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BLACKROCK MULTI OPPORTUNITY FUND

FUND UPDATE 31 July 2021

Investment Performance (%)

3 Yrs 5 Yrs Since Multi Team 1 Mth 3 Mths YTD 1 Yr p.a. p.a. Incep p.a. BlackRock Multi Opportunity 0 .16 0.45 6.38 7.27 5.59 5.56 8.48 Fund^ (Gross of Fees) RBA Cash Rate Target 0.01 0.03 0.06 0 .15 0.73 1.04 3.29 Michael McCorry Outperformance 0 .15 0.43 6.32 7.1 2 4.85 4.53 5.19 (Gross of Fees) Chief Officer, BlackRock Australia BlackRock Multi Opportunity 0.03 0.07 4.42 4.60 3.54 3.68 3.16 Absolute Return Fund* (Net of Fees) RBA Cash Rate Target 0.01 0.03 0.06 0 .15 0.73 1.04 1.49 Outperformance (Net of Fees) 0.02 0.04 4.36 4.45 2.80 2.64 1.67 Karsten Kumpf *Fund inception: 31/07/2013. ^Fund inception: 30/07/2004 Senior Manager The BlackRock Multi Opportunity Absolute Return Fund invests in, and has the same as, the BlackRock Multi Opportunity Fund, which has an inception date of 31 July 2004. The BlackRock Multi Opportunity Fund is only available to wholesale clients. Performance for periods greater than one year is annualised. Past performance is not a reliable indicator of future performance. Performance is calculated in Australian dollars and assumes reinvestment of distributions. Gross performance is calculated gross of ongoing fees and expenses. Net performance of the BlackRock Multi Opportunity Absolute Return Fund and the BlackRock Multi Opportunity Fund will vary due to fee differences. Gross returns are provided for products offered to wholesale clients only who may be subject to differential fees. Please refer to the Fund’s product disclosure statement for more information. David Griffith Senior Performance (Gross of Fees) to 31 July 2021 Strategist

Monthly Fund Returns Cumulative Fund 24% 240% 21% 210% 18% 180% Visit BlackRock.com.au for further 15% 150% information, including: 12% 120% • Market Insights & Commentary 9% 90% • Fund Performance 6% 60% • Unit Prices 3% 30% 0% 0% -3% -30% -6% -60% -9% -90% July July July July July July July July July 2005 2007 2009 2011 2013 2015 2017 2019 2021 Performance Summary Market Commentary

The global economic recovery continued in July with steady progress in the COVID-19 vaccine rollout, a pick-up in mobility indicators (especially in Europe) and ongoing support from a monetary and fiscal policy perspective. However, it was a more volatile month for financial markets due to increasing concerns around rising cases of the more transmittable Delta variant and signs of a peak in economic growth, especially in the US.

Despite the , developed market equities outperformed their emerging market counterparts in July. The positive performance was led by the United States (US) underpinned

CBDM0921A/S-1819632-1/4 by a strong corporate earnings season and reassuring central Credit / strategies were the main detractor in July led by comments. Within emerging market (EM) equities, China was a drag European Credit. The European credit long/short book was positioned on markets as the government tightened regulation in a coordinated for the re-opening trend to continue, but selection in travel and crackdown across sectors - introducing further uncertainty in the airline names detracted as concerns over the Delta variant increased. region. Performance was partially offset by net long exposure in Metal & Mining names as they reported better-than-expected earnings. Strategy Review Event Driven The BlackRock Multi Opportunity Absolute Return Fund recorded a small positive return in July gaining 0.03% (after fees). This brings the The Event Driven strategy (BlackRock Global Merger Partners) recorded Fund’s year-to-date return to +4.42%, including +4.36% of alpha (after a solid negative return in July, as market technical and regulatory factors fees). The Fund’s underlying alpha strategies drove the drove spread widening in key positions. Positioning in Advanced Micro small positive return in July along with positive contribution from the Devices / Xilinx detracted on spread widening following AMD’s strong systematic market-neutral equity component. The earnings announcement and rapid price appreciation, despite fund component posted a negative return, as did event driven and this, the transaction continues to progress towards completion. An fundamental equity long/short strategies – offsetting the Fund’s overall investment in Aon / Willis Towers Watson also hindered returns as the performance in July. companies announced a mutual agreement to terminate their combination. The companies cited that despite making progress on Systematic Equity Market-Neutral Strategies regulatory approvals around the world, including recent conditional In aggregate, the Fund’s systematic equity market-neutral strategies approval in the European Union, they had reached an impasse in remedy recorded a small positive return in July. Stock selection in Pan Asia discussions with Deportment of Justice. An investment in the Canadian and Emerging Markets drove the small outperformance, while stock National / Kansas City Southern merger further detracted from selection in global large caps offset returns. Macro positioning (i.e. long/ performance, as continued to weigh the likelihood of securing short positioning across countries) also detracted over the period. An voting trust approval from the Surface Transportation Board. overly cautious stance towards consumer cyclicals on the short side of In terms of positive contributors, 5 mergers the Fund was invested in the portfolio detracted while renewed weakness across ESG orientated closed during the month which benefitted performance. measures also provided a headwind. In terms of positive contributions, in Salesforce / Slack Technologies and AstraZeneca / Alexion good aggregate performance from stock selection, primarily driven Pharmaceuticals contributed to performance, as both mergers by Sentiment indicators, proved effective in capturing the strong successfully completed during the month. fundamental trends playing out across the market. Gains were supported by a solid contribution from Quality focused Fundamental Fundamental Active Equity Long/Short signals. There was mixed performance in this component of the Fund. The Country selection detracted especially due to a preference for Global Equity Absolute Return Fund posted negative returns, while the underperforming Japanese over several European markets. Emerging Companies Hedge Fund posted positive returns. Despite the commencement of the Tokyo Olympics and a stronger US Within the Global Equity Absolute Return Fund, the principal impact dollar, Japanese shares declined with exporters leading losses on the came from the broad-based regulatory crackdown initiated by the escalation of concerns around Chinese regulation. Chinese government, focusing initially on the education sector and Strong signal performance offset losses on top down country and sector parts of technology. Despite avoiding the large incumbent Chinese tech positioning. This was particularly notable across positioning within IT platforms, as well as the ambiguous so-called VIE offshore structures, and Healthcare sectors. Performance was led by momentum signals all long positions in China/Hong Kong suffered significant drawdowns with a focus on identifying fundamental trends. These included insights from a broader-based market de-risking/de-grossing, as the regulatory deploying text analysis of and management reports, as well as and government statements emerged. Another strong trend for July was insights constructed from alternative data such as internet search and reporting season: where strong cyclical results were generally met with mobile app usage. Gains were supported by good performance from falling prices, as investors ‘fade’ the recovery. This hurt several Quality signals. This was particularly notable across more traditional of the holdings within Industrials and Consumer Discretionary. Top measures focused on profitability and low . detractors for the month included long positions in Weimob, Kuaishou Technology and XD Inc. In contrast, fundamental measures of Sustainability detracted. Insights focused on the sustainability of corporate tax rates, the impact of green The other fundamental active equity strategy, the Emerging Companies stimulus and measures of ESG flows were amongst the weakest signals Hedge Fund posted a solid positive return in July. The largest positive in the model over July. contributor within this Fund was from Baltic Classifieds Group, an owner of locally dominant online advertising websites, which continued Systematic Fixed Income Strategies to rise after a successful IPO in late June. Shares in Auction Technology Fixed Income Global Alpha (FIGA) was the largest positive contributor Group also rose to new highs after their recent equity raise to fund in July and drove the Fund’s overall return this month. Relative Value, the acquisition of LiveAuctioneers. The third largest contributor was and Securitized credit strategies contributed positively. Alphabet, that delivered a strong Q2 update with constant The only detractor within the fixed income component was Credit Long/ revenues growing 63% year on year far in excess of analysts’ forecasts Short. and driving significant upgrades to profits and free cash flows.

Relative Value strategies were the best performers in this component of the portfolio. Inflation positioning was particularly strong, due to net long US breakeven positions. and carry signals supported our long inflation positions. Risk premium strategies benefitted from the global rates rally, particularly in Poland, the US and Canada. signals supported these positions.

CBDM0921A/S-1819632-2/4 Global Macro Yearly Alpha, Gross of Fees (%) The global macro/managed futures strategy (implemented through 20% the Tactical Opportunities Fund) posted a negative return in July. Losses came from both the portfolio’s Discretionary process (notably 10% short global bonds, long global equities) and its Systematic process (directional shorts in global bonds and RV views across equity countries 0% detracted, while RV views across countries contributed positively). On the Discretionary side, the directional short in US and -10% German bonds and the directional long position in global equities detracted. Negative virus sentiment and fears of slowing Chinese data -20% led to a rotation into safer . Relative value equity exposures 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 (overweight Europe vs peers) was roughly flat, as was our overweight to Yearly alpha for the BlackRock Multi Opportunity Fund the euro vs US dollar.

On the Systematic side, RV views across equity countries were the largest detractors as growth and pricing insights weighed. Specifically, Systematic Active Equity over weights to Chinese and Japanese equities underperformed on slowing growth data out of China and delta concerns, while a notable Fixed Income underweight to Dutch equities on seasonal and pricing factors detracted as that market continued to outperform Eurozone peers. In Macro / Managed futures terms of directional systematic views, a net short position in developed market bonds further detracted as yields fell over the month. Positive Fundamental Equity performance came from systematic RV fixed income positioning: long Germany versus the UK gave a boost as German yields fell on renewed Style Premia lockdown concerns while UK rates underperformed given hawkish rhetoric from the Bank of England; meanwhile, long Australia versus -4% -2% 0% 2% 4% Canada and the US performed positively on weakening Australian activity and renewed COVID lockdowns. 1 Month 3 Years

Attribution for the BlackRock Multi Opportunity Fund

Sub-Strategy Risk Allocation

Fundamental Style Global Equity Alpha Fixed Income Alpha Equity Premia Macro 20%

15%

10%

5%

0%

EM FX Carry Value Volatility Defensive Securitised Macro RatesMid Horizon Event Driven Momentum EM LargeEM Cap Small Cap Tactical Opps Alpha Transport Asset AllocationCapital Structure Australian Equity Global Large Cap Global Small Cap Credit Long/Short Global Mid HorizonPan Asia Large CapPan Asia SmallAgency Cap Mortgages Emerging Markets Pan Asia Mid Horizon Rates Relative Value Emerging Companies Global Equity Abs. Return

CBDM0921A/S-1819632-3/4 About the Fund The selection of an investment for the Fund is the result of comprehensive due diligence to ensure that it is in line with fiduciary Investment Objective duties and in compliance with related party policies. The Fund may be The Fund aims to achieve a return of 8% p.a. before fees, above the a seed, lead or only in a BlackRock strategy. Acting as the seed Reserve Bank of Australia’s Cash Rate Target over rolling three-year investor may create a commercial opportunity for the BlackRock Group. periods. The Fund will aim to achieve its investment objective by For example, a seed investment in a BlackRock Strategy may allow the targeting a total expected risk of between 4%-6% p.a. over the same BlackRock Group to establish a track record for a fund or product that it rolling three-year period. is then able to sell to other clients. We continuously explore BlackRock for the addition of new investment Fund Strategy strategies with the view of including these where they meet the The Fund aims to outperform the Benchmark by providing investors Fund’s strict investment criteria. The Fund’s investment strategy is with a source of risk controlled absolute returns that are, over time, implemented in three stages : expected to have low correlations with the returns of major asset 1. Strategy Selection: continuous search for (and due diligence on) classes. the latest and most innovative research and investment ideas, The Fund gains exposure to a diversified range of absolute return leveraging BlackRock’s extensive pool of investment specialists. strategies that may include, but are not limited to: 2. Capital Allocation: capital is allocated to construct a diversified Equity Market Absolute Return strategies that seek to exploit portfolio of absolute-return strategies taking into account the inefficiencies in individual stock prices by gaining exposure to long expected return, risk and cost of accessing each absolute return and short positions in local and global equity markets. category, as well as the available capacity of each category. Event Driven strategies that seek to capture the structural and 3. Core Security/Market Selection: security/market selection occurs persistent risk premia in merger through a robust and within each absolute-return category at the underlying strategy level. repeatable investment process focused on companies that are The Fund should be considered by investors who … involved in publicly announced definitive mergers, , tender offers, leveraged buyouts, and other corporate combinations. Seek a fund that uses total-return strategies across major asset Fixed Income Absolute Return strategies that seek to exploit classes and world markets with the objective of enhancing portfolio opportunities across global fixed income markets by taking long returns while diversifying risk. and short positions in a broad range of fixed income securities Seek a fund that has a low correlation to equity returns, interest including, but not limited to: sovereign bonds; corporate credit; rate moves and other active return sources. mortgages; and other securities. Have a long term investment horizon. Global Macro/Managed Futures strategies that seek to exploit Fund Details inefficiencies across global markets by gaining exposure to long BlackRock Multi Opportunity Absolute Return Fund and short positions across a broad array of global assets including, but not limited to: equities; bonds; ; ; and APIR BLK0001AU other assets. These strategies may utilise both fundamental and/ Buy/Sell Spread 0.45%/0.45% or insights to construct portfolios. 1.25% p.a. Style Premia strategies that seek to capture 20% positive returns from a range of style factor strategies across Strategy AUM $1022 mil global while maintaining low correlation to broad Hurdle Rate RBA Cash Rate market factors. Liquidity Monthly Private placements (% of NAV) 1.0% Minimum Initial Investment $50K Notification 12 business days Lock-up Period None Domicile Australian Custodian J.P. Morgan Chase Bank

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