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)
4900 Tiedeman Road, 4th Floor Brooklyn, OH					44144
(Address of principal executive offices)					(Zip code)
Christopher K. Dyer 4900 Tiedeman Road, 4th Floor Brooklyn, OH 44144
(Name and address of agent for service)
Registrant’s telephone number, including area code:				(216) 898-2411
Date of fiscal year end:	June 30
Date of reporting period:		December 31, 2016

Item 1. Reports to Stockholders.

December 31, 2016

Semi Annual Report

VictoryShares US 500 Volatility Wtd ETF
(formerly, Victory CEMP US 500 Volatility Wtd Index ETF)

VictoryShares US Discovery Enhanced Volatility Wtd ETF
(formerly, Victory CEMP Discovery Enhanced Volatility Wtd Index ETF)

VictoryShares US 500 Enhanced Volatility Wtd ETF
(formerly, Victory CEMP US 500 Enhanced Volatility Wtd Index ETF)

VictoryShares Developed Enhanced Volatility Wtd ETF
(formerly, Victory CEMP Developed Enhanced Volatility Wtd Index ETF)

VictoryShares US EQ Income Enhanced Volatility Wtd ETF
(formerly, Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF)

VictoryShares US Small Cap Volatility Wtd ETF
(formerly, Victory CEMP US Small Cap Volatility Wtd Index ETF)

VictoryShares International Volatility Wtd ETF
(formerly, Victory CEMP International Volatility Wtd Index ETF)

VictoryShares Emerging Market Volatility Wtd ETF
(formerly, Victory CEMP Emerging Market Volatility Wtd Index ETF)

VictoryShares US Large Cap High Div Volatility Wtd ETF
(formerly, Victory CEMP US Large Cap High Div Volatility Wtd
Index ETF)

VictoryShares US Small Cap High Div Volatility Wtd ETF
(formerly, Victory CEMP US Small Cap High Div Volatility Wtd
Index ETF)

VictoryShares International High Div Volatility Wtd ETF
(formerly, Victory CEMP International High Div Volatility Wtd Index ETF)

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Victory Portfolios II

Table of Contents

Shareholder Letter	5-6
Financial Statements
Victory Portfolios II Exchange Traded Funds
VictoryShares US 500 Volatility Wtd ETF
Schedule of Investments	7-20
Statements of Assets and Liabilities	113
Statements of Operations	117
Statements of Changes in Net Assets	121
Financial Highlights	132
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Schedule of Investments	21-34
Statements of Assets and Liabilities	113
Statements of Operations	117
Statements of Changes in Net Assets	122
Financial Highlights	133
VictoryShares US 500 Enhanced Volatility Wtd ETF
Schedule of Investments	35-48
Statements of Assets and Liabilities	113
Statements of Operations	117
Statements of Changes in Net Assets	123
Financial Highlights	134
VictoryShares Developed Enhanced Volatility Wtd ETF
Schedule of Investments	49-57
Statements of Assets and Liabilities	114
Statements of Operations	118
Statements of Changes in Net Assets	124
Financial Highlights	135
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Schedule of Investments	58-62
Statements of Assets and Liabilities	114
Statements of Operations	118
Statements of Changes in Net Assets	125
Financial Highlights	136
VictoryShares US Small Cap Volatility Wtd ETF
Schedule of Investments	63-76
Statements of Assets and Liabilities	114
Statements of Operations	118
Statements of Changes in Net Assets	126
Financial Highlights	137
VictoryShares International Volatility Wtd ETF
Schedule of Investments	77-87
Statements of Assets and Liabilities	115
Statements of Operations	119
Statements of Changes in Net Assets	127
Financial Highlights	138

1

Table of Contents (continued)

VictoryShares Emerging Market Volatility Wtd ETF
Schedule of Investments	88-99
Statements of Assets and Liabilities	115
Statements of Operations	119
Statements of Changes in Net Assets	128
Financial Highlights	139
VictoryShares US Large Cap High Div Volatility Wtd ETF
Schedule of Investments	100-103
Statements of Assets and Liabilities	115
Statements of Operations	119
Statements of Changes in Net Assets	129
Financial Highlights	140
VictoryShares US Small Cap High Div Volatility Wtd ETF
Schedule of Investments	104-108
Statements of Assets and Liabilities	116
Statements of Operations	120
Statements of Changes in Net Assets	130
Financial Highlights	141
VictoryShares International High Div Volatility Wtd ETF
Schedule of Investments	109-112
Statements of Assets and Liabilities	116
Statements of Operations	120
Statements of Changes in Net Assets	131
Financial Highlights	142
Notes to Financial Statements	143
Supplemental Information	161
Trustee and Officer Information	161
Additional Federal Income Tax Information	165
Proxy Voting and Form N-Q Information	169
Expense Examples	169
Portfolio Allocation	171-173
Frequency Distribution of Premiums & Discounts	174
Advisory Contract Approval	174-179

2

Table of Contents (continued)

The Victory Portfolios II ETFs are distributed by Quasar Distributors, LLC. 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 Victory Portfolios II ETFs.

For additional information about any Victory Portfolios II ETF, including fees, expenses, and risks, view our prospectus online at compassempetf.com or call 866-376-7890. Read it carefully before you invest or send money.

The information in this semi-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 ETFs, 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:

866-376-7890

Visit our website at:

www.compassempetf.com

3

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4

The Victory Funds Letter to Shareholders

Dear Shareholder,

As we head full-steam into 2017, we are brimming with excitement. For starters, we launched a new brand — VictoryShares — which builds on the success of the firm's Victory CEMP volatility-weighted ETFs. The names of the existing 11 Victory CEMP ETFs have been changed to reflect the VictoryShares branding. And in conjunction with the new brand, our next generation VictoryShares ETF platform will soon include new products that will track indexes developed in partnership with Nasdaq.

The CEMP investment team provided us with an enviable doorway into the ETF world, and now our VictoryShares platform carries that forward, boasting more than $1 billion in assets under management. This is an important benchmark, and we are poised to continue helping investors bridge the gap between the active and passive elements of their portfolios with new ETFs in the years ahead.

In terms of the general investment environment, we are closely monitoring the state of the markets and the seemingly heightened level of the political and economic risk. Investors perpetually appear to be waiting for the next big surprise. Maybe that's a reflection of an aging bull market. Or maybe it's persistent worries over growth rates in emerging markets or the specter of rising U.S. interest rates that finally appears to be here.

There are plenty of other issues to ponder as well. Investors have had to grapple with the fallout from the Brexit referendum, the surprising results of the U.S. presidential election, and even negative bond yields in several major global developed markets. All this activity simply underscores that investing today is no easy task, and there are many cross-currents that need deciphering.

Yet despite all the question marks and the now-fashionable anti-globalization rhetoric, it's important to remember that equity markets in the U.S., key global developed markets, and emerging markets all moved higher during the course of 2016. In fact, as 2016 drew to a close there was a fair bit of encouraging economic news. Domestically, we are benefitting from relatively strong personal consumption, continuing job creation, and even some wage growth. Solid employment and healthier finances are underpinning household spending, and the prospect of less regulation and fiscal stimulus in the U.S. helped fuel a robust post-U.S. election rally. Equities certainly ushered in 2017 on a positive note. Nevertheless, more volatility should be expected, and catalysts could come domestically or from any corner of the globe.

While markets will continue to provide tactical challenges for investors, we believe that maintaining a long-term view and maintaining a portfolio that is diversified across strategies and asset classes is still appropriate for investors seeking to weather market turbulence and achieve goals. Of this thinking, we have no doubt.

To help investors maintain their longer-term conviction, we are committed to offering an eclectic mix of investment products. In conjunction with our efforts, in July 2016 Victory Capital completed its acquisition of RS Investments (including the recently renamed Sophus Capital). The acquisition expands Victory Capital's

5

multi-boutique model to include 11 distinct investment franchises with $54.9 billion in assets under management and advisement as of December 31, 2016.

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 (866) 376-7890, 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

Must be preceded or accompanied by a Prospectus

Opinions expressed are subject to change, are not guaranteed and should not be considered investment advice.

Investments involve risk including possible loss of principal. ETFs have the same risks as the underlying securities traded on the exchange throughout the day. Redemptions are limited and often commissions are charged on each trade, and ETFs may trade at a premium or discount to their net asset value. The Funds are not actively managed and do not, therefore, seek returns in excess of their respective Index. The Funds' returns may not match the returns of their respective Index for a number of reasons, including: the Fund incurs operating expenses not applicable to the Index and incurs costs in buying and selling securities; the Fund may not be fully invested at times; differences in the valuation of securities and differences between the Fund's portfolio and the Index resulting from legal restrictions, cost, or liquidity constraints. The ETFs may invest in small and medium-sized companies. The earnings and prospects of these companies are more volatile than larger companies. Small and medium-sized companies may have limited markets, product lines, or financial resources and lack management experience and may experience higher failure rates than larger companies. In general the price of a fixed income security falls when interest rates rise. ETFs focused on high dividend strategies may not be successful. Dividend paying stocks may fall out of favor relative to the overall market. ETFs may invest in securities included in, or representative of securities included in, the index, regardless of their investment merits. ETFs with a foreign focus are subject to the special risks associated with investments in foreign markets which may include less liquidity, exchange rate risk, greater volatility, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.

One cannot invest directly in an index.

The ETFs are distributed by Quasar Distributors, LLC. Victory Capital Management Inc., the adviser to the ETFs, is not affiliated with Quasar Distributors, LLC.

6

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.8%)
Aerospace & Defense (2.9%):
B/E Aerospace, Inc.		3,455	$	207,956
General Dynamics Corporation		1,836		317,004
Huntington Ingalls Industries, Inc.		1,581		291,204
Lockheed Martin Corporation		1,472		367,912
Northrop Grumman Corporation		1,576		366,546
Orbital ATK, Inc.		1,821		159,756
Raytheon Company		2,219		315,098
Rockwell Collins, Inc.		3,026		280,692
Spirit AeroSystems Holdings, Inc. — Class A		3,830		223,481
Textron, Inc.		4,195		203,709
TransDigm Group, Inc.		598		148,878
United Technologies Corporation		2,744		300,797
				3,183,033
Air Freight & Logistics (0.9%):
CH Robinson Worldwide, Inc.		3,901		285,787
Expeditors International of Washington, Inc.		5,656		299,542
United Parcel Service, Inc. — Class B		3,493		400,438
				985,767
Airlines (1.0%):
Alaska Air Group, Inc.		2,333		207,007
American Airlines Group, Inc.		3,360		156,878
Delta Air Lines, Inc.		3,885		191,103
JetBlue Airways Corporation (a)		8,257		185,122
Southwest Airlines Company		4,208		209,727
United Continental Holdings, Inc. (a)		2,279		166,094
				1,115,931
Auto Components (0.7%):
BorgWarner, Inc.		3,563		140,525
Gentex Corporation		11,216		220,843
Johnson Controls International PLC		4,705		193,799
Lear Corporation		1,364		180,552
				735,719
Automobiles (0.7%):
Ford Motor Company		14,364		174,235
General Motors Company		6,579		229,213
Harley-Davidson, Inc.		2,483		144,858
Thor Industries, Inc.		2,419		242,021
				790,327
Banks (5.4%):
Bank of America Corporation		9,499		209,928
Bank of the Ozarks, Inc.		3,729		196,108
BB&T Corporation		5,413		254,519
BOK Financial Corporation		2,206		183,186
CIT Group, Inc.		4,147		176,994

See notes to financial statements.

7

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Banks (5.4%) cont'd
Citigroup, Inc.		3,060	$	181,856
Citizens Financial Group, Inc.		6,092		217,058
Comerica, Inc.		3,084		210,051
Commerce Bancshares, Inc.		4,806		277,832
Cullen/Frost Bankers, Inc.		1,888		166,578
East West Bancorp, Inc.		3,978		202,202
Fifth Third Bancorp		7,670		206,860
First Republic Bank		2,378		219,109
Huntington Bancshares, Inc.		15,799		208,863
JPMorgan Chase & Company		2,852		246,099
KeyCorp		13,910		254,136
M&T Bank Corporation		1,668		260,925
PacWest Bancorp		3,498		190,431
People's United Financial, Inc.		12,947		250,654
PNC Financial Services Group, Inc.		2,467		288,540
Regions Financial Corporation		14,418		207,042
Signature Bank (a)		1,358		203,972
SunTrust Banks, Inc.		3,791		207,936
SVB Financial Group (a)		1,036		177,840
U.S. Bancorp		5,243		269,333
Wells Fargo & Company		4,532		249,759
Zions Bancorporation		4,737		203,880
				5,921,691
Beverages (1.7%):
Brown-Forman Corporation — Class B		5,710		256,493
Constellation Brands, Inc. — Class A		1,394		213,714
Dr Pepper Snapple Group, Inc.		3,278		297,216
Molson Coors Brewing Company — Class B		2,251		219,045
Monster Beverage Corporation (a)		3,708		164,413
PepsiCo, Inc.		3,719		389,119
The Coca-Cola Company		8,354		346,357
				1,886,357
Biotechnology (0.9%):
AbbVie, Inc.		2,856		178,843
Amgen, Inc.		1,341		196,068
Biogen, Inc. (a)		438		124,208
Gilead Sciences, Inc.		2,222		159,117
Regeneron Pharmaceuticals, Inc. (a)		325		119,304
United Therapeutics Corporation (a)		1,120		160,642
				938,182
Building Products (0.9%):
AO Smith Corporation		4,200		198,870
Fortune Brands Home & Security, Inc.		3,679		196,679
Lennox International, Inc.		1,674		256,407
Masco Corporation		5,603		177,167
Owens Corning		3,899		201,032
				1,030,155

See notes to financial statements.

8

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Capital Markets (4.8%):
Affiliated Managers Group, Inc. (a)		911	$	132,368
Ameriprise Financial, Inc.		1,575		174,731
BlackRock, Inc.		500		190,270
CBOE Holdings, Inc.		4,142		306,052
Charles Schwab Corporation		4,384		173,037
CME Group, Inc.		2,414		278,455
Eaton Vance Corporation		4,537		190,010
FactSet Research Systems, Inc.		1,301		212,623
Franklin Resources, Inc.		4,629		183,216
Interactive Brokers Group, Inc.		4,632		169,114
Intercontinental Exchange, Inc.		3,850		217,217
Invesco Ltd.		4,414		133,921
MarketAxess Holdings, Inc.		1,183		173,806
Moody's Corporation		1,688		159,128
Morgan Stanley		4,536		191,646
MSCI, Inc.		2,978		234,607
Nasdaq, Inc.		3,551		238,343
Northern Trust Corporation		2,537		225,920
Raymond James Financial, Inc.		2,630		182,180
S&P Global, Inc.		1,560		167,762
SEI Investments Company		3,065		151,288
State Street Corporation		2,150		167,098
T. Rowe Price Group, Inc.		3,185		239,703
TD Ameritrade Holding Corporation		4,800		209,280
The Bank of New York Mellon Corporation		4,540		215,105
The Goldman Sachs Group, Inc.		1,087		260,282
				5,177,162
Chemicals (2.4%):
Axalta Coating Systems Ltd. (a)		6,137		166,926
CF Industries Holdings, Inc.		3,731		117,452
Eastman Chemical Company		2,844		213,897
Ecolab, Inc.		1,847		216,505
Huntsman Corporation		5,612		107,077
International Flavors & Fragrances, Inc.		1,407		165,787
LyondellBasell Industries NV — Class A		2,003		171,817
NewMarket Corporation		494		209,377
PPG Industries, Inc.		2,092		198,238
Praxair, Inc.		2,168		254,068
RPM International, Inc.		4,427		238,306
The Dow Chemical Company		4,200		240,324
The Sherwin-Williams Company		799		214,723
Westlake Chemical Corporation		2,429		136,000
				2,650,497
Commercial Services & Supplies (1.8%):
Cintas Corporation		2,112		244,063
Copart, Inc. (a)		4,419		244,857
KAR Auction Services, Inc.		5,283		225,161
Republic Services, Inc.		6,845		390,507

See notes to financial statements.

9

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Commercial Services & Supplies (1.8%) cont'd
Rollins, Inc.		7,882	$	266,254
Stericycle, Inc. (a)		1,549		119,335
Waste Management, Inc.		5,932		420,638
				1,910,815
Communications Equipment (1.2%):
Arista Networks, Inc. (a)		1,451		140,413
Brocade Communications Systems, Inc.		13,045		162,932
Cisco Systems, Inc.		6,799		205,466
F5 Networks, Inc. (a)		1,500		217,080
Juniper Networks, Inc.		6,385		180,440
Motorola Solutions, Inc.		3,083		255,550
Ubiquiti Networks, Inc. (a)		2,906		167,967
				1,329,848
Construction & Engineering (0.2%):
Jacobs Engineering Group, Inc. (a)		3,823		217,911
Construction Materials (0.4%):
Martin Marietta Materials, Inc.		975		215,992
Vulcan Materials Company		1,789		223,893
				439,885
Consumer Finance (1.0%):
American Express Company		3,027		224,240
Capital One Financial Corporation		2,385		208,067
Discover Financial Services		3,399		245,034
Navient Corporation		8,211		134,907
Santander Consumer USA Holdings, Inc. (a)		7,221		97,484
Synchrony Financial		5,771		209,314
				1,119,046
Containers & Packaging (1.9%):
AptarGroup, Inc.		3,511		257,883
Avery Dennison Corporation		2,898		203,497
Bemis Company, Inc.		4,812		230,110
Berry Plastics Group, Inc. (a)		3,679		179,278
Crown Holdings, Inc. (a)		3,999		210,227
Graphic Packaging Holding Company		12,672		158,147
International Paper Company		3,716		197,171
Packaging Corporation of America		1,993		169,046
Sealed Air Corporation		3,676		166,670
Sonoco Products Company		4,869		256,596
				2,028,625
Distributors (0.6%):
Genuine Parts Company		2,756		263,308
LKQ Corporation (a)		5,116		156,806
Pool Corporation		2,710		282,761
				702,875

See notes to financial statements.

10

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Diversified Consumer Services (0.4%):
Service Corporation International		8,637	$	245,291
ServiceMaster Global Holdings, Inc. (a)		4,707		177,312
				422,603
Diversified Financial Services (0.4%):
Berkshire Hathaway, Inc. — Class B (a)		2,386		388,870
Diversified Telecommunication Services (0.8%):
AT&T, Inc.		9,674		411,435
CenturyLink, Inc.		5,953		141,562
Verizon Communications, Inc.		6,104		325,832
				878,829
Electric Utilities (3.3%):
Alliant Energy Corporation		7,770		294,405
American Electric Power Company, Inc.		4,646		292,512
Duke Energy Corporation		3,892		302,097
Eversource Energy		5,791		319,837
Exelon Corporation		7,348		260,781
NextEra Energy, Inc.		2,655		317,166
OGE Energy Corporation		7,235		242,011
PG&E Corporation		5,132		311,872
Pinnacle West Capital Corporation		4,046		315,709
PPL Corporation		8,248		280,844
Southern Company		6,704		329,770
Xcel Energy, Inc.		7,714		313,960
				3,580,964
Electrical Equipment (1.4%):
Acuity Brands, Inc.		584		134,822
AMETEK, Inc.		4,913		238,772
Eaton Corporation PLC		3,085		206,973
Emerson Electric Company		4,116		229,467
Hubbell, Inc.		2,423		282,764
Rockwell Automation, Inc.		1,893		254,419
Sensata Technologies Holding NV (a)		3,768		146,764
				1,493,981
Electronic Equipment, Instruments & Components (2.3%):
Amphenol Corporation — Class A		4,602		309,254
Arrow Electronics, Inc. (a)		2,766		197,216
Avnet, Inc.		5,071		241,430
CDW Corporation		4,686		244,094
Cognex Corporation		2,864		182,208
Dolby Laboratories, Inc.		3,671		165,892
Flex Ltd. (a)		14,046		201,841
FLIR Systems, Inc.		6,629		239,904
IPG Photonics Corporation (a)		1,775		175,210
Keysight Technologies, Inc. (a)		5,502		201,208

See notes to financial statements.

11

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Electronic Equipment, Instruments & Components (2.3%) cont'd
SYNNEX Corporation		1,680	$	203,314
Trimble Navigation Ltd. (a)		5,986		180,478
				2,542,049
Energy Equipment & Services (0.2%):
FMC Technologies, Inc. (a)		4,628		164,433
Food & Staples Retailing (1.8%):
Casey's General Stores, Inc.		1,515		180,103
Costco Wholesale Corporation		1,845		295,403
CVS Health Corporation		3,145		248,172
Sysco Corporation		5,574		308,632
The Kroger Company		6,487		223,866
Walgreens Boots Alliance, Inc.		2,862		236,859
Wal-Mart Stores, Inc.		3,547		245,169
Whole Foods Market, Inc.		6,198		190,651
				1,928,855
Food Products (2.6%):
Archer-Daniels-Midland Company		3,901		178,081
Blue Buffalo Pet Products, Inc. (a)		4,803		115,464
Bunge Ltd.		2,175		157,122
Campbell Soup Company		4,492		271,631
General Mills, Inc.		4,800		296,496
Hormel Foods Corporation		5,440		189,366
Ingredion, Inc.		1,635		204,310
McCormick & Company, Inc.		3,073		286,803
Mead Johnson Nutrition Company		2,424		171,522
Pilgrim's Pride Corporation		6,947		131,924
Pinnacle Foods, Inc.		4,898		261,798
The Hershey Company		1,827		188,967
The J.M. Smucker Company		1,772		226,922
Tyson Foods, Inc. — Class A		2,907		179,304
				2,859,710
Gas Utilities (0.3%):
Atmos Energy Corporation		4,111		304,831
Health Care Equipment & Supplies (3.3%):
Abbott Laboratories		4,812		184,829
ABIOMED, Inc. (a)		1,125		126,765
Align Technology, Inc. (a)		1,743		167,555
Becton, Dickinson and Company		1,661		274,979
Danaher Corporation		4,474		348,256
DENTSPLY SIRONA, Inc.		4,009		231,440
Edwards Lifesciences Corporation (a)		1,340		125,558
Hologic, Inc. (a)		4,682		187,842
IDEXX Laboratories, Inc. (a)		1,713		200,883
Intuitive Surgical, Inc. (a)		372		235,911
ResMed, Inc.		3,277		203,338
Stryker Corporation		2,750		329,477
Teleflex, Inc.		1,399		225,449

See notes to financial statements.

12

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Health Care Equipment & Supplies (3.3%) cont'd
The Cooper Companies, Inc.		1,290	$	225,660
Varian Medical Systems, Inc. (a)		2,644		237,378
West Pharmaceutical Services, Inc.		2,899		245,922
				3,551,242
Health Care Providers & Services (3.6%):
Acadia Healthcare Company, Inc. (a)		2,382		78,844
Aetna, Inc.		1,737		215,405
AmerisourceBergen Corporation		2,592		202,669
Anthem, Inc.		1,577		226,725
Cardinal Health, Inc.		2,581		185,755
Cigna Corporation		1,470		196,083
Express Scripts Holdings Company (a)		3,078		211,736
HCA Holdings, Inc. (a)		2,848		210,809
Henry Schein, Inc. (a)		1,417		214,973
Humana, Inc.		981		200,153
Laboratory Corporation of America Holdings (a)		1,931		247,902
McKesson Corporation		963		135,253
MEDNAX, Inc. (a)		3,093		206,179
Patterson Companies, Inc.		4,816		197,600
Quest Diagnostics, Inc.		3,399		312,368
UnitedHealth Group, Inc.		2,199		351,928
Universal Health Services, Inc. — Class B		1,613		171,591
VCA, Inc. — Class A (a)		2,650		181,923
WellCare Health Plans, Inc. (a)		1,457		199,726
				3,947,622
Health Care Technology (0.3%):
Cerner Corporation (a)		3,008		142,489
Veeva Systems, Inc. (a)		3,711		151,038
				293,527
Hotels, Restaurants & Leisure (3.0%):
Aramark		6,584		235,181
Carnival Corporation		3,882		202,097
Darden Restaurants, Inc.		3,880		282,154
Domino's Pizza, Inc.		1,226		195,228
Hilton Worldwide Holdings, Inc.		7,186		195,459
Hyatt Hotels Corporation — Class A (a)		3,069		169,593
Las Vegas Sands Corporation		2,580		137,798
Marriott International, Inc. — Class A		2,697		222,988
McDonald's Corporation		2,715		330,470
Norwegian Cruise Line Holdings Ltd. (a)		3,399		144,559
Panera Bread Company — Class A (a)		1,026		210,422
Royal Caribbean Cruises Ltd.		1,768		145,047
Starbucks Corporation		4,163		231,130
Wyndham Worldwide Corporation		2,543		194,209
Wynn Resorts Ltd.		1,067		92,306
Yum! Brands, Inc.		3,683		233,244
				3,221,885

See notes to financial statements.

13

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Household Durables (1.8%):
CalAtlantic Group, Inc.		4,151	$	141,175
D.R. Horton, Inc.		5,611		153,349
Harman International Industries, Inc.		1,310		145,620
Leggett & Platt, Inc.		4,861		237,606
Lennar Corporation — Class A		4,152		178,245
Mohawk Industries, Inc. (a)		976		194,888
Newell Rubbermaid, Inc.		3,330		148,684
NVR, Inc. (a)		159		265,371
PulteGroup, Inc.		8,473		155,734
Toll Brothers, Inc. (a)		5,127		158,937
Whirlpool Corporation		1,041		189,222
				1,968,831
Household Products (1.3%):
Church & Dwight Company, Inc.		5,982		264,344
Kimberly-Clark Corporation		2,530		288,724
Procter & Gamble Company		4,385		368,691
Spectrum Brands Holdings, Inc.		1,684		206,004
The Clorox Company		2,497		299,690
				1,427,453
Industrial Conglomerates (1.1%):
3M Company		1,889		337,319
Carlisle Companies, Inc.		2,379		262,380
Honeywell International, Inc.		2,640		305,844
Roper Technologies, Inc.		1,292		236,539
				1,142,082
Insurance (6.1%):
Aflac, Inc.		4,158		289,397
Alleghany Corporation (a)		532		323,520
American Financial Group, Inc.		4,089		360,323
AmTrust Financial Services, Inc.		6,838		187,224
Arthur J Gallagher & Company		5,706		296,484
Brown & Brown, Inc.		7,669		344,031
Cincinnati Financial Corporation		4,008		303,606
Erie Indemnity Company — Class A		2,550		286,748
First American Financial Corporation		5,196		190,329
Hartford Financial Services Group, Inc.		4,791		228,291
Lincoln National Corporation		2,593		171,838
Markel Corporation (a)		309		279,491
Marsh & McLennan Companies, Inc.		4,978		336,463
MetLife, Inc.		3,280		176,759
Old Republic International Corporation		16,310		309,890
Principal Financial Group, Inc.		3,234		187,119
Progressive Corporation		9,457		335,724
Prudential Financial, Inc.		1,999		208,016
Reinsurance Group of America, Inc.		2,363		297,336
The Allstate Corporation		4,911		364,003
The Travelers Companies, Inc.		2,552		312,416

See notes to financial statements.

14

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Insurance (6.1%) cont'd
Torchmark Corporation		3,888	$	286,779
Unum Group		4,640		203,835
W.R. Berkley Corporation		5,030		334,545
				6,614,167
Internet & Catalog Retail (0.4%):
Netflix, Inc. (a)		1,134		140,389
The Priceline Group, Inc. (a)		107		156,869
TripAdvisor, Inc. (a)		2,090		96,913
				394,171
Internet & Direct Marketing Retail (0.1%):
Amazon.com, Inc. (a)		209		156,723
Internet Software & Services (0.8%):
Akamai Technologies, Inc. (a)		2,201		146,763
Alphabet, Inc. — Class A (a)		286		226,641
eBay, Inc. (a)		4,964		147,381
Facebook, Inc. — Class A (a)		1,299		149,450
VeriSign, Inc. (a)		2,703		205,617
				875,852
IT Services (5.0%):
Alliance Data Systems Corporation		594		135,729
Amdocs Ltd.		4,743		276,280
Automatic Data Processing, Inc.		3,228		331,774
Black Knight Financial Services, Inc. (a)		4,324		163,447
Booz Allen Hamilton Holding Corporation		7,841		282,825
Broadridge Financial Solutions, Inc.		4,001		265,266
Cognizant Technology Solutions Corporation — Class A (a)		3,200		179,296
Fidelity National Information Services, Inc.		2,915		220,491
Fiserv, Inc. (a)		2,691		285,999
FleetCor Technologies, Inc. (a)		1,033		146,190
Gartner, Inc. (a)		2,602		262,984
Genpact Ltd. (a)		10,427		253,793
Global Payments, Inc.		2,112		146,594
International Business Machines Corporation		1,497		248,487
Jack Henry & Associates, Inc.		3,388		300,787
Leidos Holdings, Inc.		2,602		133,066
MasterCard, Inc. — Class A		2,336		241,192
Paychex, Inc.		4,417		268,907
PayPal Holdings, Inc. (a)		4,588		181,088
Sabre Corporation		6,547		163,348
The Western Union Company		10,101		219,394
Total System Services, Inc.		3,178		155,817
Vantiv, Inc. — Class A (a)		3,732		222,502
Visa, Inc. — Class A		2,703		210,888
WEX, Inc. (a)		1,343		149,879
				5,446,023

See notes to financial statements.

15

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Leisure Products (0.3%):
Hasbro, Inc.		2,694	$	209,566
Polaris Industries, Inc.		1,713		141,134
				350,700
Life Sciences Tools & Services (1.5%):
Agilent Technologies, Inc.		4,594		209,303
Bio-Rad Laboratories, Inc. (a)		1,669		304,225
Illumina, Inc. (a)		606		77,592
Mettler-Toledo International, Inc. (a)		582		243,602
PerkinElmer, Inc.		3,617		188,627
Quintiles Transnational Holdings, Inc. (a)		2,866		217,959
Thermo Fisher Scientific, Inc.		1,618		228,300
Waters Corporation (a)		1,603		215,427
				1,685,035
Machinery (3.6%):
Allison Transmission Holdings, Inc.		7,506		252,877
Cummins, Inc.		1,604		219,219
Deere & Company		2,175		224,112
Donaldson Company, Inc.		5,511		231,903
Dover Corporation		2,745		205,683
Flowserve Corporation		3,290		158,085
IDEX Corporation		2,871		258,562
Illinois Tool Works, Inc.		2,468		302,231
Ingersoll-Rand PLC		3,116		233,825
Middleby Corporation (a)		1,393		179,432
Nordson Corporation		1,604		179,728
Parker-Hannifin Corporation		1,729		242,060
Snap-on, Inc.		1,509		258,446
Stanley Black & Decker, Inc.		1,985		227,660
The Toro Company		5,076		284,002
Wabtec Corporation		2,324		192,938
Xylem, Inc.		5,440		269,389
				3,920,152
Media (2.7%):
CBS Corporation — Class B		3,715		236,348
Cinemark Holdings, Inc.		5,170		198,321
Comcast Corporation — Class A		4,426		305,615
Discovery Communications, Inc. (a)		6,299		172,656
Omnicom Group, Inc.		3,076		261,798
Scripps Networks Interactive, Inc. — Class A		2,967		211,755
Sirius XM Holdings, Inc.		61,529		273,804
TEGNA, Inc.		7,979		170,671
The Interpublic Group of Companies. Inc.		10,147		237,541
The Walt Disney Company		2,926		304,948
Time Warner, Inc.		2,815		271,732
Twenty-First Century Fox, Inc. — Class A		8,810		247,033
Viacom, Inc.		2,539		89,119
				2,981,341

See notes to financial statements.

16

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Metals & Mining (0.2%):
Reliance Steel & Aluminum Company		2,537	$	201,793
Multiline Retail (0.8%):
Dollar General Corporation		2,149		159,176
Dollar Tree, Inc. (a)		2,105		162,464
Kohl's Corporation		2,538		125,327
Macy's, Inc.		3,449		123,509
Nordstrom, Inc.		2,543		121,886
Target Corporation		3,071		221,818
				914,180
Multi-Utilities (2.6%):
Ameren Corporation		6,204		325,462
CMS Energy Corporation		7,510		312,566
Consolidated Edison, Inc.		4,006		295,162
Dominion Resources, Inc.		4,321		330,945
DTE Energy Company		3,352		330,206
Public Service Enterprise Group, Inc.		7,029		308,433
SCANA Corporation		4,378		320,820
Sempra Energy		2,646		266,293
WEC Energy Group, Inc.		5,033		295,185
				2,785,072
Oil, Gas & Consumable Fuels (1.1%):
Cheniere Energy Partners LP Holdings LLC		6,759		151,199
Exxon Mobil Corporation		2,856		257,783
Marathon Petroleum Corporation		2,538		127,788
ONEOK, Inc.		2,000		114,820
Phillips 66		2,428		209,803
Plains GP Holdings LP		2,124		73,660
Tesoro Corporation		1,510		132,050
Valero Energy Corporation		2,549		174,148
				1,241,251
Personal Products (0.2%):
Estee Lauder Companies, Inc.		3,030		231,765
Pharmaceuticals (1.4%):
Eli Lilly and Company		3,030		222,856
Johnson & Johnson		3,246		373,972
Mallinckrodt PLC (a)		1,292		64,367
Merck & Company, Inc.		3,999		235,421
Mylan NV (a)		2,959		112,886
Pfizer, Inc.		8,477		275,333
Zoetis, Inc.		4,430		237,138
				1,521,973
Professional Services (1.1%):
Dun & Bradstreet Corporation		1,447		175,550
Equifax, Inc.		1,797		212,459
ManpowerGroup, Inc.		2,060		183,072
Nielsen Holdings PLC		5,301		222,377

See notes to financial statements.

17

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Professional Services (1.1%) cont'd
Robert Half International, Inc.		3,816	$	186,145
Verisk Analytics, Inc. (a)		3,174		257,634
				1,237,237
Real Estate Management & Development (0.4%):
CBRE Group, Inc. — Class A (a)		4,575		144,067
Jones Lang LaSalle, Inc.		1,016		102,656
The Howard Hughes Corporation (a)		1,339		152,780
				399,503
Road & Rail (1.4%):
AMERCO		536		198,100
CSX Corporation		6,570		236,060
JB Hunt Transport Services, Inc.		2,956		286,939
Kansas City Southern		1,953		165,712
Norfolk Southern Corporation		1,903		205,657
Old Dominion Freight Line, Inc. (a)		2,592		222,368
Union Pacific Corporation		2,163		224,260
				1,539,096
Semiconductors & Semiconductor Equipment (1.9%):
Analog Devices, Inc.		3,556		258,237
Applied Materials, Inc.		5,284		170,515
Intel Corporation		5,977		216,786
Lam Research Corporation		1,950		206,173
NVIDIA Corporation		2,386		254,682
ON Semiconductor Corporation (a)		12,097		154,358
QUALCOMM, Inc.		2,818		183,733
Skyworks Solutions, Inc.		1,718		128,266
Texas Instruments, Inc.		3,291		240,144
Xilinx, Inc.		3,730		225,180
				2,038,074
Software (2.8%):
Activision Blizzard, Inc.		3,513		126,854
Adobe Systems, Inc. (a)		1,905		196,120
ANSYS, Inc. (a)		2,370		219,201
CA, Inc.		7,342		233,255
Cadence Design Systems, Inc. (a)		8,790		221,684
CDK Global, Inc.		3,724		222,286
Citrix Systems, Inc. (a)		2,012		179,692
Manhattan Associates, Inc. (a)		2,165		114,810
Microsoft Corporation		3,621		225,009
Oracle Corporation		6,353		244,273
Red Hat, Inc. (a)		2,535		176,690
Symantec Corporation		5,818		138,992
Synopsys, Inc. (a)		4,841		284,941
Tyler Technologies, Inc. (a)		864		123,353
Ultimate Software Group, Inc. (a)		764		139,315
VMware, Inc. — Class A (a)		2,148		169,112
				3,015,587

See notes to financial statements.

18

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Specialty Retail (3.8%):
Advance Auto Parts, Inc.		1,363	$	230,511
AutoNation, Inc. (a)		2,977		144,831
AutoZone, Inc. (a)		376		296,961
Bed Bath & Beyond, Inc.		4,260		173,126
Best Buy Company, Inc.		3,404		145,249
Burlington Stores, Inc. (a)		1,829		155,008
CarMax, Inc. (a)		2,334		150,286
Dick's Sporting Goods, Inc.		2,685		142,573
Foot Locker, Inc.		2,685		190,340
L Brands, Inc.		2,205		145,177
Lowe's Companies, Inc.		3,115		221,539
Michaels Companies, Inc. (a)		6,312		129,080
O'Reilly Automotive, Inc. (a)		851		236,927
Ross Stores, Inc.		3,613		237,013
Signet Jewelers Ltd.		1,514		142,710
The Gap, Inc.		4,904		110,046
The Home Depot, Inc.		2,053		275,266
The TJX Companies, Inc.		3,277		246,201
Tiffany & Company		2,655		205,577
Tractor Supply Company		2,688		203,777
Ulta Salon, Cosmetics & Fragrances, Inc. (a)		643		163,926
Urban Outfitters, Inc. (a)		3,397		96,747
Williams-Sonoma, Inc.		2,803		135,637
				4,178,508
Technology Hardware, Storage & Peripherals (0.3%):
Apple, Inc.		1,883		218,089
HP, Inc.		10,618		157,571
				375,660
Textiles, Apparel & Luxury Goods (0.8%):
Carter's, Inc.		1,836		158,612
Coach, Inc.		4,415		154,613
Hanesbrands, Inc.		5,449		117,535
NIKE, Inc. — Class B		3,737		189,952
PVH Corporation		1,338		120,741
VF Corporation		3,193		170,347
				911,800
Thrifts & Mortgage Finance (0.3%):
TFS Financial Corporation		15,278		290,893
Tobacco (0.9%):
Altria Group, Inc.		5,439		367,785
Philip Morris International, Inc.		3,387		309,876
Reynolds American, Inc.		5,568		312,031
				989,692
Trading Companies & Distributors (1.1%):
Fastenal Company		5,009		235,323
MSC Industrial Direct Company, Inc.		3,358		310,246

See notes to financial statements.

19

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Trading Companies & Distributors (1.1%) cont'd
United Rentals, Inc. (a)		1,235	$	130,391
W.W. Grainger, Inc.		1,077		250,133
Watsco, Inc.		1,714		253,878
				1,179,971
Transportation Infrastructure (0.2%):
Macquarie Infrastructure Company LLC		2,096		171,243
Water Utilities (0.5%):
American Water Works Company, Inc.		3,496		252,971
Aqua America, Inc.		9,379		281,745
				534,716
Wireless Telecommunication Services (0.2%):
T-Mobile US, Inc. (a)		4,004		230,270
Total Common Stocks (Cost $103,172,149)				108,694,041
Short-Term Investments (0.1%)
Money Market Funds (0.1%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (b)		130,818		130,818
Total Short-Term Investments (Cost $130,818)				130,818
Total Investments — 99.9% (Cost $103,302,967)				108,824,859
Other assets in excess of liabilities — 0.1%				102,872
NET ASSETS — 100.0%			$	108,927,731

(a)  Non-income producing security.

(b)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Appreciation
	1	S&P 500 E-Mini Future, March 2017	$	111,810	$	233
					$	233

See notes to financial statements.

20

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Common Stocks (100.0%)
Aerospace & Defense (1.3%):
AAR Corporation		2,068	$	68,347
Astronics Corporation (a)		137		4,617
Astronics Corporation (a)		980		33,163
DigitalGlobe, Inc. (a)		1,787		51,198
Mercury Systems, Inc. (a)		2,702		81,654
Moog, Inc. — Class A (a)		978		64,235
National Presto Industries, Inc.		930		98,952
TASER International, Inc. (a)		2,173		52,674
				454,840
Air Freight & Logistics (0.5%):
Air Transport Services Group, Inc. (a)		3,855		61,526
Echo Global Logistics, Inc. (a)		2,397		60,045
Hub Group, Inc. — Class A (a)		1,669		73,018
				194,589
Airlines (0.7%):
Allegiant Travel Company		429		71,386
Hawaiian Holdings, Inc. (a)		1,070		60,990
SkyWest, Inc.		1,697		61,856
Spirit Airlines, Inc. (a)		1,183		68,448
				262,680
Auto Components (2.1%):
American Axle & Manufacturing Holdings, Inc. (a)		2,277		43,946
Cooper Standard Holding, Inc. (a)		720		74,434
Cooper Tire & Rubber Company		1,843		71,601
Dorman Products, Inc. (a)		1,157		84,530
Drew Industries, Inc.		764		82,321
Fox Factory Holdings Corporation (a)		2,972		82,473
Gentherm, Inc. (a)		1,412		47,796
Metaldyne Performance Group, Inc.		2,953		67,771
Standard Motor Products, Inc.		1,245		66,259
Stoneridge, Inc. (a)		2,965		52,451
Superior Industries International, Inc.		2,272		59,867
Visteon Corporation		430		34,546
				767,995
Automobiles (0.2%):
Winnebago Industries, Inc.		2,748		86,974
Banks (16.3%):
1st Source Corporation		2,654		118,528
Ameris Bancorp		2,282		99,495
Associated Banc-Corp		3,722		91,933
Banc of California, Inc.		2,815		48,840
BancFirst Corporation		1,191		110,823
BancorpSouth, Inc.		2,808		87,188
Banner Corporation		1,763		98,393
BNC Bancorp		3,282		104,696

See notes to financial statements.

21

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December 31, 2016

  (Unaudited)

Security Description	Shares			Value
Banks (16.3%) cont'd
Boston Private Financial Holdings, Inc.		5,805		$	96,073
Capital Bank Financial Corporation		2,912			114,296
Cathay General Bancorp		2,410			91,652
Chemical Financial Corporation		2,020			109,423
Columbia Banking System, Inc.		2,262			101,066
Community Bank Systems, Inc.		1,915			118,328
CVB Financial Corporation		4,358			99,929
Eagle Bancorp, Inc. (a)		1,427			86,976
FCB Financial Holdings, Inc. (a)		1,957			93,349
First Busey Corporation		4,327			133,185
First Commonwealth Financial Corporation		7,640			108,335
First Financial Bancorp		3,954			112,491
First Financial Bankshares, Inc.		1,837			83,032
First Interstate BancSystem, Inc. — Class A		3,002			127,735
First Merchants Corporation		3,182			119,802
First Midwest Bancorp, Inc.		3,890			98,145
FNB Corporation		5,936			95,154
Fulton Financial Corporation		5,705			107,254
Glacier Bancorp, Inc.		2,597			94,089
Great Western Bancorp, Inc.		2,160			94,154
Hancock Holding Company		1,812			78,097
Heartland Financial USA, Inc.		1,764			84,672
Hilltop Holdings, Inc.		2,808			83,678
Hope Bancorp, Inc.		4,215			92,266
IBERIABANK Corporation		934			78,223
Independent Bank Corporation		1,481			104,337
International Bancshares Corporation		2,275			92,820
Lakeland Financial Corporation		2,796			132,419
LegacyTexas Financial Group, Inc.		1,732			74,580
MB Financial, Inc.		1,946			91,910
NBT Bancorp, Inc.		2,811			117,725
Old National Bancorp		5,701			103,473
Opus Bank		1,741			52,317
Park National Corporation		790			94,531
Pinnacle Financial Partners, Inc.		1,250			86,625
Renasant Corporation		2,301			97,148
S&T Bancorp, Inc.		2,525			98,576
ServisFirst Bancshares, Inc.		2,660			99,590
Simmons First National Corporation — Class A		1,445			89,807
South State Corporation		1,092			95,441
Sterling Bancorp		4,481			104,855
TCF Financial Corporation		4,399			86,176
Texas Capital Bancshares, Inc. (a)		861			67,502
Tompkins Financial Corporation		1,064			100,591
Towne Bank		3,802	��		126,417
Trustmark Corporation		3,165			112,832
Union Bankshares Corporation		3,151			112,617
United Community Banks, Inc.		3,722			110,246
Valley National Bancorp		8,343			97,113
WesBanco, Inc.		3,080			132,625

See notes to financial statements.

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Security Description	Shares		Value
Banks (16.3%) cont'd
Westamerica Bancorporation		1,658	$	104,338
Wintrust Financial Corporation		1,310		95,067
				5,942,978
Beverages (0.4%):
MGP Ingredients, Inc.		960		47,981
National Beverage Corporation		1,059		54,093
The Boston Beer Company, Inc. — Class A (a)		294		49,936
				152,010
Biotechnology (0.4%):
Insys Therapeutics, Inc. (a)		1,793		16,495
MiMedx Group, Inc. (a)		6,437		57,032
Myriad Genetics, Inc. (a)		1,764		29,406
Repligen Corporation (a)		1,273		39,234
				142,167
Building Products (2.6%):
AAON, Inc.		2,359		77,965
American Woodmark Corporation (a)		580		43,645
Apogee Enterprises, Inc.		1,369		73,324
Continental Building Products, Inc. (a)		2,654		61,307
CSW Industrials, Inc. (a)		2,620		96,547
Gibraltar Industries, Inc. (a)		1,166		48,564
Griffon Corporation		4,873		127,673
Insteel Industries, Inc.		1,564		55,741
NCI Building Systems, Inc. (a)		3,565		55,792
Patrick Industries, Inc. (a)		727		55,470
PGT, Inc. (a)		3,857		44,163
Simpson Manufacturing Company, Inc.		2,250		98,437
Trex Company, Inc. (a)		856		55,126
Universal Forest Products, Inc.		564		57,630
				951,384
Capital Markets (2.4%):
Artisan Partners Asset Management, Inc. — Class A		2,099		62,445
BGC Partners, Inc. — Class A		10,278		105,144
Cohen & Steers, Inc.		1,750		58,800
Evercore Partners, Inc. — Class A		1,066		73,234
Financial Engines, Inc.		1,527		56,117
Houlihan Lokey, Inc.		2,784		86,638
Janus Capital Group, Inc.		4,126		54,752
LPL Financial Holdings, Inc.		976		34,365
Moelis & Company — Class A		2,436		82,580
NorthStar Asset Management Group, Inc.		3,807		56,800
Stifel Financial Corporation (a)		1,231		61,489
Virtu Financial, Inc.		4,401		70,196
Waddell & Reed Financial, Inc. — Class A		2,321		45,283
WisdomTree Investments, Inc.		3,520		39,213
				887,056

See notes to financial statements.

23

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Chemicals (2.3%):
American Vanguard Corporation		2,212	$	42,360
Balchem Corporation		907		76,116
Calgon Carbon Corporation		3,842		65,314
FutureFuel Corporation		4,470		62,133
HB Fuller Company		1,752		84,639
Innospec, Inc.		1,294		88,639
Minerals Technologies, Inc.		817		63,113
PolyOne Corporation		1,909		61,164
Quaker Chemical Corporation		823		105,295
Rayonier Advanced Materials, Inc.		2,459		38,016
Stepan Company		984		80,176
Trinseo SA		992		58,826
				825,791
Commercial Services & Supplies (3.6%):
ABM Industries, Inc.		2,791		113,984
ACCO Brands Corporation (a)		4,960		64,728
Healthcare Services Group, Inc.		2,624		102,782
Herman Miller, Inc.		1,977		67,613
HNI Corporation		1,170		65,426
Interface, Inc.		3,189		59,156
Knoll, Inc.		2,835		79,182
Matthews International Corporation — Class A		1,529		117,504
McGrath RentCorp		2,355		92,292
Mobile Mini, Inc.		1,971		59,623
MSA Safety, Inc.		1,320		91,516
Multi-Color Corporation		756		58,666
Steelcase, Inc. — Class A		5,035		90,126
UniFirst Corporation		717		102,997
US Ecology, Inc.		1,347		66,205
West Corporation		2,617		64,797
				1,296,597
Communications Equipment (1.1%):
ADTRAN, Inc.		3,806		85,064
Finisar Corporation (a)		2,136		64,657
Infinera Corporation (a)		3,274		27,796
InterDigital, Inc.		1,097		100,211
NETGEAR, Inc. (a)		1,261		68,535
Plantronics, Inc.		846		46,327
				392,590
Construction & Engineering (1.0%):
Argan, Inc.		1,248		88,046
Comfort Systems USA, Inc.		2,236		74,459
Dycom Industries, Inc. (a)		534		42,875
KBR, Inc.		3,544		59,149
Primoris Services Corporation		3,024		68,887
Tutor Perini Corporation (a)		1,541		43,148
				376,564

See notes to financial statements.

24

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Construction Materials (0.2%):
Headwaters, Inc. (a)		3,318	$	78,039
Consumer Finance (0.5%):
FirstCash, Inc.		956		44,932
Nelnet, Inc. — Class A		1,711		86,833
PRA Group, Inc. (a)		1,122		43,870
				175,635
Containers & Packaging (0.3%):
Silgan Holdings, Inc.		1,995		102,104
Distributors (0.2%):
Core-Mark Holding Company, Inc.		1,526		65,725
Diversified Consumer Services (0.8%):
Capella Education Company		1,218		106,940
Grand Canyon Education, Inc. (a)		1,745		101,995
Strayer Education, Inc. (a)		1,096		88,371
				297,306
Diversified Telecommunication Services (0.5%):
Cincinnati Bell, Inc. (a)		2,596		58,020
Cogent Communications Holdings, Inc.		1,779		73,562
Inteliquent, Inc.		2,900		66,468
				198,050
Electric Utilities (1.0%):
ALLETE, Inc.		1,851		118,816
MGE Energy, Inc.		1,821		118,911
Otter Tail Corporation		2,802		114,322
				352,049
Electrical Equipment (0.7%):
AZZ, Inc.		1,231		78,661
Encore Wire Corporation		1,513		65,588
Generac Holdings, Inc. (a)		1,424		58,014
Thermon Group Holdings, Inc. (a)		3,354		64,028
				266,291
Electronic Equipment, Instruments & Components (3.7%):
Anixter International, Inc. (a)		833		67,515
AVX Corporation		6,690		104,565
Badger Meter, Inc.		2,221		82,066
Benchmark Electronics, Inc. (a)		2,831		86,345
Coherent, Inc. (a)		526		72,265
ePlus, Inc. (a)		602		69,350
II-VI, Inc. (a)		2,762		81,893
Insight Enterprises, Inc. (a)		1,793		72,509
Littelfuse, Inc.		644		97,740
Methode Electronics, Inc.		1,831		75,712
MTS Systems Corporation		994		56,360
OSI Systems, Inc. (a)		518		39,430
Plexus Corporation (a)		1,559		84,248

See notes to financial statements.

25

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December 31, 2016

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Security Description	Shares		Value
Electronic Equipment, Instruments & Components (3.7%) cont'd
Rogers Corporation (a)		870	$	66,825
Sanmina Corporation (a)		2,087		76,489
ScanSource, Inc. (a)		1,547		62,421
Tech Data Corporation (a)		872		73,841
Universal Display Corporation (a)		726		40,874
VeriFone Systems, Inc. (a)		2,648		46,949
				1,357,397
Energy Equipment & Services (0.4%):
Atwood Oceanics, Inc.		2,785		36,567
Dril-Quip, Inc. (a)		1,114		66,895
Oceaneering International, Inc.		1,770		49,932
				153,394
Food & Staples Retailing (1.2%):
Ingles Markets, Inc. — Class A		1,381		66,426
Performance Food Group Company (a)		2,648		63,552
PriceSmart, Inc.		892		74,482
SpartanNash Company		1,692		66,902
SUPERVALU, Inc. (a)		6,443		30,089
United Natural Foods, Inc. (a)		974		46,479
Weis Markets, Inc.		1,541		103,000
				450,930
Food Products (1.5%):
Calavo Growers, Inc.		888		54,523
Dean Foods Company		4,198		91,432
J&J Snack Foods Corporation		1,036		138,233
John B Sanfilippo & Son, Inc.		881		62,014
Omega Protein Corporation (a)		1,578		39,529
Sanderson Farms, Inc.		698		65,780
Tootsie Roll Industries, Inc.		2,714		107,882
				559,393
Gas Utilities (0.2%):
Chesapeake Utilities Corporation		1,096		73,377
Health Care Equipment & Supplies (2.6%):
Abaxis, Inc.		1,100		58,047
Anika Therapeutics, Inc. (a)		1,356		66,390
Atrion Corporation		218		110,569
CryoLife, Inc. (a)		3,449		66,048
Cynosure, Inc. (a)		1,052		47,971
Globus Medical, Inc. (a)		2,487		61,702
ICU Medical, Inc. (a)		577		85,021
Inogen, Inc. (a)		840		56,423
Masimo Corporation (a)		1,244		83,846
Meridian Bioscience, Inc.		4,194		74,234
Merit Medical Systems, Inc. (a)		2,806		74,359
Natus Medical, Inc. (a)		1,085		37,758
Neogen Corporation (a)		1,099		72,534
Penumbra, Inc. (a)		737		47,021
				941,923

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Health Care Providers & Services (3.2%):
Aceto Corporation		2,198	$	48,290
Adeptus Health, Inc. (a)		906		6,922
Air Methods Corporation (a)		1,579		50,291
Amedisys, Inc. (a)		1,076		45,870
AMN Healthcare Services, Inc. (a)		1,335		51,331
BioTelemetry, Inc. (a)		2,378	��	53,148
Chemed Corporation		650		104,267
CorVel Corporation (a)		1,663		60,866
Diplomat Pharmacy, Inc. (a)		1,198		15,095
HealthEquity, Inc. (a)		1,375		55,715
LHC Group, Inc. (a)		1,823		83,311
Lifepoint Health, Inc. (a)		1,093		62,082
National HealthCare Corporation		1,740		131,875
Owens & Minor, Inc.		2,522		89,001
PharMerica Corporation (a)		1,369		34,430
Select Medical Holdings Corporation (a)		3,485		46,176
Surgical Care Affiliates, Inc. (a)		1,481		68,526
The Ensign Group, Inc.		2,940		65,298
US Physical Therapy, Inc.		1,132		79,466
				1,151,960
Health Care Technology (0.3%):
HealthStream, Inc. (a)		2,035		50,977
HMS Holdings Corporation (a)		2,199		39,934
Inovalon Holdings, Inc. — Class A (a)		2,210		22,763
				113,674
Hotels, Restaurants & Leisure (5.3%):
BJ's Restaurants, Inc. (a)		1,786		70,190
Bob Evans Farms, Inc.		2,005		106,686
Bojangles', Inc. (a)		2,975		55,484
Brinker International, Inc.		1,329		65,825
Buffalo Wild Wings, Inc. (a)		359		55,429
Choice Hotels International, Inc.		1,678		94,052
Churchill Downs, Inc.		541		81,393
Chuy's Holdings, Inc. (a)		1,937		62,856
Dave & Buster's Entertainment, Inc. (a)		1,330		74,879
DineEquity, Inc.		1,101		84,777
El Pollo Loco Holdings, Inc. (a)		3,236		39,803
Eldorado Resorts, Inc. (a)		4,943		83,784
Fiesta Restaurant Group, Inc. (a)		1,789		53,402
ILG, Inc		3,599		65,394
Isle of Capri Casinos, Inc. (a)		3,349		82,687
Marriott Vacations Worldwide Corporation		706		59,904
Papa John's International, Inc.		934		79,932
Popeyes Louisiana Kitchen, Inc. (a)		1,537		92,958
Red Robin Gourmet Burgers, Inc. (a)		1,019		57,471
Ruth's Hospitality Group, Inc.		4,952		90,622
Shake Shack, Inc. (a)		1,172		41,946
Sonic Corporation		2,229		59,091

See notes to financial statements.

27

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  (Unaudited)

Security Description	Shares		Value
Hotels, Restaurants & Leisure (5.3%) cont'd
The Cheesecake Factory, Inc.		1,824	$	109,221
The Marcus Corporation		3,241		102,091
Wendy's Company		6,960		94,099
Wingstop, Inc.		1,766		52,256
				1,916,232
Household Durables (2.9%):
Cavco Industries, Inc. (a)		634		63,305
Ethan Allen Interiors, Inc.		1,994		73,479
Helen of Troy Ltd. (a)		936		79,045
Installed Building Products, Inc. (a)		1,453		60,009
iRobot Corporation (a)		1,583		92,526
KB Home		3,325		52,568
La-Z-Boy, Inc.		2,014		62,535
LGI Homes, Inc. (a)		1,103		31,689
M/I Homes, Inc. (a)		2,829		71,234
MDC Holdings, Inc.		2,803		71,928
Meritage Homes Corporation (a)		1,386		48,233
Taylor Morrison Home Corporation — Class A (a)		3,113		59,956
TopBuild Corporation (a)		1,816		64,650
TRI Pointe Group, Inc. (a)		4,340		49,823
Universal Electronics, Inc. (a)		890		57,450
WCI Communities, Inc. (a)		2,876		67,442
William Lyon Homes (a)		1,842		35,053
				1,040,925
Household Products (0.3%):
WD-40 Company		850		99,365
Independent Power and Renewable Electricity Producers (0.1%):
8Point3 Energy Partners LP		3,967		51,492
Independent Power and Renewable Electricity Producers (0.3%):
Ormat Technologies, Inc.		1,963		105,256
Insurance (4.2%):
AMERISAFE, Inc.		1,484		92,527
CNO Financial Group, Inc.		3,771		72,215
Employers Holdings, Inc.		2,038		80,705
FBL Financial Group, Inc. — Class A		1,256		98,156
Fidelity & Guaranty Life		5,703		135,161
Horace Mann Educators Corporation		2,466		105,545
Infinity Property & Casualty Corporation		1,311		115,237
Mercury General Corporation		1,753		105,548
National General Holdings Corporation		3,339		83,442
Navigators Group, Inc.		994		117,044
Primerica, Inc.		1,097		75,858
ProAssurance Corporation		2,326		130,721
Safety Insurance Group, Inc.		1,730		127,501
Selective Insurance Group, Inc.		2,305		99,230
United Fire Group, Inc.		1,873		92,095
				1,530,985

See notes to financial statements.

28

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Internet & Catalog Retail (0.3%):
HSN, Inc.		1,585	$	54,365
Nutrisystem, Inc.		1,690		58,559
				112,924
Internet Software & Services (0.7%):
Alarm.com Holdings, Inc. (a)		1,682		46,810
NIC, Inc.		3,366		80,447
Shutterstock, Inc. (a)		755		35,878
SPS Commerce, Inc. (a)		722		50,460
WebMD Health Corporation (a)		1,161		57,551
				271,146
IT Services (2.7%):
CACI International, Inc. — Class A (a)		602		74,829
Cass Information Systems, Inc.		1,445		106,309
Convergys Corporation		2,738		67,245
CSG Systems International, Inc.		1,572		76,085
ExlService Holdings, Inc. (a)		1,501		75,710
Forrester Research, Inc.		2,001		85,943
ManTech International Corporation — Class A		1,834		77,486
NeuStar, Inc. — Class A (a)		2,178		72,745
Perficient, Inc. (a)		3,459		60,498
Science Applications International Corporation		1,146		97,181
Sykes Enterprises, Inc. (a)		2,898		83,636
TeleTech Holdings, Inc.		3,092		94,306
				971,973
Leisure Products (0.5%):
Nautilus, Inc. (a)		1,571		29,063
Smith & Wesson Holdings Corporation (a)		1,586		33,433
Sturm Ruger & Company, Inc.		858		45,217
Vista Outdoor, Inc. (a)		1,614		59,557
				167,270
Life Sciences Tools & Services (0.5%):
Cambrex Corporation (a)		1,082		58,374
INC Research Holdings, Inc. — Class A (a)		1,395		73,377
Luminex Corporation (a)		3,304		66,840
				198,591
Machinery (5.2%):
Alamo Group, Inc.		1,113		84,699
Albany International Corporation		1,662		76,951
Altra Industrial Motion Corporation		2,992		110,405
American Railcar Industries, Inc.		1,201		54,393
Astec Industries, Inc.		1,089		73,464
Barnes Group, Inc.		1,745		82,748
Douglas Dynamics, Inc		1,994		67,098
ESCO Technologies, Inc.		2,389		135,337
Federal Signal Corporation		3,639		56,805
Franklin Electric Company, Inc.		1,698		66,052

See notes to financial statements.

29

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Machinery (5.2%) cont'd
Global Brass & Copper Holdings, Inc.		2,107	$	72,270
Greenbrier Companies, Inc.		1,068		44,375
Hillenbrand, Inc.		2,843		109,029
Hyster-Yale Materials Handling, Inc.		1,096		69,892
John Bean Technologies Corporation		790		67,900
Kadant, Inc.		1,510		92,412
Lydall, Inc. (a)		1,221		75,519
Mueller Industries, Inc.		2,460		98,302
Mueller Water Products, Inc.		6,104		81,244
Proto Labs, Inc. (a)		788		40,464
RBC Bearings, Inc. (a)		1,071		99,400
Standex International Corporation		980		86,093
Sun Hydraulics Corporation		2,148		85,856
Wabash National Corporation (a)		3,887		61,492
				1,892,200
Marine (0.3%):
Kirby Corporation (a)		1,075		71,487
Matson, Inc.		1,448		51,245
				122,732
Media (1.1%):
AMC Entertainment Holdings, Inc.		1,984		66,762
Entravision Communications Corporation — Class A		7,826		54,782
Gannett Company, Inc.		4,969		48,249
Gray Television, Inc. (a)		3,937		42,716
New Media Investment Group, Inc.		3,590		57,404
Nexstar Broadcasting Group, Inc. — Class A		912		57,730
Sinclair Broadcast Group, Inc. — Class A		2,189		73,003
				400,646
Metals & Mining (0.8%):
Compass Minerals International, Inc.		1,082		84,775
Kaiser Aluminum Corporation		904		70,232
Materion Corporation		1,665		65,934
Worthington Industries, Inc.		1,348		63,949
				284,890
Multiline Retail (0.3%):
Dillard's, Inc.		947		59,368
Ollie's Bargain Outlet Holdings, Inc. (a)		1,985		56,473
				115,841
Multi-Utilities (0.9%):
Avista Corporation		2,763		110,492
NorthWestern Corporation		2,049		116,527
Unitil Corporation		2,313		104,871
				331,890

See notes to financial statements.

30

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  (Unaudited)

Security Description	Shares		Value
Oil, Gas & Consumable Fuels (0.4%):
REX American Resources Corporation (a)		768	$	75,840
Western Refining, Inc.		1,428		54,050
				129,890
Paper & Forest Products (1.1%):
Boise Cascade Company (a)		1,272		28,620
Clearwater Paper Corporation (a)		941		61,683
Domtar Corporation		1,654		64,556
KapStone Paper & Packaging Corporation — Class A		1,489		32,832
Neenah Paper, Inc.		1,096		93,379
PH Glatfelter Company		2,072		49,500
Schweitzer-Mauduit International, Inc.		1,593		72,529
				403,099
Personal Products (0.4%):
Inter Parfums, Inc.		1,652		54,103
Revlon, Inc. (a)		1,475		42,996
USANA Health Sciences, Inc. (a)		622		38,067
				135,166
Pharmaceuticals (0.5%):
ANI Pharmaceuticals, Inc. (a)		665		40,312
Phibro Animal Health Corporation — Class A		1,688		49,459
SciClone Pharmaceuticals, Inc. (a)		4,165		44,982
Supernus Pharmaceuticals, Inc. (a)		1,808		45,652
				180,405
Professional Services (3.0%):
CEB, Inc.		1,190		72,114
Exponent, Inc.		1,625		97,987
FTI Consulting, Inc. (a)		1,515		68,296
Huron Consulting Group, Inc. (a)		1,081		54,753
ICF International, Inc. (a)		1,888		104,218
Insperity, Inc.		860		61,017
Kelly Services, Inc. — Class A		3,543		81,206
Kforce, Inc.		2,442		56,410
Mistras Group, Inc. (a)		1,967		50,513
Navigant Consulting, Inc. (a)		3,644		95,400
On Assignment, Inc. (a)		1,442		63,679
Resources Connection, Inc.		4,228		81,389
RPX Corporation (a)		4,717		50,944
TriNet Group, Inc. (a)		2,567		65,766
WageWorks, Inc. (a)		1,115		80,837
				1,084,529
Real Estate Management & Development (0.3%):
HFF, Inc. — Class A		2,090		63,223
Marcus & Millichap, Inc. (a)		2,146		57,341
				120,564

See notes to financial statements.

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December 31, 2016

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Security Description	Shares		Value
Road & Rail (1.4%):
Heartland Express, Inc.		3,684	$	75,006
Knight Transportation, Inc.		2,108		69,670
Landstar System, Inc.		1,347		114,899
Marten Transport Ltd.		3,291		76,680
Saia, Inc. (a)		1,502		66,313
Swift Transportation Company (a)		2,047		49,865
Werner Enterprises, Inc.		2,518		67,860
				520,293
Semiconductors & Semiconductor Equipment (3.1%):
Advanced Energy Industries, Inc. (a)		1,567		85,793
Ambarella, Inc. (a)		593		32,099
Cabot Microelectronics Corporation		1,565		98,861
CEVA, Inc. (a)		1,589		53,311
Entegris, Inc. (a)		3,969		71,045
Integrated Device Technology, Inc. (a)		1,853		43,657
Intersil Corporation		2,797		62,373
MKS Instrument, Inc.		1,618		96,109
NeoPhotonics Corporation (a)		2,037		22,020
PDF Solutions, Inc. (a)		3,184		71,799
Photronics, Inc. (a)		6,487		73,303
Power Integrations, Inc.		1,191		80,809
Rambus, Inc. (a)		5,407		74,454
Rudolph Technologies, Inc. (a)		3,624		84,621
Silicon Laboratories, Inc. (a)		1,214		78,910
Tessera Holding Corporation		2,197		97,108
				1,126,272
Software (1.0%):
Ebix, Inc.		871		49,690
Gigamon, Inc. (a)		903		41,132
MicroStrategy, Inc. (a)		317		62,576
Monotype Imaging Holdings, Inc.		2,516		49,943
Pegasystems, Inc.		2,504		90,144
Qualys, Inc. (a)		1,099		34,783
VASCO Data Security International, Inc. (a)		3,018		41,196
				369,464
Specialty Retail (3.3%):
Aaron's, Inc.		2,133		68,235
Asbury Automotive Group, Inc. (a)		851		52,507
Caleres, Inc.		2,293		75,256
DSW, Inc. — Class A		2,245		50,849
Express, Inc. (a)		3,578		38,499
Five Below, Inc. (a)		1,501		59,980
Francesca's Holdings Corporation (a)		2,459		44,336
GameStop Corporation		2,077		52,465
Genesco, Inc. (a)		1,258		78,122
GNC Holdings, Inc.		1,477		16,306
Hibbett Sports, Inc. (a)		1,608		59,978

See notes to financial statements.

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Security Description	Shares		Value
Specialty Retail (3.3%) cont'd
Lithia Motors, Inc. — Class A		577	$	55,871
MarineMax, Inc. (a)		2,214		42,841
Monro Muffler Brake, Inc.		1,281		73,273
Murphy USA, Inc. (a)		991		60,917
Office Depot, Inc.		7,272		32,869
Shoe Carnival, Inc.		2,301		62,081
Sonic Automotive, Inc. — Class A		2,733		62,586
The Buckle, Inc.		2,262		51,573
The Cato Corporation — Class A		1,946		58,536
Tile Shop Holdings, Inc. (a)		3,145		61,485
Vitamin Shoppe, Inc. (a)		1,811		43,011
				1,201,576
Technology Hardware, Storage & Peripherals (0.3%):
Electronics For Imaging, Inc. (a)		1,411		61,886
Super Micro Computer, Inc. (a)		1,452		40,729
				102,615
Textiles, Apparel & Luxury Goods (0.8%):
Fossil Group, Inc. (a)		1,095		28,317
Kate Spade & Company (a)		2,177		40,645
Movado Group, Inc.		2,382		68,482
Steven Madden Ltd. (a)		2,078		74,288
Vera Bradley, Inc. (a)		3,225		37,797
Wolverine World Wide, Inc.		2,519		55,292
				304,821
Thrifts & Mortgage Finance (3.1%):
Beneficial Bancorp, Inc.		7,696		141,606
BofI Holding, Inc. (a)		1,747		49,877
Capitol Federal Financial, Inc.		10,024		164,995
Essent Group Ltd. (a)		2,401		77,720
Flagstar Bancorp, Inc. (a)		2,668		71,876
Kearny Financial Corporation		8,545		132,875
LendingTree, Inc (a)		288		29,189
MGIC Investment Corporation (a)		5,712		58,205
Provident Financial Services, Inc.		4,912		139,010
Radian Group, Inc.		3,996		71,848
Washington Federal, Inc.		3,296		113,218
WSFS Financial Corporation		2,043		94,693
				1,145,112
Tobacco (0.3%):
Vector Group Ltd.		5,528		125,707
Trading Companies & Distributors (1.4%):
Air Lease Corporation		1,766		60,627
GATX Corporation		1,280		78,823
H&E Equipment Services, Inc.		2,143		49,825
Kaman Corporation		2,411		117,970
Rush Enterprises, Inc. — Class A (a)		2,128		67,883

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Trading Companies & Distributors (1.4%) cont'd
Veritiv Corporation (a)		895	$	48,106
WESCO International, Inc. (a)		1,020		67,881
				491,115
Water Utilities (1.0%):
American States Water Company		1,843		83,967
Connecticut Water Service, Inc.		1,902		106,227
Middlesex Water Company		2,093		89,873
SJW Corporation		1,709		95,670
				375,737
Total Common Stocks (Cost $31,174,416)				36,502,185
Short-Term Investments (0.0%) (b)
Money Market Funds (0.0%): (b)
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (c)		15,358		15,358
Total Short-Term Investments (Cost $15,358)				15,358
Total Investments — 100.0% (Cost $31,189,774)				36,517,543
Other assets in excess of liabilities — 0.0% (b)				13,987
NET ASSETS — 100.0%			$	36,531,530

(a)  Non-income producing security.

(b)  Less than 0.05%.

(c)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	1	Russell 2000 Mini Future, March 2017	$	67,845	$	(44	)
					$	(44	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.8%)
Aerospace & Defense (2.9%):
B/E Aerospace, Inc.		7,614	$	458,287
General Dynamics Corporation		4,045		698,410
Huntington Ingalls Industries, Inc.		3,489		642,639
Lockheed Martin Corporation		3,249		812,055
Northrop Grumman Corporation		3,477		808,681
Orbital ATK, Inc.		4,008		351,622
Raytheon Company		4,891		694,522
Rockwell Collins, Inc.		6,669		618,616
Spirit AeroSystems Holdings, Inc. — Class A		8,438		492,357
Textron, Inc.		9,239		448,646
TransDigm Group, Inc.		1,320		328,627
United Technologies Corporation		6,042		662,324
				7,016,786
Air Freight & Logistics (0.9%):
CH Robinson Worldwide, Inc.		8,602		630,182
Expeditors International of Washington, Inc.		12,459		659,829
United Parcel Service, Inc. — Class B		7,692		881,811
				2,171,822
Airlines (1.0%):
Alaska Air Group, Inc.		5,146		456,605
American Airlines Group, Inc.		7,408		345,879
Delta Air Lines, Inc.		8,560		421,066
JetBlue Airways Corporation (a)		18,192		407,865
Southwest Airlines Company		9,270		462,017
United Continental Holdings, Inc. (a)		5,025		366,222
				2,459,654
Auto Components (0.7%):
BorgWarner, Inc.		7,850		309,604
Gentex Corporation		24,710		486,540
Johnson Controls International PLC		10,368		427,058
Lear Corporation		3,009		398,301
				1,621,503
Automobiles (0.7%):
Ford Motor Company		31,652		383,939
General Motors Company		14,495		505,006
Harley-Davidson, Inc.		5,472		319,236
Thor Industries, Inc.		5,326		532,866
				1,741,047
Banks (5.4%):
Bank of America Corporation		20,931		462,575
Bank of the Ozarks, Inc.		8,218		432,185
BB&T Corporation		11,934		561,137
BOK Financial Corporation		4,858		403,408
CIT Group, Inc.		9,133		389,796

See notes to financial statements.

35

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Banks (5.4%) cont'd
Citigroup, Inc.		6,703	$	398,359
Citizens Financial Group, Inc.		13,420		478,155
Comerica, Inc.		6,797		462,944
Commerce Bancshares, Inc.		10,587		612,052
Cullen/Frost Bankers, Inc.		4,159		366,949
East West Bancorp, Inc.		8,724		443,441
Fifth Third Bancorp		16,903		455,874
First Republic Bank		5,241		482,906
Huntington Bancshares, Inc.		34,772		459,686
JPMorgan Chase & Company		6,280		541,901
KeyCorp		30,609		559,226
M&T Bank Corporation		3,673		574,567
PacWest Bancorp		7,705		419,460
People's United Financial, Inc.		28,524		552,225
PNC Financial Services Group, Inc.		5,394		630,882
Regions Financial Corporation		31,772		456,246
Signature Bank (a)		2,996		449,999
SunTrust Banks, Inc.		8,357		458,381
SVB Financial Group (a)		2,286		392,415
U.S. Bancorp		11,556		593,632
Wells Fargo & Company		9,985		550,273
Zions Bancorporation		10,432		448,993
				13,037,667
Beverages (1.7%):
Brown-Forman Corporation — Class B		12,576		564,914
Constellation Brands, Inc. — Class A		3,068		470,355
Dr Pepper Snapple Group, Inc.		7,218		654,456
Molson Coors Brewing Company — Class B		4,920		478,765
Monster Beverage Corporation (a)		8,163		361,948
PepsiCo, Inc.		8,193		857,234
The Coca-Cola Company		18,403		762,988
				4,150,660
Biotechnology (0.9%):
AbbVie, Inc.		6,290		393,880
Amgen, Inc.		2,952		431,612
Biogen, Inc. (a)		968		274,505
Gilead Sciences, Inc.		4,898		350,746
Regeneron Pharmaceuticals, Inc. (a)		717		263,204
United Therapeutics Corporation (a)		2,463		353,268
				2,067,215
Building Products (0.9%):
AO Smith Corporation		9,250		437,987
Fortune Brands Home & Security, Inc.		8,108		433,454
Lennox International, Inc.		3,688		564,891
Masco Corporation		12,341		390,222
Owens Corning		8,596		443,210
				2,269,764

See notes to financial statements.

36

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December 31, 2016

  (Unaudited)

Security Description		Shares		Value
Capital Markets (4.8%):
Affiliated Managers Group, Inc. (a)			2,006	$	291,472
Ameriprise Financial, Inc.			3,474		385,406
BlackRock, Inc.			1,107		421,258
CBOE Holdings, Inc.			9,123		674,098
Charles Schwab Corporation			9,665		381,478
CME Group, Inc.	��		5,314		612,970
Eaton Vance Corporation			9,998		418,716
FactSet Research Systems, Inc.			2,870		469,044
Franklin Resources, Inc.			10,195		403,518
Interactive Brokers Group, Inc.			10,204		372,548
Intercontinental Exchange, Inc.			8,510		480,134
Invesco Ltd.			9,721		294,935
MarketAxess Holdings, Inc.			2,605		382,727
Moody's Corporation			3,724		351,061
Morgan Stanley			9,996		422,331
MSCI, Inc.			6,564		517,112
Nasdaq, Inc.			7,820		524,878
Northern Trust Corporation			5,590		497,790
Raymond James Financial, Inc.			5,789		401,004
S&P Global, Inc.			3,436		369,507
SEI Investments Company			6,749		333,131
State Street Corporation			4,734		367,926
T. Rowe Price Group, Inc.			7,019		528,250
TD Ameritrade Holding Corporation			10,576		461,114
The Bank of New York Mellon Corporation			10,006		474,084
The Goldman Sachs Group, Inc.			2,397		573,962
					11,410,454
Chemicals (2.4%):
Axalta Coating Systems Ltd. (a)			13,482		366,710
CF Industries Holdings, Inc.			8,224		258,892
Eastman Chemical Company			6,227		468,333
Ecolab, Inc.			4,074		477,554
Huntsman Corporation			12,365		235,924
International Flavors & Fragrances, Inc.			3,100		365,273
LyondellBasell Industries NV — Class A			4,416		378,804
NewMarket Corporation			1,091		462,409
PPG Industries, Inc.			4,606		436,465
Praxair, Inc.			4,779		560,051
RPM International, Inc.			9,755		525,112
The Dow Chemical Company			9,252		529,399
The Sherwin-Williams Company			1,757		472,176
Westlake Chemical Corporation			5,352		299,659
					5,836,761
Commercial Services & Supplies (1.8%):
Cintas Corporation			4,655		537,932
Copart, Inc. (a)			9,735		539,416
KAR Auction Services, Inc.			11,637		495,969
Republic Services, Inc.			15,080		860,314

See notes to financial statements.

37

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Commercial Services & Supplies (1.8%) cont'd
Rollins, Inc.		17,367	$	586,657
Stericycle, Inc. (a)		3,408		262,552
Waste Management, Inc.		13,069		926,723
				4,209,563
Communications Equipment (1.2%):
Arista Networks, Inc. (a)		3,194		309,083
Brocade Communications Systems, Inc.		28,703		358,500
Cisco Systems, Inc.		14,982		452,756
F5 Networks, Inc. (a)		3,300		477,576
Juniper Networks, Inc.		14,073		397,703
Motorola Solutions, Inc.		6,795		563,238
Ubiquiti Networks, Inc. (a)		6,401		369,978
				2,928,834
Construction & Engineering (0.2%):
Jacobs Engineering Group, Inc. (a)		8,421		479,997
Construction Materials (0.4%):
Martin Marietta Materials, Inc.		2,150		476,289
Vulcan Materials Company		3,946		493,842
				970,131
Consumer Finance (1.0%):
American Express Company		6,672		494,262
Capital One Financial Corporation		5,258		458,708
Discover Financial Services		7,490		539,954
Navient Corporation		18,095		297,301
Santander Consumer USA Holdings, Inc. (a)		15,908		214,758
Synchrony Financial		12,716		461,209
				2,466,192
Containers & Packaging (1.9%):
AptarGroup, Inc.		7,737		568,283
Avery Dennison Corporation		6,346		445,616
Bemis Company, Inc.		10,605		507,131
Berry Plastics Group, Inc. (a)		8,109		395,151
Crown Holdings, Inc. (a)		8,812		463,247
Graphic Packaging Holding Company		27,918		348,417
International Paper Company		8,184		434,243
Packaging Corporation of America		4,390		372,360
Sealed Air Corporation		8,101		367,299
Sonoco Products Company		10,731		565,524
				4,467,271
Distributors (0.6%):
Genuine Parts Company		6,073		580,215
LKQ Corporation (a)		11,268		345,364
Pool Corporation		5,974		623,327
				1,548,906

See notes to financial statements.

38

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Diversified Consumer Services (0.4%):
Service Corporation International		19,031	$	540,480
ServiceMaster Global Holdings, Inc. (a)		10,374		390,789
				931,269
Diversified Financial Services (0.4%):
Berkshire Hathaway, Inc. — Class B (a)		5,260		857,275
Diversified Telecommunication Services (0.8%):
AT&T, Inc.		21,321		906,782
CenturyLink, Inc.		13,122		312,041
Verizon Communications, Inc.		13,452		718,068
				1,936,891
Electric Utilities (3.3%):
Alliant Energy Corporation		17,118		648,601
American Electric Power Company, Inc.		10,238		644,585
Duke Energy Corporation		8,577		665,747
Eversource Energy		12,765		705,011
Exelon Corporation		16,193		574,690
NextEra Energy, Inc.		5,853		699,199
OGE Energy Corporation		15,943		533,293
PG&E Corporation		11,308		687,187
Pinnacle West Capital Corporation		8,916		695,715
PPL Corporation		18,170		618,689
Southern Company		14,775		726,782
Xcel Energy, Inc.		16,997		691,778
				7,891,277
Electrical Equipment (1.4%):
Acuity Brands, Inc.		1,283		296,194
AMETEK, Inc.		10,827		526,192
Eaton Corporation PLC		6,802		456,346
Emerson Electric Company		9,075		505,931
Hubbell, Inc.		5,336		622,711
Rockwell Automation, Inc.		4,173		560,851
Sensata Technologies Holding NV (a)		8,299		323,246
				3,291,471
Electronic Equipment, Instruments & Components (2.3%):
Amphenol Corporation — Class A		10,146		681,811
Arrow Electronics, Inc. (a)		6,098		434,787
Avnet, Inc.		11,173		531,946
CDW Corporation		10,321		537,621
Cognex Corporation		6,311		401,506
Dolby Laboratories, Inc.		8,089		365,542
Flex Ltd. (a)		30,953		444,795
FLIR Systems, Inc.		14,604		528,519
IPG Photonics Corporation (a)		3,908		385,759
Keysight Technologies, Inc. (a)		12,123		443,338
SYNNEX Corporation		3,704		448,258
Trimble Navigation Ltd. (a)		13,189		397,648
				5,601,530

See notes to financial statements.

39

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  (Unaudited)

Security Description	Shares		Value
Energy Equipment & Services (0.2%):
FMC Technologies, Inc. (a)		10,192	$	362,122
Food & Staples Retailing (1.8%):
Casey's General Stores, Inc.		3,340		397,059
Costco Wholesale Corporation		4,069		651,488
CVS Health Corporation		6,935		547,241
Sysco Corporation		12,288		680,387
The Kroger Company		14,297		493,389
Walgreens Boots Alliance, Inc.		6,306		521,885
Wal-Mart Stores, Inc.		7,811		539,896
Whole Foods Market, Inc.		13,653		419,966
				4,251,311
Food Products (2.6%):
Archer-Daniels-Midland Company		8,601		392,636
Blue Buffalo Pet Products, Inc. (a)		10,583		254,415
Bunge Ltd.		4,797		346,535
Campbell Soup Company		9,904		598,895
General Mills, Inc.		10,576		653,280
Hormel Foods Corporation		11,984		417,163
Ingredion, Inc.		3,608		450,856
McCormick & Company, Inc.		6,770		631,844
Mead Johnson Nutrition Company		5,342		378,000
Pilgrim's Pride Corporation		15,268		289,939
Pinnacle Foods, Inc.		10,788		576,619
The Hershey Company		4,023		416,099
The J.M. Smucker Company		3,901		499,562
Tyson Foods, Inc. — Class A		6,402		394,875
				6,300,718
Gas Utilities (0.3%):
Atmos Energy Corporation		9,060		671,799
Health Care Equipment & Supplies (3.3%):
Abbott Laboratories		10,606		407,377
ABIOMED, Inc. (a)		2,477		279,108
Align Technology, Inc. (a)		3,845		369,620
Becton, Dickinson and Company		3,656		605,251
Danaher Corporation		9,857		767,269
DENTSPLY SIRONA, Inc.		8,840		510,333
Edwards Lifesciences Corporation (a)		2,949		276,321
Hologic, Inc. (a)		10,312		413,717
IDEXX Laboratories, Inc. (a)		3,770		442,108
Intuitive Surgical, Inc. (a)		817		518,117
ResMed, Inc.		7,180		445,519
Stryker Corporation		6,059		725,929
Teleflex, Inc.		3,080		496,342
The Cooper Companies, Inc.		2,841		496,976
Varian Medical Systems, Inc. (a)		5,826		523,058
West Pharmaceutical Services, Inc.		6,347		538,416
				7,815,461

See notes to financial statements.

40

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Security Description	Shares		Value
Health Care Providers & Services (3.6%):
Acadia Healthcare Company, Inc. (a)		5,252	$	173,841
Aetna, Inc.		3,830		474,958
AmerisourceBergen Corporation		5,713		446,699
Anthem, Inc.		3,479		500,176
Cardinal Health, Inc.		5,683		409,006
Cigna Corporation		3,244		432,717
Express Scripts Holdings Company (a)		6,782		466,534
HCA Holdings, Inc. (a)		6,272		464,253
Henry Schein, Inc. (a)		3,127		474,397
Humana, Inc.		2,165		441,725
Laboratory Corporation of America Holdings (a)		4,251		545,743
McKesson Corporation		2,119		297,614
MEDNAX, Inc. (a)		6,820		454,621
Patterson Companies, Inc.		10,616		435,575
Quest Diagnostics, Inc.		7,490		688,331
UnitedHealth Group, Inc.		4,841		774,754
Universal Health Services, Inc. — Class B		3,551		377,755
VCA, Inc. — Class A (a)		5,841		400,985
WellCare Health Plans, Inc. (a)		3,211		440,164
				8,699,848
Health Care Technology (0.3%):
Cerner Corporation (a)		6,624		313,779
Veeva Systems, Inc. (a)		8,174		332,682
				646,461
Hotels, Restaurants & Leisure (3.0%):
Aramark		14,507		518,190
Carnival Corporation		8,553		445,269
Darden Restaurants, Inc.		8,548		621,611
Domino's Pizza, Inc.		2,697		429,470
Hilton Worldwide Holdings, Inc.		15,836		430,739
Hyatt Hotels Corporation — Class A (a)		6,761		373,613
Las Vegas Sands Corporation		5,681		303,422
Marriott International, Inc. — Class A		5,943		491,367
McDonald's Corporation		5,988		728,859
Norwegian Cruise Line Holdings Ltd. (a)		7,490		318,550
Panera Bread Company — Class A (a)		2,260		463,504
Royal Caribbean Cruises Ltd.		3,892		319,300
Starbucks Corporation		9,177		509,507
Wyndham Worldwide Corporation		5,606		428,130
Wynn Resorts Ltd.		2,346		202,953
Yum! Brands, Inc.		8,119		514,176
				7,098,660
Household Durables (1.8%):
CalAtlantic Group, Inc.		9,145		311,021
D.R. Horton, Inc.		12,363		337,881
Harman International Industries, Inc.		2,890		321,252
Leggett & Platt, Inc.		10,711		523,554

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Household Durables (1.8%) cont'd
Lennar Corporation — Class A		9,148	$	392,724
Mohawk Industries, Inc. (a)		2,151		429,512
Newell Rubbermaid, Inc.		7,296		325,766
NVR, Inc. (a)		350		584,150
PulteGroup, Inc.		18,671		343,173
Toll Brothers, Inc. (a)		11,297		350,207
Whirlpool Corporation		2,299		417,889
				4,337,129
Household Products (1.3%):
Church & Dwight Company, Inc.		13,178		582,336
Kimberly-Clark Corporation		5,572		635,877
Procter & Gamble Company		9,667		812,801
Spectrum Brands Holdings, Inc.		3,713		454,211
The Clorox Company		5,506		660,830
				3,146,055
Industrial Conglomerates (1.1%):
3M Company		4,161		743,030
Carlisle Companies, Inc.		5,243		578,250
Honeywell International, Inc.		5,814		673,552
Roper Technologies, Inc.		2,846		521,046
				2,515,878
Insurance (6.1%):
Aflac, Inc.		9,163		637,745
Alleghany Corporation (a)		1,169		710,892
American Financial Group, Inc.		9,004		793,432
AmTrust Financial Services, Inc.		15,027		411,439
Arthur J Gallagher & Company		12,533		651,215
Brown & Brown, Inc.		16,901		758,179
Cincinnati Financial Corporation		8,836		669,327
Erie Indemnity Company — Class A		5,624		632,419
First American Financial Corporation		11,454		419,560
Hartford Financial Services Group, Inc.		10,552		502,803
Lincoln National Corporation		5,714		378,667
Markel Corporation (a)		676		611,442
Marsh & McLennan Companies, Inc.		10,974		741,733
MetLife, Inc.		7,222		389,194
Old Republic International Corporation		35,941		682,879
Principal Financial Group, Inc.		7,124		412,195
Progressive Corporation		20,843		739,926
Prudential Financial, Inc.		4,405		458,384
Reinsurance Group of America, Inc.		5,204		654,819
The Allstate Corporation		10,820		801,978
The Travelers Companies, Inc.		5,628		688,980
Torchmark Corporation		8,567		631,902
Unum Group		10,223		449,096
W.R. Berkley Corporation		11,053		735,135
				14,563,341

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Internet & Catalog Retail (0.4%):
Netflix, Inc. (a)		2,500	$	309,500
The Priceline Group, Inc. (a)		236		345,990
TripAdvisor, Inc. (a)		4,601		213,349
				868,839
Internet & Direct Marketing Retail (0.1%):
Amazon.com, Inc. (a)		459		344,190
Internet Software & Services (0.8%):
Akamai Technologies, Inc. (a)		4,846		323,132
Alphabet, Inc. — Class A (a)		636		503,998
eBay, Inc. (a)		10,938		324,749
Facebook, Inc. — Class A (a)		2,863		329,388
VeriSign, Inc. (a)		5,958		453,225
				1,934,492
IT Services (5.0%):
Alliance Data Systems Corporation		1,309		299,107
Amdocs Ltd.		10,449		608,654
Automatic Data Processing, Inc.		7,109		730,663
Black Knight Financial Services, Inc. (a)		9,530		360,234
Booz Allen Hamilton Holding Corporation		17,282		623,362
Broadridge Financial Solutions, Inc.		8,818		584,633
Cognizant Technology Solutions Corporation — Class A (a)		7,056		395,348
Fidelity National Information Services, Inc.		6,424		485,911
Fiserv, Inc. (a)		5,926		629,815
FleetCor Technologies, Inc. (a)		2,280		322,666
Gartner, Inc. (a)		5,736		579,738
Genpact Ltd. (a)		22,979		559,309
Global Payments, Inc.		4,656		323,173
International Business Machines Corporation		3,294		546,771
Jack Henry & Associates, Inc.		7,462		662,476
Leidos Holdings, Inc.		5,738		293,441
MasterCard, Inc. — Class A		5,151		531,841
Paychex, Inc.		9,729		592,302
PayPal Holdings, Inc. (a)		10,108		398,963
Sabre Corporation		14,431		360,053
The Western Union Company		22,259		483,465
Total System Services, Inc.		7,001		343,259
Vantiv, Inc. — Class A (a)		8,226		490,434
Visa, Inc. — Class A		5,957		464,765
WEX, Inc. (a)		2,956		329,890
				12,000,273
Leisure Products (0.3%):
Hasbro, Inc.		5,934		461,606
Polaris Industries, Inc.		3,769		310,528
				772,134

See notes to financial statements.

43

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  (Unaudited)

Security Description	Shares		Value
Life Sciences Tools & Services (1.5%):
Agilent Technologies, Inc.		10,124	$	461,249
Bio-Rad Laboratories, Inc. (a)		3,675		669,879
Illumina, Inc. (a)		1,340		171,574
Mettler-Toledo International, Inc. (a)		1,279		535,338
PerkinElmer, Inc.		7,970		415,635
Quintiles Transnational Holdings, Inc. (a)		6,316		480,332
Thermo Fisher Scientific, Inc.		3,566		503,163
Waters Corporation (a)		3,527		473,994
				3,711,164
Machinery (3.6%):
Allison Transmission Holdings, Inc.		16,540		557,233
Cummins, Inc.		3,529		482,308
Deere & Company		4,797		494,283
Donaldson Company, Inc.		12,144		511,020
Dover Corporation		6,046		453,027
Flowserve Corporation		7,248		348,266
IDEX Corporation		6,329		569,990
Illinois Tool Works, Inc.		5,434		665,448
Ingersoll-Rand PLC		6,861		514,849
Middleby Corporation (a)		3,066		394,931
Nordson Corporation		3,529		395,424
Parker-Hannifin Corporation		3,810		533,400
Snap-on, Inc.		3,325		569,473
Stanley Black & Decker, Inc.		4,368		500,966
The Toro Company		11,184		625,745
Wabtec Corporation		5,121		425,145
Xylem, Inc.		11,983		593,398
				8,634,906
Media (2.7%):
CBS Corporation — Class B		8,184		520,666
Cinemark Holdings, Inc.		11,387		436,805
Comcast Corporation — Class A		9,752		673,376
Discovery Communications, Inc. (a)		13,839		379,327
Omnicom Group, Inc.		6,778		576,876
Scripps Networks Interactive, Inc. — Class A		6,537		466,546
Sirius XM Holdings, Inc.		135,539		603,148
TEGNA, Inc.		17,577		375,972
The Interpublic Group of Companies. Inc.		22,359		523,424
The Walt Disney Company		6,450		672,219
Time Warner, Inc.		6,205		598,969
Twenty-First Century Fox, Inc. — Class A		19,416		544,425
Viacom, Inc.		5,595		196,384
				6,568,137
Metals & Mining (0.2%):
Reliance Steel & Aluminum Company		5,589		444,549

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Multiline Retail (0.8%):
Dollar General Corporation		4,734	$	350,647
Dollar Tree, Inc. (a)		4,637		357,884
Kohl's Corporation		5,594		276,232
Macy's, Inc.		7,598		272,084
Nordstrom, Inc.		5,605		268,648
Target Corporation		6,765		488,636
				2,014,131
Multi-Utilities (2.6%):
Ameren Corporation		13,670		717,128
CMS Energy Corporation		16,549		688,769
Consolidated Edison, Inc.		8,830		650,595
Dominion Resources, Inc.		9,521		729,213
DTE Energy Company		7,389		727,890
Public Service Enterprise Group, Inc.		15,491		679,745
SCANA Corporation		9,648		707,006
Sempra Energy		5,829		586,631
WEC Energy Group, Inc.		11,094		650,663
				6,137,640
Oil, Gas & Consumable Fuels (1.1%):
Cheniere Energy Partners LP Holdings LLC		14,898		333,268
Exxon Mobil Corporation		6,291		567,826
Marathon Petroleum Corporation		5,592		281,557
ONEOK, Inc.		4,408		253,063
Phillips 66		5,349		462,207
Plains GP Holdings LP		4,686		162,511
Tesoro Corporation		3,327		290,946
Valero Energy Corporation		5,621		384,027
				2,735,405
Personal Products (0.2%):
Estee Lauder Companies, Inc.		6,679		510,877
Pharmaceuticals (1.4%):
Eli Lilly and Company		6,678		491,167
Johnson & Johnson		7,155		824,328
Mallinckrodt PLC (a)		2,846		141,788
Merck & Company, Inc.		8,813		518,821
Mylan NV (a)		6,516		248,585
Pfizer, Inc.		18,679		606,694
Zoetis, Inc.		9,763		522,613
				3,353,996
Professional Services (1.1%):
Dun & Bradstreet Corporation		3,185		386,404
Equifax, Inc.		3,965		468,782
ManpowerGroup, Inc.		4,542		403,648
Nielsen Holdings PLC		11,685		490,186
Robert Half International, Inc.		8,369		408,240
Verisk Analytics, Inc. (a)		6,991		567,459
				2,724,719

See notes to financial statements.

45

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  (Unaudited)

Security Description	Shares		Value
Real Estate Management & Development (0.4%):
CBRE Group, Inc. — Class A (a)		10,077	$	317,325
Jones Lang LaSalle, Inc.		2,235		225,824
The Howard Hughes Corporation (a)		2,946		336,139
				879,288
Road & Rail (1.4%):
AMERCO		1,179		435,747
CSX Corporation		14,435		518,649
JB Hunt Transport Services, Inc.		6,508		631,731
Kansas City Southern		4,307		365,449
Norfolk Southern Corporation		4,197		453,570
Old Dominion Freight Line, Inc. (a)		5,712		490,032
Union Pacific Corporation		4,767		494,243
				3,389,421
Semiconductors & Semiconductor Equipment (1.9%):
Analog Devices, Inc.		7,833		568,832
Applied Materials, Inc.		11,641		375,655
Intel Corporation		13,166		477,531
Lam Research Corporation		4,299		454,533
NVIDIA Corporation		5,262		561,666
ON Semiconductor Corporation (a)		26,656		340,131
QUALCOMM, Inc.		6,213		405,088
Skyworks Solutions, Inc.		3,781		282,289
Texas Instruments, Inc.		7,251		529,106
Xilinx, Inc.		8,222		496,362
				4,491,193
Software (2.8%):
Activision Blizzard, Inc.		7,741		279,528
Adobe Systems, Inc. (a)		4,203		432,699
ANSYS, Inc. (a)		5,221		482,891
CA, Inc.		16,178		513,975
Cadence Design Systems, Inc. (a)		19,367		488,436
CDK Global, Inc.		8,206		489,816
Citrix Systems, Inc. (a)		4,439		396,447
Manhattan Associates, Inc. (a)		4,772		253,059
Microsoft Corporation		7,980		495,877
Oracle Corporation		13,958		536,685
Red Hat, Inc. (a)		5,586		389,344
Symantec Corporation		12,816		306,174
Synopsys, Inc. (a)		10,627		625,505
Tyler Technologies, Inc. (a)		1,905		271,977
Ultimate Software Group, Inc. (a)		1,686		307,442
VMware, Inc. — Class A (a)		4,730		372,393
				6,642,248
Specialty Retail (3.8%):
Advance Auto Parts, Inc.		3,007		508,544
AutoNation, Inc. (a)		6,563		319,290
AutoZone, Inc. (a)		829		654,736

See notes to financial statements.

46

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Specialty Retail (3.8%) cont'd
Bed Bath & Beyond, Inc.		9,385	$	381,406
Best Buy Company, Inc.		7,502		320,110
Burlington Stores, Inc. (a)		4,029		341,458
CarMax, Inc. (a)		5,148		331,480
Dick's Sporting Goods, Inc.		5,910		313,821
Foot Locker, Inc.		5,912		419,102
L Brands, Inc.		4,856		319,719
Lowe's Companies, Inc.		6,823		485,252
Michaels Companies, Inc. (a)		13,906		284,378
O'Reilly Automotive, Inc. (a)		1,871		520,905
Ross Stores, Inc.		7,960		522,176
Signet Jewelers Ltd.		3,336		314,451
The Gap, Inc.		10,804		242,442
The Home Depot, Inc.		4,526		606,846
The TJX Companies, Inc.		7,216		542,138
Tiffany & Company		5,855		453,353
Tractor Supply Company		5,919		448,719
Ulta Salon, Cosmetics & Fragrances, Inc. (a)		1,415		360,740
Urban Outfitters, Inc. (a)		7,483		213,116
Williams-Sonoma, Inc.		6,175		298,808
				9,202,990
Technology Hardware, Storage & Peripherals (0.3%):
Apple, Inc.		4,148		480,421
HP, Inc.		23,356		346,603
				827,024
Textiles, Apparel & Luxury Goods (0.8%):
Carter's, Inc.		4,046		349,534
Coach, Inc.		9,724		340,534
Hanesbrands, Inc.		12,005		258,948
NIKE, Inc. — Class B		8,239		418,788
PVH Corporation		2,944		265,667
VF Corporation		7,039		375,531
				2,009,002
Thrifts & Mortgage Finance (0.3%):
TFS Financial Corporation		33,665		640,982
Tobacco (0.9%):
Altria Group, Inc.		11,981		810,155
Philip Morris International, Inc.		7,458		682,332
Reynolds American, Inc.		12,271		687,667
				2,180,154
Trading Companies & Distributors (1.1%):
Fastenal Company		11,032		518,283
MSC Industrial Direct Company, Inc.		7,402		683,871
United Rentals, Inc. (a)		2,718		286,966
W.W. Grainger, Inc.		2,372		550,897
Watsco, Inc.		3,772		558,709
				2,598,726

See notes to financial statements.

47

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Transportation Infrastructure (0.2%):
Macquarie Infrastructure Company LLC		4,616	$	377,127
Water Utilities (0.5%):
American Water Works Company, Inc.		7,699		557,100
Aqua America, Inc.		20,663		620,716
				1,177,816
Wireless Telecommunication Services (0.2%):
T-Mobile US, Inc. (a)		8,826		507,583
Total Common Stocks (Cost $223,322,546)				239,451,729
Short-Term Investments (0.1%)
Money Market Funds (0.1%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (b)		244,890		244,890
Total Short-Term Investments (Cost $244,890)				244,890
Total Investments — 99.9% (Cost $223,567,436)				239,696,619
Other assets in excess of liabilities — 0.1%				218,942
NET ASSETS — 100.0%			$	239,915,561

(a)  Non-income producing security.

(b)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	3	S&P 500 E-Mini Future, March 2017	$	335,430	$	(1,682	)
					$	(1,682	)

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (25.2%)
Australia (1.2%):
AMP Ltd.		5,310	$	19,313
Aristocrat Leisure Ltd.		1,596		17,852
ASX Ltd.		748		26,849
Australia & New Zealand Banking Group Ltd.		972		21,338
Brambles Ltd.		2,618		23,427
Caltex Australia Ltd.		848		18,640
CIMIC Group Ltd.		524		13,212
Commonwealth Bank of Australia		449		26,703
Crown Resorts Ltd.		1,820		15,209
CSL Ltd.		324		23,477
Fortescue Metals Group Ltd.		2,019		8,582
Insurance Australia Group Ltd.		5,535		23,926
Macquarie Group Ltd.		274		17,227
Newcrest Mining Ltd.		648		9,470
QBE Insurance Group Ltd.		2,344		21,009
Ramsay Health Care Ltd.		374		18,434
Sonic Healthcare Ltd.		1,272		19,644
Suncorp Group Ltd.		2,518		24,568
Telstra Corporation Ltd.		7,604		27,986
TPG Telecom Ltd.		2,643		13,008
Westpac Banking Corporation		922		21,691
				411,565
Austria (0.0%): (a)
Erste Group Bank AG		448		13,122
Belgium (0.3%):
Anheuser-Busch InBev SA/NV		174		18,417
Colruyt SA		448		22,167
Proximus SADP		772		22,234
Solvay SA — Class A		149		17,465
UCB SA		199		12,759
Umicore SA		299		17,043
				110,085
Canada (3.1%):
Brookfield Asset Management, Inc. — Class A (b)		2,500		82,486
Fortis, Inc.		2,500		77,198
Gildan Activewear, Inc. (b)		2,500		63,475
Great-West Lifeco, Inc.		2,500		65,486
Hydro One Ltd. (Acquired 09/16/16 through 12/20/16, Cost $97,118) (b) (c)		5,000		87,812
Inter Pipeline Ltd. (b)		2,500		55,189
Loblaw Companies Ltd. (b)		2,500		131,903
Lululemon Athletica, Inc. (b)		523		33,990
Manulife Financial Corporation (b)		2,500		44,520
National Bank of Canada (b)		2,500		101,534
Potash Corporation of Saskatchewan, Inc. (b)		2,500		45,228
Power Corporation of Canada		2,500		55,953
Power Financial Corporation		2,500		62,488

See notes to financial statements.

49

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  (Unaudited)

Security Description	Shares		Value
Canada (3.1%) cont'd
Rogers Communications, Inc. — Class B		2,500	$	96,433
Shaw Communications, Inc. — Class B (b)		5,000		100,324
				1,104,019
Denmark (0.4%):
Chr. Hansen Holding A/S		349		19,327
Danske Bank A/S		598		18,137
DSV A/S		349		15,526
ISS A/S		623		21,030
Novo Nordisk A/S — Class B		349		12,586
Novozymes A/S — Class B		374		12,895
Pandora A/S		125		16,354
Vestas Wind System A/S		174		11,308
				127,163
Finland (0.3%):
Kone OYJ — Class B		374		16,760
Neste Oyj		423		16,252
Sampo Oyj — Class A		423		18,964
Stora Enso Oyj — Class R		1,544		16,594
UPM-Kymmene Oyj		697		17,125
Wartsila Oyj Abp		423		19,004
				104,699
France (2.5%):
Accor SA		349		13,016
Aeroports de Paris		249		26,683
Air Liquide SA		199		22,131
Airbus Group SE		274		18,125
Arkema SA		174		17,023
Atos SE		174		18,362
AXA SA		573		14,467
BNP Paribas SA		224		14,277
Bollore SA		5,305		18,708
Bureau Veritas SA		1,171		22,693
Capgemini SA		174		14,680
Carrefour SA		648		15,614
Christian Dior SE		125		26,218
Cie de Saint-Gobain		374		17,423
Cie Generale des Etablissements Michelin		199		22,142
CNP Assurances		897		16,618
Credit Agricole SA		1,220		15,128
Danone SA		324		20,532
Dassault Aviation SA		25		27,937
Dassault Systemes SE		249		18,974
Eiffage SA		274		19,108
Essilor International SA		174		19,662
Hermes International		50		20,527
Iliad SA		75		14,420
Ingenico Group SA		149		11,900
JCDecaux SA		448		13,171

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
France (2.5%) cont'd
Kering		100	$	22,453
Legrand SA		324		18,400
L'Oreal SA		125		22,816
LVMH Moet Hennessy Louis Vuitton SE		100		19,095
Natixis SA		2,391		13,491
Orange SA		1,220		18,538
Pernod Ricard SA		199		21,566
Peugeot SA (b)		697		11,369
Publicis Groupe SA		274		18,906
Renault SA		149		13,255
Sanofi		274		22,180
Sartorius Stedim Biotech		224		14,141
Schneider Electric SE		224		15,588
SEB SA		125		16,941
Societe BIC SA		149		20,257
Societe Generale SA		274		13,483
Sodexo SA		199		22,875
Suez		1,171		17,276
Thales SA		249		24,148
Valeo SA		249		14,314
Veolia Environnement SA		922		15,699
Vinci SA		299		20,364
Zodiac Aerospace		399		9,163
				885,857
Germany (1.6%):
Allianz SE		125		20,658
BASF SE		249		23,147
Bayer AG		174		18,157
Bayerische Motoren Werk AG		174		16,256
Beiersdorf AG		274		23,247
Brenntag AG		349		19,397
Commerzbank AG		1,619		12,349
Continental AG		75		14,503
Daimler AG		224		16,675
Deutsche Boerse AG		224		18,019
Deutsche Post AG		623		20,484
Deutsche Telekom AG		1,370		23,586
Evonik Industries AG		523		15,624
Fielmann AG		349		23,053
Fresenius Medical Care AG & Company KGaA		249		21,087
Fresenius SE & Company KGaA		274		21,419
GEA Group AG		324		13,039
Hannover Rueck SE		199		21,534
HOCHTIEF AG		125		17,507
Infineon Technologies AG		971		16,875
Linde AG		100		16,432
Merck KGaA		199		20,770
Muenchener Rueckversicherungs-Gesellschaft AG — Class R		125		23,639
ProSiebenSat.1 Media SE		448		17,265

See notes to financial statements.

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December 31, 2016

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Security Description	Shares		Value
Germany (1.6%) cont'd
SAP SE		274	$	23,885
Siemens AG		174		21,393
Symrise AG		274		16,680
Talanx AG		672		22,474
Vonovia SE		573		18,641
				557,795
Hong Kong (2.4%):
AIA Group Ltd.		5,000		28,209
Bank Of East Asia Ltd.		5,000		19,150
Beijing Enterprise Holdings Ltd.		12,500		59,079
China Taiping Insurance Holdings Company Ltd. (b)		5,000		10,317
China Unicom Hong Kong Ltd.		50,000		58,224
Chow Tai Fook Jewellery Group Ltd.		20,000		15,294
CITIC Ltd.		25,000		35,786
Dairy Farm International Holdings Ltd.		5,000		35,950
Fullshare Holdings Ltd.		125,000		58,353
Guangdong Investment Ltd.		50,000		66,026
Hanergy Thin Film Power Group Ltd. (b) (d)		26,000		570
Hang Lung Properties Ltd.		25,000		53,002
Hang Seng Bank Ltd.		2,500		46,521
Hong Kong & China Gas Company Ltd.		49,640		87,956
Hongkong Land Holdings Ltd.		2,500		15,825
MTR Corporation Ltd.		12,500		60,771
New World Development Company Ltd.		50,000		52,873
Sino Land Company Ltd.		50,000		74,924
Swire Properties Ltd.		15,000		41,395
WH Group Ltd. (Acquired 09/18/15 through 12/20/16, Cost $15,359) (c)		25,000		20,214
				840,439
Ireland (0.4%):
Accenture PLC — Class A		224		26,237
Bank of Ireland (b)		38,257		9,464
CRH PLC		448		15,625
DCC PLC		224		16,674
Experian PLC		1,219		23,646
Jazz Pharmaceuticals PLC (b)		125		13,629
Kerry Group PLC — Class A		274		19,518
Medtronic PLC		349		24,859
				149,652
Israel (0.2%):
Bank Hapoalim BM		4,997		29,719
Check Point Software Technologies Ltd. (b)		324		27,365
Mobileye NV (b)		199		7,586
Teva Pharmaceutical Industries Ltd.		373		13,392
				78,062
Italy (0.6%):
Assicurazioni Generali SpA		897		13,332
Atlantia SpA		747		17,504

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Italy (0.6%) cont'd
Davide Campari-Milano SpA		1,694	$	16,566
Enel SpA		3,786		16,691
EXOR NV		274		11,820
Intesa Sanpaolo SpA		3,661		9,349
Leonardo-Finmeccanica SpA (b)		1,071		15,039
Luxottica Group SpA		374		20,118
Mediobanca SpA		1,171		9,559
Prada SpA		5,000		16,958
Snam SpA		4,832		19,908
Terna Rete Elettrica Nazionale SpA		3,985		18,256
UniCredit SpA		2,765		7,958
				193,058
Japan (4.3%):
Astellas Pharma, Inc.		2,500		34,727
Canon, Inc.		2,500		70,481
Chubu Electric Power Company, Inc.		2,500		34,930
Hankyu Hanshin Holdings, Inc.		2,500		80,214
Isuzu Motors Ltd.		2,500		31,679
Japan Airlines Company Ltd.		2,500		73,048
Japan Exchange Group, Inc.		2,500		35,722
Japan Post Bank Company Ltd.		2,500		30,011
Japan Post Holdings Company Ltd.		2,500		31,209
Komatsu Ltd.		2,500		56,631
Kubota Corporation		2,500		35,690
Kyowa Hakko Kirin Company Ltd.		2,500		34,567
Mazda Motor Corporation		2,500		40,898
Mitsubishi Electric Corp.		2,500		34,856
Mitsubishi UFJ Financial Group, Inc.		2,500		15,405
Mizuho Financial Group, Inc.		7,500		13,463
NGK Insulators Ltd.		2,500		48,492
Nippon Paint Holdings Company Ltd.		2,500		68,128
Nissan Motor Company Ltd.		2,500		25,144
NTT DOCOMO, Inc.		2,500		56,963
Obayashi Corporation		2,500		23,893
Odakyu Electric Railway Company Ltd.		2,500		49,476
Ono Pharmaceutical Company Ltd.		2,500		54,663
ORIX Corporation		2,500		39,016
Panasonic Corporation		2,500		25,444
Rakuten, Inc.		2,500		24,503
Renesas Electronics Corporation		5,000		39,701
Resona Holdings, Inc.		2,500		12,823
Ricoh Company Ltd.		5,000		42,267
Sekisui Chemical Company Ltd.		2,500		39,872
Sekisui House Ltd.		2,500		41,615
Sumitomo Dainippon Pharma Company Ltd.		2,500		42,995
Sumitomo Electric Industries Ltd.		2,500		36,075
Suntory Beverage & Food Ltd.		2,500		103,850
Unicharm Corporation		2,500		54,706
Yahoo Japan Corporation		10,000		38,417
				1,521,574

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description		Shares		Value
Netherlands (0.7%):
AerCap Holdings NV (b)			299	$	12,441
Akzo Nobel NV			274		17,130
ASML Holding NV			174		19,534
GrandVision NV (Acquired 09/16/16 through 12/20/16, Cost $19,764) (c)			722		15,888
Heineken Holding NV			349		24,298
Heineken NV			324		24,304
ING Groep NV			971		13,666
Koninklijke Ahold Delhaize NV			996		21,000
Koninklijke DSM NV			324		19,427
Koninklijke KPN NV			5,753		17,041
Koninklijke Vopak NV			324		15,305
NN Group NV			523		17,725
Randstad Holding NV			274		14,863
Wolters Kluwer NV			598		21,667
					254,289
New Zealand (0.1%):
Auckland International Airport Ltd.	��		3,960		17,194
Norway (0.3%):
DNB ASA			1,195		17,769
Gjensidige Forsikring ASA			1,295		20,545
Marine Harvest ASA			1,270		22,899
Orkla ASA			2,714		24,577
Yara International ASA			498		19,608
					105,398
Portugal (0.1%):
EDP-Energias de Portugal SA			5,181		15,784
Jeronimo Martins SGPS SA			1,196		18,557
					34,341
Singapore (0.6%):
CapitaLand Ltd.			10,000		20,854
DBS Group Holdings Ltd.			2,500		29,935
Keppel Corporation Ltd.			2,500		9,996
Oversea-Chinese Banking Corporation Ltd.			5,000		30,798
Singapore Airlines Ltd.			5,000		33,388
Singapore Technologies Engineering Ltd.			7,500		16,728
Singapore Telecommunications Ltd.			7,500		18,903
United Overseas Bank Ltd.			2,500		35,217
					195,819
South Africa (0.0%): (a)
Steinhoff International Holdings NV			2,017		10,412
Spain (0.8%):
Abertis Infraestructuras SA			1,345		18,823
ACS Actividades de Construccion y Servicios SA			498		15,737
Aena SA (Acquired 03/18/16 through 12/20/16, Cost $19,017) (c)			149		20,335
Amadeus IT Group SA			448		20,359
Banco de Sabadell SA			7,597		10,580

See notes to financial statements.

54

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Spain (0.8%) cont'd
Banco Santander SA		2,242	$	11,704
Bankia SA		12,155		12,424
Bankinter SA		2,341		18,137
Enagas SA		897		22,780
Ferrovial SA		897		16,047
Gamesa Corp Tecnologica SA		523		10,609
Gas Natural SDG SA		897		16,911
Grifols SA		1,046		20,788
Iberdrola SA		3,263		21,413
Industria de Diseno Textil SA		548		18,707
Mapfre SA		4,981		15,205
Red Electrica Corp SA		1,395		26,322
				296,881
Sweden (0.8%):
Alfa Laval AB		921		15,245
Assa Abloy AB — Class B		872		16,185
Atlas Copco AB — Class A		523		15,930
Autoliv, Inc.		149		16,859
Hennes & Mauritz AB — Class B		573		15,937
Hexagon AB — Class B		423		15,113
ICA Gruppen AB		523		15,953
Investment AB Latour		473		17,766
L E Lundbergforetagen AB — Class B		398		24,398
Nordea Bank AB		1,668		18,546
Skanska AB — Class B		772		18,227
SKF AB — Class B		872		16,042
Svenska Cellulosa AB SCA — Class B		623		17,595
Svenska Handelsbanken AB — Class A		1,220		16,953
Swedbank AB — Class A		747		18,063
Swedish Match AB		598		19,022
Telefonaktiebolaget LM Ericsson — Class B		2,042		11,991
Volvo AB — Class B		1,370		16,000
				305,825
Switzerland (1.8%):
ABB Ltd.		1,045		22,043
Actelion Ltd.		149		32,264
Barry Callebaut AG		25		30,590
Chubb Ltd.		224		29,595
Cie Financiere Richemont SA		348		23,051
Coca-Cola HBC AG		871		19,000
EMS-Chemie Holding AG		100		50,820
Garmin Ltd.		424		20,560
Geberit AG		75		30,065
Julius Baer Group Ltd.		348		15,457
Kuehne + Nagel International AG — Class R		224		29,609
Lonza Group AG		149		25,797
Nestle SA		373		26,758
Novartis AG		323		23,504

See notes to financial statements.

55

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Switzerland (1.8%) cont'd
Partners Group Holding AG		50	$	23,434
Roche Holdings AG		124		28,324
Schindler Holding AG		149		26,279
Sonova Holding AG		199		24,115
Swatch Group AG		75		23,326
Swiss Life Holding AG		75		21,226
Swiss Re AG		249		23,597
Swisscom AG		50		22,395
TE Connectivity Ltd.		598		41,429
UBS Group AG		920		14,410
Wolseley PLC		348		21,281
				648,929
United Kingdom (2.7%):
3i Group PLC		1,890		16,398
Admiral Group PLC		672		15,131
Aon PLC		274		30,559
Ashtead Group PLC		796		15,500
Associated British Foods PLC		373		12,618
Aviva PLC		2,214		13,272
Babcock International Group PLC		1,418		16,654
BAE Systems PLC		3,383		24,661
Barratt Developments PLC		1,393		7,938
British American Tobacco PLC		448		25,516
BT Group PLC		3,258		14,732
Bunzl PLC		895		23,262
Burberry Group PLC		871		16,069
Coca-Cola European Partners PLC		324		10,174
Compass Group PLC		1,368		25,306
Delphi Automotive PLC		199		13,403
Diageo PLC		995		25,874
Direct Line Insurance Group PLC		3,482		15,852
GKN PLC		3,830		15,657
Hargreaves Lansdown PLC		672		10,046
IHS Markit Ltd. (b)		523		18,519
Imperial Brands PLC		522		22,789
InterContinental Hotels Group PLC		348		15,603
International Consolidated Airlines Group SA		1,915		10,406
ITV PLC		4,402		11,197
Johnson Matthey PLC		423		16,588
Kingfisher PLC		3,830		16,535
Legal & General Group PLC		3,855		11,763
Marks & Spencer Group PLC		2,985		12,876
Merlin Entertainments PLC (Acquired 08/01/16 through 12/20/16, Cost $20,107) (c)		3,233		17,874
Michael Kors Holdings Ltd. (b)		249		10,702
National Grid PLC		2,015		23,631
Next PLC		174		10,685
Old Mutual PLC		5,323		13,599
Pentair PLC		299		16,765

See notes to financial statements.

56

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
United Kingdom (2.7%) cont'd
Persimmon PLC		373	$	8,164
Prudential PLC		672		13,479
Reckitt Benckiser Group PLC		298		25,289
RELX NV		1,345		22,639
RELX PLC		1,393		24,876
Royal Mail PLC		2,985		16,999
RSA Insurance Group PLC		2,960		21,377
Sage Group PLC		2,039		16,459
Schroders PLC		348		12,858
Severn Trent PLC		945		25,878
Sky PLC		1,766		21,568
Smith & Nephew PLC		1,492		22,451
Smiths Group PLC		1,094		19,091
SSE PLC		1,020		19,522
St James's Place PLC		1,020		12,747
Standard Life PLC		2,736		12,543
Taylor Wimpey PLC		4,029		7,622
Unilever PLC		572		23,210
United Utilities Group PLC		2,139		23,751
Whitbread PLC		298		13,868
WPP PLC		970		21,709
				964,254
Total Common Stocks (Cost $8,631,975)				8,930,432
Short-Term Investments (74.8%)
Money Market Funds (74.8%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (e)		26,487,548		26,487,548
Total Short-Term Investments (Cost $26,487,548)				26,487,548
Total Investments — 100.0% (Cost $35,119,523)				35,417,980
Other assets in excess of liabilities — 0.0% (a)				4,351
NET ASSETS — 100.0%			$	35,422,331

(a)  Less than 0.05%.

(b)  Non-income producing security.

(c)  Restricted securities as defined in Rule 144(a) and Regulation S under the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund's liquidity guidlelines. The value of those securities total $162,123 or 0.46% of net assets.

(d)  As of December 31, 2016, the Fund has fair valued this security. This security is deemed illiquid according to the Fund's liquidity guidelines. The value of this security was $570 or 0.00% of net assets.

(e)  Annualized seven-day yield as of December 31, 2016.

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.7%)
Aerospace & Defense (1.6%):
Lockheed Martin Corporation		19,473	$	4,867,082
Air Freight & Logistics (1.7%):
United Parcel Service, Inc. — Class B		45,735		5,243,060
Automobiles (1.7%):
Ford Motor Company		188,674		2,288,616
General Motors Company		86,356		3,008,643
				5,297,259
Banks (5.6%):
BB&T Corporation		71,208		3,348,200
Cullen/Frost Bankers, Inc.		24,761		2,184,663
Huntington Bancshares, Inc.		207,366		2,741,379
PacWest Bancorp		45,860		2,496,618
People's United Financial, Inc.		169,933		3,289,903
Wells Fargo & Company		59,516		3,279,927
				17,340,690
Beverages (1.5%):
The Coca-Cola Company		109,595		4,543,809
Biotechnology (0.8%):
AbbVie, Inc.		37,478		2,346,872
Capital Markets (3.5%):
Ameriprise Financial, Inc.		20,747		2,301,672
CME Group, Inc.		31,574		3,642,061
Invesco Ltd.		57,876		1,755,958
T. Rowe Price Group, Inc.		41,837		3,148,653
				10,848,344
Chemicals (2.7%):
CF Industries Holdings, Inc.		49,034		1,543,590
Huntsman Corporation		73,693		1,406,062
LyondellBasell Industries NV — Class A		26,357		2,260,904
The Dow Chemical Company		55,081		3,151,735
				8,362,291
Communications Equipment (0.9%):
Cisco Systems, Inc.		89,297		2,698,555
Consumer Finance (0.6%):
Navient Corporation		107,906		1,772,896
Containers & Packaging (2.7%):
International Paper Company		48,712		2,584,659
Packaging Corporation of America		26,160		2,218,891
Sonoco Products Company		64,026		3,374,170
				8,177,720

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Diversified Telecommunication Services (3.8%):
AT&T, Inc.		127,151	$	5,407,732
CenturyLink, Inc.		78,309		1,862,188
Verizon Communications, Inc.		80,220		4,282,144
				11,552,064
Electric Utilities (13.9%):
Alliant Energy Corporation		101,998		3,864,704
American Electric Power Company, Inc.		61,045		3,843,393
Duke Energy Corporation		51,173		3,972,048
Eversource Energy		76,192		4,208,084
Exelon Corporation		96,531		3,425,885
OGE Energy Corporation		95,023		3,178,520
PG&E Corporation		67,430		4,097,721
Pinnacle West Capital Corporation		53,135		4,146,124
PPL Corporation		108,234		3,685,368
Southern Company		88,132		4,335,213
Xcel Energy, Inc.		101,266		4,121,526
				42,878,586
Electrical Equipment (1.9%):
Eaton Corporation PLC		40,610		2,724,525
Emerson Electric Company		54,182		3,020,646
				5,745,171
Food & Staples Retailing (1.0%):
Wal-Mart Stores, Inc.		46,455		3,210,970
Food Products (1.3%):
Archer-Daniels-Midland Company		51,362		2,344,675
Pilgrim's Pride Corporation		91,111		1,730,198
				4,074,873
Hotels, Restaurants & Leisure (4.1%):
Carnival Corporation		50,939		2,651,884
Darden Restaurants, Inc.		50,913		3,702,393
Las Vegas Sands Corporation		33,792		1,804,831
McDonald's Corporation		35,772		4,354,168
				12,513,276
Household Products (2.8%):
Kimberly-Clark Corporation		33,176		3,786,045
Procter & Gamble Company		57,720		4,853,098
				8,639,143
Insurance (10.5%):
American Financial Group, Inc.		53,586		4,721,998
Arthur J Gallagher & Company		74,786		3,885,881
Cincinnati Financial Corporation		52,736		3,994,752
Erie Indemnity Company — Class A		33,619		3,780,456
MetLife, Inc.		42,984		2,316,408
Old Republic International Corporation		214,260		4,070,940
Principal Financial Group, Inc.		42,432		2,455,115

See notes to financial statements.

59

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Security Description	Shares		Value
Insurance (10.5%) cont'd
Progressive Corporation		124,306	$	4,412,863
Prudential Financial, Inc.		26,243		2,730,847
				32,369,260
IT Services (3.7%):
International Business Machines Corporation		19,532		3,242,117
Leidos Holdings, Inc.		34,263		1,752,210
Paychex, Inc.		57,925		3,526,474
The Western Union Company		132,696		2,882,157
				11,402,958
Machinery (1.9%):
Cummins, Inc.		20,956		2,864,057
Deere & Company		28,702		2,957,454
				5,821,511
Media (2.0%):
Cinemark Holdings, Inc.		67,779		2,600,002
TEGNA, Inc.		104,690		2,239,319
Viacom, Inc.		33,358		1,170,866
				6,010,187
Multiline Retail (2.5%):
Kohl's Corporation		33,349		1,646,773
Macy's, Inc.		45,254		1,620,546
Nordstrom, Inc.		33,460		1,603,738
Target Corporation		40,304		2,911,158
				7,782,215
Multi-Utilities (9.4%):
Ameren Corporation		81,449		4,272,815
Consolidated Edison, Inc.		52,702		3,883,083
Dominion Resources, Inc.		56,753		4,346,712
DTE Energy Company		44,073		4,341,631
Public Service Enterprise Group, Inc.		92,420		4,055,390
SCANA Corporation		57,515		4,214,699
WEC Energy Group, Inc.		66,218		3,883,686
				28,998,016
Oil, Gas & Consumable Fuels (4.1%):
Exxon Mobil Corporation		37,484		3,383,306
Marathon Petroleum Corporation		33,339		1,678,619
ONEOK, Inc.		26,308		1,510,342
Phillips 66		31,868		2,753,714
Plains GP Holdings LP		27,957		969,549
Valero Energy Corporation		33,602		2,295,688
				12,591,218
Pharmaceuticals (2.2%):
Merck & Company, Inc.		52,554		3,093,854
Pfizer, Inc.		111,351		3,616,680
				6,710,534

See notes to financial statements.

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Security Description	Shares		Value
Semiconductors & Semiconductor Equipment (1.7%):
Intel Corporation		78,359	$	2,842,081
QUALCOMM, Inc.		37,090		2,418,268
				5,260,349
Software (1.6%):
CA, Inc.		96,445		3,064,058
Symantec Corporation		76,335		1,823,643
				4,887,701
Specialty Retail (1.7%):
Best Buy Company, Inc.		44,713		1,907,904
L Brands, Inc.		28,886		1,901,854
The Gap, Inc.		64,336		1,443,700
				5,253,458
Technology Hardware, Storage & Peripherals (0.7%):
HP, Inc.		139,327		2,067,613
Textiles, Apparel & Luxury Goods (0.7%):
Coach, Inc.		57,893		2,027,413
Tobacco (4.2%):
Altria Group, Inc.		71,327		4,823,132
Philip Morris International, Inc.		44,362		4,058,679
Reynolds American, Inc.		73,210		4,102,688
				12,984,499
Transportation Infrastructure (0.7%):
Macquarie Infrastructure Company LLC		27,439		2,241,766
Total Common Stocks (Cost $288,899,001)				306,521,359
Short-Term Investments (0.1%)
Money Market Funds (0.1%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (a)		443,461		443,461
Total Short-Term Investments (Cost $443,461)				443,461
Total Investments — 99.8% (Cost $289,342,462)				306,964,820
Other assets in excess of liabilities — 0.2%				553,202
NET ASSETS — 100.0%			$	307,518,022

(a)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

See notes to financial statements.

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Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	5	S&P 500 E-Mini Future, March 2017	$	559,050	$	(2,620	)
					$	(2,620	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (100.0%)
Aerospace & Defense (1.3%):
AAR Corporation		1,059	$	35,000
Astronics Corporation (a)		66		2,224
Astronics Corporation (a)		505		17,089
DigitalGlobe, Inc. (a)		916		26,243
Mercury Systems, Inc. (a)		1,384		41,825
Moog, Inc. — Class A (a)		501		32,906
National Presto Industries, Inc.		476		50,646
TASER International, Inc. (a)		1,113		26,979
				232,912
Air Freight & Logistics (0.5%):
Air Transport Services Group, Inc. (a)		1,974		31,505
Echo Global Logistics, Inc. (a)		1,227		30,737
Hub Group, Inc. — Class A (a)		855		37,406
				99,648
Airlines (0.7%):
Allegiant Travel Company		219		36,442
Hawaiian Holdings, Inc. (a)		548		31,236
SkyWest, Inc.		869		31,675
Spirit Airlines, Inc. (a)		606		35,063
				134,416
Auto Components (2.1%):
American Axle & Manufacturing Holdings, Inc. (a)		1,166		22,504
Cooper Standard Holding, Inc. (a)		369		38,147
Cooper Tire & Rubber Company		944		36,674
Dorman Products, Inc. (a)		593		43,325
Drew Industries, Inc.		391		42,130
Fox Factory Holdings Corporation (a)		1,522		42,236
Gentherm, Inc. (a)		723		24,474
Metaldyne Performance Group, Inc.		1,512		34,700
Standard Motor Products, Inc.		638		33,954
Stoneridge, Inc. (a)		1,519		26,871
Superior Industries International, Inc.		1,163		30,645
Visteon Corporation		220		17,675
				393,335
Automobiles (0.2%):
Winnebago Industries, Inc.		1,407		44,532
Banks (16.3%):
1st Source Corporation		1,360		60,738
Ameris Bancorp		1,169		50,968
Associated Banc-Corp		1,906		47,078
Banc of California, Inc.		1,442		25,019
BancFirst Corporation		610		56,760
BancorpSouth, Inc.		1,438		44,650
Banner Corporation		903		50,396

See notes to financial statements.

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Security Description	Shares		Value
Banks (16.3%) cont'd
BNC Bancorp		1,681	$	53,624
Boston Private Financial Holdings, Inc.		2,973		49,203
Capital Bank Financial Corporation		1,492		58,561
Cathay General Bancorp		1,234		46,929
Chemical Financial Corporation		1,035		56,066
Columbia Banking System, Inc.		1,159		51,784
Community Bank Systems, Inc.		981		60,616
CVB Financial Corporation		2,232		51,180
Eagle Bancorp, Inc. (a)		731		44,554
FCB Financial Holdings, Inc. (a)		1,002		47,795
First Busey Corporation		2,216		68,208
First Commonwealth Financial Corporation		3,912		55,472
First Financial Bancorp		2,025		57,611
First Financial Bankshares, Inc.		940		42,488
First Interstate BancSystem, Inc. — Class A		1,538		65,442
First Merchants Corporation		1,630		61,369
First Midwest Bancorp, Inc.		1,992		50,258
FNB Corporation		3,039		48,715
Fulton Financial Corporation		2,921		54,915
Glacier Bancorp, Inc.		1,330		48,186
Great Western Bancorp, Inc.		1,106		48,211
Hancock Holding Company		927		39,954
Heartland Financial USA, Inc.		903		43,344
Hilltop Holdings, Inc.		1,438		42,852
Hope Bancorp, Inc.		2,159		47,261
IBERIABANK Corporation		478		40,032
Independent Bank Corporation		758		53,401
International Bancshares Corporation		1,165		47,532
Lakeland Financial Corporation		1,432		67,820
LegacyTexas Financial Group, Inc.		887		38,194
MB Financial, Inc.		997		47,088
NBT Bancorp, Inc.		1,440		60,307
Old National Bancorp		2,919		52,980
Opus Bank		892		26,805
Park National Corporation		404		48,343
Pinnacle Financial Partners, Inc.		640		44,352
Renasant Corporation		1,178		49,735
S&T Bancorp, Inc.		1,293		50,479
ServisFirst Bancshares, Inc.		1,362		50,993
Simmons First National Corporation — Class A		740		45,991
South State Corporation		559		48,857
Sterling Bancorp		2,295		53,703
TCF Financial Corporation		2,253		44,136
Texas Capital Bancshares, Inc. (a)		441		34,574
Tompkins Financial Corporation		544		51,430
Towne Bank		1,947		64,738
Trustmark Corporation		1,621		57,789
Union Bankshares Corporation		1,613		57,649
United Community Banks, Inc.		1,906		56,456
Valley National Bancorp		4,272		49,726

See notes to financial statements.

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Security Description	Shares		Value
Banks (16.3%) cont'd
WesBanco, Inc.		1,577	$	67,906
Westamerica Bancorporation		849		53,428
Wintrust Financial Corporation		670		48,622
				3,043,273
Beverages (0.4%):
MGP Ingredients, Inc.		492		24,590
National Beverage Corporation		542		27,686
The Boston Beer Company, Inc. — Class A (a)		151		25,647
				77,923
Biotechnology (0.4%):
Insys Therapeutics, Inc. (a)		918		8,446
MiMedx Group, Inc. (a)		3,297		29,211
Myriad Genetics, Inc. (a)		903		15,053
Repligen Corporation (a)		652		20,095
				72,805
Building Products (2.6%):
AAON, Inc.		1,208		39,924
American Woodmark Corporation (a)		297		22,349
Apogee Enterprises, Inc.		701		37,545
Continental Building Products, Inc. (a)		1,359		31,393
CSW Industrials, Inc. (a)		1,342		49,453
Gibraltar Industries, Inc. (a)		597		24,865
Griffon Corporation		2,495		65,369
Insteel Industries, Inc.		801		28,548
NCI Building Systems, Inc. (a)		1,826		28,577
Patrick Industries, Inc. (a)		372		28,383
PGT, Inc. (a)		1,975		22,614
Simpson Manufacturing Company, Inc.		1,152		50,400
Trex Company, Inc. (a)		439		28,272
Universal Forest Products, Inc.		289		29,530
				487,222
Capital Markets (2.4%):
Artisan Partners Asset Management, Inc. — Class A		1,074		31,952
BGC Partners, Inc. — Class A		5,263		53,840
Cohen & Steers, Inc.		897		30,139
Evercore Partners, Inc. — Class A		546		37,510
Financial Engines, Inc.		782		28,739
Houlihan Lokey, Inc.		1,425		44,346
Janus Capital Group, Inc.		2,114		28,053
LPL Financial Holdings, Inc.		499		17,570
Moelis & Company — Class A		1,247		42,273
NorthStar Asset Management Group, Inc.		1,949		29,079
Stifel Financial Corporation (a)		630		31,469
Virtu Financial, Inc.		2,254		35,951
Waddell & Reed Financial, Inc. — Class A		1,188		23,178
WisdomTree Investments, Inc.		1,802		20,074
				454,173

See notes to financial statements.

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Security Description	Shares		Value
Chemicals (2.3%):
American Vanguard Corporation		1,133	$	21,697
Balchem Corporation		465		39,023
Calgon Carbon Corporation		1,967		33,439
FutureFuel Corporation		2,289		31,817
HB Fuller Company		898		43,382
Innospec, Inc.		663		45,415
Minerals Technologies, Inc.		418		32,291
PolyOne Corporation		978		31,335
Quaker Chemical Corporation		422		53,991
Rayonier Advanced Materials, Inc.		1,259		19,464
Stepan Company		504		41,066
Trinseo SA		508		30,124
				423,044
Commercial Services & Supplies (3.6%):
ABM Industries, Inc.		1,430		58,401
ACCO Brands Corporation (a)		2,540		33,147
Healthcare Services Group, Inc.		1,343		52,605
Herman Miller, Inc.		1,012		34,610
HNI Corporation		600		33,552
Interface, Inc.		1,633		30,292
Knoll, Inc.		1,452		40,554
Matthews International Corporation — Class A		783		60,174
McGrath RentCorp		1,206		47,263
Mobile Mini, Inc.		1,010		30,553
MSA Safety, Inc.		676		46,867
Multi-Color Corporation		387		30,031
Steelcase, Inc. — Class A		2,578		46,146
UniFirst Corporation		367		52,720
US Ecology, Inc.		690		33,914
West Corporation		1,341		33,203
				664,032
Communications Equipment (1.1%):
ADTRAN, Inc.		1,949		43,560
Finisar Corporation (a)		1,093		33,085
Infinera Corporation (a)		1,677		14,238
InterDigital, Inc.		562		51,339
NETGEAR, Inc. (a)		646		35,110
Plantronics, Inc.		433		23,711
				201,043
Construction & Engineering (1.0%):
Argan, Inc.		639		45,081
Comfort Systems USA, Inc.		1,145		38,129
Dycom Industries, Inc. (a)		273		21,919
KBR, Inc.		1,814		30,276
Primoris Services Corporation		1,549		35,286
Tutor Perini Corporation (a)		789		22,092
				192,783

See notes to financial statements.

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Security Description	Shares		Value
Construction Materials (0.2%):
Headwaters, Inc. (a)		1,700	$	39,984
Consumer Finance (0.5%):
FirstCash, Inc.		489		22,983
Nelnet, Inc. — Class A		876		44,457
PRA Group, Inc. (a)		575		22,483
				89,923
Containers & Packaging (0.3%):
Silgan Holdings, Inc.		1,021		52,255
Distributors (0.2%):
Core-Mark Holding Company, Inc.		782		33,681
Diversified Consumer Services (0.8%):
Capella Education Company		623		54,699
Grand Canyon Education, Inc. (a)		893		52,196
Strayer Education, Inc. (a)		561		45,234
				152,129
Diversified Telecommunication Services (0.5%):
Cincinnati Bell, Inc. (a)		1,329		29,703
Cogent Communications Holdings, Inc.		911		37,670
Inteliquent, Inc.		1,485		34,036
				101,409
Electric Utilities (1.0%):
ALLETE, Inc.		947		60,788
MGE Energy, Inc.		933		60,925
Otter Tail Corporation		1,434		58,507
				180,220
Electrical Equipment (0.7%):
AZZ, Inc.		630		40,257
Encore Wire Corporation		775		33,596
Generac Holdings, Inc. (a)		729		29,699
Thermon Group Holdings, Inc. (a)		1,718		32,797
				136,349
Electronic Equipment, Instruments & Components (3.7%):
Anixter International, Inc. (a)		426		34,527
AVX Corporation		3,426		53,548
Badger Meter, Inc.		1,138		42,049
Benchmark Electronics, Inc. (a)		1,450		44,225
Coherent, Inc. (a)		270		37,094
ePlus, Inc. (a)		308		35,482
II-VI, Inc. (a)		1,415		41,955
Insight Enterprises, Inc. (a)		918		37,124
Littelfuse, Inc.		330		50,084
Methode Electronics, Inc.		938		38,786
MTS Systems Corporation		510		28,917
OSI Systems, Inc. (a)		265		20,172

See notes to financial statements.

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Security Description	Shares		Value
Electronic Equipment, Instruments & Components (3.7%) cont'd
Plexus Corporation (a)		798	$	43,124
Rogers Corporation (a)		445		34,180
Sanmina Corporation (a)		1,069		39,179
ScanSource, Inc. (a)		792		31,957
Tech Data Corporation (a)		447		37,852
Universal Display Corporation (a)		372		20,944
VeriFone Systems, Inc. (a)		1,356		24,042
				695,241
Energy Equipment & Services (0.4%):
Atwood Oceanics, Inc.		1,426		18,723
Dril-Quip, Inc. (a)		570		34,229
Oceaneering International, Inc.		907		25,586
				78,538
Food & Staples Retailing (1.2%):
Ingles Markets, Inc. — Class A		706		33,959
Performance Food Group Company (a)		1,357		32,568
PriceSmart, Inc.		457		38,159
SpartanNash Company		866		34,242
SUPERVALU, Inc. (a)		3,299		15,406
United Natural Foods, Inc. (a)		498		23,764
Weis Markets, Inc.		789		52,737
				230,835
Food Products (1.5%):
Calavo Growers, Inc.		455		27,937
Dean Foods Company		2,150		46,827
J&J Snack Foods Corporation		531		70,851
John B Sanfilippo & Son, Inc.		451		31,746
Omega Protein Corporation (a)		808		20,240
Sanderson Farms, Inc.		357		33,644
Tootsie Roll Industries, Inc.		1,389		55,213
				286,458
Gas Utilities (0.2%):
Chesapeake Utilities Corporation		561		37,559
Health Care Equipment & Supplies (2.6%):
Abaxis, Inc.		564		29,762
Anika Therapeutics, Inc. (a)		694		33,978
Atrion Corporation		111		56,299
CryoLife, Inc. (a)		1,766		33,819
Cynosure, Inc. (a)		539		24,579
Globus Medical, Inc. (a)		1,273		31,583
ICU Medical, Inc. (a)		295		43,468
Inogen, Inc. (a)		430		28,883
Masimo Corporation (a)		637		42,934
Meridian Bioscience, Inc.		2,147		38,002
Merit Medical Systems, Inc. (a)		1,437		38,081
Natus Medical, Inc. (a)		556		19,349

See notes to financial statements.

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Security Description	Shares		Value
Health Care Equipment & Supplies (2.6%) cont'd
Neogen Corporation (a)		563	$	37,158
Penumbra, Inc. (a)		378		24,116
				482,011
Health Care Providers & Services (3.2%):
Aceto Corporation		1,125		24,716
Adeptus Health, Inc. (a)		465		3,553
Air Methods Corporation (a)		808		25,735
Amedisys, Inc. (a)		550		23,446
AMN Healthcare Services, Inc. (a)		684		26,300
BioTelemetry, Inc. (a)		1,218		27,222
Chemed Corporation		333		53,417
CorVel Corporation (a)		852		31,183
Diplomat Pharmacy, Inc. (a)		613		7,724
HealthEquity, Inc. (a)		704		28,526
LHC Group, Inc. (a)		934		42,684
Lifepoint Health, Inc. (a)		559		31,751
National HealthCare Corporation		891		67,529
Owens & Minor, Inc.		1,291		45,559
PharMerica Corporation (a)		701		17,630
Select Medical Holdings Corporation (a)		1,785		23,651
Surgical Care Affiliates, Inc. (a)		758		35,073
The Ensign Group, Inc.		1,506		33,448
US Physical Therapy, Inc.		579		40,646
				589,793
Health Care Technology (0.3%):
HealthStream, Inc. (a)		1,042		26,102
HMS Holdings Corporation (a)		1,126		20,448
Inovalon Holdings, Inc. — Class A (a)		1,132		11,660
				58,210
Hotels, Restaurants & Leisure (5.3%):
BJ's Restaurants, Inc. (a)		915		35,959
Bob Evans Farms, Inc.		1,027		54,647
Bojangles', Inc. (a)		1,523		28,404
Brinker International, Inc.		681		33,730
Buffalo Wild Wings, Inc. (a)		183		28,255
Choice Hotels International, Inc.		859		48,147
Churchill Downs, Inc.		278		41,825
Chuy's Holdings, Inc. (a)		991		32,158
Dave & Buster's Entertainment, Inc. (a)		682		38,397
DineEquity, Inc.		564		43,428
El Pollo Loco Holdings, Inc. (a)		1,657		20,381
Eldorado Resorts, Inc. (a)		2,531		42,900
Fiesta Restaurant Group, Inc. (a)		916		27,343
ILG, Inc		1,843		33,487
Isle of Capri Casinos, Inc. (a)		1,715		42,343
Marriott Vacations Worldwide Corporation		361		30,631
Papa John's International, Inc.		478		40,907

See notes to financial statements.

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Security Description	Shares		Value
Hotels, Restaurants & Leisure (5.3%) cont'd
Popeyes Louisiana Kitchen, Inc. (a)		787	$	47,598
Red Robin Gourmet Burgers, Inc. (a)		522		29,441
Ruth's Hospitality Group, Inc.		2,537		46,427
Shake Shack, Inc. (a)		600		21,474
Sonic Corporation		1,142		30,274
The Cheesecake Factory, Inc.		934		55,928
The Marcus Corporation		1,659		52,259
Wendy's Company		3,565		48,199
Wingstop, Inc.		904		26,749
				981,291
Household Durables (2.9%):
Cavco Industries, Inc. (a)		325		32,451
Ethan Allen Interiors, Inc.		1,021		37,624
Helen of Troy Ltd. (a)		479		40,452
Installed Building Products, Inc. (a)		745		30,768
iRobot Corporation (a)		810		47,345
KB Home		1,702		26,909
La-Z-Boy, Inc.		1,032		32,044
LGI Homes, Inc. (a)		565		16,232
M/I Homes, Inc. (a)		1,449		36,486
MDC Holdings, Inc.		1,436		36,843
Meritage Homes Corporation (a)		710		24,708
Taylor Morrison Home Corporation — Class A (a)		1,594		30,700
TopBuild Corporation (a)		930		33,108
TRI Pointe Group, Inc. (a)		2,223		25,520
Universal Electronics, Inc. (a)		456		29,435
WCI Communities, Inc. (a)		1,472		34,518
William Lyon Homes (a)		944		17,964
				533,107
Household Products (0.3%):
WD-40 Company		435		50,852
Independent Power and Renewable Electricity Producers (0.1%):
8Point3 Energy Partners LP		2,032		26,375
Independent Power and Renewable Electricity Producers (0.3%):
Ormat Technologies, Inc.		1,006		53,942
Insurance (4.2%):
AMERISAFE, Inc.		760		47,386
CNO Financial Group, Inc.		1,931		36,979
Employers Holdings, Inc.		1,044		41,342
FBL Financial Group, Inc. — Class A		642		50,172
Fidelity & Guaranty Life		2,920		69,204
Horace Mann Educators Corporation		1,262		54,014
Infinity Property & Casualty Corporation		671		58,981
Mercury General Corporation		898		54,069
National General Holdings Corporation		1,710		42,733
Navigators Group, Inc.		508		59,817
Primerica, Inc.		562		38,862
ProAssurance Corporation		1,191		66,934

See notes to financial statements.

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Security Description	Shares		Value
Insurance (4.2%) cont'd
Safety Insurance Group, Inc.		886	$	65,298
Selective Insurance Group, Inc.		1,180		50,799
United Fire Group, Inc.		960		47,203
				783,793
Internet & Catalog Retail (0.3%):
HSN, Inc.		812		27,852
Nutrisystem, Inc.		865		29,972
				57,824
Internet Software & Services (0.7%):
Alarm.com Holdings, Inc. (a)		862		23,990
NIC, Inc.		1,723		41,180
Shutterstock, Inc. (a)		387		18,390
SPS Commerce, Inc. (a)		370		25,859
WebMD Health Corporation (a)		595		29,494
				138,913
IT Services (2.7%):
CACI International, Inc. — Class A (a)		308		38,284
Cass Information Systems, Inc.		740		54,442
Convergys Corporation		1,402		34,433
CSG Systems International, Inc.		805		38,962
ExlService Holdings, Inc. (a)		769		38,788
Forrester Research, Inc.		1,025		44,024
ManTech International Corporation — Class A		939		39,673
NeuStar, Inc. — Class A (a)		1,115		37,241
Perficient, Inc. (a)		1,772		30,992
Science Applications International Corporation		586		49,693
Sykes Enterprises, Inc. (a)		1,484		42,828
TeleTech Holdings, Inc.		1,583		48,282
				497,642
Leisure Products (0.5%):
Nautilus, Inc. (a)		804		14,874
Smith & Wesson Holdings Corporation (a)		812		17,117
Sturm Ruger & Company, Inc.		440		23,188
Vista Outdoor, Inc. (a)		827		30,516
				85,695
Life Sciences Tools & Services (0.5%):
Cambrex Corporation (a)		553		29,834
INC Research Holdings, Inc. — Class A (a)		714		37,557
Luminex Corporation (a)		1,692		34,229
				101,620
Machinery (5.2%):
Alamo Group, Inc.		570		43,377
Albany International Corporation		851		39,401
Altra Industrial Motion Corporation		1,532		56,531
American Railcar Industries, Inc.		614		27,808
Astec Industries, Inc.		558		37,643

See notes to financial statements.

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Security Description	Shares		Value
Machinery (5.2%) cont'd
Barnes Group, Inc.		894	$	42,393
Douglas Dynamics, Inc		1,021		34,357
ESCO Technologies, Inc.		1,223		69,283
Federal Signal Corporation		1,864		29,097
Franklin Electric Company, Inc.		870		33,843
Global Brass & Copper Holdings, Inc.		1,079		37,010
Greenbrier Companies, Inc.		547		22,728
Hillenbrand, Inc.		1,456		55,837
Hyster-Yale Materials Handling, Inc.		561		35,775
John Bean Technologies Corporation		404		34,724
Kadant, Inc.		773		47,307
Lydall, Inc. (a)		625		38,656
Mueller Industries, Inc.		1,260		50,350
Mueller Water Products, Inc.		3,126		41,607
Proto Labs, Inc. (a)		404		20,745
RBC Bearings, Inc. (a)		549		50,953
Standex International Corporation		502		44,101
Sun Hydraulics Corporation		1,100		43,967
Wabash National Corporation (a)		1,990		31,482
				968,975
Marine (0.3%):
Kirby Corporation (a)		550		36,575
Matson, Inc.		742		26,259
				62,834
Media (1.1%):
AMC Entertainment Holdings, Inc.		1,016		34,188
Entravision Communications Corporation — Class A		4,008		28,056
Gannett Company, Inc.		2,544		24,702
Gray Television, Inc. (a)		2,016		21,874
New Media Investment Group, Inc.		1,838		29,390
Nexstar Broadcasting Group, Inc. — Class A		467		29,561
Sinclair Broadcast Group, Inc. — Class A		1,121		37,385
				205,156
Metals & Mining (0.8%):
Compass Minerals International, Inc.		555		43,484
Kaiser Aluminum Corporation		463		35,970
Materion Corporation		853		33,779
Worthington Industries, Inc.		690		32,734
				145,967
Multiline Retail (0.3%):
Dillard's, Inc.		485		30,404
Ollie's Bargain Outlet Holdings, Inc. (a)		1,017		28,934
				59,338
Multi-Utilities (0.9%):
Avista Corporation		1,415		56,586
NorthWestern Corporation		1,049		59,656
Unitil Corporation		1,185		53,728
				169,970

See notes to financial statements.

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Security Description	Shares		Value
Oil, Gas & Consumable Fuels (0.4%):
REX American Resources Corporation (a)		394	$	38,908
Western Refining, Inc.		731		27,668
				66,576
Paper & Forest Products (1.1%):
Boise Cascade Company (a)		651		14,648
Clearwater Paper Corporation (a)		483		31,661
Domtar Corporation		847		33,058
KapStone Paper & Packaging Corporation — Class A		763		16,824
Neenah Paper, Inc.		561		47,797
PH Glatfelter Company		1,061		25,347
Schweitzer-Mauduit International, Inc.		816		37,153
				206,488
Personal Products (0.4%):
Inter Parfums, Inc.		846		27,707
Revlon, Inc. (a)		756		22,037
USANA Health Sciences, Inc. (a)		320		19,584
				69,328
Pharmaceuticals (0.5%):
ANI Pharmaceuticals, Inc. (a)		341		20,672
Phibro Animal Health Corporation — Class A		864		25,315
SciClone Pharmaceuticals, Inc. (a)		2,133		23,036
Supernus Pharmaceuticals, Inc. (a)		926		23,382
				92,405
Professional Services (3.0%):
CEB, Inc.		610		36,966
Exponent, Inc.		832		50,170
FTI Consulting, Inc. (a)		776		34,982
Huron Consulting Group, Inc. (a)		553		28,009
ICF International, Inc. (a)		967		53,378
Insperity, Inc.		441		31,289
Kelly Services, Inc. — Class A		1,814		41,577
Kforce, Inc.		1,251		28,898
Mistras Group, Inc. (a)		1,007		25,860
Navigant Consulting, Inc. (a)		1,866		48,852
On Assignment, Inc. (a)		738		32,590
Resources Connection, Inc.		2,164		41,657
RPX Corporation (a)		2,415		26,082
TriNet Group, Inc. (a)		1,314		33,665
WageWorks, Inc. (a)		570		41,325
				555,300
Real Estate Management & Development (0.3%):
HFF, Inc. — Class A		1,070		32,368
Marcus & Millichap, Inc. (a)		1,099		29,365
				61,733

See notes to financial statements.

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Security Description	Shares		Value
Road & Rail (1.4%):
Heartland Express, Inc.		1,886	$	38,399
Knight Transportation, Inc.		1,080		35,694
Landstar System, Inc.		690		58,857
Marten Transport Ltd.		1,685		39,261
Saia, Inc. (a)		769		33,951
Swift Transportation Company (a)		1,048		25,529
Werner Enterprises, Inc.		1,289		34,739
				266,430
Semiconductors & Semiconductor Equipment (3.1%):
Advanced Energy Industries, Inc. (a)		803		43,964
Ambarella, Inc. (a)		304		16,455
Cabot Microelectronics Corporation		801		50,599
CEVA, Inc. (a)		814		27,310
Entegris, Inc. (a)		2,033		36,391
Integrated Device Technology, Inc. (a)		948		22,335
Intersil Corporation		1,432		31,934
MKS Instrument, Inc.		829		49,243
NeoPhotonics Corporation (a)		1,043		11,275
PDF Solutions, Inc. (a)		1,630		36,756
Photronics, Inc. (a)		3,322		37,539
Power Integrations, Inc.		610		41,388
Rambus, Inc. (a)		2,769		38,129
Rudolph Technologies, Inc. (a)		1,856		43,338
Silicon Laboratories, Inc. (a)		622		40,430
Tessera Holding Corporation		1,125		49,725
				576,811
Software (1.0%):
Ebix, Inc.		447		25,501
Gigamon, Inc. (a)		462		21,044
MicroStrategy, Inc. (a)		162		31,979
Monotype Imaging Holdings, Inc.		1,288		25,567
Pegasystems, Inc.		1,282		46,152
Qualys, Inc. (a)		562		17,787
VASCO Data Security International, Inc. (a)		1,546		21,103
				189,133
Specialty Retail (3.3%):
Aaron's, Inc.		1,092		34,933
Asbury Automotive Group, Inc. (a)		436		26,901
Caleres, Inc.		1,174		38,531
DSW, Inc. — Class A		1,150		26,047
Express, Inc. (a)		1,832		19,712
Five Below, Inc. (a)		768		30,689
Francesca's Holdings Corporation (a)		1,259		22,700
GameStop Corporation		1,064		26,877
Genesco, Inc. (a)		645		40,055
GNC Holdings, Inc.		757		8,357
Hibbett Sports, Inc. (a)		823		30,698

See notes to financial statements.

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Security Description	Shares		Value
Specialty Retail (3.3%) cont'd
Lithia Motors, Inc. — Class A		296	$	28,662
MarineMax, Inc. (a)		1,134		21,943
Monro Muffler Brake, Inc.		656		37,523
Murphy USA, Inc. (a)		507		31,165
Office Depot, Inc.		3,723		16,828
Shoe Carnival, Inc.		1,179		31,809
Sonic Automotive, Inc. — Class A		1,399		32,037
The Buckle, Inc.		1,159		26,425
The Cato Corporation — Class A		997		29,990
Tile Shop Holdings, Inc. (a)		1,610		31,476
Vitamin Shoppe, Inc. (a)		927		22,016
				615,374
Technology Hardware, Storage & Peripherals (0.3%):
Electronics For Imaging, Inc. (a)		722		31,667
Super Micro Computer, Inc. (a)		744		20,869
				52,536
Textiles, Apparel & Luxury Goods (0.8%):
Fossil Group, Inc. (a)		560		14,482
Kate Spade & Company (a)		1,115		20,817
Movado Group, Inc.		1,220		35,075
Steven Madden Ltd. (a)		1,064		38,038
Vera Bradley, Inc. (a)		1,651		19,350
Wolverine World Wide, Inc.		1,290		28,315
				156,077
Thrifts & Mortgage Finance (3.1%):
Beneficial Bancorp, Inc.		3,942		72,533
BofI Holding, Inc. (a)		895		25,552
Capitol Federal Financial, Inc.		5,133		84,489
Essent Group Ltd. (a)		1,229		39,783
Flagstar Bancorp, Inc. (a)		1,367		36,827
Kearny Financial Corporation		4,376		68,047
LendingTree, Inc (a)		147		14,898
MGIC Investment Corporation (a)		2,926		29,816
Provident Financial Services, Inc.		2,515		71,175
Radian Group, Inc.		2,046		36,787
Washington Federal, Inc.		1,688		57,983
WSFS Financial Corporation		1,046		48,482
				586,372
Tobacco (0.3%):
Vector Group Ltd.		2,830		64,354
Trading Companies & Distributors (1.4%):
Air Lease Corporation		904		31,034
GATX Corporation		656		40,396
H&E Equipment Services, Inc.		1,097		25,505
Kaman Corporation		1,234		60,380
Rush Enterprises, Inc. — Class A (a)		1,090		34,771

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Trading Companies & Distributors (1.4%) cont'd
Veritiv Corporation (a)		458	$	24,618
WESCO International, Inc. (a)		522		34,739
				251,443
Water Utilities (1.0%):
American States Water Company		944		43,009
Connecticut Water Service, Inc.		974		54,398
Middlesex Water Company		1,072		46,032
SJW Corporation		875		48,982
				192,421
Total Common Stocks (Cost $16,468,434)				18,691,811
Short-Term Investments (0.0%) (b)
Money Market Funds (0.0%) (b):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (c)		8,523		8,523
Total Short-Term Investments (Cost $8,523)				8,523
Total Investments — 100.0% (Cost $16,476,957)				18,700,334
Other assets in excess of liabilities — 0.0% (b)				2,320
NET ASSETS — 100.0%			$	18,702,654

(a)  Non-income producing security.

(b)  Less than 0.05%.

(c)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.7%)
Australia (4.6%):
AMP Ltd.		6,788	$	24,689
Aristocrat Leisure Ltd.		2,032		22,729
ASX Ltd.		967		34,710
Australia & New Zealand Banking Group Ltd.		1,233		27,068
Brambles Ltd.		3,356		30,031
Caltex Australia Ltd.		1,065		23,410
CIMIC Group Ltd.		666		16,793
Commonwealth Bank of Australia		553		32,888
Crown Resorts Ltd.		2,312		19,321
CSL Ltd.		413		29,926
Fortescue Metals Group Ltd.		2,592		11,017
Insurance Australia Group Ltd.		7,048		30,466
Macquarie Group Ltd.		364		22,885
Newcrest Mining Ltd.		820		11,983
QBE Insurance Group Ltd.		2,977		26,683
Ramsay Health Care Ltd.		490		24,151
Sonic Healthcare Ltd.		1,639		25,312
Suncorp Group Ltd.		3,216		31,378
Telstra Corporation Ltd.		9,703		35,711
TPG Telecom Ltd.		3,363		16,552
Westpac Banking Corporation		1,163		27,360
				525,063
Austria (0.1%):
Erste Group Bank AG		561		16,432
Belgium (1.3%):
Anheuser-Busch InBev SA/NV		224		23,709
Colruyt SA		582		28,797
Proximus SADP		988		28,455
Solvay SA — Class A		189		22,153
UCB SA		266		17,055
Umicore SA		393		22,402
				142,571
Canada (12.3%):
Alimentation Couche-Tard, Inc. — Class B (a)		700		31,740
Bank of Montreal (a)		700		50,347
Bank of Nova Scotia (a)		700		38,977
BCE, Inc.		1,400		60,509
Brookfield Asset Management, Inc. — Class A (a)		700		23,096
Canadian Imperial Bank of Commerce (a)		700		57,120
Canadian National Railway Company (a)		700		47,110
Canadian Utilities Ltd. — Class A (a)		1,400		37,736
CGI Group, Inc. — Class A (a)		700		33,596
Dollarama, Inc. (a)		700		51,291
Emera, Inc. (a)		1,400		47,329
Fortis, Inc.		700		21,615
George Weston Ltd. (a)		700		59,221

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Canada (12.3%) cont'd
Gildan Activewear, Inc. (a)		700	$	17,773
Great-West Lifeco, Inc.		1,400		36,672
Hydro One Ltd. (Acquired 09/16/16, Cost $54,608) (a) (b)		2,800		49,174
IGM Financial, Inc. (a)		1,400		39,832
Intact Financial Corporation (a)		700		50,102
Inter Pipeline Ltd. (a)		1,400		30,906
Loblaw Companies Ltd. (a)		700		36,933
Lululemon Athletica, Inc. (a)		357		23,201
Magna International, Inc. (a)		700		30,395
Manulife Financial Corporation (a)		1,400		24,931
Metro, Inc. (a)		1,400		41,875
National Bank of Canada (a)		700		28,430
Open Text Corporation (a)		700		43,231
Pembina Pipeline Corporation (a)		700		21,876
Potash Corporation of Saskatchewan, Inc. (a)		1,400		25,328
Power Corporation of Canada		1,400		31,334
Power Financial Corporation		1,400		34,994
Restaurant Brands International, Inc. (a)		700		33,341
Rogers Communications, Inc. — Class B		700		27,001
Royal Bank of Canada (a)		700		47,376
Saputo, Inc. (a)		700		24,770
Shaw Communications, Inc. — Class B (a)		2,100		42,136
Sun Life Financial, Inc. (a)		700		26,876
TELUS Corporation		1,400		44,576
Toronto-Dominion Bank (a)		700		34,524
				1,407,274
Denmark (1.4%):
Chr. Hansen Holding A/S		435		24,089
Danske Bank A/S		764		23,172
DSV A/S		442		19,664
ISS A/S		785		26,498
Novo Nordisk A/S — Class B		449		16,193
Novozymes A/S — Class B		484		16,687
Pandora A/S		147		19,232
Vestas Wind System A/S		217		14,103
				159,638
Finland (1.2%):
Kone OYJ — Class B		477		21,375
Neste Oyj		533		20,479
Sampo Oyj — Class A		554		24,837
Stora Enso Oyj — Class R		1,977		21,248
UPM-Kymmene Oyj		883		21,695
Wartsila Oyj Abp		533		23,946
				133,580
France (9.9%):
Accor SA		442		16,485
Aeroports de Paris		322		34,506
Air Liquide SA		259		28,804

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
France (9.9%) cont'd
Airbus Group SE		365	$	24,144
Arkema SA		224		21,915
Atos SE		224		23,638
AXA SA		743		18,759
BNP Paribas SA		294		18,739
Bollore SA		6,758		23,831
Bureau Veritas SA		1,479		28,662
Capgemini SA		210		17,718
Carrefour SA		841		20,264
Christian Dior SE		147		30,832
Cie de Saint-Gobain		484		22,547
Cie Generale des Etablissements Michelin		245		27,260
CNP Assurances		1,150		21,306
Credit Agricole SA		1,549		19,208
Danone SA		414		26,235
Dassault Aviation SA		21		23,467
Dassault Systemes SE		322		24,537
Eiffage SA		343		23,920
Essilor International SA		224		25,313
Hermes International		70		28,737
Iliad SA		105		20,188
Ingenico Group SA		196		15,653
JCDecaux SA		575		16,905
Kering		112		25,147
Legrand SA		407		23,114
L'Oreal SA		161		29,387
LVMH Moet Hennessy Louis Vuitton SE		140		26,733
Natixis SA		3,056		17,243
Orange SA		1,563		23,750
Pernod Ricard SA		245		26,551
Peugeot SA (a)		904		14,745
Publicis Groupe SA		351		24,220
Renault SA		182		16,191
Sanofi		358		28,980
Sartorius Stedim Biotech		294		18,560
Schneider Electric SE		287		19,973
SEB SA		161		21,820
Societe BIC SA		182		24,743
Societe Generale SA		351		17,271
Sodexo SA		252		28,967
Suez		1,633		24,092
Thales SA		322		31,228
Valeo SA		322		18,510
Veolia Environnement SA		1,269		21,607
Vinci SA		400		27,243
Zodiac Aerospace		526		12,079
				1,125,727
Germany (6.2%):
Allianz SE		147		24,294
BASF SE		315		29,282

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Germany (6.2%) cont'd
Bayer AG		224	$	23,374
Bayerische Motoren Werk AG		224		20,927
Beiersdorf AG		358		30,374
Brenntag AG		428		23,788
Commerzbank AG		2,047		15,614
Continental AG		98		18,950
Daimler AG		301		22,408
Deutsche Boerse AG		287		23,087
Deutsche Post AG		799		26,271
Deutsche Telekom AG		1,731		29,801
Evonik Industries AG		680		20,315
Fielmann AG		435		28,733
Fresenius Medical Care AG & Company KGaA		315		26,676
Fresenius SE & Company KGaA		351		27,438
GEA Group AG		414		16,661
Hannover Rueck SE		238		25,755
HOCHTIEF AG		154		21,569
Infineon Technologies AG		1,248		21,689
Linde AG		140		23,005
Merck KGaA		252		26,301
Muenchener Rueckversicherungs-Gesellschaft AG — Class R		147		27,799
ProSiebenSat.1 Media SE		589		22,699
SAP SE		336		29,289
Siemens AG		224		27,541
Symrise AG		358		21,793
Talanx AG		862		28,828
Vonovia SE		722		23,488
				707,749
Hong Kong (9.3%):
AIA Group Ltd.		2,800		15,797
Bank Of East Asia Ltd.		4,200		16,086
Beijing Enterprise Holdings Ltd.		3,500		16,542
BOC Hong Kong Holdings Ltd.		7,000		25,050
Cheung Kong Infrastructure Holdings Ltd.		7,000		55,697
Cheung Kong Property Holdings Ltd.		3,500		21,462
China Gas Holdings Ltd.		14,000		18,993
China Mobile Ltd.		3,500		37,101
China Resources Beer Holdings Company Ltd. (a)		14,000		27,803
China Resources Power Holdings Company Ltd.		14,000		22,243
China Taiping Insurance Holdings Company Ltd. (a)		7,000		14,443
China Unicom Hong Kong Ltd.		14,000		16,303
Chow Tai Fook Jewellery Group Ltd.		25,200		19,271
CITIC Ltd.		14,000		20,040
CK Hutchison Holdings Ltd.		3,500		39,674
CLP Holdings Ltd.		3,500		32,159
Dairy Farm International Holdings Ltd.		4,900		35,231
Fullshare Holdings Ltd.		35,000		16,339
Galaxy Entertainment Group Ltd.		7,000		30,511
Guangdong Investment Ltd.		14,000		18,487

See notes to financial statements.

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December 31, 2016

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Security Description	Shares		Value
Hong Kong (9.3%) cont'd
Hang Lung Properties Ltd.		14,000	$	29,681
Hang Seng Bank Ltd.		2,100		39,078
Henderson Land Development Company Ltd.		6,800		36,173
Hong Kong & China Gas Company Ltd.		14,400		25,515
Hong Kong Exchanges and Clearing Ltd.		1,400		33,075
Hongkong Land Holdings Ltd.		4,200		26,586
Jardine Matheson Holdings Ltd.		700		38,675
Jardine Strategic Holdings Ltd.		700		23,240
MTR Corporation Ltd.		7,000		34,032
New World Development Company Ltd.		21,000		22,206
NWS Holdings Ltd.		14,000		22,820
Power Assets Holdings Ltd.		3,500		30,850
Sino Land Company Ltd.		14,000		20,979
Swire Pacific Ltd.		3,500		33,422
Swire Properties Ltd.		11,200		30,908
Techtronic Industries Company Ltd.		7,000		25,095
WH Group Ltd. (Acquired 09/18/15 through 12/21/16, Cost $20,891) (b)		31,500		25,470
Wheelock & Company, Ltd.		7,000		39,403
Yue Yuen Industrial Holdings Ltd.		7,000		25,411
				1,061,851
Ireland (1.7%):
Accenture PLC — Class A		273		31,976
Bank of Ireland (a)		48,776		12,066
CRH PLC		588		20,508
DCC PLC		301		22,406
Experian PLC		1,569		30,435
Jazz Pharmaceuticals PLC (a)		154		16,791
Kerry Group PLC — Class A		365		26,000
Medtronic PLC		448		31,911
				192,093
Israel (0.9%):
Bank Hapoalim BM		6,365		37,856
Check Point Software Technologies Ltd. (a)		413		34,882
Mobileye NV (a)		259		9,873
Teva Pharmaceutical Industries Ltd.		469		16,838
				99,449
Italy (2.1%):
Assicurazioni Generali SpA		1,157		17,197
Atlantia SpA		946		22,167
Davide Campari-Milano SpA		2,159		21,113
Enel SpA		5,335		23,520
EXOR NV		343		14,796
Intesa Sanpaolo SpA		4,683		11,959
Leonardo-Finmeccanica SpA (a)		1,353		18,999
Luxottica Group SpA		463		24,905
Mediobanca SpA		1,493		12,188
Prada SpA		4,900		16,619
Snam SpA		6,155		25,359

See notes to financial statements.

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Security Description	Shares		Value
Italy (2.1%) cont'd
Terna Rete Elettrica Nazionale SpA		5,608	$	25,691
UniCredit SpA		3,526		10,148
				244,661
Japan (17.0%):
ANA Holdings, Inc.		7,000		18,854
Asahi Glass Company Ltd.		7,000		47,675
Asahi Group Holdings Ltd.		700		22,101
Asahi Kasei Corporation		7,000		61,061
Astellas Pharma, Inc.		1,400		19,447
Bridgestone Corporation		700		25,239
Canon, Inc.		1,400		39,470
Chubu Electric Power Company, Inc.		1,400		19,561
Chugai Pharmaceutical Company, Ltd.		700		20,094
Dai-ichi Life Insurance Company Ltd.		700		11,655
Daito Trust Construction Company Ltd.		700		105,292
Denso Corporation		700		30,324
Fuji Heavy Industries Ltd.		700		28,581
FUJIFILM Holdings Corporation		700		26,563
Hankyu Hanshin Holdings, Inc.		700		22,460
Hoya Corporation		700		29,413
Isuzu Motors Ltd.		1,400		17,740
Japan Airlines Company Ltd.		700		20,453
Japan Exchange Group, Inc.		700		10,002
Japan Post Bank Company Ltd.		1,400		16,806
Japan Post Holdings Company Ltd.		1,400		17,477
Japan Post Insurance Company Ltd.		700		14,991
Japan Tobacco, Inc.		700		23,023
Kajima Corporation		7,000		48,453
Kao Corporation		700		33,187
KDDI Corporation		700		17,725
Komatsu Ltd.		700		15,857
Kubota Corporation		700		9,993
Kyocera Corporation		700		34,810
Kyowa Hakko Kirin Company Ltd.		700		9,679
M3, Inc.		700		17,638
Makita Corporation		700		46,896
Mazda Motor Corporation		700		11,452
Mitsubishi UFJ Financial Group, Inc.		2,800		17,254
Mizuho Financial Group, Inc.		9,800		17,592
NGK Insulators Ltd.		700		13,578
Nippon Paint Holdings Company Ltd.		700		19,076
Nippon Telegraph & Telephone Corporation		700		29,419
Nissan Motor Company Ltd.		1,400		14,081
Nomura Research Institute Ltd.		726		22,114
NTT Data Corporation		700		33,840
NTT DOCOMO, Inc.		700		15,950
Obayashi Corporation		2,100		20,070
Odakyu Electric Railway Company Ltd.		3,500		69,266
Olympus Corporation		700		24,197

See notes to financial statements.

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December 31, 2016

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Security Description	Shares		Value
Japan (17.0%) cont'd
Omron Corporation		700	$	26,862
Ono Pharmaceutical Company Ltd.		700		15,306
Oriental Land Company Ltd.		700		39,565
ORIX Corporation		700		10,924
Osaka Gas Company Ltd.		7,000		26,928
Panasonic Corporation		1,400		14,249
Rakuten, Inc.		1,400		13,721
Recruit Holdings Company Ltd.		700		28,090
Renesas Electronics Corporation		2,800		22,232
Resona Holdings, Inc.		3,500		17,953
Ricoh Company Ltd.		3,500		29,587
Sekisui Chemical Company Ltd.		1,400		22,328
Sekisui House Ltd.		1,400		23,304
Seven & i Holdings Company Ltd.		700		26,670
Shimizu Corporation		351		3,210
Shionogi & Company, Ltd.		700		33,534
Sompo Japan Nipponkoa Holdings, Inc.		700		23,718
Sumitomo Dainippon Pharma Company Ltd.		1,400		24,077
Sumitomo Electric Industries Ltd.		1,400		20,202
Sumitomo Mitsui Financial Group, Inc.		700		26,712
Sumitomo Mitsui Trust Holdings, Inc.		700		25,053
Suntory Beverage & Food Ltd.		700		29,078
Suzuki Motor Corporation		700		24,640
T&D Holdings, Inc.		1,400		18,513
Terumo Corporation		700		25,844
Tokyu Corporation		7,000		51,448
TOTO Ltd.		700		27,701
Unicharm Corporation		700		15,318
Yahoo Japan Corporation		5,600		21,514
Yakult Honsha Company Ltd.		700		32,462
Yamaha Corporation		700		21,382
Yamato Holdings Company, Ltd.		700		14,234
				1,946,768
Netherlands (2.8%):
AerCap Holdings NV (a)		378		15,729
Akzo Nobel NV		358		22,381
ASML Holding NV		231		25,933
GrandVision NV (Acquired 09/16/16 through 12/21/16, Cost $25,674) (b)		932		20,509
Heineken Holding NV		435		30,286
Heineken NV		400		30,005
ING Groep NV		1,241		17,466
Koninklijke Ahold Delhaize NV		1,255		26,461
Koninklijke DSM NV		400		23,984
Koninklijke KPN NV		7,326		21,701
Koninklijke Vopak NV		414		19,556
NN Group NV		673		22,808
Randstad Holding NV		365		19,799
Wolters Kluwer NV		750		27,174
				323,792

See notes to financial statements.

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
New Zealand (0.2%):
Auckland International Airport Ltd.		5,055	$	21,948
Norway (1.2%):
DNB ASA		1,515		22,527
Gjensidige Forsikring ASA		1,662		26,367
Marine Harvest ASA		1,613		29,083
Orkla ASA		3,471		31,433
Yara International ASA		638		25,120
				134,530
Portugal (0.4%):
EDP-Energias de Portugal SA		6,618		20,161
Jeronimo Martins SGPS SA		1,528		23,709
				43,870
Singapore (2.2%):
CapitaLand Ltd.		14,000		29,196
DBS Group Holdings Ltd.		2,800		33,527
Jardine Cycle & Carriage Ltd.		700		19,930
Keppel Corporation Ltd.		4,900		19,591
Oversea-Chinese Banking Corporation Ltd.		4,200		25,870
Singapore Airlines Ltd.		4,900		32,720
Singapore Technologies Engineering Ltd.		10,500		23,419
Singapore Telecommunications Ltd.		10,500		26,465
United Overseas Bank Ltd.		2,800		39,443
				250,161
South Africa (0.1%):
Steinhoff International Holdings NV		2,559		13,210
Spain (3.3%):
Abertis Infraestructuras SA		1,724		24,128
ACS Actividades de Construccion y Servicios SA		645		20,382
Aena SA (Acquired 03/18/16 through 12/21/16, Cost $24,301) (b)		189		25,794
Amadeus IT Group SA		575		26,130
Banco de Sabadell SA		9,695		13,502
Banco Santander SA		2,860		14,930
Bankia SA		15,513		15,856
Bankinter SA		2,993		23,188
Enagas SA		1,157		29,382
Ferrovial SA		1,157		20,699
Gamesa Corp Tecnologica SA		659		13,368
Gas Natural SDG SA		1,150		21,681
Grifols SA		1,346		26,751
Iberdrola SA		4,171		27,371
Industria de Diseno Textil SA		708		24,169
Mapfre SA		6,365		19,430
Red Electrica Corp SA		1,767		33,341
				380,102
Sweden (3.4%):
Alfa Laval AB		1,185		19,614

See notes to financial statements.

84

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Security Description	Shares		Value
Sweden (3.4%) cont'd
Assa Abloy AB — Class B		1,093	$	20,287
Atlas Copco AB — Class A		666		20,286
Autoliv, Inc.		189		21,385
Hennes & Mauritz AB — Class B		729		20,276
Hexagon AB — Class B		540		19,293
ICA Gruppen AB		652		19,888
Investment AB Latour		596		22,386
L E Lundbergforetagen AB — Class B		512		31,387
Nordea Bank AB		2,131		23,695
Skanska AB — Class B		981		23,161
SKF AB — Class B		1,129		20,769
Svenska Cellulosa AB SCA — Class B		806		22,763
Svenska Handelsbanken AB — Class A		1,549		21,525
Swedbank AB — Class A		960		23,213
Swedish Match AB		757		24,080
Telefonaktiebolaget LM Ericsson — Class B		2,615		15,356
Volvo AB — Class B		1,745		20,379
				389,743
Switzerland (7.3%):
ABB Ltd.		1,507		31,789
Actelion Ltd.		161		34,862
Barry Callebaut AG		21		25,696
Chubb Ltd.		301		39,768
Cie Financiere Richemont SA		385		25,502
Coca-Cola HBC AG		1,106		24,126
EMS-Chemie Holding AG		63		32,017
Galenica AG		14		15,797
Garmin Ltd.		420		20,366
Geberit AG		77		30,867
Givaudan SA		21		38,482
Julius Baer Group Ltd.		448		19,899
Kuehne + Nagel International AG — Class R		245		32,384
Lonza Group AG		147		25,450
Nestle SA		469		33,645
Novartis AG		413		30,053
Partners Group Holding AG		63		29,526
Roche Holdings AG		126		28,781
Schindler Holding AG		189		33,334
SGS SA		14		28,487
Sika AG		7		33,629
Sonova Holding AG		224		27,145
Swatch Group AG		84		26,125
Swiss Life Holding AG		105		29,717
Swiss Re AG		322		30,515
Swisscom AG		70		31,353
TE Connectivity Ltd.		434		30,067
UBS Group AG		1,184		18,545
Wolseley PLC		448		27,396
				835,323

See notes to financial statements.

85

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
United Kingdom (10.8%):
3i Group PLC		2,430	$	21,083
Admiral Group PLC		875		19,701
Aon PLC		350		39,035
Ashtead Group PLC		1,022		19,900
Associated British Foods PLC		469		15,866
Aviva PLC		2,843		17,042
Babcock International Group PLC		1,828		21,469
BAE Systems PLC		4,349		31,703
Barratt Developments PLC		1,793		10,218
British American Tobacco PLC		567		32,294
BT Group PLC		4,180		18,901
Bunzl PLC		1,134		29,474
Burberry Group PLC		1,127		20,792
Coca-Cola European Partners PLC		427		13,408
Compass Group PLC		1,737		32,132
Delphi Automotive PLC		266		17,915
Diageo PLC		1,274		33,129
Direct Line Insurance Group PLC		4,468		20,341
GKN PLC		4,930		20,153
Hargreaves Lansdown PLC		868		12,976
IHS Markit Ltd. (a)		665		23,548
Imperial Brands PLC		658		28,727
InterContinental Hotels Group PLC		441		19,772
International Consolidated Airlines Group SA		2,458		13,356
ITV PLC		5,658		14,392
Johnson Matthey PLC		554		21,712
Kingfisher PLC		4,930		21,283
Legal & General Group PLC		4,937		15,065
Marks & Spencer Group PLC		3,844		16,581
Merlin Entertainments PLC (Acquired 03/18/16 through 12/21/16, Cost $27,553) (b)		4,145		22,916
Michael Kors Holdings Ltd. (a)		315		13,539
National Grid PLC		2,570		30,140
Next PLC		238		14,616
Old Mutual PLC		6,841		17,477
Pentair PLC		378		21,194
Persimmon PLC		483		10,572
Prudential PLC		868		17,410
Reckitt Benckiser Group PLC		378		32,078
RELX NV		1,703		28,665
RELX PLC		1,772		31,644
Royal Mail PLC		3,837		21,851
RSA Insurance Group PLC		3,788		27,357
Sage Group PLC		2,619		21,141
Schroders PLC		462		17,070
Severn Trent PLC		1,197		32,779
Sky PLC		2,255		27,541
Smith & Nephew PLC		1,926		28,982
Smiths Group PLC		1,401		24,449

See notes to financial statements.

86

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  (Unaudited)

Security Description	Shares		Value
United Kingdom (10.8%) cont'd
SSE PLC		1,302	$	24,919
St James's Place PLC		1,295		16,183
Standard Life PLC		3,508		16,083
Taylor Wimpey PLC		5,182		9,803
Unilever PLC		721		29,256
United Utilities Group PLC		2,738		30,403
Whitbread PLC		364		16,939
WPP PLC		1,232		27,573
				1,234,548
Total Common Stocks (Cost $11,791,277)				11,390,083
Short-Term Investments (0.1%)
Money Market Funds (0.1%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (c)		11,002		11,002
Total Short-Term Investments (Cost $11,002)				11,002
Total Investments — 99.8% (Cost $11,802,279)				11,401,085
Other assets in excess of liabilities — 0.2%				20,254
NET ASSETS — 100.0%			$	11,421,339

(a)  Non-income producing security.

(b)  Restricted securities as defined in Rule 144(a) and Regulation S under the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund's liquidity guidlelines. The value of those securities total $143,863 or 1.26% of net assets.

(c)  Annualized seven-day yield as of December 31, 2016.

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.4%)
Brazil (3.6%):
Ambev SA		11,900	$	59,963
Banco do Brasil SA		4,000		34,522
BB Seguridade Participacoes SA		2,000		17,390
BRF SA		2,000		29,649
CCR SA		6,000		29,422
CETIP SA — Mercados Organizados		6,000		82,220
Cielo SA		3,960		33,934
CPFL Energia SA		5,960		46,165
EDP — Energias do Brasil SA		12,000		49,405
Engie Brasil Energia SA		6,000		64,522
Equatorial Energia SA		4,000		66,857
Hypermarcas SA		6,000		48,170
Kroton Educacional SA		8,000		32,765
Localiza Rent a Car SA		2,000		21,028
Lojas Renner SA		6,000		42,714
M Dias Branco SA		2,000		70,673
Raia Drogasil SA		2,000		37,601
Tim Participacoes SA		13,900		33,440
Ultrapar Participacoes SA		2,000		42,062
WEG SA		8,000		38,099
				880,601
Chile (3.6%):
AES Gener SA		192,271		68,668
Aguas Andinas SA — Class A		168,576		87,769
Banco de Chile		967,432		113,383
Banco do Credito e Inversiones		1,813		91,763
Banco Santander-Chile		1,596,856		88,832
Cia Cervecerias Unidas SA		6,417		67,016
Colbun SA		328,841		64,698
Empresas COPEC SA		7,234		69,321
Enel Americas SA		331,153		53,826
Enel Generacion Chile SA		111,520		73,581
SACI Falabella		12,754		100,911
				879,768
China (12.9%):
3SBio, Inc. (Acquired 03/22/16 through 10/26/16, Cost $33,412) (a) (b)		30,000		29,209
Anhui Conch Cement Company Ltd. — Class H		10,000		27,210
ANTA Sports Products Ltd.		20,000		59,707
AviChina Industry & Technology Company Ltd. — Class H		60,000		41,318
BAIC Motor Corporation Ltd. — Class H (Acquired 04/12/16 through 10/26/16, Cost $27,694) (b)		30,000		26,694
Bank of China Ltd. — Class H		120,000		53,234
Bank of Communications Company Ltd. — Class H		80,000		57,876
BBMG Corporation — Class H		80,000		27,648
Beijing Capital International Airport Company Ltd. — Class H		40,000		40,441
Belle International Holdings Ltd.		60,000		33,735

See notes to financial statements.

88

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  (Unaudited)

Security Description	Shares		Value
China (12.9%) cont'd
BYD Company Ltd. — Class H		10,000	$	52,679
CAR, Inc. (a)		40,000		38,997
CGN Power Company Ltd. — Class H (Acquired 03/22/16 through 10/26/16, Cost $43,004) (b)		139,000		38,180
China Cinda Asset Management Company Ltd. — Class H		159,000		57,617
China CITIC Bank Corporation Ltd. — Class H		80,000		50,861
China Communications Construction Company Ltd. — Class H		40,000		46,012
China Communications Services Corporation Ltd. — Class H		80,000		50,964
China Conch Venture Holdings Ltd.		30,000		53,388
China Construction Bank Corporation — Class H		80,000		61,590
China Evergrande Group		60,000		37,372
China Galaxy Securities Company Ltd. — Class H		40,000		36,056
China Hongqiao Group Ltd.		40,000		35,180
China Life Insurance Co Ltd.		20,000		52,099
China Longyuan Power Group Corporation Ltd. — Class H		40,000		31,259
China Machinery Engineering Corporation — Class H		60,000		38,068
China Medical System Holdings Ltd.		20,000		31,672
China Mengniu Dairy Company Ltd.		20,000		38,532
China Molybdenum Company Ltd. — Class H		120,000		29,248
China National Building Material Company Ltd. — Class H		80,000		38,894
China Petroleum & Chemical Corporation		40,000		28,371
China Railway Construction Corporation Ltd. — Class H		30,000		38,610
China Railway Group Ltd. — Class H		40,000		32,910
China Railway Signal & Communication Corporation Ltd. (Acquired 09/19/16 through 10/26/16, Cost $31,768) (b)		40,000		28,835
China Reinsurance Group Corporation		179,000		42,473
China Telecom Corporation Ltd. — Class H		80,000		36,933
China Vanke Company Ltd. — Class H		13,900		31,727
China Zhongwang Holdings Ltd.		79,600		33,875
Chongqing Rural Commercial Bank Company Ltd. — Class H		80,000		46,940
Country Garden Holdings Company Ltd.		100,000		55,967
CSPC Pharmaceutical Group Ltd.		40,000		42,711
Dongfeng Motor Group Company Ltd. — Class H		40,000		39,048
FIH Mobile Ltd.		120,000		37,913
Fosun International Ltd.		30,000		42,479
GOME Electrical Appliances Holding Ltd.		299,000		36,245
Great Wall Motor Company Ltd. — Class H		30,000		28,010
Guangzhou Automobile Group Company Ltd.		40,000		48,385
Guangzhou Baiyunshan Pharmaceutical Holdings Company Ltd.		40,000		103,424
Guangzhou R&F Properties Company Ltd. — Class H		24,000		29,031
Haitian International Holdings Ltd.		20,000		39,255
Hengan International Group Company Ltd.		10,000		73,441
Huaneng Power International, Inc. — Class H		40,000		26,514
Huaneng Renewables Corporation Ltd. — Class H		80,000		25,998
Intime Retail Group Company Ltd. (c)		40,000		36,263
Jiangsu Expressway Company Ltd. — Class H		40,000		50,551
Legend Holdings Corporation (Acquired 09/19/16 through 10/26/16, Cost $50,912) (b)		19,900		44,140
Longfor Properties Company Ltd.		30,000		38,068
People's Insurance Company Group of China Ltd. — Class H		100,000		39,461

See notes to financial statements.

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Security Description	Shares		Value
China (12.9%) cont'd
PICC Property & Casualty Company Ltd.		40,000	$	62,312
Ping An Insurance Group Company of China Ltd. — Class H		10,000		50,035
Shandong Weigao Group Medical Polymer Company Ltd.		80,000		53,440
Sihuan Pharmaceutical Holdings Group Ltd.		40,000		11,142
Sino-Ocean Land Holdings Ltd.		79,500		35,575
Sinopec Engineering Group Company Ltd. — Class H		50,000		41,718
Sinopharm Group Company Ltd. — Class H		8,000		32,961
Sinotrans Ltd.		60,000		26,772
Tencent Holdings Ltd.		2,000		48,926
Tong Ren Tang Technologies Company Ltd. — Class H		40,000		74,176
TravelSky Technology Ltd. — Class H		20,000		42,040
Uni-President China Holdings Ltd.		60,000		42,324
Want Want China Holdings Ltd.		60,000		38,455
Weichai Power Company Ltd. — Class H		20,000		30,795
Xinhua Winshare Publishing and Media Company Ltd.		40,000		37,294
Xinyi Solar Holdings Ltd.		80,000		25,998
Zall Group Ltd. (a)		60,000		46,425
Zhejiang Expressway Company Ltd. — Class H		40,000		38,171
Zhuzhou CRRC Times Electric Comapny Ltd.		10,000		50,745
				3,162,622
Colombia (0.8%):
Cementos Argos SA		12,825		50,668
Grupo de Inversiones Suramericana SA		4,879		62,084
Grupo Nutresa SA		10,217		84,745
				197,497
Czech Republic (0.4%):
CEZ AS		2,989		50,068
Komercni banka as		1,395		48,093
				98,161
Egypt (0.1%):
Commercial International Bank Egypt SAE		8,465		34,121
Greece (0.3%):
Hellenic Telecommunications Organization SA		3,746		35,213
OPAP SA		3,946		34,892
				70,105
Hungary (0.3%):
Richter Gedeon Nyrt		2,929		61,912
India (11.8%):
ACC Ltd.		2,630		51,579
Adani Ports & Special Economic Zone Ltd.		8,409		33,261
Ajanta Pharma Ltd		1,893		49,725
Amara Raja Batteries Ltd.		3,607		46,253
Asian Paints Ltd.		3,746		49,180
Aurobindo Pharma Ltd.		3,507		34,584
Bajaj Auto Ltd.		1,475		57,205
Bajaj Finserv Ltd.		1,036		44,188
Bank of Baroda (a)		11,857		26,799

See notes to financial statements.

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Security Description	Shares		Value
India (11.8%) cont'd
Berger Paints India Ltd.		11,319	$	35,114
Bharti Airtel Ltd.		11,219		50,524
Bharti Infratel Ltd.		8,290		41,951
Biocon Ltd.		3,348		46,856
Bosch Ltd.		159		49,314
Britannia Industries Ltd.		996		42,357
Cadila Healthcare Ltd.		7,453		39,165
Castrol India Ltd.		8,150		45,709
Cipla Ltd.		7,034		58,950
Coal India Ltd.		10,721		47,389
Colgate-Palmolive India Ltd.		4,703		62,684
Cummins India Ltd.		3,846		46,396
Dabur India Ltd.		12,953		53,085
Divi's Laboratories Ltd.		2,989		34,514
DLF Ltd.		13,770		22,602
Dr Reddy's Laboratories Ltd.		1,076		48,519
Eicher Motors Ltd.		159		51,078
Emami Ltd.		3,208		44,977
GlaxoSmithKline Consumer Healthcare Ltd		678		49,982
Glenmark Pharmaceuticals Ltd.		3,886		50,870
Godrej Consumer Products Ltd.		1,953		43,450
HCL Technologies Ltd.		5,062		61,752
Hindustan Zinc Ltd.		12,255		46,116
Housing Development Finance Corporation Ltd.		2,870		53,391
ICICI Bank Ltd.		9,545		35,904
Idea Cellular Ltd.		29,552		32,286
Indiabulls Housing Finance Ltd.		3,527		33,792
Infosys Ltd.		3,667		54,602
ITC Ltd.		14,387		51,225
Kotak Mahindra Bank Ltd.		5,540		58,747
Larsen & Toubro Ltd.		1,933		38,424
Lupin Ltd.		1,893		41,473
Mahindra & Mahindra Ltd.		2,650		46,257
Marico Ltd.		13,132		50,394
Motherson Sumi Systems Ltd.		6,636		31,919
Nestle India Ltd.		618		54,892
Oracle Financial Services Software Ltd.		1,315		60,563
Page Industries Ltd.		199		40,025
Pidilite Industries Ltd.		6,138		53,340
Piramal Enterprises Ltd.		1,475		35,312
Reliance Industries Ltd.		4,284		68,322
Reliance Infrastructure Ltd.		3,786		26,062
Reliance Power Ltd. (a)		55,816		33,883
Shriram Transport Finance Company Ltd.		2,072		26,055
State Bank of India		9,107		33,573
Sun Pharmaceutical Industries Ltd.		5,161		47,907
Tata Consultancy Services Ltd.		1,813		63,191
Tata Power Company Ltd.		45,255		50,609
Tech Mahindra Ltd.		7,433		53,543
Torrent Pharmaceuticals Ltd.		1,993		38,678

See notes to financial statements.

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Security Description	Shares		Value
India (11.8%) cont'd
UltraTech Cement Ltd.		976	$	46,739
UPL Ltd.		4,304		41,030
Wipro Ltd.		9,924		69,374
Zee Entertainment Enterprises Ltd.		6,317		42,168
				2,879,808
Indonesia (3.8%):
Astra International Tbk PT		67,800		41,644
Bank Central Asia Tbk PT		91,700		105,500
Bank Mandiri Persero Tbk PT		53,800		46,223
Bank Negara Indonesia Persero Tbk PT		117,600		48,227
Bank Rakyat Indonesia Persero Tbk PT		53,800		46,622
Charoen Pokphand Indonesia Tbk PT		147,500		33,830
Gudang Garam Tbk PT		10,000		47,430
Hanjaya Mandala Sampoerna Tbk PT		139,500		39,657
Indocement Tunggal Prakarsa Tbk PT		33,900		38,750
Indofood CBP Sukses Makmur Tbk PT		69,700		44,363
Jasa Marga Persero Tbk PT		141,500		45,372
Kalbe Farma Tbk PT		338,800		38,099
Matahari Department Store Tbk PT		27,900		31,322
Mitra Keluarga Karyasehat Tbk PT (Acquired 03/22/16 through 10/26/16, Cost $34,846) (b)		175,400		33,459
Perusahaan Gas Negara Persero Tbk		163,400		32,747
Semen Indonesia Perero Tbk PT		59,800		40,725
Surya Citra Media Tbk PT		171,400		35,622
Telekomunikasi Indonesia Persero Tbk PT		161,400		47,680
Unilever Indonesia Tbk PT		15,900		45,791
Waskita Karya Persero Tbk PT		281,000		53,186
XL Axiata Tbk PT (a)		193,300		33,143
				929,392
Malaysia (8.7%):
Astro Malaysia Holdings Bhd		75,700		43,874
Axiata Group Bhd		47,800		50,293
British American Tobacco Malaysia Bhd		4,000		39,768
CIMB Group Holdings Bhd		49,800		50,066
DiGi.com Bhd		71,700		77,198
Fraser & Neave Holdings Bhd		13,900		72,753
Gamuda Bhd		73,700		78,530
Genting Bhd		23,900		42,622
Genting Malaysia Bhd		53,800		54,927
HAP Seng Consolidated Bhd		55,800		110,207
Hong Leong Bank Bhd		39,900		120,074
IHH Healthcare Bhd		65,800		93,141
IJM Corporation Bhd		103,600		73,901
Kuala Lumpur Kepong Bhd		19,900		106,465
Malayan Banking Bhd		53,800		98,342
Maxis Bhd		43,800		58,387
MISC Bhd		33,900		55,543
Petronas Chemicals Group Bhd		39,900		62,083
Petronas Dagangan Bhd		15,900		84,356

See notes to financial statements.

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Security Description	Shares		Value
Malaysia (8.7%) cont'd
Petronas Gas Bhd		15,900	$	75,495
Public Bank Bhd		35,900		157,813
RHB Capital Bhd		53,797		56,483
Sime Darby Bhd		31,900		57,599
Telekom Malaysia Bhd		113,600		150,673
Tenaga Nasional Bhd		37,900		117,434
Westports Holdings Bhd		73,700		70,644
YTL Corporation Bhd		167,400		57,840
				2,116,511
Mexico (4.7%):
Alfa SAB de CV		37,900		46,914
Alpek SAB de CV		35,900		42,880
Alsea SAB de CV		19,900		56,850
Arca Continental SAB de CV		12,000		62,427
Coca-Cola Femsa SAB de CV		10,000		63,387
Grupo Aeroportuario del Centro Norte SAB de CV		10,000		43,045
Grupo Aeroportuario del Pacifico SAB de CV — Class B		6,000		49,321
Grupo Aeroportuario del Sureste SAB de CV — Class B		4,785		68,882
Grupo Bimbo SAB de CV — Class A		21,900		49,527
Grupo Carso SAB de CV — Class A		13,900		55,903
Grupo Financiero Banorte SAB de CV — Class O		10,000		49,253
Grupo Financiero Inbursa SAB de CV — Class O		33,900		51,382
Grupo Financiero Santander Mexico SAB de CV — Class B		31,900		45,873
Grupo Lala SAB de CV		33,900		49,305
Grupo Mexico SAB de CV — Class B		21,900		59,468
Industrias Bachoco SAB de CV — Class B		15,900		65,043
Infraestructura Energetica Nova SAB de CV		17,900		77,974
Kimberly-Clark de Mexico SAB de CV — Class A		25,900		46,641
Nemak SAB de CV (Acquired 09/19/16 through 10/26/16, Cost $69,539) (b)		65,800		58,977
OHL Mexico SAB de CV		21,900		21,541
Promotora y Operadora de Infraestructura SAB de CV		5,280		44,064
Wal-Mart de Mexico SAB de CV		25,900		46,353
				1,155,010
Philippines (4.6%):
Aboitiz Equity Ventures, Inc.		38,440		54,746
Aboitiz Power Corporation		79,700		66,854
Alliance Global Group, Inc.		143,400		36,865
Ayala Corporation		2,990		43,937
Ayala Land, Inc.		61,700		39,716
Bank of the Philippine Islands		35,850		64,038
BDO Unibank, Inc.		27,090		61,087
DMCI Holdings, Inc.		197,200		52,600
Energy Development Corporation		396,400		41,065
Globe Telecom, Inc.		1,095		33,238
GT Capital Holdings, Inc.		1,990		50,838
JG Summit Holdings, Inc.		27,690		37,681
Jollibee Foods Corporation		12,750		49,756
LT Group, Inc.		153,400		38,757
Manila Electric Company		11,350		60,503

See notes to financial statements.

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Security Description	Shares		Value
Philippines (4.6%) cont'd
Metro Pacific Investments Corporation		362,500	$	48,564
Metropolitan Bank & Trust Company		28,880		42,176
Puregold Price Club, Inc.		57,800		45,345
Robinsons Retail Holdings, Inc.		31,470		47,003
Semirara Mining & Power Corporation		22,510		58,865
SM Investments Corporation		3,587		47,262
SM Prime Holdings, Inc.		85,700		48,873
Universal Robina Corporation		15,740		51,768
				1,121,537
Poland (1.1%):
Bank Pekao SA		1,534		46,115
Bank Zachodni WBK SA		478		36,096
Cyfrowy Polsat SA (a)		7,791		45,800
mBank SA (a)		399		31,966
Powszechna Kasa Oszczednosci Bank Polski SA (a)		6,237		41,941
Powszechny Zaklad Ubezpieczen SA		7,193		57,085
				259,003
Qatar (2.4%):
Ezdan Holding Group QSC		8,408		34,889
Industries Qatar QSC		1,826		58,921
Masraf Al Rayan QSC		5,639		58,227
Ooredoo QSC		1,846		51,607
Qatar Electricity & Water Company QSC		1,064		66,328
Qatar Fuel QSC		1,244		49,673
Qatar Gas Transport Company Ltd.		8,248		52,300
Qatar Insurance Company SAQ		1,967		45,807
Qatar Islamic Bank SAQ		1,605		45,795
Qatar National Bank SAQ		1,646		73,635
The Commercial Bank QSC		4,395		39,226
				576,408
Republic of Korea (9.5%):
Amorepacific Corporation		139		37,000
AMOREPACIFIC Group		279		30,723
BGF Retail Company Ltd.		320		21,672
Celltrion, Inc. (a)		334		29,691
CJ CheilJedang Corporation		179		52,983
CJ Corporation		239		37,004
CJ Korea Express Corporation (a)		259		38,385
Coway Compan Ltd.		517		37,797
Daelim Industrial Company Ltd.		517		37,283
Dongbu Insurance Company Ltd.		756		39,121
Dongsuh Companies, Inc.		1,871		42,678
GS Holdings Corporation		1,174		52,586
GS Retail Company Ltd.		876		34,524
Hankook Tire Company Ltd.		796		38,225
Hanon Systems		3,165		26,991
Hanssem Company Ltd.		279		45,969
Hanwha Chemical Corporation		1,652		33,784

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Republic of Korea (9.5%) cont'd
Hanwha Techwin Company Ltd.		756	$	27,197
Hyundai Department Store Company Ltd.		517		46,657
Hyundai Development Co-Engineering & Construction		776		28,880
Hyundai Engineering & Construction Company Ltd.		1,015		35,968
Hyundai Glovis Company Ltd.		299		38,248
Hyundai Mobis Company Ltd.		199		43,497
Hyundai Motor Company		458		55,363
Hyundai Steel Company		776		36,622
Hyundai Wia Corporation		478		28,890
Industrial Bank of Korea		4,856		51,061
Kakao Corporation		716		45,647
Kangwon Land, Inc.		1,513		44,784
KB Financial Group, Inc.		1,453		51,489
KEPCO Plant Service & Engineering Company Ltd.		577		25,893
Kia Motors Corporation		1,453		47,218
Korea Aerospace Industries Ltd.		577		32,008
Korea Electric Power Corporation		1,174		42,817
Korea Zinc Company Ltd.		119		46,800
KT&G Corporation		458		38,299
LG Chemical Ltd.		179		38,681
LG Corporation		856		42,524
LG Household & Health Care Ltd.		40		28,382
LG Uplus Corporation		4,996		47,362
Lotte Chemical Corporation		159		48,577
Mando Corporation		179		34,754
Medy-Tox, Inc.		80		23,620
NAVER Corporation		60		38,500
NCSoft Corporation		179		36,680
Orion Corp/Republic of Korea		60		32,538
S-1 Corporation		458		33,256
Samsung Card Company Ltd.		916		30,109
Samsung Electronics Company Ltd.		40		59,679
Samsung Fire & Marine Insurance Company Ltd.		199		44,239
Samsung Life Insurance Company Ltd.		478		44,523
Samsung SDS Company Ltd.		259		29,914
Shinhan Financial Group Company Ltd.		1,632		61,142
SK Holdings Co Ltd		239		45,413
SK Hynix, Inc.		1,294		47,890
SK Telecom Company Ltd.		299		55,453
Woori Bank		5,851		61,765
Yuhan Corporation		167		27,576
				2,316,331
Russian Federation (3.0%):
Bashneft PJSC		956		55,923
Federal Grid Co Unified Energy System PJSC		12,950,000		42,896
Inter RAO UES PJSC		776,000		48,626
Magnit PJSC		279		50,029
MegaFon PJSC		5,380		50,831
MMC Norilsk Nickel PJSC		379		62,535

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Russian Federation (3.0%) cont'd
Mobile TeleSytems PJSC		15,360	$	64,850
Moscow Exchange MICEX-RTS PJSC		26,100		53,434
Novolipetsk Steel PJSC		34,250		64,195
Rosseti PJSC		2,431,000		45,331
Rostelecom PJSC		49,010		67,110
RusHydro PJSC		3,985,000		60,147
Tatneft PAO		8,770		61,045
				726,952
South Africa (5.5%):
Aspen Pharmacare Holdings Ltd.		1,793		37,023
Barclays Africa Group Ltd.		3,587		44,059
Capitec Bank Holdings, Ltd.		1,136		57,488
Discovery Ltd.		4,782		39,868
FirstRand Ltd.		11,677		45,207
Imperial Holdings Ltd.		2,292		30,447
Investec Ltd.		7,094		46,876
Life Healthcare Group Holdings Ltd.		22,159		52,599
Mondi Ltd.		2,610		53,210
Mr Price Group Ltd.		2,531		29,403
Naspers Ltd. — Class N		259		37,983
Nedbank Group Ltd.		2,989		51,826
Netcare Ltd.		22,099		51,234
Pick n Pay Stores Ltd		9,266		42,991
Pioneer Food Group Ltd.		3,487		39,093
Rand Merchant Investment Holdings Ltd.		15,981		46,312
Remgro Ltd.		2,869		46,595
RMB Holdings Ltd.		9,684		46,820
Sanlam Ltd.		8,150		37,327
Sappi Ltd.		7,313		47,897
Sasol Ltd.		1,455		42,261
Shoprite Holdings Ltd.		3,388		42,298
Sibanye Gold Ltd.		6,018		11,126
SPAR Group Ltd.		3,447		49,841
Standard Bank Group Ltd.		4,045		44,695
The Bidvest Group Ltd.		4,384		57,857
Tiger Brands Ltd.		1,754		50,809
Truworths International Ltd.		7,114		41,269
Vodacom Group Ltd.		7,791		86,455
Woolworths Holdings Ltd.		7,473		38,644
				1,349,513
Taiwan (11.8%):
Advanced Semiconductor Engineering, Inc.		40,000		41,019
Asia Cement Corporation		60,000		49,055
Cathay Financial Holding Company Ltd.		20,000		29,911
Chang Hwa Commercial Bank Ltd.		159,600		84,928
Cheng Shin Rubber Industry Company Ltd.		20,000		37,730
China Development Financial Holding Corporation		259,000		64,772
Chunghwa Telecom Company Ltd.		40,000		125,974
Compal Electronics, Inc.		139,000		79,573

See notes to financial statements.

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Security Description	Shares		Value
Taiwan (11.8%) cont'd
CTBC Financial Holding Company Ltd.		119,800	$	65,608
Delta Electronics, Inc.		20,000		98,979
E.Sun Financial Holdings Company Ltd.		120,000		68,324
Far Eastern New Century Corporation		60,000		45,053
Far EasTone Telecommunications Company Ltd.		40,000		89,981
Feng TAY Enterprise Company Ltd.		20,000		74,777
First Financial Holding Company Company Ltd.		199,445		106,440
Formosa Chemicals & Fibre Corporation		20,000		59,760
Formosa Petrochemical Corporation		20,000		69,503
Formosa Plastics Corporation		40,000		110,708
Foxconn Technology Company Ltd.		20,100		53,198
Fubon Financial Holding Company Ltd.		40,000		63,297
Giant Manufacturing Company Ltd.		20,000		113,562
Hon Hai Precision Industry Company Ltd.		40,000		104,502
Hua Nan Financial Holdings Company Ltd.		178,960		90,232
Inventec Corporation		80,000		54,857
Lite-On Technology Corporation		60,150		90,703
Mega Financial Holding Company Ltd.		100,000		71,364
Nan Ya Plastics Corporation		40,000		88,368
Nanya Technology Corporation		40,000		59,946
Pegatron Corporation		20,000		47,783
Pou Chen Corporation		40,000		49,893
Quanta Computer, Inc.		20,000		37,420
Standard Foods Corporation		100		238
Taishin Financial Holding Comapny Ltd.		179,000		65,537
Taiwan Cement Corporation		40,000		43,625
Taiwan Cooperative Financial Holding Company Ltd.		239,370		104,352
Taiwan Mobile Company Ltd.		20,000		64,538
Taiwan Semicon Manufacturing Company Ltd.		20,000		112,631
Uni-President Enterprises Corporation		40,000		66,276
United Microelectronics Corporation		199,000		70,390
Vanguard International Semiconductor Corporation		40,000		69,751
Yuanta Financial Holding Company Ltd.		159,000		59,201
				2,883,759
Thailand (5.6%):
Advanced Info Service PCL		8,000		32,840
Airports of Thailand PCL		6,000		66,684
Bangkok Bank PCL		12,000		53,448
Bangkok Dusit Medical Services PCL		123,500		79,665
Berli Jucker PCL		27,900		39,150
BTS Group Holdings PCL		298,800		71,341
Bumrungrad Hospital PCL		12,000		60,653
Central Pattana PCL		33,900		53,722
Charoen Pokphand Foods PCL		41,800		34,434
CP ALL PCL		29,900		52,184
Delta Electronics Thailand PCL		21,900		49,842
Energy Absolute PCL		73,700		61,227
Glow Energy PCL		25,900		57,137
Home Product Center PCL		189,300		53,919
Indorama Ventures PCL		39,800		37,232

See notes to financial statements.

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Security Description	Shares		Value
Thailand (5.6%) cont'd
Intouch Holdings PCL		25,900	$	35,982
IRPC PCL		430,300		57,677
Kasikornbank PCL		10,000		49,566
Krung Thai Bank PCL		121,500		60,054
Minor International PCL		47,800		47,719
PTT Global Chemical PCL		21,900		38,528
Ratchaburi Electricity Generating Holding PCL		57,800		80,703
Siam Cement PCL		4,000		55,403
Siam Commercial Bank PCL		12,000		51,102
Thai Union Group PCL		91,600		53,716
Total Access Communication PCL		29,900		31,519
True Corporation PCL		91		18
				1,365,465
Turkey (3.2%):
Akbank TAS		16,779		37,203
Arcelik AS		5,899		35,459
BIM Birlesik Magazalar AS		3,109		43,194
Coca-Cola Icecek AS		2,949		27,676
Enka Insaat ve Sanayi AS		32,405		49,430
Eregli Demir ve Celik Fabrikalari TAS		25,746		37,521
Ford Otomotiv Sanayi AS		4,165		36,113
Haci Omer Sabanci Holding AS		15,264		39,600
KOC Holding AS		11,240		43,980
Petkim Petrokimya Holding AS		33,560		35,207
Tofas Turk Otomobil Fabrikasi AS		5,540		38,704
Tupras Turkiye Petrol Rafinerileri AS		2,471		49,569
Turkcell Iletisim Hizmetleri AS (a)		16,182		44,735
Turkiye Garanti Bankasi AS		17,537		37,889
Turkiye Halk Bankasi AS		13,512		35,783
Turkiye Is Bankasi		31,326		46,009
Turkiye Sise ve Cam Fabrikalari AS		42,030		45,642
Turkiye Vakiflar Bankasi TAO		28,239		34,829
Ulker Biskuvi Sanayi AS		6,377		29,219
Yapi ve Kredi Bankasi AS (a)		37,284		36,260
				784,022
United Arab Emirates (1.8%):
Abu Dhabi Commercial Bank		23,760		44,636
Aldar Properties PJSC		65,883		47,176
DAMAC Properties Dubai Company PJSC		72,626		50,027
DP World Ltd.		2,609		45,683
Dubai Islamic Bank PJSC		36,343		55,115
Emaar Malls PJSC		59,260		42,272
Emaar Properties PJSC		23,746		46,097
Emirates Telecommunications Group Company PJSC		15,232		77,966
National Bank of Abu Dhabi PJSC		15,917		43,293
				452,265
Total Common Stocks (Cost $25,443,539)				24,300,763

See notes to financial statements.

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Security Description	Shares		Value
Rights (0.0%) (d)
Russian Federation (0.0%): (d)
Rosseti PJSC — Rights (c)		40,687	$	68
Qatar (0.0%): (d)
The Commercial Bank QSC — Rights (c)		799		1,536
Total Rights (Cost $1,761)				1,604
Total Investments — 99.5% (Cost $25,445,300)				24,302,367
Other assets in excess of liabilities — 0.5%				115,809
NET ASSETS — 100.0%			$	24,418,176

(a)  Non-income producing security.

(b)  Restricted securities as defined in Rule 144(a) and Regulation S under the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund's liquidity guidlelines. The value of these securities total $259,494 or 1.06% of net assets.

(c)  As of December 31, 2016, the Fund has fair valued these securities. The value of these securities total $37,867 or 0.16% of net assets.

(d)  Less than 0.05%.

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Aerospace & Defense (1.6%):
Lockheed Martin Corporation		4,958	$	1,239,202
Air Freight & Logistics (1.7%):
United Parcel Service, Inc. — Class B		11,660		1,336,702
Automobiles (1.7%):
Ford Motor Company		48,096		583,404
General Motors Company		22,014		766,968
				1,350,372
Banks (5.6%):
BB&T Corporation		18,157		853,742
Cullen/Frost Bankers, Inc.		6,316		557,261
Huntington Bancshares, Inc.		52,853		698,717
PacWest Bancorp		11,690		636,404
People's United Financial, Inc.		43,326		838,791
Wells Fargo & Company		15,165		835,743
				4,420,658
Beverages (1.5%):
The Coca-Cola Company		27,939		1,158,351
Biotechnology (0.8%):
AbbVie, Inc.		9,548		597,896
Capital Markets (3.5%):
Ameriprise Financial, Inc.		5,296		587,538
CME Group, Inc.		8,053		928,914
Invesco Ltd.		14,745		447,363
T. Rowe Price Group, Inc.		10,667		802,798
				2,766,613
Chemicals (2.7%):
CF Industries Holdings, Inc.		12,506		393,689
Huntsman Corporation		18,784		358,399
LyondellBasell Industries NV — Class A		6,716		576,098
The Dow Chemical Company		14,038		803,254
				2,131,440
Communications Equipment (0.9%):
Cisco Systems, Inc.		22,758		687,747
Consumer Finance (0.6%):
Navient Corporation		27,504		451,891
Containers & Packaging (2.7%):
International Paper Company		12,422		659,111
Packaging Corporation of America		6,663		565,156
Sonoco Products Company		16,323		860,222
				2,084,489
Diversified Telecommunication Services (3.8%):
AT&T, Inc.		32,414		1,378,568
CenturyLink, Inc.		19,959		474,625

See notes to financial statements.

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Security Description	Shares		Value
Diversified Telecommunication Services (3.8%) cont'd
Verizon Communications, Inc.		20,448	$	1,091,514
				2,944,707
Electric Utilities (13.9%):
Alliant Energy Corporation		25,999		985,102
American Electric Power Company, Inc.		15,559		979,595
Duke Energy Corporation		13,042		1,012,320
Eversource Energy		19,415		1,072,291
Exelon Corporation		24,616		873,622
OGE Energy Corporation		24,229		810,460
PG&E Corporation		17,186		1,044,393
Pinnacle West Capital Corporation		13,538		1,056,370
PPL Corporation		27,589		939,405
Southern Company		22,461		1,104,857
Xcel Energy, Inc.		25,812		1,050,548
				10,928,963
Electrical Equipment (1.9%):
Eaton Corporation PLC		10,351		694,449
Emerson Electric Company		13,807		769,740
				1,464,189
Food & Staples Retailing (1.0%):
Wal-Mart Stores, Inc.		11,843		818,588
Food Products (1.3%):
Archer-Daniels-Midland Company		13,092		597,650
Pilgrim's Pride Corporation		23,224		441,024
				1,038,674
Hotels, Restaurants & Leisure (4.1%):
Carnival Corporation		12,985		675,999
Darden Restaurants, Inc.		12,977		943,688
Las Vegas Sands Corporation		8,613		460,020
McDonald's Corporation		9,122		1,110,330
				3,190,037
Household Products (2.8%):
Kimberly-Clark Corporation		8,454		964,771
Procter & Gamble Company		14,704		1,236,312
				2,201,083
Insurance (10.5%):
American Financial Group, Inc.		13,654		1,203,190
Arthur J Gallagher & Company		19,066		990,669
Cincinnati Financial Corporation		13,446		1,018,535
Erie Indemnity Company — Class A		8,568		963,472
MetLife, Inc.		10,951		590,149
Old Republic International Corporation		54,613		1,037,647
Principal Financial Group, Inc.		10,820		626,045
Progressive Corporation		31,684		1,124,782
Prudential Financial, Inc.		6,696		696,786
				8,251,275

See notes to financial statements.

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Security Description	Shares		Value
IT Services (3.7%):
International Business Machines Corporation		4,983	$	827,128
Leidos Holdings, Inc.		8,735		446,708
Paychex, Inc.		14,767		899,015
The Western Union Company		33,829		734,766
				2,907,617
Machinery (1.9%):
Cummins, Inc.		5,338		729,544
Deere & Company		7,315		753,738
				1,483,282
Media (1.9%):
Cinemark Holdings, Inc.		17,278		662,784
TEGNA, Inc.		26,690		570,899
Viacom, Inc.		8,502		298,420
				1,532,103
Multiline Retail (2.5%):
Kohl's Corporation		8,500		419,730
Macy's, Inc.		11,535		413,068
Nordstrom, Inc.		8,527		408,699
Target Corporation		10,264		741,369
				1,982,866
Multi-Utilities (9.4%):
Ameren Corporation		20,764		1,089,279
Consolidated Edison, Inc.		13,436		989,964
Dominion Resources, Inc.		14,467		1,108,028
DTE Energy Company		11,232		1,106,464
Public Service Enterprise Group, Inc.		23,551		1,033,418
SCANA Corporation		14,663		1,074,505
WEC Energy Group, Inc.		16,875		989,719
				7,391,377
Oil, Gas & Consumable Fuels (4.1%):
Exxon Mobil Corporation		9,550		861,983
Marathon Petroleum Corporation		8,497		427,824
ONEOK, Inc.		6,701		384,705
Phillips 66		8,120		701,649
Plains GP Holdings LP		7,128		247,199
Valero Energy Corporation		8,563		585,024
				3,208,384
Pharmaceuticals (2.2%):
Merck & Company, Inc.		13,398		788,740
Pfizer, Inc.		28,380		921,783
				1,710,523
Semiconductors & Semiconductor Equipment (1.7%):
Intel Corporation		19,982		724,747
QUALCOMM, Inc.		9,459		616,727
				1,341,474

See notes to financial statements.

102

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Security Description	Shares		Value
Software (1.6%):
CA, Inc.		24,582	$	780,970
Symantec Corporation		19,452		464,708
				1,245,678
Specialty Retail (1.7%):
Best Buy Company, Inc.		11,406		486,694
L Brands, Inc.		7,364		484,846
The Gap, Inc.		16,403		368,083
				1,339,623
Technology Hardware, Storage & Peripherals (0.7%):
HP, Inc.		35,510		526,968
Textiles, Apparel & Luxury Goods (0.7%):
Coach, Inc.		14,757		516,790
Tobacco (4.2%):
Altria Group, Inc.		18,186		1,229,737
Philip Morris International, Inc.		11,306		1,034,386
Reynolds American, Inc.		18,659		1,045,651
				3,309,774
Transportation Infrastructure (0.7%):
Macquarie Infrastructure Company LLC		7,003		572,145
Total Common Stocks (Cost $73,689,141)				78,131,481
Short-Term Investments (0.2%)
Money Market Funds (0.2%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (a)		133,245		133,245
Total Short-Term Investments (Cost $133,245)				133,245
Total Investments — 99.8% (Cost $73,822,386)				78,264,726
Other assets in excess of liabilities — 0.2%				161,792
NET ASSETS — 100.0%			$	78,426,518

(a)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	1	S&P 500 E-Mini Future, March 2017	$	111,810	$	(1,019	)
					$	(1,019	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Aerospace & Defense (1.3%):
National Presto Industries, Inc.		2,756	$	293,238
Airlines (0.9%):
Allegiant Travel Company		1,270		211,328
Auto Components (2.1%):
Metaldyne Performance Group, Inc.		8,750		200,812
Superior Industries International, Inc.		6,733		177,415
Visteon Corporation		1,275		102,434
				480,661
Banks (7.6%):
Columbia Banking System, Inc.		6,703		299,490
FNB Corporation		17,588		281,936
Glacier Bancorp, Inc.		7,697		278,862
Old National Bancorp		16,892		306,590
Park National Corporation		2,340		280,005
Valley National Bancorp		24,724		287,787
				1,734,670
Building Products (0.7%):
Insteel Industries, Inc.		4,635		165,191
Capital Markets (7.2%):
Artisan Partners Asset Management, Inc. — Class A		6,219		185,015
BGC Partners, Inc. — Class A		30,458		311,585
Cohen & Steers, Inc.		5,186		174,250
LPL Financial Holdings, Inc.		2,892		101,827
Moelis & Company — Class A		7,220		244,758
NorthStar Asset Management Group, Inc.		11,282		168,328
Virtu Financial, Inc.		13,044		208,052
Waddell & Reed Financial, Inc. — Class A		6,877		134,170
WisdomTree Investments, Inc.		10,431		116,201
				1,644,186
Chemicals (0.5%):
Rayonier Advanced Materials, Inc.		7,285		112,626
Commercial Services & Supplies (6.2%):
Knoll, Inc.		8,401		234,640
McGrath RentCorp		6,978		273,468
Mobile Mini, Inc.		5,844		176,781
MSA Safety, Inc.		3,912		271,219
Steelcase, Inc. — Class A		14,919		267,050
West Corporation		7,757		192,063
				1,415,221
Construction & Engineering (0.8%):
KBR, Inc.		10,502		175,278
Diversified Consumer Services (1.4%):
Capella Education Company		3,608		316,782

See notes to financial statements.

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Security Description	Shares		Value
Diversified Telecommunication Services (1.8%):
Cogent Communications Holdings, Inc.		5,273	$	218,039
Inteliquent, Inc.		8,595		196,997
				415,036
Electric Utilities (4.5%):
ALLETE, Inc.		5,483		351,954
MGE Energy, Inc.		5,397		352,424
Otter Tail Corporation		8,303		338,762
				1,043,140
Electronic Equipment, Instruments & Components (2.1%):
AVX Corporation		19,826		309,880
MTS Systems Corporation		2,947		167,095
				476,975
Energy Equipment & Services (1.1%):
Atwood Oceanics, Inc.		8,253		108,362
Oceaneering International, Inc.		5,245		147,961
				256,323
Food & Staples Retailing (1.3%):
Weis Markets, Inc.		4,566		305,191
Food Products (0.8%):
John B Sanfilippo & Son, Inc.		2,610		183,718
Health Care Equipment & Supplies (1.0%):
Meridian Bioscience, Inc.		12,428		219,976
Health Care Providers & Services (2.9%):
National HealthCare Corporation		5,155		390,697
Owens & Minor, Inc.		7,474		263,758
				654,455
Hotels, Restaurants & Leisure (6.1%):
Bob Evans Farms, Inc.		5,944		316,280
Brinker International, Inc.		3,936		194,950
DineEquity, Inc.		3,264		251,328
ILG, Inc		10,666		193,801
Wendy's Company		20,626		278,864
Wingstop, Inc.		5,233		154,845
				1,390,068
Household Durables (0.9%):
MDC Holdings, Inc.		8,310		213,232
Independent Power and Renewable Electricity Producers (0.7%):
8Point3 Energy Partners LP		11,758		152,619
Insurance (7.2%):
AMERISAFE, Inc.		4,400		274,340
FBL Financial Group, Inc. — Class A		3,720		290,718
Mercury General Corporation		5,196		312,851
ProAssurance Corporation		6,892		387,331

See notes to financial statements.

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Security Description	Shares		Value
Insurance (7.2%) cont'd
Safety Insurance Group, Inc.		5,129	$	378,007
				1,643,247
Internet & Catalog Retail (1.5%):
HSN, Inc.		4,698		161,142
Nutrisystem, Inc.		5,008		173,527
				334,669
Internet Software & Services (1.0%):
NIC, Inc.		9,975		238,403
Leisure Products (0.6%):
Sturm Ruger & Company, Inc.		2,542		133,963
Machinery (6.6%):
Altra Industrial Motion Corporation		8,867		327,192
American Railcar Industries, Inc.		3,557		161,097
Douglas Dynamics, Inc		5,910		198,872
Federal Signal Corporation		10,784		168,338
Greenbrier Companies, Inc.		3,166		131,547
Hillenbrand, Inc.		8,425		323,099
Hyster-Yale Materials Handling, Inc.		3,248		207,125
				1,517,270
Media (3.2%):
AMC Entertainment Holdings, Inc.		5,879		197,828
Gannett Company, Inc.		14,724		142,970
New Media Investment Group, Inc.		10,640		170,134
Sinclair Broadcast Group, Inc. — Class A		6,487		216,341
				727,273
Metals & Mining (1.1%):
Compass Minerals International, Inc.		3,208		251,347
Multi-Utilities (4.3%):
Avista Corporation		8,191		327,558
NorthWestern Corporation		6,071		345,258
Unitil Corporation		6,854		310,760
				983,576
Oil, Gas & Consumable Fuels (0.7%):
Western Refining, Inc.		4,233		160,219
Paper & Forest Products (2.8%):
Domtar Corporation		4,899		191,208
KapStone Paper & Packaging Corporation — Class A		4,412		97,285
PH Glatfelter Company		6,139		146,661
Schweitzer-Mauduit International, Inc.		4,723		215,038
				650,192
Professional Services (2.7%):
CEB, Inc.		3,526		213,676
Kforce, Inc.		7,235		167,128
Resources Connection, Inc.		12,527		241,145
				621,949

See notes to financial statements.

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Security Description	Shares		Value
Real Estate Management & Development (0.8%):
HFF, Inc. — Class A		6,193	$	187,338
Semiconductors & Semiconductor Equipment (2.1%):
Intersil Corporation		8,290		184,867
Tessera Holding Corporation		6,510		287,742
				472,609
Specialty Retail (3.0%):
DSW, Inc. — Class A		6,652		150,668
GameStop Corporation		6,157		155,526
GNC Holdings, Inc.		4,378		48,333
The Buckle, Inc.		6,703		152,829
The Cato Corporation — Class A		5,767		173,471
				680,827
Textiles, Apparel & Luxury Goods (0.9%):
Movado Group, Inc.		7,060		202,975
Thrifts & Mortgage Finance (2.1%):
Capitol Federal Financial, Inc.		29,704		488,928
Tobacco (1.6%):
Vector Group Ltd.		16,389		372,686
Trading Companies & Distributors (1.7%):
GATX Corporation		3,793		233,573
H&E Equipment Services, Inc.		6,349		147,614
				381,187
Water Utilities (3.6%):
American States Water Company		5,462		248,848
Connecticut Water Service, Inc.		5,634		314,659
Middlesex Water Company		6,203		266,357
				829,864
Total Common Stocks (Cost $19,692,565)				22,738,436
Short-Term Investments (0.3%)
Money Market Funds (0.3%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (a)		61,539		61,539
Total Short-Term Investments (Cost $61,539)				61,539
Total Investments — 99.7% (Cost $19,754,104)				22,799,975
Other assets in excess of liabilities — 0.3%				68,568
NET ASSETS — 100.0%			$	22,868,543

(a)  Annualized seven-day yield as of December 31, 2016.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS^® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund's Administrator, U.S. Bancorp Fund Services, LLC.

See notes to financial statements.

107

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  (Unaudited)

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	1	Russell 2000 Mini Future, March 2017	$	67,845	$	(44	)
					$	(44	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Australia (13.4%):
AMP Ltd.		66,991	$	243,655
Australia & New Zealand Banking Group Ltd.		12,134		266,373
Caltex Australia Ltd.		10,509		231,004
CIMIC Group Ltd.		6,589		166,138
Commonwealth Bank of Australia		5,501		327,152
Crown Resorts Ltd.		22,807		190,592
Insurance Australia Group Ltd.		69,555		300,665
Macquarie Group Ltd.		3,593		225,893
QBE Insurance Group Ltd.		29,411		263,608
Suncorp Group Ltd.		31,722		309,503
Telstra Corporation Ltd.		95,761		352,441
Westpac Banking Corporation		11,508		270,735
				3,147,759
Belgium (1.2%):
Proximus SADP		9,739		280,489
Canada (11.8%):
BCE, Inc.		12,000		518,646
Emera, Inc. (a)		13,400		453,004
IGM Financial, Inc. (a)		10,500		298,738
Inter Pipeline Ltd. (a)		10,500		231,795
Pembina Pipeline Corporation (a)		9,000		281,265
Potash Corporation of Saskatchewan, Inc. (a)		9,000		162,820
Shaw Communications, Inc. — Class B (a)		17,900		359,160
TELUS Corporation		14,900		474,416
				2,779,844
Finland (2.9%):
Sampo Oyj — Class A		5,467		245,100
Stora Enso Oyj — Class R		19,523		209,825
UPM-Kymmene Oyj		8,753		215,052
				669,977
France (7.3%):
AXA SA		7,364		185,926
Credit Agricole SA		15,400		190,964
Natixis SA		30,262		170,745
Orange SA		15,475		235,143
Sanofi		3,510		284,131
Societe BIC SA		1,778		241,720
Societe Generale SA		3,495		171,976
Suez		16,177		238,658
				1,719,263
Germany (4.0%):
BASF SE		3,137		291,615
Bayerische Motoren Werk AG		2,255		210,669
Daimler AG		2,943		219,088

See notes to financial statements.

109

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December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Germany (4.0%) cont'd
ProSiebenSat.1 Media SE		5,796	$	223,364
				944,736
Hong Kong (5.8%):
China Resources Beer Holdings Company Ltd. (a)		60,000		119,157
China Resources Power Holdings Company Ltd.		120,000		190,651
Chow Tai Fook Jewellery Group Ltd.		233,000		178,179
Hang Seng Bank Ltd.		17,900		333,093
MTR Corporation Ltd.		60,000		291,701
NWS Holdings Ltd.		149,000		242,873
				1,355,654
Italy (5.1%):
Assicurazioni Generali SpA		11,427		169,845
Enel SpA		52,743		232,518
Intesa Sanpaolo SpA		46,260		118,136
Prada SpA		49,300		167,205
Snam SpA		59,911		246,839
Terna Rete Elettrica Nazionale SpA		55,401		253,800
				1,188,343
Japan (3.2%):
Bridgestone Corporation		4,500		162,250
Canon, Inc.		9,000		253,733
Nissan Motor Company Ltd.		19,400		195,121
Oracle Corporation Japan		3,000		151,187
				762,291
Netherlands (4.6%):
ING Groep NV		12,293		173,011
Koninklijke Ahold Delhaize NV		12,413		261,724
Koninklijke KPN NV		72,355		214,328
NN Group NV		6,647		225,268
Randstad Holding NV		3,585		194,462
				1,068,793
Norway (3.4%):
Gjensidige Forsikring ASA		16,375		259,790
Marine Harvest ASA		15,957		287,713
Yara International ASA		6,299		248,011
				795,514
Portugal (1.9%):
EDP-Energias de Portugal SA		65,394		199,215
Jeronimo Martins SGPS SA		15,131		234,774
				433,989
Singapore (4.3%):
Keppel Corporation Ltd.		46,300		185,117
Singapore Airlines Ltd.		49,300		329,200
Singapore Technologies Engineering Ltd.		106,000		236,426
Singapore Telecommunications Ltd.		101,500		255,826
				1,006,569

See notes to financial statements.

110

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VictoryShares International High Div Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Spain (6.3%):
Abertis Infraestructuras SA		17,013	$	238,098
ACS Actividades de Construccion y Servicios SA		6,393		202,023
Enagas SA		11,427		290,192
Ferrovial SA		11,427		204,427
Gas Natural SDG SA		11,367		214,302
Red Electrica Corp SA		17,461		329,468
				1,478,510
Sweden (4.6%):
Nordea Bank AB		21,051		234,064
Skanska AB — Class B		9,711		229,275
Swedbank AB — Class A		9,487		229,402
Swedish Match AB		7,455		237,137
Telefonaktiebolaget LM Ericsson — Class B		25,862		151,869
				1,081,747
Switzerland (4.2%):
Garmin Ltd.		4,138		200,652
Swiss Re AG		3,210		304,198
Swisscom AG		672		300,991
UBS Group AG		11,720		183,574
				989,415
United Kingdom (15.4%):
Admiral Group PLC		8,657		194,922
BAE Systems PLC		43,015		313,566
Barratt Developments PLC		17,716		100,957
Coca-Cola European Partners PLC		4,228		132,759
Direct Line Insurance Group PLC		44,179		201,126
InterContinental Hotels Group PLC		4,388		196,736
International Consolidated Airlines Group SA		24,283		131,946
ITV PLC		55,910		142,218
Johnson Matthey PLC		5,478		214,821
Legal & General Group PLC		48,776		148,837
Marks & Spencer Group PLC		37,985		163,846
National Grid PLC		25,418		298,092
Next PLC		2,343		143,886
Persimmon PLC		4,791		104,863
Royal Mail PLC		37,925		215,981
Sky PLC		22,313		272,512
SSE PLC		12,910		247,088
Taylor Wimpey PLC		51,239		96,931
United Utilities Group PLC		27,045		300,307
				3,621,394
Total Common Stocks (Cost $24,096,581)				23,324,287

See notes to financial statements.

111

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VictoryShares International High Div Volatility Wtd ETF Schedule of Investments — continued
December 31, 2016

  (Unaudited)

Security Description	Shares		Value
Short-Term Investments (0.4%)
Money Market Funds (0.4%):
Short-Term Investments Trust Government & Agency Portfolio — Institutional Class, 0.43% (b)		89,845	$	89,845
Total Short-Term Investments (Cost $89,845)				89,845
Total Investments — 99.8% (Cost $24,186,426)				23,414,132
Other assets in excess of liabilities — 0.2%				53,698
NET ASSETS — 100.0%			$	23,467,830

(a)  Non-income producing security.

(b)  Annualized seven-day yield as of December 31, 2016.

Schedule of Open Futures Contracts

Number of Contracts Purchased		Description	Notional Value		Unrealized Depreciation
	1	mini MSCI EAFE, March 2017	$	83,780	$	(1,209	)
					$	(1,209	)

See notes to financial statements.

112

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2016

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF
ASSETS:
Investments in securities, at value*	$	108,824,859		$	36,517,543		$	239,696,619
Cash		1,650			144			3,252
Interest and dividends receivable		112,486			50,129			253,993
Variation margin		820			—			—
Deposit at broker for futures		29,952			4,705			65,089
Receivable for capital shares sold		4,068,435			—			6,090,885
Due from Adviser, net		—			297			—
Prepaid expenses		856			305			1,124
Total Assets		113,039,058			36,573,123			246,110,962
LIABILITIES:
Payable for investment securities purchased		4,065,522			—			6,084,826
Payable for distributions to shareholders		—			6,596			—
Variation margin		—			285			722
Due to Adviser, net		12,260			—			41,950
Other liabilities and accrued expenses		33,545			34,712			67,903
Total Liabilities		4,111,327			41,593			6,195,401
Net Assets	$	108,927,731		$	36,531,530		$	239,915,561
NET ASSETS CONSIST OF:
Paid-in capital	$	103,445,883		$	35,642,525		$	228,509,731
Undistributed net investment income		4,693			1,000			46,567
Accumulated net realized loss on Investments		(44,970	)		(4,439,720	)		(4,768,237	)
Net unrealized appreciation (depreciation) on:
Investments in securities		5,521,892			5,327,769			16,129,182
Investments in futures		233			(44	)		(1,682	)
Net Assets	$	108,927,731		$	36,531,530		$	239,915,561
*Identified Cost:	$	103,302,967		$	31,189,774		$	223,567,436
Net Asset Value (unlimited shares authorized):
Net Assets	$	108,927,731		$	36,531,530		$	239,915,561
Shares Outstanding^		2,700,000			900,000			5,950,000
Net Asset Value, Offering and Redemption Price per Share	$	40.34		$	40.59		$	40.32

^  No Par Value

See notes to financial statements.

113

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2016

  (Unaudited)

	VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF
ASSETS:
Investments in securities, at value*	$	35,417,980		$	306,964,820		$	18,700,334
Cash		7,143			2,277			14
Foreign currency, at value (cost $17, $0, and $0 respectively)		22			—			—
Interest and dividends receivable		59,391			652,434			25,767
Deposit at broker for futures		100			115,989			2,131
Receivable for capital shares sold		—			2,063,875			—
Due from Adviser, net		7,660			—			3,922
Prepaid expenses		294			2,489			32
Total Assets		35,492,590			309,801,884			18,732,200
LIABILITIES:
Payable for investment securities purchased		—			2,058,846			—
Payable for distributions to shareholders		—			115,051			3,657
Variation margin		—			998			—
Due to Adviser, net		—			64,780			—
Other liabilities and accrued expenses		70,259			44,187			25,889
Total Liabilities		70,259			2,283,862			29,546
Net Assets	$	35,422,331		$	307,518,022		$	18,702,654
NET ASSETS CONSIST OF:
Paid-in capital	$	42,357,734		$	290,923,944		$	16,240,791
Undistributed net investment income		14,105			41,820			1,586
Accumulated net realized gain (loss) on investments		(7,245,166	)		(1,067,480	)		236,900
Net unrealized appreciation (depreciation) on:
Investments in securities		298,457			17,622,358			2,223,377
Investments in futures		—			(2,620	)		—
Foreign currencies		(2,799	)		—			—
Net Assets	$	35,422,331		$	307,518,022		$	18,702,654
*Identified Cost:	$	35,119,523		$	289,342,462		$	16,476,957
Net Asset Value (unlimited shares authorized):
Net Assets	$	35,422,331		$	307,518,022		$	18,702,654
Shares Outstanding^		1,250,000			7,450,000			450,000
Net Asset Value, Offering and Redemption Price per Share	$	28.34		$	41.28		$	41.56

^  No Par Value

See notes to financial statements.

114

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2016

  (Unaudited)

	VictoryShares International Volatility Wtd ETF			VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF
ASSETS:
Investments in securities, at value*	$	11,401,085		$	24,302,367		$	78,264,726
Cash		3,501			—			826
Foreign currency, at value (cost $16, $1,947, and $0, respectively)		23			1,975			—
Receivable for investment securities sold		—			157,744			—
Interest and dividends receivable		23,223			47,864			170,465
Variation margin		—			—			—
Deposit at broker for futures		18,224			2,500			34,451
Due from Adviser, net		12,369			22,686			—
Prepaid expenses and other assets		48			5,456			1,237
Total Assets		11,458,473			24,540,592			78,471,705
LIABILITIES:
Payable for fund shares redeemed		—			2,471			—
Payable for distributions to shareholders		—			8,948			—
Variation margin		—			—			445
Due to custodian		—			15,034			—
Due to Adviser, net		—			—			11,776
Other liabilities and accrued expenses		37,134			95,963			32,966
Total Liabilities		37,134			122,416			45,187
Net Assets	$	11,421,339		$	24,418,176		$	78,426,518
NET ASSETS CONSIST OF:
Paid-in capital	$	11,999,661		$	25,603,258		$	72,698,992
Undistributed net investment income (loss)		(2,442	)		(15,302	)		42,012
Accumulated net realized gain (loss) on investments		(173,889	)		(26,962	)		1,244,193
Net unrealized appreciation (depreciation) on:
Investments in securities		(401,194	)		(1,142,933	)		4,442,340
Investments in futures		—			—			(1,019	)
Foreign currencies		(797	)		115			—
Net Assets	$	11,421,339		$	24,418,176		$	78,426,518
*Identified Cost:	$	11,802,279		$	25,445,300		$	73,822,386
Net Asset Value (unlimited shares authorized):
Net Assets	$	11,421,339		$	24,418,176		$	78,426,518
Shares Outstanding^		350,000			1,000,000			1,950,000
Net Asset Value, Offering and Redemption Price per Share	$	32.63		$	24.42		$	40.22

^  No Par Value

See notes to financial statements.

115

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2016

  (Unaudited)

	VictoryShares US Small Cap High Div Volatility Wtd ETF			VictoryShares International High Div Volatility Wtd ETF
ASSETS:
Investments in securities, at value*	$	22,799,975		$	23,414,132
Cash		—			1,828
Foreign currency, at value (cost $0 and $997, respectively)		—			999
Interest and dividends receivable		73,590			66,004
Variation margin		—			265
Deposit at broker for futures		11,618			5,180
Due from Adviser, net		—			1,325
Prepaid expenses and other assets		101			180
Total Assets		22,885,284			23,489,913
LIABILITIES:
Variation margin		285			—
Due to Adviser, net		92			—
Other liabilities and accrued expenses		16,364			22,083
Total Liabilities		16,741			22,083
Net Assets	$	22,868,543		$	23,467,830
NET ASSETS CONSIST OF:	`
Paid-in capital	$	19,343,982		$	24,464,548
Undistributed net investment income		24,135			7,100
Accumulated net realized gain (loss) on investments		454,599			(228,303	)
Net unrealized appreciation (depreciation) on:
Investments in securities		3,045,871			(772,294	)
Investments in futures		(44	)		(1,209	)
Foreign currencies		—			(2,012	)
Net Assets	$	22,868,543		$	23,467,830
*Identified Cost:	$	19,754,104		$	24,186,426
Net Asset Value (unlimited shares authorized):
Net Assets	$	22,868,543		$	23,467,830
Shares Outstanding^		550,000			750,000
Net Asset Value, Offering and Redemption Price per Share	$	41.58		$	31.29

^  No Par Value

See notes to financial statements.

116

Victory Portfolios II Statements of Operations
Period Ended December 31, 2016

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF
Investment Income:
Dividend income	$	659,333		$	254,339		$	1,614,751
Interest income		230			83			488
Total Investment Income		659,563			254,422			1,615,239
Expenses:
Advisory fees		106,786			46,888			266,648
Administration, fund accounting and transfer agent fees		37,500			30,192			74,345
Custody expense		22,844			11,948			21,578
Professional fees		9,597			9,002			24,134
Shareholder reporting expenses		5,625			6,720			15,158
Service fees		2,114			2,024			2,114
Trustees' fees and expenses		2,033			1,736			7,159
Registration fees		800			185			980
Insurance expenses		744			1,016			3,962
Compliance expense		558			460			1,107
Miscellaneous expenses		556			552			2,123
Total Expenses		189,157			110,723			419,308
Less: Fees waived and reimbursed by Adviser		(64,572	)		(56,020	)		(108,219	)
Net Expenses		124,585			54,703			311,089
Net Investment Income		534,978			199,719			1,304,150
Realized & Unrealized Gain (Loss) on Investments:
Net realized gain on:
Investment in securities		687,174			1,222,881			1,146,494
Investments in futures		9,918			15,294			19,552
Net realized gain on investments in securities and futures		697,092			1,238,175			1,166,046
Net change in unrealized appreciation (depreciation) of:
Investments in securities		4,863,956			4,758,964			13,409,004
Investments in futures		233			(44	)		(1,888	)
Net change in unrealized appreciation of investments in securities and futures		4,864,189			4,758,920			13,407,116
Net realized and unrealized gain on investments		5,561,281			5,997,095			14,573,162
Net increase in net assets resulting from operations	$	6,096,259		$	6,196,814		$	15,877,312

See notes to financial statements.

117

Victory Portfolios II Statements of Operations
Period Ended December 31, 2016

  (Unaudited)

	VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF
Investment Income:
Dividend income (net of $18,340, $0 and $0, respectively, in foreign withholding taxes)	$	264,648		$	3,858,070		$	121,583
Interest income		15,468			696			41
Total Investment Income		280,116			3,858,766			121,624
Expenses:
Advisory fees		70,629			332,781			21,842
Custody expense		59,779			5,377			10,207
Administration, fund accounting and transfer agent fees		52,302			68,812			23,271
Profesional fees		12,951			24,038			6,468
Shareholder reporting expenses		6,625			14,191			3,917
Trustees' fees and expenses		2,102			5,760			735
Service fees		2,024			2,114			2,024
Insurance expense		1,107			3,862			368
Miscellaneous expenses		644			1,761			274
Compliance expense		552			1,025			282
Registration fees		273			2,160			109
Total Expenses		208,988			461,881			69,497
Less: Fees waived and reimbursed by Adviser		(129,531	)		(73,636	)		(44,015	)
Net Expenses		79,457			388,245			25,482
Net Investment Income		200,659			3,470,521			96,142
Realized & Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investment in securities		(1,928,865	)		3,958,363			527,705
Investments in futures		(11,188	)		59,882			574
Foreign currencies		10,541			—			—
Net realized gain (loss) on investment securities and futures		(1,929,512	)		4,018,245			528,279
Net change in unrealized appreciation (depreciation) of:
Investments in securities		1,176,712			11,979,247			2,205,422
Investments in futures		2,139			(3,894	)		—
Foreign currencies		(2,799	)		—			—
Net change in unrealized appreciation of investments in securities, futures, and foreign currencies		1,176,052			11,975,353			2,205,422
Net realized and unrealized gain (loss) on investments		(753,460	)		15,993,598			2,733,701
Net increase (decrease) in net assets resulting from operations	$	(552,801	)	$	19,464,119		$	2,829,843

See notes to financial statements.

118

Victory Portfolios II Statements of Operations
Period Ended December 31, 2016

  (Unaudited)

	VictoryShares International Volatility Wtd ETF			VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF
Investment Income:
Dividend income (net of $8,851, $27,537 and $0, respectively, in foreign withholding taxes)	$	119,865		$	182,882		$	1,084,706
Interest income		130			170			208
Total Investment Income		119,995			183,052			1,084,914
Expenses:
Administration, fund accounting and transfer agent fees		43,459			41,452			26,807
Custody expense		33,166			141,663			9,048
Advisory fees		26,411			39,087			94,870
Professional fees		7,554			7,206			8,428
Shareholder reporting expenses		3,076			3,076			6,145
Service fees		2,024			1,931			2,024
Trustees' fees and expenses		643			557			2,121
Compliance expense		461			461			645
Insurance expenses		368			182			829
Miscellaneous expenses		277			829			648
Registration fees		182			312			830
Total Expenses		117,621			236,756			152,395
Less: fees waived and reimbursed by Adviser		(87,909	)		(193,327	)		(41,713	)
Net Expenses		29,712			43,429			110,682
Net Investment Income		90,283			139,623			974,232
Realized & Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on:
Investments in securities		85,217			102,777			1,347,345
Investments in futures		4,105			9,129			19,603
Foreign currencies		(7,551	)		(15,072	)		—
Net realized gain on investments in securities, futures, and foreign currencies		81,771			96,834			1,366,948
Net change in unrealized appreciation (depreciation) of:
Investments in securities		193,539			(1,225,654	)		2,821,413
Investments in futures		(2,561	)		(2,251	)		(1,019	)
Foreign currencies		(797	)		(24	)		—
Net change in unrealized appreciation (depreciation) of investments in securities, foreign currencies and futures		190,181			(1,227,929	)		2,820,394
Net realized and unrealized gain (loss) on investments		271,952			(1,131,095	)		4,187,342
Net increase (decrease) in net assets resulting from operations	$	362,235		$	(991,472	)	$	5,161,574

See notes to financial statements.

119

Victory Portfolios II Statements of Operations
Period Ended December 31, 2016

  (Unaudited)

	VictoryShares US Small Cap High Div Volatility Wtd ETF			VictoryShares International High Div Volatility Wtd ETF
Investment Income:
Dividend income (net of $0 and $16,376, respectively, in foreign withholding taxes)	$	404,467		$	303,449
Interest income		60			132
Total Investment Income		404,527			303,581
Expenses:
Advisory fees		29,938			38,978
Administration, fund accounting and transfer agent fees		14,365			20,940
Professional fees		6,480			7,475
Shareholder reporting expenses		4,300			3,271
Custody expense		3,310			12,541
Service fees		2,024			2,024
Trustees' fees and expenses		828			836
Compliance expense		461			461
Insurance expenses		371			436
Miscellaneous expenses		277			392
Registration fees		194			279
Total Expenses		62,548			87,633
Less: Fees waived and reimbursed by Adviser		(27,621	)		(43,783	)
Net Expenses		34,927			43,850
Net Investment Income		369,600			259,731
Realized & Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on:
Investments in securities		709,162			74,650
Investments in futures		(2,465	)		(241	)
Foreign currencies		—			(6,567	)
Net realized gain on investments in securities, futures, and foreign currencies		706,697			67,842
Net change in unrealized appreciation (depreciation) of:
Investments in securities		2,635,302			563,659
Investments in futures		(44	)		930
Foreign currencies		—			1,280
Net change in unrealized appreciation of investments in securities, futures, and foreign currencies		2,635,258			565,869
Net realized and unrealized gain on investments		3,341,955			633,711
Net increase in net assets resulting from operations	$	3,711,555		$	893,442

See notes to financial statements.

120

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US 500 Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	(Unaudited)
Operations:
Net investment income	$	534,978		$	406,406
Net realized gain on investments		697,092			682,219
Change in unrealized appreciation of investments		4,864,189			382,877
Net increase in net assets resulting from operations	$	6,096,259		$	1,471,502
Distributions to Shareholders:
From net investment income		(559,012	)		(382,228	)
From net realized gains		—			(15,411	)
Total Distributions to Shareholders		(559,012	)		(397,639	)
Capital Share Transactions:
Proceeds from shares sold		70,114,700			50,209,415
Cost of shares redeemed		(11,413,290	)		(15,788,475	)
Net increase in net assets resulting from capital share transactions (a)		58,701,410			34,420,940
Net increase in net assets	$	64,238,657		$	35,494,803
Net Assets:
Beginning of period	$	44,689,074		$	9,194,271
End of period	$	108,927,731		$	44,689,074
Undistributed net investment income	$	4,693		$	28,727

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	Shares			Shares
Shares sold		1,800,000			1,400,000
Shares redeemed		(300,000	)		(450,000	)
Net increase		1,500,000			950,000

See notes to financial statements.

121

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Discovery Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	(Unaudited)
Operations:
Net investment income	$	199,719		$	275,553
Net realized gain (loss) on investments		1,238,175			(4,070,245	)
Change in unrealized appreciation of investments		4,758,920			249,711.00
Net increase (decrease) in net assets resulting from operations	$	6,196,814		$	(3,544,981	)
Distributions to Shareholders:
From net investment income		(223,265	)		(263,363	)
Total Distributions to Shareholders		(223,265	)		(263,363	)
Capital Share Transactions:
Proceeds from shares sold		10,748,920			19,251,590
Cost of shares redeemed		(7,028,860	)		(12,142,840	)
Net increase in net assets resulting from capital share transactions (a)		3,720,060			7,108,750
Net increase in net assets	$	9,693,609		$	3,300,406
Net Assets:
Beginning of period	$	26,837,921		$	23,537,515
End of period	$	36,531,530		$	26,837,921
Undistributed net investment income	$	1,000		$	24,546

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	Shares			Shares
Shares sold		300,000			550,000
Shares redeemed		(200,000	)		(350,000	)
Net increase		100,000			200,000

See notes to financial statements.

122

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US 500 Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	(Unaudited)
Operations:
Net investment income	$	1,304,150		$	1,816,820
Net realized gain on investments		1,166,046			637,983
Change in unrealized appreciation of investments		13,407,116			2,144,576
Net increase in net assets resulting from operations	$	15,877,312		$	4,599,379
Distributions to Shareholders:
From net investment income		(1,341,276	)		(1,777,461	)
Total Distributions to Shareholders		(1,341,276	)		(1,777,461	)
Capital Share Transactions:
Proceeds from shares sold		108,621,700			95,529,045
Cost of shares redeemed		(24,712,220	)		(43,277,750	)
Net increase in net assets resulting from capital share transactions (a)		83,909,480			52,251,295
Net increase in net assets	$	98,445,516		$	55,073,213
Net Assets:
Beginning of period	$	141,470,045		$	86,396,832
End of period	$	239,915,561		$	141,470,045
Undistributed net investment income	$	46,567		$	83,693

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	Shares			Shares
Shares sold		2,800,000			2,650,000
Shares redeemed		(650,000	)		(1,200,000	)
Net increase		2,150,000			1,450,000

See notes to financial statements.

123

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Developed Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	(Unaudited)
Operations:
Net investment income	$	200,659		$	674,452
Net realized loss on investments		(1,929,512	)		(5,322,119	)
Change in unrealized appreciation (depreciation) of investments		1,176,052			(613,400	)
Net decrease in net assets resulting from operations	$	(552,801	)	$	(5,261,067	)
Distributions to Shareholders:
From net investment income		(236,672	)		(638,370	)
Total Distributions to Shareholders		(236,672	)		(638,370	)
Capital Share Transactions:
Proceeds from shares sold		1,414,970			16,063,220
Transaction fees		—			54
Net increase in net assets resulting from capital share transactions (a)		1,414,970			16,063,274
Net increase in net assets	$	625,496		$	10,163,837
Net Assets:
Beginning of period	$	34,796,834		$	24,632,997
End of period	$	35,422,331		$	34,796,834
Undistributed net investment income	$	14,105		$	50,118

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016		Year Ended June 30, 2016
	Shares		Shares
Shares sold		50,000		500,000
Shares redeemed		—		—
Net increase		50,000		500,000

See notes to financial statements.

124

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	(Unaudited)
Operations:
Net investment income	$	3,470,521		$	3,654,963
Net realized gain on investments		4,018,245			1,725,975
Change in unrealized appreciation of investments		11,975,353			8,597,545
Net increase in net assets resulting from operations	$	19,464,119		$	13,978,483
Distributions to Shareholders:
From net investment income		(3,591,532	)		(3,588,993	)
Total Distributions to Shareholders		(3,591,532	)		(3,588,993	)
Capital Share Transactions:
Proceeds from shares sold		182,428,100			106,357,140
Cost of shares redeemed		(47,060,400	)		(47,146,670	)
Net increase in net assets resulting from capital share transactions (a)		135,367,700			59,210,470
Net increase in net assets	$	151,240,287		$	69,599,960
Net Assets:
Beginning of period	$	156,277,735		$	86,677,775
End of period	$	307,518,022		$	156,277,735
Undistributed net investment income	$	41,820		$	162,831

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 2016
	Shares			Shares
Shares sold		4,600,000			2,900,000
Shares redeemed		(1,200,000	)		(1,300,000	)
Net increase		3,400,000			1,600,000

See notes to financial statements.

125

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Small Cap Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	96,142		$	94,924
Net realized gain on investments		528,279			107,882
Change in unrealized appreciation of investments		2,205,422			17,955
Net increase in net assets resulting from operations	$	2,829,843		$	220,761
Distributions to Shareholders:
From net investment income		(104,298	)		(86,852	)
Total Distributions to Shareholders		(104,298	)		(86,852	)
Capital Share Transactions:
Proceeds from shares sold		11,076,600			18,310,060
Cost of shares redeemed		(5,403,010	)		(8,140,450	)
Net increase in net assets resulting from capital share transactions (a)		5,673,590			10,169,610
Net increase in net assets	$	8,399,135		$	10,303,519
Net Assets:
Beginning of period	$	10,303,519		$	—
End of period	$	18,702,654		$	10,303,519
Undistributed net investment income	$	1,586		$	9,741

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 20161
	Shares			Shares
Shares sold		300,000			550,000
Shares redeemed		(150,000	)		(250,000	)
Net increase		150,000			300,000

¹  Fund commenced operations on July 7, 2015.

See notes to financial statements.

126

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares International Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	90,283		$	226,906
Net realized gain (loss) on investments		81,771			(428,119	)
Change in unrealized appreciation (depreciation) of investments		190,181			(592,172	)
Net increase (decrease) in net assets resulting from operations	$	362,235		$	(793,385	)
Distributions to Shareholders:
From net investment income		(124,583	)		(205,538	)
Total Distributions to Shareholders		(124,583	)		(205,538	)
Capital Share Transactions:
Proceeds from shares sold		1,616,150			18,476,970
Cost of shares redeemed		(3,276,350	)		(4,634,160	)
Net increase (decrease) in net assets resulting from capital share transactions (a)		(1,660,200	)		13,842,810
Net increase (decrease) in net assets	$	(1,422,548	)	$	12,843,887
Net Assets:
Beginning of period	$	12,843,887		$	—
End of period	$	11,421,339		$	12,843,887
Undistributed net investment income (loss)	$	(2,442	)	$	31,858

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 20161
	Shares			Shares
Shares sold		50,000			550,000
Shares redeemed		(100,000	)		(150,000	)
Net increase (decrease)		(50,000	)		400,000

¹  Fund commenced operations on August 19, 2015.

See notes to financial statements.

127

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Emerging Market Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	139,623		$	87,191
Net realized gain (loss) on investments		96,834			(3,260	)
Change in unrealized appreciation (depreciation) of investments		(1,227,929	)		85,111
Net increase (decrease) in net assets resulting from operations	$	(991,472	)	$	169,042
Distributions to Shareholders:
From net investment income		(195,682	)		(51,870	)
From net realized gain		(115,100	)		—
Total Distributions to Shareholders		(310,782	)		(51,870	)
Capital Share Transactions:
Proceeds from shares sold		13,078,000			12,512,580
Transaction fees		871			11,807
Net increase in net assets resulting from capital share transaction (a)		13,078,871			12,524,387
Net increase in net assets	$	11,776,617		$	12,641,559
Net Assets:
Beginning of period	$	12,641,559		$	—
End of period	$	24,418,176		$	12,641,559
Undistributed net investment income (loss)	$	(15,302	)	$	40,757

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016		Period Ended June 30, 20161
	Shares		Shares
Shares sold		500,000		500,000
Net increase		500,000		500,000

¹  Fund commenced operations on March 22, 2016.

See notes to financial statements.

128

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Large Cap High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	974,232		$	756,513
Net realized gain on investments		1,366,948			964,702
Change in unrealized appreciation of investments		2,820,394			1,620,927
Net increase in net assets resulting from operations	$	5,161,574		$	3,342,142
Distributions to Shareholders:
From net investment income		(982,577	)		(706,156	)
Total Distributions to Shareholders		(982,577	)		(706,156	)
Capital Share Transactions:
Proceeds from shares sold		50,104,105			54,608,905
Cost of shares redeemed		(17,189,775	)		(15,911,700	)
Net increase in net assets resulting from capital share transactions (a)		32,914,330			38,697,205
Net increase in net assets	$	37,093,327		$	41,333,191
Net Assets:
Beginning of period	$	41,333,191		$	—
End of period	$	78,426,518		$	41,333,191
Undistributed net investment income	$	42,012		$	50,357

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 20161
	Shares			Shares
Shares sold		1,300,000			1,550,000
Shares redeemed		(450,000	)		(450,000	)
Net increase		850,000			1,100,000

¹  Fund commenced operations on July 7, 2015.

See notes to financial statements.

129

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Small Cap High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	369,600		$	323,863
Net realized gain on investments		706,697			290,732
Change in unrealized appreciation of investments		2,635,258			410,569
Net increse in net assets resulting from operations	$	3,711,555		$	1,025,164
Distributions to Shareholders:
From net investment income		(390,692	)		(292,084	)
Total Distributions to Shareholders		(390,692	)		(292,084	)
Capital Share Transactions:
Proceeds from shares sold		10,814,040			23,404,945
Cost of shares redeemed		(5,426,145	)		(9,978,240	)
Net increase in net assets resulting from capital share transactions (a)		5,387,895			13,426,705
Net increase in net assets	$	8,708,758		$	14,159,785
Net Assets:
Beginning of period	$	14,159,785		$	—
End of period	$	22,868,543		$	14,159,785
Undistributed net investment income	$	24,135		$	45,227

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Year Ended June 30, 20161
	Shares			Shares
Shares sold		300,000			700,000
Shares redeemed		(150,000	)		(300,000	)
Net increase		150,000			400,000

¹  Fund commenced operations on July 7, 2015.

See notes to financial statements.

130

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares International High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Operations:
Net investment income	$	259,731		$	509,063
Net realized gain (loss) on investments		67,842			(396,939	)
Change in unrealized appreciation (depreciation) of investments		565,869			(1,341,384	)
Net increase (decrease) in net assets resulting from operations	$	893,442		$	(1,229,260	)
Distributions to Shareholders:
From net investment income		(345,480	)		(427,662	)
Total Distributions to Shareholders		(345,480	)		(427,662	)
Capital Share Transactions:
Proceeds from shares sold		10,932,085			23,079,605
Cost of shares redeemed		(4,867,290	)		(4,567,610	)
Net increase in net assets resulting from capital share transactions (a)		6,064,795			18,511,995
Net increase in net assets	$	6,612,757		$	16,855,073
Net Assets:
Beginning of period	$	16,855,073		$	—
End of period	$	23,467,830		$	16,855,073
Undistributed net investment income	$	7,100		$	92,849

(a) Summary of capital share transactions is as follows:

	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	Shares			Shares
Shares sold		350,000			700,000
Shares redeemed		(150,000	)		(150,000	)
Net increase		200,000			550,000

¹  Fund commenced operations on August 19, 2015.

See notes to financial statements.

131

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US 500 Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016			Period Ended June 30, 20151
	(Unaudited)
Net Asset Value, Beginning of Period	$	37.24		$	36.78		$	35.00
Income from Investment Operations:
Net investment income2		0.30			0.57			0.49
Net realized and unrealized gain on investments3		3.07			0.42			1.73
Total from Investment Operations		3.37			0.99			2.22
Less Distributions:
Distributions from net investment income		(0.27	)		(0.51	)		(0.44	)
Distributions from net realized gain		—			(0.02	)		—
Total Distributions		(0.27	)		(0.53	)		(0.44	)
Net Asset Value, End of Period	$	40.34		$	37.24		$	36.78
Total Return4		9.07	%5		2.78	%		6.38	%5
Supplemental Data:
Net assets at end of period (000's)	$	108,928		$	44,689		$	9,194
Ratios of expenses to average net assets:
Before fees waived		0.53	%6		0.74	%		1.39	%6
After fees waived		0.35	%6		0.35	%		0.54	%6
Ratios of net investment income to average net assets:
Before fees waived		1.32	%6		1.20	%		0.52	%6
After fees waived		1.50	%6		1.59	%		1.37	%6
Portfolio Turnover Rate7		13	%5		31	%		23	%5

¹  Commenced operations on July 1, 2014.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

132

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US Discovery Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016			Period Ended June 30, 20151
	(Unaudited)
Net Asset Value, Beginning of Period	$	33.55		$	39.23		$	35.00
Income from Investment Operations:
Net investment income2		0.23			0.34			0.40
Net realized and unrealized gain (loss) on investments3		7.07			(5.71	)4		4.16
Total from Investment Operations		7.30			(5.37	)		4.56
Less Distributions:
Distributions from net investment income		(0.26	)		(0.31	)		(0.33	)
Total Distributions		(0.26	)		(0.31	)		(0.33	)
Net Asset Value, End of Period	$	40.59		$	33.55		$	39.23
Total Return5		21.82	%6		-13.70	%7		13.06	%6
Supplemental Data:
Net assets at end of period (000's)	$	36,532		$	26,838		$	23,538
Ratios of expenses to average net assets:
Before fees waived		0.71	%8		0.80	%		0.59	%8
After fees waived		0.35	%8		0.35	%		1.07	%8
Ratios of net investment income to average net assets:
Before fees waived		0.92	%8		0.55	%		0.67	%8
After fees waived		1.28	%8		1.00	%		1.15	%8
Portfolio Turnover Rate9		27	%6		221	%		10	%6

¹  Commenced operations on July 31, 2014.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Includes $0.07 gain derived from a payment from affiliate. See Note 3.

⁵  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁶  Not annualized.

⁷  Before the payment from affiliate for the loss resulting from a trade error, the total return for the year would have been -13.88%. See Note 3.

⁸  Annualized.

⁹  Excludes impact of in-kind transactions.

See notes to financial statements.

133

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US 500 Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016			Period Ended June 30, 20151
	(Unaudited)
Net Asset Value, Beginning of Period	$	37.23		$	36.76		$	35.00
Income from Investment Operations:
Net investment income2		0.29			0.56			0.49
Net realized and unrealized gain on investments3		3.08			0.45			1.65
Total from Investment Operations		3.37			1.01			2.14
Less Distributions:
Distributions from net investment income		(0.28	)		(0.54	)		(0.38	)
Total Distributions		(0.28	)		(0.54	)		(0.38	)
Net Asset Value, End of Period	$	40.32		$	37.23		$	36.76
Total Return4		9.07	%5		2.79	%		6.15	%5
Supplemental Data:
Net assets at end of period (000's)	$	239,916		$	141,470		$	86,397
Ratios of expenses to average net assets:
Before fees waived		0.47	%6		0.58	%		0.81	%6
After fees waived		0.35	%6		0.35	%		0.59	%6
Ratios of net investment income to average net assets:
Before fees waived		1.35	%6		1.33	%		1.12	%6
After fees waived		1.47	%6		1.56	%		1.34	%6
Portfolio Turnover Rate7		3	%5		36	%		13	%5

¹  Commenced operations on July 1, 2014.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

134

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares Developed Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016			Period Ended June 30, 20151
	(Unaudited)
Net Asset Value, Beginning of Period	$	29.00		$	35.19		$	35.00
Income from Investment Operations:
Net investment income2		0.17			0.67			0.80
Net realized and unrealized loss on investments3		(0.63	)		(6.27	)		(0.18	)
Total from Investment Operations		(0.46	)		(5.60	)		0.62
Less Distributions:
Distributions from net investment income		(0.20	)		(0.59	)		(0.42	)
Distributions from net realized gain		—			—			(0.01	)
Total Distributions		(0.20	)		(0.59	)		(0.43	)
Net Asset Value, End of Period	$	28.34		$	29.00		$	35.19
Total Return4		-1.61	%5		-15.96	%		1.77	%5
Supplemental Data:
Net assets at end of period (000's)	$	35,422		$	34,797		$	24,633
Ratios of expenses to average net assets:
Before fees waived		1.18	%6		1.36	%		1.58	%6
After fees waived		0.45	%6		0.45	%		0.63	%6
Ratios of net investment income to average net assets:
Before fees waived		0.40	%6		1.25	%		2.04	%6
After fees waived		1.13	%6		2.16	%		2.99	%6
Portfolio Turnover Rate7		124	%5		211	%		31	%5

¹  Commenced operations on September 30, 2014.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

135

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Year Ended June 30, 2016			Period Ended June 30, 20151
	(Unaudited)
Net Asset Value, Beginning of Period	$	38.59		$	35.38		$	35.00
Income from Investment Operations:
Net investment income2		0.63			1.27			1.12
Net realized and unrealized gain on investments3		2.68			3.18			0.20
Total from Investment Operations		3.31			4.45			1.32
Less Distributions:
Distributions from net investment income		(0.62	)		(1.24	)		(0.94	)
Total Distributions		(0.62	)		(1.24	)		(0.94	)
Net Asset Value, End of Period	$	41.28		$	38.59		$	35.38
Total Return4		8.62	%5		12.89	%		3.77	%5
Supplemental Data:
Net assets at end of period (000's)	$	307,518		$	156,278		$	86,678
Ratios of expenses to average net assets:
Before fees waived		0.42	%6		0.56	%		0.77	%6
After fees waived		0.35	%6		0.35	%		0.59	%6
Ratios of net investment income to average net assets:
Before fees waived		3.06	%6		3.30	%		2.91	%6
After fees waived		3.13	%6		3.51	%		3.09	%6
Portfolio Turnover Rate7		18	%5		52	%		17	%5

¹  Commenced operations on July 1, 2014.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

136

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US Small Cap Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	34.35		$	35.00
Income from Investment Operations:
Net investment income2		0.25			0.41
Net realized and unrealized loss on investments3		7.21			(0.72	)
Total from Investment Operations		7.46			(0.31	)
Less Distributions:
Distributions from net investment income		(0.25	)		(0.34	)
Total Distributions		(0.25	)		(0.34	)
Net Asset Value, End of Period	$	41.56		$	34.35
Total Return4		21.77	%5		-0.86	%5
Supplemental Data:
Net assets at end of period (000's)	$	18,703		$	10,304
Ratios of expenses to average net assets:
Before fees waived		0.95	%6		1.44	%6
After fees waived		0.35	%6		0.35	%6
Ratios of net investment income to average net assets:
Before fees waived		0.72	%6		0.18	%6
After fees waived		1.32	%6		1.28	%6
Portfolio Turnover Rate7		23	%5		50	%5

¹  Commenced operations on July 7, 2015.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

137

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares International Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	32.11		$	35.00
Income from Investment Operations:
Net investment income2		0.23			0.85
Net realized and unrealized gain (loss) on investments3		0.61			(3.15	)
Total from Investment Operations		0.84			(2.30	)
Less Distributions:
Distributions from net investment income		(0.32	)		(0.59	)
Total Distributions		(0.32	)		(0.59	)
Net Asset Value, End of Period	$	32.63		$	32.11
Total Return4		2.61	%5		-6.58	%5
Supplemental Data:
Net assets at end of period (000's)	$	11,421		$	12,844
Ratios of expenses to average net assets:
Before fees waived		1.78	%6		2.31	%6
After fees waived		0.45	%6		0.45	%6
Ratios of net investment income to average net assets:
Before fees waived		0.04	%6		1.13	%6
After fees waived		1.37	%6		2.99	%6
Portfolio Turnover Rate7		24	%5		31	%5

¹  Commenced operations on August 19, 2015.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

138

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares Emerging Market Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	25.28		$	25.00
Income from Investment Operations:
Net investment income2		0.21			0.25
Net realized and unrealized gain (loss) on investments3		(0.64	)		0.13
Total from Investment Operations		(0.43	)		0.38
Less Distributions:
Distributions from net investment income		(0.31	)		(0.10	)
Distributions from net realized gain		(0.12	)		—
Total Distributions		(0.43	)		(0.10	)
Net Asset Value, End of Period	$	24.42		$	25.28
Total Return4		(1.84	)%5		1.56	%5
Supplemental Data:
Net assets at end of period (000's)	$	24,418		$	12,642
Ratios of expenses to average net assets:
Before fees waived		2.73	%6		6.26	%6
After fees waived		0.50	%6		0.50	%6
Ratios of net investment income to average net assets:
Before fees waived		-0.62	%6		-2.06	%6
After fees waived		1.61	%6		3.70	%6
Portfolio Turnover Rate7		17	%5		1	%5

¹  Commenced operations on March 22, 2016.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

139

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US Large Cap High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	37.58		$	35.00
Income from Investment Operations:
Net investment income2		0.60			1.28
Net realized and unrealized gain on investments3		2.62			2.35
Total from Investment Operations		3.22			3.63
Less Distributions:
Distributions from net investment income		(0.58	)		(1.05	)
Total Distributions		(0.58	)		(1.05	)
Net Asset Value, End of Period	$	40.22		$	37.58
Total Return4		8.63	%5		10.62	%5
Supplemental Data:
Net assets at end of period (000's)	$	78,427		$	41,333
Ratios of expenses to average net assets:
Before fees waived		0.48	%6		0.72	%6
After fees waived		0.35	%6		0.35	%6
Ratios of net investment income to average net assets:
Before fees waived		2.95	%6		3.32	%6
After fees waived		3.08	%6		3.69	%6
Portfolio Turnover Rate7		19	%5		46	%5

¹  Commenced operations on July 7, 2015.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

140

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares US Small Cap High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	35.40		$	35.00
Income from Investment Operations:
Net investment income2		0.70			1.18
Net realized and unrealized gain on investments3		6.19			0.21
Total from Investment Operations		6.89			1.39
Less Distributions:
Distributions from net investment income		(0.71	)		(0.99	)
Total Distributions		(0.71	)		(0.99	)
Net Asset Value, End of Period	$	41.58		$	35.40
Total Return4		19.62	%5		4.15	%5
Supplemental Data:
Net assets at end of period (000's)	$	22,869		$	14,160
Ratios of expenses to average net assets:
Before fees waived		0.63	%6		0.92	%6
After fees waived		0.35	%6		0.35	%6
Ratios of net investment income to average net assets:
Before fees waived		3.42	%6		3.02	%6
After fees waived		3.70	%6		3.59	%6
Portfolio Turnover Rate7		29	%5		78	%5

¹  Commenced operations on July 7, 2015.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵  Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

141

Victory Portfolios II Financial Highlights

For a capital share outstanding throughout the period

	VictoryShares International High Div Volatility Wtd ETF
	Six-Months Ended December 31, 2016			Period Ended June 30, 20161
	(Unaudited)
Net Asset Value, Beginning of Period	$	30.65		$	35.00
Income from Investment Operations:
Net investment income2		0.42			1.37
Net realized and unrealized gain (loss) on investments3		0.78			(4.71	)
Total from Investment Operations		1.20			(3.34	)
Less Distributions:
Distributions from net investment income		(0.56	)		(1.01	)
Total Distributions		(0.56	)		(1.01	)
Net Asset Value, End of Period	$	31.29		$	30.65
Total Return4		3.92	%5		-9.63	%5
Supplemental Data:
Net assets at end of period (000's)	$	23,468		$	16,855
Ratios of expenses to average net assets:
Before fees waived		0.90	%6		1.17	%6
After fees waived		0.45	%6		0.45	%6
Ratios of net investment income to average net assets:
Before fees waived		2.22	%6		4.26	%6
After fees waived		2.67	%6		4.98	%6
Portfolio Turnover Rate7		35	%5		53	%5

¹  Commenced operations on August 19, 2015.

²  Calculated based on average shares outstanding during the period.

³  The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due as reflected in the Statement of Operations due to the timing of capital share transactions in relation to the fluctuating values of the Fund's underlying securities.

⁴  Total return is calculated assuming an initial investment made at net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.

⁵�� Not annualized.

⁶  Annualized.

⁷  Excludes impact of in-kind transactions.

See notes to financial statements.

142

Victory Portfolios II Notes to Consolidated Financial Statements
December 31, 2016

  (Unaudited)

1.  Organization:

Victory Portfolios II Trust (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 comprised of seventeen Funds (each a "Fund" and collectively, the "Funds"), eleven of which are exchange-traded funds, and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. Each Fund is classified as diversified under the 1940 Act.

Funds	Diversification Classification
VictoryShares US 500 Volatility Wtd ETF	Diversified
VictoryShares US Discovery Enhanced Volatility Wtd ETF	Diversified
VictoryShares US 500 Enhanced Volatility Wtd ETF	Diversified
VictoryShares Developed Enhanced Volatility Wtd ETF	Diversified
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	Diversified
VictoryShares US Small Cap Volatility Wtd ETF	Diversified
VictoryShares International Volatility Wtd ETF	Diversified
VictoryShares Emerging Market Volatility Wtd ETF	Diversified
VictoryShares US Large Cap High Div Volatility Wtd ETF	Diversified
VictoryShares US Small Cap High Div Volatility Wtd ETF	Diversified
VictoryShares International High Div Volatility Wtd ETF	Diversified

The following Funds commenced operations on July 1, 2014 and their objectives are as follows:

VictoryShares US 500 Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Large Cap 500 Volatility Weighted Index before fees and expenses.

VictoryShares US 500 Enhanced Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Large Cap 500 Long/Cash Volatility Weighted Index before fees and expenses.

VictoryShares US EQ Income Enhanced Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Large Cap High Dividend 100 Long/Cash Volatility Weighted Index before fees and expenses.

The following Fund commenced operations on July 31, 2014 and its objective is as follows:

VictoryShares US Discovery Enhanced Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Small Cap 500 Long/Cash Volatility Weighted Index before fees and expenses.

The following Fund commenced operations on September 30, 2014 and its objective is as follows:

VictoryShares Developed Enhanced Volatility Wtd ETF — seeks to match the performance of the CEMP International 500 Long/Cash Volatility Weighted Index before fees and expenses.

The following Funds commenced operations on July 7, 2015 and their objectives are as follows:

VictoryShares US Small Cap Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Small Cap 500 Volatility Weighted Index before fees and expenses.

VictoryShares US Large Cap High Div Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Large Cap High Dividend 100 Volatility Weighted Index before fees and expenses.

VictoryShares US Small Cap High Div Volatility Wtd ETF — seeks to match the performance of the CEMP U.S. Small Cap High Dividend 100 Volatility Weighted Index before fees and expenses.

The following Funds commenced operations on August 19, 2015 and their objectives are as follows:

VictoryShares International Volatility Wtd ETF — seeks to match the performance of the CEMP International 500 Volatility Weighted Index before fees and expenses.

VictoryShares International High Div Volatility Wtd ETF — seeks to match the performance of the CEMP International High Dividend 100 Volatility Weighted Index before fees and expenses.

143

Victory Portfolios II Notes to Consolidated Financial Statements — continued
December 31, 2016

  (Unaudited)

The following Fund commenced operations on March 22, 2016 and its objective is as follows:

VictoryShares Emerging Market Volatility Wtd ETF — seeks to match the performance of the CEMP Emerging Market 500 Volatility Weighted Index before fees and expenses.

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:

Shares of the Funds are listed and traded on NASDAQ Stock Market, LLC ("Exchange"). The Funds will issue and redeem shares of a Fund ("Shares") at net asset value ("NAV") only in aggregations of 50,000 Shares (each a "Creation Unit"). The Funds will issue and redeem Creation Units principally in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), together with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares will trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.

Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees received by each Fund are displayed in the Capital Share Transaction section of the Statements of Changes in Net Assets as an increase to Paid-In-Capital. The table below shows what each Fund Charges for the standard fixed creation fee.

Fund	Fixed Fee
VictoryShares US 500 Volatility Wtd ETF	$	750
VictoryShares US Discovery Enhanced Volatility Wtd ETF	$	750
VictoryShares US 500 Enhanced Volatility Wtd ETF	$	750
VictoryShares Developed Enhanced Volatility Wtd ETF	$	5,000
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	$	250
VictoryShares US Small Cap Volatility Wtd ETF	$	750
VictoryShares International Volatility Wtd ETF	$	6,000
VictoryShares Emerging Market Volatility Wtd ETF	$	9,000
VictoryShares US Large Cap High Div Volatility Wtd ETF	$	250
VictoryShares US Small Cap High Div Volatility Wtd ETF	$	250
VictoryShares International High Div Volatility Wtd ETF	$	1,750

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These 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

144

Victory Portfolios II Notes to Consolidated Financial Statements — continued
December 31, 2016

  (Unaudited)

assets and liabilities and disclosure of contingent 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. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies (Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 Financial Services — Investment Companies).

Securities Valuation:

The net asset values per share of the Funds are determined as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally 4:00 p.m., Eastern Time) on each day when the NYSE is open for trading. Securities for which market quotations are available are valued as follows: (a) each listed security is valued at its closing price obtained from the respective primary exchange on which the security is listed, or, if there were no sales on that day, at its last reported current mean price; (b) each unlisted security is valued at the last current bid price obtained from the NASDAQ System; (c) United States Government and Agency obligations are valued based upon bid quotations from the Federal Reserve Bank for identical or similar obligations; (d) short-term money market instruments (such as certificates of deposit, bankers' acceptances and commercial paper) are most often 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. Short-term securities with remaining maturities of sixty days or less for which market quotations and information from pricing services are not readily available are valued either at amortized cost or at original cost plus accrued interest, both of which approximate current value. When approved by the Trustees, certain securities may be valued on the basis of valuations provided by an independent pricing service when such prices the Trustees believe reflect the fair value of such securities. In the absence of an ascertainable market value, or if an event occurs after the close of trading on the domestic or foreign exchange or market on which the security is principally traded (prior to the time the NAV is calculated) that materially affects fair value, assets are valued at their fair value as determined by the Adviser using methods and procedures reviewed and approved by the Trustees. Options contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices on the day of valuation.

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.

Trading in securities on Far Eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the NYSE is open). In addition, Far Eastern securities trading generally or in a particular country or countries may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays in various foreign markets on days, which are not business days in New York, and on which a Fund's net asset value is not calculated. Each Fund calculates net asset value per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. Futures are valued at the settlement price established each day by the board of exchange on which they are traded. The daily

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settlement prices for financial futures are provided by an independent source. On days when there is excessive volume or market volatility, the settlement price may not be available at the time at which a Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value the Fund's futures position, in which case the Fund will not consider any difference between the eventual settlement price and the best available price used to be a basis for determining that an incorrect NAV calculation has occurred.

Other securities and assets for which market quotations are not readily available or for which valuation cannot be provided are valued as determined in good faith in accordance with procedures approved by the Board of Trustees of the Trust.

In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The objective of a fair value measurement is to determine 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 (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy under GAAP are described below:

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

• Level 2 — other significant observable inputs (including quoted prices for similar securities and identical securities in inactive markets, interest rates, amortized cost, credit risk, etc.)

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation inputs, representing 100% of the Funds' investments, used to value the Funds' assets and liabilities as of December 31, 2016:

Description^	Level 1			Level 2		Level 3		Total
VictoryShares US 500 Volatility Wtd ETF
Common Stocks*	$	108,694,041		$	—	$	—	$	108,694,041
Short-Term Investments		130,818			—		—		130,818
Total	$	108,824,859		$	—	$	—	$	108,824,859
Other Financial Instruments^
Futures	$	233		$	—	$	—	$	233
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Common Stocks*	$	36,502,185		$	—	$	—	$	36,502,185
Short-Term Investments		15,358			—		—		15,358
Total	$	36,517,543		$	—	$	—	$	36,517,543
Other Financial Instruments^
Futures	$	(44	)	$	—	$	—	$	(44	)
VictoryShares US 500 Enhanced Volatility Wtd ETF
Common Stocks*	$	239,451,729		$	—	$	—	$	239,451,729
Short-Term Investments		244,890			—		—		244,890
Total	$	239,696,619		$	—	$	—	$	239,696,619
Other Financial Instruments^
Futures	$	(1,682	)	$	—	$	—	$	(1,682	)
VictoryShares Developed Enhanced Volatility Wtd ETF
Common Stocks*	$	8,929,862		$	—	$	570	$	8,930,432
Short-Term Investments		26,487,548			—		—		26,487,548
Total	$	35,417,410		$	—	$	570	$	35,417,980

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Description^	Level 1			Level 2		Level 3		Total
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Common Stocks*	$	306,521,359		$	—	$	—	$	306,521,359
Short-Term Investments		443,461			—		—		443,461
Total	$	306,964,820		$	—	$	—	$	306,964,820
Other Financial Instruments^
Futures	$	(2,620	)	$	—	$	—	$	(2,620	)
VictoryShares US Small Cap Volatility Wtd ETF
Common Stocks*	$	18,691,811		$	—	$	—	$	18,691,811
Short-Term Investments		8,523			—		—		8,523
Total	$	18,700,334		$	—	$	—	$	18,700,334
VictoryShares International Volatility Wtd ETF
Common Stocks*	$	11,390,083		$	—	$	—	$	11,390,083
Short-Term Investments		11,002			—		—		11,002
Total	$	11,401,085		$	—	$	—	$	11,401,085
VictoryShares Emerging Market Volatility Wtd ETF
Common Stocks*	$	24,264,500		$	36,263	$	—	$	24,300,763
Rights		—			1,604		—		1,604
Total	$	24,264,500		$	37,867	$	—	$	24,302,367
VictoryShares US Large Cap High Div Volatility Wtd ETF
Common Stocks*	$	78,131,481		$	—	$	—	$	78,131,481
Short-Term Investments		133,245			—		—		133,245
Total	$	78,264,726		$	—	$	—	$	78,264,726
Other Financial Instruments^
Futures	$	(1,019	)	$	—	$	—	$	(1,019	)
VictoryShares US Small Cap High Div Volatility Wtd ETF
Common Stocks*	$	22,738,436		$	—	$	—	$	22,738,436
Short-Term Investments		61,539			—		—		61,539
Total	$	22,799,975		$	—	$	—	$	22,799,975
Other Financial Instruments^
Futures	$	(44	)	$	—	$	—	$	(44	)
VictoryShares International High Div Volatility Wtd ETF
Common Stocks*	$	23,324,287		$	—	$	—	$	23,324,287
Short-Term Investments		89,845			—		—		89,845
Total	$	23,414,132		$	—	$	—	$	23,414,132
Other Financial Instruments^
Futures	$	(1,209	)	$	—	$	—	$	(1,209	)

*  Please refer to the Schedules of Investments for industry classifications.

^  Other Financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.

For the period ended December 31, 2016, there were no transfers into or out of Level 1, 2, or 3 during the current period presented. It is the Funds' policy to record transfers into or out of Fair Value Levels at the end of the period.

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

VictoryShares Developed Enhanced Volatility Wtd ETF	Balance as of 06/30/2016		Net Realized Gain (Loss)		Change in Net Unrealized Appreciation (Depreciation)		Purchases		Sales		Transfers Into Level 3		Transfers Out of Level 3		Balance as of 12/31/2016		Net Change in Unrealized Depreciation on securities held at 12/31/2016
Common Stocks	$	570	$	—	$	—	$	—	$	—	$	—	$	—	$	570	$	—

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

VictoryShares Developed Enhanced Volatility Wtd ETF	Fair Value as of 12/31/2016*		Valuation Techniques	Unobservable Input	Input Values		Impact to valuation from an increase to input
Common Stocks	$	570	Market Comparables	U.S. OTC Equivalent	$	0.17	Significant changes in the U.S. OTC equivalent quotes would result in direct and proportional changes in the fair value of the security.

*  Level 3 securities are typically valued by the Adviser. The appropriateness of fair values for these securities is monitored on an ongoing basis, by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.

Foreign Currency:

Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

The Funds report net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

Futures Contracts:

Each Fund may invest in futures contracts to hedge or manage risks associated with the Funds' securities investments or to gain exposure to certain asset classes or markets. As required by the 1940 Act, the Funds may purchase or sell futures contracts only if the Funds' liabilities for the futures position are "covered" by an offsetting position in a futures contract or by the Funds segregating liquid assets equal to the Funds' liabilities on the futures contract. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as "variation margin," are made or received by the

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Funds on a daily basis. The Funds record an unrealized gain or loss by marking each futures contract to market. A realized gain or loss is recorded when the contract is closed. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying assets. Futures contracts may have off-balance sheet risk. Off-balance sheet risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Statements of Assets and Liabilities.

Positions in futures contracts may be closed out only on an exchange that provides a secondary market for such futures. However, there can be no assurance that a liquid secondary market will exist for any particular futures contract at any specific time. Thus, it may not be possible to close a futures position. In the event of adverse price movements, the Funds may be required to make cash payments to maintain their required margin. In such situations, if the Funds had insufficient cash, they might have to sell portfolio securities to meet margin requirements at a time when it would be disadvantageous to do so. In addition, the Funds might be required to make delivery of the underlying instruments of futures contracts they hold. The inability to close positions in futures could also have an adverse impact on the Funds' ability to hedge or manage risks effectively.

Successful use of futures by the Funds is also subject to the Adviser's ability to predict movements correctly in the direction of the market. There is typically an imperfect correlation between movements in the price of the future and movements in the price of the assets that are the subject of the hedge. In addition, the price of futures may not correlate perfectly with movement in the cash market due to certain market distortions. Due to the possibility of price distortion in the futures market and because of the imperfect correlation between the movements in the cash market and movements in the price of futures, a correct forecast of general market trends or interest rate movements by the Adviser may still not result in a successful hedging transaction over a short time frame.

The trading of futures contracts is also subject to the risk of trading halts, suspension, exchange or clearing house equipment failures, government intervention, insolvency of a commodities or brokerage firm or clearing house or other disruption of normal trading activity, which could at times make it difficult or impossible to liquidate existing positions or to recover excess variation margin payments.

The Funds will purchase or sell futures contracts in accordance with the Commodity Futures Trading Commission ("CFTC") regulations.

GAAP requires disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance and cash flows.

Derivatives Disclosure —

Fair Values of Derivative Instruments in the Funds* as of December 31, 2016:

VictoryShares US 500 Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	233	Unrealized depreciation on futures contracts	$	—

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Appreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	9,918	Equity Contracts — Futures	$	233

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VictoryShares US Discovery Enhanced Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	44

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	15,294	Equity Contracts — Futures	$	(44	)

VictoryShares US 500 Enhanced Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	1,682

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	19,552	Equity Contracts — Futures	$	(1,888	)

VictoryShares Developed Enhanced Volatility Wtd ETF

Amount of Realized Loss on Derivatives Recognized in Income	Value			Change in Unrealized Appreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	(11,188	)	Equity Contracts — Futures	$	2,139

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	2,620

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	59,882	Equity Contracts — Futures	$	(3,894	)

VictoryShares US Small Cap Volatility Wtd ETF

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Appreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	574	Equity Contracts — Futures	$	—

VictoryShares International Volatility Wtd ETF

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	4,105	Equity Contracts — Futures	$	(2,561	)

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VictoryShares Emerging Market Volatility Wtd ETF

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	9,129	Equity Contracts — Futures	$	(2,251	)

VictoryShares US Large Cap High Div Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	1,019

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Gain on Derivatives Recognized in Income	Value		Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	19,603	Equity Contracts — Futures	$	(1,019	)

VictoryShares US Small Cap High Div Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	44

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Loss on Derivatives Recognized in Income	Value			Change in Unrealized Depreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	(2,465	)	Equity Contracts — Futures	$	(44	)

VictoryShares International High Div Volatility Wtd ETF

	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Value		Balance Sheet Location	Value
Equity Contracts — Futures*	Unrealized appreciation on futures contracts	$	—	Unrealized depreciation on futures contracts	$	1,209

*  Includes cumulative appreciation/depreciation as reported on Schedule of Investments.

Amount of Realized Loss on Derivatives Recognized in Income	Value			Change in Unrealized Appreciation on Derivatives Recognized in Income	Value
Equity Contracts — Futures	$	(241	)	Equity Contracts — Futures	$	930

The average monthly notional value of futures during the period ended December 31, 2016 were as follows:

Fund	Long Futures
VictoryShares US 500 Volatility Wtd ETF	$	145,504
VictoryShares US Discovery Enhanced Volatility Wtd ETF	$	51,776
VictoryShares US 500 Enhanced Volatility Wtd ETF	$	343,597
VictoryShares Developed Enhanced Volatility Wtd ETF	$	154,444
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	$	452,968
VictoryShares US Small Cap Volatility Wtd ETF	$	—
VictoryShares International Volatility Wtd ETF	$	83,420
VictoryShares Emerging Market Volatility Wtd ETF	$	59,009

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Fund	Long Futures
VictoryShares US Large Cap High Div Volatility Wtd ETF	$	126,368
VictoryShares US Small Cap High Div Volatility Wtd ETF	$	11,308
VictoryShares International High Div Volatility Wtd ETF	$	13,963

Offsetting of Financial Assets and Derivatives Assets

The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

The table below, as of December 31, 2016, discloses both gross information and net information about instruments and transactions eligible for offset in the Statements of Assets and Liabilities, and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to collateral held at clearing brokers and counterparties.

Assets	Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts Presented in the Statement of Assets and Liabilities			Financial Instruments		Cash Collateral		Net Amount
VictoryShares US 500 Volatility Wtd ETF
Description / Counterparty
Futures Goldman Sachs & Co.	$	233		$	—	$	233		$	—	$	—	$	233
Liabilities	Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts Presented in the Statement of Assets and Liabilities			Financial Instruments		Cash Collateral		Net Amount
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Description / Counterparty
Futures Goldman Sachs & Co.	$	(44	)	$	—	$	(44	)	$	—	$	44	$	—
VictoryShares US 500 Enhanced Volatility Wtd ETF
Description / Counterparty
Futures Goldman Sachs & Co.	$	(1,682	)	$	—	$	(1,682	)	$	—	$	1,682	$	—

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Liabilities	Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts Presented in the Statement of Assets and Liabilities			Financial Instruments		Cash Collateral		Net Amount
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Description / Counterparty
Futures Goldman Sachs & Co.	$	(2,620	)	$	—	$	(2,620	)	$	—	$	2,620	$	—
VictoryShares US Large Cap High Div Volatility Wtd ETF
Description / Counterparty
Futures Goldman Sachs & Co.	$	(1,019	)	$	—	$	(1,019	)	$	—	$	1,019	$	—
VictoryShares US Small Cap High Div Volatility Wtd ETF
Description / Counterparty
Futures
Goldman Sachs & Co.	$	(44	)	$	—	$	(44	)	$	—	$	44	$	—
VictoryShares International High Div Volatility Wtd ETF
Description / Counterparty
Futures
Goldman Sachs & Co.	$	(1,209	)	$	—	$	(1,209	)	$	—	$	1,209	$	—

In some instances, the collateral amounts disclosed in the tables were adjusted due to the requirement to limit the collateral amounts to avoid the effect of overcollateralization. Actual collateral received/pledged may be more than the amounts disclosed herein.

Federal Income Tax

The Funds comply with the requirements of subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as regulated investment companies and distribute substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income tax provision is required. As of and during the period ended June 30, 2016, the Funds have not yet determined if any tax positions did not meet the "more-likely-than-not" threshold of being sustained by the applicable tax authority. As of and during the period ended June 30, 2016, the Funds did not have liabilities for any unrecognized tax benefits. The Funds recognized interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Statements of Operations. During the period ended June 30, 2016, the Funds did not incur any interest or penalties. The Funds are subject to examination by U.S. taxing authorities for the tax periods since each Fund's commencement of operations.

Distribution to Shareholders:

All of the Funds distribute any net investment income monthly. All of the Funds distribute any net realized long or short-term capital gains at least annually. Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined, on a tax basis and may differ from net investment income and net realized capital gains for reporting purposes.

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Other:

Investment and shareholder transactions are recorded on trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date or as soon as information is available to the Funds and interest income is recognized on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Funds' understanding of the applicable tax rules and regulations. Discounts and premiums on debt securities are accreted or amortized over their respective lives using the effective interest method. Payments received from certain investments held by the Funds may be comprised of dividends, capital gains and return of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of the information from the issuer. The actual character of distributions to the Funds' shareholders will be reflected in the Form 1099 received after the end of the calendar year.

Share valuation:

The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds' shares will not be priced on days on which the NYSE is closed for trading. The offering and redemption price per share for each Fund is equal to the Fund's net asset value per share.

Subsequent Events:

The Trust has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements.

3.  Purchases and Sales of Securities:

Purchases and sales of securities (excluding short-term securities and in-kind transactions) for the period ended December 31, 2016 were as follows:

Fund	Purchases		Sales
VictoryShares US 500 Volatility Wtd ETF	$	10,033,938	$	2,996,890
VictoryShares US Discovery Enhanced Volatility Wtd ETF		7,255,922		7,202,257
VictoryShares US 500 Enhanced Volatility Wtd ETF		44,130,862		4,729,712
VictoryShares Developed Enhanced Volatility Wtd ETF		33,799,800		59,074,206
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		41,841,972		42,135,762
VictoryShares US Small Cap Volatility Wtd ETF		115,636,923		3,445,878
VictoryShares International Volatility Wtd ETF		3,282,440		3,251,079
VictoryShares Emerging Market Volatility Wtd ETF		10,033,938		2,996,890
VictoryShares US Large Cap High Div Volatility Wtd ETF		12,333,505		12,477,847
VictoryShares US Small Cap High Div Volatility Wtd ETF		5,644,236		5,719,590
VictoryShares International High Div Volatility Wtd ETF		6,831,649		6,834,027

In-kind transactions associated with purchases and sales for the period ended December 31, 2016 were as follows:

Fund	Purchases		Sales
VictoryShares US 500 Volatility Wtd ETF	$	69,947,514	$	11,388,251
VictoryShares US Discovery Enhanced Volatility Wtd ETF		10,735,777		7,013,316
VictoryShares US 500 Enhanced Volatility Wtd ETF		89,353,652		43,593,853
VictoryShares Developed Enhanced Volatility Wtd ETF		356,302		_
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		182,032,849		47,005,895
VictoryShares US Small Cap Volatility Wtd ETF		11,049,979		5,395,028
VictoryShares International Volatility Wtd ETF		1,609,049		3,258,101
VictoryShares Emerging Market Volatility Wtd ETF		5,862,064		_

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Fund	Purchases		Sales
VictoryShares US Large Cap High Div Volatility Wtd ETF	$	49,987,358	$	17,096,632
VictoryShares US Small Cap High Div Volatility Wtd ETF		10,794,332		5,429,351
VictoryShares International High Div Volatility Wtd ETF		10,898,091		4,856,668

During the fiscal year ended June 30, 2016, VictoryShares US Discovery Enhanced Volatility Wtd ETF had a trade error where a rebalancing was processed incorrectly due to positions not being in balance. This resulted in a loss to the Fund of $56,557, which affiliates subsequently reimbursed the Fund.

4.  Investment Advisory, Administration and Distribution Agreements:

Investment advisory services are provided to the Funds by Victory Capital Management Inc. ("Victory Capital" or the "Adviser"), 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 for its services, computed daily and payable monthly based on a percentage of the average daily net assets of each Fund. For its services, the Funds pay to the Adviser, as of the last day of each month, an annualized fee equal to 0.30% of average net assets of each of the US 500 Volatility Wtd ETF, US Discovery Enhanced Volatility Wtd ETF, US 500 Enhanced Volatility Wtd ETF, US EQ Income Enhanced Volatility Wtd ETF, US Small Cap Volatility Wtd ETF, US Large Cap High Div Volatility Wtd ETF, and US Small Cap High Div Volatility Wtd ETF, 0.40% of the of average net assets of each of the Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, and International High Div Volatility Wtd ETF, and 0.45% of the average net assets of the Emerging Market Volatility Wtd ETF, with such fees to be computed daily based upon daily average net assets of each of the Funds, respectively. The Adviser pays expenses incurred by it in connection with acting as investment Adviser to the Funds other than costs (including taxes and brokerage commissions, borrowing costs, costs of investing in underlying funds and extraordinary expenses, if any) of securities purchased for the Funds and certain other expenses paid by the Funds (as detailed in the Advisory Agreement). The Adviser pays for all employees, office space and facilities required by it to provide services under the Advisory Agreement, with the exception of specific items of expense (as detailed in the Advisory Agreement).

For the period ended December 31, 2016, Advisory fees incurred by the Funds as well as amounts due to or from the Adviser at December 31, 2016 were as follows:

Fund	Advisory Fees		Due To/(From) Adviser at December 31, 2016
VictoryShares US 500 Volatility Wtd ETF	$	106,786	$	12,260
VictoryShares US Discovery Enhanced Volatility Wtd ETF		46,888		(297	)
VictoryShares US 500 Enhanced Volatility Wtd ETF		266,648		41,950
VictoryShares Developed Enhanced Volatility Wtd ETF		70,629		(7,660	)
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		332,781		64,780
VictoryShares US Small Cap Volatility Wtd ETF		21,842		(3,922	)
VictoryShares International Volatility Wtd ETF		43,459		(12,369	)
VictoryShares Emerging Market Volatility Wtd ETF		41,452		(22,686	)
VictoryShares US Large Cap High Div Volatility Wtd ETF		26,807		11,776
VictoryShares US Small Cap High Div Volatility Wtd ETF		29,938		92
VictoryShares International High Div Volatility Wtd ETF		38,978		(1,325	)

The Adviser has contractually agreed to waive its Advisory fee and/or reimburse expenses through at least October 31, 2017 so that the total annual fund operating expenses after fee waiver and expense reimbursement (excluding Acquired Fund Fees and Expenses, and certain other items such as interest, taxes and brokerage commissions) do not exceed 0.35% for each of the US 500

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Volatility Wtd ETF, US Discovery Enhanced Volatility Wtd ETF, US 500 Enhanced Volatility Wtd ETF, US EQ Income Enhanced Volatility Wtd ETF, US Small Cap Volatility Wtd ETF, US Large Cap High Div Volatility Wtd ETF, and US Small Cap High Div Volatility Wtd ETF, 0.45% for each of the Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, and International High Div Volatility Wtd ETF, and 0.50% for the Emerging Market Volatility Wtd ETF. The Adviser is permitted to recoup Advisory fees waived and expenses reimbursed by it or by each Fund's predecessor adviser for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the lesser of: (a) any operating expense limits in effect at the time of the original waiver or expense reimbursement; or (b) at the time of recoupment. This agreement may only be terminated by the Funds' Board of Trustees.

As of December 31, 2016, the Adviser waived Advisory fees and reimbursed expenses. The Adviser may recapture a portion of the waived and/or reimbursed amounts no later than the dates as stated below:

Fund	June 30, 2018			June 30, 2019			June 30, 2020
VictoryShares US 500 Volatility Wtd ETF	$	(61,304	)	$	(19,478	)	$	(64,572	)
VictoryShares US Discovery Enhanced Volatility Wtd ETF		(59,513	)		(124,242	)		(56,020	)
VictoryShares US 500 Enhanced Volatility Wtd ETF		(110,009	)		(271,284	)		(108,219	)
VictoryShares Developed Enhanced Volatility Wtd ETF		(82,842	)		(285,869	)		(129,531	)
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		(92,663	)		(219,924	)		(73,636	)
VictoryShares US Small Cap Volatility Wtd ETF		—			(81,175	)		(44,015	)
VictoryShares International Volatility Wtd ETF		—			(141,495	)		(87,909	)
VictoryShares Emerging Market Volatility Wtd ETF		—			(135,767	)		(193,327	)
VictoryShares US Large Cap High Div Volatility Wtd ETF		—			(76,158	)		(41,713	)
VictoryShares US Small Cap High Div Volatility Wtd ETF		—			(51,660	)		(27,621	)
VictoryShares International High Div Volatility Wtd ETF		—			(74,062	)		(43,783	)

U.S. Bank National Association ("U.S. Bank") serves as custodian for the Funds' assets. For its custody services to the Funds, U.S. Bank receives fees at an annualized rate of .004% of the Funds' aggregate average daily net assets, plus applicable per transaction fees. The Funds reimburse U.S. Bank for all of its reasonable out-of-pocket expenses incurred in providing custody services.

U.S. Bancorp Fund Services, LLC ("USB") serves as the Funds' administrator, fund accountant and transfer agent. Under an Administration, Accounting and Transfer Agent Agreement, USB receives for its services a monthly fee at an annualized rate based upon the average daily net assets of the Funds.

The Funds reimburse USB for all of its reasonable out-of-pocket expenses incurred in providing these services.

Quasar Distributors, LLC (the "Distributor") serves as distributor for the shares of the Funds pursuant to a Distribution Agreement between the Distributor and the Trust.

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% of average daily net assets. No distribution or service fees are currently paid by the Funds and there are no current plans to impose these fees.

5.  Risks

In the normal course of business, each Fund's investment activities expose it to various types of risk associated with the financial instruments and markets in which it invests. The significant types of financial risks each Fund is exposed to include market risk and credit risk. Each Fund's prospectus provides details of these and other types of risk.

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Market risk arises mainly from uncertainty about future values of financial instruments influenced by price, currency and interest rate movements. It represents the potential loss each Fund may suffer through holding market positions in the face of market movements. Each Fund is exposed to market risk by virtue of its investment in equity instruments. The fair value of securities held by the Funds may decline due to general market conditions, economic trends or events that are not specifically related to the issuers of the securities including local, regional or global political, social or economic instability or to factors that affect a particular industry or group of industries. The extent of each Fund's exposure to market risk is the market value of the investments held as shown in each Fund's Schedule of Investments.

A diversified portfolio, where this is appropriate and consistent with a Fund's objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a Fund. The investment concentrations within each Fund's portfolio are disclosed in its Schedule of Investments. The VictoryShares Developed Enhanced Volatility Wtd ETF, VictoryShares International Volatility Wtd ETF, VictoryShares Emerging Market Volatility Wtd ETF, and VictoryShares International High Div Volatility Wtd ETF invest 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 United States. Special U.S. tax considerations may apply to dividends or interest on, or proceeds from the sale of, foreign securities. Additionally, the Funds may be subject to taxes imposed by the governments of countries in which it invests and are generally based on income and/or capital gains earned or repatriated, a portion of which may be recoverable. Based upon the current interpretation of the tax rules and regulations, estimated tax liabilities and recoveries on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net exchange in unrealized gain/loss on investments. Tax liabilities realized as a result of security sales are reflected as a component of net realized gain/loss on investments. 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 Investments includes information on each Fund's holdings, including industry and/or geographical composition, as relevant.

Credit risk is the risk that an issuer or guarantor of debt instruments or the counterparty to a financial transaction, including derivatives contracts, repurchase agreements or loans of portfolio securities, is unable or unwilling to make timely interest and/or principal payments to otherwise honor its obligations. 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:

The Trust, Victory Portfolios, Victory Variable Insurance Funds and Victory Institutional Funds (the "Victory Trusts") participate in a short-term demand note "Line of Credit" agreement with Citibank. Under the agreement with Citibank, as of July 29, 2016, the Victory Trusts may borrow up to $250 million, of which $100 million is committed and $150 million is uncommitted. $40 million of the line of credit is reserved for use by the Victory RS Floating Rate Fund with that Fund paying the

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related commitment fees for that amount. 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 received a commitment fee of 0.10% on $50 million for providing the Line of Credit through July 28, 2016. As of July 29, 2016, Citibank receives an annual commitment fee of 0.15% on $100 million for providing the Line Credit. For the six months ended December 31, 2016, Citibank earned approximately $68 thousand for Line of Credit fees. Each fund in the Victory Trusts pays a pro-rata portion of this commitment fee plus any interest on amounts borrowed.

During the period ended December 31, 2016, none of the ETFs borrowed on the line of credit.

7.  Federal Income Tax Information:

The tax character of distributions for the following periods was as follows:

	For the period ended June 30, 2016:				For the period ended June 30, 2015:*
	Ordinary Income		Realized Gain		Ordinary Income		Realized Gain
VictoryShares US 500 Volatility Wtd ETF	$	388,873	$	8,766	$	93,836	$	—
VictoryShares US Discovery Enhanced Volatility Wtd ETF		263,363		—		132,709		—
VictoryShares US 500 Enhanced Volatility Wtd ETF		1,777,461		—		607,150		—
VictoryShares Developed Enhanced Volatility Wtd ETF		638,370		—		243,567		283
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		3,588,993		—		1,513,918		—
VictoryShares US Small Cap Volatility Wtd ETF		86,852		—		—		—
VictoryShares International Volatility Wtd ETF		205,538		—		—		—
VictoryShares Emerging Market Volatility Wtd ETF		51,870		—		—		—
VictoryShares US Large Cap High Div Volatility Wtd ETF		706,156		—		—		—
VictoryShares US Small Cap High Div Volatility Wtd ETF		292,084		—		—		—
VictoryShares International High Div Volatility Wtd ETF		427,662		—		—		—

The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended June 30, 2016.

*The following Funds were not active as of June 30, 2015: VictoryShares US Small Cap Volatility Wtd ETF, VictoryShares International Volatility Wtd ETF, VictoryShares Emerging Market Volatility Wtd ETF, VictoryShares US Large Cap High Div Volatility Wtd ETF, VictoryShares US Small Cap High Div Volatility Wtd ETF, and VictoryShares International High Div Volatility Wtd ETF.

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As of June 30, 2016, the components of accumulated earnings (losses) for income tax purposes were as follows:

	Victory Shares US 500 Volatility Wtd ETF			Victory Shares US Discovery Enhanced Volatility Wtd ETF			Victory Shares US 500 Enhanced Volatility Wtd ETF			Victory Shares Developed Enhanced Volatility Wtd ETF			Victory Shares US EQ Income Enhanced Volatility Wtd ETF
Tax cost of investments	$	44,287,439		$	26,306,177		$	138,694,104		$	35,603,736		$	150,460,112
Unrealized appreciation		2,574,963			1,701,384			10,407,970			1,251,320			10,678,086
Unrealized depreciation		(2,201,653	)		(1,174,786	)		(7,739,311	)		(2,245,879	)		(5,063,409	)
Net unrealized appreciation (depreciation)		373,310			526,598			2,668,659			(994,559	)		162,831
Undistributed ordinary income		27,894			24,546			83,693			51,240			162,831
Undistributed long-term gain		—			—			—			—			—
Distributable earnings		27,894			24,546			83,693			51,240			162,831
Other accumulated loss		(456,603	)		(5,635,688	)		(5,882,558	)		(5,202,611	)		(5,056,017	)
Total accumulated gain/(loss)	$	(55,399	)	$	(5,084,544	)	$	(3,130,206	)	$	(6,145,930	)	$	721,491

	Victory Shares US Small Cap Volatility Wtd ETF			Victory Shares International Volatility Wtd ETF			Victory Shares Emerging Market Volatility Wtd ETF			Victory Shares US Large Cap High Div Volatility Wtd ETF			Victory Shares US Small Cap High Div Volatility Wtd ETF			Victory Shares International High Div Volatility Wtd ETF
Tax cost of investments	$	10,339,163		$	13,403,350		$	12,510,809		$	39,722,495		$	13,831,086		$	18,090,582
Unrealized appreciation		666.978			455,907			508,965			2,837,070			1,021,280			368,441
Unrealized depreciation		(699,932	)		(1,080,500	)		(436,050	)		(1,281,903	)		(700,100	)		(1,753,468	)
Net unrealized appreciation (depreciation)		(32,954	)		(624,593	)		72,915			1,555,167			321,180			(1,385,027	)
Undistributed ordinary income		9,741			32,036			49,803			50,357			45,227			92,849
Undistributed long-term gain		—			—			—			—			—			—
Distributable earnings		9,741			32,036			49,803			50,357			45,227			92,849
Other accumulated loss		(240,469	)		(223,417	)		(5,546	)		(56,995	)		(162,709	)		(252,502	)
Total accumulated gain/(loss)	$	(263,682	)	$	(815,974	)	$	117,172		$	1,548,529		$	203,698		$	(1,544,680	)

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 adjustments for C-Corporation return of capital distributions, and passive foreign investment companies.

Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first business day of the Fund's next taxable year. Qualified late-year ordinary losses are the excess of the sum of the specified loss attributable to the portion of the taxable year after October 31^st, and the late-year losses attributable to the portion of the taxable year after

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December 31^st, over the sum of the specified gains attributable to the portion of the specified gains attributable to the portion of the taxable year after October 31^st, and other ordinary income attributable to the portion of the taxable year after December 31^st. For the fiscal year ended June 30, 2016, there were no post-October or late-year losses.

At June 30, 2016, the Funds had capital loss carry-forwards (no expiration) for federal income tax purposes available to offset future capital gains as follows:

	Short Term		Long Term
VictoryShares US 500 Volatility Wtd ETF	$	295,721	$	160,882
VictoryShares US Discovery Enhanced Volatility Wtd ETF		5,146,219		489,469
VictoryShares US 500 Enhanced Volatility Wtd ETF		4,242,770		1,639,762
VictoryShares Developed Enhanced Volatility Wtd ETF		4,850,441		352,170
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		3,786,885		1,269,132
VictoryShares US Small Cap Volatility Wtd ETF		239,123		1,346
VictoryShares International Volatility Wtd ETF		217,988		5,429
VictoryShares Emerging Market Volatility Wtd ETF		4,394		1,291
VictoryShares US Large Cap High Div Volatility Wtd ETF		56,995		—
VictoryShares US Small Cap High Div Volatility Wtd ETF		162,709		—
VictoryShares International High Div Volatility Wtd ETF		236,996		—

Permanent book and tax differences, primarily due to gains and losses, in-kind distributions that are not taxable, gains and losses on disposition of PFICs, and foreign currency gains (losses), resulted in reclassifications for the period ended June 30, 2016 as follows:

	Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss)			Paid-In-Capital
VictoryShares US 500 Volatility Wtd ETF	$	(186	)	$	(1,424,337	)	$	1,424523
VictoryShares US Discovery Enhanced Volatility Wtd ETF		2,343			(1,493,206	)		1,490,863
VictoryShares US 500 Enhanced Volatility Wtd ETF		—			(6,033,503	)		6,033,503
VictoryShares Developed Enhanced Volatility Wtd ETF		(2,829	)		2,829			—
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		—			(6,093,255	)		6,093,255
VictoryShares US Small Cap Volatility Wtd ETF		1,669			(399,260	)		397,591
VictoryShares International Volatility Wtd ETF		10,490			172,459			(182,949	)
VictoryShares Emerging Market Volatility Wtd ETF		5,436			(5,436	)		—
VictoryShares US Large Cap High Div Volatility Wtd ETF		—			(1,087,457	)		1,087,457
VictoryShares US Small Cap High Div Volatility Wtd ETF		13,448			(542,830	)		529,382
VictoryShares International High Div Volatility Wtd ETF		11,448			100,794			(112,242	)

8.  New Accounting Pronouncements:

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, "final rules") intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the financial statements and related disclosures.

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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 ten Trustees, nine 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 17 portfolios in the Trust, 47 portfolios in Victory Portfolios, nine portfolios in Victory Variable Insurance Funds and one portfolio in Victory Institutional Funds, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. Each Trustee's address is c/o Victory Portfolios II, 615 East Michigan Street, Milwaukee, Wisconsin 53202. 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, 65	Trustee	May 2015	Consultant (since 2006).	FBR Funds (2011-2012); Chairman, Board of Trustees, Turner Funds (December 2016-present).
Nigel D. T. Andrews, 69	Vice Chair and Trustee	May 2015	Retired.	Carlyle GMS Finance, Inc. (since 2012); Old Mutual US Asset Management (2002-2014).
E. Lee Beard, 65	Trustee	May 2015	Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).		None.
Dennis M. Bushe, 73	Trustee	July 2016	Retired since May 2010; Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).		None.
Sally M. Dungan, 62	Trustee	May 2015	Chief Investment Officer, Tufts University (since 2002).		None.

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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, 63	Trustee	May 2015	Adviser, Endgate Commodities LLC (since January 2016); Managing Partner, Endgate Commodities LLC (August 2014 to January 2016); Chief Operating Officer, Liquidnet Holdings, Inc. (2011-2014); Managing Director, Crossroad LLC (Consultants) (April 2009 to December 2011).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, 59	Trustee	May 2015	Retired.		None.
Gloria S. Nelund, 55	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm; Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).	TriLinc Global Impact Fund, LLC (2012-Present).
Leigh A. Wilson, 72	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013) and Director (since 2012 and March-October 2008), Caledonia Mining Corporation.

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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
Interested Trustee.
David C. Brown, 44	Trustee	May 2015	Chairman and 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; Chairman and 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 866-376-7890.

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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 c/o Victory Portfolios II Trust, 615 East Michigan Street, Milwaukee, Wisconsin 53202. 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, 55	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, 47	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); Associate, Dechert LLP (2001-2010).
Christopher A. Ponte, 32	Treasurer	May 2015	Senior Analyst, Fund Administration, the Adviser; Registered Principal, Victory Capital Advisers, Inc. (since 2011).
Edward J. Veilleux, 73	Chief Compliance Officer	May 2015	President of EJV Financial Services (mutual fund consulting).
Chuck Booth, 56	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, 63	Assistant Secretary	May 2015	Partner, Morrison & Foerster LLP.

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Additional Federal Income Tax Information

For the fiscal year ended June 30, 2016, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Reconciliation Act of 2003.

The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

VictoryShares US 500 Volatility Wtd ETF	100.00	%
VictoryShares US Discovery Enhanced Volatility Wtd ETF	100.00	%
VictoryShares US 500 Enhanced Volatility Wtd ETF	100.00	%
VictoryShares Developed Enhanced Volatility Wtd ETF	99.52	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	100.00	%
VictoryShares US Small Cap Volatility Wtd ETF	100.00	%
VictoryShares International Volatility Wtd ETF	95.40	%
VictoryShares Emerging Market Volatility Wtd ETF	56.24	%
VictoryShares US Large Cap High Div Volatility Wtd ETF	100.00	%
VictoryShares US Small Cap High Div Volatility Wtd ETF	100.00	%
VictoryShares International High Div Volatility Wtd ETF	95.04	%

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended June 30, 2016 was as follows:

VictoryShares US 500 Volatility Wtd ETF	100.00	%
VictoryShares US Discovery Enhanced Volatility Wtd ETF	100.00	%
VictoryShares US 500 Enhanced Volatility Wtd ETF	100.00	%
VictoryShares Developed Enhanced Volatility Wtd ETF	0.20	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	100.00	%
VictoryShares US Small Cap Volatility Wtd ETF	100.00	%
VictoryShares International Volatility Wtd ETF	0.25	%
VictoryShares Emerging Market Volatility Wtd ETF	0.00	%
VictoryShares US Large Cap High Div Volatility Wtd ETF	100.00	%
VictoryShares US Small Cap High Div Volatility Wtd ETF	100.00	%
VictoryShares International High Div Volatility Wtd ETF	0.00	%

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:

VictoryShares US 500 Volatility Wtd ETF	1.71	%
VictoryShares US Discovery Enhanced Volatility Wtd ETF	0.00	%
VictoryShares US 500 Enhanced Volatility Wtd ETF	0.00	%
VictoryShares Developed Enhanced Volatility Wtd ETF	0.00	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	0.00	%
VictoryShares US Small Cap Volatility Wtd ETF	0.00	%
VictoryShares International Volatility Wtd ETF	0.00	%
VictoryShares Emerging Market Volatility Wtd ETF	0.00	%
VictoryShares US Large Cap High Div Volatility Wtd ETF	0.00	%
VictoryShares US Small Cap High Div Volatility Wtd ETF	0.00	%
VictoryShares International High Div Volatility Wtd ETF	0.00	%

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For the fiscal year ended June 30, 2016 the following VictoryShares ETFs earned foreign source income and paid foreign taxes which they intend to pass through to their shareholders pursuant to section 853 of the Internal Revenue Code as follows:

VictoryShares Developed Enhanced Volatility Wtd ETF
Country	Gross Dividend		Taxes Withheld
Austria		2,621		212
Australia		47,542		294
Belgium		18,227		2,831
Bermuda		2,193		—
Canada		82,340		12,351
Switzerland		56,076		5,816
Germany		60,356		7,542
Denmark		5,575		836
Spain		47,400		7,719
Finland		13,394		2,009
France		92,902		13,667
Great Britain		140,506		5,508
Hong Kong		75,222		352
Ireland		3,990		—
Israel		4,608		960
Italy		23,197		3,480
Jersey		5,188		100
Japan		92,900		9,290
Cayman Islands		5,710		—
Netherlands		17,254		2,592
Norway		14,417		2,019
Portugal		7,422		1,226
Sweden		34,226		5,134
Singapore		30,239		—
United States		1,514		—
		885,020		83,939
Less Ineligible Countries: Great Britain		140,506		5,508
Hong Kong		75,222		352
Singapore		30,239		—
Total FTC				78,079
VictoryShares International Volatility Wtd ETF
Country	Gross Dividend		Taxes Withheld
Australia		13,116		125
Austria		436		—
Belgium		6,514		1,016
Bermuda		525		—
Canada		25,436		3,815
Cayman Islands		1,903		—
Chile		20,040		2,070
Denmark		2,433		365
Finland		6,002		900
France		32,842		4,834
Germany		22,061		2,738
Great Britain		46,975		1,314
Hong Kong		22,832		103
Ireland		1,473		—

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Country	Gross Dividend		Taxes Withheld
Israel		1,454		309
Italy		7,587		1,138
Japan		33,313		3,331
Jersey		1,608		—
Netherlands		5,470		822
Norway		4,983		704
Portugal		2,692		443
Singapore		6,361		—
Spain		13,134		2,065
Sweden		14,062		2,109
		293,250		28,202
Less Ineligible Countries: France		32,842		4,834
Great Britain		46,975		1,314
Total FTC				22,054
VictoryShares Emerging Market Volatility Wtd ETF
Country	Gross Dividend		Taxes Withheld
Bermuda		203		—
Brazil		2,184		58
Cayman Islands		1,455		—
Chile		7,334		1,301
China		19,308		1,931
Colombia		206		22
Czech Republic		4,337		651
Greece		1,321		132
Hong Kong		16,076		56
Hungary		412		—
India		3,382		—
Indonesia		4,984		865
Malaysia		7,119		—
Mexico		4,335		128
Philippines		3,049		762
Poland		2,325		349
Russian Federation		2,191		329
Thailand		3,483		334
Turkey		6,352		917
Taiwan		14,000		2,796
Zambia		4,723		708
South Korea		19		3
United Arab Emirate		1,719		—
		110,516		11,342
Less Ineligible Countries: None		—		—
Total FTC				11,342
VictoryShares International High Div Volatility Wtd ETF
Country	Gross Dividend		Taxes Withheld
Australia		67,660		769
Belgium		11,616		1,742
Canada		57,645		8,647

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Country	Gross Dividend		Taxes Withheld
Cayman Islands		3,932		—
Finland		11,705		1,756
France		45,313		6,797
Germany		29,377		3,440
Great Britain		129,732		2,829
Hong Kong		32,052		—
Israel		6,299		1,426
Italy		21,518		1,426
Jersey		332		—
Japan		17,891		1,789
Norway		7,847		1,177
Portugal		14,421		2,163
Singapore		18,308		—
Spain		60,614		10,040
Sweden		39,673		5,900
Switzerland		35,157		5,021
		611,091		54,922
Less Ineligible Countries: Great Britain		129,732		2,829
Total FTC				52,093

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Proxy Voting and Form N-Q Information

Proxy Voting:

Information regarding the policies and procedures that the Fund uses 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 Fund's 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 Fund voted proxies relating to portfolio securities held during the most recent twelve months ended June 30^th is available on the SEC's website at www.sec.gov.

Availability of Schedules of Investments:

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC's website at http://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 a Fund, you pay ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other Fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses:

The columns under the heading entitled "Actual" help you estimate the actual expenses you paid over the period. The "Actual Ending Account Value" shown is derived from a Fund's actual return and the "Actual Expenses Paid During Period" show the dollar amount that would have been paid by an investor who started with $1,000 in a Fund. To estimate the expenses you paid on your account during this 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 column under the heading untitled "Actual Expenses Paid During Period".

Hypothetical Example for Comparison Purposes:

The columns under the heading entitled "Hypothetical" provide information about hypothetical account value and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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 the ongoing costs of investing in a Fund and other funds. To do so, 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 not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical Expenses Paid During Period) 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.

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						Actual				Hypothetical (5% return before expenses)
	Fund's Annual Expense Ratio			Beginning Account Value 07/01/16		Ending Account Value 12/31/16		Expenses Paid During Period(a)		Ending Account Value 12/31/16		Expenses Paid During Period
VictoryShares US 500 Volatility Wtd ETF		0.35	%	$	1,000.00	$	1,090.70	$	1.84	$	1,023.44	$	1.79
VictoryShares US Discovery Enhanced Volatility Wtd ETF		0.35	%		1,000.00		1,218.20		1.96		1,023.44		1.79
VictoryShares US 500 Enhanced Volatility Wtd ETF		0.35	%		1,000.00		1,090.70		1.84		1,023.44		1.79
VictoryShares Developed Enhanced Volatility Wtd ETF		0.45	%		1,000.00		983.90		2.25		1,022.94		2.29
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		0.35	%		1,000.00		1,086.20		1.84		1,023.44		1.79
VictoryShares US Small Cap Volatility Wtd ETF		0.35	%		1,000.00		1,217.70		1.96		1,023.44		1.79
VictoryShares International Volatility Wtd ETF		0.45	%		1,000.00		1,026.10		2.30		1,022.94		2.29
VictoryShares Emerging Market Volatility Wtd ETF		0.50	%		1,000.00		981.60		2.50		1,022.68		2.55
VictoryShares US Large Cap High Div Volatility Wtd ETF		0.35	%		1,000.00		1,086.30		1.84		1,023.44		1.79
VictoryShares US Small Cap High Div Volatility Wtd ETF		0.35	%		1,000.00		1,196.20		1.94		1,023.44		1.79
VictoryShares International High Div Volatility Wtd ETF		0.45	%		1,000.00		1,039.20		2.31		1,022.94		2.29

(a)  Expenses are equal to the Funds' annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

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Portfolio Allocation

VictoryShares US 500 Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US 500 Enhanced Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares Developed Enhanced Volatility
Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

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VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Small Cap Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares International Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares Emerging Market Volatility Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

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VictoryShares US Large Cap High Div Volatility
Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Small Cap High Div Volatility
Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares International High Div Volatility
Wtd ETF

Portfolio Holdings

As a Percentage of Total Investments

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Frequency Distribution of Premiums and Discounts

Closing Price vs. NAV

Information regarding how often shares of the Funds trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAVs of the Funds are available, without charge, on the Funds' website at compassempetf.com.

Considerations of the Board in Continuing the Investment Advisory Agreement (the "Agreement")

The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on December 7, 2016. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions. The Board, including the Independent Trustees, evaluated this information along with other information relating to the Funds and the Agreement provided throughout the year and at a meeting on October 25-26, 2016, and was advised by legal counsel to the Funds and by independent legal counsel to the Independent Trustees. The Board reviewed numerous factors with respect to each Fund. The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

•  The requirements of the Funds for the services provided by the Adviser;

•  The nature, quality and extent of the services provided and expected to be provided;

•  Fees payable for the services and whether the fee arrangements provided for economies of scale that would benefit Fund shareholders as the Funds grow;

•  Fees paid by other clients of the Adviser that are managed in a similar investment style and any differences in the services provided to the other clients compared to those provided to the Funds;

•  Total expenses of each Fund;

•  The Adviser's commitment to operating the Funds at competitive expense levels;

•  The profitability of the Adviser (as reflected by comparing fees earned against an estimate of the Adviser's costs) with respect to the Adviser's relationship with the Funds;

•  Research and other service benefits received by the Adviser obtained through payment of client commissions for securities transactions;

•  Other benefits to be received by the Adviser, including revenues that may be paid by the Funds to affiliates of the Adviser;

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between each Fund and the Adviser.

The Board reviewed each Fund's current management fee in the context of the Adviser's profitability of the Fund. In addition, the Board compared each Fund's total expense ratio on a net and gross basis with a universe of comparable exchange-traded funds ("ETFs") compiled by FUSE Research Network, LLC ("FUSE") and a peer group of funds with similar investment strategies selected by FUSE from the universe. The Board reviewed the factors and methodology used by FUSE in the selection of each Fund's peer group. The Board also reviewed fees and other information related to the Adviser's management of similarly managed institutional or private accounts and the differences in the services provided to those other accounts. The Trustees also noted that there were no breakpoints in the advisory fee schedules for any of the Funds.

The Board reviewed each Fund's performance over a one-year period (where applicable) against the Fund's benchmark index noting that each Fund's investment objective is to track its proprietary benchmark index before fees and expenses and that the Funds generally underperform their benchmarks due to fees and expenses. The Board also considered each Fund's tracking error as a factor in evaluating performance. The Board

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considered the additional resources that the Adviser has committed to enhance portfolio analysis, compliance and trading systems.

The Board reviewed various other specific factors with respect to each Fund, as described below. In their deliberations, the Trustees did not rank the importance of any particular information or factor considered and each Trustee may have attributed different weights to various factors.

VictoryShares US 500 Volatility Wtd ETF

(formerly, Victory CEMP US 500 Volatility Wtd Index ETF)

The Board considered the VictoryShares US 500 Volatility Wtd ETF with the understanding that the Fund began operation on July 1, 2014. The Board considered that the Fund's gross annual management fee of 0.502% was higher than the median gross management fee of 0.298% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was higher than the median expense ratio for the peer group of 0.280%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of 4.70% for the one-year period ended July 31, 2016, to the 5.13% return of the benchmark index for the same period and noted the Fund's low tracking error of 0.04 for the period.

Having concluded, among other things, that: (1) the VictoryShares US 500 Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was in an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Discovery Enhanced Volatility Wtd ETF

(formerly, Victory CEMP US Discovery Enhanced Volatility Wtd Index ETF)

The Board considered the VictoryShares US Discovery Enhanced Volatility Wtd ETF with the understanding that the Fund began operation on August 1, 2014. The Board considered that the Fund's gross annual management fee of 0.512% was higher than the median gross management fee of 0.380% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was lower than the median expense ratio for the peer group of 0.380%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of -8.51% for the one-year period ended July 31, 2016, to -8.07% return of the benchmark index for the same period and noted the Fund's low tracking error of 0.05 for the period. The Board discussed the negative performance of benchmark index and the Fund with management.

Having concluded, among other things, that: (1) the VictoryShares US Discovery Enhanced Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's's performance in relation to its benchmark index was in an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US 500 Enhanced Volatility Wtd ETF

(formerly, Victory CEMP US 500 Enhanced Volatility Wtd Index ETF)

The Board considered the VictoryShares US 500 Enhanced Volatility Wtd ETF with the understanding that the Fund began operation on August 1, 2014. The Board considered that the Fund's gross annual management fee of 0..431% was higher than the median gross management fee of 0.280% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was higher than the median expense ratio for the peer group of 0.280%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of 4.74% for the one-year period ended July 31, 2016, to 5.13% return of the benchmark index for the same period and noted the Fund's low tracking error of 0.06 for the period.

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Having concluded, among other things, that: (1) the VictoryShares US 500 Enhanced Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was within an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares Developed Enhanced Volatility Wtd ETF

(formerly, Victory CEMP Developed Enhanced Volatility Wtd Index ETF)

The Board considered the VictoryShares Developed Enhanced Volatility Wtd ETF with the understanding that the Fund began operation on September 30 1, 2014. The Board considered that the Fund's gross annual management fee of 0.698% was higher than the median gross management fee of 0.351% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.450% was higher than the median expense ratio for the peer group of 0.380%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of -15.02% for the one-year period ended July 31, 2016, to -14.14% return of the benchmark index for the same period and noted the Fund's tracking error of 0.66 for the period. The Board discussed the negative performance of benchmark index and the Fund with management.

Having concluded, among other things, that: (1) the VictoryShares Developed Enhanced Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was in an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

(formerly, Victory CEMP US EQ Income Enhanced Volatility Wtd Index ETF)

The Board considered the VictoryShares US EQ Income Enhanced Volatility Wtd ETF with the understanding that the Fund began operation on July 1, 2014. The Board considered that the Fund's gross annual management fee of 0.415% was higher than the median gross management fee of 0.370% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was lower than the median expense ratio for the peer group of 0.370%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of 13.23% for the one-year period ended July 31, 2016, to 13.75% return of the benchmark index for the same period and noted the Fund's low tracking error of 0.05 for the period.

Having concluded, among other things, that: (1) the VictoryShares US EQ Income Enhanced Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was within an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Small Cap Volatility Wtd ETF

(formerly, Victory CEMP US Small Cap Volatility Wtd Index ETF)

The Board considered the VictoryShares US Small Cap Volatility Wtd ETF with the understanding that the Fund began operation on July 7, 2015. The Board considered that the Fund's gross annual management fee of 0.750% was higher than the median gross management fee of 0.440% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was lower than the median expense ratio for the peer group of 0.380%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then

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  (Unaudited)

compared the Fund's total return of 4.49% for the one-year period ended July 31, 2016, to 4.68% return of the benchmark index for the same period and noted the Fund's tracking error of 0.19 for the period.

Having concluded, among other things, that: (1) the VictoryShares US Small Cap Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was within an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares International Volatility Wtd ETF

(formerly, Victory CEMP International Volatility Wtd Index ETF)

The Board considered the VictoryShares International Volatility Wtd ETF with the understanding that the Fund began operation on August 20, 2015 and, therefore, no one-year performance information was available. The Board considered that the Fund's gross annual management fee of 1.214% was higher than the median gross management fee of 0.376% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.450% was higher than the median expense ratio for the peer group of 0.430%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus.

Having concluded, among other things, that: (1) the VictoryShares International Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; and (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares Emerging Market Volatility Wtd ETF

(formerly, Victory CEMP Emerging Market Volatility Wtd Index ETF)

The Board considered the VictoryShares Emerging Market Volatility Wtd ETF with the understanding that the Fund began operation on March 22, 2016 and, therefore, no one-year performance information was available. The Board considered that the Fund's gross annual management fee of 1.394%was higher than the median gross management fee of 0.601% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.500% was lower than the median expense ratio for the peer group of 0.590%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus.

Having concluded, among other things, that: (1) the VictoryShares Emerging Market Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; and (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Large Cap High Div Volatility Wtd ETF

(formerly, Victory CEMP US Large Cap High Div Volatility Wtd Index ETF)

The Board considered the VictoryShares US Large Cap High Div Volatility Wtd ETF with the understanding that the Fund began operation on July 7, 2015. The Board considered that the Fund's gross annual management fee of 0.427% was higher than the median gross management fee of 0.374% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was lower than the median expense ratio for the peer group of 0.375%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of 13.36% for the one-year period ended July 31, 2016, to 13.75% return of the benchmark index for the same period and noted the Fund's low tracking error of 0.10 for the period.

177

Victory Portfolios II Supplemental Information — continued
December 31, 2016

  (Unaudited)

Having concluded, among other things, that: (1) the VictoryShares US Large Cap High Div Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was within an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Small Cap High Div Volatility Wtd ETF

(formerly, Victory CEMP US Small Cap High Div Volatility Wtd Index ETF)

The Board considered the VictoryShares US Small Cap High Div Volatility Wtd ETF with the understanding that the Fund began operation on July 7, 2015. The Board considered that the Fund's gross annual management fee of 0.466% was higher than the median gross management fee of 0.423% charged to the funds in the Fund's peer group. The Board also noted that the Fund's net annual expense ratio of 0.350% was lower than the median expense ratio for the peer group of 0.385%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus. The Board then compared the Fund's total return of 9.76% for the one-year period ended July 31, 2016, to 10.14% return of the benchmark index for the same period and noted the Fund's tracking error of 0.12 for the period.

Having concluded, among other things, that: (1) the VictoryShares US Small Cap High Div Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period; and (4) the Fund's performance in relation to its benchmark index was within an acceptable range, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares International High Div Volatility Wtd ETF

(formerly, Victory CEMP International High Div Volatility Wtd Index ETF)

The Board considered the VictoryShares International High Div Volatility Wtd ETF with the understanding that the Fund began operation on August 20, 2015 and, therefore, no one-year performance information was available. The Board considered that the Fund's gross annual management fee of 0.636%was higher than the median gross management fee of 0.480% charged to the funds in the Fund's peer group. The Board also noted that the Fund's Class A net annual expense ratio, taking into account any shareholder servicing or distribution fees, of 0.450% was lower than the median expense ratio for the peer group of 0.470%. The Board considered the Adviser's contractual agreement to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus.

Having concluded, among other things, that: (1) the VictoryShares International High Div Volatility Wtd ETF's management fee, though higher, was within the range of advisory fees charged to comparable mutual funds; (2) the Fund's total expenses ratio was reasonable; and (3) the Adviser's willingness to limit the expenses of the Fund for a period of time would provide stability to the Fund's expenses during that period, the Board agreed that the Agreement continued to be in the best interests of the Fund's shareholders.

Conclusion

Based on its review of the information requested and provided, and following extended discussions concerning the same, the Board determined that the Agreement, on behalf of the Funds discussed above, was consistent with the best interests of each Fund and its shareholders, and the Board approved the Agreement, on behalf of each Fund, for an additional annual period on the basis of the foregoing review and discussions and the following considerations, among others:

•  The fairness and reasonableness of the investment advisory fee payable to the Adviser under the Agreement in light of the investment advisory services provided, the costs of these services, the profitability of the Adviser's relationship with the Fund and the comparability of the fee paid to the fees paid by other investment companies;

•  The nature, quality and extent of the investment advisory services provided by the Adviser;

178

Victory Portfolios II Supplemental Information — continued
December 31, 2016

  (Unaudited)

•  The Adviser's entrepreneurial commitment to the management of the Funds and the creation of a broad-based family of funds, which could entail a substantial commitment of the Adviser's resources to the successful operation of the Funds;

•  The Adviser's representations regarding its staffing and capabilities to manage the Funds, including the retention of personnel with relevant portfolio management experience;

•  The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams, committing substantial resources and implementing a risk management program aimed at measuring, managing and monitoring portfolio risk, and to reduce expenses across the complex; and

•  The overall high quality of the personnel, operations, financial condition, investment management capabilities, methodologies and performance of the Adviser.

179

Victory CEMP Funds
c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202

Visit our website at:	Call Victory at:
www.compassempetf.com		866-376-7890

VPII-VICTORYSHARESETF-SAR (12/16)

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

Not Applicable.

Item 11. Controls and Procedures.

(a)The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.  Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

(b)There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.  Not Applicable.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.  Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.  Not applicable to open-end investment companies.

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.  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 K. Dyer
			Christopher K. Dyer, President (Principal Executive Officer)
Date	February 24, 2017

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, President (Principal Executive Officer)
Date		February 24, 2017
By (Signature and Title)*			/s/ Christopher A. Ponte
			Christopher A. Ponte, Treasurer (Principal Financial Officer)
Date	February 24, 2017

* Print the name and title of each signing officer under his or her signature.