NPORT-EX 2 4.30_total_factor.htm 4.30 PART F TOT FACT
BlackRock
Total
Factor
Fund
2
(Percentages
shown
are
based
on
Net
Assets)
Consolidated
Schedule
of
Investments
(unaudited)
April
30,
2022
Security
Par
(000)
Pa
r
(
000)
Value
Foreign
Government
Obligations
Australia
—
5.9%
Commonwealth
of
Australia
(a)
3.91%,
09/20/25
............
AUD
3,190
$
3,258,726
0.82%,
11/21/27
............
2,668
2,116,977
3.18%,
09/20/30
............
2,603
2,719,477
0.26%,
11/21/32
............
1,391
969,710
2.36%,
08/21/35
............
1,780
1,721,874
1.42%,
08/21/40
............
1,596
1,347,952
1.07%,
02/21/50
............
1,600
1,217,335
13,352,051
Canada
—
3.8%
Canadian
Government
Bond
4.25%,
12/01/26
............
CAD
1,329
1,241,904
4.00%,
12/01/31
............
1,412
1,454,953
3.00%,
12/01/36
............
1,299
1,310,430
2.00%,
12/01/41
............
1,321
1,214,422
1.50%,
12/01/44
............
1,523
1,304,456
1.25%,
12/01/47
............
1,428
1,173,826
0.50%,
12/01/50
............
1,337
926,126
0.25%,
12/01/54
............
186
117,281
8,743,398
France
—
6.8%
French
Republic
(a)
2.10%,
07/25/23
(b)
...........
EUR
1,123
1,289,156
0.25%,
07/25/24
............
1,042
1,212,967
0.10%,
03/01/25
............
842
968,924
0.10%,
03/01/26
(b)
...........
476
561,868
1.85%,
07/25/27
............
1,244
1,631,814
0.10%,
03/01/28
............
1,032
1,232,965
0.10%,
03/01/29
............
400
485,293
3.40%,
07/25/29
............
601
895,978
0.70%,
07/25/30
(b)
...........
1,221
1,577,465
0.10%,
07/25/31
(b)
...........
298
367,675
0.10%,
03/01/32
............
145
177,315
3.15%,
07/25/32
............
941
1,514,031
0.10%,
03/01/36
(b)
...........
196
242,566
0.10%,
07/25/36
(b)
...........
643
807,222
1.80%,
07/25/40
(b)
...........
831
1,368,563
0.10%,
07/25/47
(b)
...........
758
1,016,685
0.10%,
07/25/53
(b)
...........
171
237,149
15,587,636
Germany
—
2.4%
Federal
Republic
of
Germany
(a)
0.10%,
04/15/23
............
1,000
1,116,429
0.10%,
04/15/26
............
1,035
1,225,846
0.50%,
04/15/30
............
1,308
1,699,095
0.10%,
04/15/33
............
271
353,366
0.10%,
04/15/46
............
692
1,097,574
5,492,310
United
Kingdom
—
2.5%
U.K.
Treasury
Inflation
Linked
Bonds
8.05%,
01/17/24
(a)
...........
GBP
52
244,285
0.13%,
03/22/24
(a)
...........
75
103,940
0.13%,
03/22/26
(a)
...........
89
128,169
1.25%,
11/22/27
(a)
...........
168
266,581
0.13%,
08/10/28
(a)
...........
139
210,408
0.13%,
03/22/29
(a)
...........
105
160,795
9.60%,
07/22/30
(a)
...........
11
52,414
0.13%,
08/10/31
(a)
...........
170
273,887
1.25%,
11/22/32
(a)
...........
150
272,862
0.75%,
03/22/34
(a)
...........
55
97,565
3.48%,
01/26/35
............
15
54,787
Security
Par
(000)
Par
(000)
Value
United
Kingdom
(continued)
0.13%,
11/22/36
(a)
...........
GBP
160
$
276,901
1.13%,
11/22/37
(a)
...........
138
274,096
0.13%,
03/22/39
(a)
...........
9
15,276
0.63%,
03/22/40
(a)
...........
117
225,135
0.13%,
08/10/41
(a)
...........
118
215,728
0.63%,
11/22/42
(a)
...........
69
139,621
0.13%,
03/22/44
(a)
...........
150
280,140
0.13%,
03/22/46
(a)
...........
125
239,038
0.75%,
11/22/47
(a)
...........
111
244,132
0.13%,
08/10/48
(a)
...........
49
96,049
0.50%,
03/22/50
(a)
...........
114
248,082
0.13%,
03/22/51
(a)
...........
23
46,427
0.25%,
03/22/52
(a)
...........
112
235,486
1.25%,
11/22/55
(a)
...........
101
279,170
0.13%,
11/22/56
(a)
...........
51
109,371
0.13%,
03/22/58
(a)
...........
80
175,604
0.38%,
03/22/62
(a)
...........
97
238,135
0.13%,
11/22/65
(a)
...........
66
162,873
0.13%,
03/22/68
(a)
...........
98
255,429
0.13%,
03/22/73
(a)
...........
5
13,919
5,636,305
Total
Foreign
Government
Obligations
—
21.4%
(Cost:
$53,290,324)
..............................
48,811,700
U.S.
Treasury
Obligations
U.S.
Treasury
Inflation
Linked
Bonds
2.38%, 01/15/25
-
01/15/27
.....
USD
360
400,250
2.00%, 01/15/26
............
31
34,691
1.75%, 01/15/28
............
119
133,062
3.63%, 04/15/28
............
167
205,280
2.50%, 01/15/29
............
100
118,472
3.88%, 04/15/29
............
193
246,737
3.38%, 04/15/32
............
42
56,228
2.13%, 02/15/40
-
02/15/41
.....
520
684,760
0.75%, 02/15/42
-
02/15/45
.....
535
561,900
0.63%, 02/15/43
............
371
380,710
1.38%, 02/15/44
............
195
230,051
1.00%, 02/15/46
-
02/15/49
.....
690
774,090
0.88%, 02/15/47
............
193
209,517
0.25%, 02/15/50
............
198
186,661
0.13%, 02/15/51
-
02/15/52
.....
273
251,225
U.S.
Treasury
Inflation
Linked
Notes
0.63%, 04/15/23
-
01/15/26
.....
1,445
1,509,996
0.38%, 07/15/23
-
07/15/27
.....
1,940
2,021,335
0.13%, 07/15/24
-
01/15/32
.....
5,151
5,294,652
0.25%, 01/15/25
-
07/15/29
.....
1,768
1,832,162
0.50%, 01/15/28
............
681
711,008
0.75%, 07/15/28
............
644
685,652
0.88%, 01/15/29
............
617
660,281
Total
U.S.
Treasury
Obligations
—
7.5%
(Cost:
$17,950,217)
..............................
17,188,720
Total
Long-Term
Investments
—
28.9%
(Cost:
$71,240,541)
..............................
66,000,420
BlackRock
Total
Factor
Fund
3
(Percentages
shown
are
based
on
Net
Assets)
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Security
Shares
Shares
Value
Short-Term
Securities
Money
Market
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
0.29%
(c)(d)
....
18,073,277
$
18,073,277
Total
Money
Market
Funds
—
7.9%
(Cost:
$18,073,277)
..............................
18,073,277
Par
(000)
Pa
r
(
000)
U.S.
Treasury
Obligations
U.S.
Treasury
Bills
(e)
0.06%, 05/19/22
............
USD
35,000
34,996,364
Security
Par
(000)
Par
(000)
Value
U.S.
Treasury
Obligations
(continued)
0.06%, 06/16/22
............
USD
38,000
$
37,978,892
1.80%, 03/23/23
............
10,000
9,837,421
Total
U.S.
Treasury
Obligations
—
36.2%
(Cost:
$82,836,220)
..............................
82,812,677
Total
Short-Term
Securities
—
44.1%
(Cost:
$100,909,497)
.............................
100,885,954
Total
Options
Purchased
—
0.2%
(Cost:
$316,159
)
................................
449,013
Total
Investments
—
73.2%
(Cost:
$172,466,197)
.............................
167,335,387
Other
Assets
Less
Liabilities
—
26.8%
..................
61,231,606
Net
Assets
—
100.0%
..............................
$
228,566,993
(a)
This
security
may
be
resold
to
qualified
foreign
investors
and
foreign
institutional
buyers
under
Regulation
S
of
the
Securities
Act
of
1933.
(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)
Affiliate
of
the
Fund.
(e)
Rates
are
discount
rates
or
a
range
of
discount
rates
as
of
period
end.
Affiliates
Investments
in
issuers
considered
to
be
affiliate(s)
of
the
Fund
during
the
period
ended
April
30,
2022
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Affiliated
Issuer
Value
at
07/31/21
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
04/30/22
Shares
Held
at
04/30/22
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
(a)
..
$
22,001,744
$
—
$
(3,928,467)
$
—
$
—
$
18,073,277
18,073,277
$
8,193
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
BlackRock
Total
Factor
Fund
4
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
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
Amsterdam
Exchange
Index
..................................................
138
05/20/22
$
20,310
$
(348,503)
CAC
40
10
Euro
Index
......................................................
299
05/20/22
20,191
54,109
IBEX
35
Index
............................................................
130
05/20/22
11,618
(47,073)
WTI
Crude
Oil
(a)
...........................................................
74
05/20/22
7,747
386,515
FTSE
China
A50
Index
......................................................
2,024
05/30/22
27,106
1,136,024
WTI
Crude
Oil
(a)
...........................................................
69
05/31/22
7,393
(241,261)
Euro-Bund
..............................................................
269
06/08/22
43,586
(3,939,531)
TOPIX
Index
.............................................................
101
06/09/22
14,748
(268,171)
Low
Sulphur
Gasoil
(a)
.......................................................
32
06/10/22
3,927
642,221
Australia
10
Year
Bonds
.....................................................
552
06/15/22
48,416
(1,855,020)
FTSE/MIB
Index
..........................................................
163
06/17/22
20,322
(396,700)
100
oz
Gold
(a)
............................................................
71
06/28/22
13,573
(296,599)
Long
Gilt
...............................................................
379
06/28/22
56,445
(832,621)
(6,006,610)
Short
Contracts
OMX
Stockholm
30
Index
....................................................
273
05/20/22
5,651
85,907
Natural
Gas
(a)
............................................................
13
05/26/22
942
(17,436)
SGX
NIFTY
50
Index
.......................................................
18
05/26/22
611
6,489
RBOB
Gasoline
(a)
.........................................................
77
05/31/22
11,133
(648,710)
S&P/TSX
60
Index
.........................................................
1
06/16/22
195
2,380
SPI
200
Index
............................................................
35
06/16/22
4,526
89,903
DAX
Index
..............................................................
46
06/17/22
16,910
330,809
FTSE
100
Index
..........................................................
129
06/17/22
12,045
176,504
MSCI
Hong
Kong
Equity
Index
.................................................
244
06/17/22
15,663
(93,443)
S&P
500
E-Mini
Index
......................................................
22
06/17/22
4,540
274,747
Canada
10
Year
Bond
......................................................
547
06/21/22
53,804
260,578
U.S.
Treasury
10
Year
Note
...................................................
351
06/21/22
41,785
2,931,003
Silver
(a)
................................................................
9
07/27/22
1,039
15,000
3,413,731
$
(2,592,879)
(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)
USD
3,814,884
AUD
5,095,000
Barclays
Bank
plc
05/03/22
$
215,012
USD
3,818,560
AUD
5,095,000
Toronto
Dominion
Bank
05/03/22
218,688
USD
3,818,815
AUD
5,095,000
UBS
AG
05/03/22
218,942
USD
3,818,801
AUD
5,094,350
Westpac
Banking
Corp.
05/03/22
219,388
USD
2,488,146
CAD
3,115,000
Barclays
Bank
plc
05/03/22
63,361
USD
2,487,729
CAD
3,115,000
Toronto
Dominion
Bank
05/03/22
62,944
USD
2,486,549
CAD
3,115,000
UBS
AG
05/03/22
61,765
USD
2,488,846
CAD
3,117,080
Westpac
Banking
Corp.
05/03/22
62,441
USD
6,003,742
EUR
5,403,000
Barclays
Bank
plc
05/03/22
303,847
USD
5,674,789
EUR
5,105,000
Toronto
Dominion
Bank
05/03/22
289,270
USD
5,659,990
EUR
5,105,000
UBS
AG
05/03/22
274,470
USD
5,654,215
EUR
5,099,874
Westpac
Banking
Corp.
05/03/22
274,103
USD
1,706,953
GBP
1,301,000
Barclays
Bank
plc
05/04/22
71,014
USD
1,582,824
GBP
1,205,000
Toronto
Dominion
Bank
05/04/22
67,600
USD
1,748,769
GBP
1,334,000
UBS
AG
05/04/22
71,335
USD
1,574,364
GBP
1,200,499
Westpac
Banking
Corp.
05/04/22
64,800
BRL
45,355,000
(a)
USD
8,741,953
Bank
of
America
NA
06/15/22
304,903
BlackRock
Total
Factor
Fund
5
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Forward
Foreign
Currency
Exchange
Contracts
(continued)
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation  
(Depreciation)
BRL
72,135,000
(a)
USD
13,869,593
Citibank
NA
06/15/22
$
519,007
INR
3,134,978,000
(a)
USD
40,100,771
BNP
Paribas
SA
06/15/22
644,178
INR
377,624,000
(a)
USD
4,906,310
Deutsche
Bank
AG
06/15/22
1,625
USD
39,553,447
(a)
AUD
53,305,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
1,860,448
USD
4,251,271
(a)
BRL
20,127,000
Bank
of
America
NA
06/15/22
236,585
USD
17,333,549
(a)
CAD
21,816,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
353,256
USD
2,855,702
(a)
CHF
2,666,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
108,784
USD
49,130,215
(a)
CNY
314,762,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
1,893,650
USD
77,987,946
(a)
EUR
71,000,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
2,931,256
USD
27,140,416
(a)
GBP
20,804,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
978,956
USD
314,907
(a)
HKD
2,460,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
1,104
USD
2,509,204
(a)
INR
192,549,000
Barclays
Bank
plc
06/15/22
6,667
USD
6,368,778
(a)
JPY
737,939,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
673,496
USD
408,484
(a)
KRW
505,115,000
Bank
of
America
NA
06/15/22
8,605
USD
629,541
(a)
KRW
773,278,000
Barclays
Bank
plc
06/15/22
17,368
USD
797,950
(a)
KRW
982,101,000
HSBC
Bank
plc
06/15/22
20,460
USD
842,905
(a)
KRW
1,027,577,000
JPMorgan
Chase
Bank
NA
06/15/22
29,413
USD
40,521,640
(a)
KRW
49,961,967,000
Standard
Chartered
Bank
06/15/22
968,750
USD
8,493,834
(a)
MXN
173,387,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
69,804
USD
312,388
(a)
NOK
2,822,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
11,476
USD
41,292,086
(a)
NZD
60,371,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
2,320,695
USD
881,291
SEK
8,328,000
JPMorgan
Chase
Bank
NA
06/15/22
32,126
USD
1,221,771
(a)
SEK
11,526,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
46,522
USD
438,018
(a)
SGD
597,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
6,357
USD
32,805,789
(a)
TWD
944,780,000
Barclays
Bank
plc
06/15/22
609,321
USD
18,254,201
(a)
TWD
519,688,000
Citibank
NA
06/15/22
544,133
USD
7,499,573
(a)
TWD
210,858,000
Goldman
Sachs
International
06/15/22
313,897
18,051,822
AUD
819,000
USD
615,237
Barclays
Bank
plc
05/03/22
(36,572)
AUD
244,000
USD
182,825
UBS
AG
05/03/22
(10,426)
CAD
397,000
USD
317,796
Barclays
Bank
plc
05/03/22
(8,762)
CAD
97,000
USD
77,571
UBS
AG
05/03/22
(2,065)
EUR
482,000
USD
532,415
UBS
AG
05/03/22
(23,929)
GBP
226,000
USD
297,513
Barclays
Bank
plc
05/04/22
(13,330)
AUD
30,842,000
(a)
USD
22,932,415
Morgan
Stanley
&
Co.
International
plc
06/15/22
(1,123,440)
BRL
14,382,000
(a)
USD
2,979,719
BNP
Paribas
SA
06/15/22
(110,975)
BRL
23,965,000
(a)
USD
4,999,002
Citibank
NA
06/15/22
(218,758)
BRL
4,828,600
(a)
USD
1,000,000
Goldman
Sachs
International
06/15/22
(36,850)
BRL
42,367,400
(a)
USD
8,746,980
HSBC
Bank
plc
06/15/22
(296,054)
CAD
97,550,000
(a)
USD
76,885,019
Morgan
Stanley
&
Co.
International
plc
06/15/22
(957,825)
CHF
1,616,000
(a)
USD
1,751,458
Morgan
Stanley
&
Co.
International
plc
06/15/22
(86,410)
CNY
292,012,000
(a)
USD
45,524,313
Morgan
Stanley
&
Co.
International
plc
06/15/22
(1,701,857)
EUR
23,515,000
(a)
USD
25,697,878
Morgan
Stanley
&
Co.
International
plc
06/15/22
(839,313)
GBP
30,907,000
(a)
USD
40,555,337
Morgan
Stanley
&
Co.
International
plc
06/15/22
(1,689,147)
INR
337,247,000
(a)
USD
4,414,687
Citibank
NA
06/15/22
(31,526)
INR
168,233,000
(a)
USD
2,192,104
HSBC
Bank
plc
06/15/22
(5,599)
JPY
4,202,473,000
(a)
USD
35,245,762
Morgan
Stanley
&
Co.
International
plc
06/15/22
(2,811,824)
KRW
3,429,990,000
(a)
USD
2,816,161
Citibank
NA
06/15/22
(100,776)
KRW
899,590,000
(a)
USD
743,537
Morgan
Stanley
&
Co.
International
plc
06/15/22
(31,368)
MXN
439,326,000
(a)
USD
21,706,951
Morgan
Stanley
&
Co.
International
plc
06/15/22
(362,242)
NZD
44,424,000
(a)
USD
30,268,356
Morgan
Stanley
&
Co.
International
plc
06/15/22
(1,591,259)
SEK
21,613,000
USD
2,294,649
JPMorgan
Chase
Bank
NA
06/15/22
(90,880)
SEK
14,430,000
(a)
USD
1,554,748
Morgan
Stanley
&
Co.
International
plc
06/15/22
(83,393)
TWD
184,085,000
(a)
USD
6,317,912
BNP
Paribas
SA
06/15/22
(44,613)
TWD
167,031,000
(a)
USD
5,773,626
HSBC
Bank
plc
06/15/22
(81,498)
TWD
356,918,000
(a)
USD
12,499,576
Standard
Chartered
Bank
06/15/22
(336,428)
USD
1,479,281
(a)
CAD
1,901,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
(346)
USD
10,672,214
(a)
INR
821,419,000
Barclays
Bank
plc
06/15/22
(3,674)
USD
1,778,148
(a)
KRW
2,234,616,000
Barclays
Bank
plc
06/15/22
(20,365)
USD
10,621,046
(a)
MXN
224,131,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
(268,387)
BlackRock
Total
Factor
Fund
6
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Forward
Foreign
Currency
Exchange
Contracts
(continued)
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation  
(Depreciation)
USD
2,402,185
(a)
SEK
23,968,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
$
(41,712)
(13,061,603)
$
4,990,219
(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)
2.71%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
07/12/22
2.71
%
USD
9,882
$
212,951
10-Year
Interest
Rate
Swap
(a)
1.70%
Annual
6
month
EURIBOR
Semi-Annual
Citibank
NA
07/12/22
1.70
EUR
10,749
236,062
$
449,013
(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.38.V1
.....
5.00
%
Quarterly
06/20/27
NR
USD
13,680
$
284,024
$
614,369
$
(330,345)
ITRAXX.EUR.
CROSSOVER.37.V1
.
5.00
Quarterly
06/20/27
NR
EUR
12,944
499,465
900,981
(401,516)
$
783,489
$
1,515,350
$
(731,861)
(a)
Using
the
rating
of
the
issuer
or
the
underlying
securities
of
the
index,
as
applicable,
provided
by
S&P
Global
Ratings.
(b)
The
maximum
potential
amount
the
Fund
may
pay
should
a
negative
credit
event
take
place
as
defined
under
the
terms
of
the
agreement.
OTC
Total
Return
Swap
s
-
Future
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
2022
................
TWD
16,564,140
Merrill
Lynch
International
&
Co.
05/18/22
TWD
16,564
$
—
$
—
$
—
Taiwan
Capitalization
Weighted
Stock
Index
Futures
May
2022
................
TWD
488,939,705
Merrill
Lynch
International
&
Co.
05/18/22
TWD
488,940
(386,996)
—
(386,996)
KOSPI
200
Index
Futures
June
2022
................
KRW
(437,425,000)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
437,425
(5,633)
—
(5,633)
KOSPI
200
Index
Futures
June
2022
................
KRW
(11,356,840,725)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
11,356,841
(88,582)
—
(88,582)
KOSPI
200
Index
Futures
June
2022
................
KRW
(885,628,250)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
885,628
(2,684)
—
(2,684)
BlackRock
Total
Factor
Fund
7
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
(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
Swaps
-
Future
(continued)
Reference
Entity
Fixed
Amount
Paid
/
(Received)
by
the
Fund
(a)
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
KOSPI
200
Index
Futures
June
2022
................
KRW
(1,961,545,300)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
1,961,545
$
4,574
$
—
$
4,574
KOSPI
200
Index
Futures
June
2022
................
KRW
(2,606,691,100)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
2,606,691
22,764
—
22,764
KOSPI
200
Index
Futures
June
2022
................
KRW
(990,214,500)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
990,215
9,805
—
9,805
KOSPI
200
Index
Futures
June
2022
................
KRW
(1,397,920,400)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
1,397,920
—
—
—
KOSPI
200
Index
Futures
June
2022
................
KRW
(8,912,543,250)
Merrill
Lynch
International
&
Co.
06/09/22
KRW
8,912,543
(123,612)
—
(123,612)
BOVESPA
Index
Futures
June
2022
................
BRL
(1,439,225)
Merrill
Lynch
International
&
Co.
06/15/22
BRL
1,439
4,798
—
4,798
BOVESPA
Index
Futures
June
2022
................
BRL
(7,290,186)
Merrill
Lynch
International
&
Co.
06/15/22
BRL
7,290
43,014
—
43,014
BOVESPA
Index
Futures
June
2022
................
BRL
(7,300,919)
Merrill
Lynch
International
&
Co.
06/15/22
BRL
7,301
89,233
—
89,233
BOVESPA
Index
Futures
June
2022
................
BRL
(1,412,916)
Merrill
Lynch
International
&
Co.
06/15/22
BRL
1,413
21,500
—
21,500
BOVESPA
Index
Futures
June
2022
................
BRL
(10,153,601)
Merrill
Lynch
International
&
Co.
06/15/22
BRL
10,154
181,712
—
181,712
Swiss
Market
Index
Futures
June
2022
................
CHF
363,439
HSBC
Bank
plc
06/17/22
CHF
363
—
—
—
Swiss
Market
Index
Futures
June
2022
................
CHF
1,360,478
HSBC
Bank
plc
06/17/22
CHF
1,360
(31,435)
—
(31,435)
Swiss
Market
Index
Futures
June
2022
................
CHF
15,457,569
HSBC
Bank
plc
06/17/22
CHF
15,458
639,559
—
639,559
$
378,017
$
—
$
378,017
(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)
06/16/25
$
(200,750)
$
440,522
(c)
$
163,392
46.6
%
Monthly
BNP
Paribas
SA
(d)
12/31/49
(723,323)
1,028,108
(e)
174,513
55.1
Monthly
Citibank
NA
(f)
02/24/23-02/27/23
70,937
61,985
(g)
134,368
19.6
Monthly
Goldman
Sachs
International
(h)
02/27/23-03/01/23
(586,781)
772,350
(i)
158,314
36.4
Monthly
JPMorgan
Chase
Bank
NA
(j)
02/08/23
34,223
91,559
(k)
136,447
4.0
Monthly
Merrill
Lynch
International
&
Co.
(l)
02/15/23
(106,200)
357,645
(m)
214,754
20.1
$
2,752,169
$
981,788
(b)
(d)
(f)
Range:
15-450
basis
points
18-350
basis
points
6-597
basis
points
Benchmarks:
Copenhagen
Interbank
Swap
Rate
1
Month
Bank
of
Canada
Overnight
Repo
Rate
Bank
of
Canada
Overnight
Repo
Rate
Euro
Overnight
Short
Term
Rate
Danish
Annualized
Overnight
Deposit
MID
Rate
Copenhagen
Interbank
Swap
Rate
1
Week
Hong
Kong
Overnight
Index
Swap
Rate
Euro
Overnight
Short
Term
Rate
Euro
Overnight
Short
Term
Rate
BlackRock
Total
Factor
Fund
8
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
(c)
Amount
includes
$76,380
of
net
dividends
and
financing
fees.
(e)
Amount
includes
$130,272
of
net
dividends
and
financing
fees.
(g)
Amount
includes
$(1,446)
of
net
dividends
and
financing
fees.
(i)
Amount
includes
$27,255
of
net
dividends
and
financing
fees.
(k)
Amount
includes
$(10,665)
of
net
dividends
and
financing
fees.
(m)
Amount
includes
$36,691
of
net
dividends
and
financing
fees.
New
Zealand
Bank
Bill
Rates
1
Month
Hong
Kong
Overnight
Index
Swap
Rate
Hong
Kong
Overnight
Index
Swap
Rate
Norway
Interbank
Offer
Rate
1
Month
New
Zealand
Official
Overnight
Deposit
Rate
Israel
Tel
Aviv
Interbank
Offer
Rate
1
Month
Reserve
Bank
of
Australia
Overnight
Cash
Rate
Norwegian
Overnight
Weighted
Average
Norway
Interbank
Offer
Rate
1
Week
Singapore
Overnight
Rate
Average
Reserve
Bank
of
Australia
Overnight
Cash
Rate
Reserve
Bank
of
Australia
Overnight
Cash
Rate
Sterling
Overnight
Index
Average
Singapore
Overnight
Rate
Average
Singapore
Overnight
Rate
Average
Stockholm
Interbank
Offer
Rate
1
Month
Sterling
Overnight
Index
Average
Sterling
Overnight
Index
Average
Swiss
Average
Rate
Overnight
Stockholm
Interbank
Offer
Rate
1
Week
Stockholm
Interbank
Offer
Rate
1
Week
Tokyo
Overnight
Average
Rate
Swiss
Average
Rate
Overnight
Swiss
Average
Rate
Overnight
USD
Overnight
Bank
Funding
Rate
Tokyo
Overnight
Average
Rate
Tokyo
Overnight
Average
Rate
USD
Overnight
Bank
Funding
Rate
USD
Overnight
Bank
Funding
Rate
(h)
(j)
(l)
Range:
0-182
basis
points
15-35
basis
points
0-82
basis
points
Benchmarks:
Bank
of
Canada
Overnight
Repo
Rate
Bank
of
Canada
Overnight
Lending
Rate
Bank
of
Canada
Overnight
Lending
Rate
Danish
Tom/Next
Reference
Rate
Canada
Overnight
Interbank
Rate
Copenhagen
Interbank
Swap
Rate
1
Week
Euro
Overnight
Short
Term
Rate
USD
Overnight
Bank
Funding
Rate
Euro
Overnight
Short
Term
Rate
Hong
Kong
Overnight
Index
Swap
Rate
Israel
Tel
Aviv
Interbank
Offer
Rate
1
Month
Israel
Tel
Aviv
Interbank
Offer
Rate
Overnight
New
Zealand
Bank
Bill
Rates
1
Month
New
Zealand
Overnight
Deposit
Rate
Norway
Interbank
Offer
Rate
1
Week
Norwegian
Overnight
Weighted
Average
Reserve
Bank
of
Australia
Overnight
Cash
Rate
Reserve
Bank
of
Australia
Overnight
Cash
Rate
Sterling
Overnight
Index
Average
Singapore
Overnight
Rate
Average
Stockholm
Interbank
Offer
Rate
1
Week
Sterling
Overnight
Index
Average
Swiss
Average
Rate
Overnight
Stockholm
Interbank
Offer
Rate
Overnight
Tokyo
Overnight
Average
Rate
Swiss
Average
Rate
Overnight
USD
Overnight
Bank
Funding
Rate
Tokyo
Overnight
Average
Rate
U.S.
Federal
Reserve
Overnight
Effective
Federal
Funds
Rate
BlackRock
Total
Factor
Fund
9
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
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
period
end,
termination
date
June
16,
2025:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Australia
Ampol
Ltd.
..............
2,300
$
54,076
33.1
%
Aristocrat
Leisure
Ltd.
......
5,473
126,986
77.7
Aurizon
Holdings
Ltd.
......
7,481
21,127
12.9
BHP
Group
Ltd.
..........
9,745
325,633
199.3
BlueScope
Steel
Ltd.
.......
4,185
59,492
36.4
Brambles
Ltd.
............
30,871
227,961
139.5
Cochlear
Ltd.
............
132
21,261
13.0
Coles
Group
Ltd.
.........
12,892
169,513
103.7
IDP
Education
Ltd.
........
1,953
36,231
22.2
QBE
Insurance
Group
Ltd.
...
3,001
25,891
15.8
REA
Group
Ltd.
..........
666
59,666
36.5
Rio
Tinto
Ltd.
............
162
12,815
7.8
Tabcorp
Holdings
Ltd.
......
22,879
87,494
53.5
1,228,146
Austria
Mondi
plc
...............
2,339
43,941
26.9
OMV
AG
...............
1,795
91,756
56.1
135,697
Belgium
Elia
Group
SA/NV
.........
283
45,047
27.6
Groupe
Bruxelles
Lambert
SA
.
2,401
226,559
138.7
KBC
Group
NV
...........
64
4,354
2.7
UCB
SA
...............
1,623
184,491
112.9
Umicore
SA
.............
773
29,717
18.2
490,168
Denmark
AP
Moller
-
Maersk
A/S,
Class
B
48
138,923
85.0
Coloplast
A/S,
Class
B
......
1,232
165,986
101.6
DSV
A/S
...............
310
50,825
31.1
Genmab
A/S
............
153
53,801
32.9
Novo
Nordisk
A/S,
Class
B
...
2,354
268,889
164.6
Novozymes
A/S,
Class
B
....
322
22,446
13.7
Pandora
A/S
............
1,144
100,450
61.5
801,320
Finland
Kesko
OYJ,
Class
B
.......
623
15,685
9.6
Neste
OYJ
..............
243
10,427
6.4
Nokia
OYJ
..............
4,544
23,038
14.1
Stora
Enso
OYJ,
Class
R
....
1,345
26,469
16.2
75,619
France
Arkema
SA
.............
1,228
139,924
85.6
BioMerieux
.............
201
19,136
11.7
BNP
Paribas
SA
..........
1,732
89,807
55.0
Bureau
Veritas
SA
.........
1,947
55,931
34.2
Credit
Agricole
SA
.........
8,278
89,386
54.7
Dassault
Systemes
SE
.....
1,751
77,437
47.4
Eiffage
SA
..............
1,134
111,981
68.5
Engie
SA
...............
2,754
32,498
19.9
Eurazeo
SE
.............
354
27,201
16.7
Hermes
International
.......
80
98,645
60.4
Kering
SA
..............
106
56,400
34.5
La
Francaise
des
Jeux
SAEM
.
601
22,442
13.7
L'Oreal
SA
..............
554
201,551
123.4
Orange
SA
..............
25,196
299,968
183.6
Pernod
Ricard
SA
.........
692
142,818
87.4
Shares
Value
%
of
Basket
Value
France
(continued)
Publicis
Groupe
SA
........
4,006
$
240,507
147.2
%
Sanofi
.................
1,192
125,988
77.1
Societe
Generale
SA
.......
7,695
184,942
113.2
Sodexo
SA
.............
886
66,650
40.8
Teleperformance
..........
131
47,017
28.8
Vivendi
SE
..............
5,710
65,583
40.1
2,195,812
Germany
Allianz
SE
(Registered)
.....
961
216,834
132.7
Bayer
AG
(Registered)
......
2,095
138,000
84.5
Beiersdorf
AG
............
1,756
176,373
107.9
Covestro
AG
............
1,217
52,399
32.1
Deutsche
Boerse
AG
.......
801
139,450
85.4
Deutsche
Post
AG
(Registered)
6,775
289,445
177.2
E.ON
SE
...............
16,756
174,379
106.7
Evonik
Industries
AG
.......
3,699
96,752
59.2
GEA
Group
AG
...........
1,142
44,454
27.2
HeidelbergCement
AG
......
381
21,948
13.4
LEG
Immobilien
SE
........
1,246
127,753
78.2
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
531
126,453
77.4
SAP
SE
................
1,179
119,487
73.1
Siemens
AG
(Registered)
....
338
41,559
25.4
Symrise
AG
.............
475
56,522
34.6
Vonovia
SE
.............
188
7,490
4.6
1,829,298
Hong
Kong
CK
Asset
Holdings
Ltd.
.....
13,000
88,129
53.9
New
World
Development
Co.
Ltd.
................
16,000
61,197
37.5
Power
Assets
Holdings
Ltd.
..
8,500
57,248
35.0
Sun
Hung
Kai
Properties
Ltd.
.
8,000
92,137
56.4
298,711
Ireland
Smurfit
Kappa
Group
plc
....
2,611
110,330
67.5
Italy
Coca-Cola
HBC
AG
........
4,393
89,063
54.5
Enel
SpA
...............
32,509
211,403
129.4
Eni
SpA
................
7,653
106,980
65.5
Moncler
SpA
............
326
16,983
10.4
Poste
Italiane
SpA
.........
2,935
28,760
17.6
453,189
Japan
Aisin
Corp.
..............
400
11,620
7.1
Ajinomoto
Co.,
Inc.
........
2,000
51,963
31.8
Asahi
Kasei
Corp.
.........
22,400
183,785
112.5
Astellas
Pharma,
Inc.
.......
3,200
48,722
29.8
Brother
Industries
Ltd.
......
3,800
66,042
40.4
Chugai
Pharmaceutical
Co.
Ltd.
2,200
65,923
40.3
Dai
Nippon
Printing
Co.
Ltd.
..
2,300
48,065
29.4
Dai-ichi
Life
Holdings,
Inc.
...
2,200
44,053
27.0
Daiwa
House
Industry
Co.
Ltd.
3,400
81,737
50.0
Denso
Corp.
............
3,300
201,119
123.1
Dentsu
Group,
Inc.
........
800
28,833
17.6
ENEOS
Holdings,
Inc.
......
23,900
84,095
51.5
Fuji
Electric
Co.
Ltd.
.......
800
35,081
21.5
FUJIFILM
Holdings
Corp.
....
1,000
54,971
33.6
Fujitsu
Ltd.
..............
500
75,575
46.3
Hankyu
Hanshin
Holdings,
Inc.
900
23,752
14.5
Hirose
Electric
Co.
Ltd.
.....
300
38,062
23.3
Hitachi
Ltd.
.............
400
18,971
11.6
BlackRock
Total
Factor
Fund
10
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
Honda
Motor
Co.
Ltd.
......
5,600
$
147,300
90.1
%
Ibiden
Co.
Ltd.
...........
800
29,897
18.3
Isuzu
Motors
Ltd.
.........
9,200
107,325
65.7
Ito
En
Ltd.
..............
400
16,438
10.1
ITOCHU
Corp.
...........
3,400
102,615
62.8
Japan
Tobacco,
Inc.
.......
17,500
297,706
182.2
JSR
Corp.
..............
700
19,009
11.6
Kajima
Corp.
............
10,900
121,475
74.3
KDDI
Corp.
.............
6,600
218,557
133.8
Kikkoman
Corp.
..........
1,200
67,441
41.3
Lawson,
Inc.
............
1,100
40,458
24.8
Lixil
Corp.
..............
5,400
94,977
58.1
Marubeni
Corp.
...........
2,700
29,472
18.0
Mazda
Motor
Corp.
........
24,000
170,418
104.3
McDonald's
Holdings
Co.
Japan
Ltd.
................
2,700
107,117
65.6
Mitsubishi
Electric
Corp.
.....
25,100
262,905
160.9
Mitsubishi
Estate
Co.
Ltd.
....
1,900
27,676
16.9
Mitsubishi
Gas
Chemical
Co.,
Inc.
.................
4,800
70,094
42.9
Mitsui
Chemicals,
Inc.
......
5,200
118,809
72.7
Mizuho
Financial
Group,
Inc.
..
37,000
449,280
275.0
Murata
Manufacturing
Co.
Ltd.
1,000
59,607
36.5
NEC
Corp.
..............
800
31,037
19.0
NGK
Insulators
Ltd.
........
13,500
181,597
111.1
NIPPON
EXPRESS
HOLDINGS,
Inc.
.................
1,000
58,631
35.9
Nippon
Telegraph
&
Telephone
Corp.
...............
10,300
303,534
185.8
Nissan
Chemical
Corp.
.....
400
21,129
12.9
Nitto
Denko
Corp.
.........
2,600
174,515
106.8
Nomura
Real
Estate
Holdings,
Inc.
.................
5,300
129,138
79.0
Olympus
Corp.
...........
1,500
26,402
16.2
Ono
Pharmaceutical
Co.
Ltd.
.
2,600
66,795
40.9
Osaka
Gas
Co.
Ltd.
........
12,700
228,897
140.1
Otsuka
Holdings
Co.
Ltd.
....
3,100
104,168
63.8
Panasonic
Holdings
Corp.
...
5,700
50,805
31.1
Recruit
Holdings
Co.
Ltd.
....
2,500
90,704
55.5
Resona
Holdings,
Inc.
......
44,900
195,244
119.5
Santen
Pharmaceutical
Co.
Ltd.
1,600
13,015
8.0
Secom
Co.
Ltd.
...........
800
56,284
34.4
Seiko
Epson
Corp.
........
2,600
36,628
22.4
Sekisui
Chemical
Co.
Ltd.
....
3,300
44,686
27.3
Sekisui
House
Ltd.
........
1,200
20,842
12.8
Sohgo
Security
Services
Co.
Ltd.
................
1,000
27,779
17.0
Sompo
Holdings,
Inc.
......
1,700
69,207
42.4
Subaru
Corp.
............
3,300
50,077
30.6
Sumitomo
Chemical
Co.
Ltd.
..
31,200
132,669
81.2
Sumitomo
Mitsui
Financial
Group,
Inc.
...........
8,000
241,712
147.9
Suntory
Beverage
&
Food
Ltd.
4,600
181,245
110.9
Suzuki
Motor
Corp.
........
500
15,073
9.2
Taisei
Corp.
.............
2,200
59,594
36.5
Tokyo
Electron
Ltd.
........
400
168,779
103.3
Tokyo
Gas
Co.
Ltd.
........
14,500
277,740
170.0
TOPPAN,
Inc.
............
3,900
64,466
39.5
Toray
Industries,
Inc.
.......
23,000
109,004
66.7
Toshiba
Corp.
............
600
24,917
15.2
Tosoh
Corp.
.............
6,900
95,279
58.3
TOTO
Ltd.
..............
2,500
84,247
51.6
Toyo
Suisan
Kaisha
Ltd.
.....
1,100
33,964
20.8
USS
Co.
Ltd.
............
1,600
26,637
16.3
Shares
Value
%
of
Basket
Value
Japan
(continued)
Yamaha
Motor
Co.
Ltd.
.....
5,200
$
107,358
65.7
%
7,324,743
Netherlands
ASML
Holding
NV
.........
263
149,263
91.4
EXOR
NV
..............
1,331
92,364
56.5
Koninklijke
DSM
NV
.......
109
18,324
11.2
Koninklijke
KPN
NV
........
38,686
133,490
81.7
Koninklijke
Philips
NV
......
2,589
67,653
41.4
NN
Group
NV
............
5,264
257,839
157.8
Randstad
NV
............
1,839
97,245
59.5
816,178
New
Zealand
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
................
2,252
30,947
18.9
Spark
New
Zealand
Ltd.
.....
29,439
93,106
57.0
124,053
Norway
Orkla
ASA
..............
6,047
49,069
30.0
Singapore
DBS
Group
Holdings
Ltd.
....
3,000
72,782
44.5
Singapore
Telecommunications
Ltd.
................
26,400
52,689
32.3
STMicroelectronics
NV
.....
549
20,284
12.4
United
Overseas
Bank
Ltd.
...
16,000
342,500
209.6
488,255
South
Africa
Anglo
American
plc
........
266
11,781
7.2
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
28,147
147,694
90.4
Banco
Santander
SA
.......
49,601
144,952
88.7
Iberdrola
SA
.............
6,271
72,059
44.1
Industria
de
Diseno
Textil
SA
..
3,235
67,829
41.5
Repsol
SA
..............
2,278
33,983
20.8
466,517
Sweden
Alfa
Laval
AB
............
3,039
84,594
51.8
Assa
Abloy
AB,
Class
B
.....
792
20,016
12.3
Boliden
AB
..............
3,396
147,255
90.1
Husqvarna
AB,
Class
B
.....
4,097
39,164
24.0
Sandvik
AB
.............
3,155
59,719
36.6
Skanska
AB,
Class
B
.......
3,228
61,662
37.7
Swedbank
AB,
Class
A
......
3,417
54,054
33.1
Swedish
Match
AB
........
21,712
172,931
105.8
Tele2
AB,
Class
B
.........
3,769
49,955
30.6
Telia
Co.
AB
.............
7,091
29,432
18.0
Volvo
AB,
Class
B
.........
1,604
25,589
15.7
744,371
Switzerland
Adecco
Group
AG
(Registered)
2,094
80,807
49.5
Baloise
Holding
AG
(Registered)
135
23,482
14.4
Geberit
AG
(Registered)
.....
233
132,874
81.3
Givaudan
SA
(Registered)
...
15
59,618
36.5
Holcim
AG
..............
1,636
79,993
49.0
Julius
Baer
Group
Ltd.
......
372
17,777
10.9
Kuehne
+
Nagel
International
AG
(Registered)
...........
954
266,878
163.3
Nestle
SA
(Registered)
.....
346
44,667
27.3
Novartis
AG
(Registered)
....
4,599
406,410
248.7
Roche
Holding
AG
........
506
187,632
114.8
BlackRock
Total
Factor
Fund
11
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Switzerland
(continued)
SGS
SA
(Registered)
.......
67
$
172,158
105.4
%
Straumann
Holding
AG
(Registered)
...........
810
95,492
58.4
Swiss
Life
Holding
AG
(Registered)
...........
392
229,209
140.3
Swisscom
AG
(Registered)
...
210
124,173
76.0
UBS
Group
AG
(Registered)
..
10,192
173,026
105.9
Zurich
Insurance
Group
AG
..
1,060
482,586
295.4
2,576,782
United
Kingdom
Ashtead
Group
plc
........
989
51,138
31.3
Auto
Trader
Group
plc
......
1,472
11,617
7.1
BAE
Systems
plc
.........
7,786
71,917
44.0
Barratt
Developments
plc
....
17,937
109,739
67.2
Berkeley
Group
Holdings
plc
..
603
30,582
18.7
BP
plc
.................
24,827
119,860
73.4
British
American
Tobacco
plc
.
3,141
131,647
80.6
Coca-Cola
Europacific
Partners
plc
.................
699
34,915
21.4
Croda
International
plc
......
892
86,637
53.0
DCC
plc
...............
1,134
85,922
52.6
Diageo
plc
..............
3,929
196,013
120.0
Entain
plc
..............
1,857
34,894
21.4
Experian
plc
.............
1,269
43,824
26.8
InterContinental
Hotels
Group
plc
.................
4,247
271,127
165.9
Intertek
Group
plc
.........
1,882
117,277
71.8
J
Sainsbury
plc
...........
21,157
61,731
37.8
JD
Sports
Fashion
plc
......
33,444
55,105
33.7
Johnson
Matthey
plc
.......
1,021
28,086
17.2
Kingfisher
plc
............
34,686
109,385
66.9
Legal
&
General
Group
plc
...
5,996
18,690
11.4
Next
plc
................
446
33,406
20.4
Persimmon
plc
...........
1,135
29,560
18.1
RELX
plc
...............
5,671
168,942
103.4
Sage
Group
plc
(The)
......
10,760
98,740
60.4
St
James's
Place
plc
.......
1,183
19,010
11.6
Tesco
plc
...............
18,527
62,942
38.5
United
Utilities
Group
plc
....
5,012
72,025
44.1
Whitbread
plc
............
673
23,492
14.4
WPP
plc
...............
20,206
251,865
154.1
2,430,088
United
States
3M
Co.
................
316
45,574
27.9
A
O
Smith
Corp.
..........
861
50,308
30.8
ABIOMED,
Inc.
...........
184
52,731
32.3
Accenture
plc,
Class
A
......
154
46,255
28.3
Adobe,
Inc.
.............
1,064
421,291
257.8
Advanced
Micro
Devices,
Inc.
.
1,352
115,623
70.8
Agilent
Technologies,
Inc.
....
3,505
418,041
255.9
Airbnb,
Inc.,
Class
A
.......
946
144,937
88.7
Align
Technology,
Inc.
......
147
42,617
26.1
Ally
Financial,
Inc.
.........
1,361
54,386
33.3
Amazon.com,
Inc.
.........
26
64,626
39.6
AMERCO
..............
132
70,683
43.3
American
Water
Works
Co.,
Inc.
923
142,216
87.0
Ameriprise
Financial,
Inc.
....
334
88,674
54.3
ANSYS,
Inc.
.............
66
18,196
11.1
Apple,
Inc.
..............
4,432
698,705
427.6
Applied
Materials,
Inc.
......
3,360
370,776
226.9
Archer-Daniels-Midland
Co.
..
4,975
445,561
272.7
Arista
Networks,
Inc.
.......
508
58,710
35.9
Assurant,
Inc.
............
595
108,219
66.2
Shares
Value
%
of
Basket
Value
United
States
(continued)
Autodesk,
Inc.
...........
711
$
134,578
82.4
%
Automatic
Data
Processing,
Inc.
267
58,254
35.7
Avery
Dennison
Corp.
......
705
127,323
77.9
Baker
Hughes
Co.
.........
6,423
199,241
121.9
Bank
of
New
York
Mellon
Corp.
(The)
...............
2,941
123,698
75.7
Best
Buy
Co.,
Inc.
.........
368
33,094
20.3
Booking
Holdings,
Inc.
......
30
66,309
40.6
Booz
Allen
Hamilton
Holding
Corp.
...............
948
77,385
47.4
BorgWarner,
Inc.
..........
927
34,141
20.9
Bunge
Ltd.
..............
1,352
152,938
93.6
Cadence
Design
Systems,
Inc.
5,806
875,835
536.0
Capital
One
Financial
Corp.
..
405
50,471
30.9
Cardinal
Health,
Inc.
.......
2,475
143,674
87.9
Carlyle
Group,
Inc.
(The)
....
2,352
85,354
52.2
CBRE
Group,
Inc.,
Class
A
...
284
23,583
14.4
CDW
Corp.
.............
497
81,100
49.6
Chipotle
Mexican
Grill,
Inc.
...
21
30,568
18.7
Cintas
Corp.
.............
139
55,219
33.8
Citigroup,
Inc.
............
2,274
109,630
67.1
CMS
Energy
Corp.
........
2,421
166,298
101.8
Coca-Cola
Co.
(The)
.......
1,706
110,225
67.5
Cognex
Corp.
............
817
55,254
33.8
Cognizant
Technology
Solutions
Corp.,
Class
A
.........
2,105
170,295
104.2
Colgate-Palmolive
Co.
......
2,741
211,194
129.3
ConocoPhillips
...........
1,626
155,316
95.1
Consolidated
Edison,
Inc.
....
863
80,035
49.0
Constellation
Energy
Corp.
...
957
56,664
34.7
Copart,
Inc.
.............
748
85,010
52.0
Corteva,
Inc.
............
5,872
338,756
207.3
Cummins,
Inc.
...........
1,559
294,947
180.5
CVS
Health
Corp.
.........
3,041
292,331
178.9
Darden
Restaurants,
Inc.
....
180
23,711
14.5
Dexcom,
Inc.
............
125
51,073
31.3
Diamondback
Energy,
Inc.
...
316
39,889
24.4
DocuSign,
Inc.
...........
229
18,549
11.4
Dominion
Energy,
Inc.
......
2,996
244,593
149.7
Domino's
Pizza,
Inc.
.......
169
57,122
35.0
Dover
Corp.
.............
305
40,657
24.9
DR
Horton,
Inc.
...........
369
25,679
15.7
Dropbox,
Inc.,
Class
A
......
16,467
358,157
219.2
DTE
Energy
Co.
..........
1,702
223,030
136.5
Duke
Energy
Corp.
........
1,161
127,896
78.3
DuPont
de
Nemours,
Inc.
....
3,998
263,588
161.3
eBay,
Inc.
..............
3,238
168,117
102.9
Ecolab,
Inc.
.............
437
74,002
45.3
Edison
International
........
1,016
69,891
42.8
Edwards
Lifesciences
Corp.
..
6,025
637,325
390.1
Electronic
Arts,
Inc.
........
1,849
218,274
133.6
Eli
Lilly
&
Co.
............
394
115,099
70.4
Emerson
Electric
Co.
.......
1,271
114,619
70.1
EOG
Resources,
Inc.
.......
776
90,606
55.5
Equifax,
Inc.
.............
115
23,405
14.3
Equitable
Holdings,
Inc.
.....
2,574
74,208
45.4
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
803
212,040
129.8
Eversource
Energy
........
664
58,034
35.5
Exelon
Corp.
............
5,435
254,249
155.6
Expedia
Group,
Inc.
........
396
69,201
42.4
Expeditors
International
of
Washington,
Inc.
........
3,080
305,136
186.7
FactSet
Research
Systems,
Inc.
265
106,925
65.4
Fair
Isaac
Corp.
..........
424
158,368
96.9
BlackRock
Total
Factor
Fund
12
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Fastenal
Co.
............
1,082
$
59,845
36.6
%
FedEx
Corp.
............
737
146,471
89.6
Ferguson
plc
............
861
108,012
66.1
First
Republic
Bank
........
188
28,053
17.2
FMC
Corp.
..............
175
23,195
14.2
Fortinet,
Inc.
.............
305
88,148
53.9
Fortive
Corp.
............
2,770
159,275
97.5
Fortune
Brands
Home
&
Security,
Inc.
.................
755
53,794
32.9
Garmin
Ltd.
.............
3,325
364,886
223.3
Genuine
Parts
Co.
........
1,422
184,931
113.2
Gilead
Sciences,
Inc.
.......
4,025
238,844
146.2
Hartford
Financial
Services
Group,
Inc.
(The)
.......
678
47,413
29.0
Henry
Schein,
Inc.
.........
464
37,630
23.0
Hershey
Co.
(The)
........
1,870
422,190
258.4
Hewlett
Packard
Enterprise
Co.
4,179
64,398
39.4
Hologic,
Inc.
.............
1,745
125,623
76.9
Home
Depot,
Inc.
(The)
.....
111
33,344
20.4
HP,
Inc.
................
1,856
67,985
41.6
HubSpot,
Inc.
............
56
21,248
13.0
IDEX
Corp.
.............
109
20,690
12.7
IDEXX
Laboratories,
Inc.
....
671
288,852
176.8
Illinois
Tool
Works,
Inc.
......
2,204
434,430
265.9
Incyte
Corp.
.............
2,166
162,363
99.4
Intel
Corp.
..............
7,706
335,905
205.6
Intercontinental
Exchange,
Inc.
215
24,899
15.2
Interpublic
Group
of
Cos.,
Inc.
(The)
...............
4,640
151,357
92.6
Intuit,
Inc.
..............
860
360,125
220.4
Invesco
Ltd.
.............
1,068
19,630
12.0
Jacobs
Engineering
Group,
Inc.
472
65,396
40.0
James
Hardie
Industries
plc,
CDI
................
11,251
324,347
198.5
JB
Hunt
Transport
Services,
Inc.
2,051
350,413
214.5
Johnson
&
Johnson
........
128
23,099
14.1
Johnson
Controls
International
plc
.................
2,506
150,034
91.8
JPMorgan
Chase
&
Co.
.....
405
48,341
29.6
Juniper
Networks,
Inc.
......
5,961
187,891
115.0
Keysight
Technologies,
Inc.
...
2,666
373,960
228.9
KLA
Corp.
..............
385
122,915
75.2
Knight-Swift
Transportation
Holdings,
Inc.
..........
2,034
97,408
59.6
Kroger
Co.
(The)
..........
437
23,581
14.4
Laboratory
Corp.
of
America
Holdings
.............
278
66,798
40.9
Lam
Research
Corp.
.......
439
204,469
125.1
Lennar
Corp.,
Class
A
......
41
3,136
1.9
Lennox
International,
Inc.
....
216
46,049
28.2
LKQ
Corp.
..............
2,508
124,472
76.2
Lowe's
Cos.,
Inc.
.........
244
48,246
29.5
Lyft,
Inc.,
Class
A
.........
3,283
107,026
65.5
Marathon
Petroleum
Corp.
...
2,438
212,740
130.2
Masco
Corp.
............
383
20,180
12.3
Masimo
Corp.
............
650
73,431
44.9
McDonald's
Corp.
.........
613
152,735
93.5
Merck
&
Co.,
Inc.
.........
2,448
217,113
132.9
MetLife,
Inc.
.............
12,321
809,243
495.3
Mettler-Toledo
International,
Inc.
123
157,136
96.2
Microsoft
Corp.
...........
1,168
324,143
198.4
Molina
Healthcare,
Inc.
.....
847
265,492
162.5
Monolithic
Power
Systems,
Inc.
144
56,483
34.6
Moody's
Corp.
...........
68
21,521
13.2
NetApp,
Inc.
.............
4,242
310,727
190.2
Shares
Value
%
of
Basket
Value
United
States
(continued)
Newmont
Corp.
..........
737
$
53,690
32.9
%
News
Corp.,
Class
A
.......
3,213
63,810
39.1
NIKE,
Inc.,
Class
B
........
725
90,408
55.3
NiSource,
Inc.
...........
1,570
45,718
28.0
Nordson
Corp.
...........
234
50,471
30.9
Northern
Trust
Corp.
.......
818
84,295
51.6
Nucor
Corp.
.............
143
22,134
13.5
NVIDIA
Corp.
............
1,182
219,226
134.2
NVR,
Inc.
...............
18
78,772
48.2
Old
Dominion
Freight
Line,
Inc.
367
102,804
62.9
ONEOK,
Inc.
............
6,304
399,232
244.3
O'Reilly
Automotive,
Inc.
....
22
13,344
8.2
Otis
Worldwide
Corp.
.......
2,828
205,992
126.1
Owens
Corning
...........
386
35,099
21.5
Palo
Alto
Networks,
Inc.
.....
189
106,082
64.9
Pentair
plc
..............
737
37,403
22.9
PepsiCo,
Inc.
............
615
105,602
64.6
Philip
Morris
International,
Inc.
429
42,900
26.3
Phillips
66
..............
1,461
126,756
77.6
Pinterest,
Inc.,
Class
A
......
4,405
90,391
55.3
Pool
Corp.
..............
465
188,427
115.3
Principal
Financial
Group,
Inc.
.
576
39,249
24.0
Procter
&
Gamble
Co.
(The)
..
1,835
294,609
180.3
Prudential
Financial,
Inc.
....
714
77,476
47.4
Public
Service
Enterprise
Group,
Inc.
.................
2,269
158,059
96.7
PulteGroup,
Inc.
..........
461
19,251
11.8
QUALCOMM,
Inc.
.........
1,367
190,956
116.9
Regeneron
Pharmaceuticals,
Inc.
.................
90
59,320
36.3
RingCentral,
Inc.,
Class
A
....
297
25,200
15.4
Robert
Half
International,
Inc.
.
1,121
110,206
67.4
Roku,
Inc.
..............
1
93
0.1
Schlumberger
NV
.........
15,431
601,963
368.4
Seagate
Technology
Holdings
plc
.................
318
26,089
16.0
Sealed
Air
Corp.
..........
1,992
127,906
78.3
Sempra
Energy
..........
1,154
186,209
114.0
ServiceNow,
Inc.
..........
670
320,327
196.0
Starbucks
Corp.
..........
2,326
173,613
106.3
State
Street
Corp.
.........
327
21,899
13.4
Steel
Dynamics,
Inc.
.......
2,001
171,586
105.0
Stellantis
NV
............
10,184
136,727
83.7
SVB
Financial
Group
.......
401
195,544
119.7
Synchrony
Financial
.......
1,158
42,626
26.1
Synopsys,
Inc.
...........
967
277,326
169.7
Target
Corp.
.............
489
111,810
68.4
Texas
Instruments,
Inc.
.....
795
135,349
82.8
Travelers
Cos.,
Inc.
(The)
....
117
20,014
12.2
Trimble,
Inc.
.............
2,585
172,420
105.5
Tyson
Foods,
Inc.,
Class
A
...
1,192
111,047
68.0
Uber
Technologies,
Inc.
.....
1,928
60,693
37.1
UGI
Corp.
..............
7,438
255,123
156.1
Ulta
Beauty,
Inc.
..........
267
105,946
64.8
United
Parcel
Service,
Inc.,
Class
B
..................
314
56,514
34.6
United
Rentals,
Inc.
........
185
58,556
35.8
Vail
Resorts,
Inc.
..........
831
211,207
129.3
Valero
Energy
Corp.
.......
374
41,694
25.5
Veeva
Systems,
Inc.,
Class
A
.
759
138,100
84.5
VeriSign,
Inc.
............
396
70,761
43.3
Verizon
Communications,
Inc.
.
6,369
294,885
180.5
Vertex
Pharmaceuticals,
Inc.
..
531
145,080
88.8
VMware,
Inc.,
Class
A
......
1,477
159,575
97.7
Waters
Corp.
............
426
129,087
79.0
BlackRock
Total
Factor
Fund
13
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Workday,
Inc.,
Class
A
......
324
$
66,971
41.0
%
WW
Grainger,
Inc.
.........
242
121,007
74.1
Zebra
Technologies
Corp.,
Class
A
..................
361
133,447
81.7
29,240,429
Preferred
Securities
Germany
Henkel
AG
&
Co.
KGaA
(Preference)
..........
943
60,551
37.1
Total
Reference
Entity
—
Long
............
51,951,107
Reference
Entity
—
Short
Common
Stocks
Australia
APA
Group
..............
(14,187)
(113,994)
(69.8)
BHP
Group
plc
...........
(753)
(25,235)
(15.4)
Commonwealth
Bank
of
Australia
.............
(2,349)
(170,734)
(104.5)
Computershare
Ltd.
........
(1,566)
(27,609)
(16.9)
Crown
Resorts
Ltd.
........
(9,889)
(89,536)
(54.8)
CSL
Ltd.
...............
(127)
(24,238)
(14.8)
Domino's
Pizza
Enterprises
Ltd.
(3,255)
(170,631)
(104.4)
Evolution
Mining
Ltd.
.......
(26,493)
(74,965)
(45.9)
Glencore
plc
............
(9,839)
(60,625)
(37.1)
National
Australia
Bank
Ltd.
..
(3,956)
(90,310)
(55.3)
Newcrest
Mining
Ltd.
.......
(6,199)
(116,413)
(71.2)
Northern
Star
Resources
Ltd.
.
(12,190)
(83,791)
(51.3)
Ramsay
Health
Care
Ltd.
....
(2,442)
(138,577)
(84.8)
Reece
Ltd.
..............
(1,378)
(16,742)
(10.2)
Santos
Ltd.
.............
(4,895)
(27,354)
(16.7)
Telstra
Corp.
Ltd.
.........
(12,654)
(35,920)
(22.0)
Transurban
Group
.........
(16,959)
(170,296)
(104.2)
Westpac
Banking
Corp.
.....
(13,776)
(230,610)
(141.1)
WiseTech
Global
Ltd.
.......
(282)
(8,743)
(5.3)
Woolworths
Group
Ltd.
.....
(8,376)
(226,596)
(138.7)
(1,902,919)
Austria
Erste
Group
Bank
AG
......
(1,118)
(34,810)
(21.3)
Belgium
Anheuser-Busch
InBev
SA/NV
(4,302)
(247,535)
(151.5)
Etablissements
Franz
Colruyt
NV
.................
(3,817)
(140,163)
(85.8)
Sofina
SA
..............
(99)
(30,339)
(18.6)
(418,037)
Brazil
MercadoLibre,
Inc.
........
(40)
(38,945)
(23.8)
Yara
International
ASA
......
(1,175)
(59,747)
(36.6)
(98,692)
China
Budweiser
Brewing
Co.
APAC
Ltd.
................
(58,000)
(144,315)
(88.3)
Futu
Holdings
Ltd.,
ADR
.....
(3,902)
(124,825)
(76.4)
NXP
Semiconductors
NV
....
(133)
(22,730)
(13.9)
(291,870)
Denmark
Ambu
A/S,
Class
B
........
(3,910)
(51,465)
(31.5)
Chr
Hansen
Holding
A/S
....
(1,164)
(90,687)
(55.5)
Demant
A/S
.............
(1,412)
(62,048)
(38.0)
GN
Store
Nord
A/S
........
(2,271)
(85,230)
(52.2)
Orsted
A/S
..............
(324)
(35,844)
(21.9)
Shares
Value
%
of
Basket
Value
Denmark
(continued)
ROCKWOOL
A/S,
Class
B
...
(85)
$
(23,773)
(14.5)
%
(349,047)
Finland
Fortum
OYJ
.............
(13,732)
(228,306)
(139.7)
Kone
OYJ,
Class
B
........
(263)
(12,645)
(7.8)
(240,951)
France
Accor
SA
...............
(10,838)
(356,068)
(217.9)
Adevinta
ASA
............
(5,256)
(40,605)
(24.8)
Aeroports
de
Paris
........
(1,512)
(213,872)
(130.9)
Air
Liquide
SA
...........
(1,312)
(226,987)
(138.9)
Airbus
SE
..............
(552)
(60,429)
(37.0)
Alstom
SA
..............
(2,305)
(50,665)
(31.0)
AXA
SA
................
(5,569)
(147,328)
(90.2)
Bollore
SE
..............
(19,131)
(89,273)
(54.6)
Bouygues
SA
............
(3,187)
(109,580)
(67.1)
Cie
Generale
des
Etablissements
Michelin
SCA
..........
(735)
(91,037)
(55.7)
Edenred
...............
(526)
(26,417)
(16.2)
Electricite
de
France
SA
.....
(11,641)
(105,829)
(64.8)
EssilorLuxottica
SA
........
(409)
(69,631)
(42.6)
Faurecia
SE
.............
(7,656)
(166,426)
(101.9)
Remy
Cointreau
SA
........
(265)
(52,532)
(32.1)
Renault
SA
.............
(4,297)
(104,991)
(64.3)
Sartorius
Stedim
Biotech
....
(43)
(14,071)
(8.6)
TotalEnergies
SE
.........
(11,232)
(551,525)
(337.5)
Ubisoft
Entertainment
SA
....
(345)
(15,599)
(9.5)
Veolia
Environnement
SA
....
(1,678)
(48,958)
(30.0)
Vinci
SA
...............
(402)
(39,008)
(23.9)
Worldline
SA/France
.......
(1,349)
(53,075)
(32.5)
(2,633,906)
Germany
adidas
AG
..............
(533)
(107,484)
(65.8)
Aroundtown
SA
...........
(4,277)
(21,507)
(13.2)
BASF
SE
...............
(692)
(36,443)
(22.3)
Continental
AG
...........
(1,847)
(126,595)
(77.5)
Deutsche
Lufthansa
AG
(Registered)
...........
(13,248)
(98,559)
(60.3)
Deutsche
Telekom
AG
(Registered)
...........
(9,958)
(183,438)
(112.3)
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(1,287)
(80,035)
(49.0)
Hannover
Rueck
SE
.......
(253)
(39,324)
(24.1)
LANXESS
AG
...........
(1,371)
(52,997)
(32.4)
Merck
KGaA
............
(105)
(19,480)
(11.9)
RWE
AG
...............
(4,265)
(177,080)
(108.4)
Scout24
SE
.............
(1,053)
(66,601)
(40.8)
Siemens
Energy
AG
.......
(2,055)
(39,584)
(24.2)
Siemens
Healthineers
AG
....
(1,051)
(56,197)
(34.4)
Telefonica
Deutschland
Holding
AG
.................
(53,777)
(161,736)
(99.0)
United
Internet
AG
(Registered),
Class
G
..............
(1,434)
(46,133)
(28.2)
Zalando
SE
.............
(3,143)
(123,665)
(75.7)
(1,436,858)
Hong
Kong
CK
Infrastructure
Holdings
Ltd.
(32,500)
(218,511)
(133.7)
HK
Electric
Investments
&
HK
Electric
Investments
Ltd.
..
(195,500)
(193,084)
(118.2)
HKT
Trust
&
HKT
Ltd.
......
(104,000)
(149,234)
(91.3)
Jardine
Matheson
Holdings
Ltd.
(2,100)
(111,573)
(68.3)
BlackRock
Total
Factor
Fund
14
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Hong
Kong
(continued)
Melco
Resorts
&
Entertainment
Ltd.,
ADR
............
(8,443)
$
(48,294)
(29.6)
%
(720,696)
Ireland
AerCap
Holdings
NV
.......
(2,040)
(95,289)
(58.3)
Kingspan
Group
plc
........
(1,038)
(96,624)
(59.1)
(191,913)
Israel
Teva
Pharmaceutical
Industries
Ltd.,
ADR
............
(2,601)
(22,655)
(13.9)
Wix.com
Ltd.
............
(174)
(13,130)
(8.0)
(35,785)
Italy
Infrastrutture
Wireless
Italiane
SpA
................
(5,248)
(55,998)
(34.3)
Nexi
SpA
...............
(3,140)
(30,797)
(18.9)
(86,795)
Japan
Aeon
Co.
Ltd.
............
(3,800)
(72,220)
(44.2)
ANA
Holdings,
Inc.
........
(1,600)
(30,161)
(18.5)
Asahi
Group
Holdings
Ltd.
...
(800)
(30,154)
(18.5)
Bandai
Namco
Holdings,
Inc.
.
(1,700)
(115,095)
(70.4)
Benefit
One,
Inc.
..........
(1,200)
(18,195)
(11.1)
Canon,
Inc.
.............
(2,400)
(55,222)
(33.8)
Central
Japan
Railway
Co.
...
(2,200)
(276,947)
(169.5)
Chubu
Electric
Power
Co.,
Inc.
(5,800)
(58,551)
(35.8)
Cosmos
Pharmaceutical
Corp.
(300)
(27,656)
(16.9)
Daiichi
Sankyo
Co.
Ltd.
.....
(1,100)
(27,697)
(17.0)
Daikin
Industries
Ltd.
.......
(200)
(30,564)
(18.7)
East
Japan
Railway
Co.
.....
(2,700)
(140,796)
(86.2)
Fast
Retailing
Co.
Ltd.
......
(400)
(184,162)
(112.7)
GMO
Payment
Gateway,
Inc.
.
(1,600)
(134,240)
(82.2)
Hikari
Tsushin,
Inc.
........
(100)
(11,709)
(7.2)
Iida
Group
Holdings
Co.
Ltd.
..
(1,800)
(28,628)
(17.5)
Inpex
Corp.
.............
(9,200)
(109,463)
(67.0)
Itochu
Techno-Solutions
Corp.
.
(1,000)
(23,416)
(14.3)
Japan
Exchange
Group,
Inc.
..
(900)
(13,401)
(8.2)
Japan
Post
Bank
Co.
Ltd.
....
(15,300)
(115,428)
(70.6)
Japan
Post
Holdings
Co.
Ltd.
.
(4,200)
(29,450)
(18.0)
JFE
Holdings,
Inc.
.........
(7,900)
(96,607)
(59.1)
Keio
Corp.
..............
(1,700)
(65,199)
(39.9)
Keisei
Electric
Railway
Co.
Ltd.
(600)
(14,712)
(9.0)
Keyence
Corp.
...........
(500)
(201,002)
(123.0)
Kobayashi
Pharmaceutical
Co.
Ltd.
................
(300)
(20,458)
(12.5)
Kobe
Bussan
Co.
Ltd.
......
(7,300)
(177,969)
(108.9)
Koei
Tecmo
Holdings
Co.
Ltd.
.
(5,750)
(176,324)
(107.9)
Koito
Manufacturing
Co.
Ltd.
..
(400)
(14,678)
(9.0)
Kose
Corp.
.............
(1,500)
(153,992)
(94.2)
Kubota
Corp.
............
(16,100)
(273,518)
(167.4)
Kurita
Water
Industries
Ltd.
...
(600)
(20,470)
(12.5)
Lasertec
Corp.
...........
(1,000)
(133,601)
(81.8)
Lion
Corp.
..............
(1,200)
(12,364)
(7.6)
M3,
Inc.
................
(700)
(22,354)
(13.7)
Makita
Corp.
............
(2,400)
(70,936)
(43.4)
Mercari,
Inc.
.............
(3,700)
(60,633)
(37.1)
MISUMI
Group,
Inc.
........
(900)
(22,567)
(13.8)
Mitsubishi
Corp.
..........
(4,000)
(134,302)
(82.2)
Mitsubishi
HC
Capital,
Inc.
...
(7,300)
(32,846)
(20.1)
Mitsubishi
UFJ
Financial
Group,
Inc.
.................
(22,100)
(128,476)
(78.6)
Mitsui
&
Co.
Ltd.
..........
(1,000)
(24,216)
(14.8)
Shares
Value
%
of
Basket
Value
Japan
(continued)
Mitsui
Fudosan
Co.
Ltd.
.....
(2,500)
$
(52,984)
(32.4)
%
Mitsui
OSK
Lines
Ltd.
......
(900)
(21,070)
(12.9)
Nexon
Co.
Ltd.
...........
(4,100)
(93,362)
(57.1)
Nidec
Corp.
.............
(1,200)
(77,579)
(47.5)
Nihon
M&A
Center
Holdings,
Inc.
.................
(4,400)
(54,181)
(33.2)
Nintendo
Co.
Ltd.
.........
(300)
(136,917)
(83.8)
Nippon
Paint
Holdings
Co.
Ltd.
(2,600)
(20,595)
(12.6)
Nippon
Sanso
Holdings
Corp.
.
(6,700)
(120,570)
(73.8)
Nippon
Shinyaku
Co.
Ltd.
....
(500)
(33,817)
(20.7)
Nippon
Steel
Corp.
........
(1,300)
(20,642)
(12.6)
NTT
Data
Corp.
..........
(4,500)
(82,971)
(50.8)
Obic
Co.
Ltd.
............
(600)
(88,644)
(54.3)
Odakyu
Electric
Railway
Co.
Ltd.
(10,600)
(160,516)
(98.2)
Oji
Holdings
Corp.
.........
(3,600)
(17,053)
(10.4)
Open
House
Group
Co.
Ltd.
..
(1,600)
(61,911)
(37.9)
Oracle
Corp.
Japan
........
(800)
(51,409)
(31.5)
Otsuka
Corp.
............
(5,200)
(170,415)
(104.3)
Pola
Orbis
Holdings,
Inc.
....
(11,400)
(131,432)
(80.4)
Rakuten
Group,
Inc.
.......
(9,500)
(66,784)
(40.9)
Renesas
Electronics
Corp.
...
(6,500)
(69,407)
(42.5)
Ryohin
Keikaku
Co.
Ltd.
.....
(4,300)
(38,645)
(23.7)
SBI
Holdings,
Inc.
.........
(1,100)
(24,604)
(15.1)
SCSK
Corp.
.............
(3,600)
(57,234)
(35.0)
Seven
&
i
Holdings
Co.
Ltd.
..
(1,600)
(70,747)
(43.3)
Shimizu
Corp.
...........
(8,200)
(42,998)
(26.3)
Shin-Etsu
Chemical
Co.
Ltd.
..
(800)
(109,948)
(67.3)
Shiseido
Co.
Ltd.
.........
(1,300)
(61,453)
(37.6)
SoftBank
Corp.
...........
(12,500)
(145,473)
(89.0)
SoftBank
Group
Corp.
......
(3,700)
(152,182)
(93.1)
Square
Enix
Holdings
Co.
Ltd.
.
(1,500)
(59,889)
(36.7)
SUMCO
Corp.
...........
(6,300)
(90,731)
(55.5)
Sumitomo
Electric
Industries
Ltd.
................
(25,200)
(270,921)
(165.8)
Takeda
Pharmaceutical
Co.
Ltd.
(9,900)
(287,264)
(175.8)
TIS,
Inc.
...............
(7,100)
(159,462)
(97.6)
Tobu
Railway
Co.
Ltd.
......
(3,500)
(78,674)
(48.2)
Toho
Co.
Ltd.
............
(1,600)
(59,372)
(36.3)
Tokyo
Century
Corp.
.......
(600)
(18,481)
(11.3)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
..........
(27,300)
(94,233)
(57.7)
Tokyu
Corp.
.............
(4,800)
(58,698)
(35.9)
Toyota
Motor
Corp.
........
(2,600)
(44,548)
(27.3)
Tsuruha
Holdings,
Inc.
......
(800)
(40,886)
(25.0)
Unicharm
Corp.
..........
(1,000)
(34,792)
(21.3)
Welcia
Holdings
Co.
Ltd.
....
(5,500)
(112,745)
(69.0)
West
Japan
Railway
Co.
....
(3,600)
(133,628)
(81.8)
Z
Holdings
Corp.
..........
(7,900)
(31,014)
(19.0)
(7,201,260)
Jordan
Hikma
Pharmaceuticals
plc
...
(2,453)
(57,622)
(35.3)
Luxembourg
ArcelorMittal
SA
..........
(2,758)
(80,417)
(49.2)
Eurofins
Scientific
SE
......
(188)
(17,472)
(10.7)
(97,889)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
(4,692)
(58,327)
(35.7)
Akzo
Nobel
NV
...........
(224)
(19,431)
(11.9)
Argenx
SE
..............
(296)
(85,280)
(52.2)
ASM
International
NV
......
(204)
(61,300)
(37.5)
Euronext
NV
............
(1,573)
(126,032)
(77.1)
ING
Groep
NV
...........
(7,931)
(75,140)
(46.0)
JDE
Peet's
NV
...........
(5,023)
(147,772)
(90.4)
BlackRock
Total
Factor
Fund
15
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Netherlands
(continued)
Universal
Music
Group
NV
...
(11,954)
$
(277,410)
(169.8)
%
(850,692)
New
Zealand
Ryman
Healthcare
Ltd.
.....
(4,658)
(27,567)
(16.9)
Xero
Ltd.
...............
(1,064)
(70,162)
(42.9)
(97,729)
Norway
Equinor
ASA
............
(2,374)
(80,240)
(49.1)
Gjensidige
Forsikring
ASA
...
(1,266)
(27,066)
(16.6)
Schibsted
ASA,
Class
A
.....
(425)
(8,857)
(5.4)
(116,163)
Saudi
Arabia
Delivery
Hero
SE
.........
(561)
(19,721)
(12.1)
Singapore
Grab
Holdings
Ltd.,
Class
A
..
(9,466)
(27,925)
(17.1)
Keppel
Corp.
Ltd.
.........
(47,800)
(235,740)
(144.3)
Singapore
Exchange
Ltd.
....
(30,500)
(214,608)
(131.3)
Venture
Corp.
Ltd.
.........
(12,800)
(157,132)
(96.2)
(635,405)
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
.........
(987)
(25,272)
(15.5)
Aena
SME
SA
...........
(613)
(86,991)
(53.2)
Amadeus
IT
Group
SA
......
(619)
(38,788)
(23.7)
CaixaBank
SA
...........
(17,870)
(57,683)
(35.3)
Cellnex
Telecom
SA
.......
(6,515)
(303,666)
(185.9)
EDP
Renovaveis
SA
.......
(2,882)
(68,209)
(41.8)
Ferrovial
SA
.............
(1,588)
(40,723)
(24.9)
Grifols
SA
..............
(11,414)
(191,170)
(117.0)
Naturgy
Energy
Group
SA
...
(365)
(10,980)
(6.7)
Telefonica
SA
............
(33,448)
(162,713)
(99.6)
(986,195)
Sweden
Atlas
Copco
AB,
Class
A
....
(1,726)
(78,251)
(47.9)
Electrolux
AB,
Class
B
......
(3,041)
(46,377)
(28.4)
Embracer
Group
AB
.......
(9,210)
(61,560)
(37.7)
EQT
AB
................
(2,573)
(72,821)
(44.6)
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(10,344)
(130,221)
(79.7)
Hexagon
AB,
Class
B
......
(3,797)
(48,992)
(30.0)
Nibe
Industrier
AB,
Class
B
...
(8,260)
(80,984)
(49.6)
Securitas
AB,
Class
B
......
(4,853)
(57,298)
(35.1)
Sinch
AB
...............
(5,286)
(23,361)
(14.3)
Skandinaviska
Enskilda
Banken
AB,
Class
A
...........
(5,472)
(61,364)
(37.5)
(661,229)
Switzerland
ABB
Ltd.
(Registered)
......
(13,217)
(396,536)
(242.7)
Bachem
Holding
AG
(Registered),
Class
B
....
(98)
(42,762)
(26.2)
Barry
Callebaut
AG
(Registered)
(39)
(89,761)
(54.9)
Cie
Financiere
Richemont
SA
.
(161)
(18,707)
(11.5)
Credit
Suisse
Group
AG
(Registered)
...........
(15,951)
(108,265)
(66.3)
EMS-Chemie
Holding
AG
(Registered)
...........
(68)
(60,664)
(37.1)
Logitech
International
SA
(Registered)
...........
(730)
(47,507)
(29.1)
Lonza
Group
AG
(Registered)
.
(285)
(168,046)
(102.8)
Partners
Group
Holding
AG
..
(37)
(39,201)
(24.0)
Shares
Value
%
of
Basket
Value
Switzerland
(continued)
Sika
AG
(Registered)
.......
(725)
$
(221,457)
(135.5)
%
Sonova
Holding
AG
(Registered)
(101)
(36,423)
(22.3)
Swiss
Prime
Site
AG
(Registered)
...........
(485)
(47,406)
(29.0)
TE
Connectivity
Ltd.
.......
(1,102)
(137,508)
(84.2)
VAT
Group
AG
...........
(99)
(30,622)
(18.7)
(1,444,865)
Taiwan
Sea
Ltd.,
ADR
...........
(2,075)
(171,727)
(105.1)
United
Kingdom
Admiral
Group
plc
.........
(878)
(27,637)
(16.9)
AstraZeneca
plc
..........
(1,529)
(204,032)
(124.9)
AVEVA
Group
plc
.........
(3,813)
(102,478)
(62.7)
BT
Group
plc
............
(76,213)
(169,009)
(103.4)
Halma
plc
..............
(3,850)
(118,178)
(72.3)
Hargreaves
Lansdown
plc
...
(3,701)
(42,370)
(25.9)
Liberty
Global
plc,
Class
C
...
(4,532)
(107,408)
(65.7)
Linde
plc
...............
(109)
(34,004)
(20.8)
M&G
plc
...............
(29,929)
(79,460)
(48.6)
Melrose
Industries
plc
......
(30,050)
(43,666)
(26.7)
National
Grid
plc
..........
(7,051)
(104,757)
(64.1)
NatWest
Group
plc
........
(34,522)
(92,615)
(56.7)
Ocado
Group
plc
.........
(5,151)
(58,910)
(36.1)
Pearson
plc
.............
(3,194)
(31,013)
(19.0)
Phoenix
Group
Holdings
plc
..
(27,440)
(207,842)
(127.2)
Prudential
plc
............
(4,338)
(54,001)
(33.1)
Rentokil
Initial
plc
.........
(15,003)
(103,045)
(63.1)
Rolls-Royce
Holdings
plc
....
(55,809)
(57,213)
(35.0)
Smith
&
Nephew
plc
.......
(1,395)
(22,611)
(13.8)
Spirax-Sarco
Engineering
plc
.
(273)
(41,194)
(25.2)
SSE
plc
................
(18,143)
(421,386)
(257.9)
Unilever
plc
.............
(5,479)
(254,719)
(155.9)
(2,377,548)
United
States
Abbott
Laboratories
........
(236)
(26,786)
(16.4)
Affirm
Holdings,
Inc.
.......
(3,824)
(109,749)
(67.2)
Aflac,
Inc.
..............
(1,325)
(75,896)
(46.5)
Air
Products
and
Chemicals,
Inc.
(2,351)
(550,299)
(336.8)
Albemarle
Corp.
..........
(227)
(43,772)
(26.8)
Allegion
plc
.............
(629)
(71,857)
(44.0)
Allstate
Corp.
(The)
........
(969)
(122,617)
(75.0)
AMC
Entertainment
Holdings,
Inc.,
Class
A
...........
(3,493)
(53,443)
(32.7)
Amcor
plc
..............
(8,652)
(102,613)
(62.8)
Ameren
Corp.
............
(3,574)
(332,025)
(203.2)
American
Electric
Power
Co.,
Inc.
.................
(1,311)
(129,933)
(79.5)
AmerisourceBergen
Corp.
...
(213)
(32,225)
(19.7)
AMETEK,
Inc.
...........
(902)
(113,887)
(69.7)
Amphenol
Corp.,
Class
A
....
(4,121)
(294,652)
(180.3)
Analog
Devices,
Inc.
.......
(1,501)
(231,724)
(141.8)
Anthem,
Inc.
............
(235)
(117,954)
(72.2)
Apollo
Global
Management,
Inc.
(3,646)
(181,425)
(111.0)
Aptiv
plc
...............
(937)
(99,697)
(61.0)
Aramark
...............
(2,734)
(99,108)
(60.7)
Arthur
J
Gallagher
&
Co.
....
(1,257)
(211,792)
(129.6)
AT&T,
Inc.
..............
(507)
(9,562)
(5.9)
Avalara,
Inc.
.............
(1,347)
(102,466)
(62.7)
Avantor,
Inc.
.............
(952)
(30,350)
(18.6)
Ball
Corp.
..............
(453)
(36,765)
(22.5)
Bank
of
America
Corp.
......
(2,270)
(80,994)
(49.6)
Baxter
International,
Inc.
....
(609)
(43,276)
(26.5)
Becton
Dickinson
and
Co.
...
(548)
(135,460)
(82.9)
BlackRock
Total
Factor
Fund
16
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Bentley
Systems,
Inc.,
Class
B
(1,809)
$
(76,684)
(46.9)
%
Berkshire
Hathaway,
Inc.,
Class
B
..................
(173)
(55,850)
(34.2)
Bill.com
Holdings,
Inc.
......
(682)
(116,424)
(71.3)
BioMarin
Pharmaceutical,
Inc.
.
(1,451)
(118,039)
(72.2)
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(311)
(159,251)
(97.5)
Bio-Techne
Corp.
.........
(179)
(67,965)
(41.6)
Black
Knight,
Inc.
.........
(392)
(25,790)
(15.8)
Blackstone,
Inc.
..........
(682)
(69,271)
(42.4)
Block,
Inc.,
Class
A
........
(1,240)
(123,430)
(75.5)
Boston
Scientific
Corp.
......
(5,953)
(250,681)
(153.4)
Broadcom,
Inc.
...........
(1,103)
(611,492)
(374.2)
Brown
&
Brown,
Inc.
.......
(1,208)
(74,872)
(45.8)
Burlington
Stores,
Inc.
......
(375)
(76,335)
(46.7)
Caesars
Entertainment,
Inc.
..
(3,323)
(220,248)
(134.8)
Campbell
Soup
Co.
........
(4,578)
(216,173)
(132.3)
CarMax,
Inc.
............
(1,459)
(125,153)
(76.6)
Carnival
Corp.
...........
(12,320)
(213,136)
(130.4)
Carvana
Co.
............
(2,932)
(169,939)
(104.0)
Catalent,
Inc.
............
(605)
(54,789)
(33.5)
Centene
Corp.
...........
(667)
(53,727)
(32.9)
CenterPoint
Energy,
Inc.
....
(960)
(29,386)
(18.0)
Ceridian
HCM
Holding,
Inc.
..
(2,753)
(154,526)
(94.6)
CF
Industries
Holdings,
Inc.
..
(571)
(55,290)
(33.8)
CH
Robinson
Worldwide,
Inc.
.
(305)
(32,376)
(19.8)
Charles
Schwab
Corp.
(The)
..
(1,634)
(108,383)
(66.3)
Charter
Communications,
Inc.,
Class
A
..............
(540)
(231,385)
(141.6)
Chevron
Corp.
...........
(521)
(81,625)
(50.0)
Chewy,
Inc.,
Class
A
.......
(1,733)
(50,361)
(30.8)
Church
&
Dwight
Co.,
Inc.
...
(3,795)
(370,240)
(226.6)
Citizens
Financial
Group,
Inc.
.
(5,833)
(229,820)
(140.7)
Clarivate
plc
.............
(10,488)
(164,452)
(100.6)
Clorox
Co.
(The)
..........
(861)
(123,528)
(75.6)
Cloudflare,
Inc.,
Class
A
.....
(1,201)
(103,454)
(63.3)
CME
Group,
Inc.
..........
(1,012)
(221,972)
(135.9)
Coinbase
Global,
Inc.,
Class
A
(901)
(101,552)
(62.2)
Conagra
Brands,
Inc.
.......
(1,505)
(52,570)
(32.2)
Constellation
Brands,
Inc.,
Class
A
..................
(1,017)
(250,274)
(153.2)
Cooper
Cos.,
Inc.
(The)
.....
(147)
(53,073)
(32.5)
Corning,
Inc.
............
(2,385)
(83,928)
(51.4)
CoStar
Group,
Inc.
........
(1,400)
(89,068)
(54.5)
Costco
Wholesale
Corp.
.....
(150)
(79,758)
(48.8)
Crowdstrike
Holdings,
Inc.,
Class
A
..................
(186)
(36,969)
(22.6)
Crown
Holdings,
Inc.
.......
(2,504)
(275,540)
(168.6)
CyberArk
Software
Ltd.
.....
(211)
(33,157)
(20.3)
Danaher
Corp.
...........
(307)
(77,097)
(47.2)
Datadog,
Inc.,
Class
A
......
(515)
(62,202)
(38.1)
DaVita,
Inc.
.............
(203)
(21,999)
(13.5)
DISH
Network
Corp.,
Class
A
.
(5,747)
(163,847)
(100.3)
Dollar
General
Corp.
.......
(1,565)
(371,734)
(227.5)
Dollar
Tree,
Inc.
..........
(985)
(160,013)
(97.9)
DraftKings
Holdings,
Inc.,
Class
A
..................
(4,459)
(60,999)
(37.3)
Eastman
Chemical
Co.
.....
(1,545)
(158,625)
(97.1)
Elanco
Animal
Health,
Inc.
...
(4,366)
(110,503)
(67.6)
Enphase
Energy,
Inc.
.......
(604)
(97,486)
(59.7)
Entegris,
Inc.
............
(994)
(110,722)
(67.8)
Erie
Indemnity
Co.,
Class
A
..
(1,065)
(170,698)
(104.5)
Etsy,
Inc.
...............
(445)
(41,470)
(25.4)
Evergy,
Inc.
.............
(1,971)
(133,732)
(81.8)
Exact
Sciences
Corp.
......
(3,194)
(175,830)
(107.6)
Shares
Value
%
of
Basket
Value
United
States
(continued)
F5,
Inc.
................
(117)
$
(19,587)
(12.0)
%
Fidelity
National
Information
Services,
Inc.
..........
(472)
(46,799)
(28.6)
Fifth
Third
Bancorp
........
(2,102)
(78,888)
(48.3)
First
Citizens
BancShares,
Inc.,
Class
A
..............
(91)
(58,184)
(35.6)
FirstEnergy
Corp.
.........
(1,664)
(72,068)
(44.1)
Fiserv,
Inc.
..............
(2,616)
(256,159)
(156.8)
Fiverr
International
Ltd.
.....
(1,620)
(86,265)
(52.8)
FleetCor
Technologies,
Inc.
...
(715)
(178,407)
(109.2)
Fox
Corp.,
Class
A
........
(1,838)
(65,874)
(40.3)
Generac
Holdings,
Inc.
.....
(244)
(53,529)
(32.8)
General
Electric
Co.
.......
(3,135)
(233,714)
(143.0)
Global
Payments,
Inc.
......
(628)
(86,023)
(52.6)
Globe
Life,
Inc.
...........
(2,306)
(226,172)
(138.4)
Guidewire
Software,
Inc.
....
(259)
(22,517)
(13.8)
Hasbro,
Inc.
.............
(478)
(42,093)
(25.8)
HEICO
Corp.
............
(1,732)
(244,610)
(149.7)
Hess
Corp.
.............
(513)
(52,875)
(32.4)
Hilton
Worldwide
Holdings,
Inc.
(1,553)
(241,165)
(147.6)
Honeywell
International,
Inc.
..
(840)
(162,548)
(99.5)
Hormel
Foods
Corp.
.......
(2,192)
(114,839)
(70.3)
Howmet
Aerospace,
Inc.
....
(2,276)
(77,657)
(47.5)
Huntington
Ingalls
Industries,
Inc.
.................
(220)
(46,803)
(28.6)
IAC/InterActiveCorp
........
(2,042)
(169,241)
(103.6)
International
Business
Machines
Corp.
...............
(1,874)
(247,762)
(151.6)
International
Paper
Co.
.....
(4,552)
(210,667)
(128.9)
Intuitive
Surgical,
Inc.
......
(143)
(34,220)
(20.9)
IPG
Photonics
Corp.
.......
(338)
(31,934)
(19.5)
J
M
Smucker
Co.
(The)
.....
(414)
(56,689)
(34.7)
Jack
Henry
&
Associates,
Inc.
.
(835)
(158,299)
(96.9)
Kellogg
Co.
.............
(2,434)
(166,729)
(102.0)
Kimberly-Clark
Corp.
.......
(1,806)
(250,727)
(153.5)
Kinder
Morgan,
Inc.
........
(4,900)
(88,935)
(54.4)
Las
Vegas
Sands
Corp.
.....
(10,007)
(354,548)
(217.0)
Lear
Corp.
..............
(803)
(102,736)
(62.9)
Leidos
Holdings,
Inc.
.......
(675)
(69,869)
(42.8)
Liberty
Broadband
Corp.,
Class
C
..................
(3,147)
(351,898)
(215.4)
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(1,370)
(85,392)
(52.3)
Lumen
Technologies,
Inc.
....
(2,323)
(23,369)
(14.3)
M&T
Bank
Corp.
..........
(1,295)
(215,799)
(132.1)
MarketAxess
Holdings,
Inc.
..
(286)
(75,392)
(46.1)
Marriott
International,
Inc.,
Class
A
..................
(2,927)
(519,601)
(318.0)
Marsh
&
McLennan
Cos.,
Inc.
.
(612)
(98,960)
(60.6)
Martin
Marietta
Materials,
Inc.
.
(572)
(202,614)
(124.0)
Match
Group,
Inc.
.........
(934)
(73,926)
(45.2)
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(1,272)
(127,925)
(78.3)
McKesson
Corp.
..........
(77)
(23,840)
(14.6)
Medtronic
plc
............
(1,082)
(112,918)
(69.1)
MGM
Resorts
International
...
(1,745)
(71,615)
(43.8)
Microchip
Technology,
Inc.
...
(2,599)
(169,455)
(103.7)
Mondelez
International,
Inc.,
Class
A
..............
(1,337)
(86,210)
(52.8)
Morgan
Stanley
..........
(383)
(30,866)
(18.9)
Motorola
Solutions,
Inc.
.....
(610)
(130,351)
(79.8)
Nasdaq,
Inc.
............
(163)
(25,651)
(15.7)
Newell
Brands,
Inc.
........
(4,002)
(92,646)
(56.7)
NextEra
Energy,
Inc.
.......
(429)
(30,468)
(18.6)
Norfolk
Southern
Corp.
.....
(269)
(69,370)
(42.5)
BlackRock
Total
Factor
Fund
17
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Novavax,
Inc.
............
(266)
$
(11,989)
(7.3)
%
NRG
Energy,
Inc.
.........
(1,301)
(46,706)
(28.6)
Occidental
Petroleum
Corp.
..
(3,237)
(178,326)
(109.1)
Omnicom
Group,
Inc.
.......
(1,228)
(93,488)
(57.2)
Oracle
Corp.
............
(1,154)
(84,704)
(51.8)
PACCAR,
Inc.
...........
(431)
(35,795)
(21.9)
Packaging
Corp.
of
America
..
(882)
(142,152)
(87.0)
Paramount
Global,
Class
B
...
(3,375)
(98,280)
(60.2)
Paycom
Software,
Inc.
......
(117)
(32,932)
(20.2)
PayPal
Holdings,
Inc.
......
(751)
(66,035)
(40.4)
PerkinElmer,
Inc.
.........
(348)
(51,020)
(31.2)
Plug
Power,
Inc.
..........
(5,594)
(117,586)
(72.0)
PNC
Financial
Services
Group,
Inc.
(The)
............
(928)
(154,141)
(94.3)
PPG
Industries,
Inc.
.......
(381)
(48,764)
(29.8)
PPL
Corp.
..............
(5,644)
(159,782)
(97.8)
Progressive
Corp.
(The)
.....
(567)
(60,873)
(37.3)
Quest
Diagnostics,
Inc.
.....
(276)
(36,940)
(22.6)
Republic
Services,
Inc.
.....
(4,820)
(647,181)
(396.1)
ResMed,
Inc.
............
(366)
(73,189)
(44.8)
Robinhood
Markets,
Inc.,
Class
A
..................
(8,897)
(87,235)
(53.4)
Rollins,
Inc.
.............
(673)
(22,572)
(13.8)
Roper
Technologies,
Inc.
....
(550)
(258,456)
(158.2)
Ross
Stores,
Inc.
.........
(980)
(97,775)
(59.8)
Royal
Caribbean
Cruises
Ltd.
.
(3,023)
(234,978)
(143.8)
Royalty
Pharma
plc,
Class
A
..
(2,384)
(101,511)
(62.1)
RPM
International,
Inc.
.....
(3,030)
(251,187)
(153.7)
S&P
Global,
Inc.
..........
(178)
(67,017)
(41.0)
Salesforce,
Inc.
...........
(1,122)
(197,405)
(120.8)
Seagen,
Inc.
............
(694)
(90,921)
(55.6)
SEI
Investments
Co.
.......
(1,242)
(69,204)
(42.4)
Sensata
Technologies
Holding
plc
.................
(374)
(16,983)
(10.4)
Signature
Bank
...........
(167)
(40,456)
(24.8)
Sirius
XM
Holdings,
Inc.
.....
(3,187)
(19,122)
(11.7)
Snap-on,
Inc.
............
(205)
(43,560)
(26.7)
SoFi
Technologies,
Inc.
.....
(7,558)
(46,255)
(28.3)
SolarEdge
Technologies,
Inc.
.
(313)
(78,378)
(48.0)
Southern
Co.
(The)
........
(5,224)
(383,389)
(234.6)
Southwest
Airlines
Co.
......
(1,618)
(75,593)
(46.3)
SS&C
Technologies
Holdings,
Inc.
.................
(1,452)
(93,886)
(57.5)
Stanley
Black
&
Decker,
Inc.
..
(199)
(23,910)
(14.6)
STERIS
plc
.............
(149)
(33,383)
(20.4)
Sunrun,
Inc.
.............
(10,631)
(212,407)
(130.0)
Swiss
Re
AG
............
(1,191)
(97,670)
(59.8)
Sysco
Corp.
.............
(1,175)
(100,439)
(61.5)
Take-Two
Interactive
Software,
Inc.
.................
(763)
(91,186)
(55.8)
Teladoc
Health,
Inc.
........
(1,800)
(60,768)
(37.2)
Teledyne
Technologies,
Inc.
..
(153)
(66,027)
(40.4)
Teleflex,
Inc.
.............
(255)
(72,833)
(44.6)
Tesla,
Inc.
..............
(196)
(170,669)
(104.5)
Thermo
Fisher
Scientific,
Inc.
.
(138)
(76,303)
(46.7)
TJX
Cos.,
Inc.
(The)
.......
(3,279)
(200,937)
(123.0)
T-Mobile
US,
Inc.
.........
(1,108)
(136,439)
(83.5)
Tradeweb
Markets,
Inc.,
Class
A
(300)
(21,357)
(13.1)
TransUnion
.............
(206)
(18,029)
(11.0)
Truist
Financial
Corp.
.......
(1,505)
(72,767)
(44.5)
Twilio,
Inc.,
Class
A
........
(809)
(90,462)
(55.4)
Tyler
Technologies,
Inc.
.....
(78)
(30,787)
(18.8)
Union
Pacific
Corp.
........
(131)
(30,692)
(18.8)
UnitedHealth
Group,
Inc.
....
(1,058)
(538,046)
(329.3)
Upstart
Holdings,
Inc.
......
(431)
(32,334)
(19.8)
Shares
Value
%
of
Basket
Value
United
States
(continued)
US
Bancorp
.............
(1,285)
$
(62,400)
(38.2)
%
Verisk
Analytics,
Inc.
.......
(280)
(57,134)
(35.0)
VF
Corp.
...............
(1,110)
(57,720)
(35.3)
Vimeo,
Inc.
.............
(1)
(10)
(0.0)
Visa,
Inc.,
Class
A
.........
(1,695)
(361,255)
(221.1)
Vistra
Corp.
.............
(7,305)
(182,771)
(111.9)
Vulcan
Materials
Co.
.......
(191)
(32,907)
(20.1)
Walt
Disney
Co.
(The)
......
(667)
(74,457)
(45.6)
Warner
Bros
Discovery,
Inc.
..
(4,462)
(80,985)
(49.6)
Waste
Connections,
Inc.
.....
(3,358)
(463,303)
(283.6)
Waste
Management,
Inc.
....
(3,928)
(645,920)
(395.3)
Wayfair,
Inc.,
Class
A
.......
(1,018)
(78,325)
(47.9)
WEC
Energy
Group,
Inc.
....
(316)
(31,616)
(19.4)
Wells
Fargo
&
Co.
.........
(1,009)
(44,023)
(26.9)
Western
Digital
Corp.
.......
(497)
(26,376)
(16.1)
Western
Union
Co.
(The)
....
(5,918)
(99,186)
(60.7)
Williams
Cos.,
Inc.
(The)
....
(3,418)
(117,203)
(71.7)
Willis
Towers
Watson
plc
....
(1,036)
(222,595)
(136.2)
Wynn
Resorts
Ltd.
........
(1,791)
(126,230)
(77.3)
Xylem,
Inc.
..............
(553)
(44,516)
(27.2)
Zimmer
Biomet
Holdings,
Inc.
.
(1,345)
(162,409)
(99.4)
Zoetis,
Inc.
..............
(1,030)
(182,568)
(111.7)
Zoom
Video
Communications,
Inc.,
Class
A
...........
(1,537)
(153,039)
(93.7)
ZoomInfo
Technologies,
Inc.
..
(4,961)
(235,151)
(143.9)
(28,411,928)
Preferred
Securities
Germany
Porsche
Automobil
Holding
SE
(Preference)
..........
(1,144)
(94,357)
(57.7)
Volkswagen
AG
(Preference)
.
(782)
(121,106)
(74.1)
(215,463)
Total
Reference
Entity
—
Short
............
(51,787,715)
Net
Value
of
Reference
Entity
—
Barclays
Bank
plc
................................
$
163,392
The
following
table
represents
the
individual
long
and
short
positions
and
related
values
of
equity
securities
underlying
the
total
return
swap
with
BNP
Paribas
SA,
as
of
period
end,
termination
date
December
31,
2049:
Reference
Entity
—
Long
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
......
12,354
286,642
164.3
Aurizon
Holdings
Ltd.
......
53,987
152,465
87.4
Australia
&
New
Zealand
Banking
Group
Ltd.
............
1,133
21,560
12.4
BHP
Group
Ltd.
..........
4,017
134,230
76.9
BlueScope
Steel
Ltd.
.......
4,367
62,079
35.6
Brambles
Ltd.
............
77,045
568,925
326.0
Coles
Group
Ltd.
.........
10,553
138,758
79.5
REA
Group
Ltd.
..........
2,557
229,076
131.3
Rio
Tinto
Ltd.
............
2,999
237,233
135.9
Rio
Tinto
plc
.............
869
61,400
35.2
Sonic
Healthcare
Ltd.
......
2,530
65,340
37.4
South32
Ltd.
............
7,652
25,484
14.6
Suncorp
Group
Ltd.
........
22,587
181,351
103.9
Tabcorp
Holdings
Ltd.
......
117,428
449,070
257.3
2,613,613
BlackRock
Total
Factor
Fund
18
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Austria
Mondi
plc
...............
1,280
$
24,046
13.8
%
OMV
AG
...............
7,402
378,373
216.8
Raiffeisen
Bank
International
AG
5,140
58,510
33.5
voestalpine
AG
...........
3,187
82,935
47.5
543,864
Belgium
Ageas
SA/NV
............
1,207
57,757
33.1
Groupe
Bruxelles
Lambert
SA
.
846
79,829
45.7
KBC
Group
NV
...........
1,177
80,074
45.9
Proximus
SADP
..........
12,911
225,662
129.3
UCB
SA
...............
3,975
451,849
258.9
Umicore
SA
.............
581
22,336
12.8
917,507
Brazil
Wheaton
Precious
Metals
Corp.
1,822
81,665
46.8
Canada
Alimentation
Couche-Tard,
Inc.
2,623
116,771
66.9
Bank
of
Montreal
.........
3,226
342,049
196.0
Bank
of
Nova
Scotia
(The)
...
706
44,707
25.6
Canadian
Imperial
Bank
of
Commerce
...........
1,961
216,792
124.2
Canadian
National
Railway
Co.
951
111,841
64.1
Canadian
Tire
Corp.
Ltd.,
Class
A
..................
839
115,565
66.2
Constellation
Software,
Inc.
..
270
424,944
243.5
Franco-Nevada
Corp.
......
1,087
164,389
94.2
Gildan
Activewear,
Inc.
......
604
20,466
11.7
Hydro
One
Ltd.
...........
11,122
300,679
172.3
iA
Financial
Corp.,
Inc.
......
467
24,418
14.0
Intact
Financial
Corp.
.......
663
92,752
53.1
Loblaw
Cos.
Ltd.
..........
3,889
355,736
203.8
Magna
International,
Inc.
....
2,330
140,418
80.5
Manulife
Financial
Corp.
.....
39,449
771,384
442.0
National
Bank
of
Canada
....
1,643
114,747
65.8
Onex
Corp.
.............
886
53,237
30.5
Open
Text
Corp.
..........
2,245
89,912
51.5
Parkland
Corp.
...........
3,029
86,038
49.3
Royal
Bank
of
Canada
......
3,748
378,549
216.9
Suncor
Energy,
Inc.
........
1,564
56,222
32.2
Teck
Resources
Ltd.,
Class
B
.
1,240
48,919
28.0
Thomson
Reuters
Corp.
.....
562
56,189
32.2
Toromont
Industries
Ltd.
.....
362
31,868
18.3
West
Fraser
Timber
Co.
Ltd.
..
634
55,723
31.9
WSP
Global,
Inc.
.........
433
50,498
28.9
4,264,813
Denmark
AP
Moller
-
Maersk
A/S,
Class
B
41
118,663
68.0
Coloplast
A/S,
Class
B
......
1,404
189,159
108.4
Danske
Bank
A/S
.........
3,797
58,242
33.4
DSV
A/S
...............
133
21,806
12.5
Genmab
A/S
............
120
42,197
24.2
Novo
Nordisk
A/S,
Class
B
...
369
42,149
24.1
Novozymes
A/S,
Class
B
....
13,162
917,517
525.8
Pandora
A/S
............
1,109
97,377
55.8
1,487,110
Finland
Elisa
OYJ
..............
1,604
94,029
53.9
Kesko
OYJ,
Class
B
.......
5,039
126,864
72.7
Neste
OYJ
..............
2,731
117,184
67.1
Nokia
OYJ
..............
4,429
22,455
12.9
Nordea
Bank
Abp
.........
22,715
226,470
129.8
Orion
OYJ,
Class
B
........
594
23,298
13.3
Shares
Value
%
of
Basket
Value
Finland
(continued)
Stora
Enso
OYJ,
Class
R
....
11,155
$
219,525
125.8
%
829,825
Germany
Allianz
SE
(Registered)
.....
1,772
399,824
229.1
Bayer
AG
(Registered)
......
381
25,097
14.4
Beiersdorf
AG
............
592
59,461
34.1
Brenntag
SE
............
710
54,786
31.4
Covestro
AG
............
1,933
83,226
47.7
Deutsche
Bank
AG
(Registered)
1,679
16,789
9.6
Deutsche
Boerse
AG
.......
1,188
206,824
118.5
Deutsche
Post
AG
(Registered)
8,731
373,010
213.7
E.ON
SE
...............
47,981
499,336
286.1
Evonik
Industries
AG
.......
817
21,370
12.2
GEA
Group
AG
...........
3,925
152,786
87.5
HeidelbergCement
AG
......
1,401
80,708
46.2
LEG
Immobilien
SE
........
1,177
120,678
69.1
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
318
75,729
43.4
Nemetschek
SE
..........
250
19,839
11.4
Rational
AG
.............
36
21,962
12.6
SAP
SE
................
1,487
150,702
86.4
Siemens
AG
(Registered)
....
3,833
471,287
270.1
Symrise
AG
.............
1,506
179,205
102.7
Vonovia
SE
.............
486
19,363
11.1
3,031,982
Hong
Kong
Hang
Seng
Bank
Ltd.
......
2,100
37,181
21.3
Hongkong
Land
Holdings
Ltd.
.
9,500
44,317
25.4
Power
Assets
Holdings
Ltd.
..
12,500
84,188
48.2
Sun
Hung
Kai
Properties
Ltd.
.
5,000
57,585
33.0
Swire
Pacific
Ltd.,
Class
A
...
5,500
31,328
18.0
Techtronic
Industries
Co.
Ltd.
.
6,000
80,089
45.9
334,688
Israel
Kornit
Digital
Ltd.
.........
199
13,234
7.6
Italy
Coca-Cola
HBC
AG
........
4,625
93,767
53.7
Enel
SpA
...............
9,284
60,373
34.6
Eni
SpA
................
40,948
572,403
328.0
Ferrari
NV
..............
141
29,688
17.0
Intesa
Sanpaolo
SpA
.......
149,651
304,946
174.8
Moncler
SpA
............
1,417
73,817
42.3
Poste
Italiane
SpA
.........
14,838
145,400
83.3
Snam
SpA
..............
8,262
45,314
26.0
Terna
-
Rete
Elettrica
Nazionale
8,383
68,372
39.2
1,394,080
Japan
Advantest
Corp.
..........
700
47,774
27.4
Ajinomoto
Co.,
Inc.
........
6,100
158,487
90.8
Asahi
Kasei
Corp.
.........
32,400
265,832
152.3
Astellas
Pharma,
Inc.
.......
6,400
97,445
55.8
Chugai
Pharmaceutical
Co.
Ltd.
8,600
257,700
147.7
Dai-ichi
Life
Holdings,
Inc.
...
1,300
26,031
14.9
Daiwa
House
Industry
Co.
Ltd.
700
16,828
9.6
Daiwa
Securities
Group,
Inc.
..
6,500
31,857
18.3
Denso
Corp.
............
1,300
79,229
45.4
Dentsu
Group,
Inc.
........
1,600
57,667
33.1
ENEOS
Holdings,
Inc.
......
29,900
105,207
60.3
Hitachi
Ltd.
.............
3,700
175,478
100.6
Honda
Motor
Co.
Ltd.
......
5,900
155,191
88.9
Hoshizaki
Corp.
..........
300
19,003
10.9
BlackRock
Total
Factor
Fund
19
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
Idemitsu
Kosan
Co.
Ltd.
.....
2,300
$
60,617
34.7
%
Isuzu
Motors
Ltd.
.........
4,700
54,829
31.4
Japan
Tobacco,
Inc.
.......
29,400
500,147
286.6
JSR
Corp.
..............
5,400
146,638
84.0
Kajima
Corp.
............
2,000
22,289
12.8
KDDI
Corp.
.............
2,400
79,475
45.5
Komatsu
Ltd.
............
1,600
36,010
20.6
Kyocera
Corp.
...........
2,700
141,769
81.2
Lawson,
Inc.
............
500
18,390
10.5
Marubeni
Corp.
...........
7,900
86,233
49.4
Mazda
Motor
Corp.
........
33,600
238,585
136.7
MEIJI
Holdings
Co.
Ltd.
.....
3,800
189,418
108.5
MinebeaMitsumi,
Inc.
.......
5,300
101,687
58.3
Mitsubishi
Electric
Corp.
.....
30,400
318,418
182.5
Mitsubishi
Estate
Co.
Ltd.
....
3,300
48,070
27.6
Mitsubishi
Gas
Chemical
Co.,
Inc.
.................
5,600
81,777
46.9
Mitsubishi
Heavy
Industries
Ltd.
2,400
82,056
47.0
Mitsui
Chemicals,
Inc.
......
6,500
148,511
85.1
Mizuho
Financial
Group,
Inc.
..
2,700
32,785
18.8
NEC
Corp.
..............
2,600
100,869
57.8
NGK
Insulators
Ltd.
........
8,600
115,684
66.3
NIPPON
EXPRESS
HOLDINGS,
Inc.
.................
1,100
64,494
37.0
Nissan
Chemical
Corp.
.....
500
26,411
15.1
Nisshin
Seifun
Group,
Inc.
...
200
2,666
1.5
Nissin
Foods
Holdings
Co.
Ltd.
3,400
236,513
135.5
Nitto
Denko
Corp.
.........
1,600
107,394
61.5
Nomura
Real
Estate
Holdings,
Inc.
.................
4,200
102,336
58.6
Olympus
Corp.
...........
1,000
17,601
10.1
Ono
Pharmaceutical
Co.
Ltd.
.
15,900
408,480
234.1
Osaka
Gas
Co.
Ltd.
........
11,100
200,060
114.6
Otsuka
Holdings
Co.
Ltd.
....
8,800
295,701
169.4
Resona
Holdings,
Inc.
......
14,100
61,313
35.1
Secom
Co.
Ltd.
...........
1,000
70,354
40.3
Sekisui
House
Ltd.
........
1,300
22,578
12.9
Shimadzu
Corp.
..........
100
3,269
1.9
Sompo
Holdings,
Inc.
......
800
32,568
18.7
Sony
Group
Corp.
.........
300
25,890
14.8
Subaru
Corp.
............
3,800
57,664
33.0
Sumitomo
Chemical
Co.
Ltd.
..
46,600
198,153
113.6
Sumitomo
Mitsui
Financial
Group,
Inc.
...........
2,300
69,492
39.8
Sysmex
Corp.
...........
600
39,359
22.6
Taisei
Corp.
.............
500
13,544
7.8
Terumo
Corp.
............
2,300
68,460
39.2
Tokyo
Gas
Co.
Ltd.
........
19,800
379,258
217.3
Toray
Industries,
Inc.
.......
52,000
246,443
141.2
Toshiba
Corp.
............
1,300
53,987
30.9
Tosoh
Corp.
.............
6,700
92,517
53.0
TOTO
Ltd.
..............
800
26,959
15.5
Trend
Micro,
Inc.
..........
600
33,454
19.2
USS
Co.
Ltd.
............
1,200
19,978
11.5
Yakult
Honsha
Co.
Ltd.
.....
2,500
129,452
74.2
Yamaha
Corp.
...........
400
15,283
8.8
Yamaha
Motor
Co.
Ltd.
.....
4,600
94,970
54.4
Yamato
Holdings
Co.
Ltd.
....
900
16,841
9.7
7,331,428
Netherlands
ASML
Holding
NV
.........
121
68,672
39.3
Koninklijke
Ahold
Delhaize
NV
.
20,249
597,264
342.2
Koninklijke
DSM
NV
.......
140
23,535
13.5
Koninklijke
KPN
NV
........
21,171
73,053
41.9
Shares
Value
%
of
Basket
Value
Netherlands
(continued)
Koninklijke
Philips
NV
......
12,423
$
324,627
186.0
%
NN
Group
NV
............
18,923
926,879
531.1
Randstad
NV
............
4,079
215,694
123.6
Wolters
Kluwer
NV
........
4,567
461,188
264.3
2,690,912
New
Zealand
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
................
7,909
108,686
62.3
Spark
New
Zealand
Ltd.
.....
6,695
21,174
12.1
129,860
Norway
DNB
Bank
ASA
...........
370
7,169
4.1
Norsk
Hydro
ASA
.........
20,277
170,277
97.6
Orkla
ASA
..............
26,900
218,284
125.1
Telenor
ASA
.............
1,746
24,625
14.1
420,355
Portugal
EDP
-
Energias
de
Portugal
SA
13,508
62,956
36.1
Singapore
Oversea-Chinese
Banking
Corp.
Ltd.
................
33,500
297,433
170.4
Singapore
Technologies
Engineering
Ltd.
........
58,600
172,583
98.9
Singapore
Telecommunications
Ltd.
................
12,900
25,746
14.8
495,762
South
Africa
Anglo
American
plc
........
616
27,283
15.6
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
22,894
120,131
68.8
Banco
Santander
SA
.......
104,062
304,106
174.3
Endesa
SA
.............
26,951
564,824
323.7
Iberdrola
SA
.............
12,922
148,484
85.1
Industria
de
Diseno
Textil
SA
..
7,285
152,747
87.5
Repsol
SA
..............
23,467
350,078
200.6
1,640,370
Sweden
Alfa
Laval
AB
............
2,802
77,997
44.7
Assa
Abloy
AB,
Class
B
.....
1,699
42,937
24.6
Boliden
AB
..............
3,489
151,287
86.7
Husqvarna
AB,
Class
B
.....
33,765
322,763
185.0
Industrivarden
AB,
Class
C
...
1,236
31,122
17.8
Investor
AB,
Class
B
.......
6,625
127,484
73.1
Kinnevik
AB,
Class
B
.......
892
17,459
10.0
Skanska
AB,
Class
B
.......
10,284
196,447
112.6
Swedish
Match
AB
........
38,968
310,372
177.8
Telefonaktiebolaget
LM
Ericsson,
Class
B
..............
22,797
181,857
104.2
Telia
Co.
AB
.............
27,006
112,091
64.2
1,571,816
Switzerland
Adecco
Group
AG
(Registered)
2,427
93,658
53.7
Baloise
Holding
AG
(Registered)
144
25,047
14.4
Geberit
AG
(Registered)
.....
152
86,682
49.7
Givaudan
SA
(Registered)
...
22
87,439
50.1
Holcim
AG
..............
458
22,394
12.8
Julius
Baer
Group
Ltd.
......
3,079
147,139
84.3
Nestle
SA
(Registered)
.....
814
105,083
60.2
Roche
Holding
AG
........
780
289,235
165.7
BlackRock
Total
Factor
Fund
20
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Switzerland
(continued)
SGS
SA
(Registered)
.......
76
$
195,284
111.9
%
Straumann
Holding
AG
(Registered)
...........
450
53,051
30.4
Swiss
Life
Holding
AG
(Registered)
...........
7
4,093
2.3
UBS
Group
AG
(Registered)
..
6,454
109,567
62.8
Zurich
Insurance
Group
AG
..
473
215,343
123.4
1,434,015
United
Kingdom
3i
Group
plc
.............
19,403
317,535
182.0
Ashtead
Group
plc
........
578
29,887
17.1
Associated
British
Foods
plc
..
1,346
26,934
15.4
Auto
Trader
Group
plc
......
9,023
71,211
40.8
Aviva
plc
...............
51,890
278,397
159.5
Barratt
Developments
plc
....
28,066
171,709
98.4
Berkeley
Group
Holdings
plc
..
2,374
120,401
69.0
BP
plc
.................
38,394
185,358
106.2
British
American
Tobacco
plc
.
704
29,506
16.9
Bunzl
plc
...............
1,046
40,355
23.1
Burberry
Group
plc
........
5,090
100,453
57.6
CNH
Industrial
NV
.........
3,894
55,164
31.6
Croda
International
plc
......
336
32,635
18.7
DCC
plc
...............
2,358
178,663
102.4
Diageo
plc
..............
4,755
237,221
135.9
Entain
plc
..............
3,860
72,531
41.6
InterContinental
Hotels
Group
plc
.................
3,669
234,228
134.2
Intertek
Group
plc
.........
5,833
363,483
208.3
JD
Sports
Fashion
plc
......
43,758
72,099
41.3
Johnson
Matthey
plc
.......
928
25,528
14.6
Kingfisher
plc
............
24,457
77,127
44.2
Legal
&
General
Group
plc
...
54,644
170,331
97.6
Persimmon
plc
...........
7,994
208,198
119.3
RELX
plc
...............
4,367
130,095
74.5
Sage
Group
plc
(The)
......
4,842
44,433
25.5
Schroders
plc
............
3,356
118,468
67.9
Smiths
Group
plc
.........
1,630
29,828
17.1
St
James's
Place
plc
.......
1,189
19,107
11.0
Taylor
Wimpey
plc
.........
10,142
15,951
9.1
Tesco
plc
...............
49,615
168,558
96.6
United
Utilities
Group
plc
....
21,392
307,412
176.2
Whitbread
plc
............
2,488
86,848
49.8
WPP
plc
...............
2,866
35,724
20.5
4,055,378
United
States
3M
Co.
................
767
110,617
63.4
A
O
Smith
Corp.
..........
1,688
98,630
56.5
ABIOMED,
Inc.
...........
815
233,563
133.8
Adobe,
Inc.
.............
363
143,730
82.4
Advanced
Micro
Devices,
Inc.
.
2,335
199,689
114.4
AES
Corp.
(The)
..........
1,262
25,770
14.8
Akamai
Technologies,
Inc.
...
197
22,119
12.7
Alliant
Energy
Corp.
.......
1,161
68,278
39.1
Ally
Financial,
Inc.
.........
3,808
152,168
87.2
AMERCO
..............
91
48,729
27.9
American
Financial
Group,
Inc.
183
25,342
14.5
American
International
Group,
Inc.
.................
516
30,191
17.3
American
Water
Works
Co.,
Inc.
306
47,148
27.0
Ameriprise
Financial,
Inc.
....
176
46,726
26.8
ANSYS,
Inc.
.............
292
80,501
46.1
Apple,
Inc.
..............
902
142,200
81.5
Applied
Materials,
Inc.
......
82
9,049
5.2
Shares
Value
%
of
Basket
Value
United
States
(continued)
Arista
Networks,
Inc.
.......
1,116
$
128,976
73.9
%
Asana,
Inc.,
Class
A
.......
628
16,830
9.6
Autodesk,
Inc.
...........
964
182,466
104.6
Automatic
Data
Processing,
Inc.
42
9,164
5.3
AutoZone,
Inc.
...........
20
39,109
22.4
Avery
Dennison
Corp.
......
823
148,634
85.2
Baker
Hughes
Co.
.........
3,932
121,971
69.9
Bank
of
New
York
Mellon
Corp.
(The)
...............
625
26,288
15.1
Biogen,
Inc.
.............
378
78,412
44.9
Booz
Allen
Hamilton
Holding
Corp.
...............
293
23,918
13.7
Broadridge
Financial
Solutions,
Inc.
.................
239
34,447
19.7
Bunge
Ltd.
..............
1,102
124,658
71.4
Cadence
Design
Systems,
Inc.
2,421
365,208
209.3
Capital
One
Financial
Corp.
..
637
79,383
45.5
Cardinal
Health,
Inc.
.......
975
56,599
32.4
Carlyle
Group,
Inc.
(The)
....
415
15,060
8.6
CBRE
Group,
Inc.,
Class
A
...
1,615
134,110
76.8
CDW
Corp.
.............
150
24,477
14.0
Chipotle
Mexican
Grill,
Inc.
...
19
27,657
15.8
Cigna
Corp.
.............
485
119,688
68.6
Cintas
Corp.
.............
199
79,055
45.3
Cisco
Systems,
Inc.
........
1,042
51,037
29.2
CMS
Energy
Corp.
........
441
30,292
17.4
Cognex
Corp.
............
1,936
130,932
75.0
Cognizant
Technology
Solutions
Corp.,
Class
A
.........
204
16,504
9.5
Colgate-Palmolive
Co.
......
1,647
126,901
72.7
Comcast
Corp.,
Class
A
.....
541
21,510
12.3
ConocoPhillips
...........
6,047
577,609
331.0
Consolidated
Edison,
Inc.
....
1,612
149,497
85.7
Copart,
Inc.
.............
1,079
122,628
70.3
Corteva,
Inc.
............
2,462
142,033
81.4
CSX
Corp.
..............
5,956
204,529
117.2
Cummins,
Inc.
...........
170
32,162
18.4
CVS
Health
Corp.
.........
240
23,071
13.2
Darden
Restaurants,
Inc.
....
409
53,878
30.9
Devon
Energy
Corp.
.......
2,256
131,232
75.2
Dexcom,
Inc.
............
303
123,800
70.9
DocuSign,
Inc.
...........
1,089
88,209
50.5
Dominion
Energy,
Inc.
......
1,863
152,095
87.2
Domino's
Pizza,
Inc.
.......
189
63,882
36.6
Dover
Corp.
.............
524
69,849
40.0
DR
Horton,
Inc.
...........
341
23,730
13.6
Dropbox,
Inc.,
Class
A
......
21,689
471,736
270.3
DTE
Energy
Co.
..........
2,580
338,083
193.7
Duke
Energy
Corp.
........
1,556
171,409
98.2
eBay,
Inc.
..............
5,461
283,535
162.5
Edison
International
........
463
31,850
18.3
Edwards
Lifesciences
Corp.
..
924
97,741
56.0
Electronic
Arts,
Inc.
........
444
52,414
30.0
Eli
Lilly
&
Co.
............
387
113,054
64.8
Emerson
Electric
Co.
.......
757
68,266
39.1
Entergy
Corp.
............
963
114,453
65.6
EOG
Resources,
Inc.
.......
1,198
139,878
80.2
Equifax,
Inc.
.............
966
196,600
112.7
Equitable
Holdings,
Inc.
.....
8,759
252,522
144.7
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
349
92,157
52.8
Eversource
Energy
........
3,798
331,945
190.2
Exelon
Corp.
............
526
24,606
14.1
Expedia
Group,
Inc.
........
289
50,503
28.9
BlackRock
Total
Factor
Fund
21
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Expeditors
International
of
Washington,
Inc.
........
524
$
51,913
29.7
%
FactSet
Research
Systems,
Inc.
391
157,765
90.4
Ferguson
plc
............
878
110,144
63.1
First
Republic
Bank
........
867
129,374
74.1
Fortive
Corp.
............
2,471
142,083
81.4
Fortune
Brands
Home
&
Security,
Inc.
.................
1,008
71,820
41.2
Franklin
Resources,
Inc.
.....
1,744
42,885
24.6
Garmin
Ltd.
.............
2,688
294,981
169.0
Genuine
Parts
Co.
........
2,525
328,376
188.2
GoDaddy,
Inc.,
Class
A
.....
1,332
107,639
61.7
Hartford
Financial
Services
Group,
Inc.
(The)
.......
1,436
100,419
57.5
Hershey
Co.
(The)
........
1,791
404,354
231.7
Hewlett
Packard
Enterprise
Co.
2,935
45,228
25.9
Hologic,
Inc.
.............
3,024
217,698
124.7
Home
Depot,
Inc.
(The)
.....
281
84,412
48.4
IDEX
Corp.
.............
224
42,520
24.4
IDEXX
Laboratories,
Inc.
....
614
264,315
151.5
Illinois
Tool
Works,
Inc.
......
1,403
276,545
158.5
Incyte
Corp.
.............
2,025
151,794
87.0
Intel
Corp.
..............
4,010
174,796
100.2
Interpublic
Group
of
Cos.,
Inc.
(The)
...............
2,386
77,831
44.6
Intuit,
Inc.
..............
198
82,913
47.5
Invesco
Ltd.
.............
5,215
95,852
54.9
James
Hardie
Industries
plc,
CDI
................
8,881
256,024
146.7
JB
Hunt
Transport
Services,
Inc.
820
140,097
80.3
Johnson
Controls
International
plc
.................
1,006
60,229
34.5
JPMorgan
Chase
&
Co.
.....
549
65,529
37.5
Juniper
Networks,
Inc.
......
8,237
259,630
148.8
KeyCorp
...............
6,977
134,726
77.2
Keysight
Technologies,
Inc.
...
3,177
445,638
255.4
KKR
&
Co.,
Inc.
..........
383
19,522
11.2
KLA
Corp.
..............
1,004
320,537
183.7
Knight-Swift
Transportation
Holdings,
Inc.
..........
2,593
124,179
71.2
Kroger
Co.
(The)
..........
681
36,747
21.1
Lam
Research
Corp.
.......
66
30,740
17.6
Lennar
Corp.,
Class
A
......
550
42,070
24.1
Lennox
International,
Inc.
....
659
140,492
80.5
Lincoln
National
Corp.
......
829
49,864
28.6
LKQ
Corp.
..............
4,442
220,456
126.3
Lowe's
Cos.,
Inc.
.........
305
60,308
34.6
Lululemon
Athletica,
Inc.
....
118
41,846
24.0
Lyft,
Inc.,
Class
A
.........
3,320
108,232
62.0
Marathon
Petroleum
Corp.
...
1,075
93,805
53.8
Markel
Corp.
............
60
81,197
46.5
Masimo
Corp.
............
778
87,891
50.4
McDonald's
Corp.
.........
581
144,762
83.0
Merck
&
Co.,
Inc.
.........
414
36,718
21.0
Meta
Platforms,
Inc.,
Class
A
.
386
77,381
44.3
MetLife,
Inc.
.............
16
1,051
0.6
Mettler-Toledo
International,
Inc.
51
65,154
37.3
Micron
Technology,
Inc.
.....
626
42,687
24.5
Microsoft
Corp.
...........
3,576
992,412
568.7
Molina
Healthcare,
Inc.
.....
369
115,663
66.3
Molson
Coors
Beverage
Co.,
Class
B
..............
569
30,806
17.7
Monolithic
Power
Systems,
Inc.
28
10,983
6.3
Monster
Beverage
Corp.
....
1,208
103,501
59.3
Moody's
Corp.
...........
74
23,420
13.4
Shares
Value
%
of
Basket
Value
United
States
(continued)
MSCI,
Inc.
..............
259
$
109,104
62.5
%
NetApp,
Inc.
.............
3,927
287,653
164.8
Neurocrine
Biosciences,
Inc.
..
876
78,866
45.2
News
Corp.,
Class
A
.......
805
15,987
9.2
NIKE,
Inc.,
Class
B
........
233
29,055
16.6
Nordson
Corp.
...........
599
129,198
74.0
Northern
Trust
Corp.
.......
1,480
152,514
87.4
Nucor
Corp.
.............
186
28,789
16.5
NVIDIA
Corp.
............
1,684
312,331
179.0
NVR,
Inc.
...............
4
17,505
10.0
Old
Dominion
Freight
Line,
Inc.
230
64,428
36.9
ONEOK,
Inc.
............
2,719
172,194
98.7
O'Reilly
Automotive,
Inc.
....
59
35,786
20.5
Otis
Worldwide
Corp.
.......
4,596
334,773
191.8
Owens
Corning
...........
27
2,455
1.4
Palo
Alto
Networks,
Inc.
.....
58
32,554
18.7
Parker-Hannifin
Corp.
......
206
55,789
32.0
Pentair
plc
..............
406
20,605
11.8
PepsiCo,
Inc.
............
2,647
454,516
260.4
Phillips
66
..............
866
75,134
43.1
Pinterest,
Inc.,
Class
A
......
2,877
59,036
33.8
Pioneer
Natural
Resources
Co.
703
163,426
93.6
Pool
Corp.
..............
229
92,795
53.2
Procter
&
Gamble
Co.
(The)
..
1,521
244,197
139.9
Prudential
Financial,
Inc.
....
501
54,364
31.2
Public
Service
Enterprise
Group,
Inc.
.................
3,184
221,797
127.1
PulteGroup,
Inc.
..........
1,491
62,264
35.7
QUALCOMM,
Inc.
.........
1,667
232,863
133.4
Regions
Financial
Corp.
.....
8,040
166,589
95.5
Robert
Half
International,
Inc.
.
1,660
163,195
93.5
Rockwell
Automation,
Inc.
....
172
43,459
24.9
Roku,
Inc.
..............
907
84,260
48.3
Seagate
Technology
Holdings
plc
.................
1,203
98,694
56.6
Sealed
Air
Corp.
..........
3,337
214,269
122.8
Sempra
Energy
..........
1,248
201,377
115.4
ServiceNow,
Inc.
..........
472
225,663
129.3
Skyworks
Solutions,
Inc.
....
373
42,261
24.2
Splunk,
Inc.
.............
1,062
129,585
74.3
Steel
Dynamics,
Inc.
.......
522
44,762
25.6
Stellantis
NV
............
7,052
94,678
54.3
Synchrony
Financial
.......
456
16,785
9.6
Synopsys,
Inc.
...........
2,597
744,794
426.8
Teradyne,
Inc.
...........
494
52,097
29.9
Tractor
Supply
Co.
........
694
139,806
80.1
Trane
Technologies
plc
.....
751
105,057
60.2
Travelers
Cos.,
Inc.
(The)
....
687
117,518
67.3
Trimble,
Inc.
.............
4,338
289,345
165.8
Tyson
Foods,
Inc.,
Class
A
...
87
8,105
4.6
UGI
Corp.
..............
10,322
354,045
202.9
Ulta
Beauty,
Inc.
..........
159
63,091
36.2
United
Rentals,
Inc.
........
233
73,749
42.3
Vail
Resorts,
Inc.
..........
1,232
313,125
179.4
Veeva
Systems,
Inc.,
Class
A
.
291
52,947
30.3
VeriSign,
Inc.
............
601
107,393
61.5
Verizon
Communications,
Inc.
.
3,186
147,512
84.5
Vertex
Pharmaceuticals,
Inc.
..
145
39,617
22.7
VMware,
Inc.,
Class
A
......
617
66,661
38.2
Waters
Corp.
............
597
180,903
103.7
West
Pharmaceutical
Services,
Inc.
.................
769
242,281
138.8
Workday,
Inc.,
Class
A
......
1,641
339,195
194.4
Xcel
Energy,
Inc.
..........
3,067
224,688
128.8
Yum!
Brands,
Inc.
.........
1,761
206,055
118.1
BlackRock
Total
Factor
Fund
22
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Zebra
Technologies
Corp.,
Class
A
..................
92
$
34,009
19.5
%
Zscaler,
Inc.
.............
180
36,493
20.9
25,410,687
Rights
Spain
Telefonica
SA
............
394
61
0.0
Preferred
Securities
Germany
Henkel
AG
&
Co.
KGaA
(Preference)
..........
1,144
73,458
42.1
Total
Reference
Entity
—
Long
............
60,856,722
Reference
Entity
—
Short
Common
Stocks
Australia
APA
Group
..............
(18,139)
(145,749)
(83.5)
Commonwealth
Bank
of
Australia
.............
(727)
(52,841)
(30.3)
Computershare
Ltd.
........
(3,282)
(57,862)
(33.2)
Crown
Resorts
Ltd.
........
(16,884)
(152,870)
(87.6)
CSL
Ltd.
...............
(775)
(147,909)
(84.8)
Evolution
Mining
Ltd.
.......
(19,927)
(56,386)
(32.3)
Glencore
plc
............
(9,250)
(56,995)
(32.7)
Insurance
Australia
Group
Ltd.
(78,271)
(249,942)
(143.2)
Lendlease
Corp.
Ltd.
.......
(3,164)
(27,104)
(15.5)
Macquarie
Group
Ltd.
......
(321)
(46,212)
(26.5)
Medibank
Pvt
Ltd.
.........
(71,305)
(160,233)
(91.8)
Mineral
Resources
Ltd.
.....
(2,245)
(91,222)
(52.3)
National
Australia
Bank
Ltd.
..
(3,607)
(82,343)
(47.2)
Newcrest
Mining
Ltd.
.......
(1,170)
(21,972)
(12.6)
Northern
Star
Resources
Ltd.
.
(3,666)
(25,199)
(14.4)
Orica
Ltd.
..............
(22,025)
(253,085)
(145.0)
Origin
Energy
Ltd.
.........
(4,785)
(22,887)
(13.1)
Ramsay
Health
Care
Ltd.
....
(489)
(27,749)
(15.9)
Reece
Ltd.
..............
(3,699)
(44,941)
(25.8)
Santos
Ltd.
.............
(70,075)
(391,584)
(224.4)
Telstra
Corp.
Ltd.
.........
(8,799)
(24,977)
(14.3)
Transurban
Group
.........
(91,579)
(919,601)
(526.9)
Treasury
Wine
Estates
Ltd.
...
(9,426)
(74,576)
(42.7)
Westpac
Banking
Corp.
.....
(20,569)
(344,325)
(197.3)
Woodside
Petroleum
Ltd.
....
(7,733)
(168,240)
(96.4)
Woolworths
Group
Ltd.
.....
(5,314)
(143,760)
(82.4)
(3,790,564)
Austria
Erste
Group
Bank
AG
......
(2,182)
(67,938)
(38.9)
Verbund
AG
.............
(1,325)
(141,629)
(81.1)
(209,567)
Belgium
Anheuser-Busch
InBev
SA/NV
(6,196)
(356,515)
(204.3)
Etablissements
Franz
Colruyt
NV
.................
(2,369)
(86,992)
(49.8)
Sofina
SA
..............
(363)
(111,244)
(63.7)
(554,751)
Brazil
Yara
International
ASA
......
(1,015)
(51,611)
(29.6)
Canada
Air
Canada
.............
(1,546)
(27,077)
(15.5)
Algonquin
Power
&
Utilities
Corp.
...............
(18,687)
(270,563)
(155.0)
Shares
Value
%
of
Basket
Value
Canada
(continued)
Ballard
Power
Systems,
Inc.
..
(3,597)
$
(29,876)
(17.1)
%
Barrick
Gold
Corp.
........
(14,329)
(319,562)
(183.1)
BCE,
Inc.
...............
(6,218)
(330,588)
(189.4)
BlackBerry
Ltd.
...........
(2,725)
(15,591)
(8.9)
CAE,
Inc.
...............
(1,323)
(31,462)
(18.0)
Cameco
Corp.
...........
(1,458)
(37,646)
(21.6)
Canadian
Natural
Resources
Ltd.
................
(2,480)
(153,493)
(88.0)
CGI,
Inc.
...............
(845)
(67,382)
(38.6)
Emera,
Inc.
.............
(1,413)
(68,227)
(39.1)
Enbridge,
Inc.
............
(5,444)
(237,567)
(136.1)
Fairfax
Financial
Holdings
Ltd.
(145)
(79,672)
(45.7)
Fortis,
Inc.
..............
(3,515)
(171,037)
(98.0)
GFL
Environmental,
Inc.
.....
(10,921)
(328,994)
(188.5)
Lightspeed
Commerce,
Inc.
..
(4,056)
(90,646)
(51.9)
Northland
Power,
Inc.
......
(2,130)
(64,282)
(36.8)
Nutrien
Ltd.
.............
(345)
(33,902)
(19.4)
Pembina
Pipeline
Corp.
.....
(4,569)
(172,887)
(99.1)
Quebecor,
Inc.,
Class
B
.....
(985)
(23,179)
(13.3)
Restaurant
Brands
International,
Inc.
.................
(1,861)
(106,316)
(60.9)
Rogers
Communications,
Inc.,
Class
B
..............
(3,603)
(196,270)
(112.5)
Shopify,
Inc.,
Class
A
.......
(602)
(257,515)
(147.6)
Sun
Life
Financial,
Inc.
......
(1,103)
(54,873)
(31.4)
TC
Energy
Corp.
..........
(4,227)
(223,582)
(128.1)
(3,392,189)
Chile
Antofagasta
plc
...........
(8,016)
(153,458)
(87.9)
China
Futu
Holdings
Ltd.,
ADR
.....
(228)
(7,294)
(4.2)
Prosus
NV
..............
(4,599)
(221,803)
(127.1)
(229,097)
Denmark
Ambu
A/S,
Class
B
........
(7,235)
(95,230)
(54.6)
Carlsberg
A/S,
Class
B
.....
(458)
(58,181)
(33.3)
Chr
Hansen
Holding
A/S
....
(4,728)
(368,357)
(211.1)
Demant
A/S
.............
(448)
(19,687)
(11.3)
GN
Store
Nord
A/S
........
(1,699)
(63,763)
(36.5)
Orsted
A/S
..............
(1,167)
(129,106)
(74.0)
ROCKWOOL
A/S,
Class
B
...
(415)
(116,067)
(66.5)
Tryg
A/S
...............
(22,500)
(534,985)
(306.6)
Vestas
Wind
Systems
A/S
...
(12,647)
(322,511)
(184.8)
(1,707,887)
Finland
Fortum
OYJ
.............
(9,416)
(156,549)
(89.7)
Kone
OYJ,
Class
B
........
(1,443)
(69,376)
(39.8)
Sampo
OYJ,
Class
A
.......
(1,502)
(72,933)
(41.8)
UPM-Kymmene
OYJ
.......
(2,075)
(71,779)
(41.1)
Wartsila
OYJ
Abp
.........
(7,540)
(60,545)
(34.7)
(431,182)
France
Adevinta
ASA
............
(9,836)
(75,987)
(43.5)
Germany
adidas
AG
..............
(1,407)
(283,735)
(162.6)
BASF
SE
...............
(2,578)
(135,765)
(77.8)
Bechtle
AG
.............
(487)
(22,504)
(12.9)
Carl
Zeiss
Meditec
AG
......
(252)
(31,652)
(18.1)
Commerzbank
AG
.........
(17,258)
(112,666)
(64.6)
Continental
AG
...........
(2,480)
(169,982)
(97.4)
Daimler
Truck
Holding
AG
...
(2,685)
(72,212)
(41.4)
BlackRock
Total
Factor
Fund
23
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Germany
(continued)
Deutsche
Lufthansa
AG
(Registered)
...........
(30,763)
$
(228,864)
(131.1)
%
Deutsche
Telekom
AG
(Registered)
...........
(19,425)
(357,831)
(205.0)
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(2,310)
(143,652)
(82.3)
Infineon
Technologies
AG
....
(3,425)
(97,213)
(55.7)
KION
Group
AG
..........
(1,708)
(95,009)
(54.4)
Knorr-Bremse
AG
.........
(2,957)
(210,877)
(120.8)
Mercedes-Benz
Group
AG
...
(2,102)
(146,722)
(84.1)
Merck
KGaA
............
(440)
(81,632)
(46.8)
MTU
Aero
Engines
AG
......
(254)
(51,223)
(29.4)
Puma
SE
...............
(1,044)
(76,816)
(44.0)
RWE
AG
...............
(1,159)
(48,121)
(27.6)
Scout24
SE
.............
(1,822)
(115,238)
(66.0)
Siemens
Energy
AG
.......
(11,636)
(224,136)
(128.4)
Siemens
Healthineers
AG
....
(6,324)
(338,144)
(193.8)
Uniper
SE
..............
(2,371)
(60,946)
(34.9)
Zalando
SE
.............
(3,759)
(147,903)
(84.8)
(3,252,843)
Hong
Kong
Melco
Resorts
&
Entertainment
Ltd.,
ADR
............
(4,589)
(26,249)
(15.0)
Xinyi
Glass
Holdings
Ltd.
....
(10,000)
(22,128)
(12.7)
(48,377)
Ireland
CRH
plc
...............
(1,345)
(53,161)
(30.5)
Flutter
Entertainment
plc
....
(824)
(82,803)
(47.5)
Kingspan
Group
plc
........
(1,000)
(93,087)
(53.3)
(229,051)
Israel
Teva
Pharmaceutical
Industries
Ltd.,
ADR
............
(33,379)
(290,731)
(166.6)
Wix.com
Ltd.
............
(458)
(34,561)
(19.8)
(325,292)
Italy
Amplifon
SpA
............
(1,420)
(56,651)
(32.4)
Atlantia
SpA
.............
(6,640)
(158,401)
(90.8)
Davide
Campari-Milano
NV
..
(7,590)
(85,639)
(49.1)
FinecoBank
Banca
Fineco
SpA
(2,423)
(33,683)
(19.3)
Infrastrutture
Wireless
Italiane
SpA
................
(46,878)
(500,204)
(286.6)
Mediobanca
Banca
di
Credito
Finanziario
SpA
........
(7,813)
(78,309)
(44.9)
Nexi
SpA
...............
(15,278)
(149,845)
(85.9)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
......
(703)
(33,876)
(19.4)
(1,096,608)
Japan
Aeon
Co.
Ltd.
............
(9,000)
(171,047)
(98.0)
Bandai
Namco
Holdings,
Inc.
.
(2,900)
(196,339)
(112.5)
Bridgestone
Corp.
.........
(3,600)
(131,953)
(75.6)
Canon,
Inc.
.............
(1,000)
(23,009)
(13.2)
Central
Japan
Railway
Co.
...
(2,000)
(251,770)
(144.3)
Chubu
Electric
Power
Co.,
Inc.
(7,700)
(77,732)
(44.5)
Daifuku
Co.
Ltd.
..........
(2,100)
(129,126)
(74.0)
Daiichi
Sankyo
Co.
Ltd.
.....
(800)
(20,143)
(11.5)
Daikin
Industries
Ltd.
.......
(300)
(45,845)
(26.3)
East
Japan
Railway
Co.
.....
(1,800)
(93,864)
(53.8)
FANUC
Corp.
............
(300)
(45,968)
(26.3)
Fast
Retailing
Co.
Ltd.
......
(200)
(92,081)
(52.8)
GMO
Payment
Gateway,
Inc.
.
(500)
(41,950)
(24.0)
Shares
Value
%
of
Basket
Value
Japan
(continued)
Hitachi
Metals
Ltd.
........
(8,800)
$
(137,321)
(78.7)
%
Hulic
Co.
Ltd.
............
(2,400)
(20,264)
(11.6)
Iida
Group
Holdings
Co.
Ltd.
..
(1,500)
(23,857)
(13.7)
Inpex
Corp.
.............
(9,600)
(114,222)
(65.4)
Itochu
Techno-Solutions
Corp.
.
(1,000)
(23,416)
(13.4)
Japan
Airlines
Co.
Ltd.
......
(4,200)
(69,340)
(39.7)
Japan
Post
Bank
Co.
Ltd.
....
(25,100)
(189,362)
(108.5)
Japan
Post
Holdings
Co.
Ltd.
.
(4,600)
(32,255)
(18.5)
JFE
Holdings,
Inc.
.........
(2,100)
(25,680)
(14.7)
Kansai
Electric
Power
Co.,
Inc.
(The)
...............
(12,600)
(110,452)
(63.3)
Keio
Corp.
..............
(400)
(15,341)
(8.8)
Keyence
Corp.
...........
(300)
(120,601)
(69.1)
Kintetsu
Group
Holdings
Co.
Ltd.
................
(500)
(14,336)
(8.2)
Koito
Manufacturing
Co.
Ltd.
..
(2,000)
(73,389)
(42.0)
Konami
Holdings
Corp.
.....
(500)
(30,747)
(17.6)
Kose
Corp.
.............
(1,700)
(174,524)
(100.0)
Kubota
Corp.
............
(13,200)
(224,250)
(128.5)
Kyowa
Kirin
Co.
Ltd.
.......
(2,900)
(61,123)
(35.0)
Lion
Corp.
..............
(3,800)
(39,153)
(22.4)
M3,
Inc.
................
(2,600)
(83,028)
(47.6)
Mercari,
Inc.
.............
(5,100)
(83,576)
(47.9)
Mitsubishi
Corp.
..........
(6,400)
(214,883)
(123.1)
Mitsubishi
UFJ
Financial
Group,
Inc.
.................
(4,600)
(26,742)
(15.3)
Mitsui
&
Co.
Ltd.
..........
(3,200)
(77,491)
(44.4)
Mitsui
OSK
Lines
Ltd.
......
(900)
(21,070)
(12.1)
MonotaRO
Co.
Ltd.
........
(7,900)
(135,707)
(77.8)
Nexon
Co.
Ltd.
...........
(8,100)
(184,446)
(105.7)
Nidec
Corp.
.............
(1,500)
(96,974)
(55.6)
Nihon
M&A
Center
Holdings,
Inc.
.................
(1,200)
(14,777)
(8.5)
Nippon
Paint
Holdings
Co.
Ltd.
(6,300)
(49,904)
(28.6)
Nippon
Sanso
Holdings
Corp.
.
(3,500)
(62,984)
(36.1)
Nippon
Steel
Corp.
........
(1,300)
(20,642)
(11.8)
Nissan
Motor
Co.
Ltd.
......
(11,200)
(44,840)
(25.7)
Nitori
Holdings
Co.
Ltd.
.....
(200)
(20,576)
(11.8)
Nomura
Research
Institute
Ltd.
(1,800)
(50,898)
(29.2)
NTT
Data
Corp.
..........
(5,700)
(105,096)
(60.2)
Obayashi
Corp.
..........
(6,500)
(44,701)
(25.6)
Obic
Co.
Ltd.
............
(1,200)
(177,287)
(101.6)
Odakyu
Electric
Railway
Co.
Ltd.
(5,400)
(81,773)
(46.9)
Oji
Holdings
Corp.
.........
(9,600)
(45,475)
(26.1)
Open
House
Group
Co.
Ltd.
..
(500)
(19,347)
(11.1)
Oracle
Corp.
Japan
........
(700)
(44,983)
(25.8)
Oriental
Land
Co.
Ltd.
......
(1,400)
(211,778)
(121.3)
Otsuka
Corp.
............
(11,900)
(389,988)
(223.5)
Pan
Pacific
International
Holdings
Corp.
.........
(5,000)
(76,567)
(43.9)
Pola
Orbis
Holdings,
Inc.
....
(7,300)
(84,163)
(48.2)
Rakuten
Group,
Inc.
.......
(7,400)
(52,021)
(29.8)
Renesas
Electronics
Corp.
...
(10,600)
(113,186)
(64.9)
Rohm
Co.
Ltd.
...........
(800)
(55,889)
(32.0)
Ryohin
Keikaku
Co.
Ltd.
.....
(4,600)
(41,341)
(23.7)
SBI
Holdings,
Inc.
.........
(1,100)
(24,604)
(14.1)
Sharp
Corp.
.............
(4,900)
(41,460)
(23.8)
Shimizu
Corp.
...........
(16,300)
(85,471)
(49.0)
Shionogi
&
Co.
Ltd.
........
(1,500)
(83,439)
(47.8)
Shiseido
Co.
Ltd.
.........
(3,300)
(155,996)
(89.4)
SMC
Corp.
..............
(200)
(96,844)
(55.5)
SoftBank
Corp.
...........
(17,300)
(201,335)
(115.4)
SoftBank
Group
Corp.
......
(1,600)
(65,808)
(37.7)
Square
Enix
Holdings
Co.
Ltd.
.
(1,400)
(55,896)
(32.0)
SUMCO
Corp.
...........
(7,000)
(100,812)
(57.8)
BlackRock
Total
Factor
Fund
24
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
Sumitomo
Corp.
..........
(11,700)
$
(185,137)
(106.1)
%
Sumitomo
Electric
Industries
Ltd.
................
(20,300)
(218,242)
(125.1)
Sumitomo
Metal
Mining
Co.
Ltd.
(1,400)
(61,399)
(35.2)
Sumitomo
Realty
&
Development
Co.
Ltd.
..............
(1,400)
(37,140)
(21.3)
Taisho
Pharmaceutical
Holdings
Co.
Ltd.
..............
(500)
(19,694)
(11.3)
Takeda
Pharmaceutical
Co.
Ltd.
(8,400)
(243,739)
(139.7)
Tobu
Railway
Co.
Ltd.
......
(900)
(20,230)
(11.6)
Tokio
Marine
Holdings,
Inc.
...
(2,700)
(145,985)
(83.6)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
..........
(17,600)
(60,751)
(34.8)
Tokyu
Corp.
.............
(1,400)
(17,120)
(9.8)
Toyota
Industries
Corp.
.....
(900)
(53,979)
(30.9)
Toyota
Motor
Corp.
........
(8,500)
(145,637)
(83.4)
Unicharm
Corp.
..........
(400)
(13,917)
(8.0)
Welcia
Holdings
Co.
Ltd.
....
(6,200)
(127,094)
(72.8)
West
Japan
Railway
Co.
....
(4,500)
(167,035)
(95.7)
Yaskawa
Electric
Corp.
.....
(2,900)
(98,471)
(56.4)
Z
Holdings
Corp.
..........
(41,400)
(162,530)
(93.1)
(8,242,358)
Jordan
Hikma
Pharmaceuticals
plc
...
(2,562)
(60,182)
(34.5)
Luxembourg
ArcelorMittal
SA
..........
(7,562)
(220,491)
(126.3)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
(13,526)
(168,144)
(96.4)
Adyen
NV
..............
(25)
(41,932)
(24.0)
Akzo
Nobel
NV
...........
(1,215)
(105,397)
(60.4)
Argenx
SE
..............
(207)
(59,638)
(34.2)
ASM
International
NV
......
(445)
(133,719)
(76.6)
Heineken
NV
............
(1,527)
(149,052)
(85.4)
JDE
Peet's
NV
...........
(5,643)
(166,012)
(95.1)
Universal
Music
Group
NV
...
(6,836)
(158,639)
(90.9)
(982,533)
New
Zealand
Auckland
International
Airport
Ltd.
................
(69,426)
(348,727)
(199.8)
Ryman
Healthcare
Ltd.
.....
(20,995)
(124,254)
(71.2)
Xero
Ltd.
...............
(722)
(47,610)
(27.3)
(520,591)
Norway
Aker
BP
ASA
............
(770)
(27,588)
(15.8)
Gjensidige
Forsikring
ASA
...
(4,792)
(102,450)
(58.7)
Schibsted
ASA,
Class
A
.....
(2,032)
(42,345)
(24.3)
(172,383)
Saudi
Arabia
Delivery
Hero
SE
.........
(3,316)
(116,567)
(66.8)
Singapore
City
Developments
Ltd.
.....
(3,700)
(22,685)
(13.0)
Singapore
Exchange
Ltd.
....
(11,000)
(77,400)
(44.4)
UOL
Group
Ltd.
..........
(33,300)
(174,976)
(100.3)
Venture
Corp.
Ltd.
.........
(38,300)
(470,168)
(269.4)
(745,229)
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
.........
(923)
(23,634)
(13.5)
Aena
SME
SA
...........
(2,340)
(332,068)
(190.3)
Amadeus
IT
Group
SA
......
(2,088)
(130,840)
(75.0)
Shares
Value
%
of
Basket
Value
Spain
(continued)
CaixaBank
SA
...........
(53,206)
$
(171,744)
(98.4)
%
Cellnex
Telecom
SA
.......
(9,393)
(437,811)
(250.9)
EDP
Renovaveis
SA
.......
(2,076)
(49,133)
(28.1)
Ferrovial
SA
.............
(26,090)
(669,061)
(383.4)
Grifols
SA
..............
(25,566)
(428,199)
(245.4)
Naturgy
Energy
Group
SA
...
(4,409)
(132,633)
(76.0)
Siemens
Gamesa
Renewable
Energy
SA
............
(9,832)
(156,610)
(89.7)
Telefonica
SA
............
(20,552)
(99,978)
(57.3)
(2,631,711)
Sweden
Electrolux
AB,
Class
B
......
(3,570)
(54,444)
(31.2)
Essity
AB,
Class
B
........
(5,686)
(149,945)
(85.9)
Evolution
AB
............
(646)
(66,279)
(38.0)
Fastighets
AB
Balder,
Class
B
.
(1,562)
(77,424)
(44.4)
Getinge
AB,
Class
B
.......
(1,397)
(40,412)
(23.2)
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(3,332)
(41,947)
(24.0)
Hexagon
AB,
Class
B
......
(30,778)
(397,126)
(227.6)
Investment
AB
Latour,
Class
B
(7,293)
(193,210)
(110.7)
L
E
Lundbergforetagen
AB,
Class
B
..................
(3,789)
(177,198)
(101.5)
Lundin
Energy
AB
.........
(1,884)
(77,896)
(44.6)
Nibe
Industrier
AB,
Class
B
...
(8,650)
(84,808)
(48.6)
Securitas
AB,
Class
B
......
(2,019)
(23,838)
(13.7)
Sinch
AB
...............
(12,564)
(55,525)
(31.8)
Svenska
Cellulosa
AB
SCA,
Class
B
..............
(14,641)
(283,344)
(162.4)
(1,723,396)
Switzerland
ABB
Ltd.
(Registered)
......
(12,537)
(376,135)
(215.5)
Alcon,
Inc.
..............
(1,175)
(83,896)
(48.1)
Bachem
Holding
AG
(Registered),
Class
B
....
(89)
(38,835)
(22.3)
Barry
Callebaut
AG
(Registered)
(63)
(144,998)
(83.1)
Clariant
AG
(Registered)
....
(3,621)
(61,822)
(35.4)
Credit
Suisse
Group
AG
(Registered)
...........
(22,052)
(149,674)
(85.8)
EMS-Chemie
Holding
AG
(Registered)
...........
(228)
(203,405)
(116.6)
Logitech
International
SA
(Registered)
...........
(929)
(60,458)
(34.6)
Lonza
Group
AG
(Registered)
.
(83)
(48,940)
(28.0)
Partners
Group
Holding
AG
..
(47)
(49,796)
(28.5)
Sonova
Holding
AG
(Registered)
(203)
(73,207)
(42.0)
Swiss
Prime
Site
AG
(Registered)
...........
(404)
(39,489)
(22.6)
TE
Connectivity
Ltd.
.......
(150)
(18,717)
(10.7)
VAT
Group
AG
...........
(231)
(71,451)
(40.9)
(1,420,823)
Taiwan
Sea
Ltd.,
ADR
...........
(1,418)
(117,354)
(67.2)
United
Kingdom
Admiral
Group
plc
.........
(929)
(29,242)
(16.8)
AstraZeneca
plc
..........
(472)
(62,984)
(36.1)
AVEVA
Group
plc
.........
(11,647)
(313,026)
(179.4)
Barclays
plc
.............
(68,731)
(126,337)
(72.4)
BT
Group
plc
............
(46,045)
(102,109)
(58.5)
Halma
plc
..............
(2,918)
(89,570)
(51.3)
Hargreaves
Lansdown
plc
...
(21,980)
(251,635)
(144.2)
HSBC
Holdings
plc
........
(29,874)
(186,686)
(107.0)
Informa
plc
..............
(4,319)
(30,639)
(17.6)
BlackRock
Total
Factor
Fund
25
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
Kingdom
(continued)
Just
Eat
Takeaway.com
NV
...
(6,865)
$
(186,471)
(106.9)
%
Liberty
Global
plc,
Class
C
...
(1,879)
(44,532)
(25.5)
Linde
plc
...............
(555)
(173,138)
(99.2)
M&G
plc
...............
(19,321)
(51,296)
(29.4)
Melrose
Industries
plc
......
(17,007)
(24,713)
(14.2)
National
Grid
plc
..........
(33,195)
(493,177)
(282.6)
NatWest
Group
plc
........
(60,718)
(162,894)
(93.3)
Ocado
Group
plc
.........
(20,988)
(240,032)
(137.5)
Phoenix
Group
Holdings
plc
..
(33,702)
(255,272)
(146.3)
Prudential
plc
............
(3,005)
(37,408)
(21.4)
Rolls-Royce
Holdings
plc
....
(115,419)
(118,323)
(67.8)
Smith
&
Nephew
plc
.......
(2,694)
(43,666)
(25.0)
SSE
plc
................
(13,063)
(303,399)
(173.9)
Standard
Chartered
plc
.....
(11,920)
(81,489)
(46.7)
Unilever
plc
.............
(5,545)
(257,788)
(147.7)
(3,665,826)
United
States
10X
Genomics,
Inc.,
Class
A
..
(583)
(27,844)
(16.0)
AbbVie,
Inc.
.............
(191)
(28,054)
(16.1)
Affirm
Holdings,
Inc.
.......
(910)
(26,117)
(15.0)
Aflac,
Inc.
..............
(2,340)
(134,035)
(76.8)
Air
Products
and
Chemicals,
Inc.
(2,104)
(492,483)
(282.2)
Albemarle
Corp.
..........
(141)
(27,189)
(15.6)
Allegion
plc
.............
(198)
(22,620)
(13.0)
Allstate
Corp.
(The)
........
(1,098)
(138,941)
(79.6)
Alnylam
Pharmaceuticals,
Inc.
.
(204)
(27,220)
(15.6)
AMC
Entertainment
Holdings,
Inc.,
Class
A
...........
(85)
(1,301)
(0.7)
Ameren
Corp.
............
(5,754)
(534,547)
(306.3)
Analog
Devices,
Inc.
.......
(1,607)
(248,089)
(142.2)
Anthem,
Inc.
............
(77)
(38,649)
(22.1)
Aon
plc,
Class
A
..........
(293)
(84,381)
(48.4)
Arthur
J
Gallagher
&
Co.
....
(1,175)
(197,976)
(113.4)
AT&T,
Inc.
..............
(4,114)
(77,590)
(44.5)
Avalara,
Inc.
.............
(1,967)
(149,630)
(85.7)
Avantor,
Inc.
.............
(2,356)
(75,109)
(43.0)
Ball
Corp.
..............
(1,819)
(147,630)
(84.6)
Bausch
Health
Cos.,
Inc.
....
(95)
(1,805)
(1.0)
Becton
Dickinson
and
Co.
...
(1,217)
(300,830)
(172.4)
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(132)
(67,592)
(38.7)
Block,
Inc.
..............
(617)
(61,416)
(35.2)
Boeing
Co.
(The)
.........
(1,706)
(253,921)
(145.5)
Boston
Scientific
Corp.
......
(287)
(12,086)
(6.9)
Bristol-Myers
Squibb
Co.
....
(686)
(51,635)
(29.6)
Broadcom,
Inc.
...........
(77)
(42,688)
(24.5)
Brookfield
Renewable
Corp.
..
(492)
(17,667)
(10.1)
Brown
&
Brown,
Inc.
.......
(2,087)
(129,352)
(74.1)
Brown-Forman
Corp.,
Class
B
.
(849)
(57,257)
(32.8)
Burlington
Stores,
Inc.
......
(436)
(88,752)
(50.9)
Cable
One,
Inc.
..........
(60)
(69,972)
(40.1)
Caesars
Entertainment,
Inc.
..
(1,954)
(129,511)
(74.2)
Campbell
Soup
Co.
........
(3,719)
(175,611)
(100.6)
CarMax,
Inc.
............
(1,208)
(103,622)
(59.4)
Carnival
Corp.
...........
(7,661)
(132,535)
(75.9)
Carvana
Co.
............
(1,648)
(95,518)
(54.7)
Catalent,
Inc.
............
(2,592)
(234,732)
(134.5)
Caterpillar,
Inc.
...........
(422)
(88,848)
(50.9)
CenterPoint
Energy,
Inc.
....
(1,890)
(57,853)
(33.2)
Ceridian
HCM
Holding,
Inc.
..
(3,105)
(174,284)
(99.9)
CF
Industries
Holdings,
Inc.
..
(655)
(63,424)
(36.3)
CH
Robinson
Worldwide,
Inc.
.
(441)
(46,812)
(26.8)
Charles
River
Laboratories
International,
Inc.
.......
(263)
(63,517)
(36.4)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Charter
Communications,
Inc.,
Class
A
..............
(8)
$
(3,428)
(2.0)
%
Chevron
Corp.
...........
(181)
(28,357)
(16.2)
Chewy,
Inc.,
Class
A
.......
(4,258)
(123,737)
(70.9)
Citizens
Financial
Group,
Inc.
.
(2,640)
(104,016)
(59.6)
Clarivate
plc
.............
(994)
(15,586)
(8.9)
Clorox
Co.
(The)
..........
(1,180)
(169,295)
(97.0)
Cloudflare,
Inc.,
Class
A
.....
(437)
(37,643)
(21.6)
Coinbase
Global,
Inc.,
Class
A
(916)
(103,242)
(59.2)
Conagra
Brands,
Inc.
.......
(6,697)
(233,926)
(134.0)
Constellation
Brands,
Inc.,
Class
A
..................
(1,167)
(287,187)
(164.6)
Cooper
Cos.,
Inc.
(The)
.....
(387)
(139,722)
(80.1)
Corning,
Inc.
............
(1,282)
(45,114)
(25.9)
CoStar
Group,
Inc.
........
(2,617)
(166,494)
(95.4)
Coterra
Energy,
Inc.
.......
(1,346)
(38,751)
(22.2)
Coupa
Software,
Inc.
.......
(728)
(62,826)
(36.0)
Crown
Holdings,
Inc.
.......
(235)
(25,859)
(14.8)
Danaher
Corp.
...........
(904)
(227,022)
(130.1)
DaVita,
Inc.
.............
(230)
(24,925)
(14.3)
Dell
Technologies,
Inc.,
Class
C
(1,061)
(49,878)
(28.6)
Delta
Air
Lines,
Inc.
........
(1,940)
(83,478)
(47.8)
Discover
Financial
Services
..
(551)
(61,965)
(35.5)
DISH
Network
Corp.,
Class
A
.
(5,701)
(162,536)
(93.1)
Dow,
Inc.
...............
(979)
(65,103)
(37.3)
Eastman
Chemical
Co.
.....
(459)
(47,126)
(27.0)
Elanco
Animal
Health,
Inc.
...
(6,976)
(176,563)
(101.2)
Entegris,
Inc.
............
(836)
(93,122)
(53.4)
Erie
Indemnity
Co.,
Class
A
..
(659)
(105,625)
(60.5)
Evergy,
Inc.
.............
(910)
(61,744)
(35.4)
Exact
Sciences
Corp.
......
(4,197)
(231,045)
(132.4)
Exxon
Mobil
Corp.
.........
(1,247)
(106,307)
(60.9)
F5,
Inc.
................
(414)
(69,308)
(39.7)
Fidelity
National
Information
Services,
Inc.
..........
(1,460)
(144,759)
(83.0)
First
Citizens
BancShares,
Inc.,
Class
A
..............
(390)
(249,358)
(142.9)
Ford
Motor
Co.
...........
(9,026)
(127,808)
(73.2)
Generac
Holdings,
Inc.
.....
(337)
(73,931)
(42.4)
General
Electric
Co.
.......
(1,747)
(130,239)
(74.6)
Globe
Life,
Inc.
...........
(810)
(79,445)
(45.5)
Guidewire
Software,
Inc.
....
(654)
(56,859)
(32.6)
HCA
Healthcare,
Inc.
.......
(895)
(192,022)
(110.0)
HEICO
Corp.
............
(786)
(111,007)
(63.6)
Hess
Corp.
.............
(269)
(27,726)
(15.9)
Hilton
Worldwide
Holdings,
Inc.
(514)
(79,819)
(45.7)
Honeywell
International,
Inc.
..
(69)
(13,352)
(7.7)
Huntington
Bancshares,
Inc.
..
(9,330)
(122,689)
(70.3)
Huntington
Ingalls
Industries,
Inc.
.................
(355)
(75,523)
(43.3)
IAC/InterActiveCorp
........
(1,242)
(102,937)
(59.0)
Illumina,
Inc.
............
(274)
(81,282)
(46.6)
International
Business
Machines
Corp.
...............
(655)
(86,598)
(49.6)
International
Flavors
&
Fragrances,
Inc.
........
(288)
(34,934)
(20.0)
International
Paper
Co.
.....
(2,002)
(92,653)
(53.1)
IPG
Photonics
Corp.
.......
(1,126)
(106,384)
(61.0)
IQVIA
Holdings,
Inc.
.......
(611)
(133,192)
(76.3)
J
M
Smucker
Co.
(The)
.....
(2,196)
(300,698)
(172.3)
Jack
Henry
&
Associates,
Inc.
.
(779)
(147,683)
(84.6)
Jazz
Pharmaceuticals
plc
....
(144)
(23,072)
(13.2)
Kellogg
Co.
.............
(2,119)
(145,152)
(83.2)
Kimberly-Clark
Corp.
.......
(1,977)
(274,467)
(157.3)
Kinder
Morgan,
Inc.
........
(14,463)
(262,503)
(150.4)
BlackRock
Total
Factor
Fund
26
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Kraft
Heinz
Co.
(The)
.......
(1,415)
$
(60,321)
(34.6)
%
Las
Vegas
Sands
Corp.
.....
(3,350)
(118,691)
(68.0)
Lear
Corp.
..............
(677)
(86,615)
(49.6)
Leidos
Holdings,
Inc.
.......
(1,586)
(164,167)
(94.1)
Liberty
Broadband
Corp.,
Class
C
..................
(933)
(104,328)
(59.8)
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(2,085)
(129,958)
(74.5)
Liberty
Media
Corp-Liberty
SiriusXM,
Class
C
.......
(931)
(38,990)
(22.3)
Lucid
Group,
Inc.
.........
(2,129)
(38,492)
(22.1)
Lumen
Technologies,
Inc.
....
(3,866)
(38,892)
(22.3)
M&T
Bank
Corp.
..........
(401)
(66,823)
(38.3)
MarketAxess
Holdings,
Inc.
..
(230)
(60,630)
(34.7)
Marriott
International,
Inc.,
Class
A
..................
(353)
(62,665)
(35.9)
Marsh
&
McLennan
Cos.,
Inc.
.
(282)
(45,599)
(26.1)
Martin
Marietta
Materials,
Inc.
.
(485)
(171,797)
(98.4)
Match
Group,
Inc.
.........
(1,496)
(118,408)
(67.9)
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(1,407)
(141,502)
(81.1)
McKesson
Corp.
..........
(236)
(73,068)
(41.9)
MGM
Resorts
International
...
(2,917)
(119,714)
(68.6)
Mondelez
International,
Inc.,
Class
A
..............
(2,162)
(139,406)
(79.9)
Morgan
Stanley
..........
(1,024)
(82,524)
(47.3)
Mosaic
Co.
(The)
.........
(339)
(21,160)
(12.1)
Motorola
Solutions,
Inc.
.....
(147)
(31,412)
(18.0)
Netflix,
Inc.
..............
(208)
(39,595)
(22.7)
Newell
Brands,
Inc.
........
(1,798)
(41,624)
(23.9)
NortonLifeLock,
Inc.
.......
(1,908)
(47,776)
(27.4)
Novavax,
Inc.
............
(264)
(11,898)
(6.8)
NRG
Energy,
Inc.
.........
(2,700)
(96,930)
(55.5)
Occidental
Petroleum
Corp.
..
(578)
(31,842)
(18.2)
Omnicom
Group,
Inc.
.......
(3,205)
(243,997)
(139.8)
ON
Semiconductor
Corp.
....
(307)
(15,998)
(9.2)
Oracle
Corp.
............
(1,370)
(100,558)
(57.6)
PACCAR,
Inc.
...........
(1,765)
(146,583)
(84.0)
Packaging
Corp.
of
America
..
(628)
(101,215)
(58.0)
Paramount
Global,
Class
B
...
(1,838)
(53,523)
(30.7)
Paycom
Software,
Inc.
......
(119)
(33,495)
(19.2)
Peloton
Interactive,
Inc.,
Class
A
(5,298)
(93,033)
(53.3)
PerkinElmer,
Inc.
.........
(1,183)
(173,440)
(99.4)
Pfizer,
Inc.
..............
(3,055)
(149,909)
(85.9)
PG&E
Corp.
.............
(5,155)
(65,211)
(37.4)
Plug
Power,
Inc.
..........
(3,862)
(81,179)
(46.5)
PNC
Financial
Services
Group,
Inc.
(The)
............
(494)
(82,053)
(47.0)
PPL
Corp.
..............
(6,252)
(176,994)
(101.4)
Progressive
Corp.
(The)
.....
(3,842)
(412,477)
(236.4)
PTC,
Inc.
...............
(767)
(87,599)
(50.2)
QIAGEN
NV
.............
(2,398)
(110,589)
(63.4)
Qorvo,
Inc.
..............
(247)
(28,104)
(16.1)
Quest
Diagnostics,
Inc.
.....
(635)
(84,988)
(48.7)
Republic
Services,
Inc.
.....
(2,233)
(299,825)
(171.8)
ResMed,
Inc.
............
(50)
(9,998)
(5.7)
Rollins,
Inc.
.............
(4,691)
(157,336)
(90.2)
Roper
Technologies,
Inc.
....
(680)
(319,546)
(183.1)
Ross
Stores,
Inc.
.........
(225)
(22,448)
(12.9)
Royal
Caribbean
Cruises
Ltd.
.
(2,161)
(167,975)
(96.3)
Royalty
Pharma
plc,
Class
A
..
(1,920)
(81,754)
(46.8)
RPM
International,
Inc.
.....
(4,398)
(364,594)
(208.9)
S&P
Global,
Inc.
..........
(163)
(61,369)
(35.2)
Seagen,
Inc.
............
(274)
(35,897)
(20.6)
SEI
Investments
Co.
.......
(681)
(37,945)
(21.7)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Sensata
Technologies
Holding
plc
.................
(1,585)
$
(71,975)
(41.2)
%
Sherwin-Williams
Co.
(The)
..
(564)
(155,077)
(88.9)
Signature
Bank
...........
(79)
(19,138)
(11.0)
Sirius
XM
Holdings,
Inc.
.....
(14,195)
(85,170)
(48.8)
Snap,
Inc.,
Class
A
........
(1,087)
(30,936)
(17.7)
SoFi
Technologies,
Inc.
.....
(3,645)
(22,307)
(12.8)
Southern
Co.
(The)
........
(2,963)
(217,455)
(124.6)
SS&C
Technologies
Holdings,
Inc.
.................
(1,908)
(123,371)
(70.7)
Stanley
Black
&
Decker,
Inc.
..
(1,134)
(136,250)
(78.1)
STERIS
plc
.............
(1,250)
(280,063)
(160.5)
Stryker
Corp.
............
(293)
(70,689)
(40.5)
Swiss
Re
AG
............
(516)
(42,316)
(24.2)
Sysco
Corp.
.............
(1,220)
(104,286)
(59.8)
T
Rowe
Price
Group,
Inc.
....
(628)
(77,269)
(44.3)
Take-Two
Interactive
Software,
Inc.
.................
(727)
(86,884)
(49.8)
Teladoc
Health,
Inc.
........
(3,006)
(101,483)
(58.2)
Teledyne
Technologies,
Inc.
..
(281)
(121,266)
(69.5)
Teleflex,
Inc.
.............
(231)
(65,978)
(37.8)
Tenaris
SA
..............
(21,990)
(336,055)
(192.6)
Thermo
Fisher
Scientific,
Inc.
.
(794)
(439,018)
(251.6)
TJX
Cos.,
Inc.
(The)
.......
(717)
(43,938)
(25.2)
Trade
Desk,
Inc.
(The),
Class
A
(1,646)
(96,982)
(55.6)
Tradeweb
Markets,
Inc.,
Class
A
(275)
(19,577)
(11.2)
TransUnion
.............
(430)
(37,634)
(21.6)
Truist
Financial
Corp.
.......
(679)
(32,830)
(18.8)
Twilio,
Inc.,
Class
A
........
(737)
(82,411)
(47.2)
Tyler
Technologies,
Inc.
.....
(711)
(280,639)
(160.8)
Unity
Software,
Inc.
........
(935)
(62,093)
(35.6)
Universal
Health
Services,
Inc.,
Class
B
..............
(910)
(111,502)
(63.9)
Upstart
Holdings,
Inc.
......
(387)
(29,033)
(16.6)
US
Bancorp
.............
(5,079)
(246,636)
(141.3)
Verisk
Analytics,
Inc.
.......
(165)
(33,668)
(19.3)
VF
Corp.
...............
(2,839)
(147,628)
(84.6)
Vimeo,
Inc.
.............
(1)
(10)
(0.0)
Vulcan
Materials
Co.
.......
(533)
(91,831)
(52.6)
W
R
Berkley
Corp.
........
(2,949)
(196,079)
(112.4)
Walmart,
Inc.
............
(511)
(78,178)
(44.8)
Warner
Bros
Discovery,
Inc.
..
(4,283)
(77,736)
(44.5)
Waste
Connections,
Inc.
.....
(2,855)
(393,904)
(225.7)
Waste
Management,
Inc.
....
(4,182)
(687,688)
(394.1)
Wayfair,
Inc.,
Class
A
.......
(198)
(15,234)
(8.7)
WEC
Energy
Group,
Inc.
....
(428)
(42,821)
(24.5)
Western
Union
Co.
(The)
....
(5,613)
(94,074)
(53.9)
Whirlpool
Corp.
...........
(370)
(67,162)
(38.5)
Williams
Cos.,
Inc.
(The)
....
(3,844)
(131,811)
(75.5)
Willis
Towers
Watson
plc
....
(324)
(69,615)
(39.9)
Wynn
Resorts
Ltd.
........
(474)
(33,408)
(19.1)
Xylem,
Inc.
..............
(1,443)
(116,161)
(66.6)
Zendesk,
Inc.
............
(252)
(30,754)
(17.6)
Zillow
Group,
Inc.,
Class
C
...
(1,072)
(42,687)
(24.5)
Zimmer
Biomet
Holdings,
Inc.
.
(3,157)
(381,208)
(218.4)
Zoetis,
Inc.
..............
(1,041)
(184,517)
(105.7)
Zoom
Video
Communications,
Inc.,
Class
A
...........
(907)
(90,310)
(51.8)
(24,048,871)
BlackRock
Total
Factor
Fund
27
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Preferred
Securities
Germany
Bayerische
Motoren
Werke
AG
(Preference)
..........
(434)
$
(31,972)
(18.3)
%
FUCHS
PETROLUB
SE
(Preference)
..........
(1,202)
(37,913)
(21.7)
Porsche
Automobil
Holding
SE
(Preference)
..........
(2,848)
(234,903)
(134.6)
Sartorius
AG
(Preference)
...
(357)
(133,850)
(76.7)
Volkswagen
AG
(Preference)
.
(173)
(26,792)
(15.4)
(465,430)
Total
Reference
Entity
—
Short
............
(60,682,209)
Net
Value
of
Reference
Entity
—
BNP
Paribas
SA
$
174,513
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
period
end,
termination
dates
February
24,
2023
–
February
27,
2023:
Reference
Entity
—
Long
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
......
5,402
125,339
93.3
ASX
Ltd.
...............
2,498
151,028
112.4
Aurizon
Holdings
Ltd.
......
86,527
244,362
181.8
Cochlear
Ltd.
............
1,147
184,745
137.5
IDP
Education
Ltd.
........
2,844
52,760
39.3
Tabcorp
Holdings
Ltd.
......
1,550
5,928
4.4
764,162
Austria
voestalpine
AG
...........
144
3,747
2.8
Belgium
Umicore
SA
.............
530
20,375
15.2
Brazil
Wheaton
Precious
Metals
Corp.
1,477
66,202
49.3
Canada
Alimentation
Couche-Tard,
Inc.
2,057
91,573
68.1
AltaGas
Ltd.
.............
1,440
32,933
24.5
Canadian
National
Railway
Co.
199
23,403
17.4
Canadian
Pacific
Railway
Ltd.
.
364
26,626
19.8
Canadian
Tire
Corp.
Ltd.,
Class
A
..................
465
64,050
47.7
Constellation
Software,
Inc.
..
107
168,404
125.3
Franco-Nevada
Corp.
......
1,361
205,827
153.2
Gildan
Activewear,
Inc.
......
739
25,041
18.6
Hydro
One
Ltd.
...........
903
24,412
18.2
Open
Text
Corp.
..........
510
20,425
15.2
Parkland
Corp.
...........
1,181
33,546
25.0
Power
Corp.
of
Canada
.....
4,032
118,639
88.3
Shaw
Communications,
Inc.,
Class
B
..............
3,353
99,860
74.3
Suncor
Energy,
Inc.
........
722
25,954
19.3
Teck
Resources
Ltd.,
Class
B
.
581
22,921
17.1
Thomson
Reuters
Corp.
.....
1,310
130,975
97.5
TMX
Group
Ltd.
..........
193
19,649
14.6
Toronto-Dominion
Bank
(The)
.
591
42,688
31.8
West
Fraser
Timber
Co.
Ltd.
..
293
25,752
19.2
1,202,678
China
BOC
Hong
Kong
Holdings
Ltd.
120,000
434,384
323.3
Shares
Value
%
of
Basket
Value
Denmark
AP
Moller
-
Maersk
A/S,
Class
B
33
$
95,509
71.1
%
Coloplast
A/S,
Class
B
......
1,035
139,444
103.8
DSV
A/S
...............
141
23,117
17.2
258,070
Finland
Elisa
OYJ
..............
1,327
77,791
57.9
Kesko
OYJ,
Class
B
.......
819
20,619
15.3
Nordea
Bank
Abp
.........
2,045
20,389
15.2
Stora
Enso
OYJ,
Class
R
....
4,878
95,997
71.4
214,796
France
Amundi
SA
.............
1,111
66,804
49.7
Arkema
SA
.............
1,852
211,025
157.1
BioMerieux
.............
2,538
241,622
179.8
BNP
Paribas
SA
..........
1,225
63,518
47.3
Bureau
Veritas
SA
.........
1,120
32,174
24.0
Capgemini
SE
...........
660
134,362
100.0
Cie
de
Saint-Gobain
.......
2,638
153,896
114.5
Dassault
Systemes
SE
.....
2,569
113,612
84.6
Eiffage
SA
..............
223
22,021
16.4
Engie
SA
...............
3,507
41,384
30.8
Eurazeo
SE
.............
2,910
223,602
166.4
Hermes
International
.......
73
90,013
67.0
Ipsen
SA
...............
2,709
280,825
209.0
La
Francaise
des
Jeux
SAEM
.
8,247
307,951
229.2
Orange
SA
..............
64,344
766,041
570.1
Pernod
Ricard
SA
.........
111
22,909
17.1
Publicis
Groupe
SA
........
12,586
755,622
562.4
SEB
SA
................
431
51,758
38.5
Teleperformance
..........
777
278,874
207.5
Vivendi
SE
..............
5,970
68,569
51.0
Wendel
SE
.............
933
92,959
69.2
4,019,541
Germany
Brenntag
SE
............
1,381
106,563
79.3
Deutsche
Bank
AG
(Registered)
2,385
23,848
17.8
Deutsche
Post
AG
(Registered)
558
23,839
17.7
Evonik
Industries
AG
.......
802
20,978
15.6
HeidelbergCement
AG
......
1,067
61,467
45.8
Nemetschek
SE
..........
1,790
142,044
105.7
Siemens
AG
(Registered)
....
244
30,001
22.3
Symrise
AG
.............
211
25,108
18.7
433,848
Hong
Kong
Power
Assets
Holdings
Ltd.
..
3,500
23,573
17.6
Sun
Hung
Kai
Properties
Ltd.
.
6,500
74,861
55.7
98,434
Ireland
Smurfit
Kappa
Group
plc
....
561
23,705
17.7
Israel
Bank
Hapoalim
BM
........
11,399
105,682
78.7
Israel
Discount
Bank
Ltd.,
Class
A
..................
9,702
57,304
42.6
162,986
Italy
Assicurazioni
Generali
SpA
...
9,330
176,646
131.5
Coca-Cola
HBC
AG
........
328
6,650
4.9
Enel
SpA
...............
1,969
12,804
9.5
Intesa
Sanpaolo
SpA
.......
10,118
20,618
15.3
Prysmian
SpA
...........
1,874
60,952
45.4
BlackRock
Total
Factor
Fund
28
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Italy
(continued)
Snam
SpA
..............
4,198
$
23,024
17.1
%
300,694
Japan
Advantest
Corp.
..........
1,600
109,197
81.3
Aisin
Corp.
..............
900
26,146
19.5
Ajinomoto
Co.,
Inc.
........
2,000
51,963
38.7
Asahi
Kasei
Corp.
.........
11,800
96,815
72.1
Astellas
Pharma,
Inc.
.......
20,200
307,559
228.9
Capcom
Co.
Ltd.
..........
1,000
26,387
19.6
Chugai
Pharmaceutical
Co.
Ltd.
4,100
122,857
91.4
Dai
Nippon
Printing
Co.
Ltd.
..
2,500
52,245
38.9
Daiwa
House
Industry
Co.
Ltd.
1,500
36,060
26.8
Dentsu
Group,
Inc.
........
1,400
50,458
37.6
ENEOS
Holdings,
Inc.
......
2,800
9,852
7.3
Hoya
Corp.
.............
1,100
109,166
81.2
Isuzu
Motors
Ltd.
.........
1,800
20,998
15.6
Japan
Tobacco,
Inc.
.......
900
15,311
11.4
Kajima
Corp.
............
5,200
57,951
43.1
KDDI
Corp.
.............
3,500
115,901
86.3
Kikkoman
Corp.
..........
600
33,721
25.1
Lawson,
Inc.
............
1,700
62,526
46.5
Marubeni
Corp.
...........
28,100
306,729
228.3
Mazda
Motor
Corp.
........
5,600
39,764
29.6
McDonald's
Holdings
Co.
Japan
Ltd.
................
1,600
63,477
47.2
Mitsubishi
Chemical
Holdings
Corp.
...............
2,800
17,073
12.7
Mitsubishi
Gas
Chemical
Co.,
Inc.
.................
1,200
17,524
13.0
Mitsui
Chemicals,
Inc.
......
1,400
31,987
23.8
NEC
Corp.
..............
900
34,916
26.0
NGK
Insulators
Ltd.
........
8,500
114,339
85.1
NIPPON
EXPRESS
HOLDINGS,
Inc.
.................
1,300
76,220
56.7
Nippon
Telegraph
&
Telephone
Corp.
...............
7,000
206,286
153.5
Nippon
Yusen
KK
.........
400
28,858
21.5
Nitto
Denko
Corp.
.........
1,100
73,833
54.9
Nomura
Real
Estate
Holdings,
Inc.
.................
2,100
51,168
38.1
Olympus
Corp.
...........
4,600
80,965
60.3
Ono
Pharmaceutical
Co.
Ltd.
.
900
23,122
17.2
Osaka
Gas
Co.
Ltd.
........
6,100
109,943
81.8
Otsuka
Holdings
Co.
Ltd.
....
1,500
50,404
37.5
Panasonic
Holdings
Corp.
...
6,100
54,371
40.5
Recruit
Holdings
Co.
Ltd.
....
200
7,256
5.4
Resona
Holdings,
Inc.
......
6,000
26,091
19.4
Ricoh
Co.
Ltd.
...........
3,800
27,747
20.7
Seiko
Epson
Corp.
........
3,900
54,941
40.9
Sekisui
House
Ltd.
........
3,000
52,104
38.8
Shimadzu
Corp.
..........
4,900
160,192
119.2
Sohgo
Security
Services
Co.
Ltd.
................
500
13,889
10.3
Sompo
Holdings,
Inc.
......
1,800
73,278
54.5
Subaru
Corp.
............
2,500
37,937
28.2
Sumitomo
Chemical
Co.
Ltd.
..
13,700
58,255
43.4
Suzuki
Motor
Corp.
........
500
15,073
11.2
Sysmex
Corp.
...........
200
13,120
9.8
Terumo
Corp.
............
800
23,812
17.7
Tokyo
Gas
Co.
Ltd.
........
9,600
183,883
136.8
TOPPAN,
Inc.
............
3,000
49,589
36.9
Toray
Industries,
Inc.
.......
25,200
119,430
88.9
Toyo
Suisan
Kaisha
Ltd.
.....
500
15,438
11.5
Trend
Micro,
Inc.
..........
400
22,303
16.6
Shares
Value
%
of
Basket
Value
Japan
(continued)
Yamaha
Corp.
...........
3,500
$
133,724
99.5
%
Yamaha
Motor
Co.
Ltd.
.....
4,300
88,777
66.1
3,862,931
Netherlands
NN
Group
NV
............
423
20,719
15.4
Norway
Mowi
ASA
..............
904
25,535
19.0
Orkla
ASA
..............
5,395
43,778
32.6
69,313
Portugal
Galp
Energia
SGPS
SA
.....
2,741
33,363
24.8
Singapore
Singapore
Airlines
Ltd.
......
5,200
20,497
15.2
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
5,151
27,029
20.1
Industria
de
Diseno
Textil
SA
..
1,654
34,680
25.8
Repsol
SA
..............
5,515
82,272
61.2
143,981
Sweden
Alfa
Laval
AB
............
610
16,980
12.6
Assa
Abloy
AB,
Class
B
.....
1,207
30,503
22.7
Industrivarden
AB,
Class
C
...
1,060
26,690
19.9
Investor
AB,
Class
B
.......
6,581
126,638
94.3
Kinnevik
AB,
Class
B
.......
976
19,103
14.2
Skanska
AB,
Class
B
.......
959
18,319
13.6
238,233
Switzerland
Baloise
Holding
AG
(Registered)
607
105,582
78.6
Julius
Baer
Group
Ltd.
......
997
47,644
35.5
Novartis
AG
(Registered)
....
928
82,007
61.0
Roche
Holding
AG
........
1,483
549,917
409.3
SGS
SA
(Registered)
.......
17
43,682
32.5
Straumann
Holding
AG
(Registered)
...........
200
23,578
17.6
852,410
United
Kingdom
abrdn
plc
...............
8,625
20,253
15.1
Aviva
plc
...............
2,022
10,848
8.1
BAE
Systems
plc
.........
4,760
43,967
32.7
Berkeley
Group
Holdings
plc
..
424
21,504
16.0
CK
Hutchison
Holdings
Ltd.
..
23,500
164,921
122.7
CNH
Industrial
NV
.........
1,311
18,572
13.8
Croda
International
plc
......
374
36,325
27.0
Entain
plc
..............
1,263
23,732
17.7
Imperial
Brands
plc
........
4,341
90,360
67.2
InterContinental
Hotels
Group
plc
.................
585
37,346
27.8
Intertek
Group
plc
.........
986
61,443
45.7
J
Sainsbury
plc
...........
23,652
69,011
51.4
Johnson
Matthey
plc
.......
931
25,610
19.1
Legal
&
General
Group
plc
...
25,430
79,268
59.0
Sage
Group
plc
(The)
......
2,541
23,318
17.3
Smiths
Group
plc
.........
3,010
55,081
41.0
781,559
United
States
3M
Co.
................
322
46,439
34.6
ABIOMED,
Inc.
...........
232
66,487
49.5
Agilent
Technologies,
Inc.
....
583
69,534
51.7
BlackRock
Total
Factor
Fund
29
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Ally
Financial,
Inc.
.........
4,690
$
187,412
139.5
%
Amazon.com,
Inc.
.........
8
19,885
14.8
AMERCO
..............
39
20,884
15.5
American
Water
Works
Co.,
Inc.
182
28,043
20.9
Ameriprise
Financial,
Inc.
....
230
61,063
45.4
ANSYS,
Inc.
.............
326
89,875
66.9
Apple,
Inc.
..............
218
34,368
25.6
Autodesk,
Inc.
...........
173
32,745
24.4
Avery
Dennison
Corp.
......
799
144,299
107.4
Biogen,
Inc.
.............
203
42,110
31.3
Booz
Allen
Hamilton
Holding
Corp.
...............
384
31,346
23.3
Bunge
Ltd.
..............
226
25,565
19.0
Capital
One
Financial
Corp.
..
311
38,757
28.8
Cboe
Global
Markets,
Inc.
...
245
27,680
20.6
CBRE
Group,
Inc.,
Class
A
...
1,097
91,095
67.8
CDW
Corp.
.............
383
62,498
46.5
Chipotle
Mexican
Grill,
Inc.
...
38
55,313
41.2
CMS
Energy
Corp.
........
1,228
84,351
62.8
Cognex
Corp.
............
1,976
133,637
99.5
Colgate-Palmolive
Co.
......
1,819
140,154
104.3
Comcast
Corp.,
Class
A
.....
852
33,876
25.2
ConocoPhillips
...........
977
93,323
69.5
Consolidated
Edison,
Inc.
....
1,198
111,103
82.7
Copart,
Inc.
.............
697
79,214
59.0
Cummins,
Inc.
...........
530
100,271
74.6
Darden
Restaurants,
Inc.
....
136
17,915
13.3
Devon
Energy
Corp.
.......
191
11,110
8.3
Dexcom,
Inc.
............
22
8,989
6.7
Diamondback
Energy,
Inc.
...
696
87,856
65.4
DocuSign,
Inc.
...........
446
36,126
26.9
Dominion
Energy,
Inc.
......
846
69,067
51.4
Domino's
Pizza,
Inc.
.......
163
55,094
41.0
Dover
Corp.
.............
1,443
192,352
143.2
DR
Horton,
Inc.
...........
340
23,661
17.6
Dropbox,
Inc.,
Class
A
......
4,703
102,290
76.1
DTE
Energy
Co.
..........
118
15,463
11.5
Duke
Energy
Corp.
........
432
47,589
35.4
Eaton
Corp.
plc
...........
514
74,540
55.5
Edison
International
........
484
33,294
24.8
Edwards
Lifesciences
Corp.
..
903
95,519
71.1
Electronic
Arts,
Inc.
........
213
25,145
18.7
Eli
Lilly
&
Co.
............
169
49,370
36.7
Emerson
Electric
Co.
.......
262
23,627
17.6
Equifax,
Inc.
.............
157
31,953
23.8
Equitable
Holdings,
Inc.
.....
1,380
39,785
29.6
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
82
21,653
16.1
Everest
Re
Group
Ltd.
......
102
28,020
20.9
Eversource
Energy
........
1,296
113,270
84.3
Expedia
Group,
Inc.
........
296
51,726
38.5
Expeditors
International
of
Washington,
Inc.
........
6,527
646,630
481.2
FactSet
Research
Systems,
Inc.
16
6,456
4.8
First
Republic
Bank
........
121
18,056
13.4
FMC
Corp.
..............
1,652
218,956
162.9
Fortinet,
Inc.
.............
771
222,827
165.8
Garmin
Ltd.
.............
212
23,265
17.3
Hartford
Financial
Services
Group,
Inc.
(The)
.......
351
24,545
18.3
Hershey
Co.
(The)
........
151
34,091
25.4
Hologic,
Inc.
.............
833
59,968
44.6
Home
Depot,
Inc.
(The)
.....
75
22,530
16.8
IDEX
Corp.
.............
248
47,075
35.0
Illinois
Tool
Works,
Inc.
......
559
110,185
82.0
Shares
Value
%
of
Basket
Value
United
States
(continued)
Incyte
Corp.
.............
644
$
48,274
35.9
%
Inmode
Ltd.
.............
513
12,881
9.6
Intuit,
Inc.
..............
255
106,781
79.5
Jacobs
Engineering
Group,
Inc.
769
106,545
79.3
James
Hardie
Industries
plc,
CDI
................
3,443
99,256
73.9
Juniper
Networks,
Inc.
......
1,989
62,693
46.7
Keysight
Technologies,
Inc.
...
1,193
167,342
124.5
Knight-Swift
Transportation
Holdings,
Inc.
..........
1,547
74,086
55.1
Lam
Research
Corp.
.......
194
90,357
67.2
Lennox
International,
Inc.
....
289
61,612
45.9
Lincoln
National
Corp.
......
335
20,150
15.0
Lowe's
Cos.,
Inc.
.........
267
52,794
39.3
Lyft,
Inc.,
Class
A
.........
2,203
71,818
53.4
Masco
Corp.
............
352
18,547
13.8
Masimo
Corp.
............
647
73,092
54.4
Mettler-Toledo
International,
Inc.
154
196,740
146.4
Microsoft
Corp.
...........
96
26,642
19.8
Molson
Coors
Beverage
Co.,
Class
B
..............
380
20,573
15.3
Monster
Beverage
Corp.
....
934
80,025
59.6
Moody's
Corp.
...........
86
27,217
20.3
MSCI,
Inc.
..............
106
44,653
33.2
Nordson
Corp.
...........
424
91,453
68.1
Northern
Trust
Corp.
.......
373
38,438
28.6
Old
Dominion
Freight
Line,
Inc.
319
89,358
66.5
ONEOK,
Inc.
............
1,092
69,156
51.5
O'Reilly
Automotive,
Inc.
....
65
39,426
29.3
Palo
Alto
Networks,
Inc.
.....
43
24,135
18.0
Paychex,
Inc.
............
333
42,201
31.4
Pentair
plc
..............
1,643
83,382
62.1
Phillips
66
..............
281
24,380
18.1
Pioneer
Natural
Resources
Co.
103
23,944
17.8
Regions
Financial
Corp.
.....
3,507
72,665
54.1
Robert
Half
International,
Inc.
.
5
492
0.4
ServiceNow,
Inc.
..........
467
223,273
166.2
Skyworks
Solutions,
Inc.
....
326
36,936
27.5
Splunk,
Inc.
.............
387
47,222
35.1
State
Street
Corp.
.........
300
20,091
14.9
SVB
Financial
Group
.......
43
20,969
15.6
Trane
Technologies
plc
.....
246
34,413
25.6
Trimble,
Inc.
.............
710
47,357
35.2
Ulta
Beauty,
Inc.
..........
366
145,229
108.1
United
Rentals,
Inc.
........
139
43,996
32.7
Veeva
Systems,
Inc.,
Class
A
.
690
125,546
93.4
VeriSign,
Inc.
............
480
85,771
63.8
Verizon
Communications,
Inc.
.
603
27,919
20.8
Vertex
Pharmaceuticals,
Inc.
..
218
59,562
44.3
VMware,
Inc.,
Class
A
......
187
20,203
15.0
Waters
Corp.
............
315
95,451
71.0
Workday,
Inc.,
Class
A
......
892
184,376
137.2
WW
Grainger,
Inc.
.........
60
30,002
22.3
Zebra
Technologies
Corp.,
Class
A
..................
22
8,133
6.1
7,958,882
Preferred
Securities
Germany
Henkel
AG
&
Co.
KGaA
(Preference)
..........
132
8,476
6.3
Total
Reference
Entity
—
Long
............
21,993,986
BlackRock
Total
Factor
Fund
30
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Short
Common
Stocks
Austria
Erste
Group
Bank
AG
......
(1,237)
$
(38,515)
(28.7)
%
Verbund
AG
.............
(630)
(67,340)
(50.1)
(105,855)
Belgium
Solvay
SA
..............
(338)
(31,785)
(23.7)
Brazil
Yara
International
ASA
......
(1,022)
(51,967)
(38.7)
Canada
Air
Canada
.............
(1,619)
(28,356)
(21.1)
Algonquin
Power
&
Utilities
Corp.
...............
(5,757)
(83,354)
(62.0)
BlackBerry
Ltd.
...........
(1,326)
(7,587)
(5.7)
Brookfield
Asset
Management,
Inc.,
Class
A
...........
(1,517)
(75,670)
(56.3)
CCL
Industries,
Inc.,
Class
B
..
(1,679)
(73,203)
(54.5)
Emera,
Inc.
.............
(710)
(34,283)
(25.5)
Enbridge,
Inc.
............
(1,883)
(82,171)
(61.2)
Fairfax
Financial
Holdings
Ltd.
(61)
(33,517)
(24.9)
FirstService
Corp.
.........
(180)
(22,444)
(16.7)
GFL
Environmental,
Inc.
.....
(801)
(24,130)
(18.0)
Great-West
Lifeco,
Inc.
.....
(8,712)
(240,340)
(178.9)
Imperial
Oil
Ltd.
..........
(1,498)
(75,422)
(56.1)
Ivanhoe
Mines
Ltd.,
Class
A
..
(6,057)
(48,564)
(36.1)
Metro
Inc/CN
............
(4,201)
(230,905)
(171.9)
Northland
Power,
Inc.
......
(6,512)
(196,528)
(146.3)
Quebecor,
Inc.,
Class
B
.....
(2,968)
(69,842)
(52.0)
TELUS
Corp.
............
(11,200)
(280,207)
(208.5)
(1,606,523)
China
Budweiser
Brewing
Co.
APAC
Ltd.
................
(6,900)
(17,169)
(12.8)
Chow
Tai
Fook
Jewellery
Group
Ltd.
................
(11,800)
(19,785)
(14.7)
NXP
Semiconductors
NV
....
(264)
(45,118)
(33.6)
Prosus
NV
..............
(3,681)
(177,530)
(132.1)
(259,602)
Denmark
Ambu
A/S,
Class
B
........
(1,839)
(24,206)
(18.0)
GN
Store
Nord
A/S
........
(1,468)
(55,093)
(41.0)
Orsted
A/S
..............
(692)
(76,556)
(57.0)
Vestas
Wind
Systems
A/S
...
(6,200)
(158,106)
(117.7)
(313,961)
France
Accor
SA
...............
(4,844)
(159,143)
(118.4)
Air
Liquide
SA
...........
(1,080)
(186,849)
(139.1)
Airbus
SE
..............
(1,863)
(203,946)
(151.8)
Alstom
SA
..............
(10,606)
(233,124)
(173.5)
AXA
SA
................
(4,125)
(109,127)
(81.2)
Bollore
SE
..............
(16,317)
(76,142)
(56.7)
Bouygues
SA
............
(3,338)
(114,771)
(85.4)
Carrefour
SA
............
(3,384)
(71,766)
(53.4)
Cie
Generale
des
Etablissements
Michelin
SCA
..........
(371)
(45,952)
(34.2)
Danone
SA
.............
(1,768)
(106,913)
(79.6)
Edenred
...............
(304)
(15,268)
(11.4)
EssilorLuxottica
SA
........
(143)
(24,346)
(18.1)
Faurecia
SE
.............
(3,542)
(76,996)
(57.3)
Getlink
SE
..............
(33,064)
(605,042)
(450.3)
Shares
Value
%
of
Basket
Value
France
(continued)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
............
(34)
$
(22,003)
(16.4)
%
Orpea
SA
..............
(3,410)
(121,950)
(90.8)
Remy
Cointreau
SA
........
(1,812)
(359,200)
(267.3)
Renault
SA
.............
(5,582)
(136,388)
(101.5)
Safran
SA
..............
(1,895)
(203,520)
(151.5)
Sartorius
Stedim
Biotech
....
(255)
(83,443)
(62.1)
Ubisoft
Entertainment
SA
....
(2,054)
(92,867)
(69.1)
Vinci
SA
...............
(190)
(18,436)
(13.7)
Worldline
SA/France
.......
(4,934)
(194,124)
(144.5)
(3,261,316)
Germany
BASF
SE
...............
(1,469)
(77,362)
(57.6)
Deutsche
Telekom
AG
(Registered)
...........
(2,230)
(41,079)
(30.6)
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(2,345)
(145,828)
(108.5)
KION
Group
AG
..........
(987)
(54,903)
(40.9)
LANXESS
AG
...........
(418)
(16,158)
(12.0)
Mercedes-Benz
Group
AG
...
(814)
(56,818)
(42.3)
Puma
SE
...............
(942)
(69,311)
(51.6)
Scout24
SE
.............
(426)
(26,944)
(20.0)
Siemens
Energy
AG
.......
(2,279)
(43,899)
(32.7)
Telefonica
Deutschland
Holding
AG
.................
(24,617)
(74,036)
(55.1)
Uniper
SE
..............
(1,137)
(29,226)
(21.7)
United
Internet
AG
(Registered),
Class
G
..............
(625)
(20,107)
(15.0)
Zalando
SE
.............
(1,582)
(62,246)
(46.3)
(717,917)
Hong
Kong
AIA
Group
Ltd.
...........
(11,000)
(108,061)
(80.4)
Hong
Kong
&
China
Gas
Co.
Ltd.
................
(129,150)
(142,442)
(106.0)
Melco
Resorts
&
Entertainment
Ltd.,
ADR
............
(1,297)
(7,419)
(5.5)
MTR
Corp.
Ltd.
...........
(119,839)
(636,718)
(473.9)
Wharf
Real
Estate
Investment
Co.
Ltd.
..............
(54,000)
(254,479)
(189.4)
(1,149,119)
Ireland
AerCap
Holdings
NV
.......
(1,006)
(46,990)
(35.0)
Kingspan
Group
plc
........
(234)
(21,782)
(16.2)
(68,772)
Israel
Check
Point
Software
Technologies
Ltd.
.......
(245)
(30,941)
(23.0)
Teva
Pharmaceutical
Industries
Ltd.,
ADR
............
(6,762)
(58,897)
(43.8)
Wix.com
Ltd.
............
(277)
(20,902)
(15.6)
(110,740)
Italy
Atlantia
SpA
.............
(2,620)
(62,502)
(46.5)
Infrastrutture
Wireless
Italiane
SpA
................
(8,806)
(93,963)
(69.9)
Nexi
SpA
...............
(6,348)
(62,261)
(46.3)
(218,726)
Japan
ANA
Holdings,
Inc.
........
(2,700)
(50,897)
(37.9)
Asahi
Intecc
Co.
Ltd.
.......
(1,200)
(23,189)
(17.3)
Canon,
Inc.
.............
(2,600)
(59,824)
(44.5)
BlackRock
Total
Factor
Fund
31
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
Concordia
Financial
Group
Ltd.
(6,400)
$
(23,290)
(17.3)
%
Cosmos
Pharmaceutical
Corp.
(100)
(9,219)
(6.9)
CyberAgent,
Inc.
..........
(600)
(6,339)
(4.7)
GMO
Payment
Gateway,
Inc.
.
(200)
(16,780)
(12.5)
Hitachi
Metals
Ltd.
........
(5,500)
(85,826)
(63.9)
Itochu
Techno-Solutions
Corp.
.
(2,500)
(58,540)
(43.6)
Japan
Post
Bank
Co.
Ltd.
....
(29,800)
(224,820)
(167.3)
Japan
Post
Holdings
Co.
Ltd.
.
(6,100)
(42,772)
(31.8)
JFE
Holdings,
Inc.
.........
(7,400)
(90,493)
(67.3)
Kansai
Electric
Power
Co.,
Inc.
(The)
...............
(4,400)
(38,570)
(28.7)
Keio
Corp.
..............
(400)
(15,341)
(11.4)
Kintetsu
Group
Holdings
Co.
Ltd.
................
(3,700)
(106,084)
(78.9)
Kobayashi
Pharmaceutical
Co.
Ltd.
................
(700)
(47,736)
(35.5)
Kobe
Bussan
Co.
Ltd.
......
(100)
(2,438)
(1.8)
Koito
Manufacturing
Co.
Ltd.
..
(1,000)
(36,695)
(27.3)
Konami
Holdings
Corp.
.....
(500)
(30,747)
(22.9)
Kose
Corp.
.............
(500)
(51,330)
(38.2)
Kubota
Corp.
............
(15,500)
(263,324)
(196.0)
Lasertec
Corp.
...........
(400)
(53,441)
(39.8)
M3,
Inc.
................
(900)
(28,741)
(21.4)
Mercari,
Inc.
.............
(800)
(13,110)
(9.8)
Mitsui
&
Co.
Ltd.
..........
(10,700)
(259,109)
(192.8)
Mitsui
OSK
Lines
Ltd.
......
(2,700)
(63,210)
(47.0)
Nexon
Co.
Ltd.
...........
(200)
(4,554)
(3.4)
Nidec
Corp.
.............
(300)
(19,395)
(14.4)
Nippon
Paint
Holdings
Co.
Ltd.
(21,500)
(170,309)
(126.7)
Nippon
Sanso
Holdings
Corp.
.
(1,000)
(17,995)
(13.4)
Nissan
Motor
Co.
Ltd.
......
(9,100)
(36,432)
(27.1)
NTT
Data
Corp.
..........
(3,100)
(57,158)
(42.5)
Obic
Co.
Ltd.
............
(500)
(73,870)
(55.0)
Odakyu
Electric
Railway
Co.
Ltd.
(1,800)
(27,257)
(20.3)
Open
House
Group
Co.
Ltd.
..
(1,100)
(42,564)
(31.7)
Otsuka
Corp.
............
(1,000)
(32,772)
(24.4)
Pan
Pacific
International
Holdings
Corp.
.........
(11,100)
(169,978)
(126.5)
Pola
Orbis
Holdings,
Inc.
....
(6,400)
(73,786)
(54.9)
Renesas
Electronics
Corp.
...
(10,300)
(109,983)
(81.9)
Ryohin
Keikaku
Co.
Ltd.
.....
(2,500)
(22,468)
(16.7)
Seven
&
i
Holdings
Co.
Ltd.
..
(500)
(22,108)
(16.5)
SG
Holdings
Co.
Ltd.
.......
(2,300)
(40,532)
(30.2)
Sharp
Corp.
.............
(2,800)
(23,692)
(17.6)
Shimano,
Inc.
............
(100)
(17,718)
(13.2)
Square
Enix
Holdings
Co.
Ltd.
.
(700)
(27,948)
(20.8)
SUMCO
Corp.
...........
(3,200)
(46,085)
(34.3)
Sumitomo
Electric
Industries
Ltd.
................
(3,400)
(36,553)
(27.2)
Sumitomo
Metal
Mining
Co.
Ltd.
(600)
(26,314)
(19.6)
T&D
Holdings,
Inc.
........
(3,500)
(44,977)
(33.5)
Takeda
Pharmaceutical
Co.
Ltd.
(4,700)
(136,378)
(101.5)
Tobu
Railway
Co.
Ltd.
......
(900)
(20,230)
(15.1)
Toho
Co.
Ltd.
............
(1,700)
(63,083)
(46.9)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
..........
(39,100)
(134,964)
(100.4)
Toyota
Motor
Corp.
........
(11,100)
(190,184)
(141.5)
Unicharm
Corp.
..........
(3,100)
(107,855)
(80.3)
Z
Holdings
Corp.
..........
(23,100)
(90,687)
(67.5)
(3,589,694)
Jordan
Hikma
Pharmaceuticals
plc
...
(3,441)
(80,831)
(60.2)
Shares
Value
%
of
Basket
Value
Luxembourg
Eurofins
Scientific
SE
......
(2,247)
$
(208,831)
(155.4)
%
Macau
Galaxy
Entertainment
Group
Ltd.
................
(25,000)
(142,654)
(106.2)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
(2,066)
(25,683)
(19.1)
Adyen
NV
..............
(8)
(13,418)
(10.0)
Akzo
Nobel
NV
...........
(259)
(22,467)
(16.7)
Argenx
SE
..............
(149)
(42,928)
(31.9)
Euronext
NV
............
(276)
(22,114)
(16.5)
IMCD
NV
...............
(243)
(38,691)
(28.8)
JDE
Peet's
NV
...........
(2,146)
(63,133)
(47.0)
Shell
plc
...............
(1,519)
(40,779)
(30.3)
(269,213)
Norway
Aker
BP
ASA
............
(734)
(26,298)
(19.6)
Poland
InPost
SA
..............
(1,518)
(9,307)
(6.9)
Saudi
Arabia
Delivery
Hero
SE
.........
(444)
(15,608)
(11.6)
Singapore
Venture
Corp.
Ltd.
.........
(1,600)
(19,642)
(14.6)
Spain
CaixaBank
SA
...........
(6,657)
(21,488)
(16.0)
Cellnex
Telecom
SA
.......
(470)
(21,907)
(16.3)
EDP
Renovaveis
SA
.......
(2,474)
(58,553)
(43.6)
Ferrovial
SA
.............
(2,967)
(76,087)
(56.6)
Naturgy
Energy
Group
SA
...
(1,414)
(42,536)
(31.6)
Siemens
Gamesa
Renewable
Energy
SA
............
(3,049)
(48,566)
(36.1)
(269,137)
Sweden
Atlas
Copco
AB,
Class
A
....
(555)
(25,162)
(18.7)
Embracer
Group
AB
.......
(3,282)
(21,937)
(16.3)
Fastighets
AB
Balder,
Class
B
.
(561)
(27,807)
(20.7)
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(1,876)
(23,617)
(17.6)
Hexagon
AB,
Class
B
......
(5,681)
(73,302)
(54.5)
Investment
AB
Latour,
Class
B
(3,046)
(80,696)
(60.1)
Lifco
AB,
Class
B
.........
(1,535)
(32,198)
(24.0)
Nibe
Industrier
AB,
Class
B
...
(6,529)
(64,013)
(47.6)
(348,732)
Switzerland
Alcon,
Inc.
..............
(1,266)
(90,393)
(67.3)
Bachem
Holding
AG
(Registered),
Class
B
....
(209)
(91,197)
(67.9)
EMS-Chemie
Holding
AG
(Registered)
...........
(27)
(24,087)
(17.9)
Lonza
Group
AG
(Registered)
.
(113)
(66,629)
(49.6)
Partners
Group
Holding
AG
..
(20)
(21,190)
(15.8)
Schindler
Holding
AG
......
(436)
(83,767)
(62.3)
Swiss
Prime
Site
AG
(Registered)
...........
(250)
(24,436)
(18.2)
TE
Connectivity
Ltd.
.......
(495)
(61,766)
(46.0)
Temenos
AG
(Registered)
...
(438)
(44,214)
(32.9)
(507,679)
United
Arab
Emirates
NMC
Health
plc
..........
(9,400)
—
(0.0)
BlackRock
Total
Factor
Fund
32
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
Kingdom
Admiral
Group
plc
.........
(2,640)
$
(83,100)
(61.8)
%
Barclays
plc
.............
(10,603)
(19,490)
(14.5)
Halma
plc
..............
(2,102)
(64,522)
(48.0)
Hargreaves
Lansdown
plc
...
(4,918)
(56,303)
(41.9)
Melrose
Industries
plc
......
(23,862)
(34,674)
(25.8)
Ocado
Group
plc
.........
(2,248)
(25,710)
(19.1)
Phoenix
Group
Holdings
plc
..
(13,456)
(101,921)
(75.9)
Severn
Trent
plc
..........
(585)
(22,991)
(17.1)
SSE
plc
................
(4,613)
(107,141)
(79.7)
Standard
Chartered
plc
.....
(5,969)
(40,806)
(30.4)
(556,658)
United
States
Affirm
Holdings,
Inc.
.......
(414)
(11,882)
(8.8)
Albemarle
Corp.
..........
(243)
(46,858)
(34.9)
Amphenol
Corp.,
Class
A
....
(2,932)
(209,638)
(156.0)
Analog
Devices,
Inc.
.......
(1,857)
(286,684)
(213.4)
Aon
plc,
Class
A
..........
(158)
(45,502)
(33.9)
Aramark
...............
(648)
(23,490)
(17.5)
Arthur
J
Gallagher
&
Co.
....
(180)
(30,328)
(22.6)
Avalara,
Inc.
.............
(224)
(17,040)
(12.7)
Avantor,
Inc.
.............
(1,025)
(32,677)
(24.3)
Becton
Dickinson
and
Co.
...
(288)
(71,191)
(53.0)
Bentley
Systems,
Inc.,
Class
B
(2,263)
(95,929)
(71.4)
Berkshire
Hathaway,
Inc.,
Class
B
..................
(85)
(27,441)
(20.4)
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(4)
(2,048)
(1.5)
Black
Knight,
Inc.
.........
(1,827)
(120,198)
(89.5)
Block,
Inc.,
Class
A
........
(639)
(63,606)
(47.3)
Bristol-Myers
Squibb
Co.
....
(296)
(22,280)
(16.6)
Brookfield
Renewable
Corp.
..
(1,390)
(49,913)
(37.1)
Brown
&
Brown,
Inc.
.......
(2,287)
(141,748)
(105.5)
Brown-Forman
Corp.,
Class
B
.
(1,969)
(132,789)
(98.8)
Burlington
Stores,
Inc.
......
(341)
(69,414)
(51.7)
Cable
One,
Inc.
..........
(15)
(17,493)
(13.0)
Caesars
Entertainment,
Inc.
..
(1,040)
(68,931)
(51.3)
Campbell
Soup
Co.
........
(566)
(26,727)
(19.9)
CarMax,
Inc.
............
(908)
(77,888)
(58.0)
Carrier
Global
Corp.
.......
(565)
(21,623)
(16.1)
Carvana
Co.
............
(363)
(21,039)
(15.7)
CenterPoint
Energy,
Inc.
....
(7,948)
(243,288)
(181.1)
Ceridian
HCM
Holding,
Inc.
..
(1,124)
(63,090)
(47.0)
CF
Industries
Holdings,
Inc.
..
(172)
(16,655)
(12.4)
Charles
Schwab
Corp.
(The)
..
(808)
(53,595)
(39.9)
Chevron
Corp.
...........
(211)
(33,057)
(24.6)
Cincinnati
Financial
Corp.
....
(1,197)
(146,824)
(109.3)
Clarivate
plc
.............
(1,452)
(22,767)
(16.9)
Coinbase
Global,
Inc.,
Class
A
(308)
(34,715)
(25.8)
Conagra
Brands,
Inc.
.......
(1,616)
(56,447)
(42.0)
Corning,
Inc.
............
(2,668)
(93,887)
(69.9)
Costco
Wholesale
Corp.
.....
(58)
(30,840)
(23.0)
Coupa
Software,
Inc.
.......
(253)
(21,834)
(16.3)
Crown
Holdings,
Inc.
.......
(275)
(30,261)
(22.5)
Dell
Technologies,
Inc.,
Class
C
(3,329)
(156,496)
(116.5)
DENTSPLY
SIRONA,
Inc.
...
(1,022)
(40,870)
(30.4)
Eastman
Chemical
Co.
.....
(524)
(53,799)
(40.0)
EPAM
Systems,
Inc.
.......
(77)
(20,404)
(15.2)
Erie
Indemnity
Co.,
Class
A
..
(768)
(123,095)
(91.6)
Exact
Sciences
Corp.
......
(398)
(21,910)
(16.3)
F5,
Inc.
................
(283)
(47,377)
(35.3)
Fiserv,
Inc.
..............
(791)
(77,455)
(57.6)
Fiverr
International
Ltd.
.....
(192)
(10,224)
(7.6)
Ford
Motor
Co.
...........
(2,935)
(41,560)
(30.9)
Freeport-McMoRan,
Inc.
....
(2,472)
(100,240)
(74.6)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Generac
Holdings,
Inc.
.....
(115)
$
(25,229)
(18.8)
%
Global
Payments,
Inc.
......
(127)
(17,396)
(12.9)
Globe
Life,
Inc.
...........
(220)
(21,578)
(16.1)
Guidewire
Software,
Inc.
....
(413)
(35,906)
(26.7)
Hasbro,
Inc.
.............
(1,080)
(95,105)
(70.8)
Hilton
Worldwide
Holdings,
Inc.
(193)
(29,971)
(22.3)
IAC/InterActiveCorp
........
(2,090)
(173,219)
(128.9)
Ingersoll
Rand,
Inc.
........
(637)
(28,002)
(20.8)
International
Flavors
&
Fragrances,
Inc.
........
(177)
(21,470)
(16.0)
IPG
Photonics
Corp.
.......
(838)
(79,174)
(58.9)
J
M
Smucker
Co.
(The)
.....
(1,561)
(213,748)
(159.1)
Jack
Henry
&
Associates,
Inc.
.
(253)
(47,964)
(35.7)
Kellogg
Co.
.............
(318)
(21,783)
(16.2)
Kinder
Morgan,
Inc.
........
(1,244)
(22,579)
(16.8)
Las
Vegas
Sands
Corp.
.....
(2,001)
(70,895)
(52.8)
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(1,800)
(112,194)
(83.5)
Live
Nation
Entertainment,
Inc.
(1,453)
(152,391)
(113.4)
LyondellBasell
Industries
NV,
Class
A
..............
(871)
(92,352)
(68.7)
Marriott
International,
Inc.,
Class
A
..................
(1,219)
(216,397)
(161.0)
Marsh
&
McLennan
Cos.,
Inc.
.
(184)
(29,753)
(22.1)
Marvell
Technology,
Inc.
.....
(663)
(38,507)
(28.7)
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(278)
(27,958)
(20.8)
Medtronic
plc
............
(588)
(61,364)
(45.7)
Microchip
Technology,
Inc.
...
(347)
(22,624)
(16.8)
Moderna,
Inc.
............
(188)
(25,269)
(18.8)
Mondelez
International,
Inc.,
Class
A
..............
(1,295)
(83,502)
(62.1)
Motorola
Solutions,
Inc.
.....
(145)
(30,985)
(23.1)
Newell
Brands,
Inc.
........
(2,498)
(57,829)
(43.0)
NRG
Energy,
Inc.
.........
(5,960)
(213,964)
(159.2)
Okta,
Inc.
...............
(416)
(49,633)
(36.9)
Omnicom
Group,
Inc.
.......
(1,019)
(77,576)
(57.7)
Oracle
Corp.
............
(716)
(52,554)
(39.1)
PayPal
Holdings,
Inc.
......
(1,002)
(88,106)
(65.6)
Quest
Diagnostics,
Inc.
.....
(444)
(59,425)
(44.2)
Republic
Services,
Inc.
.....
(646)
(86,738)
(64.6)
ResMed,
Inc.
............
(99)
(19,797)
(14.7)
Rivian
Automotive,
Inc.,
Class
A
(540)
(16,330)
(12.2)
Ross
Stores,
Inc.
.........
(219)
(21,850)
(16.3)
Royalty
Pharma
plc,
Class
A
..
(2,491)
(106,067)
(78.9)
RPM
International,
Inc.
.....
(328)
(27,191)
(20.2)
Schneider
Electric
SE
......
(812)
(116,497)
(86.7)
SEI
Investments
Co.
.......
(996)
(55,497)
(41.3)
Sensata
Technologies
Holding
plc
.................
(804)
(36,510)
(27.2)
Sherwin-Williams
Co.
(The)
..
(773)
(212,544)
(158.2)
Signature
Bank
...........
(251)
(60,805)
(45.3)
Snap-on,
Inc.
............
(107)
(22,736)
(16.9)
Southern
Co.
(The)
........
(1,791)
(131,441)
(97.8)
SS&C
Technologies
Holdings,
Inc.
.................
(1,123)
(72,613)
(54.0)
Stanley
Black
&
Decker,
Inc.
..
(220)
(26,433)
(19.7)
STERIS
plc
.............
(415)
(92,981)
(69.2)
Sunrun,
Inc.
.............
(766)
(15,305)
(11.4)
Swiss
Re
AG
............
(443)
(36,329)
(27.0)
Take-Two
Interactive
Software,
Inc.
.................
(548)
(65,491)
(48.7)
Teledyne
Technologies,
Inc.
..
(9)
(3,884)
(2.9)
TJX
Cos.,
Inc.
(The)
.......
(347)
(21,264)
(15.8)
Trade
Desk,
Inc.
(The),
Class
A
(1,501)
(88,439)
(65.8)
BlackRock
Total
Factor
Fund
33
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Tradeweb
Markets,
Inc.,
Class
A
(267)
$
(19,008)
(14.1)
%
Twilio,
Inc.,
Class
A
........
(483)
(54,009)
(40.2)
Tyler
Technologies,
Inc.
.....
(61)
(24,077)
(17.9)
US
Bancorp
.............
(1,454)
(70,606)
(52.5)
VF
Corp.
...............
(633)
(32,916)
(24.5)
Vistra
Corp.
.............
(2,795)
(69,931)
(52.0)
Vulcan
Materials
Co.
.......
(251)
(43,245)
(32.2)
Walmart,
Inc.
............
(837)
(128,053)
(95.3)
Waste
Connections,
Inc.
.....
(64)
(8,830)
(6.6)
Wayfair,
Inc.,
Class
A
.......
(214)
(16,465)
(12.3)
Webster
Financial
Corp.
.....
(460)
(22,995)
(17.1)
Wells
Fargo
&
Co.
.........
(1,169)
(51,003)
(38.0)
Williams
Cos.,
Inc.
(The)
....
(2,047)
(70,192)
(52.2)
Willis
Towers
Watson
plc
....
(139)
(29,866)
(22.2)
Zillow
Group,
Inc.,
Class
C
...
(725)
(28,869)
(21.5)
Zimmer
Biomet
Holdings,
Inc.
.
(1,085)
(131,014)
(97.5)
(7,809,270)
Preferred
Securities
Germany
Porsche
Automobil
Holding
SE
(Preference)
..........
(1,331)
(109,781)
(81.7)
Total
Reference
Entity
—
Short
............
(21,859,618)
Net
Value
of
Reference
Entity
—
Citibank
NA
..
$
134,368
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
period
end,
termination
dates
February
27,
2023
–
March
01,
2023:
Reference
Entity
—
Long
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
......
2,874
66,684
42.1
Aurizon
Holdings
Ltd.
......
6,809
19,229
12.1
BlueScope
Steel
Ltd.
.......
1,674
23,797
15.0
Brambles
Ltd.
............
1,543
11,394
7.2
Cochlear
Ltd.
............
450
72,480
45.8
Coles
Group
Ltd.
.........
11,146
146,555
92.6
Fortescue
Metals
Group
Ltd.
..
1,508
22,791
14.4
QBE
Insurance
Group
Ltd.
...
3,530
30,454
19.2
REA
Group
Ltd.
..........
488
43,719
27.6
Rio
Tinto
Ltd.
............
119
9,413
5.9
Sonic
Healthcare
Ltd.
......
1,690
43,646
27.6
South32
Ltd.
............
7,867
26,200
16.6
516,362
Austria
OMV
AG
...............
3,164
161,736
102.2
voestalpine
AG
...........
616
16,030
10.1
177,766
Belgium
Groupe
Bruxelles
Lambert
SA
.
2,250
212,311
134.1
UCB
SA
...............
1,012
115,037
72.7
Umicore
SA
.............
653
25,104
15.9
352,452
Brazil
Wheaton
Precious
Metals
Corp.
3,931
176,194
111.3
Canada
AltaGas
Ltd.
.............
5,649
129,193
81.6
Bank
of
Montreal
.........
1,557
165,087
104.3
Bank
of
Nova
Scotia
(The)
...
974
61,678
39.0
Shares
Value
%
of
Basket
Value
Canada
(continued)
Canadian
Apartment
Properties
REIT
................
536
$
20,995
13.3
%
Canadian
Imperial
Bank
of
Commerce
...........
2,930
323,916
204.6
Canadian
National
Railway
Co.
646
75,972
48.0
Canadian
Tire
Corp.
Ltd.,
Class
A
..................
798
109,918
69.4
Constellation
Software,
Inc.
..
106
166,830
105.4
Empire
Co.
Ltd.,
Class
A
....
2,094
69,162
43.7
Franco-Nevada
Corp.
......
830
125,522
79.3
George
Weston
Ltd.
.......
577
71,783
45.3
Gildan
Activewear,
Inc.
......
571
19,348
12.2
Hydro
One
Ltd.
...........
20,404
551,614
348.4
Intact
Financial
Corp.
.......
720
100,727
63.6
Kinross
Gold
Corp.
........
5,618
28,382
17.9
Loblaw
Cos.
Ltd.
..........
1,349
123,396
77.9
Magna
International,
Inc.
....
2,072
124,870
78.9
Manulife
Financial
Corp.
.....
4,034
78,881
49.8
National
Bank
of
Canada
....
927
64,742
40.9
Onex
Corp.
.............
569
34,189
21.6
Open
Text
Corp.
..........
1,430
57,271
36.2
Parkland
Corp.
...........
921
26,161
16.5
Power
Corp.
of
Canada
.....
2,641
77,710
49.1
Ritchie
Bros
Auctioneers,
Inc.
.
238
13,109
8.3
Shaw
Communications,
Inc.,
Class
B
..............
4,004
119,249
75.3
Suncor
Energy,
Inc.
........
2,448
88,000
55.6
Teck
Resources
Ltd.,
Class
B
.
3,458
136,420
86.2
TFI
International,
Inc.
.......
2,048
164,745
104.1
Thomson
Reuters
Corp.
.....
2,904
290,343
183.4
TMX
Group
Ltd.
..........
626
63,733
40.3
3,482,946
China
SITC
International
Holdings
Co.
Ltd.
................
7,000
23,271
14.7
Denmark
AP
Moller
-
Maersk
A/S,
Class
B
10
28,942
18.3
Coloplast
A/S,
Class
B
......
728
98,082
62.0
Danske
Bank
A/S
.........
1,418
21,751
13.7
Genmab
A/S
............
70
24,615
15.6
Novo
Nordisk
A/S,
Class
B
...
2,100
239,875
151.5
Pandora
A/S
............
451
39,601
25.0
452,866
Finland
Kesko
OYJ,
Class
B
.......
699
17,598
11.1
Neste
OYJ
..............
1,758
75,434
47.7
Nokia
OYJ
..............
6,351
32,200
20.3
Orion
OYJ,
Class
B
........
507
19,886
12.6
Stora
Enso
OYJ,
Class
R
....
2,614
51,442
32.5
196,560
France
Amundi
SA
.............
260
15,634
9.9
Arkema
SA
.............
345
39,311
24.8
BioMerieux
.............
1,077
102,532
64.8
BNP
Paribas
SA
..........
1,091
56,570
35.7
Bureau
Veritas
SA
.........
1,618
46,480
29.4
Cie
de
Saint-Gobain
.......
361
21,060
13.3
Credit
Agricole
SA
.........
14,973
161,679
102.1
Dassault
Aviation
SA
.......
265
44,468
28.1
Dassault
Systemes
SE
.....
3,007
132,983
84.0
Eiffage
SA
..............
229
22,613
14.3
Engie
SA
...............
13,075
154,291
97.5
BlackRock
Total
Factor
Fund
34
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
France
(continued)
Hermes
International
.......
95
$
117,140
74.0
%
Kering
SA
..............
108
57,464
36.3
La
Francaise
des
Jeux
SAEM
.
2,238
83,569
52.8
Orange
SA
..............
8,371
99,660
63.0
Pernod
Ricard
SA
.........
399
82,347
52.0
Publicis
Groupe
SA
........
6,226
373,789
236.1
Sanofi
.................
971
102,630
64.8
SEB
SA
................
290
34,825
22.0
Teleperformance
..........
853
306,151
193.4
Vivendi
SE
..............
3,604
41,394
26.2
Wendel
SE
.............
200
19,927
12.6
2,116,517
Germany
Bayer
AG
(Registered)
......
2,583
170,145
107.5
Brenntag
SE
............
1,802
139,049
87.8
Covestro
AG
............
2,526
108,758
68.7
Deutsche
Boerse
AG
.......
1,015
176,706
111.6
Deutsche
Post
AG
(Registered)
7,738
330,587
208.8
GEA
Group
AG
...........
4,160
161,934
102.3
HeidelbergCement
AG
......
613
35,313
22.3
HelloFresh
SE
...........
528
22,257
14.1
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
605
144,075
91.0
Symrise
AG
.............
1,223
145,530
91.9
Vonovia
SE
.............
1,716
68,367
43.2
1,502,721
Hong
Kong
CK
Asset
Holdings
Ltd.
.....
73,500
498,267
314.7
CLP
Holdings
Ltd.
.........
3,500
34,154
21.6
Hongkong
Land
Holdings
Ltd.
.
5,300
24,724
15.6
New
World
Development
Co.
Ltd.
................
28,000
107,094
67.6
Power
Assets
Holdings
Ltd.
..
8,500
57,248
36.2
Sun
Hung
Kai
Properties
Ltd.
.
9,000
103,654
65.5
825,141
Ireland
Smurfit
Kappa
Group
plc
....
806
34,058
21.5
Israel
Bank
Hapoalim
BM
........
8,059
74,717
47.2
Bank
Leumi
Le-Israel
BM
....
9,000
94,453
59.7
Israel
Discount
Bank
Ltd.,
Class
A
..................
4,164
24,594
15.5
Nice
Ltd.
...............
106
22,040
13.9
215,804
Italy
Coca-Cola
HBC
AG
........
4,745
96,200
60.8
Eni
SpA
................
7,895
110,363
69.7
Intesa
Sanpaolo
SpA
.......
10,686
21,775
13.8
Moncler
SpA
............
437
22,765
14.4
251,103
Japan
Advantest
Corp.
..........
1,100
75,073
47.4
Ajinomoto
Co.,
Inc.
........
800
20,785
13.1
Asahi
Kasei
Corp.
.........
22,300
182,965
115.6
Astellas
Pharma,
Inc.
.......
400
6,090
3.9
Brother
Industries
Ltd.
......
800
13,904
8.8
Chugai
Pharmaceutical
Co.
Ltd.
7,100
212,753
134.4
Dai
Nippon
Printing
Co.
Ltd.
..
2,200
45,976
29.0
Dai-ichi
Life
Holdings,
Inc.
...
100
2,002
1.3
Denso
Corp.
............
100
6,095
3.9
Shares
Value
%
of
Basket
Value
Japan
(continued)
Dentsu
Group,
Inc.
........
4,200
$
151,375
95.6
%
Eisai
Co.
Ltd.
............
500
21,775
13.8
ENEOS
Holdings,
Inc.
......
41,000
144,263
91.1
Fuji
Electric
Co.
Ltd.
.......
2,700
118,397
74.8
Hino
Motors
Ltd.
..........
14,300
73,817
46.6
Honda
Motor
Co.
Ltd.
......
5,200
136,778
86.4
Idemitsu
Kosan
Co.
Ltd.
.....
5,700
150,224
94.9
Isuzu
Motors
Ltd.
.........
3,800
44,330
28.0
Ito
En
Ltd.
..............
800
32,876
20.8
Japan
Post
Insurance
Co.
Ltd.
2,000
32,340
20.4
Japan
Tobacco,
Inc.
.......
8,900
151,405
95.6
JSR
Corp.
..............
4,000
108,621
68.6
Kajima
Corp.
............
14,900
166,053
104.9
Kao
Corp.
..............
1,300
52,102
32.9
KDDI
Corp.
.............
2,700
89,410
56.5
Kirin
Holdings
Co.
Ltd.
......
2,500
36,444
23.0
Komatsu
Ltd.
............
1,700
38,261
24.2
Lawson,
Inc.
............
600
22,068
13.9
Lixil
Corp.
..............
2,300
40,453
25.6
Marubeni
Corp.
...........
6,500
70,952
44.8
Mazda
Motor
Corp.
........
15,000
106,511
67.3
Mitsubishi
Chemical
Holdings
Corp.
...............
2,600
15,854
10.0
Mitsubishi
Electric
Corp.
.....
46,200
483,912
305.7
Mitsubishi
Estate
Co.
Ltd.
....
5,300
77,203
48.8
Mitsubishi
Gas
Chemical
Co.,
Inc.
.................
4,000
58,412
36.9
Mitsui
Chemicals,
Inc.
......
6,400
146,227
92.4
Mizuho
Financial
Group,
Inc.
..
3,600
43,714
27.6
NGK
Insulators
Ltd.
........
16,500
221,952
140.2
NIPPON
EXPRESS
HOLDINGS,
Inc.
.................
1,100
64,494
40.7
Nippon
Telegraph
&
Telephone
Corp.
...............
13,900
409,624
258.7
Nissan
Chemical
Corp.
.....
1,100
58,105
36.7
Nisshin
Seifun
Group,
Inc.
...
1,900
25,329
16.0
Nitto
Denko
Corp.
.........
3,600
241,636
152.6
Nomura
Real
Estate
Holdings,
Inc.
.................
2,700
65,788
41.6
ORIX
Corp.
.............
3,500
63,836
40.3
Osaka
Gas
Co.
Ltd.
........
14,100
254,130
160.5
Panasonic
Holdings
Corp.
...
4,700
41,892
26.5
Persol
Holdings
Co.
Ltd.
.....
1,200
23,808
15.0
Recruit
Holdings
Co.
Ltd.
....
1,600
58,051
36.7
Ricoh
Co.
Ltd.
...........
5,900
43,081
27.2
Secom
Co.
Ltd.
...........
300
21,106
13.3
Sekisui
Chemical
Co.
Ltd.
....
18,100
245,095
154.8
Sekisui
House
Ltd.
........
6,200
107,681
68.0
Sohgo
Security
Services
Co.
Ltd.
................
500
13,889
8.8
Sompo
Holdings,
Inc.
......
4,400
179,124
113.1
Sony
Group
Corp.
.........
500
43,151
27.3
Subaru
Corp.
............
2,400
36,419
23.0
Sumitomo
Chemical
Co.
Ltd.
..
5,400
22,962
14.5
Sumitomo
Mitsui
Trust
Holdings,
Inc.
.................
1,300
40,349
25.5
Sysmex
Corp.
...........
300
19,679
12.4
Tokyo
Electron
Ltd.
........
100
42,195
26.7
Tokyo
Gas
Co.
Ltd.
........
7,400
141,743
89.5
TOPPAN,
Inc.
............
2,900
47,936
30.3
Toray
Industries,
Inc.
.......
6,300
29,858
18.9
TOTO
Ltd.
..............
800
26,959
17.0
Toyo
Suisan
Kaisha
Ltd.
.....
2,200
67,928
42.9
Toyota
Tsusho
Corp.
.......
1,000
35,927
22.7
Trend
Micro,
Inc.
..........
500
27,878
17.6
BlackRock
Total
Factor
Fund
35
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
USS
Co.
Ltd.
............
1,600
$
26,637
16.8
%
Yamaha
Motor
Co.
Ltd.
.....
1,100
22,710
14.3
5,950,372
Netherlands
Koninklijke
DSM
NV
.......
481
80,861
51.1
Koninklijke
KPN
NV
........
32,368
111,689
70.6
NN
Group
NV
............
2,598
127,254
80.4
Randstad
NV
............
210
11,105
7.0
Wolters
Kluwer
NV
........
3,129
315,975
199.6
646,884
New
Zealand
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
................
6,104
83,882
53.0
Spark
New
Zealand
Ltd.
.....
13,727
43,414
27.4
127,296
Portugal
EDP
-
Energias
de
Portugal
SA
5,425
25,284
16.0
Singapore
Oversea-Chinese
Banking
Corp.
Ltd.
................
6,400
56,823
35.9
Singapore
Telecommunications
Ltd.
................
30,800
61,470
38.8
STMicroelectronics
NV
.....
585
21,614
13.6
United
Overseas
Bank
Ltd.
...
300
6,422
4.1
146,329
South
Africa
Anglo
American
plc
........
407
18,026
11.4
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
4,493
23,576
14.9
Banco
Santander
SA
.......
16,594
48,493
30.6
Iberdrola
SA
.............
31,207
358,593
226.5
Industria
de
Diseno
Textil
SA
..
227
4,760
3.0
Repsol
SA
..............
5,005
74,664
47.2
510,086
Sweden
Alfa
Laval
AB
............
704
19,597
12.4
Assa
Abloy
AB,
Class
B
.....
804
20,319
12.8
Boliden
AB
..............
159
6,894
4.4
Husqvarna
AB,
Class
B
.....
7,029
67,191
42.4
Sandvik
AB
.............
1,212
22,941
14.5
Skanska
AB,
Class
B
.......
679
12,970
8.2
Telia
Co.
AB
.............
39,537
164,103
103.7
314,015
Switzerland
Adecco
Group
AG
(Registered)
1,673
64,561
40.8
Baloise
Holding
AG
(Registered)
965
167,853
106.0
Geberit
AG
(Registered)
.....
144
82,119
51.9
Givaudan
SA
(Registered)
...
32
127,185
80.3
Holcim
AG
..............
1,026
50,167
31.7
Julius
Baer
Group
Ltd.
......
395
18,876
11.9
Nestle
SA
(Registered)
.....
761
98,241
62.1
Novartis
AG
(Registered)
....
3,347
295,772
186.8
Roche
Holding
AG
........
240
88,995
56.2
SGS
SA
(Registered)
.......
15
38,543
24.3
Straumann
Holding
AG
(Registered)
...........
1,160
136,754
86.4
UBS
Group
AG
(Registered)
..
2,249
38,180
24.1
1,207,246
Shares
Value
%
of
Basket
Value
United
Kingdom
3i
Group
plc
.............
3,626
$
59,340
37.5
%
abrdn
plc
...............
23,593
55,399
35.0
Ashtead
Group
plc
........
362
18,718
11.8
Aviva
plc
...............
22,776
122,196
77.2
BAE
Systems
plc
.........
14,804
136,739
86.4
Berkeley
Group
Holdings
plc
..
1,455
73,792
46.6
BP
plc
.................
8,010
38,671
24.4
British
American
Tobacco
plc
.
6,312
264,551
167.1
Compass
Group
plc
........
1,085
22,896
14.5
Croda
International
plc
......
702
68,183
43.1
DCC
plc
...............
1,816
137,596
86.9
Diageo
plc
..............
1,153
57,522
36.3
Entain
plc
..............
3,720
69,900
44.2
InterContinental
Hotels
Group
plc
.................
659
42,070
26.6
Intertek
Group
plc
.........
2,305
143,636
90.7
J
Sainsbury
plc
...........
22,307
65,086
41.1
Johnson
Matthey
plc
.......
2,126
58,483
36.9
Legal
&
General
Group
plc
...
19,433
60,575
38.3
RELX
plc
...............
1,145
34,110
21.5
Sage
Group
plc
(The)
......
4,937
45,305
28.6
Smiths
Group
plc
.........
2,412
44,138
27.9
St
James's
Place
plc
.......
1,230
19,766
12.5
Taylor
Wimpey
plc
.........
48,911
76,925
48.6
Tesco
plc
...............
43,168
146,655
92.6
Whitbread
plc
............
3,202
111,772
70.6
1,974,024
United
States
3M
Co.
................
1,198
172,776
109.1
A
O
Smith
Corp.
..........
1,800
105,174
66.4
Adobe,
Inc.
.............
493
195,203
123.3
Advance
Auto
Parts,
Inc.
....
302
60,288
38.1
Advanced
Micro
Devices,
Inc.
.
2,864
244,929
154.7
Agilent
Technologies,
Inc.
....
1,502
179,144
113.2
Airbnb,
Inc.,
Class
A
.......
1,514
231,960
146.5
Ally
Financial,
Inc.
.........
1,091
43,596
27.5
Alphabet,
Inc.,
Class
A
......
223
508,928
321.5
Amazon.com,
Inc.
.........
7
17,399
11.0
American
Financial
Group,
Inc.
332
45,975
29.0
American
International
Group,
Inc.
.................
1,727
101,047
63.8
American
Water
Works
Co.,
Inc.
818
126,037
79.6
Ameriprise
Financial,
Inc.
....
461
122,391
77.3
Amgen,
Inc.
.............
154
35,911
22.7
ANSYS,
Inc.
.............
121
33,358
21.1
Applied
Materials,
Inc.
......
2,057
226,990
143.4
Arch
Capital
Group
Ltd.
.....
1,121
51,196
32.3
Archer-Daniels-Midland
Co.
..
1,748
156,551
98.9
Arista
Networks,
Inc.
.......
2,254
260,495
164.5
Asana,
Inc.,
Class
A
.......
550
14,740
9.3
Assurant,
Inc.
............
1,283
233,352
147.4
Autodesk,
Inc.
...........
1,191
225,432
142.4
Automatic
Data
Processing,
Inc.
248
54,109
34.2
Avery
Dennison
Corp.
......
1,931
348,739
220.3
Bath
&
Body
Works,
Inc.
....
841
44,480
28.1
Biogen,
Inc.
.............
192
39,828
25.2
Booz
Allen
Hamilton
Holding
Corp.
...............
513
41,876
26.5
Bunge
Ltd.
..............
1,173
132,690
83.8
Cadence
Design
Systems,
Inc.
3,061
461,752
291.7
Capital
One
Financial
Corp.
..
385
47,979
30.3
CBRE
Group,
Inc.,
Class
A
...
1,949
161,845
102.2
CDW
Corp.
.............
226
36,879
23.3
Celanese
Corp.
..........
364
53,486
33.8
BlackRock
Total
Factor
Fund
36
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Chipotle
Mexican
Grill,
Inc.
...
20
$
29,112
18.4
%
Cigna
Corp.
.............
54
13,326
8.4
CMS
Energy
Corp.
........
1,770
121,581
76.8
Cognex
Corp.
............
745
50,384
31.8
Cognizant
Technology
Solutions
Corp.,
Class
A
.........
894
72,325
45.7
Colgate-Palmolive
Co.
......
352
27,122
17.1
ConocoPhillips
...........
1,830
174,802
110.4
Consolidated
Edison,
Inc.
....
944
87,547
55.3
Copart,
Inc.
.............
2,518
286,171
180.8
Corteva,
Inc.
............
3,675
212,011
133.9
Cummins,
Inc.
...........
846
160,055
101.1
CVS
Health
Corp.
.........
355
34,126
21.6
Darden
Restaurants,
Inc.
....
631
83,122
52.5
Devon
Energy
Corp.
.......
642
37,345
23.6
Dexcom,
Inc.
............
301
122,983
77.7
DocuSign,
Inc.
...........
312
25,272
16.0
Dominion
Energy,
Inc.
......
403
32,901
20.8
Domino's
Pizza,
Inc.
.......
427
144,326
91.2
Dover
Corp.
.............
295
39,324
24.8
Dropbox,
Inc.,
Class
A
......
8,358
181,787
114.8
DTE
Energy
Co.
..........
1,256
164,586
104.0
eBay,
Inc.
..............
2,122
110,174
69.6
Edison
International
........
591
40,655
25.7
Edwards
Lifesciences
Corp.
..
3,469
366,951
231.8
Electronic
Arts,
Inc.
........
1,483
175,068
110.6
Eli
Lilly
&
Co.
............
474
138,470
87.5
Entergy
Corp.
............
289
34,348
21.7
EOG
Resources,
Inc.
.......
201
23,469
14.8
Equitable
Holdings,
Inc.
.....
3,128
90,180
57.0
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
301
79,482
50.2
Everest
Re
Group
Ltd.
......
109
29,943
18.9
Eversource
Energy
........
1,209
105,667
66.7
Expedia
Group,
Inc.
........
658
114,986
72.6
Expeditors
International
of
Washington,
Inc.
........
1,622
160,692
101.5
FactSet
Research
Systems,
Inc.
121
48,822
30.8
Fair
Isaac
Corp.
..........
48
17,928
11.3
Fastenal
Co.
............
916
50,664
32.0
FedEx
Corp.
............
104
20,669
13.1
First
Republic
Bank
........
124
18,503
11.7
Fortinet,
Inc.
.............
327
94,506
59.7
Fortive
Corp.
............
1,440
82,800
52.3
Fortune
Brands
Home
&
Security,
Inc.
.................
713
50,801
32.1
Garmin
Ltd.
.............
488
53,553
33.8
General
Mills,
Inc.
.........
422
29,848
18.9
General
Motors
Co.
........
824
31,238
19.7
Genuine
Parts
Co.
........
1,011
131,481
83.1
Hartford
Financial
Services
Group,
Inc.
(The)
.......
365
25,524
16.1
Henry
Schein,
Inc.
.........
286
23,195
14.7
Hologic,
Inc.
.............
789
56,800
35.9
Home
Depot,
Inc.
(The)
.....
243
72,997
46.1
IDEXX
Laboratories,
Inc.
....
364
156,695
99.0
Illinois
Tool
Works,
Inc.
......
947
186,663
117.9
Interpublic
Group
of
Cos.,
Inc.
(The)
...............
10,302
336,051
212.3
Intuit,
Inc.
..............
781
327,044
206.6
JB
Hunt
Transport
Services,
Inc.
51
8,713
5.5
Johnson
&
Johnson
........
1,600
288,736
182.4
Johnson
Controls
International
plc
.................
1,846
110,520
69.8
JPMorgan
Chase
&
Co.
.....
181
21,604
13.6
Shares
Value
%
of
Basket
Value
United
States
(continued)
Juniper
Networks,
Inc.
......
1,719
$
54,183
34.2
%
Keysight
Technologies,
Inc.
...
1,586
222,468
140.5
KLA
Corp.
..............
255
81,411
51.4
Knight-Swift
Transportation
Holdings,
Inc.
..........
2,380
113,978
72.0
Kroger
Co.
(The)
..........
560
30,218
19.1
Laboratory
Corp.
of
America
Holdings
.............
552
132,635
83.8
Lam
Research
Corp.
.......
397
184,907
116.8
Lennox
International,
Inc.
....
94
20,040
12.7
Lincoln
National
Corp.
......
658
39,579
25.0
LKQ
Corp.
..............
863
42,831
27.1
Lowe's
Cos.,
Inc.
.........
95
18,784
11.9
Lululemon
Athletica,
Inc.
....
204
72,345
45.7
Marathon
Petroleum
Corp.
...
583
50,873
32.1
Masco
Corp.
............
2,202
116,023
73.3
Masimo
Corp.
............
557
62,924
39.7
Merck
&
Co.,
Inc.
.........
274
24,301
15.3
Meta
Platforms,
Inc.,
Class
A
.
135
27,063
17.1
MetLife,
Inc.
.............
2,216
145,547
91.9
Mettler-Toledo
International,
Inc.
140
178,854
113.0
Micron
Technology,
Inc.
.....
604
41,187
26.0
Microsoft
Corp.
...........
1,266
351,340
221.9
Molina
Healthcare,
Inc.
.....
385
120,678
76.2
Molson
Coors
Beverage
Co.,
Class
B
..............
327
17,704
11.2
Monolithic
Power
Systems,
Inc.
267
104,728
66.2
Monster
Beverage
Corp.
....
901
77,198
48.8
MSCI,
Inc.
..............
66
27,803
17.6
NetApp,
Inc.
.............
1,366
100,060
63.2
News
Corp.,
Class
A
.......
1,379
27,387
17.3
Nordson
Corp.
...........
863
186,140
117.6
Northern
Trust
Corp.
.......
587
60,490
38.2
NVIDIA
Corp.
............
689
127,789
80.7
NVR,
Inc.
...............
5
21,881
13.8
Old
Dominion
Freight
Line,
Inc.
905
253,509
160.1
ONEOK,
Inc.
............
2,963
187,647
118.5
O'Reilly
Automotive,
Inc.
....
201
121,917
77.0
Otis
Worldwide
Corp.
.......
646
47,055
29.7
Owens
Corning
...........
989
89,930
56.8
Palo
Alto
Networks,
Inc.
.....
144
80,824
51.1
Pentair
plc
..............
326
16,545
10.5
PepsiCo,
Inc.
............
3,536
607,167
383.5
Phillips
66
..............
960
83,290
52.6
Pinterest,
Inc.,
Class
A
......
1,904
39,070
24.7
Pioneer
Natural
Resources
Co.
387
89,966
56.8
Pool
Corp.
..............
511
207,067
130.8
Principal
Financial
Group,
Inc.
.
220
14,991
9.5
Procter
&
Gamble
Co.
(The)
..
198
31,789
20.1
Public
Service
Enterprise
Group,
Inc.
.................
2,549
177,563
112.2
QUALCOMM,
Inc.
.........
1,735
242,362
153.1
Regeneron
Pharmaceuticals,
Inc.
.................
5
3,296
2.1
Robert
Half
International,
Inc.
.
1,155
113,548
71.7
Roku,
Inc.
..............
205
19,045
12.0
Seagate
Technology
Holdings
plc
.................
775
63,581
40.2
Sempra
Energy
..........
1,319
212,834
134.4
ServiceNow,
Inc.
..........
174
83,189
52.5
Skyworks
Solutions,
Inc.
....
859
97,325
61.5
Snowflake,
Inc.,
Class
A
.....
209
35,831
22.6
Starbucks
Corp.
..........
1,821
135,919
85.9
Stellantis
NV
............
1,846
24,784
15.7
SVB
Financial
Group
.......
84
40,962
25.9
BlackRock
Total
Factor
Fund
37
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Synopsys,
Inc.
...........
444
$
127,335
80.4
%
Target
Corp.
.............
512
117,069
73.9
Texas
Instruments,
Inc.
.....
801
136,370
86.1
Tractor
Supply
Co.
........
286
57,615
36.4
Trane
Technologies
plc
.....
446
62,391
39.4
Trimble,
Inc.
.............
853
56,895
35.9
Tyson
Foods,
Inc.,
Class
A
...
415
38,661
24.4
Ulta
Beauty,
Inc.
..........
203
80,550
50.9
United
Parcel
Service,
Inc.,
Class
B
..................
647
116,447
73.6
United
Rentals,
Inc.
........
263
83,245
52.6
Vail
Resorts,
Inc.
..........
198
50,324
31.8
Valero
Energy
Corp.
.......
258
28,762
18.2
Veeva
Systems,
Inc.,
Class
A
.
652
118,631
74.9
VeriSign,
Inc.
............
910
162,608
102.7
Verizon
Communications,
Inc.
.
600
27,780
17.5
Vertex
Pharmaceuticals,
Inc.
..
677
184,970
116.8
VMware,
Inc.,
Class
A
......
2,151
232,394
146.8
Waters
Corp.
............
313
94,845
59.9
West
Pharmaceutical
Services,
Inc.
.................
165
51,985
32.8
Westrock
Co.
............
828
41,011
25.9
Workday,
Inc.,
Class
A
......
517
106,864
67.5
WW
Grainger,
Inc.
.........
142
71,004
44.9
Xcel
Energy,
Inc.
..........
831
60,879
38.5
Yum!
Brands,
Inc.
.........
1,175
137,487
86.8
Zebra
Technologies
Corp.,
Class
A
..................
335
123,836
78.2
19,006,496
Total
Reference
Entity
—
Long
............
40,249,819
Reference
Entity
—
Short
Common
Stocks
Australia
APA
Group
..............
(4,122)
(33,121)
(20.9)
BHP
Group
plc
...........
(2,403)
(80,530)
(50.9)
Computershare
Ltd.
........
(6,451)
(113,732)
(71.8)
CSL
Ltd.
...............
(665)
(126,915)
(80.2)
Glencore
plc
............
(45,206)
(278,544)
(175.9)
Lendlease
Corp.
Ltd.
.......
(1,850)
(15,848)
(10.0)
National
Australia
Bank
Ltd.
..
(1,736)
(39,631)
(25.0)
Newcrest
Mining
Ltd.
.......
(2,007)
(37,690)
(23.8)
Northern
Star
Resources
Ltd.
.
(8,385)
(57,637)
(36.4)
Qantas
Airways
Ltd.
.......
(6,256)
(24,241)
(15.3)
Ramsay
Health
Care
Ltd.
....
(978)
(55,499)
(35.1)
Santos
Ltd.
.............
(11,319)
(63,251)
(40.0)
SEEK
Ltd.
..............
(5,562)
(108,989)
(68.8)
Transurban
Group
.........
(3,489)
(35,035)
(22.1)
Wesfarmers
Ltd.
..........
(686)
(23,738)
(15.0)
Westpac
Banking
Corp.
.....
(14,832)
(248,288)
(156.8)
WiseTech
Global
Ltd.
.......
(2,616)
(81,103)
(51.2)
Woolworths
Group
Ltd.
.....
(1,431)
(38,713)
(24.5)
(1,462,505)
Belgium
Anheuser-Busch
InBev
SA/NV
(3,889)
(223,771)
(141.4)
Etablissements
Franz
Colruyt
NV
.................
(1,445)
(53,062)
(33.5)
(276,833)
Brazil
MercadoLibre,
Inc.
........
(55)
(53,550)
(33.8)
Yara
International
ASA
......
(416)
(21,153)
(13.4)
(74,703)
Shares
Value
%
of
Basket
Value
Canada
Agnico
Eagle
Mines
Ltd.
.....
(1,232)
$
(71,715)
(45.3)
%
Air
Canada
.............
(6,443)
(112,846)
(71.3)
Algonquin
Power
&
Utilities
Corp.
...............
(4,844)
(70,135)
(44.3)
BCE,
Inc.
...............
(6,483)
(344,677)
(217.7)
BlackBerry
Ltd.
...........
(4,558)
(26,078)
(16.5)
CAE,
Inc.
...............
(3,435)
(81,687)
(51.6)
Cameco
Corp.
...........
(2,492)
(64,344)
(40.6)
Canadian
Natural
Resources
Ltd.
................
(6,716)
(415,669)
(262.6)
Canadian
Utilities
Ltd.,
Class
A
(3,792)
(113,998)
(72.0)
CCL
Industries,
Inc.,
Class
B
..
(598)
(26,072)
(16.5)
CGI,
Inc.
...............
(304)
(24,241)
(15.3)
Enbridge,
Inc.
............
(4,601)
(200,780)
(126.8)
Fairfax
Financial
Holdings
Ltd.
(43)
(23,627)
(14.9)
Fortis,
Inc.
..............
(8,318)
(404,747)
(255.7)
GFL
Environmental,
Inc.
.....
(6,957)
(209,579)
(132.4)
Ivanhoe
Mines
Ltd.,
Class
A
..
(3,337)
(26,755)
(16.9)
Keyera
Corp.
............
(2,210)
(54,826)
(34.6)
Lightspeed
Commerce,
Inc.
..
(4,020)
(89,841)
(56.8)
Northland
Power,
Inc.
......
(2,843)
(85,800)
(54.2)
Pembina
Pipeline
Corp.
.....
(1,278)
(48,358)
(30.6)
Restaurant
Brands
International,
Inc.
.................
(362)
(20,681)
(13.1)
Rogers
Communications,
Inc.,
Class
B
..............
(6,778)
(369,225)
(233.2)
Shopify,
Inc.,
Class
A
.......
(96)
(41,066)
(25.9)
(2,926,747)
China
Budweiser
Brewing
Co.
APAC
Ltd.
................
(11,700)
(29,112)
(18.4)
ESR
Cayman
Ltd.
.........
(6,200)
(18,821)
(11.9)
Prosus
NV
..............
(3,636)
(175,359)
(110.8)
Wilmar
International
Ltd.
....
(15,300)
(48,772)
(30.8)
(272,064)
Denmark
Ambu
A/S,
Class
B
........
(1,177)
(15,492)
(9.8)
Demant
A/S
.............
(1,094)
(48,074)
(30.4)
GN
Store
Nord
A/S
........
(855)
(32,088)
(20.3)
Orsted
A/S
..............
(523)
(57,860)
(36.5)
(153,514)
Finland
Kone
OYJ,
Class
B
........
(555)
(26,683)
(16.9)
Sampo
OYJ,
Class
A
.......
(477)
(23,162)
(14.6)
(49,845)
France
Accor
SA
...............
(5,065)
(166,404)
(105.1)
Adevinta
ASA
............
(1,183)
(9,139)
(5.8)
Aeroports
de
Paris
........
(160)
(22,632)
(14.3)
Air
Liquide
SA
...........
(2,575)
(445,497)
(281.4)
Airbus
SE
..............
(808)
(88,453)
(55.9)
Alstom
SA
..............
(4,306)
(94,648)
(59.8)
Bouygues
SA
............
(1,670)
(57,420)
(36.3)
Cie
Generale
des
Etablissements
Michelin
SCA
..........
(598)
(74,068)
(46.8)
EssilorLuxottica
SA
........
(897)
(152,712)
(96.5)
Faurecia
SE
.............
(3,689)
(80,191)
(50.7)
Getlink
SE
..............
(14,708)
(269,143)
(170.0)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
............
(142)
(91,893)
(58.0)
Renault
SA
.............
(232)
(5,669)
(3.6)
Sartorius
Stedim
Biotech
....
(185)
(60,537)
(38.2)
BlackRock
Total
Factor
Fund
38
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
France
(continued)
Veolia
Environnement
SA
....
(2,397)
$
(69,936)
(44.2)
%
Worldline
SA/France
.......
(2,305)
(90,688)
(57.3)
(1,779,030)
Germany
adidas
AG
..............
(138)
(27,829)
(17.6)
Daimler
Truck
Holding
AG
...
(1,731)
(46,555)
(29.4)
Deutsche
Lufthansa
AG
(Registered)
...........
(7,095)
(52,784)
(33.3)
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(2,127)
(132,271)
(83.6)
Knorr-Bremse
AG
.........
(73)
(5,206)
(3.3)
Mercedes-Benz
Group
AG
...
(959)
(66,939)
(42.3)
Merck
KGaA
............
(1,340)
(248,607)
(157.0)
Puma
SE
...............
(227)
(16,702)
(10.6)
Scout24
SE
.............
(1,184)
(74,886)
(47.3)
Siemens
Energy
AG
.......
(5,107)
(98,372)
(62.1)
Telefonica
Deutschland
Holding
AG
.................
(13,098)
(39,393)
(24.9)
United
Internet
AG
(Registered),
Class
G
..............
(594)
(19,109)
(12.1)
Zalando
SE
.............
(1,949)
(76,686)
(48.4)
(905,339)
Hong
Kong
Hong
Kong
Exchanges
&
Clearing
Ltd.
..........
(500)
(21,209)
(13.4)
Jardine
Matheson
Holdings
Ltd.
(800)
(42,504)
(26.8)
Melco
Resorts
&
Entertainment
Ltd.,
ADR
............
(5,672)
(32,444)
(20.5)
Xinyi
Glass
Holdings
Ltd.
....
(12,000)
(26,554)
(16.8)
(122,711)
Ireland
AerCap
Holdings
NV
.......
(658)
(30,735)
(19.4)
Flutter
Entertainment
plc
....
(704)
(70,745)
(44.7)
Kingspan
Group
plc
........
(235)
(21,875)
(13.8)
(123,355)
Israel
Teva
Pharmaceutical
Industries
Ltd.,
ADR
............
(7,707)
(67,128)
(42.4)
Wix.com
Ltd.
............
(127)
(9,583)
(6.0)
(76,711)
Italy
Atlantia
SpA
.............
(1,324)
(31,585)
(20.0)
DiaSorin
SpA
............
(119)
(15,588)
(9.9)
Infrastrutture
Wireless
Italiane
SpA
................
(11,524)
(122,965)
(77.7)
Nexi
SpA
...............
(4,979)
(48,834)
(30.8)
(218,972)
Japan
Aeon
Co.
Ltd.
............
(8,100)
(153,943)
(97.2)
Bandai
Namco
Holdings,
Inc.
.
(600)
(40,622)
(25.7)
Canon,
Inc.
.............
(4,700)
(108,143)
(68.3)
Central
Japan
Railway
Co.
...
(1,300)
(163,651)
(103.4)
Chiba
Bank
Ltd.
(The)
......
(4,800)
(27,664)
(17.5)
Chubu
Electric
Power
Co.,
Inc.
(3,900)
(39,371)
(24.9)
Cosmos
Pharmaceutical
Corp.
(600)
(55,313)
(34.9)
CyberAgent,
Inc.
..........
(2,600)
(27,469)
(17.3)
Daifuku
Co.
Ltd.
..........
(500)
(30,744)
(19.4)
Daito
Trust
Construction
Co.
Ltd.
(300)
(28,894)
(18.2)
Disco
Corp.
.............
(100)
(24,475)
(15.5)
East
Japan
Railway
Co.
.....
(3,900)
(203,372)
(128.5)
Fast
Retailing
Co.
Ltd.
......
(100)
(46,041)
(29.1)
Shares
Value
%
of
Basket
Value
Japan
(continued)
GMO
Payment
Gateway,
Inc.
.
(500)
$
(41,950)
(26.5)
%
Hikari
Tsushin,
Inc.
........
(600)
(70,256)
(44.4)
Hitachi
Construction
Machinery
Co.
Ltd.
..............
(2,300)
(52,075)
(32.9)
Inpex
Corp.
.............
(1,300)
(15,468)
(9.8)
Itochu
Techno-Solutions
Corp.
.
(1,700)
(39,807)
(25.1)
Japan
Exchange
Group,
Inc.
..
(3,000)
(44,671)
(28.2)
Japan
Post
Bank
Co.
Ltd.
....
(6,500)
(49,038)
(31.0)
Japan
Post
Holdings
Co.
Ltd.
.
(2,800)
(19,633)
(12.4)
JFE
Holdings,
Inc.
.........
(4,600)
(56,252)
(35.5)
Kakaku.com,
Inc.
.........
(2,300)
(48,166)
(30.4)
Keio
Corp.
..............
(1,600)
(61,364)
(38.8)
Kintetsu
Group
Holdings
Co.
Ltd.
................
(1,400)
(40,140)
(25.3)
Kobayashi
Pharmaceutical
Co.
Ltd.
................
(300)
(20,458)
(12.9)
Kobe
Bussan
Co.
Ltd.
......
(3,500)
(85,328)
(53.9)
Koei
Tecmo
Holdings
Co.
Ltd.
.
(1,950)
(59,797)
(37.8)
Kose
Corp.
.............
(100)
(10,266)
(6.5)
Kubota
Corp.
............
(9,100)
(154,597)
(97.6)
Lasertec
Corp.
...........
(800)
(106,881)
(67.5)
M3,
Inc.
................
(1,900)
(60,674)
(38.3)
Mercari,
Inc.
.............
(3,300)
(54,078)
(34.2)
Mitsubishi
Corp.
..........
(15,500)
(520,421)
(328.7)
Mitsui
&
Co.
Ltd.
..........
(1,000)
(24,216)
(15.3)
Miura
Co.
Ltd.
...........
(600)
(12,533)
(7.9)
MonotaRO
Co.
Ltd.
........
(800)
(13,742)
(8.7)
MS&AD
Insurance
Group
Holdings,
Inc.
..........
(1,100)
(32,744)
(20.7)
Nidec
Corp.
.............
(700)
(45,254)
(28.6)
Nintendo
Co.
Ltd.
.........
(100)
(45,639)
(28.8)
Nippon
Paint
Holdings
Co.
Ltd.
(8,600)
(68,123)
(43.0)
Nippon
Sanso
Holdings
Corp.
.
(7,100)
(127,768)
(80.7)
Nippon
Steel
Corp.
........
(2,000)
(31,757)
(20.1)
Nissan
Motor
Co.
Ltd.
......
(51,400)
(205,782)
(130.0)
Nitori
Holdings
Co.
Ltd.
.....
(400)
(41,152)
(26.0)
Nomura
Holdings,
Inc.
......
(18,700)
(72,004)
(45.5)
NTT
Data
Corp.
..........
(5,400)
(99,565)
(62.9)
Obic
Co.
Ltd.
............
(200)
(29,548)
(18.7)
Odakyu
Electric
Railway
Co.
Ltd.
(6,600)
(99,944)
(63.1)
Oji
Holdings
Corp.
.........
(5,400)
(25,580)
(16.2)
Oracle
Corp.
Japan
........
(800)
(51,409)
(32.5)
Oriental
Land
Co.
Ltd.
......
(100)
(15,127)
(9.6)
Otsuka
Corp.
............
(4,600)
(150,752)
(95.2)
Pan
Pacific
International
Holdings
Corp.
.........
(4,100)
(62,785)
(39.7)
Pola
Orbis
Holdings,
Inc.
....
(6,100)
(70,328)
(44.4)
Rakuten
Group,
Inc.
.......
(17,100)
(120,211)
(75.9)
Renesas
Electronics
Corp.
...
(4,500)
(48,051)
(30.3)
Ryohin
Keikaku
Co.
Ltd.
.....
(3,500)
(31,455)
(19.9)
SBI
Holdings,
Inc.
.........
(5,700)
(127,493)
(80.5)
SCSK
Corp.
.............
(1,800)
(28,617)
(18.1)
Seven
&
i
Holdings
Co.
Ltd.
..
(3,500)
(154,759)
(97.7)
Shimano,
Inc.
............
(400)
(70,874)
(44.8)
Shimizu
Corp.
...........
(5,500)
(28,840)
(18.2)
Shin-Etsu
Chemical
Co.
Ltd.
..
(600)
(82,461)
(52.1)
Shiseido
Co.
Ltd.
.........
(3,200)
(151,269)
(95.5)
SoftBank
Corp.
...........
(5,700)
(66,336)
(41.9)
SoftBank
Group
Corp.
......
(3,500)
(143,956)
(90.9)
Square
Enix
Holdings
Co.
Ltd.
.
(1,000)
(39,926)
(25.2)
SUMCO
Corp.
...........
(8,200)
(118,094)
(74.6)
Sumitomo
Electric
Industries
Ltd.
................
(15,400)
(165,563)
(104.6)
TIS,
Inc.
...............
(2,000)
(44,919)
(28.4)
Tobu
Railway
Co.
Ltd.
......
(1,700)
(38,213)
(24.1)
BlackRock
Total
Factor
Fund
39
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Japan
(continued)
Toho
Co.
Ltd.
............
(900)
$
(33,397)
(21.1)
%
Tokyo
Century
Corp.
.......
(1,300)
(40,043)
(25.3)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
..........
(18,800)
(64,893)
(41.0)
Tokyu
Corp.
.............
(7,600)
(92,939)
(58.7)
Toyota
Industries
Corp.
.....
(300)
(17,993)
(11.4)
Toyota
Motor
Corp.
........
(4,700)
(80,528)
(50.9)
Tsuruha
Holdings,
Inc.
......
(400)
(20,443)
(12.9)
Unicharm
Corp.
..........
(600)
(20,875)
(13.2)
Welcia
Holdings
Co.
Ltd.
....
(2,000)
(40,998)
(25.9)
West
Japan
Railway
Co.
....
(4,400)
(163,323)
(103.2)
Z
Holdings
Corp.
..........
(14,800)
(58,102)
(36.7)
ZOZO,
Inc.
..............
(1,000)
(20,937)
(13.2)
(6,002,282)
Jordan
Hikma
Pharmaceuticals
plc
...
(3,528)
(82,874)
(52.4)
Luxembourg
Eurofins
Scientific
SE
......
(237)
(22,026)
(13.9)
Macau
Galaxy
Entertainment
Group
Ltd.
................
(21,000)
(119,829)
(75.7)
Sands
China
Ltd.
.........
(33,200)
(73,179)
(46.2)
(193,008)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
(3,687)
(45,834)
(29.0)
Akzo
Nobel
NV
...........
(615)
(53,349)
(33.7)
Argenx
SE
..............
(381)
(109,769)
(69.3)
ASM
International
NV
......
(82)
(24,640)
(15.6)
Euronext
NV
............
(243)
(19,470)
(12.3)
JDE
Peet's
NV
...........
(4,701)
(138,299)
(87.4)
Universal
Music
Group
NV
...
(6,514)
(151,167)
(95.5)
(542,528)
New
Zealand
Xero
Ltd.
...............
(825)
(54,402)
(34.4)
Norway
Equinor
ASA
............
(734)
(24,809)
(15.7)
Singapore
Singapore
Exchange
Ltd.
....
(18,000)
(126,654)
(80.0)
Venture
Corp.
Ltd.
.........
(8,600)
(105,573)
(66.7)
(232,227)
Spain
Aena
SME
SA
...........
(452)
(64,143)
(40.5)
Cellnex
Telecom
SA
.......
(216)
(10,068)
(6.3)
EDP
Renovaveis
SA
.......
(1,049)
(24,827)
(15.7)
Ferrovial
SA
.............
(1,394)
(35,748)
(22.6)
Grifols
SA
..............
(2,597)
(43,496)
(27.5)
Siemens
Gamesa
Renewable
Energy
SA
............
(2,208)
(35,170)
(22.2)
(213,452)
Sweden
Atlas
Copco
AB,
Class
A
....
(3,817)
(173,051)
(109.3)
Electrolux
AB,
Class
B
......
(1,438)
(21,930)
(13.9)
Embracer
Group
AB
.......
(38,743)
(258,959)
(163.6)
Epiroc
AB,
Class
A
........
(2,362)
(47,885)
(30.3)
Essity
AB,
Class
B
........
(5,865)
(154,666)
(97.7)
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(1,476)
(18,581)
(11.7)
Hexagon
AB,
Class
B
......
(6,654)
(85,856)
(54.2)
Investment
AB
Latour,
Class
B
(17,578)
(465,686)
(294.2)
Shares
Value
%
of
Basket
Value
Sweden
(continued)
Nibe
Industrier
AB,
Class
B
...
(3,850)
$
(37,747)
(23.8)
%
Sinch
AB
...............
(10,389)
(45,913)
(29.0)
Svenska
Handelsbanken
AB,
Class
A
..............
(9,234)
(93,137)
(58.8)
(1,403,411)
Switzerland
ABB
Ltd.
(Registered)
......
(11,628)
(348,863)
(220.4)
Alcon,
Inc.
..............
(1,850)
(132,092)
(83.4)
Bachem
Holding
AG
(Registered),
Class
B
....
(532)
(232,137)
(146.6)
Barry
Callebaut
AG
(Registered)
(121)
(278,488)
(175.9)
Credit
Suisse
Group
AG
(Registered)
...........
(9,253)
(62,803)
(39.7)
EMS-Chemie
Holding
AG
(Registered)
...........
(22)
(19,627)
(12.4)
Lonza
Group
AG
(Registered)
.
(81)
(47,760)
(30.2)
Partners
Group
Holding
AG
..
(47)
(49,796)
(31.4)
Schindler
Holding
AG
......
(130)
(24,976)
(15.8)
Swatch
Group
AG
(The)
.....
(136)
(34,903)
(22.0)
TE
Connectivity
Ltd.
.......
(2,260)
(282,003)
(178.1)
(1,513,448)
Taiwan
Sea
Ltd.,
ADR
...........
(1,031)
(85,326)
(53.9)
United
Kingdom
Admiral
Group
plc
.........
(709)
(22,317)
(14.1)
AVEVA
Group
plc
.........
(4,234)
(113,793)
(71.9)
Barclays
plc
.............
(23,675)
(43,518)
(27.5)
Halma
plc
..............
(3,654)
(112,162)
(70.9)
Hargreaves
Lansdown
plc
...
(14,745)
(168,806)
(106.6)
Liberty
Global
plc,
Class
A
...
(5,958)
(138,076)
(87.2)
London
Stock
Exchange
Group
plc
.................
(881)
(86,859)
(54.9)
Melrose
Industries
plc
......
(13,615)
(19,784)
(12.5)
NatWest
Group
plc
........
(40,933)
(109,815)
(69.4)
Ocado
Group
plc
.........
(11,867)
(135,719)
(85.7)
Pearson
plc
.............
(3,360)
(32,625)
(20.6)
Phoenix
Group
Holdings
plc
..
(19,198)
(145,413)
(91.9)
Prudential
plc
............
(12,189)
(151,734)
(95.8)
Reckitt
Benckiser
Group
plc
..
(4,487)
(349,921)
(221.0)
Rentokil
Initial
plc
.........
(3,392)
(23,297)
(14.7)
Rolls-Royce
Holdings
plc
....
(17,458)
(17,897)
(11.3)
Severn
Trent
plc
..........
(1,239)
(48,695)
(30.8)
SSE
plc
................
(2,306)
(53,559)
(33.8)
(1,773,990)
United
States
Albemarle
Corp.
..........
(287)
(55,342)
(35.0)
Allstate
Corp.
(The)
........
(240)
(30,370)
(19.2)
Amcor
plc
..............
(7,371)
(87,420)
(55.2)
Ameren
Corp.
............
(1,974)
(183,385)
(115.8)
American
Electric
Power
Co.,
Inc.
.................
(2,164)
(214,474)
(135.5)
Amphenol
Corp.,
Class
A
....
(2,603)
(186,115)
(117.6)
Analog
Devices,
Inc.
.......
(332)
(51,254)
(32.4)
Anthem,
Inc.
............
(220)
(110,425)
(69.8)
Aon
plc,
Class
A
..........
(774)
(222,904)
(140.8)
Aptiv
plc
...............
(33)
(3,511)
(2.2)
Aramark
...............
(1,319)
(47,814)
(30.2)
Arrow
Electronics,
Inc.
......
(450)
(53,037)
(33.5)
Arthur
J
Gallagher
&
Co.
....
(358)
(60,319)
(38.1)
AT&T,
Inc.
..............
(4,321)
(81,494)
(51.5)
Atmos
Energy
Corp.
.......
(710)
(80,514)
(50.9)
Avalara,
Inc.
.............
(2,686)
(204,324)
(129.1)
BlackRock
Total
Factor
Fund
40
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Avantor,
Inc.
.............
(1,451)
$
(46,258)
(29.2)
%
Ball
Corp.
..............
(636)
(51,618)
(32.6)
Bausch
Health
Cos.,
Inc.
....
(16,833)
(319,849)
(202.0)
Baxter
International,
Inc.
....
(3,707)
(263,419)
(166.4)
Becton
Dickinson
and
Co.
...
(1,252)
(309,482)
(195.5)
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(440)
(225,306)
(142.3)
Bio-Techne
Corp.
.........
(128)
(48,600)
(30.7)
Black
Knight,
Inc.
.........
(1,724)
(113,422)
(71.6)
Boston
Scientific
Corp.
......
(1,209)
(50,911)
(32.2)
Broadcom,
Inc.
...........
(79)
(43,797)
(27.7)
Brookfield
Renewable
Corp.
..
(1,056)
(37,920)
(24.0)
Brown
&
Brown,
Inc.
.......
(1,157)
(71,711)
(45.3)
Burlington
Stores,
Inc.
......
(267)
(54,351)
(34.3)
Cable
One,
Inc.
..........
(15)
(17,493)
(11.0)
Caesars
Entertainment,
Inc.
..
(638)
(42,287)
(26.7)
Campbell
Soup
Co.
........
(480)
(22,666)
(14.3)
CarMax,
Inc.
............
(760)
(65,193)
(41.2)
Carnival
Corp.
...........
(13,079)
(226,267)
(142.9)
Carrier
Global
Corp.
.......
(1,056)
(40,413)
(25.5)
Carvana
Co.
............
(769)
(44,571)
(28.2)
Centene
Corp.
...........
(3,847)
(309,876)
(195.7)
CenterPoint
Energy,
Inc.
....
(1,197)
(36,640)
(23.1)
Charles
River
Laboratories
International,
Inc.
.......
(167)
(40,332)
(25.5)
Charter
Communications,
Inc.,
Class
A
..............
(258)
(110,550)
(69.8)
Chevron
Corp.
...........
(790)
(123,769)
(78.2)
Clarivate
plc
.............
(1,030)
(16,150)
(10.2)
Clorox
Co.
(The)
..........
(1,382)
(198,276)
(125.2)
Coinbase
Global,
Inc.,
Class
A
(765)
(86,223)
(54.5)
Conagra
Brands,
Inc.
.......
(6,944)
(242,554)
(153.2)
Constellation
Brands,
Inc.,
Class
A
..................
(714)
(175,708)
(111.0)
Cooper
Cos.,
Inc.
(The)
.....
(70)
(25,273)
(16.0)
CoStar
Group,
Inc.
........
(2,806)
(178,518)
(112.8)
Coterra
Energy,
Inc.
.......
(1,225)
(35,268)
(22.3)
Coupa
Software,
Inc.
.......
(980)
(84,574)
(53.4)
CyberArk
Software
Ltd.
.....
(1,042)
(163,740)
(103.4)
Danaher
Corp.
...........
(1,475)
(370,417)
(234.0)
DaVita,
Inc.
.............
(588)
(63,722)
(40.3)
Dollar
Tree,
Inc.
..........
(319)
(51,822)
(32.7)
DraftKings
Holdings,
Inc.,
Class
A
..................
(3,090)
(42,271)
(26.7)
Dynatrace,
Inc.
...........
(865)
(33,181)
(21.0)
Eastman
Chemical
Co.
.....
(259)
(26,592)
(16.8)
Enphase
Energy,
Inc.
.......
(210)
(33,894)
(21.4)
Entegris,
Inc.
............
(837)
(93,233)
(58.9)
Erie
Indemnity
Co.,
Class
A
..
(450)
(72,126)
(45.6)
Etsy,
Inc.
...............
(170)
(15,842)
(10.0)
Evergy,
Inc.
.............
(2,090)
(141,806)
(89.6)
Exact
Sciences
Corp.
......
(2,467)
(135,808)
(85.8)
Fidelity
National
Information
Services,
Inc.
..........
(385)
(38,173)
(24.1)
FirstEnergy
Corp.
.........
(2,189)
(94,806)
(59.9)
Fiserv,
Inc.
..............
(1,942)
(190,161)
(120.1)
FleetCor
Technologies,
Inc.
...
(639)
(159,443)
(100.7)
Ford
Motor
Co.
...........
(5,399)
(76,450)
(48.3)
Generac
Holdings,
Inc.
.....
(57)
(12,505)
(7.9)
General
Electric
Co.
.......
(1,311)
(97,735)
(61.7)
Global
Payments,
Inc.
......
(1,354)
(185,471)
(117.2)
Globe
Life,
Inc.
...........
(682)
(66,891)
(42.3)
Hasbro,
Inc.
.............
(470)
(41,388)
(26.1)
HEICO
Corp.
............
(74)
(10,451)
(6.6)
Hess
Corp.
.............
(751)
(77,406)
(48.9)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Hilton
Worldwide
Holdings,
Inc.
(237)
$
(36,804)
(23.2)
%
Hormel
Foods
Corp.
.......
(3,746)
(196,253)
(124.0)
Howmet
Aerospace,
Inc.
....
(4,508)
(153,813)
(97.2)
Humana,
Inc.
............
(718)
(319,194)
(201.6)
Huntington
Ingalls
Industries,
Inc.
.................
(100)
(21,274)
(13.4)
IAC/InterActiveCorp
........
(3,033)
(251,375)
(158.8)
Ingersoll
Rand,
Inc.
........
(1,042)
(45,806)
(28.9)
International
Business
Machines
Corp.
...............
(2,384)
(315,189)
(199.1)
International
Flavors
&
Fragrances,
Inc.
........
(136)
(16,497)
(10.4)
Intuitive
Surgical,
Inc.
......
(36)
(8,615)
(5.4)
IPG
Photonics
Corp.
.......
(721)
(68,120)
(43.0)
IQVIA
Holdings,
Inc.
.......
(116)
(25,287)
(16.0)
Jack
Henry
&
Associates,
Inc.
.
(649)
(123,037)
(77.7)
Kellogg
Co.
.............
(2,860)
(195,910)
(123.7)
Keurig
Dr
Pepper,
Inc.
......
(2,403)
(89,872)
(56.8)
Kimberly-Clark
Corp.
.......
(440)
(61,085)
(38.6)
Lear
Corp.
..............
(180)
(23,029)
(14.5)
Leidos
Holdings,
Inc.
.......
(389)
(40,265)
(25.4)
Liberty
Broadband
Corp.,
Class
C
..................
(615)
(68,769)
(43.4)
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(1,932)
(120,422)
(76.1)
Liberty
Media
Corp-Liberty
SiriusXM,
Class
A
.......
(720)
(30,118)
(19.0)
Live
Nation
Entertainment,
Inc.
(691)
(72,472)
(45.8)
Lumen
Technologies,
Inc.
....
(5,774)
(58,086)
(36.7)
M&T
Bank
Corp.
..........
(605)
(100,817)
(63.7)
MarketAxess
Holdings,
Inc.
..
(299)
(78,819)
(49.8)
Marriott
International,
Inc.,
Class
A
..................
(655)
(116,276)
(73.4)
Marsh
&
McLennan
Cos.,
Inc.
.
(258)
(41,719)
(26.4)
Martin
Marietta
Materials,
Inc.
.
(359)
(127,165)
(80.3)
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(858)
(86,289)
(54.5)
McKesson
Corp.
..........
(405)
(125,392)
(79.2)
Medtronic
plc
............
(3,124)
(326,021)
(205.9)
MGM
Resorts
International
...
(2,478)
(101,697)
(64.2)
Microchip
Technology,
Inc.
...
(360)
(23,472)
(14.8)
Mohawk
Industries,
Inc.
.....
(394)
(55,578)
(35.1)
Mondelez
International,
Inc.,
Class
A
..............
(1,774)
(114,388)
(72.3)
MongoDB,
Inc.
...........
(58)
(20,586)
(13.0)
Morgan
Stanley
..........
(992)
(79,945)
(50.5)
Mosaic
Co.
(The)
.........
(332)
(20,723)
(13.1)
Motorola
Solutions,
Inc.
.....
(1,088)
(232,495)
(146.9)
Netflix,
Inc.
..............
(151)
(28,744)
(18.2)
Newell
Brands,
Inc.
........
(5,549)
(128,459)
(81.1)
ON
Semiconductor
Corp.
....
(763)
(39,760)
(25.1)
Oracle
Corp.
............
(2,914)
(213,888)
(135.1)
Palantir
Technologies,
Inc.,
Class
A
..................
(2,893)
(30,087)
(19.0)
PayPal
Holdings,
Inc.
......
(1,951)
(171,551)
(108.4)
Peloton
Interactive,
Inc.,
Class
A
(2,461)
(43,215)
(27.3)
PerkinElmer,
Inc.
.........
(1,083)
(158,779)
(100.3)
PNC
Financial
Services
Group,
Inc.
(The)
............
(420)
(69,762)
(44.1)
PPG
Industries,
Inc.
.......
(770)
(98,552)
(62.3)
Progressive
Corp.
(The)
.....
(1,801)
(193,355)
(122.1)
Republic
Services,
Inc.
.....
(2,132)
(286,264)
(180.8)
Rollins,
Inc.
.............
(1,070)
(35,888)
(22.7)
Ross
Stores,
Inc.
.........
(241)
(24,045)
(15.2)
Royal
Caribbean
Cruises
Ltd.
.
(2,422)
(188,262)
(118.9)
BlackRock
Total
Factor
Fund
41
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Royalty
Pharma
plc,
Class
A
..
(5,702)
$
(242,791)
(153.4)
%
RPM
International,
Inc.
.....
(2,640)
(218,856)
(138.2)
S&P
Global,
Inc.
..........
(390)
(146,835)
(92.7)
Schneider
Electric
SE
......
(3,536)
(507,307)
(320.4)
Seagen,
Inc.
............
(690)
(90,397)
(57.1)
SEI
Investments
Co.
.......
(629)
(35,048)
(22.1)
Sensata
Technologies
Holding
plc
.................
(1,620)
(73,564)
(46.5)
Sherwin-Williams
Co.
(The)
..
(584)
(160,577)
(101.4)
Snap,
Inc.,
Class
A
........
(1,252)
(35,632)
(22.5)
SoFi
Technologies,
Inc.
.....
(15,993)
(97,877)
(61.8)
SolarEdge
Technologies,
Inc.
.
(644)
(161,264)
(101.9)
Southern
Co.
(The)
........
(808)
(59,299)
(37.5)
SS&C
Technologies
Holdings,
Inc.
.................
(3,095)
(200,123)
(126.4)
Stanley
Black
&
Decker,
Inc.
..
(704)
(84,586)
(53.4)
STERIS
plc
.............
(670)
(150,114)
(94.8)
Stryker
Corp.
............
(101)
(24,367)
(15.4)
Swiss
Re
AG
............
(297)
(24,356)
(15.4)
Sysco
Corp.
.............
(408)
(34,876)
(22.0)
Take-Two
Interactive
Software,
Inc.
.................
(1,155)
(138,034)
(87.2)
Teladoc
Health,
Inc.
........
(500)
(16,880)
(10.7)
Teledyne
Technologies,
Inc.
..
(358)
(154,495)
(97.6)
Teleflex,
Inc.
.............
(224)
(63,979)
(40.4)
Tenaris
SA
..............
(2,973)
(45,434)
(28.7)
Thermo
Fisher
Scientific,
Inc.
.
(653)
(361,057)
(228.1)
TJX
Cos.,
Inc.
(The)
.......
(1,087)
(66,611)
(42.1)
T-Mobile
US,
Inc.
.........
(3,768)
(463,992)
(293.1)
Trade
Desk,
Inc.
(The),
Class
A
(847)
(49,905)
(31.5)
Tradeweb
Markets,
Inc.,
Class
A
(921)
(65,566)
(41.4)
TransUnion
.............
(1,202)
(105,199)
(66.4)
Twilio,
Inc.,
Class
A
........
(1,142)
(127,698)
(80.7)
Tyler
Technologies,
Inc.
.....
(421)
(166,173)
(105.0)
Universal
Health
Services,
Inc.,
Class
B
..............
(266)
(32,593)
(20.6)
Upstart
Holdings,
Inc.
......
(299)
(22,431)
(14.2)
US
Bancorp
.............
(904)
(43,898)
(27.7)
Verisk
Analytics,
Inc.
.......
(501)
(102,229)
(64.6)
VF
Corp.
...............
(1,061)
(55,172)
(34.8)
Viatris,
Inc.
..............
(16,593)
(171,406)
(108.3)
Vistra
Corp.
.............
(1,806)
(45,186)
(28.5)
Walgreens
Boots
Alliance,
Inc.
(647)
(27,433)
(17.3)
Walmart,
Inc.
............
(567)
(86,745)
(54.8)
Walt
Disney
Co.
(The)
......
(1,192)
(133,063)
(84.1)
Warner
Bros
Discovery,
Inc.
..
(2,201)
(39,948)
(25.2)
Waste
Connections,
Inc.
.....
(1,140)
(157,286)
(99.4)
Waste
Management,
Inc.
....
(859)
(141,254)
(89.2)
Wayfair,
Inc.,
Class
A
.......
(441)
(33,931)
(21.4)
Wells
Fargo
&
Co.
.........
(1,332)
(58,115)
(36.7)
Western
Digital
Corp.
.......
(2,385)
(126,572)
(80.0)
Westinghouse
Air
Brake
Technologies
Corp.
......
(289)
(25,984)
(16.4)
Williams
Cos.,
Inc.
(The)
....
(8,026)
(275,212)
(173.8)
Wynn
Resorts
Ltd.
........
(487)
(34,324)
(21.7)
Xylem,
Inc.
..............
(273)
(21,976)
(13.9)
Zendesk,
Inc.
............
(725)
(88,479)
(55.9)
Zoetis,
Inc.
..............
(301)
(53,352)
(33.7)
Zoom
Video
Communications,
Inc.,
Class
A
...........
(519)
(51,677)
(32.6)
(19,431,724)
Zambia
First
Quantum
Minerals
Ltd.
..
(1,288)
(36,926)
(23.3)
Shares
Value
%
of
Basket
Value
Preferred
Securities
Germany
Sartorius
AG
(Preference)
...
(98)
$
(36,743)
(23.2)
%
Total
Reference
Entity
—
Short
............
(40,091,505)
Net
Value
of
Reference
Entity
—
Goldman
Sachs
International
.........................
$
158,314
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
period
end,
termination
date
February
8,
2023:
Reference
Entity
—
Long
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
2,739
122,766
90.0
Canada
Alimentation
Couche-Tard,
Inc.
4,891
217,737
159.6
AltaGas
Ltd.
.............
6,034
137,998
101.1
Canadian
Apartment
Properties
REIT
................
3,260
127,695
93.6
Canadian
Tire
Corp.
Ltd.,
Class
A
..................
1,211
166,805
122.2
Constellation
Software,
Inc.
..
336
528,820
387.6
Empire
Co.
Ltd.,
Class
A
....
8,168
269,776
197.7
Franco-Nevada
Corp.
......
344
52,024
38.1
George
Weston
Ltd.
.......
4,484
557,843
408.8
Gildan
Activewear,
Inc.
......
4,658
157,835
115.7
Hydro
One
Ltd.
...........
20,643
558,075
409.0
iA
Financial
Corp.,
Inc.
......
1,552
81,149
59.5
Kinross
Gold
Corp.
........
19,810
100,079
73.3
Manulife
Financial
Corp.
.....
8,399
164,234
120.4
National
Bank
of
Canada
....
2,245
156,791
114.9
Onex
Corp.
.............
1,405
84,422
61.9
Open
Text
Corp.
..........
8,519
341,185
250.0
Parkland
Corp.
...........
4,883
138,700
101.7
Power
Corp.
of
Canada
.....
1,024
30,131
22.1
Ritchie
Bros
Auctioneers,
Inc.
.
767
42,247
31.0
Royal
Bank
of
Canada
......
473
47,773
35.0
Teck
Resources
Ltd.,
Class
B
.
914
36,058
26.4
Thomson
Reuters
Corp.
.....
38
3,799
2.8
TMX
Group
Ltd.
..........
993
101,097
74.1
Toromont
Industries
Ltd.
.....
1,869
164,531
120.6
4,266,804
South
Korea
HDC
Holdings
Co.
Ltd.
......
1
6
0.0
United
States
Fortive
Corp.
............
1
57
0.0
Total
Reference
Entity
—
Long
............
4,389,633
Reference
Entity
—
Short
Common
Stocks
Canada
Air
Canada
.............
(3,965)
(69,445)
(50.9)
Algonquin
Power
&
Utilities
Corp.
...............
(5,576)
(80,733)
(59.2)
Brookfield
Asset
Management,
Inc.,
Class
A
...........
(7,820)
(390,072)
(285.9)
CAE,
Inc.
...............
(2,672)
(63,542)
(46.6)
Cameco
Corp.
...........
(2,341)
(60,445)
(44.3)
CCL
Industries,
Inc.,
Class
B
..
(3,109)
(135,551)
(99.3)
Cenovus
Energy,
Inc.
.......
(3,360)
(62,118)
(45.5)
Dollarama,
Inc.
...........
(1,157)
(64,323)
(47.1)
BlackRock
Total
Factor
Fund
42
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Canada
(continued)
Emera,
Inc.
.............
(9,974)
$
(481,600)
(353.0)
%
Fairfax
Financial
Holdings
Ltd.
(322)
(176,928)
(129.7)
Fortis,
Inc.
..............
(3,265)
(158,872)
(116.4)
GFL
Environmental,
Inc.
.....
(25,325)
(762,914)
(559.1)
Ivanhoe
Mines
Ltd.,
Class
A
..
(9,312)
(74,661)
(54.7)
Keyera
Corp.
............
(972)
(24,114)
(17.7)
Lightspeed
Commerce,
Inc.
..
(774)
(17,298)
(12.7)
Northland
Power,
Inc.
......
(6,851)
(206,759)
(151.5)
Nuvei
Corp.
.............
(388)
(21,698)
(15.9)
Pan
American
Silver
Corp.
...
(18,848)
(467,294)
(342.5)
Restaurant
Brands
International,
Inc.
.................
(3,502)
(200,064)
(146.6)
Saputo,
Inc.
.............
(4,301)
(91,936)
(67.4)
Shopify,
Inc.,
Class
A
.......
(58)
(24,810)
(18.2)
TC
Energy
Corp.
..........
(7,886)
(417,120)
(305.7)
(4,052,297)
Chile
Lundin
Mining
Corp.
.......
(2,171)
(19,823)
(14.5)
United
States
Brookfield
Renewable
Corp.
..
(1,059)
(38,027)
(27.9)
Lennar
Corp.,
Class
B
......
(1)
(65)
(0.0)
(38,092)
Zambia
First
Quantum
Minerals
Ltd.
..
(4,987)
(142,974)
(104.8)
Total
Reference
Entity
—
Short
............
(4,253,186)
Net
Value
of
Reference
Entity
—
JPMorgan
Chase
Bank
NA
............................
$
136,447
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
period
end,
termination
date
February
15,
2023:
Reference
Entity
—
Long
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
......
4,863
112,833
52.5
Aurizon
Holdings
Ltd.
......
8,019
22,647
10.6
BlueScope
Steel
Ltd.
.......
2,100
29,853
13.9
Cochlear
Ltd.
............
1,545
248,849
115.9
QBE
Insurance
Group
Ltd.
...
2,737
23,613
11.0
South32
Ltd.
............
11,848
39,458
18.4
477,253
Austria
voestalpine
AG
...........
911
23,707
11.0
Belgium
Ageas
SA/NV
............
383
18,327
8.5
Elia
Group
SA/NV
.........
149
23,718
11.1
Groupe
Bruxelles
Lambert
SA
.
837
78,980
36.8
UCB
SA
...............
493
56,041
26.1
177,066
Brazil
Wheaton
Precious
Metals
Corp.
1,229
55,086
25.7
Canada
Alimentation
Couche-Tard,
Inc.
1,201
53,466
24.9
Bank
of
Nova
Scotia
(The)
...
854
54,079
25.2
Canadian
Imperial
Bank
of
Commerce
...........
951
105,134
49.0
Canadian
National
Railway
Co.
167
19,640
9.1
Shares
Value
%
of
Basket
Value
Canada
(continued)
Canadian
Tire
Corp.
Ltd.,
Class
A
..................
373
$
51,378
23.9
%
Constellation
Software,
Inc.
..
311
489,473
227.9
George
Weston
Ltd.
.......
453
56,357
26.2
Gildan
Activewear,
Inc.
......
1,841
62,382
29.0
Hydro
One
Ltd.
...........
19,903
538,070
250.6
iA
Financial
Corp.,
Inc.
......
938
49,045
22.8
Intact
Financial
Corp.
.......
64
8,953
4.2
National
Bank
of
Canada
....
272
18,997
8.8
Open
Text
Corp.
..........
2,097
83,984
39.1
Royal
Bank
of
Canada
......
542
54,742
25.5
Shaw
Communications,
Inc.,
Class
B
..............
1,156
34,428
16.0
Teck
Resources
Ltd.,
Class
B
.
2,684
105,885
49.3
Thomson
Reuters
Corp.
.....
100
9,998
4.7
1,796,011
Denmark
Coloplast
A/S,
Class
B
......
1,439
193,875
90.3
Danske
Bank
A/S
.........
1,403
21,520
10.0
DSV
A/S
...............
123
20,166
9.4
Genmab
A/S
............
226
79,471
37.0
Novo
Nordisk
A/S,
Class
B
...
2,766
315,950
147.1
630,982
Finland
Elisa
OYJ
..............
641
37,576
17.5
Kesko
OYJ,
Class
B
.......
3,453
86,934
40.5
Neste
OYJ
..............
2,122
91,053
42.4
Nordea
Bank
Abp
.........
4,024
40,120
18.7
Stora
Enso
OYJ,
Class
R
....
4,786
94,186
43.8
349,869
France
Arkema
SA
.............
504
57,428
26.7
BioMerieux
.............
985
93,774
43.7
Cie
de
Saint-Gobain
.......
975
56,880
26.5
Credit
Agricole
SA
.........
3,269
35,299
16.4
Dassault
Systemes
SE
.....
1,813
80,179
37.3
Eurazeo
SE
.............
617
47,410
22.1
Ipsen
SA
...............
128
13,269
6.2
La
Francaise
des
Jeux
SAEM
.
901
33,644
15.7
Legrand
SA
.............
286
25,344
11.8
Orange
SA
..............
4,755
56,610
26.4
Pernod
Ricard
SA
.........
124
25,592
11.9
SEB
SA
................
126
15,131
7.0
Sodexo
SA
.............
323
24,298
11.3
564,858
Germany
Brenntag
SE
............
267
20,603
9.6
Covestro
AG
............
448
19,289
9.0
Deutsche
Boerse
AG
.......
37
6,441
3.0
Deutsche
Post
AG
(Registered)
10,667
455,721
212.2
Evonik
Industries
AG
.......
1,543
40,359
18.8
HeidelbergCement
AG
......
233
13,423
6.2
LEG
Immobilien
SE
........
272
27,888
13.0
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
104
24,767
11.5
Rational
AG
.............
44
26,842
12.5
Siemens
AG
(Registered)
....
209
25,698
12.0
Vonovia
SE
.............
54
2,151
1.0
663,182
BlackRock
Total
Factor
Fund
43
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Ireland
Kerry
Group
plc,
Class
A
....
221
$
24,480
11.4
%
Israel
Bank
Hapoalim
BM
........
3,226
29,909
14.0
Elbit
Systems
Ltd.
.........
111
24,095
11.2
Israel
Discount
Bank
Ltd.,
Class
A
..................
10,213
60,322
28.1
114,326
Italy
Assicurazioni
Generali
SpA
...
812
15,374
7.2
Enel
SpA
...............
25,749
167,443
78.0
Moncler
SpA
............
1,418
73,869
34.4
256,686
Japan
AGC,
Inc.
..............
4,100
153,707
71.6
Ajinomoto
Co.,
Inc.
........
2,900
75,346
35.1
Asahi
Kasei
Corp.
.........
19,900
163,273
76.0
Chugai
Pharmaceutical
Co.
Ltd.
2,400
71,916
33.5
Dai
Nippon
Printing
Co.
Ltd.
..
2,500
52,245
24.3
Eisai
Co.
Ltd.
............
500
21,775
10.1
ENEOS
Holdings,
Inc.
......
26,100
91,836
42.8
FUJIFILM
Holdings
Corp.
....
100
5,497
2.6
Fujitsu
Ltd.
..............
200
30,230
14.1
Hino
Motors
Ltd.
..........
2,600
13,421
6.2
Hitachi
Ltd.
.............
400
18,971
8.8
Honda
Motor
Co.
Ltd.
......
10,800
284,078
132.3
Hoshizaki
Corp.
..........
1,500
95,013
44.2
Hoya
Corp.
.............
300
29,773
13.9
Isuzu
Motors
Ltd.
.........
3,700
43,163
20.1
JSR
Corp.
..............
2,300
62,457
29.1
Kajima
Corp.
............
10,700
119,246
55.5
KDDI
Corp.
.............
1,700
56,295
26.2
Kikkoman
Corp.
..........
400
22,480
10.5
Komatsu
Ltd.
............
1,000
22,506
10.5
Kyocera
Corp.
...........
700
36,755
17.1
Marubeni
Corp.
...........
11,900
129,896
60.5
Mazda
Motor
Corp.
........
2,800
19,882
9.3
Mitsubishi
Electric
Corp.
.....
18,700
195,869
91.2
Mitsubishi
Gas
Chemical
Co.,
Inc.
.................
1,900
27,746
12.9
Mitsui
Chemicals,
Inc.
......
1,400
31,987
14.9
NEC
Corp.
..............
500
19,398
9.0
NGK
Insulators
Ltd.
........
7,700
103,577
48.2
NIPPON
EXPRESS
HOLDINGS,
Inc.
.................
1,000
58,631
27.3
Nippon
Telegraph
&
Telephone
Corp.
...............
1,200
35,363
16.5
Nisshin
Seifun
Group,
Inc.
...
1,400
18,663
8.7
Nitto
Denko
Corp.
.........
8,000
536,968
250.0
Olympus
Corp.
...........
2,900
51,043
23.8
Ono
Pharmaceutical
Co.
Ltd.
.
1,200
30,829
14.4
Osaka
Gas
Co.
Ltd.
........
20,900
376,689
175.4
Panasonic
Holdings
Corp.
...
13,200
117,654
54.8
Recruit
Holdings
Co.
Ltd.
....
3,900
141,498
65.9
Resona
Holdings,
Inc.
......
24,700
107,406
50.0
Secom
Co.
Ltd.
...........
400
28,142
13.1
Seiko
Epson
Corp.
........
1,800
25,358
11.8
Sekisui
House
Ltd.
........
1,300
22,578
10.5
Subaru
Corp.
............
1,400
21,245
9.9
Sumitomo
Chemical
Co.
Ltd.
..
18,500
78,666
36.6
Suzuki
Motor
Corp.
........
1,400
42,203
19.6
Sysmex
Corp.
...........
900
59,038
27.5
Taisei
Corp.
.............
2,000
54,176
25.2
TDK
Corp.
..............
4,400
135,924
63.3
Shares
Value
%
of
Basket
Value
Japan
(continued)
Terumo
Corp.
............
2,100
$
62,507
29.1
%
Tokyo
Gas
Co.
Ltd.
........
10,600
203,037
94.5
TOPPAN,
Inc.
............
1,600
26,447
12.3
Toray
Industries,
Inc.
.......
7,100
33,649
15.7
Toshiba
Corp.
............
900
37,375
17.4
Trend
Micro,
Inc.
..........
1,000
55,757
26.0
Yamaha
Motor
Co.
Ltd.
.....
8,600
177,553
82.7
Yamato
Holdings
Co.
Ltd.
....
800
14,970
7.0
4,551,707
Netherlands
Koninklijke
Philips
NV
......
2,353
61,487
28.6
NN
Group
NV
............
2,429
118,976
55.4
180,463
New
Zealand
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
................
2,921
40,141
18.7
Spark
New
Zealand
Ltd.
.....
8,384
26,516
12.3
66,657
Portugal
Galp
Energia
SGPS
SA
.....
1,753
21,337
9.9
Singapore
STMicroelectronics
NV
.....
1,140
42,120
19.6
South
Africa
Anglo
American
plc
........
646
28,612
13.3
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
12,409
65,113
30.3
Banco
Santander
SA
.......
6,518
19,048
8.9
Endesa
SA
.............
1,100
23,053
10.7
Iberdrola
SA
.............
3,201
36,782
17.1
Repsol
SA
..............
17,073
254,693
118.6
398,689
Sweden
Alfa
Laval
AB
............
979
27,252
12.7
Assa
Abloy
AB,
Class
B
.....
1,518
38,363
17.9
Husqvarna
AB,
Class
B
.....
14,870
142,144
66.2
Investor
AB,
Class
B
.......
5,720
110,070
51.2
Telia
Co.
AB
.............
19,933
82,734
38.5
400,563
Switzerland
Baloise
Holding
AG
(Registered)
638
110,974
51.7
Julius
Baer
Group
Ltd.
......
903
43,152
20.1
Kuehne
+
Nagel
International
AG
(Registered)
...........
44
12,309
5.7
Nestle
SA
(Registered)
.....
251
32,403
15.1
Roche
Holding
AG
........
406
150,551
70.1
SGS
SA
(Registered)
.......
8
20,556
9.6
Straumann
Holding
AG
(Registered)
...........
490
57,767
26.9
427,712
United
Kingdom
3i
Group
plc
.............
2,319
37,951
17.7
abrdn
plc
...............
9,232
21,678
10.1
Ashtead
Group
plc
........
38
1,965
0.9
Aviva
plc
...............
3,929
21,080
9.8
Berkeley
Group
Holdings
plc
..
868
44,022
20.5
Compass
Group
plc
........
1,474
31,104
14.5
DCC
plc
...............
1,393
105,546
49.1
Entain
plc
..............
2,151
40,418
18.8
BlackRock
Total
Factor
Fund
44
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
Kingdom
(continued)
Experian
plc
.............
927
$
32,013
14.9
%
InterContinental
Hotels
Group
plc
.................
1,411
90,078
41.9
J
Sainsbury
plc
...........
11,386
33,222
15.5
JD
Sports
Fashion
plc
......
43,751
72,087
33.6
Kingfisher
plc
............
4,772
15,049
7.0
Legal
&
General
Group
plc
...
20,949
65,300
30.4
Sage
Group
plc
(The)
......
2,919
26,786
12.5
Taylor
Wimpey
plc
.........
17,668
27,787
12.9
Tesco
plc
...............
17,581
59,728
27.8
725,814
United
States
A
O
Smith
Corp.
..........
710
41,485
19.3
ABIOMED,
Inc.
...........
229
65,627
30.6
Adobe,
Inc.
.............
262
103,739
48.3
Advance
Auto
Parts,
Inc.
....
116
23,157
10.8
Advanced
Micro
Devices,
Inc.
.
243
20,781
9.7
Agilent
Technologies,
Inc.
....
818
97,563
45.4
Airbnb,
Inc.,
Class
A
.......
288
44,124
20.6
Align
Technology,
Inc.
......
289
83,784
39.0
Ally
Financial,
Inc.
.........
1,690
67,532
31.5
American
Express
Co.
......
128
22,363
10.4
American
Water
Works
Co.,
Inc.
38
5,855
2.7
Ameriprise
Financial,
Inc.
....
518
137,524
64.0
ANSYS,
Inc.
.............
110
30,326
14.1
Arista
Networks,
Inc.
.......
47
5,432
2.5
Assurant,
Inc.
............
21
3,819
1.8
Autodesk,
Inc.
...........
681
128,900
60.0
Avery
Dennison
Corp.
......
1,414
255,368
118.9
Bath
&
Body
Works,
Inc.
....
1,123
59,395
27.7
Bunge
Ltd.
..............
750
84,840
39.5
Capital
One
Financial
Corp.
..
565
70,410
32.8
Carlyle
Group,
Inc.
(The)
....
404
14,661
6.8
CDW
Corp.
.............
149
24,314
11.3
Celanese
Corp.
..........
227
33,355
15.5
Cigna
Corp.
.............
251
61,942
28.8
Cintas
Corp.
.............
64
25,425
11.8
Cognex
Corp.
............
1,447
97,861
45.6
ConocoPhillips
...........
635
60,655
28.2
Consolidated
Edison,
Inc.
....
1,003
93,018
43.3
Copart,
Inc.
.............
1,860
211,389
98.4
Corteva,
Inc.
............
2,147
123,860
57.7
Cummins,
Inc.
...........
305
57,703
26.9
Darden
Restaurants,
Inc.
....
1,640
216,037
100.6
Dexcom,
Inc.
............
206
84,167
39.2
DocuSign,
Inc.
...........
116
9,396
4.4
Dominion
Energy,
Inc.
......
1,185
96,743
45.1
Domino's
Pizza,
Inc.
.......
60
20,280
9.4
Dover
Corp.
.............
1,631
217,412
101.2
Dropbox,
Inc.,
Class
A
......
7,282
158,383
73.8
DTE
Energy
Co.
..........
152
19,918
9.3
eBay,
Inc.
..............
4,050
210,276
97.9
Edwards
Lifesciences
Corp.
..
2,414
255,353
118.9
Emerson
Electric
Co.
.......
214
19,298
9.0
Entergy
Corp.
............
323
38,389
17.9
EOG
Resources,
Inc.
.......
196
22,885
10.7
Equitable
Holdings,
Inc.
.....
1,439
41,486
19.3
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
293
77,370
36.0
Eversource
Energy
........
2,248
196,475
91.5
Expedia
Group,
Inc.
........
335
58,541
27.3
Expeditors
International
of
Washington,
Inc.
........
2,496
247,279
115.1
Fastenal
Co.
............
34
1,881
0.9
Shares
Value
%
of
Basket
Value
United
States
(continued)
FedEx
Corp.
............
133
$
26,432
12.3
%
First
Republic
Bank
........
110
16,414
7.6
FMC
Corp.
..............
421
55,799
26.0
Fortune
Brands
Home
&
Security,
Inc.
.................
855
60,919
28.4
General
Mills,
Inc.
.........
977
69,103
32.2
Genuine
Parts
Co.
........
725
94,286
43.9
Hartford
Financial
Services
Group,
Inc.
(The)
.......
1,132
79,161
36.9
Hershey
Co.
(The)
........
515
116,272
54.1
Hewlett
Packard
Enterprise
Co.
7,721
118,981
55.4
Home
Depot,
Inc.
(The)
.....
150
45,060
21.0
Horizon
Therapeutics
plc
....
422
41,592
19.4
IDEX
Corp.
.............
124
23,538
11.0
Illinois
Tool
Works,
Inc.
......
755
148,818
69.3
Incyte
Corp.
.............
2,927
219,408
102.2
Intuit,
Inc.
..............
532
222,775
103.7
Invesco
Ltd.
.............
1,805
33,176
15.5
James
Hardie
Industries
plc,
CDI
................
1,342
38,688
18.0
Johnson
Controls
International
plc
.................
129
7,723
3.6
Juniper
Networks,
Inc.
......
101
3,184
1.5
KeyCorp
...............
2,195
42,385
19.7
Keysight
Technologies,
Inc.
...
1,043
146,302
68.1
Knight-Swift
Transportation
Holdings,
Inc.
..........
2,661
127,435
59.3
Lennox
International,
Inc.
....
113
24,090
11.2
Lincoln
National
Corp.
......
464
27,910
13.0
LKQ
Corp.
..............
119
5,906
2.8
Loews
Corp.
............
3,220
202,345
94.2
Lyft,
Inc.,
Class
A
.........
844
27,514
12.8
Masimo
Corp.
............
1,022
115,455
53.8
McDonald's
Corp.
.........
292
72,755
33.9
Mettler-Toledo
International,
Inc.
220
281,057
130.9
Molson
Coors
Beverage
Co.,
Class
B
..............
494
26,745
12.5
Moody's
Corp.
...........
116
36,712
17.1
MSCI,
Inc.
..............
46
19,377
9.0
NetApp,
Inc.
.............
1,131
82,846
38.6
Nordson
Corp.
...........
874
188,513
87.8
Northern
Trust
Corp.
.......
507
52,246
24.3
Owens
Corning
...........
1,105
100,478
46.8
Parker-Hannifin
Corp.
......
501
135,681
63.2
Pentair
plc
..............
55
2,791
1.3
Phillips
66
..............
605
52,490
24.4
Pinterest,
Inc.,
Class
A
......
2,233
45,821
21.3
Pool
Corp.
..............
62
25,124
11.7
Procter
&
Gamble
Co.
(The)
..
655
105,160
49.0
Public
Service
Enterprise
Group,
Inc.
.................
1,480
103,097
48.0
QUALCOMM,
Inc.
.........
574
80,182
37.3
Regions
Financial
Corp.
.....
1,313
27,205
12.7
Robert
Half
International,
Inc.
.
2,686
264,061
123.0
Roku,
Inc.
..............
104
9,662
4.5
Seagate
Technology
Holdings
plc
.................
524
42,989
20.0
Sempra
Energy
..........
391
63,092
29.4
ServiceNow,
Inc.
..........
492
235,225
109.5
Starbucks
Corp.
..........
70
5,225
2.4
State
Street
Corp.
.........
855
57,259
26.7
Steel
Dynamics,
Inc.
.......
1,340
114,905
53.5
Stellantis
NV
............
4,247
57,019
26.6
SVB
Financial
Group
.......
85
41,449
19.3
Synchrony
Financial
.......
483
17,779
8.3
BlackRock
Total
Factor
Fund
45
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
Synopsys,
Inc.
...........
890
$
255,243
118.9
%
Trane
Technologies
plc
.....
85
11,891
5.5
Trimble,
Inc.
.............
2,438
162,615
75.7
Ulta
Beauty,
Inc.
..........
267
105,946
49.3
United
Parcel
Service,
Inc.,
Class
B
..................
217
39,056
18.2
United
Rentals,
Inc.
........
215
68,052
31.7
Vail
Resorts,
Inc.
..........
200
50,832
23.7
VeriSign,
Inc.
............
462
82,555
38.4
VMware,
Inc.,
Class
A
......
916
98,965
46.1
West
Pharmaceutical
Services,
Inc.
.................
309
97,354
45.3
Westrock
Co.
............
1,130
55,969
26.1
Workday,
Inc.,
Class
A
......
221
45,681
21.3
WW
Grainger,
Inc.
.........
601
300,518
139.9
Yum!
Brands,
Inc.
.........
2,399
280,707
130.7
Zebra
Technologies
Corp.,
Class
A
..................
53
19,592
9.1
10,310,368
Total
Reference
Entity
—
Long
............
22,287,548
Reference
Entity
—
Short
Common
Stocks
Australia
BHP
Group
plc
...........
(562)
(18,834)
(8.8)
Glencore
plc
............
(2,712)
(16,711)
(7.8)
Westpac
Banking
Corp.
.....
(3,106)
(51,995)
(24.2)
(87,540)
Austria
Erste
Group
Bank
AG
......
(2,112)
(65,759)
(30.6)
Verbund
AG
.............
(675)
(72,150)
(33.6)
(137,909)
Belgium
Anheuser-Busch
InBev
SA/NV
(772)
(44,421)
(20.7)
Brazil
Yara
International
ASA
......
(1,338)
(68,035)
(31.7)
Canada
Ballard
Power
Systems,
Inc.
..
(9,439)
(78,398)
(36.5)
Barrick
Gold
Corp.
........
(1,756)
(39,162)
(18.2)
Brookfield
Asset
Management,
Inc.,
Class
A
...........
(634)
(31,625)
(14.7)
CAE,
Inc.
...............
(898)
(21,355)
(9.9)
Canadian
Utilities
Ltd.,
Class
A
(4,745)
(142,647)
(66.4)
Cenovus
Energy,
Inc.
.......
(2,354)
(43,520)
(20.3)
CGI,
Inc.
...............
(765)
(61,002)
(28.4)
Dollarama,
Inc.
...........
(2,801)
(155,721)
(72.5)
Enbridge,
Inc.
............
(834)
(36,394)
(16.9)
Fortis,
Inc.
..............
(4,964)
(241,544)
(112.5)
GFL
Environmental,
Inc.
.....
(2,352)
(70,854)
(33.0)
IGM
Financial,
Inc.
........
(599)
(18,982)
(8.8)
Ivanhoe
Mines
Ltd.,
Class
A
..
(25,919)
(207,812)
(96.8)
Northland
Power,
Inc.
......
(5,149)
(155,394)
(72.4)
Nutrien
Ltd.
.............
(525)
(51,591)
(24.0)
Pan
American
Silver
Corp.
...
(1,265)
(31,363)
(14.6)
Pembina
Pipeline
Corp.
.....
(3,121)
(118,096)
(55.0)
Quebecor,
Inc.,
Class
B
.....
(2,064)
(48,569)
(22.6)
Restaurant
Brands
International,
Inc.
.................
(1,129)
(64,498)
(30.0)
Rogers
Communications,
Inc.,
Class
B
..............
(2,475)
(134,823)
(62.8)
Shopify,
Inc.,
Class
A
.......
(69)
(29,516)
(13.7)
Shares
Value
%
of
Basket
Value
Canada
(continued)
Tourmaline
Oil
Corp.
.......
(599)
$
(30,849)
(14.4)
%
(1,813,715)
China
NXP
Semiconductors
NV
....
(1,061)
(181,325)
(84.4)
Denmark
Ambu
A/S,
Class
B
........
(3,630)
(47,780)
(22.3)
Demant
A/S
.............
(926)
(40,692)
(18.9)
GN
Store
Nord
A/S
........
(2,474)
(92,848)
(43.2)
ROCKWOOL
A/S,
Class
B
...
(58)
(16,221)
(7.6)
(197,541)
Finland
Fortum
OYJ
.............
(1,393)
(23,160)
(10.8)
Kone
OYJ,
Class
B
........
(966)
(46,443)
(21.6)
Sampo
OYJ,
Class
A
.......
(513)
(24,910)
(11.6)
(94,513)
France
Accor
SA
...............
(2,888)
(94,881)
(44.2)
Aeroports
de
Paris
........
(1,231)
(174,125)
(81.1)
Alstom
SA
..............
(2,071)
(45,522)
(21.2)
AXA
SA
................
(6,529)
(172,725)
(80.4)
Bollore
SE
..............
(18,381)
(85,774)
(39.9)
Bouygues
SA
............
(1,602)
(55,082)
(25.7)
Faurecia
SE
.............
(862)
(18,738)
(8.7)
Getlink
SE
..............
(5,770)
(105,586)
(49.2)
Orpea
SA
..............
(1,067)
(38,159)
(17.8)
Remy
Cointreau
SA
........
(249)
(49,360)
(23.0)
Renault
SA
.............
(1,884)
(46,033)
(21.4)
Thales
SA
..............
(387)
(49,546)
(23.1)
Ubisoft
Entertainment
SA
....
(405)
(18,311)
(8.5)
Vinci
SA
...............
(1,008)
(97,810)
(45.5)
Worldline
SA/France
.......
(2,702)
(106,308)
(49.5)
(1,157,960)
Germany
adidas
AG
..............
(429)
(86,512)
(40.3)
Aroundtown
SA
...........
(4,365)
(21,950)
(10.2)
Carl
Zeiss
Meditec
AG
......
(279)
(35,044)
(16.3)
Commerzbank
AG
.........
(5,159)
(33,680)
(15.7)
Daimler
Truck
Holding
AG
...
(821)
(22,081)
(10.3)
Deutsche
Telekom
AG
(Registered)
...........
(1,457)
(26,840)
(12.5)
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(1,890)
(117,533)
(54.7)
Hannover
Rueck
SE
.......
(239)
(37,148)
(17.3)
KION
Group
AG
..........
(516)
(28,703)
(13.4)
LANXESS
AG
...........
(363)
(14,032)
(6.5)
RWE
AG
...............
(2,775)
(115,216)
(53.7)
Siemens
Healthineers
AG
....
(1,454)
(77,745)
(36.2)
Telefonica
Deutschland
Holding
AG
.................
(53,344)
(160,434)
(74.7)
United
Internet
AG
(Registered),
Class
G
..............
(1,214)
(39,055)
(18.2)
Zalando
SE
.............
(957)
(37,654)
(17.5)
(853,627)
Hong
Kong
Melco
Resorts
&
Entertainment
Ltd.,
ADR
............
(4,555)
(26,055)
(12.1)
Ireland
AerCap
Holdings
NV
.......
(885)
(41,338)
(19.3)
CRH
plc
...............
(680)
(26,877)
(12.5)
Flutter
Entertainment
plc
....
(523)
(52,556)
(24.5)
BlackRock
Total
Factor
Fund
46
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Ireland
(continued)
Kingspan
Group
plc
........
(222)
$
(20,665)
(9.6)
%
(141,436)
Israel
Wix.com
Ltd.
............
(116)
(8,753)
(4.1)
Italy
Davide
Campari-Milano
NV
..
(4,090)
(46,148)
(21.5)
Infrastrutture
Wireless
Italiane
SpA
................
(12,120)
(129,325)
(60.2)
Nexi
SpA
...............
(7,455)
(73,118)
(34.1)
UniCredit
SpA
...........
(1,762)
(16,308)
(7.6)
(264,899)
Japan
Aeon
Co.
Ltd.
............
(4,000)
(76,021)
(35.4)
Asahi
Group
Holdings
Ltd.
...
(1,200)
(45,231)
(21.1)
Asahi
Intecc
Co.
Ltd.
.......
(2,400)
(46,377)
(21.6)
Chubu
Electric
Power
Co.,
Inc.
(2,400)
(24,228)
(11.3)
Daifuku
Co.
Ltd.
..........
(500)
(30,744)
(14.3)
Daikin
Industries
Ltd.
.......
(1,500)
(229,227)
(106.7)
East
Japan
Railway
Co.
.....
(2,600)
(135,582)
(63.1)
GMO
Payment
Gateway,
Inc.
.
(700)
(58,730)
(27.3)
Hitachi
Construction
Machinery
Co.
Ltd.
..............
(300)
(6,792)
(3.2)
Itochu
Techno-Solutions
Corp.
.
(1,100)
(25,757)
(12.0)
Keisei
Electric
Railway
Co.
Ltd.
(700)
(17,164)
(8.0)
Kintetsu
Group
Holdings
Co.
Ltd.
................
(4,800)
(137,622)
(64.1)
Konami
Holdings
Corp.
.....
(1,000)
(61,493)
(28.6)
Kose
Corp.
.............
(300)
(30,798)
(14.3)
Kubota
Corp.
............
(9,600)
(163,091)
(75.9)
Kyowa
Kirin
Co.
Ltd.
.......
(700)
(14,754)
(6.9)
Lasertec
Corp.
...........
(200)
(26,720)
(12.4)
Lion
Corp.
..............
(2,100)
(21,637)
(10.1)
Mercari,
Inc.
.............
(1,000)
(16,387)
(7.6)
Mitsubishi
UFJ
Financial
Group,
Inc.
.................
(4,600)
(26,742)
(12.5)
MonotaRO
Co.
Ltd.
........
(1,700)
(29,203)
(13.6)
Nidec
Corp.
.............
(2,000)
(129,298)
(60.2)
Nihon
M&A
Center
Holdings,
Inc.
.................
(2,200)
(27,090)
(12.6)
Nippon
Paint
Holdings
Co.
Ltd.
(3,000)
(23,764)
(11.1)
Nippon
Sanso
Holdings
Corp.
.
(2,000)
(35,991)
(16.8)
Nissan
Motor
Co.
Ltd.
......
(50,900)
(203,781)
(94.9)
Nitori
Holdings
Co.
Ltd.
.....
(900)
(92,591)
(43.1)
NTT
Data
Corp.
..........
(4,900)
(90,346)
(42.1)
Odakyu
Electric
Railway
Co.
Ltd.
(3,600)
(54,515)
(25.4)
Omron
Corp.
............
(800)
(47,163)
(22.0)
Otsuka
Corp.
............
(3,400)
(111,425)
(51.9)
Renesas
Electronics
Corp.
...
(2,500)
(26,695)
(12.4)
Rinnai
Corp.
.............
(300)
(19,176)
(8.9)
Ryohin
Keikaku
Co.
Ltd.
.....
(2,600)
(23,367)
(10.9)
Shimano,
Inc.
............
(400)
(70,874)
(33.0)
Shiseido
Co.
Ltd.
.........
(2,200)
(103,997)
(48.4)
SoftBank
Group
Corp.
......
(1,800)
(74,034)
(34.5)
Square
Enix
Holdings
Co.
Ltd.
.
(1,100)
(43,918)
(20.5)
SUMCO
Corp.
...........
(4,400)
(63,367)
(29.5)
Sumitomo
Corp.
..........
(6,900)
(109,183)
(50.8)
Sumitomo
Metal
Mining
Co.
Ltd.
(1,800)
(78,942)
(36.8)
Sumitomo
Realty
&
Development
Co.
Ltd.
..............
(1,500)
(39,793)
(18.5)
Tobu
Railway
Co.
Ltd.
......
(1,800)
(40,461)
(18.8)
Toho
Co.
Ltd.
............
(1,200)
(44,529)
(20.7)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
..........
(14,800)
(51,086)
(23.8)
Shares
Value
%
of
Basket
Value
Japan
(continued)
Tokyu
Corp.
.............
(5,200)
$
(63,590)
(29.6)
%
Toyota
Industries
Corp.
.....
(400)
(23,991)
(11.2)
Toyota
Motor
Corp.
........
(4,700)
(80,528)
(37.5)
West
Japan
Railway
Co.
....
(700)
(25,983)
(12.1)
Z
Holdings
Corp.
..........
(11,300)
(44,362)
(20.7)
(3,068,140)
Jordan
Hikma
Pharmaceuticals
plc
...
(3,768)
(88,512)
(41.2)
Luxembourg
Eurofins
Scientific
SE
......
(1,144)
(106,321)
(49.5)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
(8,228)
(102,284)
(47.6)
Aegon
NV
..............
(20,476)
(106,162)
(49.4)
Argenx
SE
..............
(198)
(57,045)
(26.6)
JDE
Peet's
NV
...........
(4,719)
(138,828)
(64.6)
(404,319)
New
Zealand
Auckland
International
Airport
Ltd.
................
(4,278)
(21,488)
(10.0)
Ryman
Healthcare
Ltd.
.....
(2,254)
(13,340)
(6.2)
(34,828)
Norway
DNB
Bank
ASA
...........
(2,528)
(48,986)
(22.8)
Gjensidige
Forsikring
ASA
...
(3,017)
(64,502)
(30.1)
(113,488)
Saudi
Arabia
Delivery
Hero
SE
.........
(868)
(30,513)
(14.2)
Spain
CaixaBank
SA
...........
(7,924)
(25,578)
(11.9)
Ferrovial
SA
.............
(7,960)
(204,129)
(95.1)
Siemens
Gamesa
Renewable
Energy
SA
............
(6,867)
(109,381)
(50.9)
(339,088)
Sweden
Embracer
Group
AB
.......
(7,496)
(50,103)
(23.3)
Essity
AB,
Class
B
........
(4,525)
(119,329)
(55.6)
Evolution
AB
............
(30)
(3,078)
(1.4)
Hexagon
AB,
Class
B
......
(10,058)
(129,778)
(60.4)
Investment
AB
Latour,
Class
B
(613)
(16,240)
(7.6)
Nibe
Industrier
AB,
Class
B
...
(5,043)
(49,444)
(23.0)
Sinch
AB
...............
(5,389)
(23,816)
(11.1)
Svenska
Handelsbanken
AB,
Class
A
..............
(3,190)
(32,175)
(15.0)
(423,963)
Switzerland
ABB
Ltd.
(Registered)
......
(6,669)
(200,083)
(93.2)
Alcon,
Inc.
..............
(589)
(42,055)
(19.6)
Bachem
Holding
AG
(Registered),
Class
B
....
(40)
(17,454)
(8.1)
Barry
Callebaut
AG
(Registered)
(23)
(52,936)
(24.7)
Chocoladefabriken
Lindt
&
Spruengli
AG
..........
(22)
(246,730)
(114.9)
Cie
Financiere
Richemont
SA
.
(357)
(41,480)
(19.3)
Clariant
AG
(Registered)
....
(9,641)
(164,604)
(76.6)
Credit
Suisse
Group
AG
(Registered)
...........
(6,773)
(45,970)
(21.4)
EMS-Chemie
Holding
AG
(Registered)
...........
(111)
(99,026)
(46.1)
Schindler
Holding
AG
......
(563)
(108,167)
(50.4)
BlackRock
Total
Factor
Fund
47
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
Switzerland
(continued)
Swatch
Group
AG
(The)
.....
(243)
$
(62,364)
(29.0)
%
(1,080,869)
United
Kingdom
Admiral
Group
plc
.........
(1,664)
(52,378)
(24.4)
Hargreaves
Lansdown
plc
...
(8,455)
(96,796)
(45.1)
HSBC
Holdings
plc
........
(18,155)
(113,453)
(52.8)
Informa
plc
..............
(6,861)
(48,671)
(22.7)
Just
Eat
Takeaway.com
NV
...
(1,523)
(41,369)
(19.3)
Liberty
Global
plc,
Class
C
...
(297)
(7,039)
(3.3)
London
Stock
Exchange
Group
plc
.................
(344)
(33,916)
(15.8)
Melrose
Industries
plc
......
(12,430)
(18,062)
(8.4)
Prudential
plc
............
(3,187)
(39,673)
(18.5)
Rentokil
Initial
plc
.........
(6,013)
(41,299)
(19.2)
Rolls-Royce
Holdings
plc
....
(15,400)
(15,787)
(7.3)
Smith
&
Nephew
plc
.......
(3,133)
(50,781)
(23.6)
SSE
plc
................
(1,233)
(28,637)
(13.3)
Unilever
plc
.............
(2,204)
(102,464)
(47.7)
Vodafone
Group
plc
........
(111,117)
(168,227)
(78.3)
(858,552)
United
States
Albemarle
Corp.
..........
(169)
(32,588)
(15.2)
Amphenol
Corp.,
Class
A
....
(1,372)
(98,098)
(45.7)
Analog
Devices,
Inc.
.......
(872)
(134,619)
(62.7)
Anthem,
Inc.
............
(259)
(130,000)
(60.5)
Apollo
Global
Management,
Inc.
(3,715)
(184,858)
(86.1)
Arthur
J
Gallagher
&
Co.
....
(1,076)
(181,295)
(84.4)
Avantor,
Inc.
.............
(1,237)
(39,436)
(18.4)
Bausch
Health
Cos.,
Inc.
....
(6,673)
(126,796)
(59.0)
Becton
Dickinson
and
Co.
...
(159)
(39,303)
(18.3)
Bentley
Systems,
Inc.,
Class
B
(1,332)
(56,463)
(26.3)
BioMarin
Pharmaceutical,
Inc.
.
(1,710)
(139,109)
(64.8)
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(86)
(44,037)
(20.5)
Bio-Techne
Corp.
.........
(101)
(38,349)
(17.9)
Block,
Inc.,
Class
A
........
(634)
(63,108)
(29.4)
Boeing
Co.
(The)
.........
(63)
(9,377)
(4.4)
Boston
Scientific
Corp.
......
(4,412)
(185,789)
(86.5)
Broadcom,
Inc.
...........
(402)
(222,865)
(103.8)
Brookfield
Renewable
Corp.
..
(4,633)
(166,365)
(77.5)
Brown
&
Brown,
Inc.
.......
(1,286)
(79,706)
(37.1)
Burlington
Stores,
Inc.
......
(160)
(32,570)
(15.2)
Cable
One,
Inc.
..........
(90)
(104,958)
(48.9)
Caesars
Entertainment,
Inc.
..
(290)
(19,221)
(8.9)
Campbell
Soup
Co.
........
(3,954)
(186,708)
(86.9)
CarMax,
Inc.
............
(2,014)
(172,761)
(80.4)
Catalent,
Inc.
............
(1,836)
(166,268)
(77.4)
CenterPoint
Energy,
Inc.
....
(1,124)
(34,406)
(16.0)
Ceridian
HCM
Holding,
Inc.
..
(5,749)
(322,691)
(150.3)
Charles
River
Laboratories
International,
Inc.
.......
(222)
(53,615)
(25.0)
Charles
Schwab
Corp.
(The)
..
(320)
(21,226)
(9.9)
Charter
Communications,
Inc.,
Class
A
..............
(257)
(110,122)
(51.3)
Cheniere
Energy,
Inc.
......
(2,919)
(396,429)
(184.6)
Chevron
Corp.
...........
(138)
(21,620)
(10.1)
Chewy,
Inc.,
Class
A
.......
(860)
(24,992)
(11.6)
Church
&
Dwight
Co.,
Inc.
...
(3,208)
(312,973)
(145.7)
Cincinnati
Financial
Corp.
....
(202)
(24,777)
(11.5)
CoStar
Group,
Inc.
........
(985)
(62,666)
(29.2)
Coterra
Energy,
Inc.
.......
(4,134)
(119,018)
(55.4)
Coupa
Software,
Inc.
.......
(680)
(58,684)
(27.3)
DISH
Network
Corp.,
Class
A
.
(760)
(21,668)
(10.1)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Dollar
Tree,
Inc.
..........
(390)
$
(63,356)
(29.5)
%
DoorDash,
Inc.,
Class
A
.....
(724)
(58,955)
(27.4)
Enphase
Energy,
Inc.
.......
(311)
(50,195)
(23.4)
Erie
Indemnity
Co.,
Class
A
..
(392)
(62,830)
(29.3)
Essential
Utilities,
Inc.
......
(5,453)
(244,076)
(113.7)
Etsy,
Inc.
...............
(420)
(39,140)
(18.2)
Evergy,
Inc.
.............
(784)
(53,194)
(24.8)
Fiserv,
Inc.
..............
(2,947)
(288,570)
(134.4)
FleetCor
Technologies,
Inc.
...
(768)
(191,631)
(89.2)
Gartner,
Inc.
.............
(305)
(88,618)
(41.3)
Generac
Holdings,
Inc.
.....
(65)
(14,260)
(6.6)
Global
Payments,
Inc.
......
(409)
(56,025)
(26.1)
Globe
Life,
Inc.
...........
(829)
(81,308)
(37.9)
Guidewire
Software,
Inc.
....
(1,071)
(93,113)
(43.4)
Hasbro,
Inc.
.............
(626)
(55,126)
(25.7)
Hilton
Worldwide
Holdings,
Inc.
(272)
(42,239)
(19.7)
Howmet
Aerospace,
Inc.
....
(5,335)
(182,030)
(84.8)
Humana,
Inc.
............
(96)
(42,678)
(19.9)
IAC/InterActiveCorp
........
(1,421)
(117,773)
(54.8)
Ingersoll
Rand,
Inc.
........
(3,528)
(155,091)
(72.2)
Insulet
Corp.
............
(175)
(41,823)
(19.5)
IPG
Photonics
Corp.
.......
(836)
(78,985)
(36.8)
IQVIA
Holdings,
Inc.
.......
(196)
(42,726)
(19.9)
Keurig
Dr
Pepper,
Inc.
......
(5,960)
(222,904)
(103.8)
Leidos
Holdings,
Inc.
.......
(535)
(55,378)
(25.8)
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(6,378)
(397,541)
(185.1)
Lumen
Technologies,
Inc.
....
(1,934)
(19,456)
(9.1)
MarketAxess
Holdings,
Inc.
..
(221)
(58,258)
(27.1)
Martin
Marietta
Materials,
Inc.
.
(314)
(111,225)
(51.8)
Microchip
Technology,
Inc.
...
(1,343)
(87,564)
(40.8)
Mondelez
International,
Inc.,
Class
A
..............
(1,213)
(78,214)
(36.4)
Motorola
Solutions,
Inc.
.....
(131)
(27,993)
(13.0)
NortonLifeLock,
Inc.
.......
(873)
(21,860)
(10.2)
Okta,
Inc.
...............
(1,120)
(133,627)
(62.2)
PerkinElmer,
Inc.
.........
(663)
(97,202)
(45.3)
PNC
Financial
Services
Group,
Inc.
(The)
............
(142)
(23,586)
(11.0)
PPL
Corp.
..............
(2,568)
(72,700)
(33.8)
Progressive
Corp.
(The)
.....
(1,217)
(130,657)
(60.8)
Raymond
James
Financial,
Inc.
(560)
(54,578)
(25.4)
Republic
Services,
Inc.
.....
(1,371)
(184,084)
(85.7)
Rollins,
Inc.
.............
(2,254)
(75,599)
(35.2)
Ross
Stores,
Inc.
.........
(285)
(28,434)
(13.2)
RPM
International,
Inc.
.....
(2,010)
(166,629)
(77.6)
Schneider
Electric
SE
......
(636)
(91,246)
(42.5)
SEI
Investments
Co.
.......
(345)
(19,223)
(8.9)
Sherwin-Williams
Co.
(The)
..
(543)
(149,303)
(69.5)
Snap,
Inc.,
Class
A
........
(799)
(22,740)
(10.6)
Southern
Co.
(The)
........
(447)
(32,805)
(15.3)
Southwest
Airlines
Co.
......
(201)
(9,391)
(4.4)
SS&C
Technologies
Holdings,
Inc.
.................
(1,729)
(111,797)
(52.1)
Stanley
Black
&
Decker,
Inc.
..
(542)
(65,121)
(30.3)
STERIS
plc
.............
(64)
(14,339)
(6.7)
Stryker
Corp.
............
(658)
(158,749)
(73.9)
Swiss
Re
AG
............
(534)
(43,792)
(20.4)
Take-Two
Interactive
Software,
Inc.
.................
(367)
(43,860)
(20.4)
Teladoc
Health,
Inc.
........
(818)
(27,616)
(12.9)
Teledyne
Technologies,
Inc.
..
(168)
(72,500)
(33.8)
Teleflex,
Inc.
.............
(725)
(207,075)
(96.4)
TJX
Cos.,
Inc.
(The)
.......
(410)
(25,125)
(11.7)
Tradeweb
Markets,
Inc.,
Class
A
(263)
(18,723)
(8.7)
BlackRock
Total
Factor
Fund
48
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
Shares
Value
%
of
Basket
Value
United
States
(continued)
TransUnion
.............
(1)
$
(88)
(0.0)
%
Twilio,
Inc.,
Class
A
........
(192)
(21,469)
(10.0)
Tyler
Technologies,
Inc.
.....
(43)
(16,973)
(7.9)
Union
Pacific
Corp.
........
(395)
(92,545)
(43.1)
Universal
Health
Services,
Inc.,
Class
B
..............
(182)
(22,300)
(10.4)
US
Bancorp
.............
(603)
(29,282)
(13.6)
VF
Corp.
...............
(609)
(31,668)
(14.7)
Viatris,
Inc.
..............
(3,649)
(37,694)
(17.5)
Vistra
Corp.
.............
(3,388)
(84,768)
(39.5)
Walmart,
Inc.
............
(613)
(93,783)
(43.7)
Waste
Connections,
Inc.
.....
(906)
(125,001)
(58.2)
WEC
Energy
Group,
Inc.
....
(320)
(32,016)
(14.9)
Wells
Fargo
&
Co.
.........
(1,599)
(69,764)
(32.5)
Western
Digital
Corp.
.......
(489)
(25,951)
(12.1)
Wynn
Resorts
Ltd.
........
(1,359)
(95,782)
(44.6)
Zillow
Group,
Inc.,
Class
C
...
(1,641)
(65,345)
(30.4)
Zimmer
Biomet
Holdings,
Inc.
.
(154)
(18,596)
(8.7)
(10,407,195)
Zambia
First
Quantum
Minerals
Ltd.
..
(1,370)
(39,277)
(18.3)
Total
Reference
Entity
—
Short
............
(22,072,794)
Net
Value
of
Reference
Entity
—
Merrill
Lynch
International
&
Co.
.....................
$
214,754
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1
day
SOFR
.........................................
Secured
Overnight
Financing
Rate
0.29
%
6
month
EURIBOR
.....................................
Euro
Interbank
Offered
Rate
(0.2
3) 
Glossary
of
Terms
Used
in
this
Report
Currency
Abbreviation
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CNY
Chinese
Yuan
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
SEK
Swedish
Krona
SGD
Singapore
Dollar
TWD
Taiwan
New
Dollar
USD
United
States
Dollar
Portfolio
Abbreviation
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
SOFR
Secured
Overnight
Financing
Rate
WTI
West
Texas
Intermediate
BlackRock
Total
Factor
Fund
49
Consolidated
Schedule
of
Investments
(unaudited)
(continued)
April
30,
2022
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
financial
instruments
into
major
categories
is
disclosed
in
the
Consolidated
Schedule
of
Investments
above.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
......................................
$
—
$
66,000,420
$
—
$
66,000,420
Short-Term
Securities
Money
Market
Funds
......................................
18,073,277
—
—
18,073,277
U.S.
Treasury
Obligations
...................................
—
82,812,677
—
82,812,677
Options
Purchased
Interest
rate
contracts
......................................
—
449,013
—
449,013
$
18,073,277
$
149,262,110
$
—
$
167,335,387
Derivative
Financial
Instruments
(a)
Assets
Commodity
contracts
.......................................
$
1,043,736
$
—
$
—
$
1,043,736
Equity
contracts
...........................................
277,127
5,648,873
—
5,926,000
Foreign
currency
exchange
contracts
............................
—
18,051,822
—
18,051,822
Interest
rate
contracts
.......................................
3,191,581
—
—
3,191,581
Liabilities
Commodity
contracts
.......................................
(1,204,006)
—
—
(1,204,006)
Credit
contracts
...........................................
—
(731,861)
—
(731,861)
Equity
contracts
...........................................
—
(1,792,832)
—
(1,792,832)
Foreign
currency
exchange
contracts
............................
—
(13,061,603)
—
(13,061,603)
Interest
rate
contracts
.......................................
(6,627,172)
—
—
(6,627,172)
$
(3,318,734)
$
8,114,399
$
—
$
4,795,665
(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.