Victory Portfolios II N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-22696
Victory Portfolios II
(Exact name of registrant as specified in charter)
3435 Stelzer Road, Columbus, Ohio					43219
(Address of principal executive offices)					(Zip code)
Citi Fund Services Ohio, Inc., 3435 Stelzer Road, Columbus, Ohio 43219
(Name and address of agent for service)
Registrant’s telephone number, including area code:				614-470-8000
Date of fiscal year end:	June 30
Date of reporting period:		December 31, 2015

Item 1. Reports to Stockholders.

December 31, 2015

Semi Annual Report

Victory CEMP US 500 Volatility Wtd Index Fund

Victory CEMP US Small Cap Volatility Wtd Index Fund

Victory CEMP International Volatility Wtd Index Fund

Victory CEMP Emerging Market Volatility Wtd Index Fund

Victory CEMP US 500 Enhanced Volatility Wtd Index Fund

Victory CEMP International Enhanced Volatility Wtd Index Fund

Victory CEMP REC Enhanced Volatility Wtd Index Fund

Victory CEMP Commodity Volatility Wtd Index Strategy Fund

Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund

Victory CEMP Long/Short Strategy Fund

Victory CEMP Market Neutral Income Fund

Victory CEMP Enhanced Fixed Income Fund

Victory CEMP Ultra Short Term Fixed Income Fund

Victory CEMP Multi-Asset Balanced Fund

Victory CEMP Multi-Asset Growth Fund

Victory CEMP Alternative Strategies Fund

Victory
Portfolios II

Table of Contents

Shareholder Letter	5
Financial Statements
The Victory Equity Funds
Victory CEMP US 500 Volatility Wtd Index Fund
Schedule of Investments	7-17
Statement of Assets and Liabilities	125-126
Statement of Operations	133
Statements of Changes in Net Assets	137-139
Financial Highlights	155-157
Victory CEMP US Small Cap Volatility Wtd Index Fund
Schedule of Investments	18-28
Statement of Assets and Liabilities	125-126
Statement of Operations	133
Statements of Changes in Net Assets	137-139
Financial Highlights	158-160
Victory CEMP International Volatility Wtd Index Fund
Schedule of Investments	29-46
Statement of Assets and Liabilities	125-126
Statement of Operations	133
Statements of Changes in Net Assets	137-139
Financial Highlights	161-163
Victory CEMP Emerging Market Volatility Wtd Index Fund
Schedule of Investments	47-64
Statement of Assets and Liabilities	125-126
Statement of Operations	133
Statements of Changes in Net Assets	140-142
Financial Highlights	164-166
The Victory Equity Long/Cash Funds
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Schedule of Investments	65-75
Statement of Assets and Liabilities	125-126
Statement of Operations	133
Statements of Changes in Net Assets	140-142
Financial Highlights	167-169
Victory CEMP International Enhanced Volatility Wtd Index Fund
Schedule of Investments	76-93
Statement of Assets and Liabilities	127-128
Statement of Operations	134
Statements of Changes in Net Assets	140-142
Financial Highlights	170-172

1

Table of Contents (continued)

The Victory Real Estate Long/Cash Fund
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Schedule of Investments	94-96
Statement of Assets and Liabilities	127-128
Statement of Operations	134
Statements of Changes in Net Assets	143-145
Financial Highlights	173-175
The Victory Commodity Fund
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Schedule of Investments	97
Statement of Assets and Liabilities	127-128
Statement of Operations	134
Statements of Changes in Net Assets	143-145
Financial Highlights	176-178
The Victory Commodity Long/Cash Fund
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Schedule of Investments	98
Statement of Assets and Liabilities	127-128
Statement of Operations	134
Statements of Changes in Net Assets	143-145
Financial Highlights	179-181
The Victory Equity Long/Short Fund
Victory CEMP Long/Short Strategy Fund
Schedule of Investments	99-109
Statement of Assets and Liabilities	129-130
Statement of Operations	135
Statements of Changes in Net Assets	146-148
Financial Highlights	182-184
The Victory Bond Replacement Fund
Victory CEMP Market Neutral Income Fund
Schedule of Investments	110-119
Statement of Assets and Liabilities	129-130
Statement of Operations	135
Statements of Changes in Net Assets	146-148
Financial Highlights	185-187
The Victory Fixed Income Long/Cash Fund
Victory CEMP Enhanced Fixed Income Fund
Schedule of Investments	120
Statement of Assets and Liabilities	129-130
Statement of Operations	135
Statements of Changes in Net Assets	149-151
Financial Highlights	188-190

2

Table of Contents (continued)

The Victory Fixed Income Ultra Short (12 months or less) Fund
Victory CEMP Ultra Short Term Fixed Income Fund
Schedule of Investments	121
Statement of Assets and Liabilities	129-130
Statement of Operations	135
Statements of Changes in Net Assets	149-151
Financial Highlights	191-192
The Victory Multi-Asset Class Funds
Victory CEMP Multi-Asset Balanced Fund
Schedule of Investments	122
Statement of Assets and Liabilities	131-132
Statement of Operations	136
Statements of Changes in Net Assets	152-154
Financial Highlights	193-194
Victory CEMP Multi-Asset Growth Fund
Schedule of Investments	123
Statement of Assets and Liabilities	131-132
Statement of Operations	136
Statements of Changes in Net Assets	152-154
Financial Highlights	195-196
Victory CEMP Alternative Strategies Fund
Schedule of Investments	124
Statement of Assets and Liabilities	131-132
Statement of Operations	136
Statements of Changes in Net Assets	152-154
Financial Highlights	197-198
Notes to Financial Statements	199
Supplemental Information	232
Board of Trustees	232
Officers	234
Proxy Voting and Form N-Q Information	235
Expense Examples	235
Portfolio Holdings	239

3

The Funds are distributed by Victory Capital Advisers, Inc. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Compass EMP Funds.

For additional information about any Compass EMP Fund, including fees, expenses, and risks, view our prospectus online at compassempfunds.com or call 800-539-3863. Read it carefully before you invest or send money.

The information in this annual report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.

• NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Call Compass EMP at:

800-539-FUND (800-539-3863)

Visit our website at:

compassempfunds.com

4

Victory Funds Letter to Shareholders

Dear Shareholder:

It has been somewhat of a rollercoaster ride for U.S. stocks this year, culminating in August's correction, as investor worry over geopolitical turmoil in Europe, recessions in Brazil and Russia, slowing economic growth in Asia, and anticipated changes in domestic monetary policy, provided turbulence. Still, the market recovered most of its losses by the end of the year, delivering a relatively flat, to slightly negative, equity return to investors for the second half of 2015. Large capitalization stocks led the way, benefitting from investor rotation during the most recent sell-off, while growth has — and continues to — materially outpace value across all capitalizations.

With both 2015 and 2016 estimate revisions trending consistently negative over the past year, leaving calendar 2015 growth estimates close to flat, the muted return over the past six months could be considered as a marginal victory for the equity market. Easy monetary policy has driven bond yields to record lows, helping equities, but it also stands to reason that investors are optimistic the U.S. can once again regain the lead position in the global growth story. Specifically, slowing growth in China and the end of the commodity super-cycle might just portend a revitalization for the U.S. and other developed nations on two fronts: 1) the consumer strengthens from improved real wages, but improved frugality sets the stage for a lower, but longer expansion, and 2) a larger portion of investment gets channeled back to developed markets as investors reassess the long term growth and risk profile of emerging markets, driving the improved productivity that has been missing in this recovery.

The second half of 2015 was dominated by weak growth centered in China, plunging energy and commodity prices, a strong U.S. dollar, and the long anticipated change in monetary policy by the Federal Reserve. U.S. GDP slowed heading into the second half of the year, falling from just under 4% in the second quarter, to approximately 2% in the third. Estimates for the final quarter have also been revised downward to nearly 2%. The U.S. consumer continued to provide leadership in the economy, albeit at a slower pace, as personal consumption dipped slightly from the second to the third quarter. Retail sales slowed in late summer, but climbed again in November, as consumers put to work some of the money conserved from less expensive gasoline. In contrast, the U.S. manufacturing sector fell into contraction in December, held in check by a strong dollar and weak overseas demand. Weakness overseas also temporarily delayed the Fed's plans to increase interest rates until the fourth quarter, which subsequently brought an end to an extraordinary period in which the Federal Funds rate was held near zero for seven years. While the Fed action was indeed important, many of the themes that we began the year with persisted until the end — steady job gains, subdued inflation, falling commodity prices, and a strong dollar that pushed the U.S. manufacturing sector into contraction. As a result, the tug of war for investors between risky assets and treasuries continued to dominate throughout the year.

International equity markets declined during the period as slow growth in China, the world's second largest economy, weighed heavily on global markets. In particular, emerging economies struggled, largely impacted by depressed commodity prices and a strong U.S. dollar, which has led to further local currency

5

devaluations. Brazil and Russia have been staggered by contracting economies and elevated inflation. Central bank policy continues to have a significant impact on global markets as investors focus on the implications of monetary policy divergence. The European Central Bank has signaled continued monetary easing to increase its stimulus program, in contrast to the Federal Reserve's December rate increase. International developed stocks outperformed their emerging peers, with international developed small capitalization stocks in particular posting the highest relative returns among foreign equity asset classes. Although global GDP forecasts have declined, it is unclear how much spillover from decelerating growth in emerging markets will impact the world's developed economies.

We continue to believe that the markets provide tactical challenges for investors to navigate. As we have stated in the past, we also believe that maintaining a long term view and building a portfolio that is diversified across asset classes is an appropriate strategy for investors seeking to weather possible market turbulence.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. Or, if you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com. My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,
Victory Funds

6

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.5%)
Consumer Discretionary (16.1%):
Advance Auto Parts, Inc.		301	$	45,304
AMC Networks, Inc., Class A (a)		670		50,036
Aramark		2,252		72,627
AutoNation, Inc. (a)		1,024		61,092
AutoZone, Inc. (a)		105		77,900
Bed Bath & Beyond, Inc. (a)		950		45,838
Best Buy Co., Inc.		979		29,811
BorgWarner, Inc.		1,184		51,184
Cablevision Systems Corp.		1,250		39,875
CarMax, Inc. (a)		904		48,789
Carter's, Inc.		635		56,534
CBS Corp., Class B		1,294		60,986
Chipotle Mexican Grill, Inc. (a)		74		35,509
Coach, Inc.		1,613		52,793
Comcast Corp., Class A		1,103		62,242
Dick's Sporting Goods, Inc.		968		34,219
Discovery Communications, Inc., Class A (a)		1,530		40,820
DISH Network Corp. (a)		937		53,578
Dollar General Corp.		951		68,348
Domino's Pizza, Inc.		483		53,734
DR Horton, Inc.		1,410		45,162
Dunkin' Brands Group, Inc.		1,242		52,897
Expedia, Inc.		300		37,290
Foot Locker, Inc.		876		57,019
Ford Motor Co.		4,662		65,688
GameStop Corp., Class A		946		26,526
General Motors Co.		1,846		62,782
Gentex Corp.		3,757		60,150
Genuine Parts Co.		847		72,749
Hanesbrands, Inc.		1,597		47,000
Harley-Davidson, Inc.		874		39,671
Harman International Industries, Inc.		302		28,451
Hasbro, Inc.		654		44,054
Hilton Worldwide Holdings, Inc.		2,247		48,086
Hyatt Hotels Corp., Class A (a)		1,178		55,390
Johnson Controls, Inc.		1,374		54,259
Kohl's Corp.		852		40,581
L Brands, Inc.		649		62,187
Las Vegas Sands Corp.		839		36,782
Lear Corp.		517		63,503
Lennar Corp., Class A		893		43,677
Lions Gate Entertainment Corp.		1,195		38,706
LKQ Corp. (a)		1,741		51,586
Lowe's Cos., Inc.		936		71,172
Macy's, Inc.		895		31,307
Marriott International, Inc., Class A		756		50,682
McDonald's Corp.		734		86,715
Mohawk Industries, Inc. (a)		291		55,112

See notes to financial statements.

7

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
MSG Networks, Inc., Class A (a)		3,308	$	68,806
Netflix, Inc. (a)		265		30,311
Newell Rubbermaid, Inc.		1,640		72,292
NIKE, Inc., Class B		1,224		76,500
Nordstrom, Inc.		891		44,381
NVR, Inc. (a)		48		78,865
Omnicom Group, Inc.		1,182		89,431
O'Reilly Automotive, Inc. (a)		250		63,355
Panera Bread Co., Class A (a)		268		52,201
Penske Automotive Group, Inc.		925		39,165
Polaris Industries, Inc.		393		33,778
PulteGroup, Inc.		2,092		37,279
PVH Corp.		416		30,638
Ralph Lauren Corp.		377		42,028
Ross Stores, Inc.		1,096		58,976
Royal Caribbean Cruises Ltd.		472		47,771
Scripps Networks Interactive, Inc., Class A		1,102		60,841
Service Corp. International		2,380		61,928
Sirius XM Holdings, Inc. (a)		17,927		72,963
Skechers U.S.A., Inc. (a)		734		22,174
Starbucks Corp.		1,047		62,851
Starwood Hotels & Resorts Worldwide, Inc.		690		47,803
TEGNA, Inc.		1,918		48,947
The Gap, Inc.		1,983		48,980
The Goodyear Tire & Rubber Co.		1,577		51,521
The Home Depot, Inc.		565		74,720
The Priceline Group, Inc. (a)		40		50,997
The Sherwin-Williams Co.		248		64,381
The TJX Cos., Inc.		897		63,606
The Walt Disney Co.		553		58,109
Tiffany & Co.		488		37,230
Time Warner Cable, Inc.		289		53,636
Time Warner, Inc.		819		52,965
Toll Brothers, Inc. (a)		1,390		46,287
Tractor Supply Co.		644		55,062
TripAdvisor, Inc. (a)		451		38,448
Twenty-First Century Fox, Inc.		2,032		55,189
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		408		75,479
Under Armour, Inc. (a)		491		39,580
VF Corp.		928		57,768
Whirlpool Corp.		298		43,767
Williams-Sonoma, Inc.		777		45,385
Wyndham Worldwide Corp.		782		56,812
				4,783,609
Consumer Staples (9.2%):
Altria Group, Inc.		1,350		78,584
Archer-Daniels-Midland Co.		1,453		53,296
Brown-Forman Corp., Class B		840		83,395
Campbell Soup Co.		1,707		89,703
Church & Dwight Co., Inc.		1,055		89,548

See notes to financial statements.

8

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Coca-Cola Enterprises, Inc.		1,042	$	51,308
Colgate-Palmolive Co.		1,214		80,877
Constellation Brands, Inc., Class A		535		76,205
Costco Wholesale Corp.		515		83,172
CVS Health Corp.		809		79,096
Dr Pepper Snapple Group, Inc.		1,013		94,412
Estee Lauder Cos., Inc., Class A		769		67,718
Flowers Foods, Inc.		2,335		50,179
General Mills, Inc.		1,602		92,371
Herbalife Ltd. (a)		406		21,770
Hormel Foods Corp.		1,125		88,965
Ingredion, Inc.		776		74,372
Keurig Green Mountain, Inc.		415		37,342
McCormick & Co., Inc.		1,052		90,009
Mead Johnson Nutrition Co.		944		74,529
Mondelez International, Inc.		1,598		71,654
Monster Beverage Corp. (a)		305		45,433
PepsiCo, Inc.		925		92,426
Philip Morris International, Inc.		867		76,218
Pilgrim's Pride Corp.		1,242		27,436
Pinnacle Foods, Inc.		1,564		66,407
Reynolds American, Inc.		1,467		67,702
Rite AID Corp. (a)		4,864		38,134
Spectrum Brands Holdings, Inc.		728		74,110
Sysco Corp.		1,782		73,062
The Clorox Co.		811		102,859
The Coca-Cola Co.		2,500		107,400
The Hain Celestial Group, Inc. (a)		934		37,724
The Kroger Co.		1,913		80,021
The Procter & Gamble Co.		1,211		96,166
Tyson Foods, Inc., Class A		1,193		63,623
Wal-Mart Stores, Inc.		1,112		68,166
WhiteWave Foods Co., Class A (a)		1,087		42,295
Whole Foods Market, Inc.		1,496		50,116
				2,737,803
Energy (2.2%):
Cameron International Corp. (a)		366		23,131
Cheniere Energy Partners LP Holdings LLC		2,692		46,841
Chevron Corp.		688		61,892
Exxon Mobil Corp.		866		67,506
FMC Technologies, Inc. (a)		1,064		30,867
Helmerich & Payne, Inc.		630		33,737
Kinder Morgan, Inc.		2,132		31,809
Marathon Petroleum Corp.		804		41,679
National Oilwell Varco, Inc.		1,006		33,691
ONEOK, Inc.		996		24,561
Phillips 66		551		45,072
Plains GP Holdings LP, Class A		1,542		14,572
Schlumberger Ltd.		711		49,592
Spectra Energy Corp.		1,992		47,688

See notes to financial statements.

9

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Tesoro Corp.		376	$	39,619
The Williams Cos., Inc.		711		18,273
Valero Energy Corp.		673		47,588
				658,118
Financials (17.6%):
Affiliated Managers Group, Inc. (a)		364		58,153
Aflac, Inc.		1,281		76,732
Alleghany Corp. (a)		167		79,814
American Express Co.		794		55,223
American Financial Group, Inc.		1,326		95,577
American International Group, Inc.		1,142		70,770
Ameriprise Financial, Inc.		544		57,892
AmTrust Financial Services, Inc.		880		54,190
Arthur J. Gallagher & Co.		2,119		86,752
Assurant, Inc.		880		70,875
Bank of New York Mellon Corp.		1,498		61,748
BB&T Corp.		1,756		66,394
Berkshire Hathaway, Inc., Class B (a)	��	695		91,768
BlackRock, Inc.		225		76,617
Brown & Brown, Inc.		2,662		85,450
Capital One Financial Corp.		681		49,155
CBOE Holdings, Inc.		1,116		72,428
CBRE Group, Inc., Class A (a)		1,745		60,342
Chubb Corp.		346		45,893
Cincinnati Financial Corp.		1,402		82,956
CIT Group, Inc.		1,665		66,101
Citigroup, Inc.		1,116		57,753
Citizens Financial Group, Inc.		2,431		63,668
CME Group, Inc.		731		66,229
CNA Financial Corp.		2,034		71,495
Comerica, Inc.		1,125		47,059
Discover Financial Services		1,189		63,754
E*Trade Financial Corp. (a)		1,576		46,713
East West BanCorp, Inc.		1,376		57,187
FactSet Research Systems, Inc.		472		76,733
Fifth Third BanCorp		2,885		57,989
First Republic Bank		986		65,135
Franklin Resources, Inc.		1,683		61,968
Goldman Sachs Group, Inc.		352		63,441
Huntington Bancshares, Inc.		5,648		62,467
Intercontinental Exchange, Inc.		273		69,959
Invesco, Ltd.		1,836		61,469
Jones Lang LaSalle, Inc.		337		53,873
JPMorgan Chase & Co.		993		65,568
KeyCorp		3,819		50,373
Legg Mason, Inc.		1,474		57,825
Lincoln National Corp.		1,011		50,813
Loews Corp.		2,185		83,904
M&T Bank Corp.		993		120,331
Markel Corp. (a)		90		79,502

See notes to financial statements.

10

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Marsh & McLennan Cos., Inc.		1,537	$	85,227
MetLife, Inc.		1,176		56,695
Moody's Corp.		661		66,325
MSCI, Inc.		1,074		77,468
NASDAQ, Inc.		1,348		78,412
Navient Corp.		3,460		39,617
New York Community BanCorp, Inc.		4,254		69,425
Northern Trust Corp.		828		59,691
People's United Financial, Inc.		4,951		79,959
Principal Financial Group, Inc.		1,173		52,762
Raymond James Financial, Inc.		1,147		66,492
Regions Financial Corp.		5,315		51,024
Reinsurance Group of America, Inc.		804		68,782
Santander Consumer USA Holdings, Inc. (a)		2,145		33,998
SEI Investments Co.		1,235		64,714
Signature Bank (a)		425		65,182
StanCorp Financial Group, Inc.		224		25,509
State Street Corp.		779		51,694
SunTrust Banks, Inc.		1,434		61,433
SVB Financial Group (a)		330		39,237
Synchrony Financial (a)		2,020		61,428
T. Rowe Price Group, Inc.		1,078		77,065
TD Ameritrade Holding Corp.		1,710		59,354
TFS Financial Corp.		5,337		100,496
The Allstate Corp.		1,074		66,685
The Charles Schwab Corp.		1,630		53,676
The PNC Financial Services Group, Inc.		746		71,101
The Progressive Corp.		2,579		82,012
The Travelers Cos., Inc.		759		85,661
Torchmark Corp.		1,352		77,280
U.S. Bancorp		1,684		71,856
Voya Financial, Inc.		1,538		56,768
W.R. Berkley Corp.		1,296		70,956
Wells Fargo & Co.		1,327		72,135
				5,220,157
Health Care (10.6%):
Abbott Laboratories		1,487		66,781
Acadia Healthcare Co., Inc. (a)		588		36,726
Aetna, Inc.		442		47,789
Alexion Pharmaceuticals, Inc. (a)		219		41,774
Align Technology, Inc. (a)		827		54,458
Amgen, Inc.		317		51,459
Anthem, Inc.		400		55,776
Baxter International, Inc.		1,953		74,507
Becton, Dickinson & Co.		584		89,988
Biogen, Inc. (a)		93		28,491
Cardinal Health, Inc.		818		73,023
Celgene Corp. (a)		348		41,676
Centene Corp. (a)		682		44,882
Cerner Corp. (a)		937		56,379

See notes to financial statements.

11

Victory Portfolios II
Victory CEMP US 500 Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Cigna Corp.		341	$	49,899
Community Health Systems, Inc. (a)		764		20,269
Cooper Companies, Inc.		428		57,438
DENTSPLY International, Inc.		1,313		79,896
Edwards Lifesciences Corp. (a)		712		56,234
ELI Lilly & Co.		701		59,066
Express Scripts Holding, Inc. (a)		722		63,110
Gilead Sciences, Inc.		437		44,220
HCA Holdings, Inc. (a)		596		40,307
Henry Schein, Inc. (a)		558		88,271
Hologic, Inc. (a)		1,415		54,746
Humana, Inc.		204		36,416
IDEXX Laboratories, Inc. (a)		492		35,877
Illumina, Inc. (a)		229		43,955
Intuitive Surgical, Inc. (a)		113		61,716
Johnson & Johnson		846		86,902
Laboratory Corp. of America Holdings (a)		626		77,400
McKesson Corp.		340		67,058
Mednax, Inc. (a)		931		66,715
Merck & Co., Inc.		1,176		62,116
Mettler-Toledo International, Inc. (a)		221		74,948
Mylan NV (a)		659		35,632
Patterson Cos., Inc.		1,555		70,302
PerkinElmer, Inc.		1,544		82,712
Pfizer, Inc.		2,370		76,504
Quest Diagnostics, Inc.		865		61,536
Quintiles Transnational Holdings, Inc. (a)		909		62,412
Regeneron Pharmaceuticals, Inc. (a)		81		43,972
ResMed, Inc.		793		42,576
Sirona Dental Systems, Inc. (a)		790		86,560
St. Jude Medical, Inc.		850		52,505
Stryker Corp.		729		67,753
Team Health Holdings, Inc. (a)		596		26,158
Teleflex, Inc.		602		79,133
Thermo Fisher Scientific, Inc.		532		75,464
UnitedHealth Group, Inc.		471		55,408
Universal Health Services, Inc., Class B		373		44,570
Varian Medical Systems, Inc. (a)		743		60,034
VCA, Inc. (a)		942		51,810
Waters Corp. (a)		551		74,154
				3,139,463
Industrials (17.4%):
3M Co.		548		82,551
A.O. Smith Corp.		770		58,990
Acuity Brands, Inc.		303		70,841
Alaska Air Group, Inc.		539		43,395
Allison Transmission Holdings, Inc.		2,519		65,217
AMERCO, Inc.		171		66,605
American Airlines Group, Inc.		812		34,388
AMETEK, Inc.		1,254		67,202

See notes to financial statements.

12

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Avery Dennison Corp.		1,074	$	67,297
Boeing Co.		461		66,656
Carlisle Companies, Inc.		635		56,318
Caterpillar, Inc.		767		52,125
CH Robinson Worldwide, Inc.		763		47,321
Cintas Corp.		920		83,766
Colfax Corp. (a)		1,379		32,200
Copart, Inc. (a)		2,384		90,616
CSX Corp.		1,880		48,786
Cummins, Inc.		539		47,437
Danaher Corp.		915		84,985
Deere & Co.		794		60,558
Dover Corp.		904		55,424
Eaton Corp. PLC		1,038		54,018
Emerson Electric Co.		1,418		67,823
Equifax, Inc.		664		73,950
Expeditors International of Washington, Inc.		1,377		62,103
Fastenal Co.		1,501		61,271
Flowserve Corp.		1,226		51,590
Fluor Corp.		1,087		51,328
General Dynamics Corp.		502		68,955
Hexcel Corp.		1,289		59,874
Honeywell International, Inc.		726		75,192
Hubbell, Inc. (a)		851		85,984
Huntington Ingalls Industries, Inc.		413		52,389
IDEX Corp.		1,129		86,494
IHS, Inc., Class A (a)		482		57,083
Illinois Tool Works, Inc.		888		82,300
Ingersoll-Rand PLC		1,214		67,122
J.B. Hunt Transport Services, Inc.		905		66,391
Jacobs Engineering Group, Inc. (a)		1,245		52,228
JetBlue Airways Corp. (a)		1,468		33,250
Kansas City Southern		517		38,604
KAR Auction Services, Inc.		2,168		80,281
L-3 Communications Holdings, Inc.		632		75,530
Lennox International, Inc.		604		75,439
Lincoln Electric Holdings, Inc.		1,011		52,461
Lockheed Martin Corp.		397		86,209
Manpower, Inc.		524		44,168
Masco Corp.		1,826		51,676
Middleby Corp. (a)		486		52,425
Nielsen Holdings PLC		1,339		62,397
Norfolk Southern Corp.		768		64,965
Northrop Grumman Corp.		407		76,846
Old Dominion Freight Line, Inc. (a)		925		54,640
Owens Corning, Inc.		997		46,889
PACCAR, Inc.		1,031		48,869
Parker Hannifin Corp.		587		56,927
Precision Castparts Corp.		179		41,530
Quanta Services, Inc. (a)		1,611		32,623

See notes to financial statements.

13

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Raytheon Co.		627	$	78,080
Republic Services, Inc., Class A		2,021		88,904
Robert Half International, Inc.		1,141		53,787
Rockwell Automation, Inc.		555		56,949
Rockwell Collins, Inc.		938		86,577
Rollins, Inc.		2,225		57,628
Roper Technologies, Inc.		444		84,267
Ryder System, Inc.		698		39,667
Snap-on, Inc.		452		77,486
Southwest Airlines Co.		1,049		45,170
Stanley Black & Decker, Inc.		713		76,098
Stericycle, Inc. (a)		582		70,189
Textron, Inc.		1,372		57,638
The ADT Corp.		1,616		53,296
Towers Watson & Co.		513		65,900
Union Pacific Corp.		629		49,188
United Continental Holdings, Inc. (a)		600		34,380
United Parcel Service, Inc.		663		63,800
United Rentals, Inc. (a)		472		34,239
United Technologies Corp.		742		71,284
Verisk Analytics, Inc., Class A (a)		852		65,502
W.W. Grainger, Inc.		328		66,449
WABCO Holdings, Inc. (a)		452		46,222
Wabtec Corp.		612		43,525
Waste Connections, Inc.		1,619		91,181
Xylem, Inc.		2,092		76,358
				5,168,266
Information Technology (13.9%):
Adobe Systems, Inc. (a)		767		72,052
Agilent Technologies, Inc.		1,720		71,913
Akamai Technologies, Inc. (a)		770		40,525
Alliance Data Systems Corp. (a)		236		65,271
Alphabet, Inc., Class A (a)		67		52,127
Amdocs Ltd.		1,484		80,982
Amphenol Corp., Class A		1,229		64,191
Analog Devices, Inc.		775		42,873
ANSYS, Inc. (a)		744		68,820
Apple, Inc.		444		46,735
Applied Materials, Inc.		3,028		56,533
Arista Networks, Inc. (a)		503		39,154
Arrow Electronics, Inc. (a)		879		47,624
Automatic Data Processing, Inc.		876		74,215
Avnet, Inc.		1,300		55,692
Broadridge Financial Solutions, Inc.		1,239		66,571
Brocade Communications Systems, Inc.		4,087		37,519
CA, Inc.		2,296		65,574
Cadence Design Systems, Inc. (a)		2,572		53,523
CDW Corp.		1,496		62,892
Cisco Systems, Inc.		2,183		59,279
Citrix Systems, Inc. (a)		704		53,258

See notes to financial statements.

14

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Cognizant Technology Solutions Corp., Class A (a)		820	$	49,216
Commscope Holding Co., Inc. (a)		1,116		28,893
Corning, Inc.		3,375		61,695
eBay, Inc. (a)		2,218		60,951
Electronic Arts, Inc. (a)		669		45,974
EMC Corp.		2,138		54,905
F5 Networks, Inc. (a)		423		41,014
Facebook, Inc., Class A (a)		569		59,552
Fidelity National Information Services, Inc.		868		52,601
Fiserv, Inc. (a)		813		74,357
Fleetcor Technologies, Inc. (a)		406		58,030
Flextronics International Ltd. (a)		4,776		53,539
Gartner, Inc. (a)		782		70,927
Genpact Ltd. (a)		2,758		68,895
Global Payments, Inc.		1,026		66,187
HP, Inc.		3,655		43,275
Intel Corp.		2,776		95,633
International Business Machines Corp.		441		60,691
IPG Photonics Corp. (a)		486		43,332
Jack Henry & Associates, Inc.		1,164		90,862
KLA-Tencor Corp.		1,002		69,489
Lam Research Corp.		672		53,370
Linear Technology Corp.		1,408		59,798
Mastercard, Inc., Class A		713		69,418
Microchip Technology, Inc.		1,257		58,501
Micron Technology, Inc. (a)		1,583		22,415
Motorola Solutions, Inc.		916		62,700
NVIDIA Corp.		1,773		58,438
Oracle Corp.		1,768		64,585
Paychex, Inc.		1,697		89,753
Qualcomm, Inc.		949		47,436
Red Hat, Inc. (a)		758		62,770
SanDisk Corp.		500		37,995
Seagate Technology PLC		890		32,627
Skyworks Solutions, Inc.		408		31,347
Ssnc Technologies Holdings, Inc.		695		47,448
Symantec Corp.		2,503		52,563
Synopsys, Inc. (a)		1,527		69,646
Texas Instruments, Inc.		1,110		60,839
The Ultimate Software Group, Inc. (a)		299		58,457
The Western Union Co.		2,889		51,742
Total System Services, Inc.		1,307		65,089
Trimble Navigation Ltd. (a)		2,240		48,048
Tyler Technologies, Inc. (a)		381		66,416
VeriSign, Inc. (a)		976		85,262
Visa, Inc., Class A		877		68,011
VMware, Inc., Class A (a)		633		35,809
Western Digital Corp.		545		32,727
Xerox Corp.		4,764		50,641
Xilinx, Inc.		1,294		60,779
				4,131,971

See notes to financial statements.

15

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Materials (5.0%):
Air Products & Chemicals, Inc.		437	$	56,858
Airgas, Inc.		733		101,388
Alcoa, Inc.		4,035		39,825
Ashland, Inc.		617		63,366
Ball Corp.		849		61,747
CF Industries Holdings, Inc.		741		30,240
Crown Holdings, Inc. (a)		1,138		57,697
E.I. du Pont de Nemours & Co.		1,157		77,056
Eastman Chemical Co.		725		48,945
Ecolab, Inc.		629		71,945
International Flavors & Fragrances, Inc.		575		68,793
International Paper Co.		1,388		52,328
LyondellBasell Industries NV, Class A		496		43,102
Martin Marietta Materials, Inc.		246		33,599
NewMarket Corp.		154		58,632
Newmont Mining Corp.		1,955		35,170
Nucor Corp.		1,177		47,434
Packaging Corp. of America		718		45,270
PPG Industries, Inc.		688		67,988
Praxair, Inc.		803		82,227
Sealed Air Corp.		1,001		44,645
The Dow Chemical Co.		1,199		61,725
The Mosaic Co.		1,567		43,234
The Valspar Corp.		960		79,632
W.R. Grace & Co. (a)		580		57,762
Westlake Chemical Corp.		756		41,066
				1,471,674
Telecommunication Services (0.2%):
CenturyLink, Inc.		1,986		49,968
Utilities (7.2%):
AES Corp.		4,375		41,869
Alliant Energy Corp.		1,211		75,627
Ameren Corp.		1,679		72,583
American Electric Power Co., Inc.		1,237		72,080
American Water Works Co., Inc.		1,455		86,936
Aqua America, Inc.		2,692		80,222
Atmos Energy Corp.		1,233		77,728
CenterPoint Energy, Inc.		3,303		60,643
CMS Energy Corp.		1,870		67,470
Consolidated Edison, Inc.		1,132		72,754
Dominion Resources, Inc.		1,062		71,834
DTE Energy Co.		859		68,883
Duke Energy Corp.		984		70,248
Edison International		1,072		63,473
Entergy Corp.		1,020		69,727
Eversource Energy		1,412		72,111
Exelon Corp.		1,780		49,431
ITC Holdings Corp.		1,881		73,829

See notes to financial statements.

16

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
NextEra Energy, Inc.		715	$	74,281
Oge Energy Corp.		2,360		62,044
Pepco Holdings, Inc.		2,203		57,300
PG&E Corp.		1,338		71,168
Pinnacle West Capital Corp.		1,165		75,119
Public Service Enterprise Group, Inc.		1,488		57,571
SCANA Corp.		1,220		73,798
Sempra Energy		729		68,533
TECO Energy, Inc.		1,882		50,155
The Southern Co.		1,703		79,684
WEC Energy Group, Inc.		1,297		66,549
Westar Energy, Inc.		1,844		78,204
Xcel Energy, Inc.		2,044		73,400
				2,135,254
Total Common Stocks (Cost $26,679,343)				29,496,283
Cash Equivalents (0.7%)
Citibank Money Market Deposit Account, 0.02% (b)		216,147		216,147
Total Cash Equivalents (Cost $216,147)				216,147
Total Investments (Cost $26,895,490) — 100.2%				29,712,430
Segregated cash with broker — 0.5% (c)				141,208
Liabilities in excess of other assets — (0.7)%				(196,181	)
NET ASSETS — 100.00%			$	29,657,457

(a)  Non-income producing security.

(b)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(c)  Segregated cash with broker represents collateral for futures contracts.

LLC — Limited Liability Co.

LP — Limited Partnership

PLC — Public Liability Co.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
E-Mini S&P 500 Futures		4	3/21/16	$	407,080	$	(6,986	)

See notes to financial statements.

17

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Common Stocks (93.8%)
Consumer Discretionary (15.0%):
Aaron's, Inc.		334	$	7,478
AMC Entertainment Holdings, Inc.		464		11,136
American Axle & Manufacturing Holdings, Inc. (a)		725		13,732
Asbury Automotive Group, Inc. (a)		183		12,342
Ascena Retail Group, Inc. (a)		894		8,806
Biglari Holdings, Inc. (a)		38		12,381
BJ's Restaurants, Inc. (a)		275		11,954
CalAtlantic Group, Inc.		572		21,691
Caleres, Inc.		392		10,513
Capella Education Co.		253		11,694
Cavco Industries, Inc. (a)		171		14,246
Choice Hotels International, Inc.		366		18,449
Cooper Tire & Rubber Co.		324		12,263
Core-Mark Holding Co., Inc.		202		16,552
CST Brands, Inc.		524		20,509
Dana Holding Corp.		851		11,744
Denny's Corp. (a)		1,051		10,331
DeVry Education Group, Inc.		334		8,454
Dorman Products, Inc. (a)		320		15,190
Drew Industries, Inc.		284		17,294
DSW, Inc.		474		11,310
Entravision Communications Corp.		1,304		10,054
Ethan Allen Interiors, Inc.		392		10,905
Express, Inc. (a)		494		8,536
Fiesta Restaurant Group, Inc. (a)		224		7,526
Five Below, Inc. (a)		289		9,277
Fossil Group, Inc. (a)		198		7,239
FTD Cos., Inc. (a)		437		11,436
Genesco, Inc. (a)		263		14,946
Gentherm, Inc. (a)		245		11,613
Grand Canyon Education, Inc. (a)		442		17,732
Gray Television, Inc. (a)		770		12,551
Group 1 Automotive, Inc.		175		13,248
Guess?, Inc.		484		9,138
Hibbett Sports, Inc. (a)		374		11,310
Iconix Brand Group, Inc. (a)		554		3,784
Installed Building Products, Inc. (a)		371		9,212
Interval Leisure Group, Inc.		850		13,269
iRobot Corp. (a)		454		16,072
Jack in the Box, Inc.		189		14,498
KB Home		643		7,928
Krispy Kreme Doughnuts, Inc. (a)		685		10,323
Lands' End, Inc. (a)		309		7,243
La-Z-Boy, Inc.		604		14,750
Lithia Motors, Inc.		129		13,760
M/I Homes, Inc. (a)		564		12,363
Marriott Vacations Worldwide Corp.		209		11,903
Mattress Firm Holding Corp. (a)		214		9,551

See notes to financial statements.

18

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
MDC Holdings, Inc.		532	$	13,582
Meredith Corp.		318		13,754
Meritage Homes Corp. (a)		279		9,483
Monro Muffler Brake, Inc.		287		19,005
Motorcar Parts of America, Inc. (a)		293		9,906
Movado Group, Inc.		318		8,176
Murphy USA, Inc. (a)		293		17,797
Nexstar Broadcasting Group, Inc.		321		18,842
Nutrisystem, Inc.		312		6,752
Papa John's International, Inc.		229		12,794
Pier 1 Imports, Inc.		824		4,194
Popeyes Louisiana Kitchen, Inc. (a)		245		14,333
Red Robin Gourmet Burgers, Inc. (a)		136		8,397
Regal Entertainment Group		892		16,832
Rent-A-Center, Inc.		376		5,629
Select Comfort Corp. (a)		516		11,048
Sinclair Broadcast Group, Inc.		516		16,791
Smith & Wesson Holding Corp. (a)		526		11,561
Sonic Automotive, Inc.		771		17,548
Sonic Corp.		386		12,472
Standard Motor Products, Inc.		367		13,964
Steven Madden Ltd. (a)		358		10,819
Strayer Education, Inc. (a)		166		9,980
Taylor Morrison Home Corp., Class A (a)		578		9,248
Tenneco, Inc. (a)		328		15,058
Texas Roadhouse, Inc.		456		16,311
The Buckle, Inc.		339		10,434
The Cato Corp., Class A		428		15,759
The Cheesecake Factory, Inc.		332		15,309
The Finish Line, Inc., Class A		410		7,413
The Wendy's Co.		1,647		17,738
Thor Industries, Inc.		342		19,203
Tile Shop Holdings, Inc. (a)		581		9,528
TRI Pointe Group, Inc. (a)		939		11,897
Tumi Holdings, Inc. (a)		588		9,778
Tupperware Brands Corp.		259		14,413
Universal Electronics, Inc. (a)		303		15,559
Vitamin Shoppe, Inc. (a)		368		12,034
WCI Communities, Inc. (a)		523		11,652
William Lyon Homes (a)		448		7,392
Wolverine World Wide, Inc.		557		9,307
Zumiez, Inc. (a)		397		6,003
				1,095,931
Consumer Staples (4.2%):
Cal-Maine Foods, Inc.		164		7,600
Coca-Cola Bottling Co. Consolidated		77		14,054
Ingles Markets, Inc.		164		7,229
Inter Parfums, Inc.		467		11,124
J&J Snack Foods Corp.		128		14,934
John B. Sanfilippo & Son, Inc.		205		11,076

See notes to financial statements.

19

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Lancaster Colony Corp.		226	$	26,093
Nu Skin Enterprises, Inc.		193		7,313
PriceSmart, Inc.		169		14,025
Sanderson Farms, Inc.		187		14,496
Smart & Final Stores, Inc. (a)		681		12,401
Snyder's-Lance, Inc.		589		20,202
SpartanNash Co.		560		12,118
SUPERVALU, Inc. (a)		1,409		9,553
The Andersons, Inc.		307		9,710
The Boston Beer Co., Inc. (a)		62		12,518
The Fresh Market, Inc. (a)		378		8,853
Tootsie Roll Industries, Inc.		554		17,501
United Natural Foods, Inc. (a)		221		8,699
USANA Health Sciences, Inc. (a)		48		6,132
Vector Group Ltd.		990		23,354
WD-40 Co.		204		20,125
Weis Markets, Inc.		370		16,392
				305,502
Energy (0.6%):
Atwood Oceanics, Inc.		448		4,583
Dril-Quip, Inc. (a)		169		10,009
Forum Energy Technologies, Inc. (a)		512		6,380
Hornbeck Offshore Services, Inc. (a)		374		3,718
US Silica Holdings, Inc.		330		6,181
World Fuel Services Corp.		385		14,807
				45,678
Financials (23.1%):
1st Source Corp.		535		16,515
Alexander & Baldwin, Inc.		466		16,455
American Equity Investment Life Holding Co.		556		13,361
American National Insurance Co.		171		17,488
Ameris Bancorp		606		20,598
AMERISAFE, Inc.		353		17,968
Associated Banc-Corp.		923		17,306
Astoria Financial Corp.		1,170		18,545
BancFirst Corp.		291		17,058
BancorpSouth, Inc.		601		14,418
Bank of Hawaii Corp.		334		21,009
Banner Corp.		365		16,739
BBCN Bancorp, Inc.		1,043		17,960
Beneficial Bancorp, Inc. (a)		2,069		27,559
Berkshire Hills Bancorp, Inc.		784		22,823
BNC Bancorp		814		20,659
BofI Holding, Inc. (a)		540		11,367
Boston Private Financial Holdings, Inc.		1,120		12,701
Capital Bank Financial Corp.		556		17,781
Capitol Federal Financial, Inc.		2,258		28,360
Cathay General Bancorp		511		16,010
Chemical Financial Corp.		578		19,808

See notes to financial statements.

20

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Victory CEMP US Small Cap Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Cohen & Steers, Inc.		572	$	17,435
Columbia Banking System, Inc.		546		17,750
Community Bank System, Inc.		531		21,208
CVB Financial Corp.		1,015		17,174
Eagle Bancorp, Inc. (a)		456		23,015
Encore Capital Group, Inc. (a)		401		11,661
EverBank Financial Corp.		1,104		17,642
Evercore Partners, Inc.		304		16,437
FBL Financial Group, Inc., Class A		287		18,265
Financial Engines, Inc.		340		11,448
First Cash Financial Services, Inc. (a)		363		13,587
First Citizens BancShares, Inc.		75		19,363
First Financial Bancorp		867		15,667
First Financial Bankshares, Inc.		484		14,602
First Interstate BancSystem, Inc.		656		19,070
First Merchants Corp.		752		19,116
First Midwest Bancorp, Inc.		989		18,227
FirstMerit Corp.		891		16,617
FNB Corp.		1,371		18,289
Fulton Financial Corp.		1,606		20,894
GAMCO Investors, Inc., Class A		438		13,596
Glacier Bancorp, Inc.		550		14,592
Greenhill & Co., Inc.		428		12,245
Hancock Holding Co.		454		11,427
HFF, Inc.		349		10,843
Hilltop Holdings, Inc. (a)		763		14,665
Home BancShares, Inc.		414		16,775
Horace Mann Educators Corp.		552		18,315
IBERIABANK Corp.		249		13,712
Independent Bank Corp.		381		17,724
Infinity Property & Casualty Corp.		251		20,640
International Bancshares Corp.		550		14,135
Janus Capital Group, Inc.		879		12,385
Kemper Corp.		541		20,152
LegacyTexas Financial Group, Inc.		410		10,258
Main Street Capital Corp.		6		174
Manning & Napier, Inc.		975		8,278
Marcus & Millichap, Inc. (a)		208		6,061
MB Financial, Inc.		470		15,214
MBIA, Inc. (a)		1,049		6,798
National General Holdings Corp.		826		18,056
National Penn Bancshares, Inc.		1,172		14,451
NBT Bancorp, Inc.		683		19,042
Nelnet, Inc.		449		15,073
Northwest Bancshares, Inc.		1,921		25,722
Old National Bancorp		1,204		16,326
Opus Bank		404		14,936
Park National Corp.		221		19,996
Pinnacle Financial Partners, Inc.		308		15,819
PRA Group, Inc. (a)		279		9,679

See notes to financial statements.

21

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Primerica, Inc.		342	$	16,153
PrivateBancorp, Inc.		386		15,834
ProAssurance Corp.		600		29,117
Provident Financial Services, Inc.		1,034		20,835
Renasant Corp.		608		20,921
RLI Corp.		324		20,007
S&T Bancorp, Inc.		560		17,259
Selective Insurance Group, Inc.		615		20,652
ServisFirst Bancshares, Inc.		459		21,816
Simmons First National Corp.		376		19,311
South State Corp.		239		17,196
Talmer Bancorp, Inc.		1,164		21,080
TCF Financial Corp.		1,070		15,108
Texas Capital Bancshares, Inc. (a)		242		11,960
The Navigators Group, Inc. (a)		287		24,621
Towne Bank		939		19,597
Trustmark Corp.		754		17,372
UMB Financial Corp.		301		14,012
Union Bankshares Corp.		692		17,466
United Bankshares, Inc.		452		16,719
United Community Banks, Inc.		844		16,450
Universal Insurance Holdings, Inc.		365		8,461
Valley National Bancorp		2,311		22,764
Virtus Investment Partners, Inc.		92		10,806
Washington Federal, Inc.		823		19,612
WesBanco, Inc.		578		17,352
Westamerica BanCorp		389		18,186
Wintrust Financial Corp.		366		17,758
WisdomTree Investments, Inc.		434		6,805
				1,692,274
Health Care (7.9%):
Abaxis, Inc.		240		13,363
Aceto Corp.		478		12,896
Air Methods Corp. (a)		284		11,908
AMN Healthcare Services, Inc. (a)		314		9,750
Analogic Corp.		209		17,263
Atrion Corp.		44		16,773
Cambrex Corp. (a)		167		7,864
Cantel Medical Corp.		279		17,337
Chemed Corp.		140		20,972
CONMED Corp.		316		13,920
CorVel Corp. (a)		410		18,007
Globus Medical, Inc. (a)		664		18,472
Greatbatch, Inc. (a)		244		12,810
Hanger, Inc. (a)		765		12,584
HealthEquity, Inc. (a)		320		8,022
HealthStream, Inc. (a)		487		10,714
Hill-Rom Holdings, Inc.		422		20,282
ICU Medical, Inc. (a)		110		12,406
Inogen, Inc. (a)		167		6,695

See notes to financial statements.

22

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Insys Therapeutics, Inc. (a)		231	$	6,614
Integra LifeSciences Holdings Corp. (a)		260		17,623
Lannett Co., Inc. (a)		153		6,138
LHC Group, Inc. (a)		202		9,149
Ligand Pharmaceuticals, Inc. (a)		91		9,866
LivaNova PLC (a)		197		11,696
Luminex Corp. (a)		587		12,556
Magellan Health, Inc. (a)		225		13,874
Masimo Corp. (a)		322		13,366
Meridian Bioscience, Inc.		979		20,089
Merit Medical Systems, Inc. (a)		532		9,890
Myriad Genetics, Inc. (a)		269		11,610
Natus Medical, Inc. (a)		336		16,145
Neogen Corp. (a)		215		12,152
Omnicell, Inc. (a)		433		13,457
Owens & Minor, Inc.		633		22,776
PDL BioPharma, Inc.		2,519		8,917
Prestige Brands Holdings, Inc. (a)		303		15,598
Quality Systems, Inc.		815		13,138
Select Medical Holdings Corp.		956		11,386
Sucampo Pharmaceuticals, Inc. (a)		219		3,787
Supernus Pharmaceuticals, Inc. (a)		402		5,403
The Ensign Group, Inc.		610		13,804
The Providence Service Corp. (a)		200		9,384
US Physical Therapy, Inc.		304		16,319
Vascular Solutions, Inc. (a)		301		10,351
				577,126
Industrials (19.6%):
AAON, Inc.		719		16,695
ABM Industries, Inc.		714		20,328
Air Transport Services Group, Inc. (a)		1,552		15,644
Aircastle Ltd.		642		13,411
Alamo Group, Inc.		249		12,973
Altra Industrial Motion Corp.		670		16,804
American Railcar Industries, Inc.		255		11,801
American Woodmark Corp. (a)		164		13,117
Apogee Enterprises, Inc.		197		8,571
Applied Industrial Technologies, Inc.		404		16,358
ArcBest Corp.		376		8,043
Argan, Inc.		271		8,780
Astec Industries, Inc.		388		15,792
Astronics Corp. (a)		201		8,183
Atlas Air Worldwide Holdings, Inc. (a)		280		11,575
AZZ, Inc.		281		15,615
Barnes Group, Inc.		476		16,846
Chart Industries, Inc. (a)		320		5,747
CIRCOR International, Inc.		299		12,603
CLARCOR, Inc.		377		18,729
Comfort Systems USA, Inc.		404		11,482
Deluxe Corp.		269		14,671

See notes to financial statements.

23

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Dycom Industries, Inc. (a)		110	$	7,696
EMCOR Group, Inc.		404		19,407
Encore Wire Corp.		326		12,091
EnerSys		301		16,836
ESCO Technologies, Inc.		520		18,792
Exponent, Inc.		392		19,581
Federal Signal Corp.		999		15,834
Forward Air Corp.		362		15,570
Franklin Electric Co., Inc.		576		15,569
FTI Consulting, Inc. (a)		338		11,715
G&K Services, Inc.		280		17,612
GATX Corp.		318		13,531
Generac Holdings, Inc. (a)		367		10,926
Griffon Corp.		922		16,412
H&E Equipment Services, Inc.		303		5,296
Hawaiian Holdings, Inc. (a)		285		10,069
Heartland Express, Inc.		777		13,225
Herman Miller, Inc.		642		18,425
Hillenbrand, Inc.		577		17,097
HNI Corp.		286		10,313
Hub Group, Inc., Class A (a)		354		11,664
Huron Consulting Group, Inc. (a)		167		9,920
Hyster-Yale Materials Handling, Inc.		250		13,113
ICF International, Inc. (a)		424		15,077
Insperity, Inc.		269		12,952
John Bean Technologies Corp.		377		18,786
Joy Global, Inc.		623		7,856
Kaman Corp.		647		26,405
Kforce, Inc.		412		10,415
Knight Transportation, Inc.		452		10,952
Knoll, Inc.		662		12,446
Korn/Ferry International		488		16,192
Landstar System, Inc.		281		16,480
Lindsay Corp.		198		14,335
Marten Transport Ltd.		641		11,346
Matson, Inc.		379		16,157
Matthews International Corp.		386		20,631
McGrath RentCorp		614		15,467
Meritor, Inc. (a)		893		7,457
Moog, Inc. (a)		295		17,877
MRC Global, Inc. (a)		621		8,011
MSA Safety, Inc.		257		11,172
Mueller Industries, Inc.		598		16,206
Multi-Color Corp.		193		11,543
MYR Group, Inc. (a)		506		10,429
National Presto Industries, Inc.		207		17,152
On Assignment, Inc. (a)		341		15,328
Patrick Industries, Inc. (a)		255		11,093
PGT, Inc. (a)		625		7,119
Primoris Services Corp.		488		10,751

See notes to financial statements.

24

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Proto Labs, Inc. (a)		165	$	10,509
Raven Industries, Inc.		659		10,280
RBC Bearings, Inc. (a)		204		13,176
Resources Connection, Inc.		915		14,951
Rexnord Corp. (a)		797		14,442
Roadrunner Transportation Systems, Inc. (a)		521		4,913
RPX Corp. (a)		960		10,560
Rush Enterprises, Inc., Class A (a)		570		12,477
Saia, Inc. (a)		315		7,009
Simpson Manufacturing Co., Inc.		560		19,124
Standex International Corp.		207		17,212
Steelcase, Inc.		937		13,961
Sun Hydraulics Corp.		532		16,880
Swift Transportation Co. (a)		592		8,181
TAL International Group, Inc.		586		9,317
TASER International, Inc. (a)		314		5,429
Team, Inc. (a)		368		11,761
Tennant Co.		315		17,722
Terex Corp.		394		7,281
Tetra Tech, Inc.		654		17,017
The Greenbrier Cos., Inc.		216		7,046
Thermon Group Holdings, Inc. (a)		685		11,590
Trex Co., Inc. (a)		253		9,624
TriMas Corp. (a)		526		9,810
TrueBlue, Inc. (a)		413		10,639
Tutor Perini Corp. (a)		517		8,655
UniFirst Corp.		178		18,548
Universal Forest Products, Inc.		214		14,631
US Ecology, Inc.		286		10,422
Valmont Industries, Inc.		184		19,507
Wabash National Corp. (a)		1,033		12,220
WageWorks, Inc. (a)		206		9,346
Werner Enterprises, Inc.		549		12,841
Wesco Aircraft Holdings, Inc. (a)		1,090		13,047
WESCO International, Inc. (a)		288		12,580
West Corp.		482		10,397
Woodward, Inc.		336		16,686
				1,433,888
Information Technology (14.6%):
ADTRAN, Inc.		873		15,033
Ambarella, Inc. (a)		95		5,295
Amkor Technology, Inc. (a)		1,343		8,165
Anixter International, Inc. (a)		253		15,279
AVX Corp.		1,144		13,888
Badger Meter, Inc.		270		15,819
Benchmark Electronics, Inc. (a)		846		17,487
Blackbaud, Inc.		271		17,848
Blackhawk Network Holdings, Inc. (a)		283		12,511
Cabot Microelectronics Corp. (a)		398		17,424
CACI International, Inc., Class A (a)		267		24,772

See notes to financial statements.

25

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
CalAmp Corp. (a)		561	$	11,181
Cardtronics, Inc. (a)		420		14,133
Cirrus Logic, Inc. (a)		314		9,272
Coherent, Inc. (a)		241		15,692
Constant Contact, Inc. (a)		337		9,854
Convergys Corp.		757		18,842
CSG Systems International, Inc.		562		20,221
CTS Corp.		974		17,181
Diodes, Inc. (a)		647		14,868
Ebix, Inc.		304		9,968
Electronics For Imaging, Inc. (a)		384		17,948
Ellie Mae, Inc. (a)		127		7,649
Envestnet, Inc. (a)		191		5,701
ePlus, Inc. (a)		142		13,243
ExlService Holdings, Inc. (a)		432		19,410
Fair Isaac Corp.		177		16,670
FARO Technologies, Inc. (a)		223		6,583
GrubHub, Inc. (a)		386		9,341
II-VI, Inc. (a)		722		13,400
Infinera Corp. (a)		412		7,465
Insight Enterprises, Inc. (a)		545		13,690
Integrated Device Technology, Inc. (a)		481		12,674
InterDigital, Inc.		313		15,350
Littelfuse, Inc.		172		18,406
LogMeIn, Inc. (a)		186		12,481
ManTech International Corp.		642		19,414
Methode Electronics, Inc.		247		7,862
MKS Instruments, Inc.		544		19,585
Monolithic Power Systems, Inc.		296		18,858
Monotype Imaging Holdings, Inc.		574		13,569
MTS Systems Corp.		289		18,325
NeuStar, Inc. (a)		387		9,276
Newport Corp. (a)		960		15,235
NIC, Inc.		639		12,576
OmniVision Technologies, Inc. (a)		674		19,559
OSI Systems, Inc. (a)		247		21,900
Pegasystems, Inc.		468		12,870
Perficient, Inc. (a)		692		11,847
Photronics, Inc. (a)		1,602		19,946
Plantronics, Inc.		307		14,558
Plexus Corp. (a)		423		14,771
Polycom, Inc. (a)		1,343		16,908
Power Integrations, Inc.		347		16,875
QLogic Corp. (a)		779		9,504
Qualys, Inc. (a)		185		6,122
Rambus, Inc. (a)		909		10,535
Rofin-Sinar Technologies, Inc. (a)		518		13,872
Rogers Corp. (a)		250		12,893
Sanmina Corp. (a)		554		11,401
ScanSource, Inc. (a)		348		11,213

See notes to financial statements.

26

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Science Applications International Corp.		324	$	14,833
Shutterstock, Inc. (a)		197		6,371
Silicon Laboratories, Inc. (a)		288		13,980
SPS Commerce, Inc. (a)		217		15,236
Super Micro Computer, Inc. (a)		346		8,480
Sykes Enterprises, Inc. (a)		656		20,192
Synaptics, Inc. (a)		155		12,453
Synchronoss Technologies, Inc. (a)		253		8,913
Tech Data Corp. (a)		176		11,683
TeleTech Holdings, Inc.		574		16,020
Tessera Technologies, Inc.		342		10,263
TiVo, Inc. (a)		1,876		16,190
VASCO Data Security International, Inc. (a)		383		6,408
Virtusa Corp. (a)		303		12,526
Vishay Intertechnology, Inc.		1,729		20,835
WebMD Health Corp. (a)		364		17,580
				1,066,181
Materials (4.2%):
Balchem Corp.		207		12,586
Boise Cascade Co. (a)		373		9,523
Calgon Carbon Corp.		881		15,197
Chemtura Corp. (a)		485		13,226
Commercial Metals Co.		787		10,774
Deltic Timber Corp.		328		19,309
Ferro Corp. (a)		1,020		11,342
Ferroglobe PLC		721		7,751
Greif, Inc., Class A		331		10,198
H.B. Fuller Co.		516		18,819
Innophos Holdings, Inc.		338		9,795
Innospec, Inc.		346		18,791
KapStone Paper and Packaging Corp.		649		14,661
Materion Corp.		382		10,696
Minerals Technologies, Inc.		216		9,906
Neenah Paper, Inc.		305		19,041
Olin Corp.		592		10,218
P.H. Glatfelter Co.		977		18,016
Quaker Chemical Corp.		160		12,362
Schweitzer-Mauduit International, Inc.		461		19,357
Sensient Technologies Corp.		286		17,967
Stepan Co.		289		14,360
				303,895
Telecommunication Services (0.6%):
Inteliquent, Inc.		402		7,144
Iridium Communications, Inc. (a)		1,700		14,297
Shenandoah Telecommunications Co.		249		10,719
Vonage Holdings Corp. (a)		1,727		9,913
				42,073

See notes to financial statements.

27

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Utilities (4.1%):
ALLETE, Inc.		392	$	19,925
American States Water Co.		425		17,829
Avista Corp.		612		21,646
California Water Service Group		707		16,452
Chesapeake Utilities Corp.		270		15,323
El Paso Electric Co.		522		20,097
IDACORP, Inc.		315		21,420
MGE Energy, Inc.		440		20,416
NorthWestern Corp.		390		21,158
ONE Gas, Inc.		434		21,773
Ormat Technologies, Inc.		372		13,567
Otter Tail Corp.		634		16,883
PNM Resources, Inc.		654		19,993
SJW Corp.		506		15,003
Southwest Gas Corp.		352		19,416
The Empire District Electric Co.		785		22,035
				302,936
Total Common Stocks (Cost $6,581,885)				6,865,484
Cash Equivalents (6.3%)
Citibank Money Market Deposit Account, 0.02% (b)		458,059		458,059
Total Cash Equivalents (Cost $458,059)				458,059
Total Investments (Cost $7,039,944) — 100.0%				7,323,543
Segregated cash with broker — 1.0% (c)				74,577
Liabilities in excess of other assets — (1.0)%				(74,272	)
NET ASSETS — 100.00%			$	7,323,848

(a)  Non-income producing security.

(b)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(c)  Segregated cash with broker represents collateral for futures contracts.

PLC — Public Liability Co.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
Russell 2000 Mini Index Futures		5	3/21/16	$	565,750	$	(1,609	)

See notes to financial statements.

28

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Common Stocks (92.8%)
Australia (4.2%):
Consumer Staples (0.5%):
Wesfarmers Ltd.		884	$	26,644
Woolworths Ltd.		914		16,212
				42,856
Energy (0.3%):
Oil Search Ltd.		2,158		10,501
Woodside Petroleum Ltd.		737		15,350
				25,851
Financials (1.9%):
AMP Ltd.		4,211		17,738
Australia & New Zealand Banking Group Ltd.		954		19,246
Commonwealth Bank of Australia		390		24,105
Insurance Australia Group Ltd.		4,890		19,633
Macquarie Group Ltd.		320		19,138
National Australia Bank Ltd.		965		21,053
QBE Insurance Group Ltd.		1,695		15,412
Suncorp Group Ltd.		2,517		22,093
Westpac Banking Corp.		855		20,720
				179,138
Health Care (0.5%):
CSL Ltd.		300		22,866
Ramsay Health Care Ltd.		426		20,941
				43,807
Industrials (0.4%):
Aurizon Holdings Ltd.		5,164		16,389
Brambles Ltd.		2,910		24,364
				40,753
Materials (0.3%):
Amcor Ltd.		1,977		19,202
Newcrest Mining Ltd. (b)		1,314		12,430
				31,632
Telecommunication Services (0.3%):
Telstra Corp. Ltd.		6,435		26,143
				390,180
Austria (0.1%):
Materials (0.1%):
Voestalpine AG		345		10,551
Belgium (2.0%):
Consumer Discretionary (0.2%):
Telenet Group Holding NV (b)		343		18,535

See notes to financial statements.

29

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Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Consumer Staples (0.5%):
Anheuser-Busch InBev NV		152	$	18,913
Colruyt SA		478		24,587
				43,500
Financials (0.7%):
Ageas		591		27,427
Groupe Bruxelles Lambert SA		309		26,436
KBC Groep NV		255		15,942
				69,805
Health Care (0.2%):
UCB SA		207		18,682
Materials (0.2%):
Solvay SA		155		16,541
Telecommunication Services (0.2%):
Proximus SADP		514		16,724
				183,787
Bermuda (0.4%):
Financials (0.2%):
Hongkong Land Holdings Ltd.		2,500		17,457
Industrials (0.2%):
Jardine Matheson Holdings Ltd.		400		19,371
				36,828
Canada (8.7%):
Consumer Discretionary (1.0%):
Canadian Tire Corp. Ltd.		221		18,875
Dollarama, Inc.		360		20,801
Gildan Activewear, Inc.		609		17,317
Magna International, Inc.		323		13,102
Shaw Communications, Inc., Class B		1,504		25,873
				95,968
Consumer Staples (1.3%):
Alimentation Couche-Tard, Inc., Class B		325		14,309
Empire Co. Ltd.		1,037		19,293
George Weston Ltd.		281		21,721
Loblaw Cos. Ltd.		488		23,047
Metro, Inc.		867		24,277
Saputo, Inc.		892		21,341
				123,988
Energy (0.7%):
Imperial Oil Ltd.		499		16,260
Inter Pipeline Ltd.		732		11,751
Pembina Pipeline Corp.		581		12,662
TransCanada Corp.		629		20,545
				61,218

See notes to financial statements.

30

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (3.3%):
Bank of Montreal		490	$	27,654
Brookfield Asset Management, Inc.		659		20,792
Canadian Imperial Bank of Commerce		348		22,937
Great-West Lifeco, Inc.		992		24,759
Intact Financial Corp.		398		25,511
Manulife Financial Corp.		1,328		19,908
National Bank of Canada		646		18,822
Power Corp. of Canada		1,021		21,357
Power Financial Corp.		973		22,372
Royal Bank of Canada		500		26,798
Sun Life Financial, Inc.		596		18,589
The Bank of Nova Scotia		574		23,221
The Toronto-Dominion Bank		680		26,659
				299,379
Industrials (0.4%):
Canadian National Railway Co.		380		21,245
Canadian Pacific Railway Ltd.		114		14,563
				35,808
Information Technology (0.4%):
CGI Group, Inc. (b)		464		18,580
Constellation Software, Inc.		35		14,594
				33,174
Materials (0.4%):
Agrium, Inc.		170		15,196
Franco-Nevada Corp.		269		12,308
Potash Corp. of Saskatchewan, Inc.		808		13,841
				41,345
Telecommunication Services (0.8%):
BCE, Inc.		654		25,271
Rogers Communications, Inc.		714		24,627
TELUS Corp.		809		22,373
				72,271
Utilities (0.4%):
Canadian Utilities Ltd., Class A		719		16,599
Fortis, Inc.		759		20,524
				37,123
				800,274
Denmark (1.7%):
Consumer Discretionary (0.2%):
Pandora A/S		103		12,989
Health Care (0.4%):
Coloplast A/S		239		19,300
Novo Nordisk A/S, Class B		269		15,577
				34,877

See notes to financial statements.

31

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Industrials (0.7%):
A.P. Moeller-Maersk A/S, Class B		9	$	11,741
DSV A/S		543		21,378
ISS A/S		508		18,315
Vestas Wind Systems A/S		215		15,018
				66,452
Materials (0.4%):
Christian Hansen Holding A/S		339		21,208
Novozymes A/S, B Shares		337		16,138
				37,346
				151,664
Finland (1.1%):
Financials (0.2%):
Sampo Oyj, Class A		402		20,411
Industrials (0.4%):
Kone Oyj, Class B		374		15,833
Wartsila Oyj ABP		412		18,809
				34,642
Information Technology (0.1%):
Nokia Oyj		1,845		13,051
Materials (0.2%):
UPM-Kymmene Oyj		823		15,277
Utilities (0.2%):
Fortum Oyj		976		14,703
				98,084
France (8.6%):
Consumer Discretionary (2.4%):
Accor SA		322		13,944
Christian Dior SE		86		14,606
Compagnie Generale DES Etablissements Michelin		178		16,940
Eutelsat Communications SA		691		20,686
Hermes International		44		14,871
JCDecaux SA		509		19,510
Kering		95		16,240
LVMH Moet Hennessy Louis Vuitton SA		81		12,721
Publicis Groupe SA		256		17,021
Renault SA		136		13,611
Sodexo SA		275		26,863
Valeo SA		96		14,799
Vivendi Universal SA		798		17,136
				218,948
Consumer Staples (0.9%):
Carrefour SA		531		15,322
Casino Guichard Perrachon SA		284		13,046
Danone SA		339		22,904

See notes to financial statements.

32

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
L'Oreal SA		104	$	17,491
Pernod Ricard SA		165		18,815
				87,578
Financials (0.9%):
AXA SA		609		16,638
BNP Paribas SA		230		13,011
CNP Assurances		1,284		17,318
Credit Agricole SA		995		11,724
Natixis SA		2,254		12,749
Societe Generale SA		288		13,270
				84,710
Health Care (0.3%):
Essilor International SA		130		16,201
Sanofi		162		13,804
				30,005
Industrials (2.3%):
Aeroports de Paris		181		21,060
Airbus Group SE		210		14,149
Bollore SA		2,715		12,649
Bureau Veritas SA		875		17,438
Compagnie de Saint-Gobain		330		14,299
Eiffage SA		218		14,087
Groupe Eurotunnel SE		1,437		17,875
Legrand SA		297		16,798
Schneider Electric SA		265		15,051
Societe BIC SA		107		17,605
Thales SA		259		19,384
Vinci SA		260		16,662
Zodiac Aerospace		465		11,070
				208,127
Information Technology (0.8%):
Atos SE		222		18,635
Cap Gemini SA		172		15,957
Dassault Systemes SA		252		20,140
Ingenico Group		116		14,639
				69,371
Materials (0.2%):
Air Liquide SA		148		16,613
Telecommunication Services (0.3%):
Iliad SA		62		14,777
Orange SA		828		13,847
				28,624

See notes to financial statements.

33

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.5%):
Electricite de France SA		893	$	13,150
Suez Environnement Co.		697		13,034
Veolia Environnement SA		736		17,460
				43,644
				787,620
Germany (5.5%):
Consumer Discretionary (1.3%):
Bayerische Motoren Werke AG		148		15,590
Continental AG		62		14,996
Daimler AG, Registered Shares		181		15,121
Hugo Boss AG		151		12,457
Kabel Deutschland Holding AG		181		22,362
ProSiebenSat.1 Media SE		308		15,537
Volkswagen AG		74		11,370
Zalando SE (b)		329		12,992
				120,425
Consumer Staples (0.2%):
Beiersdorf AG		230		20,902
Financials (1.3%):
Allianz SE		119		20,974
Deutsche Boerse AG		203		17,842
Hannover Rueck SE		186		21,236
Muenchener Rueckversicherungs-Gesellschaft AG		127		25,300
Talanx AG		647		19,896
Vonovia SE		438		13,529
				118,777
Health Care (0.7%):
Bayer AG		108		13,486
Fresenius Medical Care AG & Co. KGaA		221		18,569
Fresenius SE & Co. KGaA		225		16,025
Merck KGaA		177		17,135
				65,215
Industrials (0.6%):
Brenntag AG		317		16,516
Deutsche Post AG		645		18,030
Siemens AG		196		18,960
				53,506
Information Technology (0.6%):
Infineon Technologies AG		1,347		19,635
SAP SE		286		22,692
United Internet AG		291		15,997
				58,324
Materials (0.8%):
BASF SE		201		15,310
Evonik Industries AG		466		15,412

See notes to financial statements.

34

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
K+S AG		237	$	6,040
Linde AG		111		16,033
Symrise AG		285		18,864
				71,659
				508,808
Hong Kong (4.8%):
Consumer Discretionary (0.5%):
Chow Tai Fook Jewellery Group Ltd.		14,800		9,539
Galaxy Entertainment Group Ltd.		3,000		9,400
Michael Kors Holdings Ltd. (b)		212		8,493
Techtronic Industries Co. Ltd.		3,500		14,169
				41,601
Consumer Staples (0.1%):
WH Group Ltd. (b)		20,500		11,410
Financials (1.9%):
BOC Hong Kong Holdings Ltd.		4,500		13,694
China Overseas Land & Investment Ltd.		4,000		13,926
China Taiping Insurance Holdings Co. Ltd. (b)		2,400		7,367
Goldin Financial Holdings Ltd. (b)		2,000		3,916
Hong Kong Exchanges and Clearing Ltd.		371		9,451
New World Development Co. Ltd.		18,000		17,675
Sino Land Co. Ltd.		10,000		14,568
Swire Pacific Ltd., Class A		2,000		22,341
Swire Properties Ltd.		6,200		17,828
The Bank of East Asia Ltd.		6,200		23,000
The Wharf Holdings Ltd.		3,000		16,541
Wheelock & Co. Ltd.		3,000		12,589
				172,896
Industrials (0.9%):
Beijing Enterprises Holdings Ltd.		2,500		15,071
Cathay Pacific Airways Ltd.		8,000		13,766
CITIC Ltd.		8,000		14,106
Jardine Strategic Holdings Ltd.		700		19,080
MTR Corp. Ltd.		5,000		24,690
				86,713
Information Technology (0.0%): (c)
Hanergy Thin Film Power Group Ltd. (b) (d)		22,000		483
Telecommunication Services (0.2%):
China Mobile Ltd.		1,000		11,257
China Unicom Hong Kong Ltd.		8,000		9,664
				20,921
Utilities (1.2%):
China Gas Holdings Ltd.		6,000		8,621
China Resources Power Holdings Co. Ltd.		4,000		7,739
CLP Holdings Ltd.		4,000		33,905
Guangdong Investment Ltd.		8,000		11,298

See notes to financial statements.

35

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Hong Kong & China Gas Co. Ltd.		15,930	$	31,177
Power Assets Holdings Ltd.		2,000		18,336
				111,076
				445,100
Ireland (2.2%):
Consumer Discretionary (0.2%):
WPP PLC		960		22,079
Consumer Staples (0.3%):
Kerry Group PLC		288		24,039
Financials (0.4%):
Bank of Ireland (b)		29,604		10,926
XL Group PLC		729		28,562
				39,488
Health Care (0.3%):
Jazz Pharmaceuticals PLC (b)		89		12,510
Shire PLC		204		13,994
				26,504
Industrials (0.4%):
DCC PLC		236		19,713
Experian PLC		1,170		20,676
				40,389
Information Technology (0.3%):
Accenture PLC, Class A		216		22,572
Materials (0.3%):
CRH PLC		432		12,505
Smurfit Kappa Group PLC		424		10,911
				23,416
				198,487
Israel (0.5%):
Health Care (0.2%):
Teva Pharmaceutical Industries Ltd.		250		16,314
Information Technology (0.2%):
Check Point Software Technologies Ltd. (b)		249		20,264
Materials (0.1%):
Israel Chemicals Ltd.		3,205		13,013
				49,591
Italy (1.8%):
Consumer Discretionary (0.3%):
Luxottica Group SpA		214		13,944
Prada SpA		4,052		12,572
				26,516

See notes to financial statements.

36

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (0.7%):
Assicurazioni Generali SpA		888	$	16,219
EXOR SpA		335		15,202
Intesa Sanpaolo SpA		3,352		11,130
Mediobanca SpA		1,294		12,403
UniCredit SpA		1,795		9,923
				64,877
Industrials (0.3%):
Atlantia SpA		612		16,190
Finmeccanica SpA (b)		920		12,790
				28,980
Utilities (0.5%):
Snam SpA		3,526		18,400
Terna Rete Elettrica Nazionale SpA		4,264		21,926
				40,326
				160,699
Japan (18.6%):
Consumer Discretionary (3.4%):
Aisin Seiki Co. Ltd.		390		16,787
Bridgestone Corp.		487		16,707
Denso Corp.		361		17,253
Dentsu, Inc.		200		10,944
Fuji Heavy Industries Ltd.		363		14,956
Honda Motor Co. Ltd.		502		16,047
Isuzu Motors Ltd.		1,259		13,565
Mazda Motor Corp.		900		18,574
Mitsubishi Motors Corp.		1,900		16,077
Nissan Motor Co. Ltd.		1,643		17,206
Nitori Holdings Co. Ltd.		100		8,399
Oriental Land Co. Ltd.		260		15,731
Panasonic Corp.		1,400		14,194
Rakuten, Inc.		900		10,367
Sekisui House Ltd.		1,149		19,321
Shimano, Inc.		153		23,497
Sumitomo Electric Industries Ltd.		1,104		15,591
Suzuki Motor Corp.		371		11,274
Toyota Industries Corp.		305		16,311
Toyota Motor Corp.		361		22,233
				315,034
Consumer Staples (1.8%):
Aeon Co. Ltd.		1,000		15,409
Asahi Group Holdings Ltd.		600		18,785
Japan Tobacco, Inc.		435		15,972
Kao Corp.		362		18,605
Kirin Holdings Co. Ltd.		1,200		16,295
MEIJI Holdings Co. Ltd.		100		8,261
Seven & i Holdings Co. Ltd.		426		19,507

See notes to financial statements.

37

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Shiseido Co. Ltd.		500	$	10,376
Suntory Beverage & Food Ltd.		400		17,513
Uni-Charm Corp.		800		16,339
Yakult Honsha Co. Ltd.		217		10,622
				167,684
Financials (2.9%):
Daito Trust Construction Co. Ltd.		178		20,563
Daiwa House Industry Co. Ltd.		600		17,250
Daiwa Securities Group, Inc.		2,000		12,229
Japan Exchange Group, Inc.		800		12,507
Mitsubishi UFJ Financial Group, Inc.		2,197		13,610
Mitsui Fudosan Co. Ltd.		571		14,333
Mizuho Financial Group, Inc.		8,045		16,092
Nomura Holdings, Inc.		2,750		15,319
ORIX Corp.		969		13,595
Resona Holdings, Inc.		3,190		15,493
Sompo Japan Nipponkoa Holdings, Inc.		400		13,135
Sony Financial Holdings, Inc.		800		14,312
Sumitomo Mitsui Financial Group, Inc.		339		12,796
Sumitomo Mitsui Trust Holdings, Inc.		4,024		15,242
Sumitomo Realty & Development		417		11,904
T&D Holdings, Inc.		900		11,876
The Bank of Yokohama Ltd.		2,000		12,261
The Dai-ichi Life Insurance Co. Ltd.		700		11,648
Tokio Marine Holdings, Inc.		300		11,589
				265,754
Health Care (1.5%):
Astellas Pharma, Inc.		1,200		17,085
Chugai Pharmaceutical Co. Ltd.		371		12,933
Daiichi Sankyo Co. Ltd.		800		16,514
Eisai Co. Ltd.		96		6,351
Hoya Corp.		361		14,764
Kyowa Hakko Kirin Co. Ltd.		1,000		15,737
M3, Inc.		600		12,442
Otsuka Holdings Co. Ltd.		459		16,310
Sysmex Corp.		200		12,830
Terumo Corp.		500		15,499
				140,465
Industrials (4.4%):
Asahi Glass Co. Ltd.		2,000		11,459
Central Japan Railway Co.		114		20,241
Daikin Industries Ltd.		300		21,849
FANUC Corp.		97		16,714
Hankyu Hanshin Holdings, Inc.		3,000		19,502
ITOCHU Corp.		1,185		14,019
Japan Airlines Co. Ltd.		400		14,319
Komatsu Ltd.		970		15,874
Kubota Corp.		558		8,621

See notes to financial statements.

38

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Makita Corp.		200	$	11,527
Mitsubishi Corp.		940		15,637
Mitsubishi Electric Corp.		1,679		17,626
Mitsubishi Heavy Industries Ltd.		3,000		13,119
Mitsui & Co. Ltd.		1,473		17,505
NGK Insulators Ltd.		1,000		22,543
Nidec Corp.		200		14,505
Recruit Holdings Co. Ltd.		500		14,699
Secom Co. Ltd.		300		20,334
Seibu Holdings, Inc.		600		12,255
Shimizu Corp.		2,000		16,311
SMC Corp.		98		25,457
TAISEI Corp.		3,000		19,763
Tokyu Corp.		1,664		13,151
Toshiba Corp.		4,000		8,222
Toyota Tsusho Corp.		609		14,248
				399,500
Information Technology (2.6%):
Canon, Inc.		683		20,663
FUJIFILM Holdings Corp.		476		19,867
Hitachi Ltd.		2,739		15,522
Keyence Corp.		72		39,577
Kyocera Corp.		330		15,327
Murata Manufacturing Co. Ltd.		100		14,390
Nomura Research Institute Ltd.		390		14,979
NTT Data Corp.		300		14,506
Omron Corp.		400		13,341
Renesas Electronics Corp. (b)		2,000		12,561
Ricoh Co. Ltd.		1,600		16,477
TDK Corp.		200		12,810
Tokyo Electron Ltd.		200		12,119
Yahoo Japan Corp.		3,200		13,009
				235,148
Materials (1.1%):
Asahi Kasei Corp.		2,390		16,163
JFE Holdings, Inc.		800		12,563
Nippon Steel & Sumitomo Metal		700		13,849
Nitto Denko Corp.		171		12,486
Shin-Etsu Chemical Co. Ltd.		294		15,986
Sumitomo Chemical Co. Ltd.		2,000		11,488
Toray Industries, Inc.		1,842		17,119
				99,654
Telecommunication Services (0.7%):
KDDI Corp.		642		16,675
Nippon Telegraph & Telephone Corp.		398		15,842
NTT DOCOMO, Inc.		800		16,411
SoftBank Group Corp.		379		19,131
				68,059

See notes to financial statements.

39

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.2%):
Osaka Gas Co. Ltd.		5,000	$	18,062
				1,709,360
Netherlands (2.5%):
Consumer Discretionary (0.4%):
RELX NV		1,256		21,151
Wolters Kluwer NV		549		18,435
				39,586
Consumer Staples (0.4%):
Heineken NV		238		20,279
Koninklijke Ahold NV		827		17,442
				37,721
Financials (0.4%):
Aegon NV		2,453		13,871
NN Group NV		721		25,435
				39,306
Industrials (0.7%):
AerCap Holdings NV (b)		412		17,782
Boskalis Westminster		282		11,502
Randstad Holding NV		236		14,694
Sensata Technologies Holding NV (b)		410		18,884
				62,862
Information Technology (0.3%):
ASML Holding NV		138		12,260
Gemalto NV		219		13,139
				25,399
Materials (0.3%):
AKZO Nobel NV		250		16,702
OCI NV		335		8,271
				24,973
				229,847
Norway (0.8%):
Financials (0.4%):
DNB ASA		1,212		14,938
Gjensidige Forsikring ASA		1,488		23,824
				38,762
Materials (0.2%):
Yara International ASA		363		15,618
Telecommunication Services (0.2%):
Telenor ASA		906		15,107
				69,487
Portugal (0.3%):
Consumer Staples (0.1%):
Jeronimo Martins SGPS SA		838		10,903

See notes to financial statements.

40

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.2%):
EDP — Energias de Portugal SA		4,659	$	16,786
				27,689
Singapore (2.8%):
Consumer Discretionary (0.2%):
Jardine Cycle & Carriage Ltd.		923		22,575
Consumer Staples (0.3%):
Wilmar International Ltd.		12,822		26,467
Financials (1.2%):
CapitaLand Ltd.		9,576		22,518
DBS Group Holdings Ltd.		1,916		22,464
Global Logistic Properties Ltd.		11,799		17,826
Oversea-Chinese Banking Corp. Ltd.		4,269		26,404
United Overseas Bank Ltd.		1,753		24,178
				113,390
Industrials (0.7%):
Keppel Corp. Ltd.		4,038		18,454
Singapore Airlines Ltd.		2,800		22,072
Singapore Technologies Engineering Ltd.		9,541		20,177
				60,703
Information Technology (0.1%):
Avago Technologies Ltd.		88		12,773
Telecommunication Services (0.3%):
Singapore Telecommunications Ltd.		8,809		22,722
				258,630
Spain (3.2%):
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		491		16,866
Financials (0.9%):
Banco Bilbao Vizcaya Argentaria SA		1,824		13,326
Banco de Sabadell SA		6,750		11,961
Banco Popular Espanol SA		3,230		10,641
Banco Santander SA		2,149		10,570
Bankia SA		12,399		14,427
CaixaBank SA		3,687		12,831
Mapfre SA		5,976		14,957
				88,713
Health Care (0.2%):
Grifols SA		416		19,226
Industrials (0.4%):
ACS Actividades de Construccion y Servicios SA		502		14,685
Ferrovial SA		848		19,174
				33,859

See notes to financial statements.

41

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Information Technology (0.2%):
Amadeus IT Holding SA		441	$	19,434
Telecommunication Services (0.2%):
Telefonica SA		1,419		15,740
Utilities (1.1%):
Enagas SA		722		20,364
Endesa SA		944		18,962
Gas Natural SDG SA		999		20,369
Iberdrola SA		3,184		22,568
Red Electrica Corp. SA		251		20,963
				103,226
				297,064
Sweden (3.0%):
Consumer Discretionary (0.3%):
Electrolux AB		422		10,189
Hennes & Mauritz AB		521		18,545
				28,734
Consumer Staples (0.4%):
ICA Gruppen AB		567		20,606
Svenska Cellulosa AB SCA, B Shares		564		16,356
				36,962
Financials (0.7%):
Nordea Bank AB		1,373		15,075
Skandinaviska Enskilda Banken AB, Class A		1,623		17,080
Svenska Handelsbanken AB		1,203		15,989
Swedbank AB, A Shares		858		18,909
				67,053
Industrials (1.0%):
ALFA Laval AB		899		16,424
ASSA Abloy AB		867		18,161
Atlas Copco AB, A Shares		546		13,400
Sandvik AB		1,405		12,256
Skanska AB, Clas B		861		16,709
SKF AB, B Shares		704		11,378
				88,328
Information Technology (0.4%):
Hexagon AB, B Shares		459		16,991
Telefonaktiebolaget LM Ericsson, B Shares		1,562		15,070
				32,061
Telecommunication Services (0.2%):
TeliaSonera AB		3,756		18,665
				271,803

See notes to financial statements.

42

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Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Switzerland (6.8%):
Consumer Discretionary (0.3%):
CIE Financiere Richemont SA		176	$	12,600
The Swatch Group AG		32		11,116
				23,716
Consumer Staples (1.2%):
Chocoladefabriken Lindt & Spruengli AG, Registered Shares		1		74,603
Coca-Cola HBC AG		676		14,394
Nestle SA, Registered Shares		284		21,089
				110,086
Financials (1.6%):
ACE Ltd.		258		30,147
Credit Suisse Group AG, Registered Shares		649		13,985
Julius Baer Group Ltd.		253	��	12,243
Partners Group Holding AG		37		13,310
Swiss Life Holding AG		78		21,016
Swiss Re AG		274		26,769
UBS Group AG, Registered Shares		710		13,778
Zurich Insurance Group AG		71		18,245
				149,493
Health Care (1.0%):
Actelion Ltd.		93		12,926
Galenica AG		13		20,345
Lonza Group AG, Registered Shares		89		14,479
Novartis AG		169		14,541
Roche Holding AG		62		17,186
Sonova Holding AG, Registered Shares		116		14,743
				94,220
Industrials (1.2%):
ABB Ltd.		937		16,728
Adecco SA, Registered Shares		196		13,419
Geberit AG		51		17,279
Kuehne + Nagel International AG		162		22,200
Schindler Holding AG		124		20,751
SGS SA		10		19,011
				109,388
Information Technology (0.3%):
TE Connectivity Ltd.		352		22,743
Materials (1.0%):
Clariant AG		785		14,889
EMS-Chemie Holding AG		34		14,968
Givaudan SA, Registered shares		10		18,155
LafargeHolcim Ltd.		259		12,973
Sika AG		5		18,074
Syngenta AG		29		11,354
				90,413

See notes to financial statements.

43

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Telecommunication Services (0.2%):
Swisscom AG		41	$	20,523
				620,582
United Kingdom (12.5%):
Consumer Discretionary (3.1%):
Barratt Developments PLC		1,576		14,520
Berkeley Group Holdings PLC		269		14,622
Burberry Group PLC		816		14,355
Compass Group PLC		1,411		24,447
Delphi Automotive PLC		223		19,118
InterContinental Hotels Group PLC		498		19,408
ITV PLC		4,716		19,198
Kingfisher PLC		3,238		15,681
Marks & Spencer Group PLC		2,413		16,064
Next PLC		199		21,364
Persimmon PLC (b)		491		14,646
RELX PLC		1,339		23,611
Sky PLC		1,321		21,652
Sports Direct International PLC (b)		1,454		12,354
Taylor Wimpey PLC		5,158		15,417
Whitbread PLC		326		21,127
				287,584
Consumer Staples (1.6%):
Associated British Foods PLC		363		17,860
British American Tobacco PLC		383		21,267
Diageo PLC		748		20,423
Imperial Tobacco Group PLC		369		19,487
Reckitt Benckiser Group PLC		250		23,128
SABMiller PLC		377		22,550
Unilever PLC		528		22,644
				147,359
Financials (2.8%):
Aon PLC		259		23,882
Aviva PLC		2,453		18,617
Direct Line Insurance Group PLC		4,819		28,882
Hargreaves Lansdown PLC		746		16,559
HSBC Holdings PLC		2,456		19,386
Legal & General Group PLC		5,709		22,524
London Stock Exchange Group PLC		436		17,637
Old Mutual PLC		5,412		14,235
Prudential PLC		848		19,102
RSA Insurance Group PLC		1,859		11,666
Schroders PLC		385		16,860
St James's Place PLC		1,110		16,450
Standard Chartered PLC		1,238		10,271
Standard Life PLC		2,854		16,341
				252,412

See notes to financial statements.

44

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Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Health Care (0.4%):
GlaxoSmithKline PLC		1,007	$	20,334
Smith & Nephew PLC		1,007		17,944
				38,278
Industrials (2.3%):
Ashtead Group PLC		986		16,225
Babcock International Group PLC		1,172		17,537
BAE Systems PLC		3,282		24,160
Bunzl PLC		932		25,854
Capita PLC		1,086		19,320
CNH Industrial NV		1,895		12,962
easyJet PLC		518		13,283
G4S PLC		5,999		19,925
Intertek Group PLC		382		15,624
Royal Mail PLC		2,274		14,892
Smiths Group PLC		995		13,758
Travis Perkins PLC		644		18,680
				212,220
Information Technology (0.4%):
ARM Holdings PLC		964		14,691
The Sage Group PLC		2,371		21,064
				35,755
Materials (0.3%):
Johnson Matthey PLC		428		16,740
Rio Tinto PLC		392		11,412
				28,152
Telecommunication Services (0.7%):
BT Group PLC		2,953		20,501
Inmarsat PLC		1,258		21,087
Vodafone Group PLC		5,287		17,142
				58,730
Utilities (0.9%):
National Grid PLC		1,735		23,925
Severn Trent PLC		690		22,054
SSE PLC		874		19,622
United Utilities Group PLC		1,487		20,472
				86,073
				1,146,563
United States (0.7%):
Consumer Discretionary (0.5%):
Autoliv, Inc.		179		22,334
Fiat DaimlerChrysler Automobiles NV (b)		883		12,353
lululemon athletica, Inc. (b)		224		11,753
				46,440

See notes to financial statements.

45

Victory Portfolios II
Victory CEMP International Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Health Care (0.2%):
QIAGEN NV (b)		724	$	20,019
				66,459
Total Common Stocks (Cost $8,606,614)				8,519,157
Total Investments (Cost $8,606,614) — 92.8%				8,519,157
Segregated cash with broker — 0.7% (e)				68,499
Other assets in excess of liabilities — 6.5%				591,954
NET ASSETS — 100.00%			$	9,179,610

(a)  All securities, except those traded on exchanges in the United States (including ADRs), Brazil, Canada, Cayman Islands, Columbia, and Mexico were fair valued at December 31, 2015.

(b)  Non-income producing security.

(c)  Amount represents less than 0.05% of net assets.

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. At December 31, 2015, illiquid securities were less than 0.005% of the Fund's net assets.

(e)  Segregated cash with broker represents collateral for futures contracts.

PLC — Public Liability Co.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
Mini MSCI EAFE Index Futures		9	3/21/16	$	764,190	$	(9,321	)

See notes to financial statements.

46

Victory Portfolios II
Victory CEMP Emerging Market Volatility Wtd Index Fund Schedule of Portfolio Investments
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Common Stocks (92.8%)
Bermuda (0.1%):
Consumer Discretionary (0.1%):
GOME Electrical Appliances Holding Ltd.		48,000	$	7,957
Brazil (3.3%):
Consumer Discretionary (0.3%):
Kroton Educacional SA		4,800		11,485
Lojas Renner SA		4,510		19,380
				30,865
Consumer Staples (1.2%):
Ambev SA		6,700		30,115
BRF SA		1,327		18,515
Hypermarcas SA (b)		6,700		36,582
JBS SA		3,800		11,739
Natura Cosmeticos SA		3,118		18,443
Raia Drogasil SA		1,983		17,750
				133,144
Energy (0.2%):
Ultrapar Participacoes SA		1,696		25,782
Financials (0.4%):
Banco do Brasil SA		3,203		11,866
BB Seguridade Participacoes SA		2,900		17,728
BM&FBovespa SA — Bolsa de Valores Mercadorias e Futuros		6,918		18,922
				48,516
Industrials (0.4%):
CCR SA		4,908		15,512
WEG SA		6,828		25,789
				41,301
Information Technology (0.2%):
Cielo SA		2,468		20,829
Telecommunication Services (0.1%):
TIM Participacoes SA		7,870		13,558
Utilities (0.5%):
Cia de Saneamento Basico do Estado de Sao Paulo		3,899		18,448
CPFL Energia SA (b)		4,302		16,421
Tractebel Energia SA		2,536		21,390
				56,259
				370,254
Cayman Islands (0.1%):
Information Technology (0.1%):
FIH Mobile Ltd.		37,000		14,082
Chile (3.4%):
Consumer Discretionary (0.3%):
SACI Falabella		4,602		29,303

See notes to financial statements.

47

Victory Portfolios II
Victory CEMP Emerging Market Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Consumer Staples (0.5%):
Cencosud SA		10,634	$	21,264
Cia Cervecerias Unidas SA		2,727		29,925
				51,189
Energy (0.3%):
Empresas COPEC SA		4,086		34,761
Financials (1.0%):
Banco de Chile		501,414		50,688
Banco de Credito e Inversiones		728		27,306
Banco Santander Chile		704,849		31,822
				109,816
Utilities (1.3%):
AES Gener SA		72,211		31,898
Aguas Andinas SA		92,516		46,751
Empresa Nacional de Electricid SA		31,311		38,824
Enersis SA		119,590		28,998
				146,471
				371,540
China (11.2%):
Consumer Discretionary (1.5%):
ANTA Sports Products Ltd.		6,000		16,404
BAIC Motor Corp. Ltd.		16,000		15,979
Byd Co. Ltd. (b)		2,000		10,910
Cosmo Lady China Holdings Co. Ltd.		13,000		10,872
Dongfeng Motor Group Co. Ltd.		18,000		23,846
Golden Eagle Retail Group Ltd.		22,000		26,549
Great Wall Motor Co. Ltd., Class H		12,882		14,880
Guangzhou Automobile Group Co.		26,000		23,100
Intime Retail Group Co. Ltd.		8,000		7,843
Shenzhou International Group Holdings Ltd.		3,000		17,193
				167,576
Consumer Staples (0.8%):
China Huishan Dairy Holdings Co. Ltd.		35,000		13,385
China Mengniu Dairy Co. Ltd.		15,000		24,351
Sun Art Retail Group Ltd.		16,500		12,415
Tingyi Cayman Islands Holding Corp.		13,013		18,488
Want Want China Holdings Ltd.		24,000		17,813
				86,452
Energy (0.4%):
China Shenhua Energy Co. Ltd.		11,004		17,183
PetroChina Co. Ltd.		25,075		16,416
Yanzhou Coal Mining Co. Ltd.		22,000		10,202
				43,801
Financials (2.8%):
Bank of China Ltd.		44,857		19,904
Bank of Communications Co. Ltd., Class H		25,599		17,953

See notes to financial statements.

48

Victory Portfolios II
Victory CEMP Emerging Market Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
China Cinda Asset Management Co.		45,000	$	16,563
China CITIC Bank Corp. Ltd. (b)		36,103		23,270
China Construction Bank Corp.		32,952		22,479
China Galaxy Securities Co. Ltd.		11,000		9,998
China Life Insurance Co. Ltd.		4,000		12,841
China Vanke Co. Ltd. (c)		6,400		19,021
Chongqing Rural Commercial Bank Co. Ltd.		24,894		14,952
Country Garden Holdings Co. Ltd.		51,000		20,786
Dalian Wanda Commercial Properties Co. Ltd.		2,000		11,608
Evergrande Real Estate Group Ltd.		14,000		12,257
Huishang Bank Corp. Ltd.		48,000		21,681
Longfor Properties Co. Ltd.		13,500		20,079
People's Insurance Co. Group of China Ltd.		29,000		14,120
PICC Property & Casualty Co. Ltd.		8,000		15,789
Ping An Insurance Group Co. of China Ltd.		3,514		19,379
Shengjing Bank Co. Ltd.		11,500		14,788
				307,468
Health Care (0.8%):
China Medical System Holdings Ltd.		11,000		16,122
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd.		5,494		15,496
Luye Pharma Group Ltd. (b)		17,500		18,208
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		20,000		13,676
Sihuan Pharmaceutical Holdings Group Ltd. (c)		34,000		11,933
Sinopharm Group Co. Ltd.		4,000		15,969
				91,404
Industrials (2.4%):
Anhui Expressway Co. Ltd.		12,000		10,173
AviChina Industry & Technology Co. Ltd.		11,000		8,595
Beijing Capital International Airport Co. Ltd.		14,000		15,037
CAR, Inc. (b)		8,000		13,183
China Communications Construction Co. Ltd.		8,619		8,733
China Conch Venture Holdings Ltd.		6,000		12,413
China Eastern Airlines Corp. Ltd. (b)		18,000		10,183
China Lesso Group Holdings Ltd.		17,000		11,798
China Machinery Engineering Corp.		12,000		8,756
China Railway Construction Corp. Ltd.		6,889		8,479
China Railway Group Ltd.		11,031		8,320
China Southern Airlines Co. Ltd.		14,000		10,793
Dalian Port PDA Co. Ltd.		26,000		13,313
Fosun International Ltd.		6,000		9,324
Haitian International Holdings Ltd.		9,000		13,058
Jiangsu Expressway Co. Ltd.		16,838		22,599
Qingdao Port International Co. Ltd.		24,000		10,688
Sinopec Engineering Group Co. Ltd., H Shares		14,500		12,335
Sinotrans Ltd.		22,000		11,711
Weichai Power Co. Ltd.		12,612		13,889
Zhejiang Expressway Co. Ltd., Class H		14,589		17,432
Zhuzhou CSR Times Electric Co. Ltd.		1,500		8,650
				259,462

See notes to financial statements.

49

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Information Technology (0.8%):
AAC Technologies Holdings, Inc.		2,327	$	15,138
Kingsoft Corp. Ltd.		4,000		9,714
Lenovo Group Ltd.		18,822		18,996
Tencent Holdings Ltd.		1,055		20,658
TravelSky Technology Ltd.		7,000		11,461
Xinyi Solar Holdings Ltd.		30,000		12,163
				88,130
Materials (0.7%):
Anhui Conch Cement Co. Ltd.		5,573		14,898
BBMG Corp.		13,500		9,119
China Hongqiao Group Ltd.		19,000		11,253
China Molybdenum Co. Ltd.		49,168		9,145
China National Building Material Co. Ltd.		23,632		11,242
Jiangxi Copper Co. Ltd.		11,906		14,053
Zijin Mining Group Co. Ltd.		47,550		12,449
				82,159
Telecommunication Services (0.3%):
China Communications Services Corp. Ltd.		42,000		15,711
China Telecom Corp. Ltd.		34,000		15,861
				31,572
Utilities (0.7%):
CGN Power Co. Ltd.		26,000		9,681
China Longyuan Power Group Corp. Ltd.		15,844		11,915
ENN Energy Holdings Ltd.		4,000		21,219
Huadian Fuxin Energy Corp. Ltd., Class H		34,000		9,676
Huaneng Power International, Inc.		14,000		11,989
Huaneng Renewables Corp. Ltd.		36,000		10,684
				75,164
				1,233,188
Colombia (0.5%):
Consumer Staples (0.1%):
Almacenes Exito SA		3,170		13,502
Financials (0.2%):
Bancolombia SA		2,890		19,130
Materials (0.2%):
Grupo Argos SA		3,591		18,354
				50,986
Czech Republic (0.6%):
Financials (0.2%):
Komercni Banka AS		120		23,841
Telecommunication Services (0.1%):
O2 Czech Republic AS		1,309		13,247

See notes to financial statements.

50

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Victory CEMP Emerging Market Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.3%):
CEZ AS		1,382	$	24,664
				61,752
Egypt (0.2%):
Financials (0.2%):
Commercial International Bank		4,973		24,188
Greece (0.1%):
Consumer Discretionary (0.1%):
OPAP SA		1,034		9,072
Hong Kong (0.8%):
Consumer Discretionary (0.3%):
Belle International Holdings Ltd.		17,000		12,720
Geely Automobile Holdings Ltd.		30,000		15,853
				28,573
Consumer Staples (0.2%):
Hengan International Group Co. Ltd.		2,500		23,471
Energy (0.1%):
CNOOC Ltd.		14,000		14,571
Health Care (0.2%):
CSPC Pharmaceutical Group Ltd.		20,000		20,391
				87,006
Hungary (0.2%):
Financials (0.2%):
OTP Bank Public Co. Ltd.		1,042		21,484
India (10.1%):
Consumer Discretionary (1.5%):
Bajaj Auto Ltd.		674		25,715
Bosch Ltd.		56		15,751
Mahindra & Mahindra Ltd.		1,257		24,131
Motherson Sumi Systems Ltd.		3,967		17,517
Page Industries Ltd.		80		16,146
Rajesh Exports Ltd.		1,519		15,611
Tata Motors Ltd. (b)		3,654		21,599
ZEE Entertainment Enterprises Ltd.		3,830		25,249
				161,719
Consumer Staples (1.5%):
Britannia Industries Ltd.		479		21,400
Colgate-Palmolive (India) Ltd.		2,121		31,122
Dabur India Ltd.		5,426		22,672
Emami Ltd.		899		13,544
Glaxo Smithkline Consumer Healthcare Ltd.		346		33,477
Godrej Consumer Products Ltd.		942		18,733
Marico Ltd.		6,466		22,072
				163,020

See notes to financial statements.

51

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Energy (0.4%):
Coal India Ltd.		4,375	$	21,706
Reliance Industries Ltd.		1,732		26,521
				48,227
Financials (0.9%):
Bajaj Finserv Ltd.		699		20,962
Housing Development Finance Corp. Ltd.		1,116		21,227
ICICI Bank Ltd.		4,867		19,225
Indiabulls Housing Finance Ltd.		1,671		18,534
State Bank of India		5,527		18,678
				98,626
Health Care (1.7%):
Aurobindo Pharma Ltd.		1,449		19,113
Cadila Healthcare Ltd.		3,660		18,085
Cipla Ltd.		2,072		20,313
Divi's Laboratories Ltd.		1,484		25,857
Dr. Reddy's Laboratories Ltd.		392		18,404
Glenmark Pharmaceuticals Ltd.		1,171		16,258
Lupin Ltd.		748		20,697
Sun Pharmaceutical Industries Ltd.		1,328		16,428
Torrent Pharmaceuticals Ltd.		841		18,406
Wockhardt Ltd. (b)		575		13,213
				186,774
Industrials (0.8%):
Adani Ports And Special Economic Zone		3,458		13,597
Aditya Birla Nuvo Ltd.		646		21,058
Amara Raja Batteries Ltd.		1,294		16,799	��
Eicher Motors Ltd.		67		17,009
Larsen & Toubro Ltd.		987		18,973
				87,436
Information Technology (1.3%):
HCL Technologies Ltd.		1,429		18,431
Infosys Ltd.		1,447		24,113
Oracle Financial Services		515		29,053
Tata Consultancy Services Ltd.		794		29,192
Tech Mahindra Ltd.		2,445		19,198
Wipro Ltd.		3,085		26,002
				145,989
Materials (1.3%):
ACC Ltd.		1,206		24,733
Asian Paints Ltd.		1,703		22,688
Berger Paints India Ltd.		5,334		21,623
Hindustan Zinc Ltd.		10,143		22,341
Pidilite Industries Ltd.		2,696		22,463
Ultra Tech Cement Ltd.		472		19,788
UPL Ltd.		2,075		13,666
				147,302

See notes to financial statements.

52

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Telecommunication Services (0.7%):
Bharti Airtel Ltd.		3,861	$	19,785
Bharti Infratel Ltd.		2,628		16,956
Idea Cellular Ltd.		8,278		17,914
Reliance Communications Ltd. (b)		13,626		18,129
				72,784
				1,111,877
Indonesia (3.8%):
Consumer Discretionary (0.5%):
PT Astra International TBK		49,341		21,261
PT Matahari Department Store TBK		13,400		16,970
PT Surya Citra Media TBK		68,100		15,191
				53,422
Consumer Staples (0.9%):
PT Charoen Pokphand Indonesia TBK		93,477		17,425
PT Gudang Garam TBK		5,793		23,000
PT Indofood CBP Sukses Makmur TBK		24,434		23,646
PT Indofood Sukses Makmur TBK		54,154		20,165
PT Unilever Indonesia TBK		7,055		18,840
				103,076
Financials (0.7%):
PT Bank Central Asia TBK		34,601		33,163
PT Bank Mandiri Persero TBK		37,089		24,637
PT Bank Rakyat Indonesia Persero TBK		27,977		22,969
				80,769
Health Care (0.2%):
PT Kalbe Farma TBK		201,264		19,156
Industrials (0.4%):
PT Jasa Marga Persero TBK		57,525		21,649
PT United Tractors TBK		13,652		16,629
				38,278
Materials (0.4%):
PT Indocement Tunggal Prakarsa TBK		15,248		24,460
PT Semen Indonesia Persero TBK		26,577		21,785
				46,245
Telecommunication Services (0.5%):
PT Telekomunikasi Indonesia Persero TBK		152,065		34,072
PT Tower Bersama Infrastructure TBK (b)		45,675		19,328
				53,400
Utilities (0.2%):
PT Perusahaan Gas Negara Persero TBK		111,227		21,938
				416,284

See notes to financial statements.

53

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Korea, Republic Of (8.9%):
Consumer Discretionary (2.1%):
Coway Co. Ltd.		241	$	17,163
Cuckoo Electronics Co. Ltd.		58		11,262
Hankook Tire Co. Ltd.		674		26,889
Hanon Systems		553		24,291
Hanssem Co. Ltd.		53		10,387
Hotel Shilla Co. Ltd.		140		9,169
Hyundai Department Store Co. Ltd.		150		16,080
Hyundai Mobis Co. Ltd.		108		22,602
Hyundai Motor Co.		153		19,301
Hyundai Wia Corp.		146		13,807
Kangwon Land, Inc.		639		20,861
Kia Motors Corp.		528		23,549
Youngone Corp.		269		9,588
				224,949
Consumer Staples (1.7%):
Amorepacific Corp.		51		17,901
AMOREPACIFIC Group		105		13,121
BGF Retail Co. Ltd.		84		12,163
CJ CheilJedang Corp.		59		18,876
Dongsuh Cos., Inc.		398		10,517
GS Retail Co. Ltd.		265		12,076
Hyundai Greenfood Co. Ltd.		860		18,068
KT&G Corp.		221		19,643
LG Household & Health Care Ltd.		22		19,540
Orion Corp.		19		18,771
Ottogi Corp.		17		17,622
Samlip General Foods Co. Ltd.		50		11,692
				189,990
Financials (1.5%):
Hana Financial Group, Inc.		1,018		20,347
Hanwha Life Insurance Co. Ltd.		3,196		20,084
Industrial Bank of Korea		1,603		16,765
KB Financial Group, Inc.		791		22,290
Samsung Fire & Marine Insurance Co. Ltd.		77		20,133
Samsung Life Insurance Co. Ltd.		254		23,741
Shinhan Financial Group Co. Ltd.		622		20,899
Woori Bank		2,597		19,428
				163,687
Health Care (0.5%):
Hanmi Pharm Co. Ltd. (b)		29		17,768
Hanmi Science Co. Ltd. (b)		66		7,157
Medy-Tox, Inc.		27		11,670
Yuhan Corp.		76		17,536
				54,131

See notes to financial statements.

54

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Industrials (1.4%):
CJ Corp.		64	$	13,597
CJ Korea Express Co. Ltd. (b)		105		17,014
Hyundai Development Co. — Enginee		269		8,792
Hyundai Engineering & Construction Co. Ltd.		542		13,014
Hyundai Glovis Co. Ltd.		85		13,852
KCC Corp.		47		16,584
KEPCO Plant Service & Engineering Co. Ltd.		132		9,987
Korea Aerospace Industries Ltd.		224		14,790
LG Corp.		406		24,411
S-1 Corp.		306		25,969
				158,010
Information Technology (0.6%):
LG Display Co. Ltd.		910		18,852
NAVER Corp.		40		22,310
NCSoft Corp.		81		14,605
Samsung SDS Co. Ltd.		57		12,263
				68,030
Materials (0.6%):
Hyundai Steel Co.		464		19,557
Korea Zinc Co. Ltd.		59		23,505
LG Chem Ltd.		78		21,539
				64,601
Telecommunication Services (0.3%):
LG Uplus Corp.		1,833		16,189
SK Telecom Co. Ltd.		109		19,953
				36,142
Utilities (0.2%):
Korea Electric Power Corp.		497		21,061
				980,601
Malaysia (7.6%):
Consumer Discretionary (1.0%):
Astro Malaysia Holdings BHD		32,300		20,718
Genting BHD		14,895		25,424
Genting Malaysia BHD		26,096		26,607
UMW Holdings BHD		18,215		33,347
				106,096
Consumer Staples (0.8%):
British American Tobacco Malaysia BHD		2,170		28,326
Kuala Lumpur Kepong BHD		5,808		30,917
PPB Group BHD		7,457		27,552
				86,795
Energy (0.4%):
Petronas Dagangan BHD		5,448		31,595
SapuraKencana Petroleum BHD		33,200		15,589
				47,184

See notes to financial statements.

55

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (1.0%):
CIMB Group Holdings BHD		19,406	$	20,478
Hong Leong Bank BHD		16,472		51,369
Malayan Banking BHD		18,294		35,754
				107,601
Health Care (0.3%):
IHH Healthcare BHD		24,800		38,025
Industrials (1.6%):
Gamuda BHD		29,020		31,461
HAP Seng Consolidated BHD		18,800		28,348
IJM Corp. BHD		50,300		39,579
MISC BHD		12,900		28,068
Sime Darby BHD		19,470		35,013
Westports Holdings BHD		19,800		18,960
				181,429
Materials (0.2%):
Petronas Chemicals Group BHD		14,463		24,450
Telecommunication Services (1.3%):
Axiata Group BHD		26,063		38,872
DiGi.Com BHD		29,798		37,443
Maxis BHD		20,234		31,997
Telekom Malaysia BHD		22,759		35,893
				144,205
Utilities (1.0%):
Petronas Gas BHD		7,465		39,520
Tenaga Nasional BHD		12,300		38,114
YTL Corp. BHD		83,731		30,575
				108,209
				843,994
Mexico (4.4%):
Consumer Discretionary (0.3%):
Alsea SAB de CV		8,900		30,919
Consumer Staples (1.9%):
Arca Continental SAB de CV		5,673		34,470
Coca-Cola Femsa SAB de CV		4,179		30,054
Gruma SAB de CV, Class B		1,675		23,504
Grupo Comercial Chedraui SA de CV		8,176		21,802
Grupo Lala SAB de CV		11,200		26,050
Industrias Bachoco SAB de CV		5,600		22,799
Kimberly-Clark de Mexico SAB de CV		11,105		26,022
Wal-Mart de Mexico SAB de CV		10,267		25,918
				210,619
Financials (0.8%):
Grupo Financiero Banorte SAB de CV		6,036		33,281
Grupo Financiero Inbursa SAB de CV		12,452		22,478

See notes to financial statements.

56

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Grupo Financiero Santander Mexico SAB de CV		16,141	$	28,341
				84,100
Industrials (1.0%):
Grupo Aeroportuario del Pacifico SAB de CV		2,950		26,036
Grupo Aeroportuario del Sureste SAB de CV		1,890		26,756
Grupo Carso SAB de CV		5,001		20,604
OHL Mexico SAB de CV (b)		10,885		11,398
Promotora y Operadora de Infraestructura SAB de CV (b)		2,431		28,607
				113,401
Materials (0.2%):
Grupo Mexico SAB de CV		10,028		21,415
Telecommunication Services (0.2%):
America Movil SAB de CV		33,850		23,814
Telesites SAB (b)		1,693		1,101
				24,915
				485,369
Philippines (4.8%):
Consumer Discretionary (0.3%):
Jollibee Foods Corp.		6,487		30,124
Consumer Staples (0.2%):
Universal Robina Corp.		5,078		20,044
Energy (0.2%):
Semirara Mining and Power Corp.		6,580		19,055
Financials (1.7%):
Ayala Corp.		1,917		30,733
Ayala Land, Inc.		31,025		22,686
Bank of the Philippine Islands		17,735		31,597
BDO Unibank, Inc.		14,108		31,370
GT Capital Holdings, Inc.		800		22,420
Metropolitan Bank & Trust Co.		16,549		28,237
SM Prime Holdings, Inc.		52,981		24,372
				191,415
Industrials (1.5%):
Aboitiz Equity Ventures, Inc.		23,098		28,344
Alliance Global Group, Inc.		47,520		16,202
DMCI Holdings, Inc.		88,040		25,752
International Container Terminal Services, Inc.		15,878		23,658
JG Summit Holdings, Inc.		14,683		22,857
LT Group, Inc.		71,383		22,455
SM Investments Corp.		1,615		29,511
				168,779
Telecommunication Services (0.4%):
Globe Telecom, Inc.		439		17,251
Philippine Long Distance Telephone Co.		617		26,982
				44,233

See notes to financial statements.

57

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.5%):
Aboitiz Power Corp.		35,844	$	31,744
Energy Development Corp.		199,600		26,225
				57,969
				531,619
Poland (1.6%):
Consumer Discretionary (0.2%):
Cyfrowy Polsat SA (b)		3,417		18,196
Energy (0.1%):
Polskie Gornictwo Naftowe i Gazownictwo SA		11,459		14,983
Financials (0.9%):
Bank Pekao SA		639		23,380
Bank Zachodni WBK SA		247		17,830
mBank SA (b)		212		16,961
Powszechna Kasa Oszczednosci Bank Polski SA (b)		2,916		20,290
Powszechny Zaklad Ubezpieczen na Zycie SA		2,600		22,470
				100,931
Materials (0.1%):
KGHM Polska Miedz SA		749		12,103
Telecommunication Services (0.2%):
Orange Polska SA		10,914		18,255
Utilities (0.1%):
Energa SA		4,300		13,868
				178,336
Qatar (2.2%):
Energy (0.3%):
Gulf International Services QSC		898		12,637
Qatar Fuel Co. QSC		599		24,186
				36,823
Financials (1.2%):
Barwa Real Estate Co.		1,456		15,931
Ezdan Holding Group QSC		3,168		13,781
Masraf Al Rayan QSC		1,959		20,177
Qatar Insurance Co. SAQ (b)		578		13,050
Qatar Islamic Bank SAQ		721		21,065
Qatar National Bank SAQ		551		26,430
The Commercial Bank QSC		1,934		24,300
				134,734
Industrials (0.2%):
Industries Qatar QSC		621		18,889
Telecommunication Services (0.2%):
Ooredoo QSC		1,127		23,174

See notes to financial statements.

58

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.3%):
Qatar Electricity & Water Co. QSC		450	$	26,749
				240,369
Republic of Korea (South) (0.4%):
Information Technology (0.4%):
Samsung Electronics Co. Ltd.		26		27,737
SK Hynix, Inc.		594		15,348
				43,085
Russian Federation (0.8%):
Consumer Staples (0.1%):
Magnit PJSC		99		15,247
Energy (0.1%):
Tatneft PAO		3,040		13,270
Materials (0.3%):
MMC Norilsk Nickel PJSC		90		11,303
Novolipetsk Steel OJSC		16,010		13,762
Uralkali PJSC		4,740		11,518
				36,583
Telecommunication Services (0.1%):
Mobile TeleSystems PJSC		4,330		12,472
Utilities (0.2%):
RusHydro PJSC		1,770,000		16,504
				94,076
South Africa (6.2%):
Consumer Discretionary (1.1%):
Imperial Holdings Ltd.		1,562		12,119
Mr. Price Group Ltd.		1,237		16,013
Naspers Ltd.		141		19,291
Steinhoff International Holdings NV		5,028		25,549
The Foschini Group Ltd.		1,723		13,552
Truworths International Ltd.		2,831		16,705
Woolworths Holdings Ltd.		3,305		21,401
				124,630
Consumer Staples (1.2%):
AVI Ltd.		4,728		23,646
Pick n Pay Stores Ltd.		5,543		23,305
Pioneer Foods Group Ltd.		1,496		15,360
Shoprite Holdings Ltd.		1,980		18,366
The SPAR Group Ltd.		2,074		24,701
Tiger Brands Ltd.		1,138		23,332
				128,710
Energy (0.1%):
Sasol Ltd.		537		14,512

See notes to financial statements.

59

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (2.0%):
Barclays Africa Group Ltd.		1,987	$	18,454
Capitec Bank Holdings Ltd.		575		20,015
Discovery Ltd.		2,322		19,934
FirstRand Ltd.		6,424		17,573
Investec Ltd.		3,413		24,133
Nedbank Group Ltd.		1,508		18,439
Rand Merchant Insurance Holdings Ltd.		7,915		19,805
Remgro Ltd.		1,409		22,325
RMB Holdings Ltd.		4,880		17,513
Sanlam Ltd.		4,994		19,554
Standard Bank Group Ltd.		2,415		17,719
				215,464
Health Care (0.7%):
Aspen Pharmacare Holdings Ltd.		998		19,944
Life Healthcare Group Holdings Ltd.		8,135		18,483
Mediclinic International Ltd.		2,708		20,850
Netcare Ltd.		8,405		18,426
				77,703
Industrials (0.2%):
The Bidvest Group Ltd.		1,251		26,578
Materials (0.3%):
Anglo American Platinum Ltd. (b)		622		7,498
Kumba Iron Ore Ltd.		1,710		4,559
Mondi Ltd.		1,080		21,393
				33,450
Telecommunication Services (0.6%):
MTN Group Ltd.		1,646		14,193
Telkom SA SOC Ltd.		3,904		16,235
Vodacom Group Ltd.		2,967		29,270
				59,698
				680,745
Taiwan (10.7%):
Consumer Discretionary (1.3%):
Cheng Shin Rubber Industry Co. Ltd.		21,152		34,193
Eclat Textile Co. Ltd.		1,000		13,744
Feng TAY Enterprise Co. Ltd.		2,000		10,173
Giant Manufacturing Co. Ltd.		3,000		19,891
Hotai Motor Co. Ltd.		1,824		20,981
Pou Chen Corp.		10,317		13,465
Yulon Nissan Motor Co. Ltd.		3,651		30,992
				143,439
Consumer Staples (0.5%):
President Chain Store Corp.		4,094		25,556
Uni-President Enterprises Corp.		14,941		24,910
				50,466

See notes to financial statements.

60

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (3.1%):
Cathay Financial Holding Co. Ltd.		18,185	$	25,481
Chang Hwa Commercial Bank Ltd.		77,240		36,791
China Development Financial Holding Corp.		77,000		19,209
CTBC Financial Holding Co. Ltd.		46,019		23,566
E.Sun Financial Holding Co. Ltd.		49,292		28,623
First Financial Holding Co. Ltd.		106,853		49,640
Fubon Financial Holding Co. Ltd.		13,000		17,686
Hua Nan Financial Holdings Co. Ltd.		90,919		42,093
Mega Financial Holding Co. Ltd.		41,773		26,937
Taiwan Cooperative Financial Holding Co. Ltd.		124,746		51,970
Yuanta Financial Holding Co. Ltd.		59,002		21,646
				343,642
Industrials (0.2%):
Far Eastern New Century Corp.		33,443		26,132
Information Technology (3.4%):
Advanced Semiconductor Engineering, Inc.		15,414		17,710
Advantech Co. Ltd.		3,098		19,843
Asustek Computer, Inc.		2,635		21,761
AU Optronics Corp.		46,000		13,564
Catcher Technology Co. Ltd.		1,170		9,755
Compal Electronics, Inc.		29,000		16,231
Delta Electronics, Inc.		3,837		18,051
Foxconn Technology Co. Ltd.		6,220		13,105
Hon Hai Precision Industry Co. Ltd.		11,363		27,814
Innolux Corp.		41,000		12,326
Inotera Memories, Inc. (b)		17,000		14,342
Largan Precision Co. Ltd.		208		14,235
Lite-On Technology Corp.		26,684		25,738
MediaTek, Inc.		1,819		13,760
Nanya Technology Corp.		9,000		12,448
Pegatron Corp.		6,962		15,145
Quanta Computer, Inc.		13,944		22,374
Siliconware Precision Industries Co. Ltd.		15,000		23,692
Taiwan Semiconductor Manufacturing Co. Ltd.		5,681		24,514
United Microelectronics Corp.		71,242		26,039
Zhen Ding Technology Holding Ltd.		6,000		13,683
				376,130
Materials (1.0%):
Asia Cement Corp.		38,969		32,432
China Steel Corp.		65,380		35,650
Nan Ya Plastics Corp.		13,000		24,021
Taiwan Cement Corp.		28,555		23,644
				115,747
Telecommunication Services (1.2%):
Chunghwa Telecom Co. Ltd.		22,828		68,782
Far EasTone Telecommunications Co. Ltd.		14,465		29,734

See notes to financial statements.

61

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Taiwan Mobile Co. Ltd.		10,491	$	31,866
				130,382
				1,185,938
Thailand (5.4%):
Consumer Discretionary (0.4%):
Home Product Center Public Co. Ltd.		121,178		22,809
Minor International Public Co. Ltd.		26,825		25,576
				48,385
Consumer Staples (0.8%):
Big C Supercenter Public Co. Ltd.		4,409		24,652
Charoen Pokphand Foods Public Co. Ltd.		40,588		20,513
CP ALL Public Co. Ltd.		18,687		20,301
Thai Union Group Public Co. Ltd.		37,400		17,773
				83,239
Energy (0.2%):
Energy Absolute Public Co. Ltd.		29,800		18,549
Financials (1.2%):
Bangkok Bank Public Co. Ltd.		8,224		34,686
Bank of Ayudhya Public Co. Ltd.		13,100		10,788
Central Pattana Public Co. Ltd.		19,766		25,694
Kasikornbank Public Co. Ltd.		4,918		20,420
Krung Thai Bank Public Co. ltd.		48,535		22,393
Land & Houses Public Co. Ltd. (b)		10,540		1,641
The Siam Commercial Bank Public Co. Ltd.		6,832		22,546
				138,168
Health Care (0.4%):
Bangkok Dusit Medical Services Public Co. Ltd.		50,520		31,231
Bumrungrad Hospital Public Co. Ltd.		2,600		15,187
				46,418
Industrials (0.6%):
Airports of Thailand Public Co. Ltd.		2,748		26,284
BTS Group Holdings Public Co. Ltd.		137,601		34,739
				61,023
Information Technology (0.1%):
Delta Electronics Thailand Public Co. Ltd.		6,900		14,586
Materials (0.5%):
Siam City Cement Public Co. Ltd.		2,886		25,525
The Siam Cement Public Co. Ltd.		2,070		26,351
				51,876
Telecommunication Services (0.5%):
Advanced Info Service Public Co. Ltd.		4,993		21,017
Intouch Holdings Public Co. Ltd.		18,776		27,053
Total Access Communication Public Co. Ltd.		11,671		9,746
				57,816

See notes to financial statements.

62

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.7%):
Electricity Generating Public Co. Ltd.		8,400	$	35,285
Glow Energy Public Co. Ltd.		6,777		13,846
Ratchaburi Electricity Generating Holdings Public Co. Ltd.		24,100		31,726
				80,857
				600,917
Turkey (3.9%):
Consumer Discretionary (0.7%):
Arcelik AS		5,781		27,681
Ford Otomotiv Sanayi AS		2,147		22,276
Tofas Turk Otomobil Fabrikasi AS		3,623		23,526
				73,483
Consumer Staples (0.5%):
BIM Birlesik Magazalar AS		1,583		27,871
Ulker Biskuvi Sanayi AS		3,558		21,479
				49,350
Energy (0.2%):
Tupras Turkiye Petrol Rafinerileri AS (b)		935		22,306
Financials (1.1%):
Akbank TAS		9,109		20,892
Haci Omer Sabanci Holding AS		8,745		24,797
Turkiye Garanti Bankasi AS		7,975		19,433
Turkiye Halk Bankasi AS		5,327		18,938
Turkiye Is Bankasi		12,266		19,306
Yapi ve Kredi Bankasi AS		19,512		21,963
				125,329
Industrials (0.8%):
Enka Insaat ve Sanayi AS		16,777		25,990
KOC Holding AS		7,172		26,867
TAV Havalimanlari Holding AS		3,055		19,048
Turk Hava Yollari Anonium Ortakligi (b)		7,226		18,282
				90,187
Materials (0.2%):
Eregli Demir ve Celik Fabrikalari TAS		18,533		19,290
Telecommunication Services (0.4%):
Turk Telekomunikasyon AS		12,454		23,298
Turkcell Iletisim Hizmetleri AS		6,742		22,859
				46,157
				426,102
United Arab Emirates (1.5%):
Financials (1.3%):
Abu Dhabi Commercial Bank PJSC		8,510		15,183
Aldar Properties PJSC		24,281		15,188
DAMAC Properties Dubai Co. PJSC		11,049		6,907
Dubai Islamic Bank PJSC		12,031		20,135

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Emaar Malls Group PJSC (b)		28,388	$	21,247
Emaar Properties PJSC		9,926		15,263
First Gulf Bank PJSC		6,960		23,902
National Bank of Abu Dhabi PJSC		7,096		15,341
Union National Bank PJSC		13,773		17,511
				150,677
Industrials (0.2%):
DP World Ltd.		962		19,514
				170,191
Total Common Stocks (Cost $12,199,718)				10,241,012
Rights (0.0%) (e)
Taiwan (0.0%): (d)
Information Technology (0.0%): (d)
Nanya Technology Corp. Expires 01/11/16 @ $36.50 (b)		948		266
Total Rights (Cost $—)				266
Cash Equivalents (14.9%)
United States (14.9%):
Citibank Money Market Deposit Account, 0.02% (e)		1,640,043		1,640,043
Total Cash Equivalents (Cost $1,640,043)				1,640,043
Total Investments (Cost $13,839,761) — 107.7%				11,881,321
Segregated cash with broker — 1.1% (f)				121,794
Liabilities in excess of other assets — (8.8)%				(970,895	)
NET ASSETS — 100.00%			$	11,032,220

(a)  All securities, except those traded on exchanges in the United States (including ADRs), Brazil, Canada, Cayman Islands, Columbia, and Mexico were fair valued at December 31, 2015.

(b)  Non-income producing security.

(c)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. At December 31, 2015, illiquid securities were 0.28% of the Fund's net assets.

(d)  Amount represents less than 0.05% of net assets.

(e)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(f)  Segregated cash with broker represents collateral for futures contracts.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
E-Mini MSCI Index Futures		17	3/21/16	$	669,375	$	(2,162	)

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.2%)
Consumer Discretionary (15.9%):
Advance Auto Parts, Inc.		1,962	$	295,301
AMC Networks, Inc., Class A (a)		4,363		325,829
Aramark		14,670		473,108
AutoNation, Inc. (a)		6,675		398,231
AutoZone, Inc. (a)		688		510,433
Bed Bath & Beyond, Inc. (a)		6,192		298,764
Best Buy Co., Inc.		6,375		194,119
BorgWarner, Inc.		7,715		333,519
Cablevision Systems Corp.		8,139		259,634
CarMax, Inc. (a)		5,888		317,775
Carter's, Inc.		4,135		368,139
CBS Corp., Class B		8,426		397,117
Chipotle Mexican Grill, Inc. (a)		484		232,247
Coach, Inc.		10,507		343,894
Comcast Corp., Class A		7,183		405,337
Dick's Sporting Goods, Inc.		6,305		222,882
Discovery Communications, Inc., Class A (a)		9,968		265,946
DISH Network Corp. (a)		6,108		349,255
Dollar General Corp.		6,197		445,379
Domino's Pizza, Inc.		3,149		350,326
DR Horton, Inc.		9,183		294,131
Dunkin' Brands Group, Inc.		8,093		344,681
Expedia, Inc.		1,955		243,007
Foot Locker, Inc.		5,701		371,078
Ford Motor Co.		30,370		427,914
GameStop Corp., Class A		6,158		172,670
General Motors Co.		12,022		408,868
Gentex Corp.		24,471		391,781
Genuine Parts Co.		5,513		473,511
Hanesbrands, Inc.		10,400		306,072
Harley-Davidson, Inc.		5,691		258,314
Harman International Industries, Inc.		1,965		185,123
Hasbro, Inc.		4,260		286,954
Hilton Worldwide Holdings, Inc.		14,631		313,103
Hyatt Hotels Corp., Class A (a)		7,671		360,690
Johnson Controls, Inc.		8,948		353,357
Kohl's Corp.		5,553		264,489
L Brands, Inc.		4,230		405,319
Las Vegas Sands Corp.		5,462		239,454
Lear Corp.		3,369		413,814
Lennar Corp., Class A		5,821		284,705
Lions Gate Entertainment Corp.		7,786		252,189
LKQ Corp. (a)		11,339		335,975
Lowe's Cos., Inc.		6,101		463,920
Macy's, Inc.		5,833		204,038
Marriott International, Inc., Class A		4,924		330,105
McDonald's Corp.		4,783		565,064
Mohawk Industries, Inc. (a)		1,893		358,515

See notes to financial statements.

65

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
MSG Networks, Inc., Class A (a)		21,543	$	448,094
Netflix, Inc. (a)		1,731		197,992
Newell Rubbermaid, Inc.		10,686		471,039
NIKE, Inc., Class B		7,976		498,501
Nordstrom, Inc.		5,806		289,197
NVR, Inc. (a)		314		515,902
Omnicom Group, Inc.		7,706		583,036
O'Reilly Automotive, Inc. (a)		1,628		412,568
Panera Bread Co., Class A (a)		1,745		339,891
Penske Automotive Group, Inc.		6,021		254,929
Polaris Industries, Inc.		2,559		219,946
PulteGroup, Inc.		13,631		242,904
PVH Corp.		2,711		199,665
Ralph Lauren Corp.		2,453		273,460
Ross Stores, Inc.		7,139		384,150
Royal Caribbean Cruises Ltd.		3,070		310,715
Scripps Networks Interactive, Inc., Class A		7,182		396,518
Service Corp. International		15,507		403,492
Sirius XM Holdings, Inc. (a)		116,752		475,181
Skechers U.S.A., Inc. (a)		4,784		144,525
Starbucks Corp.		6,817		409,225
Starwood Hotels & Resorts Worldwide, Inc.		4,498		311,621
TEGNA, Inc.		12,490		318,745
The Gap, Inc.		12,916		319,025
The Goodyear Tire & Rubber Co.		10,267		335,423
The Home Depot, Inc.		3,680		486,680
The Priceline Group, Inc. (a)		258		328,936
The TJX Cos., Inc.		5,850		414,824
The Walt Disney Co.		3,604		378,708
Tiffany & Co.		3,177		242,373
Time Warner Cable, Inc.		1,884		349,652
Time Warner, Inc.		5,336		345,079
Toll Brothers, Inc. (a)		9,055		301,532
Tractor Supply Co.		4,202		359,271
TripAdvisor, Inc. (a)		2,940		250,635
Twenty-First Century Fox, Inc.		13,235		359,463
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		2,661		492,285
Under Armour, Inc. (a)		3,199		257,871
VF Corp.		6,041		376,052
Whirlpool Corp.		1,939		284,781
Williams-Sonoma, Inc.		5,062		295,671
Wyndham Worldwide Corp.		5,090		369,789
				30,745,422
Consumer Staples (9.2%):
Altria Group, Inc.		8,798		512,131
Archer-Daniels-Midland Co.		9,461		347,029
Brown-Forman Corp., Class B		5,468		542,863
Campbell Soup Co.		11,116		584,146
Church & Dwight Co., Inc.		6,871		583,210
Coca-Cola Enterprises, Inc.		6,789		334,290

See notes to financial statements.

66

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Colgate-Palmolive Co.		7,907	$	526,764
Constellation Brands, Inc., Class A		3,486		496,546
Costco Wholesale Corp.		3,357		542,155
CVS Health Corp.		5,273		515,541
Dr Pepper Snapple Group, Inc.		6,598		614,934
Flowers Foods, Inc.		15,207		326,798
General Mills, Inc.		10,436		601,740
Herbalife Ltd. (a)		2,641		141,610
Hormel Foods Corp.		7,328		579,498
Ingredion, Inc.		5,053		484,280
Keurig Green Mountain, Inc.		2,702		243,126
McCormick & Co., Inc.		6,848		585,915
Mead Johnson Nutrition Co.		6,146		485,227
Mondelez International, Inc.		10,415		467,009
Monster Beverage Corp. (a)		1,984		295,537
PepsiCo, Inc.		6,023		601,818
Philip Morris International, Inc.		5,650		496,692
Pilgrim's Pride Corp.		8,090		178,708
Pinnacle Foods, Inc.		10,188		432,582
Reynolds American, Inc.		9,553		440,871
Rite Aid Corp. (a)		31,677		248,348
Spectrum Brands Holdings, Inc.		4,742		482,736
Sysco Corp.		11,606		475,846
The Clorox Co.		5,285		670,297
The Coca-Cola Co.		16,278		699,303
The Estee Lauder Cos., Inc., Class A		5,017		441,797
The Hain Celestial Group, Inc. (a)		6,089		245,935
The Kroger Co.		12,461		521,244
The Procter & Gamble Co.		7,888		626,386
Tyson Foods, Inc., Class A		7,773		414,534
Wal-Mart Stores, Inc.		7,246		444,180
WhiteWave Foods Co., Class A (a)		7,075		275,288
Whole Foods Market, Inc.		9,742		326,357
				17,833,271
Energy (2.2%):
Cameron International Corp. (a)		2,383		150,606
Cheniere Energy Partners LP Holdings LLC		17,532		305,057
Chevron Corp.		4,484		403,380
Exxon Mobil Corp.		5,641		439,715
FMC Technologies, Inc. (a)		6,934		201,155
Helmerich & Payne, Inc.		4,104		219,769
Kinder Morgan, Inc.		13,891		207,254
Marathon Petroleum Corp.		5,229		271,071
National Oilwell Varco, Inc.		6,553		219,460
ONEOK, Inc.		6,485		159,920
Phillips 66		3,591		293,744
Plains GP Holdings LP, Class A		10,042		94,897
Schlumberger Ltd.		4,625		322,594
Spectra Energy Corp.		12,970		310,502
Tesoro Corp.		2,452		258,367

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
The Williams Cos., Inc.		4,628	$	118,940
Valero Energy Corp.		4,381		309,781
				4,286,212
Financials (17.6%):
Affiliated Managers Group, Inc. (a)		2,370		378,631
Aflac, Inc.		8,344		499,806
Alleghany Corp. (a)		1,084		518,076
American Express Co.		5,171		359,643
American Financial Group, Inc.		8,635		622,412
American International Group, Inc.		7,441		461,119
Ameriprise Financial, Inc.		3,543		377,046
AmTrust Financial Services, Inc.		5,731		352,915
Arthur J. Gallagher & Co.		13,801		565,014
Assurant, Inc.		5,735		461,897
BB&T Corp.		11,433		432,282
Berkshire Hathaway, Inc., Class B (a)		4,528		597,876
BlackRock, Inc.		1,461		497,500
Brown & Brown, Inc.		17,334		556,421
Capital One Financial Corp.		4,436		320,190
CBOE Holdings, Inc.		7,272		471,953
CBRE Group, Inc., Class A (a)		11,368		393,105
Cincinnati Financial Corp.		9,137		540,636
CIT Group, Inc.		10,840		430,348
Citigroup, Inc.		7,269		376,171
Citizens Financial Group, Inc.		15,840		414,850
CME Group, Inc.		4,768		431,981
CNA Financial Corp.		13,253		465,843
Comerica, Inc.		7,328		306,530
Discover Financial Services		7,745		415,287
E*TRADE Financial Corp. (a)		10,262		304,166
East West Bancorp, Inc.		8,960		372,378
FactSet Research Systems, Inc.		3,068		498,765
Fifth Third Bancorp		18,797		377,820
First Republic Bank		6,427		424,568
Franklin Resources, Inc.		10,961		403,584
Huntington Bancshares, Inc.		36,785		406,842
Intercontinental Exchange, Inc.		1,783		456,912
Invesco Ltd.		11,961		400,454
Jones Lang LaSalle, Inc.		2,195		350,893
JPMorgan Chase & Co.		6,466		426,950
KeyCorp		24,869		328,022
Legg Mason, Inc.		9,606		376,843
Lincoln National Corp.		6,585		330,962
Loews Corp.		14,231		546,470
M&T Bank Corp.		6,465		783,428
Markel Corp. (a)		588		519,410
Marsh & McLennan Cos., Inc.		10,012		555,165
MetLife, Inc.		7,656		369,096
Moody's Corp.		4,311		432,566
MSCI, Inc.		6,994		504,477

See notes to financial statements.

68

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
NASDAQ, Inc.		8,783	$	510,907
Navient Corp.		22,541		258,094
New York Community Bancorp, Inc.		27,704		452,129
Northern Trust Corp.		5,391		388,637
People's United Financial, Inc.		32,249		520,821
Principal Financial Group, Inc.		7,638		343,557
Raymond James Financial, Inc.		7,474		433,268
Regions Financial Corp.		34,614		332,294
Reinsurance Group of America, Inc.		5,237		448,025
Santander Consumer USA Holdings, Inc. (a)		13,976		221,520
SEI Investments Co.		8,043		421,453
Signature Bank (a)		2,766		424,221
StanCorp Financial Group, Inc.		1,459		166,151
State Street Corp.		5,073		336,644
SunTrust Banks, Inc.		9,338		400,040
SVB Financial Group (a)		2,149		255,516
Synchrony Financial (a)		13,161		400,226
T. Rowe Price Group, Inc.		7,026		502,289
TD Ameritrade Holding Corp.		11,138		386,600
TFS Financial Corp.		34,761		654,550
The Allstate Corp.		6,995		434,320
The Bank of New York Mellon Corp.		9,757		402,184
The Charles Schwab Corp.		10,615		349,552
The Chubb Corp.		2,249		298,307
The Goldman Sachs Group, Inc.		2,286		412,006
The PNC Financial Services Group, Inc.		4,856		462,825
The Progressive Corp.		16,795		534,081
The Travelers Cos., Inc.		4,943		557,867
Torchmark Corp.		8,809		503,522
U.S. Bancorp		10,968		468,005
Voya Financial, Inc.		10,019		369,801
W.R. Berkley Corp.		8,442		462,200
Wells Fargo & Co.		8,642		469,779
				33,998,694
Health Care (10.8%):
Abbott Laboratories		9,687		435,043
Acadia Healthcare Co., Inc. (a)		3,829		239,159
Aetna, Inc.		2,881		311,494
Agilent Technologies, Inc.		11,207		468,565
Alexion Pharmaceuticals, Inc. (a)		1,422		271,247
Align Technology, Inc. (a)		5,389		354,866
Amgen, Inc.		2,070		336,022
Anthem, Inc.		2,605		363,241
Baxter International, Inc.		12,721		485,306
Becton, Dickinson & Co.		3,800		585,541
Biogen, Inc. (a)		608		186,261
Cardinal Health, Inc.		5,330		475,809
Celgene Corp. (a)		2,266		271,376
Centene Corp. (a)		4,444		292,460
Cerner Corp. (a)		6,107		367,458

See notes to financial statements.

69

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Cigna Corp.		2,217	$	324,414
Community Health Systems, Inc. (a)		4,975		131,987
DENTSPLY International, Inc.		8,555		520,572
Edwards Lifesciences Corp. (a)		4,633		365,914
Eli Lilly & Co.		4,564		384,563
Express Scripts Holding Co. (a)		4,702		411,002
Gilead Sciences, Inc.		2,845		287,886
HCA Holdings, Inc. (a)		3,878		262,269
Henry Schein, Inc. (a)		3,635		575,020
Hologic, Inc. (a)		9,214		356,490
Humana, Inc.		1,326		236,704
IDEXX Laboratories, Inc. (a)		3,205		233,709
Illumina, Inc. (a)		1,494		286,766
Intuitive Surgical, Inc. (a)		734		400,881
Johnson & Johnson		5,509		565,884
Laboratory Corp. of America Holdings (a)		4,078		504,203
McKesson Corp.		2,213		436,470
MEDNAX, Inc. (a)		6,065		434,618
Merck & Co., Inc.		7,659		404,548
Mettler-Toledo International, Inc. (a)		1,437		487,330
Mylan NV (a)		4,295		232,231
Patterson Cos., Inc.		10,127		457,842
PerkinElmer, Inc.		10,061		538,967
Pfizer, Inc.		15,431		498,113
Quest Diagnostics, Inc.		5,637		401,016
Quintiles Transnational Holdings, Inc. (a)		5,919		406,399
Regeneron Pharmaceuticals, Inc. (a)		533		289,350
ResMed, Inc.		5,162		277,148
Sirona Dental Systems, Inc. (a)		5,150		564,286
St. Jude Medical, Inc.		5,538		342,082
Stryker Corp.		4,748		441,279
Team Health Holdings, Inc. (a)		3,881		170,337
Teleflex, Inc.		3,924		515,810
The Cooper Cos., Inc.		2,788		374,150
Thermo Fisher Scientific, Inc.		3,464		491,368
UnitedHealth Group, Inc.		3,068		360,920
Universal Health Services, Inc., Class B		2,430		290,361
Varian Medical Systems, Inc. (a)		4,838		390,910
VCA, Inc. (a)		6,134		337,370
Waters Corp. (a)		3,590		483,142
				20,918,159
Industrials (17.2%):
3M Co.		3,563		536,730
A.O. Smith Corp.		5,019		384,506
Acuity Brands, Inc.		1,973		461,287
Alaska Air Group, Inc.		3,512		282,751
Allison Transmission Holdings, Inc.		16,405		424,725
AMERCO, Inc.		1,108		431,566
American Airlines Group, Inc.		5,290		224,032
AMETEK, Inc.		8,162		437,402

See notes to financial statements.

70

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
C.H. Robinson Worldwide, Inc.		4,966	$	307,991
Carlisle Cos., Inc.		4,131		366,378
Caterpillar, Inc.		4,994		339,392
Cintas Corp.		5,989		545,298
Colfax Corp. (a)		8,976		209,590
Copart, Inc. (a)		15,532		590,371
CSX Corp.		12,239		317,602
Cummins, Inc.		3,510		308,915
Danaher Corp.		5,961		553,659
Deere & Co.		5,173		394,545
Dover Corp.		5,887		360,932
Eaton Corp. PLC		6,755		351,530
Emerson Electric Co.		9,235		441,710
Equifax, Inc.		4,328		482,010
Expeditors International of Washington, Inc.		8,965		404,322
Fastenal Co.		9,777		399,097
Flowserve Corp.		7,990		336,219
Fluor Corp.		7,077		334,176
General Dynamics Corp.		3,269		449,030
Hexcel Corp.		8,392		389,808
Honeywell International, Inc.		4,732		490,093
Hubbell, Inc. (a)		5,544		560,166
Huntington Ingalls Industries, Inc.		2,688		340,973
IDEX Corp.		7,347		562,855
IHS, Inc., Class A (a)		3,145		372,462
Illinois Tool Works, Inc.		5,783		535,968
Ingersoll-Rand PLC		7,904		437,012
J.B. Hunt Transport Services, Inc.		5,894		432,384
Jacobs Engineering Group, Inc. (a)		8,106		340,046
JetBlue Airways Corp. (a)		9,566		216,670
Kansas City Southern		3,375		252,011
KAR Auction Services, Inc.		14,119		522,827
L-3 Communications Holdings, Inc.		4,116		491,903
Lennox International, Inc.		3,941		492,231
Lincoln Electric Holdings, Inc.		6,582		341,540
Lockheed Martin Corp.		2,591		562,636
Manpowergroup, Inc.		3,413		287,682
Masco Corp.		11,891		336,515
Nielsen Holdings PLC		8,717		406,212
Norfolk Southern Corp.		5,005		423,373
Northrop Grumman Corp.		2,652		500,724
Old Dominion Freight Line, Inc. (a)		6,019		355,542
Owens Corning		6,493		305,366
PACCAR, Inc.		6,715		318,291
Parker-Hannifin Corp.		3,828		371,239
Precision Castparts Corp.		1,162		269,596
Quanta Services, Inc. (a)		10,490		212,423
Raytheon Co.		4,083		508,456
Republic Services, Inc., Class A		13,164		579,084
Robert Half International, Inc.		7,436		350,533

See notes to financial statements.

71

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Rockwell Automation, Inc.		3,612	$	370,627
Rockwell Collins, Inc.		6,114		564,322
Rollins, Inc.		14,493		375,369
Roper Technologies, Inc.		2,898		550,011
Ryder System, Inc.		4,549		258,520
Snap-on, Inc.		2,945		504,861
Southwest Airlines Co.		6,831		294,142
Stanley Black & Decker, Inc.		4,648		496,081
Stericycle, Inc. (a)		3,788		456,833
Textron, Inc.		8,937		375,443
The ADT Corp.		10,525		347,115
The Boeing Co.		2,998		433,481
The Middleby Corp. (a)		3,170		341,948
Towers Watson & Co.		3,333		428,157
Union Pacific Corp.		4,098		320,464
United Continental Holdings, Inc. (a)		3,902		223,585
United Parcel Service, Inc.		4,319		415,617
United Rentals, Inc. (a)		3,073		222,915
United Technologies Corp.		4,831		464,114
Verisk Analytics, Inc., Class A (a)		5,549		426,607
W.W. Grainger, Inc.		2,139		433,341
WABCO Holdings, Inc. (a)		2,942		300,849
Wabtec Corp.		3,991		283,840
Waste Connections, Inc.		10,546		593,950
Xylem, Inc.		13,627		497,386
				33,221,965
Information Technology (13.7%):
Adobe Systems, Inc. (a)		4,995		469,229
Akamai Technologies, Inc. (a)		5,017		264,045
Alliance Data Systems Corp. (a)		1,536		424,812
Alphabet, Inc., Class A (a)		437		339,990
Amdocs Ltd.		9,668		527,583
Amphenol Corp., Class A		8,006		418,154
Analog Devices, Inc.		5,051		279,421
ANSYS, Inc. (a)		4,845		448,163
Apple, Inc.		2,896		304,833
Applied Materials, Inc.		19,725		368,266
Arista Networks, Inc. (a)		3,279		255,237
Arrow Electronics, Inc. (a)		5,724		310,126
Automatic Data Processing, Inc.		5,703		483,158
Avnet, Inc.		8,466		362,683
Broadridge Financial Solutions, Inc.		8,074		433,816
Brocade Communications Systems, Inc.		26,620		244,372
CA, Inc.		14,951		427,001
Cadence Design Systems, Inc. (a)		16,749		348,547
CDW Corp. of Delaware		9,743		409,596
Cisco Systems, Inc.		14,222		386,198
Citrix Systems, Inc. (a)		4,585		346,855
Cognizant Technology Solutions Corp., Class A (a)		5,338		320,387
CommScope Holding Co., Inc. (a)		7,270		188,220

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Corning, Inc.		21,986	$	401,904
eBay, Inc. (a)		14,452		397,141
Electronic Arts, Inc. (a)		4,357		299,413
EMC Corp.		13,928		357,671
F5 Networks, Inc. (a)		2,753		266,931
Facebook, Inc., Class A (a)		3,709		388,184
Fidelity National Information Services, Inc.		5,656		342,754
Fiserv, Inc. (a)		5,299		484,647
FleetCor Technologies, Inc. (a)		2,643		377,764
Flextronics International Ltd. (a)		31,103		348,665
Gartner, Inc. (a)		5,094		462,026
Genpact Ltd. (a)		17,966		448,791
Global Payments, Inc.		6,684		431,185
HP, Inc.		23,803		281,828
Intel Corp.		18,085		623,029
International Business Machines Corp.		2,873		395,382
IPG Photonics Corp. (a)		3,165		282,191
Jack Henry & Associates, Inc.		7,575		591,304
KLA-Tencor Corp.		6,524		452,440
Lam Research Corp.		4,377		347,621
Linear Technology Corp.		9,173		389,577
MasterCard, Inc., Class A		4,645		452,237
Microchip Technology, Inc.		8,186		380,976
Micron Technology, Inc. (a)		10,305		145,919
Motorola Solutions, Inc.		5,968		408,510
NVIDIA Corp.		11,550		380,688
Oracle Corp.		11,517		420,716
Paychex, Inc.		11,052		584,540
QUALCOMM, Inc.		6,183		309,057
Red Hat, Inc. (a)		4,933		408,502
SanDisk Corp.		3,259		247,651
Seagate Technology PLC		5,797		212,518
Skyworks Solutions, Inc.		2,654		203,907
SS&C Technologies Holdings, Inc.		4,527		309,058
Symantec Corp.		16,311		342,531
Synopsys, Inc. (a)		9,948		453,728
Texas Instruments, Inc.		7,236		396,605
The Ultimate Software Group, Inc. (a)		1,943		379,876
The Western Union Co.		18,817		337,012
Total System Services, Inc.		8,513		423,947
Trimble Navigation Ltd. (a)		14,586		312,870
Tyler Technologies, Inc. (a)		2,481		432,488
VeriSign, Inc. (a)		6,357		555,348
Visa, Inc., Class A		5,712		442,966
VMware, Inc., Class A (a)		4,119		233,012
Western Digital Corp.		3,549		213,117
Xerox Corp.		31,032		329,870
Xilinx, Inc.		8,428		395,863
				26,444,652

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Materials (5.4%):
Air Products & Chemicals, Inc.		2,851	$	370,944
Airgas, Inc.		4,776		660,616
Alcoa, Inc.		26,277		259,354
Ashland, Inc.		4,017		412,546
Avery Dennison Corp.		6,991		438,056
Ball Corp.		5,530		402,197
CF Industries Holdings, Inc.		4,826		196,949
Crown Holdings, Inc. (a)		7,413		375,839
E.I. du Pont de Nemours & Co.		7,537		501,964
Eastman Chemical Co.		4,727		319,120
Ecolab, Inc.		4,094		468,272
International Flavors & Fragrances, Inc.		3,746		448,171
International Paper Co.		9,044		340,959
LyondellBasell Industries NV, Class A		3,226		280,339
Martin Marietta Materials, Inc.		1,607		219,484
NewMarket Corp.		1,008		383,776
Newmont Mining Corp.		12,729		228,995
Nucor Corp.		7,663		308,819
Packaging Corp. of America		4,676		294,822
PPG Industries, Inc.		4,482		442,911
Praxair, Inc.		5,224		534,938
Sealed Air Corp.		6,515		290,569
The Dow Chemical Co.		7,808		401,956
The Mosaic Co.		10,211		281,721
The Sherwin-Williams Co.		1,617		419,773
The Valspar Corp.		6,250		518,438
W.R. Grace & Co. (a)		3,775		375,952
Westlake Chemical Corp.		4,925		267,526
				10,445,006
Telecommunication Services (0.2%):
CenturyLink, Inc.		12,935		325,445
Utilities (7.2%):
AES Corp.		28,498		272,726
Alliant Energy Corp.		7,885		492,418
Ameren Corp.		10,938		472,850
American Electric Power Co., Inc.		8,061		469,714
American Water Works Co., Inc.		9,478		566,311
Aqua America, Inc.		17,535		522,543
Atmos Energy Corp.		8,034		506,463
CenterPoint Energy, Inc.		21,514		394,997
CMS Energy Corp.		12,180		439,454
Consolidated Edison, Inc.		7,371		473,734
Dominion Resources, Inc.		6,919		468,001
DTE Energy Co.		5,598		448,904
Duke Energy Corp.		6,410		457,610
Edison International		6,979		413,227
Entergy Corp.		6,647		454,389
Eversource Energy		9,193		469,487

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Exelon Corp.		11,597	$	322,049
ITC Holdings Corp.		12,251		480,852
NextEra Energy, Inc.		4,656		483,712
OGE Energy Corp.		15,374		404,182
Pepco Holdings, Inc.		14,347		373,165
PG&E Corp.		8,715		463,551
Pinnacle West Capital Corp.		7,581		488,823
Public Service Enterprise Group, Inc.		9,690		374,906
SCANA Corp.		7,953		481,077
Sempra Energy		4,748		446,359
TECO Energy, Inc.		12,263		326,809
The Southern Co.		11,090		518,900
WEC Energy Group, Inc.		8,447		433,416
Westar Energy, Inc.		12,016		509,599
Xcel Energy, Inc.		13,310		477,962
				13,908,190
Total Common Stocks (Cost $180,397,050)				192,127,016
Cash Equivalents (0.8%)
Citibank Money Market Deposit Account, 0.02% (b)		1,453,405		1,453,405
Total Cash Equivalents (Cost $1,453,405)				1,453,405
Total Investments (Cost $181,850,455) — 99.9%				193,580,421
Segregated cash with broker — 0.1% (c)				202,913
Liabilities in excess of other assets — (0.0)% (d)				(72,161	)
NET ASSETS — 100.00%			$	193,711,173

(a)  Non-income producing security.

(b)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(c)  Segregated cash with broker represents collateral for futures contracts.

(d)  Less than 0.05% of net assets.

LLC — Limited Liability Co.

LP — Limited Partnership

PLC — Public Liability Co.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
E-Mini S&P 500 Futures		16	3/21/16	$	1,628,320	$	(5,530	)

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Common Stocks (97.7%)
Australia (4.5%):
Consumer Staples (0.5%):
Wesfarmers Ltd.		3,581	$	107,931
Woolworths Ltd.		3,702		65,665
				173,596
Energy (0.3%):
Oil Search Ltd.		8,742		42,539
Woodside Petroleum Ltd.		2,981		62,089
				104,628
Financials (2.0%):
AMP Ltd.		17,051		71,825
Australia & New Zealand Banking Group Ltd.		3,862		77,913
Commonwealth Bank of Australia		1,579		97,594
Insurance Australia Group Ltd.		19,804		79,512
Macquarie Group Ltd.		1,298		77,629
National Australia Bank Ltd.		3,907		85,235
QBE Insurance Group Ltd.		6,864		62,412
Suncorp Group Ltd.		10,194		89,479
Westpac Banking Corp.		3,462		83,895
				725,494
Health Care (0.5%):
CSL Ltd.		1,216		92,682
Ramsay Health Care Ltd.		1,726		84,848
				177,530
Industrials (0.5%):
Aurizon Holdings Ltd.		20,912		66,369
Brambles Ltd.		11,785		98,672
				165,041
Materials (0.4%):
Amcor Ltd.		8,005		77,749
Newcrest Mining Ltd. (b)		5,321		50,335
				128,084
Telecommunication Services (0.3%):
Telstra Corp. Ltd.		26,061		105,875
				1,580,248
Austria (0.1%):
Materials (0.1%):
Voestalpine AG		1,395		42,665
Belgium (2.1%):
Consumer Discretionary (0.2%):
Telenet Group Holding NV (b)		1,389		75,057

See notes to financial statements.

76

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Consumer Staples (0.5%):
Anheuser-Busch InBev NV		614	$	76,400
Colruyt SA		1,935		99,530
				175,930
Financials (0.8%):
Ageas		2,393		111,053
Groupe Bruxelles Lambert SA		1,252		107,116
KBC Groep NV		1,034		64,643
				282,812
Health Care (0.2%):
UCB SA		838		75,630
Materials (0.2%):
Solvay SA		627		66,910
Telecommunication Services (0.2%):
Proximus SADP		2,081		67,709
				744,048
Bermuda (0.4%):
Financials (0.2%):
Hongkong Land Holdings Ltd.		10,200		71,224
Industrials (0.2%):
Jardine Matheson Holdings Ltd.		1,600		77,484
				148,708
Canada (9.2%):
Consumer Discretionary (1.1%):
Canadian Tire Corp. Ltd.		893		76,268
Dollarama, Inc.		1,457		84,187
Gildan Activewear, Inc.		2,466		70,121
Magna International, Inc.		1,307		53,017
Shaw Communications, Inc., Class B		6,093		104,816
				388,409
Consumer Staples (1.4%):
Alimentation Couche-Tard, Inc., Class B		1,315		57,894
Empire Co. Ltd.		4,201		78,159
George Weston Ltd.		1,139		88,041
Loblaw Cos. Ltd.		1,976		93,323
Metro, Inc.		3,510		98,285
Saputo, Inc.		3,610		86,369
				502,071
Energy (0.7%):
Imperial Oil Ltd.		2,020		65,820
Inter Pipeline Ltd.		2,961		47,534
Pembina Pipeline Corp.		2,355		51,321
TransCanada Corp.		2,545		83,129
				247,804

See notes to financial statements.

77

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (3.5%):
Bank of Montreal		1,987	$	112,140
Brookfield Asset Management, Inc.		2,667		84,145
Canadian Imperial Bank of Commerce		1,408		92,805
Great-West Lifeco, Inc.		4,015		100,208
Intact Financial Corp.		1,610		103,198
Manulife Financial Corp.		5,380		80,651
National Bank of Canada		2,616		76,220
Power Corp. of Canada		4,134		86,475
Power Financial Corp.		3,938		90,544
Royal Bank of Canada		2,024		108,478
Sun Life Financial, Inc.		2,412		75,228
The Bank of Nova Scotia		2,327		94,140
The Toronto-Dominion Bank		2,752		107,892
				1,212,124
Industrials (0.4%):
Canadian National Railway Co.		1,541		86,156
Canadian Pacific Railway Ltd.		462		59,016
				145,172
Information Technology (0.4%):
CGI Group, Inc. (b)		1,879		75,241
Constellation Software, Inc.		144		60,044
				135,285
Materials (0.5%):
Agrium, Inc.		689		61,589
Franco-Nevada Corp.		1,089		49,826
Potash Corp. of Saskatchewan, Inc.		3,268		55,982
				167,397
Telecommunication Services (0.8%):
BCE, Inc.		2,646		102,244
Rogers Communications, Inc.		2,892		99,752
TELUS Corp.		3,275		90,569
				292,565
Utilities (0.4%):
Canadian Utilities Ltd., Class A		2,909		67,159
Fortis, Inc.		3,072		83,067
				150,226
				3,241,053
Denmark (1.7%):
Consumer Discretionary (0.1%):
Pandora A/S		417		52,586
Health Care (0.4%):
Coloplast A/S		968		78,167
Novo Nordisk A/S, Class B		1,089		63,062
				141,229

See notes to financial statements.

78

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
Industrials (0.8%):
A.P. Moeller-Maersk A/S, Class B		36	$	46,963
DSV A/S		2,199		86,576
ISS A/S		2,055		74,089
Vestas Wind Systems A/S		868		60,631
				268,259
Materials (0.4%):
Christian Hansen Holding A/S		1,372		85,834
Novozymes A/S, B Shares		1,366		65,414
				151,248
				613,322
Finland (1.1%):
Financials (0.2%):
Sampo Oyj, Class A		1,627		82,611
Industrials (0.4%):
Kone Oyj, Class B		1,513		64,053
Wartsila Oyj ABP		1,667		76,102
				140,155
Information Technology (0.1%):
Nokia Oyj		7,475		52,875
Materials (0.2%):
UPM-Kymmene Oyj		3,331		61,833
Utilities (0.2%):
Fortum Oyj		3,953		59,549
				397,023
France (9.1%):
Consumer Discretionary (2.5%):
Accor SA		1,303		56,425
Christian Dior SE		348		59,104
Compagnie Generale DES Etablissements Michelin		721		68,617
Eutelsat Communications SA		2,797		83,732
Hermes International		180		60,836
JCDecaux SA		2,059		78,921
Kering		387		66,158
LVMH Moet Hennessy Louis Vuitton SA		329		51,669
Publicis Groupe SA		1,037		68,946
Renault SA		549		54,945
Sodexo SA		1,113		108,722
Valeo SA		389		59,966
Vivendi Universal SA		3,232		69,405
				887,446
Consumer Staples (1.0%):
Carrefour SA		2,149		62,011
Casino Guichard Perrachon SA		1,147		52,687
Danone SA		1,371		92,631

See notes to financial statements.

79

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
L'Oreal SA		420	$	70,636
Pernod Ricard SA		668		76,171
				354,136
Financials (1.0%):
AXA SA		2,463		67,289
BNP Paribas SA		930		52,610
CNP Assurances		5,200		70,135
Credit Agricole SA		4,032		47,507
Natixis SA		9,127		51,625
Societe Generale SA		1,167		53,771
				342,937
Health Care (0.4%):
Essilor International SA		529		65,924
Sanofi		658		56,068
				121,992
Industrials (2.4%):
Aeroports de Paris		733		85,287
Airbus Group SE		852		57,406
Bollore SA		10,997		51,235
Bureau Veritas SA		3,545		70,647
Compagnie de Saint-Gobain		1,336		57,888
Eiffage SA		880		56,865
Groupe Eurotunnel SE		5,820		72,397
Legrand SA		1,203		68,039
Schneider Electric SA		1,073		60,942
Societe BIC SA		436		71,736
Thales SA		1,052		78,731
Vinci SA		1,055		67,611
Zodiac Aerospace		1,883		44,829
				843,613
Information Technology (0.8%):
Atos SE		900		75,547
Cap Gemini SA		698		64,756
Dassault Systemes SA		1,019		81,438
Ingenico Group		469		59,190
				280,931
Materials (0.2%):
Air Liquide SA		597		67,014
Telecommunication Services (0.3%):
Iliad SA		252		60,063
Orange SA		3,356		56,124
				116,187
Utilities (0.5%):
Electricite de France SA		3,618		53,277
Suez Environnement Co.		2,823		52,792

See notes to financial statements.

80

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Veolia Environnement SA		2,980	$	70,693
				176,762
				3,191,018
Germany (5.9%):
Consumer Discretionary (1.4%):
Bayerische Motoren Werke AG		597		62,886
Continental AG		250		60,469
Daimler AG, Registered Shares		733		61,237
Hugo Boss AG		612		50,489
Kabel Deutschland Holding AG		732		90,437
ProSiebenSat.1 Media SE		1,249		63,005
Volkswagen AG		300		46,094
Zalando SE (b)		1,332		52,599
				487,216
Consumer Staples (0.2%):
Beiersdorf AG		933		84,790
Financials (1.4%):
Allianz SE		480		84,602
Deutsche Boerse AG		821		72,157
Hannover Rueck SE		754		86,087
Muenchener Rueckversicherungs-Gesellschaft AG		516		102,793
Talanx AG		2,619		80,535
Vonovia SE		1,773		54,766
				480,940
Health Care (0.8%):
Bayer AG		436		54,445
Fresenius Medical Care AG & Co. KGaA		894		75,117
Fresenius SE & Co. KGaA		911		64,884
Merck KGaA		715		69,217
				263,663
Industrials (0.6%):
Brenntag AG		1,283		66,845
Deutsche Post AG		2,613		73,044
Siemens AG		794		76,806
				216,695
Information Technology (0.7%):
Infineon Technologies AG		5,457		79,545
SAP SE		1,160		92,037
United Internet AG		1,177		64,702
				236,284
Materials (0.8%):
BASF SE		814		62,000
Evonik Industries AG		1,889		62,474
K+S AG		961		24,494

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Linde AG		448	$	64,708
Symrise AG		1,156		76,515
				290,191
				2,059,779
Hong Kong (5.2%):
Consumer Discretionary (0.5%):
Chow Tai Fook Jewellery Group Ltd.		60,000		38,671
Galaxy Entertainment Group Ltd.		12,000		37,601
Michael Kors Holdings Ltd. (b)		857		34,331
Techtronic Industries Co. Ltd.		15,000		60,726
				171,329
Consumer Staples (0.1%):
WH Group Ltd. (b)		84,000		46,753
Financials (2.0%):
BOC Hong Kong Holdings Ltd.		18,000		54,776
China Overseas Land & Investment Ltd.		14,000		48,741
China Taiping Insurance Holdings Co. Ltd. (b)		9,800		30,082
Goldin Financial Holdings Ltd. (b)		8,000		15,663
Hong Kong Exchanges and Clearing Ltd.		1,510		38,468
New World Development Co. Ltd.		71,000		69,720
Sino Land Co. Ltd.		44,000		64,099
Swire Pacific Ltd., Class A		8,000		89,364
Swire Properties Ltd.		25,000		71,886
The Bank of East Asia Ltd.		25,400		94,224
The Wharf Holdings Ltd.		12,000		66,164
Wheelock & Co. Ltd.		13,000		54,552
				697,739
Industrials (1.0%):
Beijing Enterprises Holdings Ltd.		10,000		60,285
Cathay Pacific Airways Ltd.		34,000		58,504
CITIC Ltd.		34,000		59,952
Jardine Strategic Holdings Ltd.		2,900		79,047
MTR Corp. Ltd.		20,000		98,759
				356,547
Information Technology (0.0%): (c)
Hanergy Thin Film Power Group Ltd. (b) (d)		82,000		1,799
Telecommunication Services (0.3%):
China Mobile Ltd.		4,500		50,654
China Unicom Hong Kong Ltd.		34,000		41,074
				91,728
Utilities (1.3%):
China Gas Holdings Ltd.		28,000		40,234
China Resources Power Holdings Co. Ltd.		18,000		34,826
CLP Holdings Ltd.		15,500		131,382
Guangdong Investment Ltd.		34,000		48,017

See notes to financial statements.

82

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  (Unaudited)

Security Description	Shares		Fair Value (a)
Hong Kong & China Gas Co. Ltd.		66,440	$	130,030
Power Assets Holdings Ltd.		9,500		87,095
				471,584
				1,837,479
Ireland (2.2%):
Consumer Discretionary (0.2%):
WPP PLC		3,887		89,395
Consumer Staples (0.3%):
Kerry Group PLC		1,169		97,575
Financials (0.4%):
Bank of Ireland (b)		119,908		44,256
XL Group PLC		2,951		115,620
				159,876
Health Care (0.2%):
Jazz Pharmaceuticals PLC (b)		169		23,755
Shire PLC		827		56,730
				80,485
Industrials (0.5%):
DCC PLC		955		79,771
Experian PLC		4,740		83,765
				163,536
Information Technology (0.3%):
Accenture PLC, Class A		873		91,228
Materials (0.3%):
CRH PLC		1,750		50,659
Smurfit Kappa Group PLC		1,717		44,182
				94,841
				776,936
Israel (0.6%):
Health Care (0.2%):
Teva Pharmaceutical Industries Ltd.		1,013		66,106
Information Technology (0.2%):
Check Point Software Technologies Ltd. (b)		1,009		82,112
Materials (0.2%):
Israel Chemicals Ltd.		12,983		52,716
				200,934
Italy (1.9%):
Consumer Discretionary (0.3%):
Luxottica Group SpA		868		56,556
Prada SpA		16,290		50,543
				107,099

See notes to financial statements.

83

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (0.8%):
Assicurazioni Generali SpA		3,593	$	65,623
EXOR SpA		1,356		61,536
Intesa Sanpaolo SpA		13,574		45,073
Mediobanca SpA		5,241		50,234
UniCredit SpA		7,267		40,172
				262,638
Industrials (0.3%):
Atlantia SpA		2,479		65,581
Finmeccanica SpA (b)		3,729		51,842
				117,423
Utilities (0.5%):
Snam SpA		14,281		74,522
Terna Rete Elettrica Nazionale SpA		17,267		88,790
				163,312
				650,472
Japan (19.8%):
Consumer Discretionary (3.6%):
Aisin Seiki Co. Ltd.		1,626		69,989
Bridgestone Corp.		1,958		67,171
Denso Corp.		1,486		71,018
Dentsu, Inc.		800		43,775
Fuji Heavy Industries Ltd.		1,665		68,600
Honda Motor Co. Ltd.		1,943		62,109
Isuzu Motors Ltd.		5,265		56,725
Mazda Motor Corp.		3,500		72,231
Mitsubishi Motors Corp.		7,500		63,462
Nissan Motor Co. Ltd.		6,949		72,770
Nitori Holdings Co. Ltd.		600		50,395
Oriental Land Co. Ltd.		852		51,550
Panasonic Corp.		5,600		56,777
Rakuten, Inc.		3,600		41,469
Sekisui House Ltd.		4,597		77,303
Shimano, Inc.		440		67,574
Sumitomo Electric Industries Ltd.		4,492		63,439
Suzuki Motor Corp.		1,605		48,772
Toyota Industries Corp.		1,181		63,160
Toyota Motor Corp.		1,287		79,262
				1,247,551
Consumer Staples (2.2%):
Aeon Co. Ltd.		4,100		63,179
Ajinomoto Co., Inc.		3,000		71,036
Asahi Group Holdings Ltd.		2,300		72,009
Japan Tobacco, Inc.		1,587		58,272
Kao Corp.		1,393		71,593
Kirin Holdings Co. Ltd.		5,000		67,894
MEIJI Holdings Co. Ltd.		600		49,566

See notes to financial statements.

84

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Seven & i Holdings Co. Ltd.		1,644	$	75,279
Shiseido Co. Ltd.		2,300		47,728
Suntory Beverage & Food Ltd.		1,800		78,807
Uni-Charm Corp.		3,200		65,358
Yakult Honsha Co. Ltd.		963		47,140
				767,861
Financials (3.2%):
Daito Trust Construction Co. Ltd.		774		89,416
Daiwa House Industry Co. Ltd.		2,600		74,750
Daiwa Securities Group, Inc.		10,000		61,145
Japan Exchange Group, Inc.		3,400		53,155
Mitsubishi UFJ Financial Group, Inc.		8,784		54,417
Mitsui Fudosan Co. Ltd.		1,772		44,479
Mizuho Financial Group, Inc.		32,752		65,512
Nomura Holdings, Inc.		11,269		62,777
ORIX Corp.		4,040		56,682
Resona Holdings, Inc.		12,931		62,804
Sompo Japan Nipponkoa Holdings, Inc.		1,500		49,258
Sony Financial Holdings, Inc.		3,500		62,613
Sumitomo Mitsui Financial Group, Inc.		1,594		60,167
Sumitomo Mitsui Trust Holdings, Inc.		16,084		60,923
Sumitomo Realty & Development		1,564		44,646
T&D Holdings, Inc.		3,800		50,142
The Bank of Yokohama Ltd.		9,000		55,173
The Dai-ichi Life Insurance Co. Ltd.		2,700		44,928
Tokio Marine Holdings, Inc.		1,400		54,081
				1,107,068
Health Care (1.6%):
Astellas Pharma, Inc.		4,900		69,764
Chugai Pharmaceutical Co. Ltd.		1,475		51,420
Daiichi Sankyo Co. Ltd.		3,400		70,184
Eisai Co. Ltd.		569		37,644
Hoya Corp.		1,602		65,518
Kyowa Hakko Kirin Co. Ltd.		3,000		47,210
M3, Inc.		2,600		53,916
Otsuka Holdings Co. Ltd.		1,724		61,259
Sysmex Corp.		900		57,737
Terumo Corp.		2,000		61,995
				576,647
Industrials (4.4%):
Asahi Glass Co. Ltd.		10,000		57,296
Central Japan Railway Co.		288		51,136
Daikin Industries Ltd.		1,100		80,114
FANUC Corp.		230		39,632
Hankyu Hanshin Holdings, Inc.		13,000		84,509
ITOCHU Corp.		4,812		56,926
Japan Airlines Co. Ltd.		1,700		60,855
Komatsu Ltd.		3,868		63,298

See notes to financial statements.

85

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Kubota Corp.		4,105	$	63,425
Makita Corp.		900		51,870
Mitsubishi Corp.		3,568		59,354
Mitsubishi Electric Corp.		7,266		76,280
Mitsubishi Heavy Industries Ltd.		15,000		65,596
Mitsui & Co. Ltd.		6,154		73,131
NGK Insulators Ltd.		2,000		45,086
Nidec Corp.		800		58,020
Recruit Holdings Co. Ltd.		2,200		64,674
Secom Co. Ltd.		1,200		81,334
Seibu Holdings, Inc.		2,500		51,062
Shimizu Corp.		8,000		65,242
SMC Corp.		233		60,526
TAISEI Corp.		12,000		79,053
Tokyu Corp.		9,949		78,631
Toshiba Corp.		17,000		34,943
Toyota Tsusho Corp.		2,658		62,186
				1,564,179
Information Technology (2.6%):
Canon, Inc.		2,716		82,169
FUJIFILM Holdings Corp.		1,747		72,916
Hitachi Ltd.		12,699		71,966
Keyence Corp.		197		108,286
Kyocera Corp.		1,280		59,451
Murata Manufacturing Co. Ltd.		300		43,170
Nomura Research Institute Ltd.		1,920		73,744
NTT Data Corp.		1,500		72,528
Omron Corp.		1,900		63,367
Renesas Electronics Corp. (b)		8,100		50,874
Ricoh Co. Ltd.		6,500		66,938
TDK Corp.		800		51,242
Tokyo Electron Ltd.		800		48,474
Yahoo Japan Corp.		13,200		53,663
				918,788
Materials (1.2%):
Asahi Kasei Corp.		8,578		58,013
JFE Holdings, Inc.		3,100		48,683
Nippon Steel & Sumitomo Metal		3,000		59,354
Nitto Denko Corp.		865		63,158
Shin-Etsu Chemical Co. Ltd.		1,298		70,576
Sumitomo Chemical Co. Ltd.		9,000		51,694
Toray Industries, Inc.		7,838		72,844
				424,322
Telecommunication Services (0.8%):
KDDI Corp.		2,501		64,960
Nippon Telegraph & Telephone Corp.		1,712		68,143
NTT DOCOMO, Inc.		3,400		69,748

See notes to financial statements.

86

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December 31, 2015

  (Unaudited)

Security Description	Shares		Fair Value(a)
SoftBank Group Corp.		1,475	$	74,453
				277,304
Utilities (0.2%):
Osaka Gas Co. Ltd.		21,000		75,860
				6,959,580
Netherlands (2.6%):
Consumer Discretionary (0.5%):
RELX NV		5,087		85,665
Wolters Kluwer NV		2,222		74,612
				160,277
Consumer Staples (0.4%):
Heineken NV		966		82,309
Koninklijke Ahold NV		3,348		70,611
				152,920
Financials (0.4%):
Aegon NV		9,935		56,180
NN Group NV		2,917		102,906
				159,086
Industrials (0.7%):
AerCap Holdings NV (b)		1,667		71,948
Boskalis Westminster		1,145		46,701
Randstad Holding NV		955		59,461
Sensata Technologies Holding NV (b)		1,660		76,459
				254,569
Information Technology (0.3%):
ASML Holding NV		557		49,483
Gemalto NV		887		53,215
				102,698
Materials (0.3%):
AKZO Nobel NV		1,012		67,611
OCI NV		1,355		33,453
				101,064
				930,614
Norway (0.8%):
Financials (0.4%):
DNB ASA		4,908		60,494
Gjensidige Forsikring ASA		6,028		96,512
				157,006
Materials (0.2%):
Yara International ASA		1,469		63,201
Telecommunication Services (0.2%):
Telenor ASA		3,669		61,178
				281,385

See notes to financial statements.

87

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Portugal (0.3%):
Consumer Staples (0.1%):
Jeronimo Martins SGPS SA		3,394	$	44,158
Utilities (0.2%):
EDP — Energias de Portugal SA		18,869		67,982
				112,140
Singapore (3.0%):
Consumer Discretionary (0.3%):
Jardine Cycle & Carriage Ltd.		3,571		87,338
Consumer Staples (0.3%):
Wilmar International Ltd.		52,133		107,613
Financials (1.3%):
CapitaLand Ltd.		38,551		90,652
DBS Group Holdings Ltd.		7,833		91,838
Global Logistic Properties Ltd.		47,774		72,177
Oversea-Chinese Banking Corp. Ltd.		17,289		106,933
United Overseas Bank Ltd.		7,067		97,473
				459,073
Industrials (0.7%):
Keppel Corp. Ltd.		16,133		73,730
Singapore Airlines Ltd.		11,300		89,076
Singapore Technologies Engineering Ltd.		38,685		81,810
				244,616
Information Technology (0.1%):
Avago Technologies Ltd.		356		51,673
Telecommunication Services (0.3%):
Singapore Telecommunications Ltd.		35,469		91,487
				1,041,800
Spain (3.4%):
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		1,987		68,252
Financials (1.0%):
Banco Bilbao Vizcaya Argentaria SA		7,390		53,990
Banco de Sabadell SA		27,337		48,443
Banco Popular Espanol SA		13,081		43,094
Banco Santander SA		8,661		42,601
Bankia SA		50,218		58,432
CaixaBank SA		14,932		51,965
Mapfre SA		24,205		60,581
				359,106
Health Care (0.2%):
Grifols SA		1,685		77,873

See notes to financial statements.

88

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Industrials (0.4%):
ACS Actividades de Construccion y Servicios SA		2,034	$	59,502
Ferrovial SA		3,434		77,643
				137,145
Information Technology (0.2%):
Amadeus IT Holding SA		1,786		78,707
Telecommunication Services (0.2%):
Telefonica SA		5,745		63,726
Utilities (1.2%):
Enagas SA		2,923		82,441
Endesa SA		3,823		76,792
Gas Natural SDG SA		4,044		82,455
Iberdrola SA		12,895		91,400
Red Electrica Corp. SA		1,015		84,771
				417,859
				1,202,668
Sweden (3.1%):
Consumer Discretionary (0.3%):
Electrolux AB		1,710		41,287
Hennes & Mauritz AB		2,108		75,034
				116,321
Consumer Staples (0.4%):
ICA Gruppen AB		2,295		83,404
Svenska Cellulosa AB SCA, B Shares		2,282		66,178
				149,582
Financials (0.8%):
Nordea Bank AB		5,562		61,067
Skandinaviska Enskilda Banken AB, Class A		6,573		69,173
Svenska Handelsbanken AB		4,874		64,779
Swedbank AB, A Shares		3,474		76,563
				271,582
Industrials (1.0%):
ALFA Laval AB		3,642		66,534
ASSA Abloy AB		3,511		73,546
Atlas Copco AB, A Shares		2,213		54,311
Sandvik AB		5,691		49,643
Skanska AB, Clas B		3,484		67,614
SKF AB, B Shares		2,848		46,031
				357,679
Information Technology (0.4%):
Hexagon AB, B Shares		1,858		68,780
Telefonaktiebolaget LM Ericsson, B Shares		6,328		61,053
				129,833

See notes to financial statements.

89

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Telecommunication Services (0.2%):
TeliaSonera AB		15,212	$	75,594
				1,100,591
Switzerland (6.7%):
Consumer Discretionary (0.3%):
CIE Financiere Richemont SA		712		50,975
The Swatch Group AG		132		45,853
				96,828
Consumer Staples (0.8%):
Chocoladefabriken Lindt & Spruengli AG, Registered Shares		2		149,205
Coca-Cola HBC AG		2,736		58,257
Nestle SA, Registered Shares		1,149		85,322
				292,784
Financials (1.7%):
ACE Ltd.		1,047		122,342
Credit Suisse Group AG, Registered Shares		2,400		51,716
Julius Baer Group Ltd.		1,025		49,602
Partners Group Holding AG		152		54,681
Swiss Life Holding AG		317		85,410
Swiss Re AG		1,110		108,442
UBS Group AG, Registered Shares		2,873		55,751
Zurich Insurance Group AG		287		73,752
				601,696
Health Care (1.1%):
Actelion Ltd.		379		52,675
Galenica AG		53		82,946
Lonza Group AG, Registered Shares		361		58,729
Novartis AG		685		58,941
Roche Holding AG		249		69,021
Sonova Holding AG, Registered Shares		471		59,860
				382,172
Industrials (1.3%):
ABB Ltd.		3,794		67,734
Adecco SA, Registered Shares		793		54,291
Geberit AG		205		69,455
Kuehne + Nagel International AG		657		90,035
Schindler Holding AG		501		83,842
SGS SA		41		77,944
				443,301
Information Technology (0.3%):
TE Connectivity Ltd.		1,426		92,134
Materials (1.0%):
Clariant AG		3,180		60,314
EMS-Chemie Holding AG		138		60,751
Givaudan SA, Registered shares		41		74,436
LafargeHolcim Ltd.		1,049		52,544

See notes to financial statements.

90

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Sika AG		19	$	68,683
Syngenta AG		117		45,808
				362,536
Telecommunication Services (0.2%):
Swisscom AG		166		83,092
				2,354,543
United Kingdom (13.2%):
Consumer Discretionary (3.3%):
Barratt Developments PLC		6,382		58,800
Berkeley Group Holdings PLC		1,091		59,302
Burberry Group PLC		3,304		58,122
Compass Group PLC		5,714		98,999
Delphi Automotive PLC		904		77,500
InterContinental Hotels Group PLC		2,017		78,609
ITV PLC		19,103		77,764
Kingfisher PLC		13,114		63,509
Marks & Spencer Group PLC		9,773		65,061
Next PLC		808		86,743
Persimmon PLC (b)		1,987		59,271
RELX PLC		5,423		95,626
Sky PLC		5,352		87,722
Sports Direct International PLC (b)		5,887		50,021
Taylor Wimpey PLC		20,892		62,445
Whitbread PLC		1,319		85,481
				1,164,975
Consumer Staples (1.7%):
Associated British Foods PLC		1,469		72,275
British American Tobacco PLC		1,551		86,121
Diageo PLC		3,028		82,676
Imperial Tobacco Group PLC		1,494		78,898
Reckitt Benckiser Group PLC		1,011		93,531
SABMiller PLC		1,525		91,219
Unilever PLC		2,138		91,691
				596,411
Financials (2.9%):
Aon PLC		1,049		96,728
Aviva PLC		9,934		75,393
Direct Line Insurance Group PLC		19,515		116,959
Hargreaves Lansdown PLC		3,020		67,036
HSBC Holdings PLC		9,948		78,521
Legal & General Group PLC		23,123		91,228
London Stock Exchange Group PLC		1,765		71,398
Old Mutual PLC		21,920		57,656
Prudential PLC		3,435		77,378
RSA Insurance Group PLC		7,530		47,254
Schroders PLC		1,559		68,273
St James's Place PLC		4,495		66,614

See notes to financial statements.

91

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  (Unaudited)

Security Description	Shares		Fair Value(a)
Standard Chartered PLC		5,010	$	41,563
Standard Life PLC		11,561		66,195
				1,022,196
Health Care (0.5%):
GlaxoSmithKline PLC		4,080		82,387
Smith & Nephew PLC		4,079		72,686
				155,073
Industrials (2.4%):
Ashtead Group PLC		3,994		65,723
Babcock International Group PLC		4,747		71,030
BAE Systems PLC		13,288		97,819
Bunzl PLC		3,776		104,748
Capita PLC		4,399		78,258
CNH Industrial NV		7,674		52,490
easyJet PLC		2,099		53,825
G4S PLC		24,295		80,692
Intertek Group PLC		1,548		63,315
Royal Mail PLC		9,205		60,283
Smiths Group PLC		4,032		55,750
Travis Perkins PLC		2,608		75,649
				859,582
Information Technology (0.4%):
ARM Holdings PLC		3,905		59,512
The Sage Group PLC		9,604		85,320
				144,832
Materials (0.3%):
Johnson Matthey PLC		1,733		67,782
Rio Tinto PLC		1,589		46,257
				114,039
Telecommunication Services (0.7%):
BT Group PLC		11,957		83,013
Inmarsat PLC		5,096		85,419
Vodafone Group PLC		21,414		69,431
				237,863
Utilities (1.0%):
National Grid PLC		7,025		96,872
Severn Trent PLC		2,795		89,334
SSE PLC		3,540		79,475
United Utilities Group PLC		6,024		82,935
				348,616
				4,643,587

See notes to financial statements.

92

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  (Unaudited)

Security Description	Shares		Fair Value(a)
United States (0.8%):
Consumer Discretionary (0.5%):
Autoliv, Inc.		725	$	90,458
Fiat DaimlerChrysler Automobiles NV (b)		3,574		50,001
lululemon athletica, Inc. (b)		909		47,695
				188,154
Health Care (0.3%):
Jazz Pharmaceuticals PLC (b)		190		26,706
QIAGEN NV (b)		2,930		81,015
				107,721
				295,875
Total Common Stocks (Cost $34,879,304)				34,406,468
Total Investments (Cost $34,879,304) — 97.7%				34,406,468
Segregated cash with broker — 0.4% (e)				145,931
Other assets in excess of liabilities — 1.9%				678,617
NET ASSETS — 100.00%			$	35,231,016

(a)  All securities, except those traded on exchanges in the United States (including ADRs), Brazil, Canada, Cayman Islands, Columbia, and Mexico were fair valued at December 31, 2015.

(b)  Non-income producing security.

(c)  Amount represents less than 0.05% of net assets.

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. At December 31, 2015, illiquid securities were less than 0.005% of the Fund's net assets.

(e)  Segregated cash with broker represents collateral for futures contracts.

PLC — Public Liability Co.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
Mini MSCI EAFE Index Futures		10	3/21/16	$	849,100	$	(8,274	)

See notes to financial statements.

93

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.0%)
Diversified REITs (9.1%):
American Assets Trust, Inc.		2,641	$	101,282
Empire State Realty Trust, Inc.		6,909		124,846
Lexington Realty Trust		11,718		93,744
Liberty Property Trust		3,321		103,117
PS Business Parks, Inc.		1,338		116,981
Select Income REIT		5,409		107,206
W.P. Carey, Inc.		1,959		115,581
Whitestone REIT		8,011		96,212
				858,969
Health Care REITs (11.1%):
Healthcare Realty Trust, Inc.		4,621		130,867
Healthcare Trust of America, Inc.		4,164		112,303
LTC Properties, Inc.		2,673		115,313
National Health Investors, Inc.		1,846		112,366
Omega Healthcare Investors, Inc.		2,665		93,222
Sabra Health Care REIT, Inc.		3,885		78,594
Senior Housing Properties Trust		6,244		92,661
Universal Health Realty Income Trust		2,029		101,470
Ventas, Inc.		1,797		101,405
Welltower, Inc.		1,597		108,644
				1,046,845
Hotel & Resort REITs (5.7%):
DiamondRock Hospitality Co.		7,843		75,685
Hospitality Properties Trust		3,426		89,590
Host Hotels & Resorts, Inc.		4,924		75,534
Pebblebrook Hotel Trust		2,097		58,758
RLJ Lodging Trust		3,385		73,218
Ryman Hospitality Properties, Inc.		1,675		86,497
Summit Hotel Properties, Inc.		6,385		76,301
				535,583
Industrial REITs (6.0%):
DCT Industrial Trust, Inc.		3,111		116,258
EastGroup Properties, Inc.		1,998		111,109
First Industrial Realty Trust		4,812		106,490
Monmouth Real Estate Investment Corp., Class — A		11,475		120,029
Prologis, Inc.		2,627		112,751
				566,637
Mortgage REITs (0.4%):
United Development Funding IV		3,669		40,359
Office REITs (12.1%):
BioMed Realty Trust, Inc.		4,901		116,105
Boston Properties, Inc.		868		110,705
Columbia Property Trust, Inc.		5,207		122,260
Corporate Office Properties Trust		5,077		110,831
Douglas Emmett, Inc.		3,526		109,941

See notes to financial statements.

94

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Franklin Street Properties Corp.		10,669	$	110,424
Highwoods Properties, Inc.		2,857		124,565
Kilroy Realty Corp.		1,514		95,806
Piedmont Office Realty Trust, Inc.		6,581		124,249
Vornado Realty Trust		1,160		115,954
				1,140,840
Residential REITs (11.1%):
Apartment Investment & Management Co., Class A		2,583		103,397
AvalonBay Communities, Inc.		640		117,843
Camden Property Trust		1,494		114,679
Equity LifeStyle Properties, Inc.		1,892		126,140
Equity Residential		1,390		113,410
Essex Property Trust, Inc.		486		116,353
Mid-America Apartment Communities, Inc.		1,346		122,230
Post Properties, Inc.		1,892		111,931
UDR, Inc.		3,147		118,233
				1,044,216
Retail REITs (21.8%):
Acadia Realty Trust		3,578		118,611
Agree Realty Corp.		3,951		134,294
Alexander's, Inc.		207		79,511
Brixmor Property Group, Inc.		4,889		126,234
CBL & Associates Properties, Inc.		6,333		78,339
Federal Realty Investment Trust		786		114,835
General Growth Properties, Inc.		3,943		107,289
Kimco Realty Corp.		4,205		111,264
National Retail Properties, Inc.		2,812		112,621
Realty Income Corp.		2,230		115,135
Regency Centers Corp.		1,637		111,512
Retail Opportunity Investments Corp.		6,228		111,481
Saul Centers, Inc.		1,920		98,438
Simon Property Group, Inc.		582		113,164
Tanger Factory Outlet Centers, Inc.		3,508		114,712
Taubman Centers, Inc.		1,360		104,339
The Macerich Co.		1,060		85,531
Urstadt Biddle Properties, Inc., Class A		5,900		113,516
Weingarten Realty Investors		3,010		104,086
				2,054,912
Specialized REITs (21.6%):
American Tower Corp.		1,120		108,584
CoreSite Realty Corp.		1,714		97,218
Corrections Corp. of America		3,273		86,702
Crown Castle International Corp.		1,532		132,441
CubeSmart		3,848		117,826
DuPont Fabros Technology, Inc.		3,144		99,948
EPR Properties		2,079		121,518
Extra Space Storage, Inc.		1,367		120,583
Gaming and Leisure Properties, Inc.		2,944		81,843
Lamar Advertising Co.		1,909		114,502

See notes to financial statements.

95

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Outfront Media, Inc.		4,622	$	100,898
Plum Creek Timber Co., Inc.		3,864		184,389
Potlatch Corp.		3,737		113,007
Public Storage		543		134,501
QTS Realty Trust, Inc., Class A		1,987		89,634
Sovran Self Storage, Inc.		1,208		129,630
The GEO Group, Inc.		2,775		80,225
Weyerhaeuser Co.		3,904		117,042
				2,030,491
Total Common Stocks (Cost $8,879,060)				9,318,852
Total Investments (Cost $8,879,060) — 99.0%				9,318,852
Segregated cash with broker — 0.4% (a)				34,249
Other assets in excess of liabilities — 0.6%				62,376
NET ASSETS — 100.00%			$	9,415,477

(a)  Segregated cash with broker represents collateral for futures contracts.

REIT — Real Estate Investment Trust

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Appreciation
DJ US Real Estate Index Futures		2	3/21/16	$	58,820	$	110

See notes to financial statements.

96

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December 31, 2015

  (Unaudited)

Security Description	Shares or Principal Amount		Value
U.S. Treasury Obligations (65.5%)
U.S. Treasury Bills 0.09%, 3/17/16 (a) (b)	$	500,000	$	499,899
0.25%, 4/28/16 (a) (b)		700,000		699,413
0.42%, 6/2/16 (a) (b)		2,200,000		2,196,031
0.44%, 6/9/16 (a) (b)		1,000,000		998,039
0.60%, 12/8/16 (a) (b)		1,000,000		994,322
U.S. Treasury Note, 0.88%, 7/15/17 (b)		500,000		499,160
Total U.S. Treasury Obligations (Cost $5,885,588)				5,886,864
Cash Equivalents (27.0%)
Citibank Money Market Deposit Account, 0.02% (c)		2,429,455		2,429,455
Total Cash Equivalents (Cost $2,429,455)				2,429,455
Total Investments (Cost $8,315,043) — 92.6%				8,316,319
Segregated cash with broker — 8.1% (d)				731,085
Liabilities in excess of other assets — (0.7)%				(61,436	)
NET ASSETS — 100.00%			$	8,985,968

(a)  Rate represents the effective yield at purchase.

(b)  All or a portion of this security is being held as collateral for futures contracts.

(c)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(d)  Segregated cash with broker represents collateral for futures contracts.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Appreciation/ (Depreciation)
Cocoa Future		21	3/16/16	$	674,310	$	(11,838	)
Coffee 'C' Future		7	3/21/16		332,588		18,349
Copper Future		9	3/30/16		480,375		(17,123	)
Corn Future		26	3/15/16		466,375		(14,350	)
Cotton No.2 Future		18	3/09/16		569,520		8,852
Gasoline RBOB Future		5	2/01/16		266,910		5,812
Gold 100 Oz Future		7	2/26/16		742,140		(14,024	)
Lean Hogs Future		14	2/15/16		334,880		14,715
Live Cattle Future		13	3/01/16		711,360		18,596
Natural Gas Future		9	1/28/16		210,330		19,457
New York Harbor USLD Future		4	2/01/16		188,815		(14,384	)
NYMEX WTI Crude Future		5	1/21/16		185,200		(7,033	)
Primary Aluminum Future		15	3/15/16		565,406		(5,983	)
Silver Future		5	3/30/16		345,075		(13,523	)
Soybean Future		12	3/15/16		518,550		(8,745	)
Soybean Meal Future		15	3/15/16		398,250		(15,510	)
Soybean Oil Future		32	3/15/16		590,400		(14,150	)
Sugar #11 Future		34	3/01/16		580,339		96,351
Wheat Future		16	3/15/16		376,000		(17,835	)
Zinc Future		12	3/15/16		482,700		(6,047	)
						$	21,588

See notes to financial statements.

97

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December 31, 2015

  (Unaudited)

Security Description	Shares or Principal Amount		Value
U.S. Treasury Obligations (74.0%)
U.S. Treasury Bills 0.09%, 3/17/16 (a) (b)	$	500,000	$	499,899
0.42%, 6/2/16 (a) (b)		2,200,000		2,196,030
0.44%, 6/9/16 (a) (b)		1,000,000		998,039
0.60%, 12/8/16 (a) (b)		250,000		248,581
U.S. Treasury Note, 0.88%, 7/15/17 (b)		500,000		499,160
Total U.S. Treasury Obligations (Cost $4,440,797)				4,441,709
Cash Equivalents (15.8%)
Citibank Money Market Deposit Account, 0.02% (c)		945,760		945,760
Total Cash Equivalents (Cost $945,760)				945,760
Total Investments (Cost $5,386,557) — 89.8%				5,387,469
Segregated cash with broker — 9.9% (d)				594,293
Other assets in excess of liabilities — 0.3%				17,472
NET ASSETS — 100.00%			$	5,999,234

(a)  Rate represents the effective yield at purchase.

(b)  All or a portion of this security is being held as collateral for futures contracts.

(c)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(d)  Segregated cash with broker represents collateral for futures contracts.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Appreciation/ (Depreciation)
Cocoa Future		14	3/16/16	$	449,539	$	(11,055	)
Coffee 'C' Future		5	3/21/16		237,563		14,513
Copper Future		6	3/30/16		320,250		(9,913	)
Corn Future		17	3/15/16		304,938		(10,783	)
Cotton No.2 Future		12	3/09/16		379,680		5,745
Gasoline RBOB Future		3	2/01/16		160,146		5,216
Gold 100 Oz Future		4	2/26/16		424,080		(8,018	)
Lean Hogs Future		10	2/15/16		239,200		10,862
Live Cattle Future		8	3/01/16		437,760		14,526
Natural Gas Future		6	1/28/16		140,220		14,505
New York Harbor USLD Future		3	2/01/16		141,611		(16,313	)
NYMEX WTI Crude Future		4	1/21/16		148,160		(2,581	)
Primary Aluminum Future		10	3/15/16		376,938		(388	)
Silver Future		4	3/30/16		276,060		(8,355	)
Soybean Future		8	3/15/16		345,700		(6,068	)
Soybean Meal Future		10	3/15/16		265,500		(11,945	)
Soybean Oil Future		21	3/15/16		387,450		(10,306	)
Sugar #11 Future		22	3/01/16		375,514		62,180
Wheat Future		10	3/15/16		235,000		(10,875	)
Zinc Future		8	3/15/16		321,800		(1,555	)
						$	19,395

See notes to financial statements.

98

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Common Stocks (76.5%)
Consumer Discretionary (12.2%):
Advance Auto Parts, Inc.		118	$	17,760
AMC Networks, Inc., Class A (a)		263		19,641
Aramark		884		28,509
AutoNation, Inc. (a)		402		23,983
AutoZone, Inc. (a)		42		31,161
Bed Bath & Beyond, Inc. (a)		373		17,997
Best Buy Co., Inc.		384		11,693
BorgWarner, Inc.		465		20,102
Cablevision Systems Corp.		490		15,631
CarMax, Inc. (a)		355		19,159
Carter's, Inc.		249		22,168
CBS Corp., Class B		508		23,942
Chipotle Mexican Grill, Inc. (a)		29		13,916
Coach, Inc.		633		20,718
Comcast Corp., Class A		433		24,434
Dick's Sporting Goods, Inc.		380		13,433
Discovery Communications, Inc., Class A (a)		601		16,035
DISH Network Corp. (a)		368		21,042
Dollar General Corp.		373		26,807
Domino's Pizza, Inc.		190		21,138
DR Horton, Inc.		553		17,713
Dunkin' Brands Group, Inc.		487		20,741
Expedia, Inc.		118		14,667
Foot Locker, Inc.		343		22,326
Ford Motor Co.		1,830		25,785
GameStop Corp., Class A		371		10,403
General Motors Co.		724		24,623
Gentex Corp.		1,475		23,615
Genuine Parts Co.		332		28,516
Hanesbrands, Inc.		627		18,453
Harley-Davidson, Inc.		343		15,569
Harman International Industries, Inc.		118		11,117
Hasbro, Inc.		256		17,244
Hilton Worldwide Holdings, Inc.		882		18,875
Hyatt Hotels Corp., Class A (a)		463		21,770
Johnson Controls, Inc.		539		21,285
Kohl's Corp.		335		15,956
L Brands, Inc.		255		24,434
Las Vegas Sands Corp.		329		14,423
Lear Corp.		203		24,934
Lennar Corp., Class A		351		17,167
Lions Gate Entertainment Corp.		469		15,191
LKQ Corp. (a)		683		20,237
Lowe's Cos., Inc.		368		27,983
Macy's, Inc.		351		12,278
Marriott International, Inc., Class A		297		19,911
McDonald's Corp.		288		34,024
Mohawk Industries, Inc. (a)		114		21,590

See notes to financial statements.

99

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
MSG Networks, Inc., Class A (a)		1,298	$	26,998
Netflix, Inc. (a)		104		11,896
Newell Rubbermaid, Inc.		644		28,388
NIKE, Inc., Class B		481		30,062
Nordstrom, Inc.		350		17,434
NVR, Inc. (a)		19		31,217
Omnicom Group, Inc.		464		35,106
O'Reilly Automotive, Inc. (a)		98		24,835
Panera Bread Co., Class A (a)		105		20,452
Penske Automotive Group, Inc.		362		15,327
Polaris Industries, Inc.		154		13,236
PulteGroup, Inc.		821		14,630
PVH Corp.		164		12,079
Ralph Lauren Corp.		148		16,499
Ross Stores, Inc.		430		23,138
Royal Caribbean Cruises Ltd.		185		18,724
Scripps Networks Interactive, Inc., Class A		433		23,906
Service Corp. International		935		24,329
Sirius XM Holdings, Inc. (a)		7,032		28,620
Skechers U.S.A., Inc. (a)		289		8,731
Starbucks Corp.		411		24,672
Starwood Hotels & Resorts Worldwide, Inc.		271		18,775
TEGNA, Inc.		753		19,217
The Gap, Inc.		778		19,217
The Goodyear Tire & Rubber Co.		619		20,223
The Home Depot, Inc.		221		29,227
The Priceline Group, Inc. (a)		15		19,124
The TJX Cos., Inc.		352		24,960
The Walt Disney Co.		217		22,802
Tiffany & Co.		191		14,571
Time Warner Cable, Inc.		113		20,972
Time Warner, Inc.		322		20,824
Toll Brothers, Inc. (a)		546		18,182
Tractor Supply Co.		254		21,717
TripAdvisor, Inc. (a)		177		15,089
Twenty-First Century Fox, Inc.		797		21,647
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		160		29,601
Under Armour, Inc. (a)		193		15,558
VF Corp.		364		22,659
Whirlpool Corp.		117		17,184
Williams-Sonoma, Inc.		305		17,815
Wyndham Worldwide Corp.		307		22,304
				1,852,046
Consumer Staples (7.1%):
Altria Group, Inc.		530		30,852
Archer-Daniels-Midland Co.		570		20,908
Brown-Forman Corp., Class B		330		32,762
Campbell Soup Co.		670		35,209
Church & Dwight Co., Inc.		414		35,140
Coca-Cola Enterprises, Inc.		409		20,139

See notes to financial statements.

100

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Colgate-Palmolive Co.		476	$	31,711
Constellation Brands, Inc., Class A		210		29,912
Costco Wholesale Corp.		202		32,623
CVS Health Corp.		318		31,091
Dr Pepper Snapple Group, Inc.		397		37,000
Flowers Foods, Inc.		916		19,685
General Mills, Inc.		629		36,267
Herbalife Ltd. (a)		159		8,526
Hormel Foods Corp.		441		34,874
Ingredion, Inc.		305		29,231
Keurig Green Mountain, Inc.		163		14,667
McCormick & Co., Inc.		413		35,336
Mead Johnson Nutrition Co.		370		29,212
Mondelez International, Inc.		628		28,160
Monster Beverage Corp. (a)		120		17,875
PepsiCo, Inc.		363		36,271
Philip Morris International, Inc.		341		29,977
Pilgrim's Pride Corp.		487		10,758
Pinnacle Foods, Inc.		614		26,070
Reynolds American, Inc.		576		26,582
Rite Aid Corp. (a)		1,908		14,959
Spectrum Brands Holdings, Inc.		286		29,115
Sysco Corp.		699		28,659
The Clorox Co.		319		40,459
The Coca-Cola Co.		981		42,145
The Estee Lauder Cos., Inc., Class A		303		26,682
The Hain Celestial Group, Inc. (a)		367		14,823
The Kroger Co.		751		31,414
The Procter & Gamble Co.		475		37,720
Tyson Foods, Inc., Class A		468		24,958
Wal-Mart Stores, Inc.		437		26,788
WhiteWave Foods Co., Class A (a)		426		16,576
Whole Foods Market, Inc.		587		19,665
				1,074,801
Energy (1.7%):
Cameron International Corp. (a)		143		9,038
Cheniere Energy Partners LP Holdings LLC		1,057		18,392
Chevron Corp.		270		24,289
Exxon Mobil Corp.		340		26,504
FMC Technologies, Inc. (a)		418		12,126
Helmerich & Payne, Inc.		247		13,227
Kinder Morgan, Inc.		837		12,488
Marathon Petroleum Corp.		315		16,330
National Oilwell Varco, Inc.		395		13,228
ONEOK, Inc.		391		9,642
Phillips 66		216		17,669
Plains GP Holdings LP, Class A		605		5,717
Schlumberger Ltd.		278		19,391
Spectra Energy Corp.		782		18,721
Tesoro Corp.		147		15,489

See notes to financial statements.

101

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
The Williams Cos., Inc.		279	$	7,170
Valero Energy Corp.		264		18,667
				258,088
Financials (13.5%):
Affiliated Managers Group, Inc. (a)		142		22,686
Aflac, Inc.		503		30,130
Alleghany Corp. (a)		65		31,065
American Express Co.		311		21,630
American Financial Group, Inc.		520		37,481
American International Group, Inc.		449		27,825
Ameriprise Financial, Inc.		213		22,667
AmTrust Financial Services, Inc.		346		21,307
Arthur J. Gallagher & Co.		832		34,061
Assurant, Inc.		346		27,867
BB&T Corp.		689		26,051
Berkshire Hathaway, Inc., Class B (a)		273		36,047
BlackRock, Inc.		88		29,966
Brown & Brown, Inc.		1,044		33,512
Capital One Financial Corp.		267		19,272
CBOE Holdings, Inc.		438		28,426
CBRE Group, Inc., Class A (a)		685		23,687
Cincinnati Financial Corp.		550		32,544
CIT Group, Inc.		653		25,924
Citigroup, Inc.		438		22,667
Citizens Financial Group, Inc.		954		24,985
CME Group, Inc.		287		26,002
CNA Financial Corp.		799		28,085
Comerica, Inc.		441		18,447
Discover Financial Services		467		25,040
E*TRADE Financial Corp. (a)		618		18,318
East West Bancorp, Inc.		540		22,442
FactSet Research Systems, Inc.		185		30,075
Fifth Third Bancorp		1,133		22,773
First Republic Bank		387		25,565
Franklin Resources, Inc.		661		24,338
Huntington Bancshares, Inc.		2,216		24,509
Intercontinental Exchange, Inc.		107		27,420
Invesco Ltd.		721		24,139
Jones Lang LaSalle, Inc.		132		21,102
JPMorgan Chase & Co.		389		25,686
KeyCorp		1,499		19,772
Legg Mason, Inc.		579		22,714
Lincoln National Corp.		397		19,953
Loews Corp.		858		32,947
M&T Bank Corp.		389		47,138
Markel Corp. (a)		35		30,917
Marsh & McLennan Cos., Inc.		604		33,492
MetLife, Inc.		461		22,225
Moody's Corp.		259		25,988
MSCI, Inc.		422		30,439

See notes to financial statements.

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Security Description	Shares		Value
NASDAQ, Inc.		529	$	30,772
Navient Corp.		1,359		15,561
New York Community Bancorp, Inc.		1,670		27,254
Northern Trust Corp.		325		23,429
People's United Financial, Inc.		1,943		31,379
Principal Financial Group, Inc.		460		20,691
Raymond James Financial, Inc.		450		26,087
Regions Financial Corp.		2,085		20,016
Reinsurance Group of America, Inc.		316		27,034
Santander Consumer USA Holdings, Inc. (a)		842		13,346
SEI Investments Co.		484		25,362
Signature Bank (a)		167		25,613
StanCorp Financial Group, Inc.		88		10,021
State Street Corp.		305		20,240
SunTrust Banks, Inc.		563		24,119
SVB Financial Group (a)		129		15,338
Synchrony Financial (a)		793		24,115
T. Rowe Price Group, Inc.		423		30,240
TD Ameritrade Holding Corp.		671		23,290
TFS Financial Corp.		2,094		39,430
The Allstate Corp.		422		26,202
The Bank of New York Mellon Corp.		588		24,237
The Charles Schwab Corp.		639		21,042
The Chubb Corp.		135		17,906
The Goldman Sachs Group, Inc.		137		24,692
The PNC Financial Services Group, Inc.		292		27,831
The Progressive Corp.		1,012		32,182
The Travelers Cos., Inc.		298		33,632
Torchmark Corp.		530		30,295
U.S. Bancorp		661		28,205
Voya Financial, Inc.		604		22,294
W.R. Berkley Corp.		509		27,868
Wells Fargo & Co.		521		28,322
				2,047,371
Health Care (8.3%):
Abbott Laboratories		584		26,227
Acadia Healthcare Co., Inc. (a)		231		14,428
Aetna, Inc.		174		18,813
Agilent Technologies, Inc.		675		28,222
Alexion Pharmaceuticals, Inc. (a)		85		16,214
Align Technology, Inc. (a)		324		21,335
Amgen, Inc.		125		20,291
Anthem, Inc.		157		21,892
Baxter International, Inc.		767		29,261
Becton, Dickinson & Co.		229		35,286
Biogen, Inc. (a)		37		11,335
Cardinal Health, Inc.		321		28,656
Celgene Corp. (a)		137		16,407
Centene Corp. (a)		267		17,571
Cerner Corp. (a)		368		22,143

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Cigna Corp.		134	$	19,608
Community Health Systems, Inc. (a)		300		7,959
DENTSPLY International, Inc.		515		31,338
Edwards Lifesciences Corp. (a)		279		22,035
Eli Lilly & Co.		275		23,172
Express Scripts Holding Co. (a)		284		24,824
Gilead Sciences, Inc.		172		17,405
HCA Holdings, Inc. (a)		234		15,825
Henry Schein, Inc. (a)		219		34,645
Hologic, Inc. (a)		555		21,473
Humana, Inc.		79		14,102
IDEXX Laboratories, Inc. (a)		193		14,074
Illumina, Inc. (a)		90		17,275
Intuitive Surgical, Inc. (a)		44		24,031
Johnson & Johnson		332		34,103
Laboratory Corp. of America Holdings (a)		246		30,415
McKesson Corp.		134		26,429
MEDNAX, Inc. (a)		365		26,156
Merck & Co., Inc.		462		24,403
Mettler-Toledo International, Inc. (a)		86		29,165
Mylan NV (a)		259		14,004
Patterson Cos., Inc.		610		27,578
PerkinElmer, Inc.		606		32,463
Pfizer, Inc.		930		30,020
Quest Diagnostics, Inc.		340		24,188
Quintiles Transnational Holdings, Inc. (a)		357		24,512
Regeneron Pharmaceuticals, Inc. (a)		32		17,372
ResMed, Inc.		311		16,698
Sirona Dental Systems, Inc. (a)		311		34,076
St. Jude Medical, Inc.		334		20,631
Stryker Corp.		286		26,581
Team Health Holdings, Inc. (a)		234		10,270
Teleflex, Inc.		237		31,154
The Cooper Cos., Inc.		168		22,546
Thermo Fisher Scientific, Inc.		209		29,647
UnitedHealth Group, Inc.		185		21,763
Universal Health Services, Inc., Class B		146		17,446
Varian Medical Systems, Inc. (a)		292		23,594
VCA, Inc. (a)		370		20,350
Waters Corp. (a)		216		29,069
				1,260,480
Industrials (13.2%):
3M Co.		215		32,388
A.O. Smith Corp.		303		23,213
Acuity Brands, Inc.		119		27,822
Alaska Air Group, Inc.		212		17,068
Allison Transmission Holdings, Inc.		989		25,605
AMERCO, Inc.		66		25,707
American Airlines Group, Inc.		319		13,510
AMETEK, Inc.		492		26,366

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
C.H. Robinson Worldwide, Inc.		299	$	18,544
Carlisle Cos., Inc.		249		22,084
Caterpillar, Inc.		301		20,456
Cintas Corp.		361		32,869
Colfax Corp. (a)		541		12,632
Copart, Inc. (a)		936		35,577
CSX Corp.		737		19,125
Cummins, Inc.		211		18,570
Danaher Corp.		360		33,436
Deere & Co.		312		23,796
Dover Corp.		354		21,704
Eaton Corp. PLC		407		21,180
Emerson Electric Co.		557		26,641
Equifax, Inc.		261		29,068
Expeditors International of Washington, Inc.		540		24,354
Fastenal Co.		589		24,043
Flowserve Corp.		482		20,283
Fluor Corp.		427		20,163
General Dynamics Corp.		197		27,060
Hexcel Corp.		506		23,504
Honeywell International, Inc.		285		29,517
Hubbell, Inc. (a)		334		33,748
Huntington Ingalls Industries, Inc.		162		20,550
IDEX Corp.		443		33,939
IHS, Inc., Class A (a)		189		22,383
Illinois Tool Works, Inc.		349		32,345
Ingersoll-Rand PLC		476		26,318
J.B. Hunt Transport Services, Inc.		355		26,044
Jacobs Engineering Group, Inc. (a)		488		20,472
JetBlue Airways Corp. (a)		577		13,069
Kansas City Southern		203		15,158
KAR Auction Services, Inc.		851		31,513
L-3 Communications Holdings, Inc.		248		29,638
Lennox International, Inc.		237		29,601
Lincoln Electric Holdings, Inc.		397		20,600
Lockheed Martin Corp.		156		33,876
Manpowergroup, Inc.		205		17,279
Masco Corp.		717		20,291
Nielsen Holdings PLC		525		24,465
Norfolk Southern Corp.		302		25,546
Northrop Grumman Corp.		160		30,210
Old Dominion Freight Line, Inc. (a)		362		21,383
Owens Corning		391		18,389
PACCAR, Inc.		405		19,197
Parker-Hannifin Corp.		231		22,402
Precision Castparts Corp.		70		16,241
Quanta Services, Inc. (a)		632		12,798
Raytheon Co.		246		30,634
Republic Services, Inc., Class A		794		34,928
Robert Half International, Inc.		448		21,119

See notes to financial statements.

105

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  (Unaudited)

Security Description	Shares		Value
Rockwell Automation, Inc.		218	$	22,369
Rockwell Collins, Inc.		368		33,967
Rollins, Inc.		873		22,611
Roper Technologies, Inc.		175		33,213
Ryder System, Inc.		274		15,571
Snap-on, Inc.		178		30,515
Southwest Airlines Co.		411		17,697
Stanley Black & Decker, Inc.		280		29,884
Stericycle, Inc. (a)		228		27,497
Textron, Inc.		539		22,643
The ADT Corp.		634		20,909
The Boeing Co.		180		26,026
The Middleby Corp. (a)		191		20,603
Towers Watson & Co.		201		25,820
Union Pacific Corp.		247		19,315
United Continental Holdings, Inc. (a)		235		13,466
United Parcel Service, Inc.		260		25,020
United Rentals, Inc. (a)		185		13,420
United Technologies Corp.		291		27,956
Verisk Analytics, Inc., Class A (a)		335		25,755
W.W. Grainger, Inc.		129		26,134
WABCO Holdings, Inc. (a)		178		18,202
Wabtec Corp.		240		17,069
Waste Connections, Inc.		636		35,819
Xylem, Inc.		821		29,967
				2,001,869
Information Technology (10.5%):
Adobe Systems, Inc. (a)		301		28,275
Akamai Technologies, Inc. (a)		303		15,947
Alliance Data Systems Corp. (a)		93		25,721
Alphabet, Inc., Class A (a)		26		20,228
Amdocs Ltd.		582		31,760
Amphenol Corp., Class A		482		25,175
Analog Devices, Inc.		305		16,873
ANSYS, Inc. (a)		292		27,010
Apple, Inc.		175		18,421
Applied Materials, Inc.		1,189		22,199
Arista Networks, Inc. (a)		197		15,334
Arrow Electronics, Inc. (a)		345		18,692
Automatic Data Processing, Inc.		343		29,059
Avnet, Inc.		510		21,848
Broadridge Financial Solutions, Inc.		487		26,167
Brocade Communications Systems, Inc.		1,603		14,716
CA, Inc.		901		25,733
Cadence Design Systems, Inc. (a)		1,009		20,997
CDW Corp.		587		24,677
Cisco Systems, Inc.		857		23,272
Citrix Systems, Inc. (a)		276		20,879
Cognizant Technology Solutions Corp., Class A (a)		322		19,326
CommScope Holding Co., Inc. (a)		438		11,340

See notes to financial statements.

106

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  (Unaudited)

Security Description	Shares		Value
Corning, Inc.		1,325	$	24,221
eBay, Inc. (a)		871		23,935
Electronic Arts, Inc. (a)		262		18,005
EMC Corp.		840		21,571
F5 Networks, Inc. (a)		166		16,095
Facebook, Inc., Class A (a)		224		23,444
Fidelity National Information Services, Inc.		341		20,665
Fiserv, Inc. (a)		319		29,176
FleetCor Technologies, Inc. (a)		159		22,726
Flextronics International Ltd. (a)		1,874		21,008
Gartner, Inc. (a)		307		27,845
Genpact Ltd. (a)		1,083		27,053
Global Payments, Inc.		403		25,998
HP, Inc.		1,435		16,990
Intel Corp.		1,090		37,550
International Business Machines Corp.		173		23,808
IPG Photonics Corp. (a)		191		17,030
Jack Henry & Associates, Inc.		457		35,672
KLA-Tencor Corp.		393		27,255
Lam Research Corp.		264		20,967
Linear Technology Corp.		552		23,443
MasterCard, Inc., Class A		280		27,261
Microchip Technology, Inc.		493		22,944
Micron Technology, Inc. (a)		621		8,793
Motorola Solutions, Inc.		360		24,642
NVIDIA Corp.		696		22,940
Oracle Corp.		694		25,352
Paychex, Inc.		666		35,225
QUALCOMM, Inc.		373		18,644
Red Hat, Inc. (a)		297		24,595
SanDisk Corp.		197		14,970
Seagate Technology PLC		349		12,794
Skyworks Solutions, Inc.		160		12,293
SS&C Technologies Holdings, Inc.		273		18,638
Symantec Corp.		983		20,643
Synopsys, Inc. (a)		599		27,320
Texas Instruments, Inc.		436		23,897
The Ultimate Software Group, Inc. (a)		117		22,875
The Western Union Co.		1,134		20,310
Total System Services, Inc.		513		25,547
Trimble Navigation Ltd. (a)		879		18,855
Tyler Technologies, Inc. (a)		150		26,148
VeriSign, Inc. (a)		383		33,459
Visa, Inc., Class A		344		26,677
VMware, Inc., Class A (a)		248		14,029
Western Digital Corp.		214		12,851
Xerox Corp.		1,869		19,867
Xilinx, Inc.		508		23,861
				1,593,536

See notes to financial statements.

107

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  (Unaudited)

Security Description	Shares		Value
Materials (4.2%):
Air Products & Chemicals, Inc.		172	$	22,379
Airgas, Inc.		288		39,837
Alcoa, Inc.		1,583		15,624
Ashland, Inc.		242		24,853
Avery Dennison Corp.		422		26,443
Ball Corp.		333		24,219
CF Industries Holdings, Inc.		291		11,876
Crown Holdings, Inc. (a)		446		22,612
E.I. du Pont de Nemours & Co.		454		30,236
Eastman Chemical Co.		285		19,240
Ecolab, Inc.		247		28,252
International Flavors & Fragrances, Inc.		226		27,039
International Paper Co.		545		20,547
LyondellBasell Industries NV, Class A		194		16,859
Martin Marietta Materials, Inc.		97		13,248
NewMarket Corp.		61		23,225
Newmont Mining Corp.		767		13,798
Nucor Corp.		462		18,619
Packaging Corp. of America		282		17,780
PPG Industries, Inc.		270		26,681
Praxair, Inc.		315		32,256
Sealed Air Corp.		392		17,483
The Dow Chemical Co.		471		24,247
The Mosaic Co.		615		16,968
The Sherwin-Williams Co.		97		25,181
The Valspar Corp.		376		31,189
W.R. Grace & Co. (a)		227		22,607
Westlake Chemical Corp.		297		16,133
				629,431
Telecommunication Services (0.1%):
CenturyLink, Inc.		780		19,625
Utilities (5.5%):
AES Corp.		1,717		16,432
Alliant Energy Corp.		475		29,663
Ameren Corp.		659		28,489
American Electric Power Co., Inc.		486		28,319
American Water Works Co., Inc.		571		34,117
Aqua America, Inc.		1,057		31,499
Atmos Energy Corp.		484		30,511
CenterPoint Energy, Inc.		1,296		23,795
CMS Energy Corp.		734		26,483
Consolidated Edison, Inc.		444		28,536
Dominion Resources, Inc.		417		28,206
DTE Energy Co.		338		27,104
Duke Energy Corp.		387		27,628
Edison International		421		24,927
Entergy Corp.		400		27,344
Eversource Energy		554		28,293

See notes to financial statements.

108

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  (Unaudited)

Security Description	Shares		Value
Exelon Corp.		699	$	19,411
ITC Holdings Corp.		738		28,967
NextEra Energy, Inc.		281		29,193
OGE Energy Corp.		927		24,371
Pepco Holdings, Inc.		865		22,499
PG&E Corp.		525		27,925
Pinnacle West Capital Corp.		457		29,467
Public Service Enterprise Group, Inc.		584		22,595
SCANA Corp.		479		28,974
Sempra Energy		286		26,887
TECO Energy, Inc.		739		19,694
The Southern Co.		668		31,255
WEC Energy Group, Inc.		509		26,117
Westar Energy, Inc.		724		30,705
Xcel Energy, Inc.		802		28,800
				838,206
Total Common Stocks (Cost $10,828,927)				11,575,453
Cash Equivalents (20.4%)
Citibank Money Market Deposit Account, 0.02% (b)		3,091,112		3,091,112
Total Cash Equivalents (Cost $3,091,112)				3,091,112
Total Investments (Cost $13,920,039) — 96.9%				14,666,565
Segregated cash with broker — 2.8% (c)				427,359
Other assets in excess of liabilities — 0.3%				47,155
NET ASSETS — 100.00%			$	15,141,079

(a)  Non-income producing security.

(b)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(c)  Segregated cash with broker represents collateral for futures contracts.

LLC — Limited Liability Co.

LP — Limited Partnership

PLC — Public Liability Co.

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
E-Mini S&P 500 Futures		45	3/21/16	$	4,579,650	$	(4,613	)

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (84.4%)
Consumer Discretionary (9.8%):
AMC Entertainment Holdings, Inc.		4,689	$	112,536
BAIC Motor Corp. Ltd.		116,000		115,850
Bayerische Motoren Werke AG		1,163		122,507
Belle International Holdings Ltd.		119,000		89,040
Berkeley Group Holdings PLC		2,114		114,908
Best Buy Co., Inc.		2,264		68,939
Capella Education Co.		2,540		117,399
Cheng Shin Rubber Industry Co. Ltd.		149,000		240,866
Chow Tai Fook Jewellery Group Ltd.		116,600		75,150
Coach, Inc.		3,734		122,214
Drew Industries, Inc.		2,856		173,902
DSW, Inc.		4,757		113,502
Eutelsat Communications SA		5,424		162,375
Ford Motor Co.		10,785		151,960
GameStop Corp., Class A		2,188		61,352
General Motors Co.		4,271		145,257
Great Wall Motor Co. Ltd., Class H		92,000		106,266
Guess?, Inc.		4,869		91,927
Hugo Boss AG		1,182		97,513
Imperial Holdings Ltd.		11,008		85,411
Interval Leisure Group, Inc.		8,477		132,326
ITV PLC		36,911		150,256
Jardine Cycle & Carriage Ltd.		6,900		168,757
Kohl's Corp.		1,973		93,974
L Brands, Inc.		1,504		144,113
Las Vegas Sands Corp.		1,941		85,093
McDonald's Corp.		1,699		200,720
MDC Holdings, Inc.		5,342		136,381
Meredith Corp.		3,169		137,059
Next PLC		1,572		168,763
Nutrisystem, Inc.		3,142		67,993
Omnicom Group, Inc.		2,738		207,158
OPAP SA		7,153		62,761
Pier 1 Imports, Inc.		8,267		42,079
ProSiebenSat.1 Media SE		2,418		121,975
Regal Entertainment Group		9,009		170,000
Rent-A-Center, Inc.		3,766		56,377
Shaw Communications, Inc., Class B		11,800		202,992
Sinclair Broadcast Group, Inc.		5,199		169,175
Starwood Hotels & Resorts Worldwide, Inc.		1,598		110,709
Taylor Wimpey PLC		40,709		121,677
TEGNA, Inc.		4,437		113,232
The Buckle, Inc.		3,406		104,837
The Cato Corp., Class A		4,317		158,951
The Wendy's Co.		16,514		177,856
Tofas Turk Otomobil Fabrikasi AS		25,199		163,630
Truworths International Ltd.		19,612		115,723
Tupperware Brands Corp.		2,568		142,909

See notes to financial statements.

110

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  (Unaudited)

Security Description	Shares		Value
UMW Holdings BHD		120,100	$	219,874
Vivendi Universal SA		6,275		134,750
Yulon Nissan Motor Co. Ltd.		24,000		203,728
				6,654,702
Consumer Staples (5.2%):
Altria Group, Inc.		3,125		181,906
AVI Ltd.		32,244		161,261
British American Tobacco Malaysia BHD		15,500		202,329
British American Tobacco PLC		3,033		168,411
Cal-Maine Foods, Inc.		1,646		76,276
Casino Guichard Perrachon SA		2,227		102,296
Costco Wholesale Corp.		1,193		192,670
General Mills, Inc.		3,708		213,802
John B. Sanfilippo & Son, Inc.		2,019		109,087
Natura Cosmeticos SA		21,200		125,398
Nu Skin Enterprises, Inc.		1,932		73,203
Philip Morris International, Inc.		2,007		176,435
Pilgrim's Pride Corp.		2,877		63,553
Reynolds American, Inc.		3,395		156,679
Sysco Corp.		4,123		169,043
The Coca-Cola Co.		5,782		248,395
The Procter & Gamble Co.		2,802		222,507
Vector Group Ltd.		10,000		235,901
Wal-Mart Stores, Inc.		2,574		157,786
Weis Markets, Inc.		3,724		164,973
Wesfarmers Ltd.		6,949		209,442
Woolworths Ltd.		7,179		127,339
				3,538,692
Energy (3.3%):
Atwood Oceanics, Inc.		4,482		45,851
Chevron Corp.		1,593		143,306
China Shenhua Energy Co. Ltd.		79,000		123,363
CNOOC Ltd.		104,000		108,244
Coal India Ltd.		29,833		148,014
Exxon Mobil Corp.		2,004		156,211
Gulf International Services QSC		6,478		91,158
Helmerich & Payne, Inc.		1,456		77,969
Inter Pipeline Ltd.		5,800		93,110
Kinder Morgan, Inc.		4,933		73,600
National Oilwell Varco, Inc.		2,328		77,965
ONEOK, Inc.		2,303		56,792
Pembina Pipeline Corp.		4,600		100,246
PetroChina Co. Ltd.		182,000		119,148
Plains GP Holdings LP, Class A		3,568		33,718
Qatar Fuel Co. QSC		4,231		170,839
Sasol Ltd.		3,729		100,771
Spectra Energy Corp.		4,608		110,316
The Williams Cos., Inc.		1,644		42,251
TransCanada Corp.		4,900		160,051

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
US Silica Holdings, Inc.		3,314	$	62,071
Woodside Petroleum Ltd.		5,813		121,075
				2,216,069
Financials (17.4%):
Abu Dhabi Commercial Bank PJSC		59,835		106,757
American Financial Group, Inc.		3,068		221,141
AMP Ltd.		33,137		139,584
Arthur J. Gallagher & Co.		4,903		200,729
Australia & New Zealand Banking Group Ltd.		7,482		150,944
Banco do Brasil SA		22,100		81,876
Banco Santander Chile		4,990,614		225,311
Banco Santander SA		16,780		82,536
Bank of China Ltd.		309,000		137,112
Bank of Communications Co. Ltd., Class H		175,000		122,727
Bank Pekao SA		4,406		161,209
Barclays Africa Group Ltd.		13,887		128,970
BB Seguridade Participacoes SA		19,900		121,653
Capitol Federal Financial, Inc.		22,704		285,163
China Construction Bank Corp.		234,000		159,629
China Development Financial Holding Corp.		526,000		131,223
Chongqing Rural Commercial Bank Co. Ltd.		174,000		104,511
Cincinnati Financial Corp.		3,247		192,125
CME Group, Inc.		1,694		153,476
CNA Financial Corp.		4,704		165,346
CNP Assurances		10,081		135,968
Cohen & Steers, Inc.		5,685		173,279
Columbia Banking System, Inc.		5,454		177,310
Commonwealth Bank of Australia		3,066		189,502
Country Garden Holdings Co. Ltd.		351,000		143,057
Direct Line Insurance Group PLC		38,344		229,805
Dubai Islamic Bank PJSC		82,487		138,051
Emaar Properties PJSC		68,041		104,623
Evergrande Real Estate Group Ltd.		105,000		91,928
FBL Financial Group, Inc., Class A		2,883		183,474
First Gulf Bank PJSC		48,686		167,197
FNB Corp.		13,760		183,558
Fubon Financial Holding Co. Ltd.		91,000		123,803
Gjensidige Forsikring ASA		11,707		187,437
Glacier Bancorp, Inc.		5,515		146,313
Greenhill & Co., Inc.		4,272		122,222
HFF, Inc.		3,486		108,310
HSBC Holdings PLC		19,411		153,213
Huishang Bank Corp. Ltd.		326,000		147,251
Insurance Australia Group Ltd.		38,614		155,032
Invesco Ltd.		4,249		142,257
Komercni Banka AS		829		164,699
Legal & General Group PLC		45,415		179,178
Macquarie Group Ltd.		2,534		151,550
Malayan Banking BHD		124,200		242,737
Manning & Napier, Inc.		9,709		82,429

See notes to financial statements.

112

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Mapfre SA		47,031	$	117,710
Mega Financial Holding Co. Ltd.		287,000		185,066
MetLife, Inc.		2,719		131,083
National Australia Bank Ltd.		7,573		165,212
Natixis SA		17,732		100,298
Navient Corp.		8,008		91,692
New World Development Co. Ltd.		139,000		136,494
New York Community Bancorp, Inc.		9,839		160,572
Nordea Bank AB		10,796		118,533
Northwest Bancshares, Inc.		19,854		265,845
Old Mutual PLC		42,771		112,500
Park National Corp.		2,178		197,065
People's United Financial, Inc.		11,456		185,014
Powszechny Zaklad Ubezpieczen na Zycie SA		17,990		155,479
Principal Financial Group, Inc.		2,713		122,031
ProAssurance Corp.		6,008		291,567
RLI Corp.		3,250		200,688
Standard Chartered PLC		9,744		80,836
Standard Life PLC		22,559		129,166
Suncorp Group Ltd.		19,818		173,955
Swedbank AB, A Shares		6,755		148,872
Swiss Re AG		2,156		210,632
T. Rowe Price Group, Inc.		2,495		178,368
The Commercial Bank QSC		13,918		174,876
Trustmark Corp.		7,536		173,629
Valley National Bancorp		23,130		227,832
Westpac Banking Corp.		6,723		162,920
Woori Bank		18,071		135,187
Zurich Insurance Group AG		559		143,650
				11,772,977
Health Care (2.4%):
Baxter International, Inc.		4,519		172,400
GlaxoSmithKline PLC		7,980		161,140
Johnson & Johnson		1,957		201,024
Merck & Co., Inc.		2,721		143,723
Meridian Bioscience, Inc.		9,750		200,070
Owens & Minor, Inc.		6,331		227,789
PDL BioPharma, Inc.		25,129		88,957
Pfizer, Inc.		5,483		176,991
Quality Systems, Inc.		8,189		132,007
Select Medical Holdings Corp.		9,579		114,086
				1,618,187
Industrials (11.1%):
A.P. Moeller-Maersk A/S, Class B		70		91,317
ACS Actividades de Construccion y Servicios SA		3,943		115,347
Aircastle Ltd.		6,407		133,842
Altra Industrial Motion Corp.		6,539		163,998
American Railcar Industries, Inc.		2,570		118,940
Anhui Expressway Co. Ltd.		88,000		74,600

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Applied Industrial Technologies, Inc.		4,002	$	162,041
Atlas Copco AB, A Shares		4,298		105,481
Aurizon Holdings Ltd.		40,629		128,946
BAE Systems PLC		25,952		191,045
Boskalis Westminster		2,216		90,383
BTS Group Holdings Public Co. Ltd.		957,900		241,836
Caterpillar, Inc.		1,774		120,561
CCR SA		33,200		104,932
China Machinery Engineering Corp.		82,000		59,833
Deere & Co.		1,839		140,261
DMCI Holdings, Inc.		633,000		185,154
Eaton Corp. PLC		2,399		124,844
Emerson Electric Co.		3,281		156,930
GATX Corp.		3,208		136,500
H&E Equipment Services, Inc.		3,016		52,720
HAP Seng Consolidated BHD		130,400		196,625
Herman Miller, Inc.		6,396		183,565
Hillenbrand, Inc.		5,783		171,350
HNI Corp.		2,834		102,194
Industries Qatar QSC		4,408		134,075
Insperity, Inc.		2,698		129,909
Jiangsu Expressway Co. Ltd.		118,000		158,374
Joy Global, Inc.		6,171		77,816
Keppel Corp. Ltd.		31,500		143,958
Kuehne + Nagel International AG		1,275		174,726
Lockheed Martin Corp.		920		199,778
McGrath RentCorp		6,149		154,893
Mitsui & Co. Ltd.		11,900		141,414
MSA Safety, Inc.		2,589		112,544
National Presto Industries, Inc.		2,046		169,532
Norfolk Southern Corp.		1,776		150,232
PACCAR, Inc.		2,385		113,049
Raven Industries, Inc.		6,607		103,069
Resources Connection, Inc.		9,251		151,161
Royal Mail PLC		17,877		117,076
Sandvik AB		11,053		96,416
SGS SA		79		150,185
Siemens AG		1,551		150,032
Sime Darby BHD		136,800		246,009
Singapore Technologies Engineering Ltd.		75,300		159,243
Sinopec Engineering Group Co. Ltd., H Shares		102,500		87,193
Skanska AB, Clas B		6,777		131,522
Steelcase, Inc.		9,433		140,552
Sun Hydraulics Corp.		5,355		169,914
TAL International Group, Inc.		5,771		91,759
United Parcel Service, Inc.		1,534		147,617
Vinci SA		2,061		132,081
West Corp.		4,865		104,938
Zhejiang Expressway Co. Ltd., Class H		94,000		112,319
				7,504,631

See notes to financial statements.

114

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Information Technology (7.5%):
ADTRAN, Inc.		8,756	$	150,778
Advanced Semiconductor Engineering, Inc.		109,000		125,233
Analog Devices, Inc.		1,795		99,299
Asustek Computer, Inc.		16,000		132,134
AVX Corp.		11,483		139,404
CA, Inc.		5,311		151,682
Canon, Inc.		5,400		163,370
Cisco Systems, Inc.		5,052		137,187
Compal Electronics, Inc.		200,000		111,941
CSG Systems International, Inc.		5,654		203,431
FIH Mobile Ltd.		266,000		101,238
Innolux Corp.		280,000		84,175
Intel Corp.		4,106		141,452
International Business Machines Corp.		1,021		140,510
KLA-Tencor Corp.		2,318		160,753
Lenovo Group Ltd.		124,000		125,144
Linear Technology Corp.		3,259		138,410
Lite-On Technology Corp.		187,515		180,870
ManTech International Corp.		6,389		193,203
MediaTek, Inc.		14,000		105,908
Microchip Technology, Inc.		2,908		135,338
NIC, Inc.		6,381		125,578
Oracle Financial Services		3,513		198,180
Paychex, Inc.		3,926		207,647
QUALCOMM, Inc.		2,197		109,817
Quanta Computer, Inc.		96,000		154,036
Science Applications International Corp.		3,019		138,210
Seagate Technology PLC		2,059		75,483
Siliconware Precision Industries Co. Ltd.		108,000		170,583
Symantec Corp.		5,792		121,632
Telefonaktiebolaget LM Ericsson, B Shares		12,303		118,699
Tessera Technologies, Inc.		3,433		103,024
Texas Instruments, Inc.		2,571		140,917
The Western Union Co.		6,685		119,728
Vishay Intertechnology, Inc.		17,247		207,826
Xilinx, Inc.		2,994		140,628
				5,053,448
Materials (5.1%):
Asia Cement Corp.		267,000		222,212
BASF SE		1,576		120,040
China Hongqiao Group Ltd.		135,000		79,955
China Molybdenum Co. Ltd.		363,000		67,513
China National Building Material Co. Ltd.		176,000		83,728
Commercial Metals Co.		7,850		107,467
E.I. du Pont de Nemours & Co.		2,677		178,288
Eregli Demir ve Celik Fabrikalari TAS		128,505		133,757
Ferroglobe PLC		7,251		77,948
Greif, Inc., Class A		3,285		101,211
Innophos Holdings, Inc.		3,385		98,097

See notes to financial statements.

115

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
International Paper Co.		3,213	$	121,130
Israel Chemicals Ltd.		25,079		101,829
Kumba Iron Ore Ltd.		11,902		31,735
LyondellBasell Industries NV, Class A		1,146		99,588
MMC Norilsk Nickel PJSC		642		80,631
Nucor Corp.		2,724		109,777
Olin Corp.		5,904		101,903
P.H. Glatfelter Co.		9,772		180,196
Potash Corp. of Saskatchewan, Inc.		6,400		109,635
PT Indocement Tunggal Prakarsa TBK		105,200		168,761
Rio Tinto PLC		3,101		90,274
Schweitzer-Mauduit International, Inc.		4,606		193,406
Siam City Cement Public Co. Ltd.		20,200		178,654
Taiwan Cement Corp.		192,000		158,977
The Dow Chemical Co.		2,774		142,806
UPM-Kymmene Oyj		6,469		120,083
Yara International ASA		2,863		123,175
Zijin Mining Group Co. Ltd.		334,000		87,441
				3,470,217
Telecommunication Services (6.6%):
Advanced Info Service Public Co. Ltd.		34,200		143,961
BCE, Inc.		5,100		197,070
CenturyLink, Inc.		4,594		115,585
DiGi.Com BHD		207,200		260,361
Far EasTone Telecommunications Co. Ltd.		104,000		213,781
Inteliquent, Inc.		4,041		71,809
Intouch Holdings Public Co. Ltd.		130,200		187,595
Mobile TeleSystems PJSC		30,780		88,656
MTN Group Ltd.		11,403		98,323
O2 Czech Republic AS		9,017		91,249
Ooredoo QSC		7,985		164,194
Orange Polska SA		75,581		126,421
Orange SA		6,529		109,187
Philippine Long Distance Telephone Co.		4,410		192,858
Proximus SADP		4,042		131,513
Rogers Communications, Inc.		5,600		193,156
Singapore Telecommunications Ltd.		69,000		177,976
Swisscom AG		322		161,178
Taiwan Mobile Co. Ltd.		69,000		209,582
Telefonica SA		11,063		122,715
Telenor ASA		7,103		118,438
TeliaSonera AB		29,566		146,923
Telstra Corp. Ltd.		50,624		205,665
TELUS Corp.		6,400		176,989
Total Access Communication Public Co. Ltd.		81,900		68,392
Turk Telekomunikasyon AS		86,620		162,038
Turkcell Iletisim Hizmetleri AS		46,969		159,253
Vodacom Group Ltd.		20,601		203,231
Vodafone Group PLC		41,598		134,874
				4,432,973

See notes to financial statements.

116

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  (Unaudited)

Security Description	Shares		Value
Utilities (16.0%):
Aguas Andinas SA		640,216	$	323,515
ALLETE, Inc.		3,916		199,050
Alliant Energy Corp.		2,802		174,985
Ameren Corp.		3,886		167,992
American Electric Power Co., Inc.		2,863		166,827
American States Water Co.		4,261		178,749
Avista Corp.		6,128		216,747
California Water Service Group		7,078		164,705
CenterPoint Energy, Inc.		7,641		140,289
CEZ AS		9,610		171,508
Chesapeake Utilities Corp.		2,694		152,885
China Resources Power Holdings Co. Ltd.		38,000		73,521
CLP Holdings Ltd.		30,500		258,526
CMS Energy Corp.		4,327		156,118
Consolidated Edison, Inc.		2,619		168,323
Dominion Resources, Inc.		2,458		166,259
DTE Energy Co.		1,989		159,498
Duke Energy Corp.		2,277		162,555
EDP — Energias de Portugal SA		36,614		131,915
El Paso Electric Co.		5,233		201,471
Electricite de France SA		7,026		103,461
Enagas SA		5,678		160,143
Endesa SA		7,461		149,868
Energa SA		29,799		96,102
Entergy Corp.		2,362		161,466
Eversource Energy		3,266		166,795
Exelon Corp.		4,120		114,412
Fortis, Inc.		6,000		162,241
Fortum Oyj		7,686		115,785
Gas Natural SDG SA		7,877		160,608
Huaneng Power International, Inc.		92,000		78,781
Iberdrola SA		25,044		177,512
IDACORP, Inc.		3,158		214,744
MGE Energy, Inc.		4,422		205,181
National Grid PLC		13,823		190,614
NorthWestern Corp.		3,906		211,901
OGE Energy Corp.		5,462		143,596
ONE Gas, Inc.		4,326		217,035
Otter Tail Corp.		6,372		169,686
Pepco Holdings, Inc.		5,097		132,573
PG&E Corp.		3,096		164,676
Pinnacle West Capital Corp.		2,693		173,645
PNM Resources, Inc.		6,573		200,937
Power Assets Holdings Ltd.		18,500		169,605
PT Perusahaan Gas Negara Persero TBK		746,100		147,158
Public Service Enterprise Group, Inc.		3,444		133,248
Ratchaburi Electricity Generating Holdings Public Co. Ltd.		167,500		220,498
Red Electrica Corp. SA		1,971		164,615
SCANA Corp.		2,826		170,945

See notes to financial statements.

117

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December 31, 2015

  (Unaudited)

Security Description	Shares		Value
SJW Corp.		5,203	$	154,269
Snam SpA		27,757		144,842
Southwest Gas Corp.		3,528		194,604
SSE PLC		6,898		154,864
Suez Environnement Co.		5,482		102,518
TECO Energy, Inc.		4,357		116,114
Terna Rete Elettrica Nazionale SpA		33,626		172,912
The Empire District Electric Co.		7,906		221,920
The Southern Co.		3,940		184,353
Tractebel Energia SA		17,400		146,761
United Utilities Group PLC		11,688		160,913
Veolia Environnement SA		5,788		137,306
WEC Energy Group, Inc.		3,001		153,981
Westar Energy, Inc.		4,268		181,006
Xcel Energy, Inc.		4,728		169,782
YTL Corp. BHD		576,100		210,368
				10,819,782
Total Common Stocks (Cost $62,451,191)				57,081,678
Cash Equivalents (3.5%)
Citibank Money Market Deposit Account, 0.02% (a)		2,349,738		2,349,738
Total Cash Equivalents (Cost $2,349,738)				2,349,738
Total Investments (Cost $64,800,929) — 87.9%				59,431,416
Segregated cash with broker — 10.6% (b)				7,138,904
Other assets in excess of liabilities — 1.5%				1,079,139
NET ASSETS — 100.00%			$	67,649,459

(a)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

(b)  Segregated cash with broker represents collateral for futures contracts and written options.

LP — Limited Partnership

PLC — Public Liability Co.

Written Options

Exchange-traded options

Description	Put/ Call	Strike Price		Expiration Date	Contracts		Fair Value
E-Mini S&P 500 Option	Put	USD	2,025.00	1/15/16		131	$	(145,738	)
Total							$	(145,738	)

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Depreciation
NASDAQ 100 E-Mini Futures		181	3/21/16	$	16,607,655	$	(84,618	)

See notes to financial statements.

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  (Unaudited)

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Appreciation/ (Depreciation)
CBOE Volatility Index (VIX) Futures		98	1/21/16	$	1,815,450	$	(12,550	)
E-Mini MSCI Index Futures		361	3/21/16		14,214,375		(7,807	)
E-Mini S&P 500 Futures		304	3/21/16		30,938,080		(31,160	)
Mini MSCI EAFE Index Futures		166	3/21/16		14,095,060		(8,051	)
Russell 2000 Mini Index Futures		125	3/21/16		14,143,750		68,438
						$	8,870

See notes to financial statements.

119

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December 31, 2015

  (Unaudited)

Security Description	Par Value or Principal Amount		Value
U.S. Treasury Obligations (37.1%)
U.S. Treasury Bills 0.17%, 2/18/16 (a)	$	2,000,000	$	1,999,528
Total U.S. Treasury Obligations (Cost $1,999,523)				1,999,528
Commercial Papers (21.3%)
HP, Inc., 1.07%, 1/19/16 (a) (b)		600,000		599,661
Thomson Reuters Corp., 0.29%, 1/5/16 (a) (b)		550,000		549,978
Total Commercial Papers (Cost $1,149,671)				1,149,639
Total Investments (Cost $3,149,194) — 58.4%				3,149,167
Segregated cash with broker — 4.1% (c)				221,977
Other assets in excess of liabilities — 37.5%				2,021,695
NET ASSETS — 100.00%			$	5,392,839

(a)  Rate represents the effective yield at purchase.

(b)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(c)  Segregated cash with broker represents collateral for futures contracts.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount at Value		Unrealized Appreciation/ (Depreciation)
10-Year U.S. Treasury Note		2	3/22/16	$	251,813	$	(413	)
2-Year U.S. Treasury Note		1	4/01/16		217,234		(316	)
5-Year U.S. Treasury Note		3	4/01/16		354,961		(713	)
Canada 10-Year Bond Future		2	3/22/16		203,816		2,563
Long Gilt Future		1	3/30/16		172,118		(717	)
						$	404

See notes to financial statements.

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December 31, 2015

  (Unaudited)

Security Description	Shares or Par Value or Principal Amount		Value
U.S. Treasury Obligations (52.8%)
U.S. Treasury Bills 0.42%, 6/2/16 (a)	$	2,000,000	$	1,996,392
0.44%, 6/9/16 (a)		1,000,000		998,039
0.52%, 11/10/16 (a)		2,500,000		2,488,705
Total U.S. Treasury Obligations (Cost $5,480,282)				5,483,136
Commercial Papers (39.5%)
Amcor Ltd., 1.02%, 2/18/16 (a) (b)		500,000		499,307
American Crystal Sugar, 0.67%, 2/1/16 (a) (b)		500,000		499,702
AutoZone, Inc., 0.58%, 1/11/16 (a) (b)		500,000		499,912
Clorox Co., 0.56%, 2/2/16 (a) (b)		500,000		499,744
Dominion Resources, Inc., 0.36%, 2/4/16 (a) (b)		500,000		499,825
Duke Energy Corp., 0.66%, 1/20/16 (a) (b)		500,000		499,816
HP, Inc., 1.07%, 1/19/16 (a) (b)		600,000		599,661
Volvo Treasury NA, LP, 0.76%, 1/25/16 (a) (b)		500,000		499,735
Total Commercial Papers (Cost $4,097,716)				4,097,701
Cash Equivalents (7.9%)
Citibank Money Market Deposit Account, 0.02% (c)		820,667		820,667
Total Cash Equivalents (Cost $820,667)				820,667
Total Investments (Cost $10,398,665) — 100.2%				10,401,504
Liabilities in excess of other assets — (0.2)%				(19,973	)
NET ASSETS — 100.00%			$	10,381,531

(a)  Rate represents the effective yield at purchase.

(b)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(c)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

LP — Limited Partnership

See notes to financial statements.

121

Victory Portfolios II
Victory CEMP Multi-Asset Balanced Fund Schedule of Portfolio Investments
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Affiliated Exchange-Traded Funds (11.3%)
Victory CEMP Developed Enhanced Volatility Wtd Index ETF		899	$	28,184
Victory CEMP International High Div Volatility Wtd Index ETF		1,585		51,196
Victory CEMP International Volatility Wtd Index ETF		1,520		51,239
Victory CEMP US 500 Enhanced Volatility Wtd Index ETF		24,121		862,085
Victory CEMP US 500 Volatility Wtd Index ETF		36,119		1,293,059
Victory CEMP US Discovery Enhanced Volatility Wtd Index ETF		12,431		429,491
Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF		14,790		522,827
Victory CEMP US Large Cap High Div Volatility Wtd Index ETF		1,484		51,079
Victory CEMP US Small Cap High Div Volatility Wtd Index ETF		1,547		50,912
Victory CEMP US Small Cap Volatility Wtd Index ETF		1,547		50,958
Total Affiliated Exchange-Traded Funds (Cost $3,395,554)				3,391,030
Affiliated Mutual Funds (80.9%)
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		114,907		867,550
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		145,621		866,447
Victory CEMP Emerging Market Volatility Wtd Index Fund		99,678		819,351
Victory CEMP International Enhanced Volatility Wtd Index Fund		323,047		3,246,618
Victory CEMP International Volatility Wtd Index Fund		230,659		2,440,374
Victory CEMP Long/Short Strategy Index Fund		175,405		1,875,082
Victory CEMP Market Neutral Income Fund		1,023,759		9,398,110
Victory CEMP REC Enhanced Volatility Wtd Index Fund		116,171		1,082,717
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		145,648		1,931,290
Victory CEMP US 500 Volatility Wtd Index Fund		111,584		1,365,787
Victory CEMP US Small Cap Volatility Wtd Index Fund		38,741		459,079
Total Affiliated Mutual Funds (Cost $26,437,780)				24,352,405
Cash Equivalents (2.2%)
Citibank Money Market Deposit Account, 0.02% (a)		672,913		672,913
Total Cash Equivalents (Cost $672,913)				672,913
Total Investments (Cost $30,506,247) — 94.4%				28,416,348
Other assets in excess of liabilities — 5.6%				1,691,826
NET ASSETS — 100.00%			$	30,108,174

(a)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

ETF — Exchange-Traded Fund

See notes to financial statements.

122

Victory Portfolios II
Victory CEMP Multi-Asset Growth Fund Schedule of Portfolio Investments
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Affiliated Exchange-Traded Funds (92.1%)
Victory CEMP International High Div Volatility Wtd Index ETF		94,221	$	3,043,338
Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF		69,681		2,463,223
Victory CEMP US Large Cap High Div Volatility Wtd Index ETF		88,913		3,060,386
Victory CEMP US Small Cap High Div Volatility Wtd Index ETF		31,699		1,043,214
Total Affiliated Exchange-Traded Funds (Cost $9,780,814)				9,610,161
Cash Equivalents (62.6%)
Citibank Money Market Deposit Account, 0.02% (a)		6,532,478		6,532,478
Total Cash Equivalents (Cost $6,532,478)				6,532,478
Total Investments (Cost $16,313,292) — 154.7%				16,142,639
Liabilities in excess of other assets — (54.7)%				(5,710,849	)
NET ASSETS — 100.00%			$	10,431,790

(a)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

ETF — Exchange-Traded Fund

See notes to financial statements.

123

Victory Portfolios II
Victory CEMP Alternative Strategies Fund Schedule of Portfolio Investments
December 31, 2015

  (Unaudited)

Security Description	Shares		Value
Affiliated Mutual Funds (95.7%)
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		361,760	$	2,731,287
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		458,458		2,727,825
Victory CEMP Long/Short Strategy Index Fund		1,006,233		10,756,630
Victory CEMP Market Neutral Income Fund		1,193,606		10,957,306
Total Affiliated Mutual Funds (Cost $29,922,550)				27,173,048
Cash Equivalents (2.1%)
Citibank Money Market Deposit Account, 0.02% (a)		582,658		582,658
Total Cash Equivalents (Cost $582,658)				582,658
Total Investments (Cost $30,505,208) — 97.7%				27,755,706
Other assets in excess of liabilities — 2.3%				646,651
NET ASSETS — 100.00%			$	28,402,357

(a)  Rate periodically changes. Rate disclosed is the daily yield on December 31, 2015.

See notes to financial statements.

124

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP US 500 Volatility Wtd Index Fund			Victory CEMP US Small Cap Volatility Wtd Index Fund			Victory CEMP International Volatility Wtd Index Fund			Victory CEMP Emerging Market Volatility Wtd Index Fund			Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
ASSETS:
Investments, at value (Cost $26,985,490, $7,039,944, $8,606,614, $13,839,761 and $181,850,455)	$	29,712,430		$	7,323,543		$	8,519,157		$	11,881,321		$	193,580,421
Foreign currency, at value (Cost $0, $0, $73,793, $9,811 and $0)		—			—			74,474			9,777			—
Deposit with broker for future contracts		141,208			74,577			68,499			121,794			202,913
Dividends receivable		37,846			8,335			17,179			14,413			232,829
Receivable for capital shares issued		13,308			1,581			1,186			53,389			125,234
Receivable for investments sold		—			—			8,423,117			—			—
Reclaims receivable		—			—			23,013			1			—
Receivable from adviser		—			1,648			—			9,584			—
Prepaid expenses		25,497			17,291			17,837			70,856			91,029
Total Assets		29,930,289			7,426,975			17,144,462			12,161,135			194,232,426
LIABILITIES:
Due to custodian		—			—			7,768,223			—			—
Payable for investments purchased		—			—			28,979			1,113,298			—
Payable for capital shares redeemed		234,941			75,386			135,764			—			337,721
Unrealized depreciation on variation margin		3,962			6,718			12,405			1,700			15,603
Foreign tax payable		—			—			—			2,111			—
Accrued expenses and other payables:
Investment advisory fees		9,446			—			2,239			—			67,341
Administration fees		1,807			1,853			6,176			2,864			—
Custodian fees		3,182			—			—			—			2,639
Transfer agent fees		6,036			4,511			3,909			5,728			24,052
Trustees' fees		30			—			42			15			198
12b-1 fees		6,730			2,975			2,364			2,505			69,598
Other accrued expenses		6,698			11,684			4,751			694			4,101
Total Liabilities		272,832			103,127			7,964,852			1,128,915			521,253
NET ASSETS:
Capital		26,932,660			7,395,199			10,478,574			15,183,439			183,115,620
Accumulated undistributed (distributions in excess of) net investment income		23,754			10,993			(32,682	)		1,216			144,643
Accumulated net realized losses from investments		(108,911	)		(364,334	)		(1,166,134	)		(2,175,277	)		(1,273,526	)
Net unrealized appreciation (depreciation) on investments		2,809,954			281,990			(100,148	)		(1,977,158	)		11,724,436
Net Assets	$	29,657,457		$	7,323,848		$	9,179,610		$	11,032,220		$	193,711,173

(continues on next page)

See notes to financial statements.

125

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP US 500 Volatility Wtd Index Fund			Victory CEMP US Small Cap Volatility Wtd Index Fund			Victory CEMP International Volatility Wtd Index Fund			Victory CEMP Emerging Market Volatility Wtd Index Fund			Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Net Assets
Class A Shares	$	15,436,936		$	2,493,766		$	3,335,073		$	7,286,850		$	84,485,445
Class C Shares		3,862,348			2,221,988			437,389			1,419,534			57,628,559
Class I Shares		10,358,173			2,608,094			5,407,148			2,325,836			51,597,169
Total	$	29,657,457		$	7,323,848		$	9,179,610		$	11,032,220		$	193,711,173
Shares (unlimited number of shares authorized with a par value of $0.01 per share):
Class A Shares		1,263,454			211,074			315,918			887,000			6,369,047
Class C Shares		320,071			189,462			41,680			174,374			4,408,595
Class I Shares		846,212			220,018			511,144			282,929			3,889,730
Total		2,429,737			620,554			868,742			1,344,303			14,667,372
Net aset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	12.22		$	11.81		$	10.56		$	8.22		$	13.27
Class C Shares (a)	$	12.07		$	11.73		$	10.49		$	8.14		$	13.07
Class I Shares	$	12.24		$	11.85		$	10.58		$	8.22		$	13.26
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%		5.75	%		5.75	%		5.75	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	12.97		$	12.53		$	11.20		$	8.72		$	14.08

(a)  Redemption price per share varies by the length of time shares are held.

See notes to financial statements.

126

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

							Consolidated
	Victory CEMP International Enhanced Volatility Wtd Index Fund			Victory CEMP REC Enhanced Volatility Wtd Index Fund			Victory CEMP Commodity Volatility Wtd Index Strategy Fund			Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
ASSETS:
Investments, at value (Cost $34,879,304, $8,879,060, $8,315,043 and $5,386,557)	$	34,406,468		$	9,318,852		$	8,316,319		$	5,387,469
Foreign currency, at value (Cost $236,019, $0, $0 and $0)		239,807			—			—			—
Deposit with broker for future contracts		145,931			34,249			731,085			594,293
Dividends receivable		46,313			53,529			2,065			2,053
Receivable for capital shares issued		—			100,000			13,060			—
Receivable for investments sold		9,167,802			—			—			—
Unrealized appreciation on variation margin		—			—			21,201			21,373
Reclaims receivable		102,267			—			—			—
Receivable from adviser		—			—			—			—
Prepaid expenses		48,997			14,924			22,576			26,432
Total Assets		44,157,585			9,521,554			9,106,306			6,031,620
LIABILITIES:
Due to custodian		8,655,957			68,633			—			—
Payable for investments purchased		32,118			—			—			—
Payable for capital shares redeemed		185,980			15,326			84,492			5,283
Unrealized depreciation on variation margin		13,743			540			25,401			18,724
Accrued expenses and other payables:
Investment advisory fees		6,803			4,250			760			1,010
Administration fees		—			912			1,491			1,098
Custodian fees		—			1,435			301			282
Transfer agent fees		18,127			5,733			3,432			2,595
Trustees' fees		100			—			—			7
12b-1 fees		11,259			2,604			1,082			504
Other accrued expenses		2,482			6,644			3,379			2,883
Total Liabilities		8,926,569			106,077			120,338			32,386
NET ASSETS:
Capital		44,561,977			9,736,618			14,261,703			8,147,511
Accumulated undistributed (distributions in excess of) net investment income		146,402			96,012			(1,569,027	)		(317,957	)
Accumulated net realized losses from investments		(8,986,257	)		(857,105	)		(3,729,572	)		(1,850,627	)
Net unrealized appreciation (depreciation) on investments		(491,106	)		439,952			22,864			20,307
Net Assets	$	35,231,016		$	9,415,477		$	8,985,968		$	5,999,234

See notes to financial statements.

127

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

							Consolidated
	Victory CEMP International Enhanced Volatility Wtd Index Fund			Victory CEMP REC Enhanced Volatility Wtd Index Fund			Victory CEMP Commodity Volatility Wtd Index Strategy Fund			Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Net Assets
Class A Shares	$	16,547,355		$	5,114,991		$	3,645,836		$	666,554
Class C Shares		7,151,092			1,334,799			181,127			231,435
Class I Shares		11,532,569			2,965,687			5,159,005			5,101,245
Total	$	35,231,016		$	9,415,477		$	8,985,968		$	5,999,234
Shares (unlimited number of shares authorized with a par value of $0.01 per share):
Class A Shares		1,645,572			548,994			615,950			88,816
Class C Shares		719,157			144,532			31,340			31,654
Class I Shares		1,147,211			318,106			866,803			675,608
Total		3,511,940			1,011,632			1,514,093			796,078
Net aset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	10.06		$	9.32		$	5.92		$	7.50
Class C Shares (a)	$	9.94		$	9.24		$	5.78		$	7.31
Class I Shares	$	10.05		$	9.32		$	5.95		$	7.55
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%		5.75	%		5.75	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	10.67		$	9.89		$	6.28		$	7.96

(a)  Redemption price per share varies by the length of time shares are held.

See notes to financial statements.

128

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP Long/Short Strategy Fund			Victory CEMP Market Neutral Income Fund			Victory CEMP Enhanced Fixed Income Fund			Victory CEMP Ultra Short Term Fixed Income Fund
ASSETS:
Investments, at value (Cost $13,920,039, $64,800,929, $3,149,194 and $10,398,665)	$	14,666,565		$	59,431,416		$	3,149,167		$	10,401,504
Cash		—			—			2,120,567			—
Foreign currency, at value (Cost $0, $52,400, $0 and $0)		—			51,708			—			—
Deposit with broker for future contracts		427,359			7,138,904			221,977			—
Dividends receivable		18,313			103,673			117			25
Receivable for capital shares issued		—			134,285			—			2,267
Receivable for investments sold		—			1,097,351			—			—
Unrealized appreciation on variation margin		43,200			658,440			1,809			—
Reclaims receivable		—			14,141			—			—
Receivable from adviser		—			—			—			1,811
Prepaid expenses		9,321			26,313			5,664			13,984
Total Assets		15,164,758			68,656,231			5,499,301			10,419,591
LIABILITIES:
Written options, at value (Proceeds $0, $290,948, $0 and $0)		—			145,738			—			—
Payable for investments purchased		—			348,572			—			—
Payable for capital shares redeemed		—			242,063			97,018			33,488
Payable for income		—			—			—			2,047
Unrealized depreciation on variation margin		—			228,015			—			—
Foreign tax payable		—			173			—			—
Accrued expenses and other payables:
Investment advisory fees		10,866			21,876			430			—
Administration fees		1,684			—			160			283
Custodian fees		820			3,472			2,835			—
Transfer agent fees		5,274			6,021			840			929
Chief Compliance Officer fees		—			—			379			—
Trustees' fees		—			—			307			67
12b-1 fees		623			6,804			3,304			873
Other accrued expenses		4,412			4,038			1,189			373
Total Liabilities		23,679			1,006,772			106,462			38,060
NET ASSETS:
Capital		14,593,488			72,541,775			5,705,549			10,383,734
Accumulated undistributed (distributions in excess of) net investment income		28,662			108,627			(71,122	)		475
Accumulated net realized gains (losses) from investments		(222,984	)		295,015			(159,358	)		(5,517	)
Net unrealized appreciation (depreciation) on investments		741,913			(5,295,958	)		(82,230	)		2,839
Net Assets	$	15,141,079		$	67,649,459		$	5,392,839		$	10,381,531

See notes to financial statements.

129

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP Long/Short Strategy Fund			Victory CEMP Market Neutral Income Fund			Victory CEMP Enhanced Fixed Income Fund			Victory CEMP Ultra Short Term Fixed Income Fund
Net Assets
Class A Shares	$	824,491		$	27,588,675		$	3,455,643		$	2,359,292
Class C Shares		80,679			448,335			505,939			N/A
Class I Shares		14,235,909			39,612,449			1,431,257			8,022,239
Total	$	15,141,079		$	67,649,459		$	5,392,839		$	10,381,531
Shares (unlimited number of shares authorized with a par value of $0.01 per share):
Class A Shares		77,468			3,014,210			363,029			236,076
Class C Shares		7,786			49,255			53,734			N/A
Class I Shares		1,331,986			4,313,435			150,343			802,302
Total		1,417,240			7,376,900			567,106			1,038,378
Net aset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	10.64		$	9.15		$	9.52		$	9.99
Class C Shares (a)	$	10.36		$	9.10		$	9.42			N/A
Class I Shares	$	10.69		$	9.18		$	9.52		$	10.00
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%		2.00	%		1.00	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	11.29		$	9.71		$	9.71		$	10.09

(a)  Redemption price per share varies by the length of time shares are held.

See notes to financial statements.

130

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP Multi-Asset Balanced Fund			Victory CEMP Multi-Asset Growth Fund			Victory CEMP Alternative Strategies Fund
ASSETS:
Affiliated investments, at value (Cost $29,833,334, $9,780,814 and $29,922,550)	$	27,743,435		$	9,610,161		$	27,173,048
Unaffiliated investments, at value (Cost $672,913, $6,532,478 and $582,658)		672,913			6,532,478			582,658
Cash		1,138,462			—			772,509
Dividends receivable		9			10			6
Receivable for capital shares issued		2,928			3,901			56
Receivable for investments sold		910,705			599,522			—
Receivable from adviser		8,418			5,925			14,178
Prepaid expenses		29,719			19,475			28,084
Total Assets		30,506,589			16,771,472			28,570,539
LIABILITIES:
Payable for investments purchased		328,479			6,325,484			—
Payable for capital shares redeemed		42,891			—			133,301
Accrued expenses and other payables:
Administration fees		375			1,598			—
Custodian fees		1,657			1,004			642
Transfer agent fees		9,698			4,365			22,277
Trustees' fees		56			—			83
12b-1 fees		13,043			4,870			9,565
Other accrued expenses		2,216			2,361			2,314
Total Liabilities		398,415			6,339,682			168,182
NET ASSETS:
Capital		32,084,809			11,168,864			35,660,601
Accumulated undistributed (distributions in excess of) net investment income		112,096			(12,994	)		(36,027	)
Accumulated net realized gains (losses) from investments		1,168			(553,427	)		(4,472,715	)
Net unrealized depreciation on investments		(2,089,899	)		(170,653	)		(2,749,502	)
Net Assets	$	30,108,174		$	10,431,790		$	28,402,357

See notes to financial statements.

131

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2015

  (Unaudited)

	Victory CEMP Multi-Asset Balanced Fund			Victory CEMP Multi-Asset Growth Fund			Victory CEMP Alternative Strategies Fund
Net Assets
Class A Shares	$	20,465,643		$	6,605,657		$	23,401,272
Class C Shares		9,642,531			3,826,133			5,001,085
Total	$	30,108,174		$	10,431,790		$	28,402,357
Shares (unlimited number of shares authorized with a par value of $0.01 per share):
Class A Shares		1,954,935			773,208			2,496,223
Class C Shares		939,127			464,752			546,611
Total		2,894,062			1,237,960			3,042,834
Net aset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	10.47		$	8.54		$	9.37
Class C Shares (a)	$	10.27		$	8.23		$	9.15
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%		5.75	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	11.11		$	9.06		$	9.94

(a)  Redemption price per share varies by the length of time shares are held.

See notes to financial statements.

132

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2015

  (Unaudited)

	Victory CEMP US 500 Volatility Wtd Index Fund			Victory CEMP US Small Cap Volatility Wtd Index Fund			Victory CEMP International Volatility Wtd Index Fund			Victory CEMP Emerging Market Volatility Wtd Index Fund			Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Investment Income:
Dividend income	$	299,005		$	99,501		$	180,943		$	181,339		$	1,855,482
Securities lending income		2,331			10,406			274			1,247			9,152
Foreign tax withholding		—			—			(21,730	)		(15,509	)		—
Total Income		301,336			109,907			159,487			167,077			1,864,634
Expenses:
Investment advisory fees		116,394			47,253			76,196			59,508			713,567
Administration fees		18,360			10,800			29,205			23,851			82,942
12B-1 fees — Class A Shares		22,206			9,692			12,928			8,998			100,123
12B-1 fees — Class C Shares		11,639			10,346			950			7,195			292,781
12B-1 fees — Class T Shares		477			166			32			454			25,911
Custodian fees		3,798			1,137			28,029			69,360			13,418
Transfer agent fees — Class A Shares		5,031			3,936			3,345			2,981			21,944
Transfer agent fees — Class C Shares		681			1,199			155			1,116			14,882
Transfer agent fees — Class I Shares		3,767			1,592			3,256			3,854			21,986
Transfer agent fees — Class T Shares		56			21			5			57			—
Trustees' fees		1,723			780			1,054			866			10,489
Chief Compliance Officer fees		1,606			785			1,046			897			10,056
Legal and audit fees		12,542			6,321			8,018			6,771			69,982
State registration and filing fees		12,610			12,550			10,075			10,075			25,220
Other expenses		8,171			6,783			6,380			6,738			35,055
Total Expenses		219,061			113,361			180,674			202,721			1,438,356
Expenses waived/reimbursed by Adviser		(62,234	)		(43,583	)		(86,441	)		(123,175	)		(273,784	)
Net Expenses		156,827			69,778			94,233			79,546			1,164,572
Net Investment Income		144,509			40,129			65,254			87,531			700,062
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		180,074			(142,536	)		(840,493	)		(1,328,366	)		830,489
Net realized gains (losses) from future contracts		15,183			(88,508	)		(63,333	)		(447,510	)		19,473
Net change in unrealized appreciation (depreciation) on investments		(1,061,376	)		(911,879	)		(412,197	)		(1,471,726	)		(6,874,146	)
Net change in unrealized appreciation (depreciation) from future contracts		11,714			2,992			19,459			9,679			77,308
Net realized/unrealized gains (losses) from investment transactions		(854,405	)		(1,139,931	)		(1,296,564	)		(3,237,923	)		(5,946,876	)
Change in net assets resulting from operations	$	(709,896	)	$	(1,099,802	)	$	(1,231,310	)	$	(3,150,392	)	$	(5,246,814	)

See notes to financial statements.

133

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2015

  (Unaudited)

							Consolidated
	Victory CEMP International Enhanced Volatility Wtd Index Fund			Victory CEMP REC Enhanced Volatility Wtd Index Fund			Victory CEMP Commodity Volatility Wtd Index Strategy Fund			Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Investment Income:
Dividend income from affiliated investments	$	—		$	—		$	572		$	442
Dividend income from unaffiliated investments		614,733			234,697			794			843
Interest income from unaffiliated investments		—			—			27,517			17,308
Securities lending income		767			16,681			—			—
Foreign tax withholding		(40,228	)		(735	)		—			—
Total Income		575,272			250,643			28,883			18,593
Expenses:
Investment advisory fees		255,491			86,482			40,003			29,704
Administration fees		45,824			8,663			6,296			5,341
12B-1 fees — Class A Shares		27,531			9,231			6,326			1,928
12B-1 fees — Class C Shares		36,782			7,216			986			1,229
12B-1 fees — Class T Shares		6,060			437			24			123
Custodian fees		45,354			1,984			737			568
Transfer agent fees — Class A Shares		8,624			4,316			2,492			945
Transfer agent fees — Class C Shares		3,850			953			186			170
Transfer agent fees — Class I Shares		14,738			4,893		��	2,325			3,382
Transfer agent fees — Class T Shares		828			92			4			31
Trustees' fees		3,779			926			532			394
Chief Compliance Officer fees		3,728			957			538			358
Legal and audit fees		25,865			7,251			5,443			4,388
State registration and filing fees		12,610			10,075			10,075			5,068
Other expenses		14,084			5,419			3,870			3,115
Total Expenses		505,148			148,895			79,837			56,744
Expenses waived/reimbursed by Adviser		(165,090	)		(36,741	)		(30,136	)		(21,973	)
Net Expenses		340,058			112,154			49,701			34,771
Net Investment Income		235,214			138,489			(20,818	)		(16,178	)
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		(7,571,380	)		(806,829	)		(15,346	)		(2,969	)
Net realized gains (losses) from future contracts		(348,608	)		(53,112	)		(1,756,089	)		(966,985	)
Net change in unrealized appreciation (depreciation) on investments		(218,490	)		435,814			4,814			(1,101	)
Net change in unrealized appreciation (depreciation) from future contracts		74,336			25,830			(32,022	)		(5,531	)
Net realized/unrealized gains (losses) from investment transactions		(8,064,142	)		(398,297	)		(1,798,643	)		(976,586	)
Change in net assets resulting from operations	$	(7,828,928	)	$	(259,808	)	$	(1,819,461	)	$	(992,764	)

See notes to financial statements.

134

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2015

  (Unaudited)

	Victory CEMP Long/Short Strategy Fund			Victory CEMP Market Neutral Income Fund			Victory CEMP Enhanced Fixed Income Fund			Victory CEMP Ultra Short Term Fixed Income Fund
Investment Income:
Dividend income from affiliated investments	$	—		$	—		$	1,059		$	—
Dividend income from unaffiliated investments		127,520			943,261			2,886			437
Interest income from unaffiliated investments		—			—			55,219			40,374
Securities lending income		1,962			11,246			4			—
Foreign tax withholding		—			(39,676	)		—			—
Total Income		129,482			914,831			59,168			40,811
Expenses:
Investment advisory fees		85,326			176,329			39,574			27,879
Administration fees		11,427			41,153			10,782			6,928
12B-1 fees — Class A Shares		3,563			38,782			19,038			5,798
12B-1 fees — Class C Shares		411			2,340			2,805			—
12B-1 fees — Class T Shares		16			105			396			—
Custodian fees		1,305			10,602			3,399			795
Transfer agent fees — Class A Shares		1,536			5,431			851			792
Transfer agent fees — Class C Shares		100			252			129			—
Transfer agent fees — Class I Shares		6,875			7,218			915			1,732
Transfer agent fees — Class T Shares		5			9			4			—
Trustees' fees		745			2,845			1,359			742
Chief Compliance Officer fees		739			2,743			1,689			649
Legal and audit fees		6,058			19,406			8,605			5,940
State registration and filing fees		5,008			5,008			5,915			5,006
Other expenses		5,705			9,950			6,419			3,893
Total Expenses		128,819			322,173			101,880			60,154
Expenses waived/reimbursed by Adviser		(35,969	)		(89,944	)		(34,490	)		(36,992	)
Net Expenses		92,850			232,229			67,390			23,162
Net Investment Income		36,632			682,602			(8,222	)		17,649
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		(171,655	)		(2,469,297	)		(63,012	)		(4,885	)
Net realized gains (losses) from future contracts		124,586			4,511,740			(68,296	)		—
Net realized gains (losses) from written options		—			1,176,791			—			—
Net change in unrealized appreciation (depreciation) on investments		(199,418	)		(3,017,174	)		(5,657	)		(625	)
Net change in unrealized appreciation (depreciation) from future contracts		(124,763	)		(1,177,487	)		8,272			—
Net change in unrealized appreciation (depreciation) from written options		—			502,215			—			—
Net realized/unrealized gains (losses) from investment transactions		(371,250	)		(473,212	)		(128,693	)		(5,510	)
Change in net assets resulting from operations	$	(334,618	)	$	209,390		$	(136,915	)	$	12,139

See notes to financial statements.

135

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2015

  (Unaudited)

	Victory CEMP Multi-Asset Balanced Fund			Victory CEMP Multi-Asset Growth Fund			Victory CEMP Alternative Strategies Fund
Investment Income:
Dividend income from affiliated investments	$	433,500		$	97,316		$	560,309
Dividend income from unaffiliated investments		647			300			485
Total Income		434,147			97,616			560,794
Expenses:
Administration fees		15,917			7,420			15,639
12B-1 fees — Class A Shares		25,953			8,329			34,691
12B-1 fees — Class C Shares		54,039			21,782			29,489
12B-1 fees — Class T Shares		9,876			4,890			3,077
Custodian fees		3,688			1,814			2,841
Transfer agent fees — Class A Shares		9,267			4,259			23,079
Transfer agent fees — Class C Shares		4,278			1,886			4,669
Transfer agent fees — Class T Shares		649			349			403
Trustees' fees		2,022			695			2,143
Chief Compliance Officer fees		1,920			672			2,077
Legal and audit fees		13,728			5,573			14,379
State registration and filing fees		20,152			17,678			20,152
Other expenses		6,832			3,900			7,928
Total Expenses		168,321			79,247			160,567
Expenses waived/reimbursed by Adviser		(34,746	)		(28,405	)		(49,455	)
Net Expenses		133,575			50,842			111,112
Net Investment Income		300,572			46,774			449,682
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from affiliated investment transactions		210,974			(254,984	)		(216,297	)
Net change in unrealized depreciation on affiliated investments		(2,072,239	)		(604,270	)		(2,221,698	)
Net realized/unrealized gains (losses) from investment transactions		(1,861,265	)		(859,254	)		(2,437,995	)
Change in net assets resulting from operations	$	(1,560,693	)	$	(812,480	)	$	(1,988,313	)

See notes to financial statements.

136

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP US 500 Volatility Wtd Index Fund						Victory CEMP US Small Cap Volatility Wtd Index Fund						Victory CEMP International Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income	$	144,509		$	319,386		$	40,129		$	84,373		$	65,254		$	336,667
Net realized gains (losses) from investment transactions		195,257			4,590,533			(231,044	)		1,259,722			(903,826	)		(2,585	)
Distributions of realized gains from underyling investment companies		—			—			—			1,441			—			—
Net change in unrealized depreciation on investments		(1,049,662	)		(2,518,389	)		(908,887	)		(504,138	)		(392,738	)		(2,395,412	)
Change in net assets resulting from operations		(709,896	)		2,391,530			(1,099,802	)		841,398			(1,231,310	)		(2,061,330	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(61,588	)		(133,291	)		(18,539	)		(43,499	)		(32,450	)		(138,887	)
Class C Shares		(3,665	)		(1,167	)		(23	)		(361	)		(166	)		(826	)
Class I Shares		(60,517	)		(177,326	)		(14,406	)		(44,254	)		(36,931	)		(192,804	)
Class T Shares		—			(1,534	)		—			(248	)		(43	)		(193	)
From net realized gains:
Class A Shares		(1,495,734	)		(1,478,698	)		(407,378	)		(559,095	)		(572	)		(732,838	)
Class C Shares		(356,473	)		(105,106	)		(178,723	)		(163,961	)		(26	)		(7,708	)
Class I Shares		(1,051,727	)		(2,032,582	)		(242,064	)		(636,483	)		(428	)		(1,348,626	)
Class T Shares		—			(26,775	)		—			(6,639	)		—			(1,107	)
Change in net assets resulting from distributions to shareholders		(3,029,704	)		(3,956,479	)		(861,133	)		(1,454,540	)		(70,616	)		(2,422,989	)
Change in net assets from capital transactions		(428,796	)		(12,906,131	)		(8,425,827	)		(1,355,027	)		(10,245,615	)		(10,938,295	)
Change in net assets		(4,168,396	)		(14,471,080	)		(10,386,762	)		(1,968,169	)		(11,547,541	)		(15,422,614	)
Net Assets:
Beginning of period		33,825,853			48,296,933			17,710,610			19,678,779			20,727,151			36,149,765
End of period	$	29,657,457		$	33,825,853		$	7,323,848		$	17,710,610		$	9,179,610		$	20,727,151
Accumulated undistributed (distributions in excess of) net investment income	$	23,754		$	5,015		$	10,993		$	3,832		$	(32,682	)	$	(28,346	)

(continues on next page)

See notes to financial statements.

137

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP US 500 Volatility Wtd Index Fund						Victory CEMP US Small Cap Volatility Wtd Index Fund						Victory CEMP International Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	879,254		$	3,980,121		$	522,746		$	5,938,819		$	351,053		$	1,636,734
Dividends reinvested		1,326,188			1,308,672			425,339			599,006			31,016			776,057
Subscription Exchange		341,906			—			121,194			—			24,006			—
Cost of shares redeemed		(3,823,651	)		(6,339,349	)		(8,821,878	)		(2,885,451	)		(7,755,271	)		(2,755,338	)
Total Class A Shares	$	(1,276,303	)	$	(1,050,556	)	$	(7,752,599	)	$	3,652,374		$	(7,349,196	)	$	(342,547	)
Class C Shares
Proceeds from shares issued	$	2,507,916		$	1,067,783		$	461,846		$	938,606		$	325,003		$	53,173
Dividends reinvested		359,110			105,475			178,747			163,900			192			7,843
Cost of shares redeemed		(204,562	)		(347,931	)		(198,485	)		(528,686	)		(9,077	)		(50,030	)
Total Class C Shares	$	2,662,464		$	825,327		$	442,108		$	573,820		$	316,118		$	10,986
Class I Shares
Proceeds from shares issued	$	1,148,746		$	8,094,474		$	177,552		$	1,848,237		$	177,879		$	3,800,503
Dividends reinvested		864,545			791,125			185,023			264,873			15,218			271,875
Cost of shares redeemed		(3,496,687	)		(21,575,147	)		(1,377,537	)		(7,738,144	)		(3,388,233	)		(14,694,885	)
Total Class I Shares	$	(1,483,396	)	$	(12,689,548	)	$	(1,014,962	)	$	(5,625,034	)	$	(3,195,136	)	$	(10,622,507	)
Class T Shares
Proceeds from shares issued	$	10,226		$	1,349		$	30,151		$	37,616		$	6,562		$	14,473
Dividends reinvested		119			7,359			133			6,887			43			1,300
Cost of shares redeemed		—			(62	)		(9,464	)		(690	)		—			—
Redemption Exchange		(341,906	)		—			(121,194	)		—			(24,006	)		—
Total Class T Shares	$	(331,561	)	$	8,646		$	(100,374	)	$	43,813		$	(17,401	)	$	15,773
Change in net assets from capital transactions	$	(428,796	)	$	(12,906,131	)	$	(8,425,827	)	$	(1,355,027	)	$	(10,245,615	)	$	(10,938,295	)

(continues on next page)

See notes to financial statements.

138

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP US 500 Volatility Wtd Index Fund						Victory CEMP US Small Cap Volatility Wtd Index Fund						Victory CEMP International Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		65,699			288,930			38,907			446,025			32,725			143,084
Reinvested		106,740			99,819			35,162			47,091			3,013			70,482
Issued exchange		25,439			—			9,292			—			2,202			—
Redeemed		(289,492	)		(456,671	)		(695,188	)		(210,534	)		(715,905	)		(235,283	)
Total Class A Shares		(91,614	)		(67,922	)		(611,827	)		282,582			(677,965	)		(21,717	)
Class C Shares
Issued		186,931			76,985			35,086			70,015			30,397			4,429
Reinvested		29,291			8,154			14,883			13,039			18			719
Redeemed		(15,614	)		(24,924	)		(15,817	)		(39,491	)		(870	)		(3,968	)
Total Class C Shares		200,608			60,215			34,152			43,563			29,545			1,180
Class I Shares
Issued		86,084			570,110			13,117			134,776			15,998			314,519
Reinvested		69,461			60,261			15,231			20,774			1,474			24,624
Redeemed		(265,619	)		(1,574,223	)		(107,086	)		(579,391	)		(313,000	)		(1,312,300	)
Total Class I Shares		(110,074	)		(943,852	)		(78,738	)		(423,841	)		(295,528	)		(973,157	)
Class T Shares
Issued		765			95			2,218			2,831			575			1,146
Reinvested		9			564			11			543			4			118
Redeemed		—			(4	)		(630	)		(51	)		—			—
Redeemed exchange		(25,439	)		—			(9,292	)		—			(2,202	)		—
Total Class T Shares		(24,665	)		655			(7,693	)		3,323			(1,623	)		1,264
Change in shares		(25,745	)		(950,904	)		(664,106	)		(94,373	)		(945,571	)		(992,430	)

See notes to financial statements.

139

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Emerging Market Volatility Wtd Index Fund						Victory CEMP US 500 Enhanced Volatility Wtd Index Fund						Victory CEMP International Enhanced Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	87,531		$	185,088		$	700,062		$	565,377		$	235,214		$	870,908
Net realized gains from investment transactions		(1,775,876	)		(169,079	)		849,962			12,766,098			(7,919,988	)		(977,723	)
Net change in unrealized appreciation (depreciation) on investments		(1,462,047	)		(1,788,075	)		(6,796,838	)		(1,711,629	)		(144,154	)		(6,447,815	)
Change in net assets resulting from operations		(3,150,392	)		(1,772,066	)		(5,246,814	)		11,619,846			(7,828,928	)		(6,554,630	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(45,947	)		(78,452	)		(283,190	)		(194,828	)		(43,314	)		(206,922	)
Class C Shares		(6,836	)		(4,683	)		(17,708	)		(4	)		(2,639	)		(37,899	)
Class I Shares		(28,643	)		(127,931	)		(265,461	)		(349,137	)		(115,132	)		(574,258	)
Class T Shares		—			(2,381	)		(21,046	)		(13,767	)		—			(30,419	)
From net realized gains:
Class A Shares		—			—			(3,201,414	)		(4,071,390	)		—			(908,002	)
Class C Shares		—			—			(2,186,914	)		(2,493,428	)		—			(271,718	)
Class I Shares		—			—			(1,966,743	)		(4,174,577	)		—			(2,309,234	)
Class T Shares		—			—			—			(795,803	)		—			(129,588	)
Change in net assets resulting from distributions to shareholders		(81,426	)		(213,447	)		(7,942,476	)		(12,092,934	)		(161,085	)		(4,468,040	)
Change in net assets from capital transactions		(5,856,249	)		2,519,529			(5,964,308	)		(420,603	)		(35,350,889	)		(9,998,443	)
Change in net assets		(9,088,067	)		534,016			(19,153,598	)		(893,691	)		(43,340,902	)		(21,021,113	)
Net Assets:
Beginning of period		20,120,287			19,586,271			212,864,771			213,758,462			78,571,918			99,593,031
End of period	$	11,032,220		$	20,120,287		$	193,711,173		$	212,864,771		$	35,231,016		$	78,571,918
Accumulated undistributed (distributions in excess of) net investment income	$	1,216		$	(4,889	)	$	144,643		$	31,986		$	146,402		$	72,273

(continues on next page)

See notes to financial statements.

140

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Emerging Market Volatility Wtd Index Fund						Victory CEMP US 500 Enhanced Volatility Wtd Index Fund						Victory CEMP International Enhanced Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	4,710,649		$	6,212,905		$	14,397,596		$	28,739,300		$	6,396,273		$	6,750,567
Dividends reinvested		45,660			74,609			3,423,635			4,180,076			42,486			1,100,420
Subscription Exchange		317,771			—			17,402,807			—			4,088,450			—
Cost of shares redeemed		(4,923,407	)		(6,622,036	)		(20,792,836	)		(34,774,122	)		(13,311,624	)		(15,684,198	)
Total Class A Shares	$	150,673		$	(334,522	)	$	14,431,202		$	(1,854,746	)	$	(2,784,415	)	$	(7,833,211	)
Class C Shares
Proceeds from shares issued	$	276,549		$	774,833		$	11,838,696		$	29,792,498		$	1,317,481		$	4,809,809
Dividends reinvested		6,169			4,358			2,193,223			2,395,147			2,325			281,164
Cost of shares redeemed		(237,223	)		(567,511	)		(9,450,083	)		(8,525,272	)		(1,220,977	)		(2,676,007	)
Total Class C Shares	$	45,495		$	211,680		$	4,581,836		$	23,662,373		$	98,829		$	2,414,966
Class I Shares
Proceeds from shares issued	$	1,304,666		$	14,914,957		$	13,403,794		$	40,504,368		$	1,972,961		$	32,773,546
Dividends reinvested		14,694			28,754			1,999,967			2,516,287			34,493			658,598
Cost of shares redeemed		(7,055,327	)		(12,457,723	)		(23,334,823	)		(72,256,367	)		(30,628,145	)		(39,529,052	)
Total Class I Shares	$	(5,735,967	)	$	2,485,988		$	(7,931,062	)	$	(29,235,712	)	$	(28,620,691	)	$	(6,096,908	)
Class T Shares
Proceeds from shares issued	$	9,777		$	179,627		$	600,414		$	6,711,098		$	137,535		$	1,883,373
Dividends reinvested		2,012			2,340			19,918			769,769			6,729			154,275
Cost of shares redeemed		(10,468	)		(25,584	)		(263,809	)		(473,385	)		(100,426	)		(520,938	)
Redemption Exchange		(317,771	)		—			(17,402,807	)		—			(4,088,450	)		—
Total Class T Shares	$	(316,450	)	$	156,383		$	(17,046,284	)	$	7,007,482		$	(4,044,612	)	$	1,516,710
Change in net assets from capital transactions	$	(5,856,249	)	$	2,519,529		$	(5,964,308	)	$	(420,603	)	$	(35,350,889	)	$	(9,998,443	)

(continues on next page)

See notes to financial statements.

141

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Emerging Market Volatility Wtd Index Fund						Victory CEMP US 500 Enhanced Volatility Wtd Index Fund						Victory CEMP International Enhanced Volatility Wtd Index Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		540,204			608,456			1,022,015			2,027,384			614,094			588,862
Reinvested		5,568			7,528			254,280			311,186			4,256			100,563
Issued exchange		35,545			—			1,261,987			—			395,401			—
Redeemed		(559,960	)		(641,144	)		(1,498,672	)		(2,460,365	)		(1,287,630	)		(1,354,485	)
Total Class A Shares		21,357			(25,160	)		1,039,610			(121,795	)		(273,879	)		(665,060	)
Class C Shares
Issued		32,728			74,788			862,601			2,118,573			128,079			414,229
Reinvested		758			438			165,154			180,766			235			26,005
Redeemed		(28,313	)		(56,774	)		(691,655	)		(608,986	)		(118,128	)		(237,220	)
Total Class C Shares		5,173			18,452			336,100			1,690,353			10,186			203,014
Class I Shares
Issued		146,284			1,409,739			966,331			2,856,136			183,788			2,733,361
Reinvested		1,792			2,904			148,666			187,091			3,441			59,884
Redeemed		(831,441	)		(1,215,587	)		(1,693,347	)		(5,119,562	)		(2,963,821	)		(3,523,820	)
Total Class I Shares		(683,365	)		197,056			(578,350	)		(2,076,335	)		(2,776,592	)		(730,575	)
Class T Shares
Issued		1,014			16,930			42,640			477,128			12,316			159,597
Reinvested		246			235			1,538			57,581			676			14,150
Redeemed		(1,189	)		(2,535	)		(18,792	)		(33,341	)		(8,856	)		—
Redeemed exchange		(35,545	)		—			(1,261,987	)		—			(395,401	)		(46,645	)
Total Class T Shares		(35,474	)		14,630			(1,236,601	)		501,368			(391,265	)		127,102
Change in shares		(692,309	)		204,978			(439,241	)		(6,409	)		(3,431,550	)		(1,065,519	)

See notes to financial statements.

142

Victory Portfolios II  Statements of Changes in Net Assets

							Consolidated
	Victory CEMP REC Enhanced Volatility Wtd Index Fund						Victory CEMP Commodity Volatility Wtd Index Strategy Fund						Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	138,489		$	344,923		$	(20,818	)	$	(48,937	)	$	(16,178	)	$	(68,159	)
Net realized gains from investment transactions		(859,941	)		2,698,721			(1,771,435	)		(2,452,964	)		(969,954	)		(975,414	)
Net change in unrealized appreciation (depreciation) on investments		461,644			(1,500,665	)		(27,208	)		(210,054	)		(6,632	)		(91,658	)
Change in net assets resulting from operations		(259,808	)		1,542,979			(1,819,461	)		(2,711,955	)		(992,764	)		(1,135,231	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(20,591	)		(133,283	)		—			(391,394	)		—			(16,768	)
Class C Shares		(2,567	)		(7,944	)		—			(24,325	)		—			(2,261	)
Class I Shares		(19,319	)		(200,801	)		—			(1,041,101	)		—			(101,708	)
Class T Shares		—			(2,895	)		—			(2,034	)		—			(868	)
From net realized gains:
Class A Shares		(1,169,452	)		(205,078	)		—			—			—			—
Class C Shares		(251,108	)		(26,686	)		—			—			—			—
Class I Shares		(568,951	)		(295,953	)		—			—			—			—
Class T Shares		—			(5,251	)		—			—			—			—
Change in net assets resulting from distributions to shareholders		(2,031,988	)		(877,891	)		—			(1,458,854	)		—			(121,605	)
Change in net assets from capital transactions		(7,919,932	)		(9,631,767	)		(1,421,527	)		2,168,851			(1,302,468	)		(1,892,332	)
Change in net assets		(10,211,728	)		(8,966,679	)		(3,240,988	)		(2,001,958	)		(2,295,232	)		(3,149,168	)
Net Assets:
Beginning of period		19,627,205			28,593,884			12,226,956			14,228,914			8,294,466			11,443,634
End of period	$	9,415,477		$	19,627,205		$	8,985,968		$	12,226,956		$	5,999,234		$	8,294,466
Accumulated undistributed (distributions in excess of) net investment income	$	96,012		$	—		$	(1,569,027	)	$	(1,548,209	)	$	(317,957	)	$	(301,779	)

(continues on next page)

See notes to financial statements.

143

Victory Portfolios II  Statements of Changes in Net Assets

							Consolidated
	Victory CEMP REC Enhanced Volatility Wtd Index Fund						Victory CEMP Commodity Volatility Wtd Index Strategy Fund						Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	892,114		$	4,276,791		$	1,246,436		$	4,584,183		$	68,488		$	1,249,348
Dividends reinvested		1,182,914			329,945			—			377,710			—			16,843
Subscription Exchange		353,696			—			16,881			—			86,333			—
Cost of shares redeemed		(4,156,350	)		(9,060,098	)		(2,821,226	)		(1,649,349	)		(1,011,050	)		(1,158,663	)
Total Class A Shares	$	(1,727,626	)	$	(4,453,362	)	$	(1,557,909	)	$	3,312,544		$	(856,229	)	$	107,528
Class C Shares
Proceeds from shares issued	$	148,946		$	824,689		$	11,167		$	120,673		$	58,662		$	263,535
Dividends reinvested		232,217			29,990			—			22,121			—			2,237
Cost of shares redeemed		(231,902	)		(248,072	)		(19,044	)		(38,562	)		(41,750	)		(55,537	)
Total Class C Shares	$	149,261		$	606,607		$	(7,877	)	$	104,232		$	16,912		$	210,235
Class I Shares
Proceeds from shares issued	$	374,425		$	2,211,798		$	1,367,876		$	1,941,743		$	929,634		$	1,564,741
Dividends reinvested		341,562			78,205			—			69,261			—			4,670
Cost of shares redeemed		(6,787,373	)		(8,184,745	)		(1,207,000	)		(3,262,731	)		(1,312,712	)		(3,785,994	)
Total Class I Shares	$	(6,071,386	)	$	(5,894,742	)	$	160,876		$	(1,251,727	)	$	(383,078	)	$	(2,216,583	)
Class T Shares
Proceeds from shares issued	$	85,244		$	103,823		$	302		$	1,943		$	11,871		$	6,752
Dividends reinvested		—			6,491			—			2,035			—			586
Cost of shares redeemed		(1,729	)		(584	)		(38	)		—			(5,611	)		(850	)
Redemption Exchange		(353,696	)		—			(16,881	)		(176	)		(86,333	)		—
Total Class T Shares	$	(270,181	)	$	109,730		$	(16,617	)	$	3,802		$	(80,073	)	$	6,488
Change in net assets from capital transactions	$	(7,919,932	)	$	(9,631,767	)	$	(1,421,527	)	$	2,168,851		$	(1,302,468	)	$	(1,892,332	)

(continues on next page)

See notes to financial statements.

144

Victory Portfolios II  Statements of Changes in Net Assets

							Consolidated
	Victory CEMP REC Enhanced Volatility Wtd Index Fund						Victory CEMP Commodity Volatility Wtd Index Strategy Fund						Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		79,658			353,683			199,732			625,522			8,543			139,478
Reinvested		124,574			27,590			—			51,953			—			1,943
Issued exchange		31,807			—			2,654			—			10,914			—
Redeemed		(398,730	)		(751,591	)		(460,748	)		(210,786	)		(132,991	)		(132,307	)
Total Class A Shares		(162,691	)		(370,318	)		(258,362	)		466,689			(113,534	)		9,114
Class C Shares
Issued		13,217			69,777			1,878			15,520			7,659			29,932
Reinvested		24,687			2,494			—			3,090			—			263
Redeemed		(21,873	)		(21,457	)		(3,194	)		(5,239	)		(5,653	)		(6,555	)
Total Class C Shares		16,031			50,814			(1,316	)		13,371			2,006			23,640
Class I Shares
Issued		35,696			186,116			228,919			232,888			118,429			176,801
Reinvested		35,890			6,552			—			9,501			—			537
Redeemed		(615,369	)		(662,800	)		(192,120	)		(433,779	)		(166,695	)		(438,359	)
Total Class I Shares		(543,783	)		(470,132	)		36,799			(191,390	)		(48,266	)		(261,021	)
Class T Shares
Issued		7,816			8,786			47			264			1,478			808
Reinvested		—			541			—			281			—			68
Redeemed		(162	)		(48	)		(6	)		—			(721	)		(101	)
Redeemed exchange		(31,807	)		—			(2,654	)		(23	)		(10,914	)		—
Total Class T Shares		(24,153	)		9,279			(2,613	)		522			(10,157	)		775
Change in shares		(714,596	)		(780,357	)		(225,492	)		289,192			(169,951	)		(227,492	)

See notes to financial statements.

145

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Long/Short Strategy Fund						Victory CEMP Market Neutral Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	36,632		$	79,989		$	682,602		$	1,433,580
Net realized gains from investment transactions		(47,069	)		561,438			3,219,234			847,799
Net change in unrealized appreciation (depreciation) on investments		(324,181	)		137,298			(3,692,446	)		(3,277,265	)
Change in net assets resulting from operations		(334,618	)		778,725			209,390			(995,886	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(723	)		(2,458	)		(280,827	)		(647,928	)
Class C Shares		—			—			(2,870	)		(3,157	)
Class I Shares		(9,316	)		(77,181	)		(266,010	)		(781,173	)
Class T Shares		—			—			(466	)		(1,269	)
From net realized gains:
Class A Shares		(107,696	)		(10,262	)		(725,180	)		(178,488	)
Class C Shares		(3,401	)		(257	)		(10,951	)		(3,141	)
Class I Shares		(559,489	)		(62,383	)		(962,746	)		(229,940	)
Class T Shares		—			(39	)		—			(485	)
Change in net assets resulting from distributions to shareholders		(680,625	)		(152,580	)		(2,249,050	)		(1,845,581	)
Change in net assets from capital transactions		642,667			(11,123,184	)		12,607,702			(3,116,038	)
Change in net assets		(372,576	)		(10,497,039	)		10,568,042			(5,957,505	)
Net Assets:
Beginning of period		15,513,655			26,010,694			57,081,417			63,038,922
End of period	$	15,141,079		$	15,513,655		$	67,649,459		$	57,081,417
Accumulated undistributed (distributions in excess of) net investment income	$	28,662		$	2,069		$	108,627		$	(23,802	)

(continues on next page)

See notes to financial statements.

146

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Long/Short Strategy Fund						Victory CEMP Market Neutral Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	40,537		$	85,257		$	3,707,111		$	12,414,378
Dividends reinvested		108,419			12,701			1,005,467			820,751
Subscription Exchange		11,444			—			74,605			—
Cost of shares redeemed		(2,213,489	)		(821,334	)		(7,697,371	)		(9,495,510	)
Total Class A Shares	$	(2,053,089	)	$	(723,376	)	$	(2,910,188	)	$	3,739,619
Class C Shares
Proceeds from shares issued	$	—		$	61,200		$	385,733		$	313,662
Dividends reinvested		3,401			257			12,810			4,551
Cost of shares redeemed		(12	)		(10,580	)		(251,525	)		(183,385	)
Total Class C Shares	$	3,389		$	50,877		$	147,018		$	134,828
Class I Shares
Proceeds from shares issued	$	6,757,842		$	211,691		$	25,349,415		$	8,751,686
Dividends reinvested		1,344			830			506,631			53,762
Cost of shares redeemed		(4,055,375	)		(10,662,099	)		(10,343,004	)		(15,797,722	)
Total Class I Shares	$	2,703,811		$	(10,449,578	)	$	15,513,042		$	(6,992,274	)
Class T Shares
Proceeds from shares issued	$	—		$	—		$	140		$	1,366
Dividends reinvested		—			39			466			1,754
Cost of shares redeemed		—			(1,146	)		(152	)		—
Redemption Exchange		(11,444	)		—			(74,605	)		(1,331	)
Total Class T Shares	$	(11,444	)	$	(1,107	)	$	(74,151	)	$	1,789
Change in net assets from capital transactions	$	642,667		$	(11,123,184	)	$	12,675,721		$	(3,116,038	)

(continues on next page)

See notes to financial statements.

147

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Long/Short Strategy Fund						Victory CEMP Market Neutral Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		3,627			7,722			396,084			1,298,316
Reinvested		10,103			1,148			108,973			86,184
Issued exchange		1,025			—			7,845			—
Redeemed		(204,758	)		(73,382	)		(825,877	)		(995,644	)
Total Class A Shares		(190,003	)		(64,512	)		(312,975	)		388,856
Class C Shares
Issued		—			5,599			40,707			32,650
Reinvested		326			24			1,400			479
Redeemed		(1	)		(968	)		(33,952	)		(19,438	)
Total Class C Shares		325			4,655			8,155			13,691
Class I Shares
Issued		606,685			18,772			2,666,234			907,734
Reinvested		125			74			55,097			5,610
Redeemed		(361,696	)		(947,132	)		(1,088,860	)		(1,648,648	)
Total Class I Shares		245,114			(928,286	)		1,632,471			(735,304	)
Class T Shares
Issued		—			—			15			145
Reinvested		—			4			49			184
Redeemed		—			(100	)		(16	)		—
Redeemed exchange		(1,025	)		—			(7,845	)		(139	)
Total Class T Shares		(1,025	)		(96	)		(7,797	)		190
Change in shares		54,411			(988,239	)		1,319,854			(332,567	)

See notes to financial statements.

148

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Enhanced Fixed Income Fund						Victory CEMP Ultra Short Term Fixed Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	(8,222	)	$	(7,516	)	$	17,649		$	72,805
Net realized gains (losses) from investment transactions		(131,308	)		1,198,016			(4,885	)		469
Net change in unrealized appreciation (depreciation) on investments		2,615			(205,302	)		(625	)		3,464
Change in net assets resulting from operations		(136,915	)		985,198			12,139			76,738
Distributions to Shareholders:
From net investment income:
Class A Shares		(134,700	)		—			(2,098	)		(17,970	)
Class C Shares		(1,154	)		—			—			—
Class I Shares		(18,402	)		—			(14,640	)		(55,135	)
Class T Shares		—			—			—			—
In excess of net investment income:
Class A Shares		—			(440,028	)		—			—
Class C Shares		—			(5,699	)		—			—
Class I Shares		—			(350,363	)		—			—
Class T Shares		—			(3,558	)		—			—
From net realized gains:
Class A Shares		(217,641	)		—			—			(692	)
Class C Shares		(8,250	)		—			—			—
Class I Shares		(22,877	)		—			—			(1,205	)
Class T Shares		—			—			—			—
Change in net assets resulting from distributions to shareholders		(403,024	)		(799,648	)		(16,738	)		(75,002	)
Change in net assets from capital transactions		(16,330,904	)		(26,856,243	)		(4,230,044	)		(2,196,102	)
Change in net assets		(16,870,843	)		(26,670,693	)		(4,234,643	)		(2,194,366	)
Net Assets:
Beginning of period		22,263,682			48,934,375			14,616,174			16,810,540
End of period	$	5,392,839		$	22,263,682		$	10,381,531		$	14,616,174
Accumulated undistributed (distributions in excess of) net investment income	$	(71,122	)	$	91,356		$	475		$	(436	)

(continues on next page)

See notes to financial statements.

149

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Enhanced Fixed Income Fund						Victory CEMP Ultra Short Term Fixed Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	520,562		$	2,661,131		$	2,150,855		$	1,071,918
Dividends reinvested		351,582			439,981			2,007			17,030
Subscription Exchange		277,884			—			—			—
Cost of shares redeemed		(13,667,329	)		(16,837,816	)		(4,073,949	)		(2,771,343	)
Total Class A Shares	$	(12,517,301	)	$	(13,736,704	)	$	(1,921,087	)	$	(1,682,395	)
Class C Shares
Proceeds from shares issued	$	98,832		$	346,409			N/A			N/A
Dividends reinvested		9,404			5,513			N/A			N/A
Cost of shares redeemed		(161,285	)		(175,886	)		N/A			N/A
Total Class C Shares	$	(53,049	)	$	176,036			N/A			N/A
Class I Shares
Proceeds from shares issued	$	488,348		$	5,102,824		$	850,410		$	3,375,297
Dividends reinvested		39,677			3,572			12,792			41,056
Cost of shares redeemed		(4,006,094	)		(18,438,629	)		(3,172,159	)		(3,930,060	)
Total Class I Shares	$	(3,478,069	)	$	(13,332,233	)	$	(2,308,957	)	$	(513,707	)
Class T Shares
Proceeds from shares issued	$	420		$	37,646			N/A			N/A
Dividends reinvested		—			3,128			N/A			N/A
Cost of shares redeemed		(5,021	)		(4,116	)		N/A			N/A
Redemption Exchange		(277,884	)		—			N/A			N/A
Total Class T Shares	$	(282,485	)	$	36,658			N/A			N/A
Change in net assets from capital transactions	$	(16,330,904	)	$	(26,856,243	)	$	(4,230,044	)	$	(2,196,102	)

(continues on next page)

See notes to financial statements.

150

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Enhanced Fixed Income Fund						Victory CEMP Ultra Short Term Fixed Income Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		52,588			267,756			215,100			107,192
Reinvested		36,970			44,353			201			1,703
Issued exchange		28,154			—			—			—
Redeemed		(1,423,111	)		(1,688,141	)		(407,453	)		(277,134	)
Total Class A Shares		(1,305,399	)		(1,376,032	)		(192,152	)		(168,239	)
Class C Shares
Issued		10,143			35,330			N/A			N/A
Reinvested		999			562			N/A			N/A
Redeemed		(16,625	)		(17,915	)		N/A			N/A
Total Class C Shares		(5,483	)		17,977			N/A			N/A
Class I Shares
Issued		49,239			515,488			85,041			337,530
Reinvested		4,168			360			1,279			4,106
Redeemed		(406,187	)		(1,843,022	)		(317,216	)		(393,007	)
Total Class I Shares		(352,780	)		(1,327,174	)		(230,896	)		(51,371	)
Class T Shares
Issued		43			3,810			N/A			N/A
Reinvested		—			316			N/A			N/A
Redeemed		(511	)		(417	)		N/A			N/A
Redeemed exchange		(28,154	)		—			N/A			N/A
Total Class T Shares		(28,622	)		3,709			N/A			N/A
Change in shares		(1,692,284	)		(2,681,520	)		(423,048	)		(219,610	)

See notes to financial statements.

151

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Multi-Asset Balanced Fund						Victory CEMP Multi-Asset Growth Fund						Victory CEMP Alternative Strategies Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	300,572		$	2,016,794		$	46,774		$	1,076,431		$	449,682		$	1,366,986
Net realized gains (losses) from affiliated investment transactions		210,974			2,350,425			(254,984	)		2,351,713			(216,297	)		1,024,311
Distributions of realized gains from underlying investment companies		—			1,157,291			—			1,196,268			—			229,350
Net change in unrealized depreciation on affiliated investments		(2,072,239	)		(6,668,126	)		(604,270	)		(5,739,116	)		(2,221,698	)		(3,667,693	)
Change in net assets resulting from operations		(1,560,693	)		(1,143,616	)		(812,480	)		(1,114,704	)		(1,988,313	)		(1,047,046	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(212,490	)		(1,645,058	)		(59,695	)		(925,806	)		(546,335	)		(1,064,520	)
Class C Shares		(16,519	)		(181,327	)		(73	)		(95,166	)		(72,992	)		(117,166	)
Class I Shares		—			—			—			—			—			(52,030	)
Class T Shares		—			(149,876	)		—			(77,594	)		—			—
From net realized gains:
Class A Shares		(1,703,886	)		(918,033	)		(1,528,042	)		(1,455,357	)		—			—
Class C Shares		(821,705	)		(163,018	)		(916,531	)		(223,777	)		—			—
Class I Shares		—			—			—			—			—			—
Class T Shares		—			(97,782	)		—			(136,416	)		—			—
Change in net assets resulting from distributions to shareholders		(2,754,600	)		(3,155,094	)		(2,504,341	)		(2,914,116	)		(619,327	)		(1,233,716	)
Change in net assets from capital transactions		(5,404,131	)		(62,365,453	)		(866,132	)		(36,354,195	)		(10,441,657	)		(19,401,094	)
Change in net assets		(9,719,424	)		(66,664,163	)		(4,182,953	)		(40,383,015	)		(13,049,297	)		(21,681,856	)
Net Assets:
Beginning of period		39,827,598			106,491,761			14,614,743			54,997,758			41,451,654			63,133,510
End of period	$	30,108,174		$	39,827,598		$	10,431,790		$	14,614,743		$	28,402,357		$	41,451,654
Accumulated undistributed (distributions in excess of) net investment income	$	112,096		$	40,533		$	(12,994	)	$	—		$	(36,027	)	$	133,618

(continues on next page)

See notes to financial statements.

152

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Multi-Asset Balanced Fund						Victory CEMP Multi-Asset Growth Fund						Victory CEMP Alternative Strategies Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	1,193,402		$	9,394,351		$	119,192		$	2,162,148		$	537,755		$	6,399,681
Dividends reinvested		1,860,190			2,528,227			1,553,987			2,363,795			495,438			868,041
Subscription Exchange		6,675,042			—			3,324,077			—			2,090,078			—
Cost of shares redeemed		(6,894,452	)		(70,505,130	)		(2,445,876	)		(39,163,962	)		(9,885,150	)		(24,162,522	)
Total Class A Shares	$	2,834,182		$	(58,582,552	)	$	2,551,380		$	(34,638,019	)	$	(6,761,879	)	$	(16,894,800	)
Class C Shares
Proceeds from shares issued	$	293,028		$	1,411,605		$	80,771		$	430,030		$	68,597		$	241,313
Dividends reinvested		776,100			309,236			895,281			300,169			71,112			109,675
Cost of shares redeemed		(2,067,124	)		(3,809,710	)		(879,174	)		(2,347,213	)		(1,487,402	)		(2,811,195	)
Total Class C Shares	$	(997,996	)	$	(2,088,869	)	$	96,878		$	(1,617,014	)	$	(1,347,693	)	$	(2,460,207	)
Class T Shares
Proceeds from shares issued	$	92,648		$	373,713		$	20,491		$	396,689		$	8,285		$	194,252
Dividends reinvested		—			235,462			—			168,065			—			47,570
Cost of shares redeemed		(657,923	)		(2,303,207	)		(210,804	)		(663,916	)		(250,292	)		(287,909	)
Redemption Exchange		(6,675,042	)		—			(3,324,077	)		—			(2,090,078	)		—
Total Class T Shares	$	(7,240,317	)	$	(1,694,032	)	$	(3,514,390	)	$	(99,162	)	$	(2,332,085	)	$	(46,087	)
Change in net assets from capital transactions	$	(5,404,131	)	$	(62,365,453	)	$	(866,132	)	$	(36,354,195	)	$	(10,441,657	)	$	(19,401,094	)

(continues on next page)

See notes to financial statements.

153

Victory Portfolios II  Statements of Changes in Net Assets

	Victory CEMP Multi-Asset Balanced Fund						Victory CEMP Multi-Asset Growth Fund						Victory CEMP Alternative Strategies Fund
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Six Months Ended December 31, 2015			Year Ended June 30, 2015
	(Unaudited)						(Unaudited)						(Unaudited)
Share Transactions:
Class A Shares
Issued		98,708			769,721			6,360			178,252			51,956			621,199
Reinvested		175,988			213,713			178,825			207,169			52,650			85,774
Issued exchange		571,004			—			297,058			—			214,808			—
Redeemed		(590,987	)		(5,914,952	)		(218,430	)		(3,393,521	)		(1,005,460	)		(2,344,462	)
Total Class A Shares		254,713			(4,931,518	)		263,813			(3,008,100	)		(686,046	)		(1,637,489	)
Class C Shares
Issued		25,529			117,679			7,359			36,830			7,221			24,072
Reinvested		74,841			26,636			106,963			27,091			7,746			11,112
Redeemed		(180,095	)		(321,052	)		(81,040	)		(201,619	)		(156,438	)		(280,419	)
Total Class C Shares		(79,725	)		(176,737	)		33,282			(137,698	)		(141,471	)		(245,235	)
Class T Shares
Issued		7,857			30,827			1,828			33,186			834			19,059
Reinvested		—			19,954			—			14,900			—			4,747
Redeemed		(55,723	)		(190,273	)		(18,460	)		(56,608	)		(25,136	)		(28,125	)
Redeemed exchange		(571,004	)		—			(297,058	)		—			(214,808	)		—
Total Class T Shares		(618,870	)		(139,492	)		(313,690	)		(8,522	)		(239,110	)		(4,319	)
Change in shares		(443,882	)		(5,247,747	)		(16,595	)		(3,154,320	)		(1,066,627	)		(1,887,043	)

See notes to financial statements.

154

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.77		$	14.17		$	11.72		$	10.00
Investment Activities:
Net investment income (b)		0.06			0.10			0.08			0.06
Net realized and unrealized gains (losses) on investments		(0.34	)		0.71			2.59			1.72
Total from Investment Activities		(0.28	)		0.81			2.67			1.78
Distributions:
Net investment income		(0.05	)		(0.10	)		(0.17	)		(0.06	)
Net realized gains from investments		(1.22	)		(1.11	)		(0.05	)		—
Total Distributions		(1.27	)		(1.21	)		(0.22	)		(0.06	)
Net Asset Value, End of Period	$	12.22		$	13.77		$	14.17		$	11.72
Total Return (excludes sales charge) (c)		(2.18	)%		6.18	%		23.00	%		17.86	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	15,437		$	18,665		$	20,163		$	11,641
Ratio of net expenses to average net assets (d)		0.99	%		1.18	%		1.20	%		1.20	%
Ratio of net investment income to average net assets (d)		0.82	%		0.67	%		0.65	%		0.92	%
Ratio of gross expenses to average net assets (d) (e)		1.36	%		1.40	%		1.34	%		1.63	%
Ratio of net investment income to average net assets (d) (e)		1.20	%		0.45	%		0.51	%		0.49	%
Portfolio turnover (c)		29	%		34	%		34	%		15	%

(a)  The Compass EMP U.S. 500 Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

155

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.63		$	14.06		$	11.68		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.01			(—	)(c)		(0.01	)		0.01
Net realized and unrealized gains (losses) on investments		(0.34	)		0.69			2.57			1.72
Total from Investment Activities		(0.33	)		0.69			2.56			1.73
Distributions:
Net investment income		(0.01	)		(0.01	)		(0.13	)		(0.05	)
Net realized gains from investments		(1.22	)		(1.11	)		(0.05	)		—
Total Distributions		(1.23	)		(1.12	)		(0.18	)		(0.05	)
Net Asset Value, End of Period	$	12.07		$	13.63		$	14.06		$	11.68
Total Return (excludes contingent deferred sales charge) (d)		(2.55	)%		5.36	%		22.13	%		17.28	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	3,862		$	1,629		$	833		$	32
Ratio of net expenses to average net assets (e)		1.74	%		1.93	%		1.95	%		1.95	%
Ratio of net investment income to average net assets (e)		0.19	%		(0.04	)%		(0.10	)%		0.13	%
Ratio of gross expenses to average net assets (e) (f)		2.09	%		2.15	%		2.09	%		1.95	%
Ratio of net investment income to average net assets (e) (f)		0.54	%		(0.26	)%		(0.24	)%		(0.30	)%
Portfolio turnover (c)		29	%		34	%		34	%		15	%

(a)  The Compass EMP U.S. 500 Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

156

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.80		$	14.19		$	11.73		$	10.00
Investment Activities:
Net investment income (b)		0.07			0.13			0.12			0.07
Net realized and unrealized gains (losses) on investments		(0.34	)		0.72			2.59			1.73
Total from Investment Activities		(0.27	)		0.85			2.71			1.80
Distributions:
Net investment income		(0.07	)		(0.13	)		(0.20	)		(0.07	)
Net realized gains from investments		(1.22	)		(1.11	)		(0.05	)		—
Total Distributions		(1.29	)		(1.24	)		(0.25	)		(0.07	)
Net Asset Value, End of Period	$	12.24		$	13.80		$	14.19		$	11.73
Total Return (c)		(2.13	)%		6.51	%		23.36	%		18.07	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	10,358		$	13,194		$	26,962		$	1,221
Ratio of net expenses to average net assets (d)		0.74	%		0.93	%		0.95	%		0.95	%
Ratio of net investment income to average net assets (d)		1.07	%		0.92	%		0.90	%		0.96	%
Ratio of gross expenses to average net assets (d) (e)		1.11	%		1.15	%		1.09	%		1.38	%
Ratio of net investment income to average net assets (d) (e)		1.45	%		0.70	%		0.76	%		0.53	%
Portfolio turnover (c)		29	%		34	%		34	%		15	%

(a)  The Compass EMP U.S. 500 Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

157

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP US Small Cap Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.78		$	14.26		$	12.14		$	10.00
Investment Activities:
Net investment income (b)		0.04			0.07			0.06			0.05
Net realized and unrealized gains (losses) on investments		(0.95	)		0.65			2.80			2.15
Total from Investment Activities		(0.91	)		0.72			2.86			2.20
Distributions:
Net investment income		(0.04	)		(0.07	)		(0.63	)		(0.06	)
Net realized gains from investments		(1.02	)		(1.13	)		(0.11	)		—
Total Distributions		(1.06	)		(1.20	)		(0.74	)		(0.06	)
Net Asset Value, End of Period	$	11.81		$	13.78		$	14.26		$	12.14
Total Return (excludes sales charge) (c)		(6.76	)%		5.81	%		23.88	%		22.04	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,494		$	11,344		$	7,705		$	3,889
Ratio of net expenses to average net assets (d)		0.99	%		1.23	%		1.25	%		1.25	%
Ratio of net investment income to average net assets (d)		0.62	%		0.48	%		0.41	%		0.73	%
Ratio of gross expenses to average net assets (d) (e)		1.67	%		1.59	%		1.65	%		2.20	%
Ratio of net investment income to average net assets (d) (e)		1.31	%		0.12	%		0.01	%		(0.22	)%
Portfolio turnover (c)		104	%		53	%		69	%		25	%

(a)  The Compass EMP U.S. Small Cap 500 Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

158

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US Small Cap Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.70		$	14.18		$	12.09		$	10.00
Investment Activities:
Net investment loss (b)		(—	)(c)		(0.03	)		(0.04	)		(0.04	)
Net realized and unrealized gains (losses) on investments		(0.95	)		0.68			2.82			2.17
Total from Investment Activities		(0.95	)		0.65			2.78			2.13
Distributions:
Net investment income		(—	)(c)		(0.00	)		(0.58	)		(0.04	)
Net realized gains from investments		(1.02	)		(1.13	)		(0.11	)		—
Total Distributions		(1.02	)		(1.13	)		(0.69	)		(0.04	)
Net Asset Value, End of Period	$	11.73		$	13.70		$	14.18		$	12.09
Total Return (excludes contingent deferred sales charge) (d)		(7.08	)%		5.35	%		23.21	%		21.36	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,222		$	2,128		$	1,584		$	204
Ratio of net expenses to average net assets (e)		1.74	%		1.98	%		2.00	%		2.00	%
Ratio of net investment income to average net assets (e)		(0.06	)%		(0.26	)%		(0.34	)%		(0.61	)%
Ratio of gross expenses to average net assets (e) (f)		2.39	%		2.34	%		2.40	%		2.95	%
Ratio of net investment income to average net assets (e) (f)		0.59	%		(0.62	)%		(0.74	)%		(1.56	)%
Portfolio turnover (d)		104	%		53	%		69	%		25	%

(a)  The Compass EMP U.S. Small Cap 500 Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

159

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US Small Cap Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.83		$	14.29		$	12.15		$	10.00
Investment Activities:
Net investment income (b)		0.06			0.09			0.09			0.03
Net realized and unrealized gains (losses) on investments		(0.96	)		0.68			2.83			2.18
Total from Investment Activities		(0.90	)		0.77			2.92			2.21
Distributions:
Net investment income		(0.06	)		(0.10	)		(0.67	)		(0.06	)
Net realized gains from investments		(1.02	)		(1.13	)		(0.11	)		—
Total Distributions		(1.08	)		(1.23	)		(0.78	)		(0.06	)
Net Asset Value, End of Period	$	11.85		$	13.83		$	14.29		$	12.15
Total Return (c)		(6.68	)%		6.20	%		24.32	%		22.21	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,608		$	4,133		$	10,327		$	1,594
Ratio of net expenses to average net assets (d)		0.74	%		0.98	%		1.00	%		1.00	%
Ratio of net investment income to average net assets (d)		0.92	%		0.68	%		0.66	%		0.44	%
Ratio of gross expenses to average net assets (d) (e)		1.30	%		1.34	%		1.40	%		1.95	%
Ratio of net investment income to average net assets (d) (e)		1.48	%		0.32	%		0.26	%		(0.51	)%
Portfolio turnover (c)		104	%		53	%		69	%		25	%

(a)  The Compass EMP U.S. Small Cap 500 Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

160

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP International Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.42		$	12.87		$	10.88		$	10.00
Investment Activities:
Net investment income (b)		0.03			0.14			0.12			0.15
Net realized and unrealized gains (losses) on investments		(0.85	)		(0.72	)		2.38			0.87
Total from Investment Activities		(0.82	)		(0.58	)		2.50			1.02
Distributions:
Net investment income		(0.04	)		(0.14	)		(0.46	)		(0.14	)
Net realized gains from investments		(—	)(c)		(0.73	)		(0.05	)		—
Total Distributions		(0.04	)		(0.87	)		(0.51	)		(0.14	)
Net Asset Value, End of Period	$	10.56		$	11.42		$	12.87		$	10.88
Total Return (excludes sales charge) (d)		(7.21	)%		(4.16	)%		23.43	%		10.23	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	3,335		$	11,348		$	13,073		$	8,274
Ratio of net expenses to average net assets (e)		1.10	%		1.37	%		1.40	%		1.40	%
Ratio of net investment income to average net assets (e)		0.58	%		1.13	%		1.03	%		2.19	%
Ratio of gross expenses to average net assets (e) (f)		1.99	%		1.95	%		1.86	%		3.67	%
Ratio of net investment income to average net assets (e) (f)		1.48	%		0.55	%		0.57	%		(0.08	)%
Portfolio turnover (d)		45	%		38	%		90	%		27	%

(a)  The Compass EMP International 500 Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

161

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP International Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.36		$	12.83		$	10.87		$	10.00
Investment Activities:
Net investment income (loss) (b)		(0.01	)		0.05			0.13			0.22
Net realized and unrealized gains (losses) on investments		(0.85	)		(0.72	)		2.27			0.76
Total from Investment Activities		(0.86	)		(0.67	)		2.40			0.98
Distributions:
Net investment income		(0.01	)		(0.07	)		(0.39	)		(0.11	)
Net realized gains from investments		(—	)(c)		(0.73	)		(0.05	)		—
Total Distributions		(0.01	)		(0.80	)		(0.44	)		(0.11	)
Net Asset Value, End of Period	$	10.49		$	11.36		$	12.83		$	10.87
Total Return (excludes contingent deferred sales charge) (d)		(7.58	)%		(4.89	)%		22.49	%		9.79	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	437		$	138		$	141		$	18
Ratio of net expenses to average net assets (e)		1.85	%		2.12	%		2.15	%		2.15	%
Ratio of net investment income to average net assets (e)		(0.23	)%		0.42	%		1.09	%		3.22	%
Ratio of gross expenses to average net assets (e) (f)		2.73	%		2.70	%		2.61	%		4.42	%
Ratio of net investment income to average net assets (e) (f)		0.64	%		(0.16	)%		0.63	%		0.95	%
Portfolio turnover (d)		45	%		38	%		90	%		27	%

(a)  The Compass EMP International 500 Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

162

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP International Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.43		$	12.88		$	10.89		$	10.00
Investment Activities:
Net investment income (b)		0.05			0.14			0.16			0.24
Net realized and unrealized gains (losses) on investments		(0.85	)		(0.69	)		2.37			0.80
Total from Investment Activities		(0.80	)		(0.55	)		2.53			1.04
Distributions:
Net investment income		(0.05	)		(0.17	)		(0.49	)		(0.15	)
Net realized gains from investments		(—	)(c)		(0.73	)		(0.05	)		—
Total Distributions		(0.05	)		(0.90	)		(0.54	)		(0.15	)
Net Asset Value, End of Period	$	10.58		$	11.43		$	12.88		$	10.89
Total Return (d)		(6.99	)%		(3.91	)%		23.70	%		10.42	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	5,407		$	9,223		$	22,932		$	8
Ratio of net expenses to average net assets (e)		0.85	%		1.12	%		1.15	%		1.15	%
Ratio of net investment income to average net assets (e)		0.83	%		1.15	%		1.32	%		3.46	%
Ratio of gross expenses to average net assets (e) (f)		1.76	%		1.70	%		1.61	%		3.42	%
Ratio of net investment income to average net assets (e) (f)		1.75	%		0.57	%		0.86	%		1.19	%
Portfolio turnover (d)		45	%		38	%		90	%		27	%

(a)  The Compass EMP International 500 Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

163

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Emerging Market Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.88		$	10.70		$	9.74		$	10.00
Investment Activities:
Net investment income (b)		0.05			0.10			0.07			0.08
Net realized and unrealized gains (losses) on investments		(1.65	)		(0.83	)		0.96			(0.28	)
Total from Investment Activities		(1.60	)		(0.73	)		1.03			(0.20	)
Distributions:
Net investment income		(0.06	)		(0.09	)		(0.07	)		(0.06	)
Total Distributions		(0.06	)		(0.09	)		(0.07	)		(0.06	)
Net Asset Value, End of Period	$	8.22		$	9.88		$	10.70		$	9.74
Total Return (excludes sales charge) (c)		(16.16	)%		(6.79	)%		10.57	%		(1.97	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	7,287		$	8,555		$	9,531		$	3,207
Ratio of net expenses to average net assets (d)		1.15	%		1.41	%		1.45	%		1.45	%
Ratio of net investment income to average net assets (d)		1.12	%		0.97	%		0.67	%		1.18	%
Ratio of gross expenses to average net assets (d) (e)		2.91	%		2.64	%		3.37	%		8.32	%
Ratio of net investment income to average net assets (d) (e)		2.88	%		(0.26	)%		(1.25	)%		(5.69	)%
Portfolio turnover (c)		75	%		76	%		49	%		25	%

(a)  The Compass EMP Emerging Market 500 Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

164

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Emerging Market Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.81		$	10.63		$	9.72		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.02			0.01			(0.01	)		0.10
Net realized and unrealized gains (losses) on investments		(1.64	)		(0.80	)		0.96			(0.33	)
Total from Investment Activities		(1.62	)		(0.79	)		0.95			(0.23	)
Distributions:
Net investment income		(0.05	)		(0.03	)		(0.04	)		(0.05	)
Total Distributions		(0.05	)		(0.03	)		(0.04	)		(0.05	)
Net Asset Value, End of Period	$	8.14		$	9.81		$	10.63		$	9.72
Total Return (excludes contingent deferred sales charge) (c)		(16.56	)%		(7.46	)%		9.77	%		(2.35	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	1,420		$	1,660		$	1,602		$	209
Ratio of net expenses to average net assets (d)		1.90	%		2.16	%		2.20	%		2.20	%
Ratio of net investment income to average net assets (d)		0.34	%		0.12	%		(0.08	)%		1.47	%
Ratio of gross expenses to average net assets (d) (e)		3.73	%		3.39	%		4.12	%		9.07	%
Ratio of net investment income to average net assets (d) (e)		2.18	%		(1.11	)%		(2.00	)%		(5.40	)%
Portfolio turnover (c)		75	%		76	%		49	%		25	%

(a)  The Compass EMP Emerging Market 500 Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

165

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Emerging Market Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.89		$	10.70		$	9.75		$	10.00
Investment Activities:
Net investment income (b)		0.08			0.11			0.09			0.14
Net realized and unrealized gains (losses) on investments		(1.68	)		(0.80	)		0.95			(0.32	)
Total from Investment Activities		(1.60	)		(0.69	)		1.04			(0.18	)
Distributions:
Net investment income		(0.07	)		(0.12	)		(0.09	)		(0.07	)
Total Distributions		(0.07	)		(0.12	)		(0.09	)		(0.07	)
Net Asset Value, End of Period	$	8.22		$	9.89		$	10.70		$	9.75
Total Return (c)		(16.18	)%		(6.46	)%		10.68	%		(1.79	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,326		$	9,556		$	8,236		$	970
Ratio of net expenses to average net assets (d)		0.90	%		1.16	%		1.20	%		1.20	%
Ratio of net investment income to average net assets (d)		1.68	%		1.02	%		0.92	%		2.06	%
Ratio of gross expenses to average net assets (d) (e)		2.64	%		2.39	%		3.12	%		8.07	%
Ratio of net investment income to average net assets (d) (e)		3.42	%		(0.21	)%		(1.00	)%		(4.81	)%
Portfolio turnover (c)		75	%		76	%		49	%		25	%

(a)  The Compass EMP Emerging Market 500 Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

166

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	14.15		$	14.16		$	11.71		$	10.00
Investment Activities:
Net investment income (b)		0.06			0.05			0.03			0.04
Net realized and unrealized gains (losses) on investments		(0.37	)		0.74			2.58			1.71
Total from Investment Activities		(0.31	)		0.79			2.61			1.75
Distributions:
Net investment income		(0.05	)		(0.04	)		(0.13	)		(0.04	)
Net realized gains from investments		(0.52	)		(0.76	)		(0.03	)		—
Total Distributions		(0.57	)		(0.80	)		(0.16	)		(0.04	)
Net Asset Value, End of Period	$	13.27		$	14.15		$	14.16		$	11.71
Total Return (excludes sales charge) (c)		(2.26	)%		5.89	%		22.39	%		17.49	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	84,485		$	75,399		$	77,212		$	20,008
Ratio of net expenses to average net assets (d)		0.99	%		1.50	%		1.60	%		1.60	%
Ratio of net investment income to average net assets (d)		0.87	%		0.35	%		0.25	%		0.51	%
Ratio of gross expenses to average net assets (d) (e)		1.26	%		1.67	%		1.68	%		1.89	%
Ratio of net investment income to average net assets (d) (e)		1.14	%		0.18	%		0.17	%		0.22	%
Portfolio turnover (c)		23	%		48	%		29	%		13	%

(a)  The Compass EMP U.S. 500 Enhanced Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

167

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	13.95		$	14.05		$	11.67		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.01			(0.05	)		(0.07	)		(0.03	)
Net realized and unrealized gains (losses) on investments		(0.37	)		0.71			2.57			1.72
Total from Investment Activities		(0.36	)		0.66			2.50			1.69
Distributions:
Net investment income		(—	)(c)		—			(0.09	)		(0.02	)
Net realized gains from investments		(0.52	)		(0.76	)		(0.03	)		—
Total Distributions		(0.52	)		(0.76	)		(0.12	)		(0.02	)
Net Asset Value, End of Period	$	13.07		$	13.95		$	14.05		$	11.67
Total Return (excludes contingent deferred sales charge) (d)		(2.64	)%		5.01	%		21.52	%		16.98	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	57,629		$	56,826		$	33,464		$	2,673
Ratio of net expenses to average net assets (e)		1.74	%		2.25	%		2.35	%		2.35	%
Ratio of net investment income to average net assets (e)		0.10	%		(0.37	)%		(0.50	)%		(0.34	)%
Ratio of gross expenses to average net assets (e) (f)		2.00	%		2.42	%		3.43	%		2.64	%
Ratio of net investment income to average net assets (e) (f)		0.36	%		(0.54	)%		(0.58	)%		(0.63	)%
Portfolio turnover (d)		23	%		48	%		29	%		13	%

(a)  The Compass EMP U.S. 500 Enhanced Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

168

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	14.15		$	14.16		$	11.71		$	10.00
Investment Activities:
Net investment income (b)		0.08			0.08			0.07			0.05
Net realized and unrealized gains (losses) on investments		(0.38	)		0.74			2.57			1.71
Total from Investment Activities		(0.30	)		0.82			2.64			1.76
Distributions:
Net investment income		(0.07	)		(0.07	)		(0.16	)		(0.05	)
Net realized gains from investments		(0.52	)		(0.76	)		(0.03	)		—
Total Distributions		(0.59	)		(0.83	)		(0.19	)		(0.05	)
Net Asset Value, End of Period	$	13.26		$	14.15		$	14.16		$	11.71
Total Return (c)		(2.21	)%		6.16	%		22.66	%		17.65	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	51,597		$	63,213		$	92,699		$	4,205
Ratio of net expenses to average net assets (d)		0.74	%		1.25	%		1.35	%		1.35	%
Ratio of net investment income to average net assets (d)		1.07	%		0.60	%		0.50	%		0.63	%
Ratio of gross expenses to average net assets (d) (e)		1.02	%		1.42	%		1.43	%		1.64	%
Ratio of net investment income to average net assets (d) (e)		1.35	%		0.43	%		0.42	%		0.34	%
Portfolio turnover (c)		23	%		48	%		29	%		13	%

(a)  The Compass EMP U.S. 500 Enhanced Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

169

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP International Enhanced Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.33		$	12.44		$	10.46		$	10.00
Investment Activities:
Net investment income (b)		0.04			0.10			0.10			0.12
Net realized and unrealized gains (losses) on investments		(1.29	)		(0.70	)		2.24			0.44
Total from Investment Activities		(1.25	)		(0.60	)		2.34			0.56
Distributions:
Net investment income		(0.02	)		(0.10	)		(0.34	)		(0.10	)
Net realized gains from investments		—			(0.41	)		(0.02	)		—
Total Distributions		(0.02	)		(0.51	)		(0.36	)		(0.10	)
Net Asset Value, End of Period	$	10.06		$	11.33		$	12.44		$	10.46
Total Return (excludes sales charge) (c)		(10.99	)%		(4.65	)%		22.73	%		5.61	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	16,547		$	21,738		$	32,139		$	11,815
Ratio of net expenses to average net assets (d)		1.10	%		1.58	%		1.65	%		1.65	%
Ratio of net investment income to average net assets (d)		0.75	%		0.88	%		0.91	%		1.88	%
Ratio of gross expenses to average net assets (d) (e)		1.60	%		1.88	%		1.65	%		3.59	%
Ratio of net investment income to average net assets (d) (e)		1.26	%		0.58	%		0.59	%		(0.06	)%
Portfolio turnover (c)		47	%		52	%		81	%		27	%

(a)  The Compass EMP International 500 Enhanced Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

170

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP International Enhanced Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.22		$	12.36		$	10.43		$	10.00
Investment Activities:
Net investment income (b)		—	(c)		0.03			0.04			0.18
Net realized and unrealized gains (losses) on investments		(1.28	)		(0.71	)		2.19			0.34
Total from Investment Activities		(1.28	)		(0.68	)		2.23			0.52
Distributions:
Net investment income		(—	)(c)		(0.05	)		(0.28	)		(0.09	)
Net realized gains from investments		—			(0.41	)		(0.02	)		—
Total Distributions		(0.00	)(c)		(0.46	)		(0.30	)		(0.09	)
Net Asset Value, End of Period	$	9.94		$	11.22		$	12.36		$	10.43
Total Return (excludes contingent deferred sales charge) (d)		(11.37	)%		(5.33	)%		21.70	%		5.20	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	7,151		$	7,953		$	6,255		$	429
Ratio of net expenses to average net assets (e)		1.85	%		2.33	%		2.40	%		2.40	%
Ratio of net investment income to average net assets (e)		—	%(f)		0.20	%		0.38	%		2.77	%
Ratio of gross expenses to average net assets (e) (g)		2.39	%		2.63	%		2.72	%		4.34	%
Ratio of net investment income to average net assets (e) (g)		0.54	%		(0.10	)%		0.06	%		0.83	%
Portfolio turnover (d)		47	%		52	%		81	%		27	%

(a)  The Compass EMP International 500 Enhanced Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  Less than 0.005% of average net assets.

(g)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

171

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP International Enhanced Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.33		$	12.44		$	10.46		$	10.00
Investment Activities:
Net investment income (b)		0.05			0.12			0.14			0.16
Net realized and unrealized gains (losses) on investments		(1.29	)		(0.69	)		2.23			0.41
Total from Investment Activities		(1.24	)		(0.57	)		2.37			0.57
Distributions:
Net investment income		(0.04	)		(0.13	)		(0.37	)		(0.11	)
Net realized gains from investments		—			(0.41	)		(0.02	)		—
Total Distributions		(0.04	)		(0.54	)		(0.39	)		(0.11	)
Net Asset Value, End of Period	$	10.05		$	11.33		$	12.44		$	10.46
Total Return (c)		(10.95	)%		(4.41	)%		22.99	%		5.67	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	11,533		$	44,461		$	57,920		$	7,063
Ratio of net expenses to average net assets (d)		0.85	%		1.33	%		1.40	%		1.40	%
Ratio of net investment income to average net assets (d)		0.91	%		1.05	%		1.16	%		2.49	%
Ratio of gross expenses to average net assets (d) (e)		1.37	%		1.63	%		1.72	%		3.34	%
Ratio of net investment income to average net assets (d) (e)		1.43	%		0.75	%		0.84	%		0.55	%
Portfolio turnover (c)		47	%		52	%		81	%		27	%

(a)  The Compass EMP International 500 Enhanced Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

172

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP REC Enhanced Volatility Wtd Index Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.37		$	11.41		$	10.89		$	10.00
Investment Activities:
Net investment income (b)		0.10			0.15			0.07			0.12
Net realized and unrealized gains (losses) on investments		(0.13	)		0.22			0.69			0.97
Total from Investment Activities		(0.03	)		0.37			0.76			1.09
Distributions:
Net investment income		(0.03	)		(0.16	)		(0.06	)		(0.12	)
In excess of net investment income		—			—			—			(0.08	)
Net realized gains from investments		(1.99	)		(0.25	)		(0.16	)		—
Tax return of capital		—			—			(0.02	)		—
Total Distributions		(2.02	)		(0.41	)		(0.24	)		(0.20	)
Net Asset Value, End of Period	$	9.32		$	11.37		$	11.41		$	10.89
Total Return (excludes sales charge) (c)		(0.48	)%		3.13	%		7.14	%		10.82	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	5,115		$	8,094		$	12,343		$	3,395
Ratio of net expenses to average net assets (d)		1.41	%		1.40	%		1.40	%		1.40	%
Ratio of net investment income to average net assets (d)		1.86	%		1.30	%		0.67	%		1.84	%
Ratio of gross expenses to average net assets (d) (e)		1.85	%		1.68	%		1.67	%		1.99	%
Ratio of net investment income to average net assets (d) (e)		2.30	%		1.02	%		0.40	%		1.25	%
Portfolio turnover (c)		236	%		44	%		63	%		35	%

(a)  The Compass EMP REC Enhanced Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

173

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP REC Enhanced Volatility Wtd Index Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.32		$	11.36		$	10.88		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.07			0.07			(0.01	)		0.09
Net realized and unrealized gains (losses) on investments		(0.14	)		0.22			0.68			0.96
Total from Investment Activities		(0.07	)		0.29			0.67			1.05
Distributions:
Net investment income		(0.02	)		(0.08	)		—			(0.09	)
In excess of net investment income		—			—			—			(0.08	)
Net realized gains from investments		(1.99	)		(0.25	)		(0.16	)		—
Tax return of capital		—			—			(0.03	)		—
Total Distributions		(2.01	)		(0.33	)		(0.19	)		(0.17	)
Net Asset Value, End of Period	$	9.24		$	11.32		$	11.36		$	10.88
Total Return (excludes contingent deferred sales charge) (c)		(0.87	)%		2.42	%		6.25	%		10.45	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	1,335		$	1,455		$	883		$	337
Ratio of net expenses to average net assets (d)		2.17	%		2.15	%		2.15	%		2.15	%
Ratio of net investment income to average net assets (d)		1.24	%		0.60	%		(0.04	)%		1.24	%
Ratio of gross expenses to average net assets (d) (e)		2.61	%		2.43	%		2.42	%		2.74	%
Ratio of net investment income to average net assets (d) (e)		1.68	%		0.32	%		(0.31	)%		0.65	%
Portfolio turnover (c)		236	%		44	%		63	%		35	%

(a)  The Compass EMP REC Enhanced Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

174

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP REC Enhanced Volatility Wtd Index Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.38		$	11.41		$	10.89		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.09			0.19			0.08			0.19
Net realized and unrealized gains (losses) on investments		(0.12	)		0.22			0.70			0.91
Total from Investment Activities		(0.03	)		0.41			0.78			1.10
Distributions:
Net investment income		(0.04	)		(0.19	)		(0.08	)		(0.18	)
In excess of net investment income		—			—			—			(0.03	)
Net realized gains from investments		(1.99	)		(0.25	)		(0.16	)		—
Tax return of capital		—			—			(0.02	)		—
Total Distributions		(2.03	)		(0.44	)		(0.26	)		(0.21	)
Net Asset Value, End of Period	$	9.32		$	11.38		$	11.41		$	10.89
Total Return (c)		(0.52	)%		3.47	%		7.36	%		11.00	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,966		$	9,805		$	15,199		$	608
Ratio of net expenses to average net assets (d)		1.15	%		1.15	%		1.15	%		1.15	%
Ratio of net investment income to average net assets (d)		1.63	%		1.55	%		0.74	%		2.56	%
Ratio of gross expenses to average net assets (d) (e)		1.61	%		1.43	%		1.42	%		1.74	%
Ratio of net investment income to average net assets (d) (e)		2.08	%		1.27	%		0.47	%		1.97	%
Portfolio turnover (c)		236	%		44	%		63	%		35	%

(a)  The Compass EMP REC Enhanced Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

175

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Volatility Wtd Index Strategy Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	7.02		$	9.78		$	8.86		$	10.00
Investment Activities:
Net investment loss (b)		(0.02	)		(0.04	)		(0.05	)		(0.03	)
Net realized and unrealized gains (losses) on investments		(1.08	)		(1.75	)		0.97			(1.11	)
Total from Investment Activities		(1.10	)		(1.79	)		0.92			(1.14	)
Distributions:
Net investment income		—			(0.97	)		—			—
Total Distributions		—			(0.97	)		—			—
Net Asset Value, End of Period	$	5.92		$	7.02		$	9.78		$	8.86
Total Return (excludes sales charge) (c)		(15.67	)%		(18.63	)%		10.38	%		(11.40	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	3,646		$	6,135		$	3,987		$	3,309
Ratio of net expenses to average net assets (d)		1.10	%		1.36	%		1.40	%		1.40	%
Ratio of net investment income to average net assets (d)		(0.52	)%		(0.54	)%		(0.52	)%		(0.54	)%
Ratio of gross expenses to average net assets (d) (e)		1.71	%		1.73	%		1.70	%		1.53	%
Ratio of net investment income to average net assets (d) (e)		0.09	%		(0.91	)%		(0.82	)%		(0.67	)%
Portfolio turnover (c)		169	%		0	%		13	%		0	%

(a)  The Compass EMP Commodity Strategies Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

176

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Volatility Wtd Index Strategy Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	6.88		$	9.66		$	8.82		$	10.00
Investment Activities:
Net investment loss (b)		(0.04	)		(0.10	)		(0.12	)		(0.07	)
Net realized and unrealized gains (losses) on investments		(1.06	)		(1.72	)		0.96			(1.11	)
Total from Investment Activities		(1.10	)		(1.82	)		0.84			(1.18	)
Distributions:
Net investment income		—			(0.96	)		—			—
Total Distributions		—			(0.96	)		—			—
Net Asset Value, End of Period	$	5.78		$	6.88		$	9.66		$	8.82
Total Return (excludes contingent deferred sales charge) (c)		(15.99	)%		(19.28	)%		9.52	%		(11.80	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	181		$	225		$	186		$	73
Ratio of net expenses to average net assets (d)		1.85	%		2.11	%		2.15	%		2.15	%
Ratio of net investment income to average net assets (d)		(1.28	)%		(1.29	)%		(1.27	)%		(1.29	)%
Ratio of gross expenses to average net assets (d) (e)		2.58	%		2.48	%		2.45	%		2.28	%
Ratio of net investment income to average net assets (d) (e)		(0.55	)%		(1.66	)%		(1.57	)%		(1.42	)%
Portfolio turnover (c)		169	%		0	%		13	%		0	%

(a)  The Compass EMP Commodity Strategies Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

177

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Volatility Wtd Index Strategy Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	7.05		$	9.82		$	8.87		$	10.00
Investment Activities:
Net investment loss (b)		(0.01	)		(0.02	)		(0.03	)		(0.02	)
Net realized and unrealized gains (losses) on investments		(1.09	)		(1.76	)		0.98			(1.11	)
Total from Investment Activities		(1.10	)		(1.78	)		0.95			(1.13	)
Distributions:
Net investment income		—			(0.99	)		—			—
Total Distributions		—			(0.99	)		—			—
Net Asset Value, End of Period	$	5.95		$	7.05		$	9.82		$	8.87
Total Return (c)		(15.60	)%		(18.42	)%		10.71	%		(11.30	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	5,159		$	5,849		$	10,035		$	6,379
Ratio of net expenses to average net assets (d)		0.85	%		1.11	%		1.15	%		1.15	%
Ratio of net investment income to average net assets (d)		(0.27	)%		(0.29	)%		(0.27	)%		(0.35	)%
Ratio of gross expenses to average net assets (d) (e)		1.44	%		1.48	%		1.45	%		1.28	%
Ratio of net investment income to average net assets (d) (e)		0.31	%		(0.66	)%		(0.57	)%		(0.48	)%
Portfolio turnover (c)		169	%		0	%		13	%		0	%

(a)  The Compass EMP Commodity Strategies Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

178

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	8.57		$	9.55		$	9.39		$	10.00
Investment Activities:
Net investment loss (b)		(0.02	)		(0.07	)		(0.08	)		(0.05	)
Net realized and unrealized gains (losses) on investments		(1.05	)		(0.84	)		0.24			(0.56	)
Total from Investment Activities		(1.07	)		(0.91	)		0.16			(0.61	)
Distributions:
Net investment income		—			(0.07	)		—			—
Total Distributions		—			(0.07	)		—			—
Net Asset Value, End of Period	$	7.50		$	8.57		$	9.55		$	9.39
Total Return (excludes sales charge) (c)		(12.49	)%		(9.49	)%		1.70	%		(6.10	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	667		$	1,734		$	1,845		$	3,505
Ratio of net expenses to average net assets (d)		1.10	%		1.54	%		1.60	%		1.60	%
Ratio of net investment income to average net assets (d)		(0.60	)%		(0.85	)%		(0.97	)%		(0.77	)%
Ratio of gross expenses to average net assets (d) (e)		1.70	%		1.87	%		1.98	%		1.71	%
Ratio of net investment income to average net assets (d) (e)		0.01	%		(1.18	)%		(1.35	)%		(0.88	)%
Portfolio turnover (c)		15	%		0	%		42	%		0	%

(a)  The Compass EMP Commodity Strategy Enhanced Volatility Weighted Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

179

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	8.37		$	9.43		$	9.34		$	10.00
Investment Activities:
Net investment loss (b)		(0.05	)		(0.15	)		(0.16	)		(0.09	)
Net realized and unrealized gains (losses) on investments		(1.01	)		(0.82	)		0.25			(0.57	)
Total from Investment Activities		(1.06	)		(0.97	)		0.09			(0.66	)
Distributions:
Net investment income		—			(0.09	)		—			—
Total Distributions		—			(0.09	)		—			—
Net Asset Value, End of Period	$	7.31		$	8.37		$	9.43		$	9.34
Total Return (excludes contingent deferred sales charge) (c)		(12.66	)%		(10.29	)%		0.96	%		(6.60	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	231		$	248		$	57		$	16
Ratio of net expenses to average net assets (d)		1.85	%		2.29	%		2.35	%		2.35	%
Ratio of net investment income to average net assets (d)		(1.35	)%		(1.78	)%		(1.72	)%		(1.51	)%
Ratio of gross expenses to average net assets (d) (e)		2.50	%		2.62	%		2.73	%		2.46	%
Ratio of net investment income to average net assets (d) (e)		(0.70	)%		(2.11	)%		(2.10	)%		(1.62	)%
Portfolio turnover (c)		15	%		0	%		42	%		0	%

(a)  The Compass EMP Commodity Strategy Enhanced Volatility Weighted Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

180

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	8.60		$	9.60		$	9.41		$	10.00
Investment Activities:
Net investment loss (b)		(0.01	)		(0.05	)		(0.07	)		(0.04	)
Net realized and unrealized gains (losses) on investments		(1.04	)		(0.85	)		0.26			(0.55	)
Total from Investment Activities		(1.05	)		(0.90	)		0.19			(0.59	)
Distributions:
Net investment income		—			(0.10	)		—			—
Total Distributions		—			(0.10	)		—			—
Net Asset Value, End of Period	$	7.55		$	8.60		$	9.60		$	9.41
Total Return (c)		(12.21	)%		(9.37	)%		2.02	%		(5.90	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	5,101		$	6,227		$	9,452		$	13,844
Ratio of net expenses to average net assets (d)		0.85	%		1.29	%		1.35	%		1.35	%
Ratio of net investment income to average net assets (d)		(0.35	)%		(0.60	)%		(0.72	)%		(0.65	)%
Ratio of gross expenses to average net assets (d) (e)		1.44	%		1.62	%		1.73	%		1.46	%
Ratio of net investment income to average net assets (d) (e)		0.24	%		(0.93	)%		(1.10	)%		(0.76	)%
Portfolio turnover (c)		15	%		0	%		42	%		0	%

(a)  The Compass EMP Commodity Strategy Enhanced Volatility Weighted Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

181

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Long/Short Strategy Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.36		$	11.02		$	10.36		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.01			0.02			(0.09	)		(0.05	)
Net realized and unrealized gains (losses) on investments		(0.27	)		0.36			0.75			0.41
Total from Investment Activities		(0.26	)		0.38			0.66			0.36
Distributions:
Net investment income		(—	)(c)		(0.01	)		—			—
Net realized gains from investments		(0.46	)		(0.03	)		—			—
Total Distributions		(0.46	)		(0.04	)		—			—
Net Asset Value, End of Period	$	10.64		$	11.36		$	11.02		$	10.36
Total Return (excludes sales charge) (d)		(2.33	)%		3.49	%		6.37	%		3.60	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	824		$	3,039		$	3,658		$	6,022
Ratio of net expenses to average net assets (e)		1.45	%		1.58	%		1.60	%		1.60	%
Ratio of net investment income to average net assets (e)		0.24	%		0.16	%		(0.86	)%		(0.71	)%
Ratio of gross expenses to average net assets (e) (f)		1.93	%		1.87	%		1.76	%		2.06	%
Ratio of net investment income to average net assets (e) (f)		0.73	%		(0.13	)%		(1.02	)%		(1.71	)%
Portfolio turnover (d)		47	%		29	%		87	%		0	%

(a)  The Compass EMP Long/Short Strategies Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

182

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Long/Short Strategy Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.10		$	10.85		$	10.27		$	10.00
Investment Activities:
Net investment loss (b)		(0.03	)		(0.06	)		(0.14	)		(0.09	)
Net realized and unrealized gains (losses) on investments		(0.25	)		0.34			0.72			0.36
Total from Investment Activities		(0.28	)		0.28			0.58			0.27
Distributions:
Net realized gains from investments		(0.46	)		(0.03	)		—			—
Total Distributions		(0.46	)		(0.03	)		—			—
Net Asset Value, End of Period	$	10.36		$	11.10		$	10.85		$	10.27
Total Return (excludes contingent deferred sales charge) (c)		(2.59	)%		2.63	%		5.65	%		2.70	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	81		$	83		$	30		$	5
Ratio of net expenses to average net assets (d)		2.20	%		2.33	%		2.35	%		2.35	%
Ratio of net investment income to average net assets (d)		(0.48	)%		(0.59	)%		(1.33	)%		(1.43	)%
Ratio of gross expenses to average net assets (d) (e)		2.80	%		2.62	%		2.51	%		2.81	%
Ratio of net investment income to average net assets (d) (e)		0.13	%		(0.88	)%		(1.49	)%		(1.89	)%
Portfolio turnover (c)		47	%		29	%		87	%		0	%

(a)  The Compass EMP Long/Short Strategies Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

183

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Long/Short Strategy Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.39		$	11.07		$	10.37		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.03			0.05			(0.07	)		(0.03	)
Net realized and unrealized gains (losses) on investments		(0.26	)		0.36			0.77			0.40
Total from Investment Activities		(0.23	)		0.41			0.70			0.37
Distributions:
Net investment income		(0.01	)		(0.06	)		—			—
Net realized gains from investments		(0.46	)		(0.03	)		—			—
Total Distributions		(0.47	)		(0.09	)		—			—
Net Asset Value, End of Period	$	10.69		$	11.39		$	11.07		$	10.37
Total Return (c)		(2.08	)%		3.77	%		6.75	%		3.70	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	14,236		$	12,380		$	22,310		$	4,650
Ratio of net expenses to average net assets (d)		1.20	%		1.33	%		1.35	%		1.35	%
Ratio of net investment income to average net assets (d)		0.56	%		0.41	%		(0.61	)%		(0.48	)%
Ratio of gross expenses to average net assets (d) (e)		1.68	%		1.62	%		1.51	%		1.81	%
Ratio of net investment income to average net assets (d) (e)		1.05	%		0.12	%		(0.77	)%		(0.94	)%
Portfolio turnover (c)		47	%		29	%		87	%		0	%

(a)  The Compass EMP Long/Short Strategies Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

184

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Market Neutral Income Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.41		$	9.84		$	9.78		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.10			0.22			0.11			(0.01	)
Net realized and unrealized gains (losses) on investments		(0.04	)		(0.38	)		0.00			(0.21	)
Total from Investment Activities		0.06			(0.16	)		0.11			(0.22	)
Distributions:
Net investment income		(0.09	)		(0.21	)		(0.05	)		—
Net realized gains from investments		(0.23	)		(0.06	)		—			—
Total Distributions		(0.32	)		(0.27	)		(0.05	)		—
Net Asset Value, End of Period	$	9.15		$	9.41		$	9.84		$	9.78
Total Return (excludes sales charge) (c)		0.55	%		(1.62	)%		1.15	%		(2.20	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	27,589		$	31,313		$	28,924		$	11,648
Ratio of net expenses to average net assets (d)		0.90	%		1.13	%		1.15	%		1.15	%
Ratio of net investment income to average net assets (d)		2.18	%		2.23	%		1.09	%		(0.23	)%
Ratio of gross expenses to average net assets (d) (e)		1.20	%		1.27	%		1.25	%		1.35	%
Ratio of net investment income to average net assets (d) (e)		2.49	%		2.09	%		0.99	%		(0.43	)%
Portfolio turnover (c)		47	%		135	%		190	%		0	%

(a)  The Compass EMP Market Neutral Income Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

185

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Market Neutral Income Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.36		$	9.74		$	9.74		$	10.00
Investment Activities:
Net investment income (loss) (b)		0.07			0.14			0.01			(0.06	)
Net realized and unrealized gains (losses) on investments		(0.04	)		(0.38	)		0.02			(0.20	)
Total from Investment Activities		0.03			(0.24	)		0.03			(0.26	)
Distributions:
Net investment income		(0.06	)		(0.08	)		(0.03	)		—
Net realized gains from investments		(0.23	)		(0.06	)		—			—
Total Distributions		(0.29	)		(0.14	)		(0.03	)		—
Net Asset Value, End of Period	$	9.10		$	9.36		$	9.74		$	9.74
Total Return (excludes contingent deferred sales charge) (c)		0.21	%		(2.42	)%		0.34	%		0.00	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	448		$	385		$	267		$	137
Ratio of net expenses to average net assets (d)		1.65	%		1.88	%		1.90	%		1.90	%
Ratio of net investment income to average net assets (d)		1.37	%		1.43	%		0.06	%		(0.93	)%
Ratio of gross expenses to average net assets (d) (e)		2.05	%		2.02	%		2.00	%		2.10	%
Ratio of net investment income to average net assets (d) (e)		1.77	%		1.29	%		(0.04	)%		(1.13	)%
Portfolio turnover (c)		47	%		135	%		190	%		0	%

(a)  The Compass EMP Market Neutral Income Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

186

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Market Neutral Income Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.44		$	9.89		$	9.81		$	10.00
Investment Activities:
Net investment income (b)		0.12			0.23			0.10			—	(c)
Net realized and unrealized gains (losses) on investments		(0.05	)		(0.37	)		0.04			(0.19	)
Total from Investment Activities		0.07			(0.14	)		0.14			(0.19	)
Distributions:
Net investment income		(0.10	)		(0.25	)		(0.06	)		—
Net realized gains from investments		(0.23	)		(0.06	)		—			—
Total Distributions		(0.33	)		(0.31	)		(0.06	)		—
Net Asset Value, End of Period	$	9.18		$	9.44		$	9.89		$	9.81
Total Return (d)		0.67	%		(1.41	)%		1.44	%		(1.90	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	39,612		$	25,310		$	33,773		$	9,095
Ratio of net expenses to average net assets (e)		0.65	%		0.88	%		0.90	%		0.90	%
Ratio of net investment income to average net assets (e)		2.50	%		2.39	%		0.97	%		0.00	%
Ratio of gross expenses to average net assets (e) (f)		0.96	%		1.02	%		1.00	%		1.10	%
Ratio of net investment income to average net assets (e) (f)		2.81	%		2.25	%		0.87	%		(0.20	)%
Portfolio turnover (d)		47	%		135	%		190	%		0	%

(a)  The Compass EMP Market Neutral Income Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

187

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Enhanced Fixed Income Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.85		$	9.90		$	9.71		$	10.00
Investment Activities:
Net investment income (loss) (b)		(0.01	)		(0.01	)		—	(c)		0.01
Net realized and unrealized gains (losses) on investments		(0.06	)		0.12			0.19			(0.29	)
Total from Investment Activities		(0.07	)		0.11			0.19			(0.28	)
Distributions:
Net investment income		(0.10	)		—			(—	)(c)		(0.01	)
In excess of net investment income		—			(0.16	)		—			—
Net realized gains from investments		(0.16	)		—			—			—
Total Distributions		(0.26	)		(0.16	)		(—	)(c)		(0.01	)
Net Asset Value, End of Period	$	9.52		$	9.85		$	9.90		$	9.71
Total Return (excludes sales charge) (d)		(0.78	)%		1.05	%		2.00	%		(2.76	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	3,456		$	16,438		$	30,145		$	36,826
Ratio of net expenses to average net assets (e)		0.71	%		0.84	%		0.85	%		0.85	%
Ratio of net investment income to average net assets (e)		(0.12	)%		(0.10	)%		0.03	%		0.23	%
Ratio of gross expenses to average net assets (e) (f)		1.04	%		0.98	%		0.94	%		1.02	%
Ratio of net investment income to average net assets (e) (f)		0.22	%		(0.24	)%		(0.06	)%		0.06	%
Portfolio turnover (d)		0	%		0	%		27	%		0	%

(a)  The Compass EMP Enhanced Fixed Income Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

188

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Enhanced Fixed Income Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.71		$	9.80		$	9.68		$	10.00
Investment Activities:
Net investment loss (b)		(0.04	)		(0.08	)		(0.07	)		(0.03	)
Net realized and unrealized gains (losses) on investments		(0.07	)		0.11			0.19			(0.28	)
Total from Investment Activities		(0.11	)		0.03			0.12			(0.31	)
Distributions:
Net investment income		(0.02	)		—			—			(0.01	)
In excess of net investment income		—			(0.12	)		—			—
Net realized gains from investments		(0.16	)		—			—			—
Total Distributions		(0.18	)		(0.12	)		—			(0.01	)
Net Asset Value, End of Period	$	9.42		$	9.71		$	9.80		$	9.68
Total Return (excludes contingent deferred sales charge) (c)		(1.15	)%		0.31	%		1.24	%		(3.15	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	506		$	575		$	404		$	282
Ratio of net expenses to average net assets (d)		1.46	%		1.59	%		1.60	%		1.60	%
Ratio of net investment income to average net assets (d)		(0.87	)%		(0.85	)%		(0.72	)%		(0.41	)%
Ratio of gross expenses to average net assets (d) (e)		1.84	%		1.73	%		1.69	%		1.77	%
Ratio of net investment income to average net assets (d) (e)		(0.49	)%		(0.99	)%		(0.81	)%		(0.58	)%
Portfolio turnover (c)		0	%		0	%		27	%		0	%

(a)  The Compass EMP Enhanced Fixed Income Fund Class C commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

189

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Enhanced Fixed Income Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.88		$	9.91		$	9.72		$	10.00
Investment Activities:
Net investment income (b)		0.01			0.01			0.03			0.03
Net realized and unrealized gains (losses) on investments		(0.08	)		0.13			0.19			(0.29	)
Total from Investment Activities		(0.07	)		0.14			0.22			(0.26	)
Distributions:
Net investment income		(0.13	)		—			(0.03	)		(0.02	)
In excess of net investment income		—			(0.17	)		—			—
Net realized gains from investments		(0.16	)		—			—			—
Total Distributions		(0.29	)		(0.17	)		(0.03	)		(0.02	)
Net Asset Value, End of Period	$	9.52		$	9.88		$	9.91		$	9.72
Total Return (c)		(0.79	)%		1.39	%		2.25	%		(2.60	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	1,431		$	4,970		$	18,139		$	1
Ratio of net expenses to average net assets (d)		0.46	%		0.59	%		0.60	%		0.60	%
Ratio of net investment income to average net assets (d)		0.17	%		0.15	%		0.28	%		0.48	%
Ratio of gross expenses to average net assets (d) (e)		0.85	%		0.73	%		0.69	%		0.77	%
Ratio of net investment income to average net assets (d) (e)		0.56	%		0.01	%		0.19	%		0.31	%
Portfolio turnover (c)		0	%		0	%		27	%		0	%

(a)  The Compass EMP Enhanced Fixed Income Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Not annualized for periods less than one year.

(d)  Annualized for periods less than one year.

(e)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

190

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Ultra Short Term Fixed Income Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Activities:
Net investment income (b)		—	(c)		0.03			0.03			0.03
Net realized and unrealized gains (losses) on investments		(0.01	)		0.01			0.00	(c)		0.00	(c)
Total from Investment Activities		(0.01	)		0.04			0.03			0.03
Distributions:
Net investment income		(—	)(c)		(0.04	)		(0.03	)		(0.03	)
Net realized gains from investments		—			(—	)(c)		—			—
Total Distributions		(—	)(c)		(0.04	)		(0.03	)		(0.03	)
Net Asset Value, End of Period	$	9.99		$	10.00		$	10.00		$	10.00
Total Return (excludes sales charge) (d)		(0.05	)%		0.39	%		0.30	%		0.25	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	2,359		$	4,283		$	5,965		$	5,161
Ratio of net expenses to average net assets (e)		0.50	%		0.50	%		0.50	%		0.55	%
Ratio of net investment income to average net assets (e)		0.08	%		0.35	%		0.32	%		0.45	%
Ratio of gross expenses to average net assets (e) (f)		1.03	%		0.94	%		0.96	%		1.06	%
Ratio of net investment income to average net assets (e) (f)		0.62	%		(0.09	)%		(0.14	)%		(0.06	)%
Portfolio turnover (d)		0	%		0	%		0	%		0	%

(a)  The Compass EMP Ultra Short-Term Fixed Income Fund Class A commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

191

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Ultra Short Term Fixed Income Fund
	Class I Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			Year Ended June 30, 2014			For the Period Ended June 30, 2013(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Activities:
Net investment income (b)		0.02			0.06			0.06			0.03
Net realized and unrealized gains (losses) on investments		(—	)(c)		—	(c)		—	(c)		—	(c)
Total from Investment Activities		0.02			0.06			0.06			0.03
Distributions:
Net investment income		(0.02	)		(0.06	)		(0.06	)		(0.03	)
Net realized gains from investments		—			(0.00	)(c)		—			—
Total Distributions		(0.02	)		(0.06	)		(0.06	)		(0.03	)
Net Asset Value, End of Period	$	10.00		$	10.00		$	10.00		$	10.00
Total Return (d)		0.17	%		0.64	%		0.61	%		0.40	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	8,022		$	10,334		$	10,846		$	4,642
Ratio of net expenses to average net assets (e)		0.25	%		0.25	%		0.25	%		0.30	%
Ratio of net investment income to average net assets (e)		0.34	%		0.60	%		0.57	%		0.76	%
Ratio of gross expenses to average net assets (e) (f)		0.78	%		0.69	%		0.71	%		0.81	%
Ratio of net investment income to average net assets (e) (f)		0.87	%		0.16	%		0.11	%		0.25	%
Portfolio turnover (d)		0	%		0	%		0	%		0	%

(a)  The Compass EMP Ultra Short-Term Fixed Income Fund Class I commenced operations on November 19, 2012.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Annualized for periods less than one year.

(f)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

192

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Multi-Asset Balanced Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	12.02		$	12.45		$	12.70		$	12.36		$	12.18		$	12.64		$	11.86
Investment Activities:
Net investment income		0.13	(b)		0.36	(b)		0.14	(b)		0.04	(b)		0.01	(b)		0.12			0.02
Net realized and unrealized gains (losses) on investments		(0.61	)		(0.40	)		0.45			0.84			0.24			0.07	(c)		0.78
Total from Investment Activities		(0.48	)		(0.04	)		0.59			0.88			0.25			0.19			0.80
Distributions:
Net investment income		(0.12	)		(0.25	)		—			(0.16	)		—			(0.10	)		(0.02	)
Net realized gains from investments		(0.95	)		(0.14	)		(0.84	)		(0.38	)		(0.07	)		(0.55	)		—
Total Distributions		(1.07	)		(0.39	)		(0.84	)		(0.54	)		(0.07	)		(0.65	)		(0.02	)
Paid in capital from redemption fees		—			—			—			—			0.00	(d)		0.00	(d)		0.00	(d)
Net Asset Value, End of Period	$	10.47		$	12.02		$	12.45		$	12.70		$	12.36		$	12.18		$	12.64
Total Return (excludes sales charge) (e)		(4.19	)%		(0.29	)%(f)		5.10	%		7.36	%		2.03	%		1.40	%		6.73	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	20,466		$	20,441		$	82,534		$	77,160		$	87,255		$	75,842		$	35,516
Ratio of net expenses to average net assets (g) (h)		0.50	%		0.50	%		0.50	%		0.92	%		1.15	%		1.15	%		1.15	%
Ratio of net investment income to average net assets (g) (h)		2.16	%		2.91	%		1.93	%		0.29	%		0.06	%		0.68	%		0.39	%
Ratio of gross expenses to average net assets (g) (h) (i)		0.70	%		0.50	%		0.49	%		1.08	%		1.13	%		1.22	%		1.32	%
Ratio of net investment income to average net assets (g) (h) (i)		2.36	%		2.91	%		1.94	%		0.13	%		0.08	%		0.61	%		0.22	%
Portfolio turnover (e)		32	%		22	%		12	%		111	%		58	%		235	%		16	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Realized and unrealized gain per share does not correlate to the aggregate of the realized and unrealized gains on the Consolidated Statements of Operations for the Year Ended November 30, 2011, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values for the Fund's portfolio.

(d)  Less than $0.01 per share.

(e)  Not annualized for periods less than one year.

(f)  Had the Advisor not reimbursed the trade error, total return would have been (0.45)%.

(g)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(h)  Annualized for periods less than one year.

(i)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

193

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Multi-Asset Balanced Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.76		$	12.18		$	12.50		$	12.13		$	12.05		$	12.58		$	11.82
Investment Activities:
Net investment income (loss)		0.07	(b)		0.20	(b)		0.09	(b)		(0.05	)(b)		(0.09	)(b)		0.04			(0.02	)
Net realized and unrealized gains (losses) on investments		(0.59	)		(0.33	)		0.43			0.83			0.24			0.06	(c)		0.78
Total from Investment Activities		(0.52	)		(0.13	)		0.52			0.78			0.15			0.10			0.76
Distributions:
Net investment income		(0.02	)		(0.15	)		—			(0.03	)		—			(0.08	)		—
Net realized gains from investments		(0.95	)		(0.14	)		(0.84	)		(0.38	)		(0.07	)		(0.55	)		—
Total Distributions		(0.97	)		(0.29	)		(0.84	)		(0.41	)		(0.07	)		(0.63	)		—
Paid in capital from redemption fees		—			—			—			—			0.00	(d)		0.00	(d)		0.00	(d)
Net Asset Value, End of Period	$	10.27		$	11.76		$	12.18		$	12.50		$	12.13		$	12.05		$	12.58
Total Return (excludes contingent deferred sales charge) (e)		(4.61	)%		(1.01	)%(f)		4.59	%		6.64	%		1.22	%		0.65	%		6.43	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	9,643		$	11,977		$	14,559		$	16,455		$	24,847		$	21,383		$	10,691
Ratio of net expenses to average net assets (g) (h)		1.25	%		1.25	%		1.25	%		1.67	%		1.90	%		1.90	%		1.90	%
Ratio of net investment income to average net assets (g) (h)		1.29	%		1.67	%		1.33	%		(0.46	)%		(0.69	)%		(0.06	)%		(0.36	)%
Ratio of gross expenses to average net assets (g) (h) (i)		1.44	%		1.25	%		1.24	%		1.83	%		1.88	%		1.97	%		2.07	%
Ratio of net investment income to average net assets (g) (h) (i)		1.48	%		1.67	%		1.34	%		(0.62	)%		(0.67	)%		(0.13	)%		(0.53	)%
Portfolio turnover (e)		32	%		22	%		12	%		111	%		58	%		235	%		16	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Realized and unrealized gain per share does not correlate to the aggregate of the realized and unrealized gains on the Consolidated Statements of Operations for the Year Ended November 30, 2011, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values for the Fund's portfolio.

(d)  Less than $0.01 per share.

(e)  Not annualized for periods less than one year.

(f)  Had the Advisor not reimbursed the trade error, total return would have been (1.18)%.

(g)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(h)  Annualized for periods less than one year.

(i)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

194

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Multi-Asset Growth Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.82		$	12.54		$	13.97		$	11.66		$	11.98		$	12.80		$	11.38
Investment Activities:
Net investment income (loss)		0.06	(b)		0.41	(b)		0.26	(b)		0.08	(b)		(0.03	)(b)		0.10			(0.03	)
Net realized and unrealized gains (losses) on investments		(0.70	)		(0.41	)		0.61			2.23			(0.29	)		(0.04	)		1.45
Total from Investment Activities		(0.64	)		—			0.87			2.31			(0.32	)		0.06			1.42
Distributions:
Net investment income		(0.10	)		(0.28	)		(0.35	)		—			—			(0.10	)		—
Net realized gains from investments		(2.54	)		(0.44	)		(1.95	)		—			—			(0.78	)		—
Total Distributions		(2.64	)		(0.72	)		(2.30	)		—			—			(0.88	)		—
Paid in capital from redemption fees		—			—			—			—			—	(c)		—	(c)		—	(c)
Net Asset Value, End of Period	$	8.54		$	11.82		$	12.54		$	13.97		$	11.66		$	11.98		$	12.80
Total Return (excludes sales charge) (d)		(5.84	)%		0.22	%(e)		7.82	%		19.81	%		2.67	%(f)		0.08	%		12.48	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	6,606		$	6,022		$	44,095		$	46,693		$	48,959		$	54,198		$	15,832
Ratio of net expenses to average net assets (g) (h)		0.50	%		0.50	%		0.50	%		1.09	%		1.45	%		1.45	%		1.45	%
Ratio of net investment income to average net assets (g) (h)		1.10	%		3.39	%		3.69	%		0.58	%		(0.22	)%		0.26	%		(0.64	)%
Ratio of gross expenses to average net assets (g) (h) (i)		0.97	%		0.54	%		0.56	%		1.09	%		1.51	%		1.68	%		1.93	%
Ratio of net investment income to average net assets (g) (h) (i)		1.57	%		3.35	%		3.63	%		0.58	%		(0.28	)%		0.03	%		(1.12	)%
Portfolio turnover (d)		106	%		32	%		4	%		151	%		108	%		341	%		31	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Had the Advisor not reimbursed the trade error, total return would have been (0.20)%.

(f)  Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(g)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(h)  Annualized for periods less than one year.

(i)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

195

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Multi-Asset Growth Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	11.43		$	12.15		$	13.55		$	11.40		$	11.80		$	12.65		$	11.28
Investment Activities:
Net investment income (loss)		0.02	(b)		0.20	(b)		0.19	(b)		(0.02	)(b)		(0.11	)(b)		(0.02	)		(0.07	)
Net realized and unrealized gains (losses) on investments		(0.68	)		(0.29	)		0.61			2.17			(0.29	)		(0.02	)		1.44
Total from Investment Activities		(0.66	)		(0.09	)		0.80			2.15			(0.40	)		(0.04	)		1.37
Distributions:
Net investment income		(0.00	)		(0.19	)		(0.25	)		—			—			(0.03	)		—
Net realized gains from investments		(2.54	)		(0.44	)		(1.95	)		—			—			(0.78	)		—
Total Distributions		(2.54	)		(0.63	)		(2.20	)		—			—			(0.81	)		—
Paid in capital from redemption fees		—			—			—			—			—	(c)		—	(c)		—	(c)
Net Asset Value, End of Period	$	8.23		$	11.43		$	12.15		$	13.55		$	11.40		$	11.80		$	12.65
Total Return (excludes contingent deferred sales charge) (d)		(6.18	)%		(0.58	)%(e)		7.36	%		18.86	%		(3.39	)%(f)		(0.71	)%		1.15	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	3,826		$	4,934		$	6,913		$	5,787		$	7,480		$	7,432		$	4,085
Ratio of net expenses to average net assets (g) (h)		1.25	%		1.25	%		1.25	%		1.84	%		2.20	%		2.20	%		2.20	%
Ratio of net investment income to average net assets (g) (h)		0.30	%		1.75	%		2.94	%		(0.16	)%		(0.97	)%		(0.34	)%		(1.39	)%
Ratio of gross expenses to average net assets (g) (h) (i)		1.67	%		1.29	%		1.31	%		1.84	%		2.26	%		2.43	%		2.68	%
Ratio of net investment income to average net assets (g) (h) (i)		0.72	%		1.71	%		2.88	%		(0.16	)%		(1.03	)%		(0.57	)%		(1.87	)%
Portfolio turnover		106	%		32	%		4	%		151	%		108	%		341	%		31	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  Had the Advisor not reimbursed the trade error, total return would have been (1.02)%.

(f)  Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(g)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(h)  Annualized for periods less than one year.

(i)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

196

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory CEMP Alternative Strategies Fund
	Class A Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	10.14		$	10.58		$	10.07		$	9.69		$	10.28		$	10.37		$	9.46
Investment Activities:
Net investment income (loss)		0.14	(b)		0.27	(b)		0.06	(b)		(0.02	)(b)		(0.07	)(b)		(0.01	)		(0.02	)
Net realized and unrealized gains (losses) on investments		(0.69	)		(0.47	)		0.45			0.40			(0.52	)		0.03	(c)		0.93
Total from Investment Activities		(0.55	)		(0.20	)		0.51			0.38			(0.59	)		0.02			0.91
Distributions:
Net investment income		(0.22	)		(0.24	)		—			—			—			—			—
Tax return of capital		—			—			—			—			—			(0.11	)		—
Total Distributions		(0.22	)		(0.24	)		—			—			—			(0.11	)		—
Paid in capital from redemption fees		—			—			—			—			—	(d)		—	(d)		—	(d)
Net Asset Value, End of Period	$	9.37		$	10.14		$	10.58		$	10.07		$	9.69		$	10.28		$	10.37
Total Return (excludes sales charge) (e)		(5.43	)%		(1.88	)%		5.06	%		3.92	%		(5.74	)%		0.17	%		9.62	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	23,401		$	32,275		$	51,003		$	59,079		$	118,926		$	187,460		$	4,776
Ratio of net expenses to average net assets (f) (g)		0.50	%		0.50	%		0.50	%		1.19	%		1.41	%		1.45	%		1.45	%
Ratio of net investment income to average net assets (f) (g)		2.80	%		2.64	%		1.03	%		(0.25	)%		(0.71	)%		(0.10	)%		(0.75	)%
Ratio of gross expenses to average net assets (f) (g) (h)		0.79	%		0.56	%		0.59	%		1.19	%		1.37	%		1.45	%		4.21	%
Ratio of net investment income to average net assets (f) (g) (h)		3.09	%		2.58	%		0.94	%		(0.25	)%		(0.67	)%		(0.10	)%		(3.51	)%
Portfolio turnover		60	%		11	%		49	%		153	%		137	%		278	%		24	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Realized and unrealized gain per share does not correlate to the aggregate of the realized and unrealized gains on the Consolidated Statements of Operations for the Year Ended November 30, 2011, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values for the Fund's portfolio.

(d)  Less than $0.01 per share.

(e)  Not annualized for periods less than one year.

(f)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(g)  Annualized for periods less than one year.

(h)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

197

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory CEMP Alternative Strategies Fund
	Class C Shares
	For the Six Months Ended December 31, 2015			Year Ended June 30, 2015			For the Seven Months Period Ended June 30, 2014			Year Ended November 30, 2013(a)			Year Ended November 30, 2012(a)			Year Ended November 30, 2011(a)			For the Five Months Period Ended November 30, 2010
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.85		$	10.27		$	9.82		$	9.51		$	10.17		$	10.29		$	9.41
Investment Activities:
Net investment income (loss)		0.10	(b)		0.18	(b)		0.02	(b)		(0.09	)(b)		(0.15	)(b)		(0.04	)		(0.05	)
Net realized and unrealized gains (losses) on investments		(0.67	)		(0.45	)		0.43			0.40			(0.51	)		(0.02	)		0.93
Total from Investment Activities		(0.57	)		(0.27	)		0.45			0.31			(0.66	)		(0.06	)		0.88
Distributions:
Net investment income		(0.13	)		(0.15	)		—			—			—			—			—
Tax return of capital		—			—			—			—			—			(0.06	)		—
Total Distributions		(0.13	)		(0.15	)		—			—			—			(0.06	)		—
Paid in capital from redemption fees		—			—			—			—			—	(c)		—	(c)	��	—	(c)
Net Asset Value, End of Period	$	9.15		$	9.85		$	10.27		$	9.82		$	9.51		$	10.17		$	10.29
Total Return (excludes contingent deferred sales charge) (d)		(5.75	)%		(2.65	)%		4.58	%		3.26	%		(6.49	)%		(0.61	)%		9.35	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	5,001		$	6,778		$	9,581		$	12,918		$	24,340		$	23,893		$	1,183
Ratio of net expenses to average net assets (e) (f)		1.25	%		1.25	%		1.25	%		1.94	%		2.16	%		2.20	%		2.20	%
Ratio of net investment income to average net assets (e) (f)		2.06	%		1.81	%		0.31	%		(1.00	)%		(1.46	)%		(1.05	)%		(1.50	)%
Ratio of gross expenses to average net assets (e) (f) (g)		1.54	%		1.31	%		1.34	%		1.94	%		2.12	%		2.20	%		4.96	%
Ratio of net investment income to average net assets (e) (f) (g)		2.35	%		1.75	%		0.22	%		(1.00	)%		(1.42	)		(1.05	)%		(4.26	)%
Portfolio turnover		60	%		11	%		49	%		153	%		137	%		278	%		24	%

(a)  The period includes the consolidation of a wholly owned subsidiary.

(b)  Calculated using average shares for the period.

(c)  Less than $0.01 per share.

(d)  Not annualized for periods less than one year.

(e)  These ratios exclude the impact of the expenses of the other investment companies in which the Fund invests.

(f)  Annualized for periods less than one year.

(g)  During the period, certain fees were reduced and/or reimbursed. If such see reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

See notes to financial statements.

198

Victory Portfolios II Notes to Financial Statements
December 31, 2015

  (Unaudited)

1.  Organization:

Victory Portfolios II (formerly Compass EMP Funds Trust) (the "Trust"), was organized on April 11, 2012 as a Delaware statutory trust (formerly a Delaware business trust). The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company and thus follows accounting and reporting guidance for investment companies. The Trust is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. As of December 31, 2015, the Trust offered shares of 26 funds (each a "Fund" and collectively, the "Funds"). Each Fund is classified as diversified under the 1940 Act.

The accompanying financial statements are those of the following funds. The investment objective of each Fund is set forth below.

Funds*	Former Fund Names	Investment Objectives
Victory CEMP US 500 Volatility Wtd Index Fund	Compass EMP U.S. 500 Volatility Weighted Fund	Track performance of the CEMP US Large Cap 500 Volatility Weighted Index before expenses.
Victory CEMP US Small Cap Volatility Wtd Index Fund	Compass EMP U.S. Small Cap 500 Volatility Weighted Fund	Track performance of the CEMP US Small Cap 500 Volatility Weighted Index before expenses.
Victory CEMP International Volatility Wtd Index Fund	Compass EMP International 500 Volatility Weighted Fund	Track performance of the CEMP International 500 Volatility Weighted Index before expenses.
Victory CEMP Emerging Market Volatility Wtd Index Fund	Compass EMP Emerging Market 500 Volatility Weighted Fund	Track performance of the CEMP Emerging Market 500 Volatility Weighted Index before expenses.
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund	Compass EMP U.S. 500 Enhanced Volatility Weighted Fund	Track performance of the CEMP US Large Cap 500 Long/Cash Volatility Weighted Index before expenses.
Victory CEMP International Enhanced Volatility Wtd Index Fund	Compass EMP International 500 Enhanced Volatility Weighted Fund	Track performance of the CEMP International 500 Long/Cash Volatility Weighted Index before expenses.
Victory CEMP REC Enhanced Volatility Wtd Index Fund	Compass EMP REC Enhanced Volatility Weighted Fund	Track performance of the CEMP US REIT Long/Cash Volatility Weighted Index before expenses.
Victory CEMP Commodity Volatility Wtd Index Strategy Fund	Compass EMP Commodity Strategies Volatility Weighted Fund	Track performance of the CEMP Commodity Volatility Weighted Index before expenses.
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund	Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund	Track performance of the CEMP Commodity Long/Cash Volatility Weighted Index before expenses.

199

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2015

  (Unaudited)

Funds*	Former Fund Names	Investment Objectives
Victory CEMP Long/Short Strategy Fund	Compass EMP Long/Short Strategies Fund	Seeks capital appreciation.
Victory CEMP Market Neutral Income Fund	Compass EMP Market Neutral Income Fund	Seeks to achieve high current income while maintaining a low correlation to the fluctuations of the equity and bond markets.
Victory CEMP Enhanced Fixed Income Fund	Compass EMP Enhanced Fixed Income Fund	Total return.
Victory CEMP Ultra Short Term Fixed Income Fund	Compass EMP Ultra Short Term Fixed Income Fund	Designed to invest in fixed income instruments which average 12 months or less in maturity.
Victory CEMP Multi-Asset Balanced Fund ("Balanced Fund")	Compass EMP Multi-Asset Balanced Fund	Moderate asset allocation fund offering exposure to multiple asset classes (growth and income) within one mutual fund.
Victory CEMP Multi-Asset Growth Fund ("Growth Fund")	Compass EMP Multi-Asset Growth Fund	Long term capital appreciation.
Victory CEMP Alternative Strategies Fund ("Alternative Fund")	Compass EMP Alternative Strategies Fund	Long term capital appreciation.

*  Name changes were effective November 9, 2015 for each Fund.

The financial statements of the Victory CEMP Commodity Volatility Wtd Index Strategy Fund and Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund are consolidated and include the accounts of CEMPCLSSF Fund Ltd. and CEMPCSVWF Fund Ltd., respectively, each a wholly-owned and controlled Cayman Islands subsidiary (the "Subsidiaries"), which invest in commodity futures and other investments intended to serve as margin or collateral for the Subsidiaries' derivatives positions. The Funds wholly own and control the Subsidiaries, and the Funds and Subsidiaries are both managed by Victory Capital Management, LLC. ("VCM" or "Adviser"). The Funds may invest up to 25% of their total assets at the end of each fiscal quarter in their respective Subsidiaries which act as investment vehicles in order for the Funds to indirectly invest in certain investments that are consistent with their respective investment objectives and policies. Significant intercompany accounts and transactions have been eliminated in consolidation for the Funds. The accompanying financial statements reflect the financial positions of the Funds and the results of operations on a consolidated basis with the Subsidiaries.

For tax purposes, the Subsidiaries are exempted Cayman investment companies. The Subsidiaries have received an undertaking from the Government of the Cayman Islands exempting them from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiaries are Controlled Foreign Corporations ("CFCs") and as such are not subject to U.S. income tax. However, as wholly-owned CFCs, the Subsidiaries' net income and capital gains, to the extent of their earnings and profits, will be included each year in the Funds' taxable income.

Each Fund currently offers Class A, Class C and Class I shares with the exception of the Victory CEMP Ultra Short Term Fixed Income Fund which offers Class A and Class I shares and the Balanced Fund, Growth Fund, and Alternative Fund which offer Class A and Class C shares. On October 12, 2015, Class T Shares were closed. Each class of shares in a Fund has substantially identical rights and privileges except with respect to sales charges, fees paid under distribution plans, expenses allocable exclusively to each class of shares, voting rights on matters solely affecting a single class of shares, and the exchange privilege of each class of shares.

200

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2015

  (Unaudited)

Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts with its vendors and others that provide for general indemnifications. The Trust and Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.

2.  Significant Accounting Policies:

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

Investment Valuation:

The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:

• Level 1 — quoted prices in active markets for identical securities

• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)

• Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Trust determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Equity securities, rights, exchange-traded funds, and options listed or traded on securities exchanges or the NASDAQ National Market System are valued at the official closing price if available, or the last sales price, on the exchange or system where the security is principally traded or at the NASDAQ Official Closing Price. If there have been no sales for that day on the exchange or system, a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.

In accordance with procedures adopted by the Board of Trustees (the "Board"), fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time the Funds' net asset values are calculated. The Victory CEMP International Volatility Wtd Index Fund, Victory CEMP Emerging Market Volatility Wtd Index Fund and Victory International Enhanced Volatility Wtd Index Fund use a systemic valuation model, provided daily by an independent third party to fair value their international equity securities. These valuations are considered as Level 2 in the fair value hierarchy.

Debt securities of U.S. issuers (other than short-term investments maturing in 60 days or less), including corporate and municipal securities, are generally valued on the basis of bid valuations provided by dealers or an independent pricing service approved by the Trust's Board. Short-term fixed-income investments maturing in 60 days or less may be valued at amortized cost, which approximates market value. Under amortized cost method, premium or discount, if any, is amortized

201

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2015

  (Unaudited)

or accreted, respectively, on a constant basis to the maturity of the security. These valuations are typically categorized as Level 2 in the fair value hierarchy.

Short-term money market instruments (such as certificates of deposit, bankers' acceptances and commercial paper) are generally valued by bid quotations or by reference to bid quotations of available yields for similar instruments of issuers with similar credit ratings. All these prices are obtained from services, which collect and disseminate such market prices. Bid quotations for short-term money market instruments reported by such a service are the bid quotations reported to it by the major dealers. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Futures contracts are generally valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Investments in other open-end investment companies are valued at net asset value as reported by such companies. These valuations are typically categorized as Level 1 or Level 2 in the fair value hierarchy.

Investments for which there are no such quotations, or for which quotations do not appear reliable, are valued as determined in good faith by the Pricing Committee under the direction of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy.

In accordance with the Trust's good faith pricing guidelines, the Adviser is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable. No single standard for determining fair value exists, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of securities being valued by the Adviser would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accord with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods.

The following is a summary of the inputs used to value the Funds' investments as of December 31, 2015, while the breakdown, by category, of equity securities are disclosed on the Schedules of Portfolio Investments for each Fund:

	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Victory CEMP US 500 Volatility Wtd Index Fund
Common Stocks	$	29,496,283	$	—		$	—	$	—	$	—	$	—	$	29,496,283	$	—
Cash Equivalents		—		—			216,147		—		—		—		216,147		—
Futures Contracts		—		(6,986	)		—		—		—		—		—		(6,986	)
Total		29,496,283		(6,986	)		216,147		—		—		—		29,712,430		(6,986	)

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2015

  (Unaudited)

	LEVEL 1 — Quoted Prices						LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities			Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Victory CEMP US Small Cap Volatility Wtd Index Fund
Common Stocks	$	6,865,484		$	—		$	—	$	—	$	—	$	—	$	6,865,484	$	—
Cash Equivalents		—			—			458,059		—		—		—		458,059		—
Futures Contracts		—			(1,609	)		—		—		—		—		—		(1,609	)
Total		6,865,484			(1,609	)		458,059		—		—		—		7,323,543		(1,609	)
Victory CEMP International Volatility Wtd Index Fund
Common Stocks		1,105,672	(a)		—			7,413,002		—		483		—		8,519,157		—
Futures Contracts		—			(9,321	)		—		—		—		—		—		(9,321	)
Total		1,105,672			(9,321	)		7,413,002		—		483		—		8,519,157		(9,321	)
Victory CEMP Emerging Market Volatility Wtd Index Fund
Common Stocks		485,369	(b)		—			9,724,689		—		30,954		—		10,241,012		—
Rights		—			—			266		—		—		—		266		—
Cash Equivalents		—			—			1,640,043		—		—		—		1,640,043		—
Futures Contracts		—			(2,162	)		—		—		—		—		—		(2,162	)
Total		485,369			(2,162	)		11,364,998		—		30,954		—		11,881,321		(2,162	)
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Common Stocks		192,127,016			—			—		—		—		—		192,127,016		—
Cash Equivalents		—			—			1,453,405		—		—		—		1,453,405		—
Futures Contracts		—			(5,530	)		—		—		—		—		—		(5,530	)
Total		192,127,016			(5,530	)		1,453,405		—		—		—		193,580,421		(5,530	)
Victory CEMP International Enhanced Volatility Wtd Index Fund
Common Stocks		4,525,252	(a)		—			29,879,417		—		1,799		—		34,406,468		—
Futures Contracts		—			(8,274	)		—		—		—		—		—		(8,274	)
Total		4,525,252			(8,274	)		29,879,417		—		1,799		—		34,406,468		(8,274	)
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Common Stocks		9,318,852			—			—		—		—		—		9,318,852		—
Futures Contracts		—			110			—		—		—		—		—		110
Total		9,318,852			110			—		—		—		—		9,318,852		110

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	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs					LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
U.S. Treasury Obligations	$	—	$	—		$	5,886,864	$	—		$	—	$	—	$	5,886,864	$	—
Cash Equivalents		—		—			2,429,455		—			—		—		2,429,455		—
Futures Contracts		—		21,588			—		—			—		—		—		21,588
Total		—		21,588			8,316,319		—			—		—		8,316,319		21,588
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
U.S. Treasury Obligations		—		—			4,441,709		—			—		—		4,441,709		—
Cash Equivalents		—		—			945,760		—			—		—		945,760		—
Futures Contracts		—		19,395			—		—			—		—		—		19,395
Total		—		19,395			5,387,469		—			—		—		5,387,469		19,395
Victory CEMP Long/Short Strategy Fund
Common Stocks		11,575,453		—			—		—			—		—		11,575,453		—
Cash Equivalents		—		—			3,091,112		—			—		—		3,091,112		—
Futures Contracts		—		(4,613	)		—		—			—		—		—		(4,613	)
Total		11,575,453		(4,613	)		3,091,112		—			—		—		14,666,565		(4,613	)
Victory CEMP Market Neutral Income Fund
Common Stocks		29,846,230		—			27,235,448		—			—		—		57,081,678		—
Cash Equivalents		—		—			2,349,738		—			—		—		2,349,738		—
Written Options		—		—			—		(145,738	)		—		—		—		(145,738	)
Futures Contracts		—		(75,748	)		—		—			—		—		—		(75,748	)
Total		29,846,230		(75,748	)		29,439,448		(145,738	)		—		—		59,285,678		(221,486	)
Victory CEMP Enhanced Fixed Income Fund
U.S. Treasury Obligations		—		—			1,999,528		—			—		—		1,999,528		—
Commercial Papers		—		—			1,149,639		—			—		—		1,149,639		—
Futures Contracts		—		404			—		—			—		—		—		404
Total		—		404			3,149,167		—			—		—		3,149,167		404

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	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Victory CEMP Ultra Short Term Fixed Income Fund
U.S. Treasury Obligations	$	—	$	—	$	5,483,136	$	—	$	—	$	—	$	5,483,136	$	—
Commercial Papers		—		—		4,097,701		—		—		—		4,097,701		—
Cash Equivalents		—		—		820,667		—		—		—		820,667		—
Total		—		—		10,401,504		—		—		—		10,401,504		—
Victory CEMP Multi-Asset Balanced Fund
Affiliated Exchange- Traded Funds		3,391,030		—		—		—		—		—		3,391,030		—
Affiliated Mutual Funds		17,846,062		—		6,506,343		—		—		—		24,352,405		—
Cash Equivalents		—		—		672,913		—		—		—		672,913		—
Total		21,237,092		—		7,179,256		—		—		—		28,416,348		—
Victory CEMP Multi-Asset Growth Fund
Affiliated Exchange- Traded Funds		9,610,161		—		—		—		—		—		9,610,161		—
Cash Equivalents		—		—		6,532,478		—		—		—		6,532,478		—
Total		9,610,161		—		6,532,478		—		—		—		16,142,639		—
Victory CEMP Alternative Strategies Fund
Affiliated Mutual Funds		27,173,048		—		—		—		—		—		27,173,048		—
Cash Equivalents		—		—		582,658		—		—		—		582,658		—
Total		27,173,048		—		582,658		—		—		—		27,755,706		—

^  Other Financial instruments include any derivative instruments not reflected in the Schedules of Portfolio Investments as Investment Securities, such as futures contracts and written options. These instruments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

(a)  Consists of holdings: All ADRs traded on U.S. securities exchanges and all securities listed under Canada.

(b)  Consists of holdings: All ADRs traded on U.S. securities exchanges and all securities listed under Mexico.

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Significant transfers occurred between Levels 1 and 2 based on recognition dates of June 30, 2015 and December 31, 2015. The Funds' current policy is to look through to the underlying investments in Investment Companies to determine the ASC 820 Level. On June 30, 2015, all international securities, except as noted above, were fair valued and are listed as Level 2 investments.

	Transfer from Level 1 to Level 2		Transfer from Level 2 to Level 1
Victory CEMP International Volatility Wtd Index Fund
Common Stocks	$	—	$	6,344,434
Victory CEMP Emerging Market Volatility Wtd Index Fund
Common Stocks		—		7,739,191
Victory CEMP International Enhanced Volatility Wtd Index Fund
Common Stocks		—		25,572,130
Victory CEMP Market Neutral Income Fund
Common Stocks		1,233,250		2,934,301

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	Victory CEMP Emerging Market Volatility Wtd Index Fund			Victory CEMP International Enhanced Volatility Wtd Index Fund		Victory CEMP International Volatility Wtd Index Fund
Investments in Securities	Common Stocks			Common Stocks		Common Stocks
Balance as of June 30, 2015	$	14,166		$	—	$	—
Realized Gain/(Loss)		—			—		—
Change in Unrealized Appreciation/ (Depreciation)		(2,233	)		—		—
Purchases		—			—		—
Sales Proceeds		—			—		—
Transfer into Level 3		19,021			1,799		483
Transfer out of Level 3		—			—		—
Balance as of December 31, 2015	$	30,954		$	1,799	$	483

Exchange Traded Funds:

Each Fund may invest in exchange-traded funds ("ETFs"). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. The Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

Investment Companies:

Each Fund may invest in portfolios of open-end or closed-end investment companies (the "Underlying Funds"). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and

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all other securities and assets at their fair value by the methods established by the board of directors of the Underlying Funds.

Open-end funds are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

Foreign Currency Contracts:

Each Fund may enter into foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks or as an investment strategy consistent with that Fund's investment objective. A foreign currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds' foreign currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contract (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. Each foreign currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Fund records realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a forward foreign currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of forward currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 2015, the Funds had no open forward foreign currency contracts

Option Transactions:

Each Fund may purchase or sell options to aid in hedging against equity price risk incurred in the normal course of pursuing its investment objective. When the Fund writes a call option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As a writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

Each Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Fund's portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded.

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The number of put option contracts written and the premiums received by the Funds during the six months ended December 31, 2015, were as follows:

	Victory CEMP Market Neutral Fixed Income Fund
	Number of Contracts			Premiums Received
Options outstanding, beginning of year		204		$	267,745
Options written		1,197			1,948,503
Options exercised		(130	)		(305,500	)
Options expired		—			—
Options closed		(1,140	)		(1,619,800	)
Options outstanding, end of year		131		$	290,948

Futures Contracts:

Each Fund may enter into contracts to hedge or manage risks associated with the Funds' security investments or to gain exposure to certain asset classes or markets. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specific securities index. No physical delivery of the underlying asset is made. A Fund may enter into futures contracts in an effort to hedge against market risks. Futures transactions involve brokerage costs and require the Fund to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund based on the change in the market value of the position are recorded as unrealized appreciation or depreciation until the contract is closed out at which time the gain or loss is realized. A Fund may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated matter. Such unanticipated changes may also result in lower overall performance than if the Fund had not entered into any futures transactions. In addition, the value of a Fund's future positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting a Fund's ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions.

Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statement of Assets and Liabilities, categorized by risk exposure, as of December 31, 2015.

Risk Exposure	Asset Location	Fair Value		Liability Locations	Fair Value
Victory CEMP US 500 Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	3,962
Victory CEMP US Small Cap Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	6,718
Victory CEMP International Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	12,405
Victory CEMP Emerging Market Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	1,700

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Risk Exposure	Asset Location	Fair Value		Liability Locations	Fair Value
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	15,603
Victory CEMP International Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	13,743
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	—	Unrealized depreciation on variation margin	$	540
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Commodity Contracts (Futures)	Unrealized appreciation on variation margin	$	21,201	Unrealized depreciation on variation margin	$	25,401
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Commodity Contracts (Futures)	Unrealized appreciation on variation margin	$	21,373	Unrealized depreciation on variation margin	$	18,724
Victory CEMP Long/Short Strategy Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	43,200	Unrealized depreciation on variation margin	$	—
Victory CEMP Market Neutral Income
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	658,440	Unrealized depreciation on variation margin	$	228,015
Equity Contracts (Written Options)	N/A		N/A	Written options, at value	$	145,738
Victory CEMP Enhanced Fixed Income Fund
Equity Contracts (Futures)	Unrealized appreciation on variation margin	$	1,809	Unrealized depreciation on variation margin	$	—

The following table presents the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the six months ended December 31, 2015.

Risk Exposure	Statement of Operations	Realized Gains (Losses) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Victory CEMP US 500 Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	15,183		$	11,714
Victory CEMP US Small Cap Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(88,508	)	$	2,992
Victory CEMP International Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(63,333	)	$	19,459

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Risk Exposure	Statement of Operations	Realized Gains (Losses) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Victory CEMP Emerging Market Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(447,510	)	$	9,679
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	19,473		$	77,308
Victory CEMP International Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(348,608	)	$	74,336
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(53,112	)	$	25,830
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Commodity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(1,756,089	)	$	(32,022	)
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Commodity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(966,985	)	$	(5,531	)
Victory CEMP Long/Short Strategy Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	124,586		$	(124,763	)
Victory CEMP Market Neutral Income Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	4,511,740		$	(1,177,487	)
Equity Contracts (Purchased Options)	Net realized gain (losses) from investment transactions/Net change in unrealized appreciation (depreciation) on investments	$	4,905		$	(4,050	)
Equity Contracts (Written Options)	Net realized gains (losses) on written options/Net change in unrealized appreciation (depreciation) on written options	$	1,176,791		$	502,215

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Risk Exposure	Statement of Operations	Realized Gains (Losses) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Victory CEMP Enhanced Fixed Income Fund
Equity Contracts (Futures)	Net realized gains (losses) on future contracts/Net change in unrealized appreciation (depreciation) on future contracts	$	(68,296	)	$	8,272

All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. The notional amount of open derivative positions relative to each Fund's net assets at period end is generally representative of the notional amount of open positions to net assets through the period. For the six months ended December 31, 2015, the Victory CEMP Enhanced Fixed Income Fund had an average notional amount of $10,191,585.

Investment Transactions and Related Income:

Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

Withholding taxes on dividends as a result of certain investments in foreign securities by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.

Foreign Currency Translations:

The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transaction. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the change in unrealized appreciation/depreciation on investments. Any realized gain or loss from these fluctuations are disclosed as net realized gains or losses from foreign currency translations on the Statements of Operations.

Distributions to Shareholders:

Each of the Funds (except the Victory CEMP REC Enhanced Volatility Wtd Index Fund, Victory CEMP Ultra Short Term Fixed Income Fund, Balanced Fund, Growth Fund, and Alternative Fund) declare and distribute dividends from net investment income at least quarterly, if any. The Victory CEMP REC Enhanced Volatility Wtd Index Fund and Victory CEMP Ultra Short Term Fixed Income Fund declare and distribute dividends from net investment income monthly, if any. The Balanced Fund, Growth Fund, and Alternative Fund declare and distribute dividends from net investment income at least annually, if any. Distributable net realized gains, if any, are declared and distributed at least annually.

The amounts of dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do

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not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by a Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

Federal Income Taxes:

It is the policy of each Fund to continue to qualify, except as described below, as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. The Funds have a tax year end of June 30.

During the year ended November 30, 2012, the Balanced Fund inadvertently failed to distribute to its shareholders its undistributed ordinary taxable income from the year ended November 30, 2011, resulting in the Balanced Fund failing to meet the distribution requirements under Subchapter M of the Internal Revenue Code and causing its status as a RIC to terminate. The Internal Revenue Code contains curative provisions that allowed the Balanced Fund to re-establish its status as a RIC retroactive to the year ended November 30, 2011. In order to qualify for this relief, the Balanced Fund paid to its shareholders a "deficiency dividend" and will need to pay interest and penalties to the Internal Revenue Service. The interest and penalties on the deficiency dividend will not be borne by the Balanced Fund and will be reimbursed by the Administrator. As of June 30, 2015 interest and penalties are estimated to be $224,411.

Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Other:

Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Trust are prorated to each Fund in the Trust, or jointly with an affiliated truston the basis of relative net assets or another appropriate basis.

Income, expenses (other than class specific expenses such as transfer agent fees, state registration fees, printing and 12b-1 fees), realized and unrealized gains or losses on investments of a Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.

Subsequent Events:

The Victory CEMP REC Enhanced Volatility Wtd Index Fund, Victory CEMP Enhanced Fixed Income Fund and Victory CEMP Ultra Short Term Fixed Income Fund are expected to liquidate on or about February 26, 2016.

3.  Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the period ended December 31, 2015 were as follows:

	Purchases (excluding U.S. Government Securities)		Sales (excluding U.S. Government Securities)		Purchases of U.S. Government Securities		Sales of U.S. Government Securities
Victory CEMP US 500 Volatility Wtd Index Fund	$	13,156,614	$	9,368,453	$	—	$	—
Victory CEMP US Small Cap Volatility Wtd Index Fund		13,223,066		12,892,585		—		—
Victory CEMP International Volatility Wtd Index Fund		7,705,159		13,265,522		—		—

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	Purchases (excluding U.S. Government Securities)		Sales (excluding U.S. Government Securities)		Purchases of U.S. Government Securities		Sales of U.S. Government Securities
Victory CEMP Emerging Market Volatility Wtd Index Fund	$	12,560,245	$	9,737,326	$	—	$	—
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		44,739,374		54,700,969		—		—
Victory CEMP International Enhanced Volatility Wtd Index Fund		47,436,480		25,021,115		—		—
Victory CEMP REC Enhanced Volatility Wtd Index Fund		27,653,513		36,695,330		—		—
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		4,448,359		20,171,993		499,453		—
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		—		366,705		499,453		—
Victory CEMP Long/Short Strategy Fund		6,118,676		7,999,411		—		—
Victory CEMP Market Neutral Income Fund		36,154,570		23,458,627		—		—
Victory CEMP Enhanced Fixed Income Fund		—		3,436,866		—		—
Victory CEMP Ultra Short Term Fixed Income Fund		—		—		—		—
Balanced Fund		10,820,523		13,514,617		—		—
Growth Fund		12,973,843		14,303,038		—		—
Alternative Strategies Fund		20,177,407		23,129,227		—		—

4.  Fees and Transactions with Affiliates and Related Parties:

Investment advisory services are provided to the Funds by VCM, a New York corporation registered as an investment adviser with the Securities and Exchange Commission. The Adviser is a wholly owned subsidiary of Victory Capital Holdings, Inc. ("VCH"). A majority of the interest in VCH is owned by Crestview Partners II, L.P. and its affiliated funds with the remaining portion owned by Victory employees and a limited number of outside investors.

Under the terms of the Investment Advisory Agreement (the "Advisory Agreement"), the Adviser is entitled to receive fees based on a percentage of the average daily assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below. The Adviser does not receive any management fees from the Balanced Fund, Growth Fund, or Alternative Strategies Fund. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Adviser Fee Rate
Victory CEMP US 500 Volatility Wtd Index Fund		0.70	%
Victory CEMP US Small Cap Volatility Wtd Index Fund		0.70	%
Victory CEMP International Volatility Wtd Index Fund		0.80	%
Victory CEMP Emerging Market Volatility Wtd Index Fund		0.85	%
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		0.70	%
Victory CEMP International Enhanced Volatility Wtd Index Fund		0.80	%
Victory CEMP REC Enhanced Volatility Wtd Index Fund		1.05	%
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		0.80	%
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		0.80	%
Victory CEMP Long/Short Strategy Fund		1.15	%
Victory CEMP Market Neutral Income Fund		0.60	%
Victory CEMP Enhanced Fixed Income Fund		0.40	%
Victory CEMP Ultra Short Term Fixed Income Fund		0.40	%

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Effective November 2, 2015, VCM also serves as the Funds' administrator and fund accountant. Under an Administration and Fund Accounting Agreement, VCM is paid for its services based on the average daily net assets of the Trust, Victory Portfolios Trust and Variable Insurance Funds (collectively, the "Trusts"):

Prior to November 2, 2015 (November 9, 2015 for transfer agent), Gemini Fund Services, LLC ("GFS") served as the Funds' administrator, fund accountant, and transfer agent. Under an Investment Company Services Agreement (the "Services Agreement'), GFS was paid for its services based on the average daily net assets of the Trust. GFS also received other transaction-based charges from the Trust and was reimbursed for all reasonable out-of pocket expenses incurred in providing these services.

Effective November 9, 2015, SunGard Investor Services LLC acts as the Funds' transfer agent. The Funds also pay fees to certain intermediaries or financial institutions for record keeping, sub-accounting services, transfer agency and other administrative services. Fees paid to GFS, SunGard Investor Services LLC and other intermediaries or financial institutions for these services for the six months ended December 31, 2015 are reflected on the Statements of Operations as Transfer agent fees.

Victory Capital Advisers, Inc. (the "Distributor"), an affiliate of the Adviser, serves as distributor for the continuous offering of shares of the Funds pursuant to a Distribution Agreement between the Distributor and the Trust. Prior to November 2, 2015 Northern Lights Distributors, LLC served as distributor.

Pursuant to the Distribution and Service Plans adopted in accordance with Rule 12b-1 under the 1940 Act, the Distributor may receive a monthly distribution and service fee, at an annual rate of up to 0.25% and 1.00% of the average daily net assets for Class A and Class C Shares of each of the respective Funds. The distribution and service fees paid to the Distributor may be used by the Distributor to pay for activities primarily intended to result in the sale of Class A or Class C Shares of the Funds.

In addition, the Distributor is entitled to receive commission on the sales of Class A Shares. For the period ended December 31, 2015, the Distributor received approximately $37,635 from commissions earned on sales of Class A Shares. A $15 redemption fee may be charged for redemptions made by wire. The redemption fee is paid directly to and retained by the Funds, and is designed to deter excessive short-term trading and to offset brokerage commissions, market impact and other costs that may be associated with short- term money movement in and out of the Funds.

The Adviser has entered into contractual expense limitation agreements with certain Funds. Under the terms of the agreements, to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the annual expense limits as listed below for such classes of the Fund, such excess amount will be the liability of the Adviser. Interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limitation agreement. As of December 31, 2015, the expense limits are as follows:

	In Effect Until At Least October 31, 2017
	Class A			Class C			Class I
Victory CEMP US 500 Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%
Victory CEMP US Small Cap Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%
Victory CEMP International Volatility Wtd Index Fund		1.10	%		1.85	%		0.85	%
Victory CEMP Emerging Market Volatility Wtd Index Fund		1.15	%		1.90	%		0.90	%
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%
Victory CEMP International Enhanced Volatility Wtd Index Fund		1.10	%		1.85	%		0.85	%

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	In Effect Until At Least October 31, 2017
	Class A			Class C			Class I
Victory CEMP REC Enhanced Volatility Wtd Index Fund		1.46	%		2.21	%		1.21	%
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		1.10	%		1.85	%		0.85	%
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		1.10	%		1.85	%		0.85	%
Victory CEMP Long/Short Strategy Fund		1.45	%		2.20	%		1.20	%
Victory CEMP Market Neutral Income Fund		0.90	%		1.65	%		0.65	%
Victory CEMP Enhanced Fixed Income Fund		0.71	%		1.46	%		0.46	%

The Funds have agreed to repay fees that were waived or reimbursed by the Adviser for a period up to three fiscal years after such waiver or reimbursement was made. Such repayments shall be made only to the extent that such repayments would not cause current annualized operating expenses of the Fund to exceed the original expense limit for the applicable period. As of December 31, 2015, the following amounts are available to be repaid to the Adviser. Amounts repaid to the Adviser during the year, if any, are reflected on the Statements of Operations as "Recoupment of prior expenses waiver/reimbursed by Adviser".

Fund	Amount Waived or Reimbursed Available to Recoup		Expires June 30,
Victory CEMP US 500 Volatility Wtd Index Fund	$	22,927		2016
Victory CEMP US 500 Volatility Wtd Index Fund		60,111		2017
Victory CEMP US 500 Volatility Wtd Index Fund		97,927		2018
Victory CEMP US 500 Volatility Wtd Index Fund		61,903		2019
Victory CEMP US Small Cap Volatility Wtd Index Fund	$	20,528		2016
Victory CEMP US Small Cap Volatility Wtd Index Fund		62,236		2017
Victory CEMP US Small Cap Volatility Wtd Index Fund		65,552		2018
Victory CEMP US Small Cap Volatility Wtd Index Fund		43,413		2019
Victory CEMP International Volatility Wtd Index Fund	$	109,220		2016
Victory CEMP International Volatility Wtd Index Fund		156,294		2017
Victory CEMP International Volatility Wtd Index Fund		177,626		2018
Victory CEMP International Volatility Wtd Index Fund		86,379		2019
Victory CEMP Emerging Market Volatility Wtd Index Fund	$	150,002		2016
Victory CEMP Emerging Market Volatility Wtd Index Fund		282,199		2017
Victory CEMP Emerging Market Volatility Wtd Index Fund		245,843		2018
Victory CEMP Emerging Market Volatility Wtd Index Fund		121,680		2019
Victory CEMP REC Enhanced Volatility Wtd Index Fund	$	10,798		2016
Victory CEMP REC Enhanced Volatility Wtd Index Fund		55,433		2017
Victory CEMP REC Enhanced Volatility Wtd Index Fund		69,609		2018
Victory CEMP REC Enhanced Volatility Wtd Index Fund		36,430		2019
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund	$	23,076		2016
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		113,611		2017
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		351,266		2018
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		262,133		2019

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Fund	Amount Waived or Reimbursed Available to Recoup		Expires June 30,
Victory CEMP Long/Short Strategy Fund	$	14,806		2016
Victory CEMP Long/Short Strategy Fund		44,987		2017
Victory CEMP Long/Short Strategy Fund		61,653		2018
Victory CEMP Long/Short Strategy Fund		35,953		2019
Victory CEMP International Enhanced Volatility Wtd Index Fund	$	130,961		2016
Victory CEMP International Enhanced Volatility Wtd Index Fund		214,072		2017
Victory CEMP International Enhanced Volatility Wtd Index Fund		281,326		2018
Victory CEMP International Enhanced Volatility Wtd Index Fund		159,522		2019
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund	$	14,579		2016
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		59,019		2017
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		33,501		2018
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		21,840		2019
Victory CEMP Commodity Volatility Wtd Index Strategy Fund	$	13,511		2016
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		49,104		2017
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		47,451		2018
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		30,111		2019
Victory CEMP Market Neutral Income Fund	$	13,054		2016
Victory CEMP Market Neutral Income Fund		43,172		2017
Victory CEMP Market Neutral Income Fund		95,075		2018
Victory CEMP Market Neutral Income Fund		89,878		2019
Victory CEMP Enhanced Fixed Income Fund	$	24,387		2016
Victory CEMP Enhanced Fixed Income Fund		55,861		2017
Victory CEMP Enhanced Fixed Income Fund		56,961		2018
Victory CEMP Enhanced Fixed Income Fund		34,235		2019
Victory CEMP Ultra Short Term Fixed Income Fund	$	17,354		2016
Victory CEMP Ultra Short Term Fixed Income Fund		71,367		2017
Victory CEMP Ultra Short Term Fixed Income Fund		62,903		2018
Victory CEMP Ultra Short Term Fixed Income Fund		36,992		2019
Balanced Fund	$	26,758		2019
Growth Fund	$	7,117		2017
Growth Fund		21,061		2018
Growth Fund		20,355		2019
Alternative Strategies Fund	$	22,842		2017
Alternative Strategies Fund		36,386		2018
Alternative Strategies Fund		48,427		2019

The Adviser, Citi, or other service providers may voluntarily waiver or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time. For the six months ended December 31, 2015, Victory CEMP Ultra Short Term Fixed Income Fund, Balanced Fund, Growth Fund and Alternative Strategies Fund waived fees.

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5.  Risks:

Each Fund may be subject to other risks in addition to these identified risks.

The Victory CEMP International Volatility Wtd Index Fund, Victory CEMP Emerging Market Volatility Wtd Index Fund and Victory International Enhanced Volatility Wtd Index Fund invests in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised and continue to exercise substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers, and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital re-investment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographical composition, as relevant.

The Funds will be subject to credit risk with respect to the amount each expects to receive from counterparties to financial instruments entered into by the Funds. The Funds may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. The Funds may experience significant delays in obtaining any recovery in bankruptcy or other reorganization proceeding and the Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit ratings are investment grade, as determined by a nationally recognized statistical rating organization or, if unrated, judged by the Adviser to be of comparable quality.

6.  Line of Credit:

On November 2, 2015, the Trust, Victory Portfolios, Victory Variable Insurance Funds and Victory Institutional Funds (collectively, the "Trusts"), participate in a short-term, demand note "Line of Credit" agreement with Citibank N.A. ("Citibank"). Under the agreement with Citibank, the Trusts may borrow up to $100 million, of which $50 million is committed and $50 million is uncommitted. The purpose of the agreement is to meet temporary or emergency cash needs, including redemption requests that might otherwise require the untimely disposition of securities. Citibank receives an annual commitment fee of 0.10% on $50 million for providing the Line of Credit. For the six months ended December 31, 2015, Citibank earned from the Trusts approximately $25,000 for Line of Credit Fees. Each fund covered by the facility pays a pro-rata portion of this commitment fee plus any interest on amounts borrowed. During the six months ended December 31, 2015, the Funds had no loans outstanding.

Prior to November 2, 2015, the Trust participated in a $15 million secured Revolving Credit Agreement (the "Agreement") with U.S. Bank, National Association ("U.S. Bank"). Under the terms of the Agreement, each Fund could not exceed the limit on borrowing money set forth in the Registration Statement of that Fund and the borrowing were used only for temporary or emergency purposes including the financing of redemptions. Interest was charged to each Fund based on the prevailing market rates in effect at the time of the borrowing. The Funds collateralized the borrowings with certain securities the Funds held at the time of borrowing. During the six months ended December 31, 2015, the Funds had no loans outstanding.

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7.  Securities Lending:

Prior to November 2, 2015, the Trust was a party to a securities lending arrangement with U.S. Bank National Association (the "Agent"). Under the terms of the agreement, the Funds were authorized to loan securities to certain broker dealers and banks that had securities lending agreements with the Agent. In exchange, the Funds receive cash collateral in the amount of at least 102% of the value of securities loaned or at least 105% of the value of foreign securities loaned. The cash collateral was invested during the period in short-term instruments. Securities lending income is disclosed in the Funds' Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. The agreement provided that the Funds received a guaranteed amount in securities lending revenue annually. As of December 31, 2015, the Trust has no securities lending arrangements with any Agents.

8.  Federal Income Tax Information:

The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid):

For the period ended June 30, 2015:

	Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Victory CEMP US 500 Volatility Wtd Index Fund	$	1,456,002	$	2,500,477	$	—	$	3,956,479
Victory CEMP US Small Cap Volatility Wtd Index Fund		699,927		754,613		—		1,454,540
Victory CEMP International Volatility Wtd Index Fund		1,503,506		919,483		—		2,422,989
Victory CEMP Emerging Market Volatility Wtd Index Fund		213,447		—		—		213,447
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		4,530,652		7,562,282		—		12,092,934
Victory CEMP International Enhanced Volatility Wtd Index Fund		3,409,955		1,058,085		—		4,468,040
Victory CEMP REC Enhanced Volatility Wtd Index Fund		866,949		10,942		—		877,891
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		1,456,795		2,059		—		1,458,854
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		121,605		—		—		121,605
Victory CEMP Long/Short Strategy Fund		128,698		23,882		—		152,580
Victory CEMP Market Neutral Income Fund		1,845,581		—		—		1,845,581
Victory CEMP Enhanced Fixed Income Fund		799,648		—		—		799,648
Victory CEMP Ultra Short Term Fixed Income Fund		75,002		—		—		75,002
Balanced Fund		3,031,185		123,909		—		3,155,094
Growth Fund		2,376,188		537,928		—		2,914,116
Alternative Strategies Fund		1,233,716		—		—		1,233,716

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As of the most recent tax year ended June 30, 2015, the components of accumulated earnings / (deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Gains		Capital Loss Carry Forwards			Other Book/Tax Differences			Post October Loss and Late Year Loss			Unrealized Appreciation (Depreciation)			Total Accumulated Earnings (Deficits)
Victory CEMP US 500 Volatility Wtd Index Fund	$	4,498	$	2,608,871	$	—		$	—		$	—		$	3,851,028		$	6,464,397
Victory CEMP US Small Cap Volatility Wtd Index Fund		182,895		518,566		—			—			—			1,188,123			1,889,584
Victory CEMP International Volatility Wtd Index Fund		7,399		198		—			—			(260,258	)		255,623			2,962
Victory CEMP Emerging Market Volatility Wtd Index Fund		11,482		—		(166,065	)		—			(243,203	)		(521,615	)		(919,401	)
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		557,923		4,670,746		—			—			—			18,556,174			23,784,843
Victory CEMP International Enhanced Volatility Wtd Index Fund		168,344		—		(208,826	)		—			(940,029	)		(360,437	)		(1,340,948	)
Victory CEMP REC Enhanced Volatility Wtd Index Fund		1,228,716		760,794		—			—			—			(18,855	)		1,970,655
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		—		—		—			(3,428,915	)		(23,821	)		(3,538	)		(3,456,274	)
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		—		—		(73,166	)		(1,056,012	)		(28,348	)		2,013			(1,155,513	)
Victory CEMP Long/Short Strategy Fund		616,672		—		—			—			—			946,162			1,562,834
Victory CEMP Market Neutral Income Fund		32,980		—		—			—			(519,697	)		(2,365,939	)		(2,852,656	)
Victory CEMP Enhanced Fixed Income Fund		161,753		137,799		—			—			—			(72,323	)		227,229
Victory CEMP Ultra Short Term Fixed Income Fund		—		—		—			(436	)		(632	)		3,464			2,396
Balanced Fund		286,261		2,130,967		—			—			—			(78,570	)		2,338,658
Growth Fund		339,821		1,837,725		—			—			—			402,201			2,579,747
Alternative Strategies Fund		133,618		—		(4,235,649	)		—			—			(548,573	)		(4,650,604	)

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The difference between book basis and tax basis unrealized appreciation/(depreciation) is primarily attributable to the tax deferral of losses on wash sales, the mark-to-market on open futures contracts, passive foreign investment companies and the Funds' wholly-owned subsidiaries.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such capital losses as follows:

	Late Year Losses
Victory CEMP US 500 Volatility Wtd Index Fund	$	—
Victory CEMP US Small Cap Volatility Wtd Index Fund		—
Victory CEMP International Volatility Wtd Index Fund		—
Victory CEMP Emerging Market Volatility Wtd Index Fund		—
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		—
Victory CEMP International Enhanced Volatility Wtd Index Fund		—
Victory CEMP REC Enhanced Volatility Wtd Index Fund		—
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		19,463
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		27,332
Victory CEMP Long/Short Strategy Fund		—
Victory CEMP Market Neutral Income Fund		32,374
Victory CEMP Enhanced Fixed Income Fund		—
Victory CEMP Ultra Short Term Fixed Income Fund		—
Balanced Fund		—
Growth Fund		—
Alternative Strategies Fund		—

Under current tax law, capital ordinary losses realized after October 31 may be deferred and treated as occurring on the first business day of the following tax fiscal year. As of the most recent tax year ended June 30, 2015, the following Funds had deferred losses, which will be treated as arising on the first day of the tax fiscal years ending in June 30, 2016.

	Post October Losses
Victory CEMP US 500 Volatility Wtd Index Fund	$	—
Victory CEMP US Small Cap Volatility Wtd Index Fund		—
Victory CEMP International Volatility Wtd Index Fund		260,258
Victory CEMP Emerging Market Volatility Wtd Index Fund		243,203
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		—
Victory CEMP International Enhanced Volatility Wtd Index Fund		940,029
Victory CEMP REC Enhanced Volatility Wtd Index Fund		—
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		4,358
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund		1,016
Victory CEMP Long/Short Strategy Fund		—
Victory CEMP Market Neutral Income Fund		487,323
Victory CEMP Enhanced Fixed Income Fund		—
Victory CEMP Ultra Short Term Fixed Income Fund		632
Balanced Fund		—
Growth Fund		—
Alternative Strategies Fund		—

As of the most recent tax year ended June 30, 2015, the following Funds had net capital loss carryforwards ("CLCFS") as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or

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long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration.

	Expiring FYE	Short-Term		Long-Term		Total
Victory CEMP US 500 Volatility Wtd Index Fund		$	—	$	—	$	—
Victory CEMP US Small Cap Volatility Wtd Index Fund			—		—		—
Victory CEMP International Volatility Wtd Index Fund			—		—		—
Victory CEMP Emerging Market Volatility Wtd Index Fund	Non-expiring		100,600		65,465		166,065
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund			—		—		—
Victory CEMP International Enhanced Volatility Wtd Index Fund	Non-expiring		208,826		—		208,826
Victory CEMP REC Enhanced Volatility Wtd Index Fund			—		—		—
Victory CEMP Commodity Volatility Wtd Index Strategy Fund			—		—		—
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund	Non-expiring		73,166		—		73,166
Victory CEMP Long/Short Strategy Fund			—		—		—
Victory CEMP Market Neutral Income Fund			—		—		—
Victory CEMP Enhanced Fixed Income Fund			—		—		—
Victory CEMP Ultra Short Term Fixed Income Fund			—		—		—
Balanced Fund			—		—		—
Growth Fund			—		—		—
Alternative Strategies Fund	11/30/19		4,235,649		—		4,235,649

The cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation and net unrealized appreciation/depreciation as of December 31, 2015 were as follows:

	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Victory CEMP US 500 Volatility Wtd Index Fund	$	27,002,393	$	4,242,060	$	(1,532,023	)	$	2,710,037
Victory CEMP US Small Cap Volatility Wtd Index Fund		7,193,780		576,428		(446,665	)		129,763
Victory CEMP International Volatility Wtd Index Fund		8,660,733		640,209		(781,785	)		(141,576	)
Victory CEMP Emerging Market Volatility Wtd Index Fund		14,232,096		122,146		(2,472,921	)		(2,350,775	)
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund		182,209,402		21,737,053		(10,366,034	)		11,371,019
Victory CEMP International Enhanced Volatility Wtd Index Fund		35,148,183		731,972		(1,473,687	)		(741,715	)
Victory CEMP REC Enhanced Volatility Wtd Index Fund		9,250,981		201,194		(133,323	)		67,871
Victory CEMP Commodity Volatility Wtd Index Strategy Fund		8,315,043		162,127		(160,851	)		1,276

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  (Unaudited)

	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund	$	5,386,557	$	109,371	$	(108,459	)	$	912
Victory CEMP Long/Short Strategy Fund		13,919,172		1,295,243		(547,850	)		747,393
Victory CEMP Market Neutral Income Fund		64,813,168		1,505,596		(6,887,348	)		(5,381,752	)
Victory CEMP Enhanced Fixed Income Fund		3,149,194		2,648		(2,675	)		(27	)
Victory CEMP Ultra Short Term Fixed Income Fund		10,398,665		2,989		(150	)		2,839
Balanced Fund		30,564,919		81,672		(2,230,243	)		(2,148,571	)
Growth Fund		16,344,352		—		(201,713	)		(201,713	)
Alternative Strategies Fund		30,516,677		—		(2,760,971	)		(2,760,971	)

9.  Affiliated Funds

The term "affiliated company" includes funds which are managed by VCM which are affiliates of the Funds'. Transactions during the period ended December 31, 2015 with funds which are affiliates are as follows:

			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Victory CEMP Ultra Short Term Fixed Income Fund — Class I	$	479,132		—	$	—		(47,913	)	$	(479,132	)	$	—	$	572	$	—
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Victory CEMP Ultra Short Term Fixed Income Fund — Class I	$	366,705		—	$	—		(36,670	)	$	(366,705	)	$	—	$	442	$	—
Victory CEMP Enhanced Fixed Income Fund
Victory CEMP Ultra Short Term Fixed Income Fund — Class I	$	841,037		—	$	—		(84,104	)	$	(841,037	)	$	—	$	1,059	$	—
Balanced Fund
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund — Class I	$	1,193,591		4,324	$	33,280		(28,205	)	$	(264,374	)	$	867,550	$	—	$	(41,908	)

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			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP Commodity Volatility Wtd Index Strategy Fund — Class I	$	1,192,910		6,695	$	40,689		(30,278	)	$	(277,726	)	$	866,447	$	—	$	(87,662	)
Victory CEMP Developed Enhanced Volatility Wtd Index ETF		43,725		120		3,961		(452	)		(16,428	)		28,184		269		(1,885	)
Victory CEMP Emerging Market Volatility Wtd Index Fund — Class I		1,087,310		2,057		17,777		(12,313	)		(125,121	)		819,351		7,674		(19,809	)
Victory CEMP Enhanced Fixed Income Fund — Class I		3,801,024		—		—		(384,716	)		(3,770,248	)		—		—		23,568
Victory CEMP International Enhanced Volatility Wtd Index Fund — Class I		4,336,451		5,790		59,244		(65,480	)		(763,918	)		3,246,618		14,195		(82,814	)
Victory CEMP International High Div Volatility Wtd Index ETF		—		1,735		56,248		(150	)		(5,023	)		51,196		36		(209	)
Victory CEMP International Volatility Wtd Index ETF		—		1,620		54,659		(100	)		(3,360	)		51,239		22		(125	)
Victory CEMP International Volatility Wtd Index Fund — Class I		3,282,614		3,578		38,711		(60,108	)		(721,432	)		2,440,374		13,152		(65,465	)
Victory CEMP Long/Short Strategy Index Fund — Class I		2,727,880		—		—		(64,094	)		(690,927	)		1,875,082		80,068		32,819

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December 31, 2015

  (Unaudited)

			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP Market Neutral Income Fund — Class I	$	8,764,117		408,468	$	3,909,003		(313,107	)	$	(3,136,677	)	$	9,398,109	$	87,281	$	64,690
Victory CEMP REC Enhanced Volatility Wtd Index Fund — Class I		1,576,474		14,670		143,222		(37,028	)		(408,294	)		1,082,717		149,119		77,383
Victory CEMP US 500 Enhanced Volatility Wtd Index ETF		1,383,500		72		2,629		(13,587	)		(485,416	)		862,085		8,500		8,685
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund — Class I		2,784,588		—		—		(51,143	)		(665,757	)		1,931,290		16,992		117,554
Victory CEMP US 500 Volatility Wtd Index ETF		2,092,820		—		—		(20,813	)		(743,242	)		1,293,060		11,816		14,502
Victory CEMP US 500 Volatility Wtd Index Fund — Class I		2,087,128		—		—		(39,658	)		(511,846	)		1,365,787		8,708		162,573
Victory CEMP US Discovery Enhanced Volatility Wtd Index ETF		708,211		—		—		(5,631	)		(209,252	)		429,491		3,319		(4,786	)
Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF		1,359,941		912		32,857		(24,571	)		(894,336	)		522,827		20,557		(15,751	)
Victory CEMP US Large Cap High Div Volatility Wtd Index ETF		—		1,659		57,147		(175	)		(5,836	)		51,079		61		(8	)

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			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP US Small Cap High Div Volatility Wtd Index ETF	$	—		1,547	$	51,243		—		$	—		$	50,912	$	86	$	—
Victory CEMP US Small Cap Volatility Wtd Index ETF		—		1,722		57,020		(175	)		(5,770	)		50,958		34		(163	)
Victory CEMP US Small Cap Volatility Wtd Index Fund — Class I		714,375		—		—		(12,913	)		(173,696	)		459,079		11,611		29,785
	$	39,136,659		454,969	$	4,557,690		(1,164,697	)	$	(13,878,679	)	$	27,743,435	$	433,500	$	210,974
Growth Fund
Victory CEMP Developed Enhanced Volatility Wtd Index ETF	$	7,104		19,266	$	614,537		(19,466	)	$	(621,207	)	$	—	$	1,722	$	(3,870	)
Victory CEMP Emerging Market Volatility Wtd Index Fund — Class I		798,020		—		—		(80,689	)		(799,872	)		—		5,632		(124,558	)
Victory CEMP International Enhanced Volatility Wtd Index Fund — Class I		2,920,593		—		—		(257,775	)		(2,868,284	)		—		8,212		(227,257	)
Victory CEMP International High Div Volatility Wtd Index ETF		—		97,418		3,212,727		(3,197	)		(106,164	)		3,043,338		7,186		(1,112	)
Victory CEMP International Volatility Wtd Index Fund — Class I		2,342,106		—		—		(204,909	)		(2,408,727	)		—		8,864		(188,883	)
Victory CEMP US 500 Enhanced Volatility Wtd Index ETF		1,016,083		—		—		(27,641	)		(1,008,130	)		—		5,278		(5,100	)

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December 31, 2015

  (Unaudited)

			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund — Class I	$	1,998,148		—	$	—		(141,212	)	$	(1,776,247	)	$	—	$	6,980	$	198,459
Victory CEMP US 500 Volatility Wtd Index ETF		1,568,843		—		—		(42,678	)		(1,515,649	)		—		7,683		34,580
Victory CEMP US 500 Volatility Wtd Index Fund — Class I		1,525,034		—		—		(110,510	)		(1,398,541	)		—		5,867		107,414
Victory CEMP US Discovery Enhanced Volatility Wtd Index ETF		536,432		—		—		(13,681	)		(503,433	)		—		2,321		(16,315	)
Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF		999,238		66,694		2,397,855		(25,264	)		(915,017	)		2,463,223		18,430		(15,842	)
Victory CEMP US Large Cap High Div Volatility Wtd Index ETF		—		91,967		3,220,295		(3,054	)		(107,032	)		3,060,385		6,272		(1,395	)
Victory CEMP US Small Cap Volatility Wtd Index ETF		—		1,170		41,008		(1,170	)		(41,008	)		—		88		(852	)
Victory CEMP US Small Cap High Div Volatility Wtd Index ETF		—		33,618		1,135,886		(1,919	)		(66,245	)		1,043,214		5,611		(2,218	)
Victory CEMP US Small Cap Volatility Wtd Index Fund — Class I		518,510		3,698		49,624		(41,187	)		(552,057	)		—		7,170		(8,035	)
	$	14,230,111		313,831	$	10,671,932		(974,352	)	$	(14,687,613	)	$	9,610,160	$	97,316	$	(254,984	)

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  (Unaudited)

			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Alternative Strategies Fund
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund — Class I	$	4,151,057		—	$	—		(120,923	)	$	(1,138,084	)	$	2,731,287	$	—	$	(185,763	)
Victory CEMP Commodity Volatility Wtd Index Strategy Fund — Class I		4,232,244		909		5,493		(142,766	)		(1,301,203	)		2,727,825		—		(402,363	)
Victory CEMP Developed Enhanced Volatility Wtd Index ETF		658,079		—		—		(18,527	)		(643,935	)		—		2,043		(45,622	)
Victory CEMP International Enhanced Volatility Wtd Index Fund — Class I		3,742,554		—		—		(330,320	)		(3,680,144	)		—		9,570		(268,121	)
Victory CEMP Long/Short Strategy Index Fund — Class I		9,514,184		458,306		5,165,098		(286,942	)		(3,157,395	)		10,756,630		442,520		98,419
Victory CEMP Market Neutral Income Fund — Class I		7,082,415		762,110		7,293,369		(318,759	)		(3,133,395	)		10,957,306		81,462		161,884
Victory CEMP REC Enhanced Volatility Wtd Index Fund — Class I		5,695,592		—		—		(500,490	)		(5,556,584	)		—		6,401		(31,365	)
Victory CEMP US 500 Enhanced Volatility Wtd Index ETF		1,230,394		—		—		(33,471	)		(1,167,385	)		—		2,948		53,702
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund — Class I		3,046,174		—		—		(214,925	)		(2,652,175	)		—		6,242		365,704

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  (Unaudited)

			Purchased				Sold
	Value at June 30, 2015		Shares		Cost		Shares			Proceeds			Value at December 31, 2015		Dividend Income		Net Realized Gains (Losses)
Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF	$	1,232,149		—	$	—		(34,836	)	$	(1,214,644	)	$	—	$	9,123	$	37,228
	$	40,584,842		1,221,325	$	12,463,960		(2,001,959	)	$	(23,644,944	)	$	27,173,048	$	560,309	$	(216,297	)

10.  Change in Accounting Policy:

During the year ended November 30, 2013 and the period ended June 30, 2014, the Alternative Fund had a controlling interest in each of the Compass EMP Long Short Strategies Fund, Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund and the Compass EMP Commodity Strategies Volatility Weighted Fund. The Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund and the Compass EMP Commodity Strategies Volatility Weighted Fund each have investments in wholly owned CFCs and report their financial statements on a consolidated basis with their respective wholly owned CFCs. As a result of this controlling interest the Financial Statements of the Alternative Fund included the Compass EMP Long Short Strategies Fund, Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund (and its respective CFC) and the Compass EMP Commodity Strategies Volatility Weighted Fund (and its respective CFC).

On July 1, 2014, the Board made the determination that the financial presentation that would be most meaningful to shareholders going forward for the Alternative Fund was on an unconsolidated basis as the financials of the Compass EMP Long Short Strategies Fund, Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund (and its respective CFC) and the Compass EMP Commodity Strategies Volatility Weighted Fund (and its respective CFC) were now presented in the same report. Previously the Alternative Fund had a fiscal year end of November 30th and presented its financials in a separate report from the other Funds in which it had a controlling interest.

As a result on July 1, 2014, the Financial Statements of the Compass EMP Long Short Strategies Fund, Compass EMP Commodity Strategies Enhanced Volatility Weighted Fund (and its respective CFC) and the Compass EMP Commodity Strategies Volatility Weighted Fund (and its respective CFC) were deconsolidated. The non-controlling interest on the date of deconsolidation was $16,677,714. As a result of Board determination, the 2014 Statement of Changes in Net Assets and the Seven Month Period Ended June 30, 2014 of the Financial Highlights have been changed from the prior audited amounts, to not include the consolidation.

The Statements of Assets and Liabilities as of June 30, 2014 and November 30, 2013, the Statements of Operations for the periods ended June 30, 2014 and November 30, 2013 and the Statements of Changes in Net Assets for the periods ended June 30, 2014 and November 30, 2013 are not presented herein as the periods are no longer required to be disclosed in the financial statements.

228

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A summary of the effects of the change in accounting policy to the Financial Highlights is as follows:

Financial Highlights for the period ended June 30, 2014

	Previously Reported			Restated
Class A
Net Asset Value, Beginning of Period		10.07			10.07
Net Investment Income (Loss)		0.03			0.06
Net realized and unrealized gain (loss)		0.66			0.45
Total income(loss) from investment operations		0.69			0.51
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		(0.18	)		—
Net Asset Value, End of Period		10.58			10.58
Total Return (%)		5.06	%		5.06	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		1.73	%		0.59	%
After fees waived and expenses absorbed/recouped		1.47	%		0.50	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		0.31	%		0.94	%
After fees waived and expenses absorbed/recouped		0.57	%		1.03	%
Class C
Net Asset Value, Beginning of Period		9.82			9.82
Net Investment Income (Loss)		(0.01	)		0.02
Net realized and unrealized gain (loss)		0.64			0.43
Total income(loss) from investment operations		0.63			0.45
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		(0.18	)		—
Net Asset Value, End of Period		10.27			10.27
Total Return (%)		4.58	%		4.58	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		2.48	%		1.34	%
After fees waived and expenses absorbed/recouped		2.22	%		1.25	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		(0.41	)%		0.22	%
After fees waived and expenses absorbed/recouped		(0.15	)%		0.31	%

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  (Unaudited)

Financial Highlights for the period ended June 30, 2014 (continued)

	Previously Reported			Restated
Class T
Net Asset Value, Beginning of Period		9.98			9.98
Net Investment Income (Loss)		0.02			0.05
Net realized and unrealized gain (loss)		0.65			0.44
Total income(loss) from investment operations		0.67			0.49
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		(0.18	)		—
Net Asset Value, End of Period		10.47			10.47
Total Return (%)		4.91	%		4.91	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		1.98	%		0.84	%
After fees waived and expenses absorbed/recouped		1.72	%		0.75	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		0.07	%		0.69	%
After fees waived and expenses absorbed/recouped		0.33	%		0.78	%

Financial Highlights for the period ended November 30, 2013

	Previously Reported			Restated
Class A
Net Asset Value, Beginning of Period		9.69			9.69
Net Investment Income (Loss)		(0.04	)		(0.02	)
Net realized and unrealized gain (loss)		0.38			0.40
Total income(loss) from investment operations		0.34			0.38
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		0.04			—
Net Asset Value, End of Period		10.07			10.07
Total Return (%)		3.92	%		3.92	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		1.68	%		1.19	%
After fees waived and expenses absorbed/recouped		1.61	%		1.19	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		(0.46	)%		(0.25	)%
After fees waived and expenses absorbed/recouped		(0.39	)%		(0.25	)%

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  (Unaudited)

Financial Highlights for the period ended November 30, 2013 (continued)

	Previously Reported			Restated
Class C
Net Asset Value, Beginning of Period		9.51			9.51
Net Investment Income (Loss)		(0.11	)		(0.09	)
Net realized and unrealized gain (loss)		0.38			0.40
Total income(loss) from investment operations		0.27			0.31
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		0.04			—
Net Asset Value, End of Period		9.82			9.82
Total Return (%)		3.26	%		3.26	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		2.43	%		1.94	%
After fees waived and expenses absorbed/recouped		2.36	%		1.94	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		(1.21	)%		(1.00	)%
After fees waived and expenses absorbed/recouped		(1.14	)%		(1.00	)%
Class T
Net Asset Value, Beginning of Period		9.62			9.62
Net Investment Income (Loss)		(0.06	)		(0.04	)
Net realized and unrealized gain (loss)		0.38			0.40
Total income(loss) from investment operations		0.32			0.36
Distributions to shareholders from:
Net Investment Income		—			—
Return of Capital		—			—
Total Distributions		—			—
Less (gain) loss attributable to non-controlling interest		0.04			—
Net Asset Value, End of Period		9.98			9.98
Total Return (%)		3.74	%		3.74	%
Ratios of expenses to average net assets:
Before fees waived and expenses absorbed/recouped		1.93	%		1.37	%
After fees waived and expenses absorbed/recouped		1.86	%		1.37	%
Ratios of net investment income (loss) to average net assets:
Before fees waived and expenses absorbed/recouped		(0.71	)%		(0.50	)%
After fees waived and expenses absorbed/recouped		(0.64	)%		(0.50	)%

231

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Trustee and Officer Information

Board of Trustees:

Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently eight Trustees, seven of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.

The following tables list the Trustees, their ages, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 26 portfolios in the Trust, one portfolio in Victory Variable Insurance Funds, one portfolio in Victory Institutional Funds and 25 portfolios in Victory Portfolios II, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. Each Trustee's address is c/o Victory Portfolios, 3435 Stelzer Road, Columbus, Ohio 43219. Each Trustee has an indefinite term.

Name and Age	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
Independent Trustees.
David Brooks Adcock, 64	Trustee	May 2015	Consultant (since 2006).	FBR Funds (2011-2012).
Nigel D. T. Andrews, 68	Vice Chair and Trustee	May 2015	Retired.	Carlyle GMS Finance, Inc. (since 2012); Old Mutual plc. (2002-2011); Old Mutual US Asset Management (2002-2014).
E. Lee Beard, 64	Trustee	May 2015	Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).	Penn Millers Holding Corporation (January 2011-November 2011).
Sally M. Dungan, 61	Trustee	May 2015	Chief Investment Officer, Tufts University (since 2002).	ProCredit Holding Supervisory Board (2006-2011).

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Name and Age	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, 62	Trustee	May 2015	Bulk physical commodities broker, Endgate Commodities LLC (since 2014); Chief Operating Officer, Liquidnet Holdings, Inc. (2011-2014); Managing Member, Crossroad LLC (Consultants) (2009-2011).	Director, Caledonia Mining Corporation (since May 2012); Managing Member, Crossroad LLC (since May 2009).
David L. Meyer, 58	Trustee	May 2015	Retired.	None.
Leigh A. Wilson, 71	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013) and Director (since 2012 and March-October 2008), Caledonia Mining Corporation; Director, The Mutual Fund Directors Forum (2004-2013).
Interested Trustee.
David C. Brown, 43	Trustee	May 2015	Chief Executive Officer (since August 2013), Co-Chief Executive Officer (2011-2013), President — Investments and Operations (2010-2011) and Chief Operating Officer (2004-2011), the Adviser; Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	None.

Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.

The Board has designated Mr. Meyer and Ms. Beard as its Audit Committee Financial Experts.

The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.

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Officers:

The officers of the Trust, their ages, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each individual holds the same position with the other registered investment companies in the Victory Fund Complex, and each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 3435 Stelzer Road, Columbus, Ohio 43219. Except for the Chief Compliance Officer, the officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.

Name and Age	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, 54	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, 46	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, 42	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Christopher A. Ponte, 31	Treasurer	May 2015	Senior Analyst, Fund Administration, the Adviser; Registered Principal, Victory Capital Advisers, Inc. (since 2011).
Edward J. Veilleux, 72	Chief Compliance Officer	May 2015	President of EJV Financial Services (mutual fund consulting).
Chuck Booth, 55	Anti-Money Laundering Compliance Officer and Identity Theft Officer	May 2015	Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc.
Jay G. Baris, 62	Assistant Secretary	May 2015	Partner, Morrison & Foerster LLP (since 2011).

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Proxy Voting and Form N-Q Information

Proxy Voting:

Information regarding the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the Securities and Exchange Commission's ("SEC") website at www.sec.gov.

Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent twelve months ended June 30 is available on the SEC's website at www.sec.gov.

Availability of Schedules of Investments:

The Trust files a complete list of schedules of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's website at www.sec.gov. You may also review or, for a fee, copy those documents by visiting the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room can be obtained by calling the SEC at 202-551-8090.

Expense Examples

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (unless otherwise noted) from July 1, 2015, through December 31, 2015.

Actual Expenses:

The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

	Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15-12/31/15		Expense Ratio During Period** 7/1/15-12/31/15
Victory CEMP US 500 Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	978.20	$	4.92		0.99	%
Class C Shares		1,000.00		974.50		8.64		1.74	%
Class I Shares		1,000.00		978.70		3.68		0.74	%
Victory CEMP US Small Cap Volatility Wtd Index Fund
Class A Shares		1,000.00		932.40		4.81		0.99	%
Class C Shares		1,000.00		929.20		8.44		1.74	%
Class I Shares		1,000.00		933.20		3.60		0.74	%
Victory CEMP International Volatility Wtd Index Fund
Class A Shares		1,000.00		927.90		5.33		1.10	%
Class C Shares		1,000.00		924.20		8.95		1.85	%
Class I Shares		1,000.00		930.10		4.12		0.85	%
Victory CEMP Emerging Market Volatility Wtd Index Fund
Class A Shares		1,000.00		838.40		5.31		1.15	%
Class C Shares		1,000.00		834.40		8.76		1.90	%
Class I Shares		1,000.00		838.20		4.16		0.90	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

**  Annualized

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	Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15-12/31/15		Expense Ratio During Period** 7/1/15-12/31/15
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	977.40	$	4.92		0.99	%
Class C Shares		1,000.00		973.60		8.63		1.74	%
Class I Shares		1,000.00		977.90		3.68		0.74	%
Victory CEMP International Enhanced Volatility Wtd Index Fund
Class A Shares		1,000.00		890.10		5.23		1.10	%
Class C Shares		1,000.00		886.30		8.77		1.85	%
Class I Shares		1,000.00		890.50		4.04		0.85	%
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Class A Shares		1,000.00		995.20		7.07		1.41	%
Class C Shares		1,000.00		991.30		10.86		2.17	%
Class I Shares		1,000.00		994.80		5.77		1.15	%
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Class A Shares		1,000.00		843.30		5.10		1.10	%
Class C Shares		1,000.00		840.10		8.56		1.85	%
Class I Shares		1,000.00		844.00		3.94		0.85	%
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Class A Shares		1,000.00		875.10		5.18		1.10	%
Class C Shares		1,000.00		873.40		8.71		1.85	%
Class I Shares		1,000.00		877.90		4.01		0.85	%
Victory CEMP Long/Short Strategy Fund
Class A Shares		1,000.00		976.70		7.20		1.45	%
Class C Shares		1,000.00		974.10		10.92		2.20	%
Class I Shares		1,000.00		979.20		5.97		1.20	%
Victory CEMP Market Neutral Income Fund
Class A Shares		1,000.00		1,005.50		4.54		0.90	%
Class C Shares		1,000.00		1,002.10		8.30		1.65	%
Class I Shares		1,000.00		1,006.70		3.28		0.65	%
Victory CEMP Enhanced Fixed Income Fund
Class A Shares		1,000.00		992.20		3.56		0.71	%
Class C Shares		1,000.00		988.50		7.30		1.46	%
Class I Shares		1,000.00		992.10		2.30		0.46	%
Victory CEMP Ultra Short Term Fixed Income Fund
Class A Shares		1,000.00		999.50		2.51		0.50	%
Class I Shares		1,000.00		1,001.70		1.26		0.25	%
Balanced Fund
Class A Shares		1,000.00		958.10		2.46		0.50	%
Class C Shares		1,000.00		953.90		6.14		1.25	%
Growth Fund
Class A Shares		1,000.00		941.60		2.44		0.50	%
Class C Shares		1,000.00		938.20		6.09		1.25	%
Alternative Strategies Fund
Class A Shares		1,000.00		945.70		2.45		0.50	%
Class C Shares		1,000.00		942.50		6.10		1.25	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

**  Annualized

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Hypothetical Example for Comparison Purposes:

The table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do no reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15-12/31/15		Expense Ratio During Period** 7/1/15-12/31/15
Victory CEMP US 500 Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	1,020.16	$	5.03		0.99	%
Class C Shares		1,000.00		1,016.39		8.82		1.74	%
Class I Shares		1,000.00		1,021.42		3.76		0.74	%
Victory CEMP US Small Cap Volatility Wtd Index Fund
Class A Shares		1,000.00		1,020.16		5.03		0.99	%
Class C Shares		1,000.00		1,016.39		8.82		1.74	%
Class I Shares		1,000.00		1,021.42		3.76		0.74	%
Victory CEMP International Volatility Wtd Index Fund
Class A Shares		1,000.00		1,019.61		5.58		1.10	%
Class C Shares		1,000.00		1,015.84		9.37		1.85	%
Class I Shares		1,000.00		1,020.86		4.32		0.85	%
Victory CEMP Emerging Market Volatility Wtd Index Fund
Class A Shares		1,000.00		1,019.36		5.84		1.15	%
Class C Shares		1,000.00		1,015.58		9.63		1.90	%
Class I Shares		1,000.00		1,020.61		4.57		0.90	%
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund
Class A Shares		1,000.00		1,020.16		5.03		0.99	%
Class C Shares		1,000.00		1,016.39		8.82		1.74	%
Class I Shares		1,000.00		1,021.42		3.76		0.74	%
Victory CEMP International Enhanced Volatility Wtd Index Fund
Class A Shares		1,000.00		1,019.61		5.58		1.10	%
Class C Shares		1,000.00		1,015.84		9.37		1.85	%
Class I Shares		1,000.00		1,020.86		4.32		0.85	%
Victory CEMP REC Enhanced Volatility Wtd Index Fund
Class A Shares		1,000.00		1,018.05		7.15		1.41	%
Class C Shares		1,000.00		1,014.23		10.99		2.17	%
Class I Shares		1,000.00		1,019.36		5.84		1.15	%
Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Class A Shares		1,000.00		1,019.61		5.58		1.10	%
Class C Shares		1,000.00		1,015.84		9.34		1.85	%
Class I Shares		1,000.00		1,020.86		4.32		0.85	%
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund
Class A Shares		1,000.00		1,019.61		5.58		1.10	%
Class C Shares		1,000.00		1,015.84		9.34		1.85	%
Class I Shares		1,000.00		1,020.86		4.32		0.85	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

**  Annualized

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	Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15-12/31/15		Expense Ratio During Period** 7/1/15-12/31/15
Victory CEMP Long/Short Strategy Fund
Class A Shares	$	1,000.00	$	1,017.85	$	7.35		1.45	%
Class C Shares		1,000.00		1,014.08		11.14		2.20	%
Class I Shares		1,000.00		1,019.10		6.09		1.20	%
Victory CEMP Market Neutral Income Fund
Class A Shares		1,000.00		1,020.61		4.57		0.90	%
Class C Shares		1,000.00		1,016.84		8.36		1.65	%
Class I Shares		1,000.00		1,021.87		3.30		0.65	%
Victory CEMP Enhanced Fixed Income Fund
Class A Shares		1,000.00		1,021.57		3.61		0.71	%
Class C Shares		1,000.00		1,017.80		7.41		1.46	%
Class I Shares		1,000.00		1,022.82		2.34		0.46	%
Victory CEMP Ultra Short Term Fixed Income Fund
Class A Shares		1,000.00		1,022.62		2.54		0.50	%
Class I Shares		1,000.00		1,023.88		1.27		0.25	%
Balanced Fund
Class A Shares		1,000.00		1,022.62		2.54		0.50	%
Class C Shares		1,000.00		1,018.85		6.34		1.25	%
Growth Fund
Class A Shares		1,000.00		1,022.62		2.54		0.50	%
Class C Shares		1,000.00		1,018.85		6.34		1.25	%
Alternative Strategies Fund
Class A Shares		1,000.00		1,022.62		2.54		0.50	%
Class C Shares		1,000.00		1,018.85		6.34		1.25	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

**  Annualized

Change in Independent Registered Public Accounting Firm:

BBD LLP was previously the principal accountant for Compass EMP Funds. On August 19, 2015 that firm resigned and Cohen Fund Audit Services, LTD was engaged as principal accountants. The decision to change accountants was approved by the audit committee of the Board of Trustees.

During the fiscal year ended June 30, 2015, there were no: (1) disagreements with BBD LLP on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedures, which disagreements if not resolved to their satisfaction would have caused them to make reference in connection with their opinion to the subject matter of the disagreements, or (2) reportable events.

The audit reports of BBD LLP on the financial statements of Compass EMP Funds as of and for the year ended June 30, 2015 did not contain any adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope or accounting principles.

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Portfolio Holdings:

(As a Percentage of Total Investments)

Victory CEMP US 500 Volatility Wtd Index Fund	Victory CEMP US Small Cap Volatility Wtd Index Fund
Victory CEMP International Volatility Wtd Index Fund	Victory CEMP Emerging Market Volatility Wtd Index Fund
Victory CEMP US 500 Enhanced Volatility Wtd Index Fund	Victory CEMP International Enhanced Volatility Wtd Index Fund

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Victory CEMP REC Enhanced Volatility Wtd Index Fund	Victory CEMP Commodity Volatility Wtd Index Strategy Fund
Victory CEMP Commodity Enhanced Volatility Wtd Index Strategy Fund	Victory CEMP Long/Short Strategy Fund
Victory CEMP Market Neutral Income Fund	Victory CEMP Enhanced Fixed Income Fund

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Victory CEMP Ultra Short Term Fixed Income Fund	Victory CEMP Multi-Asset Balanced Fund
Victory CEMP Multi-Asset Growth Fund	Victory CEMP Alternative Strategies Fund

241

The Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593

Visit our website at:	Call Victory at:
www.compassempfunds.com	800-539-FUND (800-539-3863)

VP-COMPASS-SAR (12/15)

Item 2. Code of Ethics.

Not applicable — only for annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable — only for annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable — only for annual reports.

Item 5.   Audit Committee of Listed Registrants.

Not applicable.

Item 6.   Investments.

(a)           Not applicable.

(b)           Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

(a)(3) Not applicable.

(b)Certifications pursuant to Rule 30a-2(b) are furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant)		Victory Portfolios II
By (Signature and Title)*			/s/ Christopher A. Ponte
			Christopher A. Ponte, Principal Financial Officer
Date	March 1, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*			/s/ Christopher K. Dyer
			Christopher K. Dyer, Principal Executive Officer
Date	March 1, 2016
By (Signature and Title)*			/s/ Christopher A. Ponte
			Christopher A. Ponte, Principal Financial Officer
Date	March 1, 2016