Why consider: BlackRock Multi
Opportunity Absolute Return Fund?
FUND PROFILE
FEBRUARY 2017
Portfolio management team
The BlackRock Multi Opportunity Absolute Return Fund draws
on the best active return sources from BlackRock’s global
investment teams, packaged together into a highly diversified
multi-strategy absolute return fund.
Michael McCorry, PhD, Managing Director
25 years of investment experience
Karsten Kumpf, CFA, PhD, Director
10 years of investment experience
Key features
1
2
3
George Zhu, CFA, Director
18 years of investment experience
The global resources to capture new opportunities
A key competitive strength of the fund is the broad opportunity set in
combination with BlackRock’s continuous research program to identify
new investment opportunities.
David Griffith, CFA, Director
20 years of investment experience
Ability to harness attractive risk controlled returns
The strategy seeks to deliver equity like returns with bond like risk.
Enhanced portfolio diversification
The fund seeks to have a low correlation to equity returns, interest rate moves
and other market return sources.
Additional features
A transparent, cost effective and liquid alternative
Unlike other multi-strategy and Fund of Hedge Fund products, the underlying
strategies within the fund are all managed by BlackRock leading to superior
transparency, cost effective access and a greater understanding of investment risks.
Consistent and repeatable investment process
The investment approach has been rigorously tested and successfully applied for
over 25 years, spanning equities, fixed income, currencies and commodities in both
domestic and international markets.
Focus on risk management
Risk budgeting aims to maximise the risk adjusted returns for investors.
Core alternative allocation
The fund is suitable as a core alternatives holding in investor portfolios. It provides
a single access point to a broad range of absolute return strategies such as
Managed Futures, Equity Market Neutral and Fixed Income Absolute Return.
Experienced and stable investment team
The BlackRock Multi Asset Strategies (MAS) team is a stable team with over
18 years average industry experience.
About the Fund
A global multi strategy fund that invests across a broad range of asset classes
including, but not limited to equities, fixed income, commodities and credit in
developed and emerging markets. It seeks to exploit inefficiencies across global
markets by gaining exposure to long and short positions and aims to provide investors
with a source of risk controlled returns that, over time, are expected to have low
correlations with the returns of major asset classes.
Global Equities
Fixed Income/
Cash
At a glance
Investment objective
The fund aims to achieve a return of 8%
p.a. before fees above the RBA Cash Rate
Target over rolling three year periods. Total
expected risk of between 4–6% p.a. is
targeted over the same period.
Benchmark
RBA Cash Rate Target
Management fee
1.25% p.a.
Performance fee
20% of fund performance above benchmark
Buy/sell spread
0.45%/0.45%
Fund inception
31 July 2013
Global strategy
inception
30 July 2004
Investment style
Scientific
Distribution
frequency
Annual – 30 June
APIR codeBLK0001AU
How to invest
www.blackrock.com.au/moarf
1300 366 100
Managed
Futures
[email protected]
1. The global resources to capture new opportunities
The dynamic nature of global investment markets means that investment processes must continually evolve in order
to identify and exploit mispriced securities. BlackRock’s Multi-Asset Strategy team, based in Australia, draws upon the
expertise of an extensive global investment team to develop new and innovative insights with the aim of consistently
adding value through time.
The opportunity set for the BlackRock Multi Opportunity Absolute Return Fund is very broad. At the macro level, the fund
looks to exploit mispricing opportunities and trends across global equity, bond, currency and commodity markets both
developed and emerging. Within equity stock selection, we look to identify mispricing opportunities between individual
stocks. We also look for opportunities across market capitalisation, taking active positions in small, mid and large cap
stocks. Positioning within fixed income at both the macro level, where mispricing opportunities across sovereign bond
markets are exploited and also at the micro level, via security selection in global corporate bond markets.
This broad opportunity set, combined with our continuous research program to identify new opportunities is a key
competitive strength.
2. Underlying strategy has a consistent record of delivering risk controlled returns
The fund seeks to deliver a consistent stream of positive absolute returns with low to moderate risk. Stated another way, the
strategy seeks to deliver equity-like returns with bond-like risk. These returns are typically relatively independent of major
market indices and other return sources.
The fund aims to achieve a return of 8% p.a. before fees, above the Reserve Bank of Australia cash rate target over rolling
three-year periods. The fund will aim to achieve its investment objective by targeting a total expected risk of between 4%-6%
p.a. over the same rolling three-year period.
The fund’s underlying strategy has achieved growth like returns since its inception in July 2004, with around 1/3 of the risk of
equity markets. The BlackRock Multi Opportunity Absolute Return Fund invests in and has the same underlying investment
strategy as the BlackRock Multi Opportunity Fund. In addition, the highly diversified approach resulted in the preservation of
investor capital during periods of market stress.
Growth of $100 since inception to 28 February 2017 (Net) (underlying fund*)
300
250
200
150
100
50
Jul 04
Jul 05
Jul 06
Jul 07
Jul 08
Jul 09
BlackRock Multi Opportunity Fund (net)
Jul 10
Jul 11
Australian Equities
Jul 12
Jul 13
Jul 14
International Equities
Jul 15
Jul 16
Australian Bonds
Jul 17
Cash
* Past performance is not a reliable indicator of future performance. The BlackRock Multi Opportunity Absolute Return Fund invests in, and has the same underlying
investment strategy as, the BlackRock Multi Opportunity Fund. Past performance in this presentation is for the BlackRock Multi Opportunity Fund, which has an inception date
of 30 July 2004. Performance shown above is for the BlackRock Multi Opportunity Fund (Underlying Strategy), which has an inception date of 30 July 2004. Performance
information is estimated and unaudited for a representative investment of $100 in the Underlying Strategy from inception subject to a 1.25% (annualised) management fee and
a 20% performance fee which are fees attributable to the BlackRock Multi Opportunity Absolute Return Fund. Net performance of the BlackRock Multi Opportunity Absolute
Return Fund and the BlackRock Multi Opportunity Fund will vary due to fee differences.
Performance and risk (underlying fund*)
Performance and risk to 28 February 2017
1 Year
3 Years
5 Years
Since inception
BlackRock Multi Opportunity Fund (Gross return %)*
2.68
3.88
6.79
9.54
Gross Excess Returns (Gross return %, above the RBA Cash Rate)*
1.03
1.82
4.33
5.43
Standard Deviation of Returns (Gross return %)*
–
3.51
3.34
4.26
Sharpe Ratio (Excess return on risk)
–
0.5
1.3
1.3
1.47
2.17
–
2.67
BlackRock Multi Opportunity Absolute Return Fund (Net return %)
* Past performance is not a reliable indicator of future performance. The fund invests in, and has the same underlying investment strategy as, the BlackRock Multi Opportunity Fund,
which has an inception date of 30 July 2004. Net returns are subject to a 1.25% (annualised) management fee and a 20% performance fee which are fees attributable to the BlackRock
Multi Opportunity Absolute Return Fund. Inception date for BlackRock Multi Opportunity Absolute Return Fund is 31 July 2014. Net performance of the BlackRock Multi Opportunity
Absolute Return Fund and the BlackRock Multi Opportunity Fund will vary due to fee differences.
3. Enhanced portfolio diversification
The fund seeks to have a low correlation to equity returns, interest rate moves and other market return sources.
The strategy has exhibited low correlation to broad market asset classes over the last three years as illustrated in
the chart below.
Three year correlation of returns between the underlying fund (BlackRock Multi
Opportunity Fund) and various market indices to February 2017.
0.50
0.25
0.00
-0.25
ASX200
Australian
Bonds
MSCI World
Ex Australia
(unhedged)
In addition the absolute return objective of the fund
is designed with the aim of delivering positive returns
which are independent of the direction in equity
markets. This is best illustrated in the chart to the
right which shows the fund’s underlying strategy
has historically delivered positive returns in 71% of
months where equity markets have been negative
and a success rate of 83% when equity markets are
positive. Overall, the strategy has delivered positive
returns 79% of months since inception*.
* Past performance is not a reliable indicator of future performance. The
fund invests in, and has the same underlying investment strategy as, the
BlackRock Multi Opportunity Fund, which has an inception date of 30 July
2004. Past performance information is for the BlackRock Multi Opportunity
Fund. Net returns are subject to a 1.25% (annualised) management fee and
a 20% performance fee which are fees attributable to the BlackRock Multi
Opportunity Absolute Return Fund. Net performance of the BlackRock Multi
0.50
Opportunity Absolute
Return Fund and the BlackRock Multi Opportunity Fund
will vary due to fee differences.
0.25
0.00
MSCI World
Ex Australia
(hedged)
Barclays
Global Aggregate
Bond Index
Dow Jones Credit
Suisse Hedge
Fund Index
Percentage of positive monthly
active returns to February 2017
100%
75%
50%
25%
0%
Positive months when
ASX returns are negative
Positive months when
ASX returns are positive
4. Transparent, cost effective and liquid alternative
Unlike other multi-strategy and Fund of Hedge Fund products, the underlying strategies within the fund are all
managed by BlackRock leading to superior transparency and a greater understanding of investment risks. In
addition, the single layer of fees provides a cost effective alternative solution with monthly liquidity terms.
5. Consistent and repeatable investment process
The BlackRock Multi Opportunity Absolute Return Fund seeks to exploit market inefficiencies through the systematic
application of proprietary investment insights resident at BlackRock. The investment approach has been rigorously
tested and successfully applied for over 25 years, spanning equities, fixed income, currencies and commodities in
both domestic and international markets.
The BlackRock Multi Opportunity Absolute Return Fund’s goal is to provide investors with a source of consistent,
risk-controlled, absolute returns that are expected over time, to have low correlation with the returns of major
asset classes. We continuously explore BlackRock’s alpha generating platform for the addition of new investment
strategies with the view of including these where they meet the fund’s strict investment criteria.
Qualitative analysis of
BlackRock hedge fund capabilities
Quantitative analysis of alpha strategies
and of the combined portfolio
Initial and ongoing due diligence
Analysis of alpha strategy’s expected return and
risk profiles, leverage and capital requirements
Differentiation of opportunity set, strategy type,
asset class and trading instruments
Analysis of investment process and decision oversight
Quality and track record of research team and process
Investment terms, liquidity, collateral management,
etc
Scrutinise expectations for strategy risk
decompositions, covariance and marginal risk
contributions to combined portfolio
Stress testing and analysis of sensitivities to market
betas and macro factors
Forecasting and management of liquidity profile
Select hedge fund strategies which:
Have the potential to produce high quality risk-adjusted returns as standalone strategies
Are independent of broad market risk factors
Are independent of each other and thus provide additive insights
Portfolio construction
Produces allocation of capital, risk and expected alpha with optimal risk/return trade-off
BlackRock Multi Opportunity Absolute Return Fund
6. Focus on risk management
The fund has many layers of risk controls built into the portfolio construction process to help achieve diversification and
avoid risk-concentration. The diversity and low correlation of excess return sources of each underlying sub-strategy
help reduce the overall investment risk of the fund.
In addition, the fund benefits from BlackRock’s cutting edge risk framework and oversight from BlackRock’s Risk and
Quantitative Analysis (RQA) Group which collaborates closely with the investment team for the fund.
Portfolio monitoring
The Risk and Quantitative Analysis (RQA) Group monitors active risk exposures within the fund on a continuous basis.
Regular meetings with portfolio managers ensures investment risks are understood and are consistent with active
views.
Stress testing
Allows the Portfolio Management team to pro-actively estimate how changes in identified markets prices may affect
the portfolio under various stress conditions.
BlackRock’s proprietary risk models can stress test portfolios using hundreds of historical stress scenarios or
custom scenarios aimed at identifying specific market concern.
7. Core Alternative allocation
The fund provides a single access point to a broad range of absolute return strategies such as Managed Futures,
Equity Market Neutral and Fixed Income Absolute Return. As such the fund can be used as a core alternatives
holding in investor portfolios. The fund seeks to provide a consistent stream of positive absolute returns which aim to
be relatively independent of major market indices and other return sources.
Access to a diversified range of absolute return strategies*
10 %
Equity Market Neutral
Fixed Income Global Alpha
Managed Futures
7.5
5.0
2.5
Tre
nd
Te
ch
ni
ca
la
l
ss
Sp
ec
ifi
c
se
tC
As
Em
er
gin
Au
st
ra
l
Gl ian E
ob
gM
qu
al
ar
Sm ity
ke
al
ts
lC
(E
ap
M
)L
ar
Gl
ge
ob
al
Ca
M
p
id
Ho
Pa
G
riz
n E lob
on
al
ur
La
op
rg
ea
n M e Ca
p
id
Pa
Ho
nA
sia rizo
n
La
rg
EM
eC
ap
M
id
Ho
riz
EM
on
Sm
a
ll C
Al
ap
Pa pha
nE
Tra
ns
ur
op
po
eL
rt
Pa
ar
nA
ge
sia
Ca
M
p
Pa
id
nE
Ho
ur
riz
op
on
eS
Em mal
lC
er
ap
Pa ging
nA
E
sia uro
Sm pe
Ca
al
pi
lC
ta
ap
lS
tru
ct
ur
e
Em
Cr
er
ed
gin
it
Ra
gM
te
ar
sR
k
et
ela
s
tiv
eV
As
a
se
lu
e
tA
Ag
l
en loca
cy
tio
M
or n
tg
ag
M
es
ac
ro
Ra
te
s
Vo
la
til
i
t
Se
cu y
rit
ise
d
Cu
rre
nc
y
0
* As at 28 February 2017. This chart shows the strategic risk allocation of the fund.
8. Experienced and stable investment team
The fund is managed by a talented and experienced team of investment professionals who utilise a research
intensive, systematic approach to create and validate investment insights, which are then implemented using
disciplined quantitative techniques.
Team profile
The Multi Asset Strategies (MAS) team based in Sydney, is led by Dr Michael McCorry (PhD), CIO for BlackRock
Australia, who has 25 years of investment experience.
The portfolio management team include senior portfolio manager Karsten Kumpf (PhD, CFA), George Zhu (CFA),
Ron Montgomery (CFA), Sasha Akoulov (CFA), Uwe Helmes and David Griffith (CFA) who is the team’s senior
investment strategist. The MAS team is a stable team, with members averaging over 18 years industry experience.
Why BlackRock?
As the world’s largest investment manager with AUM $5.1 trillion (as at 31 December 2016), we believe
it is our responsibility to help investors of all sizes succeed in the new world of investing. We are built to
provide the global market insight, breadth of capabilities and deep risk management expertise these
times require.
The resources you need for a new world of investing
Investing with BlackRock gives you access to every asset class, geography and investment style, as
well as extensive market intelligence and risk analysis, to help build the dynamic, diverse portfolios we
believe today’s markets demand.
The best thinking you need to uncover opportunity
With deep roots in all corners of the globe, around 100 investment teams in approximately 30 countries
share their best thinking to translate local insight into actionable ideas that strive to deliver better,
more consistent returns over time.
The risk management you need to invest with clarity
With around 1,000 risk professionals and premier risk management technology, BlackRock digs deep
into the data to understand the risk that has to be managed for the returns our clients need, bringing
clarity to the most daunting financial situations.
Definitions
Absolute return strategies: Types of investment strategies targeting a positive return in absolute terms rather than relative to an
index or other benchmark.
Fundamental: uses deep company specific knowledge and research that is the basis of investment decisions. High conviction
decisions on a typically more restricted number of securities.
Return: The income on an asset together with its capital appreciation, expressed as a proportion of the asset’s initial price.
Risk: In its simplest sense, risk is the variability of returns. Generally speaking, investments with greater inherent risk may promise
higher expected returns if investors are to invest in them. Risk is usually measured by the standard deviation of returns. Risk
management is an important aspect of portfolio management and may involve the use of complex statistical models.
Scientific: uses market insights which are scientifically tested and implemented in a systematic way. Universe of securities is
typically quite broad to achieve greater diversification.
Issued by BlackRock Investment Management (Australia) Limited ABN 13 006 165 975, AFS Licence Number 230523 (BlackRock). BlackRock is the responsible entity for the BlackRock
Multi Opportunity Absolute Return Fund (Fund). The Fund invests in, and has the same underlying investment strategy as, the BlackRock Multi Opportunity Fund, which has an inception
date of 30 July 2004. The BlackRock Multi Opportunity Fund is only available to wholesale clients. A Product Disclosure Statement (PDS) for the Fund is available from BlackRock. You
should consider the PDS in deciding whether to acquire, or to continue to hold, the product. BlackRock, its officers, employees and agents believe that the information in this document
is correct at the time of compilation, but no warranty of accuracy or reliability is given and no responsibility arising in any other way for errors or omissions (including responsibility to any
person by reason of negligence) is accepted by BlackRock, its officers, employees or agents. This document contains general information only and is not intended to represent general or
specific investment or professional advice. The information does not take into account an individual‘s financial circumstances. An assessment should be made as to whether the information
is appropriate in individual circumstances and consideration should be given to talking to a financial or other professional adviser before making an investment decision. No guarantee
as to the capital value of investments in the Fund nor future returns is made by BlackRock. Past performance is no indicator of future performance. Long term performance returns show
the potential volatility of returns over time. The value of investments and the income from them can fall as well as rise and is not guaranteed. You may not get back the amount originally
invested. Fluctuation may be particularly marked in the case of a higher volatility fund and the value of an investment may fall suddenly and substantially. Investing involves risk including
loss of capital. 15338 3/17
FURTHER INFORMATION
www.blackrock.com/au/moarf