Systematic Multi-Strategy Fund

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NAV as of Jul 02, 2020 $10.28
52 WK: 9.20 - 10.32
NAV Total Return as of Jul 02, 2020 YTD: 4.34% YTD (year to date) is a period, starting from the beginning of the current calendar year, and continuing up to the prior day's close.
Morningstar Rating

5

Overall Morningstar Rating for Systematic Multi-Strategy Fund, Institutional, as of Jun 30, 2020 rated against 252 Multialternative Funds based on risk adjusted total return.

Overview

Investment Approach

Seeks total return through a diversified mix of global assets and strategies using a systematic, credit-oriented approach, which is expected to result in a portfolio with lower correlation to the equity and fixed-income markets.

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Performance

Returns

	1y	3y	5y	10y	Incept. Performance data for certain classes of shares of certain funds are based on pre-class inception information dating back to an older class of fund shares. This information may be considered when assessing a fund's performance, but it does not represent actual performance of these classes of shares. The inception date noted under Key Fund Facts is the date the class of shares was incepted. See fund prospectus or fact sheet for details.
Total Return (%) Total return represents changes to the NAV and accounts for distributions from the fund.	5.28	6.63	5.67	-	5.14
Benchmark (%) Index: ICE BofAML 3 Month Treasury Bill Index (G0O1).<br /><br /> Index returns are for illustrative purposes only. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.	1.63	1.77	1.19	-	1.17
Morningstar Category Avg. (%) Multialternative	-2.99	0.78	0.73	2.64	-
Morningstar Ranking Rankings are based on total return excluding sales charges, independently calculated and not combined to create an overall ranking.	23/300	7/252	6/191	-	-
Morningstar Quartile Rankings based on total return excluding sales charges, independently calculated and not combined to create an overall ranking.	1	1	1	-	-
Lipper Ranking Rankings are based on total return excluding sales charges.	16/146	5/120	4/96	-	-
Lipper Quartile Rankings are based on total return excluding sales charges.	1	1	1	-	-

Performance data is not currently available

	YTD	1m	3m	1y	3y	5y	10y	Incept. Performance data for certain classes of shares of certain funds are based on pre-class inception information dating back to an older class of fund shares. This information may be considered when assessing a fund's performance, but it does not represent actual performance of these classes of shares. The inception date noted under Key Fund Facts is the date the class of shares was incepted. See fund prospectus or fact sheet for details.
Total Return (%) Total return represents changes to the NAV and accounts for distributions from the fund.	4.24	0.10	6.62	5.28	21.25	31.74	-	29.24
Benchmark (%) Index: ICE BofAML 3 Month Treasury Bill Index (G0O1).<br /><br /> Index returns are for illustrative purposes only. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.	0.60	0.01	0.02	1.63	5.40	6.11	-	6.11
Morningstar Category Avg. (%) Multialternative	-5.36	0.67	4.87	-2.99	2.36	3.70	29.79	-

Performance data is not currently available

	2015	2016	2017	2018	2019
Total Return (%) Total return represents changes to the NAV and accounts for distributions from the fund.	-	5.91	9.89	1.84	8.43
Benchmark (%) Index: ICE BofAML 3 Month Treasury Bill Index (G0O1)<br /><br /> Index returns are for illustrative purposes only. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.	-	0.33	0.86	1.87	2.28
Morningstar Category Avg. (%) Multialternative	-2.58	1.38	5.14	-4.03	7.58

Performance data is not currently available

The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted.

The Fund’s returns prior to September 17, 2018 are the returns of a predecessor fund that reorganized into the Fund on September 17, 2018. The predecessor fund had the same investment objectives, strategies and policies, portfolio management team and contractual arrangements, including the same contractual fees and expenses, as the Fund as of the date of the reorganization. As a result, the performance of the Fund would have been substantially similar to that of the predecessor fund.

Growth of Hypothetical $10,000 The growth of hypothetical $10,000 chart reflects a hypothetical $10,000 investment and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.

Performance chart data not available for display.

Growth of Hypothetical $10,000
Historical NAVs

Systematic Multi-Strategy Fund ($)

Cum. Fund Perf. Since Inception: 29.24

Source: Lipper. Data reflects different methodology from the BlackRock calculated returns in the Returns tab. The $10,000 Hypothetical Over Time chart reflects a hypothetical $10,000 investment in the investor class of shares noted and does not assume the max sales charge. Had sales charge been included, returns would have been lower. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted. Performance for other share classes will vary.

Historical NAVs

Distributions

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Table

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Ex-Date	Payable Date	Record Date	Total Distribution Current year distributions are not classified as “Income,” “Short-Term Capital Gains,” “Long-Term Capital Gains,” or “Return of Capital” until approximately 60 days following calendar year-end.	Income	ST Cap Gains	LT Cap Gains	Return of Capital

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Year	Total Distribution Current year distributions are not classified as “Income,” “Short-Term Capital Gains,” “Long-Term Capital Gains,” or “Return of Capital” until calendar year-end.	Income	ST Cap Gains	LT Cap Gains

Past distributions are not indicative of future distributions.
Click here, for the most recent distributions.

Key Facts

Size of Class (Millions) as of Jul 02, 2020 $1,389.8 M

Size of Fund (Millions) as of Jul 02, 2020 $1,503.9 M

Share Class launch date May 19, 2015

Asset Class Alternative

Morningstar Category Multialternative

Lipper Classification Alt Multi-Strategy Funds

Benchmark Index ICE BofAML 3 Month Treasury Bill Index (G0O1)

CUSIP 09260C307

Distribution Frequency How often a distribution is paid by the fund. The most common distribution frequencies are annually, biannually and quarterly. None

Number of Holdings as of May 29, 2020 1,804

Max Offer Price as of Jul 02, 2020 $10.28

Open to New Investors Yes

Turnover Percent in the Annual Report 442%

Portfolio Characteristics

30 Day SEC Yield A standard calculation of yield introduced by the SEC in order to provide fairer comparison among funds. This yield reflects the interest earned after deducting the fund's expenses during the most recent 30-day period by the average investor in the fund. Negative 30-Day SEC Yield results when accrued expenses of the past 30 days exceed the income collected during the past 30 days. as of May 31, 2020 1.40%

Yield to Maturity Yield to Maturity (YTM) is the discount rate that equates the present value of a bond's cash flows with its market price (including accrued interest). The Fund Average YTM is the weighted average of the fund's individual bond holding YTMs based upon Net Asset Value ('NAV'). The measure does not include fees and expenses. For callable bonds, YTM is the yield-to-worst. as of May 29, 2020 2.36%

Yield to Worst The average rate of return of the portfolio at current market prices, adjusting for optionality. as of May 29, 2020 2.32%

Fund Standard Deviation (3y) as of May 31, 2020 4.21

Unsubsidized 30-Day SEC Yield Represents what a fund's 30-Day SEC Yield would have been had no fee waiver or expense reimbursement been in place over the period. as of May 31, 2020 1.33%

Effective Duration Effective Duration measures the sensitivity of the price of a bond with or without embedded options to changes in interest rates, taking into account the likelihood of the bond being called, put and/or sunk prior to its final maturity date while incorporating after-tax impacts on the bond. The options-based duration model used by BlackRock employs certain assumptions and may differ from other fund complexes. Effective Duration is measured at the individual bond level, aggregated to the portfolio level, and adjusted for leverage, hedging transactions and non-bond holdings, including derivatives. as of May 29, 2020 2.50 yrs

Nominal WAL as of May 29, 2020 4.32 yrs

This information must be preceded or accompanied by a current prospectus. For standardized performance, please see the Performance section above.

Fees

as of current prospectus

Gross Expense Ratio	1.31%
Net Expense Ratio The difference between gross and net expense ratios are due to contractual and/or voluntary waivers, if applicable. Any applicable contractual waiver will be terminable upon 90 days’ notice. BlackRock may agree to voluntarily waive certain fees and expenses, which the adviser may discontinue at any time without notice. For this share class, the contractual waiver end date is Apr 30, 2021.	0.97%

Net Expense Ratio excluding Investment Related Expenses is 0.95%

Ratings

Morningstar Rating

Overall Systematic Multi-Strategy Fund received a Morningstar Rating of 5 stars for the 3-year period, 5 stars for the 5-year period and - stars for the 10-year period, rated against 252, 191 and 65 Multialternative Funds, respectively. Performance results represent past performance and are no guarantee of future results. The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Morningstar Ratings are for the share classes cited only; other classes may have different ratings.

5

Overall Morningstar Rating for Systematic Multi-Strategy Fund, Class Inst, as of Jun 30, 2020 rated against 252 Multialternative Funds based on risk adjusted total return.

Lipper Leader

Lipper Leader Ratings

Consistent Return Systematic Multi-Strategy Fund received the following Consistent Return ratings for the 3-, 5-, and 10-year periods, respectively: 5 (120 funds), 5 (100 funds), and - ( funds). Lipper ratings for Consistent Return reflect funds' historical risk-adjusted returns, adjusted for volatility, relative to peers.

Expense Systematic Multi-Strategy Fund received the following Expense ratings for the 3-, 5-, and 10-year periods, respectively: 5 (68 funds), 5 (55 funds), and - ( funds). Lipper ratings for Expense reflect funds' expense minimization relative to peers with similar load structures.

Preservation Systematic Multi-Strategy Fund received the following Preservation ratings for the 3-, 5-, and 10-year periods, respectively: 5 (4,755 funds), 5 (3,845 funds), and - ( funds). Lipper ratings for Preservation reflect funds' historical loss avoidance relative to other funds within the same asset class. Preservation ratings are relative, rather than absolute, measures, and funds named Lipper Leaders for Preservation may still experience losses periodically; those losses may be larger for equity and mixed equity funds than for fixed income funds.

Total Return Systematic Multi-Strategy Fund received the following Total Return ratings for the 3-, 5-, and 10-year periods, respectively: 5 (120 funds), 5 (100 funds), and - ( funds). Lipper ratings for Total Return reflect funds' historical total return performance relative to peers.

Overall Lipper Leaders ratings based on an equal-weighted average of percentile ranks for each measure over 3-, 5-, and 10-year periods (if applicable) and do not take into account the effects of sales charges for these categories (Consistent Return, Preservation, Total Return, Expense, and Tax Efficiency) as of May 31, 2020 out of 120, 4,755, 120, 68 and 120 Funds, respectively in Lipper's Alt Multi-Strategy Funds classification.

Portfolio Managers

Chief Investment Officer, BlackRock Systematic Fixed Income

Head of Core Portfolio Management, Systematic Fixed Income

Sr. Portfolio Manager, Systematic Fixed Income

Portfolio Manager

Literature

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Overview

Investment Approach

Performance

Performance

Returns

Growth of Hypothetical $10,000 The growth of hypothetical $10,000 chart reflects a hypothetical $10,000 investment and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.

Distributions

Key Facts

Key Facts

Portfolio Characteristics

Portfolio Characteristics

Fees

Fees

Ratings

Ratings

Morningstar Rating

Lipper Leader

Portfolio Managers

Portfolio Managers

Literature

Literature

Important Information