

488.2

Berkshire

Hathaway,

Inc.,

Class

B

..................

1,650

333,135

1,745.4

Bristol-Myers

Squibb

Co.

....

933

54,534

285.7

Cadence

Design

Systems,

Inc.

2,224

243,239

1,274.4

CDK

Global,

Inc.

..........

651

28,058

147.0

Celanese

Corp.

..........

5,504

624,759

3,273.3

Cerner

Corp.

............

1,819

127,494

668.0

CH

Robinson

Worldwide,

Inc.

.

322

28,474

149.2

Charter

Communications,

Inc.,

Class

A

..............

495

298,891

1,566.0

Clorox

Co.

(The)

..........

112

23,212

121.6

CMS

Energy

Corp.

........

1,593

100,885

528.6

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

318

22,712

119.0

Colgate-Palmolive

Co.

......

8,577

676,640

3,545.1

Concho

Resources,

Inc.

.....

517

21,461

112.4

Costco

Wholesale

Corp.

.....

166

59,365

311.0

Crowdstrike

Holdings,

Inc.,

Class

A

..................

588

72,818

381.5

CSX

Corp.

..............

1,706

134,672

705.6

BlackRock

Total

Factor

Fund

30

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Cummins,

Inc.

...........

1,658

$

364,578

1,910.1

%

Deere

&

Co.

.............

383

86,524

453.3

DocuSign,

Inc.

...........

1,178

238,250

1,248.3

Domino's

Pizza,

Inc.

.......

350

132,412

693.7

Dropbox,

Inc.,

Class

A

......

3,641

66,485

348.3

DTE

Energy

Co.

..........

1,948

240,422

1,259.6

Eaton

Corp.

plc

...........

3,688

382,778

2,005.5

Edwards

Lifesciences

Corp.

..

1,065

76,350

400.0

Emerson

Electric

Co.

.......

7,185

465,516

2,439.0

EOG

Resources,

Inc.

.......

5,096

174,487

914.2

Exelon

Corp.

............

6,820

272,050

1,425.3

F5

Networks,

Inc.

.........

1,050

139,587

731.3

Facebook,

Inc.,

Class

A

.....

397

104,455

547.3

FactSet

Research

Systems,

Inc.

482

147,733

774.0

FedEx

Corp.

............

243

63,051

330.3

Ferguson

plc

............

3,219

319,714

1,675.1

Fortinet,

Inc.

.............

193

21,301

111.6

Gilead

Sciences,

Inc.

.......

399

23,202

121.6

HCA

Healthcare,

Inc.

.......

726

89,980

471.4

Home

Depot,

Inc.

(The)

.....

799

213,101

1,116.5

Illinois

Tool

Works,

Inc.

......

740

144,951

759.4

Incyte

Corp.

.............

567

49,125

257.4

Intel

Corp.

..............

2,489

110,213

577.4

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

5,231

94,629

495.8

IQVIA

Holdings,

Inc.

.......

182

28,026

146.8

JB

Hunt

Transport

Services,

Inc.

1,061

129,166

676.7

JPMorgan

Chase

&

Co.

.....

2,888

283,140

1,483.4

Juniper

Networks,

Inc.

......

1,584

31,236

163.7

Knight-Swift

Transportation

Holdings,

Inc.

..........

3,117

118,415

620.4

Kroger

Co.

(The)

..........

3,330

107,259

562.0

Lennar

Corp.,

Class

A

......

585

41,085

215.3

Lennox

International,

Inc.

....

284

77,151

404.2

MarketAxess

Holdings,

Inc.

..

190

102,382

536.4

Marsh

&

McLennan

Cos.,

Inc.

.

286

29,590

155.0

Masco

Corp.

............

1,182

63,355

331.9

McDonald's

Corp.

.........

293

62,409

327.0

Merck

&

Co.,

Inc.

.........

1,577

118,606

621.4

MGM

Resorts

International

...

1,909

39,268

205.7

Microsoft

Corp.

...........

348

70,460

369.2

Mondelez

International,

Inc.,

Class

A

..............

462

24,541

128.6

Moody's

Corp.

...........

116

30,496

159.8

MSCI,

Inc.

..............

229

80,113

419.7

National

Oilwell

Varco,

Inc.

...

4,322

36,305

190.2

Netflix,

Inc.

..............

116

55,186

289.1

NextEra

Energy,

Inc.

.......

7,552

552,882

2,896.7

NIKE,

Inc.,

Class

B

........

1,087

130,527

683.9

NVIDIA

Corp.

............

52

26,071

136.6

Okta,

Inc.

...............

43

9,023

47.3

Old

Dominion

Freight

Line,

Inc.

630

119,933

628.4

Oracle

Corp.

............

503

28,223

147.9

O'Reilly

Automotive,

Inc.

....

341

148,881

780.0

Owens

Corning

...........

1,704

111,561

584.5

PACCAR,

Inc.

...........

1,631

139,255

729.6

Parker-Hannifin

Corp.

......

485

101,055

529.5

Paychex,

Inc.

............

809

66,540

348.6

PayPal

Holdings,

Inc.

......

1,392

259,093

1,357.5

PepsiCo,

Inc.

............

1,239

165,146

865.2

Philip

Morris

International,

Inc.

1,454

103,263

541.0

Pinterest,

Inc.,

Class

A

......

1,253

73,864

387.0

Pioneer

Natural

Resources

Co.

581

46,224

242.2

PPG

Industries,

Inc.

.......

1,100

142,692

747.6

Procter

&

Gamble

Co.

(The)

..

1,293

177,270

928.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

Prudential

Financial,

Inc.

....

2,959

$

189,435

992.5

%

QUALCOMM,

Inc.

.........

602

74,263

389.1

Ralph

Lauren

Corp.

........

1,113

74,404

389.8

Regeneron

Pharmaceuticals,

Inc.

.................

336

182,636

956.9

Republic

Services,

Inc.

.....

10,988

968,812

5,075.9

RingCentral,

Inc.,

Class

A

....

106

27,384

143.5

RPM

International,

Inc.

.....

1,413

119,639

626.8

S&P

Global,

Inc.

..........

192

61,964

324.6

Sealed

Air

Corp.

..........

1,418

56,139

294.1

SEI

Investments

Co.

.......

1,975

97,071

508.6

Sempra

Energy

..........

1,777

222,765

1,167.1

Sensata

Technologies

Holding

plc

.................

2,577

112,641

590.2

Sherwin-Williams

Co.

(The)

..

100

68,798

360.5

Sirius

XM

Holdings,

Inc.

.....

72,509

415,477

2,176.8

Skyworks

Solutions,

Inc.

....

1,220

172,374

903.1

Slack

Technologies,

Inc.,

Class

A

2,637

67,454

353.4

Southern

Co.

(The)

........

5,590

321,146

1,682.6

Southwest

Airlines

Co.

......

6,483

256,273

1,342.7

SS&C

Technologies

Holdings,

Inc.

.................

3,460

204,901

1,073.5

Stanley

Black

&

Decker,

Inc.

..

438

72,796

381.4

Starbucks

Corp.

..........

610

53,046

277.9

Steel

Dynamics,

Inc.

.......

1,894

59,623

312.4

Teradyne,

Inc.

...........

300

26,355

138.1

Texas

Instruments,

Inc.

.....

2,278

329,376

1,725.7

Thermo

Fisher

Scientific,

Inc.

.

332

157,076

823.0

Tractor

Supply

Co.

........

547

72,866

381.8

TransUnion

.............

307

24,456

128.1

UGI

Corp.

..............

859

27,780

145.5

US

Bancorp

.............

7,898

307,627

1,611.7

VeriSign,

Inc.

............

447

85,243

446.6

Verizon

Communications,

Inc.

.

9,354

533,084

2,793.0

Vertex

Pharmaceuticals,

Inc.

..

641

133,559

699.8

Walmart,

Inc.

............

311

43,151

226.1

Waters

Corp.

............

388

86,454

453.0

WW

Grainger,

Inc.

.........

534

186,911

979.3

Zimmer

Biomet

Holdings,

Inc.

.

198

26,156

137.0

19,912,469

Total

Reference

Entity

—

Long

............

35,053,005

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(78)

(94,696)

(496.1)

Australia

Afterpay

Ltd.

............

(1,083)

(73,741)

(386.3)

AusNet

Services

..........

(32,697)

(45,965)

(240.8)

BHP

Group

plc

...........

(3,893)

(75,417)

(395.1)

CIMIC

Group

Ltd.

.........

(1,524)

(23,033)

(120.7)

Rio

Tinto

Ltd.

............

(1,246)

(81,057)

(424.7)

SEEK

Ltd.

..............

(9,359)

(141,502)

(741.4)

WiseTech

Global

Ltd.

.......

(2,616)

(53,355)

(279.5)

(494,070)

Austria

voestalpine

AG

...........

(1,869)

(51,971)

(272.3)

Belgium

Elia

System

Operator

SA/NV

.

(1,909)

(184,640)

(967.4)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(321)

(51,912)

(272.0)

BlackRock

Total

Factor

Fund

31

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Canada

Bank

of

Montreal

.........

(2,604)

$

(155,052)

(812.4)

%

CAE,

Inc.

...............

(1,741)

(29,755)

(155.9)

Cameco

Corp.

...........

(2,492)

(23,680)

(124.1)

Canadian

Imperial

Bank

of

Commerce

...........

(5,395)

(402,428)

(2,108.4)

Canadian

Natural

Resources

Ltd.

................

(11,928)

(189,802)

(994.4)

Canadian

Pacific

Railway

Ltd.

.

(199)

(59,469)

(311.6)

Canadian

Utilities

Ltd.,

Class

A

(888)

(20,755)

(108.7)

Dollarama,

Inc.

...........

(1,899)

(65,395)

(342.6)

Enbridge,

Inc.

............

(2,914)

(80,292)

(420.7)

Fairfax

Financial

Holdings

Ltd.

(1,224)

(321,770)

(1,685.8)

Fortis,

Inc.

..............

(2,562)

(101,207)

(530.3)

Inter

Pipeline

Ltd.

.........

(2,520)

(22,433)

(117.5)

Metro,

Inc.

..............

(4,732)

(220,741)

(1,156.5)

National

Bank

of

Canada

....

(2,858)

(137,162)

(718.6)

Restaurant

Brands

International,

Inc.

.................

(1,975)

(102,627)

(537.7)

Teck

Resources

Ltd.,

Class

B

.

(1,874)

(24,629)

(129.0)

Thomson

Reuters

Corp.

.....

(2,087)

(162,254)

(850.1)

TMX

Group

Ltd.

..........

(382)

(37,119)

(194.5)

Toronto-Dominion

Bank

(The)

.

(2,791)

(123,137)

(645.2)

WSP

Global,

Inc.

.........

(509)

(32,195)

(168.7)

(2,311,902)

China

Microport

Scientific

Corp.

....

(8,000)

(28,265)

(148.1)

Finland

Elisa

OYJ

..............

(1,186)

(58,314)

(305.5)

Neste

OYJ

..............

(1,584)

(82,611)

(432.8)

Wartsila

OYJ

Abp

.........

(10,910)

(86,700)

(454.3)

(227,625)

France

Bureau

Veritas

SA

.........

(1,074)

(23,551)

(123.4)

Danone

SA

.............

(872)

(48,366)

(253.4)

Eiffage

SA

..............

(972)

(70,545)

(369.6)

EssilorLuxottica

SA

........

(388)

(47,902)

(251.0)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(166)

(77,812)

(407.7)

Orpea

.................

(212)

(21,175)

(110.9)

SEB

SA

................

(173)

(28,115)

(147.3)

(317,466)

Germany

adidas

AG

..............

(972)

(288,786)

(1,513.0)

Bayerische

Motoren

Werke

AG

(379)

(25,900)

(135.7)

E.ON

SE

...............

(3,733)

(38,876)

(203.7)

Porsche

Automobil

Holding

SE

(Preference)

..........

(5,841)

(312,916)

(1,639.5)

SAP

SE

................

(983)

(104,871)

(549.5)

Siemens

Healthineers

AG

....

(6,300)

(270,451)

(1,417.0)

thyssenkrupp

AG

.........

(21,581)

(103,012)

(539.7)

(1,144,812)

Ireland

Flutter

Entertainment

plc

....

(348)

(60,833)

(318.7)

Kerry

Group

plc,

Class

A

....

(2,245)

(268,731)

(1,407.9)

(329,564)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(18,390)

(160,361)

(840.2)

Italy

Leonardo

SpA

...........

(8,312)

(39,633)

(207.7)

Shares

Value

%

of

Basket

Value

Japan

Bandai

Namco

Holdings,

Inc.

.

(700)

$

(52,314)

(274.1)

%

Bank

of

Kyoto

Ltd.

(The)

....

(1,200)

(52,997)

(277.7)

Casio

Computer

Co.

Ltd.

....

(1,800)

(27,346)

(143.3)

Chiba

Bank

Ltd.

(The)

......

(4,800)

(24,793)

(129.9)

CyberAgent,

Inc.

..........

(3,600)

(226,434)

(1,186.3)

Dai

Nippon

Printing

Co.

Ltd.

..

(7,800)

(145,309)

(761.3)

Daiichi

Sankyo

Co.

Ltd.

.....

(900)

(23,754)

(124.5)

Daiwa

Securities

Group,

Inc.

..

(37,000)

(149,917)

(785.5)

Disco

Corp.

.............

(200)

(53,982)

(282.8)

Eisai

Co.

Ltd.

............

(800)

(62,203)

(325.9)

Fast

Retailing

Co.

Ltd.

......

(100)

(69,754)

(365.5)

Fukuoka

Financial

Group,

Inc.

.

(3,100)

(51,855)

(271.7)

Hikari

Tsushin,

Inc.

........

(600)

(140,727)

(737.3)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(2,300)

(56,724)

(297.2)

Hitachi

Metals

Ltd.

........

(5,500)

(72,937)

(382.1)

Iida

Group

Holdings

Co.

Ltd.

..

(1,200)

(21,711)

(113.7)

Itochu

Techno-Solutions

Corp.

.

(700)

(23,749)

(124.4)

Japan

Exchange

Group,

Inc.

..

(1,700)

(41,502)

(217.4)

Kakaku.com,

Inc.

.........

(1,300)

(34,356)

(180.0)

KDDI

Corp.

.............

(800)

(21,644)

(113.4)

Keihan

Holdings

Co.

Ltd.

....

(600)

(22,794)

(119.4)

Kobe

Bussan

Co.

Ltd.

......

(4,800)

(135,048)

(707.6)

Kyushu

Electric

Power

Co.,

Inc.

(6,800)

(57,007)

(298.7)

Lasertec

Corp.

...........

(900)

(77,959)

(408.4)

M3,

Inc.

................

(400)

(27,014)

(141.5)

Makita

Corp.

............

(1,300)

(57,465)

(301.1)

Marui

Group

Co.

Ltd.

.......

(4,000)

(72,288)

(378.7)

Mebuki

Financial

Group,

Inc.

..

(11,300)

(22,704)

(119.0)

Mitsubishi

Corp.

..........

(6,000)

(133,868)

(701.4)

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(62,900)

(247,946)

(1,299.1)

Mitsui

&

Co.

Ltd.

..........

(1,400)

(21,929)

(114.9)

Miura

Co.

Ltd.

...........

(600)

(28,269)

(148.1)

MS&AD

Insurance

Group

Holdings,

Inc.

..........

(1,100)

(30,102)

(157.7)

Nissan

Chemical

Corp.

.....

(2,600)

(137,984)

(722.9)

Nomura

Holdings,

Inc.

......

(24,600)

(110,170)

(577.2)

Obayashi

Corp.

..........

(2,800)

(23,431)

(122.8)

Odakyu

Electric

Railway

Co.

Ltd.

(2,700)

(65,158)

(341.4)

PeptiDream,

Inc.

..........

(3,500)

(161,746)

(847.4)

Pigeon

Corp.

............

(1,200)

(55,262)

(289.5)

Rakuten,

Inc.

............

(4,700)

(45,727)

(239.6)

Ryohin

Keikaku

Co.

Ltd.

.....

(1,500)

(31,484)

(165.0)

SBI

Holdings,

Inc.

.........

(3,600)

(82,984)

(434.8)

SCSK

Corp.

.............

(1,400)

(69,610)

(364.7)

Secom

Co.

Ltd.

...........

(300)

(25,344)

(132.8)

Seven

Bank

Ltd.

..........

(11,100)

(25,474)

(133.5)

Shizuoka

Bank

Ltd.

(The)

....

(3,700)

(24,885)

(130.4)

Showa

Denko

KK

.........

(1,400)

(23,805)

(124.7)

Sompo

Holdings,

Inc.

......

(3,400)

(126,942)

(665.1)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

.................

(900)

(24,199)

(126.8)

Suzuken

Co.

Ltd.

.........

(700)

(25,270)

(132.4)

TIS,

Inc.

...............

(3,900)

(74,588)

(390.8)

Tokyo

Century

Corp.

.......

(1,300)

(63,737)

(333.9)

Tokyo

Electron

Ltd.

........

(300)

(80,523)

(421.9)

(3,566,724)

Netherlands

Aegon

NV

..............

(13,697)

(36,845)

(193.1)

Argenx

SE

..............

(261)

(65,131)

(341.2)

Heineken

NV

............

(4,705)

(416,475)

(2,182.0)

(518,451)

BlackRock

Total

Factor

Fund

32

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Norway

Gjensidige

Forsikring

ASA

...

(1,510)

$

(28,773)

(150.8)

%

Singapore

Keppel

Corp.

Ltd.

.........

(10,000)

(32,135)

(168.4)

Singapore

Exchange

Ltd.

....

(13,900)

(88,159)

(461.9)

Singapore

Telecommunications

Ltd.

................

(43,100)

(64,069)

(335.7)

Venture

Corp.

Ltd.

.........

(3,900)

(54,977)

(288.0)

(239,340)

Spain

Aena

SME

SA

...........

(675)

(90,947)

(476.5)

Amadeus

IT

Group

SA

......

(722)

(34,400)

(180.2)

Ferrovial

SA

.............

(1,208)

(26,162)

(137.1)

(151,509)

Sweden

Atlas

Copco

AB,

Class

A

....

(6,221)

(274,602)

(1,438.7)

Autoliv,

Inc.

.............

(4,431)

(335,870)

(1,759.7)

Investment

AB

Latour,

Class

B

(16,373)

(381,803)

(2,000.4)

(992,275)

Switzerland

Alcon,

Inc.

..............

(6,184)

(351,580)

(1,842.0)

Banque

Cantonale

Vaudoise

(Registered)

...........

(3,901)

(378,008)

(1,980.5)

Barry

Callebaut

AG

(Registered)

(191)

(394,347)

(2,066.1)

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(31)

(245,783)

(1,287.7)

Clariant

AG

(Registered)

....

(2,795)

(47,950)

(251.2)

Logitech

International

SA

(Registered)

...........

(1,135)

(95,483)

(500.3)

Partners

Group

Holding

AG

..

(579)

(521,277)

(2,731.1)

Schindler

Holding

AG

......

(255)

(65,322)

(342.2)

Sika

AG

(Registered)

.......

(92)

(22,632)

(118.6)

Straumann

Holding

AG

(Registered)

...........

(28)

(29,228)

(153.1)

Swiss

Life

Holding

AG

(Registered)

...........

(344)

(115,718)

(606.3)

Temenos

AG

(Registered)

...

(387)

(41,592)

(217.9)

Vifor

Pharma

AG

..........

(1,388)

(156,213)

(818.4)

(2,465,133)

Taiwan

Advantech

Co.

Ltd.

........

(13,000)

(131,610)

(689.5)

Formosa

Chemicals

&

Fibre

Corp.

...............

(83,000)

(199,905)

(1,047.4)

Formosa

Petrochemical

Corp.

.

(74,000)

(203,717)

(1,067.3)

Formosa

Plastics

Corp.

.....

(20,000)

(55,363)

(290.1)

Hotai

Motor

Co.

Ltd.

.......

(2,000)

(42,153)

(220.8)

President

Chain

Store

Corp.

..

(4,000)

(36,103)

(189.2)

Taiwan

Cement

Corp.

......

(51,000)

(72,378)

(379.2)

Taiwan

Mobile

Co.

Ltd.

......

(275,000)

(939,401)

(4,921.8)

(1,680,630)

United

Kingdom

Coca-Cola

European

Partners

plc

.................

(1,437)

(51,315)

(268.9)

Diageo

plc

..............

(2,847)

(92,009)

(482.1)

Imperial

Brands

plc

........

(5,653)

(89,474)

(468.8)

Liberty

Global

plc,

Class

A

...

(9,338)

(177,235)

(928.6)

Linde

plc

...............

(756)

(166,577)

(872.7)

RELX

plc

...............

(12,220)

(241,808)

(1,266.9)

Wm

Morrison

Supermarkets

plc

(85,211)

(179,870)

(942.4)

(998,288)

Shares

Value

%

of

Basket

Value

United

States

Air

Products

and

Chemicals,

Inc.

(1,248)

$

(344,748)

(1,806.2)

%

Albemarle

Corp.

..........

(1,839)

(171,413)

(898.1)

Alleghany

Corp.

..........

(181)

(98,994)

(518.7)

Amcor

plc

..............

(23,564)

(245,773)

(1,287.7)

AMERCO

..............

(144)

(49,991)

(261.9)

American

Express

Co.

......

(1,133)

(103,375)

(541.6)

American

International

Group,

Inc.

.................

(2,248)

(70,790)

(370.9)

AmerisourceBergen

Corp.

...

(2,120)

(203,668)

(1,067.1)

Analog

Devices,

Inc.

.......

(740)

(87,712)

(459.5)

ANSYS,

Inc.

.............

(70)

(21,306)

(111.6)

Anthem,

Inc.

............

(485)

(132,308)

(693.2)

Aon

plc,

Class

A

..........

(634)

(116,662)

(611.2)

Apple,

Inc.

..............

(1,822)

(198,343)

(1,039.2)

AT&T,

Inc.

..............

(20,716)

(559,746)

(2,932.7)

Automatic

Data

Processing,

Inc.

(899)

(142,006)

(744.0)

Baker

Hughes

Co.

.........

(10,468)

(154,612)

(810.1)

Bank

of

New

York

Mellon

Corp.

(The)

...............

(1,966)

(67,552)

(353.9)

Bausch

Health

Cos.,

Inc.

....

(17,984)

(296,291)

(1,552.3)

Baxter

International,

Inc.

....

(4,803)

(372,569)

(1,952.0)

Boeing

Co.

(The)

.........

(374)

(54,002)

(282.9)

Booking

Holdings,

Inc.

......

(133)

(215,793)

(1,130.6)

Boston

Scientific

Corp.

......

(2,648)

(90,747)

(475.4)

Broadcom,

Inc.

...........

(167)

(58,388)

(305.9)

Brown-Forman

Corp.,

Class

B

.

(344)

(23,980)

(125.6)

Bunge

Ltd.

..............

(1,658)

(94,058)

(492.8)

Burlington

Stores,

Inc.

......

(841)

(162,801)

(853.0)

Cable

One,

Inc.

..........

(24)

(41,565)

(217.8)

Campbell

Soup

Co.

........

(670)

(31,269)

(163.8)

Cardinal

Health,

Inc.

.......

(542)

(24,818)

(130.0)

CarMax,

Inc.

............

(1,186)

(102,518)

(537.1)

Catalent,

Inc.

............

(260)

(22,820)

(119.6)

Cboe

Global

Markets,

Inc.

...

(942)

(76,575)

(401.2)

CDW

Corp.

.............

(1,353)

(165,878)

(869.1)

CenturyLink,

Inc.

..........

(22,830)

(196,795)

(1,031.1)

CF

Industries

Holdings,

Inc.

..

(917)

(25,318)

(132.6)

Chevron

Corp.

...........

(343)

(23,839)

(124.9)

Cisco

Systems,

Inc.

........

(5,149)

(184,849)

(968.5)

CME

Group,

Inc.

..........

(230)

(34,666)

(181.6)

Coca-Cola

Co.

(The)

.......

(5,720)

(274,903)

(1,440.3)

Consolidated

Edison,

Inc.

....

(2,738)

(214,906)

(1,125.9)

Cooper

Cos.,

Inc.

(The)

.....

(581)

(185,368)

(971.2)

Corteva,

Inc.

............

(8,366)

(275,911)

(1,445.6)

CyberArk

Software

Ltd.

.....

(1,354)

(134,249)

(703.4)

Danaher

Corp.

...........

(1,416)

(325,029)

(1,702.9)

Delta

Air

Lines,

Inc.

........

(2,693)

(82,514)

(432.3)

Discover

Financial

Services

..

(968)

(62,930)

(329.7)

Discovery,

Inc.,

Class

A

.....

(2,220)

(44,933)

(235.4)

Dominion

Energy,

Inc.

......

(1,947)

(156,422)

(819.5)

Dow,

Inc.

...............

(6,346)

(288,680)

(1,512.5)

DR

Horton,

Inc.

...........

(712)

(47,569)

(249.2)

DuPont

de

Nemours,

Inc.

....

(880)

(50,054)

(262.2)

East

West

Bancorp,

Inc.

.....

(1,065)

(38,851)

(203.6)

Ecolab,

Inc.

.............

(706)

(129,615)

(679.1)

Erie

Indemnity

Co.,

Class

A

..

(459)

(106,887)

(560.0)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(1,551)

(340,693)

(1,785.0)

Eversource

Energy

........

(1,521)

(132,738)

(695.4)

Exxon

Mobil

Corp.

.........

(10,210)

(333,050)

(1,744.9)

Fidelity

National

Information

Services,

Inc.

..........

(3,689)

(459,613)

(2,408.0)

First

Republic

Bank

........

(488)

(61,556)

(322.5)

FirstEnergy

Corp.

.........

(2,711)

(80,571)

(422.1)

Fiserv,

Inc.

..............

(1,940)

(185,212)

(970.4)

BlackRock

Total

Factor

Fund

33

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

FleetCor

Technologies,

Inc.

...

(646)

$

(142,708)

(747.7)

%

Fortive

Corp.

............

(603)

(37,145)

(194.6)

Fox

Corp.,

Class

A

........

(6,607)

(175,218)

(918.0)

Garmin

Ltd.

.............

(4,062)

(422,529)

(2,213.7)

Global

Payments,

Inc.

......

(1,802)

(284,247)

(1,489.2)

Guidewire

Software,

Inc.

....

(289)

(27,776)

(145.5)

Hartford

Financial

Services

Group,

Inc.

(The)

.......

(1,754)

(67,564)

(354.0)

Hasbro,

Inc.

.............

(385)

(31,847)

(166.9)

HD

Supply

Holdings,

Inc.

....

(2,294)

(91,439)

(479.1)

HEICO

Corp.

............

(2,417)

(253,906)

(1,330.3)

Henry

Schein,

Inc.

.........

(1,320)

(83,926)

(439.7)

Hess

Corp.

.............

(670)

(24,937)

(130.7)

Honeywell

International,

Inc.

..

(1,359)

(224,167)

(1,174.5)

Hormel

Foods

Corp.

.......

(3,436)

(167,299)

(876.5)

HP,

Inc.

................

(6,171)

(110,831)

(580.7)

Humana,

Inc.

............

(544)

(217,208)

(1,138.0)

Huntington

Ingalls

Industries,

Inc.

.................

(257)

(37,902)

(198.6)

Illumina,

Inc.

............

(193)

(56,491)

(296.0)

International

Business

Machines

Corp.

...............

(2,574)

(287,413)

(1,505.8)

Invesco

Ltd.

.............

(11,615)

(152,273)

(797.8)

Jack

Henry

&

Associates,

Inc.

.

(431)

(63,896)

(334.8)

Jacobs

Engineering

Group,

Inc.

(3,552)

(337,440)

(1,767.9)

Kansas

City

Southern

......

(341)

(60,064)

(314.7)

Kellogg

Co.

.............

(472)

(29,684)

(155.5)

Keurig

Dr

Pepper,

Inc.

......

(2,013)

(54,150)

(283.7)

KKR

&

Co.,

Inc.

..........

(12,855)

(438,998)

(2,300.0)

KLA

Corp.

..............

(153)

(30,169)

(158.1)

L3Harris

Technologies,

Inc.

...

(1,355)

(218,304)

(1,143.8)

Liberty

Broadband

Corp.,

Class

A

..................

(4,785)

(676,338)

(3,543.5)

Marathon

Petroleum

Corp.

...

(868)

(25,606)

(134.2)

Martin

Marietta

Materials,

Inc.

.

(1,008)

(268,481)

(1,406.6)

Marvell

Technology

Group

Ltd.

(1,173)

(43,999)

(230.5)

Match

Group,

Inc.

.........

(242)

(28,261)

(148.1)

Maxim

Integrated

Products,

Inc.

(1,978)

(137,768)

(721.8)

McKesson

Corp.

..........

(1,200)

(176,988)

(927.3)

Medtronic

plc

............

(656)

(65,974)

(345.7)

Micron

Technology,

Inc.

.....

(2,871)

(144,526)

(757.2)

Motorola

Solutions,

Inc.

.....

(139)

(21,970)

(115.1)

Nordson

Corp.

...........

(117)

(22,631)

(118.6)

NortonLifeLock,

Inc.

.......

(1,279)

(26,309)

(137.8)

Palo

Alto

Networks,

Inc.

.....

(1,556)

(344,172)

(1,803.2)

Pfizer,

Inc.

..............

(6,519)

(231,294)

(1,211.8)

Pinnacle

West

Capital

Corp.

..

(812)

(66,235)

(347.0)

Progressive

Corp.

(The)

.....

(2,284)

(209,900)

(1,099.7)

Qorvo,

Inc.

..............

(317)

(40,373)

(211.5)

Reinsurance

Group

of

America,

Inc.

.................

(269)

(27,174)

(142.4)

Rollins,

Inc.

.............

(600)

(34,710)

(181.9)

Roper

Technologies,

Inc.

....

(145)

(53,844)

(282.1)

Ross

Stores,

Inc.

.........

(204)

(17,375)

(91.0)

Royal

Caribbean

Cruises

Ltd.

.

(540)

(30,467)

(159.6)

salesforce.com,

Inc.

.......

(773)

(179,545)

(940.7)

Seagate

Technology

plc

.....

(9,328)

(446,065)

(2,337.1)

Snap,

Inc.,

Class

A

........

(1,062)

(41,832)

(219.2)

Splunk,

Inc.

.............

(419)

(82,979)

(434.7)

Sunrun,

Inc.

.............

(1,265)

(65,805)

(344.8)

Synchrony

Financial

.......

(3,714)

(92,924)

(486.9)

T.

Rowe

Price

Group,

Inc.

....

(614)

(77,769)

(407.5)

Teladoc,

Inc.

............

(102)

(20,039)

(105.0)

Teledyne

Technologies,

Inc.

..

(158)

(48,846)

(255.9)

Tesla,

Inc.

..............

(387)

(150,171)

(786.8)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Tiffany

&

Co.

............

(183)

$

(23,944)

(125.4)

%

TJX

Cos.,

Inc.

(The)

.......

(1,938)

(98,450)

(515.8)

Trade

Desk,

Inc.

(The),

Class

A

(20)

(11,329)

(59.4)

Trane

Technologies

plc

.....

(494)

(65,579)

(343.6)

Uber

Technologies,

Inc.

.....

(2,848)

(95,152)

(498.5)

Ulta

Beauty,

Inc.

..........

(572)

(118,272)

(619.7)

Union

Pacific

Corp.

........

(912)

(161,597)

(846.7)

UnitedHealth

Group,

Inc.

....

(1,601)

(488,529)

(2,559.5)

Vail

Resorts,

Inc.

..........

(120)

(27,845)

(145.9)

Verisk

Analytics,

Inc.

.......

(283)

(50,366)

(263.9)

VF

Corp.

...............

(466)

(31,315)

(164.1)

Visa,

Inc.,

Class

A

.........

(374)

(67,960)

(356.1)

Vulcan

Materials

Co.

.......

(161)

(23,319)

(122.2)

Waste

Connections,

Inc.

.....

(1,120)

(111,238)

(582.8)

Waste

Management,

Inc.

....

(653)

(70,465)

(369.2)

Wells

Fargo

&

Co.

.........

(4,209)

(90,283)

(473.0)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,248)

(74,006)

(387.7)

Xcel

Energy,

Inc.

..........

(1,761)

(123,323)

(646.1)

Xilinx,

Inc.

..............

(359)

(42,610)

(223.2)

Zoetis,

Inc.

..............

(439)

(69,603)

(364.7)

(18,955,878)

Total

Reference

Entity

—

Short

............

(35,033,918)

Net

Value

of

Reference

Entity

—

Goldman

Sachs

International

.........................

$

19,087

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

JPMorgan

Chase

Bank

NA,

as

of

October

31,

2020,

expiration

date

02/08/23:

Reference

Entity

—

Long

Canada

Air

Canada

.............

2,242

24,788

(12.4)

AltaGas

Ltd.

.............

2,413

30,590

(15.3)

B2Gold

Corp.

............

56,153

361,203

(180.3)

Barrick

Gold

Corp.

........

2,760

73,791

(36.8)

BCE,

Inc.

...............

6,351

255,222

(127.4)

BlackBerry

Ltd.

...........

4,484

20,126

(10.0)

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

1,303

145,508

(72.6)

CCL

Industries,

Inc.,

Class

B

..

2,075

79,119

(39.5)

CI

Financial

Corp.

.........

10,318

120,272

(60.0)

Constellation

Software,

Inc.

..

26

27,294

(13.6)

Empire

Co.

Ltd.,

Class

A

....

9,218

251,501

(125.5)

George

Weston

Ltd.

.......

4,889

342,850

(171.1)

Hydro

One

Ltd.

...........

15,358

335,564

(167.5)

iA

Financial

Corp.,

Inc.

......

708

24,668

(12.3)

Kinross

Gold

Corp.

........

16,793

133,608

(66.7)

Kirkland

Lake

Gold

Ltd.

.....

783

35,674

(17.8)

Loblaw

Cos.

Ltd.

..........

12,752

634,776

(316.8)

Magna

International,

Inc.

....

3,757

191,840

(95.7)

Open

Text

Corp.

..........

8,220

302,011

(150.7)

Parkland

Corp.

...........

3,072

75,030

(37.4)

Quebecor,

Inc.,

Class

B

.....

7,632

177,066

(88.4)

Ritchie

Bros

Auctioneers,

Inc.

.

368

22,307

(11.1)

Royal

Bank

of

Canada

......

645

45,101

(22.5)

Saputo,

Inc.

.............

6,618

161,091

(80.4)

Sun

Life

Financial,

Inc.

......

4,238

168,623

(84.2)

4,039,623

South

Korea

HDC

Holdings

Co.

Ltd.

......

1

9

0.0

BlackRock

Total

Factor

Fund

34

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

Fortive

Corp.

............

1

$

62

0.0

%

Total

Reference

Entity

—

Long

............

4,039,694

Reference

Entity

—

Short

Canada

Agnico

Eagle

Mines

Ltd.

.....

(434)

(34,357)

17.1

Bank

of

Montreal

.........

(4,926)

(293,312)

146.4

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(16,795)

(499,072)

249.1

Canadian

National

Railway

Co.

(220)

(21,855)

10.9

Canadian

Utilities

Ltd.,

Class

A

(924)

(21,597)

10.8

Dollarama,

Inc.

...........

(3,505)

(120,701)

60.2

Emera,

Inc.

.............

(32,437)

(1,294,023)

645.8

Enbridge,

Inc.

............

(7,520)

(207,205)

103.4

Fairfax

Financial

Holdings

Ltd.

(548)

(144,060)

71.9

Franco-Nevada

Corp.

......

(1,268)

(172,826)

86.2

Gildan

Activewear,

Inc.

......

(1,369)

(28,360)

14.2

Metro,

Inc.

..............

(2,280)

(106,359)

53.1

Nutrien

Ltd.

.............

(14,288)

(580,829)

289.9

Restaurant

Brands

International,

Inc.

.................

(1,798)

(93,429)

46.6

TC

Energy

Corp.

..........

(8,396)

(330,471)

164.9

Thomson

Reuters

Corp.

.....

(697)

(54,188)

27.0

Toronto-Dominion

Bank

(The)

.

(508)

(22,412)

11.2

WSP

Global,

Inc.

.........

(2,474)

(156,484)

78.1

(4,181,540)

United

States

Bausch

Health

Cos.,

Inc.

....

(3,549)

(58,471)

29.2

Lennar

Corp.,

Class

B

......

(1)

(57)

(0.0)

(58,528)

Total

Reference

Entity

—

Short

............

(4,240,068)

Net

Value

of

Reference

Entity

—

JPMorgan

Chase

Bank

NA

............................

$

(200,374)

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Merrill

Lynch

International

&

Co.,

as

of

October

31,

2020,

expiration

date

02/15/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

21,192

185,738

(73.4)

Cochlear

Ltd.

............

3,280

489,558

(193.5)

Rio

Tinto

plc

.............

3,926

222,060

(87.8)

Santos

Ltd.

.............

2,586

8,597

(3.4)

Woodside

Petroleum

Ltd.

....

8,280

102,128

(40.4)

1,008,081

Belgium

Etablissements

Franz

Colruyt

NV

.................

547

32,375

(12.8)

Groupe

Bruxelles

Lambert

SA

.

177

14,515

(5.7)

Solvay

SA

..............

303

24,619

(9.7)

71,509

Canada

BCE,

Inc.

...............

1,330

53,448

(21.1)

Constellation

Software,

Inc.

..

970

1,018,263

(402.4)

Hydro

One

Ltd.

...........

28,980

633,197

(250.2)

Loblaw

Cos.

Ltd.

..........

40

1,991

(0.8)

Manulife

Financial

Corp.

.....

5,700

77,266

(30.5)

Rogers

Communications,

Inc.,

Class

B

..............

2,989

121,418

(48.0)

Shares

Value

%

of

Basket

Value

Canada

(continued)

Royal

Bank

of

Canada

......

639

$

44,682

(17.7)

%

Sun

Life

Financial,

Inc.

......

260

10,345

(4.1)

Suncor

Energy,

Inc.

........

5,687

64,156

(25.4)

2,024,766

Denmark

Genmab

A/S

............

388

129,602

(51.2)

Novo

Nordisk

A/S,

Class

B

...

8,633

550,489

(217.6)

Orsted

A/S

..............

258

40,948

(16.2)

721,039

Finland

Fortum

OYJ

.............

8,014

150,636

(59.5)

France

BNP

Paribas

SA

..........

2,550

88,931

(35.1)

Carrefour

SA

............

9,122

141,773

(56.0)

Cie

de

Saint-Gobain

.......

8,719

339,636

(134.2)

Dassault

Systemes

SE

.....

957

163,178

(64.5)

Engie

SA

...............

7,740

93,612

(37.0)

Ipsen

SA

...............

275

25,047

(9.9)

Legrand

SA

.............

3,355

248,335

(98.1)

Orange

SA

..............

29,430

330,488

(130.6)

Publicis

Groupe

SA

........

3,666

127,365

(50.3)

Sartorius

Stedim

Biotech

....

757

287,062

(113.5)

Schneider

Electric

SE

......

5,516

670,230

(264.9)

Vivendi

SA

..............

34,931

1,008,231

(398.5)

3,523,888

Germany

Deutsche

Post

AG

(Registered)

33,767

1,497,161

(591.7)

Deutsche

Telekom

AG

(Registered)

...........

10,065

152,975

(60.5)

Evonik

Industries

AG

.......

3,225

77,648

(30.7)

HeidelbergCement

AG

......

2,210

126,398

(50.0)

Symrise

AG

.............

330

40,692

(16.1)

1,894,874

Israel

Check

Point

Software

Technologies

Ltd.

.......

232

26,346

(10.4)

Italy

Assicurazioni

Generali

SpA

...

2,820

37,828

(15.0)

DiaSorin

SpA

............

810

177,818

(70.3)

Enel

SpA

...............

33,810

268,807

(106.2)

Eni

SpA

................

9,060

63,466

(25.1)

Intesa

Sanpaolo

SpA

.......

40,070

66,520

(26.3)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

......

2,480

128,575

(50.8)

Terna

Rete

Elettrica

Nazionale

SpA

................

9,720

65,627

(25.9)

808,641

Japan

Advantest

Corp.

..........

900

52,131

(20.6)

Aeon

Co.

Ltd.

............

4,200

107,302

(42.4)

AGC,

Inc.

..............

18,000

562,067

(222.1)

Asahi

Group

Holdings

Ltd.

...

5,800

179,493

(70.9)

Asahi

Intecc

Co.

Ltd.

.......

3,000

92,965

(36.7)

Astellas

Pharma,

Inc.

.......

21,700

297,571

(117.6)

Bridgestone

Corp.

.........

900

29,336

(11.6)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

..........

1,500

21,174

(8.4)

Daito

Trust

Construction

Co.

Ltd.

2,600

236,509

(93.5)

East

Japan

Railway

Co.

.....

2,700

141,192

(55.8)

ENEOS

Holdings,

Inc.

......

102,500

345,864

(136.7)

BlackRock

Total

Factor

Fund

35

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Japan

(continued)

Fujitsu

Ltd.

..............

3,000

$

354,944

(140.3)

%

Honda

Motor

Co.

Ltd.

......

7,900

186,858

(73.8)

Hoshizaki

Corp.

..........

2,100

167,704

(66.3)

Kose

Corp.

.............

1,200

152,971

(60.5)

Kyocera

Corp.

...........

5,200

286,377

(113.2)

Marubeni

Corp.

...........

35,900

187,441

(74.1)

MEIJI

Holdings

Co.

Ltd.

.....

700

50,715

(20.0)

MINEBEA

MITSUMI,

Inc.

....

3,600

65,021

(25.7)

Mitsubishi

Chemical

Holdings

Corp.

...............

17,600

99,056

(39.1)

Mitsubishi

Electric

Corp.

.....

53,400

687,733

(271.8)

Mitsubishi

Heavy

Industries

Ltd.

4,700

100,981

(39.9)

Mizuho

Financial

Group,

Inc.

..

7,350

90,493

(35.8)

Nippon

Steel

Corp.

........

11,100

107,660

(42.5)

Nissin

Foods

Holdings

Co.

Ltd.

1,400

121,225

(47.9)

Nitori

Holdings

Co.

Ltd.

.....

700

143,890

(56.9)

Nitto

Denko

Corp.

.........

10,600

744,711

(294.3)

NSK

Ltd.

...............

2,800

22,417

(8.9)

Ono

Pharmaceutical

Co.

Ltd.

.

3,000

85,576

(33.8)

Pola

Orbis

Holdings,

Inc.

....

1,300

25,635

(10.1)

Subaru

Corp.

............

5,900

108,283

(42.8)

Sumitomo

Electric

Industries

Ltd.

................

500

5,520

(2.2)

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

6,800

188,237

(74.4)

Suntory

Beverage

&

Food

Ltd.

1,600

55,180

(21.8)

Sysmex

Corp.

...........

500

46,964

(18.6)

TDK

Corp.

..............

2,800

329,282

(130.1)

Terumo

Corp.

............

2,100

77,288

(30.5)

Toray

Industries,

Inc.

.......

14,300

64,706

(25.6)

Trend

Micro,

Inc.

..........

100

5,602

(2.2)

West

Japan

Railway

Co.

....

2,700

115,822

(45.8)

Yakult

Honsha

Co.

Ltd.

.....

800

38,714

(15.3)

6,782,610

Jordan

Hikma

Pharmaceuticals

plc

...

1,180

38,366

(15.2)

Netherlands

ING

Groep

NV

...........

388

2,658

(1.0)

Koninklijke

Ahold

Delhaize

NV

.

11,478

314,678

(124.4)

Koninklijke

KPN

NV

........

31,658

85,502

(33.8)

Koninklijke

Philips

NV

......

3,343

154,837

(61.2)

557,675

Norway

Telenor

ASA

.............

10,160

156,995

(62.0)

Portugal

Galp

Energia

SGPS

SA

.....

13,140

106,712

(42.2)

South

Korea

Samsung

Electro-Mechanics

Co.

Ltd.

................

455

54,080

(21.4)

Spain

Banco

Santander

SA

.......

18,960

37,969

(15.0)

Cia

de

Distribucion

Integral

Logista

Holdings

SA

.....

54

912

(0.4)

Iberdrola

SA

.............

11,470

135,433

(53.5)

Repsol

SA

..............

35,889

225,314

(89.1)

399,628

Sweden

Investor

AB,

Class

B

.......

4,636

277,877

(109.8)

Lundin

Energy

AB

.........

9,221

176,276

(69.7)

Sandvik

AB

.............

1,152

20,534

(8.1)

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Volvo

AB,

Class

B

.........

6,352

$

123,465

(48.8)

%

598,152

Switzerland

Coca-Cola

HBC

AG

........

8,534

193,852

(76.6)

Givaudan

SA

(Registered)

...

4

16,312

(6.4)

Julius

Baer

Group

Ltd.

......

1,251

55,676

(22.0)

LafargeHolcim

Ltd.

(Registered)

13,720

588,858

(232.7)

Novartis

AG

(Registered)

....

3,924

305,768

(120.8)

SGS

SA

(Registered)

.......

60

149,869

(59.2)

Sonova

Holding

AG

(Registered)

1,443

342,522

(135.4)

STMicroelectronics

NV

.....

235

7,168

(2.8)

1,660,025

Taiwan

Asustek

Computer,

Inc.

.....

4,000

33,984

(13.5)

Chunghwa

Telecom

Co.

Ltd.

..

11,000

41,269

(16.3)

Hon

Hai

Precision

Industry

Co.

Ltd.

................

127,000

344,441

(136.1)

Uni-President

Enterprises

Corp.

13,000

27,866

(11.0)

447,560

United

Kingdom

3i

Group

plc

.............

12,810

159,993

(63.2)

Associated

British

Foods

plc

..

487

10,710

(4.2)

BAE

Systems

plc

.........

39,076

200,866

(79.4)

BP

plc

.................

60,116

153,337

(60.6)

Bunzl

plc

...............

7,280

226,308

(89.4)

Burberry

Group

plc

........

3,538

62,137

(24.6)

Compass

Group

plc

........

9,410

128,802

(50.9)

DCC

plc

...............

140

9,098

(3.6)

Experian

plc

.............

3,305

121,075

(47.9)

JD

Sports

Fashion

plc

......

39,152

376,661

(148.9)

Next

plc

................

398

30,060

(11.9)

Sage

Group

plc

(The)

......

12,181

100,224

(39.6)

Severn

Trent

plc

..........

130

4,091

(1.6)

St

James's

Place

plc

.......

2,173

25,326

(10.0)

1,608,688

United

States

Abbott

Laboratories

........

1,176

123,609

(48.9)

ABIOMED,

Inc.

...........

35

8,816

(3.5)

Adobe,

Inc.

.............

1,774

793,155

(313.5)

Advance

Auto

Parts,

Inc.

....

120

17,674

(7.0)

Agilent

Technologies,

Inc.

....

1,060

108,215

(42.8)

Align

Technology,

Inc.

......

621

264,596

(104.6)

Allstate

Corp.

(The)

........

981

87,064

(34.4)

Alphabet,

Inc.,

Class

C

.....

264

426,751

(168.7)

Ameren

Corp.

............

106

8,599

(3.4)

American

Water

Works

Co.,

Inc.

1,600

240,816

(95.2)

Ameriprise

Financial,

Inc.

....

1,994

320,695

(126.7)

Arch

Capital

Group

Ltd.

.....

2,073

62,625

(24.7)

Autodesk,

Inc.

...........

1,440

339,178

(134.0)

AutoZone,

Inc.

...........

73

82,416

(32.6)

Best

Buy

Co.,

Inc.

.........

1,758

196,105

(77.5)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

423

248,056

(98.0)

Cadence

Design

Systems,

Inc.

555

60,700

(24.0)

Capital

One

Financial

Corp.

..

557

40,706

(16.1)

Cintas

Corp.

.............

820

257,931

(101.9)

Citizens

Financial

Group,

Inc.

.

15,060

410,385

(162.2)

Citrix

Systems,

Inc.

........

731

82,800

(32.7)

Colgate-Palmolive

Co.

......

4,360

343,960

(135.9)

ConocoPhillips

...........

3,893

111,418

(44.0)

Cummins,

Inc.

...........

131

28,806

(11.4)

Darden

Restaurants,

Inc.

....

2,448

225,020

(88.9)

BlackRock

Total

Factor

Fund

36

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

DexCom,

Inc.

............

983

$

314,147

(124.2)

%

Dover

Corp.

.............

2,606

288,510

(114.0)

DTE

Energy

Co.

..........

203

25,054

(9.9)

Eaton

Corp.

plc

...........

406

42,139

(16.7)

Edwards

Lifesciences

Corp.

..

2,586

185,390

(73.3)

Electronic

Arts,

Inc.

........

99

11,863

(4.7)

Emerson

Electric

Co.

.......

2,810

182,060

(72.0)

Entergy

Corp.

............

1,916

193,938

(76.6)

EOG

Resources,

Inc.

.......

714

24,447

(9.7)

Equitable

Holdings,

Inc.

.....

4,469

96,039

(38.0)

Evergy,

Inc.

.............

4,516

249,283

(98.5)

Facebook,

Inc.,

Class

A

.....

961

252,849

(99.9)

FactSet

Research

Systems,

Inc.

260

79,690

(31.5)

Fair

Isaac

Corp.

..........

220

86,119

(34.0)

FedEx

Corp.

............

296

76,803

(30.4)

Ferguson

plc

............

2,942

292,202

(115.5)

Fifth

Third

Bancorp

........

10,467

243,044

(96.1)

Fortune

Brands

Home

&

Security,

Inc.

.................

3,258

263,474

(104.1)

General

Motors

Co.

........

3,936

135,910

(53.7)

GoDaddy,

Inc.,

Class

A

.....

73

5,164

(2.0)

Hologic,

Inc.

.............

1,694

116,581

(46.1)

Home

Depot,

Inc.

(The)

.....

1,336

356,325

(140.8)

Illinois

Tool

Works,

Inc.

......

1,364

267,180

(105.6)

Incyte

Corp.

.............

419

36,302

(14.3)

Intuit,

Inc.

..............

921

289,820

(114.5)

James

Hardie

Industries

plc,

CDI

................

7,428

180,351

(71.3)

Jones

Lang

LaSalle,

Inc.

....

680

76,745

(30.3)

Juniper

Networks,

Inc.

......

874

17,235

(6.8)

KeyCorp

...............

5,990

77,750

(30.7)

Knight-Swift

Transportation

Holdings,

Inc.

..........

3,461

131,483

(52.0)

Loews

Corp.

............

3,220

111,670

(44.1)

Lowe's

Cos.,

Inc.

.........

1,160

183,396

(72.5)

Masco

Corp.

............

4,971

266,446

(105.3)

McDonald's

Corp.

.........

560

119,280

(47.1)

Mettler-Toledo

International,

Inc.

290

289,394

(114.4)

Microsoft

Corp.

...........

620

125,531

(49.6)

Mondelez

International,

Inc.,

Class

A

..............

4,140

219,917

(86.9)

Monster

Beverage

Corp.

....

1,360

104,135

(41.2)

Moody's

Corp.

...........

490

128,821

(50.9)

MSCI,

Inc.

..............

151

52,826

(20.9)

Nasdaq,

Inc.

............

4,276

517,353

(204.5)

Neurocrine

Biosciences,

Inc.

..

1,940

191,420

(75.6)

NextEra

Energy,

Inc.

.......

1,240

90,780

(35.9)

NRG

Energy,

Inc.

.........

14,188

448,625

(177.3)

O'Reilly

Automotive,

Inc.

....

370

161,542

(63.8)

Owens

Corning

...........

3,983

260,767

(103.1)

Parker-Hannifin

Corp.

......

1,840

383,382

(151.5)

Phillips

66

..............

774

36,115

(14.3)

Procter

&

Gamble

Co.

(The)

..

1,930

264,603

(104.6)

QUALCOMM,

Inc.

.........

499

61,557

(24.3)

Robert

Half

International,

Inc.

.

4,490

227,598

(89.9)

Rockwell

Automation,

Inc.

....

2,210

524,035

(207.1)

RPM

International,

Inc.

.....

5,828

493,457

(195.0)

S&P

Global,

Inc.

..........

1,465

472,799

(186.9)

SEI

Investments

Co.

.......

8,000

393,200

(155.4)

Sempra

Energy

..........

1,540

193,054

(76.3)

Sherwin-Williams

Co.

(The)

..

310

213,274

(84.3)

Signature

Bank

...........

2,500

201,850

(79.8)

Sirius

XM

Holdings,

Inc.

.....

22,490

128,868

(50.9)

Southern

Co.

(The)

........

3,072

176,486

(69.7)

Shares

Value

%

of

Basket

Value

United

States

(continued)

SS&C

Technologies

Holdings,

Inc.

.................

583

$

34,525

(13.6)

%

Starbucks

Corp.

..........

5,185

450,888

(178.2)

Synopsys,

Inc.

...........

270

57,742

(22.8)

Take-Two

Interactive

Software,

Inc.

.................

666

103,177

(40.8)

Teradyne,

Inc.

...........

294

25,828

(10.2)

Texas

Instruments,

Inc.

.....

222

32,099

(12.7)

Tractor

Supply

Co.

........

1,239

165,047

(65.2)

Universal

Health

Services,

Inc.,

Class

B

..............

1,020

111,741

(44.2)

US

Bancorp

.............

5,196

202,384

(80.0)

VeriSign,

Inc.

............

2,531

482,662

(190.8)

Verizon

Communications,

Inc.

.

6,906

393,573

(155.5)

Vertex

Pharmaceuticals,

Inc.

..

1,751

364,838

(144.2)

Vistra

Corp.

.............

1,890

32,829

(13.0)

Wayfair,

Inc.,

Class

A

.......

90

22,323

(8.8)

West

Pharmaceutical

Services,

Inc.

.................

115

31,288

(12.4)

Workday,

Inc.,

Class

A

......

109

22,903

(9.1)

WW

Grainger,

Inc.

.........

990

346,520

(136.9)

XPO

Logistics,

Inc.

........

917

82,530

(32.6)

Yum!

Brands,

Inc.

.........

3,981

371,547

(146.8)

19,864,618

Total

Reference

Entity

—

Long

............

42,504,889

Reference

Entity

—

Short

Australia

CSL

Ltd.

...............

(852)

(172,494)

68.2

Fortescue

Metals

Group

Ltd.

..

(9,754)

(119,326)

47.2

Insurance

Australia

Group

Ltd.

(10,230)

(34,339)

13.6

National

Australia

Bank

Ltd.

..

(19,072)

(249,519)

98.6

Newcrest

Mining

Ltd.

.......

(1,350)

(27,996)

11.1

Sydney

Airport

...........

(144,866)

(555,428)

219.5

(1,159,102)

Austria

Erste

Group

Bank

AG

......

(2,720)

(55,911)

22.1

voestalpine

AG

...........

(1,006)

(27,974)

11.1

(83,885)

Belgium

Anheuser-Busch

InBev

SA/NV

(4,948)

(255,941)

101.1

Umicore

SA

.............

(3,416)

(131,691)

52.0

(387,632)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(1,050)

(169,806)

67.1

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

..............

(1,031)

(31,751)

12.6

Bank

of

Montreal

.........

(1,971)

(117,361)

46.4

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(767)

(22,792)

9.0

Canadian

Imperial

Bank

of

Commerce

...........

(297)

(22,154)

8.8

Canadian

National

Railway

Co.

(2,930)

(291,065)

115.0

Canadian

Natural

Resources

Ltd.

................

(1,740)

(27,687)

10.9

Canadian

Utilities

Ltd.,

Class

A

(3,435)

(80,287)

31.7

CGI,

Inc.

...............

(9,970)

(618,644)

244.5

Dollarama,

Inc.

...........

(3,010)

(103,654)

41.0

Emera,

Inc.

.............

(3,590)

(143,217)

56.6

Intact

Financial

Corp.

.......

(2,133)

(220,328)

87.1

BlackRock

Total

Factor

Fund

37

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Canada

(continued)

Metro,

Inc.

..............

(2,730)

$

(127,351)

50.3

%

Power

Corp.

of

Canada

.....

(5,796)

(110,369)

43.6

Shaw

Communications,

Inc.,

Class

B

..............

(10,130)

(166,895)

66.0

Toronto-Dominion

Bank

(The)

.

(5,920)

(261,186)

103.2

(2,344,741)

Denmark

H

Lundbeck

A/S

..........

(1,910)

(53,846)

21.3

Vestas

Wind

Systems

A/S

...

(388)

(66,567)

26.3

(120,413)

Finland

Kone

OYJ,

Class

B

........

(1,981)

(157,713)

62.3

France

Aeroports

de

Paris

........

(1,132)

(110,775)

43.8

Airbus

SE

..............

(1,030)

(75,361)

29.8

Arkema

SA

.............

(917)

(89,811)

35.5

AXA

SA

................

(12,229)

(196,389)

77.6

Bouygues

SA

............

(6,930)

(227,258)

89.8

Capgemini

SE

...........

(400)

(46,187)

18.3

Danone

SA

.............

(453)

(25,126)

9.9

Eiffage

SA

..............

(423)

(30,700)

12.1

Getlink

SE

..............

(5,460)

(73,438)

29.0

Ingenico

Group

SA

........

(1,378)

(198,123)

78.3

Kering

SA

..............

(80)

(48,345)

19.1

L'Oreal

SA

..............

(2,435)

(786,957)

311.0

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(955)

(447,654)

176.9

Orpea

.................

(2,644)

(264,094)

104.4

Valeo

SA

...............

(4,560)

(137,946)

54.5

Vinci

SA

...............

(1,906)

(150,546)

59.5

Worldline

SA

............

(3,231)

(239,309)

94.6

(3,148,019)

Germany

adidas

AG

..............

(560)

(166,379)

65.8

Bayerische

Motoren

Werke

AG

(335)

(22,893)

9.1

Beiersdorf

AG

............

(1,170)

(122,510)

48.4

Carl

Zeiss

Meditec

AG

......

(1,470)

(189,939)

75.1

Deutsche

Wohnen

SE

......

(1,850)

(93,375)

36.9

MTU

Aero

Engines

AG

......

(746)

(127,507)

50.4

Porsche

Automobil

Holding

SE

(Preference)

..........

(470)

(25,179)

10.0

Siemens

Healthineers

AG

....

(2,600)

(111,615)

44.1

Uniper

SE

..............

(11,104)

(331,670)

131.1

(1,191,067)

Italy

Davide

Campari-Milano

NV

..

(4,090)

(42,746)

16.9

Infrastrutture

Wireless

Italiane

SpA

................

(11,190)

(120,870)

47.8

Nexi

SpA

...............

(5,923)

(91,179)

36.0

(254,795)

Japan

Chubu

Electric

Power

Co.,

Inc.

(19,900)

(222,916)

88.1

Dai-ichi

Life

Holdings,

Inc.

...

(7,400)

(110,522)

43.7

Daikin

Industries

Ltd.

.......

(2,500)

(467,833)

184.9

Daiwa

House

Industry

Co.

Ltd.

(9,900)

(260,120)

102.8

Dentsu

Group,

Inc.

........

(2,400)

(69,187)

27.3

Disco

Corp.

.............

(100)

(26,991)

10.7

FUJIFILM

Holdings

Corp.

....

(3,300)

(168,275)

66.5

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(300)

(7,399)

2.9

Idemitsu

Kosan

Co.

Ltd.

.....

(14,600)

(295,270)

116.7

Shares

Value

%

of

Basket

Value

Japan

(continued)

Isuzu

Motors

Ltd.

.........

(4,600)

$

(37,322)

14.8

%

Japan

Airlines

Co.

Ltd.

......

(800)

(13,973)

5.5

Japan

Post

Holdings

Co.

Ltd.

.

(28,000)

(192,121)

75.9

Japan

Tobacco,

Inc.

.......

(11,700)

(220,278)

87.1

Kintetsu

Group

Holdings

Co.

Ltd.

................

(11,100)

(443,506)

175.3

Kirin

Holdings

Co.

Ltd.

......

(13,100)

(236,172)

93.3

Komatsu

Ltd.

............

(8,000)

(180,364)

71.3

Kubota

Corp.

............

(13,300)

(231,128)

91.3

M3,

Inc.

................

(800)

(54,029)

21.4

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(9,700)

(38,236)

15.1

Mitsui

&

Co.

Ltd.

..........

(7,500)

(117,476)

46.4

Mitsui

Fudosan

Co.

Ltd.

.....

(8,800)

(149,843)

59.2

Murata

Manufacturing

Co.

Ltd.

(500)

(35,064)

13.9

Nippon

Paint

Holdings

Co.

Ltd.

(500)

(45,040)

17.8

Nomura

Research

Institute

Ltd.

(9,400)

(277,088)

109.5

Obic

Co.

Ltd.

............

(1,900)

(336,382)

132.9

Odakyu

Electric

Railway

Co.

Ltd.

(1,000)

(24,132)

9.5

Omron

Corp.

............

(1,900)

(137,191)

54.2

Oriental

Land

Co.

Ltd.

......

(400)

(55,991)

22.1

Otsuka

Corp.

............

(2,800)

(128,665)

50.9

Pan

Pacific

International

Holdings

Corp.

.........

(5,300)

(112,458)

44.4

Secom

Co.

Ltd.

...........

(400)

(33,792)

13.4

Shiseido

Co.

Ltd.

.........

(3,400)

(210,484)

83.2

Sompo

Holdings,

Inc.

......

(1,700)

(63,471)

25.1

Sumitomo

Corp.

..........

(10,400)

(113,782)

45.0

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(8,600)

(230,130)

91.0

Suzuki

Motor

Corp.

........

(2,100)

(90,190)

35.6

T&D

Holdings,

Inc.

........

(10,900)

(108,935)

43.1

Takeda

Pharmaceutical

Co.

Ltd.

(9,100)

(281,214)

111.1

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(81,100)

(209,268)

82.7

Tokyo

Gas

Co.

Ltd.

........

(1,900)

(43,053)

17.0

Toyota

Motor

Corp.

........

(5,000)

(328,235)

129.7

(6,407,526)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(14,710)

(120,832)

47.8

Aegon

NV

..............

(32,933)

(88,590)

35.0

ASML

Holding

NV

.........

(82)

(29,668)

11.7

Heineken

NV

............

(2,600)

(230,146)

91.0

(469,236)

Spain

Cia

de

Distribucion

Integral

Logista

Holdings

SA

.....

(54)

(912)

0.4

Enagas

SA

.............

(9,510)

(205,262)

81.1

Ferrovial

SA

.............

(6,600)

(142,940)

56.5

(349,114)

Sweden

ICA

Gruppen

AB

..........

(1,470)

(69,587)

27.5

L

E

Lundbergforetagen

AB,

Class

B

..................

(484)

(21,754)

8.6

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(4,520)

(61,140)

24.2

Svenska

Handelsbanken

AB,

Class

A

..............

(786)

(6,369)

2.5

Swedbank

AB,

Class

A

......

(8,728)

(136,642)

54.0

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

(3,674)

(41,018)

16.2

BlackRock

Total

Factor

Fund

38

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Telia

Co.

AB

.............

(54,844)

$

(209,841)

82.9

%

(546,351)

Switzerland

ABB

Ltd.

(Registered)

......

(7,172)

(174,029)

68.8

Barry

Callebaut

AG

(Registered)

(79)

(163,107)

64.5

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(79)

(626,349)

247.5

Cie

Financiere

Richemont

SA

.

(1,972)

(123,257)

48.7

Clariant

AG

(Registered)

....

(11,538)

(197,943)

78.2

Schindler

Holding

AG

......

(903)

(231,317)

91.4

Schindler

Holding

AG

(Registered)

...........

(96)

(24,676)

9.7

Sika

AG

(Registered)

.......

(473)

(116,360)

46.0

Swiss

Re

AG

............

(6,270)

(449,939)

177.8

Temenos

AG

(Registered)

...

(1,070)

(114,995)

45.4

Vifor

Pharma

AG

..........

(835)

(93,976)

37.1

(2,315,948)

Taiwan

Formosa

Chemicals

&

Fibre

Corp.

...............

(12,000)

(28,902)

11.4

Taiwan

Cement

Corp.

......

(36,000)

(51,090)

20.2

(79,992)

United

Kingdom

AstraZeneca

plc

..........

(830)

(83,337)

32.9

Auto

Trader

Group

plc

......

(13,400)

(100,747)

39.8

Barratt

Developments

plc

....

(21,129)

(132,069)

52.2

British

American

Tobacco

plc

.

(8,020)

(254,197)

100.5

CNH

Industrial

NV

.........

(17,830)

(138,248)

54.6

HSBC

Holdings

plc

........

(82,161)

(344,303)

136.1

Informa

plc

..............

(35,980)

(195,214)

77.2

London

Stock

Exchange

Group

plc

.................

(1,228)

(132,376)

52.3

Melrose

Industries

plc

......

(24,591)

(38,147)

15.1

National

Grid

plc

..........

(27,395)

(325,877)

128.8

Royal

Bank

of

Scotland

Group

plc

.................

(76,923)

(124,027)

49.0

Smiths

Group

plc

.........

(18,772)

(323,442)

127.8

Spirax-Sarco

Engineering

plc

.

(938)

(137,130)

54.2

Standard

Chartered

plc

.....

(9,956)

(45,497)

18.0

Tesco

plc

...............

(194,857)

(518,621)

205.0

Whitbread

plc

............

(13,114)

(365,130)

144.3

Wm

Morrison

Supermarkets

plc

(73,530)

(155,213)

61.3

(3,413,575)

United

States

3M

Co.

................

(1,385)

(221,545)

87.6

Alleghany

Corp.

..........

(42)

(22,971)

9.1

AmerisourceBergen

Corp.

...

(1,170)

(112,402)

44.4

Amgen,

Inc.

.............

(525)

(113,893)

45.0

Analog

Devices,

Inc.

.......

(893)

(105,847)

41.8

ANSYS,

Inc.

.............

(96)

(29,220)

11.5

Anthem,

Inc.

............

(450)

(122,760)

48.5

Apple,

Inc.

..............

(1,869)

(203,459)

80.4

Archer-Daniels-Midland

Co.

..

(1,283)

(59,326)

23.4

Ball

Corp.

..............

(4,573)

(406,997)

160.9

Baxter

International,

Inc.

....

(1,260)

(97,738)

38.6

Becton

Dickinson

and

Co.

...

(482)

(111,405)

44.0

BioMarin

Pharmaceutical,

Inc.

.

(2,243)

(166,946)

66.0

Black

Knight,

Inc.

.........

(779)

(68,513)

27.1

Blackstone

Group,

Inc.

(The),

Class

A

..............

(432)

(21,781)

8.6

Boeing

Co.

(The)

.........

(1,897)

(273,908)

108.3

BorgWarner,

Inc.

..........

(4,327)

(151,358)

59.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

Boston

Scientific

Corp.

......

(5,265)

$

(180,432)

71.3

%

Broadcom,

Inc.

...........

(977)

(341,589)

135.0

Broadridge

Financial

Solutions,

Inc.

.................

(2,360)

(324,736)

128.3

Cabot

Oil

&

Gas

Corp.

......

(10,020)

(178,256)

70.4

CarMax,

Inc.

............

(3,150)

(272,286)

107.6

Caterpillar,

Inc.

...........

(3,576)

(561,611)

222.0

CDW

Corp.

.............

(462)

(56,641)

22.4

Centene

Corp.

...........

(431)

(25,472)

10.1

CenturyLink,

Inc.

..........

(3,110)

(26,808)

10.6

Cheniere

Energy,

Inc.

......

(3,360)

(160,843)

63.6

Chevron

Corp.

...........

(2,886)

(200,577)

79.3

Cincinnati

Financial

Corp.

....

(1,010)

(71,447)

28.2

Coca-Cola

Co.

(The)

.......

(6,941)

(333,584)

131.8

Consolidated

Edison,

Inc.

....

(530)

(41,600)

16.4

Cooper

Cos.,

Inc.

(The)

.....

(110)

(35,095)

13.9

CoStar

Group,

Inc.

........

(730)

(601,235)

237.6

Coupa

Software,

Inc.

.......

(337)

(90,215)

35.7

Diamondback

Energy,

Inc.

...

(830)

(21,547)

8.5

Discovery,

Inc.,

Class

A

.....

(5,580)

(104,530)

41.3

Dominion

Energy,

Inc.

......

(3,118)

(250,500)

99.0

DuPont

de

Nemours,

Inc.

....

(4,744)

(269,839)

106.6

Eastman

Chemical

Co.

.....

(2,497)

(201,857)

79.8

EPAM

Systems,

Inc.

.......

(430)

(132,849)

52.5

Essential

Utilities,

Inc.

......

(7,301)

(300,801)

118.9

Everest

Re

Group

Ltd.

......

(190)

(37,445)

14.8

Eversource

Energy

........

(510)

(44,508)

17.6

Fidelity

National

Information

Services,

Inc.

..........

(267)

(33,266)

13.1

FirstEnergy

Corp.

.........

(2,287)

(67,970)

26.9

Fortive

Corp.

............

(503)

(30,985)

12.2

Gartner,

Inc.

.............

(2,811)

(337,601)

133.4

Genuine

Parts

Co.

........

(854)

(77,227)

30.5

Globe

Life,

Inc.

...........

(206)

(16,705)

6.6

Guidewire

Software,

Inc.

....

(5,774)

(554,939)

219.3

Halliburton

Co.

...........

(13,533)

(163,208)

64.5

Henry

Schein,

Inc.

.........

(2,680)

(170,394)

67.3

Hess

Corp.

.............

(660)

(24,565)

9.7

Honeywell

International,

Inc.

..

(4,265)

(703,512)

278.0

Hormel

Foods

Corp.

.......

(10,868)

(529,163)

209.1

Howmet

Aerospace,

Inc.

....

(1,043)

(17,992)

7.1

IDEX

Corp.

.............

(245)

(41,746)

16.5

Ingersoll

Rand,

Inc.

........

(18,630)

(650,932)

257.3

International

Business

Machines

Corp.

...............

(2,301)

(256,930)

101.5

Intuitive

Surgical,

Inc.

......

(178)

(118,740)

46.9

Jacobs

Engineering

Group,

Inc.

(5,624)

(534,280)

211.2

Kellogg

Co.

.............

(2,440)

(153,452)

60.6

Keurig

Dr

Pepper,

Inc.

......

(1,050)

(28,245)

11.2

Kimberly-Clark

Corp.

.......

(1,574)

(208,697)

82.5

KKR

&

Co.,

Inc.

..........

(1,312)

(44,805)

17.7

KLA

Corp.

..............

(130)

(25,633)

10.1

Kraft

Heinz

Co.

(The)

.......

(6,891)

(210,796)

83.3

Laboratory

Corp.

of

America

Holdings

.............

(1,650)

(329,621)

130.3

Las

Vegas

Sands

Corp.

.....

(5,805)

(278,988)

110.3

Lear

Corp.

..............

(798)

(96,406)

38.1

Lincoln

National

Corp.

......

(1,417)

(49,737)

19.7

Marriott

International,

Inc.,

Class

A

..................

(1,863)

(173,035)

68.4

Martin

Marietta

Materials,

Inc.

.

(916)

(243,977)

96.4

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(713)

(128,704)

50.9

Microchip

Technology,

Inc.

...

(1,930)

(202,804)

80.2

BlackRock

Total

Factor

Fund

39

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Shares

Value

%

of

Basket

Value

United

States

(continued)

Molson

Coors

Beverage

Co.,

Class

B

..............

(2,627)

$

(92,628)

36.6

%

Newmont

Corp.

..........

(419)

(26,330)

10.4

Norfolk

Southern

Corp.

.....

(1,808)

(378,089)

149.4

Northern

Trust

Corp.

.......

(790)

(61,833)

24.4

NortonLifeLock,

Inc.

.......

(9,370)

(192,741)

76.2

Nucor

Corp.

.............

(1,880)

(89,789)

35.5

ONEOK,

Inc.

............

(3,680)

(106,720)

42.2

Packaging

Corp.

of

America

..

(1,245)

(142,540)

56.3

Pfizer,

Inc.

..............

(3,800)

(134,824)

53.3

Pinnacle

West

Capital

Corp.

..

(1,830)

(149,273)

59.0

Progressive

Corp.

(The)

.....

(1,898)

(174,426)

68.9

Public

Service

Enterprise

Group,

Inc.

.................

(910)

(52,916)

20.9

Quest

Diagnostics,

Inc.

.....

(3,184)

(388,894)

153.7

Raymond

James

Financial,

Inc.

(1,555)

(118,864)

47.0

ResMed,

Inc.

............

(462)

(88,676)

35.0

Roper

Technologies,

Inc.

....

(795)

(295,215)

116.7

Ross

Stores,

Inc.

.........

(2,230)

(189,929)

75.1

salesforce.com,

Inc.

.......

(570)

(132,394)

52.3

State

Street

Corp.

.........

(1,062)

(62,552)

24.7

Teladoc,

Inc.

............

(103)

(20,235)

8.0

Teleflex,

Inc.

.............

(350)

(111,380)

44.0

Tiffany

&

Co.

............

(2,500)

(327,100)

129.3

Shares

Value

%

of

Basket

Value

United

States

(continued)

T-Mobile

US,

Inc.

.........

(4,170)

$

(456,907)

180.6

%

Travelers

Cos.,

Inc.

(The)

....

(235)

(28,367)

11.2

Tyler

Technologies,

Inc.

.....

(160)

(61,501)

24.3

Tyson

Foods,

Inc.,

Class

A

...

(1,508)

(86,303)

34.1

Vail

Resorts,

Inc.

..........

(690)

(160,108)

63.3

Verisk

Analytics,

Inc.

.......

(257)

(45,738)

18.1

VF

Corp.

...............

(5,360)

(360,192)

142.4

ViacomCBS,

Inc.

..........

(14,511)

(414,579)

163.8

Voya

Financial,

Inc.

........

(3,060)

(146,666)

58.0

Vulcan

Materials

Co.

.......

(1,247)

(180,615)

71.4

Walt

Disney

Co.

(The)

......

(1,055)

(127,919)

50.6

Waste

Connections,

Inc.

.....

(324)

(32,180)

12.7

Waste

Management,

Inc.

....

(1,070)

(115,464)

45.6

Wells

Fargo

&

Co.

.........

(1,336)

(28,657)

11.3

Western

Union

Co.

(The)

....

(8,480)

(164,851)

65.2

Williams

Cos.,

Inc.

(The)

....

(4,460)

(85,587)

33.8

Wynn

Resorts

Ltd.

........

(2,261)

(163,764)

64.7

Xcel

Energy,

Inc.

..........

(230)

(16,107)

6.4

Xilinx,

Inc.

..............

(902)

(107,058)

42.3

Zoetis,

Inc.

..............

(2,382)

(377,666)

149.3

(20,159,004)

Total

Reference

Entity

—

Short

............

(42,757,919)

Net

Value

of

Reference

Entity

—

Merrill

Lynch

International

&

Co.

.....................

$

(253,030)

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

3

month

LIBOR

.......................................

London

Interbank

Offered

Rate

0.22

%

Glossary

of

Terms

Used

in

this

Report

Currency

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

EUR

Euro

GBP

British

Pound

HKD

Hong

Kong

Dollar

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXN

Mexican

Peso

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

RUB

New

Russian

Ruble

SEK

Swedish

Krona

SGD

Singapore

Dollar

TWD

Taiwan

New

Dollar

USD

United

States

Dollar

Portfolio

Abbreviations

ADR

American

Depositary

Receipts

CDI

Crest

Depository

Interests

CVA

Certification

Van

Aandelon

(Dutch

Certificate)

FDR

Fiduciary

Depositary

Receipt

LIBOR

London

Interbank

Offered

Rate

MSCI

Morgan

Stanley

Capital

International

OTC

Over-the-counter

RBOB

Reformulated

Gasoline

Blend

Stock

for

Oxygen

Blending

S&P

Standard

&

Poor's

SCA

Svenska

Cellulosa

Aktiebolaget

WTI

West

Texas

Intermediate

BlackRock

Total

Factor

Fund

40

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Fair

Value

Hierarchy

as

of

Period

End

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

the

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)

•    

Level

3

—

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

      (including

the

BlackRock

Global

Valuation

Methodologies

Committee's

(the

"Global

Valuation

Committee's")

assumptions

used

in

determining

the

fair

value

of

financial

instruments)

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.

There

may

not

be

a

secondary

market,

and/or

there

are

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.

For

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

its

most

recent

financial

statements.

The

following

tables

summarize

the

Fund’s

investments

and

derivative

financial

instruments

categorized

in

the

disclosure

hierarchy.

The

breakdown

of

the

Fund's

investments

into

major

categories

is

disclosed

in

the

Consolidated

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets:

Investments:

Long-Term

Investments:

Common

Stocks

.........................................

$

258

$

—

$

—

$

258

Foreign

Government

Obligations

..............................

—

10,555,617

—

10,555,617

U.S.

Treasury

Obligations

...................................

—

10,129,795

—

10,129,795

Short-Term

Securities:

Money

Market

Funds

......................................

6,188,713

—

—

6,188,713

U.S.

Treasury

Obligations

...................................

—

147,900,299

—

147,900,299

Options

Purchased:

Interest

rate

contracts

......................................

—

115,178

—

115,178

$

6,188,971

$

168,700,889

$

—

$

174,889,860

Derivative

Financial

Instruments

(a)

Assets:

Commodity

contracts

.......................................

$

353,716

$

—

$

—

$

353,716

Credit

contracts

...........................................

—

5,672

—

5,672

Equity

contracts

...........................................

1,270,268

658,135

—

1,928,403

Foreign

currency

exchange

contracts

............................

—

6,298,564

—

6,298,564

Interest

rate

contracts

.......................................

1,521,290

—

—

1,521,290

Liabilities:

Commodity

contracts

.......................................

(1,640,077)

—

—

(1,640,077)

Credit

contracts

...........................................

—

(78,343)

—

(78,343)

Equity

contracts

...........................................

(2,051,223)

(2,573,378)

—

(4,624,601)

Foreign

currency

exchange

contracts

............................

—

(4,851,991)

—

(4,851,991)

Interest

rate

contracts

.......................................

(1,920,003)

—

—

(1,920,003)

$

(2,466,029)

$

(541,341)

$

—

$

(3,007,370)

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts.

Swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument.