BLACKROCK MULTI OPPORTUNITY ABSOLUTE RETURN FUND FUND UPDATE 31 July 2021 Investment Performance (%) 3 Yrs 5 Yrs Since Multi Asset 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 Investment 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 Portfolio Manager The BlackRock Multi Opportunity Absolute Return Fund invests in, and has the same underlying investment strategy 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 Investment Fund Performance (Gross of Fees) to 31 July 2021 Strategist Monthly Fund Returns Cumulative Fund Alpha 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 volatility, 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 bank Credit Long/Short 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 security 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 fixed income 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 global macro hedge earnings announcement and rapid stock 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 business 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 investors 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. Investments 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 stocks 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 broker 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 share 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 risk. 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 Capital Structure and Securitized credit strategies contributed positively. Alphabet, that delivered a strong Q2 update with constant currency 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