BlackRock

Total

Factor

Fund

1

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(unaudited)

April

30,

2021

Security

Shares

Shares

Value

Common

Stocks

—

0.0%

United

States

—

0.0%

Avaya

Holdings

Corp.

(a)

..........

15

$

431

Total

Common

Stocks

—

0.0%

(Cost:

$208)

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

431

Par

(000)

Pa

r

(

000)

Foreign

Government

Obligations

—

5.8%

Australia

—

1.4%

Commonwealth

of

Australia:

3.00%,

09/20/25

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

AUD

846

784,601

0.75%,

11/21/27

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

553

478,145

2.50%,

09/20/30

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

623

618,588

2.00%,

08/21/35

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

435

432,888

1.25%,

08/21/40

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

351

320,084

1.00%,

02/21/50

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

351

310,733

2,945,039

Canada

—

1.7%

Canadian

Government

Bond:

4.25%,

12/01/26

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

CAD

476

502,116

4.00%,

12/01/31

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

506

597,613

3.00%,

12/01/36

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

453

528,236

2.00%,

12/01/41

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

471

506,439

1.50%,

12/01/44

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

532

533,126

1.25%,

12/01/47

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

499

489,313

0.50%,

12/01/50

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

467

389,647

3,546,490

France

—

1.0%

French

Republic:

1.10%,

07/25/22

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

EUR

122

153,398

2.10%,

07/25/23

(b)

...........

182

238,734

0.25%,

07/25/24

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

131

170,120

0.10%,

03/01/25

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

78

100,635

0.10%,

03/01/26

(b)

...........

45

59,282

1.85%,

07/25/27

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

202

300,237

0.10%,

03/01/28

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

77

103,060

0.10%,

03/01/29

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

87

118,988

3.40%,

07/25/29

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

71

121,093

0.70%,

07/25/30

(b)

...........

96

139,343

0.10%,

07/25/31

(b)

...........

47

65,463

3.15%,

07/25/32

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

91

168,668

0.10%,

03/01/36

(b)

...........

45

64,067

0.10%,

07/25/36

(b)

...........

42

60,948

1.80%,

07/25/40

(b)

...........

102

195,664

0.10%,

07/25/47

(b)

...........

81

122,941

2,182,641

Germany

—

0.3%

Federal

Republic

of

Germany:

0.10%,

04/15/23

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

118

147,671

0.10%,

04/15/26

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

132

175,229

0.50%,

04/15/30

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

152

220,259

0.10%,

04/15/33

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

9

13,159

0.10%,

04/15/46

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

78

131,930

688,248

United

Kingdom

—

1.4%

U.K.

Treasury

Inflation

Linked

Bonds:

1.88%,

11/22/22

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

GBP

42

62,536

0.13%,

03/22/24

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

77

116,417

2.50%,

07/17/24

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

36

58,573

0.13%,

03/22/26

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

49

78,828

Security

Par

(000)

Par

(000)

Value

United

Kingdom

(continued)

1.25%,

11/22/27

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

GBP

41

$

73,535

0.13%,

08/10/28

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

73

124,197

0.13%,

03/22/29

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

47

81,387

4.13%,

07/22/30

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

24

55,658

0.13%,

08/10/31

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

20

36,649

1.25%,

11/22/32

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

41

85,162

0.75%,

03/22/34

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

60

122,284

2.00%,

01/26/35

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

32

75,029

0.13%,

11/22/36

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

57

114,950

1.13%,

11/22/37

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

41

96,271

0.63%,

03/22/40

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

52

119,796

0.13%,

08/10/41

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

40

88,048

0.63%,

11/22/42

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

40

98,375

0.13%,

03/22/44

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

56

128,293

0.13%,

03/22/46

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

46

108,566

0.75%,

11/22/47

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

37

102,302

0.13%,

08/10/48

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

34

85,451

0.50%,

03/22/50

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

46

126,696

0.13%,

03/22/51

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

5

12,970

0.25%,

03/22/52

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

43

116,124

1.25%,

11/22/55

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

43

154,835

0.13%,

11/22/56

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

20

57,866

0.13%,

03/22/58

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

34

99,230

0.38%,

03/22/62

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

43

144,705

0.13%,

11/22/65

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

24

82,533

0.13%,

03/22/68

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

40

150,474

2,857,740

Total

Foreign

Government

Obligations

—

5.8%

(Cost:

$11,243,216)

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

12,220,158

U.S.

Treasury

Obligations

—

5.5%

U.S.

Treasury

Inflation

Linked

Bonds:

2.38%, 01/15/25

-

01/15/27

.....

USD

348

417,510

2.00%, 01/15/26

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

192

228,779

1.75%, 01/15/28

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

110

134,248

3.63%, 04/15/28

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

154

209,800

2.50%, 01/15/29

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

98

126,774

3.88%, 04/15/29

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

176

248,964

3.38%, 04/15/32

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

39

56,951

2.13%, 02/15/40

-

02/15/41

.....

337

492,030

0.75%, 02/15/42

-

02/15/45

.....

374

439,452

0.63%, 02/15/43

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

186

213,881

1.38%, 02/15/44

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

184

243,878

1.00%, 02/15/46

-

02/15/49

.....

402

506,660

0.88%, 02/15/47

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

167

204,178

0.25%, 02/15/50

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

87

92,689

0.13%, 02/15/51

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

84

86,425

U.S.

Treasury

Inflation

Linked

Notes:

0.13%, 04/15/22

-

01/15/31

.....

3,103

3,344,965

0.63%, 04/15/23

-

01/15/26

.....

1,128

1,227,083

0.38%, 07/15/23

-

07/15/27

.....

1,241

1,370,980

0.50%, 04/15/24

-

01/15/28

.....

783

867,562

0.25%, 01/15/25

-

07/15/29

.....

619

683,847

0.75%, 07/15/28

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

217

250,078

0.88%, 01/15/29

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

296

343,366

Total

U.S.

Treasury

Obligations

—

5.5%

(Cost:

$11,188,898)

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

11,790,100

Total

Long-Term

Investments

—

11.3%

(Cost:

$22,432,322)

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

24,010,689

BlackRock

Total

Factor

Fund

2

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Security

Shares

Shares

Value

Short-Term

Securities

—

65.4%

Money

Market

Funds

—

9.8%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

0.02%

(c)*

.....

20,753,329

$

20,753,329

Total

Money

Market

Funds

—

9.8%

(Cost:

$20,753,329)

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

20,753,329

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

55.6%

U.S.

Treasury

Bills

(d)

:

0.05%, 03/24/22

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

USD

30,000

29,987,745

0.09%, 08/12/21

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

33,000

32,998,496

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

0.10%, 07/15/21

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

USD

35,000

$

34,999,024

0.18%, 05/20/21

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

20,295

20,294,904

Total

U.S.

Treasury

Obligations

—

55.6%

(Cost:

$118,263,439)

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

118,280,169

Total

Short-Term

Securities

—

65.4%

(Cost:

$139,016,768)

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

139,033,498

Total

Options

Purchased

—

0.2%

(Cost:

$307,030)

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

375,968

Total

Investments

—

76.9%

(Cost:

$161,756,120)

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

163,420,155

Other

Assets

Less

Liabilities

—

23.1%

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

49,044,861

Net

Assets

—

100.0%

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

$

212,465,016

(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

April

30,

2021

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

04/30/21

Shares

Held

at

04/30/21

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

(a)

..

$

50,698,955

$

—

$

(29,945,626)

$

—

$

—

$

20,753,329

20,753,329

$

3,713

$

—

—

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

Total

Factor

Fund

3

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

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

WTI

Crude

Oil

(a)

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

59

05/20/21

$

3,751

$

91,338

AEX

Index

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

16

05/21/21

2,709

(10,564)

CAC

40

10

Euro

Index

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

66

05/21/21

4,932

22,591

Brent

Crude

Oil

(a)

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

122

05/28/21

8,145

61,446

FTSE

China

A50

Index

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

922

05/28/21

15,929

192,336

Euro-Bund

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

629

06/08/21

128,557

(1,140,801)

Low

Sulphur

Gasoil

(a)

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

78

06/10/21

4,173

82,255

TOPIX

Index

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

85

06/10/21

14,789

(359,051)

Australia

10

Year

Bond

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

705

06/15/21

75,702

658,919

DAX

Index

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

14

06/18/21

6,383

210,022

FTSE/MIB

Index

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

57

06/18/21

8,193

(161,115)

S&P

500

E-Mini

Index

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

23

06/18/21

4,801

115,015

100

oz

Gold

(a)

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

30

06/28/21

5,303

108,452

Long

Gilt

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

190

06/28/21

33,501

(298,659)

Silver

(a)

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

10

07/28/21

1,294

(928)

(428,744)

Short

Contracts

IBEX

35

Index

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

21

05/21/21

2,224

(85,995)

OMXS30

Index

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

347

05/21/21

9,096

46,107

Natural

Gas

(a)

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

96

05/26/21

2,814

(118,564)

SGX

NIFTY

50

Index

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

434

05/27/21

12,709

(69,307)

RBOB

Gasoline

(a)

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

20

05/28/21

1,744

(40,601)

S&P/TSX

60

Index

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

24

06/17/21

4,434

28,633

SPI

200

Index

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

108

06/17/21

14,564

(544,382)

FTSE

100

Index

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

132

06/18/21

12,647

(187,235)

Canada

10

Year

Bond

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

600

06/21/21

68,027

924,404

U.S.

Treasury

10

Year

Note

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

249

06/21/21

32,899

(128,263)

(175,203)

$

(603,947)

(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

40,000

USD

31,801

UBS

AG

05/04/21

$

742

USD

620,617

GBP

449,000

UBS

AG

05/04/21

526

CAD

91,000

USD

73,910

Toronto

Dominion

Bank

06/02/21

128

USD

725,268

AUD

935,000

Barclays

Bank

plc

06/02/21

4,892

USD

724,714

AUD

935,000

Goldman

Sachs

International

06/02/21

4,338

USD

725,838

AUD

935,000

Toronto

Dominion

Bank

06/02/21

5,462

USD

57,035

AUD

74,000

UBS

AG

06/02/21

21

USD

732,905

AUD

944,350

Westpac

Banking

Corp.

06/02/21

5,325

USD

916,158

CAD

1,125,000

Barclays

Bank

plc

06/02/21

841

USD

916,383

CAD

1,125,000

Goldman

Sachs

International

06/02/21

1,066

USD

916,184

CAD

1,125,000

Toronto

Dominion

Bank

06/02/21

867

USD

914,597

CAD

1,123,080

Westpac

Banking

Corp.

06/02/21

842

USD

731,191

EUR

605,000

Barclays

Bank

plc

06/02/21

3,403

USD

731,254

EUR

605,000

Goldman

Sachs

International

06/02/21

3,466

USD

731,586

EUR

605,000

Toronto

Dominion

Bank

06/02/21

3,798

USD

724,057

EUR

598,874

Westpac

Banking

Corp.

06/02/21

3,638

USD

716,305

GBP

515,000

Barclays

Bank

plc

06/02/21

5,019

USD

715,221

GBP

515,000

Goldman

Sachs

International

06/02/21

3,935

BlackRock

Total

Factor

Fund

4

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

716,863

GBP

515,000

Toronto

Dominion

Bank

06/02/21

$

5,576

USD

709,120

GBP

509,499

Westpac

Banking

Corp.

06/02/21

5,432

AUD

5,881,000

(a)

USD

4,493,083

Morgan

Stanley

&

Co.

International

plc

06/16/21

38,273

BRL

100,653,000

(a)

USD

17,950,873

Goldman

Sachs

International

06/16/21

504,650

BRL

6,276,000

(a)

USD

1,104,152

JPMorgan

Chase

Bank

NA

06/16/21

46,602

BRL

35,433,000

(a)

USD

6,280,810

Standard

Chartered

Bank

06/16/21

216,110

CAD

56,387,990

(a)

USD

44,672,507

Morgan

Stanley

&

Co.

International

plc

06/16/21

1,207,480

CHF

262,000

(a)

USD

281,367

Morgan

Stanley

&

Co.

International

plc

06/16/21

5,859

GBP

821,000

(a)

USD

1,123,827

Morgan

Stanley

&

Co.

International

plc

06/16/21

10,146

INR

39,535,000

(a)

USD

524,302

Barclays

Bank

plc

06/16/21

5,113

INR

16,506,000

(a)

USD

217,090

Goldman

Sachs

International

06/16/21

3,943

JPY

1,187,538,000

(a)

USD

10,761,384

Morgan

Stanley

&

Co.

International

plc

06/16/21

108,418

KRW

654,026,000

(a)

USD

583,545

Societe

Generale

SA

06/16/21

1,485

MXN

779,840,000

(a)

USD

36,548,722

Morgan

Stanley

&

Co.

International

plc

06/16/21

1,758,436

NZD

2,901,000

(a)

USD

2,023,749

Morgan

Stanley

&

Co.

International

plc

06/16/21

51,861

RUB

203,506,000

(a)

USD

2,647,876

Goldman

Sachs

International

06/16/21

42,865

USD

4,173,698

(a)

AUD

5,401,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

12,186

USD

2,160,885

(a)

EUR

1,788,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

9,314

USD

6,339,204

(a)

GBP

4,565,006

Morgan

Stanley

&

Co.

International

plc

06/16/21

33,975

USD

1,933,023

(a)

JPY

208,939,313

Morgan

Stanley

&

Co.

International

plc

06/16/21

20,554

USD

6,002,886

(a)

MXN

120,954,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

61,406

USD

6,817,208

(a)

NZD

9,491,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

26,578

USD

5,020,560

(a)

RUB

378,873,000

Goldman

Sachs

International

06/16/21

11,130

4,235,701

USD

547,847

AUD

720,000

Barclays

Bank

plc

05/04/21

(6,805)

USD

547,857

AUD

720,000

Goldman

Sachs

International

05/04/21

(6,795)

USD

546,374

AUD

718,350

Toronto

Dominion

Bank

05/04/21

(7,007)

USD

1,172,825

AUD

1,542,000

UBS

AG

05/04/21

(15,055)

USD

37,286

AUD

49,000

Westpac

Banking

Corp.

05/04/21

(461)

USD

702,745

CAD

885,000

Barclays

Bank

plc

05/04/21

(17,265)

USD

702,740

CAD

885,000

Goldman

Sachs

International

05/04/21

(17,270)

USD

694,682

CAD

875,080

Toronto

Dominion

Bank

05/04/21

(17,257)

USD

1,504,291

CAD

1,893,000

UBS

AG

05/04/21

(35,798)

USD

533,704

EUR

455,000

Barclays

Bank

plc

05/04/21

(13,320)

USD

533,795

EUR

455,000

Goldman

Sachs

International

05/04/21

(13,229)

USD

562,969

EUR

479,874

Toronto

Dominion

Bank

05/04/21

(13,959)

USD

1,203,362

EUR

1,024,000

UBS

AG

05/04/21

(27,742)

USD

543,888

GBP

395,000

Barclays

Bank

plc

05/04/21

(1,627)

USD

576,963

GBP

419,000

Goldman

Sachs

International

05/04/21

(1,697)

USD

545,858

GBP

396,499

Toronto

Dominion

Bank

05/04/21

(1,727)

USD

543,778

GBP

395,000

UBS

AG

05/04/21

(1,737)

AUD

9,973,000

(a)

USD

7,717,165

Morgan

Stanley

&

Co.

International

plc

06/16/21

(32,892)

BRL

41,060,000

(a)

USD

7,566,892

BNP

Paribas

SA

06/16/21

(38,217)

GBP

13,877,000

(a)

USD

19,310,909

Morgan

Stanley

&

Co.

International

plc

06/16/21

(143,867)

INR

2,143,568,333

(a)

USD

28,843,432

Barclays

Bank

plc

06/16/21

(138,793)

INR

614,158,000

(a)

USD

8,266,478

Morgan

Stanley

&

Co.

International

plc

06/16/21

(42,255)

INR

16,210,667

(a)

USD

219,093

Standard

Chartered

Bank

06/16/21

(2,015)

JPY

2,623,066,367

(a)

USD

24,105,453

Morgan

Stanley

&

Co.

International

plc

06/16/21

(95,937)

KRW

443,466,000

(a)

USD

398,779

Barclays

Bank

plc

06/16/21

(2,096)

MXN

14,585,000

(a)

USD

727,250

Morgan

Stanley

&

Co.

International

plc

06/16/21

(10,808)

NZD

528,000

(a)

USD

380,520

Morgan

Stanley

&

Co.

International

plc

06/16/21

(2,746)

RUB

1,110,367,000

(a)

USD

14,866,658

HSBC

Bank

plc

06/16/21

(185,469)

SEK

1,871,000

(a)

USD

221,802

Morgan

Stanley

&

Co.

International

plc

06/16/21

(698)

TWD

23,036,000

(a)

USD

829,289

BNP

Paribas

SA

06/16/21

(1,253)

USD

21,432,183

(a)

AUD

27,899,014

Morgan

Stanley

&

Co.

International

plc

06/16/21

(64,221)

USD

26,818,971

(a)

BRL

154,429,000

Goldman

Sachs

International

06/16/21

(1,496,806)

USD

1,389,807

(a)

BRL

7,862,000

JPMorgan

Chase

Bank

NA

06/16/21

(51,753)

USD

9,530,702

(a)

BRL

55,111,000

Standard

Chartered

Bank

06/16/21

(574,335)

USD

6,866,555

(a)

CAD

8,541,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(82,815)

USD

1,083,979

(a)

CHF

1,010,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(23,267)

USD

48,001,378

(a)

EUR

40,391,335

Morgan

Stanley

&

Co.

International

plc

06/16/21

(603,118)

USD

6,169,726

(a)

GBP

4,492,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(34,667)

BlackRock

Total

Factor

Fund

5

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

474,856

(a)

HKD

3,689,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

$

(116)

USD

373,957

(a)

INR

28,058,000

Barclays

Bank

plc

06/16/21

(1,769)

USD

280,408

(a)

KRW

317,848,000

Barclays

Bank

plc

06/16/21

(3,909)

USD

14,949,639

(a)

KRW

16,953,184,000

BNP

Paribas

SA

06/16/21

(215,086)

USD

22,010,234

(a)

KRW

25,035,541,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(384,199)

USD

678,729

(a)

MXN

13,902,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(4,163)

USD

259,515

(a)

NOK

2,213,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(6,360)

USD

4,491,592

(a)

NZD

6,383,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(75,323)

USD

7,254,308

(a)

RUB

558,601,100

Goldman

Sachs

International

06/16/21

(131,473)

USD

6,584,172

(a)

RUB

512,206,900

JPMorgan

Chase

Bank

NA

06/16/21

(188,188)

USD

748,439

(a)

SEK

6,387,468

Morgan

Stanley

&

Co.

International

plc

06/16/21

(6,397)

USD

149,880

(a)

SGD

202,000

Morgan

Stanley

&

Co.

International

plc

06/16/21

(1,891)

USD

10,096,200

(a)

TWD

286,098,043

Barclays

Bank

plc

06/16/21

(187,676)

USD

18,508,460

(a)

TWD

518,706,957

HSBC

Bank

plc

06/16/21

(136,611)

(5,169,940)

$

(934,239)

(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)

0.06%

Annual

6

month

EURIBOR

Semi-Annual

BNP

Paribas

SA

05/19/21

0.06

%

EUR

16,816

$

186,779

10-Year

Interest

Rate

Swap

(a)

1.51%

Semi-Annual

3

month

LIBOR

Quarterly

Deutsche

Bank

AG

05/19/21

1.51

USD

13,907

189,189

$

375,968

(a)

Forward

settling

swaption.

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.36.V1

.....

5.00

%

Quarterly

06/20/26

BB+

USD

9,170

$

952,016

$

787,591

$

164,425

ITRAXX.EUR.

CROSSOVER.35.V1

.

5.00

Quarterly

06/20/26

BB-

EUR

8,679

1,297,697

1,110,164

187,533

$

2,249,713

$

1,897,755

$

351,958

(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.

BlackRock

Total

Factor

Fund

6

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

(a)

The

Fund

receives

the

total

return

on

a

portfolio

of

long

positions

underlying

the

total

return

swap.

The

Fund

pays

the

total

return

on

a

portfolio

of

short

positions

underlying

the

total

return

swap.

In

addition,

the

Fund

pays

or

receives

a

variable

rate

of

interest,

based

on

a

specified

benchmark.

The

benchmark

and

spread

are

determined

based

upon

the

country

and/or

currency

of

the

individual

underlying

positions.

The

following

are

the

specified

benchmarks

(plus

or

minus

a

range)

used

in

determining

the

variable

rate

of

interest:

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

May

2021

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

TWD

657,361,721

Merrill

Lynch

International

&

Co.

05/19/21

TWD

657,362

$

744,699

$

—

$

744,699

Taiwan

Capitalization

Weighted

Stock

Index

Futures

May

2021

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

TWD

3,406,019

Merrill

Lynch

International

&

Co.

05/19/21

TWD

3,406

3,859

—

3,859

MSCI

Daily

Total

Return

Net

Hong

Kong

Index

........

USD

(159,060)

JPMorgan

Chase

Bank

NA

06/08/21

USD

159

(4,682)

—

(4,682)

KOSPI

200

Index

Futures

June

2021

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

KRW

(425,314,900)

Merrill

Lynch

International

&

Co.

06/10/21

KRW

425,315

2,890

—

2,890

KOSPI

200

Index

Futures

June

2021

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

KRW

(426,267,600)

Merrill

Lynch

International

&

Co.

06/10/21

KRW

426,268

3,747

—

3,747

KOSPI

200

Index

Futures

June

2021

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

KRW

(100,743,325)

Merrill

Lynch

International

&

Co.

06/10/21

KRW

100,743

(4,299)

—

(4,299)

BOVESPA

Index

Futures

June

2021

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

BRL

4,722,140

Merrill

Lynch

International

&

Co.

06/16/21

BRL

4,722

(15,117)

—

(15,117)

BOVESPA

Index

Futures

June

2021

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

BRL

4,978,118

Merrill

Lynch

International

&

Co.

06/16/21

BRL

4,978

3,467

—

3,467

Swiss

Market

Index

Futures

June

2021

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

CHF

6,589,286

HSBC

Bank

plc

06/18/21

CHF

6,589

16,987

—

16,987

Swiss

Market

Index

Futures

June

2021

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

CHF

17,497,160

HSBC

Bank

plc

06/18/21

CHF

17,497

608,771

—

608,771

Swiss

Market

Index

Futures

June

2021

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

CHF

106,862

HSBC

Bank

plc

06/18/21

CHF

107

3,524

—

3,524

$

1,363,846

$

—

$

1,363,846

(a)

At

termination,

the

fixed

amount

paid

(received)

will

be

exchanged

for

the

total

return

of

the

reference

entity.

OTC

Total

Return

Swaps

Reference

Entity

Payment

Frequency

Counterparty

(a)

Termination

Date

Net

Notional

Accrued

Unrealized

Appreciation

(Depreciation)

Net

Value

of

Reference

Entity

Gross

Notional

Amount

Net

Asset

Percentage

Equity

Securities

Long/Short

...

Monthly

Barclays

Bank

plc

(b)

03/26/21-11/11/21

$

436,156

$

(95,060)

(c)

$

308,791

32.0

%

Monthly

Citibank

NA

(d)

02/24/23-02/27/23

315,641

425

(e)

312,920

20.2

Monthly

Credit

Suisse

International

(f)

02/08/23

272,130

(16,941)

(g)

213,256

28.3

Monthly

Deutsche

Bank

AG

(h)

03/29/21-02/17/23

(73,882)

(3,374)

(i)

(118,281)

23.1

Monthly

Goldman

Sachs

International

(j)

02/27/23-03/01/23

163,664

(37,966)

(k)

109,601

31.9

Monthly

JPMorgan

Chase

Bank

NA

(l)

02/08/23

(216,744)

51,355

(m)

(172,488)

4.2

Monthly

Merrill

Lynch

International

&

Co.

(n)

02/15/23

35,022

100,589

(o)

115,108

28.7

$

(972)

$

768,907

(b)

(d)

(f)

Range:

20-150

basis

points

5-90

basis

points

20-80

basis

points

Benchmarks:

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

SGD

1

Month

BlackRock

Total

Factor

Fund

7

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

(c)

Amount

includes

$32,305

of

net

dividends

and

financing

fees.

(e)

Amount

includes

$3,146

of

net

dividends

and

financing

fees.

(g)

Amount

includes

$41,933

of

net

dividends

and

financing

fees.

(i)

Amount

includes

$41,025

of

net

dividends

and

financing

fees.

(k)

Amount

includes

$16,097

of

net

dividends

and

financing

fees.

(m)

Amount

includes

$7,099

of

net

dividends

and

financing

fees.

(o)

Amount

includes

$20,503

of

net

dividends

and

financing

fees.

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Copenhagen

Interbank

Swap

Rate

1

Month

Bank

of

Canada

Overnight

Repo

Rate

Canada

Bankers

Acceptances

1

Month

Hong

Kong

Interbank

Offer

Rate

1

Month

Copenhagen

Interbank

Swap

Rate

1

Week

Copenhagen

Interbank

Swap

Rate

1

Month

Intercontinental

Exchange

LIBOR:

Hong

Kong

Interbank

Offer

Rate

1

Week

Hong

Kong

Interbank

Offer

Rate

1

Month

CHF

1

Month

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR:

EUR

1

Month

CHF

1

Week

CHF

1

Month

GBP

1

Month

EUR

1

Week

EUR

1

Month

JPY

1

Month

GBP

1

Week

GBP

1

Month

USD

1

Month

JPY

1

Month

JPY

1

Month

Norway

Interbank

Offer

Rate

1

Month

USD

1

Month

Norway

Interbank

Offer

Rate

1

Month

Stockholm

Interbank

Offer

Rate

1

Month

Israel

Tel

Aviv

Interbank

Offer

Rate

1

Month

Stockholm

Interbank

Offer

Rate

1

Month

USD

Overnight

Bank

Funding

Rate

Norway

Interbank

Offer

Rate

1

Week

USD

Overnight

Bank

Funding

Rate

Stockholm

Interbank

Offer

Rate

1

Week

Range:

(h)

(j)

(l)

Benchmarks:

0

basis

points

0-150

basis

points

18-35

basis

points

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

Bank

of

Canada

Overnight

Repo

Rate

Canada

Overnight

Interbank

Rate

Copenhagen

Interbank

Overnight

Deposit

MID

Rate

Danish

Tomorrow/Next

Reference

Rate

Intercontinental

Exchange

LIBOR

USD

1

Month

Intercontinental

Exchange

LIBOR:

Euro

Overnight

Index

Average

USD

Overnight

Bank

Funding

Rate

EUR

1

Week

Hong

Kong

Overnight

Index

Swap

Rate

GBP

1

Week

Intercontinental

Exchange

LIBOR

CHF

1

Day

New

Zealand

Overnight

Deposit

Rate

Israel

Tel

Aviv

Interbank

Offer

Rate

Overnight

Norwegian

Overnight

Weighted

Average

New

Zealand

Overnight

Deposit

Rate

Stockholm

Interbank

Offer

Rate

1

Week

Norwegian

Overnight

Weighted

Average

USD

Overnight

Bank

Funding

Rate

Reserve

Bank

of

Australia

Overnight

Cash

Rate

Sterling

Overnight

Index

Average

Stockholm

Interbank

Offer

Rate

Overnight

Tokyo

Overnight

Average

Rate

U.S.

Federal

Reserve

Overnight

Effective

Federal

Funds

Rate

Range:

(n)

Benchmarks:

0-100

basis

points

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Bank

of

Canada

Overnight

Lending

Rate

Copenhagen

Interbank

Swap

Rate

1

Week

Intercontinental

Exchange

LIBOR:

CHF

1

Week

EUR

1

Week

GBP

1

Week

JPY

1

Week

Israel

Tel

Aviv

Interbank

Offer

Rate

1

Month

New

Zealand

Bank

Bill

Rates

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

April

30,

2021,

expiration

dates

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

Shares

Value

%

of

Basket

Value

Reference

Entity

—

Long

Australia

Aurizon

Holdings

Ltd.

......

7,481

$

21,523

7.0

%

Shares

Value

%

of

Basket

Value

Australia

(continued)

Brambles

Ltd.

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

11,266

$

90,251

29.2

%

Rio

Tinto

Ltd.

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

1,332

123,803

40.1

Rio

Tinto

plc

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

637

53,353

17.3

South32

Ltd.

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

16,769

36,918

12.0

Tabcorp

Holdings

Ltd.

......

22,879

87,234

28.2

BlackRock

Total

Factor

Fund

8

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Australia

(continued)

Wesfarmers

Ltd.

..........

102

$

4,252

1.4

%

417,334

Austria

Raiffeisen

Bank

International

AG

1,198

26,173

8.5

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

33

82,092

26.6

Coloplast

A/S,

Class

B

......

950

157,358

50.9

Genmab

A/S

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

153

56,145

18.2

Novo

Nordisk

A/S,

Class

B

...

5,541

408,746

132.3

Pandora

A/S

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

444

50,282

16.3

754,623

Finland

Neste

OYJ

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

243

14,695

4.7

France

Arkema

SA

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

323

40,381

13.1

Atos

SE

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

536

36,501

11.8

Bollore

SA

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

5,355

27,037

8.8

Cie

Generale

des

Etablissements

Michelin

SCA

..........

1,667

241,216

78.1

CNP

Assurances

..........

1,432

25,047

8.1

Credit

Agricole

SA

.........

3,101

47,967

15.5

Edenred

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

326

18,481

6.0

Engie

SA

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

8,603

128,146

41.5

Eurazeo

SE

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

354

29,495

9.6

Hermes

International

.......

15

18,827

6.1

Orange

SA

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

18,233

227,060

73.5

Publicis

Groupe

SA

........

499

32,295

10.5

Teleperformance

..........

131

50,585

16.4

923,038

Germany

Allianz

SE

(Registered)

.....

608

157,847

51.1

BASF

SE

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

2,850

229,685

74.4

Deutsche

Boerse

AG

.......

334

57,557

18.6

Deutsche

Post

AG

(Registered)

4,410

259,737

84.1

E.ON

SE

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

5,970

71,985

23.3

GEA

Group

AG

...........

1,142

50,150

16.2

Henkel

AG

&

Co.

KGaA

(Preference)

..........

929

106,714

34.6

Scout24

AG

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

886

73,663

23.9

1,007,338

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

13,000

81,388

26.4

New

World

Development

Co.

Ltd.

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

16,000

84,667

27.4

Sun

Hung

Kai

Properties

Ltd.

.

8,000

120,339

39.0

286,394

Ireland

CRH

plc

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

5,939

280,227

90.8

Israel

Check

Point

Software

Technologies

Ltd.

.......

1,105

129,075

41.8

Italy

Poste

Italiane

SpA

.........

2,935

38,422

12.4

Japan

ABC-Mart,

Inc.

...........

100

5,358

1.7

Amada

Co.

Ltd.

..........

7,200

78,094

25.3

Bridgestone

Corp.

.........

2,400

96,188

31.1

Brother

Industries

Ltd.

......

9,200

195,069

63.2

Shares

Value

%

of

Basket

Value

Japan

(continued)

Calbee,

Inc.

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

2,700

$

64,702

21.0

%

Chugai

Pharmaceutical

Co.

Ltd.

1,500

56,302

18.2

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

..........

6,200

99,203

32.1

Denso

Corp.

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

2,800

181,028

58.6

ENEOS

Holdings,

Inc.

......

18,800

80,857

26.2

FUJIFILM

Holdings

Corp.

....

1,000

64,775

21.0

Fujitsu

Ltd.

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

700

111,201

36.0

Hirose

Electric

Co.

Ltd.

.....

300

47,822

15.5

Honda

Motor

Co.

Ltd.

......

3,700

110,333

35.7

Isuzu

Motors

Ltd.

.........

2,100

21,324

6.9

Ito

En

Ltd.

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

400

22,149

7.2

Kajima

Corp.

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

10,900

150,779

48.8

KDDI

Corp.

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

5,000

151,147

48.9

Lawson,

Inc.

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

1,100

49,435

16.0

Lixil

Corp.

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

5,400

146,269

47.4

McDonald's

Holdings

Co.

Japan

Ltd.

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

3,000

136,974

44.4

Mitsubishi

Electric

Corp.

.....

17,200

265,024

85.8

Mitsubishi

Gas

Chemical

Co.,

Inc.

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

1,900

43,899

14.2

Mitsubishi

UFJ

Financial

Group,

Inc.

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

5,700

30,325

9.8

Mitsui

Chemicals,

Inc.

......

4,400

138,512

44.9

Mizuho

Financial

Group,

Inc.

..

16,600

233,636

75.7

NEC

Corp.

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

800

46,509

15.1

NGK

Spark

Plug

Co.

Ltd.

....

6,900

115,228

37.3

NH

Foods

Ltd.

...........

500

22,332

7.2

Nippon

Telegraph

&

Telephone

Corp.

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

9,300

234,480

75.9

Nippon

Yusen

KK

.........

5,400

212,238

68.7

Nitto

Denko

Corp.

.........

1,000

82,754

26.8

NSK

Ltd.

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

17,400

160,457

52.0

Osaka

Gas

Co.

Ltd.

........

3,800

73,553

23.8

Panasonic

Corp.

..........

3,200

37,574

12.2

Pola

Orbis

Holdings,

Inc.

....

1,200

31,077

10.1

Recruit

Holdings

Co.

Ltd.

....

1,400

63,123

20.4

Santen

Pharmaceutical

Co.

Ltd.

1,600

20,492

6.6

Secom

Co.

Ltd.

...........

800

66,668

21.6

Sega

Sammy

Holdings,

Inc.

..

4,900

70,328

22.8

Seiko

Epson

Corp.

........

2,600

44,360

14.4

Sekisui

Chemical

Co.

Ltd.

....

3,300

57,537

18.6

Shizuoka

Bank

Ltd.

(The)

....

2,700

20,718

6.7

Sony

Group

Corp.

.........

2,700

269,943

87.4

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

1,000

35,129

11.4

Suntory

Beverage

&

Food

Ltd.

5,500

185,654

60.1

Taisei

Corp.

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

2,200

81,286

26.3

Teijin

Ltd.

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

16,100

265,078

85.8

Tokyo

Electron

Ltd.

........

200

90,838

29.4

Tokyo

Gas

Co.

Ltd.

........

8,900

180,616

58.5

Toppan

Printing

Co.

Ltd.

.....

3,900

66,603

21.6

Toray

Industries,

Inc.

.......

7,600

47,258

15.3

Toshiba

Corp.

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

2,100

86,796

28.1

Tosoh

Corp.

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

1,800

31,905

10.3

TOTO

Ltd.

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

2,500

129,975

42.1

Toyo

Suisan

Kaisha

Ltd.

.....

1,100

44,852

14.5

Toyota

Industries

Corp.

.....

1,100

88,318

28.6

Toyota

Motor

Corp.

........

200

14,965

4.8

Yamaha

Motor

Co.

Ltd.

.....

2,800

69,960

22.7

5,629,009

Netherlands

Adyen

NV

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

14

34,455

11.2

EXOR

NV

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

1,331

109,239

35.4

BlackRock

Total

Factor

Fund

9

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Netherlands

(continued)

Koninklijke

Ahold

Delhaize

NV

.

1,761

$

47,392

15.3

%

Koninklijke

Philips

NV

......

1,108

62,650

20.3

NN

Group

NV

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

2,407

120,058

38.9

NXP

Semiconductors

NV

....

116

22,331

7.2

Randstad

NV

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

3,142

226,702

73.4

Royal

Dutch

Shell

plc,

Class

B

1,284

22,976

7.4

645,803

Norway

Orkla

ASA

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

3,621

36,909

11.9

Russia

Evraz

plc

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

2,992

26,534

8.6

Singapore

DBS

Group

Holdings

Ltd.

....

1,500

33,617

10.9

Oversea-Chinese

Banking

Corp.

Ltd.

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

5,900

53,935

17.5

Singapore

Telecommunications

Ltd.

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

30,400

57,035

18.5

United

Overseas

Bank

Ltd.

...

9,300

185,375

60.0

329,962

Spain

Iberdrola

SA

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

258

3,487

1.1

Industria

de

Diseno

Textil

SA

..

1,080

38,427

12.4

Repsol

SA

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

2,278

27,191

8.8

69,105

Sweden

Autoliv,

Inc.

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

318

32,010

10.4

Boliden

AB

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

5,511

214,364

69.4

Epiroc

AB,

Class

A

........

2,127

46,023

14.9

Evolution

Gaming

Group

AB

..

138

27,242

8.8

Skanska

AB,

Class

B

.......

3,228

87,424

28.3

Swedish

Match

AB

........

932

76,298

24.7

Telefonaktiebolaget

LM

Ericsson,

Class

B

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

5,954

81,773

26.5

Telia

Co.

AB

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

7,091

29,384

9.5

594,518

Switzerland

Adecco

Group

AG

(Registered)

1,794

121,597

39.4

Cie

Financiere

Richemont

SA

.

174

17,857

5.8

Kuehne

+

Nagel

International

AG

(Registered)

...........

958

286,437

92.8

LafargeHolcim

Ltd.

(Registered)

1,857

114,591

37.1

Logitech

International

SA

(Registered)

...........

884

98,393

31.9

Novartis

AG

(Registered)

....

2,195

187,313

60.7

SGS

SA

(Registered)

.......

45

133,151

43.1

Straumann

Holding

AG

(Registered)

...........

34

48,592

15.7

Swiss

Life

Holding

AG

(Registered)

...........

287

139,835

45.3

Swiss

Re

AG

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

212

19,682

6.4

Swisscom

AG

(Registered)

...

652

354,003

114.6

Zurich

Insurance

Group

AG

..

465

190,770

61.8

1,712,221

United

Kingdom

Auto

Trader

Group

plc

......

7,292

57,407

18.6

Aviva

plc

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

16,286

90,038

29.2

Coca-Cola

European

Partners

plc

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

1,584

90,003

29.1

GlaxoSmithKline

plc

.......

2,400

44,351

14.4

Intertek

Group

plc

.........

537

45,521

14.7

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Kingfisher

plc

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

34,686

$

171,233

55.5

%

Persimmon

plc

...........

808

34,955

11.3

Phoenix

Group

Holdings

plc

..

3,115

30,558

9.9

Rentokil

Initial

plc

.........

4,103

28,357

9.2

Sage

Group

plc

(The)

......

2,800

24,670

8.0

Vodafone

Group

plc

........

11,567

21,829

7.1

WPP

plc

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

27,887

375,976

121.8

1,014,898

United

States

ABIOMED,

Inc.

...........

91

29,186

9.5

Accenture

plc,

Class

A

......

1,733

502,518

162.7

Adobe,

Inc.

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

971

493,598

159.8

Aflac,

Inc.

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

5,618

301,855

97.8

Agilent

Technologies,

Inc.

....

630

84,193

27.3

Airbnb,

Inc.,

Class

A

.......

83

14,335

4.6

Align

Technology,

Inc.

......

133

79,205

25.6

Allstate

Corp.

(The)

........

560

71,008

23.0

Ally

Financial,

Inc.

.........

475

24,439

7.9

Alphabet,

Inc.,

Class

A

......

156

368,335

119.3

Altice

USA,

Inc.,

Class

A

....

647

23,493

7.6

Amazon.com,

Inc.

.........

29

100,555

32.6

AMERCO

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

289

172,426

55.8

Ameriprise

Financial,

Inc.

....

216

55,814

18.1

AmerisourceBergen

Corp.

...

519

62,695

20.3

Apple,

Inc.

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

2,494

327,861

106.2

Applied

Materials,

Inc.

......

1,915

254,140

82.3

Archer-Daniels-Midland

Co.

..

5,506

347,594

112.6

Arrow

Electronics,

Inc.

......

2,180

248,673

80.5

AT&T,

Inc.

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

2,908

91,340

29.6

Athene

Holding

Ltd.,

Class

A

..

1,793

106,988

34.6

Autodesk,

Inc.

...........

388

113,261

36.7

Automatic

Data

Processing,

Inc.

251

46,934

15.2

AutoZone,

Inc.

...........

71

103,952

33.7

Avery

Dennison

Corp.

......

480

102,802

33.3

Axalta

Coating

Systems

Ltd.

..

3,495

111,456

36.1

Bank

of

New

York

Mellon

Corp.

(The)

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

1,752

87,390

28.3

Berkshire

Hathaway,

Inc.,

Class

B

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

454

124,827

40.4

Best

Buy

Co.,

Inc.

.........

1,657

192,659

62.4

Biogen,

Inc.

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

384

102,655

33.2

Bunge

Ltd.

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

1,248

105,356

34.1

Cadence

Design

Systems,

Inc.

1,786

235,341

76.2

Cardinal

Health,

Inc.

.......

3,755

226,577

73.4

Celanese

Corp.

..........

894

140,045

45.4

Cerner

Corp.

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

2,620

196,631

63.7

CH

Robinson

Worldwide,

Inc.

.

556

53,976

17.5

Chipotle

Mexican

Grill,

Inc.

...

7

10,444

3.4

Cigna

Corp.

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

187

46,565

15.1

Cintas

Corp.

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

244

84,214

27.3

Citigroup,

Inc.

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

1,132

80,644

26.1

Citrix

Systems,

Inc.

........

265

32,820

10.6

Cognex

Corp.

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

254

21,874

7.1

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

1,058

85,063

27.5

Constellation

Brands,

Inc.,

Class

A

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

363

87,236

28.3

Corteva,

Inc.

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

3,492

170,270

55.1

CSX

Corp.

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

1,340

135,005

43.7

Cummins,

Inc.

...........

922

232,381

75.3

CVS

Health

Corp.

.........

2,956

225,838

73.1

Darden

Restaurants,

Inc.

....

148

21,715

7.0

DaVita,

Inc.

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

886

103,246

33.4

Deere

&

Co.

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

98

36,343

11.8

BlackRock

Total

Factor

Fund

10

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Dell

Technologies,

Inc.,

Class

C

583

$

57,326

18.6

%

Devon

Energy

Corp.

.......

1,298

30,347

9.8

Dollar

Tree,

Inc.

..........

191

21,946

7.1

Domino's

Pizza,

Inc.

.......

236

99,672

32.3

Dover

Corp.

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

164

24,467

7.9

Dropbox,

Inc.,

Class

A

......

7,137

183,421

59.4

DuPont

de

Nemours,

Inc.

....

277

21,359

6.9

eBay,

Inc.

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

1,732

96,628

31.3

Ecolab,

Inc.

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

310

69,477

22.5

Edwards

Lifesciences

Corp.

..

2,137

204,126

66.1

Electronic

Arts,

Inc.

........

1,405

199,622

64.6

Emerson

Electric

Co.

.......

1,623

146,865

47.6

Exelon

Corp.

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

8,595

386,259

125.1

Expeditors

International

of

Washington,

Inc.

........

957

105,136

34.0

Facebook,

Inc.,

Class

A

.....

574

186,596

60.4

FactSet

Research

Systems,

Inc.

141

47,407

15.4

Fair

Isaac

Corp.

..........

51

26,592

8.6

Fastenal

Co.

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

31

1,621

0.5

FedEx

Corp.

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

542

157,348

51.0

Ferguson

plc

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

1,873

236,234

76.5

Fortinet,

Inc.

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

140

28,592

9.3

Gartner,

Inc.

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

308

60,331

19.5

Genuine

Parts

Co.

........

1,633

204,076

66.1

Gilead

Sciences,

Inc.

.......

1,581

100,346

32.5

Globe

Life,

Inc.

...........

362

37,101

12.0

Hartford

Financial

Services

Group,

Inc.

(The)

.......

1,743

114,968

37.2

HCA

Healthcare,

Inc.

.......

559

112,393

36.4

Henry

Schein,

Inc.

.........

464

33,640

10.9

Hershey

Co.

(The)

........

636

104,495

33.8

Hewlett

Packard

Enterprise

Co.

4,179

66,948

21.7

Hologic,

Inc.

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

1,745

114,385

37.0

Home

Depot,

Inc.

(The)

.....

115

37,222

12.1

HP,

Inc.

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

8,486

289,457

93.7

Humana,

Inc.

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

41

18,255

5.9

IDEXX

Laboratories,

Inc.

....

173

94,975

30.8

IHS

Markit

Ltd.

...........

365

39,267

12.7

Illinois

Tool

Works,

Inc.

......

1,771

408,145

132.2

Intel

Corp.

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

2,424

139,453

45.2

International

Paper

Co.

.....

4,304

249,632

80.8

Interpublic

Group

of

Cos.,

Inc.

(The)

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

2,205

70,009

22.7

Intuit,

Inc.

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

116

47,811

15.5

Jack

Henry

&

Associates,

Inc.

.

276

44,941

14.6

Jacobs

Engineering

Group,

Inc.

472

63,064

20.4

Jazz

Pharmaceuticals

plc

....

103

16,933

5.5

JB

Hunt

Transport

Services,

Inc.

1,285

219,362

71.0

Johnson

Controls

International

plc

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

1,559

97,188

31.5

Kinder

Morgan,

Inc.

........

5,518

94,082

30.5

KLA

Corp.

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

69

21,759

7.0

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,034

95,842

31.0

Kroger

Co.

(The)

..........

1,140

41,656

13.5

Lam

Research

Corp.

.......

435

269,896

87.4

Lennox

International,

Inc.

....

64

21,462

6.9

LKQ

Corp.

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

505

23,589

7.6

Lowe's

Cos.,

Inc.

.........

795

156,019

50.5

M&T

Bank

Corp.

..........

360

56,768

18.4

Masco

Corp.

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

2,038

130,187

42.2

Masimo

Corp.

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

75

17,450

5.7

Maxim

Integrated

Products,

Inc.

1,990

187,060

60.6

McKesson

Corp.

..........

1,052

197,313

63.9

MetLife,

Inc.

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

7,747

492,942

159.6

Shares

Value

%

of

Basket

Value

United

States

(continued)

Mettler-Toledo

International,

Inc.

38

$

49,906

16.2

%

Micron

Technology,

Inc.

.....

330

28,403

9.2

Microsoft

Corp.

...........

1,654

417,106

135.1

Mohawk

Industries,

Inc.

.....

545

111,997

36.3

Molina

Healthcare,

Inc.

.....

315

80,356

26.0

Morgan

Stanley

..........

1,152

95,098

30.8

Mosaic

Co.

(The)

.........

812

28,566

9.3

NetApp,

Inc.

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

1,204

89,927

29.1

News

Corp.,

Class

A

.......

4,037

105,749

34.2

NIKE,

Inc.,

Class

B

........

126

16,710

5.4

Nordson

Corp.

...........

139

29,386

9.5

Northern

Trust

Corp.

.......

194

22,077

7.1

NVR,

Inc.

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

38

190,688

61.8

Old

Dominion

Freight

Line,

Inc.

555

143,085

46.3

Omnicom

Group,

Inc.

.......

1,440

118,454

38.4

Otis

Worldwide

Corp.

.......

323

25,152

8.1

Owens

Corning

...........

370

35,820

11.6

Paychex,

Inc.

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

915

89,203

28.9

Pentair

plc

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

331

21,353

6.9

PepsiCo,

Inc.

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

1,312

189,138

61.3

Philip

Morris

International,

Inc.

1,418

134,710

43.6

PNC

Financial

Services

Group,

Inc.

(The)

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

84

15,704

5.1

Pool

Corp.

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

553

233,654

75.7

Prudential

Financial,

Inc.

....

1,749

175,530

56.8

PTC,

Inc.

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

318

41,639

13.5

PulteGroup,

Inc.

..........

498

29,442

9.5

QUALCOMM,

Inc.

.........

412

57,186

18.5

Quest

Diagnostics,

Inc.

.....

566

74,644

24.2

Raymond

James

Financial,

Inc.

429

56,105

18.2

Robert

Half

International,

Inc.

.

987

86,471

28.0

Rockwell

Automation,

Inc.

....

130

34,354

11.1

Sealed

Air

Corp.

..........

1,842

90,995

29.5

Sensata

Technologies

Holding

plc

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

1,136

65,593

21.2

ServiceNow,

Inc.

..........

398

201,535

65.3

Sherwin-Williams

Co.

(The)

..

337

92,294

29.9

Sirius

XM

Holdings,

Inc.

.....

222

1,354

0.4

Snap-on,

Inc.

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

216

51,322

16.6

Starbucks

Corp.

..........

1,680

192,343

62.3

State

Street

Corp.

.........

249

20,904

6.8

SVB

Financial

Group

.......

69

39,456

12.8

Synchrony

Financial

.......

1,550

67,797

22.0

Synopsys,

Inc.

...........

436

107,718

34.9

T.

Rowe

Price

Group,

Inc.

....

228

40,858

13.2

Take-Two

Interactive

Software,

Inc.

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

1,026

179,940

58.3

Target

Corp.

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

609

126,221

40.9

Teradyne,

Inc.

...........

456

57,036

18.5

Texas

Instruments,

Inc.

.....

248

44,766

14.5

TJX

Cos.,

Inc.

(The)

.......

670

47,570

15.4

Tractor

Supply

Co.

........

225

42,435

13.7

Tyson

Foods,

Inc.,

Class

A

...

938

72,648

23.5

UGI

Corp.

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

5,954

260,249

84.3

Ulta

Beauty,

Inc.

..........

142

46,768

15.1

Union

Pacific

Corp.

........

275

61,075

19.8

Universal

Health

Services,

Inc.,

Class

B

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

407

60,403

19.6

Vail

Resorts,

Inc.

..........

72

23,412

7.6

Veeva

Systems,

Inc.,

Class

A

.

147

41,520

13.4

Verizon

Communications,

Inc.

.

7,764

448,682

145.3

Vertex

Pharmaceuticals,

Inc.

..

1,275

278,205

90.1

Waters

Corp.

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

145

43,481

14.1

Western

Union

Co.

(The)

....

2,940

75,734

24.5

Westrock

Co.

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

769

42,872

13.9

BlackRock

Total

Factor

Fund

11

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Whirlpool

Corp.

...........

648

$

153,220

49.6

%

WW

Grainger,

Inc.

.........

237

102,749

33.3

Xilinx,

Inc.

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

1,281

163,917

53.1

Yum!

Brands,

Inc.

.........

570

68,126

22.1

Zebra

Technologies

Corp.,

Class

A

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

72

35,117

11.4

Zimmer

Biomet

Holdings,

Inc.

.

48

8,504

2.8

20,283,666

Total

Reference

Entity

—

Long

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

34,219,944

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(14)

(21,994)

(7.1)

Australia

Afterpay

Ltd.

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

(1,292)

(116,365)

(37.7)

Australia

&

New

Zealand

Banking

Group

Ltd.

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

(2,130)

(46,997)

(15.2)

BlueScope

Steel

Ltd.

.......

(2,692)

(44,503)

(14.4)

CIMIC

Group

Ltd.

.........

(4,376)

(65,148)

(21.1)

Coles

Group

Ltd.

.........

(2,501)

(31,407)

(10.2)

Crown

Resorts

Ltd.

........

(8,096)

(76,027)

(24.6)

CSL

Ltd.

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

(120)

(25,067)

(8.1)

Fortescue

Metals

Group

Ltd.

..

(12,936)

(223,810)

(72.5)

Magellan

Financial

Group

Ltd.

.

(898)

(33,455)

(10.8)

National

Australia

Bank

Ltd.

..

(1,232)

(25,212)

(8.2)

Newcrest

Mining

Ltd.

.......

(4,677)

(95,589)

(31.0)

Northern

Star

Resources

Ltd.

.

(5,487)

(44,085)

(14.3)

TPG

Telecom

Ltd.

.........

(8,890)

(37,743)

(12.2)

Transurban

Group

.........

(8,735)

(95,249)

(30.8)

WiseTech

Global

Ltd.

.......

(282)

(6,787)

(2.2)

Woodside

Petroleum

Ltd.

....

(1,449)

(25,271)

(8.2)

Woolworths

Group

Ltd.

.....

(905)

(27,448)

(8.9)

(1,020,163)

Belgium

Elia

Group

SA/NV

.........

(289)

(31,284)

(10.1)

Galapagos

NV

...........

(585)

(45,545)

(14.8)

Sofina

SA

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

(99)

(37,616)

(12.2)

(114,445)

Brazil

Yara

International

ASA

......

(1,175)

(61,290)

(19.8)

Chile

Antofagasta

plc

...........

(3,147)

(81,067)

(26.3)

China

Budweiser

Brewing

Co.

APAC

Ltd.

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

(58,000)

(182,764)

(59.2)

Prosus

NV

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

(237)

(25,722)

(8.3)

(208,486)

Denmark

Chr

Hansen

Holding

A/S

....

(603)

(55,360)

(17.9)

Danske

Bank

A/S

.........

(1,888)

(35,887)

(11.6)

Demant

A/S

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

(914)

(45,757)

(14.8)

Orsted

A/S

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

(119)

(17,298)

(5.6)

ROCKWOOL

International

A/S,

Class

B

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

(85)

(38,020)

(12.3)

Vestas

Wind

Systems

A/S

...

(2,560)

(106,863)

(34.6)

(299,185)

Shares

Value

%

of

Basket

Value

Finland

Kone

OYJ,

Class

B

........

(263)

$

(20,657)

(6.7)

%

UPM-Kymmene

OYJ

.......

(1,779)

(69,572)

(22.5)

(90,229)

France

Adevinta

ASA

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

(5,256)

(96,188)

(31.1)

Aeroports

de

Paris

........

(618)

(79,217)

(25.7)

Air

Liquide

SA

...........

(330)

(55,573)

(18.0)

Alstom

SA

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

(628)

(34,296)

(11.1)

EssilorLuxottica

SA

........

(131)

(21,804)

(7.1)

Faurecia

SE

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

(426)

(23,016)

(7.5)

Kering

SA

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

(44)

(35,258)

(11.4)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

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

(43)

(32,394)

(10.5)

Renault

SA

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

(1,193)

(48,088)

(15.6)

Safran

SA

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

(143)

(21,351)

(6.9)

Worldline

SA

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

(865)

(84,924)

(27.5)

(532,109)

Germany

adidas

AG

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

(212)

(65,478)

(21.2)

Beiersdorf

AG

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

(968)

(109,259)

(35.4)

Continental

AG

...........

(881)

(119,058)

(38.6)

Deutsche

Lufthansa

AG

(Registered)

...........

(3,297)

(42,592)

(13.8)

Deutsche

Telekom

AG

(Registered)

...........

(3,988)

(76,749)

(24.9)

Fresenius

Medical

Care

AG

&

Co.

KGaA

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

(637)

(50,722)

(16.4)

Fresenius

SE

&

Co.

KGaA

...

(474)

(23,297)

(7.5)

HelloFresh

SE

...........

(403)

(33,431)

(10.8)

Infineon

Technologies

AG

....

(6,572)

(263,541)

(85.3)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(69)

(19,936)

(6.5)

Porsche

Automobil

Holding

SE

(Preference)

..........

(516)

(54,395)

(17.6)

Sartorius

AG

(Preference)

...

(54)

(30,468)

(9.9)

Siemens

Healthineers

AG

....

(1,400)

(80,005)

(25.9)

Vonovia

SE

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

(570)

(37,452)

(12.1)

(1,006,383)

Hong

Kong

ASM

Pacific

Technology

Ltd.

..

(5,000)

(75,517)

(24.5)

Bank

of

East

Asia

Ltd.

(The)

..

(25,000)

(52,418)

(17.0)

CK

Infrastructure

Holdings

Ltd.

(32,500)

(198,721)

(64.3)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

..

(195,500)

(195,808)

(63.4)

HKT

Trust

&

HKT

Ltd.

......

(104,000)

(151,006)

(48.9)

Jardine

Matheson

Holdings

Ltd.

(1,700)

(114,154)

(37.0)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

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

(4,775)

(92,110)

(29.8)

(879,734)

Ireland

Kerry

Group

plc,

Class

A

....

(1,483)

(192,229)

(62.3)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

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

(468)

(5,008)

(1.6)

Wix.com

Ltd.

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

(75)

(23,841)

(7.7)

(28,849)

Italy

Moncler

SpA

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

(1,426)

(87,400)

(28.3)

BlackRock

Total

Factor

Fund

12

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Japan

Acom

Co.

Ltd.

...........

(10,000)

$

(42,984)

(13.9)

%

Aeon

Co.

Ltd.

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

(800)

(21,831)

(7.1)

Asahi

Group

Holdings

Ltd.

...

(1,400)

(58,538)

(19.0)

Bandai

Namco

Holdings,

Inc.

.

(700)

(51,367)

(16.6)

Bank

of

Kyoto

Ltd.

(The)

....

(1,700)

(91,328)

(29.6)

Central

Japan

Railway

Co.

...

(1,000)

(146,512)

(47.4)

Daiichi

Sankyo

Co.

Ltd.

.....

(1,100)

(28,094)

(9.1)

Daiwa

Securities

Group,

Inc.

..

(6,100)

(32,550)

(10.5)

East

Japan

Railway

Co.

.....

(1,800)

(123,278)

(39.9)

FANUC

Corp.

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

(500)

(115,141)

(37.3)

Fast

Retailing

Co.

Ltd.

......

(100)

(82,043)

(26.6)

GMO

Payment

Gateway,

Inc.

.

(700)

(89,000)

(28.8)

Hamamatsu

Photonics

KK

...

(400)

(23,185)

(7.5)

Hikari

Tsushin,

Inc.

........

(100)

(20,116)

(6.5)

Hitachi

Metals

Ltd.

........

(2,100)

(40,715)

(13.2)

Inpex

Corp.

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

(8,400)

(57,162)

(18.5)

Japan

Airport

Terminal

Co.

Ltd.

(800)

(35,920)

(11.6)

Japan

Exchange

Group,

Inc.

..

(900)

(21,108)

(6.8)

Japan

Post

Insurance

Co.

Ltd.

(1,700)

(32,778)

(10.6)

JFE

Holdings,

Inc.

.........

(3,100)

(40,764)

(13.2)

Keio

Corp.

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

(1,100)

(71,608)

(23.2)

Keisei

Electric

Railway

Co.

Ltd.

(600)

(18,738)

(6.1)

Keyence

Corp.

...........

(600)

(288,032)

(93.3)

Kobayashi

Pharmaceutical

Co.

Ltd.

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

(300)

(26,794)

(8.7)

Kobe

Bussan

Co.

Ltd.

......

(7,300)

(195,014)

(63.2)

Koei

Tecmo

Holdings

Co.

Ltd.

.

(650)

(28,980)

(9.4)

Kose

Corp.

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

(700)

(105,375)

(34.1)

Kyushu

Electric

Power

Co.,

Inc.

(10,300)

(94,407)

(30.6)

Kyushu

Railway

Co.

.......

(1,100)

(24,694)

(8.0)

Lasertec

Corp.

...........

(700)

(123,262)

(39.9)

Makita

Corp.

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

(2,400)

(108,085)

(35.0)

Marui

Group

Co.

Ltd.

.......

(3,700)

(69,539)

(22.5)

Mercari,

Inc.

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

(1,600)

(78,535)

(25.4)

MISUMI

Group,

Inc.

........

(900)

(25,419)

(8.2)

Mitsubishi

Corp.

..........

(6,000)

(165,904)

(53.7)

Mitsubishi

HC

Capital,

Inc.

...

(5,300)

(30,460)

(9.9)

Murata

Manufacturing

Co.

Ltd.

(2,000)

(159,015)

(51.5)

Nagoya

Railroad

Co.

Ltd.

....

(1,000)

(22,969)

(7.4)

Nidec

Corp.

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

(300)

(34,641)

(11.2)

Nihon

M&A

Center,

Inc.

.....

(4,400)

(114,949)

(37.2)

Nippon

Sanso

Holdings

Corp.

.

(2,500)

(47,031)

(15.2)

Nippon

Shinyaku

Co.

Ltd.

....

(500)

(33,727)

(10.9)

Nippon

Steel

Corp.

........

(8,000)

(139,800)

(45.3)

Nissan

Motor

Co.

Ltd.

......

(4,700)

(23,594)

(7.6)

Odakyu

Electric

Railway

Co.

Ltd.

(7,000)

(189,588)

(61.4)

Oji

Holdings

Corp.

.........

(3,600)

(22,708)

(7.4)

PeptiDream,

Inc.

..........

(3,300)

(141,248)

(45.7)

Pigeon

Corp.

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

(4,400)

(149,329)

(48.4)

Rakuten

Group,

Inc.

.......

(5,200)

(66,103)

(21.4)

Ryohin

Keikaku

Co.

Ltd.

.....

(2,600)

(54,759)

(17.7)

SCSK

Corp.

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

(1,200)

(69,638)

(22.6)

Seibu

Holdings,

Inc.

.......

(4,300)

(46,242)

(15.0)

Shin-Etsu

Chemical

Co.

Ltd.

..

(800)

(135,042)

(43.7)

Shinsei

Bank

Ltd.

.........

(3,200)

(46,676)

(15.1)

Shiseido

Co.

Ltd.

.........

(600)

(43,663)

(14.1)

SMC

Corp.

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

(100)

(58,108)

(18.8)

SoftBank

Corp.

...........

(2,000)

(25,781)

(8.3)

SoftBank

Group

Corp.

......

(600)

(54,066)

(17.5)

SUMCO

Corp.

...........

(1,000)

(25,862)

(8.4)

Sumitomo

Dainippon

Pharma

Co.

Ltd.

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

(1,700)

(29,514)

(9.6)

Suzuken

Co.

Ltd.

.........

(3,300)

(118,924)

(38.5)

Takeda

Pharmaceutical

Co.

Ltd.

(12,000)

(400,806)

(129.8)

TIS,

Inc.

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

(4,900)

(121,570)

(39.4)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Tobu

Railway

Co.

Ltd.

......

(3,500)

$

(90,125)

(29.2)

%

Toho

Co.

Ltd.

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

(1,600)

(63,765)

(20.7)

Tokyo

Century

Corp.

.......

(600)

(37,093)

(12.0)

Tokyu

Corp.

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

(4,800)

(61,732)

(20.0)

Tokyu

Fudosan

Holdings

Corp.

(4,600)

(25,603)

(8.3)

USS

Co.

Ltd.

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

(1,400)

(25,404)

(8.2)

West

Japan

Railway

Co.

....

(900)

(49,757)

(16.1)

Yamazaki

Baking

Co.

Ltd.

....

(2,000)

(31,702)

(10.3)

Z

Holdings

Corp.

..........

(7,900)

(36,437)

(11.8)

(5,406,231)

Luxembourg

ArcelorMittal

SA

..........

(7,934)

(230,646)

(74.7)

Macau

SJM

Holdings

Ltd.

.........

(25,000)

(32,284)

(10.5)

Mexico

Fresnillo

plc

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

(3,277)

(37,263)

(12.1)

Netherlands

Aegon

NV

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

(8,815)

(40,852)

(13.2)

JDE

Peet's

NV

...........

(2,982)

(115,941)

(37.5)

(156,793)

Norway

Mowi

ASA

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

(852)

(21,019)

(6.8)

Schibsted

ASA,

Class

A

.....

(425)

(21,358)

(6.9)

(42,377)

Saudi

Arabia

Delivery

Hero

SE

.........

(149)

(23,637)

(7.7)

Singapore

CapitaLand

Ltd.

..........

(15,200)

(42,373)

(13.7)

Keppel

Corp.

Ltd.

.........

(38,100)

(154,789)

(50.1)

Singapore

Airlines

Ltd.

......

(25,000)

(94,748)

(30.7)

Venture

Corp.

Ltd.

.........

(11,000)

(165,975)

(53.8)

(457,885)

Spain

Aena

SME

SA

...........

(280)

(48,663)

(15.8)

Amadeus

IT

Group

SA

......

(347)

(23,630)

(7.6)

Banco

Santander

SA

.......

(24,431)

(94,244)

(30.5)

Cellnex

Telecom

SA

.......

(6,138)

(347,190)

(112.4)

(513,727)

Sweden

EQT

AB

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

(2,573)

(86,716)

(28.1)

Essity

AB,

Class

B

........

(181)

(5,907)

(1.9)

H

&

M

Hennes

&

Mauritz

AB,

Class

B

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

(1,291)

(31,768)

(10.3)

Nibe

Industrier

AB,

Class

B

...

(509)

(18,589)

(6.0)

Skandinaviska

Enskilda

Banken

AB,

Class

A

...........

(5,472)

(70,114)

(22.7)

Svenska

Cellulosa

AB

SCA,

Class

B

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

(1,732)

(30,330)

(9.8)

(243,424)

Switzerland

ABB

Ltd.

(Registered)

......

(4,408)

(143,181)

(46.4)

Banque

Cantonale

Vaudoise

(Registered)

...........

(2,836)

(289,120)

(93.6)

EMS-Chemie

Holding

AG

(Registered)

...........

(47)

(43,884)

(14.2)

Givaudan

SA

(Registered)

...

(6)

(25,141)

(8.2)

Lonza

Group

AG

(Registered)

.

(555)

(352,822)

(114.3)

Sika

AG

(Registered)

.......

(934)

(278,951)

(90.3)

BlackRock

Total

Factor

Fund

13

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Temenos

AG

(Registered)

...

(145)

$

(21,318)

(6.9)

%

Vifor

Pharma

AG

..........

(1,118)

(161,130)

(52.2)

(1,315,547)

United

Kingdom

Associated

British

Foods

plc

..

(740)

(23,611)

(7.6)

AVEVA

Group

plc

.........

(591)

(28,404)

(9.2)

Diageo

plc

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

(508)

(22,805)

(7.4)

Halma

plc

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

(3,850)

(137,571)

(44.6)

HSBC

Holdings

plc

........

(15,169)

(94,711)

(30.7)

InterContinental

Hotels

Group

plc

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

(512)

(36,384)

(11.8)

Liberty

Global

plc,

Class

C

...

(2,268)

(61,372)

(19.9)

Linde

plc

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

(982)

(280,695)

(90.9)

Prudential

plc

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

(1,208)

(25,579)

(8.3)

Unilever

plc

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

(790)

(46,276)

(15.0)

Wm

Morrison

Supermarkets

plc

(30,053)

(72,178)

(23.4)

(829,586)

United

States

Abbott

Laboratories

........

(442)

(53,075)

(17.2)

AbbVie,

Inc.

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

(409)

(45,604)

(14.8)

Advanced

Micro

Devices,

Inc.

.

(494)

(40,320)

(13.1)

Air

Products

&

Chemicals,

Inc.

(1,177)

(339,541)

(110.0)

Akamai

Technologies,

Inc.

...

(939)

(102,069)

(33.1)

Alexion

Pharmaceuticals,

Inc.

.

(115)

(19,398)

(6.3)

Amcor

plc

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

(13,765)

(161,739)

(52.4)

American

Electric

Power

Co.,

Inc.

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

(850)

(75,404)

(24.4)

American

Express

Co.

......

(371)

(56,893)

(18.4)

American

Financial

Group,

Inc.

(257)

(31,575)

(10.2)

Amphenol

Corp.,

Class

A

....

(982)

(66,128)

(21.4)

Analog

Devices,

Inc.

.......

(698)

(106,906)

(34.6)

ANSYS,

Inc.

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

(75)

(27,425)

(8.9)

Anthem,

Inc.

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

(236)

(89,536)

(29.0)

Aon

plc,

Class

A

..........

(104)

(26,150)

(8.5)

Apollo

Global

Management,

Inc.

(2,280)

(126,244)

(40.9)

Aptiv

plc

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

(956)

(137,559)

(44.5)

Aramark

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

(2,734)

(106,271)

(34.4)

Arthur

J

Gallagher

&

Co.

....

(380)

(55,081)

(17.8)

Baker

Hughes

Co.

.........

(8,985)

(180,419)

(58.4)

Ball

Corp.

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

(262)

(24,534)

(7.9)

Baxter

International,

Inc.

....

(276)

(23,650)

(7.7)

BioMarin

Pharmaceutical,

Inc.

.

(913)

(71,141)

(23.0)

Black

Knight,

Inc.

.........

(1,721)

(124,635)

(40.4)

Blackstone

Group,

Inc.

(The)

.

(1,864)

(164,945)

(53.4)

Boeing

Co.

(The)

.........

(573)

(134,260)

(43.5)

Booking

Holdings,

Inc.

......

(41)

(101,109)

(32.7)

BorgWarner,

Inc.

..........

(1,346)

(65,389)

(21.2)

Boston

Scientific

Corp.

......

(1,815)

(79,134)

(25.6)

Broadcom,

Inc.

...........

(546)

(249,085)

(80.7)

Brown

&

Brown,

Inc.

.......

(389)

(20,687)

(6.7)

Brown-Forman

Corp.,

Class

B

.

(254)

(19,375)

(6.3)

Burlington

Stores,

Inc.

......

(506)

(165,123)

(53.5)

Cable

One,

Inc.

..........

(18)

(32,220)

(10.4)

Campbell

Soup

Co.

........

(1,635)

(78,071)

(25.3)

Carlyle

Group,

Inc.

(The)

....

(904)

(38,565)

(12.5)

Carnival

Corp.

...........

(8,325)

(232,767)

(75.4)

Carvana

Co.

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

(641)

(182,852)

(59.2)

Catalent,

Inc.

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

(934)

(105,047)

(34.0)

Caterpillar,

Inc.

...........

(229)

(52,237)

(16.9)

Cboe

Global

Markets,

Inc.

...

(208)

(21,709)

(7.0)

CDW

Corp.

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

(492)

(87,738)

(28.4)

Ceridian

HCM

Holding,

Inc.

..

(715)

(67,553)

(21.9)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Charter

Communications,

Inc.,

Class

A

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

(203)

$

(136,710)

(44.3)

%

Cheniere

Energy,

Inc.

......

(394)

(30,543)

(9.9)

Chevron

Corp.

...........

(3,476)

(358,271)

(116.0)

Chewy,

Inc.,

Class

A

.......

(389)

(31,011)

(10.0)

Church

&

Dwight

Co.,

Inc.

...

(1,040)

(89,170)

(28.9)

Cisco

Systems,

Inc.

........

(1,916)

(97,544)

(31.6)

Clorox

Co.

(The)

..........

(311)

(56,758)

(18.4)

Cloudflare,

Inc.,

Class

A

.....

(1,242)

(105,247)

(34.1)

CME

Group,

Inc.

..........

(1,025)

(207,040)

(67.0)

CMS

Energy

Corp.

........

(2,176)

(140,113)

(45.4)

ConocoPhillips

...........

(878)

(44,901)

(14.5)

Consolidated

Edison,

Inc.

....

(467)

(36,150)

(11.7)

Cooper

Cos.,

Inc.

(The)

.....

(223)

(91,628)

(29.7)

CoStar

Group,

Inc.

........

(113)

(96,551)

(31.3)

Crowdstrike

Holdings,

Inc.,

Class

A

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

(398)

(82,987)

(26.9)

Crown

Holdings,

Inc.

.......

(264)

(28,987)

(9.4)

CyberArk

Software

Ltd.

.....

(653)

(91,747)

(29.7)

Danaher

Corp.

...........

(2,313)

(587,363)

(190.2)

Datadog,

Inc.,

Class

A

......

(1,850)

(158,675)

(51.4)

DISH

Network

Corp.,

Class

A

.

(736)

(32,965)

(10.7)

DocuSign,

Inc.

...........

(245)

(54,620)

(17.7)

Dominion

Energy,

Inc.

......

(548)

(43,785)

(14.2)

DraftKings,

Inc.,

Class

A

.....

(1,261)

(71,448)

(23.1)

Duke

Energy

Corp.

........

(915)

(92,131)

(29.8)

Elanco

Animal

Health,

Inc.

...

(1,242)

(39,384)

(12.8)

Eli

Lilly

&

Co.

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

(136)

(24,857)

(8.0)

Enphase

Energy,

Inc.

.......

(193)

(26,875)

(8.7)

Erie

Indemnity

Co.,

Class

A

..

(837)

(179,135)

(58.0)

Essential

Utilities,

Inc.

......

(4,634)

(218,400)

(70.7)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

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

(208)

(65,270)

(21.1)

Exact

Sciences

Corp.

......

(728)

(95,965)

(31.1)

Expedia

Group,

Inc.

........

(883)

(155,611)

(50.4)

Exxon

Mobil

Corp.

.........

(2,163)

(123,810)

(40.1)

Fidelity

National

Information

Services,

Inc.

..........

(549)

(83,942)

(27.2)

FirstEnergy

Corp.

.........

(3,620)

(137,270)

(44.5)

Fiserv,

Inc.

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

(3,164)

(380,060)

(123.1)

Fortive

Corp.

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

(1,415)

(100,210)

(32.5)

Franklin

Resources,

Inc.

.....

(2,299)

(68,970)

(22.3)

Freeport-McMoRan,

Inc.

....

(1,580)

(59,582)

(19.3)

Garmin

Ltd.

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

(537)

(73,698)

(23.9)

General

Electric

Co.

.......

(5,677)

(74,482)

(24.1)

General

Mills,

Inc.

.........

(2,889)

(175,825)

(56.9)

Global

Payments,

Inc.

......

(400)

(85,852)

(27.8)

Halliburton

Co.

...........

(1,831)

(35,814)

(11.6)

HEICO

Corp.

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

(844)

(118,835)

(38.5)

Hess

Corp.

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

(1,042)

(77,639)

(25.1)

Hilton

Worldwide

Holdings,

Inc.

(327)

(42,085)

(13.6)

Honeywell

International,

Inc.

..

(240)

(53,530)

(17.3)

Horizon

Therapeutics

plc

....

(1,283)

(121,397)

(39.3)

Hormel

Foods

Corp.

.......

(923)

(42,643)

(13.8)

Howmet

Aerospace,

Inc.

....

(1,082)

(34,581)

(11.2)

IAC/InterActiveCorp

........

(609)

(154,363)

(50.0)

Illumina,

Inc.

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

(101)

(39,677)

(12.8)

Ingersoll

Rand,

Inc.

........

(1,345)

(66,456)

(21.5)

Insulet

Corp.

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

(247)

(72,919)

(23.6)

International

Flavors

&

Fragrances,

Inc.

........

(1,008)

(143,307)

(46.4)

Intuitive

Surgical,

Inc.

......

(142)

(122,830)

(39.8)

Johnson

&

Johnson

........

(619)

(100,730)

(32.6)

Keurig

Dr

Pepper,

Inc.

......

(6,755)

(242,167)

(78.4)

Kimberly-Clark

Corp.

.......

(845)

(112,655)

(36.5)

BlackRock

Total

Factor

Fund

14

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Lamb

Weston

Holdings,

Inc.

..

(340)

$

(27,370)

(8.9)

%

Las

Vegas

Sands

Corp.

.....

(3,721)

(227,948)

(73.8)

Lear

Corp.

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

(443)

(81,441)

(26.4)

Leidos

Holdings,

Inc.

.......

(73)

(7,393)

(2.4)

Liberty

Broadband

Corp.,

Class

C

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

(1,778)

(289,316)

(93.7)

Live

Nation

Entertainment,

Inc.

(709)

(58,053)

(18.8)

Marriott

International,

Inc.,

Class

A

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

(1,530)

(227,236)

(73.6)

Marsh

&

McLennan

Cos.,

Inc.

.

(382)

(51,837)

(16.8)

Marvell

Technology,

Inc.

.....

(1,040)

(47,018)

(15.2)

Match

Group,

Inc.

.........

(343)

(53,381)

(17.3)

Medtronic

plc

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

(2,756)

(360,816)

(116.8)

Microchip

Technology,

Inc.

...

(479)

(71,989)

(23.3)

Moderna,

Inc.

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

(269)

(48,103)

(15.6)

MongoDB,

Inc.

...........

(653)

(194,241)

(62.9)

MSCI,

Inc.

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

(47)

(22,831)

(7.4)

Netflix,

Inc.

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

(175)

(89,857)

(29.1)

Neurocrine

Biosciences,

Inc.

..

(217)

(20,504)

(6.6)

Newmont

Corp.

..........

(4,616)

(288,085)

(93.3)

NextEra

Energy,

Inc.

.......

(1,493)

(115,722)

(37.5)

Nucor

Corp.

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

(1,689)

(138,937)

(45.0)

Occidental

Petroleum

Corp.

..

(924)

(23,433)

(7.6)

Oracle

Corp.

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

(1,241)

(94,055)

(30.5)

Palo

Alto

Networks,

Inc.

.....

(174)

(61,490)

(19.9)

PayPal

Holdings,

Inc.

......

(200)

(52,458)

(17.0)

Peloton

Interactive,

Inc.,

Class

A

(439)

(43,176)

(14.0)

PerkinElmer,

Inc.

.........

(681)

(88,278)

(28.6)

Pinnacle

West

Capital

Corp.

..

(513)

(43,425)

(14.1)

Plug

Power,

Inc.

..........

(3,669)

(104,603)

(33.9)

PPG

Industries,

Inc.

.......

(592)

(101,374)

(32.8)

Procter

&

Gamble

Co.

(The)

..

(523)

(69,779)

(22.6)

Progressive

Corp.

(The)

.....

(459)

(46,240)

(15.0)

Reinsurance

Group

of

America,

Inc.

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

(541)

(70,617)

(22.9)

Republic

Services,

Inc.

.....

(4,023)

(427,645)

(138.5)

ResMed,

Inc.

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

(125)

(23,496)

(7.6)

RingCentral,

Inc.,

Class

A

....

(287)

(91,539)

(29.6)

Roper

Technologies,

Inc.

....

(845)

(377,242)

(122.2)

Royal

Caribbean

Cruises

Ltd.

.

(282)

(24,520)

(7.9)

Royalty

Pharma

plc,

Class

A

..

(755)

(33,220)

(10.8)

RPM

International,

Inc.

.....

(512)

(48,558)

(15.7)

S&P

Global,

Inc.

..........

(214)

(83,543)

(27.1)

salesforce.com,

Inc.

.......

(1,326)

(305,404)

(98.9)

Sarepta

Therapeutics,

Inc.

...

(1,051)

(74,453)

(24.1)

Seagen,

Inc.

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

(617)

(88,700)

(28.7)

Snowflake,

Inc.,

Class

A

.....

(443)

(102,594)

(33.2)

SolarEdge

Technologies,

Inc.

.

(430)

(113,322)

(36.7)

Southwest

Airlines

Co.

......

(2,466)

(154,815)

(50.1)

Splunk,

Inc.

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

(764)

(96,585)

(31.3)

Square,

Inc.,

Class

A

.......

(359)

(87,890)

(28.5)

Sunrun,

Inc.

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

(3,805)

(186,445)

(60.4)

TE

Connectivity

Ltd.

.......

(1,959)

(263,427)

(85.3)

Teladoc

Health,

Inc.

........

(359)

(61,874)

(20.0)

Teleflex,

Inc.

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

(140)

(59,147)

(19.2)

Tenaris

SA

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

(10,792)

(115,722)

(37.5)

Tesla,

Inc.

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

(33)

(23,412)

(7.6)

Thermo

Fisher

Scientific,

Inc.

.

(25)

(11,756)

(3.8)

T-Mobile

US,

Inc.

.........

(2,552)

(337,196)

(109.2)

Trade

Desk,

Inc.

(The),

Class

A

(36)

(26,255)

(8.5)

TransUnion

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

(898)

(93,922)

(30.4)

Travelers

Cos.,

Inc.

(The)

....

(520)

(80,423)

(26.0)

Twilio,

Inc.,

Class

A

........

(143)

(52,595)

(17.0)

Twitter,

Inc.

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

(667)

(36,832)

(11.9)

Uber

Technologies,

Inc.

.....

(356)

(19,498)

(6.3)

Shares

Value

%

of

Basket

Value

United

States

(continued)

UnitedHealth

Group,

Inc.

....

(193)

$

(76,968)

(24.9)

%

Verisk

Analytics,

Inc.

.......

(520)

(97,864)

(31.7)

Viatris,

Inc.

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

(6,220)

(82,726)

(26.8)

Visa,

Inc.,

Class

A

.........

(4,355)

(1,017,154)

(329.4)

Walt

Disney

Co.

(The)

......

(464)

(86,313)

(28.0)

Waste

Connections,

Inc.

.....

(1,439)

(171,399)

(55.5)

Waste

Management,

Inc.

....

(2,208)

(304,638)

(98.7)

Wayfair,

Inc.,

Class

A

.......

(171)

(50,542)

(16.4)

Wells

Fargo

&

Co.

.........

(594)

(26,760)

(8.7)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,001)

(82,152)

(26.6)

Willis

Towers

Watson

plc

....

(779)

(201,652)

(65.3)

Wynn

Resorts

Ltd.

........

(238)

(30,559)

(9.9)

Xcel

Energy,

Inc.

..........

(1,909)

(136,112)

(44.1)

Zendesk,

Inc.

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

(1,018)

(148,781)

(48.2)

Zillow

Group,

Inc.,

Class

C

...

(10)

(1,301)

(0.4)

Zoetis,

Inc.

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

(464)

(80,286)

(26.0)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(272)

(86,923)

(28.1)

Zscaler,

Inc.

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

(462)

(86,690)

(28.1)

(19,998,190)

Total

Reference

Entity

—

Short

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

(33,911,153)

Net

Value

of

Reference

Entity

—

Barclays

Bank

plc

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

$

308,791

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

April

30,

2021,

expiration

dates

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

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

4,549

129,748

41.5

ASX

Ltd.

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

2,498

140,360

44.9

Aurizon

Holdings

Ltd.

......

86,527

248,935

79.5

BHP

Group

plc

...........

2,041

61,464

19.6

Brambles

Ltd.

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

6,670

53,433

17.1

Sonic

Healthcare

Ltd.

......

877

24,240

7.7

Tabcorp

Holdings

Ltd.

......

15,805

60,262

19.3

718,442

Austria

Raiffeisen

Bank

International

AG

1,274

27,834

8.9

voestalpine

AG

...........

685

29,718

9.5

57,552

Belgium

Etablissements

Franz

Colruyt

NV

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

1,982

117,547

37.5

Proximus

SADP

..........

1,774

37,795

12.1

155,342

Brazil

Wheaton

Precious

Metals

Corp.

466

19,331

6.2

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

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

938

31,784

10.2

Bank

of

Montreal

.........

902

85,133

27.2

Canadian

Tire

Corp.

Ltd.,

Class

A

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

465

74,119

23.7

Cenovus

Energy,

Inc.

.......

7,256

56,494

18.1

National

Bank

of

Canada

....

1,002

72,846

23.3

Power

Corp.

of

Canada

.....

4,963

144,552

46.2

Royal

Bank

of

Canada

......

339

32,354

10.3

BlackRock

Total

Factor

Fund

15

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Canada

(continued)

Sun

Life

Financial,

Inc.

......

706

$

38,087

12.2

%

West

Fraser

Timber

Co.

Ltd.

..

500

38,604

12.3

573,973

China

BOC

Hong

Kong

Holdings

Ltd.

120,000

421,950

134.8

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

28

69,654

22.3

Coloplast

A/S,

Class

B

......

1,023

169,449

54.1

GN

Store

Nord

A/S

........

571

51,497

16.4

Novozymes

A/S,

Class

B

....

746

52,908

16.9

Pandora

A/S

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

245

27,746

8.9

371,254

Finland

Nordea

Bank

Abp

.........

2,045

21,196

6.8

France

Amundi

SA

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

584

52,045

16.6

BNP

Paribas

SA

..........

1,077

69,055

22.1

Engie

SA

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

1,146

17,070

5.5

Eurazeo

SE

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

709

59,073

18.9

Wendel

SE

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

301

40,067

12.8

237,310

Germany

BASF

SE

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

680

54,802

17.5

Bechtle

AG

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

61

12,421

4.0

Brenntag

SE

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

1,679

150,732

48.2

Hannover

Rueck

SE

.......

33

6,094

1.9

Nemetschek

SE

..........

1,790

133,434

42.6

Scout24

AG

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

207

17,210

5.5

Uniper

SE

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

506

18,463

5.9

393,156

Hong

Kong

Power

Assets

Holdings

Ltd.

..

3,500

21,511

6.9

Sun

Hung

Kai

Properties

Ltd.

.

5,000

75,212

24.0

96,723

Ireland

CRH

plc

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

453

21,375

6.8

Israel

Bank

Hapoalim

BM

........

2,924

23,239

7.4

Bank

Leumi

Le-Israel

BM

....

4,085

28,676

9.2

Check

Point

Software

Technologies

Ltd.

.......

733

85,622

27.4

Israel

Discount

Bank

Ltd.,

Class

A

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

5,994

26,982

8.6

164,519

Italy

Assicurazioni

Generali

SpA

...

9,330

186,753

59.7

Enel

SpA

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

1,969

19,551

6.2

Intesa

Sanpaolo

SpA

.......

10,118

28,208

9.0

Prysmian

SpA

...........

1,874

58,631

18.7

293,143

Japan

Aisin

Corp.

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

4,900

188,600

60.3

Asahi

Kasei

Corp.

.........

2,400

25,283

8.1

Astellas

Pharma,

Inc.

.......

11,900

179,108

57.2

Capcom

Co.

Ltd.

..........

1,000

32,443

10.4

Dentsu

Group,

Inc.

........

1,100

33,950

10.8

ENEOS

Holdings,

Inc.

......

8,700

37,418

12.0

Fujitsu

Ltd.

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

100

15,886

5.1

Shares

Value

%

of

Basket

Value

Japan

(continued)

Honda

Motor

Co.

Ltd.

......

400

$

11,928

3.8

%

Hoya

Corp.

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

1,100

125,032

40.0

Japan

Tobacco,

Inc.

.......

2,900

54,400

17.4

Kajima

Corp.

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

5,200

71,931

23.0

KDDI

Corp.

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

1,800

54,413

17.4

Kikkoman

Corp.

..........

600

36,872

11.8

Kyowa

Kirin

Co.

Ltd.

.......

900

27,394

8.8

Lawson,

Inc.

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

1,700

76,400

24.4

Marubeni

Corp.

...........

28,100

234,052

74.8

McDonald's

Holdings

Co.

Japan

Ltd.

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

700

31,961

10.2

Mitsubishi

Chemical

Holdings

Corp.

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

2,800

20,845

6.7

Mitsubishi

Gas

Chemical

Co.,

Inc.

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

1,200

27,726

8.9

Mitsui

Chemicals,

Inc.

......

700

22,036

7.0

NEC

Corp.

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

900

52,322

16.7

Nintendo

Co.

Ltd.

.........

100

57,365

18.3

Nippon

Express

Co.

Ltd.

....

300

22,960

7.3

Nippon

Telegraph

&

Telephone

Corp.

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

8,500

214,310

68.5

Nippon

Yusen

KK

.........

700

27,512

8.8

Nitto

Denko

Corp.

.........

700

57,928

18.5

Nomura

Holdings,

Inc.

......

4,300

23,113

7.4

Nomura

Real

Estate

Holdings,

Inc.

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

1,000

24,652

7.9

NTT

Data

Corp.

..........

4,500

70,069

22.4

Olympus

Corp.

...........

4,600

94,675

30.3

Ono

Pharmaceutical

Co.

Ltd.

.

900

22,670

7.2

Panasonic

Corp.

..........

11,300

132,685

42.4

Ricoh

Co.

Ltd.

...........

3,800

40,607

13.0

Rohm

Co.

Ltd.

...........

1,100

108,584

34.7

Seiko

Epson

Corp.

........

3,900

66,540

21.3

Sekisui

House

Ltd.

........

17,700

358,472

114.6

Seven

&

i

Holdings

Co.

Ltd.

..

2,100

90,670

29.0

Shimadzu

Corp.

..........

4,900

171,711

54.9

Shimamura

Co.

Ltd.

.......

400

39,572

12.6

Sony

Group

Corp.

.........

600

59,987

19.2

Stanley

Electric

Co.

Ltd.

.....

600

17,176

5.5

Subaru

Corp.

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

3,100

57,640

18.4

Suzuki

Motor

Corp.

........

500

18,973

6.1

Taiheiyo

Cement

Corp.

.....

1,800

45,192

14.4

Teijin

Ltd.

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

2,100

34,575

11.0

Terumo

Corp.

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

800

30,250

9.7

Tokyo

Gas

Co.

Ltd.

........

8,400

170,469

54.5

Toppan

Printing

Co.

Ltd.

.....

3,000

51,233

16.4

Toray

Industries,

Inc.

.......

11,000

68,400

21.9

Toyo

Suisan

Kaisha

Ltd.

.....

500

20,388

6.5

Tsuruha

Holdings,

Inc.

......

300

34,680

11.1

Yamaha

Corp.

...........

3,500

191,014

61.0

Yamaha

Motor

Co.

Ltd.

.....

3,200

79,954

25.5

3,864,026

Netherlands

Adyen

NV

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

11

27,072

8.7

NXP

Semiconductors

NV

....

106

20,406

6.5

47,478

Norway

Norsk

Hydro

ASA

.........

3,837

24,433

7.8

Portugal

Galp

Energia

SGPS

SA

.....

5,612

64,621

20.6

BlackRock

Total

Factor

Fund

16

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

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

6,400

$

58,506

18.7

%

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

1,088

35,448

11.3

Repsol

SA

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

7,492

89,427

28.6

124,875

Sweden

Autoliv,

Inc.

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

62

6,241

2.0

Boliden

AB

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

1,208

46,988

15.0

Electrolux

AB

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

4,131

115,944

37.0

Industrivarden

AB,

Class

C

...

1,060

38,234

12.2

Investor

AB,

Class

B

.......

1,931

163,916

52.4

Kinnevik

AB,

Class

B

.......

976

53,867

17.2

Lundin

Energy

AB

.........

4,777

152,377

48.7

Skanska

AB,

Class

B

.......

1,951

52,839

16.9

Telia

Co.

AB

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

12,726

52,735

16.9

683,141

Switzerland

Adecco

Group

AG

(Registered)

390

26,434

8.4

Baloise

Holding

AG

(Registered)

447

75,585

24.2

Coca-Cola

HBC

AG

........

4,142

143,156

45.7

Logitech

International

SA

(Registered)

...........

818

91,047

29.1

Novartis

AG

(Registered)

....

245

20,907

6.7

Roche

Holding

AG

........

842

274,623

87.8

STMicroelectronics

NV

.....

778

29,059

9.3

Swiss

Life

Holding

AG

(Registered)

...........

110

53,596

17.1

Swiss

Prime

Site

AG

(Registered)

...........

460

44,767

14.3

UBS

Group

AG

(Registered)

..

3,640

55,585

17.8

814,759

United

Kingdom

3i

Group

plc

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

4,023

71,255

22.8

Aviva

plc

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

9,764

53,981

17.2

Barratt

Developments

plc

....

2,529

26,965

8.6

CK

Hutchison

Holdings

Ltd.

..

23,500

192,068

61.4

Imperial

Brands

plc

........

1,007

20,989

6.7

M&G

plc

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

6,662

19,997

6.4

Phoenix

Group

Holdings

plc

..

4,524

44,379

14.2

Severn

Trent

plc

..........

1,158

39,639

12.7

SSE

plc

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

2,074

42,047

13.4

WPP

plc

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

5,546

74,772

23.9

586,092

United

States

ABIOMED,

Inc.

...........

251

80,503

25.7

Accenture

plc,

Class

A

......

408

118,308

37.8

Activision

Blizzard,

Inc.

.....

228

20,791

6.6

Agilent

Technologies,

Inc.

....

714

95,419

30.5

Allstate

Corp.

(The)

........

372

47,170

15.1

Ally

Financial,

Inc.

.........

4,273

219,846

70.3

Alphabet,

Inc.,

Class

A

......

13

30,596

9.8

Amazon.com,

Inc.

.........

9

31,207

10.0

AMERCO

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

36

21,479

6.9

Ameriprise

Financial,

Inc.

....

190

49,096

15.7

AmerisourceBergen

Corp.

...

630

76,104

24.3

Amgen,

Inc.

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

95

22,766

7.3

Apple,

Inc.

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

350

46,011

14.7

Applied

Materials,

Inc.

......

1,485

197,074

63.0

Archer-Daniels-Midland

Co.

..

1,615

101,955

32.6

Arrow

Electronics,

Inc.

......

186

21,217

6.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

AT&T,

Inc.

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

3,478

$

109,244

34.9

%

Athene

Holding

Ltd.,

Class

A

..

424

25,300

8.1

Autodesk,

Inc.

...........

331

96,622

30.9

Avery

Dennison

Corp.

......

1,239

265,357

84.8

Bank

of

America

Corp.

......

2,565

103,959

33.2

Bank

of

New

York

Mellon

Corp.

(The)

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

607

30,277

9.7

Berkshire

Hathaway,

Inc.,

Class

B

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

83

22,821

7.3

Biogen,

Inc.

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

77

20,584

6.6

Booz

Allen

Hamilton

Holding

Corp.

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

1,492

123,761

39.5

Bunge

Ltd.

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

1,624

137,098

43.8

Cadence

Design

Systems,

Inc.

1,668

219,792

70.2

Capital

One

Financial

Corp.

..

241

35,928

11.5

Cardinal

Health,

Inc.

.......

2,984

180,055

57.5

CBRE

Group,

Inc.,

Class

A

...

562

47,882

15.3

Celanese

Corp.

..........

746

116,861

37.3

Cerner

Corp.

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

1,167

87,583

28.0

CH

Robinson

Worldwide,

Inc.

.

420

40,774

13.0

Chipotle

Mexican

Grill,

Inc.

...

47

70,125

22.4

Cigna

Corp.

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

311

77,442

24.7

Cintas

Corp.

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

86

29,682

9.5

Citizens

Financial

Group,

Inc.

.

483

22,353

7.1

Coca-Cola

Co.

(The)

.......

396

21,376

6.8

Cognex

Corp.

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

399

34,362

11.0

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

1,355

108,942

34.8

Copart,

Inc.

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

737

91,764

29.3

Corteva,

Inc.

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

1,515

73,871

23.6

CSX

Corp.

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

107

10,780

3.4

Cummins,

Inc.

...........

238

59,986

19.2

CVS

Health

Corp.

.........

600

45,840

14.6

DaVita,

Inc.

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

219

25,520

8.2

Dell

Technologies,

Inc.,

Class

C

230

22,616

7.2

Dentsply

Sirona,

Inc.

.......

1,293

87,290

27.9

Discover

Financial

Services

..

372

42,408

13.6

Dover

Corp.

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

1,087

162,170

51.8

Dow,

Inc.

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

905

56,563

18.1

Dropbox,

Inc.,

Class

A

......

1,886

48,470

15.5

DuPont

de

Nemours,

Inc.

....

285

21,976

7.0

eBay,

Inc.

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

3,458

192,922

61.7

Edwards

Lifesciences

Corp.

..

1,055

100,774

32.2

Electronic

Arts,

Inc.

........

882

125,315

40.0

Emerson

Electric

Co.

.......

1,656

149,851

47.9

Equitable

Holdings,

Inc.

.....

652

22,318

7.1

Expeditors

International

of

Washington,

Inc.

........

6,112

671,464

214.6

Facebook,

Inc.,

Class

A

.....

507

164,816

52.7

Fair

Isaac

Corp.

..........

511

266,441

85.1

FedEx

Corp.

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

509

147,768

47.2

FMC

Corp.

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

1,217

143,898

46.0

Fortinet,

Inc.

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

1,127

230,167

73.6

Gartner,

Inc.

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

280

54,846

17.5

Genuine

Parts

Co.

........

199

24,869

7.9

Gilead

Sciences,

Inc.

.......

806

51,157

16.3

GoDaddy,

Inc.,

Class

A

.....

892

77,443

24.7

HCA

Healthcare,

Inc.

.......

354

71,175

22.7

Hologic,

Inc.

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

289

18,944

6.1

HP,

Inc.

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

1,732

59,079

18.9

IDEXX

Laboratories,

Inc.

....

162

88,936

28.4

Illinois

Tool

Works,

Inc.

......

193

44,479

14.2

Intel

Corp.

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

1,398

80,427

25.7

Interpublic

Group

of

Cos.,

Inc.

(The)

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

722

22,924

7.3

BlackRock

Total

Factor

Fund

17

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Intuit,

Inc.

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

719

$

296,343

94.7

%

Jacobs

Engineering

Group,

Inc.

970

129,602

41.4

James

Hardie

Industries

plc,

CDI

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

2,799

92,239

29.5

Jazz

Pharmaceuticals

plc

....

131

21,536

6.9

JB

Hunt

Transport

Services,

Inc.

259

44,214

14.1

Keysight

Technologies,

Inc.

...

698

100,756

32.2

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,455

68,560

21.9

Laboratory

Corp.

of

America

Holdings

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

100

26,587

8.5

Lam

Research

Corp.

.......

88

54,600

17.4

Lennar

Corp.,

Class

A

......

969

100,388

32.1

Lennox

International,

Inc.

....

57

19,114

6.1

LKQ

Corp.

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

1,190

55,585

17.8

Lowe's

Cos.,

Inc.

.........

1,495

293,394

93.8

Masco

Corp.

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

478

30,535

9.8

Masimo

Corp.

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

87

20,242

6.5

Maxim

Integrated

Products,

Inc.

1,042

97,948

31.3

McKesson

Corp.

..........

657

123,227

39.4

MetLife,

Inc.

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

1,407

89,527

28.6

Mettler-Toledo

International,

Inc.

22

28,893

9.2

Microsoft

Corp.

...........

81

20,427

6.5

Mohawk

Industries,

Inc.

.....

364

74,802

23.9

Molina

Healthcare,

Inc.

.....

224

57,142

18.3

Molson

Coors

Beverage

Co.,

Class

B

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

380

20,881

6.7

Morgan

Stanley

..........

546

45,072

14.4

Motorola

Solutions,

Inc.

.....

128

24,102

7.7

NetApp,

Inc.

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

1,395

104,193

33.3

NIKE,

Inc.,

Class

B

........

770

102,117

32.6

Northern

Trust

Corp.

.......

373

42,447

13.6

NVR,

Inc.

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

4

20,072

6.4

Old

Dominion

Freight

Line,

Inc.

1,076

277,404

88.6

Omnicom

Group,

Inc.

.......

1,268

104,306

33.3

Owens

Corning

...........

1,132

109,589

35.0

Pentair

plc

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

3,303

213,077

68.1

PepsiCo,

Inc.

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

429

61,845

19.8

Pinterest,

Inc.,

Class

A

......

356

23,628

7.5

Pool

Corp.

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

106

44,787

14.3

PulteGroup,

Inc.

..........

879

51,966

16.6

Qorvo,

Inc.

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

116

21,828

7.0

Quest

Diagnostics,

Inc.

.....

259

34,157

10.9

Raymond

James

Financial,

Inc.

258

33,741

10.8

Regions

Financial

Corp.

.....

4,708

102,634

32.8

Robert

Half

International,

Inc.

.

574

50,288

16.1

Sealed

Air

Corp.

..........

796

39,322

12.6

ServiceNow,

Inc.

..........

249

126,086

40.3

Sherwin-Williams

Co.

(The)

..

362

99,141

31.7

Skyworks

Solutions,

Inc.

....

133

24,117

7.7

Starbucks

Corp.

..........

623

71,327

22.8

State

Street

Corp.

.........

1,061

89,071

28.5

Take-Two

Interactive

Software,

Inc.

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

186

32,621

10.4

Target

Corp.

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

246

50,986

16.3

TJX

Cos.,

Inc.

(The)

.......

548

38,908

12.4

UGI

Corp.

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

3,636

158,930

50.8

Ulta

Beauty,

Inc.

..........

72

23,713

7.6

Universal

Health

Services,

Inc.,

Class

B

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

198

29,385

9.4

Vail

Resorts,

Inc.

..........

107

34,792

11.1

Veeva

Systems,

Inc.,

Class

A

.

467

131,904

42.2

VeriSign,

Inc.

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

242

52,942

16.9

Verizon

Communications,

Inc.

.

806

46,579

14.9

Vertex

Pharmaceuticals,

Inc.

..

226

49,313

15.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

VMware,

Inc.,

Class

A

......

144

$

23,160

7.4

%

Waters

Corp.

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

412

123,546

39.5

West

Pharmaceutical

Services,

Inc.

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

154

50,592

16.2

Western

Union

Co.

(The)

....

2,397

61,747

19.7

Whirlpool

Corp.

...........

491

116,097

37.1

Workday,

Inc.,

Class

A

......

247

61,009

19.5

WW

Grainger,

Inc.

.........

74

32,082

10.3

Xilinx,

Inc.

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

359

45,938

14.7

Yum!

Brands,

Inc.

.........

520

62,150

19.9

Zebra

Technologies

Corp.,

Class

A

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

46

22,436

7.2

11,798,678

Total

Reference

Entity

—

Long

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

21,611,875

Reference

Entity

—

Short

Australia

Ramsay

Health

Care

Ltd.

....

(4,921)

(255,101)

(81.5)

Belgium

Elia

Group

SA/NV

.........

(220)

(23,815)

(7.6)

Galapagos

NV

...........

(317)

(24,680)

(7.9)

Umicore

SA

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

(573)

(34,817)

(11.1)

(83,312)

Canada

Agnico

Eagle

Mines

Ltd.

.....

(441)

(27,562)

(8.8)

Algonquin

Power

&

Utilities

Corp.

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

(5,757)

(92,878)

(29.7)

Dollarama,

Inc.

...........

(2,199)

(102,476)

(32.7)

Enbridge,

Inc.

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

(1,387)

(53,498)

(17.1)

Franco-Nevada

Corp.

......

(578)

(80,520)

(25.7)

Great-West

Lifeco,

Inc.

.....

(8,712)

(252,610)

(80.7)

Imperial

Oil

Ltd.

..........

(1,830)

(52,854)

(16.9)

Metro,

Inc.

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

(4,758)

(218,013)

(69.7)

Northland

Power,

Inc.

......

(3,360)

(115,740)

(37.0)

Pan

American

Silver

Corp.

...

(648)

(20,603)

(6.6)

TELUS

Corp.

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

(11,200)

(232,356)

(74.3)

Thomson

Reuters

Corp.

.....

(644)

(59,724)

(19.1)

(1,308,834)

China

Budweiser

Brewing

Co.

APAC

Ltd.

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

(6,900)

(21,743)

(6.9)

Prosus

NV

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

(2,496)

(270,895)

(86.6)

(292,638)

Denmark

Ambu

A/S,

Class

B

........

(430)

(24,067)

(7.7)

Chr

Hansen

Holding

A/S

....

(223)

(20,473)

(6.5)

DSV

Panalpina

A/S

........

(1,098)

(244,624)

(78.2)

Orsted

A/S

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

(155)

(22,532)

(7.2)

Vestas

Wind

Systems

A/S

...

(2,255)

(94,131)

(30.1)

(405,827)

France

Air

Liquide

SA

...........

(185)

(31,154)

(10.0)

Alstom

SA

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

(1,515)

(82,737)

(26.4)

Bollore

SA

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

(1)

(5)

(0.0)

Bouygues

SA

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

(1,899)

(81,382)

(26.0)

Danone

SA

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

(462)

(32,612)

(10.4)

Kering

SA

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

(176)

(141,031)

(45.1)

Orpea

SA

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

(682)

(87,775)

(28.1)

Remy

Cointreau

SA

........

(148)

(29,571)

(9.5)

Renault

SA

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

(1,271)

(51,232)

(16.4)

BlackRock

Total

Factor

Fund

18

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

France

(continued)

Safran

SA

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

(644)

$

(96,155)

(30.7)

%

Worldline

SA

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

(565)

(55,471)

(17.7)

(689,125)

Germany

adidas

AG

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

(64)

(19,767)

(6.3)

Bayerische

Motoren

Werke

AG

(1,274)

(127,668)

(40.8)

Commerzbank

AG

.........

(3,258)

(21,484)

(6.9)

KION

Group

AG

..........

(987)

(98,352)

(31.4)

MTU

Aero

Engines

AG

......

(142)

(35,835)

(11.5)

Puma

SE

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

(413)

(43,539)

(13.9)

Sartorius

AG

(Preference)

...

(69)

(38,931)

(12.4)

Siemens

Healthineers

AG

....

(450)

(25,716)

(8.2)

TeamViewer

AG

..........

(473)

(22,483)

(7.2)

(433,775)

Hong

Kong

AIA

Group

Ltd.

...........

(16,200)

(205,620)

(65.7)

Hong

Kong

&

China

Gas

Co.

Ltd.

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

(123,000)

(197,298)

(63.0)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

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

(1,297)

(25,019)

(8.0)

MTR

Corp.

Ltd.

...........

(119,839)

(667,436)

(213.3)

Wharf

Real

Estate

Investment

Co.

Ltd.

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

(54,000)

(310,340)

(99.2)

(1,405,713)

Ireland

Kerry

Group

plc,

Class

A

....

(162)

(20,999)

(6.7)

Israel

Wix.com

Ltd.

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

(327)

(103,947)

(33.2)

Italy

Atlantia

SpA

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

(2,620)

(51,077)

(16.3)

Ferrari

NV

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

(338)

(72,405)

(23.1)

Infrastrutture

Wireless

Italiane

SpA

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

(6,383)

(74,474)

(23.8)

Nexi

SpA

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

(3,950)

(75,664)

(24.2)

(273,620)

Japan

ANA

Holdings,

Inc.

........

(5,300)

(121,679)

(38.9)

Asahi

Intecc

Co.

Ltd.

.......

(1,200)

(32,300)

(10.3)

Central

Japan

Railway

Co.

...

(600)

(87,907)

(28.1)

East

Japan

Railway

Co.

.....

(800)

(54,790)

(17.5)

FANUC

Corp.

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

(200)

(46,057)

(14.7)

Harmonic

Drive

Systems,

Inc.

.

(400)

(26,900)

(8.6)

ITOCHU

Corp.

...........

(5,500)

(171,703)

(54.9)

Japan

Airport

Terminal

Co.

Ltd.

(500)

(22,450)

(7.2)

Japan

Post

Bank

Co.

Ltd.

....

(40,100)

(366,693)

(117.2)

Japan

Post

Holdings

Co.

Ltd.

.

(10,100)

(84,875)

(27.1)

Kansai

Electric

Power

Co.,

Inc.

(The)

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

(4,400)

(43,704)

(14.0)

Kao

Corp.

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

(900)

(57,864)

(18.5)

Keio

Corp.

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

(400)

(26,039)

(8.3)

Keyence

Corp.

...........

(200)

(96,011)

(30.7)

Kintetsu

Group

Holdings

Co.

Ltd.

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

(3,700)

(132,736)

(42.4)

Kobayashi

Pharmaceutical

Co.

Ltd.

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

(700)

(62,518)

(20.0)

Kose

Corp.

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

(500)

(75,268)

(24.1)

Kubota

Corp.

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

(7,500)

(176,443)

(56.4)

M3,

Inc.

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

(900)

(62,172)

(19.9)

Mercari,

Inc.

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

(800)

(39,268)

(12.6)

Mitsui

Fudosan

Co.

Ltd.

.....

(900)

(19,565)

(6.3)

Murata

Manufacturing

Co.

Ltd.

(2,100)

(166,966)

(53.4)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Nexon

Co.

Ltd.

...........

(1,600)

$

(52,924)

(16.9)

%

Nippon

Paint

Holdings

Co.

Ltd.

(11,100)

(158,551)

(50.7)

Nissan

Motor

Co.

Ltd.

......

(12,200)

(61,243)

(19.6)

Obic

Co.

Ltd.

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

(100)

(19,273)

(6.2)

Pan

Pacific

International

Holdings

Corp.

.........

(9,100)

(196,154)

(62.7)

Pigeon

Corp.

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

(1,100)

(37,332)

(11.9)

Resona

Holdings,

Inc.

......

(24,900)

(102,504)

(32.8)

SG

Holdings

Co.

Ltd.

.......

(3,500)

(79,482)

(25.4)

Shimano,

Inc.

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

(400)

(91,462)

(29.2)

Shiseido

Co.

Ltd.

.........

(900)

(65,494)

(20.9)

Sompo

Holdings,

Inc.

......

(1,300)

(48,315)

(15.4)

Square

Enix

Holdings

Co.

Ltd.

.

(200)

(11,090)

(3.5)

SUMCO

Corp.

...........

(2,300)

(59,483)

(19.0)

Sumitomo

Chemical

Co.

Ltd.

..

(49,000)

(250,106)

(79.9)

Sumitomo

Corp.

..........

(1,100)

(14,948)

(4.8)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

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

(4,400)

(149,964)

(47.9)

T&D

Holdings,

Inc.

........

(3,500)

(42,953)

(13.7)

Takeda

Pharmaceutical

Co.

Ltd.

(14,000)

(467,607)

(149.4)

Tobu

Railway

Co.

Ltd.

......

(900)

(23,175)

(7.4)

Toho

Co.

Ltd.

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

(1,700)

(67,750)

(21.7)

Tokio

Marine

Holdings,

Inc.

...

(900)

(43,161)

(13.8)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(30,100)

(89,252)

(28.5)

Unicharm

Corp.

..........

(2,400)

(93,289)

(29.8)

Z

Holdings

Corp.

..........

(9,400)

(43,355)

(13.9)

(4,242,775)

Jordan

Hikma

Pharmaceuticals

plc

...

(2,584)

(87,079)

(27.8)

Luxembourg

ArcelorMittal

SA

..........

(5,958)

(173,203)

(55.4)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(2,810)

(36,283)

(11.6)

Heineken

NV

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

(2,082)

(241,511)

(77.2)

(277,794)

Norway

Mowi

ASA

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

(6,723)

(165,857)

(53.0)

Singapore

CapitaLand

Ltd.

..........

(16,600)

(46,275)

(14.8)

Spain

Aena

SME

SA

...........

(634)

(110,187)

(35.2)

Amadeus

IT

Group

SA

......

(865)

(58,905)

(18.8)

Naturgy

Energy

Group

SA

...

(1,036)

(26,614)

(8.5)

(195,706)

Sweden

Fastighets

AB

Balder,

Class

B

.

(561)

(32,324)

(10.3)

Investment

AB

Latour,

Class

B

(3,046)

(93,050)

(29.7)

Svenska

Cellulosa

AB

SCA,

Class

B

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

(2,782)

(48,717)

(15.6)

(174,091)

Switzerland

Temenos

AG

(Registered)

...

(810)

(119,086)

(38.1)

Vifor

Pharma

AG

..........

(737)

(106,219)

(33.9)

(225,305)

United

Arab

Emirates

NMC

Health

plc

..........

(9,400)

—

(0.0)

BlackRock

Total

Factor

Fund

19

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

Admiral

Group

plc

.........

(2,344)

$

(101,281)

(32.4)

%

AVEVA

Group

plc

.........

(1,314)

(63,153)

(20.2)

Croda

International

plc

......

(1,207)

(112,758)

(36.0)

Halma

plc

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

(2,102)

(75,110)

(24.0)

HSBC

Holdings

plc

........

(3,605)

(22,509)

(7.2)

Informa

plc

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

(4,731)

(36,775)

(11.8)

Linde

plc

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

(100)

(28,584)

(9.1)

London

Stock

Exchange

Group

plc

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

(210)

(21,455)

(6.9)

Ocado

Group

plc

.........

(1,149)

(33,262)

(10.6)

Reckitt

Benckiser

Group

plc

..

(362)

(32,232)

(10.3)

Standard

Chartered

plc

.....

(4,119)

(29,550)

(9.4)

Tesco

plc

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

(16,768)

(51,185)

(16.4)

Unilever

plc

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

(691)

(40,477)

(12.9)

Wm

Morrison

Supermarkets

plc

(18,052)

(43,355)

(13.9)

(691,686)

United

States

Abbott

Laboratories

........

(177)

(21,254)

(6.8)

Albemarle

Corp.

..........

(339)

(57,010)

(18.2)

American

Electric

Power

Co.,

Inc.

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

(460)

(40,807)

(13.0)

American

International

Group,

Inc.

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

(1,323)

(64,099)

(20.5)

American

Water

Works

Co.,

Inc.

(143)

(22,307)

(7.1)

Amphenol

Corp.,

Class

A

....

(523)

(35,219)

(11.3)

Analog

Devices,

Inc.

.......

(1,561)

(239,083)

(76.4)

ANSYS,

Inc.

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

(96)

(35,103)

(11.2)

Aon

plc,

Class

A

..........

(100)

(25,144)

(8.0)

Apollo

Global

Management,

Inc.

(815)

(45,127)

(14.4)

Avalara,

Inc.

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

(716)

(101,464)

(32.4)

Baker

Hughes

Co.

.........

(3,324)

(66,746)

(21.3)

Baxter

International,

Inc.

....

(1,391)

(119,195)

(38.1)

Becton

Dickinson

and

Co.

...

(349)

(86,835)

(27.8)

BioMarin

Pharmaceutical,

Inc.

.

(518)

(40,363)

(12.9)

Black

Knight,

Inc.

.........

(4,829)

(349,716)

(111.8)

BorgWarner,

Inc.

..........

(2,239)

(108,771)

(34.8)

Boston

Scientific

Corp.

......

(753)

(32,831)

(10.5)

Brown

&

Brown,

Inc.

.......

(1,074)

(57,115)

(18.3)

Brown-Forman

Corp.,

Class

B

.

(1,353)

(103,207)

(33.0)

Cable

One,

Inc.

..........

(52)

(93,080)

(29.7)

Carnival

Corp.

...........

(825)

(23,067)

(7.4)

Carvana

Co.

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

(132)

(37,654)

(12.0)

Catalent,

Inc.

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

(547)

(61,521)

(19.7)

Caterpillar,

Inc.

...........

(466)

(106,299)

(34.0)

CenterPoint

Energy,

Inc.

....

(1,858)

(45,502)

(14.5)

Ceridian

HCM

Holding,

Inc.

..

(1,124)

(106,196)

(33.9)

CF

Industries

Holdings,

Inc.

..

(1,597)

(77,662)

(24.8)

Chevron

Corp.

...........

(1,065)

(109,770)

(35.1)

Chewy,

Inc.,

Class

A

.......

(2,366)

(188,618)

(60.3)

Church

&

Dwight

Co.,

Inc.

...

(2,987)

(256,105)

(81.8)

Cincinnati

Financial

Corp.

....

(1,197)

(134,878)

(43.1)

CME

Group,

Inc.

..........

(105)

(21,209)

(6.8)

CMS

Energy

Corp.

........

(456)

(29,362)

(9.4)

Comcast

Corp.,

Class

A

.....

(1,297)

(72,827)

(23.3)

ConocoPhillips

...........

(589)

(30,121)

(9.6)

CoStar

Group,

Inc.

........

(91)

(77,753)

(24.8)

Crowdstrike

Holdings,

Inc.,

Class

A

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

(124)

(25,855)

(8.3)

CyberArk

Software

Ltd.

.....

(357)

(50,158)

(16.0)

Datadog,

Inc.,

Class

A

......

(175)

(15,010)

(4.8)

DraftKings,

Inc.,

Class

A

.....

(371)

(21,021)

(6.7)

Duke

Energy

Corp.

........

(214)

(21,548)

(6.9)

Edison

International

........

(2,472)

(146,960)

(47.0)

Enphase

Energy,

Inc.

.......

(298)

(41,496)

(13.3)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Erie

Indemnity

Co.,

Class

A

..

(424)

$

(90,744)

(29.0)

%

Essential

Utilities,

Inc.

......

(2,066)

(97,371)

(31.1)

Everest

Re

Group

Ltd.

......

(421)

(116,596)

(37.3)

Exact

Sciences

Corp.

......

(388)

(51,146)

(16.3)

Fidelity

National

Information

Services,

Inc.

..........

(581)

(88,835)

(28.4)

Fiserv,

Inc.

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

(1,405)

(168,769)

(53.9)

Ford

Motor

Co.

...........

(6,366)

(73,464)

(23.5)

Freeport-McMoRan,

Inc.

....

(6,968)

(262,763)

(84.0)

Generac

Holdings,

Inc.

.....

(81)

(26,240)

(8.4)

Global

Payments,

Inc.

......

(1,046)

(224,503)

(71.7)

Halliburton

Co.

...........

(6,293)

(123,091)

(39.3)

Hasbro,

Inc.

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

(1,556)

(154,744)

(49.5)

Hess

Corp.

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

(304)

(22,651)

(7.2)

Horizon

Therapeutics

plc

....

(230)

(21,763)

(7.0)

Hormel

Foods

Corp.

.......

(490)

(22,638)

(7.2)

Howmet

Aerospace,

Inc.

....

(2,632)

(84,119)

(26.9)

Huntington

Ingalls

Industries,

Inc.

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

(301)

(63,908)

(20.4)

IAC/InterActiveCorp

........

(287)

(72,746)

(23.2)

Ingersoll

Rand,

Inc.

........

(2,308)

(114,038)

(36.4)

International

Flavors

&

Fragrances,

Inc.

........

(944)

(134,208)

(42.9)

Johnson

&

Johnson

........

(580)

(94,383)

(30.2)

Kellogg

Co.

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

(1,160)

(72,407)

(23.1)

Keurig

Dr

Pepper,

Inc.

......

(8,138)

(291,747)

(93.2)

L3Harris

Technologies,

Inc.

...

(788)

(164,873)

(52.7)

Las

Vegas

Sands

Corp.

.....

(852)

(52,194)

(16.7)

Liberty

Broadband

Corp.,

Class

C

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

(803)

(130,664)

(41.8)

Live

Nation

Entertainment,

Inc.

(1,019)

(83,436)

(26.7)

LyondellBasell

Industries

NV,

Class

A

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

(1,428)

(148,141)

(47.3)

Marvell

Technology,

Inc.

.....

(1,458)

(65,916)

(21.1)

Medtronic

plc

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

(662)

(86,669)

(27.7)

Microchip

Technology,

Inc.

...

(193)

(29,006)

(9.3)

Netflix,

Inc.

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

(50)

(25,673)

(8.2)

Neurocrine

Biosciences,

Inc.

..

(640)

(60,474)

(19.3)

Newmont

Corp.

..........

(707)

(44,124)

(14.1)

NextEra

Energy,

Inc.

.......

(747)

(57,900)

(18.5)

Occidental

Petroleum

Corp.

..

(896)

(22,723)

(7.3)

Oracle

Corp.

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

(279)

(21,145)

(6.8)

Packaging

Corp.

of

America

..

(768)

(113,395)

(36.2)

Palo

Alto

Networks,

Inc.

.....

(151)

(53,362)

(17.1)

Paycom

Software,

Inc.

......

(193)

(74,191)

(23.7)

PayPal

Holdings,

Inc.

......

(93)

(24,393)

(7.8)

PerkinElmer,

Inc.

.........

(240)

(31,111)

(9.9)

PG&E

Corp.

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

(2,639)

(29,873)

(9.5)

Pioneer

Natural

Resources

Co.

(158)

(24,305)

(7.8)

Plug

Power,

Inc.

..........

(984)

(28,054)

(9.0)

Principal

Financial

Group,

Inc.

.

(414)

(26,442)

(8.5)

Procter

&

Gamble

Co.

(The)

..

(161)

(21,481)

(6.9)

Progressive

Corp.

(The)

.....

(588)

(59,235)

(18.9)

ResMed,

Inc.

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

(112)

(21,053)

(6.7)

Roper

Technologies,

Inc.

....

(339)

(151,343)

(48.4)

Royal

Caribbean

Cruises

Ltd.

.

(263)

(22,868)

(7.3)

salesforce.com,

Inc.

.......

(256)

(58,962)

(18.8)

Sarepta

Therapeutics,

Inc.

...

(874)

(61,914)

(19.8)

Schlumberger

NV

.........

(11,920)

(322,436)

(103.0)

Seagen,

Inc.

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

(396)

(56,929)

(18.2)

Steel

Dynamics,

Inc.

.......

(1,288)

(69,835)

(22.3)

Stellantis

NV

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

(4,109)

(68,084)

(21.8)

Teladoc

Health,

Inc.

........

(175)

(30,161)

(9.6)

Teledyne

Technologies,

Inc.

..

(131)

(58,655)

(18.7)

Teleflex,

Inc.

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

(108)

(45,628)

(14.6)

BlackRock

Total

Factor

Fund

20

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Tenaris

SA

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

(5,086)

$

(54,537)

(17.4)

%

Tesla,

Inc.

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

(45)

(31,925)

(10.2)

Thermo

Fisher

Scientific,

Inc.

.

(102)

(47,963)

(15.3)

Trade

Desk,

Inc.

(The),

Class

A

(104)

(75,848)

(24.2)

TransUnion

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

(711)

(74,363)

(23.8)

Twilio,

Inc.,

Class

A

........

(347)

(127,627)

(40.8)

Twitter,

Inc.

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

(1,598)

(88,242)

(28.2)

Uber

Technologies,

Inc.

.....

(351)

(19,224)

(6.1)

UnitedHealth

Group,

Inc.

....

(303)

(120,836)

(38.6)

Verisk

Analytics,

Inc.

.......

(140)

(26,348)

(8.4)

Walt

Disney

Co.

(The)

......

(1,367)

(254,289)

(81.3)

Waste

Connections,

Inc.

.....

(324)

(38,592)

(12.3)

Waste

Management,

Inc.

....

(1,125)

(155,216)

(49.6)

Wells

Fargo

&

Co.

.........

(1,029)

(46,356)

(14.8)

Westinghouse

Air

Brake

Technologies

Corp.

......

(265)

(21,749)

(7.0)

Willis

Towers

Watson

plc

....

(139)

(35,982)

(11.5)

Zillow

Group,

Inc.,

Class

C

...

(184)

(23,942)

(7.7)

Zoetis,

Inc.

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

(509)

(88,072)

(28.1)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(72)

(23,009)

(7.4)

Zscaler,

Inc.

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

(147)

(27,583)

(8.8)

(9,746,293)

Total

Reference

Entity

—

Short

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

(21,298,955)

Net

Value

of

Reference

Entity

—

Citibank

NA

..

$

312,920

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

April

30,

2021,

expiration

date

02/08/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

4,261

29,360

13.8

Aristocrat

Leisure

Ltd.

......

2,234

63,719

29.9

Aurizon

Holdings

Ltd.

......

6,147

17,685

8.3

BHP

Group

plc

...........

792

23,851

11.2

Brambles

Ltd.

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

2,642

21,165

9.9

Rio

Tinto

Ltd.

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

1,051

97,685

45.8

Tabcorp

Holdings

Ltd.

......

20,143

76,802

36.0

Telstra

Corp.

Ltd.

.........

8,283

21,638

10.1

Wesfarmers

Ltd.

..........

5,500

229,273

107.5

581,178

Austria

OMV

AG

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

3,425

168,368

79.0

Belgium

Etablissements

Franz

Colruyt

NV

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

624

37,008

17.4

UCB

SA

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

550

50,929

23.9

87,937

Canada

Bank

of

Montreal

.........

2,900

273,709

128.3

Canadian

Imperial

Bank

of

Commerce

...........

1,145

119,032

55.8

Canadian

National

Railway

Co.

540

58,136

27.3

Canadian

Tire

Corp.

Ltd.,

Class

A

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

590

94,043

44.1

Manulife

Financial

Corp.

.....

13,660

298,283

139.9

National

Bank

of

Canada

....

860

62,522

29.3

Nutrien

Ltd.

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

686

37,868

17.8

Royal

Bank

of

Canada

......

1,085

103,552

48.6

Sun

Life

Financial,

Inc.

......

5,221

281,662

132.1

Shares

Value

%

of

Basket

Value

Canada

(continued)

West

Fraser

Timber

Co.

Ltd.

..

1,225

$

94,580

44.3

%

1,423,387

Denmark

Carlsberg

A/S,

Class

B

.....

1,323

232,107

108.8

Coloplast

A/S,

Class

B

......

191

31,637

14.8

Genmab

A/S

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

120

44,036

20.7

Novo

Nordisk

A/S,

Class

B

...

1,617

119,282

55.9

Novozymes

A/S,

Class

B

....

2,436

172,767

81.0

599,829

Finland

Neste

OYJ

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

919

55,573

26.1

Nordea

Bank

Abp

.........

4,653

48,226

22.6

103,799

France

Arkema

SA

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

278

34,755

16.3

BNP

Paribas

SA

..........

1,082

69,376

32.5

Carrefour

SA

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

4,287

83,026

38.9

Cie

de

Saint-Gobain

.......

420

26,500

12.4

Engie

SA

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

8,090

120,504

56.5

Hermes

International

.......

44

55,225

25.9

Ipsen

SA

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

480

46,404

21.8

La

Francaise

des

Jeux

SAEM

.

1,483

75,999

35.6

Orange

SA

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

5,175

64,446

30.2

Publicis

Groupe

SA

........

713

46,145

21.6

Suez

SA

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

2,231

53,323

25.0

Teleperformance

..........

154

59,466

27.9

Veolia

Environnement

SA

....

4,498

143,464

67.3

878,633

Germany

BASF

SE

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

843

67,939

31.9

Bechtle

AG

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

438

89,189

41.8

Deutsche

Boerse

AG

.......

501

86,335

40.5

Deutsche

Post

AG

(Registered)

5,665

333,653

156.5

E.ON

SE

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

5,383

64,907

30.4

HeidelbergCement

AG

......

1,046

95,848

44.9

Siemens

AG

(Registered)

....

119

19,853

9.3

Telefonica

Deutschland

Holding

AG

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

33,865

98,418

46.2

856,142

Hong

Kong

Hang

Seng

Bank

Ltd.

......

2,100

41,112

19.3

Sun

Hung

Kai

Properties

Ltd.

.

3,500

52,648

24.7

Swire

Pacific

Ltd.,

Class

A

...

5,500

44,309

20.8

Techtronic

Industries

Co.

Ltd.

.

13,500

244,954

114.8

383,023

Ireland

CRH

plc

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

1,552

73,230

34.3

Smurfit

Kappa

Group

plc

....

512

26,174

12.3

99,404

Israel

Check

Point

Software

Technologies

Ltd.

.......

809

94,499

44.3

Italy

Poste

Italiane

SpA

.........

2,157

28,238

13.2

Japan

Ajinomoto

Co.,

Inc.

........

2,300

45,997

21.6

Azbil

Corp.

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

500

20,189

9.5

Bridgestone

Corp.

.........

3,100

124,242

58.3

Denso

Corp.

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

7,300

471,967

221.3

BlackRock

Total

Factor

Fund

21

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

ENEOS

Holdings,

Inc.

......

67,000

$

288,161

135.1

%

Fujitsu

Ltd.

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

600

95,315

44.7

Hitachi

Ltd.

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

3,300

163,342

76.6

Honda

Motor

Co.

Ltd.

......

5,500

164,009

76.9

Hoshizaki

Corp.

..........

300

26,651

12.5

Kajima

Corp.

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

2,000

27,666

13.0

Kyocera

Corp.

...........

2,700

163,926

76.9

Lawson,

Inc.

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

500

22,471

10.5

Mazda

Motor

Corp.

........

8,100

62,898

29.5

McDonald's

Holdings

Co.

Japan

Ltd.

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

1,000

45,658

21.4

MEIJI

Holdings

Co.

Ltd.

.....

3,800

235,803

110.6

MinebeaMitsumi,

Inc.

.......

6,900

173,046

81.1

Mitsubishi

Electric

Corp.

.....

19,200

295,840

138.7

Mitsubishi

Heavy

Industries

Ltd.

3,400

101,212

47.5

Mitsui

Chemicals,

Inc.

......

4,300

135,364

63.5

NEC

Corp.

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

2,000

116,271

54.5

NGK

Spark

Plug

Co.

Ltd.

....

1,500

25,050

11.7

Nippon

Express

Co.

Ltd.

....

300

22,960

10.8

Nippon

Telegraph

&

Telephone

Corp.

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

3,000

75,639

35.5

Nissin

Foods

Holdings

Co.

Ltd.

3,400

240,927

113.0

Nitori

Holdings

Co.

Ltd.

.....

700

125,374

58.8

Nitto

Denko

Corp.

.........

2,500

206,886

97.0

Nomura

Holdings,

Inc.

......

6,700

36,014

16.9

Obayashi

Corp.

..........

2,500

22,874

10.7

Olympus

Corp.

...........

1,000

20,582

9.6

Ono

Pharmaceutical

Co.

Ltd.

.

11,200

282,115

132.3

Osaka

Gas

Co.

Ltd.

........

4,100

79,359

37.2

Otsuka

Holdings

Co.

Ltd.

....

4,700

180,125

84.5

Panasonic

Corp.

..........

8,100

95,110

44.6

Recruit

Holdings

Co.

Ltd.

....

100

4,509

2.1

Secom

Co.

Ltd.

...........

1,000

83,334

39.1

Sega

Sammy

Holdings,

Inc.

..

1,800

25,835

12.1

Sekisui

House

Ltd.

........

2,200

44,556

20.9

Shimadzu

Corp.

..........

100

3,504

1.6

Shimizu

Corp.

...........

3,500

28,679

13.4

Shionogi

&

Co.

Ltd.

........

400

21,088

9.9

Sony

Group

Corp.

.........

4,300

429,909

201.6

Subaru

Corp.

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

5,800

107,842

50.6

Sumitomo

Electric

Industries

Ltd.

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

2,900

43,152

20.2

Sumitomo

Metal

Mining

Co.

Ltd.

1,000

42,338

19.8

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

1,400

49,180

23.1

Taiheiyo

Cement

Corp.

.....

1,900

47,703

22.4

Taisei

Corp.

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

500

18,474

8.7

Terumo

Corp.

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

2,300

86,968

40.8

Tokyo

Gas

Co.

Ltd.

........

2,100

42,617

20.0

Toray

Industries,

Inc.

.......

44,300

275,467

129.2

Toyoda

Gosei

Co.

Ltd.

......

2,300

56,374

26.4

Toyota

Motor

Corp.

........

400

29,930

14.0

Trend

Micro,

Inc.

..........

600

28,559

13.4

Yakult

Honsha

Co.

Ltd.

.....

2,500

121,692

57.1

Yamaha

Motor

Co.

Ltd.

.....

1,000

24,986

11.7

ZOZO,

Inc.

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

1,000

33,634

15.8

5,843,373

Netherlands

Adyen

NV

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

9

22,150

10.4

Akzo

Nobel

NV

...........

1,523

182,865

85.7

Koninklijke

Ahold

Delhaize

NV

.

2,074

55,815

26.2

Koninklijke

Philips

NV

......

826

46,705

21.9

NN

Group

NV

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

672

33,518

15.7

Randstad

NV

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

2,122

153,107

71.8

Shares

Value

%

of

Basket

Value

Netherlands

(continued)

Royal

Dutch

Shell

plc,

Class

A

.

3,156

$

59,384

27.8

%

553,544

Norway

Norsk

Hydro

ASA

.........

5,243

33,386

15.7

Orkla

ASA

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

19,590

199,683

93.6

233,069

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

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

7,400

67,647

31.7

United

Overseas

Bank

Ltd.

...

3,500

69,765

32.7

137,412

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

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

10,458

58,560

27.5

Endesa

SA

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

3,180

83,639

39.2

Industria

de

Diseno

Textil

SA

..

2,290

81,480

38.2

223,679

Sweden

Autoliv,

Inc.

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

572

57,578

27.0

Electrolux

AB

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

3,322

93,238

43.7

Investor

AB,

Class

B

.......

250

21,222

10.0

Skanska

AB,

Class

B

.......

1,807

48,939

22.9

SKF

AB,

Class

B

..........

2,298

59,371

27.8

Swedish

Match

AB

........

1,289

105,523

49.5

Telefonaktiebolaget

LM

Ericsson,

Class

B

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

6,509

89,395

41.9

Telia

Co.

AB

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

4,736

19,625

9.2

494,891

Switzerland

Adecco

Group

AG

(Registered)

1,419

96,179

45.1

Kuehne

+

Nagel

International

AG

(Registered)

...........

174

52,025

24.4

LafargeHolcim

Ltd.

(Registered)

4,014

247,695

116.1

Logitech

International

SA

(Registered)

...........

1,802

200,571

94.0

Novartis

AG

(Registered)

....

781

66,648

31.3

STMicroelectronics

NV

.....

1,892

70,669

33.1

Swiss

Life

Holding

AG

(Registered)

...........

49

23,874

11.2

Swiss

Re

AG

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

246

22,839

10.7

UBS

Group

AG

(Registered)

..

9,372

143,116

67.1

923,616

United

Kingdom

3i

Group

plc

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

2,490

44,102

20.7

Auto

Trader

Group

plc

......

7,699

60,611

28.4

Aviva

plc

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

36,720

203,008

95.2

Barratt

Developments

plc

....

2,168

23,116

10.8

Berkeley

Group

Holdings

plc

..

1,631

104,235

48.9

DCC

plc

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

792

68,721

32.2

Kingfisher

plc

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

8,412

41,527

19.5

Legal

&

General

Group

plc

...

15,302

57,453

26.9

M&G

plc

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

7,217

21,663

10.2

Persimmon

plc

...........

532

23,015

10.8

Phoenix

Group

Holdings

plc

..

1,857

18,217

8.5

SSE

plc

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

2,059

41,743

19.6

WPP

plc

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

2,876

38,775

18.2

746,186

United

States

A

O

Smith

Corp.

..........

673

45,596

21.4

ABIOMED,

Inc.

...........

555

178,005

83.5

BlackRock

Total

Factor

Fund

22

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Accenture

plc,

Class

A

......

305

$

88,441

41.5

%

Adobe,

Inc.

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

543

276,029

129.4

Aflac,

Inc.

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

1,529

82,153

38.5

Agilent

Technologies,

Inc.

....

2,183

291,736

136.8

Airbnb,

Inc.,

Class

A

.......

172

29,706

13.9

Allstate

Corp.

(The)

........

2,834

359,351

168.5

Ally

Financial,

Inc.

.........

498

25,622

12.0

Alphabet,

Inc.,

Class

A

......

51

120,595

56.6

AMERCO

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

308

183,762

86.2

Ameriprise

Financial,

Inc.

....

89

22,998

10.8

AmerisourceBergen

Corp.

...

952

115,002

53.9

Amgen,

Inc.

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

693

166,071

77.9

Apple,

Inc.

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

1,014

133,300

62.5

Applied

Materials,

Inc.

......

2,412

320,097

150.1

Archer-Daniels-Midland

Co.

..

732

46,211

21.7

Arista

Networks,

Inc.

.......

136

42,863

20.1

Arrow

Electronics,

Inc.

......

1,266

144,413

67.7

AT&T,

Inc.

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

4,537

142,507

66.8

Athene

Holding

Ltd.,

Class

A

..

1,986

118,505

55.6

Autodesk,

Inc.

...........

1,271

371,018

174.0

Automatic

Data

Processing,

Inc.

405

75,731

35.5

Bank

of

New

York

Mellon

Corp.

(The)

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

1,262

62,949

29.5

Berkshire

Hathaway,

Inc.,

Class

B

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

641

176,243

82.6

Best

Buy

Co.,

Inc.

.........

1,962

228,122

107.0

Biogen,

Inc.

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

292

78,060

36.6

Booz

Allen

Hamilton

Holding

Corp.

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

1,024

84,941

39.8

Bunge

Ltd.

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

716

60,445

28.3

Cadence

Design

Systems,

Inc.

1,582

208,460

97.8

Capital

One

Financial

Corp.

..

626

93,324

43.8

Cardinal

Health,

Inc.

.......

3,304

199,363

93.5

CBRE

Group,

Inc.,

Class

A

...

925

78,810

37.0

Celanese

Corp.

..........

465

72,842

34.2

Cerner

Corp.

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

2,866

215,093

100.9

Cigna

Corp.

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

406

101,098

47.4

Cintas

Corp.

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

82

28,301

13.3

Citigroup,

Inc.

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

2,477

176,461

82.7

Coca-Cola

Co.

(The)

.......

394

21,268

10.0

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

1,793

144,157

67.6

Corteva,

Inc.

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

1,029

50,174

23.5

CVS

Health

Corp.

.........

1,648

125,907

59.0

Darden

Restaurants,

Inc.

....

377

55,313

25.9

DaVita,

Inc.

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

595

69,335

32.5

Deere

&

Co.

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

58

21,509

10.1

Dell

Technologies,

Inc.,

Class

C

312

30,679

14.4

Delta

Air

Lines,

Inc.

........

837

39,272

18.4

Devon

Energy

Corp.

.......

3,707

86,670

40.6

Dollar

General

Corp.

.......

150

32,213

15.1

Domino's

Pizza,

Inc.

.......

146

61,662

28.9

DR

Horton,

Inc.

...........

479

47,081

22.1

DuPont

de

Nemours,

Inc.

....

269

20,743

9.7

eBay,

Inc.

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

1,621

90,436

42.4

Edwards

Lifesciences

Corp.

..

1,550

148,056

69.4

Electronic

Arts,

Inc.

........

3,214

456,645

214.1

Emerson

Electric

Co.

.......

1,013

91,666

43.0

Equitable

Holdings,

Inc.

.....

639

21,873

10.3

Evergy,

Inc.

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

590

37,742

17.7

Expeditors

International

of

Washington,

Inc.

........

1,098

120,626

56.6

F5

Networks,

Inc.

.........

266

49,678

23.3

Facebook,

Inc.,

Class

A

.....

488

158,639

74.4

Fair

Isaac

Corp.

..........

58

30,242

14.2

Shares

Value

%

of

Basket

Value

United

States

(continued)

FedEx

Corp.

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

418

$

121,350

56.9

%

Ferguson

plc

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

230

29,009

13.6

First

Republic

Bank

........

157

28,769

13.5

FMC

Corp.

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

252

29,796

14.0

Fortinet,

Inc.

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

606

123,763

58.0

Fortune

Brands

Home

&

Security,

Inc.

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

499

52,385

24.6

Genuine

Parts

Co.

........

1,405

175,583

82.3

Gilead

Sciences,

Inc.

.......

1,342

85,177

39.9

GoDaddy,

Inc.,

Class

A

.....

2,219

192,654

90.3

HCA

Healthcare,

Inc.

.......

208

41,820

19.6

Hershey

Co.

(The)

........

73

11,994

5.6

Hewlett

Packard

Enterprise

Co.

2,935

47,019

22.0

Hologic,

Inc.

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

1,080

70,794

33.2

Home

Depot,

Inc.

(The)

.....

285

92,246

43.3

HP,

Inc.

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

3,219

109,800

51.5

Humana,

Inc.

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

49

21,817

10.2

IDEXX

Laboratories,

Inc.

....

144

79,055

37.1

Illinois

Tool

Works,

Inc.

......

209

48,166

22.6

International

Paper

Co.

.....

2,032

117,856

55.3

Invesco

Ltd.

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

873

23,571

11.1

Jazz

Pharmaceuticals

plc

....

900

147,960

69.4

Johnson

Controls

International

plc

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

1,548

96,502

45.3

KeyCorp

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

6,977

151,820

71.2

Keysight

Technologies,

Inc.

...

144

20,786

9.7

KLA

Corp.

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

178

56,132

26.3

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,048

49,382

23.2

Lam

Research

Corp.

.......

38

23,577

11.1

Lennar

Corp.,

Class

A

......

241

24,968

11.7

Lennox

International,

Inc.

....

158

52,984

24.8

Lincoln

National

Corp.

......

341

21,868

10.3

LKQ

Corp.

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

1,476

68,944

32.3

Lowe's

Cos.,

Inc.

.........

372

73,005

34.2

Lululemon

Athletica,

Inc.

....

185

62,025

29.1

Markel

Corp.

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

60

70,585

33.1

Masco

Corp.

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

995

63,561

29.8

Masimo

Corp.

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

181

42,113

19.7

Maxim

Integrated

Products,

Inc.

1,368

128,592

60.3

McKesson

Corp.

..........

1,060

198,814

93.2

Merck

&

Co.,

Inc.

.........

505

37,623

17.6

MetLife,

Inc.

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

1,091

69,420

32.6

Micron

Technology,

Inc.

.....

303

26,079

12.2

Microsoft

Corp.

...........

390

98,350

46.1

Molina

Healthcare,

Inc.

.....

108

27,551

12.9

Molson

Coors

Beverage

Co.,

Class

B

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

20

1,099

0.5

Monolithic

Power

Systems,

Inc.

99

35,777

16.8

Monster

Beverage

Corp.

....

241

23,389

11.0

Morgan

Stanley

..........

623

51,429

24.1

Mosaic

Co.

(The)

.........

3,299

116,059

54.4

NetApp,

Inc.

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

365

27,262

12.8

News

Corp.,

Class

A

.......

805

21,087

9.9

Nordson

Corp.

...........

299

63,212

29.6

Norfolk

Southern

Corp.

.....

172

48,029

22.5

Northern

Trust

Corp.

.......

875

99,575

46.7

Novocure

Ltd.

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

289

58,985

27.7

NVR,

Inc.

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

10

50,181

23.5

Old

Dominion

Freight

Line,

Inc.

118

30,422

14.3

Omnicom

Group,

Inc.

.......

1,318

108,419

50.8

O'Reilly

Automotive,

Inc.

....

165

91,225

42.8

Owens

Corning

...........

828

80,159

37.6

PACCAR,

Inc.

...........

221

19,863

9.3

Pentair

plc

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

406

26,191

12.3

BlackRock

Total

Factor

Fund

23

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

PepsiCo,

Inc.

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

1,042

$

150,215

70.4

%

PNC

Financial

Services

Group,

Inc.

(The)

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

96

17,947

8.4

Pool

Corp.

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

455

192,247

90.1

PulteGroup,

Inc.

..........

2,973

175,764

82.4

Qorvo,

Inc.

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

321

60,403

28.3

QUALCOMM,

Inc.

.........

2,826

392,249

183.9

Quest

Diagnostics,

Inc.

.....

354

46,686

21.9

Raymond

James

Financial,

Inc.

958

125,287

58.8

Regeneron

Pharmaceuticals,

Inc.

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

46

22,140

10.4

Regions

Financial

Corp.

.....

8,040

175,272

82.2

Robert

Half

International,

Inc.

.

936

82,003

38.5

Rockwell

Automation,

Inc.

....

162

42,810

20.1

Sealed

Air

Corp.

..........

4,187

206,838

97.0

ServiceNow,

Inc.

..........

125

63,296

29.7

Sherwin-Williams

Co.

(The)

..

402

110,096

51.6

Starbucks

Corp.

..........

460

52,665

24.7

Synopsys,

Inc.

...........

2,406

594,426

278.7

Take-Two

Interactive

Software,

Inc.

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

117

20,519

9.6

Target

Corp.

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

430

89,122

41.8

Teradyne,

Inc.

...........

1,770

221,392

103.8

Texas

Instruments,

Inc.

.....

568

102,530

48.1

Tractor

Supply

Co.

........

255

48,093

22.6

Trane

Technologies

plc

.....

315

54,756

25.7

Tyson

Foods,

Inc.,

Class

A

...

728

56,384

26.4

Ulta

Beauty,

Inc.

..........

90

29,642

13.9

Union

Pacific

Corp.

........

123

27,317

12.8

Universal

Health

Services,

Inc.,

Class

B

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

696

103,293

48.4

Vail

Resorts,

Inc.

..........

309

100,474

47.1

Veeva

Systems,

Inc.,

Class

A

.

371

104,789

49.1

Verizon

Communications,

Inc.

.

2,383

137,714

64.6

Vertex

Pharmaceuticals,

Inc.

..

998

217,764

102.1

Vistra

Corp.

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

2,284

38,531

18.1

Walgreens

Boots

Alliance,

Inc.

815

43,277

20.3

West

Pharmaceutical

Services,

Inc.

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

1,237

406,379

190.6

Whirlpool

Corp.

...........

290

68,571

32.2

Yum!

Brands,

Inc.

.........

875

104,580

49.0

Zebra

Technologies

Corp.,

Class

A

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

179

87,305

40.9

15,896,214

Total

Reference

Entity

—

Long

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

30,356,421

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(14)

(21,994)

(10.3)

Australia

CIMIC

Group

Ltd.

.........

(1,178)

(17,538)

(8.2)

Evolution

Mining

Ltd.

.......

(6,786)

(24,028)

(11.3)

Insurance

Australia

Group

Ltd.

(78,271)

(294,910)

(138.3)

Orica

Ltd.

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

(1,946)

(20,260)

(9.5)

Transurban

Group

.........

(27,740)

(302,484)

(141.8)

(659,220)

Belgium

Anheuser-Busch

InBev

SA/NV

(845)

(59,854)

(28.1)

Elia

Group

SA/NV

.........

(196)

(21,217)

(10.0)

Umicore

SA

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

(2,183)

(132,645)

(62.2)

(213,716)

Shares

Value

%

of

Basket

Value

Canada

Agnico

Eagle

Mines

Ltd.

.....

(1,587)

$

(99,185)

(46.5)

%

Algonquin

Power

&

Utilities

Corp.

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

(6,264)

(101,058)

(47.4)

Ballard

Power

Systems,

Inc.

..

(2,087)

(45,572)

(21.4)

Cameco

Corp.

...........

(1,458)

(24,507)

(11.5)

Dollarama,

Inc.

...........

(1,294)

(60,302)

(28.3)

Emera,

Inc.

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

(546)

(24,818)

(11.6)

Imperial

Oil

Ltd.

..........

(800)

(23,105)

(10.8)

Northland

Power,

Inc.

......

(1,734)

(59,730)

(28.0)

Pan

American

Silver

Corp.

...

(634)

(20,158)

(9.5)

SSR

Mining,

Inc.

..........

(1,346)

(21,365)

(10.0)

Teck

Resources

Ltd.,

Class

B

.

(1,148)

(24,293)

(11.4)

(504,093)

Chile

Antofagasta

plc

...........

(2,050)

(52,808)

(24.8)

China

Prosus

NV

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

(540)

(58,607)

(27.5)

Denmark

Chr

Hansen

Holding

A/S

....

(2,759)

(253,297)

(118.8)

Orsted

A/S

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

(149)

(21,659)

(10.1)

Tryg

A/S

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

(1,084)

(24,788)

(11.6)

Vestas

Wind

Systems

A/S

...

(2,510)

(104,776)

(49.1)

(404,520)

France

Adevinta

ASA

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

(2,874)

(52,596)

(24.7)

Aeroports

de

Paris

........

(407)

(52,170)

(24.5)

Air

Liquide

SA

...........

(407)

(68,540)

(32.1)

Alstom

SA

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

(1,061)

(57,943)

(27.2)

Danone

SA

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

(3,526)

(248,899)

(116.7)

EssilorLuxottica

SA

........

(131)

(21,804)

(10.2)

Iliad

SA

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

(838)

(152,170)

(71.4)

Legrand

SA

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

(321)

(31,246)

(14.6)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

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

(408)

(307,367)

(144.1)

Orpea

SA

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

(1,324)

(170,401)

(79.9)

Pernod

Ricard

SA

.........

(228)

(46,824)

(22.0)

Renault

SA

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

(1,627)

(65,582)

(30.7)

Safran

SA

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

(839)

(125,270)

(58.7)

Sodexo

SA

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

(295)

(29,514)

(13.8)

Ubisoft

Entertainment

SA

....

(555)

(41,649)

(19.5)

Worldline

SA

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

(862)

(84,630)

(39.7)

(1,556,605)

Germany

Commerzbank

AG

.........

(14,348)

(94,613)

(44.4)

Covestro

AG

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

(836)

(54,674)

(25.6)

Deutsche

Bank

AG

(Registered)

(15,358)

(213,956)

(100.3)

Fresenius

Medical

Care

AG

&

Co.

KGaA

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

(3,218)

(256,237)

(120.2)

Fresenius

SE

&

Co.

KGaA

...

(876)

(43,055)

(20.2)

Infineon

Technologies

AG

....

(1,303)

(52,251)

(24.5)

Just

Eat

Takeaway.com

NV

...

(3,866)

(399,448)

(187.3)

KION

Group

AG

..........

(1,236)

(123,164)

(57.8)

Knorr-Bremse

AG

.........

(605)

(74,159)

(34.8)

Sartorius

AG

(Preference)

...

(137)

(77,298)

(36.2)

Siemens

Healthineers

AG

....

(1,823)

(104,178)

(48.9)

United

Internet

AG

(Registered)

(1,356)

(57,031)

(26.7)

Zalando

SE

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

(220)

(22,880)

(10.7)

(1,572,944)

BlackRock

Total

Factor

Fund

24

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Hong

Kong

Melco

Resorts

&

Entertainment

Ltd.,

ADR

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

(1,091)

$

(21,045)

(9.9)

%

Ireland

Kerry

Group

plc,

Class

A

....

(395)

(51,201)

(24.0)

Israel

Wix.com

Ltd.

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

(166)

(52,768)

(24.7)

Italy

Atlantia

SpA

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

(5,371)

(104,709)

(49.1)

Davide

Campari-Milano

NV

..

(7,590)

(89,565)

(42.0)

Infrastrutture

Wireless

Italiane

SpA

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

(34,071)

(397,523)

(186.4)

Moncler

SpA

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

(328)

(20,103)

(9.4)

(611,900)

Japan

Bandai

Namco

Holdings,

Inc.

.

(600)

(44,029)

(20.7)

Canon,

Inc.

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

(1,000)

(23,780)

(11.2)

Central

Japan

Railway

Co.

...

(700)

(102,558)

(48.1)

Chubu

Electric

Power

Co.,

Inc.

(5,500)

(66,651)

(31.3)

Daifuku

Co.

Ltd.

..........

(2,100)

(207,569)

(97.3)

Dai-ichi

Life

Holdings,

Inc.

...

(7,800)

(140,845)

(66.0)

Daiichi

Sankyo

Co.

Ltd.

.....

(1,800)

(45,973)

(21.6)

Daiwa

House

Industry

Co.

Ltd.

(600)

(17,791)

(8.3)

East

Japan

Railway

Co.

.....

(400)

(27,395)

(12.9)

Eisai

Co.

Ltd.

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

(400)

(26,089)

(12.2)

FANUC

Corp.

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

(300)

(69,085)

(32.4)

Harmonic

Drive

Systems,

Inc.

.

(600)

(40,350)

(18.9)

ITOCHU

Corp.

...........

(600)

(18,731)

(8.8)

Japan

Airlines

Co.

Ltd.

......

(2,900)

(62,124)

(29.1)

Japan

Airport

Terminal

Co.

Ltd.

(1,000)

(44,900)

(21.1)

Japan

Post

Bank

Co.

Ltd.

....

(2,400)

(21,947)

(10.3)

JFE

Holdings,

Inc.

.........

(2,400)

(31,559)

(14.8)

Kansai

Electric

Power

Co.,

Inc.

(The)

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

(12,600)

(125,153)

(58.7)

Keikyu

Corp.

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

(1,800)

(23,078)

(10.8)

Keio

Corp.

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

(400)

(26,039)

(12.2)

Keyence

Corp.

...........

(800)

(384,042)

(180.1)

Kintetsu

Group

Holdings

Co.

Ltd.

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

(500)

(17,937)

(8.4)

Kirin

Holdings

Co.

Ltd.

......

(2,000)

(37,559)

(17.6)

Kose

Corp.

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

(200)

(30,107)

(14.1)

Mitsui

Fudosan

Co.

Ltd.

.....

(6,700)

(145,653)

(68.3)

MonotaRO

Co.

Ltd.

........

(7,900)

(200,600)

(94.1)

Murata

Manufacturing

Co.

Ltd.

(1,100)

(87,458)

(41.0)

Nihon

M&A

Center,

Inc.

.....

(1,200)

(31,350)

(14.7)

Nippon

Paint

Holdings

Co.

Ltd.

(3,900)

(55,707)

(26.1)

Nippon

Sanso

Holdings

Corp.

.

(1,400)

(26,337)

(12.4)

Nippon

Steel

Corp.

........

(4,000)

(69,900)

(32.8)

Obic

Co.

Ltd.

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

(900)

(173,453)

(81.3)

Oji

Holdings

Corp.

.........

(9,600)

(60,555)

(28.4)

Oracle

Corp.

Japan

........

(300)

(28,127)

(13.2)

Oriental

Land

Co.

Ltd.

......

(1,600)

(226,817)

(106.4)

Otsuka

Corp.

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

(5,200)

(261,579)

(122.7)

PeptiDream,

Inc.

..........

(600)

(25,682)

(12.0)

Rakuten

Group,

Inc.

.......

(8,100)

(102,969)

(48.3)

Resona

Holdings,

Inc.

......

(11,100)

(45,695)

(21.4)

Ryohin

Keikaku

Co.

Ltd.

.....

(1,300)

(27,380)

(12.8)

Seibu

Holdings,

Inc.

.......

(4,800)

(51,618)

(24.2)

Sharp

Corp.

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

(4,900)

(82,689)

(38.8)

Shin-Etsu

Chemical

Co.

Ltd.

..

(200)

(33,760)

(15.8)

Shiseido

Co.

Ltd.

.........

(3,300)

(240,145)

(112.6)

SMC

Corp.

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

(400)

(232,431)

(109.0)

SoftBank

Group

Corp.

......

(1,000)

(90,111)

(42.3)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Square

Enix

Holdings

Co.

Ltd.

.

(1,000)

$

(55,450)

(26.0)

%

Sumitomo

Corp.

..........

(11,700)

(158,991)

(74.6)

Sumitomo

Realty

&

Development

Co.

Ltd.

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

(2,800)

(93,467)

(43.8)

Takeda

Pharmaceutical

Co.

Ltd.

(8,300)

(277,224)

(130.0)

Tobu

Railway

Co.

Ltd.

......

(900)

(23,175)

(10.9)

Tokio

Marine

Holdings,

Inc.

...

(5,100)

(244,580)

(114.7)

Tokyu

Corp.

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

(1,400)

(18,005)

(8.4)

Unicharm

Corp.

..........

(400)

(15,548)

(7.3)

Welcia

Holdings

Co.

Ltd.

....

(600)

(18,721)

(8.8)

West

Japan

Railway

Co.

....

(2,200)

(121,629)

(57.0)

Yaskawa

Electric

Corp.

.....

(2,900)

(133,675)

(62.7)

Z

Holdings

Corp.

..........

(33,400)

(154,050)

(72.2)

(5,249,822)

Luxembourg

Eurofins

Scientific

SE

......

(1,347)

(133,409)

(62.6)

Mexico

Fresnillo

plc

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

(1,699)

(19,319)

(9.1)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(190)

(2,453)

(1.1)

Argenx

SE

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

(126)

(36,207)

(17.0)

Heineken

NV

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

(309)

(35,844)

(16.8)

(74,504)

Norway

Mowi

ASA

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

(7,608)

(187,690)

(88.0)

Saudi

Arabia

Delivery

Hero

SE

.........

(1,440)

(228,443)

(107.1)

Spain

Aena

SME

SA

...........

(465)

(80,815)

(37.9)

Amadeus

IT

Group

SA

......

(413)

(28,125)

(13.2)

CaixaBank

SA

...........

(53,206)

(170,204)

(79.8)

Cellnex

Telecom

SA

.......

(9,439)

(533,908)

(250.3)

Grifols

SA

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

(8,905)

(241,202)

(113.1)

Siemens

Gamesa

Renewable

Energy

SA

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

(2,248)

(81,197)

(38.1)

(1,135,451)

Sweden

H

&

M

Hennes

&

Mauritz

AB,

Class

B

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

(874)

(21,507)

(10.1)

Hexagon

AB,

Class

B

......

(2,017)

(192,662)

(90.3)

ICA

Gruppen

AB

..........

(5,795)

(267,109)

(125.3)

Investment

AB

Latour,

Class

B

(2,019)

(61,677)

(28.9)

Svenska

Handelsbanken

AB,

Class

A

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

(1,906)

(22,072)

(10.3)

(565,027)

Switzerland

ABB

Ltd.

(Registered)

......

(769)

(24,979)

(11.7)

Barry

Callebaut

AG

(Registered)

(53)

(117,019)

(54.9)

Clariant

AG

(Registered)

....

(2,607)

(54,607)

(25.6)

EMS-Chemie

Holding

AG

(Registered)

...........

(154)

(143,792)

(67.4)

Lonza

Group

AG

(Registered)

.

(37)

(23,521)

(11.0)

Sika

AG

(Registered)

.......

(96)

(28,672)

(13.4)

Vifor

Pharma

AG

..........

(1,015)

(146,285)

(68.6)

(538,875)

United

Arab

Emirates

NMC

Health

plc

..........

(6,160)

—

(0.0)

BlackRock

Total

Factor

Fund

25

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

Admiral

Group

plc

.........

(4,077)

$

(176,162)

(82.6)

%

Associated

British

Foods

plc

..

(533)

(17,007)

(8.0)

AstraZeneca

plc

..........

(666)

(70,892)

(33.2)

AVEVA

Group

plc

.........

(1,077)

(51,762)

(24.3)

British

American

Tobacco

plc

.

(1,146)

(42,520)

(19.9)

Halma

plc

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

(1,247)

(44,559)

(20.9)

Hargreaves

Lansdown

plc

...

(6,028)

(143,115)

(67.1)

InterContinental

Hotels

Group

plc

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

(503)

(35,745)

(16.8)

Linde

plc

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

(685)

(195,800)

(91.8)

London

Stock

Exchange

Group

plc

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

(251)

(25,644)

(12.0)

Melrose

Industries

plc

......

(26,435)

(59,510)

(27.9)

Natwest

Group

plc

........

(22,748)

(61,734)

(29.0)

Ocado

Group

plc

.........

(4,649)

(134,584)

(63.1)

Reckitt

Benckiser

Group

plc

..

(2,646)

(235,594)

(110.5)

Rolls-Royce

Holdings

plc

....

(29,876)

(43,237)

(20.3)

Spirax-Sarco

Engineering

plc

.

(1,337)

(218,231)

(102.3)

Taylor

Wimpey

plc

.........

(23,583)

(58,502)

(27.4)

Tesco

plc

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

(18,247)

(55,700)

(26.1)

Unilever

plc

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

(2,705)

(158,451)

(74.3)

(1,828,749)

United

States

Abbott

Laboratories

........

(763)

(91,621)

(43.0)

Advanced

Micro

Devices,

Inc.

.

(556)

(45,381)

(21.3)

Air

Products

&

Chemicals,

Inc.

(166)

(47,888)

(22.5)

Akamai

Technologies,

Inc.

...

(1,055)

(114,679)

(53.8)

Albemarle

Corp.

..........

(141)

(23,712)

(11.1)

Alnylam

Pharmaceuticals,

Inc.

.

(313)

(44,020)

(20.6)

American

Electric

Power

Co.,

Inc.

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

(1,218)

(108,049)

(50.7)

American

Water

Works

Co.,

Inc.

(404)

(63,020)

(29.6)

Analog

Devices,

Inc.

.......

(845)

(129,420)

(60.7)

ANSYS,

Inc.

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

(444)

(162,353)

(76.1)

Aptiv

plc

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

(748)

(107,630)

(50.5)

Arthur

J

Gallagher

&

Co.

....

(562)

(81,462)

(38.2)

Atmos

Energy

Corp.

.......

(360)

(37,292)

(17.5)

Baker

Hughes

Co.

.........

(3,722)

(74,738)

(35.0)

Ball

Corp.

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

(226)

(21,163)

(9.9)

Baxter

International,

Inc.

....

(1,202)

(102,999)

(48.3)

BioMarin

Pharmaceutical,

Inc.

.

(307)

(23,921)

(11.2)

Black

Knight,

Inc.

.........

(1,498)

(108,485)

(50.9)

Boeing

Co.

(The)

.........

(567)

(132,854)

(62.3)

BorgWarner,

Inc.

..........

(924)

(44,888)

(21.0)

Boston

Scientific

Corp.

......

(1,474)

(64,266)

(30.1)

Broadcom,

Inc.

...........

(259)

(118,156)

(55.4)

Brown

&

Brown,

Inc.

.......

(913)

(48,553)

(22.8)

Brown-Forman

Corp.,

Class

B

.

(452)

(34,479)

(16.2)

Burlington

Stores,

Inc.

......

(74)

(24,148)

(11.3)

Cable

One,

Inc.

..........

(44)

(78,760)

(36.9)

CarMax,

Inc.

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

(413)

(55,028)

(25.8)

Carnival

Corp.

...........

(2,937)

(82,119)

(38.5)

Carrier

Global

Corp.

.......

(934)

(40,704)

(19.1)

Carvana

Co.

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

(165)

(47,068)

(22.1)

Catalent,

Inc.

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

(2,456)

(276,226)

(129.5)

Centene

Corp.

...........

(1,733)

(106,995)

(50.2)

CenterPoint

Energy,

Inc.

....

(1,863)

(45,625)

(21.4)

Ceridian

HCM

Holding,

Inc.

..

(1,163)

(109,880)

(51.5)

Charles

Schwab

Corp.

(The)

..

(1,749)

(123,130)

(57.7)

Charter

Communications,

Inc.,

Class

A

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

(42)

(28,285)

(13.3)

Cheniere

Energy,

Inc.

......

(295)

(22,868)

(10.7)

Chevron

Corp.

...........

(1,690)

(174,188)

(81.7)

Chewy,

Inc.,

Class

A

.......

(1,174)

(93,591)

(43.9)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Church

&

Dwight

Co.,

Inc.

...

(374)

$

(32,067)

(15.0)

%

Cisco

Systems,

Inc.

........

(490)

(24,946)

(11.7)

CME

Group,

Inc.

..........

(202)

(40,802)

(19.1)

CMS

Energy

Corp.

........

(468)

(30,135)

(14.1)

Conagra

Brands,

Inc.

.......

(649)

(24,071)

(11.3)

CoStar

Group,

Inc.

........

(169)

(144,399)

(67.7)

Crowdstrike

Holdings,

Inc.,

Class

A

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

(100)

(20,851)

(9.8)

CyberArk

Software

Ltd.

.....

(226)

(31,753)

(14.9)

Datadog,

Inc.,

Class

A

......

(775)

(66,472)

(31.2)

DocuSign,

Inc.

...........

(131)

(29,205)

(13.7)

DraftKings,

Inc.,

Class

A

.....

(738)

(41,815)

(19.6)

Duke

Energy

Corp.

........

(967)

(97,367)

(45.7)

Eastman

Chemical

Co.

.....

(426)

(49,156)

(23.0)

Elanco

Animal

Health,

Inc.

...

(8,639)

(273,943)

(128.5)

Eli

Lilly

&

Co.

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

(150)

(27,415)

(12.9)

Enphase

Energy,

Inc.

.......

(140)

(19,495)

(9.1)

Equifax,

Inc.

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

(190)

(43,554)

(20.4)

Erie

Indemnity

Co.,

Class

A

..

(200)

(42,804)

(20.1)

Essential

Utilities,

Inc.

......

(4,479)

(211,095)

(99.0)

Eversource

Energy

........

(240)

(20,693)

(9.7)

Exact

Sciences

Corp.

......

(1,356)

(178,748)

(83.8)

Exxon

Mobil

Corp.

.........

(790)

(45,220)

(21.2)

Fidelity

National

Information

Services,

Inc.

..........

(550)

(84,095)

(39.4)

Fiserv,

Inc.

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

(671)

(80,601)

(37.8)

Freeport-McMoRan,

Inc.

....

(3,975)

(149,897)

(70.3)

General

Electric

Co.

.......

(4,975)

(65,272)

(30.6)

General

Mills,

Inc.

.........

(1,626)

(98,958)

(46.4)

Global

Payments,

Inc.

......

(532)

(114,183)

(53.5)

Halliburton

Co.

...........

(1,753)

(34,289)

(16.1)

Hess

Corp.

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

(2,616)

(194,918)

(91.4)

Hilton

Worldwide

Holdings,

Inc.

(185)

(23,810)

(11.2)

Hormel

Foods

Corp.

.......

(1,309)

(60,476)

(28.4)

Huntington

Bancshares,

Inc.

..

(9,330)

(142,936)

(67.0)

IAC/InterActiveCorp

........

(662)

(167,797)

(78.7)

Illumina,

Inc.

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

(89)

(34,963)

(16.4)

Ingersoll

Rand,

Inc.

........

(748)

(36,959)

(17.3)

Insulet

Corp.

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

(138)

(40,740)

(19.1)

International

Flavors

&

Fragrances,

Inc.

........

(592)

(84,165)

(39.5)

Ionis

Pharmaceuticals,

Inc.

...

(1,515)

(64,872)

(30.4)

IPG

Photonics

Corp.

.......

(305)

(66,219)

(31.1)

Johnson

&

Johnson

........

(963)

(156,709)

(73.5)

Kellogg

Co.

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

(55)

(3,433)

(1.6)

Keurig

Dr

Pepper,

Inc.

......

(3,188)

(114,290)

(53.6)

Kimberly-Clark

Corp.

.......

(1,578)

(210,379)

(98.6)

L3Harris

Technologies,

Inc.

...

(122)

(25,526)

(12.0)

Las

Vegas

Sands

Corp.

.....

(856)

(52,439)

(24.6)

Leidos

Holdings,

Inc.

.......

(779)

(78,897)

(37.0)

Liberty

Broadband

Corp.,

Class

C

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

(1,854)

(301,683)

(141.5)

Live

Nation

Entertainment,

Inc.

(866)

(70,908)

(33.2)

Marathon

Petroleum

Corp.

...

(1,091)

(60,714)

(28.5)

MarketAxess

Holdings,

Inc.

..

(69)

(33,704)

(15.8)

Marriott

International,

Inc.,

Class

A

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

(243)

(36,090)

(16.9)

Marsh

&

McLennan

Cos.,

Inc.

.

(781)

(105,982)

(49.7)

McCormick

&

Co.,

Inc.

(Non-

Voting)

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

(708)

(63,975)

(30.0)

Medtronic

plc

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

(1,477)

(193,369)

(90.7)

Microchip

Technology,

Inc.

...

(903)

(135,712)

(63.6)

Moody's

Corp.

...........

(64)

(20,909)

(9.8)

MSCI,

Inc.

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

(172)

(83,552)

(39.2)

Nasdaq,

Inc.

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

(277)

(44,747)

(21.0)

BlackRock

Total

Factor

Fund

26

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Netflix,

Inc.

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

(46)

$

(23,620)

(11.1)

%

Neurocrine

Biosciences,

Inc.

..

(459)

(43,371)

(20.3)

Newell

Brands,

Inc.

........

(4,251)

(114,607)

(53.7)

NextEra

Energy,

Inc.

.......

(2,250)

(174,398)

(81.8)

Occidental

Petroleum

Corp.

..

(3,356)

(85,108)

(39.9)

ON

Semiconductor

Corp.

....

(2,306)

(89,934)

(42.2)

Oracle

Corp.

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

(487)

(36,910)

(17.3)

Packaging

Corp.

of

America

..

(240)

(35,436)

(16.6)

Palo

Alto

Networks,

Inc.

.....

(158)

(55,836)

(26.2)

PayPal

Holdings,

Inc.

......

(211)

(55,343)

(26.0)

PerkinElmer,

Inc.

.........

(659)

(85,426)

(40.1)

PG&E

Corp.

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

(10,012)

(113,336)

(53.1)

Plug

Power,

Inc.

..........

(1,111)

(31,675)

(14.9)

Procter

&

Gamble

Co.

(The)

..

(577)

(76,983)

(36.1)

Progressive

Corp.

(The)

.....

(458)

(46,139)

(21.6)

QIAGEN

NV

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

(2,398)

(116,911)

(54.8)

Republic

Services,

Inc.

.....

(1,229)

(130,643)

(61.3)

ResMed,

Inc.

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

(129)

(24,248)

(11.4)

RingCentral,

Inc.,

Class

A

....

(402)

(128,218)

(60.1)

Rollins,

Inc.

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

(4,772)

(177,900)

(83.4)

Roper

Technologies,

Inc.

....

(1,049)

(468,316)

(219.6)

Royal

Caribbean

Cruises

Ltd.

.

(1,645)

(143,033)

(67.1)

salesforce.com,

Inc.

.......

(566)

(130,361)

(61.1)

Sarepta

Therapeutics,

Inc.

...

(671)

(47,534)

(22.3)

Schlumberger

NV

.........

(9,926)

(268,498)

(125.9)

Seagen,

Inc.

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

(572)

(82,231)

(38.6)

Snowflake,

Inc.,

Class

A

.....

(115)

(26,633)

(12.5)

SolarEdge

Technologies,

Inc.

.

(277)

(73,001)

(34.2)

Southwest

Airlines

Co.

......

(829)

(52,045)

(24.4)

Splunk,

Inc.

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

(819)

(103,538)

(48.6)

Square,

Inc.,

Class

A

.......

(70)

(17,137)

(8.0)

Steel

Dynamics,

Inc.

.......

(143)

(7,753)

(3.6)

STERIS

plc

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

(323)

(68,159)

(32.0)

Sunrun,

Inc.

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

(1,200)

(58,800)

(27.6)

TE

Connectivity

Ltd.

.......

(887)

(119,275)

(55.9)

Teladoc

Health,

Inc.

........

(514)

(88,588)

(41.5)

Teledyne

Technologies,

Inc.

..

(104)

(46,566)

(21.8)

Teleflex,

Inc.

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

(159)

(67,174)

(31.5)

Tenaris

SA

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

(2,669)

(28,620)

(13.4)

Tesla,

Inc.

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

(44)

(31,215)

(14.6)

Thermo

Fisher

Scientific,

Inc.

.

(255)

(119,909)

(56.2)

T-Mobile

US,

Inc.

.........

(1,786)

(235,984)

(110.7)

Tradeweb

Markets,

Inc.,

Class

A

(494)

(40,152)

(18.8)

TransUnion

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

(230)

(24,056)

(11.3)

Twilio,

Inc.,

Class

A

........

(381)

(140,132)

(65.7)

Tyler

Technologies,

Inc.

.....

(537)

(228,150)

(107.0)

UnitedHealth

Group,

Inc.

....

(68)

(27,118)

(12.7)

Valero

Energy

Corp.

.......

(2,363)

(174,767)

(82.0)

Verisk

Analytics,

Inc.

.......

(354)

(66,623)

(31.2)

Viatris,

Inc.

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

(6,389)

(84,974)

(39.8)

Visa,

Inc.,

Class

A

.........

(2,277)

(531,816)

(249.4)

W

R

Berkley

Corp.

........

(1,966)

(156,730)

(73.5)

Walmart,

Inc.

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

(231)

(32,319)

(15.2)

Walt

Disney

Co.

(The)

......

(174)

(32,367)

(15.2)

Waste

Connections,

Inc.

.....

(1,134)

(135,071)

(63.3)

Waste

Management,

Inc.

....

(710)

(97,959)

(45.9)

Wayfair,

Inc.,

Class

A

.......

(97)

(28,670)

(13.4)

Western

Digital

Corp.

.......

(2,881)

(203,485)

(95.4)

Wynn

Resorts

Ltd.

........

(303)

(38,905)

(18.2)

Xcel

Energy,

Inc.

..........

(529)

(37,718)

(17.7)

Xylem,

Inc.

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

(331)

(36,625)

(17.2)

Zendesk,

Inc.

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

(152)

(22,215)

(10.4)

Zillow

Group,

Inc.,

Class

C

...

(624)

(81,195)

(38.1)

Zoetis,

Inc.

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

(795)

(137,559)

(64.5)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(103)

$

(32,916)

(15.4)

%

Zscaler,

Inc.

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

(558)

(104,703)

(49.1)

(14,400,455)

Total

Reference

Entity

—

Short

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

(30,143,165)

Net

Value

of

Reference

Entity

—

Credit

Suisse

International

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

$

213,256

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

April

30,

2021,

expiration

dates

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

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

8,879

253,250

(214.1)

Aurizon

Holdings

Ltd.

......

39,587

113,891

(96.3)

BHP

Group

plc

...........

3,950

118,954

(100.6)

Brambles

Ltd.

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

51,371

411,529

(347.9)

REA

Group

Ltd.

..........

1,630

198,314

(167.7)

Rio

Tinto

Ltd.

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

411

38,200

(32.3)

Rio

Tinto

plc

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

1,448

121,281

(102.5)

Sonic

Healthcare

Ltd.

......

1,731

47,845

(40.5)

Suncorp

Group

Ltd.

........

22,587

182,674

(154.4)

Tabcorp

Holdings

Ltd.

......

109,959

419,258

(354.5)

Telstra

Corp.

Ltd.

.........

50,684

132,406

(111.9)

Wesfarmers

Ltd.

..........

2,868

119,555

(101.1)

2,157,157

Austria

OMV

AG

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

844

41,490

(35.1)

Raiffeisen

Bank

International

AG

8,460

184,831

(156.3)

voestalpine

AG

...........

882

38,265

(32.3)

264,586

Belgium

Ageas

SA/NV

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

364

22,015

(18.6)

KBC

Group

NV

...........

580

45,001

(38.1)

Proximus

SADP

..........

15,846

337,598

(285.4)

Solvay

SA

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

475

60,402

(51.1)

UCB

SA

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

1,750

162,047

(137.0)

627,063

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

110

273,639

(231.4)

Genmab

A/S

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

274

100,548

(85.0)

Novo

Nordisk

A/S,

Class

B

...

7,560

557,682

(471.5)

Novozymes

A/S,

Class

B

....

6,555

464,898

(393.0)

Pandora

A/S

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

1,383

156,623

(132.4)

1,553,390

Finland

Kesko

OYJ,

Class

B

.......

941

28,653

(24.2)

Neste

OYJ

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

3,892

235,352

(199.0)

Nordea

Bank

Abp

.........

13,320

138,056

(116.7)

Orion

OYJ,

Class

B

........

594

26,302

(22.2)

Sampo

OYJ,

Class

A

.......

953

45,205

(38.2)

473,568

France

Arkema

SA

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

156

19,503

(16.5)

BioMerieux

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

408

48,532

(41.0)

BNP

Paribas

SA

..........

4,093

262,434

(221.9)

Bollore

SA

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

30,991

156,468

(132.3)

Capgemini

SE

...........

735

134,687

(113.9)

BlackRock

Total

Factor

Fund

27

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

France

(continued)

Carrefour

SA

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

2,355

$

45,609

(38.6)

%

Cie

de

Saint-Gobain

.......

4,377

276,167

(233.5)

Cie

Generale

des

Etablissements

Michelin

SCA

..........

1,134

164,091

(138.7)

CNP

Assurances

..........

1,567

27,408

(23.2)

Engie

SA

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

15,788

235,169

(198.8)

Eurazeo

SE

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

1,908

158,973

(134.4)

Hermes

International

.......

117

146,848

(124.1)

Ipsen

SA

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

1,422

137,472

(116.2)

La

Francaise

des

Jeux

SAEM

.

6,071

311,119

(263.0)

Natixis

SA

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

4,660

22,755

(19.2)

Orange

SA

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

73,882

920,069

(777.9)

Publicis

Groupe

SA

........

6,895

446,244

(377.3)

Sanofi

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

1,950

204,443

(172.8)

Schneider

Electric

SE

......

1,002

159,875

(135.2)

SCOR

SE

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

1,135

36,674

(31.0)

SEB

SA

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

431

78,492

(66.4)

Societe

Generale

SA

.......

4,052

115,268

(97.4)

Suez

SA

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

1,940

46,368

(39.2)

Teleperformance

..........

257

99,239

(83.9)

Thales

SA

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

1,133

115,505

(97.7)

Valeo

SA

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

495

16,041

(13.6)

Vinci

SA

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

644

70,666

(59.7)

Wendel

SE

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

632

84,126

(71.1)

4,540,245

Germany

Allianz

SE

(Registered)

.....

976

253,386

(214.2)

BASF

SE

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

3,862

311,244

(263.1)

Bayer

AG

(Registered)

......

453

29,313

(24.8)

Brenntag

SE

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

1,011

90,762

(76.7)

Deutsche

Boerse

AG

.......

303

52,215

(44.1)

Deutsche

Post

AG

(Registered)

6,817

401,502

(339.5)

E.ON

SE

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

19,770

238,384

(201.5)

GEA

Group

AG

...........

3,925

172,364

(145.7)

Hannover

Rueck

SE

.......

592

109,319

(92.4)

HeidelbergCement

AG

......

2,954

270,685

(228.9)

LANXESS

AG

...........

485

35,692

(30.2)

LEG

Immobilien

SE

........

827

115,065

(97.3)

Merck

KGaA

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

498

87,491

(74.0)

Nemetschek

SE

..........

250

18,636

(15.8)

SAP

SE

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

154

21,563

(18.2)

Scout24

AG

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

547

45,478

(38.5)

Siemens

AG

(Registered)

....

2,097

349,853

(295.8)

Volkswagen

AG

..........

107

33,970

(28.7)

2,636,922

Hong

Kong

Hongkong

Land

Holdings

Ltd.

.

9,500

46,980

(39.7)

Italy

Eni

SpA

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

32,640

388,772

(328.7)

Intesa

Sanpaolo

SpA

.......

149,651

417,214

(352.7)

Poste

Italiane

SpA

.........

6,243

81,728

(69.1)

Snam

SpA

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

8,262

46,491

(39.3)

Terna

Rete

Elettrica

Nazionale

SpA

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

19,732

145,453

(123.0)

1,079,658

Luxembourg

SES

SA

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

16,135

122,312

(103.4)

Netherlands

Adyen

NV

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

41

100,905

(85.3)

Koninklijke

Ahold

Delhaize

NV

.

26,209

705,334

(596.3)

Koninklijke

KPN

NV

........

12,650

43,638

(36.9)

Koninklijke

Philips

NV

......

13,642

771,362

(652.2)

Shares

Value

%

of

Basket

Value

Netherlands

(continued)

Koninklijke

Vopak

NV

......

431

$

19,735

(16.7)

%

NN

Group

NV

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

11,793

588,217

(497.3)

Randstad

NV

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

6,075

438,325

(370.6)

Wolters

Kluwer

NV

........

1,033

93,436

(79.0)

2,760,952

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

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

6,666

171,802

(145.3)

Norway

DNB

ASA

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

370

7,935

(6.7)

Equinor

ASA

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

2,994

60,457

(51.1)

Norsk

Hydro

ASA

.........

33,163

211,175

(178.5)

279,567

Portugal

EDP

-

Energias

de

Portugal

SA

13,508

75,061

(63.5)

Russia

Evraz

plc

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

3,818

33,859

(28.6)

Singapore

DBS

Group

Holdings

Ltd.

....

3,700

82,921

(70.1)

Oversea-Chinese

Banking

Corp.

Ltd.

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

23,900

218,483

(184.7)

Singapore

Technologies

Engineering

Ltd.

........

50,700

146,673

(124.0)

Singapore

Telecommunications

Ltd.

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

36,300

68,104

(57.6)

516,181

South

Africa

Anglo

American

plc

........

1,366

57,919

(49.0)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

256

8,341

(7.1)

Endesa

SA

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

24,558

645,918

(546.1)

Industria

de

Diseno

Textil

SA

..

1,749

62,231

(52.6)

Repsol

SA

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

14,167

169,101

(143.0)

Telefonica

SA

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

7,891

36,569

(30.9)

922,160

Sweden

Alfa

Laval

AB

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

663

22,391

(18.9)

Boliden

AB

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

3,116

121,205

(102.5)

Electrolux

AB

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

17,907

502,590

(424.9)

Evolution

Gaming

Group

AB

..

102

20,136

(17.0)

Husqvarna

AB,

Class

B

.....

29,902

416,402

(352.1)

Industrivarden

AB,

Class

C

...

1,236

44,583

(37.7)

Investor

AB,

Class

B

.......

2,513

213,320

(180.4)

Kinnevik

AB,

Class

B

.......

892

49,231

(41.6)

Lundin

Energy

AB

.........

1,989

63,445

(53.6)

Skanska

AB,

Class

B

.......

10,369

280,825

(237.4)

Swedish

Match

AB

........

999

81,783

(69.1)

Tele2

AB,

Class

B

.........

2,315

29,901

(25.3)

Telefonaktiebolaget

LM

Ericsson,

Class

B

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

12,034

165,277

(139.7)

Telia

Co.

AB

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

49,912

206,827

(174.9)

2,217,916

Switzerland

Coca-Cola

HBC

AG

........

628

21,705

(18.4)

STMicroelectronics

NV

.....

260

9,711

(8.2)

31,416

BlackRock

Total

Factor

Fund

28

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

3i

Group

plc

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

23,143

$

409,904

(346.6)

%

Aviva

plc

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

22,213

122,806

(103.8)

Barratt

Developments

plc

....

27,611

294,395

(248.9)

Berkeley

Group

Holdings

plc

..

1,254

80,141

(67.8)

BP

plc

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

7,118

29,798

(25.2)

Burberry

Group

plc

........

3,774

107,421

(90.8)

Direct

Line

Insurance

Group

plc

7,536

29,652

(25.1)

Entain

plc

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

2,543

59,447

(50.3)

Imperial

Brands

plc

........

9,445

196,867

(166.4)

Intertek

Group

plc

.........

1,894

160,553

(135.7)

Johnson

Matthey

plc

.......

513

23,021

(19.5)

Kingfisher

plc

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

36,313

179,265

(151.6)

Legal

&

General

Group

plc

...

20,647

77,521

(65.5)

M&G

plc

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

34,925

104,832

(88.6)

Next

plc

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

863

93,002

(78.6)

Persimmon

plc

...........

8,958

387,528

(327.6)

Phoenix

Group

Holdings

plc

..

8,958

87,876

(74.3)

Rentokil

Initial

plc

.........

4,706

32,525

(27.5)

Schroders

plc

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

3,356

167,208

(141.4)

United

Utilities

Group

plc

....

2,160

28,892

(24.4)

Vodafone

Group

plc

........

211,265

398,700

(337.1)

WPP

plc

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

37,733

508,721

(430.1)

3,580,075

United

States

Ferguson

plc

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

1,828

230,559

(194.9)

Total

Reference

Entity

—

Long

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

24,379,348

Reference

Entity

—

Short

Australia

Afterpay

Ltd.

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

(1,586)

(142,844)

120.8

AMP

Ltd.

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

(95,627)

(82,119)

69.4

Ampol

Ltd.

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

(2,231)

(43,977)

37.2

APA

Group

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

(3,290)

(25,420)

21.5

AusNet

Services

..........

(101,672)

(148,820)

125.8

Commonwealth

Bank

of

Australia

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

(1,377)

(94,265)

79.7

Crown

Resorts

Ltd.

........

(12,821)

(120,398)

101.8

CSL

Ltd.

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

(574)

(119,905)

101.4

Lendlease

Corp.

Ltd.

.......

(3,164)

(30,918)

26.1

Macquarie

Group

Ltd.

......

(321)

(39,567)

33.5

Medibank

Pvt

Ltd.

.........

(51,179)

(121,431)

102.7

National

Australia

Bank

Ltd.

..

(1,152)

(23,575)

19.9

Newcrest

Mining

Ltd.

.......

(1,183)

(24,178)

20.4

Northern

Star

Resources

Ltd.

.

(10,937)

(87,873)

74.3

Oil

Search

Ltd.

...........

(35,475)

(102,466)

86.6

Orica

Ltd.

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

(27,915)

(290,628)

245.7

Qantas

Airways

Ltd.

.......

(5,903)

(22,391)

18.9

Santos

Ltd.

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

(7,084)

(37,605)

31.8

Sydney

Airport

...........

(24,267)

(115,405)

97.6

TPG

Telecom

Ltd.

.........

(9,874)

(41,921)

35.4

Transurban

Group

.........

(33,995)

(370,691)

313.4

Treasury

Wine

Estates

Ltd.

...

(9,426)

(72,844)

61.6

Westpac

Banking

Corp.

.....

(18,559)

(357,645)

302.4

Woolworths

Group

Ltd.

.....

(689)

(20,897)

17.7

(2,537,783)

Austria

Verbund

AG

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

(1,052)

(86,394)

73.0

Belgium

Elia

Group

SA/NV

.........

(3,927)

(425,094)

359.4

Galapagos

NV

...........

(510)

(39,706)

33.6

Groupe

Bruxelles

Lambert

SA

.

(298)

(32,587)

27.5

Sofina

SA

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

(363)

(137,925)

116.6

Shares

Value

%

of

Basket

Value

Belgium

(continued)

Umicore

SA

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

(881)

$

(53,532)

45.3

%

(688,844)

Chile

Antofagasta

plc

...........

(7,680)

(197,838)

167.3

China

Prosus

NV

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

(3,096)

(336,014)

284.1

Denmark

Ambu

A/S,

Class

B

........

(3,561)

(199,312)

168.5

Chr

Hansen

Holding

A/S

....

(2,644)

(242,739)

205.2

H

Lundbeck

A/S

..........

(1,617)

(49,792)

42.1

Orsted

A/S

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

(379)

(55,093)

46.6

ROCKWOOL

International

A/S,

Class

B

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

(415)

(185,629)

156.9

Tryg

A/S

...............

(25,330)

(579,218)

489.7

Vestas

Wind

Systems

A/S

...

(6,355)

(265,280)

224.3

(1,577,063)

Finland

Elisa

OYJ

..............

(291)

(16,496)

13.9

Kone

OYJ,

Class

B

........

(305)

(23,955)

20.2

Nokia

OYJ

..............

(3,624)

(17,167)

14.5

Wartsila

OYJ

Abp

.........

(15,296)

(197,394)

166.9

(255,012)

France

Adevinta

ASA

............

(6,962)

(127,409)

107.7

Aeroports

de

Paris

........

(556)

(71,270)

60.3

Air

Liquide

SA

...........

(533)

(89,758)

75.9

Airbus

SE

..............

(1,758)

(211,417)

178.7

Alstom

SA

..............

(5,590)

(305,279)

258.1

AXA

SA

................

(835)

(23,585)

19.9

Danone

SA

.............

(2,024)

(142,873)

120.8

Dassault

Aviation

SA

.......

(236)

(257,106)

217.4

Dassault

Systemes

SE

.....

(334)

(77,479)

65.5

Eiffage

SA

..............

(1,243)

(136,155)

115.1

Electricite

de

France

SA

.....

(3,404)

(49,668)

42.0

EssilorLuxottica

SA

........

(2,344)

(390,135)

329.8

Faurecia

SE

.............

(640)

(34,577)

29.2

Getlink

SE

..............

(14,178)

(225,535)

190.7

Kering

SA

..............

(67)

(53,688)

45.4

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(340)

(256,139)

216.6

Orpea

SA

..............

(675)

(86,874)

73.4

Pernod

Ricard

SA

.........

(260)

(53,395)

45.1

Remy

Cointreau

SA

........

(1,452)

(290,113)

245.3

Renault

SA

.............

(5,660)

(228,145)

192.9

Safran

SA

..............

(2,254)

(336,542)

284.5

Sartorius

Stedim

Biotech

....

(75)

(34,446)

29.1

TOTAL

SE

..............

(5,967)

(263,728)

223.0

Ubisoft

Entertainment

SA

....

(454)

(34,070)

28.8

Worldline

SA

............

(3,384)

(332,235)

280.9

(4,111,621)

Germany

Bayerische

Motoren

Werke

AG

(Preference)

..........

(434)

(35,546)

30.0

Beiersdorf

AG

............

(1,314)

(148,312)

125.4

Deutsche

Lufthansa

AG

(Registered)

...........

(6,671)

(86,179)

72.9

Deutsche

Telekom

AG

(Registered)

...........

(12,402)

(238,677)

201.8

Deutsche

Wohnen

SE

......

(528)

(28,564)

24.1

Evonik

Industries

AG

.......

(3,502)

(122,602)

103.6

BlackRock

Total

Factor

Fund

29

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Germany

(continued)

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(15)

$

(1,194)

1.0

%

Fuchs

Petrolub

SE

(Preference)

(1,202)

(64,006)

54.1

Hochtief

AG

.............

(1,001)

(93,865)

79.4

Infineon

Technologies

AG

....

(16,426)

(658,692)

556.9

Just

Eat

Takeaway.com

NV

...

(2,864)

(295,918)

250.2

KION

Group

AG

..........

(472)

(47,034)

39.8

Knorr-Bremse

AG

.........

(1,889)

(231,546)

195.8

MTU

Aero

Engines

AG

......

(86)

(21,703)

18.3

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(224)

(64,721)

54.7

Porsche

Automobil

Holding

SE

(Preference)

..........

(1,341)

(141,364)

119.5

Rational

AG

.............

(83)

(69,044)

58.4

Sartorius

AG

(Preference)

...

(431)

(243,179)

205.6

Siemens

Energy

AG

.......

(892)

(29,835)

25.2

Siemens

Healthineers

AG

....

(9,411)

(537,806)

454.7

Symrise

AG

.............

(413)

(53,333)

45.1

TeamViewer

AG

..........

(4,785)

(227,443)

192.3

Vonovia

SE

.............

(1,249)

(82,065)

69.4

Zalando

SE

.............

(1,163)

(120,950)

102.3

(3,643,578)

Italy

Amplifon

SpA

............

(1,420)

(59,932)

50.7

Ferrari

NV

..............

(651)

(139,455)

117.9

FinecoBank

Banca

Fineco

SpA

(3,616)

(62,195)

52.6

Infrastrutture

Wireless

Italiane

SpA

................

(7,575)

(88,381)

74.7

Mediobanca

Banca

di

Credito

Finanziario

SpA

........

(14,941)

(168,751)

142.7

Moncler

SpA

............

(1,821)

(111,610)

94.4

Recordati

Industria

Chimica

e

Farmaceutica

SpA

......

(703)

(38,734)

32.7

(669,058)

Luxembourg

ArcelorMittal

SA

..........

(7,181)

(208,756)

176.5

Mexico

Fresnillo

plc

.............

(5,066)

(57,606)

48.7

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(7,248)

(93,587)

79.1

Argenx

SE

..............

(81)

(23,276)

19.7

Heineken

NV

............

(2,346)

(272,135)

230.1

ING

Groep

NV

...........

(1,881)

(24,030)

20.3

JDE

Peet's

NV

...........

(3,187)

(123,911)

104.8

Koninklijke

DSM

NV

.......

(155)

(27,792)

23.5

(564,731)

New

Zealand

a2

Milk

Co.

Ltd.

(The)

......

(6,005)

(32,830)

27.8

Auckland

International

Airport

Ltd.

................

(48,226)

(260,809)

220.5

Ryman

Healthcare

Ltd.

.....

(17,649)

(178,432)

150.9

(472,071)

Norway

Gjensidige

Forsikring

ASA

...

(3,447)

(78,278)

66.2

Mowi

ASA

..............

(4,202)

(103,664)

87.6

Schibsted

ASA,

Class

A

.....

(2,032)

(102,116)

86.3

(284,058)

Portugal

Jeronimo

Martins

SGPS

SA

..

(9,836)

(179,627)

151.9

Shares

Value

%

of

Basket

Value

Saudi

Arabia

Delivery

Hero

SE

.........

(1,972)

$

(312,840)

264.5

%

Singapore

CapitaLand

Ltd.

..........

(105,900)

(295,214)

249.6

Singapore

Airlines

Ltd.

......

(20,500)

(77,693)

65.7

UOL

Group

Ltd.

..........

(33,300)

(192,147)

162.5

Venture

Corp.

Ltd.

.........

(1,500)

(22,633)

19.1

(587,687)

Spain

Aena

SME

SA

...........

(1,798)

(312,485)

264.2

Amadeus

IT

Group

SA

......

(2,530)

(172,288)

145.7

Cellnex

Telecom

SA

.......

(12,219)

(691,156)

584.3

Ferrovial

SA

.............

(14,605)

(414,651)

350.6

Grifols

SA

..............

(5,026)

(136,135)

115.1

Siemens

Gamesa

Renewable

Energy

SA

............

(2,819)

(101,822)

86.1

(1,828,537)

Sweden

Assa

Abloy

AB,

Class

B

.....

(3,712)

(105,828)

89.5

Essity

AB,

Class

B

........

(2,930)

(95,629)

80.8

Fastighets

AB

Balder,

Class

B

.

(1,562)

(89,999)

76.1

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(2,910)

(71,608)

60.5

Hexagon

AB,

Class

B

......

(799)

(76,320)

64.5

Investment

AB

Latour,

Class

B

(3,303)

(100,901)

85.3

L

E

Lundbergforetagen

AB,

Class

B

..................

(3,789)

(216,336)

182.9

Sandvik

AB

.............

(4,481)

(110,813)

93.7

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(30,301)

(530,612)

448.6

Svenska

Handelsbanken

AB,

Class

A

..............

(1,867)

(21,620)

18.3

(1,419,666)

United

Kingdom

Admiral

Group

plc

.........

(4,880)

(210,859)

178.3

Associated

British

Foods

plc

..

(1,387)

(44,255)

37.4

AstraZeneca

plc

..........

(2,052)

(218,423)

184.7

AVEVA

Group

plc

.........

(7,186)

(345,369)

292.0

Barclays

plc

.............

(13,598)

(32,920)

27.8

BT

Group

plc

............

(40,839)

(93,152)

78.8

Compass

Group

plc

........

(1,951)

(42,443)

35.9

Croda

International

plc

......

(242)

(22,608)

19.1

Diageo

plc

..............

(2,618)

(117,526)

99.4

Experian

plc

.............

(1,345)

(51,852)

43.8

Halma

plc

..............

(3,882)

(138,714)

117.3

Hargreaves

Lansdown

plc

...

(2,380)

(56,505)

47.8

HSBC

Holdings

plc

........

(9,497)

(59,297)

50.1

Informa

plc

..............

(4,994)

(38,819)

32.8

InterContinental

Hotels

Group

plc

.................

(2,034)

(144,542)

122.2

London

Stock

Exchange

Group

plc

.................

(1,649)

(168,476)

142.4

Ocado

Group

plc

.........

(9,016)

(261,004)

220.7

Prudential

plc

............

(3,059)

(64,772)

54.8

Reckitt

Benckiser

Group

plc

..

(3,449)

(307,091)

259.6

RELX

plc

...............

(1,908)

(49,504)

41.9

Rolls-Royce

Holdings

plc

....

(104,067)

(150,607)

127.3

RSA

Insurance

Group

plc

....

(2,794)

(26,314)

22.2

St

James's

Place

plc

.......

(4,498)

(84,600)

71.5

Standard

Chartered

plc

.....

(11,920)

(85,513)

72.3

Standard

Life

Aberdeen

plc

...

(3,105)

(11,899)

10.1

Tesco

plc

...............

(37,123)

(113,320)

95.8

Unilever

plc

.............

(9,568)

(560,466)

473.8

BlackRock

Total

Factor

Fund

30

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Wm

Morrison

Supermarkets

plc

(187,353)

$

(449,963)

380.4

%

(3,950,813)

United

States

Tenaris

SA

..............

(49,243)

(528,032)

446.4

Total

Reference

Entity

—

Short

............

(24,497,629)

Net

Value

of

Reference

Entity

—

Deutsche

Bank

AG

................................

$

(118,281)

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

April

30,

2021,

expiration

dates

02/27/23-03/01/23:

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

791

22,561

20.6

Aurizon

Holdings

Ltd.

......

6,809

19,589

17.9

Brambles

Ltd.

............

9,921

79,476

72.5

REA

Group

Ltd.

..........

283

34,431

31.4

Rio

Tinto

plc

.............

3,097

259,396

236.7

Tabcorp

Holdings

Ltd.

......

8,441

32,184

29.4

Telstra

Corp.

Ltd.

.........

18,244

47,660

43.5

Wesfarmers

Ltd.

..........

4,081

170,121

155.2

665,418

Austria

voestalpine

AG

...........

616

26,725

24.4

Canada

B2Gold

Corp.

............

30,720

147,958

135.0

Bank

of

Montreal

.........

2,400

226,517

206.7

BCE,

Inc.

...............

233

11,014

10.0

Canadian

Imperial

Bank

of

Commerce

...........

1,798

186,916

170.5

Canadian

National

Railway

Co.

385

41,449

37.8

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

428

68,221

62.2

Constellation

Software,

Inc.

..

35

51,367

46.9

Empire

Co.

Ltd.,

Class

A

....

2,094

65,862

60.1

George

Weston

Ltd.

.......

577

50,947

46.5

Intact

Financial

Corp.

.......

200

26,584

24.3

Kinross

Gold

Corp.

........

5,618

39,536

36.1

Magna

International,

Inc.

....

1,073

101,333

92.5

Manulife

Financial

Corp.

.....

2,131

46,533

42.5

National

Bank

of

Canada

....

1,155

83,969

76.6

Nutrien

Ltd.

.............

860

47,473

43.3

Onex

Corp.

.............

569

38,094

34.8

Open

Text

Corp.

..........

293

13,797

12.6

Power

Corp.

of

Canada

.....

1,359

39,582

36.1

Quebecor,

Inc.,

Class

B

.....

1,200

32,266

29.4

Ritchie

Bros

Auctioneers,

Inc.

.

238

15,140

13.8

Royal

Bank

of

Canada

......

477

45,525

41.5

Shaw

Communications,

Inc.,

Class

B

..............

4,371

126,598

115.5

TMX

Group

Ltd.

..........

216

23,803

21.7

West

Fraser

Timber

Co.

Ltd.

..

979

75,586

69.0

1,606,070

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

9

22,389

20.4

Coloplast

A/S,

Class

B

......

99

16,398

14.9

Novo

Nordisk

A/S,

Class

B

...

4,144

305,692

278.9

Pandora

A/S

............

205

23,216

21.2

367,695

Shares

Value

%

of

Basket

Value

Finland

Neste

OYJ

..............

1,758

$

106,308

97.0

%

Orion

OYJ,

Class

B

........

507

22,449

20.5

128,757

France

BNP

Paribas

SA

..........

1,037

66,490

60.7

Cie

de

Saint-Gobain

.......

361

22,777

20.8

Cie

Generale

des

Etablissements

Michelin

SCA

..........

267

38,635

35.2

Credit

Agricole

SA

.........

5,968

92,314

84.2

Engie

SA

...............

1,308

19,483

17.8

Hermes

International

.......

50

62,756

57.3

La

Francaise

des

Jeux

SAEM

.

1,797

92,090

84.0

L'Oreal

SA

..............

68

27,844

25.4

Orange

SA

..............

5,286

65,828

60.1

Publicis

Groupe

SA

........

1,100

71,192

65.0

Schneider

Electric

SE

......

1,047

167,055

152.4

SEB

SA

................

290

52,813

48.2

Thales

SA

..............

233

23,753

21.7

Valeo

SA

...............

792

25,666

23.4

Wendel

SE

.............

200

26,622

24.3

855,318

Germany

Allianz

SE

(Registered)

.....

100

25,962

23.7

BASF

SE

...............

659

53,110

48.5

Brenntag

SE

............

124

11,132

10.2

Deutsche

Post

AG

(Registered)

9,779

575,956

525.5

GEA

Group

AG

...........

4,160

182,684

166.7

HeidelbergCement

AG

......

575

52,689

48.1

Henkel

AG

&

Co.

KGaA

(Preference)

..........

210

24,123

22.0

Siemens

AG

(Registered)

....

89

14,848

13.5

Uniper

SE

..............

916

33,423

30.5

973,927

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

73,500

460,156

419.9

CLP

Holdings

Ltd.

.........

3,500

34,547

31.5

Hongkong

Land

Holdings

Ltd.

.

5,300

26,210

23.9

New

World

Development

Co.

Ltd.

................

28,000

148,167

135.2

Sun

Hung

Kai

Properties

Ltd.

.

9,000

135,381

123.5

804,461

Ireland

CRH

plc

...............

1,327

62,613

57.1

Smurfit

Kappa

Group

plc

....

529

27,043

24.7

89,656

Israel

Bank

Leumi

Le-Israel

BM

....

5,761

40,441

36.9

Check

Point

Software

Technologies

Ltd.

.......

991

115,759

105.6

156,200

Italy

Intesa

Sanpaolo

SpA

.......

10,686

29,792

27.2

Terna

Rete

Elettrica

Nazionale

SpA

................

14,143

104,255

95.1

134,047

Japan

ABC-Mart,

Inc.

...........

800

42,864

39.1

Aisin

Corp.

..............

1,300

50,037

45.7

Amada

Co.

Ltd.

..........

12,400

134,495

122.7

Asahi

Kasei

Corp.

.........

3,100

32,657

29.8

BlackRock

Total

Factor

Fund

31

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Bridgestone

Corp.

.........

1,800

$

72,141

65.8

%

Brother

Industries

Ltd.

......

12,300

260,798

237.9

Calbee,

Inc.

.............

1,700

40,738

37.2

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

..........

4,900

78,402

71.5

Denso

Corp.

............

2,800

181,028

165.2

ENEOS

Holdings,

Inc.

......

21,900

94,190

85.9

Fuji

Electric

Co.

Ltd.

.......

900

40,975

37.4

Fujitsu

Ltd.

..............

200

31,772

29.0

Hino

Motors

Ltd.

..........

11,500

96,521

88.1

Honda

Motor

Co.

Ltd.

......

3,100

92,441

84.3

Ito

En

Ltd.

..............

1,300

71,984

65.7

JSR

Corp.

..............

900

27,742

25.3

Kajima

Corp.

............

16,700

231,011

210.8

KDDI

Corp.

.............

800

24,184

22.1

Kurita

Water

Industries

Ltd.

...

900

41,566

37.9

Lawson,

Inc.

............

600

26,965

24.6

Lixil

Corp.

..............

2,300

62,300

56.8

McDonald's

Holdings

Co.

Japan

Ltd.

................

400

18,263

16.7

Mitsubishi

Electric

Corp.

.....

40,200

619,416

565.2

Mitsubishi

Estate

Co.

Ltd.

....

5,300

87,232

79.6

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

900

20,794

19.0

Mitsui

&

Co.

Ltd.

..........

2,000

42,207

38.5

Mitsui

Chemicals,

Inc.

......

2,700

84,996

77.5

NGK

Insulators

Ltd.

........

1,900

34,725

31.7

NGK

Spark

Plug

Co.

Ltd.

....

1,500

25,050

22.9

Nippon

Telegraph

&

Telephone

Corp.

...............

13,100

330,289

301.4

Nissan

Chemical

Corp.

.....

600

30,848

28.1

Nitto

Denko

Corp.

.........

2,200

182,059

166.1

NSK

Ltd.

...............

9,100

83,917

76.6

ORIX

Corp.

.............

3,500

56,504

51.6

Osaka

Gas

Co.

Ltd.

........

4,700

90,973

83.0

Panasonic

Corp.

..........

9,400

110,375

100.7

Persol

Holdings

Co.

Ltd.

.....

1,200

22,100

20.2

Pola

Orbis

Holdings,

Inc.

....

400

10,359

9.4

Ricoh

Co.

Ltd.

...........

5,900

63,048

57.5

Secom

Co.

Ltd.

...........

300

25,000

22.8

Sega

Sammy

Holdings,

Inc.

..

2,700

38,752

35.4

Sekisui

Chemical

Co.

Ltd.

....

18,100

315,581

287.9

Sekisui

House

Ltd.

........

3,500

70,884

64.7

Sony

Group

Corp.

.........

2,000

199,958

182.4

Sumitomo

Electric

Industries

Ltd.

................

1,600

23,808

21.7

Suntory

Beverage

&

Food

Ltd.

1,600

54,009

49.3

Taiheiyo

Cement

Corp.

.....

1,000

25,107

22.9

TDK

Corp.

..............

400

54,245

49.5

Teijin

Ltd.

...............

22,000

362,219

330.5

Tokyo

Electron

Ltd.

........

100

45,419

41.4

Toppan

Printing

Co.

Ltd.

.....

2,900

49,525

45.2

TOTO

Ltd.

..............

800

41,592

37.9

Toyo

Suisan

Kaisha

Ltd.

.....

2,200

89,705

81.8

Toyoda

Gosei

Co.

Ltd.

......

1,800

44,119

40.3

Toyota

Industries

Corp.

.....

600

48,173

43.9

Toyota

Tsusho

Corp.

.......

1,000

42,374

38.7

Yamaha

Motor

Co.

Ltd.

.....

1,100

27,484

25.1

5,205,920

Netherlands

Adyen

NV

..............

25

61,527

56.1

Koninklijke

Ahold

Delhaize

NV

.

5,109

137,493

125.5

Koninklijke

KPN

NV

........

26,428

91,167

83.2

NN

Group

NV

............

429

21,398

19.5

Shares

Value

%

of

Basket

Value

Netherlands

(continued)

NXP

Semiconductors

NV

....

1,159

$

223,119

203.6

%

Randstad

NV

............

3,957

285,506

260.5

Wolters

Kluwer

NV

........

1,682

152,139

138.8

972,349

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

2,463

63,479

57.9

Norway

Norsk

Hydro

ASA

.........

12,123

77,196

70.4

Portugal

EDP

-

Energias

de

Portugal

SA

5,425

30,146

27.5

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

17,900

163,633

149.3

Singapore

Telecommunications

Ltd.

................

30,800

57,785

52.7

United

Overseas

Bank

Ltd.

...

2,400

47,839

43.7

269,257

Spain

Iberdrola

SA

.............

17,405

235,210

214.6

Industria

de

Diseno

Textil

SA

..

1,352

48,105

43.9

283,315

Sweden

Boliden

AB

..............

1,396

54,301

49.5

Husqvarna

AB,

Class

B

.....

3,316

46,177

42.1

Skanska

AB,

Class

B

.......

679

18,389

16.8

Swedish

Match

AB

........

465

38,067

34.7

Tele2

AB,

Class

B

.........

5,287

68,288

62.3

Telia

Co.

AB

.............

10,991

45,545

41.6

270,767

Switzerland

Adecco

Group

AG

(Registered)

1,745

118,275

107.9

Baloise

Holding

AG

(Registered)

191

32,297

29.5

Credit

Suisse

Group

AG

.....

2,453

—

0.0

Credit

Suisse

Group

AG

(Registered)

...........

2,453

25,707

23.5

Geberit

AG

(Registered)

.....

107

70,407

64.2

LafargeHolcim

Ltd.

(Registered)

2,368

146,124

133.3

Logitech

International

SA

(Registered)

...........

463

51,534

47.0

Nestle

SA

(Registered)

.....

924

110,262

100.6

Novartis

AG

(Registered)

....

3,388

289,120

263.8

Roche

Holding

AG

........

653

212,980

194.3

SGS

SA

(Registered)

.......

1

2,959

2.7

Straumann

Holding

AG

(Registered)

...........

52

74,317

67.8

UBS

Group

AG

(Registered)

..

5,089

77,712

70.9

1,211,694

United

Kingdom

3i

Group

plc

.............

6,800

120,440

109.9

Aviva

plc

...............

19,379

107,138

97.8

Barratt

Developments

plc

....

7,006

74,700

68.2

Entain

plc

..............

2,241

52,387

47.8

Imperial

Brands

plc

........

869

18,113

16.5

Intertek

Group

plc

.........

621

52,642

48.0

Johnson

Matthey

plc

.......

1,283

57,574

52.5

Legal

&

General

Group

plc

...

7,609

28,569

26.1

Mondi

plc

...............

1,018

27,632

25.2

Rentokil

Initial

plc

.........

2,348

16,228

14.8

Sage

Group

plc

(The)

......

4,937

43,498

39.7

BlackRock

Total

Factor

Fund

32

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

SSE

plc

................

632

$

12,813

11.7

%

Standard

Life

Aberdeen

plc

...

4,926

18,878

17.2

Vodafone

Group

plc

........

21,653

40,863

37.3

WPP

plc

...............

2,394

32,276

29.4

703,751

United

States

A

O

Smith

Corp.

..........

787

53,319

48.6

Accenture

plc,

Class

A

......

661

191,670

174.9

Activision

Blizzard,

Inc.

.....

272

24,804

22.6

Adobe,

Inc.

.............

854

434,122

396.1

Advance

Auto

Parts,

Inc.

....

146

29,223

26.7

Aflac,

Inc.

..............

3,597

193,267

176.3

Agilent

Technologies,

Inc.

....

572

76,442

69.7

Airbnb,

Inc.,

Class

A

.......

285

49,222

44.9

Allegion

plc

.............

431

57,918

52.8

Allstate

Corp.

(The)

........

544

68,979

62.9

Ally

Financial,

Inc.

.........

456

23,461

21.4

Alphabet,

Inc.,

Class

A

......

154

362,439

330.7

Amazon.com,

Inc.

.........

11

38,142

34.8

AMERCO

..............

49

29,235

26.7

Ameriprise

Financial,

Inc.

....

244

63,050

57.5

AmerisourceBergen

Corp.

...

1,781

215,145

196.3

AMETEK,

Inc.

...........

426

57,480

52.4

Amgen,

Inc.

.............

913

218,791

199.6

Apple,

Inc.

..............

1,395

183,387

167.3

Archer-Daniels-Midland

Co.

..

6,727

424,676

387.5

Arista

Networks,

Inc.

.......

138

43,493

39.7

Arrow

Electronics,

Inc.

......

1,255

143,158

130.6

Assurant,

Inc.

............

644

100,206

91.4

AT&T,

Inc.

..............

717

22,521

20.5

Athene

Holding

Ltd.,

Class

A

..

482

28,761

26.2

Autodesk,

Inc.

...........

299

87,281

79.6

Automatic

Data

Processing,

Inc.

365

68,251

62.3

Avery

Dennison

Corp.

......

807

172,835

157.7

Axalta

Coating

Systems

Ltd.

..

2,364

75,388

68.8

Berkshire

Hathaway,

Inc.,

Class

B

..................

457

125,652

114.6

Best

Buy

Co.,

Inc.

.........

1,019

118,479

108.1

Biogen,

Inc.

.............

260

69,506

63.4

Bristol-Myers

Squibb

Co.

....

1,034

64,542

58.9

Bunge

Ltd.

..............

1,173

99,025

90.4

Cadence

Design

Systems,

Inc.

2,773

365,398

333.4

Capital

One

Financial

Corp.

..

385

57,396

52.4

Cardinal

Health,

Inc.

.......

3,208

193,571

176.6

CBRE

Group,

Inc.,

Class

A

...

1,737

147,992

135.0

Celanese

Corp.

..........

1,089

170,592

155.6

Cerner

Corp.

............

2,286

171,564

156.5

Cintas

Corp.

.............

222

76,621

69.9

Citigroup,

Inc.

............

529

37,686

34.4

Citrix

Systems,

Inc.

........

323

40,004

36.5

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

2,391

192,236

175.4

Colgate-Palmolive

Co.

......

1,346

108,622

99.1

Constellation

Brands,

Inc.,

Class

A

..................

111

26,676

24.3

Copart,

Inc.

.............

254

31,626

28.9

Corning,

Inc.

............

1,204

53,229

48.6

Corteva,

Inc.

............

3,428

167,149

152.5

Cummins,

Inc.

...........

265

66,791

60.9

CVS

Health

Corp.

.........

804

61,426

56.0

Darden

Restaurants,

Inc.

....

419

61,476

56.1

Dell

Technologies,

Inc.,

Class

C

305

29,991

27.4

Devon

Energy

Corp.

.......

6,183

144,559

131.9

Dollar

Tree,

Inc.

..........

230

26,427

24.1

Shares

Value

%

of

Basket

Value

United

States

(continued)

Domino's

Pizza,

Inc.

.......

309

$

130,503

119.1

%

Dover

Corp.

.............

153

22,826

20.8

DR

Horton,

Inc.

...........

437

42,953

39.2

Dropbox,

Inc.,

Class

A

......

1,177

30,249

27.6

DTE

Energy

Co.

..........

882

123,498

112.7

DuPont

de

Nemours,

Inc.

....

885

68,242

62.3

Eaton

Corp.

plc

...........

1,465

209,392

191.1

eBay,

Inc.

..............

3,044

169,825

154.9

Edwards

Lifesciences

Corp.

..

787

75,174

68.6

Electronic

Arts,

Inc.

........

2,083

295,953

270.0

Emerson

Electric

Co.

.......

659

59,633

54.4

EOG

Resources,

Inc.

.......

998

73,493

67.1

EPAM

Systems,

Inc.

.......

297

135,952

124.0

Exelon

Corp.

............

679

30,514

27.8

Expeditors

International

of

Washington,

Inc.

........

633

69,541

63.5

Facebook,

Inc.,

Class

A

.....

1,282

416,753

380.2

FactSet

Research

Systems,

Inc.

36

12,104

11.0

Fastenal

Co.

............

1,337

69,898

63.8

FedEx

Corp.

............

377

109,447

99.9

Ferguson

plc

............

1,089

137,351

125.3

FMC

Corp.

..............

314

37,127

33.9

Fortinet,

Inc.

.............

112

22,874

20.9

Gartner,

Inc.

.............

476

93,239

85.1

Genuine

Parts

Co.

........

811

101,351

92.5

Gilead

Sciences,

Inc.

.......

3,467

220,050

200.8

HCA

Healthcare,

Inc.

.......

723

145,366

132.6

Henry

Schein,

Inc.

.........

286

20,735

18.9

Hologic,

Inc.

.............

970

63,583

58.0

Home

Depot,

Inc.

(The)

.....

1,544

499,746

456.0

HP,

Inc.

................

1,615

55,088

50.3

Humana,

Inc.

............

44

19,591

17.9

IDEXX

Laboratories,

Inc.

....

470

258,025

235.4

IHS

Markit

Ltd.

...........

87

9,359

8.5

Illinois

Tool

Works,

Inc.

......

431

99,328

90.6

Intel

Corp.

..............

2,509

144,343

131.7

International

Paper

Co.

.....

3,085

178,930

163.3

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

8,744

277,622

253.3

Intuit,

Inc.

..............

7

2,885

2.6

Jazz

Pharmaceuticals

plc

....

985

161,934

147.8

JB

Hunt

Transport

Services,

Inc.

176

30,045

27.4

Johnson

Controls

International

plc

.................

1,501

93,572

85.4

Kansas

City

Southern

......

164

47,922

43.7

Keysight

Technologies,

Inc.

...

185

26,705

24.4

KLA

Corp.

..............

62

19,552

17.8

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,878

88,491

80.7

Kroger

Co.

(The)

..........

3,519

128,584

117.3

Laboratory

Corp.

of

America

Holdings

.............

85

22,599

20.6

Lam

Research

Corp.

.......

228

141,463

129.1

Lennar

Corp.,

Class

A

......

236

24,450

22.3

Lennox

International,

Inc.

....

284

95,237

86.9

LKQ

Corp.

..............

1,377

64,320

58.7

Lowe's

Cos.,

Inc.

.........

339

66,529

60.7

Masco

Corp.

............

3,256

207,993

189.8

Masimo

Corp.

............

190

44,207

40.3

Maxim

Integrated

Products,

Inc.

4,084

383,896

350.3

McKesson

Corp.

..........

492

92,280

84.2

Merck

&

Co.,

Inc.

.........

2,238

166,731

152.1

MetLife,

Inc.

.............

1,223

77,819

71.0

MGM

Resorts

International

...

611

24,880

22.7

Micron

Technology,

Inc.

.....

737

63,434

57.9

BlackRock

Total

Factor

Fund

33

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Microsoft

Corp.

...........

1,608

$

405,505

370.0

%

Mohawk

Industries,

Inc.

.....

333

68,432

62.4

Molina

Healthcare,

Inc.

.....

397

101,275

92.4

Molson

Coors

Beverage

Co.,

Class

B

..............

327

17,969

16.4

Monolithic

Power

Systems,

Inc.

501

181,051

165.2

Monster

Beverage

Corp.

....

1,674

162,462

148.2

Morgan

Stanley

..........

1,275

105,251

96.0

Mosaic

Co.

(The)

.........

1,140

40,105

36.6

Motorola

Solutions,

Inc.

.....

338

63,645

58.1

NetApp,

Inc.

.............

2,329

173,953

158.7

NIKE,

Inc.,

Class

B

........

256

33,951

31.0

Nordson

Corp.

...........

766

161,940

147.8

Northern

Trust

Corp.

.......

372

42,334

38.6

NVR,

Inc.

...............

5

25,090

22.9

Old

Dominion

Freight

Line,

Inc.

905

233,318

212.9

Omnicom

Group,

Inc.

.......

2,140

176,036

160.6

Owens

Corning

...........

1,262

122,174

111.5

PACCAR,

Inc.

...........

1,206

108,395

98.9

PepsiCo,

Inc.

............

2,935

423,110

386.0

Philip

Morris

International,

Inc.

273

25,935

23.7

Pool

Corp.

..............

279

117,883

107.6

Prudential

Financial,

Inc.

....

823

82,596

75.4

PulteGroup,

Inc.

..........

970

57,346

52.3

Qorvo,

Inc.

..............

469

88,252

80.5

QUALCOMM,

Inc.

.........

2,322

322,294

294.1

Raymond

James

Financial,

Inc.

169

22,102

20.2

Robert

Half

International,

Inc.

.

756

66,233

60.4

Ross

Stores,

Inc.

.........

156

20,427

18.6

Seagate

Technology

plc

.....

302

28,038

25.6

Sealed

Air

Corp.

..........

502

24,799

22.6

Sempra

Energy

..........

281

38,657

35.3

Sensata

Technologies

Holding

plc

.................

1,085

62,648

57.2

ServiceNow,

Inc.

..........

1

506

0.5

Sherwin-Williams

Co.

(The)

..

385

105,440

96.2

Sirius

XM

Holdings,

Inc.

.....

26,548

161,943

147.8

Skyworks

Solutions,

Inc.

....

867

157,213

143.4

Southern

Co.

(The)

........

1,385

91,645

83.6

Starbucks

Corp.

..........

2,323

265,960

242.7

Synchrony

Financial

.......

586

25,632

23.4

Synopsys,

Inc.

...........

538

132,918

121.3

Take-Two

Interactive

Software,

Inc.

.................

197

34,550

31.5

Target

Corp.

.............

633

131,196

119.7

Texas

Instruments,

Inc.

.....

544

98,197

89.6

TJX

Cos.,

Inc.

(The)

.......

637

45,227

41.3

Tractor

Supply

Co.

........

186

35,080

32.0

Truist

Financial

Corp.

.......

684

40,568

37.0

Tyson

Foods,

Inc.,

Class

A

...

672

52,046

47.5

UGI

Corp.

..............

859

37,547

34.3

Ulta

Beauty,

Inc.

..........

53

17,456

15.9

United

Parcel

Service,

Inc.,

Class

B

..................

828

168,796

154.0

Universal

Health

Services,

Inc.,

Class

B

..............

848

125,852

114.8

Vail

Resorts,

Inc.

..........

68

22,111

20.2

Veeva

Systems,

Inc.,

Class

A

.

285

80,498

73.4

VeriSign,

Inc.

............

435

95,165

86.8

Verizon

Communications,

Inc.

.

369

21,325

19.5

Vertex

Pharmaceuticals,

Inc.

..

412

89,898

82.0

VMware,

Inc.,

Class

A

......

326

52,431

47.8

Waters

Corp.

............

167

50,078

45.7

West

Pharmaceutical

Services,

Inc.

.................

42

13,798

12.6

Shares

Value

%

of

Basket

Value

United

States

(continued)

Whirlpool

Corp.

...........

382

$

90,324

82.4

%

Workday,

Inc.,

Class

A

......

277

68,419

62.4

XPO

Logistics,

Inc.

........

409

56,900

51.9

Yum!

Brands,

Inc.

.........

640

76,493

69.8

Zimmer

Biomet

Holdings,

Inc.

.

198

35,078

32.0

18,933,584

Total

Reference

Entity

—

Long

............

33,829,732

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(63)

(98,972)

(90.3)

Australia

Afterpay

Ltd.

............

(830)

(74,754)

(68.2)

AusNet

Services

..........

(32,697)

(47,859)

(43.7)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

(1,042)

(22,991)

(21.0)

BlueScope

Steel

Ltd.

.......

(6,198)

(102,463)

(93.5)

CIMIC

Group

Ltd.

.........

(12,840)

(191,157)

(174.4)

Crown

Resorts

Ltd.

........

(7,572)

(71,106)

(64.9)

CSL

Ltd.

...............

(211)

(44,077)

(40.2)

Lendlease

Corp.

Ltd.

.......

(1,850)

(18,078)

(16.5)

National

Australia

Bank

Ltd.

..

(1,736)

(35,526)

(32.4)

Northern

Star

Resources

Ltd.

.

(4,437)

(35,649)

(32.5)

SEEK

Ltd.

..............

(5,562)

(132,554)

(120.9)

Sydney

Airport

...........

(10,604)

(50,429)

(46.0)

TPG

Telecom

Ltd.

.........

(4,514)

(19,164)

(17.5)

Transurban

Group

.........

(2,955)

(32,222)

(29.4)

Westpac

Banking

Corp.

.....

(4,361)

(84,039)

(76.7)

WiseTech

Global

Ltd.

.......

(2,616)

(62,964)

(57.5)

(1,025,032)

Belgium

Elia

Group

SA/NV

.........

(394)

(42,650)

(38.9)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(226)

(38,151)

(34.8)

Canada

Air

Canada

.............

(1,096)

(22,087)

(20.2)

Bank

of

Nova

Scotia

(The)

...

(1,038)

(66,098)

(60.3)

CAE,

Inc.

...............

(1,741)

(54,532)

(49.8)

Cameco

Corp.

...........

(2,492)

(41,886)

(38.2)

Canadian

Natural

Resources

Ltd.

................

(2,512)

(76,250)

(69.6)

Canadian

Utilities

Ltd.,

Class

A

(6,032)

(172,399)

(157.3)

Enbridge,

Inc.

............

(1,672)

(64,491)

(58.8)

Fairfax

Financial

Holdings

Ltd.

(407)

(185,952)

(169.7)

Fortis,

Inc.

..............

(4,344)

(193,777)

(176.8)

Inter

Pipeline

Ltd.

.........

(2,520)

(36,740)

(33.5)

Keyera

Corp.

............

(2,210)

(50,542)

(46.1)

Metro,

Inc.

..............

(895)

(41,009)

(37.4)

Pan

American

Silver

Corp.

...

(1,652)

(52,524)

(47.9)

Pembina

Pipeline

Corp.

.....

(624)

(19,261)

(17.6)

Rogers

Communications,

Inc.,

Class

B

..............

(815)

(40,142)

(36.6)

Shopify,

Inc.,

Class

A

.......

(28)

(33,051)

(30.2)

SSR

Mining,

Inc.

..........

(8,182)

(129,871)

(118.5)

Teck

Resources

Ltd.,

Class

B

.

(851)

(18,008)

(16.4)

WSP

Global,

Inc.

.........

(334)

(34,681)

(31.6)

(1,333,301)

Chile

Antofagasta

plc

...........

(2,527)

(65,096)

(59.4)

BlackRock

Total

Factor

Fund

34

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(11,700)

$

(36,868)

(33.7)

%

ESR

Cayman

Ltd.

.........

(6,200)

(21,174)

(19.3)

Prosus

NV

..............

(1,176)

(127,633)

(116.5)

Wilmar

International

Ltd.

....

(15,300)

(59,879)

(54.6)

(245,554)

Denmark

Ambu

A/S,

Class

B

........

(445)

(24,907)

(22.7)

Orsted

A/S

..............

(160)

(23,258)

(21.2)

Vestas

Wind

Systems

A/S

...

(510)

(21,289)

(19.4)

(69,454)

Finland

Stora

Enso

OYJ,

Class

R

....

(2,082)

(39,834)

(36.4)

France

Adevinta

ASA

............

(1,183)

(21,650)

(19.8)

Aeroports

de

Paris

........

(183)

(23,457)

(21.4)

Air

Liquide

SA

...........

(1,568)

(264,055)

(240.9)

Alstom

SA

..............

(1,385)

(75,637)

(69.0)

Danone

SA

.............

(375)

(26,471)

(24.2)

EssilorLuxottica

SA

........

(410)

(68,240)

(62.3)

Faurecia

SE

.............

(3,153)

(170,347)

(155.4)

Kering

SA

..............

(117)

(93,754)

(85.5)

Remy

Cointreau

SA

........

(105)

(20,979)

(19.1)

Renault

SA

.............

(635)

(25,596)

(23.4)

Safran

SA

..............

(361)

(53,900)

(49.2)

TOTAL

SE

..............

(1,421)

(62,805)

(57.3)

Worldline

SA

............

(299)

(29,355)

(26.8)

(936,246)

Germany

adidas

AG

..............

(167)

(51,580)

(47.1)

Covestro

AG

............

(355)

(23,217)

(21.2)

Infineon

Technologies

AG

....

(2,974)

(119,259)

(108.8)

Just

Eat

Takeaway.com

NV

...

(391)

(40,399)

(36.9)

Knorr-Bremse

AG

.........

(262)

(32,115)

(29.3)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(74)

(21,381)

(19.5)

Puma

SE

...............

(227)

(23,931)

(21.8)

Sartorius

AG

(Preference)

...

(98)

(55,294)

(50.5)

Siemens

Healthineers

AG

....

(1,298)

(74,176)

(67.7)

Vonovia

SE

.............

(312)

(20,500)

(18.7)

Zalando

SE

.............

(626)

(65,103)

(59.4)

(526,955)

Hong

Kong

Hong

Kong

Exchanges

&

Clearing

Ltd.

..........

(500)

(30,156)

(27.5)

Jardine

Matheson

Holdings

Ltd.

(400)

(26,860)

(24.5)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(2,874)

(55,439)

(50.6)

(112,455)

Ireland

Flutter

Entertainment

plc

....

(313)

(63,808)

(58.2)

Kingspan

Group

plc

........

(235)

(20,902)

(19.1)

(84,710)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(5,644)

(60,391)

(55.1)

Shares

Value

%

of

Basket

Value

Italy

Ferrari

NV

..............

(302)

$

(64,694)

(59.0)

%

Infrastrutture

Wireless

Italiane

SpA

................

(4,560)

(53,204)

(48.6)

Moncler

SpA

............

(367)

(22,494)

(20.5)

(140,392)

Japan

Aeon

Co.

Ltd.

............

(2,000)

(54,578)

(49.8)

Asahi

Group

Holdings

Ltd.

...

(600)

(25,088)

(22.9)

Bandai

Namco

Holdings,

Inc.

.

(700)

(51,367)

(46.9)

Bank

of

Kyoto

Ltd.

(The)

....

(1,200)

(64,466)

(58.8)

Canon,

Inc.

.............

(800)

(19,024)

(17.4)

Casio

Computer

Co.

Ltd.

....

(1,800)

(31,871)

(29.1)

Central

Japan

Railway

Co.

...

(300)

(43,954)

(40.1)

Chiba

Bank

Ltd.

(The)

......

(4,800)

(30,015)

(27.4)

CyberAgent,

Inc.

..........

(1,200)

(24,627)

(22.5)

Daifuku

Co.

Ltd.

..........

(500)

(49,421)

(45.1)

Daiwa

Securities

Group,

Inc.

..

(32,900)

(175,558)

(160.2)

Disco

Corp.

.............

(100)

(32,292)

(29.5)

East

Japan

Railway

Co.

.....

(1,600)

(109,580)

(100.0)

FANUC

Corp.

............

(100)

(23,028)

(21.0)

Fast

Retailing

Co.

Ltd.

......

(100)

(82,043)

(74.9)

Fukuoka

Financial

Group,

Inc.

.

(3,100)

(52,873)

(48.2)

Harmonic

Drive

Systems,

Inc.

.

(300)

(20,175)

(18.4)

Hikari

Tsushin,

Inc.

........

(600)

(120,696)

(110.1)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(2,300)

(70,704)

(64.5)

Hitachi

Metals

Ltd.

........

(5,300)

(102,757)

(93.8)

Ibiden

Co.

Ltd.

...........

(600)

(28,322)

(25.8)

Iida

Group

Holdings

Co.

Ltd.

..

(1,200)

(29,225)

(26.7)

Japan

Airport

Terminal

Co.

Ltd.

(2,100)

(94,289)

(86.0)

Japan

Exchange

Group,

Inc.

..

(1,700)

(39,871)

(36.4)

JFE

Holdings,

Inc.

.........

(4,900)

(64,434)

(58.8)

Kakaku.com,

Inc.

.........

(1,300)

(35,295)

(32.2)

Keihan

Holdings

Co.

Ltd.

....

(600)

(21,909)

(20.0)

Keikyu

Corp.

............

(1,300)

(16,667)

(15.2)

Keio

Corp.

..............

(1,000)

(65,098)

(59.4)

Keyence

Corp.

...........

(100)

(48,005)

(43.8)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(1,400)

(50,224)

(45.8)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(26,794)

(24.5)

Kobe

Bussan

Co.

Ltd.

......

(3,300)

(88,157)

(80.4)

Koei

Tecmo

Holdings

Co.

Ltd.

.

(1,950)

(86,941)

(79.3)

Kyushu

Electric

Power

Co.,

Inc.

(6,800)

(62,327)

(56.9)

Lasertec

Corp.

...........

(700)

(123,262)

(112.5)

Marui

Group

Co.

Ltd.

.......

(5,400)

(101,489)

(92.6)

Mercari,

Inc.

.............

(500)

(24,542)

(22.4)

Mitsubishi

Corp.

..........

(4,900)

(135,489)

(123.6)

Miura

Co.

Ltd.

...........

(600)

(31,476)

(28.7)

MonotaRO

Co.

Ltd.

........

(800)

(20,314)

(18.5)

MS&AD

Insurance

Group

Holdings,

Inc.

..........

(1,100)

(31,208)

(28.5)

Murata

Manufacturing

Co.

Ltd.

(500)

(39,754)

(36.3)

Nagoya

Railroad

Co.

Ltd.

....

(700)

(16,078)

(14.7)

Nidec

Corp.

.............

(300)

(34,641)

(31.6)

Nippon

Paint

Holdings

Co.

Ltd.

(8,600)

(122,841)

(112.1)

Nippon

Sanso

Holdings

Corp.

.

(3,800)

(71,487)

(65.2)

Nissan

Motor

Co.

Ltd.

......

(18,500)

(92,869)

(84.7)

Odakyu

Electric

Railway

Co.

Ltd.

(3,700)

(100,211)

(91.4)

Oji

Holdings

Corp.

.........

(5,400)

(34,062)

(31.1)

Oriental

Land

Co.

Ltd.

......

(200)

(28,352)

(25.9)

PeptiDream,

Inc.

..........

(2,700)

(115,567)

(105.4)

Pigeon

Corp.

............

(1,800)

(61,089)

(55.7)

Rakuten

Group,

Inc.

.......

(11,400)

(144,919)

(132.2)

BlackRock

Total

Factor

Fund

35

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Ryohin

Keikaku

Co.

Ltd.

.....

(2,300)

$

(48,441)

(44.2)

%

SBI

Holdings,

Inc.

.........

(4,700)

(132,845)

(121.2)

SCSK

Corp.

.............

(600)

(34,819)

(31.8)

Seibu

Holdings,

Inc.

.......

(5,300)

(56,995)

(52.0)

Shin-Etsu

Chemical

Co.

Ltd.

..

(800)

(135,042)

(123.2)

Shiseido

Co.

Ltd.

.........

(2,200)

(160,097)

(146.1)

SMC

Corp.

..............

(100)

(58,108)

(53.0)

SoftBank

Corp.

...........

(2,300)

(29,648)

(27.1)

SoftBank

Group

Corp.

......

(400)

(36,044)

(32.9)

SUMCO

Corp.

...........

(5,700)

(147,414)

(134.5)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

.................

(300)

(10,225)

(9.3)

Takeda

Pharmaceutical

Co.

Ltd.

(11,400)

(380,766)

(347.4)

TIS,

Inc.

...............

(2,000)

(49,621)

(45.3)

Tobu

Railway

Co.

Ltd.

......

(1,700)

(43,775)

(39.9)

Toho

Co.

Ltd.

............

(900)

(35,868)

(32.7)

Tokio

Marine

Holdings,

Inc.

...

(800)

(38,366)

(35.0)

Tokyo

Century

Corp.

.......

(1,300)

(80,368)

(73.3)

Tokyu

Corp.

.............

(7,600)

(97,742)

(89.2)

West

Japan

Railway

Co.

....

(1,900)

(105,043)

(95.8)

Yamazaki

Baking

Co.

Ltd.

....

(2,900)

(45,968)

(41.9)

(4,998,520)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,528)

(118,891)

(108.5)

Luxembourg

ArcelorMittal

SA

..........

(1,264)

(36,745)

(33.5)

Macau

Galaxy

Entertainment

Group

Ltd.

................

(5,000)

(43,891)

(40.1)

Sands

China

Ltd.

.........

(14,800)

(70,034)

(63.9)

(113,925)

Mexico

Fresnillo

plc

.............

(1,747)

(19,865)

(18.1)

Netherlands

Argenx

SE

..............

(381)

(109,483)

(99.9)

Heineken

NV

............

(244)

(28,304)

(25.8)

(137,787)

Norway

Mowi

ASA

..............

(3,046)

(75,145)

(68.5)

Singapore

City

Developments

Ltd.

.....

(3,100)

(18,338)

(16.7)

Keppel

Corp.

Ltd.

.........

(10,000)

(40,627)

(37.1)

Singapore

Airlines

Ltd.

......

(14,800)

(56,091)

(51.2)

Singapore

Exchange

Ltd.

....

(4,900)

(38,385)

(35.0)

Venture

Corp.

Ltd.

.........

(3,900)

(58,845)

(53.7)

(212,286)

Spain

Aena

SME

SA

...........

(308)

(53,529)

(48.8)

Cellnex

Telecom

SA

.......

(5,342)

(302,165)

(275.7)

(355,694)

Sweden

Assa

Abloy

AB,

Class

B

.....

(1,353)

(38,573)

(35.2)

Atlas

Copco

AB,

Class

A

....

(2,549)

(154,571)

(141.0)

Essity

AB,

Class

B

........

(4,357)

(142,204)

(129.8)

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(3,467)

(85,314)

(77.8)

Investment

AB

Latour,

Class

B

(16,148)

(493,293)

(450.1)

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Sandvik

AB

.............

(1,999)

$

(49,434)

(45.1)

%

(963,389)

Switzerland

ABB

Ltd.

(Registered)

......

(2,536)

(82,375)

(75.2)

Alcon,

Inc.

..............

(1,676)

(125,886)

(114.8)

Banque

Cantonale

Vaudoise

(Registered)

...........

(1,456)

(148,434)

(135.4)

Barry

Callebaut

AG

(Registered)

(119)

(262,740)

(239.7)

EMS-Chemie

Holding

AG

(Registered)

...........

(22)

(20,542)

(18.7)

Givaudan

SA

(Registered)

...

(10)

(41,902)

(38.2)

Lonza

Group

AG

(Registered)

.

(97)

(61,664)

(56.3)

Partners

Group

Holding

AG

..

(115)

(163,814)

(149.5)

Schindler

Holding

AG

......

(313)

(89,069)

(81.3)

Vifor

Pharma

AG

..........

(2,029)

(292,426)

(266.8)

(1,288,852)

United

Kingdom

Admiral

Group

plc

.........

(1,137)

(49,128)

(44.8)

AVEVA

Group

plc

.........

(725)

(34,845)

(31.8)

Barclays

plc

.............

(31,243)

(75,638)

(69.0)

Compass

Group

plc

........

(1,213)

(26,388)

(24.1)

Experian

plc

.............

(621)

(23,941)

(21.8)

Halma

plc

..............

(2,985)

(106,662)

(97.3)

InterContinental

Hotels

Group

plc

.................

(1,794)

(127,487)

(116.3)

Liberty

Global

plc,

Class

A

...

(3,328)

(89,523)

(81.7)

Linde

plc

...............

(566)

(161,786)

(147.6)

London

Stock

Exchange

Group

plc

.................

(1,901)

(194,222)

(177.2)

Ocado

Group

plc

.........

(2,381)

(68,928)

(62.9)

Reckitt

Benckiser

Group

plc

..

(1,226)

(109,160)

(99.6)

Tesco

plc

...............

(9,855)

(30,083)

(27.5)

(1,097,791)

United

States

10X

Genomics,

Inc.,

Class

A

..

(382)

(75,560)

(68.9)

3M

Co.

................

(189)

(37,259)

(34.0)

Abbott

Laboratories

........

(1,310)

(157,305)

(143.5)

AbbVie,

Inc.

.............

(494)

(55,081)

(50.3)

Air

Products

&

Chemicals,

Inc.

(505)

(145,682)

(132.9)

Albemarle

Corp.

..........

(183)

(30,775)

(28.1)

Alexion

Pharmaceuticals,

Inc.

.

(181)

(30,531)

(27.9)

Alleghany

Corp.

..........

(168)

(114,067)

(104.1)

Amcor

plc

..............

(11,487)

(134,972)

(123.1)

American

Electric

Power

Co.,

Inc.

.................

(3,144)

(278,904)

(254.5)

American

Water

Works

Co.,

Inc.

(534)

(83,299)

(76.0)

Amphenol

Corp.,

Class

A

....

(686)

(46,195)

(42.1)

Analog

Devices,

Inc.

.......

(564)

(86,382)

(78.8)

ANSYS,

Inc.

.............

(139)

(50,827)

(46.4)

Aon

plc,

Class

A

..........

(1,096)

(275,578)

(251.4)

Aptiv

plc

...............

(971)

(139,717)

(127.5)

Avalara,

Inc.

.............

(2,594)

(367,596)

(335.4)

Ball

Corp.

..............

(989)

(92,610)

(84.5)

Bausch

Health

Cos.,

Inc.

....

(5,410)

(174,164)

(158.9)

Baxter

International,

Inc.

....

(2,307)

(197,687)

(180.4)

Becton

Dickinson

and

Co.

...

(83)

(20,651)

(18.8)

BioMarin

Pharmaceutical,

Inc.

.

(973)

(75,816)

(69.2)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(367)

(231,258)

(211.0)

Black

Knight,

Inc.

.........

(2,079)

(150,561)

(137.4)

Boeing

Co.

(The)

.........

(284)

(66,544)

(60.7)

BorgWarner,

Inc.

..........

(1,199)

(58,247)

(53.1)

Boston

Scientific

Corp.

......

(1,420)

(61,912)

(56.5)

BlackRock

Total

Factor

Fund

36

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Broadcom,

Inc.

...........

(313)

$

(142,791)

(130.3)

%

Brown-Forman

Corp.,

Class

B

.

(486)

(37,072)

(33.8)

Burlington

Stores,

Inc.

......

(156)

(50,907)

(46.4)

Cable

One,

Inc.

..........

(18)

(32,220)

(29.4)

Campbell

Soup

Co.

........

(608)

(29,032)

(26.5)

Carnival

Corp.

...........

(2,506)

(70,068)

(63.9)

Carvana

Co.

............

(174)

(49,635)

(45.3)

Catalent,

Inc.

............

(1,133)

(127,429)

(116.3)

Caterpillar,

Inc.

...........

(292)

(66,608)

(60.8)

Ceridian

HCM

Holding,

Inc.

..

(1,934)

(182,724)

(166.7)

Charter

Communications,

Inc.,

Class

A

..............

(159)

(107,079)

(97.7)

Chevron

Corp.

...........

(506)

(52,153)

(47.6)

Church

&

Dwight

Co.,

Inc.

...

(1,421)

(121,837)

(111.2)

Cisco

Systems,

Inc.

........

(376)

(19,142)

(17.5)

Cloudflare,

Inc.,

Class

A

.....

(658)

(55,759)

(50.9)

CME

Group,

Inc.

..........

(138)

(27,875)

(25.4)

CMS

Energy

Corp.

........

(1,155)

(74,370)

(67.9)

ConocoPhillips

...........

(131)

(6,699)

(6.1)

Consolidated

Edison,

Inc.

....

(566)

(43,814)

(40.0)

Cooper

Cos.,

Inc.

(The)

.....

(314)

(129,019)

(117.7)

CoStar

Group,

Inc.

........

(237)

(202,500)

(184.8)

Costco

Wholesale

Corp.

.....

(102)

(37,953)

(34.6)

Coupa

Software,

Inc.

.......

(1,081)

(290,832)

(265.4)

Crowdstrike

Holdings,

Inc.,

Class

A

..................

(143)

(29,817)

(27.2)

Crown

Holdings,

Inc.

.......

(1,787)

(196,213)

(179.0)

CyberArk

Software

Ltd.

.....

(1,475)

(207,238)

(189.1)

Danaher

Corp.

...........

(4,280)

(1,086,863)

(991.7)

Datadog,

Inc.,

Class

A

......

(897)

(76,936)

(70.2)

Discovery,

Inc.,

Class

A

.....

(920)

(34,647)

(31.6)

DocuSign,

Inc.

...........

(450)

(100,323)

(91.5)

DraftKings,

Inc.,

Class

A

.....

(424)

(24,024)

(21.9)

Dynatrace,

Inc.

...........

(1,459)

(75,926)

(69.3)

Elanco

Animal

Health,

Inc.

...

(3,734)

(118,405)

(108.0)

Eli

Lilly

&

Co.

............

(168)

(30,705)

(28.0)

Enphase

Energy,

Inc.

.......

(227)

(31,610)

(28.8)

Erie

Indemnity

Co.,

Class

A

..

(182)

(38,952)

(35.5)

Essential

Utilities,

Inc.

......

(448)

(21,114)

(19.3)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(67)

(21,025)

(19.2)

Eversource

Energy

........

(363)

(31,298)

(28.6)

Exact

Sciences

Corp.

......

(506)

(66,701)

(60.9)

Exxon

Mobil

Corp.

.........

(191)

(10,933)

(10.0)

Fidelity

National

Information

Services,

Inc.

..........

(2,564)

(392,036)

(357.7)

FirstEnergy

Corp.

.........

(4,833)

(183,267)

(167.2)

Fiserv,

Inc.

..............

(447)

(53,694)

(49.0)

FleetCor

Technologies,

Inc.

...

(319)

(91,783)

(83.7)

Freeport-McMoRan,

Inc.

....

(957)

(36,088)

(32.9)

General

Mills,

Inc.

.........

(2,965)

(180,450)

(164.6)

General

Motors

Co.

........

(371)

(21,229)

(19.4)

Global

Payments,

Inc.

......

(728)

(156,251)

(142.6)

Halliburton

Co.

...........

(8,195)

(160,294)

(146.3)

HEICO

Corp.

............

(46)

(6,477)

(5.9)

Hess

Corp.

.............

(931)

(69,369)

(63.3)

Hilton

Worldwide

Holdings,

Inc.

(654)

(84,170)

(76.8)

Honeywell

International,

Inc.

..

(258)

(57,544)

(52.5)

Hormel

Foods

Corp.

.......

(1,716)

(79,279)

(72.3)

Howmet

Aerospace,

Inc.

....

(772)

(24,673)

(22.5)

HubSpot,

Inc.

............

(140)

(73,703)

(67.2)

Huntington

Ingalls

Industries,

Inc.

.................

(211)

(44,800)

(40.9)

IAC/InterActiveCorp

........

(500)

(126,735)

(115.6)

Ingersoll

Rand,

Inc.

........

(1,042)

(51,485)

(47.0)

Shares

Value

%

of

Basket

Value

United

States

(continued)

International

Flavors

&

Fragrances,

Inc.

........

(883)

$

(125,536)

(114.5)

%

Intuitive

Surgical,

Inc.

......

(61)

(52,765)

(48.1)

Ionis

Pharmaceuticals,

Inc.

...

(825)

(35,327)

(32.2)

Johnson

&

Johnson

........

(160)

(26,037)

(23.8)

JPMorgan

Chase

&

Co.

.....

(511)

(78,597)

(71.7)

Juniper

Networks,

Inc.

......

(2,249)

(57,102)

(52.1)

Kellogg

Co.

.............

(440)

(27,465)

(25.1)

Keurig

Dr

Pepper,

Inc.

......

(1,911)

(68,509)

(62.5)

Kimberly-Clark

Corp.

.......

(1,119)

(149,185)

(136.1)

KKR

&

Co.,

Inc.

..........

(1,421)

(80,400)

(73.4)

L3Harris

Technologies,

Inc.

...

(606)

(126,793)

(115.7)

Lamb

Weston

Holdings,

Inc.

..

(1,240)

(99,820)

(91.1)

Las

Vegas

Sands

Corp.

.....

(2,550)

(156,213)

(142.5)

Liberty

Broadband

Corp.,

Class

C

..................

(1,955)

(318,118)

(290.3)

Live

Nation

Entertainment,

Inc.

(345)

(28,249)

(25.8)

Lumen

Technologies,

Inc.

....

(5,774)

(74,080)

(67.6)

MarketAxess

Holdings,

Inc.

..

(90)

(43,961)

(40.1)

Marriott

International,

Inc.,

Class

A

..................

(204)

(30,298)

(27.6)

Marsh

&

McLennan

Cos.,

Inc.

.

(1,114)

(151,170)

(137.9)

Marvell

Technology,

Inc.

.....

(1,397)

(63,158)

(57.6)

Match

Group,

Inc.

.........

(103)

(16,030)

(14.6)

Medtronic

plc

............

(1,981)

(259,353)

(236.6)

Microchip

Technology,

Inc.

...

(519)

(78,001)

(71.2)

Moderna,

Inc.

............

(4)

(715)

(0.7)

MSCI,

Inc.

..............

(166)

(80,638)

(73.6)

Netflix,

Inc.

..............

(370)

(189,984)

(173.3)

Neurocrine

Biosciences,

Inc.

..

(317)

(29,953)

(27.3)

Newmont

Corp.

..........

(1,674)

(104,474)

(95.3)

NextEra

Energy,

Inc.

.......

(1,812)

(140,448)

(128.1)

NiSource,

Inc.

...........

(2,346)

(61,043)

(55.7)

Nucor

Corp.

.............

(1,830)

(150,536)

(137.3)

ON

Semiconductor

Corp.

....

(523)

(20,397)

(18.6)

Oracle

Corp.

............

(740)

(56,085)

(51.2)

Palo

Alto

Networks,

Inc.

.....

(240)

(84,814)

(77.4)

Paycom

Software,

Inc.

......

(111)

(42,670)

(38.9)

PayPal

Holdings,

Inc.

......

(1,016)

(266,487)

(243.1)

PerkinElmer,

Inc.

.........

(1,231)

(159,575)

(145.6)

Pfizer,

Inc.

..............

(1,009)

(38,998)

(35.6)

PG&E

Corp.

.............

(2,205)

(24,961)

(22.8)

Phillips

66

..............

(680)

(55,019)

(50.2)

Plug

Power,

Inc.

..........

(1,590)

(45,331)

(41.4)

PPG

Industries,

Inc.

.......

(577)

(98,805)

(90.1)

Procter

&

Gamble

Co.

(The)

..

(423)

(56,437)

(51.5)

Reinsurance

Group

of

America,

Inc.

.................

(347)

(45,294)

(41.3)

Republic

Services,

Inc.

.....

(1,366)

(145,206)

(132.5)

RingCentral,

Inc.,

Class

A

....

(456)

(145,441)

(132.7)

Roku,

Inc.

..............

(125)

(42,871)

(39.1)

Rollins,

Inc.

.............

(1,070)

(39,890)

(36.4)

Roper

Technologies,

Inc.

....

(196)

(87,502)

(79.8)

Royal

Caribbean

Cruises

Ltd.

.

(252)

(21,911)

(20.0)

S&P

Global,

Inc.

..........

(209)

(81,592)

(74.4)

salesforce.com,

Inc.

.......

(1,491)

(343,407)

(313.3)

Sarepta

Therapeutics,

Inc.

...

(1,205)

(85,362)

(77.9)

Schlumberger

NV

.........

(2,760)

(74,658)

(68.1)

Seagen,

Inc.

............

(899)

(129,240)

(117.9)

Slack

Technologies,

Inc.,

Class

A

(1,707)

(72,377)

(66.0)

Snap,

Inc.,

Class

A

........

(1,862)

(115,109)

(105.0)

Snowflake,

Inc.,

Class

A

.....

(180)

(41,686)

(38.0)

SolarEdge

Technologies,

Inc.

.

(303)

(79,853)

(72.9)

Southwest

Airlines

Co.

......

(1,167)

(73,264)

(66.8)

Square,

Inc.,

Class

A

.......

(290)

(70,998)

(64.8)

BlackRock

Total

Factor

Fund

37

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

SS&C

Technologies

Holdings,

Inc.

.................

(1,182)

$

(87,728)

(80.0)

%

Sunrun,

Inc.

.............

(1,056)

(51,744)

(47.2)

Sysco

Corp.

.............

(208)

(17,624)

(16.1)

TE

Connectivity

Ltd.

.......

(2,286)

(307,398)

(280.5)

Teladoc

Health,

Inc.

........

(505)

(87,037)

(79.4)

Teledyne

Technologies,

Inc.

..

(225)

(100,744)

(91.9)

Teleflex,

Inc.

.............

(61)

(25,771)

(23.5)

Tenaris

SA

..............

(2,951)

(31,644)

(28.9)

Tesla,

Inc.

..............

(33)

(23,412)

(21.4)

Thermo

Fisher

Scientific,

Inc.

.

(743)

(349,381)

(318.8)

T-Mobile

US,

Inc.

.........

(5,734)

(757,633)

(691.3)

Trade

Desk,

Inc.

(The),

Class

A

(37)

(26,984)

(24.6)

Tradeweb

Markets,

Inc.,

Class

A

(921)

(74,859)

(68.3)

TransUnion

.............

(1,161)

(121,429)

(110.8)

Travelers

Cos.,

Inc.

(The)

....

(223)

(34,489)

(31.5)

Twilio,

Inc.,

Class

A

........

(713)

(262,241)

(239.3)

Tyler

Technologies,

Inc.

.....

(362)

(153,799)

(140.3)

Uber

Technologies,

Inc.

.....

(743)

(40,694)

(37.1)

United

Rentals,

Inc.

........

(123)

(39,354)

(35.9)

UnitedHealth

Group,

Inc.

....

(213)

(84,944)

(77.5)

Valero

Energy

Corp.

.......

(460)

(34,022)

(31.0)

Verisk

Analytics,

Inc.

.......

(763)

(143,597)

(131.0)

Viatris,

Inc.

..............

(18,600)

(247,380)

(225.7)

Visa,

Inc.,

Class

A

.........

(1,170)

(273,265)

(249.3)

Waste

Management,

Inc.

....

(3,756)

(518,215)

(472.8)

Wayfair,

Inc.,

Class

A

.......

(74)

(21,872)

(20.0)

Wells

Fargo

&

Co.

.........

(2,911)

(131,141)

(119.7)

Western

Digital

Corp.

.......

(310)

(21,895)

(20.0)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,918)

(157,410)

(143.6)

Williams

Cos.,

Inc.

(The)

....

(1,193)

(29,061)

(26.5)

Xcel

Energy,

Inc.

..........

(1,202)

(85,703)

(78.2)

Zendesk,

Inc.

............

(654)

(95,582)

(87.2)

Zoetis,

Inc.

..............

(371)

(64,194)

(58.6)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(140)

(44,740)

(40.8)

Zscaler,

Inc.

.............

(338)

(63,422)

(57.9)

(19,452,361)

Zambia

First

Quantum

Minerals

Ltd.

..

(1,288)

(29,687)

(27.1)

Total

Reference

Entity

—

Short

............

(33,720,131)

Net

Value

of

Reference

Entity

—

Goldman

Sachs

International

.........................

$

109,601

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

April

30,

2021,

expiration

date

02/08/23:

Reference

Entity

—

Long

Canada

AltaGas

Ltd.

.............

4,932

92,168

(53.4)

Atco

Ltd.,

Class

I

.........

2,548

87,459

(50.7)

B2Gold

Corp.

............

49,835

240,022

(139.2)

Bank

of

Montreal

.........

1,532

144,594

(83.8)

BCE,

Inc.

...............

1,035

48,923

(28.4)

BlackBerry

Ltd.

...........

825

7,296

(4.2)

Canadian

Apartment

Properties

REIT

................

484

21,515

(12.5)

Canadian

Imperial

Bank

of

Commerce

...........

2,810

292,122

(169.4)

Canadian

National

Railway

Co.

597

64,273

(37.3)

Shares

Value

%

of

Basket

Value

Canada

(continued)

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

1,326

$

211,357

(122.5)

%

CCL

Industries,

Inc.,

Class

B

..

2,075

117,783

(68.3)

Constellation

Software,

Inc.

..

124

181,985

(105.5)

Empire

Co.

Ltd.,

Class

A

....

4,411

138,738

(80.4)

George

Weston

Ltd.

.......

4,467

394,422

(228.7)

Gildan

Activewear,

Inc.

......

1,841

63,895

(37.0)

Hydro

One

Ltd.

...........

8,079

193,701

(112.3)

iA

Financial

Corp.,

Inc.

......

1,156

65,101

(37.7)

Kinross

Gold

Corp.

........

19,810

139,411

(80.8)

Loblaw

Cos.

Ltd.

..........

4,142

229,989

(133.3)

Magna

International,

Inc.

....

1,670

157,714

(91.4)

Manulife

Financial

Corp.

.....

1,352

29,523

(17.1)

National

Bank

of

Canada

....

2,612

189,894

(110.1)

Nutrien

Ltd.

.............

473

26,110

(15.1)

Onex

Corp.

.............

1,113

74,514

(43.2)

Open

Text

Corp.

..........

5,674

267,186

(154.9)

Parkland

Corp.

...........

3,072

98,672

(57.2)

Power

Corp.

of

Canada

.....

3,133

91,251

(52.9)

Quebecor,

Inc.,

Class

B

.....

8,386

225,487

(130.7)

Ritchie

Bros

Auctioneers,

Inc.

.

767

48,791

(28.3)

Royal

Bank

of

Canada

......

1,819

173,605

(100.6)

Sun

Life

Financial,

Inc.

......

2,801

151,108

(87.6)

West

Fraser

Timber

Co.

Ltd.

..

755

58,292

(33.8)

4,326,901

South

Korea

HDC

Holdings

Co.

Ltd.

......

1

11

0.0

United

States

Fortive

Corp.

............

1

71

0.0

Total

Reference

Entity

—

Long

............

4,326,983

Reference

Entity

—

Short

Canada

Agnico

Eagle

Mines

Ltd.

.....

(3,185)

(199,058)

115.4

Air

Canada

.............

(3,965)

(79,903)

46.3

Algonquin

Power

&

Utilities

Corp.

...............

(4,171)

(67,291)

39.0

Barrick

Gold

Corp.

........

(9,960)

(212,222)

123.0

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(6,843)

(311,934)

180.8

Cameco

Corp.

...........

(6,897)

(115,927)

67.2

Canadian

Utilities

Ltd.,

Class

A

(3,632)

(103,805)

60.2

Dollarama,

Inc.

...........

(3,217)

(149,916)

86.9

Emera,

Inc.

.............

(9,045)

(411,133)

238.4

Enbridge,

Inc.

............

(2,866)

(110,546)

64.1

FirstService

Corp.

.........

(350)

(56,853)

33.0

Fortis,

Inc.

..............

(5,090)

(227,055)

131.6

Franco-Nevada

Corp.

......

(143)

(19,921)

11.5

GFL

Environmental,

Inc.

.....

(16,040)

(528,512)

306.4

Kirkland

Lake

Gold

Ltd.

.....

(854)

(31,731)

18.4

Northland

Power,

Inc.

......

(1,876)

(64,622)

37.5

Pan

American

Silver

Corp.

...

(6,050)

(192,356)

111.5

Restaurant

Brands

International,

Inc.

.................

(1,443)

(99,096)

57.4

Saputo,

Inc.

.............

(4,301)

(136,677)

79.2

Shopify,

Inc.,

Class

A

.......

(338)

(398,978)

231.3

SSR

Mining,

Inc.

..........

(14,633)

(232,266)

134.7

TC

Energy

Corp.

..........

(11,700)

(578,837)

335.6

Thomson

Reuters

Corp.

.....

(237)

(21,979)

12.7

WSP

Global,

Inc.

.........

(532)

(55,241)

32.0

(4,405,859)

BlackRock

Total

Factor

Fund

38

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Chile

Lundin

Mining

Corp.

.......

(2,171)

$

(26,229)

15.2

%

United

States

Lennar

Corp.,

Class

B

......

(1)

(81)

(0.0)

Zambia

First

Quantum

Minerals

Ltd.

..

(2,920)

(67,302)

39.0

Total

Reference

Entity

—

Short

............

(4,499,471)

Net

Value

of

Reference

Entity

—

JPMorgan

Chase

Bank

NA

............................

$

(172,488)

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

April

30,

2021,

expiration

date

02/15/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

21,192

146,019

126.9

Aristocrat

Leisure

Ltd.

......

902

25,727

22.4

BHP

Group

Ltd.

..........

6,962

253,388

220.1

BHP

Group

plc

...........

1,721

51,828

45.0

Cochlear

Ltd.

............

584

99,969

86.8

Rio

Tinto

plc

.............

1,197

100,257

87.1

Telstra

Corp.

Ltd.

.........

15,997

41,790

36.3

718,978

Austria

Raiffeisen

Bank

International

AG

1,200

26,217

22.8

voestalpine

AG

...........

911

39,523

34.3

65,740

Belgium

Etablissements

Franz

Colruyt

NV

.................

175

10,379

9.0

Brazil

Wheaton

Precious

Metals

Corp.

454

18,834

16.4

Canada

Atco

Ltd.,

Class

I

.........

1,250

42,906

37.3

Bank

of

Montreal

.........

1,146

108,162

94.0

Canadian

Imperial

Bank

of

Commerce

...........

1,445

150,219

130.5

Canadian

National

Railway

Co.

464

49,954

43.4

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

685

109,185

94.9

Constellation

Software,

Inc.

..

282

413,870

359.6

George

Weston

Ltd.

.......

453

39,998

34.7

Gildan

Activewear,

Inc.

......

1,085

37,657

32.7

Hydro

One

Ltd.

...........

19,903

477,193

414.6

Intact

Financial

Corp.

.......

949

126,142

109.6

Magna

International,

Inc.

....

70

6,611

5.7

National

Bank

of

Canada

....

295

21,447

18.6

Nutrien

Ltd.

.............

701

38,696

33.6

Royal

Bank

of

Canada

......

325

31,018

26.9

West

Fraser

Timber

Co.

Ltd.

..

951

73,425

63.8

1,726,483

Denmark

Coloplast

A/S,

Class

B

......

375

62,115

54.0

Genmab

A/S

............

607

222,746

193.5

Novo

Nordisk

A/S,

Class

B

...

6,915

510,102

443.2

794,963

Shares

Value

%

of

Basket

Value

Finland

Kesko

OYJ,

Class

B

.......

3,453

$

105,142

91.4

%

Neste

OYJ

..............

527

31,868

27.7

Nordea

Bank

Abp

.........

5,246

54,372

47.2

191,382

France

BNP

Paribas

SA

..........

601

38,535

33.5

Cie

de

Saint-Gobain

.......

3,565

224,934

195.4

Cie

Generale

des

Etablissements

Michelin

SCA

..........

145

20,982

18.2

Engie

SA

...............

2,018

30,059

26.1

Eurazeo

SE

.............

617

51,408

44.7

Hermes

International

.......

22

27,612

24.0

Ipsen

SA

...............

275

26,586

23.1

La

Francaise

des

Jeux

SAEM

.

901

46,173

40.1

Orange

SA

..............

7,499

93,387

81.1

Publicis

Groupe

SA

........

767

49,640

43.1

Sanofi

.................

199

20,864

18.1

SEB

SA

................

126

22,947

19.9

Teleperformance

..........

66

25,486

22.1

Thales

SA

..............

384

39,147

34.0

Valeo

SA

...............

321

10,402

9.0

Vivendi

SE

..............

4,934

172,002

149.4

900,164

Germany

BASF

SE

...............

358

28,852

25.1

Deutsche

Boerse

AG

.......

124

21,368

18.6

Deutsche

Post

AG

(Registered)

12,909

760,304

660.5

HeidelbergCement

AG

......

233

21,351

18.5

LEG

Immobilien

SE

........

272

37,845

32.9

SAP

SE

................

162

22,683

19.7

Scout24

AG

.............

489

40,656

35.3

933,059

Ireland

CRH

plc

...............

796

37,559

32.6

Israel

Israel

Discount

Bank

Ltd.,

Class

A

..................

10,213

45,975

39.9

Italy

Assicurazioni

Generali

SpA

...

812

16,253

14.1

Enel

SpA

...............

25,749

255,670

222.1

Terna

Rete

Elettrica

Nazionale

SpA

................

820

6,045

5.2

277,968

Japan

AGC,

Inc.

..............

5,400

246,236

213.9

Aisin

Corp.

..............

1,800

69,282

60.2

Astellas

Pharma,

Inc.

.......

400

6,020

5.2

Bridgestone

Corp.

.........

3,800

152,297

132.3

Brother

Industries

Ltd.

......

1,200

25,444

22.1

Cosmos

Pharmaceutical

Corp.

200

28,705

24.9

Daito

Trust

Construction

Co.

Ltd.

900

95,700

83.1

Denso

Corp.

............

1,800

116,375

101.1

ENEOS

Holdings,

Inc.

......

39,000

167,736

145.7

FUJIFILM

Holdings

Corp.

....

1,300

84,208

73.2

Fujitsu

Ltd.

..............

2,500

397,145

345.0

Honda

Motor

Co.

Ltd.

......

11,800

351,874

305.7

Hoshizaki

Corp.

..........

1,500

133,257

115.8

Kajima

Corp.

............

12,600

174,295

151.4

KDDI

Corp.

.............

900

27,206

23.6

Kyocera

Corp.

...........

700

42,499

36.9

Marubeni

Corp.

...........

1,700

14,160

12.3

BlackRock

Total

Factor

Fund

39

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Mitsubishi

Electric

Corp.

.....

14,700

$

226,503

196.8

%

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,900

43,899

38.1

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

29,900

159,071

138.2

NGK

Spark

Plug

Co.

Ltd.

....

1,300

21,710

18.9

Nippon

Express

Co.

Ltd.

....

400

30,614

26.6

Nippon

Telegraph

&

Telephone

Corp.

...............

4,200

105,894

92.0

Nisshin

Seifun

Group,

Inc.

...

1,400

22,613

19.6

Nitto

Denko

Corp.

.........

7,100

587,555

510.4

NSK

Ltd.

...............

1,000

9,222

8.0

Osaka

Gas

Co.

Ltd.

........

16,500

319,374

277.5

Panasonic

Corp.

..........

19,500

228,969

198.9

Pola

Orbis

Holdings,

Inc.

....

300

7,769

6.7

Recruit

Holdings

Co.

Ltd.

....

1,000

45,087

39.2

Seiko

Epson

Corp.

........

1,800

30,711

26.7

Shionogi

&

Co.

Ltd.

........

900

47,447

41.2

Sony

Group

Corp.

.........

1,600

159,966

139.0

Subaru

Corp.

............

4,700

87,389

75.9

Sumitomo

Electric

Industries

Ltd.

................

1,600

23,808

20.7

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

4,800

168,618

146.5

Sysmex

Corp.

...........

500

49,942

43.4

Taisei

Corp.

.............

2,000

73,897

64.2

TDK

Corp.

..............

1,800

244,103

212.1

Teijin

Ltd.

...............

1,600

26,343

22.9

Terumo

Corp.

............

2,100

79,406

69.0

Tokyo

Gas

Co.

Ltd.

........

2,500

50,735

44.1

Toppan

Printing

Co.

Ltd.

.....

1,600

27,324

23.7

Toyoda

Gosei

Co.

Ltd.

......

1,700

41,667

36.2

Yamaha

Motor

Co.

Ltd.

.....

7,400

184,893

160.6

Yamato

Holdings

Co.

Ltd.

....

800

22,563

19.6

5,259,531

Luxembourg

SES

SA

................

5,466

41,435

36.0

Netherlands

Adyen

NV

..............

9

22,150

19.2

Koninklijke

KPN

NV

........

5,231

18,045

15.7

Koninklijke

Philips

NV

......

1,842

104,152

90.5

NN

Group

NV

............

800

39,903

34.7

Randstad

NV

............

5,765

415,957

361.4

600,207

New

Zealand

Xero

Ltd.

...............

907

98,805

85.8

Norway

Telenor

ASA

.............

3,070

54,692

47.5

Portugal

Galp

Energia

SGPS

SA

.....

11,654

134,194

116.6

Russia

Evraz

plc

...............

9,702

86,041

74.7

Spain

Iberdrola

SA

.............

6,581

88,935

77.3

Repsol

SA

..............

17,073

203,788

177.0

292,723

Sweden

Husqvarna

AB,

Class

B

.....

2,052

28,575

24.8

Investor

AB,

Class

B

.......

1,846

156,701

136.1

Lundin

Energy

AB

.........

2,449

78,118

67.9

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

591

$

8,117

7.0

%

Telia

Co.

AB

.............

13,376

55,428

48.1

326,939

Switzerland

Adecco

Group

AG

(Registered)

1,685

114,209

99.2

Baloise

Holding

AG

(Registered)

304

51,404

44.7

Credit

Suisse

Group

AG

.....

1,452

—

0.0

Credit

Suisse

Group

AG

(Registered)

...........

1,452

15,217

13.2

Julius

Baer

Group

Ltd.

......

590

37,133

32.3

Kuehne

+

Nagel

International

AG

(Registered)

...........

126

37,673

32.7

LafargeHolcim

Ltd.

(Registered)

3,938

243,005

211.1

Logitech

International

SA

(Registered)

...........

721

80,250

69.7

Novartis

AG

(Registered)

....

1,708

145,754

126.6

Roche

Holding

AG

........

255

83,170

72.2

Sonova

Holding

AG

(Registered)

782

231,550

201.2

STMicroelectronics

NV

.....

8

299

0.3

Swiss

Re

AG

............

443

41,129

35.7

UBS

Group

AG

(Registered)

..

15,191

231,976

201.5

1,312,769

United

Kingdom

3i

Group

plc

.............

6,300

111,584

96.9

Ashtead

Group

plc

........

331

21,267

18.5

Aviva

plc

...............

3,929

21,722

18.9

BAE

Systems

plc

.........

17,884

124,924

108.5

BP

plc

.................

11,436

47,875

41.6

Bunzl

plc

...............

3,680

118,323

102.8

Imperial

Brands

plc

........

4,542

94,671

82.2

JD

Sports

Fashion

plc

......

6,274

79,583

69.1

Mondi

plc

...............

3,514

95,383

82.9

Pentair

plc

..............

365

23,546

20.5

Vodafone

Group

plc

........

13,955

26,336

22.9

WPP

plc

...............

4,732

63,797

55.4

829,011

United

States

Accenture

plc,

Class

A

......

927

268,802

233.5

Adobe,

Inc.

.............

318

161,652

140.4

Aflac,

Inc.

..............

582

31,271

27.2

Agilent

Technologies,

Inc.

....

384

51,318

44.6

Align

Technology,

Inc.

......

208

123,870

107.6

Allstate

Corp.

(The)

........

901

114,247

99.3

Ally

Financial,

Inc.

.........

1,022

52,582

45.7

Alphabet,

Inc.,

Class

A

......

55

129,442

112.5

Altria

Group,

Inc.

..........

1,592

76,018

66.0

Amazon.com,

Inc.

.........

8

27,739

24.1

AMERCO

..............

77

45,941

39.9

Ameriprise

Financial,

Inc.

....

520

134,368

116.7

Apple,

Inc.

..............

2,021

265,681

230.8

Applied

Materials,

Inc.

......

864

114,661

99.6

Archer-Daniels-Midland

Co.

..

5,575

351,950

305.8

Arrow

Electronics,

Inc.

......

417

47,567

41.3

AT&T,

Inc.

..............

3,812

119,735

104.0

Athene

Holding

Ltd.,

Class

A

..

860

51,316

44.6

Autodesk,

Inc.

...........

158

46,122

40.1

Avery

Dennison

Corp.

......

851

182,259

158.3

Bank

of

New

York

Mellon

Corp.

(The)

...............

449

22,396

19.5

Berkshire

Hathaway,

Inc.,

Class

B

..................

612

168,269

146.2

Best

Buy

Co.,

Inc.

.........

943

109,643

95.3

BlackRock

Total

Factor

Fund

40

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Biogen,

Inc.

.............

85

$

22,723

19.7

%

Booz

Allen

Hamilton

Holding

Corp.

...............

320

26,544

23.1

Bristol-Myers

Squibb

Co.

....

1,209

75,466

65.6

Bunge

Ltd.

..............

1,213

102,401

89.0

Cadence

Design

Systems,

Inc.

1,731

228,094

198.2

Capital

One

Financial

Corp.

..

196

29,220

25.4

Cardinal

Health,

Inc.

.......

992

59,857

52.0

CBRE

Group,

Inc.,

Class

A

...

381

32,461

28.2

Celanese

Corp.

..........

776

121,560

105.6

Cerner

Corp.

............

2,193

164,585

143.0

CH

Robinson

Worldwide,

Inc.

.

340

33,007

28.7

Cigna

Corp.

.............

292

72,711

63.2

Cintas

Corp.

.............

105

36,240

31.5

Citigroup,

Inc.

............

627

44,667

38.8

Citizens

Financial

Group,

Inc.

.

3,364

155,686

135.3

Citrix

Systems,

Inc.

........

623

77,159

67.0

Cognex

Corp.

............

331

28,506

24.8

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

321

25,808

22.4

Corning,

Inc.

............

562

24,846

21.6

Corteva,

Inc.

............

559

27,257

23.7

CSX

Corp.

..............

354

35,666

31.0

Darden

Restaurants,

Inc.

....

1,290

189,269

164.4

Deere

&

Co.

.............

299

110,884

96.3

Dell

Technologies,

Inc.,

Class

C

648

63,718

55.4

DexCom,

Inc.

............

169

65,251

56.7

Dollar

General

Corp.

.......

130

27,918

24.3

Dollar

Tree,

Inc.

..........

616

70,778

61.5

Domino's

Pizza,

Inc.

.......

85

35,899

31.2

Dover

Corp.

.............

1,631

243,329

211.4

DR

Horton,

Inc.

...........

353

34,696

30.1

DuPont

de

Nemours,

Inc.

....

1,527

117,747

102.3

eBay,

Inc.

..............

343

19,136

16.6

Edwards

Lifesciences

Corp.

..

3,427

327,347

284.4

Electronic

Arts,

Inc.

........

963

136,823

118.9

Emerson

Electric

Co.

.......

1,010

91,395

79.4

Entergy

Corp.

............

663

72,459

62.9

EOG

Resources,

Inc.

.......

298

21,945

19.1

Equitable

Holdings,

Inc.

.....

1,439

49,257

42.8

Expeditors

International

of

Washington,

Inc.

........

1,116

122,604

106.5

Fair

Isaac

Corp.

..........

147

76,647

66.6

Fastenal

Co.

............

464

24,258

21.1

FedEx

Corp.

............

221

64,159

55.7

Fifth

Third

Bancorp

........

1,694

68,675

59.7

FMC

Corp.

..............

718

84,896

73.8

Fortinet,

Inc.

.............

189

38,599

33.5

Fortune

Brands

Home

&

Security,

Inc.

.................

733

76,950

66.8

Fox

Corp.,

Class

A

........

667

24,959

21.7

Gartner,

Inc.

.............

509

99,703

86.6

Genuine

Parts

Co.

........

1,583

197,828

171.9

GoDaddy,

Inc.,

Class

A

.....

245

21,271

18.5

Hershey

Co.

(The)

........

93

15,280

13.3

Hewlett

Packard

Enterprise

Co.

4,624

74,076

64.4

Hologic,

Inc.

.............

270

17,699

15.4

Home

Depot,

Inc.

(The)

.....

401

129,792

112.8

HP,

Inc.

................

8,283

282,533

245.5

Humana,

Inc.

............

107

47,641

41.4

IDEXX

Laboratories,

Inc.

....

77

42,272

36.7

Illinois

Tool

Works,

Inc.

......

96

22,124

19.2

Intel

Corp.

..............

443

25,486

22.1

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

725

23,019

20.0

Shares

Value

%

of

Basket

Value

United

States

(continued)

Intuit,

Inc.

..............

86

$

35,446

30.8

%

Invesco

Ltd.

.............

1,805

48,735

42.3

James

Hardie

Industries

plc,

CDI

................

1,342

44,225

38.4

Jazz

Pharmaceuticals

plc

....

533

87,625

76.1

JB

Hunt

Transport

Services,

Inc.

360

61,456

53.4

Johnson

Controls

International

plc

.................

1,865

116,264

101.0

KeyCorp

...............

2,195

47,763

41.5

Keysight

Technologies,

Inc.

...

147

21,219

18.4

KLA

Corp.

..............

93

29,328

25.5

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,224

104,795

91.0

Kroger

Co.

(The)

..........

885

32,338

28.1

Laboratory

Corp.

of

America

Holdings

.............

99

26,321

22.9

Lam

Research

Corp.

.......

159

98,652

85.7

Lennar

Corp.,

Class

A

......

213

22,067

19.2

Lennox

International,

Inc.

....

331

110,998

96.4

LKQ

Corp.

..............

2,097

97,951

85.1

Loews

Corp.

............

3,220

179,515

156.0

Lowe's

Cos.,

Inc.

.........

1,018

199,783

173.6

Maxim

Integrated

Products,

Inc.

784

73,696

64.0

McDonald's

Corp.

.........

207

48,869

42.5

McKesson

Corp.

..........

507

95,093

82.6

MetLife,

Inc.

.............

2,149

136,741

118.8

Mettler-Toledo

International,

Inc.

140

183,865

159.7

Micron

Technology,

Inc.

.....

274

23,583

20.5

Microsoft

Corp.

...........

866

218,388

189.7

Mohawk

Industries,

Inc.

.....

210

43,155

37.5

Molina

Healthcare,

Inc.

.....

220

56,122

48.8

Molson

Coors

Beverage

Co.,

Class

B

..............

494

27,145

23.6

Monolithic

Power

Systems,

Inc.

123

44,450

38.6

Monster

Beverage

Corp.

....

297

28,824

25.0

Morgan

Stanley

..........

1,292

106,655

92.7

Mosaic

Co.

(The)

.........

1,446

50,870

44.2

Motorola

Solutions,

Inc.

.....

335

63,080

54.8

NetApp,

Inc.

.............

757

56,540

49.1

NIKE,

Inc.,

Class

B

........

192

25,463

22.1

Nordson

Corp.

...........

445

94,077

81.7

Norfolk

Southern

Corp.

.....

74

20,664

18.0

Northern

Trust

Corp.

.......

507

57,697

50.1

Novocure

Ltd.

............

108

22,043

19.1

NVR,

Inc.

...............

20

100,362

87.2

Old

Dominion

Freight

Line,

Inc.

82

21,140

18.4

Omnicom

Group,

Inc.

.......

2,817

231,726

201.3

Owens

Corning

...........

1,871

181,132

157.4

Parker-Hannifin

Corp.

......

337

105,754

91.9

PepsiCo,

Inc.

............

301

43,392

37.7

Pinterest,

Inc.,

Class

A

......

755

50,109

43.5

Pool

Corp.

..............

129

54,505

47.4

PulteGroup,

Inc.

..........

489

28,910

25.1

Qorvo,

Inc.

..............

126

23,709

20.6

QUALCOMM,

Inc.

.........

2,111

293,007

254.5

Quest

Diagnostics,

Inc.

.....

133

17,540

15.2

Raymond

James

Financial,

Inc.

252

32,957

28.6

Regions

Financial

Corp.

.....

2,285

49,813

43.3

Robert

Half

International,

Inc.

.

2,502

219,200

190.4

Rockwell

Automation,

Inc.

....

773

204,273

177.5

Ross

Stores,

Inc.

.........

515

67,434

58.6

Sealed

Air

Corp.

..........

2,845

140,543

122.1

SEI

Investments

Co.

.......

1,211

74,404

64.6

Sherwin-Williams

Co.

(The)

..

445

121,872

105.9

Starbucks

Corp.

..........

2,634

301,567

262.0

BlackRock

Total

Factor

Fund

41

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

State

Street

Corp.

.........

1,424

$

119,545

103.9

%

Synopsys,

Inc.

...........

1,388

342,919

297.9

Take-Two

Interactive

Software,

Inc.

.................

712

124,871

108.5

Target

Corp.

.............

376

77,930

67.7

Teradyne,

Inc.

...........

275

34,397

29.9

TJX

Cos.,

Inc.

(The)

.......

1,901

134,971

117.3

Tractor

Supply

Co.

........

652

122,967

106.8

Trane

Technologies

plc

.....

141

24,510

21.3

Trimble,

Inc.

.............

419

34,358

29.8

Truist

Financial

Corp.

.......

451

26,749

23.2

Tyson

Foods,

Inc.,

Class

A

...

2,172

168,221

146.1

Ulta

Beauty,

Inc.

..........

86

28,324

24.6

Universal

Health

Services,

Inc.,

Class

B

..............

1,055

156,573

136.0

Vail

Resorts,

Inc.

..........

207

67,308

58.5

Verizon

Communications,

Inc.

.

4,139

239,193

207.8

Vertex

Pharmaceuticals,

Inc.

..

979

213,618

185.6

Waters

Corp.

............

116

34,785

30.2

West

Pharmaceutical

Services,

Inc.

.................

291

95,599

83.1

Western

Union

Co.

(The)

....

3,441

88,640

77.0

Whirlpool

Corp.

...........

678

160,313

139.3

Workday,

Inc.,

Class

A

......

168

41,496

36.0

WW

Grainger,

Inc.

.........

587

254,488

221.1

Xilinx,

Inc.

..............

760

97,250

84.5

Yum!

Brands,

Inc.

.........

2,772

331,309

287.8

15,604,819

Total

Reference

Entity

—

Long

............

30,362,650

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(13)

(20,423)

(17.7)

Australia

Newcrest

Mining

Ltd.

.......

(1,350)

(27,591)

(24.0)

Sydney

Airport

...........

(28,437)

(135,235)

(117.5)

Westpac

Banking

Corp.

.....

(4,662)

(89,840)

(78.0)

(252,666)

Austria

Erste

Group

Bank

AG

......

(2,112)

(75,065)

(65.2)

Belgium

Umicore

SA

.............

(1,499)

(91,083)

(79.1)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(902)

(152,267)

(132.3)

Canada

Ballard

Power

Systems,

Inc.

..

(5,875)

(128,288)

(111.4)

Barrick

Gold

Corp.

........

(8,212)

(174,977)

(152.0)

Canadian

Natural

Resources

Ltd.

................

(2,249)

(68,267)

(59.3)

Canadian

Utilities

Ltd.,

Class

A

(5,384)

(153,879)

(133.7)

CGI,

Inc.

...............

(948)

(83,875)

(72.9)

Dollarama,

Inc.

...........

(2,621)

(122,142)

(106.1)

FirstService

Corp.

.........

(165)

(26,802)

(23.3)

Fortis,

Inc.

..............

(1,040)

(46,392)

(40.3)

Franco-Nevada

Corp.

......

(684)

(95,287)

(82.8)

GFL

Environmental,

Inc.

.....

(1,701)

(56,047)

(48.7)

Kirkland

Lake

Gold

Ltd.

.....

(1,044)

(38,791)

(33.7)

Metro,

Inc.

..............

(1,178)

(53,976)

(46.9)

Northland

Power,

Inc.

......

(3,805)

(131,069)

(113.9)

Pembina

Pipeline

Corp.

.....

(1,700)

(52,474)

(45.6)

Shares

Value

%

of

Basket

Value

Canada

(continued)

SSR

Mining,

Inc.

..........

(982)

$

(15,587)

(13.5)

%

Toronto-Dominion

Bank

(The)

.

(2,920)

(200,740)

(174.4)

(1,448,593)

Denmark

Chr

Hansen

Holding

A/S

....

(1,038)

(95,296)

(82.8)

Demant

A/S

.............

(1,114)

(55,769)

(48.5)

H

Lundbeck

A/S

..........

(1,797)

(55,335)

(48.1)

ROCKWOOL

International

A/S,

Class

B

..............

(58)

(25,943)

(22.5)

(232,343)

Finland

Kone

OYJ,

Class

B

........

(966)

(75,872)

(65.9)

Nokia

OYJ

..............

(5,075)

(24,040)

(20.9)

(99,912)

France

Accor

SA

...............

(1,126)

(45,340)

(39.4)

Aeroports

de

Paris

........

(1,553)

(199,068)

(172.9)

Air

Liquide

SA

...........

(266)

(44,795)

(38.9)

Alstom

SA

..............

(2,056)

(112,281)

(97.6)

AXA

SA

................

(5,696)

(160,884)

(139.8)

Dassault

Systemes

SE

.....

(351)

(81,422)

(70.7)

Eiffage

SA

..............

(840)

(92,012)

(79.9)

Faurecia

SE

.............

(1,081)

(58,403)

(50.7)

Kering

SA

..............

(73)

(58,496)

(50.8)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(46)

(34,654)

(30.1)

Orpea

SA

..............

(791)

(101,803)

(88.4)

Renault

SA

.............

(706)

(28,458)

(24.7)

Safran

SA

..............

(583)

(87,047)

(75.6)

Worldline

SA

............

(2,427)

(238,279)

(207.0)

(1,342,942)

Germany

adidas

AG

..............

(460)

(142,076)

(123.4)

Beiersdorf

AG

............

(574)

(64,788)

(56.3)

Carl

Zeiss

Meditec

AG

......

(519)

(91,433)

(79.4)

Daimler

AG

(Registered)

....

(620)

(55,179)

(47.9)

Deutsche

Telekom

AG

(Registered)

...........

(1,457)

(28,040)

(24.4)

Evonik

Industries

AG

.......

(785)

(27,482)

(23.9)

Infineon

Technologies

AG

....

(2,185)

(87,620)

(76.1)

Just

Eat

Takeaway.com

NV

...

(553)

(57,138)

(49.6)

KION

Group

AG

..........

(516)

(51,418)

(44.7)

Sartorius

AG

(Preference)

...

(45)

(25,390)

(22.1)

Siemens

Energy

AG

.......

(540)

(18,061)

(15.7)

Siemens

Healthineers

AG

....

(2,611)

(149,210)

(129.6)

TeamViewer

AG

..........

(702)

(33,368)

(29.0)

Zalando

SE

.............

(188)

(19,552)

(17.0)

(850,755)

Hong

Kong

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(3,036)

(58,564)

(50.9)

Ireland

Flutter

Entertainment

plc

....

(115)

(23,444)

(20.4)

Kerry

Group

plc,

Class

A

....

(480)

(62,219)

(54.0)

(85,663)

Italy

Davide

Campari-Milano

NV

..

(4,090)

(48,264)

(41.9)

Infrastrutture

Wireless

Italiane

SpA

................

(2,742)

(31,992)

(27.8)

Nexi

SpA

...............

(2,332)

(44,670)

(38.8)

BlackRock

Total

Factor

Fund

42

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

Italy

(continued)

UniCredit

SpA

...........

(1,762)

$

(18,099)

(15.7)

%

(143,025)

Japan

Acom

Co.

Ltd.

...........

(9,400)

(40,405)

(35.1)

Aeon

Co.

Ltd.

............

(4,000)

(109,156)

(94.8)

Air

Water,

Inc.

............

(1,400)

(23,157)

(20.1)

Asahi

Group

Holdings

Ltd.

...

(1,700)

(71,082)

(61.8)

Asahi

Intecc

Co.

Ltd.

.......

(2,400)

(64,601)

(56.1)

Bandai

Namco

Holdings,

Inc.

.

(300)

(22,014)

(19.1)

Central

Japan

Railway

Co.

...

(100)

(14,651)

(12.7)

Daifuku

Co.

Ltd.

..........

(500)

(49,421)

(42.9)

Daikin

Industries

Ltd.

.......

(1,500)

(302,572)

(262.9)

Daiwa

House

Industry

Co.

Ltd.

(4,800)

(142,331)

(123.7)

East

Japan

Railway

Co.

.....

(2,800)

(191,766)

(166.6)

FANUC

Corp.

............

(300)

(69,085)

(60.0)

Hankyu

Hanshin

Holdings,

Inc.

(900)

(28,385)

(24.7)

Harmonic

Drive

Systems,

Inc.

.

(700)

(47,075)

(40.9)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(300)

(9,222)

(8.0)

Idemitsu

Kosan

Co.

Ltd.

.....

(5,200)

(124,363)

(108.0)

Japan

Airport

Terminal

Co.

Ltd.

(1,500)

(67,349)

(58.5)

Keikyu

Corp.

............

(1,100)

(14,103)

(12.3)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(4,800)

(172,198)

(149.6)

Kirin

Holdings

Co.

Ltd.

......

(3,700)

(69,483)

(60.4)

Komatsu

Ltd.

............

(7,400)

(217,594)

(189.0)

Konami

Holdings

Corp.

.....

(500)

(29,823)

(25.9)

Kose

Corp.

.............

(100)

(15,054)

(13.1)

Lion

Corp.

..............

(2,100)

(39,403)

(34.2)

Mitsui

Fudosan

Co.

Ltd.

.....

(2,300)

(50,000)

(43.4)

MonotaRO

Co.

Ltd.

........

(1,700)

(43,167)

(37.5)

Murata

Manufacturing

Co.

Ltd.

(1,600)

(127,212)

(110.5)

Nidec

Corp.

.............

(600)

(69,281)

(60.2)

Nihon

M&A

Center,

Inc.

.....

(2,200)

(57,475)

(49.9)

Nippon

Paint

Holdings

Co.

Ltd.

(3,000)

(42,852)

(37.2)

Nippon

Sanso

Holdings

Corp.

.

(900)

(16,931)

(14.7)

Nippon

Steel

Corp.

........

(3,300)

(57,667)

(50.1)

Nissan

Motor

Co.

Ltd.

......

(50,900)

(255,515)

(222.0)

Nomura

Research

Institute

Ltd.

(1,700)

(52,171)

(45.3)

Odakyu

Electric

Railway

Co.

Ltd.

(2,500)

(67,710)

(58.8)

Omron

Corp.

............

(800)

(60,581)

(52.6)

Oriental

Land

Co.

Ltd.

......

(300)

(42,528)

(36.9)

Rakuten

Group,

Inc.

.......

(3,500)

(44,493)

(38.7)

Renesas

Electronics

Corp.

...

(2,500)

(29,120)

(25.3)

Rinnai

Corp.

.............

(300)

(30,124)

(26.2)

Seibu

Holdings,

Inc.

.......

(2,100)

(22,583)

(19.6)

Shin-Etsu

Chemical

Co.

Ltd.

..

(300)

(50,641)

(44.0)

Shiseido

Co.

Ltd.

.........

(3,300)

(240,145)

(208.6)

SoftBank

Corp.

...........

(1,700)

(21,914)

(19.0)

SoftBank

Group

Corp.

......

(900)

(81,100)

(70.5)

Sompo

Holdings,

Inc.

......

(1,700)

(63,181)

(54.9)

SUMCO

Corp.

...........

(1,100)

(28,448)

(24.7)

Sumitomo

Corp.

..........

(7,300)

(99,200)

(86.2)

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(1,500)

(50,071)

(43.5)

Suzuken

Co.

Ltd.

.........

(400)

(14,415)

(12.5)

Takeda

Pharmaceutical

Co.

Ltd.

(700)

(23,380)

(20.3)

Tobu

Railway

Co.

Ltd.

......

(1,800)

(46,350)

(40.3)

Toho

Co.

Ltd.

............

(1,200)

(47,824)

(41.6)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(4,700)

(13,936)

(12.1)

Tokyu

Corp.

.............

(5,200)

(66,876)

(58.1)

West

Japan

Railway

Co.

....

(400)

(22,114)

(19.2)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Z

Holdings

Corp.

..........

(11,300)

$

(52,119)

(45.3)

%

(3,925,417)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,081)

(103,827)

(90.2)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(8,228)

(106,241)

(92.3)

Aegon

NV

..............

(22,402)

(103,818)

(90.2)

Argenx

SE

..............

(198)

(56,897)

(49.4)

JDE

Peet's

NV

...........

(564)

(21,928)

(19.1)

(288,884)

New

Zealand

a2

Milk

Co.

Ltd.

(The)

......

(5,319)

(29,080)

(25.2)

Norway

DNB

ASA

...............

(2,528)

(54,216)

(47.1)

Saudi

Arabia

Delivery

Hero

SE

.........

(146)

(23,162)

(20.1)

Spain

Aena

SME

SA

...........

(174)

(30,240)

(26.3)

Amadeus

IT

Group

SA

......

(627)

(42,697)

(37.1)

Ferrovial

SA

.............

(4,894)

(138,946)

(120.7)

Siemens

Gamesa

Renewable

Energy

SA

............

(981)

(35,434)

(30.8)

(247,317)

Sweden

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(1,054)

(25,936)

(22.5)

Hexagon

AB,

Class

B

......

(951)

(90,838)

(78.9)

Sandvik

AB

.............

(781)

(19,314)

(16.8)

Securitas

AB,

Class

B

......

(4,087)

(69,571)

(60.4)

Svenska

Handelsbanken

AB,

Class

A

..............

(1,903)

(22,037)

(19.1)

Swedbank

AB,

Class

A

......

(2,525)

(44,327)

(38.5)

(272,023)

Switzerland

ABB

Ltd.

(Registered)

......

(2,211)

(71,818)

(62.4)

Banque

Cantonale

Vaudoise

(Registered)

...........

(207)

(21,103)

(18.3)

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(32)

(296,786)

(257.8)

Clariant

AG

(Registered)

....

(9,641)

(201,944)

(175.4)

EMS-Chemie

Holding

AG

(Registered)

...........

(83)

(77,498)

(67.3)

Givaudan

SA

(Registered)

...

(12)

(50,282)

(43.7)

Lonza

Group

AG

(Registered)

.

(228)

(144,943)

(125.9)

Schindler

Holding

AG

......

(728)

(207,163)

(180.0)

Sika

AG

(Registered)

.......

(239)

(71,380)

(62.0)

Swatch

Group

AG

(The)

.....

(243)

(74,481)

(64.7)

Temenos

AG

(Registered)

...

(505)

(74,245)

(64.5)

Vifor

Pharma

AG

..........

(714)

(102,904)

(89.4)

(1,394,547)

United

Kingdom

Barclays

plc

.............

(10,976)

(26,572)

(23.1)

CNH

Industrial

NV

.........

(6,449)

(95,733)

(83.2)

Compass

Group

plc

........

(956)

(20,797)

(18.1)

Diageo

plc

..............

(1,337)

(60,020)

(52.1)

HSBC

Holdings

plc

........

(28,149)

(175,754)

(152.7)

Informa

plc

..............

(5,841)

(45,403)

(39.4)

InterContinental

Hotels

Group

plc

.................

(1,670)

(118,675)

(103.1)

BlackRock

Total

Factor

Fund

43

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Linde

plc

...............

(82)

$

(23,439)

(20.4)

%

London

Stock

Exchange

Group

plc

.................

(1,750)

(178,795)

(155.3)

Ocado

Group

plc

.........

(2,504)

(72,488)

(63.0)

Rolls-Royce

Holdings

plc

....

(16,155)

(23,380)

(20.3)

Smith

&

Nephew

plc

.......

(787)

(17,034)

(14.8)

Smiths

Group

plc

.........

(1,902)

(42,716)

(37.1)

Tesco

plc

...............

(65,191)

(199,000)

(172.9)

Unilever

plc

.............

(4,449)

(260,609)

(226.4)

Whitbread

plc

............

(2,963)

(132,841)

(115.4)

Wm

Morrison

Supermarkets

plc

(48,845)

(117,310)

(101.9)

(1,610,566)

United

States

3M

Co.

................

(174)

(34,302)

(29.8)

Abbott

Laboratories

........

(832)

(99,907)

(86.8)

AbbVie,

Inc.

.............

(529)

(58,984)

(51.2)

Air

Products

&

Chemicals,

Inc.

(1,152)

(332,329)

(288.7)

Akamai

Technologies,

Inc.

...

(277)

(30,110)

(26.2)

Albemarle

Corp.

..........

(169)

(28,421)

(24.7)

Alexion

Pharmaceuticals,

Inc.

.

(129)

(21,760)

(18.9)

American

Express

Co.

......

(143)

(21,929)

(19.1)

American

Financial

Group,

Inc.

(416)

(51,110)

(44.4)

American

Water

Works

Co.,

Inc.

(932)

(145,383)

(126.3)

Amphenol

Corp.,

Class

A

....

(608)

(40,943)

(35.6)

Analog

Devices,

Inc.

.......

(1,231)

(188,540)

(163.8)

ANSYS,

Inc.

.............

(685)

(250,477)

(217.6)

Aon

plc,

Class

A

..........

(495)

(124,463)

(108.1)

Apollo

Global

Management,

Inc.

(3,997)

(221,314)

(192.3)

Aptiv

plc

...............

(410)

(58,995)

(51.3)

Arch

Capital

Group

Ltd.

.....

(1,180)

(46,858)

(40.7)

Arthur

J

Gallagher

&

Co.

....

(230)

(33,339)

(29.0)

Avantor,

Inc.

.............

(3,612)

(115,728)

(100.5)

Baker

Hughes

Co.

.........

(19,389)

(389,331)

(338.2)

Ball

Corp.

..............

(399)

(37,362)

(32.5)

Bausch

Health

Cos.,

Inc.

....

(1,299)

(41,819)

(36.3)

Baxter

International,

Inc.

....

(303)

(25,964)

(22.6)

BioMarin

Pharmaceutical,

Inc.

.

(3,288)

(256,201)

(222.6)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(48)

(30,246)

(26.3)

Black

Knight,

Inc.

.........

(965)

(69,885)

(60.7)

Boeing

Co.

(The)

.........

(880)

(206,193)

(179.1)

BorgWarner,

Inc.

..........

(599)

(29,099)

(25.3)

Boston

Scientific

Corp.

......

(3,842)

(167,511)

(145.5)

Broadcom,

Inc.

...........

(574)

(261,859)

(227.5)

Broadridge

Financial

Solutions,

Inc.

.................

(327)

(51,872)

(45.1)

Brookfield

Renewable

Corp.

..

(1,746)

(72,374)

(62.9)

Brown

&

Brown,

Inc.

.......

(424)

(22,548)

(19.6)

Burlington

Stores,

Inc.

......

(138)

(45,034)

(39.1)

Cable

One,

Inc.

..........

(90)

(161,100)

(140.0)

Cabot

Oil

&

Gas

Corp.

......

(2,343)

(39,058)

(33.9)

Campbell

Soup

Co.

........

(431)

(20,580)

(17.9)

CarMax,

Inc.

............

(1,874)

(249,692)

(216.9)

Carvana

Co.

............

(487)

(138,922)

(120.7)

Catalent,

Inc.

............

(1,672)

(188,050)

(163.4)

CenterPoint

Energy,

Inc.

....

(1,912)

(46,825)

(40.7)

Ceridian

HCM

Holding,

Inc.

..

(4,047)

(382,361)

(332.2)

Charter

Communications,

Inc.,

Class

A

..............

(197)

(132,670)

(115.3)

Cheniere

Energy,

Inc.

......

(3,626)

(281,088)

(244.2)

Chevron

Corp.

...........

(446)

(45,969)

(39.9)

Church

&

Dwight

Co.,

Inc.

...

(1,233)

(105,717)

(91.8)

Cincinnati

Financial

Corp.

....

(202)

(22,761)

(19.8)

Cisco

Systems,

Inc.

........

(378)

(19,244)

(16.7)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Cloudflare,

Inc.,

Class

A

.....

(273)

$

(23,134)

(20.1)

%

CME

Group,

Inc.

..........

(107)

(21,613)

(18.8)

CMS

Energy

Corp.

........

(3,938)

(253,568)

(220.3)

ConocoPhillips

...........

(2,997)

(153,267)

(133.2)

CoStar

Group,

Inc.

........

(69)

(58,956)

(51.2)

Costco

Wholesale

Corp.

.....

(80)

(29,767)

(25.9)

Coupa

Software,

Inc.

.......

(337)

(90,666)

(78.8)

CyberArk

Software

Ltd.

.....

(523)

(73,482)

(63.8)

Danaher

Corp.

...........

(603)

(153,126)

(133.0)

Datadog,

Inc.,

Class

A

......

(472)

(40,483)

(35.2)

Duke

Energy

Corp.

........

(237)

(23,864)

(20.7)

Elanco

Animal

Health,

Inc.

...

(3,180)

(100,838)

(87.6)

Eli

Lilly

&

Co.

............

(177)

(32,350)

(28.1)

Enphase

Energy,

Inc.

.......

(165)

(22,976)

(20.0)

Erie

Indemnity

Co.,

Class

A

..

(95)

(20,332)

(17.7)

Essential

Utilities,

Inc.

......

(10,175)

(479,548)

(416.6)

Etsy,

Inc.

...............

(98)

(19,481)

(16.9)

Exact

Sciences

Corp.

......

(315)

(41,523)

(36.1)

Expedia

Group,

Inc.

........

(302)

(53,221)

(46.2)

Exxon

Mobil

Corp.

.........

(652)

(37,320)

(32.4)

Fidelity

National

Information

Services,

Inc.

..........

(743)

(113,605)

(98.7)

Fiserv,

Inc.

..............

(1,022)

(122,763)

(106.7)

Freeport-McMoRan,

Inc.

....

(2,179)

(82,170)

(71.4)

General

Electric

Co.

.......

(2,504)

(32,852)

(28.5)

General

Mills,

Inc.

.........

(1,487)

(90,499)

(78.6)

Global

Payments,

Inc.

......

(816)

(175,138)

(152.2)

Guidewire

Software,

Inc.

....

(848)

(89,472)

(77.7)

Halliburton

Co.

...........

(12,397)

(242,485)

(210.7)

Hasbro,

Inc.

.............

(262)

(26,056)

(22.6)

Hilton

Worldwide

Holdings,

Inc.

(437)

(56,242)

(48.9)

Honeywell

International,

Inc.

..

(502)

(111,966)

(97.3)

Horizon

Therapeutics

plc

....

(232)

(21,952)

(19.1)

Hormel

Foods

Corp.

.......

(7,223)

(333,703)

(289.9)

Howmet

Aerospace,

Inc.

....

(2,689)

(85,940)

(74.7)

IAC/InterActiveCorp

........

(398)

(100,881)

(87.6)

IDEX

Corp.

.............

(133)

(29,819)

(25.9)

Illumina,

Inc.

............

(68)

(26,713)

(23.2)

Incyte

Corp.

.............

(273)

(23,309)

(20.3)

Ingersoll

Rand,

Inc.

........

(4,846)

(239,441)

(208.0)

International

Business

Machines

Corp.

...............

(556)

(78,885)

(68.5)

International

Flavors

&

Fragrances,

Inc.

........

(1,603)

(227,899)

(198.0)

Intuitive

Surgical,

Inc.

......

(27)

(23,355)

(20.3)

IQVIA

Holdings,

Inc.

.......

(546)

(128,141)

(111.3)

J

M

Smucker

Co.

(The)

.....

(655)

(85,798)

(74.5)

Johnson

&

Johnson

........

(237)

(38,567)

(33.5)

Keurig

Dr

Pepper,

Inc.

......

(3,826)

(137,162)

(119.2)

Kimberly-Clark

Corp.

.......

(248)

(33,063)

(28.7)

Kraft

Heinz

Co.

(The)

.......

(3,113)

(128,536)

(111.7)

L3Harris

Technologies,

Inc.

...

(429)

(89,760)

(78.0)

Lamb

Weston

Holdings,

Inc.

..

(315)

(25,358)

(22.0)

Las

Vegas

Sands

Corp.

.....

(4,934)

(302,257)

(262.6)

Liberty

Broadband

Corp.,

Class

C

..................

(642)

(104,466)

(90.8)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(4,783)

(224,514)

(195.0)

Marathon

Petroleum

Corp.

...

(416)

(23,150)

(20.1)

MarketAxess

Holdings,

Inc.

..

(106)

(51,777)

(45.0)

Marsh

&

McLennan

Cos.,

Inc.

.

(848)

(115,074)

(100.0)

Martin

Marietta

Materials,

Inc.

.

(233)

(82,277)

(71.5)

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(1,136)

(102,649)

(89.2)

Medtronic

plc

............

(1,145)

(149,903)

(130.2)

BlackRock

Total

Factor

Fund

44

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Microchip

Technology,

Inc.

...

(1,284)

$

(192,972)

(167.6)

%

MSCI,

Inc.

..............

(49)

(23,803)

(20.7)

Netflix,

Inc.

..............

(98)

(50,320)

(43.7)

Neurocrine

Biosciences,

Inc.

..

(228)

(21,544)

(18.7)

Newmont

Corp.

..........

(372)

(23,217)

(20.2)

NextEra

Energy,

Inc.

.......

(2,482)

(192,380)

(167.1)

NiSource,

Inc.

...........

(2,890)

(75,198)

(65.3)

NortonLifeLock,

Inc.

.......

(3,766)

(81,383)

(70.7)

Nucor

Corp.

.............

(1,392)

(114,506)

(99.5)

NVIDIA

Corp.

............

(100)

(60,038)

(52.2)

Okta,

Inc.

...............

(1,451)

(391,335)

(340.0)

ONEOK,

Inc.

............

(921)

(48,205)

(41.9)

Oracle

Corp.

............

(721)

(54,645)

(47.5)

Palo

Alto

Networks,

Inc.

.....

(71)

(25,091)

(21.8)

PayPal

Holdings,

Inc.

......

(90)

(23,606)

(20.5)

PerkinElmer,

Inc.

.........

(533)

(69,093)

(60.0)

PG&E

Corp.

.............

(8,841)

(100,080)

(86.9)

Pinnacle

West

Capital

Corp.

..

(973)

(82,364)

(71.6)

Plug

Power,

Inc.

..........

(2,918)

(83,192)

(72.3)

Progressive

Corp.

(The)

.....

(2,192)

(220,822)

(191.8)

Public

Service

Enterprise

Group,

Inc.

.................

(648)

(40,928)

(35.6)

Republic

Services,

Inc.

.....

(945)

(100,454)

(87.3)

ResMed,

Inc.

............

(223)

(41,917)

(36.4)

RingCentral,

Inc.,

Class

A

....

(261)

(83,246)

(72.3)

Rollins,

Inc.

.............

(807)

(30,085)

(26.1)

Roper

Technologies,

Inc.

....

(482)

(215,184)

(186.9)

S&P

Global,

Inc.

..........

(173)

(67,537)

(58.7)

salesforce.com,

Inc.

.......

(944)

(217,422)

(188.9)

Sarepta

Therapeutics,

Inc.

...

(587)

(41,583)

(36.1)

Schlumberger

NV

.........

(5,194)

(140,498)

(122.1)

Seagen,

Inc.

............

(465)

(66,848)

(58.1)

SolarEdge

Technologies,

Inc.

.

(63)

(16,603)

(14.4)

Southwest

Airlines

Co.

......

(1,430)

(89,775)

(78.0)

Splunk,

Inc.

.............

(238)

(30,088)

(26.1)

Square,

Inc.,

Class

A

.......

(290)

(70,998)

(61.7)

Steel

Dynamics,

Inc.

.......

(1,881)

(101,988)

(88.6)

Sunrun,

Inc.

.............

(980)

(48,020)

(41.7)

TE

Connectivity

Ltd.

.......

(1,812)

(243,660)

(211.7)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Teladoc

Health,

Inc.

........

(591)

$

(101,859)

(88.5)

%

Teledyne

Technologies,

Inc.

..

(106)

(47,462)

(41.2)

Teleflex,

Inc.

.............

(428)

(180,821)

(157.1)

Tenaris

SA

..............

(8,036)

(86,170)

(74.9)

Tesla,

Inc.

..............

(151)

(107,125)

(93.1)

Thermo

Fisher

Scientific,

Inc.

.

(134)

(63,011)

(54.7)

T-Mobile

US,

Inc.

.........

(166)

(21,934)

(19.1)

Trade

Desk,

Inc.

(The),

Class

A

(30)

(21,879)

(19.0)

TransUnion

.............

(1,049)

(109,715)

(95.3)

Twilio,

Inc.,

Class

A

........

(168)

(61,790)

(53.7)

Twitter,

Inc.

.............

(455)

(25,125)

(21.8)

Tyler

Technologies,

Inc.

.....

(48)

(20,393)

(17.7)

Uber

Technologies,

Inc.

.....

(1,019)

(55,811)

(48.5)

United

Rentals,

Inc.

........

(48)

(15,358)

(13.3)

US

Bancorp

.............

(603)

(35,788)

(31.1)

Valero

Energy

Corp.

.......

(312)

(23,076)

(20.0)

Verisk

Analytics,

Inc.

.......

(775)

(145,855)

(126.7)

VF

Corp.

...............

(609)

(53,385)

(46.4)

Viatris,

Inc.

..............

(3,649)

(48,532)

(42.2)

Voya

Financial,

Inc.

........

(573)

(38,861)

(33.8)

Vulcan

Materials

Co.

.......

(391)

(69,692)

(60.5)

Walmart,

Inc.

............

(349)

(48,829)

(42.4)

Walt

Disney

Co.

(The)

......

(970)

(180,439)

(156.8)

Waste

Connections,

Inc.

.....

(699)

(83,258)

(72.3)

Waste

Management,

Inc.

....

(1,552)

(214,129)

(186.0)

Wayfair,

Inc.,

Class

A

.......

(68)

(20,099)

(17.5)

Wells

Fargo

&

Co.

.........

(2,667)

(120,148)

(104.4)

Wynn

Resorts

Ltd.

........

(705)

(90,522)

(78.6)

Xcel

Energy,

Inc.

..........

(1,067)

(76,077)

(66.1)

Zendesk,

Inc.

............

(849)

(124,081)

(107.8)

Zillow

Group,

Inc.,

Class

C

...

(854)

(111,122)

(96.5)

Zoetis,

Inc.

..............

(97)

(16,784)

(14.6)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(241)

(77,016)

(66.9)

Zscaler,

Inc.

.............

(187)

(35,089)

(30.5)

(17,445,202)

Total

Reference

Entity

—

Short

............

(30,247,542)

Net

Value

of

Reference

Entity

—

Merrill

Lynch

International

&

Co.

.....................

$

115,108

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

0.18

%

6

month

EURIBOR

.....................................

Euro

Interbank

Offered

Rate

(0.52)

BlackRock

Total

Factor

Fund

45

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

Glossary

of

Terms

Used

in

this

Report

Currency

Abbreviations

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

CMT

Constant

Maturity

Treasury

CVA

Certification

Van

Aandelon

(Dutch

Certificate)

EURIBOR

Euro

Interbank

Offered

Rate

LIBOR

London

Interbank

Offered

Rate

MSCI

Morgan

Stanley

Capital

International

OTC

Over-the-counter

RBOB

Reformulated

Gasoline

Blend

Stock

for

Oxygen

Blending

REIT

Real

Estate

Investment

Trust

S&P

Standard

&

Poor's

SCA

Svenska

Cellulosa

Aktiebolaget

WTI

West

Texas

Intermediate

BlackRock

Total

Factor

Fund

46

Consolidated

Schedule

of

Investments

(unaudited)

(continued)

April

30,

2021

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);

and

•    

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

table

summarizes

the

Fund’s

financial

instruments

categorized

in

the

fair

value

hierarchy.

The

breakdown

of

the

Fund's

investments

into

major

categories

is

disclosed

in

the

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets:

Investments:

Long-Term

Investments:

Common

Stocks

.........................................

$

431

$

—

$

—

$

431

Foreign

Government

Obligations

..............................

—

12,220,158

—

12,220,158

U.S.

Treasury

Obligations

...................................

—

11,790,100

—

11,790,100

Short-Term

Securities:

Money

Market

Funds

......................................

20,753,329

—

—

20,753,329

U.S.

Treasury

Obligations

...................................

—

118,280,169

—

118,280,169

Options

Purchased:

Interest

rate

contracts

......................................

—

375,968

—

375,968

$

20,753,760

$

142,666,395

$

—

$

163,420,155

Derivative

Financial

Instruments

(a)

Assets:

Commodity

contracts

.......................................

$

343,491

$

—

$

—

$

343,491

Credit

contracts

...........................................

—

351,958

—

351,958

Equity

contracts

...........................................

614,704

1,540,313

—

2,155,017

Foreign

currency

exchange

contracts

............................

—

4,235,701

—

4,235,701

Interest

rate

contracts

.......................................

1,583,323

—

—

1,583,323

Liabilities:

Commodity

contracts

.......................................

(160,093)

—

—

(160,093)

Equity

contracts

...........................................

(1,417,649)

(177,439

)

—

(1,595,088

)

Foreign

currency

exchange

contracts

............................

—

(5,169,940)

—

(5,169,940)

Interest

rate

contracts

.......................................

(1,567,723)

—

—

(1,567,723)

$

(603,947)

$

780,593

$

—

$

176,646

(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.